N-CSRS 1 d664447dncsrs.txt DFA INVESTMENT DIMENSIONS GROUP, INC. ================================================================================ UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 ----------------- FORM N-CSR ----------------- CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-3258 ----------------- DFA INVESTMENT DIMENSIONS GROUP INC. (Exact name of registrant as specified in charter) ----------------- 6300 Bee Cave Road, Building One, Austin, TX 78746 (Address of principal executive offices) (Zip code) ----------------- Catherine L. Newell, Esquire, Vice President and Secretary DFA Investment Dimensions Group Inc., 6300 Bee Cave Road, Building One, Austin, TX 78746 (Name and address of agent for service) ----------------- Registrant's telephone number, including area code: 512-306-7400 Date of fiscal year end: October 31 Date of reporting period: November 1, 2013 - April 30, 2014 ================================================================================ ITEM 1. REPORTS TO STOCKHOLDERS. [LOGO] SEMI-ANNUAL REPORT ------------------------------------------------------------------- six months ended: April 30, 2014 (Unaudited) DFA INVESTMENT DIMENSIONS GROUP INC. DIMENSIONAL INVESTMENT GROUP INC. THE DFA INVESTMENT TRUST COMPANY DIMENSIONAL EMERGING MARKETS VALUE FUND [LOGO] Dimensional Fund Advisors 6300 Bee Cave Road, Building One Austin, TX 78746 May 2014 Dear Fellow Shareholder, Since our founding 33 years ago, Dimensional has grown into a global asset management firm. We believe well-functioning markets that bring together investors who supply capital with companies that put capital to work are what make our business and investment approach successful. At Dimensional, we combine insights gained from academia and a belief in the power of markets with decades of practical experience implementing in competitive markets. By applying this approach, we have built up a long and compelling track record across global equity and fixed income markets. Sincerely, /s/ David G. Booth David G. Booth Chairman and Co-Chief Executive Officer SEMI-ANNUAL REPORT (Unaudited) Table of Contents
Page ---- Letter to Shareholders Definitions of Abbreviations and Footnotes.............................. 1 DFA Investment Dimensions Group Inc. Disclosure of Fund Expenses.......................................... 2 Disclosure of Portfolio Holdings..................................... 7 Schedules of Investments/Summary Schedules of Portfolio Holdings Enhanced U.S. Large Company Portfolio............................ 10 U.S. Large Cap Equity Portfolio.................................. 12 U.S. Large Cap Value Portfolio................................... 15 U.S. Targeted Value Portfolio.................................... 16 U.S. Small Cap Value Portfolio................................... 19 U.S. Core Equity 1 Portfolio..................................... 22 U.S. Core Equity 2 Portfolio..................................... 25 U.S. Vector Equity Portfolio..................................... 28 U.S. Small Cap Portfolio......................................... 31 U.S. Micro Cap Portfolio......................................... 34 DFA Real Estate Securities Portfolio............................. 37 Large Cap International Portfolio................................ 39 International Core Equity Portfolio.............................. 43 International Small Company Portfolio............................ 48 Japanese Small Company Portfolio................................. 49 Asia Pacific Small Company Portfolio............................. 49 United Kingdom Small Company Portfolio........................... 50 Continental Small Company Portfolio.............................. 50 DFA International Real Estate Securities Portfolio............... 51 DFA Global Real Estate Securities Portfolio...................... 55 DFA International Small Cap Value Portfolio...................... 56 International Vector Equity Portfolio............................ 60 World ex U.S. Value Portfolio.................................... 65 World ex U.S. Targeted Value Portfolio........................... 66 World ex U.S. Core Equity Portfolio.............................. 67 Selectively Hedged Global Equity Portfolio....................... 68 Emerging Markets Portfolio....................................... 69 Emerging Markets Small Cap Portfolio............................. 69 Emerging Markets Value Portfolio................................. 69 Emerging Markets Core Equity Portfolio........................... 70 Statements of Assets and Liabilities................................. 74 Statements of Operations............................................. 81 Statements of Changes in Net Assets.................................. 88 Financial Highlights................................................. 98 Notes to Financial Statements........................................ 119 DFA Investment Dimensions Group Inc. - DFA Commodity Strategy Portfolio Consolidated Disclosure of Fund Expenses............................. 146 Consolidated Disclosure of Portfolio Holdings........................ 147 Consolidated Schedule of Investments................................. 148 Consolidated Statement of Assets and Liabilities..................... 153 Consolidated Statement of Operations................................. 154 Consolidated Statements of Changes in Net Assets..................... 155
i TABLE OF CONTENTS CONTINUED
Page ---- Consolidated Financial Highlights............................... 156 Consolidated Notes to Financial Statements...................... 157 Dimensional Investment Group Inc. Disclosure of Fund Expenses..................................... 169 Disclosure of Portfolio Holdings................................ 171 Schedule of Investments/Summary Schedule of Portfolio Holdings DFA International Value Portfolio........................... 172 U.S. Large Company Portfolio................................ 173 Statements of Assets and Liabilities............................ 176 Statements of Operations........................................ 177 Statements of Changes in Net Assets............................. 178 Financial Highlights............................................ 179 Notes to Financial Statements................................... 181 The DFA Investment Trust Company Disclosure of Fund Expenses..................................... 191 Disclosure of Portfolio Holdings................................ 193 Summary Schedules of Portfolio Holdings The U.S. Large Cap Value Series............................. 195 The DFA International Value Series.......................... 198 The Japanese Small Company Series........................... 202 The Asia Pacific Small Company Series....................... 205 The United Kingdom Small Company Series..................... 208 The Continental Small Company Series........................ 211 The Canadian Small Company Series........................... 215 The Emerging Markets Series................................. 218 The Emerging Markets Small Cap Series....................... 222 Statements of Assets and Liabilities............................ 226 Statements of Operations........................................ 228 Statements of Changes in Net Assets............................. 230 Financial Highlights............................................ 233 Notes to Financial Statements................................... 238 Dimensional Emerging Markets Value Fund Disclosure of Fund Expenses..................................... 247 Disclosure of Portfolio Holdings................................ 248 Summary Schedule of Portfolio Holdings.......................... 249 Statement of Assets and Liabilities............................. 253 Statement of Operations......................................... 254 Statements of Changes in Net Assets............................. 255 Financial Highlights............................................ 256 Notes to Financial Statements................................... 257 Voting Proxies on Fund Portfolio Securities........................ 263 Board Approval of Investment Advisory Agreements................... 264
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 AUD Australian Dollars CAD Canadian Dollars EUR Euro P.L.C. Public Limited Company SPDR Standard & Poor's Depository Receipts GBP British Pounds NZD New Zealand Dollars USD United States Dollars Investment Footnotes + See Note B to Financial Statements. ++ Securities have generally been fair valued. 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 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. ++ Security pledged as collateral for Swap Agreements. (S) Affiliated Fund. Financial Highlights -------------------- (A) Computed using average shares outstanding. (B) Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Fund(s). (C) Because of commencement of operations and related preliminary transaction costs, these ratios are not necessarily indicative of future ratios. (D) Non-Annualized (E) Annualized All Statements, Schedules and Notes to Financial Statements ----------------------------------------------------------- -- Amounts designated as -- are either zero or rounded to zero. REIT Real Estate Investment Trust RIC Registered Investment Company 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, 2014 EXPENSE TABLES Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 11/01/13 04/30/14 Ratio* Period* --------- --------- ---------- -------- Enhanced U.S. Large Company Portfolio - Actual Fund Return Institutional Class Shares... $1,000.00 $1,083.50 0.23% $1.19 Hypothetical 5% Annual Return Institutional Class Shares... $1,000.00 $1,023.65 0.23% $1.15
2 DISCLOSURE OF FUND EXPENSES CONTINUED
Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 11/01/13 04/30/14 Ratio* Period* --------- --------- ---------- -------- U.S. Large Cap Equity Portfolio ------------------------------- Actual Fund Return Institutional Class Shares...... $1,000.00 $1,085.10 0.19% $0.98 Hypothetical 5% Annual Return Institutional Class Shares...... $1,000.00 $1,023.85 0.19% $0.95 U.S. Large Cap Value Portfolio** -------------------------------- Actual Fund Return Institutional Class Shares...... $1,000.00 $1,093.50 0.27% $1.40 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 $1,074.50 0.47% $2.42 Class R2 Shares................. $1,000.00 $1,073.50 0.62% $3.19 Institutional Class Shares...... $1,000.00 $1,075.50 0.37% $1.90 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 $1,071.40 0.52% $2.67 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 $1,079.70 0.19% $0.98 Hypothetical 5% Annual Return Institutional Class Shares...... $1,000.00 $1,023.85 0.19% $0.95 U.S. Core Equity 2 Portfolio ---------------------------- Actual Fund Return Institutional Class Shares...... $1,000.00 $1,079.30 0.21% $1.08 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 $1,073.10 0.32% $1.64 Hypothetical 5% Annual Return Institutional Class Shares...... $1,000.00 $1,023.21 0.32% $1.61
3 DISCLOSURE OF FUND EXPENSES CONTINUED
Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 11/01/13 04/30/14 Ratio* Period* --------- --------- ---------- -------- U.S. Small Cap Portfolio ------------------------ Actual Fund Return Institutional Class Shares.............. $1,000.00 $1,045.40 0.37% $1.88 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 $1,044.60 0.52% $2.64 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 $1,084.90 0.18% $0.93 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 $1,049.70 0.28% $1.42 Hypothetical 5% Annual Return Institutional Class Shares.............. $1,000.00 $1,023.41 0.28% $1.40 International Core Equity Portfolio ----------------------------------- Actual Fund Return Institutional Class Shares.............. $1,000.00 $1,059.70 0.38% $1.94 Hypothetical 5% Annual Return Institutional Class Shares.............. $1,000.00 $1,022.91 0.38% $1.91 International Small Company Portfolio*** ---------------------------------------- Actual Fund Return Institutional Class Shares.............. $1,000.00 $1,076.10 0.53% $2.73 Hypothetical 5% Annual Return Institutional Class Shares.............. $1,000.00 $1,022.17 0.53% $2.66 Japanese Small Company Portfolio** ---------------------------------- Actual Fund Return Institutional Class Shares.............. $1,000.00 $ 974.20 0.55% $2.69 Hypothetical 5% Annual Return Institutional Class Shares.............. $1,000.00 $1,022.07 0.55% $2.76 Asia Pacific Small Company Portfolio** -------------------------------------- Actual Fund Return Institutional Class Shares.............. $1,000.00 $ 999.90 0.55% $2.73 Hypothetical 5% Annual Return Institutional Class Shares.............. $1,000.00 $1,022.07 0.55% $2.76
4 DISCLOSURE OF FUND EXPENSES CONTINUED
Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 11/01/13 04/30/14 Ratio* Period* --------- --------- ---------- -------- United Kingdom Small Company Portfolio** ---------------------------------------- Actual Fund Return Institutional Class Shares........................ $1,000.00 $1,092.70 0.59% $3.06 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 $1,146.50 0.56% $2.98 Hypothetical 5% Annual Return Institutional Class Shares........................ $1,000.00 $1,022.02 0.56% $2.81 DFA International Real Estate Securities Portfolio -------------------------------------------------- Actual Fund Return Institutional Class Shares........................ $1,000.00 $1,043.70 0.38% $1.93 Hypothetical 5% Annual Return Institutional Class Shares........................ $1,000.00 $1,022.91 0.38% $1.91 DFA Global Real Estate Securities Portfolio*** ---------------------------------------------- Actual Fund Return Institutional Class Shares........................ $1,000.00 $1,067.60 0.32% $1.64 Hypothetical 5% Annual Return Institutional Class Shares........................ $1,000.00 $1,023.21 0.32% $1.61 DFA International Small Cap Value Portfolio ------------------------------------------- Actual Fund Return Institutional Class Shares........................ $1,000.00 $1,093.30 0.68% $3.53 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 $1,066.50 0.50% $2.56 Hypothetical 5% Annual Return Institutional Class Shares........................ $1,000.00 $1,022.32 0.50% $2.51 World ex U.S. Value Portfolio*** -------------------------------- Actual Fund Return Institutional Class Shares........................ $1,000.00 $1,038.50 0.60% $3.03 Hypothetical 5% Annual Return Institutional Class Shares........................ $1,000.00 $1,021.82 0.60% $3.01 World ex U.S. Targeted Value Portfolio*** ----------------------------------------- Actual Fund Return Institutional Class Shares........................ $1,000.00 $1,056.20 0.70% $3.57 Hypothetical 5% Annual Return Institutional Class Shares........................ $1,000.00 $1,021.32 0.70% $3.51
5 DISCLOSURE OF FUND EXPENSES CONTINUED
Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 11/01/13 04/30/14 Ratio* Period* --------- --------- ---------- -------- World ex U.S. Core Equity Portfolio*** -------------------------------------- Actual Fund Return Institutional Class Shares................... $1,000.00 $1,042.00 0.47% $2.38 Hypothetical 5% Annual Return Institutional Class Shares................... $1,000.00 $1,022.46 0.47% $2.36 Selectively Hedged Global Equity Portfolio*** --------------------------------------------- Actual Fund Return Institutional Class Shares................... $1,000.00 $1,055.50 0.40% $2.04 Hypothetical 5% Annual Return Institutional Class Shares................... $1,000.00 $1,022.81 0.40% $2.01 Emerging Markets Portfolio** ---------------------------- Actual Fund Return Institutional Class Shares................... $1,000.00 $ 977.30 0.56% $2.75 Hypothetical 5% Annual Return Institutional Class Shares................... $1,000.00 $1,022.02 0.56% $2.81 Emerging Markets Small Cap Portfolio** -------------------------------------- Actual Fund Return Institutional Class Shares................... $1,000.00 $1,018.90 0.72% $3.60 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 $ 964.30 0.80% $3.90 Institutional Class Shares................... $1,000.00 $ 965.90 0.55% $2.68 Hypothetical 5% Annual Return Class R2 Shares.............................. $1,000.00 $1,020.83 0.80% $4.01 Institutional Class Shares................... $1,000.00 $1,022.07 0.55% $2.76 Emerging Markets Core Equity Portfolio -------------------------------------- Actual Fund Return Institutional Class Shares................... $1,000.00 $ 987.90 0.61% $3.01 Hypothetical 5% Annual Return Institutional Class Shares................... $1,000.00 $1,021.77 0.61% $3.06
---------- * 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 indirect payment of the Feeder Fund's portion of the expenses of its Master Fund (Affiliated Investment Company). ***The Portfolio is a Fund of Funds. The expenses shown reflect the direct expenses of the Fund of Funds and the indirect payment of the Fund of Funds' portion of the expenses of its Master Funds (Affiliated Investment Companies). 6 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 31, 2014. It is 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 amendments 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%
7 DISCLOSURE OF PORTFOLIO HOLDINGS CONTINUED FUND OF FUNDS International Small Company Portfolio....... 100.0% DFA Global Real Estate Securities Portfolio. 100.0% World ex U.S. Value Portfolio............... 100.0% World ex U.S. Targeted Value Portfolio...... 100.0% World ex U.S. Core Equity Portfolio......... 100.0% Selectively Hedged Global Equity Portfolio.. 100.0%
ENHANCED DOMESTIC EQUITY PORTFOLIO Enhanced U.S Large Company Portfolio Corporate.................................... 18.0% Government................................... 32.0% Foreign Corporate............................ 14.4% Foreign Government........................... 25.0% Supranational................................ 10.6% ----- 100.0%
DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS U.S. Large Cap Equity Portfolio Consumer Discretionary....................... 13.3% Consumer Staples............................. 8.4% Energy....................................... 11.8% Financials................................... 13.1% Health Care.................................. 12.0% Industrials.................................. 13.4% Information Technology....................... 18.0% Materials.................................... 4.7% Other........................................ -- Real Estate Investment Trusts................ 0.1% Telecommunication Services................... 2.8% Utilities.................................... 2.4% ----- 100.0%
U.S. Targeted Value Portfolio Consumer Discretionary....................... 13.3% Consumer Staples............................. 3.3% Energy....................................... 11.0% Financials................................... 24.8% Health Care.................................. 6.3% Industrials.................................. 17.0% Information Technology....................... 14.5% Materials.................................... 7.9% Other........................................ -- Real Estate Investment Trusts................ 0.1% Telecommunication Services................... 1.3% Utilities.................................... 0.5% ----- 100.0%
U.S. Small Cap Value Portfolio Consumer Discretionary....................... 14.6% Consumer Staples............................. 3.0% Energy....................................... 12.1% Financials................................... 25.7% Health Care.................................. 5.3% Industrials.................................. 18.6% Information Technology....................... 14.1% Materials.................................... 6.1% Other........................................ -- Real Estate Investment Trusts................ 0.1% Telecommunication Services................... 0.3% Utilities.................................... 0.1% ----- 100.0%
U.S. Core Equity 1 Portfolio Consumer Discretionary....................... 13.9% Consumer Staples............................. 7.6% Energy....................................... 10.7% Financials................................... 15.7% Health Care.................................. 11.3% Industrials.................................. 13.6% Information Technology....................... 17.4% Materials.................................... 4.9% Other........................................ -- Real Estate Investment Trusts................ -- Telecommunication Services................... 2.1% Utilities.................................... 2.8% ----- 100.0%
U.S. Core Equity 2 Portfolio Consumer Discretionary....................... 13.1% Consumer Staples............................. 6.2% Energy....................................... 12.4% Financials................................... 18.6% Health Care.................................. 10.7% Industrials.................................. 14.1% Information Technology....................... 15.4% Materials.................................... 5.1% Other........................................ -- Real Estate Investment Trusts................ -- Telecommunication Services................... 2.4% Utilities.................................... 2.0% ----- 100.0%
U.S. Vector Equity Portfolio Consumer Discretionary....................... 13.5% Consumer Staples............................. 4.8% Energy....................................... 12.8% Financials................................... 23.3% Health Care.................................. 8.0% Industrials.................................. 14.3% Information Technology....................... 13.8% Materials.................................... 6.0% Other........................................ -- Real Estate Investment Trusts................ -- Telecommunication Services................... 2.2% Utilities.................................... 1.3% ----- 100.0%
8 DISCLOSURE OF PORTFOLIO HOLDINGS CONTINUED U.S. Small Cap Portfolio Consumer Discretionary....................... 17.4% Consumer Staples............................. 3.9% Energy....................................... 6.2% Financials................................... 16.5% Health Care.................................. 9.4% Industrials.................................. 18.4% Information Technology....................... 18.4% Materials.................................... 5.6% Other........................................ -- Real Estate Investment Trusts................ 0.1% Telecommunication Services................... 0.6% Utilities.................................... 3.5% ----- 100.0%
U.S. Micro Cap Portfolio Consumer Discretionary....................... 17.7% Consumer Staples............................. 4.2% Energy....................................... 6.2% Financials................................... 17.1% Health Care.................................. 9.7% Industrials.................................. 18.7% Information Technology....................... 17.6% Materials.................................... 5.9% Other........................................ -- Telecommunication Services................... 1.2% Utilities.................................... 1.7% ----- 100.0%
DFA Real Estate Securities Portfolio Real Estate Investment Trusts................ 100.0% ----- 100.0%
Large Cap International Portfolio Consumer Discretionary....................... 11.7% Consumer Staples............................. 10.1% Energy....................................... 9.1% Financials................................... 24.6% Health Care.................................. 9.5% Industrials.................................. 12.8% Information Technology....................... 4.2% Materials.................................... 9.8% Other........................................ -- Real Estate Investment Trusts................ -- Telecommunication Services................... 4.7% Utilities.................................... 3.5% ----- 100.0%
International Core Equity Portfolio Consumer Discretionary....................... 14.3% Consumer Staples............................. 7.0% Energy....................................... 9.3% Financials................................... 23.3% Health Care.................................. 6.1% Industrials.................................. 17.1% Information Technology....................... 5.7% Materials.................................... 10.9% Other........................................ -- Real Estate Investment Trusts................ -- Telecommunication Services................... 3.4% Utilities.................................... 2.9% ----- 100.0%
DFA International Real Estate Securities Portfolio Financials................................... 0.3% Real Estate Investment Trusts................ 99.7% ----- 100.0%
DFA International Small Cap Value Portfolio Consumer Discretionary....................... 20.8% Consumer Staples............................. 3.7% Energy....................................... 5.0% Financials................................... 20.3% Health Care.................................. 1.9% Industrials.................................. 26.6% Information Technology....................... 5.2% Materials.................................... 15.8% Other........................................ -- Real Estate Investment Trusts................ -- Telecommunication Services................... 0.3% Utilities.................................... 0.4% ----- 100.0%
International Vector Equity Portfolio Consumer Discretionary....................... 14.7% Consumer Staples............................. 5.9% Energy....................................... 8.8% Financials................................... 23.8% Health Care.................................. 4.9% Industrials.................................. 18.7% Information Technology....................... 6.3% Materials.................................... 12.3% Other........................................ -- Real Estate Investment Trusts................ -- Telecommunication Services................... 2.5% Utilities.................................... 2.1% ----- 100.0%
Emerging Markets Core Equity Portfolio Consumer Discretionary....................... 11.0% Consumer Staples............................. 7.7% Energy....................................... 8.5% Financials................................... 24.3% Health Care.................................. 2.5% Industrials.................................. 11.1% Information Technology....................... 14.7% Materials.................................... 11.8% Other........................................ -- Real Estate Investment Trusts................ -- Telecommunication Services................... 4.5% Utilities.................................... 3.9% ----- 100.0%
9 ENHANCED U.S. LARGE COMPANY PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2014 (Unaudited)
Face Amount^ Value+ ------- ------ (000) BONDS -- (60.3%) AUSTRALIA -- (3.5%) Commonwealth Bank of Australia 3.875%, 12/14/15............................. GBP 1,015 $ 1,792,316 Westpac Banking Corp. 1.125%, 09/25/15............................. 4,930 4,975,721 ----------- TOTAL AUSTRALIA............................................ 6,768,037 ----------- CANADA -- (4.3%) Enbridge, Inc. 5.800%, 06/15/14............................. 1,100 1,106,523 Royal Bank of Canada 3.360%, 01/11/16............................. CAD 5,000 4,696,456 TransAlta Corp. 4.750%, 01/15/15............................. 925 949,947 TransCanada PipeLines, Ltd. 3.400%, 06/01/15............................. 1,500 1,545,729 ----------- TOTAL CANADA............................................... 8,298,655 ----------- FRANCE -- (3.3%) Reseau Ferre de France 2.375%, 12/23/15............................. GBP 2,784 4,814,725 Total Capital SA 3.125%, 10/02/15............................. 1,587 1,645,911 ----------- TOTAL FRANCE............................................... 6,460,636 ----------- GERMANY -- (2.6%) KFW 1.750%, 01/22/16............................. GBP 3,000 5,134,439 ----------- JAPAN -- (2.1%) Japan Bank for International Cooperation 2.500%, 01/21/16............................. 4,000 4,138,732 ----------- NETHERLANDS -- (8.2%) Bank Nederlandse Gemeenten 5.375%, 09/15/15............................. AUD 5,600 5,339,719 Cooperatieve Centrale Raiffeisen- Boerenleenbank BA 2.125%, 10/13/15............................. 5,469 5,596,739 Netherlands Government Bond 0.250%, 09/12/15............................. 5,000 4,996,500 ----------- TOTAL NETHERLANDS.......................................... 15,932,958 ----------- NEW ZEALAND -- (2.7%) New Zealand Government Bond 6.000%, 04/15/15............................. NZD 6,000 5,296,627 ----------- NORWAY -- (2.6%) Kommunalbanken A.S. 2.375%, 01/19/16............................. 5,000 5,165,790 -----------
Face Amount^ Value+ ------- ------ (000) SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (7.8%) Asian Development Bank 2.500%, 03/15/16............................. $ 4,000 $ 4,152,100 Council Of Europe Development Bank 1.625%, 12/07/15............................. GBP 3,400 5,813,233 European Investment Bank 3.000%, 12/07/15............................. GBP 3,000 5,242,378 ----------- TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS................ 15,207,711 ----------- SWEDEN -- (4.1%) Nordea Bank AB 3.875%, 12/15/15............................. GBP 2,000 3,527,066 Svensk Exportkredit AB 0.625%, 09/04/15............................. 4,500 4,518,549 ----------- TOTAL SWEDEN................................................ 8,045,615 ----------- UNITED KINGDOM -- (3.6%) Ensco P.L.C. 3.250%, 03/15/16............................. 1,155 1,206,631 Royal Bank of Scotland Group P.L.C. 2.550%, 09/18/15............................. 700 714,964 United Kingdom Gilt 2.000%, 01/22/16............................. GBP 3,000 5,178,860 ----------- TOTAL UNITED KINGDOM........................................ 7,100,455 ----------- UNITED STATES -- (15.5%) Amgen, Inc. 4.850%, 11/18/14............................. 1,600 1,638,840 AT&T, Inc. 2.500%, 08/15/15............................. 1,606 1,645,724 Citigroup, Inc. 6.375%, 08/12/14............................. 762 774,107 CNA Financial Corp. 5.850%, 12/15/14............................. 1,000 1,032,604 Comerica, Inc. 3.000%, 09/16/15............................. 1,000 1,031,516 Constellation Energy Group, Inc. 4.550%, 06/15/15............................. 1,000 1,041,456 Enterprise Products Operating LLC 5.600%, 10/15/14............................. 500 511,204 EOG Resources, Inc. 2.500%, 02/01/16............................. 1,000 1,029,392 Express Scripts Holding Co. 2.100%, 02/12/15............................. 1,000 1,011,509 Ford Motor Credit Co. LLC 2.750%, 05/15/15............................. 1,000 1,021,175 Freeport-McMoRan Copper & Gold, Inc. 1.400%, 02/13/15............................. 500 502,634
10 ENHANCED U.S. LARGE COMPANY PORTFOLIO CONTINUED
Face Amount^ Value+ ------- ------ (000) UNITED STATES -- (Continued) Goldman Sachs Group, Inc. (The) 5.125%, 01/15/15............................. $ 894 $ 921,893 HSBC USA, Inc. 2.375%, 02/13/15............................. 1,000 1,015,914 International Paper Co. 5.300%, 04/01/15............................. 1,050 1,094,844 JPMorgan Chase & Co. 1.125%, 02/26/16............................. 1,500 1,506,189 Mondelez International, Inc. 4.125%, 02/09/16............................. 689 729,422 Morgan Stanley 4.200%, 11/20/14............................. 1,500 1,530,483 National City Corp. 4.900%, 01/15/15............................. 1,500 1,546,305 NextEra Energy Capital Holdings, Inc. 1.200%, 06/01/15............................. 1,000 1,005,927 Safeway, Inc. 5.625%, 08/15/14............................. 1,500 1,520,555 Time Warner Cable, Inc. 3.500%, 02/01/15............................. 1,000 1,020,485 Toyota Motor Credit Corp. 0.875%, 07/17/15............................. 2,000 2,008,616 WellPoint, Inc. 5.000%, 12/15/14............................. 1,572 1,616,634 Wells Fargo & Co. 1.500%, 07/01/15............................. 1,500 1,516,662 Williams Partners L.P. 3.800%, 02/15/15............................. 1,000 1,024,201
Face Amount^ Value+ ------- ------ (000) UNITED STATES -- (Continued) Xerox Corp. 4.250%, 02/15/15............................. $ 1,000 $ 1,029,112 ------------ TOTAL UNITED STATES.............................. 30,327,403 ------------ TOTAL BONDS...................................... 117,877,058 ------------ AGENCY OBLIGATIONS -- (6.1%) Federal National Mortgage Association 0.500%, 03/30/16............................. 12,000 12,017,724 ------------ U.S. TREASURY OBLIGATIONS -- (29.3%) U.S. Treasury Notes ^^ 2.625%, 02/29/16............................. 18,000 18,750,942 0.375%, 03/31/16............................. 6,500 6,499,747 0.250%, 04/15/16............................. 32,000 31,908,736 ------------ TOTAL U.S. TREASURY OBLIGATIONS.................. 57,159,425 ------------ Shares ------ - EXCHANGE-TRADED FUNDS -- (4.3%) UNITED STATES -- (4.3%) SPDR S&P 500 ETF Trust....................... 44,100 8,309,763 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $189,961,192)............................ $195,363,970 ============
Summary of the Portfolio's investments as of April 30, 2014, 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.............................. -- $ 6,768,037 -- $ 6,768,037 Canada................................. -- 8,298,655 -- 8,298,655 France................................. -- 6,460,636 -- 6,460,636 Germany................................ -- 5,134,439 -- 5,134,439 Japan.................................. -- 4,138,732 -- 4,138,732 Netherlands............................ -- 15,932,958 -- 15,932,958 New Zealand............................ -- 5,296,627 -- 5,296,627 Norway................................. -- 5,165,790 -- 5,165,790 Supranational Organization Obligations. -- 15,207,711 -- 15,207,711 Sweden................................. -- 8,045,615 -- 8,045,615 United Kingdom......................... -- 7,100,455 -- 7,100,455 United States.......................... -- 30,327,403 -- 30,327,403 Agency Obligations....................... -- 12,017,724 -- 12,017,724 U.S. Treasury Obligations................ -- 57,159,425 -- 57,159,425 Exchange-Traded Funds.................... $ 8,309,763 -- -- 8,309,763 Futures Contracts**...................... 9,210,168 -- -- 9,210,168 Forward Currency Contracts**............. -- (251,545) -- (251,545) ----------- ------------ -- ------------ TOTAL.................................... $17,519,931 $186,802,662 -- $204,322,593 =========== ============ == ============
**Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 11 U.S. LARGE CAP EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2014 (Unaudited)
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (88.6%) Consumer Discretionary -- (11.8%) * Amazon.com, Inc.................. 3,260 $ 991,464 0.5% # Comcast Corp. Class A............ 19,662 1,017,705 0.5% Home Depot, Inc. (The)........... 13,913 1,106,223 0.6% McDonald's Corp.................. 9,563 969,497 0.5% Walt Disney Co. (The)............ 16,094 1,276,898 0.6% Other Securities................. 20,972,759 10.6% ----------- ------ Total Consumer Discretionary......... 26,334,546 13.3% ----------- ------ Consumer Staples -- (7.4%) Altria Group, Inc................ 19,164 768,668 0.4% Coca-Cola Co. (The).............. 33,826 1,379,763 0.7% CVS Caremark Corp................ 10,891 791,994 0.4% PepsiCo, Inc..................... 14,898 1,279,589 0.7% Procter & Gamble Co. (The)....... 20,979 1,731,816 0.9% Wal-Mart Stores, Inc............. 19,844 1,581,765 0.8% Other Securities................. 8,969,055 4.5% ----------- ------ Total Consumer Staples............... 16,502,650 8.4% ----------- ------ Energy -- (10.5%) Chevron Corp..................... 21,017 2,638,054 1.3% ConocoPhillips................... 14,678 1,090,722 0.6% Exxon Mobil Corp................. 54,223 5,552,977 2.8% Occidental Petroleum Corp........ 8,655 828,716 0.4% Schlumberger, Ltd................ 11,950 1,213,522 0.6% Other Securities................. 12,036,220 6.1% ----------- ------ Total Energy......................... 23,360,211 11.8% ----------- ------ Financials -- (11.6%) American Express Co.............. 9,240 807,853 0.4% Bank of America Corp............. 76,492 1,158,089 0.6% * Berkshire Hathaway, Inc. Class B. 13,217 1,703,010 0.9% Citigroup, Inc................... 22,250 1,065,997 0.5% JPMorgan Chase & Co.............. 34,493 1,930,918 1.0% Wells Fargo & Co................. 44,451 2,206,548 1.1% Other Securities................. 16,960,947 8.6% ----------- ------ Total Financials..................... 25,833,362 13.1% ----------- ------ Health Care -- (10.7%) AbbVie, Inc...................... 15,096 786,200 0.4% Amgen, Inc....................... 6,929 774,316 0.4% * Gilead Sciences, Inc............. 14,615 1,147,131 0.6% Johnson & Johnson................ 24,589 2,490,620 1.3% Merck & Co., Inc................. 28,433 1,665,036 0.8% Pfizer, Inc...................... 58,972 1,844,644 0.9% UnitedHealth Group, Inc.......... 10,774 808,481 0.4% Other Securities................. 14,215,584 7.2% ----------- ------ Total Health Care.................... 23,732,012 12.0% ----------- ------ Industrials -- (11.8%) 3M Co............................ 6,041 840,243 0.4% Boeing Co. (The)................. 6,890 888,948 0.5% Caterpillar, Inc................. 7,328 772,371 0.4% General Electric Co.............. 89,722 2,412,625 1.2%
12 U.S. LARGE CAP EQUITY PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Industrials -- (Continued) Union Pacific Corp................................. 4,907 $ 934,440 0.5% United Technologies Corp........................... 8,698 1,029,234 0.5% Other Securities................................... 19,470,304 9.8% ------------ ------ Total Industrials........................................ 26,348,165 13.3% ------------ ------ Information Technology -- (16.0%) Apple, Inc......................................... 10,091 5,954,598 3.0% Cisco Systems, Inc................................. 39,850 920,933 0.5% * Google, Inc. Class A............................... 1,744 932,831 0.5% * Google, Inc. Class C............................... 1,744 918,495 0.5% Hewlett-Packard Co................................. 27,529 910,109 0.5% Intel Corp......................................... 62,176 1,659,477 0.8% # International Business Machines Corp............... 9,715 1,908,706 1.0% MasterCard, Inc. Class A........................... 10,160 747,268 0.4% Microsoft Corp..................................... 80,082 3,235,313 1.6% Oracle Corp........................................ 29,564 1,208,576 0.6% QUALCOMM, Inc...................................... 12,382 974,587 0.5% Visa, Inc. Class A................................. 3,637 736,893 0.4% Other Securities................................... 15,377,789 7.7% ------------ ------ Total Information Technology............................. 35,485,575 18.0% ------------ ------ Materials -- (4.1%) Dow Chemical Co. (The)............................. 13,687 682,981 0.3% Other Securities................................... 8,508,084 4.3% ------------ ------ Total Materials.......................................... 9,191,065 4.6% ------------ ------ Real Estate Investment Trusts -- (0.1%) Other Securities................................... 189,753 0.1% ------------ ------ Telecommunication Services -- (2.5%) AT&T, Inc.......................................... 65,485 2,337,815 1.2% Verizon Communications, Inc........................ 46,285 2,162,898 1.1% Other Securities................................... 995,328 0.5% ------------ ------ Total Telecommunication Services......................... 5,496,041 2.8% ------------ ------ Utilities -- (2.1%) Other Securities................................... 4,660,189 2.4% ------------ ------ TOTAL COMMON STOCKS...................................... 197,133,569 99.8% ------------ ------ RIGHTS/WARRANTS -- (0.0%) Other Securities................................... 243 0.0% ------------ ------ TEMPORARY CASH INVESTMENTS -- (0.3%) State Street Institutional Liquid Reserves, 0.074%. 663,556 663,556 0.3% ------------ ------ Shares/ Face Amount ------- - - (000) SECURITIES LENDING COLLATERAL -- (11.1%) (S)@ DFA Short Term Investment Fund..................... 2,124,238 24,577,432 12.5% ------------ ------ TOTAL INVESTMENTS -- (100.0%) (Cost $200,177,255).................................. $222,374,800 112.6% ============ ======
13 U.S. LARGE CAP EQUITY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, 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........ $ 26,334,546 -- -- $ 26,334,546 Consumer Staples.............. 16,502,650 -- -- 16,502,650 Energy........................ 23,360,211 -- -- 23,360,211 Financials.................... 25,833,362 -- -- 25,833,362 Health Care................... 23,732,012 -- -- 23,732,012 Industrials................... 26,348,165 -- -- 26,348,165 Information Technology........ 35,485,575 -- -- 35,485,575 Materials..................... 9,191,065 -- -- 9,191,065 Real Estate Investment Trusts. 189,753 -- -- 189,753 Telecommunication Services.... 5,496,041 -- -- 5,496,041 Utilities..................... 4,660,189 -- -- 4,660,189 Rights/Warrants................. -- $ 243 -- 243 Temporary Cash Investments...... 663,556 -- -- 663,556 Securities Lending Collateral... -- 24,577,432 -- 24,577,432 ------------ ----------- -- ------------ TOTAL........................... $197,797,125 $24,577,675 -- $222,374,800 ============ =========== == ============
See accompanying Notes to Financial Statements. 14 U.S. LARGE CAP VALUE PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2014 (Unaudited)
Value+ --------------- AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The U.S. Large Cap Value Series of The DFA Investment Trust Company..................... $13,614,025,722 --------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $8,645,898,065)............................. $13,614,025,722 ===============
Summary of the Portfolio's Master Fund's investments as of April 30, 2014, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 15 U.S. TARGETED VALUE PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2014 (Unaudited)
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (84.8%) Consumer Discretionary -- (11.3%) Dillard's, Inc. Class A................ 211,147 $ 20,677,626 0.4% # GameStop Corp. Class A................. 635,798 25,228,465 0.5% Graham Holdings Co. Class B............ 31,543 21,172,608 0.4% * Live Nation Entertainment, Inc......... 924,308 19,299,551 0.4% # Wendy's Co. (The)...................... 2,361,897 19,627,364 0.4% Other Securities....................... 552,101,846 11.1% -------------- ------ Total Consumer Discretionary............... 658,107,460 13.2% -------------- ------ Consumer Staples -- (2.8%) Other Securities....................... 161,380,997 3.2% -------------- ------ Energy -- (9.3%) Nabors Industries, Ltd................. 1,097,257 28,001,999 0.6% Patterson-UTI Energy, Inc.............. 740,622 24,092,434 0.5% * Rowan Cos. P.L.C. Class A.............. 691,059 21,367,544 0.4% Superior Energy Services, Inc.......... 633,713 20,861,832 0.4% Tesoro Corp............................ 301,142 16,951,283 0.3% # Western Refining, Inc.................. 390,087 16,968,784 0.3% Other Securities....................... 414,674,843 8.4% -------------- ------ Total Energy............................... 542,918,719 10.9% -------------- ------ Financials -- (21.0%) Allied World Assurance Co. Holdings AG. 172,670 18,594,832 0.4% * American Capital, Ltd.................. 1,547,412 23,195,706 0.5% American Financial Group, Inc.......... 465,774 27,215,175 0.6% Aspen Insurance Holdings, Ltd.......... 389,738 17,842,206 0.4% Assurant, Inc.......................... 471,974 31,815,767 0.6% Axis Capital Holdings, Ltd............. 606,646 27,754,054 0.6% CNO Financial Group, Inc............... 1,174,038 20,252,155 0.4% * E*TRADE Financial Corp................. 1,292,524 29,017,164 0.6% * Genworth Financial, Inc. Class A....... 2,131,699 38,050,827 0.8% # Legg Mason, Inc........................ 731,595 34,304,490 0.7% NASDAQ OMX Group, Inc. (The)........... 858,799 31,689,683 0.6% Old Republic International Corp........ 1,182,426 19,580,975 0.4% PartnerRe, Ltd......................... 321,083 33,842,148 0.7% # People's United Financial, Inc......... 1,543,963 22,047,792 0.5% Protective Life Corp................... 427,997 21,892,047 0.4% Reinsurance Group of America, Inc...... 387,086 29,693,367 0.6% Zions Bancorp.......................... 948,371 27,426,889 0.6% Other Securities....................... 772,754,830 15.3% -------------- ------ Total Financials........................... 1,226,970,107 24.7% -------------- ------ Health Care -- (5.3%) * Community Health Systems, Inc.......... 490,559 18,587,280 0.4% # Omnicare, Inc.......................... 597,354 35,405,172 0.7% Other Securities....................... 258,220,711 5.2% -------------- ------ Total Health Care.......................... 312,213,163 6.3% -------------- ------ Industrials -- (14.4%) AGCO Corp.............................. 303,952 16,930,126 0.3% AMERCO................................. 84,246 21,070,767 0.4% #* Avis Budget Group, Inc................. 665,365 34,991,545 0.7% Owens Corning.......................... 624,093 25,494,199 0.5%
16 U.S. TARGETED VALUE PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Industrials -- (Continued) Ryder System, Inc.................................. 309,611 $ 25,443,832 0.5% Trinity Industries, Inc............................ 485,295 36,426,243 0.7% # URS Corp........................................... 366,165 17,253,695 0.4% Other Securities................................... 663,328,586 13.4% -------------- ------ Total Industrials........................................ 840,938,993 16.9% -------------- ------ Information Technology -- (12.3%) * AOL, Inc........................................... 435,272 18,633,994 0.4% * Arrow Electronics, Inc............................. 510,838 28,990,056 0.6% Avnet, Inc......................................... 659,675 28,451,783 0.6% * Brocade Communications Systems, Inc................ 1,885,092 17,550,207 0.4% #* First Solar, Inc................................... 629,345 42,474,494 0.9% * Ingram Micro, Inc. Class A......................... 789,039 21,272,491 0.4% Marvell Technology Group, Ltd...................... 1,758,707 27,893,093 0.6% Other Securities................................... 532,902,393 10.6% -------------- ------ Total Information Technology............................. 718,168,511 14.5% -------------- ------ Materials -- (6.7%) Domtar Corp........................................ 183,622 17,142,950 0.4% Reliance Steel & Aluminum Co....................... 417,707 29,582,010 0.6% Rock-Tenn Co. Class A.............................. 176,292 16,855,278 0.3% Steel Dynamics, Inc................................ 945,483 17,273,974 0.4% # United States Steel Corp........................... 741,765 19,300,725 0.4% Other Securities................................... 290,976,974 5.8% -------------- ------ Total Materials.......................................... 391,131,911 7.9% -------------- ------ Other -- (0.0%) Other Securities................................... -- 0.0% -------------- ------ Real Estate Investment Trusts -- (0.1%) Other Securities................................... 3,457,010 0.1% -------------- ------ Telecommunication Services -- (1.1%) Other Securities................................... 62,739,830 1.3% -------------- ------ Utilities -- (0.5%) UGI Corp........................................... 449,464 20,985,474 0.4% Other Securities................................... 6,488,366 0.2% -------------- ------ Total Utilities.......................................... 27,473,840 0.6% -------------- ------ TOTAL COMMON STOCKS...................................... 4,945,500,541 99.6% -------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities................................... 682,686 0.0% -------------- ------ TEMPORARY CASH INVESTMENTS -- (0.3%) State Street Institutional Liquid Reserves, 0.074%. 15,510,701 15,510,701 0.3% -------------- ------ Shares/ Face Amount ------- - - (000) SECURITIES LENDING COLLATERAL -- (14.9%) (S)@ DFA Short Term Investment Fund..................... 74,872,147 866,270,744 17.4% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $4,310,166,489)................................ $5,827,964,672 117.3% ============== ======
17 U.S. TARGETED VALUE PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, 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........ $ 658,074,122 $ 33,338 -- $ 658,107,460 Consumer Staples.............. 161,380,997 -- -- 161,380,997 Energy........................ 542,918,719 -- -- 542,918,719 Financials.................... 1,226,962,595 7,512 -- 1,226,970,107 Health Care................... 312,001,682 211,481 -- 312,213,163 Industrials................... 840,937,331 1,662 -- 840,938,993 Information Technology........ 718,168,511 -- -- 718,168,511 Materials..................... 391,131,911 -- -- 391,131,911 Other......................... -- -- -- -- Real Estate Investment Trusts. 3,457,010 -- -- 3,457,010 Telecommunication Services.... 62,739,830 -- -- 62,739,830 Utilities..................... 27,473,840 -- -- 27,473,840 Rights/Warrants................. -- 682,686 -- 682,686 Temporary Cash Investments...... 15,510,701 -- -- 15,510,701 Securities Lending Collateral... -- 866,270,744 -- 866,270,744 -------------- ------------ -- -------------- TOTAL........................... $4,960,757,249 $867,207,423 -- $5,827,964,672 ============== ============ == ==============
See accompanying Notes to Financial Statements. 18 U.S. SMALL CAP VALUE PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2014 (Unaudited)
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (83.9%) Consumer Discretionary -- (12.3%) * Helen of Troy, Ltd.......................... 842,455 $ 52,821,928 0.5% #* Iconix Brand Group, Inc..................... 2,048,461 87,059,592 0.8% * Live Nation Entertainment, Inc.............. 2,763,163 57,694,843 0.5% Penske Automotive Group, Inc................ 1,250,616 57,353,250 0.5% # Rent-A-Center, Inc.......................... 1,812,734 52,949,960 0.5% # Scholastic Corp............................. 1,407,493 46,320,595 0.4% * Skechers U.S.A., Inc. Class A............... 1,138,657 46,673,550 0.4% Other Securities............................ 1,166,377,767 10.8% -------------- ------ Total Consumer Discretionary.................... 1,567,251,485 14.4% -------------- ------ Consumer Staples -- (2.6%) # Fresh Del Monte Produce, Inc................ 1,668,743 48,209,985 0.4% * Seaboard Corp............................... 18,588 45,317,544 0.4% # Universal Corp.............................. 830,795 45,336,483 0.4% Other Securities............................ 188,473,110 1.8% -------------- ------ Total Consumer Staples.......................... 327,337,122 3.0% -------------- ------ Energy -- (10.2%) # Bristow Group, Inc.......................... 1,350,016 103,681,229 1.0% # Exterran Holdings, Inc...................... 2,367,691 101,858,067 0.9% #* Helix Energy Solutions Group, Inc........... 3,591,562 86,341,150 0.8% #* Hornbeck Offshore Services, Inc............. 1,311,935 54,353,467 0.5% #* SEACOR Holdings, Inc........................ 572,132 47,710,087 0.4% # Western Refining, Inc....................... 1,084,054 47,156,349 0.4% Other Securities............................ 861,451,752 7.9% -------------- ------ Total Energy.................................... 1,302,552,101 11.9% -------------- ------ Financials -- (21.5%) # American Equity Investment Life Holding Co.. 2,111,537 49,241,043 0.5% Argo Group International Holdings, Ltd...... 1,019,162 45,271,176 0.4% Aspen Insurance Holdings, Ltd............... 1,316,288 60,259,665 0.6% CNO Financial Group, Inc.................... 8,473,636 146,170,221 1.3% Endurance Specialty Holdings, Ltd........... 1,345,668 68,386,848 0.6% # First American Financial Corp............... 1,825,531 48,559,125 0.5% Hanover Insurance Group, Inc. (The)......... 1,120,492 65,492,757 0.6% Kemper Corp................................. 1,652,800 65,136,848 0.6% * MBIA, Inc................................... 6,187,865 74,996,924 0.7% # Montpelier Re Holdings, Ltd................. 2,155,898 65,927,361 0.6% #* PHH Corp.................................... 2,038,158 48,447,016 0.5% Platinum Underwriters Holdings, Ltd......... 978,955 61,390,268 0.6% Susquehanna Bancshares, Inc................. 5,950,068 61,642,704 0.6% # Umpqua Holdings Corp........................ 4,077,772 67,813,348 0.6% Washington Federal, Inc..................... 2,231,745 48,161,057 0.5% Webster Financial Corp...................... 2,295,144 69,175,640 0.6% # Wintrust Financial Corp..................... 1,388,818 62,246,823 0.6% Other Securities............................ 1,646,540,295 14.8% -------------- ------ Total Financials................................ 2,754,859,119 25.2% -------------- ------ Health Care -- (4.4%) * LifePoint Hospitals, Inc.................... 1,892,213 105,812,551 1.0% Other Securities............................ 460,081,866 4.2% -------------- ------ Total Health Care............................... 565,894,417 5.2% -------------- ------
19 U.S. SMALL CAP VALUE PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Industrials -- (15.6%) AMERCO............................................. 343,691 $ 85,960,556 0.8% * Avis Budget Group, Inc............................. 3,370,535 177,256,436 1.6% * Esterline Technologies Corp........................ 1,145,345 124,865,512 1.2% # GATX Corp.......................................... 1,763,892 115,764,232 1.1% #* JetBlue Airways Corp............................... 10,804,486 85,409,462 0.8% # Mobile Mini, Inc................................... 1,175,105 51,916,139 0.5% Other Securities................................... 1,358,678,571 12.3% --------------- ------ Total Industrials........................................ 1,999,850,908 18.3% --------------- ------ Information Technology -- (11.8%) * Benchmark Electronics, Inc......................... 2,299,623 53,305,261 0.5% #* CACI International, Inc. Class A................... 827,960 57,667,414 0.5% # Convergys Corp..................................... 3,909,664 84,214,163 0.8% #* Fairchild Semiconductor International, Inc......... 3,649,415 46,457,053 0.4% * SYNNEX Corp........................................ 1,217,746 82,051,726 0.8% * Tech Data Corp..................................... 947,224 59,192,028 0.5% * TriQuint Semiconductor, Inc........................ 3,614,088 51,247,768 0.5% # Vishay Intertechnology, Inc........................ 4,983,062 70,859,142 0.7% Other Securities................................... 1,006,139,840 9.1% --------------- ------ Total Information Technology............................. 1,511,134,395 13.8% --------------- ------ Materials -- (5.1%) * Graphic Packaging Holding Co....................... 5,789,957 59,404,959 0.5% #* Louisiana-Pacific Corp............................. 4,511,484 73,943,223 0.7% Other Securities................................... 524,216,549 4.8% --------------- ------ Total Materials.......................................... 657,564,731 6.0% --------------- ------ Other -- (0.0%) Other Securities................................... -- 0.0% --------------- ------ Real Estate Investment Trusts -- (0.1%) Other Securities................................... 10,368,599 0.1% --------------- ------ Telecommunication Services -- (0.2%) Other Securities................................... 27,904,905 0.3% --------------- ------ Utilities -- (0.1%) Other Securities................................... 7,480,762 0.1% --------------- ------ TOTAL COMMON STOCKS...................................... 10,732,198,544 98.3% --------------- ------ PREFERRED STOCKS -- (0.0%) Other -- (0.0%) Other Securities................................... -- 0.0% --------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities................................... 2,716,551 0.0% --------------- ------ TEMPORARY CASH INVESTMENTS -- (1.0%) State Street Institutional Liquid Reserves, 0.074%. 131,694,550 131,694,550 1.2% --------------- ------ Shares/ Face Amount ------- - (000) SECURITIES LENDING COLLATERAL -- (15.1%) (S)@ DFA Short Term Investment Fund..................... 166,620,285 1,927,796,697 17.7% --------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $9,487,737,808)................................ $12,794,406,342 117.2% =============== ======
20 U.S. SMALL CAP VALUE PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, 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........ $ 1,567,239,203 $ 12,282 -- $ 1,567,251,485 Consumer Staples.............. 327,337,122 -- -- 327,337,122 Energy........................ 1,302,552,101 -- -- 1,302,552,101 Financials.................... 2,754,809,216 49,903 -- 2,754,859,119 Health Care................... 564,629,295 1,265,122 -- 565,894,417 Industrials................... 1,999,841,403 9,505 -- 1,999,850,908 Information Technology........ 1,511,134,395 -- -- 1,511,134,395 Materials..................... 657,564,731 -- -- 657,564,731 Other......................... -- -- -- -- Real Estate Investment Trusts. 10,368,599 -- -- 10,368,599 Telecommunication Services.... 27,904,905 -- -- 27,904,905 Utilities..................... 7,480,762 -- -- 7,480,762 Preferred Stocks Other......................... -- -- -- -- Rights/Warrants -- 2,716,551 -- 2,716,551 Temporary Cash Investments...... 131,694,550 -- -- 131,694,550 Securities Lending Collateral -- 1,927,796,697 -- 1,927,796,697 Futures Contracts**............. (4,123,080) -- -- (4,123,080) --------------- -------------- -- --------------- TOTAL........................... $10,858,433,202 $1,931,850,060 -- $12,790,283,262 =============== ============== == ===============
**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. 21 U.S. CORE EQUITY 1 PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2014 (Unaudited)
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (91.7%) Consumer Discretionary -- (12.7%) * Amazon.com, Inc................... 117,726 $ 35,804,008 0.4% Comcast Corp. Class A............. 754,125 39,033,510 0.4% Home Depot, Inc. (The)............ 418,549 33,278,831 0.4% McDonald's Corp................... 366,308 37,136,305 0.4% Walt Disney Co. (The)............. 447,208 35,481,483 0.4% Other Securities.................. 1,076,715,488 11.8% -------------- ----- Total Consumer Discretionary.......... 1,257,449,625 13.8% -------------- ----- Consumer Staples -- (6.9%) Altria Group, Inc................. 732,996 29,400,469 0.3% Coca-Cola Co. (The)............... 1,231,353 50,226,889 0.6% CVS Caremark Corp................. 420,555 30,582,760 0.3% PepsiCo, Inc...................... 548,723 47,129,818 0.5% Philip Morris International, Inc.. 379,444 32,415,901 0.4% Procter & Gamble Co. (The)........ 620,688 51,237,794 0.6% Wal-Mart Stores, Inc.............. 614,660 48,994,549 0.5% Other Securities.................. 393,831,831 4.3% -------------- ----- Total Consumer Staples................ 683,820,011 7.5% -------------- ----- Energy -- (9.8%) Chevron Corp...................... 731,435 91,809,721 1.0% ConocoPhillips.................... 459,670 34,158,078 0.4% Exxon Mobil Corp.................. 1,886,883 193,235,688 2.1% Occidental Petroleum Corp......... 304,289 29,135,672 0.3% Schlumberger, Ltd................. 337,427 34,265,712 0.4% Other Securities.................. 585,460,350 6.5% -------------- ----- Total Energy.......................... 968,065,221 10.7% -------------- ----- Financials -- (14.4%) American Express Co............... 342,243 29,922,306 0.3% Bank of America Corp.............. 3,840,087 58,138,917 0.7% * Berkshire Hathaway, Inc. Class B.. 406,267 52,347,503 0.6% Citigroup, Inc.................... 1,034,416 49,558,871 0.6% JPMorgan Chase & Co............... 1,360,498 76,160,678 0.8% U.S. Bancorp...................... 640,200 26,107,356 0.3% Wells Fargo & Co.................. 1,811,112 89,903,600 1.0% Other Securities.................. 1,042,247,501 11.4% -------------- ----- Total Financials...................... 1,424,386,732 15.7% -------------- ----- Health Care -- (10.4%) AbbVie, Inc....................... 586,332 30,536,171 0.3% * Gilead Sciences, Inc.............. 585,923 45,989,096 0.5% Johnson & Johnson................. 871,648 88,289,226 1.0% Merck & Co., Inc.................. 801,185 46,917,394 0.5% Pfizer, Inc....................... 2,295,798 71,812,561 0.8% UnitedHealth Group, Inc........... 363,224 27,256,329 0.3% Other Securities.................. 709,823,334 7.8% -------------- ----- Total Health Care..................... 1,020,624,111 11.2% -------------- ----- Industrials -- (12.4%) 3M Co............................. 232,760 32,374,588 0.4% Boeing Co. (The).................. 264,277 34,097,019 0.4% General Electric Co............... 3,214,914 86,449,037 1.0%
22 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Industrials -- (Continued) Union Pacific Corp................................. 165,151 $ 31,449,705 0.4% United Technologies Corp........................... 222,603 26,340,613 0.3% Other Securities................................... 1,016,675,164 11.0% -------------- ----- Total Industrials...................................... 1,227,386,126 13.5% -------------- ----- Information Technology -- (16.0%) Apple, Inc......................................... 319,378 188,461,764 2.1% Cisco Systems, Inc................................. 1,871,862 43,258,731 0.5% * Facebook, Inc. Class A............................. 459,531 27,470,763 0.3% * Google, Inc. Class A............................... 68,974 36,892,813 0.4% * Google, Inc. Class C............................... 68,974 36,325,847 0.4% Hewlett-Packard Co................................. 931,583 30,798,134 0.4% Intel Corp......................................... 2,209,569 58,973,397 0.7% International Business Machines Corp............... 334,798 65,777,763 0.7% MasterCard, Inc. Class A........................... 384,167 28,255,483 0.3% Microsoft Corp..................................... 2,517,862 101,721,625 1.1% Oracle Corp........................................ 1,063,571 43,478,782 0.5% QUALCOMM, Inc...................................... 411,597 32,396,800 0.4% Visa, Inc. Class A................................. 127,752 25,883,833 0.3% Other Securities................................... 859,943,985 9.3% -------------- ----- Total Information Technology........................... 1,579,639,720 17.4% -------------- ----- Materials -- (4.5%) Other Securities................................... 442,316,665 4.9% -------------- ----- Other -- (0.0%) Other Securities................................... -- 0.0% -------------- ----- Real Estate Investment Trusts -- (0.0%) Other Securities................................... 1,984,308 0.0% -------------- ----- Telecommunication Services -- (2.0%) AT&T, Inc.......................................... 2,012,756 71,855,389 0.8% Verizon Communications, Inc........................ 1,347,334 62,960,918 0.7% Other Securities................................... 55,965,589 0.6% -------------- ----- Total Telecommunication Services....................... 190,781,896 2.1% -------------- ----- Utilities -- (2.6%) Other Securities................................... 257,742,240 2.8% -------------- ----- TOTAL COMMON STOCKS.................................... 9,054,196,655 99.6% -------------- ----- PREFERRED STOCKS -- (0.0%) Other -- (0.0%) Other Securities................................... -- 0.0% -------------- ----- RIGHTS/WARRANTS -- (0.0%) Other Securities................................... 153,458 0.0% -------------- ----- TEMPORARY CASH INVESTMENTS -- (0.3%) State Street Institutional Liquid Reserves, 0.074%. 30,400,127 30,400,127 0.3% -------------- -----
23 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED
Shares/ Face Percentage Amount Value+ of Net Assets** ------- ------ --------------- (000) SECURITIES LENDING COLLATERAL -- (8.0%) (S)@ DFA Short Term Investment Fund.. 68,556,843 $ 793,202,676 8.8% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $7,040,623,421).............. $9,877,952,916 108.7% ============== ======
Summary of the Portfolio's investments as of April 30, 2014, 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........ $1,257,420,628 $ 28,997 -- $1,257,449,625 Consumer Staples.............. 683,820,011 -- -- 683,820,011 Energy........................ 968,065,221 -- -- 968,065,221 Financials.................... 1,424,383,853 2,879 -- 1,424,386,732 Health Care................... 1,020,600,980 23,131 -- 1,020,624,111 Industrials................... 1,227,385,870 256 -- 1,227,386,126 Information Technology........ 1,579,639,720 -- -- 1,579,639,720 Materials..................... 442,316,665 -- -- 442,316,665 Other......................... -- -- -- -- Real Estate Investment Trusts. 1,984,308 -- -- 1,984,308 Telecommunication Services.... 190,781,896 -- -- 190,781,896 Utilities..................... 257,742,240 -- -- 257,742,240 Preferred Stocks Other......................... -- -- -- -- Rights/Warrants................. -- 153,458 -- 153,458 Temporary Cash Investments...... 30,400,127 -- -- 30,400,127 Securities Lending Collateral... -- 793,202,676 -- 793,202,676 -------------- ------------ -- -------------- TOTAL........................... $9,084,541,519 $793,411,397 -- $9,877,952,916 ============== ============ == ==============
See accompanying Notes to Financial Statements. 24 U.S. CORE EQUITY 2 PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2014 (Unaudited)
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (91.0%) Consumer Discretionary -- (11.9%) Comcast Corp. Class A.................. 1,101,420 $ 57,009,499 0.5% Time Warner, Inc....................... 517,992 34,425,748 0.3% Twenty-First Century Fox, Inc. Class A. 846,333 27,099,583 0.2% Walt Disney Co. (The).................. 830,524 65,893,774 0.6% Other Securities....................... 1,314,336,060 11.5% -------------- ----- Total Consumer Discretionary............... 1,498,764,664 13.1% -------------- ----- Consumer Staples -- (5.7%) Coca-Cola Co. (The).................... 710,972 29,000,548 0.3% CVS Caremark Corp...................... 680,040 49,452,509 0.4% Mondelez International, Inc. Class A... 938,871 33,470,751 0.3% PepsiCo, Inc........................... 321,785 27,638,114 0.3% Procter & Gamble Co. (The)............. 646,219 53,345,378 0.5% Wal-Mart Stores, Inc................... 773,229 61,634,084 0.5% Other Securities....................... 456,824,401 3.9% -------------- ----- Total Consumer Staples..................... 711,365,785 6.2% -------------- ----- Energy -- (11.2%) Anadarko Petroleum Corp................ 289,878 28,703,720 0.3% Chevron Corp........................... 1,126,532 141,402,297 1.2% ConocoPhillips......................... 719,368 53,456,236 0.5% EOG Resources, Inc..................... 313,746 30,747,108 0.3% Exxon Mobil Corp....................... 3,041,760 311,506,642 2.7% Occidental Petroleum Corp.............. 470,771 45,076,323 0.4% Phillips 66............................ 330,183 27,477,829 0.2% Schlumberger, Ltd...................... 324,889 32,992,478 0.3% Other Securities....................... 741,633,360 6.4% -------------- ----- Total Energy............................... 1,412,995,993 12.3% -------------- ----- Financials -- (16.9%) American International Group, Inc...... 794,955 42,235,959 0.4% Ameriprise Financial, Inc.............. 219,392 24,490,729 0.2% Bank of America Corp................... 5,487,830 83,085,746 0.7% * Berkshire Hathaway, Inc. Class B....... 232,188 29,917,424 0.3% Citigroup, Inc......................... 1,691,954 81,061,516 0.7% Goldman Sachs Group, Inc. (The)........ 245,156 39,180,832 0.4% JPMorgan Chase & Co.................... 2,211,559 123,803,073 1.1% U.S. Bancorp........................... 1,031,884 42,080,230 0.4% Wells Fargo & Co....................... 2,946,809 146,279,599 1.3% Other Securities....................... 1,511,570,030 13.0% -------------- ----- Total Financials........................... 2,123,705,138 18.5% -------------- ----- Health Care -- (9.8%) Amgen, Inc............................. 259,507 28,999,907 0.3% * Express Scripts Holding Co............. 462,397 30,786,392 0.3% Johnson & Johnson...................... 664,537 67,310,953 0.6% Merck & Co., Inc....................... 1,401,705 82,083,845 0.7% Pfizer, Inc............................ 3,831,803 119,858,798 1.1% UnitedHealth Group, Inc................ 576,403 43,253,281 0.4% Zoetis, Inc............................ 936,170 28,328,504 0.3% Other Securities....................... 829,025,218 7.0% -------------- ----- Total Health Care.......................... 1,229,646,898 10.7% -------------- -----
25 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Industrials -- (12.8%) Caterpillar, Inc................................... 237,421 $ 25,024,173 0.2% General Electric Co................................ 5,351,514 143,902,211 1.3% Union Pacific Corp................................. 267,041 50,852,618 0.5% Other Securities................................... 1,391,070,871 12.0% --------------- ----- Total Industrials...................................... 1,610,849,873 14.0% --------------- ----- Information Technology -- (14.0%) Apple, Inc......................................... 318,984 188,229,269 1.7% Cisco Systems, Inc................................. 3,101,253 71,669,957 0.6% EMC Corp........................................... 1,136,231 29,314,760 0.3% Hewlett-Packard Co................................. 1,806,885 59,735,618 0.5% Intel Corp......................................... 3,577,014 95,470,504 0.8% International Business Machines Corp............... 159,105 31,259,359 0.3% * Micron Technology, Inc............................. 1,086,356 28,375,619 0.3% Microsoft Corp..................................... 1,623,715 65,598,086 0.6% Oracle Corp........................................ 676,733 27,664,845 0.3% Visa, Inc. Class A................................. 196,429 39,798,480 0.4% Other Securities................................... 1,120,511,351 9.5% --------------- ----- Total Information Technology........................... 1,757,627,848 15.3% --------------- ----- Materials -- (4.7%) Dow Chemical Co. (The)............................. 627,320 31,303,268 0.3% Other Securities................................... 555,457,079 4.8% --------------- ----- Total Materials........................................ 586,760,347 5.1% --------------- ----- Other -- (0.0%) Other Securities................................... -- 0.0% --------------- ----- Real Estate Investment Trusts -- (0.0%) Other Securities................................... 547,524 0.0% --------------- ----- Telecommunication Services -- (2.2%) AT&T, Inc.......................................... 3,399,091 121,347,549 1.1% Verizon Communications, Inc........................ 1,787,444 83,527,258 0.7% Other Securities................................... 73,034,442 0.6% --------------- ----- Total Telecommunication Services....................... 277,909,249 2.4% --------------- ----- Utilities -- (1.8%) Other Securities................................... 231,094,679 2.0% --------------- ----- TOTAL COMMON STOCKS.................................... 11,441,267,998 99.6% --------------- ----- PREFERRED STOCKS -- (0.0%) Other -- (0.0%) Other Securities................................... -- 0.0% --------------- ----- RIGHTS/WARRANTS -- (0.0%) Other Securities................................... 276,051 0.0% --------------- ----- TEMPORARY CASH INVESTMENTS -- (0.5%) State Street Institutional Liquid Reserves, 0.074%. 60,382,618 60,382,618 0.5% --------------- -----
26 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED
Shares/ Face Percentage Amount Value+ of Net Assets** ------- ------ --------------- (000) SECURITIES LENDING COLLATERAL -- (8.5%) (S)@ DFA Short Term Investment Fund.. 92,686,728 $ 1,072,385,449 9.3% --------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $8,675,132,024)........... $12,574,312,116 109.4% =============== ======
Summary of the Portfolio's investments as of April 30, 2014, 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........ $ 1,498,711,426 $ 53,238 -- $ 1,498,764,664 Consumer Staples.............. 711,365,785 -- -- 711,365,785 Energy........................ 1,412,995,993 -- -- 1,412,995,993 Financials.................... 2,123,698,674 6,464 -- 2,123,705,138 Health Care................... 1,229,592,912 53,986 -- 1,229,646,898 Industrials................... 1,610,849,230 643 -- 1,610,849,873 Information Technology........ 1,757,627,848 -- -- 1,757,627,848 Materials..................... 586,760,347 -- -- 586,760,347 Other......................... -- -- -- -- Real Estate Investment Trusts. 547,524 -- -- 547,524 Telecommunication Services.... 277,909,249 -- -- 277,909,249 Utilities..................... 231,094,679 -- -- 231,094,679 Preferred Stocks Other......................... -- -- -- -- Rights/Warrants................. -- 276,051 -- 276,051 Temporary Cash Investments...... 60,382,618 -- -- 60,382,618 Securities Lending Collateral... -- 1,072,385,449 -- 1,072,385,449 --------------- -------------- -- --------------- TOTAL........................... $11,501,536,285 $1,072,775,831 -- $12,574,312,116 =============== ============== == ===============
See accompanying Notes to Financial Statements. 27 U.S. VECTOR EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2014 (Unaudited)
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (88.2%) Consumer Discretionary -- (11.9%) Comcast Corp. Class A......................... 336,814 $ 17,433,493 0.6% Walt Disney Co. (The)......................... 118,253 9,382,193 0.3% Other Securities.............................. 401,632,968 12.5% ------------ ----- Total Consumer Discretionary...................... 428,448,654 13.4% ------------ ----- Consumer Staples -- (4.3%) CVS Caremark Corp............................. 113,204 8,232,195 0.3% Mondelez International, Inc. Class A.......... 234,487 8,359,462 0.3% Procter & Gamble Co. (The).................... 105,525 8,711,089 0.3% Tyson Foods, Inc. Class A..................... 164,162 6,889,879 0.2% Wal-Mart Stores, Inc.......................... 102,008 8,131,058 0.3% Other Securities.............................. 113,596,910 3.4% ------------ ----- Total Consumer Staples............................ 153,920,593 4.8% ------------ ----- Energy -- (11.3%) Anadarko Petroleum Corp....................... 78,236 7,746,929 0.3% Chesapeake Energy Corp........................ 411,342 11,826,082 0.4% Chevron Corp.................................. 304,598 38,233,141 1.2% ConocoPhillips................................ 202,245 15,028,826 0.5% Exxon Mobil Corp.............................. 436,562 44,708,314 1.4% Nabors Industries, Ltd........................ 272,425 6,952,286 0.2% Occidental Petroleum Corp..................... 138,481 13,259,556 0.4% Phillips 66................................... 91,273 7,595,739 0.2% Tesoro Corp................................... 131,157 7,382,828 0.2% * Weatherford International, Ltd................ 429,641 9,022,461 0.3% Other Securities.............................. 247,244,735 7.7% ------------ ----- Total Energy...................................... 409,000,897 12.8% ------------ ----- Financials -- (20.5%) American Financial Group, Inc................. 125,705 7,344,943 0.2% American International Group, Inc............. 128,798 6,843,038 0.2% Ameriprise Financial, Inc..................... 68,100 7,602,003 0.3% Bank of America Corp.......................... 1,375,380 20,823,253 0.7% Citigroup, Inc................................ 394,453 18,898,243 0.6% Goldman Sachs Group, Inc. (The)............... 52,050 8,318,631 0.3% Hartford Financial Services Group, Inc. (The). 282,497 10,133,167 0.3% JPMorgan Chase & Co........................... 570,669 31,946,051 1.0% Lincoln National Corp......................... 152,570 7,401,171 0.2% # M&T Bank Corp................................. 62,325 7,604,273 0.3% MetLife, Inc.................................. 134,576 7,045,054 0.2% Principal Financial Group, Inc................ 157,281 7,367,042 0.2% Regions Financial Corp........................ 681,506 6,910,471 0.2% Wells Fargo & Co.............................. 664,411 32,981,362 1.0% Other Securities.............................. 560,785,700 17.5% ------------ ----- Total Financials.................................. 742,004,402 23.2% ------------ ----- Health Care -- (7.1%) Johnson & Johnson............................. 90,092 9,125,419 0.3% Merck & Co., Inc.............................. 149,737 8,768,599 0.3% Pfizer, Inc................................... 459,005 14,357,676 0.5% Other Securities.............................. 223,631,656 6.9% ------------ ----- Total Health Care................................. 255,883,350 8.0% ------------ -----
28 U.S. VECTOR EQUITY PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Industrials -- (12.6%) General Electric Co................................ 773,205 $ 20,791,482 0.7% Southwest Airlines Co.............................. 457,205 11,050,645 0.4% Union Pacific Corp................................. 38,051 7,246,052 0.2% Other Securities................................... 415,579,849 12.9% -------------- ------ Total Industrials........................................ 454,668,028 14.2% -------------- ------ Information Technology -- (12.2%) Apple, Inc......................................... 44,049 25,992,874 0.8% Fidelity National Information Services, Inc........ 135,134 7,220,210 0.2% Hewlett-Packard Co................................. 265,841 8,788,703 0.3% IAC/InterActiveCorp................................ 115,491 7,654,743 0.3% Intel Corp......................................... 534,019 14,252,967 0.5% * Micron Technology, Inc............................. 569,578 14,877,377 0.5% Visa, Inc. Class A................................. 37,703 7,639,005 0.3% Western Digital Corp............................... 122,881 10,829,503 0.4% Xerox Corp......................................... 731,469 8,843,460 0.3% Other Securities................................... 333,621,346 10.1% -------------- ------ Total Information Technology............................. 439,720,188 13.7% -------------- ------ Materials -- (5.3%) Alcoa, Inc......................................... 555,703 7,485,319 0.3% Other Securities................................... 184,217,343 5.7% -------------- ------ Total Materials.......................................... 191,702,662 6.0% -------------- ------ Other -- (0.0%) Other Securities................................... -- 0.0% -------------- ------ Real Estate Investment Trusts -- (0.0%) Other Securities................................... 348,570 0.0% -------------- ------ Telecommunication Services -- (1.9%) AT&T, Inc.......................................... 796,344 28,429,481 0.9% # Frontier Communications Corp....................... 1,416,600 8,428,770 0.3% Verizon Communications, Inc........................ 259,639 12,132,931 0.4% Other Securities................................... 21,569,670 0.6% -------------- ------ Total Telecommunication Services......................... 70,560,852 2.2% -------------- ------ Utilities -- (1.1%) Other Securities................................... 40,459,179 1.3% -------------- ------ TOTAL COMMON STOCKS...................................... 3,186,717,375 99.6% -------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities................................... 115,879 0.0% -------------- ------ TEMPORARY CASH INVESTMENTS -- (0.1%) State Street Institutional Liquid Reserves, 0.074%. 4,430,137 4,430,137 0.1% -------------- ------ Shares/ Face Amount ------- (000) SECURITIES LENDING COLLATERAL -- (11.7%) (S)@ DFA Short Term Investment Fund..................... 36,602,480 423,490,694 13.2% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $2,520,716,777)................................ $3,614,754,085 112.9% ============== ======
29 U.S. VECTOR EQUITY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, 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........ $ 428,433,899 $ 14,755 -- $ 428,448,654 Consumer Staples.............. 153,920,593 -- -- 153,920,593 Energy........................ 409,000,897 -- -- 409,000,897 Financials.................... 742,001,713 2,689 -- 742,004,402 Health Care................... 255,844,065 39,285 -- 255,883,350 Industrials................... 454,667,543 485 -- 454,668,028 Information Technology........ 439,720,188 -- -- 439,720,188 Materials..................... 191,702,662 -- -- 191,702,662 Other......................... -- -- -- -- Real Estate Investment Trusts. 348,570 -- -- 348,570 Telecommunication Services.... 70,560,852 -- -- 70,560,852 Utilities..................... 40,459,179 -- -- 40,459,179 Rights/Warrants................. -- 115,879 -- 115,879 Temporary Cash Investments...... 4,430,137 -- -- 4,430,137 Securities Lending Collateral... -- 423,490,694 -- 423,490,694 -------------- ------------ -- -------------- TOTAL........................... $3,191,090,298 $423,663,787 -- $3,614,754,085 ============== ============ == ==============
See accompanying Notes to Financial Statements. 30 U.S. SMALL CAP PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2014 (Unaudited)
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (79.8%) Consumer Discretionary -- (13.9%) * Buffalo Wild Wings, Inc........................ 154,231 $ 22,536,234 0.3% # Cheesecake Factory, Inc. (The)................. 395,850 17,769,706 0.2% #* Deckers Outdoor Corp........................... 252,472 19,932,664 0.2% Men's Wearhouse, Inc. (The).................... 366,998 17,388,365 0.2% # Pool Corp...................................... 297,781 17,575,035 0.2% # Thor Industries, Inc........................... 280,232 17,057,722 0.2% Other Securities............................... 1,344,069,552 16.1% -------------- ------ Total Consumer Discretionary....................... 1,456,329,278 17.4% -------------- ------ Consumer Staples -- (3.1%) Other Securities............................... 324,070,330 3.9% -------------- ------ Energy -- (5.0%) Bristow Group, Inc............................. 240,116 18,440,909 0.2% #* Carrizo Oil & Gas, Inc......................... 362,513 19,945,465 0.2% # Exterran Holdings, Inc......................... 427,513 18,391,609 0.2% # Western Refining, Inc.......................... 474,279 20,631,136 0.3% Other Securities............................... 442,818,280 5.3% -------------- ------ Total Energy....................................... 520,227,399 6.2% -------------- ------ Financials -- (13.2%) Aspen Insurance Holdings, Ltd.................. 393,938 18,034,482 0.2% # Bank of Hawaii Corp............................ 311,016 17,158,753 0.2% CNO Financial Group, Inc....................... 978,475 16,878,694 0.2% PacWest Bancorp................................ 529,478 20,845,549 0.3% #* Portfolio Recovery Associates, Inc............. 311,847 17,822,056 0.2% * Stifel Financial Corp.......................... 367,302 17,178,715 0.2% # TCF Financial Corp............................. 1,122,858 17,628,871 0.2% Webster Financial Corp......................... 593,754 17,895,746 0.2% Other Securities............................... 1,241,022,930 14.8% -------------- ------ Total Financials................................... 1,384,465,796 16.5% -------------- ------ Health Care -- (7.5%) * Charles River Laboratories International, Inc.. 349,228 18,760,528 0.2% #* Myriad Genetics, Inc........................... 502,527 21,211,665 0.3% STERIS Corp.................................... 351,014 16,866,223 0.2% * VCA Antech, Inc................................ 590,362 18,082,788 0.2% Other Securities............................... 708,767,643 8.4% -------------- ------ Total Health Care.................................. 783,688,847 9.3% -------------- ------ Industrials -- (14.7%) # Alliant Techsystems, Inc....................... 169,067 24,382,843 0.3% AMERCO......................................... 73,355 18,346,819 0.2% #* Avis Budget Group, Inc......................... 435,404 22,897,896 0.3% Deluxe Corp.................................... 335,346 18,427,263 0.2% # EnerSys, Inc................................... 269,950 18,243,221 0.2% * Esterline Technologies Corp.................... 177,418 19,342,110 0.2% Huntington Ingalls Industries, Inc............. 227,971 23,481,013 0.3% # Landstar System, Inc........................... 277,211 17,461,521 0.2% # Manitowoc Co., Inc. (The)...................... 789,124 25,078,361 0.3% #* MasTec, Inc.................................... 498,398 19,726,593 0.2% * Middleby Corp. (The)........................... 73,604 18,583,538 0.2%
31 U.S. SMALL CAP PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Industrials -- (Continued) * Spirit Airlines, Inc................ 478,914 $ 27,221,472 0.3% Other Securities.................... 1,283,126,117 15.4% --------------- ------ Total Industrials......................... 1,536,318,767 18.3% --------------- ------ Information Technology -- (14.7%) Anixter International, Inc.......... 180,205 17,656,486 0.2% * ARRIS Group, Inc.................... 747,557 19,503,762 0.2% Belden, Inc......................... 250,180 18,465,786 0.2% #* Finisar Corp........................ 716,199 18,728,604 0.2% # Lexmark International, Inc. Class A. 437,283 18,803,169 0.2% * RF Micro Devices, Inc............... 2,305,447 19,457,973 0.2% #* SunEdison, Inc...................... 1,202,919 23,132,132 0.3% #* Synaptics, Inc...................... 276,279 17,170,740 0.2% * Zebra Technologies Corp. Class A.... 306,956 21,315,025 0.3% Other Securities.................... 1,368,724,282 16.4% --------------- ------ Total Information Technology.............. 1,542,957,959 18.4% --------------- ------ Materials -- (4.4%) * KapStone Paper and Packaging Corp... 665,719 17,561,667 0.2% # PolyOne Corp........................ 529,913 19,855,840 0.2% Sensient Technologies Corp.......... 327,419 17,696,997 0.2% Worthington Industries, Inc......... 463,710 17,064,528 0.2% Other Securities.................... 393,298,139 4.7% --------------- ------ Total Materials........................... 465,477,171 5.5% --------------- ------ Other -- (0.0%) Other Securities.................... -- 0.0% --------------- ------ Real Estate Investment Trusts -- (0.1%) Other Securities.................... 6,475,221 0.1% --------------- ------ Telecommunication Services -- (0.5%) Other Securities.................... 50,995,661 0.6% --------------- ------ Utilities -- (2.7%) Black Hills Corp.................... 299,559 17,299,532 0.2% # IDACORP, Inc........................ 331,395 18,604,515 0.2% # Portland General Electric Co........ 503,278 16,844,715 0.2% Other Securities.................... 236,745,206 2.8% --------------- ------ Total Utilities........................... 289,493,968 3.4% --------------- ------ TOTAL COMMON STOCKS....................... 8,360,500,397 99.6% --------------- ------ PREFERRED STOCKS -- (0.0%) Other -- (0.0%) Other Securities.................... -- 0.0% --------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities.................... 806,391 0.0% --------------- ------ Shares/ Face Amount ------- - - (000) SECURITIES LENDING COLLATERAL -- (20.2%) (S)@ DFA Short Term Investment Fund...... 182,508,338 2,111,621,465 25.2% --------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $8,157,126,718)................. $10,472,928,253 124.8% =============== ======
32 U.S. SMALL CAP PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, 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........ $1,456,311,570 $ 17,708 -- $ 1,456,329,278 Consumer Staples.............. 324,070,330 -- -- 324,070,330 Energy........................ 520,227,399 -- -- 520,227,399 Financials.................... 1,384,444,603 21,193 -- 1,384,465,796 Health Care................... 783,552,244 136,603 -- 783,688,847 Industrials................... 1,536,314,041 4,726 -- 1,536,318,767 Information Technology........ 1,542,957,959 -- -- 1,542,957,959 Materials..................... 465,477,171 -- -- 465,477,171 Other......................... -- -- -- -- Real Estate Investment Trusts. 6,475,221 -- -- 6,475,221 Telecommunication Services.... 50,995,661 -- -- 50,995,661 Utilities..................... 289,493,968 -- -- 289,493,968 Preferred Stocks Other......................... -- -- -- -- Rights/Warrants................. -- 806,391 -- 806,391 Securities Lending Collateral... -- 2,111,621,465 -- 2,111,621,465 -------------- -------------- -- --------------- TOTAL........................... $8,360,320,167 $2,112,608,086 -- $10,472,928,253 ============== ============== == ===============
See accompanying Notes to Financial Statements. 33 U.S. MICRO CAP PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2014 (Unaudited)
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (83.4%) Consumer Discretionary -- (14.7%) * Asbury Automotive Group, Inc...... 272,113 $ 16,800,257 0.4% #* Conn's, Inc....................... 297,054 13,138,698 0.3% Finish Line, Inc. (The) Class A... 566,582 15,598,002 0.3% #* G-III Apparel Group, Ltd.......... 192,344 13,804,529 0.3% #* Grand Canyon Education, Inc....... 367,324 15,839,011 0.3% * Helen of Troy, Ltd................ 194,371 12,187,062 0.3% La-Z-Boy, Inc..................... 560,610 13,583,580 0.3% Papa John's International, Inc.... 398,990 17,499,701 0.4% #* Pinnacle Entertainment, Inc....... 540,950 12,587,906 0.3% #* Sonic Corp........................ 614,578 11,701,565 0.3% # Sturm Ruger & Co., Inc............ 185,803 11,956,423 0.3% Other Securities.................. 688,649,062 14.1% ------------ ------ Total Consumer Discretionary.......... 843,345,796 17.6% ------------ ------ Consumer Staples -- (3.5%) Andersons, Inc. (The)............. 247,908 15,442,189 0.3% # Cal-Maine Foods, Inc.............. 201,183 11,996,542 0.3% J&J Snack Foods Corp.............. 162,568 15,216,365 0.3% #* Susser Holdings Corp.............. 245,851 19,023,950 0.4% Other Securities.................. 138,857,525 2.9% ------------ ------ Total Consumer Staples................ 200,536,571 4.2% ------------ ------ Energy -- (5.2%) * Carrizo Oil & Gas, Inc............ 216,987 11,938,625 0.3% * Clayton Williams Energy, Inc...... 109,912 15,880,086 0.3% EnLink Midstream LLC.............. 460,526 16,270,384 0.3% #* EPL Oil & Gas, Inc................ 309,088 12,097,704 0.3% * Rex Energy Corp................... 567,510 11,951,761 0.3% Other Securities.................. 228,737,824 4.7% ------------ ------ Total Energy.......................... 296,876,384 6.2% ------------ ------ Financials -- (14.3%) #* Encore Capital Group, Inc......... 293,377 12,679,754 0.3% # FBL Financial Group, Inc. Class A. 271,426 12,135,456 0.3% Horace Mann Educators Corp........ 426,348 12,820,284 0.3% * Western Alliance Bancorp.......... 615,654 14,203,138 0.3% Other Securities.................. 766,060,935 15.8% ------------ ------ Total Financials...................... 817,899,567 17.0% ------------ ------ Health Care -- (8.1%) * Amsurg Corp....................... 290,077 12,563,235 0.3% CONMED Corp....................... 254,463 11,789,271 0.3% * Corvel Corp....................... 270,276 12,308,369 0.3% * NuVasive, Inc..................... 346,328 11,674,717 0.2% * Prestige Brands Holdings, Inc..... 349,826 11,726,167 0.3% Other Securities.................. 401,549,501 8.2% ------------ ------ Total Health Care..................... 461,611,260 9.6% ------------ ------ Industrials -- (15.5%) # AAON, Inc......................... 412,028 11,680,994 0.2% # American Railcar Industries, Inc.. 183,840 12,765,850 0.3% #* EnPro Industries, Inc............. 205,444 14,629,667 0.3% #* Greenbrier Cos., Inc. (The)....... 233,628 12,251,452 0.3%
34 U.S. MICRO CAP PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Industrials -- (Continued) * H&E Equipment Services, Inc........................ 315,381 $ 12,157,938 0.3% * Huron Consulting Group, Inc........................ 164,171 11,688,975 0.2% Mueller Water Products, Inc. Class A............... 1,433,001 13,068,969 0.3% # Raven Industries, Inc.............................. 372,560 11,512,104 0.2% Other Securities................................... 789,855,016 16.4% -------------- ------ Total Industrials........................................ 889,610,965 18.5% -------------- ------ Information Technology -- (14.7%) * Electronics for Imaging, Inc....................... 378,928 14,319,689 0.3% # Heartland Payment Systems, Inc..................... 339,474 13,898,066 0.3% * iGATE Corp......................................... 444,069 16,252,925 0.3% * Integrated Device Technology, Inc.................. 1,086,430 12,678,638 0.3% * Manhattan Associates, Inc.......................... 797,364 25,140,887 0.5% Methode Electronics, Inc........................... 439,533 12,192,645 0.3% * Netscout Systems, Inc.............................. 328,700 12,806,152 0.3% #* SunEdison, Inc..................................... 1,431,312 27,524,130 0.6% #* Tyler Technologies, Inc............................ 200,480 16,369,192 0.3% Other Securities................................... 690,094,080 14.3% -------------- ------ Total Information Technology............................. 841,276,404 17.5% -------------- ------ Materials -- (5.0%) AMCOL International Corp........................... 270,805 12,416,409 0.3% * Clearwater Paper Corp.............................. 188,063 11,545,188 0.2% #* Flotek Industries, Inc............................. 458,236 12,835,190 0.3% * KapStone Paper and Packaging Corp.................. 640,153 16,887,236 0.4% Other Securities................................... 229,804,098 4.7% -------------- ------ Total Materials.......................................... 283,488,121 5.9% -------------- ------ Other -- (0.0%) Other Securities................................... -- 0.0% -------------- ------ Telecommunication Services -- (1.0%) Other Securities................................... 54,707,698 1.1% -------------- ------ Utilities -- (1.4%) Other Securities................................... 81,698,194 1.7% -------------- ------ TOTAL COMMON STOCKS 4,771,050,960 99.3% -------------- ------ PREFERRED STOCKS -- (0.0%) Other -- (0.0%) Other Securities................................... -- 0.0% -------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities................................... 442,939 0.0% -------------- ------ TEMPORARY CASH INVESTMENTS -- (0.2%) State Street Institutional Liquid Reserves, 0.074%. 13,684,516 13,684,516 0.3% -------------- ------ Shares/ Face Amount ------- - - (000) SECURITIES LENDING COLLATERAL -- (16.4%) (S)@ DFA Short Term Investment Fund..................... 80,788,021 934,717,403 19.5% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $4,074,714,677)................................ $5,719,895,818 119.1% ============== ======
35 U.S. MICRO CAP PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, 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...... $ 843,342,070 $ 3,726 -- $ 843,345,796 Consumer Staples............ 200,536,571 -- -- 200,536,571 Energy...................... 296,876,384 -- -- 296,876,384 Financials.................. 817,859,351 40,216 -- 817,899,567 Health Care................. 461,416,467 194,793 -- 461,611,260 Industrials................. 889,606,810 4,155 -- 889,610,965 Information Technology...... 841,276,404 -- -- 841,276,404 Materials................... 283,488,121 -- -- 283,488,121 Other....................... -- -- -- -- Telecommunication Services.. 54,707,698 -- -- 54,707,698 Utilities................... 81,698,194 -- -- 81,698,194 Preferred Stocks Other....................... -- -- -- -- Rights/Warrants............... -- 442,939 -- 442,939 Temporary Cash Investments.... 13,684,516 -- -- 13,684,516 Securities Lending Collateral. -- 934,717,403 -- 934,717,403 -------------- ------------ -- -------------- TOTAL......................... $4,784,492,586 $935,403,232 -- $5,719,895,818 ============== ============ == ==============
See accompanying Notes to Financial Statements. 36 DFA REAL ESTATE SECURITIES PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2014 (Unaudited)
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (90.4%) Real Estate Investment Trusts -- (90.4%) Alexandria Real Estate Equities, Inc.......... 752,209 $ 55,528,068 1.0% American Campus Communities, Inc.............. 1,102,469 42,114,316 0.8% # American Realty Capital Properties, Inc....... 2,343,374 30,674,766 0.5% Apartment Investment & Management Co. Class A. 1,543,197 47,576,763 0.9% AvalonBay Communities, Inc.................... 1,289,209 176,041,489 3.2% BioMed Realty Trust, Inc...................... 2,007,467 41,956,060 0.8% Boston Properties, Inc........................ 1,593,847 186,703,238 3.4% Camden Property Trust......................... 899,150 61,582,783 1.1% # CBL & Associates Properties, Inc.............. 1,712,564 31,117,288 0.6% # DDR Corp...................................... 3,171,416 54,453,213 1.0% # Digital Realty Trust, Inc..................... 1,335,363 71,308,384 1.3% Douglas Emmett, Inc........................... 1,411,552 38,958,835 0.7% Duke Realty Corp.............................. 3,429,756 60,089,325 1.1% # EPR Properties................................ 539,553 28,925,436 0.5% Equity Lifestyle Properties, Inc.............. 825,232 34,552,464 0.6% Equity Residential............................ 3,570,728 212,244,072 3.8% # Essex Property Trust, Inc..................... 623,473 108,022,932 1.9% Extra Space Storage, Inc...................... 1,144,911 59,913,193 1.1% # Federal Realty Investment Trust............... 698,327 82,081,356 1.5% # General Growth Properties, Inc................ 5,007,143 115,014,075 2.1% HCP, Inc...................................... 4,900,540 205,136,604 3.7% Health Care REIT, Inc......................... 3,036,531 191,574,741 3.4% # Highwoods Properties, Inc..................... 948,863 38,286,622 0.7% # Home Properties, Inc.......................... 592,941 36,525,166 0.7% Hospitality Properties Trust.................. 1,567,938 47,116,537 0.8% Host Hotels & Resorts, Inc.................... 8,001,851 171,639,704 3.1% # Kilroy Realty Corp............................ 856,391 51,015,212 0.9% # Kimco Realty Corp............................. 4,266,286 97,783,275 1.8% LaSalle Hotel Properties...................... 1,085,950 35,923,226 0.6% Liberty Property Trust........................ 1,534,176 57,531,600 1.0% # Macerich Co. (The)............................ 1,466,758 95,207,262 1.7% # Mid-America Apartment Communities, Inc........ 771,284 53,719,931 1.0% # National Retail Properties, Inc............... 1,280,917 43,717,697 0.8% # Omega Healthcare Investors, Inc............... 1,298,132 45,149,031 0.8% # Piedmont Office Realty Trust, Inc. Class A.... 1,644,951 28,967,587 0.5% Post Properties, Inc.......................... 560,041 28,119,659 0.5% Prologis, Inc................................. 5,219,304 212,060,322 3.8% Public Storage................................ 1,516,772 266,208,654 4.8% # Realty Income Corp............................ 2,287,827 99,406,083 1.8% # Regency Centers Corp.......................... 962,678 50,473,208 0.9% Senior Housing Properties Trust............... 1,963,761 46,089,471 0.8% Simon Property Group, Inc..................... 3,160,039 547,318,755 9.9% # SL Green Realty Corp.......................... 990,296 103,693,894 1.9% Sunstone Hotel Investors, Inc................. 1,933,826 27,673,050 0.5% # Tanger Factory Outlet Centers, Inc............ 995,423 35,516,693 0.6% Taubman Centers, Inc.......................... 660,158 48,085,909 0.9% UDR, Inc...................................... 2,621,647 67,795,791 1.2% Ventas, Inc................................... 3,063,137 202,412,093 3.6% Vornado Realty Trust.......................... 1,757,940 180,364,644 3.2% # Weingarten Realty Investors................... 1,209,563 37,738,366 0.7% Other Securities.............................. 832,961,759 15.1% -------------- ------ TOTAL COMMON STOCKS............................... 5,524,070,602 99.6% -------------- ------
37 DFA REAL ESTATE SECURITIES PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- TEMPORARY CASH INVESTMENTS -- (0.5%) State Street Institutional Liquid Reserves, 0.074%. 29,680,720 $ 29,680,720 0.5% -------------- ------ Shares/ Face Amount ------- - - (000) SECURITIES LENDING COLLATERAL -- (9.1%) (S)@ DFA Short Term Investment Fund..................... 48,147,372 557,065,090 10.1% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $4,448,507,178)................................ $6,110,816,412 110.2% ============== ======
Summary of the Portfolio's investments as of April 30, 2014, 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 Investment Trusts. $5,524,070,602 -- -- $5,524,070,602 Temporary Cash Investments...... 29,680,720 -- -- 29,680,720 Securities Lending Collateral... -- $557,065,090 -- 557,065,090 -------------- ------------ -- -------------- TOTAL........................... $5,553,751,322 $557,065,090 -- $6,110,816,412 ============== ============ == ==============
See accompanying Notes to Financial Statements. 38 LARGE CAP INTERNATIONAL PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2014 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (87.1%) AUSTRALIA -- (6.0%) Australia & New Zealand Banking Group, Ltd.. 498,606 $ 16,034,058 0.5% BHP Billiton, Ltd........................... 485,719 17,105,369 0.6% Commonwealth Bank of Australia.............. 300,939 22,137,341 0.7% National Australia Bank, Ltd................ 421,443 13,877,011 0.5% Westpac Banking Corp........................ 485,651 15,907,261 0.5% Other Securities............................ 121,778,789 4.0% ------------ ------ TOTAL AUSTRALIA................................. 206,839,829 6.8% ------------ ------ AUSTRIA -- (0.3%) Other Securities............................ 9,481,989 0.3% ------------ ------ BELGIUM -- (1.0%) Anheuser-Busch InBev NV..................... 129,307 14,093,925 0.5% Other Securities............................ 20,889,968 0.6% ------------ ------ TOTAL BELGIUM................................... 34,983,893 1.1% ------------ ------ CANADA -- (8.1%) Bank of Nova Scotia......................... 196,436 11,936,169 0.4% # Royal Bank of Canada........................ 239,589 15,990,087 0.5% Suncor Energy, Inc.......................... 279,079 10,765,440 0.4% # Toronto-Dominion Bank (The)................. 301,119 14,486,570 0.5% Other Securities............................ 228,687,008 7.5% ------------ ------ TOTAL CANADA.................................... 281,865,274 9.3% ------------ ------ DENMARK -- (1.3%) Novo Nordisk A.S. Class B................... 283,026 12,845,413 0.4% Other Securities............................ 30,841,351 1.0% ------------ ------ TOTAL DENMARK................................... 43,686,764 1.4% ------------ ------ FINLAND -- (0.8%) Other Securities............................ 28,842,867 0.9% ------------ ------ FRANCE -- (8.2%) BNP Paribas SA.............................. 209,632 15,752,684 0.5% LVMH Moet Hennessy Louis Vuitton SA......... 48,617 9,577,268 0.3% Sanofi...................................... 180,968 19,530,038 0.6% Total SA.................................... 294,621 21,078,411 0.7% # Total SA Sponsored ADR...................... 157,489 11,219,516 0.4% Other Securities............................ 207,133,116 6.8% ------------ ------ TOTAL FRANCE.................................... 284,291,033 9.3% ------------ ------ GERMANY -- (7.1%) # Allianz SE.................................. 68,800 11,973,254 0.4% # BASF SE..................................... 164,609 19,095,584 0.6% # Bayer AG.................................... 134,071 18,641,456 0.6% Bayerische Motoren Werke AG................. 78,275 9,839,554 0.3% Daimler AG.................................. 188,841 17,580,932 0.6% SAP AG...................................... 139,819 11,301,152 0.4% Siemens AG.................................. 114,499 15,104,734 0.5% Other Securities............................ 140,906,226 4.6% ------------ ------ TOTAL GERMANY................................... 244,442,892 8.0% ------------ ------
39 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- HONG KONG -- (2.4%) AIA Group, Ltd........................ 2,235,600 $ 10,873,050 0.4% Other Securities...................... 72,447,662 2.3% ------------ ------ TOTAL HONG KONG........................... 83,320,712 2.7% ------------ ------ IRELAND -- (0.3%) Other Securities...................... 10,786,964 0.4% ------------ ------ ISRAEL -- (0.4%) Other Securities...................... 13,635,661 0.4% ------------ ------ ITALY -- (2.0%) Other Securities...................... 70,555,232 2.3% ------------ ------ JAPAN -- (15.2%) Softbank Corp......................... 194,300 14,471,074 0.5% Sumitomo Mitsui Financial Group, Inc.. 261,540 10,338,756 0.4% Toyota Motor Corp..................... 343,900 18,580,281 0.6% Toyota Motor Corp. Sponsored ADR...... 103,254 11,194,799 0.4% Other Securities...................... 471,850,821 15.4% ------------ ------ TOTAL JAPAN............................... 526,435,731 17.3% ------------ ------ NETHERLANDS -- (2.3%) # Unilever NV........................... 242,733 10,408,659 0.3% Other Securities...................... 68,281,059 2.3% ------------ ------ TOTAL NETHERLANDS......................... 78,689,718 2.6% ------------ ------ NEW ZEALAND -- (0.1%) Other Securities...................... 3,643,491 0.1% ------------ ------ NORWAY -- (0.8%) Other Securities...................... 28,381,846 0.9% ------------ ------ PORTUGAL -- (0.1%) Other Securities...................... 4,988,608 0.2% ------------ ------ SINGAPORE -- (1.2%)....................... Other Securities...................... 41,909,348 1.4% ------------ ------ SPAIN -- (2.8%) Banco Santander SA.................... 1,336,231 13,289,713 0.4% Other Securities...................... 82,331,508 2.7% ------------ ------ TOTAL SPAIN............................... 95,621,221 3.1% ------------ ------ SWEDEN -- (2.6%) Other Securities...................... 89,891,860 3.0% ------------ ------ SWITZERLAND -- (7.0%) Cie Financiere Richemont SA........... 99,748 10,148,362 0.3% Nestle SA............................. 588,034 45,445,776 1.5% Novartis AG........................... 286,619 24,916,505 0.8% Roche Holding AG...................... 142,306 41,744,908 1.4% UBS AG................................ 640,816 13,401,938 0.4% Other Securities...................... 106,647,162 3.6% ------------ ------ TOTAL SWITZERLAND......................... 242,304,651 8.0% ------------ ------
40 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- UNITED KINGDOM -- (17.1%) Anglo American P.L.C.................... 488,404 $ 13,056,552 0.4% AstraZeneca P.L.C....................... 135,231 10,674,404 0.4% BG Group P.L.C.......................... 637,847 12,903,202 0.4% BP P.L.C. Sponsored ADR................. 567,667 28,735,304 0.9% British American Tobacco P.L.C.......... 285,586 16,491,143 0.5% # Diageo P.L.C. Sponsored ADR............. 84,093 10,324,939 0.3% GlaxoSmithKline P.L.C................... 528,451 14,601,382 0.5% GlaxoSmithKline P.L.C. Sponsored ADR.... 229,916 12,730,449 0.4% HSBC Holdings P.L.C..................... 1,640,666 16,763,687 0.6% HSBC Holdings P.L.C. Sponsored ADR...... 376,440 19,318,900 0.6% Reckitt Benckiser Group P.L.C........... 127,159 10,265,031 0.3% # Royal Dutch Shell P.L.C. ADR(780259107). 258,685 21,897,685 0.7% Royal Dutch Shell P.L.C. ADR(780259206). 195,713 15,410,442 0.5% SABMiller P.L.C......................... 177,232 9,650,453 0.3% Vodafone Group P.L.C. Sponsored ADR..... 316,816 12,026,349 0.4% Other Securities........................ 367,896,458 12.3% -------------- ------ TOTAL UNITED KINGDOM.......................... 592,746,380 19.5% -------------- ------ TOTAL COMMON STOCKS........................... 3,017,345,964 99.0% -------------- ------ PREFERRED STOCKS -- (0.1%) GERMANY -- (0.1%) Other Securities........................ 2,130,834 0.1% -------------- ------ UNITED KINGDOM -- (0.0%) Other Securities........................ 93,648 0.0% -------------- ------ TOTAL PREFERRED STOCKS........................ 2,224,482 0.1% -------------- ------ RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) Other Securities........................ 15,347 0.0% -------------- ------ FRANCE -- (0.0%) Other Securities........................ 126,509 0.0% -------------- ------ HONG KONG -- (0.0%) Other Securities........................ 18,500 0.0% -------------- ------ SPAIN -- (0.0%) Other Securities........................ 282,687 0.0% -------------- ------ UNITED KINGDOM -- (0.0%) Other Securities........................ 195,911 0.0% -------------- ------ TOTAL RIGHTS/WARRANTS......................... 638,954 0.0% -------------- ------ Shares/ Face Amount Value+ ------- ------ - (000) SECURITIES LENDING COLLATERAL -- (12.8%) (S)@ DFA Short Term Investment Fund.......... 38,225,151 442,265,001 14.5% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $2,739,201,752)..................... $3,462,474,401 113.6% ============== ======
41 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, 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................... $ 7,543,149 $ 199,296,680 -- $ 206,839,829 Austria..................... 189,081 9,292,908 -- 9,481,989 Belgium..................... 3,688,738 31,295,155 -- 34,983,893 Canada...................... 281,865,274 -- -- 281,865,274 Denmark..................... 5,290,431 38,396,333 -- 43,686,764 Finland..................... 1,730,140 27,112,727 -- 28,842,867 France...................... 19,252,865 265,038,168 -- 284,291,033 Germany..................... 23,571,412 220,871,480 -- 244,442,892 Hong Kong................... 1,032,065 82,288,647 -- 83,320,712 Ireland..................... 2,381,377 8,405,587 -- 10,786,964 Israel...................... 7,382,132 6,253,529 -- 13,635,661 Italy....................... 6,588,527 63,966,705 -- 70,555,232 Japan....................... 38,521,216 487,914,515 -- 526,435,731 Netherlands................. 13,446,367 65,243,351 -- 78,689,718 New Zealand................. -- 3,643,491 -- 3,643,491 Norway...................... 2,220,484 26,161,362 -- 28,381,846 Portugal.................... 84,245 4,904,363 -- 4,988,608 Singapore................... -- 41,909,348 -- 41,909,348 Spain....................... 22,299,146 73,322,075 -- 95,621,221 Sweden...................... 762,720 89,129,140 -- 89,891,860 Switzerland................. 19,611,858 222,692,793 -- 242,304,651 United Kingdom.............. 195,703,285 397,043,095 -- 592,746,380 Preferred Stocks Germany..................... -- 2,130,834 -- 2,130,834 United Kingdom.............. -- 93,648 -- 93,648 Rights/Warrants Australia................... -- 15,347 -- 15,347 France...................... -- 126,509 -- 126,509 Hong Kong................... -- 18,500 -- 18,500 Spain....................... -- 282,687 -- 282,687 United Kingdom.............. -- 195,911 -- 195,911 Securities Lending Collateral. -- 442,265,001 -- 442,265,001 ------------ -------------- -- -------------- TOTAL......................... $653,164,512 $2,809,309,889 -- $3,462,474,401 ============ ============== == ==============
See accompanying Notes to Financial Statements. 42 INTERNATIONAL CORE EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2014 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (87.6%) AUSTRALIA -- (5.4%) Australia & New Zealand Banking Group, Ltd.. 1,174,816 $ 37,779,466 0.3% Commonwealth Bank of Australia.............. 384,649 28,295,122 0.3% National Australia Bank, Ltd................ 1,331,618 43,846,685 0.4% Westpac Banking Corp........................ 1,072,084 35,115,589 0.3% Other Securities............................ 558,033,635 4.8% ------------ ------ TOTAL AUSTRALIA................................. 703,070,497 6.1% ------------ ------ AUSTRIA -- (0.5%) Other Securities............................ 59,710,095 0.5% ------------ ------ BELGIUM -- (1.2%) Anheuser-Busch InBev NV..................... 228,944 24,953,943 0.2% Other Securities............................ 130,112,449 1.2% ------------ ------ TOTAL BELGIUM................................... 155,066,392 1.4% ------------ ------ BRAZIL -- (0.0%) Other Securities............................ 6,373 0.0% ------------ ------ CANADA -- (7.7%) Suncor Energy, Inc.......................... 729,529 28,141,494 0.3% # Toronto-Dominion Bank (The)................. 701,544 33,750,664 0.3% Other Securities............................ 933,602,907 8.1% ------------ ------ TOTAL CANADA.................................... 995,495,065 8.7% ------------ ------ CHINA -- (0.0%) Other Securities............................ 810,990 0.0% ------------ ------ DENMARK -- (1.4%) Other Securities............................ 176,447,554 1.5% ------------ ------ FINLAND -- (1.5%) #* Nokia Oyj................................... 3,651,928 27,344,067 0.2% Other Securities............................ 162,290,235 1.5% ------------ ------ TOTAL FINLAND................................... 189,634,302 1.7% ------------ ------ FRANCE -- (7.1%) BNP Paribas SA.............................. 468,229 35,184,814 0.3% Cie de St-Gobain............................ 420,301 25,749,926 0.2% # Sanofi ADR.................................. 522,052 28,086,398 0.3% Total SA.................................... 800,396 57,263,657 0.5% # Total SA Sponsored ADR...................... 595,142 42,397,916 0.4% Other Securities............................ 735,859,847 6.4% ------------ ------ TOTAL FRANCE.................................... 924,542,558 8.1% ------------ ------ GERMANY -- (6.1%) # Allianz SE.................................. 150,380 26,170,608 0.2% Bayerische Motoren Werke AG................. 248,108 31,188,401 0.3% Daimler AG.................................. 531,976 49,526,500 0.4% Deutsche Telekom AG......................... 1,506,152 25,304,945 0.2% Fresenius SE & Co. KGaA..................... 161,560 24,581,785 0.2% Linde AG.................................... 112,611 23,387,591 0.2% RWE AG...................................... 673,370 25,696,523 0.2%
43 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- GERMANY -- (Continued) # Siemens AG Sponsored ADR.............. 195,766 $ 25,807,832 0.2% Other Securities...................... 563,950,455 5.0% -------------- ------ TOTAL GERMANY............................. 795,614,640 6.9% -------------- ------ GREECE -- (0.0%) Other Securities...................... 71,924 0.0% -------------- ------ HONG KONG -- (2.3%) Other Securities...................... 296,427,284 2.6% -------------- ------ IRELAND -- (0.4%) Other Securities...................... 53,315,547 0.5% -------------- ------ ISRAEL -- (0.6%) Other Securities...................... 75,339,506 0.7% -------------- ------ ITALY -- (2.5%) Other Securities...................... 327,008,278 2.9% -------------- ------ JAPAN -- (16.8%) Mitsubishi UFJ Financial Group, Inc... 4,619,100 24,571,275 0.2% Mizuho Financial Group, Inc........... 13,495,060 26,431,521 0.3% Sumitomo Mitsui Financial Group, Inc.. 754,470 29,824,427 0.3% Toyota Motor Corp..................... 437,186 23,620,350 0.2% Toyota Motor Corp. Sponsored ADR...... 373,184 40,460,609 0.4% Other Securities...................... 2,036,769,274 17.6% -------------- ------ TOTAL JAPAN............................... 2,181,677,456 19.0% -------------- ------ NETHERLANDS -- (2.4%) Other Securities...................... 309,742,635 2.7% -------------- ------ NEW ZEALAND -- (0.2%) Other Securities...................... 33,520,537 0.3% -------------- ------ NORWAY -- (0.9%) Other Securities...................... 119,520,057 1.0% -------------- ------ PORTUGAL -- (0.3%) Other Securities...................... 41,275,501 0.4% -------------- ------ SINGAPORE -- (1.2%) Other Securities...................... 154,841,578 1.4% -------------- ------ SPAIN -- (2.5%) Banco Santander SA.................... 4,226,645 42,036,805 0.4% Other Securities...................... 283,152,598 2.4% -------------- ------ TOTAL SPAIN............................... 325,189,403 2.8% -------------- ------ SWEDEN -- (2.9%) Nordea Bank AB........................ 1,644,450 23,829,063 0.2% Other Securities...................... 348,318,956 3.0% -------------- ------ TOTAL SWEDEN.............................. 372,148,019 3.2% -------------- ------ SWITZERLAND -- (6.2%) ABB, Ltd.............................. 1,199,336 28,875,314 0.3% Credit Suisse Group AG................ 1,122,531 35,587,188 0.3%
44 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- SWITZERLAND -- (Continued) Nestle SA............................... 1,067,180 $ 82,476,222 0.7% # Novartis AG ADR......................... 818,651 71,173,518 0.6% Roche Holding AG........................ 128,140 37,589,368 0.3% Swiss Re AG............................. 365,604 31,968,810 0.3% UBS AG.................................. 1,549,112 32,397,918 0.3% Zurich Insurance Group AG............... 144,746 41,507,170 0.4% Other Securities........................ 441,725,643 3.8% --------------- ------ TOTAL SWITZERLAND........................... 803,301,151 7.0% --------------- ------ UNITED KINGDOM -- (17.5%) Anglo American P.L.C.................... 1,385,123 37,028,629 0.3% AstraZeneca P.L.C. Sponsored ADR........ 426,473 33,712,691 0.3% Aviva P.L.C............................. 3,728,348 33,226,253 0.3% Barclays P.L.C. Sponsored ADR........... 2,177,140 37,250,873 0.3% BG Group P.L.C.......................... 1,868,453 37,797,509 0.3% BP P.L.C. Sponsored ADR................. 2,000,170 101,248,602 0.9% HSBC Holdings P.L.C. Sponsored ADR...... 1,787,953 91,757,748 0.8% * Lloyds Banking Group P.L.C.............. 23,313,762 29,729,999 0.3% # Prudential P.L.C. ADR................... 635,609 29,358,780 0.3% # Rio Tinto P.L.C. Sponsored ADR.......... 656,443 35,638,290 0.3% # Royal Dutch Shell P.L.C. ADR(780259107). 1,398,074 118,346,964 1.0% Royal Dutch Shell P.L.C. ADR(780259206). 443,387 34,912,292 0.3% Tesco P.L.C............................. 5,068,750 25,110,209 0.2% Vodafone Group P.L.C. Sponsored ADR..... 1,234,928 46,877,857 0.4% Other Securities........................ 1,581,233,578 13.8% --------------- ------ TOTAL UNITED KINGDOM........................ 2,273,230,274 19.8% --------------- ------ UNITED STATES -- (0.0%) Other Securities........................ 2,046,379 0.0% --------------- ------ TOTAL COMMON STOCKS......................... 11,369,053,995 99.2% --------------- ------ PREFERRED STOCKS -- (0.1%) FRANCE -- (0.0%) Other Securities........................ 7,584 0.0% --------------- ------ GERMANY -- (0.1%) Other Securities........................ 6,167,108 0.1% --------------- ------ UNITED KINGDOM -- (0.0%) Other Securities........................ 220,292 0.0% --------------- ------ TOTAL PREFERRED STOCKS...................... 6,394,984 0.1% --------------- ------ RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) Other Securities........................ 64,003 0.0% --------------- ------ AUSTRIA -- (0.0%) Other Securities........................ -- 0.0% --------------- ------ FRANCE -- (0.0%) Other Securities........................ 931,517 0.0% --------------- ------ HONG KONG -- (0.0%) Other Securities........................ 59,233 0.0% --------------- ------
45 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- ISRAEL -- (0.0%) Other Securities................ $ 4,188 0.0% --------------- ------ ITALY -- (0.0%) Other Securities................ -- 0.0% --------------- ------ PORTUGAL -- (0.0%) Other Securities................ 118,196 0.0% --------------- ------ SINGAPORE -- (0.0%) Other Securities................ 1,460 0.0% --------------- ------ SPAIN -- (0.0%) Other Securities................ 900,196 0.0% --------------- ------ SWEDEN -- (0.0%) Other Securities................ 54,914 0.0% --------------- ------ UNITED KINGDOM -- (0.0%) Other Securities................ 1,008,452 0.0% --------------- ------ TOTAL RIGHTS/WARRANTS................... 3,142,159 0.0% --------------- ------ Shares/ Face Amount Value+ ------- ------ - (000) SECURITIES LENDING COLLATERAL -- (12.3%) (S)@ DFA Short Term Investment Fund.. 138,213,468 1,599,129,820 13.9% --------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $10,943,662,398).............. $12,977,720,958 113.2% =============== ======
46 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, 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................... $ 27,349,796 $ 675,720,701 -- $ 703,070,497 Austria..................... 633,710 59,076,385 -- 59,710,095 Belgium..................... 12,903,368 142,163,024 -- 155,066,392 Brazil...................... 6,373 -- -- 6,373 Canada...................... 995,459,311 35,754 -- 995,495,065 China....................... -- 810,990 -- 810,990 Denmark..................... 7,667,415 168,780,139 -- 176,447,554 Finland..................... 4,107,611 185,526,691 -- 189,634,302 France...................... 106,636,570 817,905,988 -- 924,542,558 Germany..................... 89,203,687 706,410,953 -- 795,614,640 Greece...................... -- 71,924 -- 71,924 Hong Kong................... 634,204 295,793,080 -- 296,427,284 Ireland..................... 14,600,045 38,715,502 -- 53,315,547 Israel...................... 24,857,510 50,481,996 -- 75,339,506 Italy....................... 18,924,297 308,083,981 -- 327,008,278 Japan....................... 103,863,877 2,077,813,579 -- 2,181,677,456 Netherlands................. 50,534,444 259,208,191 -- 309,742,635 New Zealand................. 78,338 33,442,199 -- 33,520,537 Norway...................... 13,497,244 106,022,813 -- 119,520,057 Portugal.................... 348,577 40,926,924 -- 41,275,501 Singapore................... -- 154,841,578 -- 154,841,578 Spain....................... 44,575,753 280,613,650 -- 325,189,403 Sweden...................... 9,839,720 362,308,299 -- 372,148,019 Switzerland................. 111,966,697 691,334,454 -- 803,301,151 United Kingdom.............. 691,897,766 1,581,332,508 -- 2,273,230,274 United States............... 1,489,186 557,193 -- 2,046,379 Preferred Stocks France...................... -- 7,584 -- 7,584 Germany..................... -- 6,167,108 -- 6,167,108 United Kingdom.............. -- 220,292 -- 220,292 Rights/Warrants Australia................... -- 64,003 -- 64,003 Austria..................... -- -- -- -- France...................... -- 931,517 -- 931,517 Hong Kong................... -- 59,233 -- 59,233 Israel...................... -- 4,188 -- 4,188 Italy....................... -- -- -- -- Portugal.................... -- 118,196 -- 118,196 Singapore................... -- 1,460 -- 1,460 Spain....................... -- 900,196 -- 900,196 Sweden...................... -- 54,914 -- 54,914 United Kingdom.............. -- 1,008,452 -- 1,008,452 Securities Lending Collateral -- 1,599,129,820 -- 1,599,129,820 -------------- --------------- -- --------------- TOTAL......................... $2,331,075,499 $10,646,645,459 -- $12,977,720,958 ============== =============== == ===============
See accompanying Notes to Financial Statements. 47 INTERNATIONAL SMALL COMPANY PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2014 (Unaudited)
Value+ -------------- AFFILIATED INVESTMENT COMPANIES -- (100.0%) Investment in The Continental Small Company Series of The DFA Investment Trust Company....................... $3,419,018,670 Investment in The United Kingdom Small Company Series of The DFA Investment Trust Company....................... 2,103,306,949 Investment in The Japanese Small Company Series of The DFA Investment Trust Company....................... 1,837,501,135 Investment in The Asia Pacific Small Company Series of The DFA Investment Trust Company....................... 1,012,307,182 Investment in The Canadian Small Company Series of The DFA Investment Trust Company....................... 844,393,080 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $7,184,900,942)............................... 9,216,527,016 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $7,184,900,942)............................... $9,216,527,016 ==============
Summary of the Portfolio's investments as of April 30, 2014, 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. $9,216,527,016 -- -- $9,216,527,016 -------------- -- -- -------------- TOTAL........................... $9,216,527,016 -- -- $9,216,527,016 ============== == == ==============
See accompanying Notes to Financial Statements. 48 SCHEDULES OF INVESTMENTS April 30, 2014 (Unaudited) JAPANESE SMALL COMPANY PORTFOLIO
Value+ ------------ AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The Japanese Small Company Series of The DFA Investment Trust Company..................... $380,419,466 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $372,912,556)............................... $380,419,466 ============
Summary of the Portfolio's Master Fund's investments as of April 30, 2014, 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..................... $397,070,438 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $370,732,046)............................... $397,070,438 ============
Summary of the Portfolio's Master Fund's investments as of April 30, 2014, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 49 SCHEDULES OF INVESTMENTS April 30, 2014 (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....................... $39,058,159 ----------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $23,030,770).................................. $39,058,159 ===========
Summary of the Portfolio's Master Fund's investments as of April 30, 2014, 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..................... $194,297,639 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $135,662,649)............................... $194,297,639 ============
Summary of the Portfolio's Master Fund's investments as of April 30, 2014, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 50 DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2014 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (93.4%) AUSTRALIA -- (20.4%) # CFS Retail Property Trust Group. 15,732,519 $ 29,454,557 1.1% # Dexus Property Group............ 39,586,350 41,879,353 1.6% Federation Centres, Ltd......... 10,569,645 24,535,114 1.0% Goodman Group................... 12,869,784 59,779,493 2.3% GPT Group....................... 12,514,991 45,671,312 1.8% Investa Office Fund............. 4,767,134 14,841,377 0.6% Stockland....................... 17,051,348 61,813,398 2.4% Westfield Group................. 15,048,469 153,558,494 6.0% Westfield Retail Trust.......... 22,117,295 65,709,998 2.6% Other Securities................ 56,615,191 2.1% ------------ ------ TOTAL AUSTRALIA..................... 553,858,287 21.5% ------------ ------ BELGIUM -- (1.5%) # Cofinimmo....................... 133,272 16,330,923 0.6% Other Securities................ 25,391,147 1.0% ------------ ------ TOTAL BELGIUM....................... 41,722,070 1.6% ------------ ------ CANADA -- (5.8%) H&R REIT........................ 1,036,249 21,820,749 0.9% # RioCan REIT..................... 1,208,099 30,013,718 1.2% Other Securities................ 107,221,533 4.1% ------------ ------ TOTAL CANADA........................ 159,056,000 6.2% ------------ ------ CHINA -- (0.2%) Other Securities................ 4,571,991 0.2% ------------ ------ FRANCE -- (4.4%) Fonciere Des Regions............ 216,638 22,004,934 0.9% Gecina SA....................... 170,260 22,917,358 0.9% ICADE........................... 263,943 26,929,628 1.0% Klepierre....................... 736,242 33,779,445 1.3% Other Securities................ 12,776,963 0.5% ------------ ------ TOTAL FRANCE........................ 118,408,328 4.6% ------------ ------ GERMANY -- (0.4%) Other Securities................ 10,820,324 0.4% ------------ ------ GREECE -- (0.0%) Other Securities................ 1,118,030 0.0% ------------ ------ HONG KONG -- (4.1%) Link REIT (The)................. 18,378,305 91,500,709 3.6% Other Securities................ 21,307,504 0.8% ------------ ------ TOTAL HONG KONG..................... 112,808,213 4.4% ------------ ------ ISRAEL -- (0.2%) Other Securities................ 5,677,221 0.2% ------------ ------ ITALY -- (0.3%) Other Securities................ 9,202,109 0.4% ------------ ------
51 DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- JAPAN -- (15.9%) Advance Residence Investment Corp..... 9,531 $ 21,564,256 0.8% Frontier Real Estate Investment Corp.. 3,541 18,373,028 0.7% # Japan Logistics Fund, Inc............. 5,690 12,841,538 0.5% # Japan Prime Realty Investment Corp.... 5,974 21,022,232 0.8% # Japan Real Estate Investment Corp..... 9,096 48,222,766 1.9% Japan Retail Fund Investment Corp..... 17,708 35,616,260 1.4% # Kenedix Office Investment Corp........ 2,400 11,989,118 0.5% # Mori Trust Sogo Reit, Inc............. 8,135 12,209,297 0.5% # Nippon Accommodations Fund, Inc....... 3,405 12,009,375 0.5% # Nippon Building Fund, Inc............. 10,488 58,150,335 2.3% # Nomura Real Estate Office Fund, Inc... 2,663 11,524,505 0.4% # Orix JREIT, Inc....................... 13,599 17,299,637 0.7% # United Urban Investment Corp.......... 18,210 27,483,355 1.1% Other Securities...................... 123,616,133 4.7% ------------ ------ TOTAL JAPAN............................... 431,921,835 16.8% ------------ ------ MALAYSIA -- (0.7%) Other Securities...................... 18,395,261 0.7% ------------ ------ MEXICO -- (1.3%) # Fibra Uno Administracion S.A. de C.V.. 9,758,445 31,991,722 1.3% Other Securities...................... 3,590,142 0.1% ------------ ------ TOTAL MEXICO.............................. 35,581,864 1.4% ------------ ------ NETHERLANDS -- (9.3%) Corio NV.............................. 517,775 24,261,738 0.9% Eurocommercial Properties NV.......... 286,433 13,149,996 0.5% Unibail-Rodamco SE.................... 708,508 191,470,269 7.5% # Wereldhave NV......................... 167,438 14,080,055 0.6% Other Securities...................... 10,776,088 0.4% ------------ ------ TOTAL NETHERLANDS......................... 253,738,146 9.9% ------------ ------ NEW ZEALAND -- (0.7%) Other Securities...................... 18,601,913 0.7% ------------ ------ SINGAPORE -- (7.9%) Ascendas REIT......................... 16,266,000 29,772,683 1.2% # CapitaCommercial Trust................ 16,050,000 20,539,942 0.8% CapitaMall Trust...................... 19,365,300 30,869,017 1.2% Suntec REIT........................... 17,180,000 23,547,892 0.9% Other Securities...................... 108,774,168 4.2% ------------ ------ TOTAL SINGAPORE........................... 213,503,702 8.3% ------------ ------ SOUTH AFRICA -- (2.9%) Capital Property Fund................. 11,430,703 11,524,993 0.5% Growthpoint Properties, Ltd........... 8,720,596 20,159,101 0.8% Other Securities...................... 47,430,990 1.8% ------------ ------ TOTAL SOUTH AFRICA........................ 79,115,084 3.1% ------------ ------ TAIWAN -- (0.5%) Other Securities...................... 12,661,014 0.5% ------------ ------
52 DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- TURKEY -- (1.2%) Emlak Konut Gayrimenkul Yatirim Ortakligi A.S.. 18,208,982 $ 23,910,479 0.9% Other Securities............................... 9,634,868 0.4% -------------- ------ TOTAL TURKEY......................................... 33,545,347 1.3% -------------- ------ UNITED KINGDOM -- (15.7%) British Land Co. P.L.C......................... 7,167,344 83,735,630 3.3% Derwent London P.L.C........................... 688,726 31,683,138 1.2% Great Portland Estates P.L.C................... 2,582,483 27,381,627 1.1% Hammerson P.L.C................................ 5,226,737 50,443,712 2.0% Intu Properties P.L.C.......................... 6,250,871 30,880,534 1.2% Land Securities Group P.L.C.................... 5,795,651 104,114,043 4.0% Segro P.L.C.................................... 5,504,210 32,576,737 1.3% Shaftesbury P.L.C.............................. 1,925,660 21,530,655 0.8% Other Securities............................... 45,007,374 1.7% -------------- ------ TOTAL UNITED KINGDOM................................. 427,353,450 16.6% -------------- ------ TOTAL COMMON STOCKS.................................. 2,541,660,189 98.8% -------------- ------ RIGHTS/WARRANTS -- (0.0%) SOUTH AFRICA -- (0.0%) Other Securities............................... 34,267 0.0% -------------- ------ Shares/ Face Amount Value+ ------- ------ (000) SECURITIES LENDING COLLATERAL -- (6.6%) (S)@ DFA Short Term Investment Fund................. 15,503,469 179,375,134 7.0% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $2,383,949,446)............................ $2,721,069,590 105.8% ============== ======
53 DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, 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................... -- $ 553,858,287 -- $ 553,858,287 Belgium..................... -- 41,722,070 -- 41,722,070 Canada...................... $159,056,000 -- -- 159,056,000 China....................... -- 4,571,991 -- 4,571,991 France...................... -- 118,408,328 -- 118,408,328 Germany..................... -- 10,820,324 -- 10,820,324 Greece...................... -- 1,118,030 -- 1,118,030 Hong Kong................... -- 112,808,213 -- 112,808,213 Israel...................... -- 5,677,221 -- 5,677,221 Italy....................... -- 9,202,109 -- 9,202,109 Japan....................... -- 431,921,835 -- 431,921,835 Malaysia.................... -- 18,395,261 -- 18,395,261 Mexico...................... 35,581,864 -- -- 35,581,864 Netherlands................. -- 253,738,146 -- 253,738,146 New Zealand................. -- 18,601,913 -- 18,601,913 Singapore................... -- 213,503,702 -- 213,503,702 South Africa................ -- 79,115,084 -- 79,115,084 Taiwan...................... -- 12,661,014 -- 12,661,014 Turkey...................... -- 33,545,347 -- 33,545,347 United Kingdom.............. -- 427,353,450 -- 427,353,450 Rights/Warrants South Africa................ -- 34,267 -- 34,267 Securities Lending Collateral. -- 179,375,134 -- 179,375,134 ------------ -------------- -- -------------- TOTAL......................... $194,637,864 $2,526,431,726 -- $2,721,069,590 ============ ============== == ==============
See accompanying Notes to Financial Statements. 54 DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2014 (Unaudited)
Shares Value+ ----------- -------------- AFFILIATED INVESTMENT COMPANIES -- (99.7%) Investment in DFA Real Estate Securities Portfolio of DFA Investment Dimensions Group Inc............................... 52,315,005 $1,543,292,654 Investment in DFA International Real Estate Securities Portfolio of DFA Investment Dimensions Group Inc............................... 186,019,691 1,010,086,920 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $2,084,675,000).......................................... 2,553,379,574 -------------- TEMPORARY CASH INVESTMENTS -- (0.3%) State Street Institutional Liquid Reserves, 0.074% (Cost $7,403,043)................................................. 7,403,043 7,403,043 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $2,092,078,043).......................................... $2,560,782,617 ==============
Summary of the Portfolio's investments as of April 30, 2014, 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. $2,553,379,574 -- -- $2,553,379,574 Temporary Cash Investments...... 7,403,043 -- -- 7,403,043 -------------- -- -- -------------- TOTAL........................... $2,560,782,617 -- -- $2,560,782,617 ============== == == ==============
See accompanying Notes to Financial Statements. 55 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2014 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (89.3%) AUSTRALIA -- (4.8%) Primary Health Care, Ltd..... 10,254,873 $ 44,821,248 0.4% Other Securities............. 608,331,344 4.9% -------------- ---- TOTAL AUSTRALIA.................. 653,152,592 5.3% -------------- ---- AUSTRIA -- (0.8%) # Wienerberger AG.............. 2,849,957 52,899,209 0.4% Other Securities 53,951,197 0.5% -------------- ---- TOTAL AUSTRIA.................... 106,850,406 0.9% -------------- ---- BELGIUM -- (0.8%) Other Securities............. 113,216,088 0.9% -------------- ---- CANADA -- (8.3%) * Celestica, Inc............... 4,266,945 47,339,128 0.4% West Fraser Timber Co., Ltd.. 1,144,822 51,180,401 0.4% Other Securities............. 1,037,743,280 8.4% -------------- ---- TOTAL CANADA..................... 1,136,262,809 9.2% -------------- ---- CHINA -- (0.1%) Other Securities............. 7,371,120 0.1% -------------- ---- DENMARK -- (1.8%) * Vestas Wind Systems A.S...... 3,314,030 147,179,632 1.2% Other Securities............. 105,956,002 0.8% -------------- ---- TOTAL DENMARK.................... 253,135,634 2.0% -------------- ---- FINLAND -- (2.1%) Huhtamaki Oyj................ 1,803,288 47,415,958 0.4% Other Securities............. 244,722,435 2.0% -------------- ---- TOTAL FINLAND.................... 292,138,393 2.4% -------------- ---- FRANCE -- (3.9%) #* Air France-KLM............... 3,419,028 49,186,239 0.4% Other Securities............. 485,571,574 3.9% -------------- ---- TOTAL FRANCE..................... 534,757,813 4.3% -------------- ---- GERMANY -- (4.9%) * Aareal Bank AG............... 1,133,243 51,511,183 0.4% Aurubis AG................... 1,045,010 55,829,083 0.5% # Bilfinger SE................. 536,449 63,958,308 0.5% # Rheinmetall AG............... 647,831 43,158,259 0.4% # TUI AG....................... 3,423,151 56,999,471 0.5% Other Securities............. 394,504,669 3.1% -------------- ---- TOTAL GERMANY.................... 665,960,973 5.4% -------------- ---- GREECE -- (0.0%) Other Securities............. 550,774 0.0% -------------- ---- HONG KONG -- (2.0%) Other Securities............. 277,530,134 2.2% -------------- ----
56 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- IRELAND -- (0.4%) Smurfit Kappa Group P.L.C..... 2,066,589 $ 46,038,830 0.4% Other Securities.............. 6,031,615 0.0% -------------- ----- TOTAL IRELAND..................... 52,070,445 0.4% -------------- ----- ISRAEL -- (0.7%) Other Securities.............. 92,649,143 0.7% -------------- ----- ITALY -- (3.8%) #* Banca Popolare di Milano SCRL. 77,876,899 78,757,121 0.6% * Banco Popolare SC............. 8,136,202 168,146,133 1.4% * UnipolSai SpA................. 12,757,315 46,941,304 0.4% Other Securities.............. 232,401,233 1.9% -------------- ----- TOTAL ITALY....................... 526,245,791 4.3% -------------- ----- JAPAN -- (19.0%) Other Securities.............. 2,611,882,082 21.2% -------------- ----- LUXEMBOURG -- (0.0%) Other Securities.............. 122,353 0.0% -------------- ----- NETHERLANDS -- (2.1%) #* APERAM........................ 1,753,419 45,621,474 0.4% Delta Lloyd NV................ 2,392,235 62,958,731 0.5% Other Securities.............. 175,524,914 1.4% -------------- ----- TOTAL NETHERLANDS................. 284,105,119 2.3% -------------- ----- NEW ZEALAND -- (0.3%) Other Securities.............. 45,818,058 0.4% -------------- ----- NORWAY -- (0.9%) Other Securities.............. 127,240,320 1.0% -------------- ----- PORTUGAL -- (0.6%) #* Banco Comercial Portugues SA.. 187,787,505 57,067,629 0.5% Other Securities.............. 22,816,373 0.1% -------------- ----- TOTAL PORTUGAL.................... 79,884,002 0.6% -------------- ----- SINGAPORE -- (1.4%) Other Securities.............. 192,081,968 1.6% -------------- ----- SPAIN -- (2.4%) Bankinter SA.................. 9,498,044 72,721,437 0.6% * Gamesa Corp. Tecnologica SA... 7,418,085 73,734,457 0.6% #* Sacyr SA...................... 7,565,697 49,830,722 0.4% Other Securities.............. 129,615,239 1.0% -------------- ----- TOTAL SPAIN....................... 325,901,855 2.6% -------------- ----- SWEDEN -- (3.5%) BillerudKorsnas AB............ 3,506,767 51,248,998 0.4% Holmen AB Class B............. 1,385,639 48,972,666 0.4% # Trelleborg AB Class B......... 5,405,103 115,650,402 0.9% Other Securities.............. 264,275,372 2.2% -------------- ----- TOTAL SWEDEN...................... 480,147,438 3.9% -------------- -----
57 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- SWITZERLAND -- (3.9%) Helvetia Holding AG.................. 121,594 $ 60,608,318 0.5% Swiss Life Holding AG................ 180,130 44,379,643 0.4% Other Securities..................... 432,661,095 3.5% --------------- ----- TOTAL SWITZERLAND........................ 537,649,056 4.4% --------------- ----- UNITED KINGDOM -- (20.8%) Amlin P.L.C.......................... 11,024,189 83,350,349 0.7% Ashtead Group P.L.C.................. 9,060,925 134,248,301 1.1% Barratt Developments P.L.C........... 23,304,329 145,749,037 1.2% Beazley P.L.C........................ 12,470,827 51,733,665 0.4% Bellway P.L.C........................ 3,448,205 83,973,177 0.7% Bodycote P.L.C....................... 5,021,077 61,957,596 0.5% Bovis Homes Group P.L.C.............. 3,820,358 51,089,368 0.4% Catlin Group, Ltd.................... 9,072,341 81,027,071 0.7% CSR P.L.C............................ 4,886,688 47,481,162 0.4% * Dixons Retail P.L.C.................. 74,506,019 56,667,531 0.5% DS Smith P.L.C....................... 15,172,280 80,853,845 0.7% easyJet P.L.C........................ 1,792,771 49,605,324 0.4% Greene King P.L.C.................... 4,908,532 73,898,809 0.6% Hiscox, Ltd.......................... 8,547,223 101,972,677 0.8% Home Retail Group P.L.C.............. 17,508,245 60,496,425 0.5% Inchcape P.L.C....................... 8,776,728 95,343,359 0.8% Millennium & Copthorne Hotels P.L.C.. 4,813,561 45,187,618 0.4% Mondi P.L.C.......................... 4,406,737 73,257,173 0.6% * Persimmon P.L.C...................... 7,739,467 171,754,093 1.4% SIG P.L.C............................ 14,208,459 46,048,206 0.4% Taylor Wimpey P.L.C.................. 76,091,760 135,325,001 1.1% * Thomas Cook Group P.L.C.............. 26,803,185 79,232,848 0.7% Travis Perkins P.L.C................. 4,514,252 130,328,001 1.1% Other Securities..................... 910,456,432 7.0% --------------- ----- TOTAL UNITED KINGDOM..................... 2,851,037,068 23.1% --------------- ----- TOTAL COMMON STOCKS...................... 12,247,761,434 99.2% --------------- ----- PREFERRED STOCKS -- (0.0%) FRANCE -- (0.0%) Other Securities..................... 10,799 0.0% --------------- ----- RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) Other Securities..................... 194,468 0.0% --------------- ----- AUSTRIA -- (0.0%) Other Securities..................... -- 0.0% --------------- ----- FRANCE -- (0.0%) Other Securities..................... 4,405,989 0.0% --------------- ----- HONG KONG -- (0.0%) Other Securities..................... -- 0.0% --------------- ----- ISRAEL -- (0.0%) Other Securities..................... 56,668 0.0% --------------- ----- SINGAPORE -- (0.0%) Other Securities..................... 442 0.0% --------------- -----
58 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- SWEDEN -- (0.0%) Other Securities................ $ 21,426 0.0% --------------- ------ TOTAL RIGHTS/WARRANTS................... 4,678,993 0.0% --------------- ------ Shares/ Face Amount Value+ ------- ------ (000) SECURITIES LENDING COLLATERAL -- (10.7%) (S)@ DFA Short Term Investment Fund.. 126,129,433 1,459,317,538 11.8% --------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $10,916,859,971).............. $13,711,768,764 111.0% =============== ======
Summary of the Portfolio's investments as of April 30, 2014, 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................... $ 741,079 $ 652,411,513 -- $ 653,152,592 Austria..................... -- 106,850,406 -- 106,850,406 Belgium..................... -- 113,216,088 -- 113,216,088 Canada...................... 1,135,620,017 642,792 -- 1,136,262,809 China....................... -- 7,371,120 -- 7,371,120 Denmark..................... -- 253,135,634 -- 253,135,634 Finland..................... 2,509 292,135,884 -- 292,138,393 France...................... -- 534,757,813 -- 534,757,813 Germany..................... 953 665,960,020 -- 665,960,973 Greece...................... -- 550,774 -- 550,774 Hong Kong................... -- 277,530,134 -- 277,530,134 Ireland..................... -- 52,070,445 -- 52,070,445 Israel...................... -- 92,649,143 -- 92,649,143 Italy....................... -- 526,245,791 -- 526,245,791 Japan....................... 737,791 2,611,144,291 -- 2,611,882,082 Luxembourg.................. -- 122,353 -- 122,353 Netherlands................. -- 284,105,119 -- 284,105,119 New Zealand................. -- 45,818,058 -- 45,818,058 Norway...................... -- 127,240,320 -- 127,240,320 Portugal.................... -- 79,884,002 -- 79,884,002 Singapore................... -- 192,081,968 -- 192,081,968 Spain....................... 385,079 325,516,776 -- 325,901,855 Sweden...................... -- 480,147,438 -- 480,147,438 Switzerland................. -- 537,649,056 -- 537,649,056 United Kingdom.............. 1,357,865 2,849,679,203 -- 2,851,037,068 Preferred Stocks France...................... -- 10,799 -- 10,799 Rights/Warrants Australia................... -- 194,468 -- 194,468 Austria..................... -- -- -- -- France...................... -- 4,405,989 -- 4,405,989 Hong Kong................... -- -- -- -- Israel...................... -- 56,668 -- 56,668 Singapore................... -- 442 -- 442 Sweden...................... -- 21,426 -- 21,426 Securities Lending Collateral -- 1,459,317,538 -- 1,459,317,538 -------------- --------------- -- --------------- TOTAL......................... $1,138,845,293 $12,572,923,471 -- $13,711,768,764 ============== =============== == ===============
See accompanying Notes to Financial Statements. 59 INTERNATIONAL VECTOR EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2014 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (89.0%) AUSTRALIA -- (5.9%) Australia & New Zealand Banking Group, Ltd.. 122,194 $ 3,929,487 0.3% National Australia Bank, Ltd................ 100,779 3,318,388 0.3% Origin Energy, Ltd.......................... 187,380 2,603,063 0.2% Other Securities............................ 75,419,644 5.8% ------------ ---- TOTAL AUSTRALIA................................. 85,270,582 6.6% ------------ ---- AUSTRIA -- (0.5%) Other Securities............................ 7,419,876 0.6% ------------ ---- BELGIUM -- (1.4%) Other Securities............................ 19,871,642 1.5% ------------ ---- BRAZIL -- (0.0%) Other Securities............................ 2,108 0.0% ------------ ---- CANADA -- (8.0%) Other Securities............................ 116,086,834 9.0% ------------ ---- CHINA -- (0.0%) Other Securities............................ 143,635 0.0% ------------ ---- DENMARK -- (1.5%) Other Securities............................ 21,021,087 1.6% ------------ ---- FINLAND -- (1.9%) # Fortum Oyj.................................. 101,620 2,295,807 0.2% #* Nokia Oyj................................... 438,160 3,280,754 0.3% UPM-Kymmene Oyj............................. 170,168 2,980,288 0.2% Other Securities............................ 19,056,773 1.4% ------------ ---- TOTAL FINLAND................................... 27,613,622 2.1% ------------ ---- FRANCE -- (6.6%) * Alcatel-Lucent.............................. 763,771 3,028,903 0.2% BNP Paribas SA.............................. 41,203 3,096,177 0.3% Cie de St-Gobain............................ 42,228 2,587,117 0.2% * Credit Agricole SA.......................... 153,510 2,422,149 0.2% Lafarge SA.................................. 30,333 2,775,434 0.2% Orange SA................................... 153,868 2,492,857 0.2% Renault SA.................................. 30,047 2,937,691 0.2% Sanofi...................................... 23,775 2,565,794 0.2% Societe Generale SA......................... 51,102 3,182,488 0.3% Total SA.................................... 63,258 4,525,740 0.4% Other Securities............................ 66,076,408 5.0% ------------ ---- TOTAL FRANCE.................................... 95,690,758 7.4% ------------ ---- GERMANY -- (5.7%) # Allianz SE.................................. 20,504 3,568,308 0.3% Bayerische Motoren Werke AG................. 19,013 2,390,028 0.2% * Commerzbank AG.............................. 141,238 2,518,434 0.2% Daimler AG.................................. 38,229 3,559,086 0.3% RWE AG...................................... 85,573 3,265,558 0.3% Other Securities............................ 66,343,426 5.0% ------------ ---- TOTAL GERMANY................................... 81,644,840 6.3% ------------ ----
60 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- GREECE -- (0.0%) Other Securities...................... $ 1 0.0% ------------ ----- HONG KONG -- (2.5%) Other Securities...................... 35,449,540 2.7% ------------ ----- IRELAND -- (0.5%) Other Securities...................... 7,289,034 0.6% ------------ ----- ISRAEL -- (0.6%) Other Securities...................... 8,578,989 0.7% ------------ ----- ITALY -- (2.6%) #* Banco Popolare SC..................... 143,248 2,960,423 0.2% Unione di Banche Italiane SCPA........ 339,391 3,239,654 0.3% Other Securities...................... 31,154,981 2.4% ------------ ----- TOTAL ITALY............................... 37,355,058 2.9% ------------ ----- JAPAN -- (17.4%) Mitsubishi UFJ Financial Group, Inc... 543,100 2,889,017 0.2% Mizuho Financial Group, Inc........... 1,155,460 2,263,092 0.2% Sumitomo Mitsui Financial Group, Inc.. 63,441 2,507,842 0.2% Other Securities...................... 243,475,607 18.8% ------------ ----- TOTAL JAPAN............................... 251,135,558 19.4% ------------ ----- NETHERLANDS -- (2.4%) Aegon NV.............................. 258,749 2,371,799 0.2% Other Securities...................... 32,016,800 2.5% ------------ ----- TOTAL NETHERLANDS......................... 34,388,599 2.7% ------------ ----- NEW ZEALAND -- (0.4%) Other Securities...................... 5,800,408 0.4% ------------ ----- NORWAY -- (1.0%) Other Securities...................... 14,244,438 1.1% ------------ ----- PORTUGAL -- (0.4%) Other Securities...................... 6,389,074 0.5% ------------ ----- SINGAPORE -- (1.3%) Other Securities...................... 19,388,752 1.5% ------------ ----- SPAIN -- (2.4%) Banco de Sabadell SA.................. 737,273 2,508,410 0.2% Banco Popular Espanol SA.............. 355,602 2,620,401 0.2% Banco Santander SA.................... 494,085 4,914,003 0.4% Other Securities...................... 25,077,148 1.9% ------------ ----- TOTAL SPAIN............................... 35,119,962 2.7% ------------ ----- SWEDEN -- (2.9%) Other Securities...................... 42,060,472 3.2% ------------ ----- SWITZERLAND -- (6.0%) Aryzta AG............................. 25,690 2,374,667 0.2% Credit Suisse Group AG................ 127,686 4,047,982 0.3%
61 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- SWITZERLAND -- (Continued) Holcim, Ltd............................. 28,208 $ 2,587,136 0.2% Julius Baer Group, Ltd.................. 64,356 3,014,461 0.2% Nestle SA............................... 64,442 4,980,353 0.4% Novartis AG............................. 53,863 4,682,445 0.4% Swiss Re AG............................. 55,384 4,842,837 0.4% Zurich Insurance Group AG............... 15,572 4,465,406 0.4% Other Securities........................ 56,405,005 4.2% -------------- ----- TOTAL SWITZERLAND........................... 87,400,292 6.7% -------------- ----- UNITED KINGDOM -- (17.1%) Anglo American P.L.C.................... 214,596 5,736,816 0.4% Aviva P.L.C............................. 255,520 2,277,140 0.2% Barratt Developments P.L.C.............. 440,009 2,751,887 0.2% BP P.L.C................................ 304,568 2,571,502 0.2% BP P.L.C. Sponsored ADR................. 118,597 6,003,380 0.5% HSBC Holdings P.L.C. Sponsored ADR...... 175,852 9,024,725 0.7% * Lloyds Banking Group P.L.C.............. 2,002,798 2,553,993 0.2% Old Mutual P.L.C........................ 684,794 2,314,662 0.2% Resolution, Ltd......................... 461,924 2,330,334 0.2% Royal Dutch Shell P.L.C. ADR(780259107). 83,543 7,071,915 0.6% Royal Dutch Shell P.L.C. ADR(780259206). 80,746 6,357,940 0.5% Vodafone Group P.L.C. Sponsored ADR..... 100,243 3,805,231 0.3% Other Securities........................ 194,442,210 14.9% -------------- ----- TOTAL UNITED KINGDOM........................ 247,241,735 19.1% -------------- ----- UNITED STATES -- (0.0%) Other Securities........................ 442,310 0.0% -------------- ----- TOTAL COMMON STOCKS......................... 1,287,049,206 99.3% -------------- ----- PREFERRED STOCKS -- (0.0%) GERMANY -- (0.0%) Other Securities........................ 223,512 0.0% -------------- ----- UNITED KINGDOM -- (0.0%) Other Securities........................ 17,710 0.0% -------------- ----- TOTAL PREFERRED STOCKS...................... 241,222 0.0% -------------- ----- RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) Other Securities........................ 7,208 0.0% -------------- ----- AUSTRIA -- (0.0%) Other Securities........................ -- 0.0% -------------- ----- FRANCE -- (0.0%) Other Securities........................ 176,352 0.1% -------------- ----- HONG KONG -- (0.0%) Other Securities........................ 5,333 0.0% -------------- ----- ISRAEL -- (0.0%) Other Securities........................ 1,030 0.0% -------------- -----
62 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- PORTUGAL -- (0.0%) Other Securities................ $ 17,815 0.0% -------------- ------ SINGAPORE -- (0.0%) Other Securities................ 7,113 0.0% -------------- ------ SPAIN -- (0.0%) Other Securities................ 109,998 0.0% -------------- ------ SWEDEN -- (0.0%) Other Securities................ 8,621 0.0% -------------- ------ UNITED KINGDOM -- (0.0%) Other Securities................ 65,564 0.0% -------------- ------ TOTAL RIGHTS/WARRANTS................... 399,034 0.1% -------------- ------ Shares/ Face Amount Value+ ------- ------ - (000) SECURITIES LENDING COLLATERAL -- (11.0%) (S)@ DFA Short Term Investment Fund.. 13,700,803 158,518,289 12.2% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $1,166,313,446)............... $1,446,207,751 111.6% ============== ======
63 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) -------------------------------------------------- Level 1 Level 2 Level 3 Total ------------ -------------- ------- -------------- Common Stocks Australia................... $ 1,165,621 $ 84,104,961 -- $ 85,270,582 Austria..................... 43,407 7,376,469 -- 7,419,876 Belgium..................... 963,430 18,908,212 -- 19,871,642 Brazil...................... 2,108 -- -- 2,108 Canada...................... 116,078,253 8,581 -- 116,086,834 China....................... -- 143,635 -- 143,635 Denmark..................... -- 21,021,087 -- 21,021,087 Finland..................... 22,326 27,591,296 -- 27,613,622 France...................... 2,203,144 93,487,614 -- 95,690,758 Germany..................... 3,912,672 77,732,168 -- 81,644,840 Greece...................... -- 1 -- 1 Hong Kong................... 151,268 35,298,272 -- 35,449,540 Ireland..................... 1,934,504 5,354,530 -- 7,289,034 Israel...................... 1,417,135 7,161,854 -- 8,578,989 Italy....................... 1,090,925 36,264,133 -- 37,355,058 Japan....................... 4,568,327 246,567,231 -- 251,135,558 Netherlands................. 5,486,144 28,902,455 -- 34,388,599 New Zealand................. 3,451 5,796,957 -- 5,800,408 Norway...................... 708,863 13,535,575 -- 14,244,438 Portugal.................... -- 6,389,074 -- 6,389,074 Singapore................... -- 19,388,752 -- 19,388,752 Spain....................... 1,381,192 33,738,770 -- 35,119,962 Sweden...................... 130,505 41,929,967 -- 42,060,472 Switzerland................. 5,732,891 81,667,401 -- 87,400,292 United Kingdom.............. 43,379,209 203,862,526 -- 247,241,735 United States............... 261,294 181,016 -- 442,310 Preferred Stocks Germany..................... -- 223,512 -- 223,512 United Kingdom.............. -- 17,710 -- 17,710 Rights/Warrants Australia................... -- 7,208 -- 7,208 Austria..................... -- -- -- -- France...................... -- 176,352 -- 176,352 Hong Kong................... -- 5,333 -- 5,333 Israel...................... -- 1,030 -- 1,030 Portugal.................... -- 17,815 -- 17,815 Singapore................... -- 7,113 -- 7,113 Spain....................... -- 109,998 -- 109,998 Sweden...................... -- 8,621 -- 8,621 United Kingdom.............. -- 65,564 -- 65,564 Securities Lending Collateral. -- 158,518,289 -- 158,518,289 ------------ -------------- -- -------------- TOTAL......................... $190,636,669 $1,255,571,082 -- $1,446,207,751 ============ ============== == ==============
See accompanying Notes to Financial Statements. 64 WORLD EX U.S. VALUE PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2014 (Unaudited)
Shares Value+ ------- ------------ AFFILIATED INVESTMENT COMPANIES -- (100.0%) Investment in The DFA International Value Series of The DFA Investment Trust Company........................... $ 83,290,755 Investment in Dimensional Emerging Markets Value Fund........ 25,156,979 Investment in DFA International Small Cap Value Portfolio of DFA Investment Dimensions Group Inc........................ 492,190 10,582,093 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $102,766,559)..................................... 119,029,827 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $102,766,559)..................................... $119,029,827 ============
Summary of the Portfolio's investments as of April 30, 2014, 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. $119,029,827 -- -- $119,029,827 ------------ -- -- ------------ TOTAL........................... $119,029,827 -- -- $119,029,827 ============ == == ============
See accompanying Notes to Financial Statements. 65 WORLD EX U.S. TARGETED VALUE PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2014 (Unaudited)
Shares Value+ --------- ------------ AFFILIATED INVESTMENT COMPANIES -- (100.0%) Investment in DFA International Small Cap Value Portfolio of DFA Investment Dimensions Group Inc........................ 4,156,347 $ 89,361,459 Investment in Dimensional Emerging Markets Value Fund........ 33,114,738 Investment in International Vector Equity Portfolio of DFA Investment Dimensions Group Inc........................ 1,051,685 12,977,794 Investment in The Emerging Markets Small Cap Series of The DFA Investment Trust Company........................... 8,628,037 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $127,171,473)..................................... 144,082,028 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $127,171,473)..................................... $144,082,028 ============
Summary of the Portfolio's investments as of April 30, 2014, 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. $144,082,028 -- -- $144,082,028 ------------ -- -- ------------ TOTAL........................... $144,082,028 -- -- $144,082,028 ============ == == ============
See accompanying Notes to Financial Statements. 66 WORLD EX U.S. CORE EQUITY PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2014 (Unaudited)
Shares Value+ ---------- ------------ AFFILIATED INVESTMENT COMPANIES -- (100.0%) Investment in International Core Equity Portfolio of DFA Investment Dimensions Group Inc.................... 12,532,551 $165,053,695 Investment in Emerging Markets Core Equity Portfolio of DFA Investment Dimensions Group Inc.................... 2,486,894 49,041,546 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $194,730,846)................................. 214,095,241 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $194,730,846)................................. $214,095,241 ============
Summary of the Portfolio's investments as of April 30, 2014, 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. $214,095,241 -- -- $214,095,241 ------------ -- -- ------------ TOTAL........................... $214,095,241 -- -- $214,095,241 ============ == == ============
See accompanying Notes to Financial Statements. 67 SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2014 (Unaudited)
Shares Value+ --------- ------------ AFFILIATED INVESTMENT COMPANIES -- (100.0%) Investment in U.S. Core Equity 2 Portfolio of DFA Investment Dimensions Group Inc.................... 2,911,282 $ 48,239,940 Investment in International Core Equity Portfolio of DFA Investment Dimensions Group Inc.................... 3,170,732 41,758,540 Investment in Emerging Markets Core Equity Portfolio of DFA Investment Dimensions Group Inc.................... 878,674 17,327,446 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $89,796,778).................................. 107,325,926 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $89,796,778).................................. $107,325,926 ============
Summary of the Portfolio's investments as of April 30, 2014, 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. $107,325,926 -- -- $107,325,926 Futures Contracts**............. 11,733 -- -- 11,733 Forward Currency Contracts**.... -- $(4,611) -- (4,611) ------------ ------- -- ------------ TOTAL........................... $107,337,659 $(4,611) -- $107,333,048 ============ ======= == ============
**Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 68 SCHEDULES OF INVESTMENTS April 30, 2014 (Unaudited) EMERGING MARKETS PORTFOLIO
Value+ -------------- AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The Emerging Markets Series of The DFA Investment Trust Company.................................. $3,865,541,570 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $2,811,506,415)........................................ $3,865,541,570 ==============
Summary of the Portfolio's Master Fund's investments as of April 30, 2014, 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.............................. $4,318,081,018 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $3,854,021,374)........................................ $4,318,081,018 ==============
Summary of the Portfolio's Master Fund's investments as of April 30, 2014, 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....... $18,795,867,195 --------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $18,820,240,077)....................................... $18,795,867,195 ===============
Summary of the Portfolio's Master Fund's investments as of April 30, 2014, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 69 EMERGING MARKETS CORE EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2014 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (87.6%) BRAZIL -- (6.7%) AMBEV SA ADR........................................ 6,417,027 $ 46,523,446 0.3% BM&FBovespa SA...................................... 9,686,489 49,523,926 0.4% Petroleo Brasileiro SA ADR.......................... 3,836,209 53,246,581 0.4% # Vale SA Sponsored ADR(91912E105).................... 3,456,710 45,697,706 0.3% Other Securities.................................... 834,387,140 5.8% -------------- ----- TOTAL BRAZIL............................................ 1,029,378,799 7.2% -------------- ----- CHILE -- (1.4%) Other Securities.................................... 215,878,185 1.5% -------------- ----- CHINA -- (13.2%) Bank of China, Ltd. Class H......................... 157,471,702 69,585,230 0.5% China Construction Bank Corp. Class H............... 158,865,302 109,994,041 0.8% China Mobile, Ltd................................... 3,987,000 37,950,155 0.3% China Mobile, Ltd. Sponsored ADR.................... 1,837,282 87,142,285 0.6% CNOOC, Ltd.......................................... 21,558,000 35,465,333 0.3% # CNOOC, Ltd. ADR..................................... 213,780 35,314,318 0.3% Industrial & Commercial Bank of China, Ltd. Class H. 158,902,725 94,741,662 0.7% Tencent Holdings, Ltd............................... 1,224,700 77,138,952 0.6% Other Securities.................................... 1,494,120,830 10.2% -------------- ----- TOTAL CHINA............................................. 2,041,452,806 14.3% -------------- ----- COLOMBIA -- (0.5%) Other Securities.................................... 76,048,438 0.5% -------------- ----- CZECH REPUBLIC -- (0.3%) Other Securities.................................... 40,891,082 0.3% -------------- ----- EGYPT -- (0.1%) Other Securities.................................... 9,188,254 0.1% -------------- ----- GREECE -- (0.5%) Other Securities.................................... 80,128,027 0.6% -------------- ----- HUNGARY -- (0.2%) Other Securities.................................... 38,110,855 0.3% -------------- ----- INDIA -- (7.2%) HDFC Bank, Ltd...................................... 2,994,559 36,021,014 0.3% # Infosys, Ltd. Sponsored ADR......................... 875,587 47,027,778 0.3% Reliance Industries, Ltd............................ 3,980,031 61,885,899 0.5% Other Securities.................................... 968,812,215 6.7% -------------- ----- TOTAL INDIA............................................. 1,113,746,906 7.8% -------------- ----- INDONESIA -- (2.9%) Astra International Tbk PT.......................... 60,036,200 38,680,848 0.3% Other Securities.................................... 408,123,547 2.8% -------------- ----- TOTAL INDONESIA......................................... 446,804,395 3.1% -------------- ----- ISRAEL -- (0.0%) Other Securities.................................... 197,002 0.0% -------------- ----- MALAYSIA -- (4.3%) # CIMB Group Holdings Bhd............................. 16,181,395 37,275,314 0.3% Malayan Banking Bhd................................. 14,680,988 44,564,178 0.3% Other Securities.................................... 585,447,642 4.1% -------------- ----- TOTAL MALAYSIA.......................................... 667,287,134 4.7% -------------- -----
70 EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- MEXICO -- (5.0%) America Movil S.A.B. de C.V. Series L ADR........... 2,771,184 $ 55,645,374 0.4% #* Cemex S.A.B. de C.V. Sponsored ADR.................. 6,545,913 82,740,339 0.6% # Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR................................................ 599,632 54,428,597 0.4% # Grupo Financiero Banorte S.A.B. de C.V.............. 8,827,008 58,625,192 0.4% # Grupo Mexico S.A.B. de C.V. Series B................ 12,753,153 38,407,386 0.3% Grupo Televisa S.A.B. Sponsored ADR................. 1,810,392 59,398,962 0.4% Other Securities.................................... 421,286,430 2.9% -------------- ----- TOTAL MEXICO............................................ 770,532,280 5.4% -------------- ----- PERU -- (0.1%) Other Securities.................................... 21,006,749 0.1% -------------- ----- PHILIPPINES -- (1.4%) Other Securities.................................... 208,990,003 1.5% -------------- ----- POLAND -- (2.1%) Powszechna Kasa Oszczednosci Bank Polski SA......... 3,042,817 41,757,735 0.3% Other Securities.................................... 276,377,295 1.9% -------------- ----- TOTAL POLAND............................................ 318,135,030 2.2% -------------- ----- RUSSIA -- (2.4%) Gazprom OAO Sponsored ADR........................... 12,507,217 90,388,857 0.6% Lukoil OAO Sponsored ADR............................ 1,314,573 69,592,735 0.5% Sberbank of Russia Sponsored ADR.................... 4,255,587 35,849,359 0.3% Other Securities.................................... 176,863,111 1.2% -------------- ----- TOTAL RUSSIA............................................ 372,694,062 2.6% -------------- ----- SOUTH AFRICA -- (7.4%) # Bidvest Group, Ltd.................................. 1,371,437 37,656,689 0.3% FirstRand, Ltd...................................... 10,566,034 38,876,557 0.3% MTN Group, Ltd...................................... 4,151,165 83,279,867 0.6% Naspers, Ltd. Class N............................... 654,201 61,821,507 0.4% Sanlam, Ltd......................................... 8,139,212 43,602,905 0.3% Sasol, Ltd.......................................... 919,023 51,506,006 0.4% Sasol, Ltd. Sponsored ADR........................... 947,919 52,524,192 0.4% Standard Bank Group, Ltd............................ 4,181,964 54,946,605 0.4% Steinhoff International Holdings, Ltd............... 8,312,234 43,193,202 0.3% Other Securities.................................... 675,819,987 4.6% -------------- ----- TOTAL SOUTH AFRICA...................................... 1,143,227,517 8.0% -------------- ----- SOUTH KOREA -- (13.8%) Hana Financial Group, Inc........................... 1,140,149 40,231,352 0.3% Hyundai Mobis....................................... 153,167 43,757,279 0.3% # Hyundai Motor Co.................................... 364,834 81,345,741 0.6% Kia Motors Corp..................................... 649,372 36,028,576 0.3% # POSCO ADR........................................... 511,345 37,634,992 0.3% # Samsung Electronics Co., Ltd........................ 266,899 348,025,666 2.5% Other Securities.................................... 1,550,304,091 10.7% -------------- ----- TOTAL SOUTH KOREA....................................... 2,137,327,697 15.0% -------------- ----- TAIWAN -- (13.4%) Hon Hai Precision Industry Co., Ltd................. 31,724,623 91,111,876 0.7% Taiwan Semiconductor Manufacturing Co., Ltd......... 40,714,652 159,982,333 1.1% Other Securities.................................... 1,817,777,237 12.7% -------------- ----- TOTAL TAIWAN............................................ 2,068,871,446 14.5% -------------- -----
71 EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- THAILAND -- (2.8%) Other Securities..................... $ 425,257,152 3.0% --------------- ----- TURKEY -- (2.0%) Other Securities..................... 310,315,543 2.2% --------------- ----- TOTAL COMMON STOCKS...................... 13,535,469,362 94.9% --------------- ----- PREFERRED STOCKS -- (3.6%) BRAZIL -- (3.5%) # Banco Bradesco SA ADR................ 5,097,969 75,806,794 0.5% Itau Unibanco Holding SA............. 2,951,785 48,716,532 0.4% Itau Unibanco Holding SA ADR......... 5,554,966 90,879,242 0.7% # Petroleo Brasileiro SA Sponsored ADR. 5,128,535 75,902,318 0.5% Vale SA Sponsored ADR................ 4,036,193 47,909,611 0.4% Other Securities..................... 196,079,468 1.3% --------------- ----- TOTAL BRAZIL............................. 535,293,965 3.8% --------------- ----- CHILE -- (0.0%) Other Securities..................... 1,666,912 0.0% --------------- ----- COLOMBIA -- (0.1%) Other Securities..................... 11,297,396 0.1% --------------- ----- INDIA -- (0.0%) Other Securities..................... 376,100 0.0% --------------- ----- TOTAL PREFERRED STOCKS................... 548,634,373 3.9% --------------- ----- RIGHTS/WARRANTS -- (0.0%) BRAZIL -- (0.0%) Other Securities..................... 3,614 0.0% --------------- ----- CHILE -- (0.0%) Other Securities..................... -- 0.0% --------------- ----- HONG KONG -- (0.0%) Other Securities..................... 2,620 0.0% --------------- ----- INDIA -- (0.0%) Other Securities..................... 1,400 0.0% --------------- ----- MALAYSIA -- (0.0%) Other Securities..................... 32,807 0.0% --------------- ----- PHILIPPINES -- (0.0%) Other Securities..................... 8,573 0.0% --------------- ----- SOUTH AFRICA -- (0.0%) Other Securities..................... 22,898 0.0% --------------- ----- SOUTH KOREA -- (0.0%) Other Securities..................... 658,482 0.0% --------------- ----- TAIWAN -- (0.0%) Other Securities..................... 1,067 0.0% --------------- ----- THAILAND -- (0.0%) Other Securities..................... 683,885 0.0% --------------- ----- TURKEY -- (0.0%) Other Securities..................... 644,458 0.0% --------------- ----- TOTAL RIGHTS/WARRANTS.................... 2,059,804 0.0% --------------- -----
72 EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
Shares/ Face Percentage Amount Value+ of Net Assets** ------- ------ --------------- (000) SECURITIES LENDING COLLATERAL -- (8.8%) (S)@ DFA Short Term Investment Fund.. 117,489,125 $ 1,359,349,182 9.5% --------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $14,362,067,155)............. $15,445,512,721 108.3% =============== ======
Summary of the Portfolio's investments as of April 30, 2014, 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...................... $1,029,378,799 -- -- $ 1,029,378,799 Chile....................... 215,878,185 -- -- 215,878,185 China....................... 218,118,001 $ 1,823,334,805 -- 2,041,452,806 Colombia.................... 76,048,438 -- -- 76,048,438 Czech Republic.............. -- 40,891,082 -- 40,891,082 Egypt....................... -- 9,188,254 -- 9,188,254 Greece...................... 3,127,948 77,000,079 -- 80,128,027 Hungary..................... 259,235 37,851,620 -- 38,110,855 India....................... 96,383,021 1,017,363,885 -- 1,113,746,906 Indonesia................... 14,873,084 431,931,311 -- 446,804,395 Israel...................... -- 197,002 -- 197,002 Malaysia.................... -- 667,287,134 -- 667,287,134 Mexico...................... 770,410,285 121,995 -- 770,532,280 Peru........................ 21,006,749 -- -- 21,006,749 Philippines................. 4,292,475 204,697,528 -- 208,990,003 Poland...................... -- 318,135,030 -- 318,135,030 Russia...................... 18,245,778 354,448,284 -- 372,694,062 South Africa................ 103,835,775 1,039,391,742 -- 1,143,227,517 South Korea................. 97,629,876 2,039,697,821 -- 2,137,327,697 Taiwan...................... 46,309,507 2,022,561,939 -- 2,068,871,446 Thailand.................... 424,964,654 292,498 -- 425,257,152 Turkey...................... 4,256,063 306,059,480 -- 310,315,543 Preferred Stocks Brazil...................... 535,293,965 -- -- 535,293,965 Chile....................... 1,666,912 -- -- 1,666,912 Colombia.................... 11,297,396 -- -- 11,297,396 India....................... 376,100 -- -- 376,100 Rights/Warrants Brazil...................... -- 3,614 -- 3,614 Chile....................... -- -- -- -- Hong Kong................... -- 2,620 -- 2,620 India....................... -- 1,400 -- 1,400 Malaysia.................... -- 32,807 -- 32,807 Philippines................. -- 8,573 -- 8,573 South Africa................ -- 22,898 -- 22,898 South Korea................. 14,213 644,269 -- 658,482 Taiwan...................... 1,067 -- -- 1,067 Thailand.................... -- 683,885 -- 683,885 Turkey...................... -- 644,458 -- 644,458 Securities Lending Collateral. -- 1,359,349,182 -- 1,359,349,182 -------------- --------------- -- --------------- TOTAL......................... $3,693,667,526 $11,751,845,195 -- $15,445,512,721 ============== =============== == ===============
See accompanying Notes to Financial Statements. 73 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2014 (Unaudited) (Amounts in thousands, except share and per share amounts)
Enhanced U.S. Large U.S. Large Cap Company Equity U.S. Large Cap U.S. Targeted Portfolio Portfolio Value Portfolio Value Portfolio - ------------- -------------- --------------- --------------- ASSETS: Investments in Affiliated Investment Company at Value............... -- -- $ 13,614,026 -- Investments at Value (including $0, $24,192, $0 and $846,388 of securities on loan, respectively).................................. $ 195,364 $ 197,133 -- $ 4,946,183 Temporary Cash Investments at Value & Cost.......................... -- 664 -- 15,511 Collateral from Securities on Loan Invested in Affiliate at Value & Cost............................................................... -- 24,577 -- 866,271 Cash................................................................ 2,452 -- -- 5,694 Receivables: Investment Securities/Affiliated Investment Company Sold.......... -- -- -- 12,756 Dividends, Interest and Tax Reclaims.............................. 1,046 167 -- 1,702 Securities Lending Income......................................... -- 6 -- 308 Fund Shares Sold.................................................. 34 109 10,312 6,830 Futures Margin Variation.......................................... 616 -- -- -- Unrealized Gain on Forward Currency Contracts....................... 15 -- -- -- Deferred Offering Costs............................................. -- 7 -- -- Prepaid Expenses and Other Assets................................... 15 18 97 53 ------------ ------------ -------------- ------------ Total Assets.................................................... 199,542 222,681 13,624,435 5,855,308 ------------ ------------ -------------- ------------ LIABILITIES: Payables: Upon Return of Securities Loaned.................................. -- 24,577 -- 866,271 Investment Securities/Affiliated Investment Company Purchased........................................................ -- 445 -- 14,408 Fund Shares Redeemed.............................................. 114 157 4,455 4,364 Due to Advisor.................................................... 32 14 1,662 1,423 Unrealized Loss on Forward Currency Contracts....................... 267 -- -- -- Accrued Expenses and Other Liabilities.............................. 19 9 371 237 ------------ ------------ -------------- ------------ Total Liabilities............................................... 432 25,202 6,488 886,703 ------------ ------------ -------------- ------------ NET ASSETS.......................................................... $ 199,110 $ 197,479 $ 13,617,947 $ 4,968,605 ============ ============ ============== ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Class R1 Shares -- based on net assets of $0; $0; $0 and $12,061 and shares outstanding of 0; 0; 0 and 527,767, respectively....................................................... N/A N/A N/A $ 22.85 ============ ============ ============== ============ 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 $77,227 and shares outstanding of 0; 0; 0 and 3,389,444, respectively....................................................... N/A N/A N/A $ 22.78 ============ ============ ============== ============ NUMBER OF SHARES AUTHORIZED......................................... N/A N/A N/A 100,000,000 ============ ============ ============== ============ Institutional Class Shares -- based on net assets of $199,110; $197,479; $13,617,947 and $4,879,317 and shares outstanding of 15,750,989; 16,582,695; 422,542,710 and 213,729,854, respectively.......................................... $ 12.64 $ 11.91 $ 32.23 $ 22.83 ============ ============ ============== ============ NUMBER OF SHARES AUTHORIZED......................................... 300,000,000 100,000,000 2,000,000,000 700,000,000 ============ ============ ============== ============ Investments in Affiliated Investment Company at Cost................ $ -- $ -- $ 8,645,898 $ -- ------------ ------------ -------------- ------------ Investments at Cost................................................. $ 189,961 $ 174,936 $ -- $ 3,428,385 ============ ============ ============== ============ NET ASSETS CONSIST OF: Paid-In Capital..................................................... $ 180,459 $ 174,689 $ 8,844,213 $ 3,324,423 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)............................................. 212 440 28,282 5,539 Accumulated Net Realized Gain (Loss)................................ 4,069 153 (222,676) 120,845 Net Unrealized Foreign Exchange Gain (Loss)......................... (243) -- -- -- Net Unrealized Appreciation (Depreciation).......................... 14,613 22,197 4,968,128 1,517,798 ------------ ------------ -------------- ------------ NET ASSETS.......................................................... $ 199,110 $ 197,479 $ 13,617,947 $ 4,968,605 ============ ============ ============== ============
See accompanying Notes to Financial Statements. 74 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2014 (Unaudited) (Amounts in thousands, except share and per share amounts)
U.S. Core U.S. Core U.S. Vector U.S. Small Cap Equity 1 Equity 2 Equity Value Portfolio Portfolio Portfolio Portfolio --------------- -------------- -------------- -------------- ASSETS: Investments at Value (including $1,893,187, $777,662, $1,049,551 and $414,138 of securities on loan, respectively).............................. $ 10,734,915 $ 9,054,350 $ 11,441,544 $ 3,186,833 Temporary Cash Investments at Value & Cost........... 131,695 30,400 60,383 4,430 Collateral from Securities on Loan Invested in Affiliate at Value & Cost........................... 1,927,797 793,203 1,072,385 423,491 Segregated Cash for Futures Contracts................ 3,570 -- -- -- Cash................................................. 4,059 1,193 1,818 1,229 Receivables: Investment Securities Sold......................... 516 9,728 12,887 7,999 Dividends, Interest and Tax Reclaims............... 4,664 6,072 7,370 1,705 Securities Lending Income.......................... 481 351 523 198 Fund Shares Sold................................... 111,751 15,245 27,483 4,108 Futures Margin Variation........................... 511 -- -- -- Prepaid Expenses and Other Assets.................... 74 81 98 42 -------------- -------------- -------------- -------------- Total Assets.................................... 12,920,033 9,910,623 12,624,491 3,630,035 -------------- -------------- -------------- -------------- LIABILITIES: Payables: Upon Return of Securities Loaned................... 1,927,797 793,203 1,072,385 423,491 Investment Securities Purchased.................... 71,391 23,568 53,470 2,753 Fund Shares Redeemed............................... 3,029 4,110 2,535 1,469 Due to Advisor..................................... 4,443 1,250 1,862 787 Accrued Expenses and Other Liabilities............... 517 319 455 142 -------------- -------------- -------------- -------------- Total Liabilities............................... 2,007,177 822,450 1,130,707 428,642 -------------- -------------- -------------- -------------- NET ASSETS........................................... $ 10,912,856 $ 9,088,173 $ 11,493,784 $ 3,201,393 ============== ============== ============== ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $10,912,856; $9,088,173; $11,493,784 and $3,201,393 and shares outstanding of 310,433,216; 541,215,281; 693,802,835 and 194,732,517, respectively........................... $ 35.15 $ 16.79 $ 16.57 $ 16.44 ============== ============== ============== ============== NUMBER OF SHARES AUTHORIZED.......................... 1,700,000,000 1,500,000,000 2,300,000,000 1,000,000,000 ============== ============== ============== ============== Investments at Cost.................................. $ 7,428,246 $ 6,217,021 $ 7,542,364 $ 2,092,796 ============== ============== ============== ============== NET ASSETS CONSIST OF: Paid-In Capital...................................... $ 7,400,488 $ 6,209,345 $ 7,581,677 $ 2,074,195 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)................. 1,117 18,227 22,493 5,288 Accumulated Net Realized Gain (Loss)................. 208,705 23,272 (9,566) 27,873 Net Unrealized Appreciation (Depreciation)........... 3,302,546 2,837,329 3,899,180 1,094,037 -------------- -------------- -------------- -------------- NET ASSETS........................................... $ 10,912,856 $ 9,088,173 $ 11,493,784 $ 3,201,393 ============== ============== ============== ==============
See accompanying Notes to Financial Statements. 75 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2014 (Unaudited) (Amounts in thousands, except share and per share amounts)
DFA Real Estate Large Cap U.S. Small Cap U.S. Micro Cap Securities International Portfolio Portfolio Portfolio Portfolio* -------------- -------------- ------------ ------------- ASSETS: Investments at Value (including $2,063,289, $917,738, $544,266 and $419,668 of securities on loan, respectively).............................................. $ 8,361,307 $ 4,771,493 $ 5,524,070 $ 3,020,209 Temporary Cash Investments at Value & Cost.................. -- 13,685 29,681 -- Collateral from Securities on Loan Invested in Affiliate at Value & Cost............................................... 2,111,621 934,717 557,065 442,265 Foreign Currencies at Value................................. -- -- -- 6,386 Cash........................................................ 6,764 7,969 -- 16,317 Receivables: Investment Securities Sold 12,095 18,154 -- -- Dividends, Interest and Tax Reclaims...................... 2,680 1,580 4,325 13,944 Securities Lending Income................................. 872 471 131 613 Fund Shares Sold.......................................... 20,435 2,677 6,402 2,982 Unrealized Gain on Foreign Currency Contracts............... -- -- -- 24 Prepaid Expenses and Other Assets........................... 61 55 51 25 -------------- -------------- ------------ ------------ Total Assets........................................... 10,515,835 5,750,801 6,121,725 3,502,765 -------------- -------------- ------------ ------------ LIABILITIES: Payables: Upon Return of Securities Loaned.......................... 2,111,621 934,717 557,065 442,265 Investment Securities Purchased........................... 46 8,020 16,366 11,659 Fund Shares Redeemed...................................... 3,090 2,224 2,342 873 Due to Advisor............................................ 2,429 2,002 722 614 Line of Credit............................................ 6,922 -- -- -- Accrued Expenses and Other Liabilities...................... 315 253 260 164 -------------- -------------- ------------ ------------ Total Liabilities...................................... 2,124,423 947,216 576,755 455,575 -------------- -------------- ------------ ------------ NET ASSETS.................................................. $ 8,391,412 $ 4,803,585 $ 5,544,970 $ 3,047,190 ============== ============== ============ ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $8,391,412; $4,803,585; $5,544,970 and $3,047,190 and shares outstanding of 276,835,874; 245,906,230; 187,942,308 and 132,523,183, respectively.................. $ 30.31 $ 19.53 $ 29.50 $ 22.99 ============== ============== ============ ============ NUMBER OF SHARES AUTHORIZED................................. 1,000,000,000 1,500,000,000 700,000,000 500,000,000 ============== ============== ============ ============ Investments at Cost......................................... $ 6,045,505 $ 3,126,312 $ 3,861,761 $ 2,296,937 ============== ============== ============ ============ Foreign Currencies at Cost.................................. $ -- $ -- $ -- $ 6,365 ============== ============== ============ ============ NET ASSETS CONSIST OF: Paid-In Capital............................................. $ 5,894,973 $ 2,993,424 $ 4,100,308 $ 2,532,998 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........................... 9,420 4,138 32,871 24,934 Accumulated Net Realized Gain (Loss)........................ 171,217 160,842 (250,518) (234,122) Net Unrealized Foreign Exchange Gain (Loss)................. -- -- -- 87 Net Unrealized Appreciation (Depreciation).................. 2,315,802 1,645,181 1,662,309 723,293 -------------- -------------- ------------ ------------ NET ASSETS.................................................. $ 8,391,412 $ 4,803,585 $ 5,544,970 $ 3,047,190 ============== ============== ============ ============
---------- * See Note J in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 76 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2014 (Unaudited) (Amounts in thousands, except share and per share amounts)
International Asia Pacific International Small Japanese Small Small Core Equity Company Company Company Portfolio* Portfolio Portfolio Portfolio -------------- -------------- -------------- ------------ ASSETS: Investments in Affiliated Investment Companies at Value...................................................... -- $ 9,216,527 $ 380,419 $ 397,070 Investments at Value (including $1,541,869, $0, $0 and $0 of securities on loan, respectively).................... $ 11,378,591 -- -- -- Temporary Cash.............................................. -- 6,065 -- -- Collateral from Securities on Loan Invested in Affiliate at Value & Cost............................................... 1,599,130 -- -- -- Foreign Currencies at Value................................. 8,329 -- -- -- Cash........................................................ 19,837 -- -- -- Receivables: Investment Securities Sold................................ 22,558 -- -- -- Dividends, Interest and Tax Reclaims...................... 48,337 -- -- -- Securities Lending Income................................. 2,536 -- -- -- Fund Shares Sold.......................................... 21,089 4,171 9 34 Unrealized Gain on Foreign Currency Contracts............... 24 -- -- -- Prepaid Expenses and Other Assets........................... 84 54 14 14 -------------- -------------- ------------ ------------ Total Assets........................................... 13,100,515 9,226,817 380,442 397,118 -------------- -------------- ------------ ------------ LIABILITIES: Payables: Upon Return of Securities Loaned.......................... 1,599,130 -- -- -- Investment Securities Purchased........................... 32,285 -- -- -- Fund Shares Redeemed...................................... 3,175 2,655 358 2 Due to Advisor............................................ 3,215 3,023 123 129 Unrealized Loss on Foreign Currency Contracts............... 10 -- -- -- Accrued Expenses and Other Liabilities...................... 525 309 17 14 -------------- -------------- ------------ ------------ Total Liabilities...................................... 1,638,340 5,987 498 145 -------------- -------------- ------------ ------------ NET ASSETS.................................................. $ 11,462,175 $ 9,220,830 $ 379,944 $ 396,973 ============== ============== ============ ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $11,462,175; $9,220,830; $379,944 and $396,973 and shares outstanding of 870,277,070; 460,392,549; 20,772,450 and 16,688,077, respectively.................... $ 13.17 $ 20.03 $ 18.29 $ 23.79 ============== ============== ============ ============ 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...... $ -- $ 7,184,901 $ 372,913 $ 370,732 ============== ============== ============ ============ Investments at Cost......................................... $ 9,344,533 $ -- $ -- $ -- ============== ============== ============ ============ Foreign Currencies at Cost.................................. $ 8,311 $ -- $ -- $ -- ============== ============== ============ ============ NET ASSETS CONSIST OF: Paid-In Capital............................................. $ 9,587,606 $ 7,015,977 $ 439,857 $ 398,913 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........................... 90,015 13,847 (2,183) (1,261) Accumulated Net Realized Gain (Loss)........................ (249,682) 159,259 (65,205) (27,019) Net Unrealized Foreign Exchange Gain (Loss)................. 160 121 (31) 2 Net Unrealized Appreciation (Depreciation).................. 2,034,076 2,031,626 7,506 26,338 -------------- -------------- ------------ ------------ NET ASSETS.................................................. $ 11,462,175 $ 9,220,830 $ 379,944 $ 396,973 ============== ============== ============ ============
---------- * See Note J in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 77 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2014 (Unaudited) (Amounts in thousands, except share and per share amounts)
DFA United Continental International DFA Global Kingdom Small Small Real Estate Real Estate Company Company Securities Securities Portfolio Portfolio Portfolio* Portfolio ------------- ------------ ------------- ------------ ASSETS: Investments in Affiliated Investment Companies at Value............... $ 39,058 $ 194,298 -- $ 2,553,380 Investments at Value (including $0, $0, $171,423 and $0 of securities on loan, respectively)............................................... -- -- $ 2,541,694 -- Temporary Cash Investments at Value & Cost............................ -- -- -- 7,403 Collateral from Securities on Loan Invested in Affiliate at Value & Cost................................................................. -- -- 179,375 -- Foreign Currencies at Value........................................... -- -- 3,794 -- Cash.................................................................. -- -- 22,829 -- Receivables: Dividends, Interest and Tax Reclaims................................ -- -- 10,682 1 Securities Lending Income........................................... -- -- 301 -- Fund Shares Sold.................................................... 103 1 2,872 2,433 Unrealized Gain on Foreign Currency Contracts......................... -- -- 21 -- Prepaid Expenses and Other Assets..................................... 10 11 29 61 ------------ ------------ ------------ ------------ Total Assets..................................................... 39,171 194,310 2,761,597 2,563,278 ------------ ------------ ------------ ------------ LIABILITIES: Payables: Upon Return of Securities Loaned.................................... -- -- 179,375 -- Investment Securities/Affiliated Investment Company Purchased....... -- -- 8,019 3,700 Fund Shares Redeemed................................................ -- -- 954 1,623 Due to Advisor...................................................... 12 63 716 94 Unrealized Loss on Foreign Currency Contracts......................... -- -- 1 -- Accrued Expenses and Other Liabilities................................ 5 12 142 44 ------------ ------------ ------------ ------------ Total Liabilities................................................ 17 75 189,207 5,461 ------------ ------------ ------------ ------------ NET ASSETS............................................................ $ 39,154 $ 194,235 $ 2,572,390 $ 2,557,817 ============ ============ ============ ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $39,154; $194,235; $2,572,390 and $2,557,817 and shares outstanding of 994,067; 8,378,036; 473,527,873 and 259,118,853, respectively........ $ 39.39 $ 23.18 $ 5.43 $ 9.87 ============ ============ ============ ============ NUMBER OF SHARES AUTHORIZED........................................... 100,000,000 100,000,000 700,000,000 500,000,000 ============ ============ ============ ============ Investments in Affiliated Investment Companies at Cost................ $ 23,031 $ 135,663 $ -- $ 2,084,675 ============ ============ ============ ============ Investments at Cost................................................... $ -- $ -- $ 2,204,574 $ -- ============ ============ ============ ============ Foreign Currencies at Cost............................................ $ -- $ -- $ 3,783 $ -- ============ ============ ============ ============ NET ASSETS CONSIST OF: Paid-In Capital....................................................... $ 21,978 $ 157,541 $ 2,684,147 $ 2,120,338 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)................................................... 75 1,257 (212,733) 5,607 Accumulated Net Realized Gain (Loss).................................. 1,069 (23,331) (236,204) (36,833) Net Unrealized Foreign Exchange Gain (Loss)........................... 5 133 49 -- Net Unrealized Appreciation (Depreciation)............................ 16,027 58,635 337,131 468,705 ------------ ------------ ------------ ------------ NET ASSETS............................................................ $ 39,154 $ 194,235 $ 2,572,390 $ 2,557,817 ============ ============ ============ ============
---------- * See Note J in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 78 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2014 (Unaudited) (Amounts in thousands, except share and per share amounts)
DFA International International World ex U.S. Small Cap Vector Equity World ex U.S. Targeted Value Value Portfolio* Portfolio* Value Portfolio Portfolio ---------------- ------------- --------------- -------------- ASSETS: Investments in Affiliated Investment Companies at Value................................................... -- -- $ 119,030 $ 144,082 Investments at Value (including $1,377,769, $152,547, $0, $0 and $0 of securities on loan, respectively)...... $ 12,252,451 $ 1,287,689 -- -- Collateral from Securities on Loan Invested in Affiliate at Value & Cost......................................... 1,459,318 158,518 -- -- Foreign Currencies at Value.............................. 23,108 2,971 -- -- Cash..................................................... 34,369 4,690 20 -- Receivables: Investment Securities Sold............................. 4,894 7,151 -- 143 Dividends, Interest and Tax Reclaims................... 60,168 5,454 -- -- Securities Lending Income.............................. 3,099 303 -- -- Fund Shares Sold....................................... 13,188 1,835 55 184 From Advisor........................................... -- -- -- -- Unrealized Gain on Foreign Currency Contracts............ 10 12 -- -- Prepaid Expenses and Other Assets........................ 66 18 12 15 -------------- ------------ ------------ ------------ Total Assets......................................... 13,850,671 1,468,641 119,117 144,424 -------------- ------------ ------------ ------------ LIABILITIES: Payables: Upon Return of Securities Loaned....................... 1,459,318 158,518 -- -- Investment Securities Purchased........................ 15,883 12,721 -- -- Fund Shares Redeemed................................... 20,677 367 -- 49 Due to Advisor......................................... 6,561 470 40 15 Line of Credit......................................... -- -- -- 197 Unrealized Loss on Foreign Currency Contracts............ 2 1 -- -- Accrued Expenses and Other Liabilities................... 638 115 5 6 -------------- ------------ ------------ ------------ Total Liabilities.................................... 1,503,079 172,192 45 267 -------------- ------------ ------------ ------------ NET ASSETS............................................... $ 12,347,592 $ 1,296,449 $ 119,072 $ 144,157 ============== ============ ============ ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $12,347,592; $1,296,449; $119,072; $144,157 and $214,650 and shares outstanding of 574,253,032; 105,035,982; 9,767,042; 11,207,500 and 19,321,513, respectively............................................ $ 21.50 $ 12.34 $ 12.19 $ 12.86 ============== ============ ============ ============ NUMBER OF SHARES AUTHORIZED.............................. 2,300,000,000 500,000,000 100,000,000 100,000,000 ============== ============ ============ ============ Investments in Affiliated Investment Companies at Cost... $ -- $ -- $ 102,767 $ 127,171 ============== ============ ============ ============ Investments at Cost...................................... $ 9,457,542 $ 1,007,795 $ -- $ -- ============== ============ ============ ============ Foreign Currencies at Cost............................... $ 23,046 $ 2,961 $ -- $ -- ============== ============ ============ ============ NET ASSETS CONSIST OF: Paid-In Capital.......................................... $ 9,384,721 $ 1,003,321 $ 104,050 $ 126,647 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........................ 5,646 9,896 800 (112) Accumulated Net Realized Gain (Loss)..................... 162,049 3,310 (2,010) 711 Net Unrealized Foreign Exchange Gain (Loss).............. 205 18 (31) -- Net Unrealized Appreciation (Depreciation)............... 2,794,971 279,904 16,263 16,911 -------------- ------------ ------------ ------------ NET ASSETS............................................... $ 12,347,592 $ 1,296,449 $ 119,072 $ 144,157 ============== ============ ============ ============
World ex U.S. Core Equity Portfolio ------------- ASSETS: Investments in Affiliated Investment Companies at Value................................................... $ 214,095 Investments at Value (including $1,377,769, $152,547, $0, $0 and $0 of securities on loan, respectively)...... -- Collateral from Securities on Loan Invested in Affiliate at Value & Cost......................................... -- Foreign Currencies at Value.............................. -- Cash..................................................... 1,395 Receivables: Investment Securities Sold............................. -- Dividends, Interest and Tax Reclaims................... -- Securities Lending Income.............................. -- Fund Shares Sold....................................... 436 From Advisor........................................... 1 Unrealized Gain on Foreign Currency Contracts............ -- Prepaid Expenses and Other Assets........................ 22 ------------ Total Assets......................................... 215,949 ------------ LIABILITIES: Payables: Upon Return of Securities Loaned....................... -- Investment Securities Purchased........................ 1,289 Fund Shares Redeemed................................... 4 Due to Advisor......................................... -- Line of Credit......................................... -- Unrealized Loss on Foreign Currency Contracts............ -- Accrued Expenses and Other Liabilities................... 6 ------------ Total Liabilities.................................... 1,299 ------------ NET ASSETS............................................... $ 214,650 ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $12,347,592; $1,296,449; $119,072; $144,157 and $214,650 and shares outstanding of 574,253,032; 105,035,982; 9,767,042; 11,207,500 and 19,321,513, respectively............................................ $ 11.11 ============ NUMBER OF SHARES AUTHORIZED.............................. 100,000,000 ============ Investments in Affiliated Investment Companies at Cost... $ 194,731 ============ Investments at Cost...................................... $ -- ============ Foreign Currencies at Cost............................... $ -- ============ NET ASSETS CONSIST OF: Paid-In Capital.......................................... $ 195,500 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........................ (15) Accumulated Net Realized Gain (Loss)..................... (199) Net Unrealized Foreign Exchange Gain (Loss).............. -- Net Unrealized Appreciation (Depreciation)............... 19,364 ------------ NET ASSETS............................................... $ 214,650 ============
---------- * See Note J in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 79 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2014 (Unaudited) (Amounts in thousands, except share and per share amounts)
Selectively Emerging Hedged Global Emerging Markets Emerging Equity Markets Small Cap Markets Value Portfolio Portfolio Portfolio Portfolio ------------- ------------ ------------ -------------- ASSETS: Investments in Affiliated Investment Companies at Value........ $ 107,326 $ 3,865,542 $ 4,318,081 $ 18,795,867 Investments at Value (including $0, $0, $0, $0 and $1,687,457 of securities on loan, respectively).......................... -- -- -- -- Temporary Cash................................................. 2,871 -- -- -- Collateral from Securities on Loan Invested in Affiliate at Value & Cost.................................................. -- -- -- -- Segregated Cash for Futures Contracts.......................... 134 -- -- -- Foreign Currencies at Value.................................... -- -- -- -- Cash........................................................... -- -- -- -- Receivables: Investment Securities/Affiliated Investment Companies Sold... -- -- -- -- Dividends, Interest and Tax Reclaims......................... -- -- -- -- Securities Lending Income.................................... -- -- -- -- Fund Shares Sold............................................. 22 15,173 2,235 87,366 Futures Margin Variation..................................... 9 -- -- -- Unrealized Gain on Forward Currency Contracts.................. 6 -- -- -- Unrealized Gain on Foreign Currency Contracts.................. -- -- -- -- Prepaid Expenses and Other Assets.............................. 13 55 44 109 ------------ ------------ ------------ -------------- Total Assets............................................... 110,381 3,880,770 4,320,360 18,883,342 ------------ ------------ ------------ -------------- LIABILITIES: Payables: Upon Return of Securities Loaned............................. -- -- -- -- Investment Securities/Affiliated Investment Companies Purchased................................................... -- -- -- -- Fund Shares Redeemed......................................... 5 1,920 494 2,919 Due to Advisor............................................... 1 1,273 1,599 6,213 Unrealized Loss on Forward Currency Contracts.................. 11 -- -- -- Unrealized Loss on Foreign Currency Contracts.................. -- -- -- -- Accrued Expenses and Other Liabilities......................... 4 133 117 604 ------------ ------------ ------------ -------------- Total Liabilities.......................................... 21 3,326 2,210 9,736 ------------ ------------ ------------ -------------- NET ASSETS..................................................... $ 110,360 $ 3,877,444 $ 4,318,150 $ 18,873,606 ============ ============ ============ ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Class R2 Shares -- based on net assets of $0; $0; $0; $99,196 and $0 and shares outstanding of 0; 0; 0; 3,597,251 and 0, respectively................................. N/A N/A N/A $ 27.58 ============ ============ ============ ============== Institutional Class Shares -- based on net assets of $110,360; $3,877,444; $4,318,150; $18,774,410 and $14,261,288 and shares outstanding of 7,939,154; 148,887,919; 206,031,261; 680,326,395 and 723,328,353, respectively........ $ 13.90 $ 26.04 $ 20.96 $ 27.60 ============ ============ ============ ============== NUMBER OF SHARES AUTHORIZED.................................... 100,000,000 500,000,000 500,000,000 1,500,000,000 ============ ============ ============ ============== Investments in Affiliated Investment Companies at Cost......... $ 89,797 $ 2,811,506 $ 3,854,021 $ 18,820,240 ============ ============ ============ ============== Investments at Cost............................................ $ -- $ -- $ -- $ -- ============ ============ ============ ============== Foreign Currencies at Cost..................................... $ -- $ -- $ -- $ -- ============ ============ ============ ============== NET ASSETS CONSIST OF: Paid-In Capital................................................ $ 90,931 $ 2,834,302 $ 3,822,233 $ 19,282,308 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)..................................... 215 10,070 877 (12,750) Accumulated Net Realized Gain (Loss)........................... 1,678 (20,953) 30,977 (371,767) Net Unrealized Foreign Exchange Gain (Loss).................... (5) (11) 3 188 Net Unrealized Appreciation (Depreciation)..................... 17,541 1,054,036 464,060 (24,373) ------------ ------------ ------------ -------------- NET ASSETS..................................................... $ 110,360 $ 3,877,444 $ 4,318,150 $ 18,873,606 ============ ============ ============ ==============
Emerging Markets Core Equity Portfolio* -------------- ASSETS: Investments in Affiliated Investment Companies at Value........ -- Investments at Value (including $0, $0, $0, $0 and $1,687,457 of securities on loan, respectively).......................... $ 14,086,164 Temporary Cash................................................. -- Collateral from Securities on Loan Invested in Affiliate at Value & Cost.................................................. 1,359,349 Segregated Cash for Futures Contracts.......................... -- Foreign Currencies at Value.................................... 30,268 Cash........................................................... 52,379 Receivables: Investment Securities/Affiliated Investment Companies Sold... 28,381 Dividends, Interest and Tax Reclaims......................... 31,776 Securities Lending Income.................................... 3,058 Fund Shares Sold............................................. 64,597 Futures Margin Variation..................................... -- Unrealized Gain on Forward Currency Contracts.................. -- Unrealized Gain on Foreign Currency Contracts.................. 15 Prepaid Expenses and Other Assets.............................. 109 -------------- Total Assets............................................... 15,656,096 -------------- LIABILITIES: Payables: Upon Return of Securities Loaned............................. 1,359,349 Investment Securities/Affiliated Investment Companies Purchased................................................... 21,414 Fund Shares Redeemed......................................... 6,586 Due to Advisor............................................... 6,427 Unrealized Loss on Forward Currency Contracts.................. -- Unrealized Loss on Foreign Currency Contracts.................. 13 Accrued Expenses and Other Liabilities......................... 1,019 -------------- Total Liabilities.......................................... 1,394,808 -------------- NET ASSETS..................................................... $ 14,261,288 ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Class R2 Shares -- based on net assets of $0; $0; $0; $99,196 and $0 and shares outstanding of 0; 0; 0; 3,597,251 and 0, respectively................................. N/A ============== Institutional Class Shares -- based on net assets of $110,360; $3,877,444; $4,318,150; $18,774,410 and $14,261,288 and shares outstanding of 7,939,154; 148,887,919; 206,031,261; 680,326,395 and 723,328,353, respectively........ $ 19.72 ============== NUMBER OF SHARES AUTHORIZED.................................... 1,000,000,000 ============== Investments in Affiliated Investment Companies at Cost......... $ -- ============== Investments at Cost............................................ $ 13,002,718 ============== Foreign Currencies at Cost..................................... $ 30,203 ============== NET ASSETS CONSIST OF: Paid-In Capital................................................ $ 13,257,871 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)..................................... 38,276 Accumulated Net Realized Gain (Loss)........................... (118,376) Net Unrealized Foreign Exchange Gain (Loss).................... 6 Net Unrealized Appreciation (Depreciation)..................... 1,083,511 -------------- NET ASSETS..................................................... $ 14,261,288 ==============
---------- * See Note J in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 80 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2014 (Unaudited) (Amounts in thousands)
Enhanced U.S. Large U.S. Large U.S. Large U.S. Targeted Company Cap Equity Cap Value Value Portfolio Portfolio Portfolio* Portfolio ---------- ---------- ---------- ------------- Investment Income Net Investment Income Allocated from Affiliated Investment Company: Dividends.................................................................... -- -- $ 120,674 -- Interest..................................................................... -- -- 2 -- Income from Securities Lending............................................... -- -- 1,259 -- Expenses Allocated from Affiliated Investment Company........................ -- -- (6,990) -- ------- ------- ---------- -------- Total Net Investment Income Received from Affiliated Investment Company.... -- -- 114,945 -- ------- ------- ---------- -------- Fund Investment Income Dividends (Net of Foreign Taxes Withheld of $0, $0, $0 and $3, respectively). $ 80 $ 1,628 -- $ 26,324 Interest..................................................................... 773 1 -- 2 Income from Securities Lending............................................... -- 29 -- 1,537 ------- ------- ---------- -------- Total Investment Income.................................................... 853 1,658 -- 27,863 ------- ------- ---------- -------- Fund Expenses Investment Advisory Services Fees............................................ 51 127 -- 2,297 Administrative Services Fees................................................. 153 -- 9,518 5,742 Accounting & Transfer Agent Fees............................................. 8 9 49 135 S&P 500(R) Fees.............................................................. 4 -- -- -- Shareholder Servicing Fees -- Class R1 Shares............................................................. -- -- -- 5 Class R2 Shares............................................................. -- -- -- 64 Custodian Fees............................................................... 4 10 -- 32 Filing Fees.................................................................. 12 10 95 72 Shareholders' Reports........................................................ 2 1 105 51 Directors'/Trustees' Fees & Expenses......................................... 1 1 79 28 Professional Fees............................................................ 2 1 15 46 Organizational & Offering Costs.............................................. -- 21 -- -- Other........................................................................ 2 2 44 23 ------- ------- ---------- -------- Total Expenses............................................................. 239 182 9,905 8,495 ------- ------- ---------- -------- Fees (Waived), Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C)......................................................... -- (21) -- -- Fees Paid Indirectly......................................................... (1) -- -- -- ------- ------- ---------- -------- Net Expenses................................................................. 238 161 9,905 8,495 ------- ------- ---------- -------- Net Investment Income (Loss)................................................. 615 1,497 105,040 19,368 ------- ------- ---------- -------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold................................................... 393 156 290,376 121,670 Futures...................................................................... 13,862 -- -- -- Foreign Currency Transactions................................................ (1,214) -- -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency................................... 1,462 11,637 742,075 184,208 Futures...................................................................... 1,296 -- -- -- Translation of Foreign Currency Denominated Amounts.......................... (26) -- -- -- ------- ------- ---------- -------- Net Realized and Unrealized Gain (Loss)...................................... 15,773 11,793 1,032,451 305,878 ------- ------- ---------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations................ $16,388 $13,290 $1,137,491 $325,246 ======= ======= ========== ========
---------- * Investment Income and Realized and Unrealized Gain (Loss) were allocated from the Portfolio's Master Fund (Affiliated Investment Company). See accompanying Notes to Financial Statements. 81 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2014 (Unaudited) (Amounts in thousands)
U.S. Small U.S. Core U.S. Core U.S. Vector Cap Value Equity 1 Equity 2 Equity Portfolio Portfolio Portfolio Portfolio ---------- --------- --------- ----------- Investment Income Dividends (Net of Foreign Taxes Withheld of $13, $21, $19 and $2, respectively)..................................................... $ 54,565 $ 72,193 $ 91,680 $ 22,783 Interest........................................................... 11 3 2 -- Income from Securities Lending..................................... 2,744 1,900 2,990 1,134 -------- -------- -------- -------- Total Investment Income......................................... 57,320 74,096 94,672 23,917 -------- -------- -------- -------- Expenses Investment Advisory Services Fees.................................. 10,116 7,043 10,651 4,575 Administrative Services Fees....................................... 15,174 -- -- -- Accounting & Transfer Agent Fees................................... 292 238 307 89 Custodian Fees..................................................... 61 55 63 23 Filing Fees........................................................ 104 137 115 44 Shareholders' Reports.............................................. 75 40 58 29 Directors'/Trustees' Fees & Expenses............................... 65 50 66 19 Professional Fees.................................................. 108 77 103 31 Other.............................................................. 54 39 50 16 -------- -------- -------- -------- Total Expenses.................................................. 26,049 7,679 11,413 4,826 -------- -------- -------- -------- Net Investment Income (Loss)....................................... 31,271 66,417 83,259 19,091 -------- -------- -------- -------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold....................................... 224,358 23,838 (7,137) 28,435 Futures.......................................................... (7,540) -- -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities............................................ 433,478 538,175 729,705 166,284 Futures.......................................................... (4,123) -- -- -- -------- -------- -------- -------- Net Realized and Unrealized Gain (Loss)............................ 646,173 562,013 722,568 194,719 -------- -------- -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations...... $677,444 $628,430 $805,827 $213,810 ======== ======== ======== ========
See accompanying Notes to Financial Statements. 82 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2014 (Unaudited) (Amounts in thousands)
DFA Real Estate Large Cap U.S. Small U.S. Micro Securities International Cap Portfolio Cap Portfolio Portfolio Portfolio ------------- ------------- ---------- ------------- Investment Income Dividends (Net of Foreign Taxes Withheld of $13, $5, $0 and $3,634, respectively)........................................ $ 44,982 $ 25,516 $100,124 $ 59,160 Interest...................................................... -- -- 1 -- Income from Securities Lending................................ 5,126 3,289 598 1,604 -------- -------- -------- -------- Total Investment Income.................................... 50,108 28,805 100,723 60,764 -------- -------- -------- -------- Expenses Investment Advisory Services Fees............................. 1,204 2,393 4,131 3,546 Administrative Services Fees.................................. 12,842 9,572 -- -- Accounting & Transfer Agent Fees.............................. 231 140 141 88 Custodian Fees................................................ 61 36 25 178 Filing Fees................................................... 103 48 69 32 Shareholders' Reports......................................... 59 41 69 46 Directors'/Trustees' Fees & Expenses.......................... 48 31 31 18 Professional Fees............................................. 81 53 51 46 Other......................................................... 35 25 24 23 -------- -------- -------- -------- Total Expenses............................................. 14,664 12,339 4,541 3,977 -------- -------- -------- -------- Fees (Waived), Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C)........................... -- -- (168) -- Fees Paid Indirectly.......................................... -- -- -- (3) -------- -------- -------- -------- Net Expenses.................................................. 14,664 12,339 4,373 3,974 -------- -------- -------- -------- Net Investment Income (Loss).................................. 35,444 16,466 96,350 56,790 -------- -------- -------- -------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold*................................. 189,291 168,603 10,339 1,158 Futures..................................................... -- (692) (553) -- Foreign Currency Transactions............................... -- -- -- (372) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................. 113,166 24,591 329,632 85,409 Translation of Foreign Currency Denominated Amounts......... -- -- -- 45 -------- -------- -------- -------- Net Realized and Unrealized Gain (Loss)....................... 302,457 192,502 339,418 86,240 -------- -------- -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations..................................................... $337,901 $208,968 $435,768 $143,030 ======== ======== ======== ========
---------- * Net of foreign capital gain taxes withheld of $0, $0, $0 and $2, respectively. See accompanying Notes to Financial Statements. 83 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2014 (Unaudited) (Amounts in thousands)
International Japanese Asia Pacific International Small Small Small Core Equity Company Company Company Portfolio Portfolio* Portfolio* Portfolio* ------------- ------------- ---------- ------------ Investment Income Net Investment Income Allocated from Affiliated Investment Companies: Dividends (Net of Foreign Taxes Withheld of $0, $8,927, $442 and $141, respectively).......................................................... -- $103,617 $ 3,988 $ 5,641 Interest................................................................ -- 1 -- -- Income from Securities Lending.......................................... -- 9,526 252 515 Expenses Allocated from Affiliated Investment Companies................. -- (5,545) (250) (235) --------- -------- -------- ------- Total Net Investment Income Received from Affiliated Investment Companies........................................................... -- 107,599 3,990 5,921 --------- -------- -------- ------- Fund Investment Income Dividends (Net of Foreign Taxes Withheld of $12,086, $0, $0 and $0, respectively).......................................................... $ 190,060 -- -- -- Interest................................................................ -- 25 -- -- Income from Securities Lending.......................................... 7,270 -- -- -- --------- -------- -------- ------- Total Investment Income.............................................. 197,330 25 -- -- --------- -------- -------- ------- Fund Expenses Investment Advisory Services Fees....................................... 17,944 -- -- -- Administrative Services Fees............................................ -- 17,602 779 708 Accounting & Transfer Agent Fees........................................ 299 45 13 12 Custodian Fees.......................................................... 640 1 -- -- Filing Fees............................................................. 152 70 11 13 Shareholders' Reports................................................... 79 92 2 2 Directors'/Trustees' Fees & Expenses.................................... 62 56 3 2 Professional Fees....................................................... 103 22 2 1 Other................................................................... 76 31 2 2 --------- -------- -------- ------- Total Expenses....................................................... 19,355 17,919 812 740 --------- -------- -------- ------- Fees Paid Indirectly.................................................... (17) -- -- -- --------- -------- -------- ------- Net Expenses............................................................ 19,338 17,919 812 740 --------- -------- -------- ------- Net Investment Income (Loss)............................................ 177,992 89,705 3,178 5,181 --------- -------- -------- ------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold**........................................... (134,267) 168,729 4,029 (5) Futures................................................................ -- (945) -- -- Foreign Currency Transactions.......................................... 95 805 (75) 31 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency............................. 579,099 392,809 (17,109) (3,622) Futures................................................................ -- -- -- -- Translation of Foreign Currency Denominated Amounts.................... 69 104 (19) (1) --------- -------- -------- ------- Net Realized and Unrealized Gain (Loss)................................. 444,996 561,502 (13,174) (3,597) --------- -------- -------- ------- Net Increase (Decrease) in Net Assets Resulting from Operations........... $ 622,988 $651,207 $ (9,996) $ 1,584 ========= ======== ======== =======
---------- * 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 $65, $175, $0 and $0, respectively. See accompanying Notes to Financial Statements. 84 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2014 (Unaudited) (Amounts in thousands)
United DFA Kingdom Continental International DFA Global Small Small Real Estate Real Estate Company Company Securities Securities Portfolio* Portfolio* Portfolio Portfolio ---------- ----------- ------------- ----------- Investment Income Net Investment Income Allocated from Affiliated Investment Company: Dividends (Net of Foreign Taxes Withheld of $4, $265, $0 and $0, respectively)....................................................... $ 566 $ 1,709 -- -- Income Distributions Received from Affiliated Investment Companies... -- -- -- $ 66,663 Income from Securities Lending....................................... 3 300 -- -- Expenses Allocated from Affiliated Investment Company................ (22) (118) -- -- ------ ------- -------- -------- Total Net Investment Income Received from Affiliated Investment Company........................................................... 547 1,891 -- 66,663 ------ ------- -------- -------- Fund Investment Income Dividends (Net of Foreign Taxes Withheld of $0, $0, $5,365 and $0, respectively)....................................................... -- -- $ 45,050 -- Interest............................................................. -- 1 -- 1 Income from Securities Lending....................................... -- -- 778 -- ------ ------- -------- -------- Total Fund Investment Income....................................... -- 1 45,828 1 ------ ------- -------- -------- Fund Expenses Investment Advisory Services Fees.................................... -- -- 3,944 2,981 Administrative Services Fees......................................... 77 359 -- -- Accounting & Transfer Agent Fees..................................... 9 12 71 26 Custodian Fees....................................................... -- -- 175 -- Filing Fees.......................................................... 8 9 50 78 Shareholders' Reports................................................ 1 1 36 27 Directors'/Trustees' Fees & Expenses................................. -- 1 14 13 Professional Fees.................................................... 1 1 24 6 Other................................................................ 1 1 17 3 ------ ------- -------- -------- Total Expenses..................................................... 97 384 4,331 3,134 ------ ------- -------- -------- Fees (Waived), Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C)....................................... (6) -- -- (2,489) Fees Paid Indirectly................................................. -- -- (6) -- ------ ------- -------- -------- Net Expenses......................................................... 91 384 4,325 645 ------ ------- -------- -------- Net Investment Income (Loss)......................................... 456 1,508 41,503 66,019 ------ ------- -------- -------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold**........................................ 1,243 3,328 3,938 (2,771) Futures............................................................. -- (53) -- -- Foreign Currency Transactions....................................... 3 50 287 -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.......................... 1,744 19,983 69,723 102,401 Futures............................................................. -- -- -- -- Translation of Foreign Currency Denominated Amounts................. 1 4 63 -- ------ ------- -------- -------- Net Realized and Unrealized Gain (Loss).............................. 2,991 23,312 74,011 99,630 ------ ------- -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations........ $3,447 $24,820 $115,514 $165,649 ====== ======= ======== ========
---------- * 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 $1, $8, $0 and $0, respectively. See accompanying Notes to Financial Statements. 85 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2014 (Unaudited) (Amounts in thousands)
DFA International World ex U.S. Small Cap International World ex U.S. Targeted Value Vector Equity Value Value Portfolio Portfolio Portfolio* Portfolio* ------------- ------------- ------------- ------------- Investment Income Net Investment Income Allocated from Affiliated Investment Companies: Dividends (Net of Foreign Taxes Withheld of $0, $0, $128, $35 and $0, respectively).......................... -- -- $2,628 $ 333 Income Distributions Received from Affiliated Investment Companies................................................ -- -- 105 689 Income from Securities Lending............................ -- -- 64 30 Expenses Allocated from Affiliated Investment Companies................................................ -- -- (106) (30) ---------- ------- ------ ------ Total Net Investment Income Received from Affiliated Investment Companies....................... -- -- 2,691 1,022 ---------- ------- ------ ------ Fund Investment Income Dividends (Net of Foreign Taxes Withheld of $10,862, $1,278, $0, $0 and $0, respectively)..................... $ 130,033 $18,611 -- -- Income from Securities Lending............................ 10,103 911 -- -- ---------- ------- ------ ------ Total Investment Income................................ 140,136 19,522 -- -- ---------- ------- ------ ------ Fund Expenses Investment Advisory Services Fees......................... 37,631 2,637 272 335 Accounting & Transfer Agent Fees.......................... 339 40 10 16 Custodian Fees............................................ 643 185 1 3 Filing Fees............................................... 78 30 11 23 Shareholders' Reports..................................... 104 9 1 -- Directors'/Trustees' Fees & Expenses...................... 74 7 1 1 Professional Fees......................................... 129 26 3 3 Organizational & Offering Costs........................... -- -- -- -- Other..................................................... 84 14 2 2 ---------- ------- ------ ------ Total Expenses......................................... 39,082 2,948 301 383 ---------- ------- ------ ------ Fees (Waived), Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C)................ -- -- (94) (276) Fees Paid Indirectly...................................... (6) (2) -- -- ---------- ------- ------ ------ Net Expenses.............................................. 39,076 2,946 207 107 ---------- ------- ------ ------ Net Investment Income (Loss).............................. 101,060 16,576 2,484 915 ---------- ------- ------ ------ Realized and Unrealized Gain (Loss) Capital Gain Distributions Received from Affiliated Investment Companies..................................... -- -- 157 983 Net Realized Gain (Loss) on: Investment Securities Sold**............................. 165,817 4,258 702 (173) Foreign Currency Transactions............................ 857 (82) (1) (2) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency............... 776,696 57,502 969 5,265 Futures.................................................. -- -- 1 -- Translation of Foreign Currency Denominated Amounts................................................. 79 (2) 1 -- ---------- ------- ------ ------ Net Realized and Unrealized Gain (Loss)................... 943,449 61,676 1,829 6,073 ---------- ------- ------ ------ Net Increase (Decrease) in Net Assets Resulting from Operations................................................. $1,044,509 $78,252 $4,313 $6,988 ========== ======= ====== ======
World ex U.S. Core Equity Portfolio ------------- Investment Income Net Investment Income Allocated from Affiliated Investment Companies: Dividends (Net of Foreign Taxes Withheld of $0, $0, $128, $35 and $0, respectively).......................... -- Income Distributions Received from Affiliated Investment Companies................................................ $1,507 Income from Securities Lending............................ -- Expenses Allocated from Affiliated Investment Companies................................................ -- ------ Total Net Investment Income Received from Affiliated Investment Companies....................... 1,507 ------ Fund Investment Income Dividends (Net of Foreign Taxes Withheld of $10,862, $1,278, $0, $0 and $0, respectively)..................... -- Income from Securities Lending............................ -- ------ Total Investment Income................................ -- ------ Fund Expenses Investment Advisory Services Fees......................... 326 Accounting & Transfer Agent Fees.......................... 12 Custodian Fees............................................ 2 Filing Fees............................................... 6 Shareholders' Reports..................................... -- Directors'/Trustees' Fees & Expenses...................... 1 Professional Fees......................................... 3 Organizational & Offering Costs........................... 16 Other..................................................... 2 ------ Total Expenses......................................... 368 ------ Fees (Waived), Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C)................ (334) Fees Paid Indirectly...................................... -- ------ Net Expenses.............................................. 34 ------ Net Investment Income (Loss).............................. 1,473 ------ Realized and Unrealized Gain (Loss) Capital Gain Distributions Received from Affiliated Investment Companies..................................... -- Net Realized Gain (Loss) on: Investment Securities Sold**............................. (104) Foreign Currency Transactions............................ -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency............... 7,644 Futures.................................................. -- Translation of Foreign Currency Denominated Amounts................................................. -- ------ Net Realized and Unrealized Gain (Loss)................... 7,540 ------ Net Increase (Decrease) in Net Assets Resulting from Operations................................................. $9,013 ======
---------- * Investment Income and a portion of Realized and Unrealized Gain (Loss) were allocated from the Portfolio's Master Funds (Affiliated Investment Companies). **Net of foreign capital gain taxes withheld of $33, $8, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 86 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2014 (Unaudited) (Amounts in thousands)
Selectively Emerging Emerging Emerging Hedged Emerging Markets Markets Markets Core Global Equity Markets Small Cap Value Equity Portfolio Portfolio* Portfolio* Portfolio* Portfolio ------------- ---------- ---------- ---------- ------------ Investment Income Net Investment Income Allocated from Affiliated Investment Companies: Dividends (Net of Foreign Taxes Withheld of $0, $3,914, $3,244, $18,462 and $0, respectively)................................... -- $ 32,578 $35,302 $ 177,117 -- Income Distributions Received from Affiliated Investment Companies....................................................... $ 714 -- -- -- -- Interest......................................................... -- 1 1 4 -- Income from Securities Lending................................... -- 2,113 8,241 10,709 -- Expenses Allocated from Affiliated Investment Companies.......... -- (2,641) (5,316) (13,447) -- ------ -------- ------- --------- --------- Total Net Investment Income Received from Affiliated Investment Companies......................................... 714 32,051 38,228 174,383 -- ------ -------- ------- --------- --------- Fund Investment Income Dividends (Net of Foreign Taxes Withheld of $0, $0, $0, $0 and $13,603, respectively).......................................... -- -- -- -- $ 114,238 Interest......................................................... 1 -- -- -- -- Income from Securities Lending................................... -- -- -- -- 13,860 ------ -------- ------- --------- --------- Total Fund Investment Income.................................. 1 -- -- -- 128,098 ------ -------- ------- --------- --------- Fund Expenses Investment Advisory Services Fees................................ 134 -- -- -- 35,983 Administrative Services Fees..................................... -- 7,159 9,037 36,256 -- Accounting & Transfer Agent Fees................................. 9 22 24 71 382 Shareholder Servicing Fees -- Class R2 Shares................................................. -- -- -- 119 -- Custodian Fees................................................... 2 -- -- -- 2,551 Filing Fees...................................................... 13 58 55 130 210 Shareholders' Reports............................................ -- 59 29 109 113 Directors'/Trustees' Fees & Expenses............................. -- 24 26 123 81 Professional Fees................................................ 3 6 6 27 170 Other............................................................ 1 13 16 69 98 ------ -------- ------- --------- --------- Total Expenses................................................ 162 7,341 9,193 36,904 39,588 ------ -------- ------- --------- --------- Fees (Waived), Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C).............................. (130) -- -- -- -- Fees Paid Indirectly............................................. -- -- -- -- (46) ------ -------- ------- --------- --------- Net Expenses..................................................... 32 7,341 9,193 36,904 39,542 ------ -------- ------- --------- --------- Net Investment Income (Loss)..................................... 683 24,710 29,035 137,479 88,556 ------ -------- ------- --------- --------- Realized and Unrealized Gain (Loss) Capital Gain Distributions Received from Affiliated Investment Companies....................................................... 342 -- -- -- -- Net Realized Gain (Loss) on:..................................... Investment Securities Sold...................................... 1,409 (19,190) 43,554 (354,332) (64,782) Futures......................................................... 341 -- -- -- -- Foreign Currency Transactions................................... 90 (53) (82) (2,053) (735) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency...................... 2,158 (77,616) 9,405 (440,131) (139,793) Futures......................................................... (121) -- (4) -- -- Translation of Foreign Currency Denominated Amounts............. (33) 28 94 100 54 ------ -------- ------- --------- --------- Net Realized and Unrealized Gain (Loss).......................... 4,186 (96,831) 52,967 (796,416) (205,256) ------ -------- ------- --------- --------- Net Increase (Decrease) in Net Assets Resulting from Operations........................................................ $4,869 $(72,121) $82,002 $(658,937) $(116,700) ====== ======== ======= ========= =========
---------- * Investment Income and Realized and Unrealized Gain (Loss) were allocated from the Portfolio's Master Fund (Affiliated Investment Company). See accompanying Notes to Financial Statements. 87 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
Enhanced U.S. Large U.S. Large Cap U.S. Large Cap Value Company Portfolio Equity Portfolio Portfolio -------------------- --------------------- ------------------------ Period Six Months Year Six Months June 25, Six Months Year Ended Ended Ended 2013(a) to Ended Ended April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31, 2014 2013 2014 2013 2014 2013 ----------- -------- ----------- ---------- ----------- ----------- (Unaudited) (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).................. $ 615 $ 1,274 $ 1,497 $ 591 $ 105,040 $ 183,780 Net Realized Gain (Loss) on: Investment Securities Sold................... 393 (238) 156 37 290,376 819,592 Futures...................................... 13,862 40,444 -- -- -- -- Foreign Currency Transactions................ (1,214) (934) -- -- -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................................... 1,462 1,803 11,637 10,560 742,075 2,030,120 Futures...................................... 1,296 5,088 -- -- -- -- Translation of Foreign Currency Denominated Amounts......................... (26) 946 -- -- -- -- -------- -------- -------- -------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations................. 16,388 48,383 13,290 11,188 1,137,491 3,033,492 -------- -------- -------- -------- ----------- ----------- Distributions From: Net Investment Income: Institutional Class Shares................... (603) (1,597) (1,338) (321) (104,961) (180,943) Net Short-Term Gains: Institutional Class Shares................... -- -- (40) -- -- -- -------- -------- -------- -------- ----------- ----------- Total Distributions........................ (603) (1,597) (1,378) (321) (104,961) (180,943) -------- -------- -------- -------- ----------- ----------- Capital Share Transactions (1): Shares Issued................................. 18,407 49,190 56,777 127,286 1,699,268 2,669,600 Shares Issued in Lieu of Cash Distributions... 506 1,381 1,377 321 95,900 165,830 Shares Redeemed............................... (48,428) (74,528) (7,994) (3,067) (1,172,823) (2,059,492) -------- -------- -------- -------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions........................ (29,515) (23,957) 50,160 124,540 622,345 775,938 -------- -------- -------- -------- ----------- ----------- Total Increase (Decrease) in Net Assets.... (13,730) 22,829 62,072 135,407 1,654,875 3,628,487 Net Assets Beginning of Period........................... 212,840 190,011 135,407 -- 11,963,072 8,334,585 -------- -------- -------- -------- ----------- ----------- End of Period................................. $199,110 $212,840 $197,479 $135,407 $13,617,947 $11,963,072 ======== ======== ======== ======== =========== =========== (1) Shares Issued and Redeemed: Shares Issued................................. 1,496 4,732 4,924 12,483 54,556 102,131 Shares Issued in Lieu of Cash Distributions... 41 142 120 30 3,101 6,512 Shares Redeemed............................... (3,974) (7,146) (688) (286) (37,684) (79,135) -------- -------- -------- -------- ----------- ----------- Net Increase (Decrease) from Shares Issued and Redeemed....................... (2,437) (2,272) 4,356 12,227 19,973 29,508 ======== ======== ======== ======== =========== =========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........................................ $ 212 $ 200 $ 440 $ 281 $ 28,282 $ 28,203
---------- Seepage 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 88 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
U.S. Targeted Value U.S. Small Cap Value U.S. Core Equity 1 Portfolio Portfolio Portfolio ----------------------- ------------------------ ----------------------- Six Months Year Six Months Year Six Months Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31, 2014 2013 2014 2013 2014 2013 ----------- ----------- ----------- ----------- ----------- ----------- (Unaudited) (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)................ $ 19,368 $ 45,589 $ 31,271 $ 104,594 $ 66,417 $ 109,577 Net Realized Gain (Loss) on: Investment Securities Sold................. 121,670 274,964 224,358 467,388 23,838 48,730 Futures.................................... -- 4,864 (7,540) 4,175 -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities...................... 184,208 903,746 433,478 2,087,253 538,175 1,549,261 Futures.................................... -- -- (4,123) -- -- -- ---------- ----------- ----------- ----------- ---------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations................ 325,246 1,229,163 677,444 2,663,410 628,430 1,707,568 ---------- ----------- ----------- ----------- ---------- ----------- Distributions From: Net Investment Income: Class R1 Shares............................ (28) (604) -- -- -- -- Class R2 Shares............................ (66) (171) -- -- -- -- Institutional Class Shares................. (14,219) (44,723) (31,520) (97,302) (62,668) (105,633) Net Short-Term Gains: Class R1 Shares............................ (32) (162) -- -- -- -- Class R2 Shares............................ (84) (43) -- -- -- -- Institutional Class Shares................. (13,954) (9,669) (2,510) (15,668) -- -- Net Long-Term Gains: Class R1 Shares............................ (544) (2,657) -- -- -- -- Class R2 Shares............................ (1,417) (709) -- -- -- -- Institutional Class Shares................. (235,328) (158,843) (443,795) (380,218) (34,892) -- ---------- ----------- ----------- ----------- ---------- ----------- Total Distributions....................... (265,672) (217,581) (477,825) (493,188) (97,560) (105,633) ---------- ----------- ----------- ----------- ---------- ----------- Capital Share Transactions (1): Shares Issued............................... 979,367 1,069,213 1,830,029 1,700,691 1,479,566 2,012,312 Shares Issued in Lieu of Cash Distributions. 249,000 193,793 434,012 448,519 92,248 95,895 Shares Redeemed............................. (533,085) (1,112,648) (1,077,785) (1,880,921) (580,690) (1,020,936) ---------- ----------- ----------- ----------- ---------- ----------- Net Increase (Decrease) from Capital Share Transactions....................... 695,282 150,358 1,186,256 268,289 991,124 1,087,271 ---------- ----------- ----------- ----------- ---------- ----------- Total Increase (Decrease) in Net Assets... 754,856 1,161,940 1,385,875 2,438,511 1,521,994 2,689,206 Net Assets Beginning of Period......................... 4,213,749 3,051,809 9,526,981 7,088,470 7,566,179 4,876,973 ---------- ----------- ----------- ----------- ---------- ----------- End of Period............................... $4,968,605 $ 4,213,749 $10,912,856 $ 9,526,981 $9,088,173 $ 7,566,179 ========== =========== =========== =========== ========== =========== (1) Shares Issued and Redeemed: Shares Issued............................... 43,377 54,473 52,200 56,681 90,493 144,586 Shares Issued in Lieu of Cash Distributions. 11,530 11,549 12,925 17,521 5,741 7,046 Shares Redeemed............................. (23,676) (56,250) (30,974) (64,686) (35,592) (73,616) ---------- ----------- ----------- ----------- ---------- ----------- Net Increase (Decrease) from Shares Issued and Redeemed...................... 31,231 9,772 34,151 9,516 60,642 78,016 ========== =========== =========== =========== ========== =========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)...................................... $ 5,539 $ 484 $ 1,117 $ 1,373 $ 18,227 $ 14,478
See accompanying Notes to Financial Statements. 89 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
U.S. Core Equity 2 U.S. Vector Equity U.S. Small Cap Portfolio Portfolio Portfolio ------------------------ ---------------------- ---------------------- Six Months Year Six Months Year Six Months Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31, 2014 2013 2014 2013 2014 2013 ----------- ----------- ----------- ---------- ----------- ---------- (Unaudited) (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)............ $ 83,259 $ 146,563 $ 19,091 $ 36,935 $ 35,444 $ 76,179 Net Realized Gain (Loss) on: Investment Securities Sold............. (7,137) 106,205 28,435 42,264 189,291 252,589 Futures................................ -- -- -- (48) -- (331) Foreign Currency Transactions.......... -- -- -- -- -- 1 Change in Unrealized Appreciation (Depreciation) of: Investment Securities.................. 729,705 2,176,008 166,284 684,534 113,166 1,551,354 ----------- ----------- ---------- ---------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations.......................... 805,827 2,428,776 213,810 763,685 337,901 1,879,792 ----------- ----------- ---------- ---------- ---------- ---------- Distributions From: Net Investment Income: Institutional Class Shares............. (75,321) (143,640) (16,899) (34,959) (29,188) (74,990) Net Short-Term Gains: Institutional Class Shares............. (4,518) -- (1,492) -- (19,821) (8,279) Net Long-Term Gains: Institutional Class Shares............. (98,745) (55,772) (38,966) (3,507) (218,795) (228,672) ----------- ----------- ---------- ---------- ---------- ---------- Total Distributions.................. (178,584) (199,412) (57,357) (38,466) (267,804) (311,941) ----------- ----------- ---------- ---------- ---------- ---------- Capital Share Transactions (1): Shares Issued........................... 1,431,777 1,993,887 384,200 590,251 1,304,454 2,025,365 Shares Issued in Lieu of Cash Distributions.......................... 176,698 194,014 57,091 37,851 251,695 287,893 Shares Redeemed......................... (731,498) (1,351,685) (290,193) (468,656) (681,661) (997,627) ----------- ----------- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Capital Share Transactions.......... 876,977 836,216 151,098 159,446 874,488 1,315,631 ----------- ----------- ---------- ---------- ---------- ---------- Total Increase (Decrease) in Net Assets.............................. 1,504,220 3,065,580 307,551 884,665 944,585 2,883,482 Net Assets Beginning of Period..................... 9,989,564 6,923,984 2,893,842 2,009,177 7,446,827 4,563,345 ----------- ----------- ---------- ---------- ---------- ---------- End of Period........................... $11,493,784 $ 9,989,564 $3,201,393 $2,893,842 $8,391,412 $7,446,827 =========== =========== ========== ========== ========== ========== (1) Shares Issued and Redeemed: Shares Issued........................... 88,303 145,060 23,767 43,824 42,605 76,522 Shares Issued in Lieu of Cash Distributions.......................... 11,195 14,935 3,639 2,932 8,530 12,811 Shares Redeemed......................... (45,260) (98,040) (17,980) (34,484) (22,301) (38,832) ----------- ----------- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed.......... 54,238 61,955 9,426 12,272 28,834 50,501 =========== =========== ========== ========== ========== ========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)....................... $ 22,493 $ 14,563 $ 5,288 $ 3,099 $ 9,420 $ 3,169
See accompanying Notes to Financial Statements. 90 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
DFA Real Estate Securities Large Cap International U.S. Micro Cap Portfolio Portfolio Portfolio ---------------------- ------------------------- ---------------------- Six Months Year Six Months Year Six Months Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31, 2014 2013 2014 2013 2014 2013 ----------- ---------- ----------- ---------- ----------- ---------- (Unaudited) (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)................. $ 16,466 $ 46,722 $ 96,350 $ 103,396 $ 56,790 $ 68,706 Capital Gain Distributions Received from Investment Securities....................... -- -- -- 15,455 -- -- Net Realized Gain (Loss) on: Investment Securities Sold*................. 168,603 227,715 10,339 15,023 1,158 (15,210) Futures..................................... (692) (423) (553) -- -- -- Foreign Currency Transactions............... -- -- -- -- (372) (394) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.. 24,591 1,117,408 329,632 254,603 85,409 476,010 Translation of Foreign Currency Denominated Amounts........................ -- -- -- -- 45 154 ---------- ---------- ---------- ---------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations................. 208,968 1,391,422 435,768 388,477 143,030 529,266 ---------- ---------- ---------- ---------- ---------- ---------- Distributions From: Net Investment Income: Institutional Class Shares.................. (13,984) (46,915) (95,869) (102,731) (38,435) (70,787) Net Short-Term Gains: Institutional Class Shares.................. (12,783) -- -- -- -- -- Net Long-Term Gains: Institutional Class Shares.................. (200,738) (176,365) -- -- -- -- ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions........................ (227,505) (223,280) (95,869) (102,731) (38,435) (70,787) ---------- ---------- ---------- ---------- ---------- ---------- Capital Share Transactions (1): Shares Issued................................ 355,827 605,885 762,503 1,428,666 312,962 631,372 Shares Issued in Lieu of Cash Distributions.. 212,873 207,612 94,299 99,760 35,272 66,684 Shares Redeemed.............................. (442,409) (723,766) (329,149) (853,143) (160,753) (457,180) ---------- ---------- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Capital Share Transactions........................ 126,291 89,731 527,653 675,283 187,481 240,876 ---------- ---------- ---------- ---------- ---------- ---------- Total Increase (Decrease) in Net Assets.... 107,754 1,257,873 867,552 961,029 292,076 699,355 Net Assets Beginning of Period.......................... 4,695,831 3,437,958 4,677,418 3,716,389 2,755,114 2,055,759 ---------- ---------- ---------- ---------- ---------- ---------- End of Period................................ $4,803,585 $4,695,831 $5,544,970 $4,677,418 $3,047,190 $2,755,114 ========== ========== ========== ========== ========== ========== (1) Shares Issued and Redeemed: Shares Issued................................ 17,986 36,865 28,072 51,717 14,050 31,421 Shares Issued in Lieu of Cash Distributions.. 11,188 14,570 3,624 3,726 1,593 3,350 Shares Redeemed.............................. (22,393) (43,945) (12,177) (30,873) (7,223) (22,837) ---------- ---------- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed....................... 6,781 7,490 19,519 24,570 8,420 11,934 ========== ========== ========== ========== ========== ========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)....................................... $ 4,138 $ 1,665 $ 32,871 $ 31,615 $ 24,934 $ 6,579
---------- * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $2 and $1, respectively. See accompanying Notes to Financial Statements. 91 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
International Core Equity International Small Japanese Small Portfolio Company Portfolio Company Portfolio ------------------------ ----------------------- --------------------- Six Months Year Six Months Year Six Months Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31, 2014 2013 2014 2013 2014 2013 ----------- ----------- ----------- ----------- ----------- --------- (Unaudited) (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)................ $ 177,992 $ 218,030 $ 89,705 $ 180,481 $ 3,178 $ 6,101 Net Realized Gain (Loss) on: Investment Securities Sold*................ (134,267) (10,392) 168,729 262,518 4,029 5,783 Futures.................................... -- -- (945) (29) -- -- Foreign Currency Transactions.............. 95 (2,185) 805 (2,035) (75) (468) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................................. 579,099 1,736,462 392,809 1,540,906 (17,109) 94,197 Futures.................................... -- -- -- 30 -- -- Translation of Foreign Currency Denominated Amounts....................... 69 312 104 438 (19) 26 ----------- ----------- ---------- ----------- -------- --------- Net Increase (Decrease) in Net Assets Resulting from Operations................ 622,988 1,942,227 651,207 1,982,309 (9,996) 105,639 ----------- ----------- ---------- ----------- -------- --------- Distributions From: Net Investment Income: Institutional Class Shares................. (115,306) (214,687) (102,941) (159,066) (11,539) (2,836) Net Short-Term Gains: Institutional Class Shares................. -- -- (27,834) -- -- -- Net Long-Term Gains: Institutional Class Shares................. -- -- (211,626) (39,012) -- -- ----------- ----------- ---------- ----------- -------- --------- Total Distributions....................... (115,306) (214,687) (342,401) (198,078) (11,539) (2,836) ----------- ----------- ---------- ----------- -------- --------- Capital Share Transactions (1): Shares Issued............................... 1,971,730 2,415,089 645,464 1,229,487 48,508 142,226 Shares Issued in Lieu of Cash Distributions. 112,236 206,673 333,784 188,769 10,648 2,638 Shares Redeemed............................. (637,939) (1,323,574) (587,941) (1,104,930) (71,809) (127,503) ----------- ----------- ---------- ----------- -------- --------- Net Increase (Decrease) from Capital Share Transactions....................... 1,446,027 1,298,188 391,307 313,326 (12,653) 17,361 ----------- ----------- ---------- ----------- -------- --------- Total Increase (Decrease) in Net Assets... 1,953,709 3,025,728 700,113 2,097,557 (34,188) 120,164 Net Assets Beginning of Period......................... 9,508,466 6,482,738 8,520,717 6,423,160 414,132 293,968 ----------- ----------- ---------- ----------- -------- --------- End of Period............................... $11,462,175 $ 9,508,466 $9,220,830 $ 8,520,717 $379,944 $ 414,132 =========== =========== ========== =========== ======== ========= (1) Shares Issued and Redeemed: Shares Issued............................... 155,035 213,883 33,274 72,452 2,633 8,814 Shares Issued in Lieu of Cash Distributions. 8,913 18,646 18,190 11,691 579 173 Shares Redeemed............................. (50,305) (117,963) (30,311) (65,368) (3,862) (7,179) ----------- ----------- ---------- ----------- -------- --------- Net Increase (Decrease) from Shares Issued and Redeemed...................... 113,643 114,566 21,153 18,775 (650) 1,808 =========== =========== ========== =========== ======== ========= Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)...................................... $ 90,015 $ 27,329 $ 13,847 $ 27,396 $ (2,183) $ 6,178
---------- * Net of foreign capital gain taxes withheld of $65, $14, $175, $27, $0 and $0, respectively. See accompanying Notes to Financial Statements. 92 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
Asia Pacific Small United Kingdom Small Continental Small Company Portfolio Company Portfolio Company Portfolio -------------------- ------------------- -------------------- Six Months Year Six Months Year Six Months Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31, 2014 2013 2014 2013 2014 2013 ----------- -------- ----------- -------- ----------- -------- (Unaudited) (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)...................... $ 5,181 $ 11,525 $ 456 $ 933 $ 1,508 $ 2,635 Net Realized Gain (Loss) on: Investment Securities Sold*...................... (5) (255) 1,243 2,545 3,328 2,298 Futures.......................................... -- -- -- -- (53) 29 Foreign Currency Transactions.................... 31 9 3 -- 50 (3) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency....... (3,622) 17,462 1,744 7,107 19,983 41,299 Futures.......................................... -- -- -- -- -- (29) Translation of Foreign Currency Denominated Amounts......................................... (1) (1) 1 -- 4 7 -------- -------- ------- ------- -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations..................... 1,584 28,740 3,447 10,585 24,820 46,236 -------- -------- ------- ------- -------- -------- Distributions From: Net Investment Income: Institutional Class Shares....................... (12,860) (7,603) (510) (953) (343) (2,834) Net Long-Term Gains: Institutional Class Shares....................... -- -- (406) -- -- -- -------- -------- ------- ------- -------- -------- Total Distributions............................ (12,860) (7,603) (916) (953) (343) (2,834) -------- -------- ------- ------- -------- -------- Capital Share Transactions (1): Shares Issued..................................... 75,143 96,294 3,759 2,464 8,648 32,191 Shares Issued in Lieu of Cash Distributions....... 12,189 7,183 700 729 281 2,141 Shares Redeemed................................... (10,249) (31,639) (4,932) (7,045) (9,977) (13,244) -------- -------- ------- ------- -------- -------- Net Increase (Decrease) from Capital Share Transactions.................................. 77,083 71,838 (473) (3,852) (1,048) 21,088 -------- -------- ------- ------- -------- -------- Total Increase (Decrease) in Net Assets........ 65,807 92,975 2,058 5,780 23,429 64,490 Net Assets Beginning of Period............................... 331,166 238,191 37,096 31,316 170,806 106,316 -------- -------- ------- ------- -------- -------- End of Period..................................... $396,973 $331,166 $39,154 $37,096 $194,235 $170,806 ======== ======== ======= ======= ======== ======== (1) Shares Issued and Redeemed: Shares Issued....................................... 3,242 4,135 98 78 395 1,806 Shares Issued in Lieu of Cash Distributions......... 549 309 19 24 14 128 Shares Redeemed..................................... (445) (1,362) (127) (224) (460) (834) -------- -------- ------- ------- -------- -------- Net Increase (Decrease) from Shares Issued and Redeemed.................................. 3,346 3,082 (10) (122) (51) 1,100 ======== ======== ======= ======= ======== ======== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)............................................ $ (1,261) $ 6,418 $ 75 $ 129 $ 1,257 $ 92
---------- * Net of foreign capital gain taxes withheld of $0, $0, $1, $0, $8 and $1, respectively. See accompanying Notes to Financial Statements. 93 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
DFA International Real Estate Securities DFA Global Real Estate DFA International Small Portfolio Securities Portfolio Cap Value Portfolio ---------------------- ---------------------- ------------------------ Six Months Year Six Months Year Six Months Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31, 2014 2013 2014 2013 2014 2013 ----------- ---------- ----------- ---------- ----------- ----------- (Unaudited) (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)................ $ 41,503 $ 72,994 $ 66,019 $ 84,342 $ 101,060 $ 208,592 Net Realized Gain (Loss) on: Investment Securities Sold*................ 3,938 (19,009) (2,771) (3,169) 165,817 179,935 Futures.................................... -- 888 -- -- -- -- Foreign Currency Transactions.............. 287 (860) -- -- 857 (2,311) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................................. 69,723 105,321 102,401 60,459 776,696 2,722,774 Translation of Foreign Currency Denominated Amounts....................... 63 18 -- -- 79 666 ---------- ---------- ---------- ---------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations................ 115,514 159,352 165,649 141,632 1,044,509 3,109,656 ---------- ---------- ---------- ---------- ----------- ----------- Distributions From: Net Investment Income: Institutional Class Shares................. (106,263) (181,848) (72,036) (84,341) (110,870) (198,381) Net Short-Term Gains: Institutional Class Shares................. -- -- -- -- (38,805) -- Net Long-Term Gains: Institutional Class Shares................. -- -- -- -- (127,501) (117,102) ---------- ---------- ---------- ---------- ----------- ----------- Total Distributions....................... (106,263) (181,848) (72,036) (84,341) (277,176) (315,483) ---------- ---------- ---------- ---------- ----------- ----------- Capital Share Transactions (1): Shares Issued............................... 473,955 842,458 498,786 932,289 984,843 1,644,691 Shares Issued in Lieu of Cash Distributions. 105,300 180,122 70,668 82,056 254,292 292,218 Shares Redeemed............................. (175,093) (372,815) (187,957) (304,476) (807,775) (1,848,793) ---------- ---------- ---------- ---------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions....................... 404,162 649,765 381,497 709,869 431,360 88,116 ---------- ---------- ---------- ---------- ----------- ----------- Total Increase (Decrease) in Net Assets... 413,413 627,269 475,110 767,160 1,198,693 2,882,289 Net Assets Beginning of Period......................... 2,158,977 1,531,708 2,082,707 1,315,547 11,148,899 8,266,610 ---------- ---------- ---------- ---------- ----------- ----------- End of Period............................... $2,572,390 $2,158,977 $2,557,817 $2,082,707 $12,347,592 $11,148,899 ========== ========== ========== ========== =========== =========== (1) Shares Issued and Redeemed: Shares Issued............................... 92,762 159,658 54,388 99,632 47,785 96,297 Shares Issued in Lieu of Cash Distributions. 21,490 35,387 8,208 9,335 13,067 18,141 Shares Redeemed............................. (34,677) (71,419) (20,659) (32,860) (39,239) (106,982) ---------- ---------- ---------- ---------- ----------- ----------- Net Increase (Decrease) from Shares Issued and Redeemed...................... 79,575 123,626 41,937 76,107 21,613 7,456 ========== ========== ========== ========== =========== =========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)...................................... $ (212,733) $ (147,973) $ 5,607 $ 11,624 $ 5,646 $ 14,704
---------- * Net of foreign capital gain taxes withheld of $0, $7, $0, $0, $33 and $6, respectively. See accompanying Notes to Financial Statements. 94 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
International Vector World ex U.S. Value World ex U.S. Targeted Equity Portfolio Portfolio Value Portfolio ---------------------- -------------------- --------------------- Period Six Months Year Six Months Year Six Months Nov. 1, Ended Ended Ended Ended Ended 2012(a) to April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31, 2014 2013 2014 2013 2014 2013 ----------- ---------- ----------- -------- ----------- ---------- (Unaudited) (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).............................. $ 16,576 $ 18,816 $ 2,484 $ 2,186 $ 915 $ 1,009 Capital Gain Distributions Received from Affiliated Investment Companies..................................... -- -- 157 64 983 191 Net Realized Gain (Loss) on: Investment Securities Sold*.............................. 4,258 8,277 702 3,077 (173) 947 Futures.................................................. -- -- -- (12) -- 1 Foreign Currency Transactions............................ (82) (71) (1) (14) (2) (3) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency............... 57,502 172,846 969 13,382 5,265 11,646 Futures.................................................. -- -- 1 (1) -- -- Translation of Foreign Currency Denominated Amounts................................................. (2) 46 1 (15) -- -- ---------- ---------- -------- -------- -------- ------- Net Increase (Decrease) in Net Assets Resulting from Operations............................................. 78,252 199,914 4,313 18,667 6,988 13,791 ---------- ---------- -------- -------- -------- ------- Distributions From: Net Investment Income: Institutional Class Shares............................... (9,166) (17,456) (1,871) (2,334) (1,042) (993) Net Short-Term Gains: Institutional Class Shares............................... (571) -- -- -- (48) -- Net Long-Term Gains: Institutional Class Shares............................... (7,322) (2,044) -- -- (1,147) -- ---------- ---------- -------- -------- -------- ------- Total Distributions..................................... (17,059) (19,500) (1,871) (2,334) (2,237) (993) ---------- ---------- -------- -------- -------- ------- Capital Share Transactions (1): Shares Issued............................................. 189,011 419,905 4,943 53,066 48,578 87,917 Shares Issued in Lieu of Cash Distributions............... 16,870 18,898 1,867 2,232 2,238 993 Shares Redeemed........................................... (61,399) (89,842) (7,767) (11,241) (7,420) (5,698) ---------- ---------- -------- -------- -------- ------- Net Increase (Decrease) from Capital Share Transactions........................................... 144,482 348,961 (957) 44,057 43,396 83,212 ---------- ---------- -------- -------- -------- ------- Total Increase (Decrease) in Net Assets................. 205,675 529,375 1,485 60,390 48,147 96,010 Net Assets Beginning of Period....................................... 1,090,774 561,399 117,587 57,197 96,010 -- ---------- ---------- -------- -------- -------- ------- End of Period............................................. $1,296,449 $1,090,774 $119,072 $117,587 $144,157 $96,010 ========== ========== ======== ======== ======== ======= (1) Shares Issued and Redeemed: Shares Issued............................................. 15,897 39,490 416 4,923 3,922 8,136 Shares Issued in Lieu of Cash Distributions............... 1,467 1,856 159 209 189 90 Shares Redeemed........................................... (5,173) (8,665) (661) (1,036) (608) (522) ---------- ---------- -------- -------- -------- ------- Net Increase (Decrease) from Shares Issued and Redeemed............................................... 12,191 32,681 (86) 4,096 3,503 7,704 ========== ========== ======== ======== ======== ======= Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........................... $ 9,896 $ 2,486 $ 800 $ 187 $ (112) $ 15
---------- Seepage 1 for the Definitions of Abbreviations and Footnotes. * Net of foreign capital gain taxes withheld of $8, $0, $0, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 95 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
World ex U.S. Core Equity Selectively Hedged Portfolio Global Equity Portfolio --------------------- ---------------------- Period Six Months April 9, Six Months Year Ended 2013(a) to Ended Ended April 30, Oct. 31, April 30, Oct. 31, 2014 2013 2014 2013 ----------- ---------- ----------- -------- (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).............................. $ 1,473 $ 1,160 $ 683 $ 1,317 Capital Gain Distributions Received from Affiliated Investment Companies..................................... -- -- 342 115 Net Realized Gain (Loss) on: Investment Securities Sold*.............................. (104) (30) 1,409 (81) Futures.................................................. -- -- 341 545 Foreign Currency Transactions............................ -- -- 90 237 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency............... 7,644 11,720 2,158 12,814 Futures.................................................. -- -- (121) 150 Translation of Foreign Currency Denominated Amounts...... -- -- (33) 121 -------- -------- -------- ------- Net Increase (Decrease) in Net Assets Resulting from Operations............................................. 9,013 12,850 4,869 15,218 -------- -------- -------- ------- Distributions From: Net Investment Income: Institutional Class Shares............................... (1,487) (1,171) (1,858) (330) Net Short-Term Gains: Institutional Class Shares............................... (64) -- (281) (43) Net Long-Term Gains: Institutional Class Shares............................... -- -- (539) (56) -------- -------- -------- ------- Total Distributions..................................... (1,551) (1,171) (2,678) (429) -------- -------- -------- ------- Capital Share Transactions (1): Shares Issued............................................. 90,848 125,005 33,064 43,832 Shares Issued in Lieu of Cash Distributions............... 1,548 1,169 2,678 429 Shares Redeemed........................................... (14,928) (8,133) (18,921) (2,652) -------- -------- -------- ------- Net Increase (Decrease) from Capital Share Transactions........................................... 77,468 118,041 16,821 41,609 -------- -------- -------- ------- Total Increase (Decrease) in Net Assets................. 84,930 129,720 19,012 56,398 Net Assets Beginning of Period....................................... 129,720 -- 91,348 34,950 -------- -------- -------- ------- End of Period............................................. $214,650 $129,720 $110,360 $91,348 ======== ======== ======== ======= (1) Shares Issued and Redeemed: Shares Issued............................................. 8,523 12,721 2,427 3,666 Shares Issued in Lieu of Cash Distributions............... 146 117 205 39 Shares Redeemed........................................... (1,395) (790) (1,397) (217) -------- -------- -------- ------- Net Increase (Decrease) from Shares Issued and Redeemed............................................... 7,274 12,048 1,235 3,488 ======== ======== ======== ======= Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........................... $ (15) $ (1) $ 215 $ 1,390
Emerging Markets Portfolio ---------------------- Six Months Year Ended Ended April 30, Oct. 31, 2014 2013 ----------- ---------- (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).............................. $ 24,710 $ 61,645 Capital Gain Distributions Received from Affiliated Investment Companies..................................... -- -- Net Realized Gain (Loss) on: Investment Securities Sold*.............................. (19,190) 22,235 Futures.................................................. -- -- Foreign Currency Transactions............................ (53) (124) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency............... (77,616) 143,306 Futures.................................................. -- -- Translation of Foreign Currency Denominated Amounts...... 28 (6) ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations............................................. (72,121) 227,056 ---------- ---------- Distributions From: Net Investment Income: Institutional Class Shares............................... (21,495) (59,866) Net Short-Term Gains: Institutional Class Shares............................... -- -- Net Long-Term Gains: Institutional Class Shares............................... (21,358) (30,527) ---------- ---------- Total Distributions..................................... (42,853) (90,393) ---------- ---------- Capital Share Transactions (1): Shares Issued............................................. 630,227 1,304,374 Shares Issued in Lieu of Cash Distributions............... 40,365 84,860 Shares Redeemed........................................... (333,914) (667,334) ---------- ---------- Net Increase (Decrease) from Capital Share Transactions........................................... 336,678 721,900 ---------- ---------- Total Increase (Decrease) in Net Assets................. 221,704 858,563 Net Assets Beginning of Period....................................... 3,655,740 2,797,177 ---------- ---------- End of Period............................................. $3,877,444 $3,655,740 ========== ========== (1) Shares Issued and Redeemed: Shares Issued............................................. 24,959 50,466 Shares Issued in Lieu of Cash Distributions............... 1,580 3,233 Shares Redeemed........................................... (13,207) (25,465) ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed............................................... 13,332 28,234 ========== ========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........................... $ 10,070 $ 6,864
---------- Seepage 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. 96 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
Emerging Markets Small Emerging Markets Value Cap Portfolio Portfolio ---------------------- ------------------------ Six Months Year Six Months Year Ended Ended Ended Ended April 30, Oct. 31, April 30, Oct. 31, 2014 2013 2014 2013 ----------- ---------- ----------- ----------- (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).......................... $ 29,035 $ 69,684 $ 137,479 $ 342,372 Net Realized Gain (Loss) on: Investment Securities Sold*.......................... 43,554 64,325 (354,332) 296,735 Futures.............................................. -- 452 -- -- Foreign Currency Transactions........................ (82) (1,227) (2,053) (2,807) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency........... 9,405 146,169 (440,131) 717,140 Futures.............................................. (4) 4 -- -- Translation of Foreign Currency Denominated Amounts............................................. 94 (42) 100 7 ---------- ---------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations.................................... 82,002 279,365 (658,937) 1,353,447 ---------- ---------- ----------- ----------- Distributions From: Net Investment Income: Class R2 Shares...................................... -- -- (833) (1,837) Institutional Class Shares........................... (36,498) (67,721) (164,213) (355,664) Net Short-Term Gains: Class R2 Shares...................................... -- -- (62) -- Institutional Class Shares........................... -- (3,428) (11,122) -- Net Long-Term Gains: Class R2 Shares...................................... -- -- (1,472) (2,090) Institutional Class Shares........................... (63,095) (92,100) (262,348) (342,441) ---------- ---------- ----------- ----------- Total Distributions................................. (99,593) (163,249) (440,050) (702,032) ---------- ---------- ----------- ----------- Capital Share Transactions (1): Shares Issued......................................... 442,550 1,458,450 1,914,815 4,240,153 Shares Issued in Lieu of Cash Distributions........... 92,750 142,712 419,285 656,583 Shares Redeemed....................................... (241,422) (583,088) (1,630,414) (2,967,974) ---------- ---------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions....................................... 293,878 1,018,074 703,686 1,928,762 ---------- ---------- ----------- ----------- Total Increase (Decrease) in Net Assets............. 276,287 1,134,190 (395,301) 2,580,177 Net Assets Beginning of Period................................... 4,041,863 2,907,673 19,268,907 16,688,730 ---------- ---------- ----------- ----------- End of Period......................................... $4,318,150 $4,041,863 $18,873,606 $19,268,907 ========== ========== =========== =========== (1) Shares Issued and Redeemed: Shares Issued......................................... 21,892 69,669 70,732 148,957 Shares Issued in Lieu of Cash Distributions........... 4,651 6,956 15,454 22,991 Shares Redeemed....................................... (12,083) (28,076) (60,445) (105,179) ---------- ---------- ----------- ----------- Net Increase (Decrease) from Shares Issued and Redeemed........................................... 14,460 48,549 25,741 66,769 ========== ========== =========== =========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).................... $ 877 $ 8,340 $ (12,750) $ 14,739
Emerging Markets Core Equity Portfolio ------------------------ Six Months Year Ended Ended April 30, Oct. 31, 2014 2013 ----------- ----------- (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).......................... $ 88,556 $ 211,992 Net Realized Gain (Loss) on: Investment Securities Sold*.......................... (64,782) (9,977) Futures.............................................. -- -- Foreign Currency Transactions........................ (735) (2,207) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency........... (139,793) 581,086 Futures.............................................. -- -- Translation of Foreign Currency Denominated Amounts............................................. 54 (79) ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations.................................... (116,700) 780,815 ----------- ----------- Distributions From: Net Investment Income: Class R2 Shares...................................... -- -- Institutional Class Shares........................... (81,635) (205,400) Net Short-Term Gains: Class R2 Shares...................................... -- -- Institutional Class Shares........................... -- -- Net Long-Term Gains: Class R2 Shares...................................... -- -- Institutional Class Shares........................... -- -- ----------- ----------- Total Distributions................................. (81,635) (205,400) ----------- ----------- Capital Share Transactions (1): Shares Issued......................................... 2,631,076 5,406,041 Shares Issued in Lieu of Cash Distributions........... 74,799 187,871 Shares Redeemed....................................... (1,267,214) (1,743,072) ----------- ----------- Net Increase (Decrease) from Capital Share Transactions....................................... 1,438,661 3,850,840 ----------- ----------- Total Increase (Decrease) in Net Assets............. 1,240,326 4,426,255 Net Assets Beginning of Period................................... 13,020,962 8,594,707 ----------- ----------- End of Period......................................... $14,261,288 $13,020,962 =========== =========== (1) Shares Issued and Redeemed: Shares Issued......................................... 138,032 276,461 Shares Issued in Lieu of Cash Distributions........... 3,886 9,689 Shares Redeemed....................................... (66,650) (90,412) ----------- ----------- Net Increase (Decrease) from Shares Issued and Redeemed........................................... 75,268 195,738 =========== =========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).................... $ 38,276 $ 31,355
---------- * Net of foreign capital gain taxes withheld of $0, $1, $0, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 97 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
Enhanced U.S. Large Company Portfolio -------------------------------------------------------------- Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 2009 ------------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period........................ $ 11.70 $ 9.29 $ 8.15 $ 7.53 $ 6.48 $ 6.47 -------- -------- -------- -------- -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.04 0.07 0.07 0.07 0.07 0.05 Net Gains (Losses) on Securities (Realized and Unrealized). 0.94 2.42 1.20 0.56 1.05 0.61 -------- -------- -------- -------- -------- -------- Total from Investment Operations......................... 0.98 2.49 1.27 0.63 1.12 0.66 ------------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.04) (0.08) (0.13) (0.01) (0.07) (0.59) Net Realized Gains......................................... -- -- -- -- -- (0.06) -------- -------- -------- -------- -------- -------- Total Distributions...................................... (0.04) (0.08) (0.13) (0.01) (0.07) (0.65) ------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period.............................. $ 12.64 $ 11.70 $ 9.29 $ 8.15 $ 7.53 $ 6.48 =========================================================== =========== ======== ======== ======== ======== ======== Total Return................................................ 8.35%(D) 26.99% 15.84% 8.41% 17.40% 12.23% ------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)....................... $199,110 $212,840 $190,011 $171,128 $157,730 $165,231 Ratio of Expenses to Average Net Assets..................... 0.23%(E) 0.24% 0.25% 0.26% 0.26% 0.29%** Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly)...................... 0.23%(E) 0.24% 0.25% 0.26% 0.26% 0.29%** Ratio of Net Investment Income to Average Net Assets........ 0.60%(E) 0.63% 0.80% 0.86% 0.98% 0.86% Portfolio Turnover Rate..................................... 86%(D) 139% 76% 140% 78% 46%* -------------------------------------------------------------------------------------------------------------------------------
U.S. Large Cap Equity Portfolio ----------------------- Period Six Months June 25, Ended 2013(a) to April 30, Oct. 31, 2014 2013 ------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period........................ $ 11.07 $ 10.00 -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.10 0.06 Net Gains (Losses) on Securities (Realized and Unrealized). 0.83 1.04 -------- -------- Total from Investment Operations......................... 0.93 1.10 ------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.09) (0.03) Net Realized Gains......................................... -- -- -------- -------- Total Distributions...................................... (0.09) (0.03) ------------------------------------------------------------------------------------------- Net Asset Value, End of Period.............................. $ 11.91 $ 11.07 =========================================================== =========== ========== Total Return................................................ 8.51%(D) 11.01%(D) ------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)....................... $197,479 $135,407 Ratio of Expenses to Average Net Assets..................... 0.19%(E) 0.19%(C)(E) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly)...................... 0.21%(E) 0.25%(C)(E) Ratio of Net Investment Income to Average Net Assets........ 1.77%(E) 1.58%(C)(E) Portfolio Turnover Rate..................................... 0%(D) 0%(D) -------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. * For the period February 28, 2009 through October 31, 2009. Effective February 28, 2009, Enhanced U.S. Large Company Portfolio invests directly in securities rather than through the Series. **Represents the combined ratios for the respective portfolio and, for the period November 1, 2008 through February 27, 2009, its respective pro-rata share of its Master Fund Series. See accompanying Notes to Financial Statements. 98 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
U.S. Large Cap Value Portfolio ---------------------------------------------------------------- Six Months Year Year Year Year Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 ------------------------------------------------------------------------------------------------------------------------------ (Unaudited) Net Asset Value, Beginning of Period........................ $ 29.72 $ 22.34 $ 19.29 $ 18.58 $ 15.81 ----------- ----------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.26 0.47 0.41 0.33 0.33 Net Gains (Losses) on Securities (Realized and Unrealized). 2.51 7.38 3.04 0.70 2.76 ----------- ----------- ---------- ---------- ---------- Total from Investment Operations......................... 2.77 7.85 3.45 1.03 3.09 ------------------------------------------------------------------------------------------------------------------------------ Less Distributions ------------------ Net Investment Income...................................... (0.26) (0.47) (0.40) (0.32) (0.32) Net Realized Gains......................................... -- -- -- -- -- ----------- ----------- ---------- ---------- ---------- Total Distributions...................................... (0.26) (0.47) (0.40) (0.32) (0.32) ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Period.............................. $ 32.23 $ 29.72 $ 22.34 $ 19.29 $ 18.58 =========================================================== =========== =========== ========== ========== ========== Total Return................................................ 9.35%(D) 35.52% 18.14% 5.53% 19.72% ------------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands)....................... $13,617,947 $11,963,072 $8,334,585 $7,340,344 $6,921,036 Ratio of Expenses to Average Net Assets (B)................. 0.27%(E) 0.27% 0.27% 0.28% 0.28% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumptions of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly) (B).................. 0.27%(E) 0.27% 0.27% 0.28% 0.28% Ratio of Net Investment Income to Average Net Assets........ 1.66%(E) 1.82% 1.99% 1.63% 1.86% ------------------------------------------------------------------------------------------------------------------------------
----------- Year Ended Oct. 31, 2009 ------------------------------------------------------------------------ Net Asset Value, Beginning of Period........................ $ 14.58 ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.31 Net Gains (Losses) on Securities (Realized and Unrealized). 1.28 ---------- Total from Investment Operations......................... 1.59 ------------------------------------------------------------------------ Less Distributions ------------------ Net Investment Income...................................... (0.34) Net Realized Gains......................................... (0.02) ---------- Total Distributions...................................... (0.36) ------------------------------------------------------------------------ Net Asset Value, End of Period.............................. $ 15.81 =========================================================== ========== Total Return................................................ 11.76% ------------------------------------------------------------------------ Net Assets, End of Period (thousands)....................... $5,863,652 Ratio of Expenses to Average Net Assets (B)................. 0.30% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumptions of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly) (B).................. 0.30% Ratio of Net Investment Income to Average Net Assets........ 2.26% ------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 99 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
U.S. Targeted Value Portfolio-Class R1 Shares+ --------------------------------------------------------- Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 2009 ------------------------------------------------------------------------------------------------------------------------ (Unaudited) Net Asset Value, Beginning of Period......................... $ 22.63 $17.28 $ 15.32 $ 14.75 $ 11.73 $ 10.92 ------- ------ ------- ------- ------- ------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.08 0.27 0.15 0.10 0.07 0.12 Net Gains (Losses) on Securities (Realized and Unrealized). 1.52 6.28 2.06 0.60 3.07 0.87 ------- ------ ------- ------- ------- ------- Total from Investment Operations.......................... 1.60 6.55 2.21 0.70 3.14 0.99 ------------------------------------------------------------------------------------------------------------------------ Less Distributions ------------------ Net Investment Income...................................... (0.06) (0.22) (0.13) (0.10) (0.12) (0.18) Net Realized Gains......................................... (1.32) (0.98) (0.12) (0.03) -- -- ------- ------ ------- ------- ------- ------- Total Distributions....................................... (1.38) (1.20) (0.25) (0.13) (0.12) (0.18) ------------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Period............................... $ 22.85 $22.63 $ 17.28 $ 15.32 $ 14.75 $ 11.73 ============================================================= =========== ======== ======== ======== ======== ======== Total Return................................................. 7.45%(D) 40.39% 14.67% 4.69% 26.93% 9.36% ------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands)........................ $12,061 $9,470 $49,423 $45,132 $41,316 $31,393 Ratio of Expenses to Average Net Assets...................... 0.47%(E) 0.47% 0.48% 0.48% 0.49% 0.52% Ratio of Net Investment Income to Average Net Assets......... 0.74%(E) 1.42% 0.93% 0.61% 0.59% 1.12% Portfolio Turnover Rate...................................... 5%(D) 16% 20% 23% 20% 17% ------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 100 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
U.S. Targeted Value Portfolio-Class R2 Shares+ --------------------------------------------------------- Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 2009 ------------------------------------------------------------------------------------------------------------------------ (Unaudited) Net Asset Value, Beginning of Period......................... $ 22.57 $ 17.26 $ 15.31 $ 14.76 $11.74 $10.91 ------- ------- ------- ------- ------ ------ Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.06 0.19 0.13 0.07 0.05 0.10 Net Gains (Losses) on Securities (Realized and Unrealized). 1.52 6.31 2.05 0.60 3.07 0.88 ------- ------- ------- ------- ------ ------ Total from Investment Operations.......................... 1.58 6.50 2.18 0.67 3.12 0.98 ------------------------------------------------------------------------------------------------------------------------ Less Distributions ------------------ Net Investment Income...................................... (0.05) (0.21) (0.11) (0.09) (0.10) (0.15) Net Realized Gains......................................... (1.32) (0.98) (0.12) (0.03) -- -- ------- ------- ------- ------- ------ ------ Total Distributions....................................... (1.37) (1.19) (0.23) (0.12) (0.10) (0.15) ------------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Period............................... $ 22.78 $ 22.57 $ 17.26 $ 15.31 $14.76 $11.74 ============================================================= =========== ======== ======== ======== ======== ======== Total Return................................................. 7.35%(D) 40.10% 14.46% 4.50% 26.66% 9.23% ------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands)........................ $77,227 $23,305 $12,754 $10,918 $5,967 $2,930 Ratio of Expenses to Average Net Assets...................... 0.62%(E) 0.62% 0.63% 0.63% 0.64% 0.67% Ratio of Net Investment Income to Average Net Assets......... 0.54%(E) 0.95% 0.78% 0.42% 0.44% 0.91% Portfolio Turnover Rate...................................... 5%(D) 16% 20% 23% 20% 17% ------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. + All per share amounts and net assets values prior to November 19, 2010 have been adjusted as a result of the reverse stock split on November 19, 2010. (Note G) See accompanying Notes to Financial Statements. 101 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
U.S. Targeted Value Portfolio-Institutional Class Shares ------------------------------------------------------------------------- Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 2009 ----------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period.............. $ 22.60 $ 17.28 $ 15.32 $ 14.76 $ 11.70 $ 10.84 ---------- ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................. 0.10 0.24 0.17 0.12 0.09 0.12 Net Gains (Losses) on Securities (Realized and Unrealized).................................... 1.52 6.31 2.06 0.59 3.06 0.88 ---------- ---------- ---------- ---------- ---------- ---------- Total from Investment Operations............... 1.62 6.55 2.23 0.71 3.15 1.00 ----------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income............................ (0.07) (0.25) (0.15) (0.12) (0.09) (0.14) Net Realized Gains............................... (1.32) (0.98) (0.12) (0.03) -- -- ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions............................ (1.39) (1.23) (0.27) (0.15) (0.09) (0.14) ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period.................... $ 22.83 $ 22.60 $ 17.28 $ 15.32 $ 14.76 $ 11.70 ================================================= =========== ========== ========== ========== ========== ========== Total Return...................................... 7.55%(D) 40.40% 14.78% 4.76% 27.02% 9.47% ----------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)............. $4,879,317 $4,180,974 $2,989,632 $2,487,929 $2,223,982 $1,449,437 Ratio of Expenses to Average Net Assets........... 0.37%(E) 0.37% 0.38% 0.38% 0.38% 0.41% Ratio of Net Investment Income to Average Net Assets........................................... 0.85%(E) 1.25% 1.03% 0.71% 0.69% 1.19% Portfolio Turnover Rate........................... 5%(D) 16% 20% 23% 20% 17% -----------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 102 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
U.S. Small Cap Value Portfolio --------------------------------------------------------------- Six Months Year Year Year Year Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 ------------------------------------------------------------------------------------------------------------------------------ (Unaudited) Net Asset Value, Beginning of Period......................... $ 34.48 $ 26.57 $ 23.50 $ 22.49 $ 17.69 ----------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.11 0.39 0.20 0.16 0.09 Net Gains (Losses) on Securities (Realized and Unrealized). 2.27 9.41 3.38 1.00 4.79 ----------- ---------- ---------- ---------- ---------- Total from Investment Operations.......................... 2.38 9.80 3.58 1.16 4.88 ------------------------------------------------------------------------------------------------------------------------------ Less Distributions ------------------ Net Investment Income...................................... (0.11) (0.37) (0.18) (0.15) (0.08) Net Realized Gains......................................... (1.60) (1.52) (0.33) -- -- ----------- ---------- ---------- ---------- ---------- Total Distributions....................................... (1.71) (1.89) (0.51) (0.15) (0.08) ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Period............................... $ 35.15 $ 34.48 $ 26.57 $ 23.50 $ 22.49 ============================================================= =========== ========== ========== ========== ========== Total Return................................................. 7.14%(D) 39.35% 15.60% 5.13% 27.69% ------------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands)........................ $10,912,856 $9,526,981 $7,088,470 $6,540,863 $6,555,277 Ratio of Expenses to Average Net Assets...................... 0.52%(E) 0.52% 0.52% 0.52% 0.52% Ratio of Net Investment Income to Average Net Assets......... 0.62%(E) 1.28% 0.78% 0.62% 0.43% Portfolio Turnover Rate...................................... 4%(D) 14% 15% 14% 19% ------------------------------------------------------------------------------------------------------------------------------
----------- Year Ended Oct. 31, 2009 --------------------------------------------------------------------------- Net Asset Value, Beginning of Period......................... $ 16.32 ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.04 Net Gains (Losses) on Securities (Realized and Unrealized). 1.54 ---------- Total from Investment Operations.......................... 1.58 --------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.21) Net Realized Gains......................................... -- ---------- Total Distributions....................................... (0.21) --------------------------------------------------------------------------- Net Asset Value, End of Period............................... $ 17.69 ============================================================= ========== Total Return................................................. 9.97% --------------------------------------------------------------------------- Net Assets, End of Period (thousands)........................ $5,669,659 Ratio of Expenses to Average Net Assets...................... 0.54%++ Ratio of Net Investment Income to Average Net Assets......... 0.27% Portfolio Turnover Rate...................................... 21%+ ---------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. + For the period February 28, 2009 through October 31, 2009. Effective February 28, 2009, U.S. Small Cap Value Portfolio invests directly in securities rather than through the Series. ++Represents the combined ratios for the respective portfolio and, for the period November 1, 2008 through February 27, 2009, its respective pro-rata share of its Master Fund Series. See accompanying Notes to Financial Statements. 103 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
U.S. Core Equity 1 Portfolio ------------------------------------------------------------------------- --------------- Six Months Year Year Year Year Year Six Months Ended Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, April 30, 2014 2013 2012 2011 2010 2009 2014 --------------------------------------------------------------------------------------------------------------------------------- (Unaudited) (Unaudited) Net Asset Value, Beginning of Period. $ 15.74 $ 12.11 $ 10.78 $ 10.18 $ 8.54 $ 7.81 $ 15.62 ---------- ---------- ---------- ---------- ---------- ---------- ----------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A).... 0.13 0.25 0.21 0.17 0.15 0.15 0.13 Net Gains (Losses) on Securities (Realized and Unrealized).......... 1.11 3.62 1.32 0.59 1.61 0.73 1.09 ---------- ---------- ---------- ---------- ---------- ---------- ----------- Total from Investment Operations....................... 1.24 3.87 1.53 0.76 1.76 0.88 1.22 --------------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income............... (0.12) (0.24) (0.20) (0.16) (0.12) (0.15) (0.11) Net Realized Gains.................. (0.07) -- -- -- -- -- (0.16) ---------- ---------- ---------- ---------- ---------- ---------- ----------- Total Distributions............... (0.19) (0.24) (0.20) (0.16) (0.12) (0.15) (0.27) --------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period....... $ 16.79 $ 15.74 $ 12.11 $ 10.78 $ 10.18 $ 8.54 $ 16.57 ===================================== =========== ========== ========== ========== ========== ========== =========== Total Return......................... 7.97%(D) 32.32% 14.29% 7.47% 20.80% 11.64% 7.93%(D) --------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)......................... $9,088,173 $7,566,179 $4,876,973 $3,731,411 $2,897,409 $1,989,583 $11,493,784 Ratio of Expenses to Average Net Assets.............................. 0.19%(E) 0.19% 0.19% 0.20% 0.20% 0.22% 0.21%(E) Ratio of Net Investment Income to Average Net Assets.................. 1.60%(E) 1.79% 1.79% 1.49% 1.53% 2.02% 1.56%(E) Portfolio Turnover Rate.............. 1%(D) 1% 3% 5% 4% 7% 1%(D) ---------------------------------------------------------------------------------------------------------------------------------
U.S. Core Equity 2 Portfolio ----------------------------------------------------------- Year Year Year Year Year Ended Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2013 2012 2011 2010 2009 ------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period. $ 11.99 $ 10.61 $ 10.06 $ 8.39 $ 7.73 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A).... 0.24 0.20 0.16 0.14 0.14 Net Gains (Losses) on Securities (Realized and Unrealized).......... 3.73 1.36 0.54 1.64 0.66 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations....................... 3.97 1.56 0.70 1.78 0.80 ------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income............... (0.24) (0.18) (0.15) (0.11) (0.14) Net Realized Gains.................. (0.10) -- -- -- -- ---------- ---------- ---------- ---------- ---------- Total Distributions............... (0.34) (0.18) (0.15) (0.11) (0.14) ------------------------------------------------------------------------------------------------- Net Asset Value, End of Period....... $ 15.62 $ 11.99 $ 10.61 $ 10.06 $ 8.39 ===================================== ========== ========== ========== ========== ========== Total Return......................... 33.66% 14.81% 6.98% 21.41% 10.66% ------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)......................... $9,989,564 $6,923,984 $5,819,906 $4,990,367 $3,804,325 Ratio of Expenses to Average Net Assets.............................. 0.22% 0.22% 0.22% 0.23% 0.24% Ratio of Net Investment Income to Average Net Assets.................. 1.74% 1.74% 1.42% 1.47% 1.89% Portfolio Turnover Rate.............. 3% 5% 9% 7% 4% -------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 104 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
U.S. Vector Equity Portfolio -------------------------------------------------------------- Six Months Year Year Year Year Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 ---------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period........................ $ 15.62 $ 11.61 $ 10.28 $ 9.82 $ 8.03 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.10 0.20 0.16 0.12 0.10 Net Gains (Losses) on Securities (Realized and Unrealized). 1.03 4.03 1.32 0.46 1.79 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations......................... 1.13 4.23 1.48 0.58 1.89 ---------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.09) (0.20) (0.15) (0.12) (0.10) Net Realized Gains......................................... (0.22) (0.02) -- -- -- ---------- ---------- ---------- ---------- ---------- Total Distributions...................................... (0.31) (0.22) (0.15) (0.12) (0.10) ---------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period.............................. $ 16.44 $ 15.62 $ 11.61 $ 10.28 $ 9.82 =========================================================== =========== ========== ========== ========== ========== Total Return................................................ 7.31%(D) 36.80% 14.55% 5.86% 23.65% ---------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)....................... $3,201,393 $2,893,842 $2,009,177 $1,851,895 $1,558,423 Ratio of Expenses to Average Net Assets..................... 0.32%(E) 0.32% 0.32% 0.33% 0.33% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumptions of Expenses and/or Recovery of Previously Waived Fees)............................................... 0.32%(E) 0.32% 0.32% 0.33% 0.33% Ratio of Net Investment Income to Average Net Assets........ 1.25%(E) 1.50% 1.45% 1.11% 1.13% Portfolio Turnover Rate..................................... 2%(D) 3% 9% 10% 11% ----------------------------------------------------------------------------------------------------------------------------
----------- Year Ended Oct. 31, 2009 ------------------------------------------------------------------------ Net Asset Value, Beginning of Period........................ $ 7.48 ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.11 Net Gains (Losses) on Securities (Realized and Unrealized). 0.57 ---------- Total from Investment Operations......................... 0.68 ------------------------------------------------------------------------ Less Distributions ------------------ Net Investment Income...................................... (0.13) Net Realized Gains......................................... -- ---------- Total Distributions...................................... (0.13) ------------------------------------------------------------------------ Net Asset Value, End of Period.............................. $ 8.03 =========================================================== ========== Total Return................................................ 9.47% ------------------------------------------------------------------------ Net Assets, End of Period (thousands)....................... $1,178,114 Ratio of Expenses to Average Net Assets..................... 0.35% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumptions of Expenses and/or Recovery of Previously Waived Fees)............................................... 0.35% Ratio of Net Investment Income to Average Net Assets........ 1.60% Portfolio Turnover Rate..................................... 11% ------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 105 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
U.S. Small Cap Portfolio ------------------------------------------------------------------------- -------------- Six Months Year Year Year Year Year Six Months Ended Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, April 30, 2014 2013 2012 2011 2010 2009 2014 ------------------------------------------------------------------------------------------------------------------------------- (Unaudited) (Unaudited) Net Asset Value, Beginning of Period........................... $ 30.03 $ 23.11 $ 20.55 $ 19.06 $ 14.89 $ 13.35 $ 19.64 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A). 0.13 0.35 0.25 0.18 0.13 0.06 0.07 Net Gains (Losses) on Securities (Realized and Unrealized)....... 1.20 8.13 2.53 1.49 4.17 1.65 0.78 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total from Investment Operations.................... 1.33 8.48 2.78 1.67 4.30 1.71 0.85 ------------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income............ (0.11) (0.36) (0.22) (0.18) (0.13) (0.17) (0.06) Net Realized Gains............... (0.94) (1.20) -- -- -- -- (0.90) ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions............ (1.05) (1.56) (0.22) (0.18) (0.13) (0.17) (0.96) ------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period.... $ 30.31 $ 30.03 $ 23.11 $ 20.55 $ 19.06 $ 14.89 $ 19.53 ================================== =========== ========== ========== ========== ========== ========== =========== Total Return...................... 4.54%(D) 39.03% 13.61% 8.76% 28.99% 13.08% 4.46%(D) ------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)...................... $8,391,412 $7,446,827 $4,563,345 $3,770,323 $3,391,457 $2,522,001 $4,803,585 Ratio of Expenses to Average Net Assets........................... 0.37%(E) 0.37% 0.37% 0.37% 0.37% 0.40%** 0.52%(E) Ratio of Net Investment Income to Average Net Assets............... 0.88%(E) 1.33% 1.14% 0.84% 0.76% 0.50% 0.69%(E) Portfolio Turnover Rate........... 4%(D) 10% 16% 23% 19% 17%* 6%(D) -------------------------------------------------------------------------------------------------------------------------------
U.S. Micro Cap Portfolio ----------------------------------------------------------- Year Year Year Year Year Ended Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2013 2012 2011 2010 2009 ------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Period........................... $ 14.84 $ 13.24 $ 12.25 $ 9.57 $ 9.19 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A). 0.19 0.14 0.09 0.06 0.03 Net Gains (Losses) on Securities (Realized and Unrealized)....... 5.57 1.59 0.99 2.68 0.54 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations.................... 5.76 1.73 1.08 2.74 0.57 ------------------------------------------------------------------------------------------------ Less Distributions ------------------ Net Investment Income............ (0.20) (0.13) (0.09) (0.06) (0.19) Net Realized Gains............... (0.76) -- -- -- -- ---------- ---------- ---------- ---------- ---------- Total Distributions............ (0.96) (0.13) (0.09) (0.06) (0.19) ------------------------------------------------------------------------------------------------ Net Asset Value, End of Period.... $ 19.64 $ 14.84 $ 13.24 $ 12.25 $ 9.57 ================================== ========== ========== ========== ========== ========== Total Return...................... 41.34% 13.13% 8.85% 28.77% 6.61% ------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands)...................... $4,695,831 $3,437,958 $3,257,719 $3,178,286 $2,818,365 Ratio of Expenses to Average Net Assets........................... 0.52% 0.52% 0.52% 0.52% 0.54%** Ratio of Net Investment Income to Average Net Assets............... 1.16% 0.99% 0.69% 0.58% 0.38% Portfolio Turnover Rate........... 11% 15% 14% 9% 12%* ------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. * For the period February 28, 2009 through October 31, 2009. Effective February 28, 2009, the Portfolios invest directly in securities rather than through the Series. **Represents the combined ratios for the respective portfolio and, for the period November 1, 2008 through February 27, 2009, its respective pro-rata share of its Master Fund Series. See accompanying Notes to Financial Statements. 106 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
DFA Real Estate Securities Portfolio ------------------------------------------------------------------------- -------------- Six Months Year Year Year Year Year Six Months Ended Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, April 30, 2014 2013 2012 2011 2010 2009 2014 ------------------------------------------------------------------------------------------------------------------------------- (Unaudited) (Unaudited) Net Asset Value, Beginning of Period............................. $ 27.77 $ 25.83 $ 23.25 $ 21.24 $ 15.29 $ 16.16 $ 22.20 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A).. 0.54 0.67 0.57 0.40 0.58 0.58 0.44 Net Gains (Losses) on Securities (Realized and Unrealized)........ 1.74 1.95 2.74 1.93 5.92 (0.62) 0.65 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total from Investment Operations...................... 2.28 2.62 3.31 2.33 6.50 (0.04) 1.09 ------------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income............. (0.55) (0.68) (0.73) (0.32) (0.55) (0.83) (0.30) ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions.............. (0.55) (0.68) (0.73) (0.32) (0.55) (0.83) (0.30) ------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period...... $ 29.50 $ 27.77 $ 25.83 $ 23.25 $ 21.24 $ 15.29 $ 22.99 ==================================== =========== ========== ========== ========== ========== ========== =========== Total Return........................ 8.49%(D) 10.28% 14.45% 11.09% 43.21% 0.98% 4.97%(D) ------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)........................ $5,544,970 $4,677,418 $3,716,389 $3,098,647 $2,689,552 $2,018,559 $3,047,190 Ratio of Expenses to Average Net Assets............................. 0.18%(E) 0.18% 0.22% 0.32% 0.33% 0.36% 0.28%(E) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly).......... 0.19%(E) 0.19% 0.23% 0.32% 0.33% 0.36% 0.28%(E) Ratio of Net Investment Income to Average Net Assets................. 3.96%(E) 2.42% 2.29% 1.76% 3.13% 4.54% 4.00%(E) Portfolio Turnover Rate............. 0%(D) 1% 0% 3% 2% 2% 3%(D) -------------------------------------------------------------------------------------------------------------------------------
Large Cap International Portfolio ------------------------------------------------------------ Year Year Year Year Year Ended Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2013 2012 2011 2010 2009 ------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period............................. $ 18.33 $ 17.91 $ 19.42 $ 18.02 $ 14.81 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A).. 0.58 0.60 0.63 0.48 0.48 Net Gains (Losses) on Securities (Realized and Unrealized)........ 3.90 0.40 (1.53) 1.43 3.16 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations...................... 4.48 1.00 (0.90) 1.91 3.64 ------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income............. (0.61) (0.58) (0.61) (0.51) (0.43) ---------- ---------- ---------- ---------- ---------- Total Distributions.............. (0.61) (0.58) (0.61) (0.51) (0.43) ------------------------------------------------------------------------------------------------- Net Asset Value, End of Period...... $ 22.20 $ 18.33 $ 17.91 $ 19.42 $ 18.02 ==================================== ========== ========== ========== ========== ========== Total Return........................ 24.85% 5.89% (4.86)% 10.99% 25.20% ------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)........................ $2,755,114 $2,055,759 $1,704,149 $1,616,686 $1,364,351 Ratio of Expenses to Average Net Assets............................. 0.29% 0.30% 0.30% 0.30% 0.32% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly).......... 0.29% 0.30% 0.30% 0.30% 0.32% Ratio of Net Investment Income to Average Net Assets................. 2.90% 3.38% 3.19% 2.65% 3.14% Portfolio Turnover Rate............. 5% 4% 3% 7% 12% -------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 107 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
International Core Equity Portfolio ---------------------------------------------------------------- Six Months Year Year Year Year Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 ------------------------------------------------------------------------------------------------------------------------------ (Unaudited) Net Asset Value, Beginning of Period........................ $ 12.57 $ 10.10 $ 9.89 $ 10.78 $ 9.79 ----------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.22 0.31 0.31 0.33 0.23 Net Gains (Losses) on Securities (Realized and Unrealized). 0.52 2.47 0.20 (0.89) 0.96 ----------- ---------- ---------- ---------- ---------- Total from Investment Operations......................... 0.74 2.78 0.51 (0.56) 1.19 ------------------------------------------------------------------------------------------------------------------------------ Less Distributions ------------------ Net Investment Income...................................... (0.14) (0.31) (0.30) (0.33) (0.20) ----------- ---------- ---------- ---------- ---------- Total Distributions...................................... (0.14) (0.31) (0.30) (0.33) (0.20) ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Period.............................. $ 13.17 $ 12.57 $ 10.10 $ 9.89 $ 10.78 =========================================================== =========== ========== ========== ========== ========== Total Return................................................ 5.97%(D) 27.98% 5.49% (5.49)% 12.48% ------------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands)....................... $11,462,175 $9,508,466 $6,482,738 $5,395,884 $4,866,989 Ratio of Expenses to Average Net Assets..................... 0.38%(E) 0.39% 0.40% 0.40% 0.40% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly)...................... 0.38%(E) 0.39% 0.40% 0.40% 0.40% Ratio of Net Investment Income to Average Net Assets........ 3.47%(E) 2.80% 3.18% 2.96% 2.31% Portfolio Turnover Rate..................................... 4%(D) 3% 5% 3% 2% ------------------------------------------------------------------------------------------------------------------------------
----------- Year Ended Oct. 31, 2009 ------------------------------------------------------------------------ Net Asset Value, Beginning of Period........................ $ 7.46 ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.23 Net Gains (Losses) on Securities (Realized and Unrealized). 2.32 ---------- Total from Investment Operations......................... 2.55 ------------------------------------------------------------------------ Less Distributions ------------------ Net Investment Income...................................... (0.22) ---------- Total Distributions...................................... (0.22) ------------------------------------------------------------------------ Net Asset Value, End of Period.............................. $ 9.79 =========================================================== ========== Total Return................................................ 34.81% ------------------------------------------------------------------------ Net Assets, End of Period (thousands)....................... $3,699,842 Ratio of Expenses to Average Net Assets..................... 0.41% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly)...................... 0.41% Ratio of Net Investment Income to Average Net Assets........ 2.84% Portfolio Turnover Rate..................................... 5% ------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 108 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
International Small Company Portfolio -------------------------------------------------------------------------- -------------- Six Months Year Year Year Year Year Six Months Ended Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, April 30, 2014 2013 2012 2011 2010 2009 2014 -------------------------------------------------------------------------------------------------------------------------------- (Unaudited) (Unaudited) Net Asset Value, Beginning of Period............................. $ 19.40 $ 15.28 $ 15.21 $ 16.14 $ 13.99 $ 10.07 $ 19.33 ---------- ---------- ---------- ---------- ---------- ---------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A).. 0.20 0.42 0.38 0.40 0.28 0.28 0.15 Net Gains (Losses) on Securities (Realized and Unrealized)........ 1.20 4.16 0.39 (0.83) 2.13 3.91 (0.64) ---------- ---------- ---------- ---------- ---------- ---------- -------- Total from Investment Operations...................... 1.40 4.58 0.77 (0.43) 2.41 4.19 (0.49) -------------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income............. (0.23) (0.37) (0.42) (0.50) (0.26) (0.27) (0.55) Net Realized Gains................ (0.54) (0.09) (0.28) -- -- -- -- ---------- ---------- ---------- ---------- ---------- ---------- -------- Total Distributions.............. (0.77) (0.46) (0.70) (0.50) (0.26) (0.27) (0.55) -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period...... $ 20.03 $ 19.40 $ 15.28 $ 15.21 $ 16.14 $ 13.99 $ 18.29 =================================== =========== ========== ========== ========== ========== ========== =========== Total Return........................ 7.61%(D) 30.66% 5.63% (2.92)% 17.61% 42.34% (2.58)%(D) -------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)........................ $9,220,830 $8,520,717 $6,423,160 $5,834,015 $5,511,594 $4,269,864 $379,944 Ratio of Expenses to Average Net Assets (B)......................... 0.53%(E) 0.54% 0.56% 0.55% 0.56% 0.57% 0.55%(E) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumptions of Expenses and/or Recovery of Previously Waived Fees) (B).......................... 0.53%(E) 0.54% 0.56% 0.55% 0.56% 0.57% 0.55%(E) Ratio of Net Investment Income to Average Net Assets................. 2.04%(E) 2.47% 2.58% 2.37% 1.94% 2.48% 1.63%(E) --------------------------------------------------------------------------------------------------------------------------------
Japanese Small Company Portfolio ------------------------------------------------- Year Year Year Year Year Ended Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2013 2012 2011 2010 2009 -------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period............................. $ 14.99 $ 15.24 $ 14.13 $ 14.32 $ 11.97 -------- -------- -------- -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A).. 0.26 0.29 0.27 0.22 0.22 Net Gains (Losses) on Securities (Realized and Unrealized)........ 4.21 (0.26) 1.08 (0.18) 2.39 -------- -------- -------- -------- -------- Total from Investment Operations...................... 4.47 0.03 1.35 0.04 2.61 -------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income............. (0.13) (0.28) (0.24) (0.23) (0.26) Net Realized Gains................ -- -- -- -- -- -------- -------- -------- -------- -------- Total Distributions.............. (0.13) (0.28) (0.24) (0.23) (0.26) -------------------------------------------------------------------------------------- Net Asset Value, End of Period...... $ 19.33 $ 14.99 $ 15.24 $ 14.13 $ 14.32 =================================== ======== ======== ======== ======== ======== Total Return........................ 30.06% 0.20% 9.57% 0.33% 22.08% -------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)........................ $414,132 $293,968 $163,120 $114,933 $114,058 Ratio of Expenses to Average Net Assets (B)......................... 0.56% 0.57% 0.56% 0.57% 0.59% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumptions of Expenses and/or Recovery of Previously Waived Fees) (B).......................... 0.56% 0.57% 0.56% 0.57% 0.59% Ratio of Net Investment Income to Average Net Assets................. 1.51% 1.88% 1.74% 1.52% 1.68% --------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 109 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
Asia Pacific Small Company Portfolio ---------------------------------------------------------------- Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 2009 ------------------------------------------------------------------------------------------------------------------------ (Unaudited) Net Asset Value, Beginning of Period................. $ 24.82 $ 23.22 $ 23.04 $ 25.64 $ 20.59 $ 11.67 -------- -------- -------- -------- -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................... 0.34 1.01 0.87 0.85 0.69 0.50 Net Gains (Losses) on Securities (Realized and Unrealized)....................................... (0.41) 1.37 0.58 (2.16) 4.99 8.95 -------- -------- -------- -------- -------- Total from Investment Operations.................. (0.07) 2.38 1.45 (1.31) 5.68 9.45 ------------------------------------------------------------------------------------------------------------------------ Less Distributions ------------------ Net Investment Income.............................. (0.96) (0.78) (1.27) (1.29) (0.63) (0.53) Net Realized Gains................................. -- -- -- -- -- -- -------- -------- -------- -------- -------- -------- Total Distributions............................... (0.96) (0.78) (1.27) (1.29) (0.63) (0.53) ------------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Period....................... $ 23.79 $ 24.82 $ 23.22 $ 23.04 $ 25.64 $ 20.59 ===================================================== =========== ======== ======== ======== ======== ======== Total Return......................................... (0.01)%(D) 10.46% 7.09% (5.59)% 28.36% 84.11% ------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands)................ $396,973 $331,166 $238,191 $139,262 $131,511 $101,853 Ratio of Expenses to Average Net Assets (B).......... 0.55%(E) 0.57% 0.59% 0.60% 0.63% 0.65% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumptions of Expenses and/or Recovery of Previously Waived Fees) (B)............. 0.55%(E) 0.57% 0.59% 0.60% 0.61% 0.65% Ratio of Net Investment Income to Average Net Assets. 2.93%(E) 4.26% 3.91% 3.34% 3.14% 3.53% ------------------------------------------------------------------------------------------------------------------------
United Kingdom Small Company Portfolio ---------------------------------------------------------- Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 2009 ----------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period................. $ 36.96 $ 27.81 $ 23.44 $ 24.24 $ 19.83 $ 14.27 ------- ------- ------- ------- ------- ------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................... 0.45 0.88 0.69 0.82 0.50 0.55 Net Gains (Losses) on Securities (Realized and Unrealized)....................................... 2.90 9.17 4.47 (0.85) 4.41 5.44 ------- ------- ------- ------- ------- ------- Total from Investment Operations.................. 3.35 10.05 5.16 (0.03) 4.91 5.99 ----------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income.............................. (0.51) (0.90) (0.79) (0.77) (0.50) (0.43) Net Realized Gains................................. (0.41) -- -- -- -- -- ------- ------- ------- ------- ------- ------- Total Distributions............................... (0.92) (0.90) (0.79) (0.77) (0.50) (0.43) ----------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period....................... $ 39.39 $ 36.96 $ 27.81 $ 23.44 $ 24.24 $ 19.83 ===================================================== =========== ======== ======== ======== ======== ======== Total Return......................................... 9.27%(D) 36.81% 22.82% (0.28)% 25.37% 42.81% ----------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)................ $39,154 $37,096 $31,316 $33,869 $33,751 $27,863 Ratio of Expenses to Average Net Assets (B).......... 0.59%(E) 0.59% 0.60% 0.60% 0.60% 0.61% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumptions of Expenses and/or Recovery of Previously Waived Fees) (B)............. 0.61%(E) 0.63% 0.63% 0.62% 0.64% 0.70% Ratio of Net Investment Income to Average Net Assets. 2.36%(E) 2.79% 2.83% 3.26% 2.39% 3.62% -----------------------------------------------------------------------------------------------------------------
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)
Continental Small Company Portfolio ----------------------------------------------------------------------------- Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 2009 ------------------------------------------------------------------------------------------------------------------------ (Unaudited) Net Asset Value, Beginning of Period. $ 20.26 $ 14.51 $ 14.66 $ 16.93 $ 15.02 $ 10.73 -------- -------- -------- -------- -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A).... 0.18 0.37 0.39 0.39 0.27 0.28 Net Gains (Losses) on Securities (Realized and Unrealized).......... 2.78 5.78 (0.17) (2.20) 1.89 4.29 -------- -------- -------- -------- -------- -------- Total from Investment Operations....................... 2.96 6.15 0.22 (1.81) 2.16 4.57 ------------------------------------------------------------------------------------------------------------------------ Less Distributions ------------------ Net Investment Income............... (0.04) (0.40) (0.37) (0.46) (0.25) (0.28) -------- -------- -------- -------- -------- -------- Total Distributions............... (0.04) (0.40) (0.37) (0.46) (0.25) (0.28) ------------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Period....... $ 23.18 $ 20.26 $ 14.51 $ 14.66 $ 16.93 $ 15.02 ===================================== =========== ======== ======== ======== ======== ======== Total Return......................... 14.65%(D) 42.99% 1.85% (11.09)% 14.85% 43.12% ------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands)......................... $194,235 $170,806 $106,316 $117,452 $128,106 $110,926 Ratio of Expenses to Average Net Assets.............................. 0.56%(B)(E) 0.58%(B) 0.59%(B) 0.58%(B) 0.59%(B) 0.62%(B) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly)........... 0.56%(B)(E) 0.58%(B) 0.59%(B) 0.58%(B) 0.59%(B) 0.61%(B) Ratio of Net Investment Income to Average Net Assets.................. 1.68%(E) 2.16% 2.78% 2.25% 1.78% 2.39% Portfolio Turnover Rate.............. N/A N/A N/A N/A N/A N/A ------------------------------------------------------------------------------------------------------------------------
DFA International Real Estate Securities Portfolio ---------------------------------------------------------------------- Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 2009 ------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period. $ 5.48 $ 5.67 $ 4.90 $ 5.58 $ 5.24 $ 4.18 ---------- ---------- ---------- ---------- -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A).... 0.09 0.22 0.27 0.30 0.31 0.26 Net Gains (Losses) on Securities (Realized and Unrealized).......... 0.12 0.25 0.75 (0.33) 0.58 0.91 ---------- ---------- ---------- ---------- -------- -------- Total from Investment Operations....................... 0.21 0.47 1.02 (0.03) 0.89 1.17 ------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income............... (0.26) (0.66) (0.25) (0.65) (0.55) (0.11) ---------- ---------- ---------- ---------- -------- -------- Total Distributions............... (0.26) (0.66) (0.25) (0.65) (0.55) (0.11) ------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period....... $ 5.43 $ 5.48 $ 5.67 $ 4.90 $ 5.58 $ 5.24 ===================================== =========== ========== ========== ========== ======== ======== Total Return......................... 4.37%(D) 9.24% 22.34% (0.43)% 18.96% 29.25% ------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)......................... $2,572,390 $2,158,977 $1,531,708 $1,060,156 $958,554 $742,329 Ratio of Expenses to Average Net Assets.............................. 0.38%(E) 0.39% 0.41% 0.42% 0.41% 0.43% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly)........... 0.38%(E) 0.39% 0.41% 0.42% 0.41% 0.43% Ratio of Net Investment Income to Average Net Assets.................. 3.68%(E) 4.07% 5.45% 5.73% 6.42% 6.40% Portfolio Turnover Rate.............. 1%(D) 5% 3% 7% 6% 5% -------------------------------------------------------------------------------------------------------------
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)
DFA Global Real Estate Securities Portfolio ---------------------------------------------------------------------------------- Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 2009 ----------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period........................ $ 9.59 $ 9.33 $ 8.21 $ 8.28 $ 6.75 $ 6.04 ---------- ---------- ---------- -------- -------- -------- Income from Investment Operations ---------------------- Net Investment Income (Loss) (A)................... 0.27 0.49 0.29 0.41 0.40 0.19 Net Gains (Losses) on Securities (Realized and Unrealized).................. 0.33 0.37 1.07 0.06 1.60 0.62 ---------- ---------- ---------- -------- -------- Total from Investment Operations................. 0.60 0.86 1.36 0.47 2.00 0.81 ----------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income......... (0.32) (0.60) (0.24) (0.54) (0.47) (0.10) Net Realized Gains............ -- -- -- -- -- -- ---------- ---------- ---------- -------- -------- -------- Total Distributions......... (0.32) (0.60) (0.24) (0.54) (0.47) (0.10) ----------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period........................ $ 9.87 $ 9.59 $ 9.33 $ 8.21 $ 8.28 $ 6.75 =============================== =========== ========== ========== ======== ======== ======== Total Return................... 6.76%(D) 9.74% 17.33% 6.17% 31.38% 13.81% ----------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)................... $2,557,817 $2,082,707 $1,315,547 $869,348 $695,461 $432,502 Ratio of Expenses to Average Net Assets.................... 0.32%(B)(E) 0.32%(B) 0.34%(B) 0.41%(B) 0.41%(B) 0.47%(B) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly)................... 0.55%(B)(E) 0.55%(B) 0.60%(B) 0.73%(B) 0.73%(B) 0.79%(B) Ratio of Net Investment Income to Average Net Assets......... 5.98%(E) 5.18% 3.38% 5.01% 5.59% 3.40% Portfolio Turnover Rate........ N/A N/A N/A N/A N/A N/A -----------------------------------------------------------------------------------------------------------------------
DFA International Small Cap Value Portfolio ---------------------------------------------------------------------------- Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 2009 ------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period........................ $ 20.17 $ 15.16 $ 14.85 $ 16.16 $ 14.92 $ 10.82 ----------- ----------- ---------- ---------- ---------- ---------- Income from Investment Operations ---------------------- Net Investment Income (Loss) (A)................... 0.18 0.37 0.34 0.34 0.24 0.26 Net Gains (Losses) on Securities (Realized and Unrealized).................. 1.65 5.21 0.61 (0.98) 1.22 4.14 ----------- ----------- ---------- ---------- ---------- ---------- Total from Investment Operations................. 1.83 5.58 0.95 (0.64) 1.46 4.40 ------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income......... (0.20) (0.36) (0.36) (0.38) (0.22) (0.24) Net Realized Gains............ (0.30) (0.21) (0.28) (0.29) -- (0.06) ----------- ----------- ---------- ---------- ---------- ---------- Total Distributions......... (0.50) (0.57) (0.64) (0.67) (0.22) (0.30) ------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period........................ $ 21.50 $ 20.17 $ 15.16 $ 14.85 $ 16.16 $ 14.92 =============================== =========== =========== ========== ========== ========== ========== Total Return................... 9.33%(D) 37.79% 6.92% (4.39)% 10.01% 41.42% ------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)................... $12,347,592 $11,148,899 $8,266,610 $7,459,144 $7,655,318 $6,859,957 Ratio of Expenses to Average Net Assets.................... 0.68%(E) 0.69% 0.71% 0.70% 0.70% 0.71% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly)................... 0.68%(E) 0.69% 0.71% 0.70% 0.70% 0.71% Ratio of Net Investment Income to Average Net Assets......... 1.75%(E) 2.16% 2.30% 2.05% 1.57% 2.19% Portfolio Turnover Rate........ 4%(D) 9% 18% 16% 18% 22% -------------------------------------------------------------------------------------------------------------
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)
International Vector Equity Portfolio ------------------------------------------------------------------ Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 2009 ------------------------------------------------------------------------------------------------------------------------ (Unaudited) Net Asset Value, Beginning of Period............... $ 11.75 $ 9.33 $ 9.34 $ 10.28 $ 9.22 $ 6.74 ---------- ---------- -------- -------- -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A).................. 0.17 0.26 0.27 0.29 0.18 0.17 Net Gains (Losses) on Securities (Realized and Unrealized)...................................... 0.59 2.44 0.14 (0.87) 1.05 2.46 ---------- ---------- -------- -------- -------- -------- Total from Investment Operations................ 0.76 2.70 0.41 (0.58) 1.23 2.63 ------------------------------------------------------------------------------------------------------------------------ Less Distributions ------------------ Net Investment Income............................. (0.09) (0.25) (0.27) (0.29) (0.17) (0.15) Net Realized Gains................................ (0.08) (0.03) (0.15) (0.07) -- -- ---------- ---------- -------- -------- -------- -------- Total Distributions............................. (0.17) (0.28) (0.42) (0.36) (0.17) (0.15) ------------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Period..................... $ 12.34 $ 11.75 $ 9.33 $ 9.34 $ 10.28 $ 9.22 =================================================== =========== ========== ======== ======== ======== ======== Total Return....................................... 6.65%(D) 29.52% 4.90% (5.99)% 13.62% 39.52% ------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands).............. $1,296,449 $1,090,774 $561,399 $410,580 $363,123 $262,544 Ratio of Expenses to Average Net Assets............ 0.50%(E) 0.51% 0.54% 0.54% 0.54% 0.60% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly)....................................... 0.50%(E) 0.51% 0.54% 0.54% 0.53% 0.59% Ratio of Net Investment Income to Average Net Assets............................................ 2.83%(E) 2.51% 2.94% 2.73% 1.91% 2.31% Portfolio Turnover Rate............................ 4%(D) 2% 5% 10% 5% 8% ------------------------------------------------------------------------------------------------------------------------
World ex U.S. Value Portfolio -------------------------------------------------------------- Period Six Months Year Year Year Aug. 23, Ended Ended Ended Ended 2010(a) to April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 ---------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period............... $ 11.93 $ 9.94 $ 9.96 $ 11.35 $ 10.00 -------- -------- ------- ------- ------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A).................. 0.25 0.29 0.29 0.30 0.02 Net Gains (Losses) on Securities (Realized and Unrealized)...................................... 0.20 2.02 (0.05) (1.35) 1.33 -------- -------- ------- ------- ------- Total from Investment Operations................ 0.45 2.31 0.24 (1.05) 1.35 ---------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income............................. (0.19) (0.32) (0.26) (0.26) -- Net Realized Gains................................ -- -- -- (0.08) -- -------- -------- ------- ------- ------- Total Distributions............................. (0.19) (0.32) (0.26) (0.34) -- ---------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period..................... $ 12.19 $ 11.93 $ 9.94 $ 9.96 $ 11.35 =================================================== =========== ======== ======== ======== ========== Total Return....................................... 3.85%(D) 23.61% 2.70% (9.59)% 13.50%(D) ---------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands).............. $119,072 $117,587 $57,197 $47,165 $29,616 Ratio of Expenses to Average Net Assets............ 0.60%(B)(E) 0.60%(B) 0.60%(B) 0.60%(B) 0.90%(B)(C)(E) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly)....................................... 0.76%(B)(E) 0.76%(B) 0.84%(B) 0.91%(B) 1.37%(B)(C)(E) Ratio of Net Investment Income to Average Net Assets............................................ 4.29%(E) 2.61% 2.97% 2.64% 0.76%(C)(E) Portfolio Turnover Rate............................ N/A N/A N/A N/A N/A ----------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 113 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
World ex U.S. Targeted World ex U.S. Core Equity Value Portfolio Portfolio ---------------------- ----------------------- Period Period Six Months Nov. 1, Six Months April 9, Ended 2012(a) to Ended 2013(a) to April 30, Oct. 31, April 30, Oct. 31, 2014 2013 2014 2013 -------------------------------------------------------------------------------------------------------------------------- (Unaudited) (Unaudited) Net Asset Value, Beginning of Period........................ $ 12.46 $ 10.00 $ 10.77 $ 10.00 -------- ------- -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.10 0.20 0.10 0.18 Net Gains (Losses) on Securities (Realized and Unrealized). 0.58 2.46 0.35 0.77 -------- ------- -------- -------- Total from Investment Operations.......................... 0.68 2.66 0.45 0.95 -------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.13) (0.20) (0.10) (0.18) Net Realized Gains......................................... (0.15) -- (0.01) -- -------- ------- -------- -------- Total Distributions....................................... (0.28) (0.20) (0.11) (0.18) -------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period.............................. $ 12.86 $ 12.46 $ 11.11 $ 10.77 =========================================================== =========== ========== =========== ========== Total Return................................................ 5.62%(D) 26.90%(D) 4.20%(D) 9.62%(D) -------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)....................... $144,157 $96,010 $214,650 $129,720 Ratio of Expenses to Average Net Assets(B).................. 0.70%(E) 0.79%(C)(E) 0.47%(E) 0.47%(C)(E) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees)(B)............................................ 1.18%(E) 1.27%(C)(E) 0.88%(E) 0.97%(C)(E) Ratio of Net Investment Income to Average Net Assets........ 1.58%(E) 1.78%(C)(E) 1.81%(E) 3.12%(C)(E) --------------------------------------------------------------------------------------------------------------------------
Selectively Hedged Global Equity Portfolio ------------------------------- Period Six Months Year Nov. 14, Ended Ended 2011(a) to April 30, Oct. 31, Oct. 31, 2014 2013 2012 --------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period........................ $ 13.63 $ 10.87 $ 10.00 -------- ------- ------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.10 0.24 0.22 Net Gains (Losses) on Securities (Realized and Unrealized). 0.63 2.65 0.87 -------- ------- ------- Total from Investment Operations.......................... 0.73 2.89 1.09 --------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.32) (0.10) (0.22) Net Realized Gains......................................... (0.14) (0.03) -- -------- ------- ------- Total Distributions....................................... (0.46) (0.13) (0.22) --------------------------------------------------------------------------------------------------- Net Asset Value, End of Period.............................. $ 13.90 $ 13.63 $ 10.87 =========================================================== =========== ======== ========== Total Return................................................ 5.55%(D) 26.86% 11.11%(D) --------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)....................... $110,360 $91,348 $34,950 Ratio of Expenses to Average Net Assets(B).................. 0.40%(E) 0.40% 0.40%(C)(E) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees)(B)............................................ 0.69%(E) 0.72% 1.00%(C)(E) Ratio of Net Investment Income to Average Net Assets........ 1.53%(E) 1.93% 2.13%(C)(E) ---------------------------------------------------------------------------------------------------
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)
Emerging Markets Portfolio --------------------------------------------------------------------------- -------------- Six Months Year Year Year Year Year Six Months Ended Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, April 30, 2014 2013 2012 2011 2010 2009 2014 --------------------------------------------------------------------------------------------------------------------------------- (Unaudited) (Unaudited) Net Asset Value, Beginning of Period............................. $ 26.97 $ 26.06 $ 26.68 $ 30.90 $ 25.23 $ 17.05 $ 21.10 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A).. 0.17 0.52 0.55 0.61 0.48 0.42 0.15 Net Gains (Losses) on Securities (Realized and Unrealized)........ (0.78) 1.17 0.37 (2.53) 6.07 8.42 0.23 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total from Investment Operations...................... (0.61) 1.69 0.92 (1.92) 6.55 8.84 0.38 --------------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income............. (0.16) (0.50) (0.50) (0.53) (0.46) (0.41) (0.19) Net Realized Gains................ (0.16) (0.28) (1.04) (1.77) (0.42) (0.25) (0.33) ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions.............. (0.32) (0.78) (1.54) (2.30) (0.88) (0.66) (0.52) --------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period...... $ 26.04 $ 26.97 $ 26.06 $ 26.68 $ 30.90 $ 25.23 $ 20.96 =================================== =========== ========== ========== ========== ========== ========== =========== Total Return........................ (2.27)%(D) 6.58% 4.08% (6.82)% 26.53% 53.39% 1.89%(D) --------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)........................ $3,877,444 $3,655,740 $2,797,177 $2,313,035 $2,372,498 $1,966,288 $4,318,150 Ratio of Expenses to Average Net Assets (B)......................... 0.56%(E) 0.57% 0.61% 0.61% 0.60% 0.62% 0.72%(E) Ratio of Net Investment Income to Average Net Assets................. 1.38%(E) 1.97% 2.14% 2.07% 1.76% 2.15% 1.45%(E) ---------------------------------------------------------------------------------------------------------------------------------
Emerging Markets Small Cap Portfolio ------------------------------------------------------------ Year Year Year Year Year Ended Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2013 2012 2011 2010 2009 ------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period............................. $ 20.33 $ 19.85 $ 24.26 $ 17.45 $ 9.33 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A).. 0.40 0.40 0.42 0.34 0.26 Net Gains (Losses) on Securities (Realized and Unrealized)........ 1.37 0.83 (3.67) 6.79 8.14 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations...................... 1.77 1.23 (3.25) 7.13 8.40 ------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income............. (0.39) (0.35) (0.40) (0.32) (0.28) Net Realized Gains................ (0.61) (0.40) (0.76) -- -- ---------- ---------- ---------- ---------- ---------- Total Distributions.............. (1.00) (0.75) (1.16) (0.32) (0.28) ------------------------------------------------------------------------------------------------- Net Asset Value, End of Period...... $ 21.10 $ 20.33 $ 19.85 $ 24.26 $ 17.45 =================================== ========== ========== ========== ========== ========== Total Return........................ 8.92% 6.71% (14.03)% 41.33% 91.35% ------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)........................ $4,041,863 $2,907,673 $1,832,745 $1,833,038 $1,133,958 Ratio of Expenses to Average Net Assets (B)......................... 0.75% 0.82% 0.79% 0.78% 0.80% Ratio of Net Investment Income to Average Net Assets................. 1.91% 2.01% 1.86% 1.70% 2.05% -------------------------------------------------------------------------------------------------
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)
Emerging Markets Value Portfolio-Class R2 Shares+ ------------------------------------------------------------ Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 2009 --------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period......................... $ 29.27 $ 28.21 $ 29.02 $ 36.35 $ 46.84 $ 85.43 ------- -------- ------- ------- ------- ------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.17 0.47 0.50 0.20 0.56 0.56 Net Gains (Losses) on Securities (Realized and Unrealized). (1.21) 1.68 (0.45) (5.45) 9.18 21.36 ------- -------- ------- ------- ------- ------- Total from Investment Operations.......................... (1.04) 2.15 0.05 (5.25) 9.74 21.92 --------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.23) (0.50) (0.47) (0.45) (7.12) (6.00) Net Realized Gains......................................... (0.42) (0.59) (0.39) (1.63) (13.11) (54.52) ------- -------- ------- ------- ------- ------- Total Distributions....................................... (0.65) (1.09) (0.86) (2.08) (20.23) (60.52) --------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period............................... $ 27.58 $ 29.27 $ 28.21 $ 29.02 $ 36.35 $ 46.83 ============================================================= =========== ======== ======== ======== ======== ======== Total Return................................................. (3.57)%(D) 7.75% 0.43% (15.24)% 29.71% 78.29% --------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)........................ $99,196 $106,070 $99,111 $78,157 $39,668 $ 5,082 Ratio of Expenses to Average Net Assets (B).................. 0.80%(E) 0.82% 0.86% 0.86% 0.86% 0.90% Ratio of Net Investment Income to Average Net Assets......... 1.25%(E) 1.65% 1.78% 1.56% 1.39% 1.39% ---------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. + At the close of business on December 3, 2010, Class R2 Shares were converted to Class R2A Shares. Effective February 28, 2011, Class R2A Shares were renamed to Class R2 Shares. All per share amounts and net assets values have been adjusted as a result of the conversion. (Note G) See accompanying Notes to Financial Statements. 116 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
Emerging Markets Value Portfolio-Institutional Class Shares -------------------------------------------------------------------------------- Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 2009 -------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period.... $ 29.28 $ 28.22 $ 29.02 $ 36.27 $ 28.90 $ 19.36 ----------- ----------- ----------- ----------- ----------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)....... 0.20 0.55 0.57 0.64 0.45 0.38 Net Gains (Losses) on Securities (Realized and Unrealized). (1.21) 1.67 (0.44) (5.72) 8.01 12.41 ----------- ----------- ----------- ----------- ----------- ---------- Total from Investment Operations..... (1.01) 2.22 0.13 (5.08) 8.46 12.79 -------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income.................. (0.25) (0.57) (0.54) (0.54) (0.39) (0.34) Net Realized Gains..................... (0.42) (0.59) (0.39) (1.63) (0.70) (2.91) ----------- ----------- ----------- ----------- ----------- ---------- Total Distributions.................. (0.67) (1.16) (0.93) (2.17) (1.09) (3.25) -------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period.......... $ 27.60 $ 29.28 $ 28.22 $ 29.02 $ 36.27 $ 28.90 ======================================= =========== =========== =========== =========== =========== ========== Total Return............................ (3.41)%(D) 8.01% 0.70% (14.84)% 30.04% 78.59% -------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)... $18,774,410 $19,162,837 $16,589,619 $13,730,213 $11,542,870 $7,401,266 Ratio of Expenses to Average Net Assets (B).................................... 0.55%(E) 0.57% 0.61% 0.61% 0.60% 0.62% Ratio of Net Investment Income to Average Net Assets..................... 1.52%(E) 1.91% 2.03% 1.88% 1.40% 1.76% --------------------------------------------------------------------------------------------------------------------------
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)
Emerging Markets Core Equity Portfolio ------------------------------------------------------------------ Six Months Year Year Year Year Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 -------------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period........................ $ 20.09 $ 19.00 $ 18.73 $ 21.31 $ 16.49 ----------- ----------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.13 0.39 0.41 0.43 0.30 Net Gains (Losses) on Securities (Realized and Unrealized). (0.38) 1.07 0.23 (2.65) 4.81 ----------- ----------- ---------- ---------- ---------- Total from Investment Operations......................... (0.25) 1.46 0.64 (2.22) 5.11 -------------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.12) (0.37) (0.37) (0.36) (0.29) ----------- ----------- ---------- ---------- ---------- Total Distributions...................................... (0.12) (0.37) (0.37) (0.36) (0.29) -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period.............................. $ 19.72 $ 20.09 $ 19.00 $ 18.73 $ 21.31 =========================================================== =========== =========== ========== ========== ========== Total Return................................................ (1.21)%(D) 7.75% 3.55% (10.59)% 31.30% -------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)....................... $14,261,288 $13,020,962 $8,594,707 $5,367,473 $4,179,882 Ratio of Expenses to Average Net Assets..................... 0.61%(E) 0.63% 0.68% 0.67% 0.65% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly)...................... 0.61%(E) 0.63% 0.68% 0.68% 0.65% Ratio of Net Investment Income to Average Net Assets........ 1.35%(E) 1.97% 2.18% 2.04% 1.63% Portfolio Turnover Rate..................................... 1%(D) 1% 1% 1% 4% --------------------------------------------------------------------------------------------------------------------------------
----------- Year Ended Oct. 31, 2009 ------------------------------------------------------------------------ Net Asset Value, Beginning of Period........................ $ 9.88 ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.25 Net Gains (Losses) on Securities (Realized and Unrealized). 6.56 ---------- Total from Investment Operations......................... 6.81 ------------------------------------------------------------------------ Less Distributions ------------------ Net Investment Income...................................... (0.20) ---------- Total Distributions...................................... (0.20) ------------------------------------------------------------------------ Net Asset Value, End of Period.............................. $ 16.49 =========================================================== ========== Total Return................................................ 69.47% ------------------------------------------------------------------------ Net Assets, End of Period (thousands)....................... $2,455,035 Ratio of Expenses to Average Net Assets..................... 0.67% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly)...................... 0.67% Ratio of Net Investment Income to Average Net Assets........ 2.03% Portfolio Turnover Rate..................................... 6% ------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 118 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 seventy-seven operational portfolios, of which thirty (the "Portfolios") are included in this section of the report. The remaining operational portfolios are presented in separate reports. 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 World ex U.S. Value Portfolio invests in three portfolios within the Fund, DFAITC, and DEM. World ex U.S. Targeted Value Portfolio invests in four portfolios within the Fund, DFAITC, and DEM. World ex U.S. Core Equity Portfolio invests in two portfolios within the Fund. Selectively Hedged Global Equity Portfolio invests in three portfolios within the Fund.
Percentage Ownership Feeder Funds Master Funds at 04/30/14 ------------ ------------ ----------- U.S. Large Cap Value Portfolio The U.S. Large Cap Value Series 81% Japanese Small Company Portfolio The Japanese Small Company Series 17% Asia Pacific Small Company Portfolio The Asia Pacific Small Company Series 28% United Kingdom Small Company Portfolio The United Kingdom Small Company Series 2% Continental Small Company Portfolio The Continental Small Company Series 5% 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 ------------- - International Small Company Portfolio The Continental Small Company Series 95% The Japanese Small Company Series 83% The United Kingdom Small Company Series 98% The Asia Pacific Small Company Series 72% The Canadian Small Company Series 98% DFA Global Real Estate Securities Portfolio DFA Real Estate Securities Portfolio 28% 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 ex U.S. Targeted Value Portfolio DFA International Small Cap Value Portfolio 1% Dimensional Emerging Markets Value Fund -- International Vector Equity Portfolio 1% The Emerging Markets Small Cap Series -- World ex U.S. Core Equity Portfolio International Core Equity Portfolio 1% Emerging Markets Core Equity Portfolio -- Selectively Hedged Global Equity Portfolio U.S. Core Equity 2 Portfolio -- International Core Equity Portfolio -- Emerging Markets Core Equity Portfolio --
Amounts designated as -- are less than 1%. 119 Each feeder fund and fund of funds (collectively, "Feeder Funds") invests primarily in a corresponding master fund(s) ("Master Fund") as indicated. International Small Company 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 also invest in short-term temporary cash investments. In addition, World ex U.S. Targeted Value Portfolio, World ex U.S. Core Equity Portfolio, and Selectively Hedged Global Equity Portfolio engage in futures and forward currency contracts. The financial statements of the Master Funds are included elsewhere in this report and should be read in conjunction with the financial statements of the Feeder Funds. Effective February 28, 2009, Enhanced U.S. Large Company Portfolio, U.S. Small Cap Value Portfolio, U.S. Small Cap Portfolio and U.S. Micro Cap Portfolio invest directly in securities rather than through a Master Fund. Effective November 1, 2009, Dimensional Emerging Markets Value Fund ("DEM II"), a master fund in a master-feeder structure, elected with the consent of its holder(s) to change its U.S. federal income tax classification from that of an association taxable as a corporation to a partnership pursuant to Treasury Regulation (S)301.7701-3. The change in capital structure and retroactive reclassification of the statement of changes in net assets and financial highlights for DEM II is a result of the treatment of a partnership for book purposes. DEM II will maintain its books and records and present its financial statements in accordance with generally accepted accounting principles for investment partnerships. 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 International Small Cap Value Portfolio, International Vector 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 at the close of the exchanges on which they are principally traded (official closing price). 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 at the mean of the most recent quoted bid and asked prices which approximate fair value. Price information on listed securities is taken from the exchange where the security is primarily traded. Generally, 120 securities issued by open-end 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/Trustees. 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 Investment Committee of Dimensional Fund Advisors LP) occur before the net asset value 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, 11:00 p.m. PT, the previous day), which is fourteen hours prior to the close of the NYSE (normally, 1:00 p.m. PT) 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/Trustees of the Fund 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. 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 Enhanced U.S. Large Company Portfolio, (the "Fixed Income Portfolio"), and International Equity 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 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. 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/Trustees. 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 DFA Global Real Estate Securities Portfolio, World ex U.S. Value Portfolio (except The DFA International Value Series and DEM), World ex U.S. Targeted Value Portfolio (except The Emerging Markets Small Cap Series and DEM), World ex U.S. Core Equity Portfolio and Selectively Hedged Global Equity Portfolio of the Master Funds, which are treated as regulated investment companies, and the shares held by the Portfolios in other investment companies, are valued at their respective daily net asset values as reported by their administrator. The Feeder Funds, International Small Company Portfolio, World ex U.S. Value Portfolio and World ex U.S. 121 Targeted 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. 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 April 30, 2014, Emerging Markets Core Equity Portfolio had significant transfers of securities with a total value of $1,029,767 (in thousands) that transferred from Level 2 to Level 1 because fair value procedures were no longer applied. At October 31, 2013, the fair market value 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. 2. Foreign Currency Translation: Securities and other assets and liabilities of the Fixed Income Portfolio, the International Equity Portfolios and Selectively Hedged Global Equity Portfolio 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 Fixed Income Portfolio and Selectively Hedged Global Equity Portfolio 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 Fixed Income 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, Fixed Income 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/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 Directors/Trustees may defer payment of all or a portion of their total fees earned as a Director/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 Director/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 Director/Trustee shall have the right in a notice of election (the "Notice") to defer the receipt of the Director's/Trustee's deferred compensation until a date specified by such Director/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 Director/Trustee ceases to be a member of the Board; and (ii) five years following the effective date of the Director's/Trustee's first deferral election. If a Director/Trustee who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Director's/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 Director/Trustee ceases to be a member of the Board (unless the Director/Trustee files an amended Notice 122 selecting a different distribution date). As of April 30, 2014, none of the Directors/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/affiliated investment companies and foreign currency are 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 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. U.S. Large Cap Value Portfolio, International Small Company Portfolio, Japanese Small Company Portfolio, Asia Pacific Small Company Portfolio, United Kingdom Small Company Portfolio, Continental Small Company Portfolio, Emerging Markets Portfolio, Emerging Markets Small Cap Portfolio, Emerging Markets Value Portfolio, World ex U.S. Value Portfolio and World ex U.S. Targeted 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 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 advisory services to all Portfolios. The Advisor receives no additional compensation for the investment advisory services it provides to the Feeder Funds. The Advisor provides administrative services to the Feeder Funds and International Small Company Portfolio, including supervision of services provided by others, providing information to shareholders and the Board, and other administrative services. For the six months ended April 30, 2014, the Portfolios' investment advisory services 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*. 0.05% U.S. Large Cap Equity Portfolio........ 0.15% U.S. Targeted Value Portfolio*......... 0.10% U.S. Small Cap Value Portfolio*........ 0.20% U.S. Core Equity 1 Portfolio........... 0.17% U.S. Core Equity 2 Portfolio........... 0.20% U.S. Vector Equity Portfolio........... 0.30%
123 U.S. Small Cap Portfolio*.......................... 0.03% U.S. Micro Cap Portfolio*.......................... 0.10% DFA Real Estate Securities Portfolio............... 0.17% Large Cap International Portfolio.................. 0.25% International Core Equity Portfolio................ 0.35% DFA International Real Estate Securities Portfolio. 0.35% DFA Global Real Estate Securities Portfolio........ 0.27% 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% Selectively Hedged Global Equity Portfolio......... 0.30% Emerging Markets Core Equity Portfolio............. 0.55%
For the six months ended April 30, 2014, the Feeder Funds' and the Enhanced U.S. Large Company Portfolio, U.S. Targeted Value Portfolio, U.S. Small Cap Value Portfolio, U.S. Small Cap Portfolio and U.S. Micro Cap Portfolio's administrative services 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*. 0.15% U.S. Large Cap Value Portfolio......... 0.15% U.S. Targeted Value Portfolio*......... 0.25% U.S. Small Cap Value Portfolio*........ 0.30% U.S. Small Cap Portfolio*.............. 0.32% U.S. Micro Cap Portfolio*.............. 0.40% International Small Company Portfolio.. 0.40% Japanese Small Company Portfolio....... 0.40% Asia Pacific Small Company Portfolio... 0.40% United Kingdom Small Company Portfolio. 0.40% Continental Small Company Portfolio.... 0.40% Emerging Markets Portfolio............. 0.40% Emerging Markets Small Cap Portfolio... 0.45% Emerging Markets Value Portfolio....... 0.40%
* Effective February 28, 2009, Enhanced U.S. Large Company Portfolio, U.S. Small Cap Value Portfolio, U.S. Small Cap Portfolio and U.S. Micro Cap Portfolio no longer invested substantially all of their assets in their respective Series. Instead, the Portfolios' assets are managed directly in accordance with the Portfolios' investment objectives and strategies, pursuant to an investment advisory agreement between the Fund, on behalf of the Portfolios, and Dimensional, which previously was the manager of the Series' assets. The investment advisory fee paid by the Portfolios are identical to the advisory fee that was charged to the Series. Further, prior to February 28, 2014, the Portfolios and the U.S. Targeted Value Portfolio each were provided administrative services under an administrative agreement. Effective February 28, 2014, 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, equal to each Portfolio's previous investment advisory services fee and administrative services fee, payable to the Advisor for both investment advisory services and administrative services. 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, including administration/advisory fees, and in certain instances, assume certain expenses of the Portfolios, as described in the notes below. The Fee Waiver Agreement for the Portfolios below will remain in effect through February 28, 2015, 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. For the six months ended April 30, 2014, 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). 124 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 thirty-six months before the date of recovery.
Previously Recovery Waived Fees/ Expense of Previously Expenses Assumed Limitation Waived Fees/ Subject to Future Institutional Class Shares Amount Expenses Assumed Recovery -------------------------- ---------- ---------------- ----------------- U.S. Large Cap Equity Portfolio (1).................... 0.19% -- $ 45 U.S. Targeted Value Portfolio (2)...................... 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% -- 1,009 International Core Equity Portfolio (1)................ 0.49% -- -- International Small Company Portfolio (3).............. 0.45% -- -- Japanese Small Company Portfolio (4)................... 0.47% -- -- Asia Pacific Small Company Portfolio (4)............... 0.47% -- -- United Kingdom Small Company Portfolio (4)............. 0.47% -- 32 Continental Small Company Portfolio (4)................ 0.47% -- -- DFA International Real Estate Securities Portfolio (1). 0.65% -- -- DFA Global Real Estate Securities Portfolio (5)........ 0.32% -- 10,337 International Vector Equity Portfolio (1).............. 0.60% -- -- World ex U.S. Value Portfolio (6)...................... 0.60% -- 447 World ex U.S. Targeted Value Portfolio (7)............. 0.80% -- 546 World ex U.S. Core Equity Portfolio (8)................ 0.47% -- 491 Selectively Hedged Global Equity Portfolio (9)......... 0.40% -- 497 Emerging Markets Core Equity Portfolio (1)............. 0.85% -- -- Class R1 Shares --------------- U.S. Targeted Value Portfolio (10)..................... 0.62% -- -- Class R2 Shares --------------- U.S. Targeted Value Portfolio (10)..................... 0.77% -- -- Emerging Markets Value Portfolio (11).................. 0.96% -- --
(1) The Advisor has contractually agreed to waive all or a portion of its advisory fee and assume each Portfolio's ordinary operating expenses (excluding the expenses a Portfolio incurs indirectly through investment in other investment companies and excluding any applicable 12b-1 fees) ("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 will not cause the Portfolio's annualized Portfolio Expenses to exceed the Expense Limitation Amount, as listed above. (2) 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 and excluding any applicable 12b-1 fees) ("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 will not cause the Portfolio's annualized Portfolio Expenses for such class of shares to exceed the Expense Limitation Amount, as listed above. (3) The Advisor has contractually agreed to waive its administration fee and to assume the other direct expenses of the Portfolio (excluding expenses incurred through its investment in other investment companies and 125 excluding any applicable 12b-1 fees) ("Portfolio Expenses") to the extent necessary to limit the Portfolio Expenses of the Portfolio, on an annualized basis, to the rate listed above as a percentage of average net assets (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 seek reimbursement for any fees previously waived and/or expenses previously assumed to the extent that the amount of such reimbursement will not cause the annualized Portfolio Expenses of the Portfolio to exceed the applicable Expense Limitation Amount, as listed above. (4) The Advisor has 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 rates listed above as a percentage of average net assets on an annualized basis (the "Expense Limitation Amount"). The Fee Waiver Agreement does not include the indirect expenses each Portfolio bears as a shareholder of its Master Fund. At any time that the direct expenses of a 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 will not cause the Portfolio's direct expenses to exceed the Expense Limitation Amount, as listed above. (5) Effective February 28, 2012, the Advisor has contractually agreed to waive all or a portion of its advisory 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 its investment in unaffiliated investment companies and excluding any applicable 12b-1 fees) ("Portfolio Expenses") to the extent necessary to limit the Portfolio Expenses of the Portfolio to the rate 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 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 will not cause the Portfolio's annualized Portfolio Expenses to exceed the Expense Limitation Amount, as listed above. Prior to February 28, 2012, the Advisor contractually agreed to waive all or a portion of its advisory fee and to assume the expenses of the Portfolio (including the expenses that the Portfolio bears as a shareholder of other investment companies managed by the Advisor 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 the Portfolio to 0.55% of average net assets on an annualized basis. At any time that the annualized Portfolio Expenses of the Portfolio were less than 0.55% of average net assets on an annualized basis, 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 Portfolio's annualized Portfolio Expenses to exceed the Expense Limitation Amount then in effect. The Advisor voluntarily agreed to waive all or a portion of its advisory fee to the extent necessary to limit the total advisory fees paid by the Portfolio to the Advisor directly and indirectly (the proportionate share of the advisory fees paid by the Portfolio through its investment in other funds managed by the Advisor) to 0.35% of the Portfolio's average net assets on an annualized basis. (6) The Advisor has contractually agreed to waive up to the full amount of the Portfolio's advisory fee of 0.47% to the extent necessary to offset the proportionate share of the advisory 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 advisory fee that remains payable by the Portfolio (i.e., the advisory fee remaining after the proportionate share of the Master Funds' advisory 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 any applicable 12b-1 fees) ("Portfolio Expenses") so that such Portfolio Expenses do not exceed 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 will not cause the Portfolio's annualized Portfolio Expenses to exceed the Portfolio's Expense Limitation Amount, as listed above. 126 (7) The Advisor has contractually agreed to waive up to the full amount of the Portfolio's advisory fee of 0.58% to the extent necessary to offset the proportionate share of the advisory 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 advisory 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 any applicable 12b-1 fees) ("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 will not cause the annualized Portfolio Expenses for such class of shares of the Portfolio to exceed the Expense Limitation Amount, as listed above. (8) The Advisor has contractually agreed to waive all or a portion of its advisory 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 in unaffiliated investment companies and excluding any applicable 12b-1 fees) ("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 will not cause the annualized Portfolio Expenses for such class of shares of the Portfolio to exceed the 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 0.30% 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 any applicable 12b-1 fees) ("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 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 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 and excluding any applicable 12b-1 fees) ("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 on an annualized basis (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 will not cause the Portfolio's annualized Portfolio Expenses for such class of shares to exceed the Expense Limitation Amount, as listed above. (11) The Advisor has contractually agreed to assume the direct expenses of the Class R2 shares of the Portfolio (excluding management fees and custodian fees, and excluding any applicable 12b-1 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) ("Portfolio Expenses") to the rate 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 the Class R2 shares 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 127 previously assumed to the extent that such recovery will not cause the annualized Portfolio Expenses of the Class R2 shares of the Portfolio to exceed the Expense Limitation Amount, as listed above. Earned Income Credit: In addition, the 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. During the six months ended April 30, 2014, expenses reduced were as follows (amounts in thousands):
Fees Paid Indirectly ---------- Enhanced U.S. Large Company Portfolio.............. $ 1 Large Cap International Portfolio.................. 3 International Core Equity Portfolio................ 17 DFA International Real Estate Securities Portfolio. 6 DFA International Small Cap Value Portfolio........ 6 International Vector Equity Portfolio.............. 2 World ex U.S. Value Portfolio...................... -- World ex U.S. Targeted Value Portfolio............. -- World ex U.S. Core Equity Portfolio................ -- Emerging Markets Core Equity Portfolio............. 46
Fees Paid to Officers and Directors/Trustees: Certain Officers and Directors/Trustees of the Advisor are also Officers and Directors/Trustees of the Fund; however, such Officers and Directors/Trustees (with the exception of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund. For the six months ended April 30, 2014, the total related amounts paid by the Fund to the CCO were $130 (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, 2014, 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 (amounts in thousands): Enhanced U.S. Large Company Portfolio.. $ 8 U.S. Large Cap Equity Portfolio........ 1 U.S. Large Cap Value Portfolio......... 302 U.S. Targeted Value Portfolio.......... 87 U.S. Small Cap Value Portfolio......... 278 U.S. Core Equity 1 Portfolio........... 133 U.S. Core Equity 2 Portfolio........... 210 U.S. Vector Equity Portfolio........... 64 U.S. Small Cap Portfolio............... 147 U.S. Micro Cap Portfolio............... 139 DFA Real Estate Securities Portfolio... 108 Large Cap International Portfolio...... 70 International Core Equity Portfolio.... 196 International Small Company Portfolio.. 211 Japanese Small Company Portfolio....... 8 Asia Pacific Small Company Portfolio... 6 United Kingdom Small Company Portfolio. 1 Continental Small Company Portfolio.... 5
128 DFA International Real Estate Securities Portfolio. $ 40 DFA Global Real Estate Securities Portfolio........ 29 DFA International Small Cap Value Portfolio........ 311 International Vector Equity Portfolio.............. 16 World ex U.S. Value Portfolio...................... 1 World ex U.S. Targeted Value Portfolio............. 1 World ex U.S. Core Equity Portfolio................ 1 Selectively Hedged Global Equity Portfolio......... 1 Emerging Markets Portfolio......................... 95 Emerging Markets Small Cap Portfolio............... 71 Emerging Markets Value Portfolio................... 407 Emerging Markets Core Equity Portfolio............. 192
E. Purchases and Sales of Securities: For the six months ended April 30, 2014, the Portfolios made the following purchases and sales of investment securities, other than short-term securities (amounts in thousands):
U.S. Government Other Investment Securities Securities ------------------ ------------------- Purchases Sales Purchases Sales --------- -------- ---------- -------- Enhanced U.S. Large Company Portfolio.............. $108,402 $126,013 $ 66,492 $ 65,380 U.S. Large Cap Equity Portfolio.................... -- -- 51,836 552 U.S. Targeted Value Portfolio...................... -- -- 706,137 232,060 U.S. Small Cap Value Portfolio..................... -- -- 1,151,430 356,199 U.S. Core Equity 1 Portfolio....................... -- -- 1,071,182 75,925 U.S. Core Equity 2 Portfolio....................... -- -- 949,045 137,632 U.S. Vector Equity Portfolio....................... -- -- 190,766 74,918 U.S. Small Cap Portfolio........................... -- -- 1,062,912 312,760 U.S. Micro Cap Portfolio........................... -- -- 298,851 302,714 DFA Real Estate Securities Portfolio............... -- -- 543,502 3,814 Large Cap International Portfolio.................. -- -- 256,748 75,708 International Core Equity Portfolio................ -- -- 1,901,094 419,284 DFA International Real Estate Securities Portfolio. -- -- 345,430 21,832 DFA International Small Cap Value Portfolio........ -- -- 738,880 515,899 International Vector Equity Portfolio.............. -- -- 189,491 46,097 Emerging Markets Core Equity Portfolio............. -- -- 1,570,823 171,943
For the six months ended April 30, 2014, the Fund of Funds made the following purchases and sales of Affiliated Investment Companies (amounts in thousands):
DFA Global Real Estate Securities Portfolio ----------------------------------------------------------------- Balance at Balance at Dividend Distributions of Affiliated Investment Companies 10/31/2013 4/30/2014 Purchases Sales Income Realized Gains ------------------------------- ---------- ---------- --------- ------- -------- ---------------- DFA Real Estate Securities Portfolio....................... $1,235,206 $1,543,293 $227,454 $14,000 $25,503 -- DFA International Real Estate Securities Portfolio............ 842,644 1,010,087 162,445 -- 41,160 -- World ex U.S. Value Portfolio ----------------------------------------------------------------- Balance at Balance at Dividend Distributions of Affiliated Investment Companies 10/31/2013 4/30/2014 Purchases Sales Income Realized Gains ------------------------------- ---------- ---------- --------- ------- -------- ---------------- DFA International Small Cap Value Portfolio....................... $ 10,626 $ 10,582 $ 342 $ 1,047 $ 105 $157
129
World ex U.S. Targeted Value Portfolio ---------------------------------------------------------------- Balance at Balance at Dividend Distributions of Affiliated Investment Companies 10/31/2013 4/30/2014 Purchases Sales Income Realized Gains ------------------------------- ---------- ---------- --------- ------ -------- ---------------- DFA International Small Cap Value Portfolio......................... $59,508 $ 89,361 $25,854 $1,022 $ 613 $919 International Vector Equity Portfolio......................... 8,639 12,978 3,933 164 76 64 World ex U.S. Core Equity Portfolio ---------------------------------------------------------------- Balance at Balance at Dividend Distributions of Affiliated Investment Companies 10/31/2013 4/30/2014 Purchases Sales Income Realized Gains ------------------------------- ---------- ---------- --------- ------ -------- ---------------- International Core Equity Portfolio. $99,732 $165,054 $65,762 $7,685 $1,326 -- Emerging Markets Core Equity Portfolio......................... 29,703 49,042 21,359 2,315 181 -- Selectively Hedged Global Equity Portfolio ---------------------------------------------------------------- Balance at Balance at Dividend Distributions of Affiliated Investment Companies 10/31/2013 4/30/2014 Purchases Sales Income Realized Gains ------------------------------- ---------- ---------- --------- ------ -------- ---------------- U.S. Core Equity 2 Portfolio........ $37,594 $ 48,240 $15,642 $7,200 $ 261 $342 International Core Equity Portfolio. 34,847 41,759 10,859 5,580 370 -- Emerging Markets Core Equity Portfolio......................... 15,187 17,327 5,011 2,600 83 --
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, 2013, 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, the utilization of accumulated earnings and profits distributed to shareholders on redemptions of shares as part of the dividends paid deduction for income tax purposes, distributions received from real estate investment trusts, expiration of capital loss carryovers and distribution redesignations, were reclassified to the following accounts. These reclassifications had no effect on net assets or net asset value per share (amounts in thousands):
Increase Increase (Decrease) (Decrease) Increase Undistributed Accumulated (Decrease) Net Investment Net Realized Paid-In Capital Income Gains (Losses) --------------- -------------- -------------- Enhanced U.S. Large Company Portfolio. $ (41) $(1,482) $ 1,523 U.S. Large Cap Equity Portfolio....... (11) 11 -- U.S. Large Cap Value Portfolio........ -- -- -- U.S. Targeted Value Portfolio......... 32,363 (3,552) (28,811) U.S. Small Cap Value Portfolio........ 30,865 (6,020) (24,845) U.S. Core Equity 1 Portfolio.......... -- 73 (73) U.S. Core Equity 2 Portfolio.......... 7,427 (4,267) (3,160) U.S. Vector Equity Portfolio.......... 3,066 (1,370) (1,696)
130
Increase Increase (Decrease) (Decrease) Increase Undistributed Accumulated (Decrease) Net Investment Net Realized Paid-In Capital Income Gains (Losses) --------------- -------------- -------------- U.S. Small Cap Portfolio........................... $14,889 $ (3,327) $(11,562) U.S. Micro Cap Portfolio........................... 13,457 (2,061) (11,396) DFA Real Estate Securities Portfolio............... 92 8,126 (8,218) Large Cap International Portfolio.................. -- (48) 48 International Core Equity Portfolio................ -- (1,269) 1,269 International Small Company Portfolio.............. 19,041 2,378 (21,419) Japanese Small Company Portfolio................... (3,055) 1,185 1,870 Asia Pacific Small Company Portfolio............... -- 1,717 (1,717) United Kingdom Small Company Portfolio............. -- -- -- Continental Small Company Portfolio................ -- 11 (11) DFA International Real Estate Securities Portfolio. -- 7,155 (7,155) DFA Global Real Estate Securities Portfolio........ -- -- -- DFA International Small Cap Value Portfolio........ 20,991 (9,402) (11,589) International Vector Equity Portfolio.............. 640 (330) (310) World ex U.S. Value Portfolio...................... -- 5 (5) World ex U.S. Targeted Value Portfolio............. 39 (1) (38) World ex U.S. Core Equity Portfolio................ (9) 10 (1) Selectively Hedged Global Equity Portfolio......... -- 237 (237) Emerging Markets Portfolio......................... 4,120 (3,230) (890) Emerging Markets Small Cap Portfolio............... -- (74) 74 Emerging Markets Value Portfolio................... 30,746 (10,346) (20,400) Emerging Markets Core Equity Portfolio............. -- (1,813) 1,813
The tax character of dividends and distributions declared and paid during the years ended October 31, 2012 and October 31, 2013 were as follows (amounts in thousands):
Net Investment Income and Short-Term Long-Term Capital Gains Capital Gains Total -------------- ------------- -------- Enhanced U.S. Large Company Portfolio 2012.................................. $ 2,785 -- $ 2,785 2013.................................. 1,597 1,597 U.S. Large Cap Equity Portfolio 2013.................................. 321 -- 321 U.S. Large Cap Value Portfolio 2012.................................. 150,153 150,153 2013.................................. 180,943 -- 180,943 U.S. Targeted Value Portfolio 2012.................................. 27,304 $ 31,976 59,280 2013.................................. 55,372 162,209 217,581 U.S. Small Cap Value Portfolio 2012.................................. 56,139 122,752 178,891 2013.................................. 112,970 380,218 493,188 U.S. Core Equity 1 Portfolio 2012.................................. 76,278 76,278 2013.................................. 105,633 -- 105,633 U.S. Core Equity 2 Portfolio 2012.................................. 103,512 2,008 105,520 2013.................................. 143,640 55,772 199,412
131
Net Investment Income and Short-Term Long-Term Capital Gains Capital Gains Total -------------- ------------- -------- U.S. Vector Equity Portfolio 2012............................................... $ 29,237 $ 337 $ 29,574 2013............................................... 34,959 3,507 38,466 U.S. Small Cap Portfolio 2012............................................... 44,580 14,276 58,856 2013............................................... 83,270 228,671 311,941 U.S. Micro Cap Portfolio 2012............................................... 33,018 14,720 47,738 2013............................................... 46,915 176,365 223,280 DFA Real Estate Securities Portfolio 2012............................................... 103,653 103,653 2013............................................... 102,731 -- 102,731 Large Cap International Portfolio 2012............................................... 60,808 60,808 2013............................................... 70,787 -- 70,787 International Core Equity Portfolio 2012............................................... 179,492 179,492 2013............................................... 214,687 -- 214,687 International Small Company Portfolio 2012............................................... 169,495 110,049 279,544 2013............................................... 159,066 39,012 198,078 Japanese Small Company Portfolio 2012............................................... 4,541 4,541 2013............................................... 2,836 -- 2,836 Asia Pacific Small Company Portfolio 2012............................................... 9,333 9,333 2013............................................... 7,603 -- 7,603 United Kingdom Small Company Portfolio 2012............................................... 992 992 2013............................................... 953 -- 953 Continental Small Company Portfolio 2012............................................... 2,958 2,958 2013............................................... 2,834 -- 2,834 DFA International Real Estate Securities Portfolio 2012............................................... 60,194 60,194 2013............................................... 181,848 -- 181,848 DFA Global Real Estate Securities Portfolio 2012............................................... 26,050 26,050 2013............................................... 84,341 -- 84,341 DFA International Small Cap Value Portfolio 2012............................................... 206,370 131,063 337,433 2013............................................... 198,381 117,102 315,483 International Vector Equity Portfolio 2012............................................... 14,733 6,546 21,279 2013............................................... 17,456 2,044 19,500 World ex U.S. Value Portfolio 2012............................................... 1,438 1,438 2013............................................... 2,334 -- 2,334
132
Net Investment Income and Short-Term Long-Term Capital Gains Capital Gains Total -------------- ------------- -------- World ex U.S. Targeted Value Portfolio 2013....................................... $ 993 -- $ 993 World ex U.S. Core Equity Portfolio 2013....................................... 1,171 -- 1,171 Selectively Hedged Global Equity Portfolio 2012....................................... 534 534 2013....................................... 373 $ 56 429 Emerging Markets Portfolio 2012....................................... 51,664 91,664 143,328 2013....................................... 59,866 30,527 90,393 Emerging Markets Small Cap Portfolio 2012....................................... 42,163 40,014 82,177 2013....................................... 71,149 92,100 163,249 Emerging Markets Value Portfolio 2012....................................... 300,146 202,987 503,133 2013....................................... 357,501 344,531 702,032 Emerging Markets Core Equity Portfolio 2012....................................... 143,349 143,349 2013....................................... 205,400 -- 205,400
U.S. Large Cap Equity Portfolio commenced operations on June 25, 2013 and did not pay any distributions for the year ended October 31, 2012. World ex U.S. Targeted Value Portfolio commenced operations on November 1, 2012 and did not pay any distributions for the year ended October 31, 2012. World ex U.S. Core Equity Portfolio commenced operations on April 9, 2013 and did not pay any distributions for the year ended October 31, 2012. At October 31, 2013, the following net investment income and short-term capital gains and long-term capital gains distributions designated for federal income tax purposes are due to the utilization of accumulated earnings and profits distributed to shareholders upon redemption of shares (amounts in thousands):
Net Investment Income and Short-Term Long-Term Capital Gains Capital Gains Total -------------- ------------- ------- Enhanced U.S. Large Company Portfolio....... -- -- -- U.S. Large Cap Equity Portfolio............. -- -- -- U.S. Large Cap Value Portfolio.............. -- -- -- U.S. Targeted Value Portfolio............... $ 6,274 $26,089 $32,363 U.S. Small Cap Value Portfolio.............. 6,218 24,617 30,865 U.S. Core Equity 1 Portfolio................ -- -- -- U.S. Core Equity 2 Portfolio................ 4,443 2,984 7,427 U.S. Vector Equity Portfolio................ 1,506 1,560 3,066 U.S. Small Cap Portfolio.................... 4,483 10,405 14,888 U.S. Micro Cap Portfolio.................... 3,060 10,398 13,458 International Small Company Portfolio....... 10,055 8,986 19,041 DFA International Small Cap Value Portfolio. 14,657 6,334 20,991 International Vector Equity Portfolio....... 473 167 640 World ex U.S.Targeted Value Portfolio....... 26 26 52 Emerging Markets Portfolio.................. 3,106 1,014 4,120 Emerging Markets Value Portfolio............ 18,634 12,112 30,746
133 At October 31, 2013, the components of distributable earnings (accumulated losses) were as follows (amounts in thousands):
Undistributed Total Net Net Investment Distributable Income and Undistributed Unrealized Earnings Short-Term Long-Term Capital Loss Appreciation (Accumulated Capital Gains Capital Gains Carryforwards (Depreciation) Losses) -------------- ------------- ------------- -------------- ------------- Enhanced U.S. Large Company Portfolio.... -- -- $ (1,059) $ 3,933 $ 2,874 U.S. Large Cap Equity Portfolio.......... $ 317 -- -- 10,560 10,877 U.S. Large Cap Value Portfolio........... 28,647 -- (512,898) 4,225,900 3,741,649 U.S. Targeted Value Portfolio............ 17,027 $237,247 -- 1,330,412 1,584,686 U.S. Small Cap Value Portfolio........... 18,970 443,687 -- 2,850,347 3,313,004 U.S. Core Equity 1 Portfolio............. 15,136 34,837 -- 2,298,101 2,348,074 U.S. Core Equity 2 Portfolio............. 19,964 98,716 -- 3,166,130 3,284,810 U.S. Vector Equity Portfolio............. 5,402 38,796 -- 926,605 970,803 U.S. Small Cap Portfolio................. 25,516 218,763 -- 2,182,172 2,426,451 U.S. Micro Cap Portfolio................. 17,211 200,725 -- 1,610,873 1,828,809 DFA Real Estate Securities Portfolio..... 32,487 -- (179,405) 1,274,703 1,127,785 Large Cap International Portfolio........ 9,261 -- (212,195) 612,594 409,660 International Core Equity Portfolio...... 41,670 -- (113,295) 1,437,552 1,367,061 International Small Company Portfolio.... 118,814 211,281 -- 1,566,261 1,896,356 Japanese Small Company Portfolio......... 11,490 -- (66,522) 16,667 (38,365) Asia Pacific Small Company Portfolio..... 11,406 -- (26,597) 24,537 9,346 United Kingdom Small Company Portfolio... 447 406 -- 13,794 14,647 Continental Small Company Portfolio...... 319 -- (26,529) 38,434 12,224 DFA International Real Estate Securities Portfolio.............................. 91,532 -- (206,697) (5,808) (120,973) DFA Global Real Estate Securities Portfolio.............................. 11,647 -- (808) 333,050 343,889 DFA International Small Cap Value Portfolio.............................. 145,446 127,002 -- 1,923,377 2,195,825 International Vector Equity Portfolio.... 5,884 7,263 -- 218,801 231,948 World ex U.S. Value Portfolio............ 353 -- (2,715) 14,956 12,594 World ex U.S. Targeted Value Portfolio... 144 1,141 -- 11,475 12,760 World ex U.S. Core Equity Portfolio...... 62 -- -- 11,626 11,688 Selectively Hedged Global Equity Portfolio.............................. 1,700 537 -- 15,002 17,239 Emerging Markets Portfolio............... 13,976 21,322 -- 1,122,953 1,158,251 Emerging Markets Small Cap Portfolio..... 27,935 63,092 -- 422,604 513,631 Emerging Markets Value Portfolio......... 128,578 263,757 -- 298,709 691,044 Emerging Markets Core Equity Portfolio... 55,409 -- (51,641) 1,198,159 1,201,927
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 134 enactment. As of October 31, 2013, 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, ----------------------------------------------------------------- 2014 2015 2016 2017 2018 2019 Unlimited Total ------ ------ ------- -------- ------- ------- --------- -------- Enhanced U.S. Large Company Portfolio....... -- $1,059 -- -- -- -- -- $ 1,059 U.S. Large Cap Equity Portfolio............. -- -- -- -- -- -- -- -- U.S. Large Cap Value Portfolio.............. -- -- -- $512,898 -- -- -- 512,898 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........ -- -- $45,525 62,969 $44,388 $26,523 -- 179,405 Large Cap International Portfolio........... -- -- 19,004 135,392 14,311 12,549 $30,938 212,194 International Core Equity Portfolio......... -- -- -- 53,176 -- -- 60,119 113,295 International Small Company Portfolio....... -- -- -- -- -- -- -- -- Japanese Small Company Portfolio............ $2,451 8,003 23,057 13,952 12,208 5,543 1,308 66,522 Asia Pacific Small Company Portfolio........ -- -- 16,317 8,261 -- -- 2,019 26,597 United Kingdom Small Company Portfolio...... -- -- -- -- -- -- -- -- Continental Small Company Portfolio......... -- -- 13,544 7,224 5,252 -- 509 26,529 DFA International Real Estate Securities Portfolio.................................. -- 46 13,446 34,576 38,689 69,466 50,474 206,697 DFA Global Real Estate Securities Portfolio. -- -- -- -- 808 -- -- 808 DFA International Small Cap Value Portfolio. -- -- -- -- -- -- -- -- International Vector Equity Portfolio....... -- -- -- -- -- -- -- -- World ex U.S. Value Portfolio............... -- -- -- -- -- 2,715 -- 2,715 World ex U.S. Targeted Value Portfolio...... -- -- -- -- -- -- -- -- World ex U.S. Core Equity Portfolio......... -- -- -- -- -- -- -- -- Selectively Hedged Global Equity Portfolio.. -- -- -- -- -- -- -- -- Emerging Markets Portfolio.................. -- -- -- -- -- -- -- -- Emerging Markets Small Cap Portfolio........ -- -- -- -- -- -- -- -- Emerging Markets Value Portfolio............ -- -- -- -- -- -- -- -- Emerging Markets Core Equity Portfolio...... -- -- 7,080 26,444 -- -- 18,117 51,641
During the year ended October 31, 2013, the Portfolios utilized the following capital loss carryforwards to offset realized capital gains for federal income tax purposes (amounts in thousands): Enhanced U.S. Large Company Portfolio....... $ 45,882 U.S. Large Cap Value Portfolio.............. 819,591 U.S. Core Equity 1 Portfolio................ 13,834 DFA Real Estate Securities Portfolio........ 27,388 Japanese Small Company Portfolio............ 4,124 United Kingdom Small Company Portfolio...... 2,141 Continental Small Company Portfolio......... 2,316 DFA Global Real Estate Securities Portfolio. 308 World ex U.S. Value Portfolio............... 3,127
135 At April 30, 2014, the total cost and aggregate gross unrealized appreciation (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes, as follows (amounts in thousands):
Net Unrealized Federal Unrealized Unrealized Appreciation Tax Cost Appreciation Depreciation (Depreciation) ----------- ------------ ------------ -------------- Enhanced U.S. Large Company Portfolio.............. $ 189,961 $ 5,464 $ (61) $ 5,403 U.S. Large Cap Equity Portfolio.................... 200,177 23,990 (1,793) 22,197 U.S. Large Cap Value Portfolio..................... 8,646,051 4,967,975 -- 4,967,975 U.S. Targeted Value Portfolio...................... 4,313,344 1,636,269 (121,648) 1,514,621 U.S. Small Cap Value Portfolio..................... 9,510,581 3,866,821 (582,995) 3,283,826 U.S. Core Equity 1 Portfolio....................... 7,041,677 2,969,794 (133,518) 2,836,276 U.S. Core Equity 2 Portfolio....................... 8,678,236 4,125,770 (229,694) 3,896,076 U.S. Vector Equity Portfolio....................... 2,521,865 1,201,670 (108,781) 1,092,889 U.S. Small Cap Portfolio........................... 8,177,572 2,633,330 (337,974) 2,295,356 U.S. Micro Cap Portfolio........................... 4,084,414 1,979,793 (344,312) 1,635,481 DFA Real Estate Securities Portfolio............... 4,529,600 1,626,242 (45,026) 1,581,216 Large Cap International Portfolio.................. 2,764,544 860,138 (162,208) 697,930 International Core Equity Portfolio................ 10,960,045 2,590,863 (573,187) 2,017,676 International Small Company Portfolio.............. 7,257,475 1,959,316 (264) 1,959,052 Japanese Small Company Portfolio................... 380,848 -- (429) (429) Asia Pacific Small Company Portfolio............... 376,158 20,912 -- 20,912 United Kingdom Small Company Portfolio............. 23,523 15,535 -- 15,535 Continental Small Company Portfolio................ 136,008 58,290 -- 58,290 DFA International Real Estate Securities Portfolio. 2,657,179 118,435 (54,545) 63,890 DFA Global Real Estate Securities Portfolio........ 2,125,332 435,451 -- 435,451 DFA International Small Cap Value Portfolio........ 11,011,882 4,059,746 (1,359,859) 2,699,887 International Vector Equity Portfolio.............. 1,169,939 317,554 (41,286) 276,268 World ex U.S. Value Portfolio...................... 103,071 15,959 -- 15,959 World ex U.S. Targeted Value Portfolio............. 127,342 17,670 (930) 16,740 World ex U.S. Core Equity Portfolio................ 194,824 19,271 -- 19,271 Selectively Hedged Global Equity Portfolio......... 90,160 17,166 -- 17,166 Emerging Markets Portfolio......................... 2,820,167 1,045,375 -- 1,045,375 Emerging Markets Small Cap Portfolio............... 3,885,986 432,095 -- 432,095 Emerging Markets Value Portfolio................... 18,937,378 -- (141,511) (141,511) Emerging Markets Core Equity Portfolio............. 14,387,169 2,496,594 (1,438,250) 1,058,344
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 each Portfolio's tax positions and has concluded that no additional provision for income tax is required in any Portfolio's financial statements. No Portfolio is 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. Each Portfolio's federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. 136 G. Capital Share Transactions: The capital share transactions by class were as follows (amounts in thousands):
Six Months Ended Year Ended April 30, 2014 Oct. 31, 2013 -------------------- --------------------- (Unaudited) Amount Shares Amount Shares ----------- ------- ----------- -------- U.S. Targeted Value Portfolio Class R1 Shares Shares Issued........................................ $ 2,778 122 $ 9,003 477 Shares Issued in Lieu of Cash Distributions.......... 605 28 3,423 205 Shares Redeemed...................................... (927) (41) (61,998) (3,124) ----------- ------- ----------- -------- Net Increase (Decrease) -- Class R1 Shares............ $ 2,456 109 $ (49,572) (2,442) =========== ======= =========== ======== Class R2 Shares Shares Issued........................................ $ 59,653 2,648 $ 10,505 520 Shares Issued in Lieu of Cash Distributions.......... 1,568 73 923 55 Shares Redeemed...................................... (8,140) (365) (5,597) (281) ----------- ------- ----------- -------- Net Increase (Decrease) -- Class R2 Shares............ $ 53,081 2,356 $ 5,831 294 =========== ======= =========== ======== Institutional Class Shares Shares Issued........................................ $ 916,936 40,607 $ 1,049,705 53,476 Shares Issued in Lieu of Cash Distributions.......... 246,827 11,429 189,447 11,289 Shares Redeemed...................................... (524,018) (23,270) (1,045,053) (52,845) ----------- ------- ----------- -------- Net Increase (Decrease) -- Institutional Class Shares. $ 639,745 28,766 $ 194,099 11,920 =========== ======= =========== ======== Emerging Markets Value Portfolio Class R2 Shares Shares Issued........................................ $ 20,867 771 $ 27,484 947 Shares Issued in Lieu of Cash Distributions.......... 2,368 87 3,927 137 Shares Redeemed...................................... (24,031) (885) (27,940) (973) ----------- ------- ----------- -------- Net Increase (Decrease) -- Class R2 Shares............ $ (796) (27) $ 3,471 111 =========== ======= =========== ======== Institutional Class Shares Shares Issued........................................ $ 1,893,948 69,961 $ 4,212,669 148,010 Shares Issued in Lieu of Cash Distributions.......... 416,917 15,367 652,656 22,854 Shares Redeemed...................................... (1,606,383) (59,560) (2,940,034) (104,206) ----------- ------- ----------- -------- Net Increase (Decrease) -- Institutional Class Shares. $ 704,482 25,768 $ 1,925,291 66,658 =========== ======= =========== ========
On October 29, 2010, the Board of Directors of the Fund adopted a Plan of Recapitalization of U.S. Targeted Value Portfolio's Class R1 and Class R2 Shares. On November 19, 2010, a reverse stock split was executed whereby each shareholder of Class R1 Shares received one share for every 1.469 shares held and each shareholder of Class R2 Shares received one share for every 1.394 shares held. The purpose of the reverse split was to reduce the number of Class R1 Shares and Class R2 Shares, thereby increasing the net asset value of each Class R1 Share and Class R2 Share outstanding in order to more closely align the net asset values with the net asset value of U.S. Targeted Value Portfolio's Institutional Class Shares. The per share data in the financial highlights, capital share activity in the statements of changes in net assets and the outstanding shares and net asset value as of October 31, 2010 in the Statement of Assets and Liabilities have been adjusted retroactively to reflect the reverse stock splits for the respective Class R1 and Class R2 Shares. The Board of Directors of the Fund authorized the conversion of the Class R2 Shares of Emerging Markets Value Portfolio to the Class R2A Shares. The Class R2 Shares of Emerging Markets Value Portfolio ceased to be offered and available for purchase upon the close of business on December 3, 2010. Following the conversion, 137 shareholders and investors purchased and redeemed Class R2A Shares of the Portfolio. The value of a shareholder's investment in the Portfolio was not impacted by the conversion, however, a shareholder received fewer Class R2A Shares than the number of Class R2 Shares held at the time of the conversion because the Class R2A Shares had a higher net asset value per share. Effective February 28, 2011, Class R2A Shares were renamed to Class R2 Shares. The per share data in the financial highlights prior to the year ended October 31, 2011 have been retroactively restated to reflect the conversion. Additionally, the capital share activity in the Statement of Changes in Net Assets and capital share activity earlier in this note shows the reduction of shares as a result of the conversion. 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 and Selectively Hedged Global Equity Portfolio may enter into 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 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 April 30, 2014, The Fixed Income Portfolio and 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): Enhanced U.S. Large Company Portfolio*
Unrealized Foreign Settlement Currency Contract Value at Exchange Date Amount** Currency Amount April 30, 2014 Gain (Loss) ---------- -------- ------------------ -------- -------------- ----------- 05/27/14 (5,968) Australian Dollar $ (5,525) $ (5,535) $ (10) 05/13/14 (5,207) Canadian Dollar (4,764) (4,749) 15 05/05/14 (6,178) New Zealand Dollar (5,284) (5,326) (42) 05/13/14 (18,844) UK Pound Sterling (31,599) (31,814) (215) -------- -------- ----- $(47,172) $(47,424) $(252) ======== ======== =====
138 Selectively Hedged Global Equity Portfolio*
Unrealized Foreign Settlement Currency Contract Value at Exchange Date Amount** Currency Amount April 30, 2014 Gain (Loss) ---------- -------- ---------------- -------- -------------- ----------- 05/23/14 (400) Denmark Krone $ (75) $ (75) -- 05/23/14 (2,686) Denmark Krone (498) (500) $(2) 05/15/14 (21,981) Hong Kong Dollar (2,835) (2,835) -- 05/07/14 (88,881) Japanese Yen (869) (869) -- 05/07/14 (641,645) Japanese Yen (6,267) (6,276) (9) 07/10/14 (2,235) Swiss Franc (2,546) (2,540) 6 -------- -------- --- $(13,090) $(13,095) $(5) ======== ======== ===
* During the six months ended April 30, 2014, Enhanced U.S. Large Company Portfolio's and Selectively Hedged Global Equity Portfolio's average contract amount of forward currency contracts was $43,645 and $16,947 (in thousands), respectively. **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: Certain Portfolios may enter into futures contracts to gain market exposure on uninvested cash pending investment in securities or to maintain liquidity to pay redemptions. Additionally, Enhanced U.S. Large Company Portfolio, U.S. Small Cap Value Portfolio and Selectively Hedged Global Equity Portfolio use stock index futures to hedge against changes in equity securities' prices and to gain exposure to the S&P 500 Index(R), Russell 2000 Index(R) and S&P 500 Index(R) Emini, respectively, in the normal course of pursuing their investment objectives. 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. At April 30, 2014, the following Portfolios had outstanding futures contracts (dollar amounts in thousands):
Approximate Expiration Number of Contract Unrealized Cash Description Date Contracts* Value Gain (Loss) Collateral ----------------------- ---------- ---------- -------- ----------- ----------- Enhanced U.S. Large Company Portfolio....... S&P 500 Index(R) 06/19/14 404 $189,668 $ 9,210 -- U.S. Small Cap Value Portfolio............... Russell 2000(R) Index 06/20/14 700 78,652 (4,123) $3,570 Selectively Hedged Global Equity Portfolio........ S&P 500 Index(R) Emini 06/20/14 29 2,723 12 134
Securities have been segregated as collateral for open futures contracts. * During the six months ended April 30, 2014, Enhanced U.S. Large Company Portfolio's, U.S. Small Cap Value Portfolio's and Selectively Hedged Global Equity Portfolio's average notional contract amount of outstanding futures contracts were $188,630, $65,869 and $2,299 (in thousands), respectively. 139 The following is a summary of the location of derivatives on the Portfolios' Statements of Assets and Liabilities as of April 30, 2014: Location on the Statements of Assets and Liabilities --------------------------------------------------- Derivative Type Asset Derivatives Liability Derivatives --------------- ------------------------ ------------------------ Foreign exchange Unrealized Gain on Unrealized Loss on contracts Forward Currency Forward Currency Contracts Contracts Equity contracts Receivables: Futures Margin Variation The following is a summary of the Portfolios' derivative instrument holdings categorized by primary risk exposure as of April 30, 2014 (amounts in thousands):
Asset Derivatives Value --------------------------------- Total Value Foreign at Exchange Equity April 30, 2014 Contracts Contracts - -------------- --------- --------- Enhanced U.S. Large Company Portfolio...... $ 9,225 $ 15 $ 9,210* Selectively Hedged Global Equity Portfolio. 18 6 12* Liability Derivatives Value --------------------------------- Total Value Foreign at Exchange Equity April 30, 2014 Contracts Contracts - -------------- --------- --------- Enhanced U.S. Large Company Portfolio...... $ (267) $(267) -- U.S. Small Cap Value Portfolio............. (4,123) -- $(4,123)* Selectively Hedged Global Equity Portfolio. (11) (11) --
* Includes cumulative appreciation (depreciation) of futures contracts. Only current day's margin variation is reporting 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, 2014 (amounts in thousands):
Derivative Type Location of Gain (Loss) on Derivatives Recognized in Income --------------- ----------------------------------------------------------- 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
140 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, 2014 (amounts in thousands):
Realized Gain (Loss) on Derivatives Recognized in Income ------------------------------- Foreign Exchange Equity Total Contracts Contracts ------- --------- --------- Enhanced U.S. Large Company Portfolio...... $12,660 $(1,202) $13,862 U.S. Small Cap Value Portfolio............. (7,540) -- (7,540) U.S. Micro Cap Portfolio*.................. (692) -- (692) DFA Real Estate Securities Portfolio*...... (553) -- (553) Selectively Hedged Global Equity Portfolio. 431 90 341 Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income ------------------------------- Foreign Exchange Equity Total Contracts Contracts ------- --------- --------- Enhanced U.S. Large Company Portfolio...... $ 1,261 $ (35) $ 1,296 U.S. Small Cap Value Portfolio............. (4,123) -- (4,123) Selectively Hedged Global Equity Portfolio. (154) (33) (121)
* As of April 30, 2014, there were no futures contracts outstanding. During the six months ended April 30, 2014, the Portfolios had limited activity in futures contracts. Offsetting of Derivative Assets and Derivative Liabilities The following tables present 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 Porfolios as of April 30, 2014 (Amounts in thousands):
Gross Amounts Not Offset in the Statements of Assets and Liabilities -------------------------- Net Amounts of Gross Assets Presented Gross Amounts of in the Statements Cash Amounts of Recognized of Assets and Financial Collateral Net Recognized Description Assets (a) Liabilities Instruments (b) Received Amount (c) Liabilities (a) ------------------------------------------------------------------------------------------------ ---------------- Assets - ------------------------------------------------------------------- --------------- Enhanced U.S. Large Company Portfolio Forward Currency Contracts.. $15 $15 $(15) -- -- $267 Selectively Hedged Global Equity Portfolio Forward Currency Contracts.. 6 6 -- -- $ 6 11
Gross Amounts Not Offset in the Statements of Assets and Liabilities -------------------------- Net Amounts of Liabilities Presented in the Statements Cash of Assets and Financial Collateral Net Description Liabilities Instruments (d) Pledged Amount (e) --------------------------------------------------------------------------------- Liabilities ----------------------------------------------------- Enhanced U.S. Large Company Portfolio Forward Currency Contracts.. $267 $(15) -- $252 Selectively Hedged Global Equity Portfolio Forward Currency Contracts.. 11 -- -- 11
(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 J contains information regarding securities lending amounts that are subject to netting arrangements. I. Line of Credit: The Fund, together with other Dimensional-advised portfolios, has entered into a $500 million unsecured discretionary line of credit effective March 4, 2013 with its domestic custodian bank. 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 141 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 was scheduled to expire on March 3, 2014, however, effective March 3, 2014, the term was extended until March 2, 2015. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit effective January 10, 2014 with its international custodian bank. 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 9, 2015. For the six months ended April 30, 2014, borrowings by the Portfolios under the lines of credit were as follows (amounts in thousands, except percentages and days):
Weighted Weighted Number of Interest Maximum Amount Average Average Loan Days Expense Borrowed During Interest Rate Balance Outstanding* Incurred The Period ------------- ------------ ------------ -------- --------------- U.S. Large Cap Equity Portfolio........ 0.84% $ 81 2 -- $ 83 U.S. Small Cap Value Portfolio......... 0.84% 15,354 24 $ 9 43,715 U.S. Small Cap Portfolio............... 0.84% 6,921 1 -- 6,921 U.S. Micro Cap Portfolio............... 0.85% 2,595 32 2 6,726 Large Cap International Portfolio...... 0.83% 1,807 1 -- 1,807 International Small Company Portfolio.. 0.83% 5,142 7 1 12,200 DFA International Small Cap Value Portfolio............................ 0.83% 6,164 10 1 15,323 World ex U.S. Value Portfolio.......... 0.83% 137 19 -- 1,347 World ex U.S. Targeted Value Portfolio. 0.83% 237 8 -- 508 World ex U.S. Core Equity Portfolio.... 0.83% 1,041 10 -- 6,277
* Number of Days Outstanding represents the total of single or consecutive days during the six months ended April 30, 2014, that each Portfolio's available line of credit was utilized. At April 30, 2014, U.S. Small Cap Portfolio and World ex U.S. Targeted Value Portfolio had loans outstanding of $6,922 and $197 (amounts in thousands), respectively. J. Securities Lending: As of April 30, 2014, some of the Portfolios had securities on loan to brokers/dealers, for which each such Portfolio received cash collateral. In addition, the following Portfolios received non-cash collateral consisting of short and/or long term U.S. Treasury securities (amounts in thousands):
Market Value -------- Large Cap International Portfolio.................. $ 9,285 International Core Equity Portfolio................ 43,741 DFA International Real Estate Securities Portfolio. 1,617 DFA International Small Cap Value Portfolio........ 24,291 International Vector Equity Portfolio.............. 3,710 Emerging Markets Core Equity Portfolio............. 448,702
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 equal to at least (i) 100% of the current market value of the loaned securities with respect to securities 142 of the U.S. government or its agencies, (ii) 102% of the current market value of the loaned securities with respect to U.S. securities, and (iii) 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. Subject to their stated investment policies, each 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. 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. K. Shareholder Servicing Fees: The Class R1 Shares pay a shareholder servicing fee in the amount of 0.10% and Class R2 Shares pay a shareholder servicing fee in the amount of 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. 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 which 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, 2014, the following number of shareholders held the following approximate percentages of the stated fund outstanding shares. One or more of the shareholders may be omnibus accounts, which typically hold shares for the benefit of several other underlying investors.
Approximate Percentage Number of of Outstanding Shareholders Shares ------------ -------------- Enhanced U.S. Large Company Portfolio -- Institutional Class Shares...................................................... 5 83% U.S. Large Cap Equity Portfolio -- Institutional Class Shares. 3 97% U.S. Large Cap Value Portfolio -- Institutional Class Shares.. 3 72% U.S. Targeted Value Portfolio -- Class R1 Shares.............. 5 96% U.S. Targeted Value Portfolio -- Class R2 Shares.............. 6 87% U.S. Targeted Value Portfolio -- Institutional Class Shares... 3 59%
143
Approximate Percentage Number of of Outstanding Shareholders Shares ------------ -------------- U.S. Small Cap Value Portfolio -- Institutional Class Shares........ 3 59% U.S. Core Equity 1 Portfolio -- Institutional Class Shares.......... 4 74% U.S. Core Equity 2 Portfolio -- Institutional Class Shares.......... 6 82% U.S. Vector Equity Portfolio -- Institutional Class Shares.......... 5 95% U.S. Small Cap Portfolio -- Institutional Class Shares.............. 3 48% U.S. Micro Cap Portfolio -- Institutional Class Shares.............. 5 75% DFA Real Estate Securities Portfolio -- Institutional Class Shares............................................................ 4 85% Large Cap International Portfolio -- Institutional Class Shares..... 3 68% International Core Equity Portfolio -- Institutional Class Shares... 4 73% International Small Company Portfolio -- Institutional Class Shares............................................................ 4 60% Japanese Small Company Portfolio -- Institutional Class Shares...... 3 82% Asia Pacific Small Company Portfolio -- Institutional Class Shares............................................................ 3 89% United Kingdom Small Company Portfolio -- Institutional Class Shares............................................................ 4 97% Continental Small Company Portfolio -- Institutional Class Shares............................................................ 5 94% DFA International Real Estate Securities Portfolio -- Institutional Class Shares...................................................... 4 91% DFA Global Real Estate Securities Portfolio -- Institutional Class Shares............................................................ 3 82% DFA International Small Cap Value Portfolio -- Institutional Class Shares............................................................ 3 57% International Vector Equity Portfolio -- Institutional Class Shares............................................................ 4 87% World ex U.S. Value Portfolio -- Institutional Class Shares......... 5 83% World ex U.S. Targeted Value Portfolio -- Institutional Class Shares............................................................ 3 100% World ex U.S. Core Equity Portfolio -- Institutional Class Shares... 2 95% Selectively Hedged Global Equity Portfolio -- Institutional Class Shares............................................................ 3 95% Emerging Markets Portfolio -- Institutional Class Shares............ 4 69% Emerging Markets Small Cap Portfolio -- Institutional Class Shares............................................................ 5 58% Emerging Markets Value Portfolio -- Class R2 Shares................. 5 84% Emerging Markets Value Portfolio -- Institutional Class Shares...... 2 28% Emerging Markets Core Equity Portfolio -- Institutional Class Shares............................................................ 3 60%
Further, on December 13, 2013, the Board of the Fund voted to approve the combination of the Investment Advisory Agreement and the Administration Agreement (together, the "Previous Agreements") into a bundled Investment Management Agreement for the Enhanced U.S. Large Company Portfolio, U.S. Targeted Value Portfolio, U.S. Small Cap Value Portfolio, U.S. Small Cap Portfolio and U.S. Micro Cap Portfolio. The Investment Management Agreements became effective on February 28, 2014. The nature and level of services to each Portfolio under the Investment Management Agreements are the same as under the Previous Agreements. As of February 28, 2014, the Portfolios pay the Advisor an investment management fee that is equal to the sum of the previous investment advisory and administration fees that were paid by each Portfolio to the Advisor under the Previous Agreements. 144 The Portfolios are subject to claims and suits that arise from time to time in the ordinary course of business (for example, in The Tribune Company Bankruptcy, certain creditors have filed actions against all shareholders of The Tribune Company who tendered shares when the Tribune Company went private in 2007 in a leveraged buyout transaction, seeking the return of proceeds received by the shareholders). 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 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 Court's dismissal order is on appeal to the Second Circuit. 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. Briefing on the motion to dismiss will be completed by July 2014, with oral argument on the motion to be held thereafter. 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 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 predict what its size might be at the time the cost of the Lawsuits might be quantifiable and thus potentially 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. N. Subsequent Event Evaluations: Management has evaluated the impact of all subsequent events on the Portfolios and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements. 145 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, 2014 EXPENSE TABLES Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 11/01/13 04/30/14 Ratio* Period* --------- --------- ---------- -------- DFA Commodity Strategy Portfolio -------------------------------- Actual Fund Return............... $1,000.00 $1,118.20 0.33% $1.73 Hypothetical 5% Annual Return.... $1,000.00 $1,023.16 0.33% $1.66
---------- * 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. 146 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 31, 2014. It is 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.................................... 34.6% Foreign Corporate............................ 18.4% Foreign Government........................... 26.0% Government................................... 10.8% Supranational................................ 10.2% ----- 100.0%
147 DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED SCHEDULE OF INVESTMENTS April 30, 2014 (Unaudited)
Face Amount^ Value+ ------- ------ (000) BONDS -- (82.6%) AUSTRALIA -- (5.1%) Australia & New Zealand Banking Group, Ltd. 1.250%, 01/10/17............................. $ 12,000 $12,052,596 Commonwealth Bank of Australia 1.250%, 09/18/15............................. 4,780 4,830,658 1.125%, 03/13/17............................. 8,737 8,729,993 National Australia Bank, Ltd. 5.500%, 05/20/15............................. EUR 6,500 9,487,344 0.900%, 01/20/16............................. 5,000 5,036,165 1.300%, 07/25/16............................. 7,000 7,066,955 Westpac Banking Corp. 3.000%, 08/04/15............................. 3,920 4,041,959 ----------- TOTAL AUSTRALIA.................................. 51,245,670 ----------- CANADA -- (7.4%) Bank of Nova Scotia 2.050%, 10/07/15............................. 1,500 1,532,813 Enbridge, Inc. 5.800%, 06/15/14............................. 1,900 1,911,267 4.900%, 03/01/15............................. 1,500 1,552,861 Export Development Canada 0.875%, 12/07/16............................. GBP 10,000 16,746,387 Ontario, Province of Canada 2.300%, 05/10/16............................. 5,000 5,171,300 Potash Corp. of Saskatchewan, Inc. 3.750%, 09/30/15............................. 1,830 1,908,705 Royal Bank of Canada 0.800%, 10/30/15............................. 2,500 2,511,672 2.625%, 12/15/15............................. 2,500 2,582,910 2.300%, 07/20/16............................. 5,000 5,172,265 1.200%, 01/23/17............................. 7,000 7,016,128 Toronto-Dominion Bank (The) 2.500%, 07/14/16............................. 2,500 2,594,672 2.375%, 10/19/16............................. 19,000 19,705,280 TransAlta Corp. 4.750%, 01/15/15............................. 2,508 2,575,641 TransCanada PipeLines, Ltd. 3.400%, 06/01/15............................. 3,106 3,200,690 ----------- TOTAL CANADA..................................... 74,182,591 ----------- FINLAND -- (1.6%) Municipality Finance P.L.C. 2.375%, 05/16/16............................. 15,000 15,533,550 ----------- FRANCE -- (0.8%) Agence Francaise de Developpement 2.500%, 07/15/15............................. 3,000 3,075,246 BNP Paribas SA 3.250%, 03/11/15............................. 4,035 4,128,915
Face Amount^ Value+ ------- ------ (000) FRANCE -- (Continued) Orange SA 2.125%, 09/16/15............................. $ 500 $ 508,389 ----------- TOTAL FRANCE..................................... 7,712,550 ----------- GERMANY -- (2.9%) Deutsche Bank AG 3.875%, 08/18/14............................. 1,750 1,767,855 3.250%, 01/11/16............................. 1,000 1,041,317 Landeskreditbank Baden- Wuerttemberg Foerderbank 2.250%, 07/15/16............................. 10,000 10,332,080 Landwirtschaftliche Rentenbank 3.250%, 12/07/16............................. GBP 9,000 15,963,730 ----------- TOTAL GERMANY.................................... 29,104,982 ----------- JAPAN -- (1.4%) Japan Bank for International Cooperation 2.250%, 07/13/16............................. 8,000 8,271,000 Nomura Holdings, Inc. 5.000%, 03/04/15............................. 3,500 3,623,728 2.000%, 09/13/16............................. 1,000 1,013,282 Sumitomo Mitsui Banking Corp. 1.300%, 01/10/17............................. 1,000 1,003,324 ----------- TOTAL JAPAN...................................... 13,911,334 ----------- NETHERLANDS -- (5.1%) Aegon NV 4.625%, 12/01/15............................. 3,489 3,695,695 Bank Nederlandse Gemeenten 2.750%, 07/01/15............................. 9,500 9,766,323 Cooperatieve Centrale Raiffeisen- Boerenleenbank BA 3.125%, 02/05/15............................. CAD 7,000 6,462,123 2.125%, 10/13/15............................. 7,000 7,163,499 Deutsche Telekom International Finance BV 4.875%, 07/08/14............................. 1,900 1,914,712 Nederlandse Waterschapsbank NV 2.125%, 09/07/16............................. GBP 10,000 17,251,219 2.125%, 02/09/17............................. 4,000 4,119,784 ----------- TOTAL NETHERLANDS................................ 50,373,355 ----------- SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (6.5%) Asian Development Bank 1.000%, 12/15/16............................. GBP 10,000 16,800,416
148 DFA COMMODITY STRATEGY PORTFOLIO CONTINUED
Face Amount^ Value+ ------- ------ (000) SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (Continued) Council Of Europe Development Bank 1.750%, 12/19/16............................. GBP 9,000 $15,399,214 European Investment Bank 6.500%, 09/10/14............................. NZD 2,531 2,201,862 3.250%, 12/07/16............................. GBP 9,000 15,952,333 4.875%, 01/17/17............................. 4,000 4,429,240 Nordic Investment Bank 7.500%, 04/15/15............................. NZD 11,000 9,808,893 ----------- TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS..... 64,591,958 ----------- SWEDEN -- (4.8%) Kommuninvest I Sverige AB 1.625%, 02/13/17............................. 4,500 4,579,524 Nordea Bank AB 2.250%, 03/20/15............................. 5,250 5,337,434 2.750%, 08/11/15............................. EUR 5,000 7,137,163 Svensk Exportkredit AB 2.125%, 07/13/16............................. 7,000 7,214,739 1.125%, 12/15/16............................. GBP 8,000 13,450,193 Svenska Handelsbanken AB 3.125%, 07/12/16............................. 9,250 9,701,816 ----------- TOTAL SWEDEN..................................... 47,420,869 ----------- SWITZERLAND -- (0.2%) Credit Suisse New York 5.500%, 05/01/14............................. 250 250,000 3.500%, 03/23/15............................. 1,000 1,027,387 UBS AG 3.875%, 01/15/15............................. 1,163 1,190,763 ----------- TOTAL SWITZERLAND................................ 2,468,150 ----------- UNITED KINGDOM -- (7.0%) Barclays Bank P.L.C. 5.200%, 07/10/14............................. 1,500 1,513,286 5.000%, 09/22/16............................. 1,700 1,858,948 BP Capital Markets P.L.C. 2.248%, 11/01/16............................. 1,500 1,549,867 British Telecommunications P.L.C. 2.000%, 06/22/15............................. 3,100 3,147,253 1.250%, 02/14/17............................. 1,200 1,200,980 Diageo Capital P.L.C. 5.500%, 09/30/16............................. 2,000 2,222,518 Lloyds Bank P.L.C. 4.875%, 01/21/16............................. 5,000 5,347,795 Network Rail Infrastructure Finance P.L.C. 1.125%, 12/15/16............................. GBP 13,000 21,916,222
Face Amount^ Value+ ------- ------ (000) UNITED KINGDOM -- (Continued) Rio Tinto Finance USA P.L.C. 1.125%, 03/20/15............................. $ 3,850 $ 3,870,605 Royal Bank of Scotland Group P.L.C. 2.550%, 09/18/15............................. 6,300 6,434,675 United Kingdom Gilt 4.000%, 09/07/16............................. GBP 9,000 16,298,945 Vodafone Group P.L.C. 1.625%, 03/20/17............................. 3,951 3,992,300 ----------- TOTAL UNITED KINGDOM............................. 69,353,394 ----------- UNITED STATES -- (39.8%) AbbVie, Inc. 1.200%, 11/06/15............................. 4,000 4,033,188 ACE INA Holdings, Inc. 5.875%, 06/15/14............................. 1,250 1,257,925 2.600%, 11/23/15............................. 3,295 3,396,292 Aflac, Inc. 3.450%, 08/15/15............................. 800 830,077 Air Products & Chemicals, Inc. 2.000%, 08/02/16............................. 3,615 3,714,076 Allstate Corp. (The) 5.000%, 08/15/14............................. 2,130 2,156,955 Altria Group, Inc. 4.125%, 09/11/15............................. 2,170 2,270,744 American Express Credit Corp. 5.125%, 08/25/14............................. 1,700 1,724,789 1.750%, 06/12/15............................. 1,200 1,216,949 2.750%, 09/15/15............................. 2,250 2,317,511 American International Group, Inc. 3.000%, 03/20/15............................. 6,000 6,131,724 Ameriprise Financial, Inc. 5.650%, 11/15/15............................. 813 870,761 Amgen, Inc. 1.875%, 11/15/14............................. 1,825 1,839,328 4.850%, 11/18/14............................. 1,000 1,024,275 Anadarko Petroleum Corp. 5.950%, 09/15/16............................. 7,000 7,802,207 Anheuser-Busch Cos., LLC 5.600%, 03/01/17............................. 6,000 6,717,246 Anheuser-Busch InBev Worldwide, Inc. 0.800%, 07/15/15............................. 2,000 2,007,986 Apache Corp. 5.625%, 01/15/17............................. 1,500 1,676,985 Apple, Inc. 0.450%, 05/03/16............................. 10,000 9,985,270 AT&T, Inc. 2.500%, 08/15/15............................. 4,600 4,713,781 2.400%, 08/15/16............................. 1,000 1,031,803 AutoZone, Inc. 6.950%, 06/15/16............................. 3,000 3,352,830
149 DFA COMMODITY STRATEGY PORTFOLIO CONTINUED
Face Amount^ Value+ ------- ------ (000) UNITED STATES -- (Continued) Bank of America Corp. 1.500%, 10/09/15............................. $ 5,000 $5,047,845 3.750%, 07/12/16............................. 1,500 1,583,795 Becton Dickinson and Co. 1.750%, 11/08/16............................. 1,500 1,532,895 BlackRock, Inc. 3.500%, 12/10/14............................. 2,000 2,039,420 Branch Banking & Trust Co. 1.000%, 04/03/17............................. 4,400 4,374,432 Burlington Northern Santa Fe LLC 4.875%, 01/15/15............................. 200 206,036 Capital One Financial Corp. 7.375%, 05/23/14............................. 1,189 1,193,137 2.150%, 03/23/15............................. 4,700 4,769,536 Cardinal Health, Inc. 4.000%, 06/15/15............................. 3,000 3,103,776 Caterpillar Financial Services Corp. 2.650%, 04/01/16............................. 5,000 5,183,800 1.350%, 09/06/16............................. 2,000 2,022,410 CenterPoint Energy Resources Corp. 6.150%, 05/01/16............................. 5,000 5,509,550 Charles Schwab Corp. (The) 0.850%, 12/04/15............................. 3,000 3,011,052 Citigroup, Inc. 6.375%, 08/12/14............................. 636 646,105 5.300%, 01/07/16............................. 2,716 2,908,480 CNA Financial Corp. 5.850%, 12/15/14............................. 3,277 3,383,843 Colgate-Palmolive Co. 1.300%, 01/15/17............................. 9,723 9,822,758 Comcast Corp. 4.950%, 06/15/16............................. 3,500 3,803,100 6.500%, 01/15/17............................. 1,000 1,142,855 Comerica, Inc. 3.000%, 09/16/15............................. 2,277 2,348,762 Computer Sciences Corp. 2.500%, 09/15/15............................. 3,558 3,627,794 CVS Caremark Corp. 3.250%, 05/18/15............................. 1,000 1,026,442 Devon Energy Corp. 1.200%, 12/15/16............................. 6,970 6,994,270 DIRECTV Holdings LLC / DIRECTV Financing Co., Inc. 3.500%, 03/01/16............................. 5,000 5,228,415 Dominion Resources, Inc. 5.150%, 07/15/15............................. 1,400 1,473,885 2.250%, 09/01/15............................. 5,000 5,103,510 Dow Chemical Co. (The) 2.500%, 02/15/16............................. 6,000 6,170,574
Face Amount^ Value+ ------- ------ (000) UNITED STATES -- (Continued) Eastman Chemical Co. 3.000%, 12/15/15............................. $ 1,000 $1,031,645 Ecolab, Inc. 1.000%, 08/09/15............................. 2,000 2,009,420 Enbridge Energy Partners L.P. 5.350%, 12/15/14............................. 1,475 1,516,906 Energy Transfer Partners L.P. 5.950%, 02/01/15............................. 1,200 1,245,289 Enterprise Products Operating LLC 5.600%, 10/15/14............................. 2,666 2,725,740 EOG Resources, Inc. 2.950%, 06/01/15............................. 2,440 2,503,725 2.500%, 02/01/16............................. 6,000 6,176,352 Exelon Corp. 4.900%, 06/15/15............................. 500 522,090 Express Scripts Holding Co. 2.100%, 02/12/15............................. 4,000 4,046,036 3.125%, 05/15/16............................. 1,975 2,069,859 Fifth Third Bancorp 3.625%, 01/25/16............................. 1,000 1,047,258 Fifth Third Bank 0.900%, 02/26/16............................. 2,000 2,006,010 Ford Motor Credit Co. LLC 12.000%, 05/15/15............................ 3,500 3,903,746 Freeport-McMoRan Copper & Gold, Inc. 1.400%, 02/13/15............................. 3,996 4,017,051 GATX Corp. 4.750%, 05/15/15............................. 5,240 5,449,532 General Electric Capital Corp. 1.625%, 07/02/15............................. 2,000 2,026,782 Gilead Sciences, Inc. 2.400%, 12/01/14............................. 3,000 3,033,834 Goldman Sachs Group, Inc. (The) 3.300%, 05/03/15............................. 3,500 3,592,319 3.625%, 02/07/16............................. 1,000 1,045,659 Google, Inc. 2.125%, 05/19/16............................. 6,000 6,195,756 Hartford Financial Services Group, Inc. (The) 4.000%, 03/30/15............................. 1,400 1,442,778 Hewlett-Packard Co. 2.625%, 12/09/14............................. 1,300 1,315,326 3.000%, 09/15/16............................. 2,000 2,089,060 Hillshire Brands Co. (The) 2.750%, 09/15/15............................. 1,666 1,708,866 HSBC USA, Inc. 2.375%, 02/13/15............................. 2,000 2,031,828 Humana, Inc. 6.450%, 06/01/16............................. 4,500 4,984,564 John Deere Capital Corp. 2.000%, 01/13/17............................. 1,500 1,542,779
150 DFA COMMODITY STRATEGY PORTFOLIO CONTINUED
Face Amount^ Value+ ------- ------ (000) UNITED STATES -- (Continued) Johnson Controls, Inc. 5.500%, 01/15/16............................. $ 1,282 $1,380,604 JPMorgan Chase & Co. 3.700%, 01/20/15............................. 2,800 2,864,422 3.400%, 06/24/15............................. 1,000 1,030,791 Kellogg Co. 1.875%, 11/17/16............................. 2,000 2,045,472 KeyBank NA 1.100%, 11/25/16............................. 1,000 1,002,819 KeyCorp 3.750%, 08/13/15............................. 3,000 3,115,497 Kroger Co. (The) 2.200%, 01/15/17............................. 1,000 1,022,849 Lorillard Tobacco Co. 3.500%, 08/04/16............................. 4,000 4,217,560 Lowe's Cos., Inc. 5.000%, 10/15/15............................. 1,050 1,116,116 Marathon Oil Corp. 0.900%, 11/01/15............................. 1,140 1,143,298 Marsh & McLennan Cos., Inc. 5.750%, 09/15/15............................. 1,916 2,041,019 Medtronic, Inc. 4.750%, 09/15/15............................. 1,087 1,149,057 MetLife, Inc. 5.500%, 06/15/14............................. 1,250 1,257,283 5.000%, 06/15/15............................. 500 525,274 Mondelez International, Inc. 4.125%, 02/09/16............................. 3,716 3,934,010 Morgan Stanley 3.800%, 04/29/16............................. 6,000 6,313,998 Mylan, Inc. 1.350%, 11/29/16............................. 2,038 2,044,962 NASDAQ OMX Group, Inc. (The) 4.000%, 01/15/15............................. 2,800 2,859,839 Occidental Petroleum Corp. 1.750%, 02/15/17............................. 1,000 1,016,805 Omnicom Group, Inc. 5.900%, 04/15/16............................. 1,750 1,913,483 PepsiCo, Inc. 0.700%, 08/13/15............................. 5,595 5,608,148 Philip Morris International, Inc. 2.500%, 05/16/16............................. 3,224 3,347,154 Plains All American Pipeline L.P. / PAA Finance Corp. 3.950%, 09/15/15............................. 2,830 2,951,823 PNC Funding Corp. 5.400%, 06/10/14............................. 2,075 2,085,288 4.250%, 09/21/15............................. 600 629,199 PPG Industries, Inc. 1.900%, 01/15/16............................. 2,050 2,087,021 Progress Energy, Inc. 5.625%, 01/15/16............................. 2,000 2,159,788
Face Amount^ Value+ ------- ------ (000) UNITED STATES -- (Continued) Prudential Financial, Inc. 3.875%, 01/14/15............................. $ 1,000 $ 1,024,348 6.200%, 01/15/15............................. 2,448 2,544,936 Quest Diagnostics, Inc. 5.450%, 11/01/15............................. 4,000 4,263,368 Qwest Corp. 7.500%, 10/01/14............................. 2,300 2,359,188 Reynolds American, Inc. 1.050%, 10/30/15............................. 4,000 4,007,992 Safeway, Inc. 5.625%, 08/15/14............................. 4,500 4,561,664 Sherwin-Williams Co. (The) 3.125%, 12/15/14............................. 1,048 1,064,345 Southern Power Co. 4.875%, 07/15/15............................. 3,660 3,835,362 Spectra Energy Capital LLC 5.668%, 08/15/14............................. 955 967,956 Starbucks Corp. 0.875%, 12/05/16............................. 1,000 997,725 SunTrust Banks, Inc. 3.600%, 04/15/16............................. 4,000 4,202,588 TD Ameritrade Holding Corp. 4.150%, 12/01/14............................. 2,350 2,399,547 Textron, Inc. 6.200%, 03/15/15............................. 1,500 1,571,165 Thermo Fisher Scientific, Inc. 3.200%, 05/01/15............................. 2,250 2,305,012 2.250%, 08/15/16............................. 2,953 3,035,610 Time Warner Cable, Inc. 3.500%, 02/01/15............................. 4,000 4,081,940 Time Warner, Inc. 5.875%, 11/15/16............................. 1,000 1,118,598 Toyota Motor Credit Corp. 2.000%, 09/15/16............................. 15,819 16,267,943 Union Bank NA 3.000%, 06/06/16............................. 1,000 1,044,055 UnitedHealth Group, Inc. 5.000%, 08/15/14............................. 1,170 1,184,872 1.875%, 11/15/16............................. 1,000 1,023,950 Valero Energy Corp. 4.500%, 02/01/15............................. 900 926,823 Verizon Communications, Inc. 0.700%, 11/02/15............................. 3,000 3,005,145 Walgreen Co. 1.000%, 03/13/15............................. 3,720 3,736,989 Walt Disney Co. (The) 0.875%, 12/01/14............................. 1,500 1,504,547 1.125%, 02/15/17............................. 2,000 2,010,470 WellPoint, Inc. 5.000%, 12/15/14............................. 2,500 2,570,982 5.250%, 01/15/16............................. 3,000 3,221,856 Wells Fargo & Co. 3.750%, 10/01/14............................. 2,300 2,332,577 1.250%, 02/13/15............................. 1,000 1,007,168
151 DFA COMMODITY STRATEGY PORTFOLIO CONTINUED
Face Amount^ Value+ ------- ------ (000) UNITED STATES -- (Continued) 1.500%, 07/01/15............................. $ 2,500 $ 2,527,770 Western Union Co. (The) 5.930%, 10/01/16............................. 2,348 2,591,974 Whirlpool Corp. 1.350%, 03/01/17............................. 2,000 1,999,794 Williams Partners L.P. 3.800%, 02/15/15............................. 2,300 2,355,662 Xerox Corp. 4.250%, 02/15/15............................. 3,500 3,601,892 Yum! Brands, Inc. 4.250%, 09/15/15............................. 2,485 2,601,350 Zimmer Holdings, Inc. 1.400%, 11/30/14............................. 1,000 1,004,458 ------------ TOTAL UNITED STATES.............................. 396,336,589 ------------ TOTAL BONDS...................................... 822,234,992 ------------
Face Amount^ Value+ ------- ------ (000) AGENCY OBLIGATIONS -- (6.8%) Federal National Mortgage Association 0.500%, 03/30/16............................. $ 27,000 $ 27,039,879 1.375%, 11/15/16............................. 30,000 30,503,160 0.750%, 04/20/17............................. 10,000 9,948,320 ------------ TOTAL AGENCY OBLIGATIONS........................... 67,491,359 ------------ U.S. TREASURY OBLIGATIONS -- (10.6%) U.S. Treasury Notes ++^^ 0.375%, 11/15/15............................. 75,000 75,161,100 0.875%, 12/31/16............................. 30,000 30,112,500 ------------ TOTAL U.S. TREASURY OBLIGATIONS.................... 105,273,600 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $988,722,714).............................. $994,999,951 ============
Summary of the Portfolio's investments as of April 30, 2014, 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.............................. -- $ 51,245,670 -- $ 51,245,670 Canada................................. -- 74,182,591 -- 74,182,591 Finland................................ -- 15,533,550 -- 15,533,550 France................................. -- 7,712,550 -- 7,712,550 Germany................................ -- 29,104,982 -- 29,104,982 Japan.................................. -- 13,911,334 -- 13,911,334 Netherlands............................ -- 50,373,355 -- 50,373,355 Supranational Organization Obligations. -- 64,591,958 -- 64,591,958 Sweden................................. -- 47,420,869 -- 47,420,869 Switzerland............................ -- 2,468,150 -- 2,468,150 United Kingdom......................... -- 69,353,394 -- 69,353,394 United States.......................... -- 396,336,589 -- 396,336,589 Agency Obligations....................... -- 67,491,359 -- 67,491,359 U.S. Treasury Obligations................ -- 105,273,600 -- 105,273,600 Swap Agreements**........................ -- (984,679) -- (984,679) Futures Contracts**...................... $2,080,114 -- -- 2,080,114 Forward Currency Contracts**............. -- (1,248,175) -- (1,248,175) ---------- ------------ -- ------------ TOTAL.................................... $2,080,114 $992,767,097 -- $994,847,211 ========== ============ == ============
**Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 152 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES APRIL 30, 2014 (Unaudited) (Amounts in thousands, except share and per share amounts) ASSETS: Investments at Value................................................................... $ 995,000 Temporary Cash......................................................................... 31,914 Foreign Currencies at Value............................................................ 3 Cash................................................................................... 60,813 Receivables: Interest............................................................................. 7,580 Fund Shares Sold..................................................................... 4,131 Unrealized Gain on Swap Contracts...................................................... 1,856 Unrealized Gain on Forward Currency Contracts.......................................... 88 Prepaid Expenses and Other Assets...................................................... 52 ------------ Total Assets...................................................................... 1,101,437 ------------ LIABILITIES: Payables: Investment Securities Purchased...................................................... 15,686 Fund Shares Redeemed................................................................. 292 Due to Advisor....................................................................... 260 Futures Margin Variation............................................................. 461 Unrealized Loss on Swap Contracts...................................................... 2,841 Unrealized Loss on Forward Currency Contracts.......................................... 1,336 Accrued Expenses and Other Liabilities................................................. 28 ------------ Total Liabilities................................................................. 20,904 ------------ NET ASSETS............................................................................. $ 1,080,533 ============ SHARES OUTSTANDING, $0.01 PAR VALUE (1)................................................ 116,897,142 ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE............................... $ 9.24 ============ Investments at Cost.................................................................... $ 988,723 ============ Foreign Currencies at Cost............................................................. $ 3 ============ NET ASSETS CONSIST OF: Paid-In Capital........................................................................ $ 979,846 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income). 1,470 Accumulated Net Realized Gain (Loss)................................................... 93,054 Net Unrealized Foreign Exchange Gain (Loss)............................................ (1,209) Net Unrealized Appreciation (Depreciation)............................................. 7,372 ------------ NET ASSETS............................................................................. $ 1,080,533 ============ (1) NUMBER OF SHARES AUTHORIZED........................................................ 300,000,000 ============
See accompanying Notes to Financial Statements. 153 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2014 (Unaudited) (Amounts in thousands) Investment Income Interest........................................................................................ $ 4,382 -------- Total Investment Income...................................................................... 4,382 -------- Expenses Investment Advisory Services Fees............................................................... 1,639 Accounting & Transfer Agent Fees................................................................ 27 Custodian Fees.................................................................................. 12 Filing Fees..................................................................................... 46 Shareholders' Reports........................................................................... 17 Directors'/Trustees' Fees & Expenses............................................................ 5 Professional Fees............................................................................... 18 Other........................................................................................... 5 -------- Total Expenses............................................................................... 1,769 -------- Fees (Waived), Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note D). (305) Fees Paid Indirectly............................................................................ (4) -------- Net Expenses.................................................................................... 1,460 -------- Net Investment Income (Loss).................................................................... 2,922 -------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold.................................................................... 1,752 Futures....................................................................................... 4,295 Swap Contracts................................................................................ 91,609 Foreign Currency Transactions................................................................. (4,519) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................................................... 3,495 Futures....................................................................................... 2,648 Swap Contracts................................................................................ 4,601 Translation of Foreign Currency Denominated Amounts........................................... (435) -------- Net Realized and Unrealized Gain (Loss)......................................................... 103,446 -------- Net Increase (Decrease) in Net Assets Resulting from Operations................................... $106,368 ========
See accompanying Notes to Financial Statements. 154 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
Six Months Year Ended Ended April 30, Oct. 31, 2014 2013 ----------- --------- (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)......................................................... $ 2,922 $ 4,128 Net Realized Gain (Loss) on: Investment Securities Sold......................................................... 1,752 952 Futures............................................................................ 4,295 (1,683) Swap Contracts..................................................................... 91,609 (68,369) Foreign Currency Transactions...................................................... (4,519) (1,229) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency......................................... 3,495 75 Futures............................................................................ 2,648 (717) Swap Contracts..................................................................... 4,601 (6,861) Translation of Foreign Currency Denominated Amounts................................ (435) 715 ---------- --------- Net Increase (Decrease) in Net Assets Resulting from Operations................... 106,368 (72,989) ---------- --------- Distributions From: Net Investment Income: Institutional Class Shares......................................................... (2,952) (2,493) Net Short-Term Gains: Institutional Class Shares......................................................... (379) (472) Net Long-Term Gains: Institutional Class Shares......................................................... (474) (472) ---------- --------- Total Distributions............................................................... (3,805) (3,437) ---------- --------- Capital Share Transactions (1): Shares Issued........................................................................ 382,881 552,864 Shares Issued in Lieu of Cash Distributions.......................................... 3,737 3,267 Shares Redeemed...................................................................... (194,962) (151,470) ---------- --------- Net Increase (Decrease) from Capital Share Transactions........................... 191,656 404,661 ---------- --------- Total Increase (Decrease) in Net Assets........................................... 294,219 328,235 Net Assets Beginning of Period.................................................................. 786,314 458,079 ---------- --------- End of Period........................................................................ $1,080,533 $ 786,314 ========== ========= (1) Shares Issued and Redeemed: Shares Issued........................................................................ 44,947 63,019 Shares Issued in Lieu of Cash Distributions.......................................... 435 366 Shares Redeemed...................................................................... (23,182) (17,417) ---------- --------- Net Increase (Decrease) from Shares Issued and Redeemed........................... 22,200 45,968 ========== ========= Undistributed Net Investment Income (Distributions in Excess of Net Investment Income). $ 1,470 $ 1,500
See accompanying Notes to Financial Statements. 155 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
Six Months Year Year Ended Ended Ended April 30, Oct. 31, Oct. 31, 2014 2013 2012 ---------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period.................................................. $ 8.30 $ 9.40 $ 9.77 ---------- -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A).................................................... 0.03 0.06 0.07 Net Gains (Losses) on Securities (Realized and Unrealized).......................... 0.95 (1.10) (0.37) ---------- -------- -------- Total from Investment Operations................................................... 0.98 (1.04) (0.30) ---------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income............................................................... (0.03) (0.04) (0.06) Net Realized Gains.................................................................. (0.01) (0.02) (0.01) ---------- -------- -------- Total Distributions................................................................ (0.04) (0.06) (0.07) ---------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period........................................................ $ 9.24 $ 8.30 $ 9.40 ====================================================================================== =========== ======== ======== Total Return.......................................................................... 11.82%(D) (11.15)% (3.08)% ---------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)................................................. $1,080,533 $786,314 $458,079 Ratio of Expenses to Average Net Assets............................................... 0.33%(E) 0.34% 0.35% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly).................. 0.40%(E) 0.40% 0.41% Ratio of Net Investment Income to Average Net Assets.................................. 0.66%(E) 0.66% 0.79% Portfolio Turnover Rate............................................................... 39%(D) 64% 69% ----------------------------------------------------------------------------------------------------------------------------
Period Nov. 9, 2010(a) to Oct. 31, 2011 ---------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period.................................................. $ 10.00 -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A).................................................... 0.07 Net Gains (Losses) on Securities (Realized and Unrealized).......................... (0.27) -------- Total from Investment Operations................................................... (0.20) ---------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income............................................................... (0.03) Net Realized Gains.................................................................. -- -------- Total Distributions................................................................ (0.03) ---------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period........................................................ $ 9.77 ====================================================================================== ================ Total Return.......................................................................... (2.02)%(D) ---------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)................................................. $230,781 Ratio of Expenses to Average Net Assets............................................... 0.47%(C)(E) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly).................. 0.53%(C)(E) Ratio of Net Investment Income to Average Net Assets.................................. 0.64%(C)(E) Portfolio Turnover Rate............................................................... 50%(D) ----------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 156 DFA INVESTMENT DIMENSIONS GROUP INC. CONSOLIDATED 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, 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 seventy-seven 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 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 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. 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/Trustees. These valuations 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 contracts generally are valued at a price at which the counterparties to such contracts would repurchase the instrument or terminate the contracts. These valuations are 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. 157 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, 2014, 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/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 Directors/Trustees may defer payment of all or a portion of their total fees earned as a Director/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 Director/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 Director/Trustee shall have the right in a notice of election (the "Notice") to defer the receipt of the Director's/Trustee's deferred compensation until a date specified by such Director/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 Director/Trustee ceases to be a member of the Board; and (ii) five years following the effective date of the Director's/Trustee's first deferral election. If a Director/Trustee who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Director's/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 Director/Trustee ceases to be a member of the Board (unless the Director/Trustee files an amended Notice selecting a different distribution date). As of April 30, 2014, none of the Directors/Trustees 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 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 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. 158 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 M 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, 2014, the Portfolio held $234,587,322 in the Subsidiary, representing 21.30% 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. The accompanying consolidated financial statements include the accounts of the Subsidiary. Intercompany balances and transactions have been eliminated in consolidation. D. Investment Advisor: The Advisor, Dimensional Fund Advisors LP, provides investment advisory services to the Portfolio. For the six months ended April 30, 2014, the investment advisory services 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 its investment in unaffiliated investment companies and excluding any applicable 12b-1 fees) ("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 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, 2015, 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, 2014, there were no previously waived fees subjected 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, 2014, approximately $305 (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 the accompanying financial statements is presented before reduction for credits. During the six months ended April 30, 2014, expenses reduced were as follows (amounts in thousands):
Fees Paid Indirectly ---------- DFA Commodity Strategy Portfolio. $4
159 Fees Paid to Officers and Directors/Trustees: Certain Officers and Directors/Trustees of the Advisor are also Officers and Directors/Trustees of the Fund; however, such Officers and Directors/Trustees (with the exception of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund. For the six months ended April 30, 2014, the total related amounts paid by the Fund to the CCO were $130 (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, 2014, 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. $7
F. Purchases and Sales of Securities: For the six months ended April 30, 2014, the Portfolio made the following purchases and sales of investment securities, other than short-term securities (amounts in thousands):
U.S. Government Other Investment Securities Securities ------------------ ------------------ Purchases Sales Purchases Sales --------- -------- --------- -------- DFA Commodity Strategy Portfolio. $140,824 $189,777 $430,523 $144,111
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, 2013, 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 bank income/loss from controlled foreign corporation and net foreign currency gains/losses, were reclassified to the following accounts. These reclassifications had no effect on net assets or net asset value per share (amounts in thousands):
Increase Increase (Decrease) (Decrease) Increase Undistributed Accumulated (Decrease) Net Investment Net Realized Paid-In Capital Income Gains (Losses) --------------- -------------- -------------- DFA Commodity Strategy Portfolio. $(69,244) $(1,951) $71,195
The tax character of dividends and distributions declared and paid during the years ended October 31, 2012 and October 31, 2013 were as follows (amounts in thousands):
Net Investment Income and Short-Term Long-Term Capital Gains Capital Gains Total -------------- ------------- ------ DFA Commodity Strategy Portfolio 2012............................. $2,410 $ 37 $2,447 2013............................. 2,965 472 3,437
160 At October 31, 2013, the components of distributable earnings (accumulated losses) were as follows (amounts in thousands):
Undistributed Total Net Net Investment Distributable Income and Undistributed Unrealized Earnings Short-Term Long-Term Appreciation (Accumulated Capital Gains Capital Gains (Depreciation) Losses) -------------- ------------- -------------- ------------- DFA Commodity Strategy Portfolio. $1,150 $451 $(3,362) $(1,761)
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, 2013, the Portfolio did not have any capital loss carryforwards. At April 30, 2014, the total cost and aggregate gross unrealized appreciation (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes, as follows (amounts in thousands):
Net Unrealized Federal Unrealized Unrealized Appreciation Tax Cost Appreciation Depreciation (Depreciation) -------- ------------ ------------ -------------- DFA Commodity Strategy Portfolio. $988,723 $7,163 $(886) $6,277
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. 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. 161 2. Forward Currency Contracts: The Portfolio may enter into 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. At April 30, 2014, the 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): DFA Commodity Strategy Portfolio*
Unrealized Foreign Settlement Currency Contract Value at Exchange Date Amount** Currency Amount April 30, 2014 Gain (Loss) ---------- -------- ------------------ --------- -------------- ----------- 05/22/14 (7,148) Canadian Dollar $ (6,490) $ (6,518) $ (28) 06/09/14 (12,144) Euro (16,724) (16,846) (122) 05/13/14 (14,127) New Zealand Dollar (12,259) (12,171) 88 05/08/14 (89,475) UK Pound Sterling (149,876) (151,062) (1,186) --------- --------- ------- $(185,349) $(186,597) $(1,248) ========= ========= =======
* During the six months ended April 30, 2014, the Portfolio's average contract amount of forward currency contracts was $159,130 (in thousands): **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. 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, 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) or, in some instances, must be transacted through an futures commission merchant ("FCM") and cleared through a clearinghouse that serves as a central counterparty (for a cleared swap). 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 162 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. Because uncleared swaps are two-party contracts and may have terms of greater than seven days, these swap agreements may be considered to be illiquid. In addition, because uncleared swaps are not traded on exchanges, the 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 beyond any collateral received. The types of swap agreements in which the Portfolio invests do not involve the delivery of securities, other underlying assets, or principal. Accordingly, the risk of loss is limited to the net amount of interest payments that the Portfolio is contractually obligated to make or receive. Central clearing is designed to reduce counterparty credit risk and increase liquidity compared to uncleared swaps because central clearing interposes the central clearinghouse as the counterparty to each participant's swap, but it does not eliminate those risks completely. Among other risks, there is 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 in a swap contract. 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 Commodity Futures Trading Commission ("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 (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 163 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 would be 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. At April 30, 2014, the Subsidiary had the following outstanding commodity-linked futures contracts (dollar amounts in thousands):
Expiration Number of Contract Unrealized Description Date Contracts* Amount Gain (Loss) ----------- ---------- ---------- -------- ----------- Brent Crude Oil Futures. 08/14/14 39 $4,146 $(45) CBT Wheat Futures....... 07/14/14 72 2,597 91 Coffee 'C' Futures...... 07/21/14 34 2,625 278 Copper Futures.......... 07/29/14 58 4,390 39 Corn Futures............ 07/14/14 242 6,280 276 Cotton No.2 Futures..... 07/09/14 24 1,131 1 Gasoline RBOB Futures... 06/30/14 21 2,583 51 Gold 100 oz Futures..... 08/27/14 61 7,905 72
164
Expiration Number of Contract Unrealized Description Date Contracts* Amount Gain (Loss) ----------- ---------- ---------- -------- ----------- KCB Wheat Futures.......... 07/14/14 24 975 54 LME Nickel Futures......... 07/16/14 16 1,760 199 LME Prime Aluminum Futures. 07/14/14 69 3,095 3 LME Zinc Futures........... 07/14/14 29 1,482 31 Lean Hogs Futures.......... 07/15/14 35 1,714 1 Live Cattle Futures........ 08/29/14 39 2,123 39 NY Harbor ULSD Futures..... 06/30/14 20 2,456 2 Natural Gas Futures........ 06/26/14 153 7,410 514 Silver Futures............. 07/29/14 27 2,588 (108) Soybean Futures............ 07/14/14 160 12,101 395 Soybean Meal Futures....... 07/14/14 42 2,074 161 Soybean Oil Futures........ 07/14/14 81 2,047 34 Sugar #11 Futures.......... 06/30/14 143 2,838 (11) WTI Crude Futures.......... 06/20/14 59 5,847 3 ------- ------ $80,167 $2,080 ======= ======
The Subsidiary's securities have been segregated as collateral for open futures contracts. * During the six months ended April 30, 2014 the Subsidiary's average notional contract amount of outstanding futures contracts was $51,214 (in thousands). At April 30, 2014, the Subsidiary had the following outstanding commodity total return swaps, which are typically on custom commodity indices that include exposure to various precious metal, energy and agricultural commodities (dollar amounts in thousands):
Unrealized Commodity Expiration Notional Appreciation Counterparty Exposure Date Amount* (Depreciation) ------------ ----------- ---------- --------- -------------- Citibank, N.A................... Index** 06/30/14 USD $(248,143) $ (33) Citibank, N.A................... Natural Gas 07/02/14 USD 66,808 (994) Citibank, N.A................... Natural Gas 09/02/14 USD (66,402) 979 Credit Suisse................... Corn 05/30/14 USD (38,583) 244 Credit Suisse................... Corn 05/30/14 USD (11,958) 135 Credit Suisse................... Index** 05/30/14 USD (229,756) (31) Credit Suisse................... Corn 05/30/14 USD 12,113 (214) Credit Suisse................... Corn 05/30/14 USD 38,888 (686) Deutsche Bank AG, London Branch. Soybean 05/30/14 USD (33,784) 498 Deutsche Bank AG, London Branch. Index** 05/30/14 USD (276,178) (37) Deutsche Bank AG, London Branch. Soybean 05/30/14 USD 40,782 (814) UBS AG.......................... Index** 07/31/14 USD (240,093) (32) --------- ----- $(986,306) $(985) ========= =====
The Portfolio received cash collateral of $7,300 (in thousands) and securities with a market value of $11,592 (in thousands) for swap contracts. * During the six months ended April 30, 2014 the Subsidiary's average notional value of outstanding swap contracts was $1,003,468 (in thousands). **Swap is exposed to the 22 commodities in the Dow Jones-UBS Commodity Index. 165 The following is a summary of the location of derivatives on the Portfolio's Statement of Assets and Liabilities as of April 30, 2014: Location on the Statement of Assets and Liabilities --------------------------------------------------- Derivative Type Asset Derivatives Liability Derivatives --------------- ------------------------ ------------------------ Commodity Contracts Payables: Futures Margin Variation Foreign Exchange Unrealized Gain on Unrealized Loss on Contracts Forward Currency Forward Currency Contracts Contracts Other Contracts Unrealized Gain on Swap Unrealized Loss on Swap Contracts Contracts The following is a summary of the Portfolio's derivative instrument holdings categorized by primary risk exposure as of April 30, 2014 (amounts in thousands):
Asset Derivatives Value ------------------------------------------- Total Value Foreign at Exchange Commodity Swap April 30, 2014 Contracts Contracts Contracts - -------------- --------- --------- --------- Dimensional Cayman Commodity Fund I, LTD.. 4,188 88 2,244* 1,856 Liability Derivatives Value ------------------------------------------- Total Value Foreign at Exchange Commodity Swap April 30, 2014 Contracts Contracts Contracts - -------------- --------- --------- --------- Dimensional Cayman Commodity Fund I, LTD.. (4,341) (1,336) (164)* (2,841)
* Includes cumulative appreciation (depreciation) of futures contracts. Only current day's margin variation is reporting within the Statement of Assets and Liabilities. 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, 2014:
Derivative Type Location of Gain (Loss) on Derivatives Recognized in Income --------------- ----------------------------------------------------------- Commodity Contracts Net Realized Gain (Loss) on: Futures Change in Unrealized Appreciation (Depreciation) of: Futures Foreign Exchange Contracts Net Realized Gain (Loss) on: Foreign Currency Transactions Change in Unrealized Appreciation (Depreciation) of: Translation of Foreign Currency Denominated Amounts Other Contracts Net Realized Gain (Loss) on: Swap Contracts Change in Unrealized Appreciation (Depreciation) of: Swap Contracts
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, 2014 (amounts in thousands):
Realized Gain (Loss) on Derivatives Recognized in Income ------------------------------------ Foreign Exchange Commodity Swap Total Contracts Contracts Contracts ------ --------- --------- --------- Dimensional Cayman Commodity Fund I, LTD.. 91,460 (4,444) 4,295 91,609
166
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income ----------------------------------- Foreign Exchange Commodity Swap Total Contracts Contracts Contracts ----- --------- --------- --------- Dimensional Cayman Commodity Fund I, LTD.. 6,786 (463) 2,648 4,601
Offsetting of Derivative Assets and Derivative Liabilities The following tables present 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, 2014 (Amounts in thousands):
Gross Amounts Not Offset in the Consolidated Statement of Assets and Liabilities ----------------------- Net Amounts of Assets Presented in Gross the Consolidated Gross Amounts of Statement of Cash Amounts of Recognized Assets and Financial Collateral Net Recognized Description Assets (a) Liabilities Instruments (b) Received Amount (c) - Liabilities (a) ------------------------------------------------------------------------------------------ ---------------- Assets ------------------------------------------------------------------ --------------- DFA Commodity Strategy Portfolio Forward Currency Contracts........... $ 88 $ 88 -- -- $88 $1,336 Swap Contracts....... 1,856 1,856 $(1,856)(f) --(f) -- 2,841
Gross Amounts Not Offset in the Consolidated Statement of Assets and Liabilities -------------------------- Net Amounts of Liabilities Presented in the Consolidated Statement of Cash Assets and Financial Collateral Net Description Liabilities Instruments (d) Pledged Amount (e) ------------------------------------------------------------------------------ Liabilities ------------------------------------------------------- DFA Commodity Strategy Portfolio Forward Currency Contracts........... $1,336 -- -- $1,336 Swap Contracts....... 2,841 $(2,841)(f) -- --
(a)No amounts have been netted against the gross amounts recognized in the Statement 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 Consolidated Statement 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 Consolidated Statement of Assets and Liabilities. (e)Represents the net amount due to counterparties in the event of default. (f)The actual collateral received is greater than the amount shown here due to overcollateralization. I. Line of Credit: The Fund, together with other Dimensional-advised portfolios, has entered into a $500 million unsecured discretionary line of credit effective March 4, 2013 with its domestic custodian bank. 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 was scheduled to expire on March 3, 2014, however, effective March 3, 2014, the term was extended until March 2, 2015. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit effective January 10, 2014 with its international custodian bank. 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 9, 2015. There were no borrowings by the Portfolio under the lines of credit during the six months ended April 30, 2014. 167 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 which 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. Other: At April 30, 2014, three shareholders held 84% of 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. L. Subsequent Event Evaluations: Management has evaluated the impact of all subsequent events on the Portfolio and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements. 168 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, 2014 EXPENSE TABLES Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 11/01/13 04/30/14 Ratio* Period* --------- --------- ---------- -------- DFA International Value Portfolio** ----------------------------------- Actual Fund Return Class R2 Shares.................... $1,000.00 $1,052.50 0.68% $3.46 Institutional Class Shares......... $1,000.00 $1,053.80 0.43% $2.19 Hypothetical 5% Annual Return Class R2 Shares.................... $1,000.00 $1,021.42 0.68% $3.41 Institutional Class Shares......... $1,000.00 $1,022.66 0.43% $2.16
169 DISCLOSURE OF FUND EXPENSES CONTINUED
Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 11/01/13 04/30/14 Ratio* Period* --------- --------- ---------- -------- U.S. Large Company Portfolio ---------------------------- Actual Fund Return............ $1,000.00 $1,083.40 0.08% $0.41 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 indirect payment of the Feeder Fund's portion of the expenses of its Master Fund (Affiliated Investment Company). 170 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 31, 2014. It is 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 amendments 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....................... 11.8% Consumer Staples............................. 9.9% Energy....................................... 10.6% Financials................................... 13.9% Health Care.................................. 13.2% Industrials.................................. 10.7% Information Technology....................... 18.5% Materials.................................... 3.5% Real Estate Investment Trusts................ 2.2% Telecommunication Services................... 2.5% Utilities.................................... 3.2% ----- 100.0%
171 DFA INTERNATIONAL VALUE PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2014 (Unaudited)
Value+ -------------- AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The DFA International Value Series of The DFA Investment Trust Company..................... $7,124,146,659 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $5,792,632,219)............................. $7,124,146,659 ==============
Summary of the Portfolio's Master Fund's investments as of April 30, 2014, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 172 U.S. LARGE COMPANY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2014 (Unaudited)
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (96.6%) Consumer Discretionary -- (11.4%) * Amazon.com, Inc.................... 115,310 $ 35,069,230 0.7% Comcast Corp. Class A.............. 807,950 41,819,492 0.8% Home Depot, Inc. (The)............. 436,507 34,706,672 0.7% McDonald's Corp.................... 306,833 31,106,730 0.6% Walt Disney Co. (The).............. 505,068 40,072,095 0.8% Other Securities................... 433,654,316 8.1% ------------ ----- Total Consumer Discretionary........... 616,428,535 11.7% ------------ ----- Consumer Staples -- (9.5%) Altria Group, Inc.................. 617,723 24,776,870 0.5% Coca-Cola Co. (The)................ 1,174,494 47,907,610 0.9% CVS Caremark Corp.................. 366,516 26,653,044 0.5% PepsiCo, Inc....................... 471,917 40,532,951 0.8% Philip Morris International, Inc... 491,361 41,976,970 0.8% Procter & Gamble Co. (The)......... 840,453 69,379,395 1.3% Wal-Mart Stores, Inc............... 501,495 39,974,166 0.7% Other Securities................... 222,247,299 4.2% ------------ ----- Total Consumer Staples................. 513,448,305 9.7% ------------ ----- Energy -- (10.2%) Chevron Corp....................... 591,771 74,279,096 1.4% ConocoPhillips..................... 380,055 28,241,887 0.5% Exxon Mobil Corp................... 1,339,451 137,173,177 2.6% Occidental Petroleum Corp.......... 246,347 23,587,725 0.4% Schlumberger, Ltd.................. 405,232 41,151,310 0.8% Other Securities................... 247,777,364 4.8% ------------ ----- Total Energy........................... 552,210,559 10.5% ------------ ----- Financials -- (13.4%) American Express Co................ 283,252 24,764,722 0.5% American International Group, Inc.. 453,816 24,111,244 0.5% Bank of America Corp............... 3,275,795 49,595,536 0.9% * Berkshire Hathaway, Inc. Class B... 558,002 71,898,558 1.4% Citigroup, Inc..................... 941,208 45,093,275 0.9% JPMorgan Chase & Co................ 1,173,799 65,709,268 1.2% Wells Fargo & Co................... 1,484,218 73,676,582 1.4% Other Securities................... 369,599,648 6.9% ------------ ----- Total Financials....................... 724,448,833 13.7% ------------ ----- Health Care -- (12.8%) AbbVie, Inc........................ 492,392 25,643,775 0.5% Amgen, Inc......................... 234,029 26,152,741 0.5% Bristol-Myers Squibb Co............ 509,604 25,526,064 0.5% * Gilead Sciences, Inc............... 476,811 37,424,895 0.7% Johnson & Johnson.................. 876,872 88,818,365 1.7% Merck & Co., Inc................... 911,502 53,377,557 1.0% Pfizer, Inc........................ 1,978,510 61,887,793 1.2% Other Securities................... 369,084,402 6.9% ------------ ----- Total Health Care...................... 687,915,592 13.0% ------------ -----
173 U.S. LARGE COMPANY PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Industrials -- (10.4%) 3M Co.............................................. 195,143 $ 27,142,440 0.5% Boeing Co. (The)................................... 211,998 27,351,982 0.5% General Electric Co................................ 3,109,960 83,626,824 1.6% Union Pacific Corp................................. 141,054 26,860,913 0.5% United Technologies Corp........................... 260,999 30,884,012 0.6% Other Securities................................... 363,864,275 6.9% -------------- ------ Total Industrials........................................ 559,730,446 10.6% -------------- ------ Information Technology -- (17.9%) Apple, Inc......................................... 276,489 163,153,394 3.1% Cisco Systems, Inc................................. 1,596,738 36,900,615 0.7% * Facebook, Inc. Class A............................. 529,529 31,655,244 0.6% * Google, Inc. Class A............................... 87,499 46,801,465 0.9% * Google, Inc. Class C............................... 87,499 46,082,223 0.9% Intel Corp......................................... 1,541,166 41,133,721 0.8% International Business Machines Corp............... 303,417 59,612,338 1.1% MasterCard, Inc. Class A........................... 316,300 23,263,865 0.4% Microsoft Corp..................................... 2,341,401 94,592,600 1.8% Oracle Corp........................................ 1,073,425 43,881,614 0.8% QUALCOMM, Inc...................................... 524,183 41,258,444 0.8% Visa, Inc. Class A................................. 157,121 31,834,286 0.6% Other Securities................................... 305,937,266 5.8% -------------- ------ Total Information Technology............................. 966,107,075 18.3% -------------- ------ Materials -- (3.4%) Other Securities................................... 182,878,835 3.5% -------------- ------ Real Estate Investment Trusts -- (2.1%) Other Securities................................... 115,836,157 2.2% -------------- ------ Telecommunication Services -- (2.4%) AT&T, Inc.......................................... 1,613,962 57,618,443 1.1% Verizon Communications, Inc........................ 1,283,626 59,983,843 1.2% Other Securities................................... 9,773,159 0.1% -------------- ------ Total Telecommunication Services......................... 127,375,445 2.4% -------------- ------ Utilities -- (3.1%) Other Securities................................... 165,559,104 3.1% -------------- ------ TOTAL COMMON STOCKS...................................... 5,211,938,886 98.7% -------------- ------ TEMPORARY CASH INVESTMENTS -- (1.1%) State Street Institutional Liquid Reserves, 0.074%. 61,231,350 61,231,350 1.2% -------------- ------ Shares/ Face Amount ------- (000) SECURITIES LENDING COLLATERAL -- (2.3%) (S)@ DFA Short Term Investment Fund..................... 10,498,920 121,472,506 2.3% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $2,765,040,167)................................ $5,394,642,742 102.2% ============== ======
174 U.S. LARGE COMPANY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, 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........ $ 616,428,535 -- -- $ 616,428,535 Consumer Staples.............. 513,448,305 -- -- 513,448,305 Energy........................ 552,210,559 -- -- 552,210,559 Financials.................... 724,448,833 -- -- 724,448,833 Health Care................... 687,915,592 -- -- 687,915,592 Industrials................... 559,730,446 -- -- 559,730,446 Information Technology........ 966,107,075 -- -- 966,107,075 Materials..................... 182,878,835 -- -- 182,878,835 Real Estate Investment Trusts. 115,836,157 -- -- 115,836,157 Telecommunication Services.... 127,375,445 -- -- 127,375,445 Utilities..................... 165,559,104 -- -- 165,559,104 Temporary Cash Investments...... 61,231,350 -- -- 61,231,350 Securities Lending Collateral... -- $121,472,506 -- 121,472,506 Futures Contracts**............. 591,423 -- -- 591,423 -------------- ------------ -- -------------- TOTAL........................... $5,273,761,659 $121,472,506 -- $5,395,234,165 ============== ============ == ==============
**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. 175 DIMENSIONAL INVESTMENT GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2014 (Unaudited) (Amounts in thousands, except share and per share amounts)
DFA U.S. Large International Company Value Portfolio Portfolio --------------- ------------ ASSETS: Investments in Affiliated Investment Company at Value..................................... $ 7,124,147 $ -- Investments at Value (including $0 and $119,833 of securities on loan, respectively)...... $ -- $ 5,211,939 Temporary Cash Investments at Value & Cost................................................ -- 61,231 Collateral from Securities on Loan Invested in Affiliate at Value & Cost.................. -- 121,473 Segregated Cash for Futures Contracts..................................................... -- 2,898 Receivables: Dividends, Interest and Tax Reclaims.................................................... -- 4,830 Securities Lending Income............................................................... -- 20 Fund Shares Sold........................................................................ 12,953 4,910 Futures Margin Variation................................................................ -- 214 Prepaid Expenses and Other Assets......................................................... 67 49 -------------- ------------ Total Assets......................................................................... 7,137,167 5,407,564 -------------- ------------ LIABILITIES: Payables: Upon Return of Securities Loaned........................................................ -- 121,473 Investment Securities Purchased......................................................... -- 1,550 Fund Shares Redeemed.................................................................... 2,655 2,873 Due to Advisor.......................................................................... 1,150 242 Accrued Expenses and Other Liabilities.................................................... 273 583 -------------- ------------ Total Liabilities.................................................................... 4,078 126,721 -------------- ------------ NET ASSETS................................................................................ $ 7,133,089 $ 5,280,843 ============== ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Class R2 Shares -- based on net assets of $11,702 and $0 and shares outstanding of 583,059 and 0, respectively.............................................................. $ 20.07 $ N/A ============== ============ NUMBER OF SHARES AUTHORIZED............................................................... 100,000,000 N/A ============== ============ Institutional Class Shares -- based on net assets of $7,121,387 and $5,280,843 and shares outstanding of 355,005,317 and 354,982,901, respectively................................. $ 20.06 $ 14.88 ============== ============ NUMBER OF SHARES AUTHORIZED............................................................... 1,500,000,000 900,000,000 ============== ============ Investments in Affiliated Investment Companies at Cost.................................... $ 5,792,632 $ -- -------------- ------------ Investments at Cost....................................................................... $ -- $ 2,582,337 ============== ============ NET ASSETS CONSIST OF: Paid-In Capital........................................................................... $ 6,259,382 $ 2,983,253 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).... 60,195 13,361 Accumulated Net Realized Gain (Loss)...................................................... (518,400) (345,964) Net Unrealized Foreign Exchange Gain (Loss)............................................... 397 -- Net Unrealized Appreciation (Depreciation)................................................ 1,331,515 2,630,193 -------------- ------------ NET ASSETS................................................................................ $ 7,133,089 $ 5,280,843 ============== ============
See accompanying Notes to Financial Statements. 176 DIMENSIONAL INVESTMENT GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2014 (Unaudited) (Amounts in thousands)
DFA International U.S. Large Value Company Portfolio* Portfolio ------------- ---------- Investment Income Net Investment Income Allocated from Affiliated Investment Companies: Dividends (Net of Foreign Taxes Withheld of $8,558 and $0, respectively)........ $201,665 $ -- Interest........................................................................ 1 -- Income from Securities Lending.................................................. 4,138 -- Expenses Allocated from Affiliated Investment Company........................... (7,284) -- -------- -------- Total Net Investment Income Received from Affiliated Investment Companies.... 198,520 -- -------- -------- Fund Investment Income Dividends (Net of Foreign Taxes Withheld of $0 and $4, respectively)............ $ -- $ 52,445 Interest........................................................................ -- 2 Income from Securities Lending.................................................. -- 120 -------- -------- Total Investment Income...................................................... -- 52,567 -------- -------- Expenses Investment Advisory Services Fees............................................... -- 634 Administrative Services Fees.................................................... 6,682 887 Accounting & Transfer Agent Fees................................................ 32 148 S&P 500(R) Fees................................................................. -- 51 Shareholder Servicing Fees -- Class R2 Shares................................... 8 -- Custodian Fees.................................................................. -- 31 Filing Fees..................................................................... 63 41 Shareholders' Reports........................................................... 65 45 Directors'/Trustees' Fees & Expenses............................................ 44 35 Professional Fees............................................................... 22 111 Other........................................................................... 24 25 -------- -------- Total Expenses............................................................... 6,940 2,008 -------- -------- Net Expenses.................................................................... 6,940 2,008 -------- -------- Net Investment Income (Loss).................................................... 191,580 50,559 -------- -------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold**.................................................. 93,970 45,964 Futures....................................................................... -- 7,403 Foreign Currency Transactions................................................. 262 -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................................... 74,672 305,650 Futures....................................................................... (25) (1,675) Translation of Foreign Currency Denominated Amounts........................... 49 -- -------- -------- Net Realized and Unrealized Gain (Loss)......................................... 168,928 357,342 -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations................... $360,508 $407,901 ======== ========
---------- * 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 $6 and $0, respectively. See accompanying Notes to Financial Statements. 177 DIMENSIONAL INVESTMENT GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
DFA International Value U.S. Large Company Portfolio Portfolio ----------------------- ---------------------- Six Months Year Six Months Year Ended Ended Ended Ended April 30, Oct. 31, April 30, Oct. 31, 2014 2013 2014 2013 ----------- ----------- ----------- ---------- (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)................................... $ 191,580 $ 177,660 $ 50,559 $ 95,270 Capital Gain Distributions Received from Investment Securities. -- -- -- 409 Net Realized Gain (Loss) on: Investment Securities Sold*.................................. 93,970 296,792 45,964 180,412 Futures...................................................... -- (1,213) 7,403 8,021 Foreign Currency Transactions................................ 262 (1,636) -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency................... 74,672 993,902 305,650 780,086 Futures...................................................... (25) 27 (1,675) 2,321 Translation of Foreign Currency Denominated Amounts.......... 49 396 -- -- ---------- ----------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations................................................. 360,508 1,465,928 407,901 1,066,519 ---------- ----------- ---------- ---------- Distributions From: Net Investment Income: Class R2 Shares.............................................. (119) (218) -- -- Institutional Class Shares................................... (145,688) (189,040) (49,877) (94,840) ---------- ----------- ---------- ---------- Total Distributions......................................... (145,807) (189,258) (49,877) (94,840) ---------- ----------- ---------- ---------- Capital Share Transactions (1): Shares Issued.................................................. 812,590 1,466,636 370,836 774,924 Shares Issued in Lieu of Cash Distributions.................... 141,263 178,512 43,658 82,335 Shares Redeemed................................................ (563,337) (1,881,241) (409,011) (948,938) ---------- ----------- ---------- ---------- Net Increase (Decrease) from Capital Share Transactions..... 390,516 (236,093) 5,483 (91,679) ---------- ----------- ---------- ---------- Total Increase (Decrease) in Net Assets..................... 605,217 1,040,577 363,507 880,000 Net Assets Beginning of Period............................................ 6,527,872 5,487,295 4,917,336 4,037,336 ---------- ----------- ---------- ---------- End of Period.................................................. $7,133,089 $ 6,527,872 $5,280,843 $4,917,336 ========== =========== ========== ========== (1) Shares Issued and Redeemed: Shares Issued.................................................. 41,533 83,922 25,748 62,326 Shares Issued in Lieu of Cash Distributions.................... 7,230 10,436 3,057 6,727 Shares Redeemed................................................ (28,832) (107,838) (28,360) (76,529) ---------- ----------- ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed................................................... 19,931 (13,480) 445 (7,476) ========== =========== ========== ========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)....................................... $ 60,195 $ 14,422 $ 13,361 $ 12,679
---------- * Net of foreign capital gain taxes withheld of $6, $2, $0 and $0, respectively. See accompanying Notes to Financial Statements. 178 DIMENSIONAL INVESTMENT GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
DFA International Value Portfolio-Class R2 Shares+ ---------------------------------------------------------- Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 2009 --------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period.............. $ 19.46 $15.72 $15.83 $17.82 $17.13 $13.58 ------- ------ ------ ------ ------ ------ Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................ 0.55 0.49 0.51 0.53 0.37 0.42 Net Gains (Losses) on Securities (Realized and Unrealized).................................... 0.46 3.77 (0.13) (2.00) 1.29 4.10 ------- ------ ------ ------ ------ ------ Total from Investment Operations............... 1.01 4.26 0.38 (1.47) 1.66 4.52 --------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income........................... (0.40) (0.52) (0.49) (0.52) (0.97) (0.97) ------- ------ ------ ------ ------ ------ Total Distributions............................ (0.40) (0.52) (0.49) (0.52) (0.97) (0.97) --------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period.................... $ 20.07 $19.46 $15.72 $15.83 $17.82 $17.13 ================================================= =========== ======== ======== ======== ======== ======== Total Return...................................... 5.25%(D) 27.61% 2.70% (8.53)% 10.60% 34.86% --------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)............. $11,702 $5,517 $6,407 $6,102 $4,952 $3,443 Ratio of Expenses to Average Net Assets (B)....... 0.68%(E) 0.69% 0.71% 0.71% 0.72% 0.74% Ratio of Net Investment Income to Average Net Assets........................................... 5.65%(E) 2.84% 3.33% 2.97% 2.11% 2.96% ---------------------------------------------------------------------------------------------------------------
DFA International Value Portfolio-Institutional Class Shares -------------------------------------------------------------------------- Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 2009 ------------------------------------------------------------------------------------------------------------------------------ (Unaudited) Net Asset Value, Beginning of Period.............. $ 19.45 $ 15.72 $ 15.83 $ 17.81 $ 16.46 $ 12.54 ---------- ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................ 0.56 0.52 0.54 0.58 0.39 0.40 Net Gains (Losses) on Securities (Realized and Unrealized).................................... 0.47 3.78 (0.12) (1.99) 1.34 3.92 ---------- ---------- ---------- ---------- ---------- ---------- Total from Investment Operations............... 1.03 4.30 0.42 (1.41) 1.73 4.32 ------------------------------------------------------------------------------------------------------------------------------ Less Distributions ------------------ Net Investment Income........................... (0.42) (0.57) (0.53) (0.57) (0.38) (0.40) ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions............................ (0.42) (0.57) (0.53) (0.57) (0.38) (0.40) ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Period.................... $ 20.06 $ 19.45 $ 15.72 $ 15.83 $ 17.81 $ 16.46 ================================================= =========== ========== ========== ========== ========== ========== Total Return...................................... 5.38%(D) 27.90% 2.98% (8.26)% 10.94% 35.11% ------------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands)............. $7,121,387 $6,522,355 $5,480,888 $5,287,323 $5,157,857 $4,437,846 Ratio of Expenses to Average Net Assets (B)....... 0.43%(E) 0.43% 0.45% 0.45% 0.45% 0.46% Ratio of Net Investment Income to Average Net Assets........................................... 5.73%(E) 3.00% 3.54% 3.26% 2.34% 3.00% ------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. + All per share amounts and net assets values prior to November 19, 2010 have been adjusted as a result of the reverse stock split on November 19, 2010. (Note G) See accompanying Notes to Financial Statements. 179 DIMENSIONAL INVESTMENT GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
U.S. Large Company Portfolio ------------------------------------------------------------------------- Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 2009 -------------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period.............. $ 13.87 $ 11.15 $ 9.90 $ 9.34 $ 8.16 $ 7.62 ---------- ---------- ---------- ---------- ---------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................. 0.14 0.27 0.22 0.19 0.18 0.18 Net Gains (Losses) on Securities (Realized and Unrealized).................................... 1.01 2.71 1.25 0.56 1.15 0.55 ---------- ---------- ---------- ---------- ---------- -------- Total from Investment Operations............... 1.15 2.98 1.47 0.75 1.33 0.73 -------------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income............................ (0.14) (0.26) (0.22) (0.19) (0.15) (0.19) ---------- ---------- ---------- ---------- ---------- -------- Total Distributions............................ (0.14) (0.26) (0.22) (0.19) (0.15) (0.19) -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period.................... $ 14.88 $ 13.87 $ 11.15 $ 9.90 $ 9.34 $ 8.16 ================================================= =========== ========== ========== ========== ========== ======== Total Return...................................... 8.34%(D) 27.10% 15.02% 8.09% 16.47% 10.07% -------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)............. $5,280,843 $4,917,336 $4,037,336 $3,762,013 $3,712,973 $785,689 Ratio of Expenses to Average Net Assets........... 0.08%(E) 0.09% 0.10% 0.10% 0.10%** 0.10%(B) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumptions of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly)............................ 0.08%(E) 0.10% 0.10% 0.10% 0.11%** 0.13%(B) Ratio of Net Investment Income to Average Net Assets........................................... 1.99%(E) 2.13% 2.10% 1.95% 1.99% 2.53% Portfolio Turnover Rate........................... 2%(D) 3% 4% 4% 1%* N/A --------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. * For the period September 10, 2010 through October 31, 2010. Effective September 10, 2010, the Portfolio directly invests in securities rather than through The U.S. Large Company Series. **Represents the combined ratios for the portfolio and, for the period November 1, 2009 through September 9, 2010, its respective pro-rata share of The U.S. Large Company Series. See accompanying Notes to Financial Statements. 180 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 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. 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, 2014, 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. On March 1, 2010, the Board of Directors of DFA Investment Dimensions Group Inc. and the Fund approved an Agreement and Plan of Reorganization (the "Plan") which provided that (i) U.S. Large Company Institutional Index Portfolio (the "Acquiring Fund"), a portfolio of the Fund would acquire substantially all of the assets of U.S. Large Company Portfolio (the "Target Fund"), a portfolio of DFA Investment Dimensions Group Inc. in exchange solely for shares of capital stock of the Acquiring Fund; (ii) the shares of the Acquiring Fund would be distributed to the shareholders of the Target Fund according to their respective interests in the Target Fund; and (iii) the Target Fund would be liquidated and dissolved (the "Reorganization"). In conjunction with completing the Reorganization, the Acquiring Fund would change its name to "U.S. Large Company Portfolio." The Reorganization took place on May 7, 2010 and the Acquiring Fund changed its name to U.S. Large Company Portfolio effective May 8, 2010. The purpose of the transaction was to lower fees for the shareholders of the Target Fund and create operating efficiencies from economies of scale. The Reorganization was accomplished by a tax-free exchange of the following shares on May 7, 2010:
Value Target Fund Shares Acquiring Fund Shares (in thousands) ----------- ---------- -------------------------------- ----------- -------------- U.S. Large Company U.S. Large Company Portfolio. 83,482,168 Institutional Index Portfolio 311,973,980 $2,731,987
The net assets, including net unrealized appreciation (depreciation) of the Target Fund, immediately before the acquisition were as follows (in thousands):
Unrealized Appreciation Target Fund Net Assets (Depreciation) Acquiring Fund Net Assets ----------- ---------- ----------------------- ------------------------------- ---------- U.S. Large Company U.S. Large Company Portfolio. $2,731,987 $315,984 Institutional Index Portfolio $870,696
Assuming the acquisition had been completed on November 1, 2009, U.S. Large Company Portfolio's result of operations for the year ended October 31, 2010 would have been as follows (in thousands): Net Investment Income.................................. $ 71,681(a) Net Realized and Unrealized Gain (Loss) on Investments. 501,073(b) -------- Net Increase in Net Assets Resulting from Operations... $572,754 ========
(a)$43,125 as reported in the Statement of Operations, plus $27,799 Net Investment Income from U.S. Large Company Portfolio pre-merger, plus $757 of pro-forma eliminated expenses. (b)$596,596 as reported in the Statement of Operations, less $95,523 Net Realized and Unrealized Gain (Loss) on Investments from U.S. Large Company Portfolio pre-merger. 181 Because both U.S. Large Company Portfolio and U.S. Large Company Institutional Index Portfolio sold and redeemed shares throughout the period, it is not practicable to provide pro-forma information on a per-share basis. Prior to September 10, 2010, U.S. Large Company Portfolio invested substantially all of its assets in shares of The U.S. Large Company Series. At the close of business on September 9, 2010, U.S. Large Company Portfolio received its pro-rata share of cash and securities from The U.S. Large Company Series in a complete liquidation of its interest in the Series. Effective September 10, 2010, U.S. Large Company Portfolio invests directly in securities rather than through the Series and maintains the same investment objective. 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 at the close of the exchanges on which they are principally traded (official closing price). 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 at the mean of the most recent quoted bid and asked prices which approximate fair value. Price information on listed securities is taken from the exchange where the security is primarily traded. Generally, securities issued by open-end 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/Trustees. 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 Investment Committee of Dimensional Fund Advisors LP) occur before the net asset value 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 182 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, 2014, 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/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 Directors/Trustees may defer payment of all or a portion of their total fees earned as a Director/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 Director/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 Director/Trustee shall have the right in a notice of election (the "Notice") to defer the receipt of the Director's/Trustee's deferred compensation until a date specified by such Director/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 Director/Trustee ceases to be a member of the Board; and (ii) five years following the effective date of the Director's/Trustee's first deferral election. If a Director/Trustee who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Director's/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 Director/Trustee ceases to be a member of the Board (unless the Director/Trustee files an amended Notice selecting a different distribution date). As of April 30, 2014, none of the Directors/Trustees 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 Portfolios are allocated using methods approved by the Board of Directors/Trustees, 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 administrative services to the Portfolios, including supervision of services provided by others, providing information to shareholders and the Board, and other administrative services. The Advisor provides investment advisory services to the U.S. Large Company Portfolio and the Series. The Advisor receives no additional compensation for the investment advisory services it provides to the Feeder Fund. For the six months ended April 30, 2014, the Portfolios' administrative services fees were accrued daily and paid monthly to the Advisor based on the following effective annual rates of average daily net assets: DFA International Value Portfolio. 0.20% U.S. Large Company Portfolio*..... 0.035%
183 For the six months ended April 30, 2014, the U.S. Large Company Portfolio's investment advisory services fees were accrued daily and paid monthly to the Advisor based on the following effective annual rates of average daily net assets: U.S. Large Company Portfolio*. 0.025%
Prior to February 28, 2014, the Portfolio was provided administrative services under an administrative agreement. Effective February 28, 2014, the administrative agreement and investment advisory agreement for the Portfolio was combined into an investment management agreement that provides for an investment management fee, equal to the Portfolio's previous investment advisory services fee and administrative services fee, payable to the Advisor for both investment advisory services and administrative services. 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, including administration/advisory fees, and in certain instances, assume certain expenses of the Portfolios, as described in the notes below. The Fee Waiver Agreement for the Portfolios will remain in effect through February 28, 2015, 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. For the six months ended April 30, 2014, the Portfolios had expense limits based on a percentage of average net assets on an annualized basis, and the Advisor recovered previously waived fees and/or expenses assumed as listed below (amounts in thousands). The Portfolios are not obligated to reimburse the Advisor for fees previously waived or expenses previously assumed by the Advisor more than thirty-six months before the date of recovery.
Previously Recovery Waived Fees/ of Previously Expenses Waived Fees/ Assumed Expense Expenses Subject to Future Limitation Amount Assumed Recovery ----------------- ------------- ----------------- Institutional Class Shares U.S. Large Company Portfolio (1)...... 0.08% $40 $432 Class R2 Shares DFA International Value Portfolio (2). 0.79% -- --
(1) 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 and excluding any applicable 12b-1 fees) ("Portfolio Expenses") of the 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 "Expense Limitation Amount"). At any time that the annualized Portfolio Expenses of the Portfolio are less than the Expense Limitation Amount listed above for the Portfolio, 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 Expense Limitation Amount, as listed 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 ordinary operating expenses (excluding expenses incurred through investment in other investment companies and excluding any applicable 12b-1 fees) ("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 did not cause the Portfolio's annualized Portfolio Expenses to exceed the Previous Expense Limitation Amount. 184 (2) The Advisor has contractually agreed to assume the direct expenses of the Class R2 shares of the Portfolio (excluding management fees and custodian fees and excluding any applicable 12b-1 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 average net assets on an annualized basis (the "Expense Limitation Amount"). At any time that the annualized expenses of the 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 will not cause the annualized expenses of the Class R2 shares of the Portfolio to exceed the Expense Limitation Amount, as listed above. Fees Paid to Officers and Directors/Trustees: Certain Officers and Directors/Trustees of the Advisor are also Officers and Directors/Trustees of the Fund; however, such Officers and Directors/Trustees (with the exception of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund. For the six months ended April 30, 2014, 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, 2014, 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 (amounts in thousands): DFA International Value Portfolio. $201 U.S. Large Company Portfolio...... 255
E. Purchases and Sales of Securities: For the six months ended April 30, 2014, U.S. Large Company Portfolio made the following purchases and sales of investment securities, other than short-term securities and U.S. government securities (amounts in thousands):
Purchases Sales --------- ------- U.S. Large Company Portfolio. $95,742 $76,223
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, 2013, 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 185 following accounts. These reclassifications had no effect on net assets or net asset value per share (amounts in thousands):
Increase Increase (Decrease) (Decrease) Undistributed Accumulated Net Investment Net Realized Income Gains (Losses) -------------- -------------- DFA International Value Portfolio. $(1,204) $1,204 U.S. Large Company Portfolio...... -- --
The tax character of dividends and distributions declared and paid during the years ended October 31, 2012 and October 31, 2013 were as follows (amounts in thousands):
Net Investment Income and Short-Term Capital Gains Total -------------- -------- DFA International Value Portfolio 2012.............................. $180,966 $180,966 2013.............................. 189,258 189,258 U.S. Large Company Portfolio 2012.............................. 81,785 81,785 2013.............................. 94,840 94,840
At October 31, 2013, the components of distributable earnings (accumulated losses) were as follows (amounts in thousands):
Undistributed Total Net Net Investment Distributable Income and Other Unrealized Earnings Short-Term Capital Loss Temporary Appreciation (Accumulated Capital Gains Carryforwards Differences (Depreciation) Losses) -------------- ------------- ----------- -------------- ------------- DFA International Value Portfolio. $19,332 $(611,811) -- $1,251,780 $ 659,301 U.S. Large Company Portfolio...... 12,923 (180,406) $46,568 2,060,725 1,939,810
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, 2013, 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, ---------------------- 2016 2017 2018 Total -------- ------- ------- -------- DFA International Value Portfolio. $611,811 -- -- $611,811 U.S. Large Company Portfolio...... 55,911 $80,822 $43,673 180,406
During the year ended October 31, 2013, the Portfolios utilized the following capital loss carryforwards to offset realized capital gains for federal income tax purposes (amounts in thousands): DFA International Value Portfolio. $295,092 U.S. Large Company Portfolio...... 166,609
186 At April 30, 2014, the total cost and aggregate gross unrealized appreciation (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes, as follows (amounts in thousands):
Net Unrealized Federal Unrealized Unrealized Appreciation Tax Cost Appreciation Depreciation (Depreciation) ---------- ------------ ------------ -------------- DFA International Value Portfolio. $5,798,069 $1,326,078 -- $1,326,078 U.S. Large Company Portfolio...... 2,767,776 2,696,937 $(70,070) 2,626,867
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 Year Ended April 30, 2014 Oct. 31, 2013 ------------------ --------------------- (Unaudited) ------------------ Amount Shares Amount Shares --------- ------- ----------- -------- DFA International Value Portfolio Class R2 Shares Shares Issued........................................ $ 9,212 465 $ 1,969 112 Shares Issued in Lieu of Cash Distributions.......... 119 6 218 13 Shares Redeemed...................................... (3,420) (172) (4,454) (249) --------- ------- ----------- -------- Net Increase (Decrease) -- Class R2 Shares............ $ 5,911 299 $ (2,267) (124) ========= ======= =========== ======== Institutional Class Shares Shares Issued........................................ $ 803,378 41,068 $ 1,464,667 83,810 Shares Issued in Lieu of Cash Distributions.......... 141,144 7,224 178,294 10,423 Shares Redeemed...................................... (559,917) (28,660) (1,876,787) (107,589) --------- ------- ----------- -------- Net Increase (Decrease) -- Institutional Class Shares. $ 384,605 19,632 $ (233,826) (13,356) ========= ======= =========== ========
On October 29, 2010, the Board of Directors/Trustees adopted a Plan of Recapitalization of the Feeder Fund's Class R2 Shares. On November 19, 2010, a reverse stock split was executed whereby each shareholder of Class R2 Shares received one share for every 2.631 shares held. The purpose of the reverse split was to reduce the number of Class R2 Shares, thereby increasing the net asset value of each Class R2 Share outstanding in order to more closely align the net asset value with the net asset value of the Feeder Fund's Institutional Class Shares. The per share data in the financial highlights, capital share activity in the statements of changes in net assets and the outstanding shares and net asset value as of October 31, 2010 in the Statement of Assets and Liabilities have been adjusted retroactively to reflect the reverse stock splits for the respective Class R2 Shares. H. Financial Instruments: In accordance with U.S. Large Company 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 187 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 enter into futures contracts to gain market exposure on uninvested cash pending investment in securities or to maintain liquidity to pay redemptions. 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. Entering into stock index futures subjects the Portfolios 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, 2014, the U.S. Large Company Portfolio had outstanding futures contracts (dollar amounts in thousands):
Unrealized Approximate Expiration Number of Contract Gain Cash Description Date Contracts* Value (Loss) Collateral ----------------------- ---------- ---------- -------- ---------- ----------- U.S. Large Company Portfolio........ S&P 500 Index(R) Emini 06/20/14 692 $64,975 $591 $2,898
* During the six months ended April 30, 2014, U.S. Large Company Portfolio's average notional contract amount of outstanding futures contracts was $56,884 (in thousands). The following is a summary of the location of derivatives on the U.S. Large Company Portfolio's Statement of Assets and Liabilities as of April 30, 2014: Location on the Statements of Assets and Liabilities --------------------------------------------------- Derivative Type Asset Derivatives Liability Derivatives --------------- ------------------------ ------------------------ Equity contracts......... Receivables: 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, 2014 (amounts in thousands):
Asset Derivatives Value ------------------------------ Total Value at April 30, 2014 Equity Contracts - -------------- ---------------- U.S. Large Company Portfolio. $591 $591*
* Includes cumulative appreciation (depreciation) of futures contracts. Only current day's margin variation is reporting within the Statements of Assets and Liabilities. 188 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 six months ended April 30, 2014:
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
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 six months ended April 30, 2014 (amounts in thousands):
Realized Gain (Loss) on Derivatives Recognized in Income -------------------------------- Equity Total Contracts --------- ------------- U.S. Large Company Portfolio. $7,403 $7,403
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income ------------------------------- Equity Total Contracts --------- ------------- U.S. Large Company Portfolio. $(1,675) $(1,675)
I. Line of Credit: The Fund, together with other Dimensional-advised portfolios, has entered into a $500 million unsecured discretionary line of credit effective March 4, 2013 with its domestic custodian bank. 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 was scheduled to expire on March 3, 2014, however, effective March 3, 2014, the term was extended until March 2, 2015. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit effective January 10, 2014 with its international custodian bank. 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 9, 2015. There were no borrowings by the Portfolios under the lines of credit during the six months ended April 30, 2014. J. Securities Lending: As of April 30, 2014, U.S. Large Company Portfolio had securities on loan to brokers/dealers, 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 equal to at least (i) 100% of the current market value of the loaned securities with respect to securities of the U.S. government or its agencies, (ii) 102% of the current market value of the loaned securities with respect to U.S. securities, and (iii) 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 189 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. 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. K. Shareholder Servicing Fees: The Class R2 Shares pay a shareholder servicing fee in the amount of 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. 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 which 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, 2014, the following number of shareholders held the following approximate percentages of the stated portfolios' outstanding shares. One or more of the shareholders may be omnibus accounts, which typically hold shares for the benefit of several other underlying investors.
Approximate Percentage Number of of Outstanding Shareholders Shares ------------ -------------- DFA International Value Portfolio -- Class R2 Shares............ 4 95% DFA International Value Portfolio -- Institutional Class Shares. 3 66% U.S. Large Company Portfolio.................................... 3 74%
Further, on December 13, 2013, the Board of the Fund voted to approve the combination of the Investment Advisory Agreement and the Administration Agreement (together, the "Previous Agreements") into a bundled Investment Management Agreement for the U.S. Large Company Portfolio. The Investment Management Agreement became effective on February 28, 2014. The nature and level of services to the Portfolio under the Investment Management Agreement are the same as under the Previous Agreements. As of February 28, 2014, the Portfolio pays the Advisor an investment management fee that is equal to the sum of the previous investment advisory and administration fees that were paid by the Portfolio to the Advisor under the Previous Agreements. N. Subsequent Event Evaluations: Management has evaluated the impact of all subsequent events on the Portfolios and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements. 190 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, 2014 EXPENSE TABLES Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 11/01/13 04/30/14 Ratio* Period* --------- --------- ---------- -------- The U.S. Large Cap Value Series - Actual Fund Return............ $1,000.00 $1,094.50 0.11% $0.57 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 $1,055.10 0.22% $1.12 Hypothetical 5% Annual Return. $1,000.00 $1,023.70 0.22% $1.10
191 DISCLOSURE OF FUND EXPENSES CONTINUED
Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 11/01/13 04/30/14 Ratio* Period* --------- --------- ---------- -------- The Japanese Small Company Series --------------------------------- Actual Fund Return...................... $1,000.00 $ 976.20 0.13% $0.64 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 $1,002.10 0.13% $0.65 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 $1,095.20 0.12% $0.62 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 $1,148.90 0.13% $0.69 Hypothetical 5% Annual Return........... $1,000.00 $1,024.15 0.13% $0.65 The Canadian Small Company Series --------------------------------- Actual Fund Return...................... $1,000.00 $1,103.70 0.12% $0.63 Hypothetical 5% Annual Return........... $1,000.00 $1,024.20 0.12% $0.60 The Emerging Markets Series --------------------------- Actual Fund Return...................... $1,000.00 $ 979.50 0.15% $0.74 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 $1,021.20 0.26% $1.30 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. 192 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 31, 2014. It is 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 amendments 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....................... 12.0% Consumer Staples............................. 7.1% Energy....................................... 22.2% Financials................................... 22.6% Health Care.................................. 9.7% Industrials.................................. 11.4% Information Technology....................... 7.2% Materials.................................... 3.3% Telecommunication Services................... 4.2% Utilities.................................... 0.3% ----- 100.0%
The DFA International Value Series Consumer Discretionary....................... 9.6% Consumer Staples............................. 4.6% Energy....................................... 14.3% Financials................................... 34.7% Health Care.................................. 3.7% Industrials.................................. 10.0% Information Technology....................... 3.5% Materials.................................... 11.3% Other........................................ -- Real Estate Investment Trusts................ -- Telecommunication Services................... 4.8% Utilities.................................... 3.5% ----- 100.0%
The Japanese Small Company Series Consumer Discretionary....................... 20.4% Consumer Staples............................. 9.6% Energy....................................... 1.1% Financials................................... 11.3% Health Care.................................. 5.1% Industrials.................................. 29.5% Information Technology....................... 11.3% Materials.................................... 11.2% Telecommunication Services................... -- Utilities.................................... 0.5% ----- 100.0%
193 DISCLOSURE OF PORTFOLIO HOLDINGS CONTINUED The Asia Pacific Small Company Series Consumer Discretionary....................... 28.7% Consumer Staples............................. 4.1% Energy....................................... 6.2% Financials................................... 12.7% Health Care.................................. 5.6% Industrials.................................. 19.4% Information Technology....................... 5.2% Materials.................................... 11.7% Other........................................ -- Real Estate Investment Trusts................ -- Telecommunication Services................... 3.7% Utilities.................................... 2.7% ----- 100.0%
The United Kingdom Small Company Series Consumer Discretionary....................... 26.0% Consumer Staples............................. 4.1% Energy....................................... 5.9% Financials................................... 14.6% Health Care.................................. 3.0% Industrials.................................. 25.6% Information Technology....................... 7.8% Materials.................................... 7.7% Telecommunication Services................... 2.7% Utilities.................................... 2.6% ----- 100.0%
The Continental Small Company Series Consumer Discretionary....................... 14.7% Consumer Staples............................. 5.8% Energy....................................... 4.3% Financials................................... 18.3% Health Care.................................. 9.1% Industrials.................................. 26.0% Information Technology....................... 9.6% Materials.................................... 7.6% Other........................................ -- Telecommunication Services................... 2.5% Utilities.................................... 2.1% ----- 100.0%
The Canadian Small Company Series Consumer Discretionary....................... 9.7% Consumer Staples............................. 3.4% Energy....................................... 29.5% Financials................................... 7.8% Health Care.................................. 2.3% Industrials.................................. 14.4% Information Technology....................... 5.9% Materials.................................... 21.5% Telecommunication Services................... 0.3% Utilities.................................... 5.2% ----- 100.0%
The Emerging Markets Series Consumer Discretionary....................... 9.4% Consumer Staples............................. 8.6% Energy....................................... 10.3% Financials................................... 25.1% Health Care.................................. 1.8% Industrials.................................. 7.7% Information Technology....................... 16.6% Materials.................................... 10.1% Other........................................ -- Telecommunication Services................... 6.7% Utilities.................................... 3.7% ----- 100.0%
The Emerging Markets Small Cap Series Consumer Discretionary....................... 17.6% Consumer Staples............................. 8.8% Energy....................................... 2.6% Financials................................... 16.2% Health Care.................................. 5.8% Industrials.................................. 18.3% Information Technology....................... 13.4% Materials.................................... 12.8% Other........................................ -- Real Estate Investment Trusts................ 0.1% Telecommunication Services................... 0.9% Utilities.................................... 3.5% ----- 100.0%
194 THE U.S. LARGE CAP VALUE SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2014 (Unaudited)
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (97.0%) Consumer Discretionary -- (11.6%) Comcast Corp. Class A................ 9,873,756 $ 511,065,611 3.1% # Comcast Corp. Special Class A........ 3,813,064 194,580,656 1.2% General Motors Co.................... 3,716,863 128,157,436 0.8% Time Warner Cable, Inc............... 1,876,119 265,395,794 1.6% Time Warner, Inc..................... 5,052,904 335,816,000 2.0% Other Securities..................... 556,054,796 3.2% -------------- ----- Total Consumer Discretionary............. 1,991,070,293 11.9% -------------- ----- Consumer Staples -- (6.9%) Archer-Daniels-Midland Co............ 3,151,861 137,830,881 0.8% CVS Caremark Corp.................... 6,986,047 508,025,338 3.0% Mondelez International, Inc. Class A. 7,976,433 284,359,836 1.7% Other Securities..................... 251,992,010 1.6% -------------- ----- Total Consumer Staples................... 1,182,208,065 7.1% -------------- ----- Energy -- (21.6%) Anadarko Petroleum Corp.............. 2,644,697 261,877,897 1.6% Apache Corp.......................... 1,895,772 164,553,010 1.0% Baker Hughes, Inc.................... 1,938,026 135,468,017 0.8% Chevron Corp......................... 4,835,771 606,985,976 3.6% ConocoPhillips....................... 6,993,622 519,696,051 3.1% Devon Energy Corp.................... 1,721,246 120,487,220 0.7% Exxon Mobil Corp..................... 1,502,573 153,878,501 0.9% Hess Corp............................ 1,628,606 145,206,511 0.9% Marathon Oil Corp.................... 3,640,872 131,617,523 0.8% Marathon Petroleum Corp.............. 1,752,484 162,893,388 1.0% National Oilwell Varco, Inc.......... 2,032,845 159,639,318 1.0% Occidental Petroleum Corp............ 2,152,468 206,098,811 1.2% Phillips 66.......................... 2,926,797 243,568,046 1.5% Valero Energy Corp................... 2,806,975 160,474,761 1.0% Other Securities..................... 532,312,812 3.1% -------------- ----- Total Energy............................. 3,704,757,842 22.2% -------------- ----- Financials -- (22.0%) American International Group, Inc.... 6,143,899 326,425,354 2.0% Bank of America Corp................. 26,957,644 408,138,730 2.4% Bank of New York Mellon Corp. (The).. 3,735,585 126,524,264 0.8% Capital One Financial Corp........... 2,096,624 154,940,514 0.9% Citigroup, Inc....................... 7,932,413 380,041,907 2.3% CME Group, Inc....................... 1,612,799 113,524,922 0.7% JPMorgan Chase & Co.................. 9,265,436 518,679,107 3.1% MetLife, Inc......................... 4,300,949 225,154,680 1.3% Morgan Stanley....................... 6,887,527 213,031,210 1.3% Prudential Financial, Inc............ 1,944,264 156,863,220 0.9% SunTrust Banks, Inc.................. 2,600,602 99,499,033 0.6% Other Securities..................... 1,051,677,256 6.3% -------------- ----- Total Financials......................... 3,774,500,197 22.6% -------------- ----- Health Care -- (9.3%) Aetna, Inc........................... 2,009,110 143,550,909 0.9% * Express Scripts Holding Co........... 3,072,578 204,572,243 1.2% Pfizer, Inc.......................... 16,350,996 511,459,155 3.1% Thermo Fisher Scientific, Inc........ 1,947,634 222,030,276 1.3%
195 THE U.S. LARGE CAP VALUE SERIES CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Health Care -- (Continued) WellPoint, Inc..................................... 1,674,297 $ 168,568,222 1.0% Other Securities................................... 357,718,328 2.1% --------------- ------ Total Health Care........................................ 1,607,899,133 9.6% --------------- ------ Industrials -- (11.1%) CSX Corp........................................... 5,604,703 158,164,719 1.0% Eaton Corp. P.L.C.................................. 2,273,922 165,177,694 1.0% FedEx Corp......................................... 828,737 112,915,416 0.7% General Electric Co................................ 12,431,885 334,293,388 2.0% Norfolk Southern Corp.............................. 1,681,939 158,993,694 1.0% Northrop Grumman Corp.............................. 1,364,645 165,818,014 1.0% Union Pacific Corp................................. 1,891,022 360,107,319 2.2% Other Securities................................... 448,194,227 2.5% --------------- ------ Total Industrials........................................ 1,903,664,471 11.4% --------------- ------ Information Technology -- (7.0%) Corning, Inc....................................... 5,762,032 120,484,089 0.7% Hewlett-Packard Co................................. 9,619,949 318,035,514 1.9% Intel Corp......................................... 5,871,145 156,700,860 0.9% Other Securities................................... 606,174,129 3.7% --------------- ------ Total Information Technology............................. 1,201,394,592 7.2% --------------- ------ Materials -- (3.2%) Freeport-McMoRan Copper & Gold, Inc................ 4,647,012 159,717,802 1.0% Other Securities................................... 395,751,544 2.3% --------------- ------ Total Materials.......................................... 555,469,346 3.3% --------------- ------ Telecommunication Services -- (4.0%) AT&T, Inc.......................................... 15,116,213 539,648,804 3.2% Other Securities................................... 153,431,442 0.9% --------------- ------ Total Telecommunication Services......................... 693,080,246 4.1% --------------- ------ Utilities -- (0.3%) Other Securities................................... 54,600,112 0.3% --------------- ------ TOTAL COMMON STOCKS...................................... 16,668,644,297 99.7% --------------- ------ TEMPORARY CASH INVESTMENTS -- (0.4%) State Street Institutional Liquid Reserves, 0.074%. 69,498,079 69,498,079 0.4% --------------- ------ Shares/ Face Amount ---------- (000) SECURITIES LENDING COLLATERAL -- (2.6%) (S)@ DFA Short Term Investment Fund..................... 38,162,068 441,535,131 2.7% --------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $10,925,873,386)............................... $17,179,677,507 102.8% =============== ======
196 THE U.S. LARGE CAP VALUE SERIES CONTINUED Summary of the Series' investments as of April 30, 2014, 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...... $ 1,991,070,293 -- -- $ 1,991,070,293 Consumer Staples............ 1,182,208,065 -- -- 1,182,208,065 Energy...................... 3,704,757,842 -- -- 3,704,757,842 Financials.................. 3,774,500,197 -- -- 3,774,500,197 Health Care................. 1,607,899,133 -- -- 1,607,899,133 Industrials................. 1,903,664,471 -- -- 1,903,664,471 Information Technology...... 1,201,394,592 -- -- 1,201,394,592 Materials................... 555,469,346 -- -- 555,469,346 Telecommunication Services.. 693,080,246 -- -- 693,080,246 Utilities................... 54,600,112 -- -- 54,600,112 Temporary Cash Investments.... 69,498,079 -- -- 69,498,079 Securities Lending Collateral. -- $441,535,131 -- 441,535,131 --------------- ------------ -- --------------- TOTAL......................... $16,738,142,376 $441,535,131 -- $17,179,677,507 =============== ============ == ===============
See accompanying Notes to Financial Statements. 197 THE DFA INTERNATIONAL VALUE SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2014 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (90.6%) AUSTRALIA -- (4.6%) Santos, Ltd...................... 4,099,271 $ 52,558,232 0.6% Wesfarmers, Ltd.................. 2,586,337 102,933,877 1.1% Other Securities................. 321,643,082 3.3% ------------ ----- TOTAL AUSTRALIA...................... 477,135,191 5.0% ------------ ----- AUSTRIA -- (0.1%) Other Securities................. 15,658,992 0.2% ------------ ----- BELGIUM -- (1.2%) Other Securities................. 128,323,164 1.4% ------------ ----- CANADA -- (8.0%) # Canadian Natural Resources, Ltd.. 1,849,320 75,352,978 0.8% Manulife Financial Corp.......... 3,287,435 61,726,575 0.7% Suncor Energy, Inc............... 3,750,370 144,670,082 1.5% Other Securities................. 554,656,413 5.8% ------------ ----- TOTAL CANADA......................... 836,406,048 8.8% ------------ ----- DENMARK -- (1.6%) Other Securities................. 163,115,860 1.7% ------------ ----- FINLAND -- (0.9%) Other Securities................. 94,719,007 1.0% ------------ ----- FRANCE -- (9.5%) AXA SA........................... 4,004,754 104,508,095 1.1% BNP Paribas SA................... 1,975,744 148,466,225 1.6% Cie de St-Gobain................. 1,078,023 66,045,558 0.7% # GDF Suez......................... 3,247,971 81,859,990 0.9% Orange SA........................ 3,875,091 62,781,400 0.7% Renault SA....................... 740,603 72,408,643 0.8% Societe Generale SA.............. 1,296,228 80,725,428 0.8% Vivendi SA....................... 3,686,124 99,034,179 1.0% Other Securities................. 279,123,896 2.8% ------------ ----- TOTAL FRANCE......................... 994,953,414 10.4% ------------ ----- GERMANY -- (7.4%) # Allianz SE....................... 518,031 90,152,856 1.0% Bayerische Motoren Werke AG...... 683,720 85,946,981 0.9% Daimler AG....................... 2,088,586 194,445,529 2.0% # E.ON SE.......................... 3,638,090 69,687,054 0.7% # Muenchener Rueckversicherungs AG. 297,828 68,845,597 0.7% RWE AG........................... 1,358,567 51,844,377 0.6% Other Securities................. 207,837,909 2.2% ------------ ----- TOTAL GERMANY........................ 768,760,303 8.1% ------------ ----- HONG KONG -- (1.9%) Hutchison Whampoa, Ltd........... 5,076,000 69,640,150 0.7% Other Securities................. 134,088,552 1.4% ------------ ----- TOTAL HONG KONG...................... 203,728,702 2.1% ------------ -----
198 THE DFA INTERNATIONAL VALUE SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- IRELAND -- (0.2%) Other Securities........................ $ 18,770,592 0.2% -------------- ----- ISRAEL -- (0.3%) Other Securities........................ 32,609,956 0.3% -------------- ----- ITALY -- (1.6%) UniCredit SpA........................... 6,290,570 56,361,264 0.6% Other Securities........................ 113,430,866 1.2% -------------- ----- TOTAL ITALY................................. 169,792,130 1.8% -------------- ----- JAPAN -- (18.3%) Mitsubishi Corp......................... 3,482,500 62,362,177 0.7% Mitsubishi UFJ Financial Group, Inc..... 24,653,206 131,142,580 1.4% Mitsui & Co., Ltd....................... 4,220,700 59,859,529 0.6% Mizuho Financial Group, Inc............. 42,833,200 83,893,411 0.9% Nippon Steel & Sumitomo Metal Corp...... 19,029,940 49,927,655 0.5% Sumitomo Mitsui Financial Group, Inc.... 1,688,300 66,739,011 0.7% Other Securities........................ 1,455,186,354 15.2% -------------- ----- TOTAL JAPAN................................. 1,909,110,717 20.0% -------------- ----- NETHERLANDS -- (3.2%) # ArcelorMittal......................... 3,159,312 51,374,315 0.5% * ING Groep NV.......................... 6,479,202 92,619,251 1.0% Other Securities........................ 195,212,987 2.1% -------------- ----- TOTAL NETHERLANDS........................... 339,206,553 3.6% -------------- ----- NEW ZEALAND -- (0.1%) Other Securities........................ 8,078,915 0.1% -------------- ----- NORWAY -- (0.7%) Other Securities........................ 70,152,730 0.7% -------------- ----- PORTUGAL -- (0.1%) Other Securities........................ 8,215,156 0.1% -------------- ----- SINGAPORE -- (1.1%) Other Securities........................ 118,422,958 1.2% -------------- ----- SPAIN -- (2.6%) Banco Santander SA...................... 8,200,002 81,554,496 0.8% Iberdrola SA............................ 9,376,631 65,500,776 0.7% Other Securities........................ 119,686,535 1.3% -------------- ----- TOTAL SPAIN................................. 266,741,807 2.8% -------------- ----- SWEDEN -- (2.9%) Nordea Bank AB.......................... 5,366,449 77,763,053 0.8% Telefonaktiebolaget LM Ericsson Class B. 4,713,081 56,832,490 0.6% Other Securities........................ 163,261,946 1.7% -------------- ----- TOTAL SWEDEN................................ 297,857,489 3.1% -------------- ----- SWITZERLAND -- (8.8%) Credit Suisse Group AG.................. 1,928,358 61,134,025 0.6% Holcim, Ltd............................. 887,877 81,432,888 0.9% Novartis AG............................. 2,434,443 211,632,207 2.2% Novartis AG ADR......................... 681,571 59,255,783 0.6%
199 THE DFA INTERNATIONAL VALUE SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- SWITZERLAND -- (Continued) Swiss Re AG............................. 1,412,545 $ 123,514,466 1.3% UBS AG.................................. 4,344,251 90,855,076 1.0% Zurich Insurance Group AG............... 321,452 92,179,146 1.0% Other Securities........................ 194,865,896 2.0% --------------- ------ TOTAL SWITZERLAND............................. 914,869,487 9.6% --------------- ------ UNITED KINGDOM -- (15.5%) Anglo American P.L.C.................... 2,938,851 78,564,591 0.8% Barclays P.L.C. Sponsored ADR........... 5,037,005 86,183,156 0.9% BP P.L.C. Sponsored ADR................. 6,938,726 351,238,309 3.7% Glencore Xstrata P.L.C.................. 9,442,477 50,949,377 0.5% # HSBC Holdings P.L.C. Sponsored ADR...... 1,892,534 97,124,844 1.0% Kingfisher P.L.C........................ 8,040,406 56,896,948 0.6% # Royal Dutch Shell P.L.C. ADR(780259107). 3,323,210 281,309,727 3.0% Royal Dutch Shell P.L.C. ADR(780259206). 755,142 59,459,881 0.6% Vodafone Group P.L.C.................... 19,078,000 72,431,667 0.8% Vodafone Group P.L.C. Sponsored ADR..... 2,056,797 78,076,025 0.8% Other Securities........................ 401,284,528 4.2% --------------- ------ TOTAL UNITED KINGDOM.......................... 1,613,519,053 16.9% --------------- ------ TOTAL COMMON STOCKS........................... 9,450,148,224 99.1% --------------- ------ PREFERRED STOCKS -- (0.3%) GERMANY -- (0.3%) Other Securities........................ 28,133,374 0.3% --------------- ------ RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) Other Securities........................ -- 0.0% --------------- ------ FRANCE -- (0.0%) Other Securities........................ 304,214 0.0% --------------- ------ HONG KONG -- (0.0%) Other Securities........................ 49,049 0.0% --------------- ------ SPAIN -- (0.0%) Other Securities........................ 1,734,756 0.0% --------------- ------ TOTAL RIGHTS/WARRANTS......................... 2,088,019 0.0% --------------- ------ Shares/ Face Amount Value+ ------- ------ (000) SECURITIES LENDING COLLATERAL -- (9.1%) (S)@ DFA Short Term Investment Fund.......... 82,550,804 955,112,801 10.0% --------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $8,605,115,658)..................... $10,435,482,418 109.4% =============== ======
200 THE DFA INTERNATIONAL VALUE SERIES CONTINUED Summary of the Series' investments as of April 30, 2014, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) ----------------------------------------------------- Level 1 Level 2 Level 3 Total -------------- -------------- ------- --------------- Common Stocks Australia................... $ 1,974,118 $ 475,161,073 -- $ 477,135,191 Austria..................... -- 15,658,992 -- 15,658,992 Belgium..................... 3,952,688 124,370,476 -- 128,323,164 Canada...................... 836,406,048 -- -- 836,406,048 Denmark..................... -- 163,115,860 -- 163,115,860 Finland..................... 2,128,584 92,590,423 -- 94,719,007 France...................... 5,948,762 989,004,652 -- 994,953,414 Germany..................... 76,929,392 691,830,911 -- 768,760,303 Hong Kong................... -- 203,728,702 -- 203,728,702 Ireland..................... 6,301,524 12,469,068 -- 18,770,592 Israel...................... -- 32,609,956 -- 32,609,956 Italy....................... 24,068,580 145,723,550 -- 169,792,130 Japan....................... 62,859,115 1,846,251,602 -- 1,909,110,717 Netherlands................. 27,544,627 311,661,926 -- 339,206,553 New Zealand................. -- 8,078,915 -- 8,078,915 Norway...................... 322,262 69,830,468 -- 70,152,730 Portugal.................... -- 8,215,156 -- 8,215,156 Singapore................... -- 118,422,958 -- 118,422,958 Spain....................... 15,348,649 251,393,158 -- 266,741,807 Sweden...................... 11,416,422 286,441,067 -- 297,857,489 Switzerland................. 102,217,682 812,651,805 -- 914,869,487 United Kingdom.............. 996,765,713 616,753,340 -- 1,613,519,053 Preferred Stocks Germany..................... -- 28,133,374 -- 28,133,374 Rights/Warrants Australia................... -- -- -- -- France...................... -- 304,214 -- 304,214 Hong Kong................... -- 49,049 -- 49,049 Spain....................... -- 1,734,756 -- 1,734,756 Securities Lending Collateral. -- 955,112,801 -- 955,112,801 -------------- -------------- -- --------------- TOTAL......................... $2,174,184,166 $8,261,298,252 -- $10,435,482,418 ============== ============== == ===============
See accompanying Notes to Financial Statements. 201 THE JAPANESE SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2014 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (87.4%) Consumer Discretionary -- (17.8%) # Accordia Golf Co., Ltd...................... 575,900 $ 7,387,781 0.3% Aoyama Trading Co., Ltd..................... 315,900 7,839,037 0.4% Autobacs Seven Co., Ltd..................... 378,000 5,848,087 0.3% Nifco, Inc.................................. 277,500 7,750,861 0.4% Resorttrust, Inc............................ 401,216 6,295,018 0.3% # Shimachu Co., Ltd........................... 273,900 6,018,295 0.3% Toyo Tire & Rubber Co., Ltd................. 1,040,000 7,755,129 0.4% Other Securities............................ 399,151,836 17.8% ------------ ----- Total Consumer Discretionary.................... 448,046,044 20.2% ------------ ----- Consumer Staples -- (8.4%) Kose Corp................................... 176,000 5,849,699 0.3% Nichirei Corp............................... 1,382,000 6,710,948 0.3% Pigeon Corp................................. 191,600 8,578,134 0.4% Sapporo Holdings, Ltd....................... 1,874,000 7,945,790 0.4% # UNY Group Holdings Co., Ltd................. 1,183,300 7,636,496 0.4% Other Securities............................ 173,384,344 7.7% ------------ ----- Total Consumer Staples.......................... 210,105,411 9.5% ------------ ----- Energy -- (1.0%) Other Securities............................ 23,937,414 1.1% ------------ ----- Financials -- (9.8%) Awa Bank, Ltd. (The)........................ 1,095,000 5,863,553 0.3% Daishi Bank, Ltd. (The)..................... 2,006,000 7,245,069 0.3% Juroku Bank, Ltd. (The)..................... 1,985,000 6,934,046 0.3% #* Leopalace21 Corp............................ 1,247,000 6,449,102 0.3% Musashino Bank, Ltd. (The).................. 196,000 6,280,815 0.3% San-In Godo Bank, Ltd. (The)................ 961,000 6,342,751 0.3% Other Securities............................ 208,060,708 9.3% ------------ ----- Total Financials................................ 247,176,044 11.1% ------------ ----- Health Care -- (4.5%) # Kaken Pharmaceutical Co., Ltd............... 440,000 7,582,213 0.3% Nihon Kohden Corp........................... 179,000 7,330,666 0.3% Rohto Pharmaceutical Co., Ltd............... 382,100 6,740,824 0.3% # Ship Healthcare Holdings, Inc............... 193,400 6,595,411 0.3% Other Securities............................ 83,698,202 3.8% ------------ ----- Total Health Care............................... 111,947,316 5.0% ------------ ----- Industrials -- (25.7%) # Aica Kogyo Co., Ltd......................... 282,300 5,903,544 0.3% Daifuku Co., Ltd............................ 505,000 5,822,461 0.3% DMG Mori Seiki Co., Ltd..................... 504,000 6,287,404 0.3% Fujikura, Ltd............................... 2,042,000 8,792,791 0.4% # Furukawa Electric Co., Ltd.................. 3,973,000 8,945,051 0.4% Glory, Ltd.................................. 305,500 7,903,712 0.4% # Iwatani Corp................................ 1,022,000 5,997,386 0.3% Kyowa Exeo Corp............................. 482,300 6,238,888 0.3% # Maeda Corp.................................. 845,000 6,288,202 0.3% Mitsui Engineering & Shipbuilding Co., Ltd.. 4,170,000 8,090,757 0.4% #* Nippon Sheet Glass Co., Ltd................. 5,424,000 6,957,041 0.3% Nishimatsu Construction Co., Ltd............ 1,855,000 6,674,929 0.3%
202 THE JAPANESE SMALL COMPANY SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- Industrials -- (Continued) Nisshinbo Holdings, Inc................... 839,000 $ 7,187,941 0.3% # OKUMA Corp................................ 792,000 6,779,020 0.3% OSG Corp.................................. 401,700 6,474,736 0.3% Sankyu, Inc............................... 1,545,000 5,889,261 0.3% Sanwa Holdings Corp....................... 1,215,000 7,422,723 0.3% Other Securities.......................... 528,825,107 23.7% -------------- ------ Total Industrials............................... 646,480,954 29.2% -------------- ------ Information Technology -- (9.9%) # Anritsu Corp.............................. 606,100 6,787,474 0.3% # Horiba, Ltd............................... 218,850 7,564,844 0.4% IT Holdings Corp.......................... 448,301 6,949,558 0.3% Japan Aviation Electronics Industry, Ltd.. 349,600 5,950,871 0.3% # Oki Electric Industry Co., Ltd............ 3,320,000 6,499,146 0.3% # Taiyo Yuden Co., Ltd...................... 619,100 7,654,809 0.4% Other Securities.......................... 206,580,090 9.2% -------------- ------ Total Information Technology.................... 247,986,792 11.2% -------------- ------ Materials -- (9.8%) Mitsui Mining & Smelting Co., Ltd......... 3,353,000 8,314,258 0.4% Nihon Parkerizing Co., Ltd................ 271,000 5,906,762 0.3% # NOF Corp.................................. 833,000 5,777,172 0.3% Sumitomo Osaka Cement Co., Ltd............ 2,274,000 9,043,980 0.4% Toyobo Co., Ltd........................... 4,867,000 7,859,484 0.4% Other Securities.......................... 209,756,702 9.3% -------------- ------ Total Materials................................. 246,658,358 11.1% -------------- ------ Telecommunication Services -- (0.0%) Other Securities.......................... 1,034,943 0.0% -------------- ------ Utilities -- (0.5%) Other Securities 11,294,586 0.5% -------------- ------ TOTAL COMMON STOCKS............................. 2,194,667,862 98.9% -------------- ------ Shares/ Face Amount Value+ ---------- ------ (000) SECURITIES LENDING COLLATERAL -- (12.6%) (S)@ DFA Short Term Investment Fund............ 27,404,988 317,075,711 14.3% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $2,426,853,978)....................... $2,511,743,573 113.2% ============== ======
203 THE JAPANESE SMALL COMPANY SERIES CONTINUED Summary of the Series' investments as of April 30, 2014, 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...... -- $ 448,046,044 -- $ 448,046,044 Consumer Staples............ $3,668,423 206,436,988 -- 210,105,411 Energy...................... -- 23,937,414 -- 23,937,414 Financials.................. 4,498,409 242,677,635 -- 247,176,044 Health Care................. -- 111,947,316 -- 111,947,316 Industrials................. -- 646,480,954 -- 646,480,954 Information Technology...... -- 247,986,792 -- 247,986,792 Materials................... -- 246,658,358 -- 246,658,358 Telecommunication Services.. -- 1,034,943 -- 1,034,943 Utilities................... -- 11,294,586 -- 11,294,586 Securities Lending Collateral. -- 317,075,711 -- 317,075,711 ---------- -------------- -- -------------- TOTAL......................... $8,166,832 $2,503,576,741 -- $2,511,743,573 ========== ============== == ==============
See accompanying Notes to Financial Statements. 204 THE ASIA PACIFIC SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2014 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (82.0%) AUSTRALIA -- (42.3%) Adelaide Brighton, Ltd................ 2,293,533 $ 8,359,967 0.6% # Ansell, Ltd........................... 474,660 7,993,784 0.6% Aristocrat Leisure, Ltd............... 2,718,335 12,753,277 0.9% Arrium, Ltd........................... 8,470,367 9,439,848 0.7% #* Aurora Oil & Gas, Ltd................. 2,641,857 10,038,097 0.7% Beach Energy, Ltd..................... 7,988,779 12,784,944 0.9% * BlueScope Steel, Ltd.................. 1,645,807 9,950,203 0.7% carsales.com, Ltd..................... 1,525,864 15,452,742 1.1% CSR, Ltd.............................. 3,097,442 10,548,682 0.8% # David Jones, Ltd...................... 4,278,429 15,673,354 1.1% Downer EDI, Ltd....................... 2,684,206 12,530,715 0.9% DuluxGroup, Ltd....................... 2,795,953 14,933,774 1.1% Echo Entertainment Group, Ltd......... 2,941,638 7,737,062 0.6% Envestra, Ltd......................... 7,569,682 8,215,136 0.6% Fairfax Media, Ltd.................... 12,512,986 11,432,785 0.8% Goodman Fielder, Ltd.................. 10,646,991 6,681,884 0.5% GrainCorp, Ltd. Class A............... 1,115,664 9,201,387 0.7% # iiNET, Ltd............................ 980,332 6,544,683 0.5% # Invocare, Ltd......................... 761,399 7,548,493 0.5% IOOF Holdings, Ltd.................... 1,448,038 11,448,962 0.8% # Iress, Ltd............................ 953,472 7,356,247 0.5% # JB Hi-Fi, Ltd......................... 856,886 15,398,204 1.1% Mineral Resources, Ltd................ 1,031,955 11,204,592 0.8% # Monadelphous Group, Ltd............... 707,732 11,539,053 0.8% # Myer Holdings, Ltd.................... 3,842,110 7,959,500 0.6% Navitas, Ltd.......................... 1,381,635 9,474,476 0.7% # OZ Minerals, Ltd...................... 1,930,585 6,644,200 0.5% Perpetual, Ltd........................ 312,245 13,669,025 1.0% Primary Health Care, Ltd.............. 1,910,970 8,352,328 0.6% Reece Australia, Ltd.................. 238,257 6,749,710 0.5% #* Sims Metal Management, Ltd............ 1,094,048 10,005,822 0.7% Spark Infrastructure Group............ 7,787,168 12,796,582 0.9% # Super Retail Group, Ltd............... 1,291,875 12,227,993 0.9% # TPG Telecom, Ltd...................... 1,357,245 7,525,986 0.5% * Transpacific Industries Group, Ltd.... 7,269,623 7,559,759 0.5% # UGL, Ltd.............................. 1,204,535 7,575,350 0.5% Other Securities...................... 357,279,418 25.1% ------------ ----- TOTAL AUSTRALIA........................... 722,588,024 51.3% ------------ ----- CHINA -- (0.1%) Other Securities...................... 2,088,732 0.2% ------------ ----- HONG KONG -- (21.2%) Esprit Holdings, Ltd.................. 12,854,950 21,468,905 1.5% Hopewell Holdings, Ltd................ 2,385,000 8,209,761 0.6% # Luk Fook Holdings International, Ltd.. 2,487,000 7,061,737 0.5% Melco International Development, Ltd.. 4,358,000 13,383,642 1.0% Pacific Basin Shipping, Ltd........... 12,828,000 7,535,656 0.5% # SA SA International Holdings, Ltd..... 7,820,000 6,560,548 0.5% Xinyi Glass Holdings, Ltd............. 13,316,000 10,506,644 0.8% Other Securities...................... 287,931,533 20.3% ------------ ----- TOTAL HONG KONG........................... 362,658,426 25.7% ------------ -----
205 THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- NEW ZEALAND -- (7.3%) # Fisher & Paykel Healthcare Corp., Ltd.. 3,763,394 $ 13,265,637 0.9% Port of Tauranga, Ltd.................. 528,322 6,560,678 0.5% # Ryman Healthcare, Ltd.................. 2,086,942 15,589,741 1.1% Sky Network Television, Ltd............ 1,730,057 9,985,491 0.7% SKYCITY Entertainment Group, Ltd....... 3,798,254 13,869,634 1.0% Other Securities....................... 65,017,257 4.6% -------------- ------ TOTAL NEW ZEALAND............................ 124,288,438 8.8% -------------- ------ SINGAPORE -- (11.1%) Singapore Post, Ltd.................... 8,837,120 9,983,859 0.7% Venture Corp., Ltd..................... 1,650,000 10,106,502 0.7% Other Securities....................... 170,174,764 12.1% -------------- ------ TOTAL SINGAPORE.............................. 190,265,125 13.5% -------------- ------ TOTAL COMMON STOCKS.......................... 1,401,888,745 99.5% -------------- ------ RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) Other Securities....................... 357,205 0.0% -------------- ------ HONG KONG -- (0.0%) Other Securities....................... 16,808 0.0% -------------- ------ SINGAPORE -- (0.0%) Other Securities....................... 8,531 0.0% -------------- ------ TOTAL RIGHTS/WARRANTS........................ 382,544 0.0% -------------- ------ Shares/ Face Amount Value+ ------- ------ (000) SECURITIES LENDING COLLATERAL -- (18.0%) (S)@ DFA Short Term Investment Fund......... 26,673,434 308,611,628 21.9% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $1,619,552,911).................... $1,710,882,917 121.4% ============== ======
206 THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED Summary of the Series' investments as of April 30, 2014, 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................... $234,096 $ 722,353,928 -- $ 722,588,024 China....................... -- 2,088,732 -- 2,088,732 Hong Kong................... 255,437 362,402,989 -- 362,658,426 New Zealand................. -- 124,288,438 -- 124,288,438 Singapore................... -- 190,265,125 -- 190,265,125 Rights/Warrants Australia................... -- 357,205 -- 357,205 Hong Kong................... -- 16,808 -- 16,808 Singapore................... -- 8,531 -- 8,531 Securities Lending Collateral. -- 308,611,628 -- 308,611,628 -------- -------------- -- -------------- TOTAL......................... $489,533 $1,710,393,384 -- $1,710,882,917 ======== ============== == ==============
See accompanying Notes to Financial Statements. 207 THE UNITED KINGDOM SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2014 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (98.2%) Consumer Discretionary -- (25.5%) Barratt Developments P.L.C........ 4,268,971 $ 26,698,834 1.2% Bellway P.L.C..................... 652,849 15,898,650 0.7% Berkeley Group Holdings P.L.C..... 650,346 25,234,511 1.2% Daily Mail & General Trust P.L.C.. 1,328,069 18,306,282 0.9% Greene King P.L.C................. 1,421,372 21,399,005 1.0% Home Retail Group P.L.C........... 4,196,363 14,499,738 0.7% Howden Joinery Group P.L.C........ 3,180,986 17,512,897 0.8% Inchcape P.L.C.................... 2,319,770 25,200,127 1.2% Informa P.L.C..................... 3,121,619 25,492,179 1.2% * Persimmon P.L.C................... 904,357 20,069,472 0.9% Rightmove P.L.C................... 466,340 18,998,360 0.9% Taylor Wimpey P.L.C............... 15,614,170 27,768,941 1.3% * Thomas Cook Group P.L.C........... 7,517,966 22,223,846 1.0% William Hill P.L.C................ 3,678,697 22,042,897 1.0% Other Securities.................. 254,217,680 11.8% ------------ ----- Total Consumer Discretionary.......... 555,563,419 25.8% ------------ ----- Consumer Staples -- (4.1%) Booker Group P.L.C................ 7,511,637 18,685,793 0.9% Britvic P.L.C..................... 1,240,873 15,197,635 0.7% Other Securities.................. 54,619,670 2.5% ------------ ----- Total Consumer Staples................ 88,503,098 4.1% ------------ ----- Energy -- (5.8%) * Afren P.L.C....................... 5,639,345 14,979,341 0.7% AMEC P.L.C........................ 1,114,094 23,268,048 1.1% John Wood Group P.L.C............. 1,508,579 20,003,334 0.9% Premier Oil P.L.C................. 2,484,308 14,225,273 0.7% Other Securities.................. 53,247,457 2.4% ------------ ----- Total Energy.......................... 125,723,453 5.8% ------------ ----- Financials -- (14.4%) Amlin P.L.C....................... 2,613,209 19,757,633 0.9% Catlin Group, Ltd................. 1,812,653 16,189,202 0.8% Close Brothers Group P.L.C........ 777,213 18,358,740 0.9% Henderson Group P.L.C............. 5,229,541 22,218,077 1.0% Hiscox, Ltd....................... 1,645,320 19,629,497 0.9% ICAP P.L.C........................ 2,874,272 20,133,934 0.9% IG Group Holdings P.L.C........... 1,796,260 19,316,253 0.9% Man Group P.L.C................... 9,800,117 16,354,917 0.8% Other Securities.................. 161,296,743 7.4% ------------ ----- Total Financials...................... 313,254,996 14.5% ------------ ----- Health Care -- (2.9%) * BTG P.L.C......................... 1,781,080 16,015,427 0.8% Hikma Pharmaceuticals P.L.C....... 713,706 18,728,962 0.9% Other Securities.................. 29,069,010 1.3% ------------ ----- Total Health Care..................... 63,813,399 3.0% ------------ ----- Industrials -- (25.2%) Ashtead Group P.L.C............... 2,326,314 34,467,088 1.6% Balfour Beatty P.L.C.............. 3,596,658 17,080,799 0.8% BBA Aviation P.L.C................ 2,792,163 14,648,757 0.7%
208 THE UNITED KINGDOM SMALL COMPANY SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- Industrials -- (Continued) Berendsen P.L.C................. 832,065 $ 14,541,122 0.7% Bodycote P.L.C.................. 1,253,236 15,464,310 0.7% Cobham P.L.C.................... 5,618,202 29,309,381 1.4% DCC P.L.C....................... 431,941 22,147,399 1.0% Hays P.L.C...................... 7,041,541 17,964,367 0.8% Melrose Industries P.L.C........ 3,712,937 17,930,030 0.8% Rentokil Initial P.L.C.......... 7,336,389 14,782,500 0.7% Rotork P.L.C.................... 339,433 14,886,294 0.7% Spirax-Sarco Engineering P.L.C.. 369,703 18,123,272 0.8% Stagecoach Group P.L.C.......... 2,248,039 14,097,073 0.7% Other Securities................ 303,280,796 14.0% -------------- ------ Total Industrials...................... 548,723,188 25.4% -------------- ------ Information Technology -- (7.7%) Halma P.L.C..................... 1,878,529 17,847,458 0.8% Spectris P.L.C.................. 601,319 22,625,619 1.1% Other Securities................ 126,510,630 5.8% -------------- ------ Total Information Technology........... 166,983,707 7.7% -------------- ------ Materials -- (7.5%) Croda International P.L.C....... 442,133 19,256,876 0.9% DS Smith P.L.C.................. 4,875,734 25,983,032 1.2% Other Securities................ 118,648,706 5.5% -------------- ------ Total Materials........................ 163,888,614 7.6% -------------- ------ Telecommunication Services -- (2.6%) Inmarsat P.L.C.................. 2,296,017 28,251,173 1.3% Other Securities................ 29,524,691 1.4% -------------- ------ Total Telecommunication Services....... 57,775,864 2.7% -------------- ------ Utilities -- (2.5%) Drax Group P.L.C................ 2,103,725 23,549,099 1.1% Pennon Group P.L.C.............. 2,007,940 25,704,962 1.2% Other Securities................ 5,970,020 0.3% -------------- ------ Total Utilities........................ 55,224,081 2.6% -------------- ------ TOTAL COMMON STOCKS.................... 2,139,453,819 99.2% -------------- ------ PREFERRED STOCKS -- (0.0%) Other Securities................ 24,556 0.0% -------------- ------ Shares/ Face Amount Value+ ------- ------ (000) SECURITIES LENDING COLLATERAL -- (1.8%) (S)@ DFA Short Term Investment Fund.. 3,383,365 39,145,532 1.8% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $1,426,290,113).............. $2,178,623,907 101.0% ============== ======
209 THE UNITED KINGDOM SMALL COMPANY SERIES CONTINUED Summary of the Series' investments as of April 30, 2014, 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...... -- $ 555,563,419 -- $ 555,563,419 Consumer Staples............ -- 88,503,098 -- 88,503,098 Energy...................... $1,369,297 124,354,156 -- 125,723,453 Financials.................. -- 313,254,996 -- 313,254,996 Health Care................. -- 63,813,399 -- 63,813,399 Industrials................. 141,153 548,582,035 -- 548,723,188 Information Technology...... -- 166,983,707 -- 166,983,707 Materials................... -- 163,888,614 -- 163,888,614 Telecommunication Services.. -- 57,775,864 -- 57,775,864 Utilities................... -- 55,224,081 -- 55,224,081 Preferred Stocks.............. -- 24,556 -- 24,556 Securities Lending Collateral. -- 39,145,532 -- 39,145,532 ---------- -------------- -- -------------- TOTAL......................... $1,510,450 $2,177,113,457 -- $2,178,623,907 ========== ============== == ==============
See accompanying Notes to Financial Statements. 210 THE CONTINENTAL SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2014 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (83.4%) AUSTRIA -- (2.1%) Other Securities.......... $ 91,183,148 2.5% ------------ ----- BELGIUM -- (2.7%) Ackermans & van Haaren NV. 118,073 15,268,356 0.4% Other Securities.......... 101,424,201 2.8% ------------ ----- TOTAL BELGIUM................. 116,692,557 3.2% ------------ ----- DENMARK -- (4.1%) GN Store Nord A.S......... 772,340 18,658,711 0.5% * Jyske Bank A.S............ 301,282 16,564,443 0.5% * Topdanmark A.S............ 507,925 14,861,733 0.4% * Vestas Wind Systems A.S... 533,999 23,715,469 0.7% Other Securities.......... 102,172,521 2.8% ------------ ----- TOTAL DENMARK................. 175,972,877 4.9% ------------ ----- FINLAND -- (5.7%) # Elisa Oyj................. 702,558 20,996,081 0.6% Kesko Oyj Class B......... 315,046 12,895,665 0.4% # Metso Oyj................. 499,824 20,117,792 0.6% # Neste Oil Oyj............. 609,759 12,540,136 0.4% Other Securities.......... 180,019,515 4.8% ------------ ----- TOTAL FINLAND................. 246,569,189 6.8% ------------ ----- FRANCE -- (10.8%) * Alcatel-Lucent............ 4,446,911 17,635,210 0.5% # Ingenico.................. 157,666 13,758,146 0.4% Lagardere SCA............. 498,840 20,906,648 0.6% # Neopost SA................ 167,752 13,774,636 0.4% #* Peugeot SA................ 1,076,690 19,049,823 0.5% Teleperformance........... 275,593 15,805,902 0.4% Other Securities.......... 364,428,615 10.0% ------------ ----- TOTAL FRANCE.................. 465,358,980 12.8% ------------ ----- GERMANY -- (12.0%) * Aareal Bank AG............ 423,110 19,232,324 0.5% # Deutsche Wohnen AG........ 837,032 17,968,901 0.5% Freenet AG................ 498,012 17,247,703 0.5% # MTU Aero Engines AG....... 153,372 14,460,904 0.4% # Rheinmetall AG............ 195,657 13,034,596 0.4% Rhoen Klinikum AG......... 500,406 16,157,728 0.5% Stada Arzneimittel AG..... 298,237 13,004,803 0.4% Other Securities.......... 406,963,205 11.1% ------------ ----- TOTAL GERMANY................. 518,070,164 14.3% ------------ ----- GREECE -- (0.0%) Other Securities.......... 140,446 0.0% ------------ ----- IRELAND -- (1.7%) Paddy Power P.L.C......... 175,221 13,563,627 0.4% Other Securities.......... 61,055,913 1.7% ------------ ----- TOTAL IRELAND................. 74,619,540 2.1% ------------ -----
211 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- ISRAEL -- (2.1%) Other Securities...................... $ 90,746,828 2.5% ------------ ----- ITALY -- (8.5%) Azimut Holding SpA.................... 491,069 15,330,070 0.4% * Banca Popolare dell'Emilia Romagna SC. 1,449,109 16,703,718 0.5% #* Banca Popolare di Milano SCRL......... 13,321,904 13,472,478 0.4% #* Banco Popolare SC..................... 1,398,450 28,900,941 0.8% * Finmeccanica SpA...................... 1,838,316 17,012,572 0.5% Other Securities...................... 276,213,451 7.6% ------------ ----- TOTAL ITALY............................... 367,633,230 10.2% ------------ ----- NETHERLANDS -- (5.0%) Aalberts Industries NV................ 480,720 16,013,637 0.4% Delta Lloyd NV........................ 982,406 25,854,916 0.7% Fugro NV.............................. 187,058 12,395,329 0.3% Nutreco NV............................ 359,256 16,724,497 0.5% * SBM Offshore NV....................... 962,257 17,613,428 0.5% Other Securities...................... 125,951,348 3.5% ------------ ----- TOTAL NETHERLANDS......................... 214,553,155 5.9% ------------ ----- NORWAY -- (2.7%) * DNO International ASA................. 3,792,519 13,171,371 0.4% Other Securities...................... 104,476,401 2.8% ------------ ----- TOTAL NORWAY.............................. 117,647,772 3.2% ------------ ----- PORTUGAL -- (1.7%) #* Banco Comercial Portugues SA.......... 44,641,579 13,566,339 0.4% Other Securities...................... 60,933,496 1.7% ------------ ----- TOTAL PORTUGAL............................ 74,499,835 2.1% ------------ ----- SPAIN -- (5.1%) # Bolsas y Mercados Espanoles SA........ 342,685 14,929,199 0.4% * Jazztel P.L.C......................... 1,044,478 16,041,093 0.5% Other Securities...................... 186,878,491 5.1% ------------ ----- TOTAL SPAIN............................... 217,848,783 6.0% ------------ ----- SWEDEN -- (8.8%) Castellum AB.......................... 752,681 12,835,253 0.4% Husqvarna AB Class B.................. 1,703,432 14,222,953 0.4% # JM AB................................. 372,482 12,656,896 0.4% Meda AB Class A....................... 976,572 17,553,824 0.5% NCC AB Class B........................ 373,389 13,081,870 0.4% Other Securities...................... 309,049,087 8.4% ------------ ----- TOTAL SWEDEN.............................. 379,399,883 10.5% ------------ ----- SWITZERLAND -- (10.4%) * Dufry AG.............................. 89,373 14,790,930 0.4% # Galenica AG........................... 16,866 17,174,300 0.5% GAM Holding AG........................ 806,220 14,683,775 0.4% Georg Fischer AG...................... 18,366 14,569,839 0.4% Helvetia Holding AG................... 27,336 13,625,582 0.4% Lonza Group AG........................ 255,221 26,711,567 0.7% OC Oerlikon Corp. AG.................. 858,856 13,681,316 0.4% PSP Swiss Property AG................. 148,327 14,256,468 0.4%
212 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- SWITZERLAND -- (Continued) Other Securities................ $ 320,095,537 8.8% -------------- ------ TOTAL SWITZERLAND....................... 449,589,314 12.4% -------------- ------ UNITED KINGDOM -- (0.0%) Other Securities................ 378,477 0.0% -------------- ------ TOTAL COMMON STOCKS..................... 3,600,904,178 99.4% -------------- ------ RIGHTS/WARRANTS -- (0.1%) AUSTRIA -- (0.0%) Other Securities................ -- 0.0% -------------- ------ FRANCE -- (0.1%) Other Securities................ 2,059,874 0.1% -------------- ------ ISRAEL -- (0.0%) Other Securities................ 10,893 0.0% -------------- ------ ITALY -- (0.0%) Other Securities................ -- 0.0% -------------- ------ PORTUGAL -- (0.0%) Other Securities................ 286,655 0.0% -------------- ------ SPAIN -- (0.0%) Other Securities................ 471,463 0.0% -------------- ------ SWEDEN -- (0.0%) Other Securities................ 193,526 0.0% -------------- ------ TOTAL RIGHTS/WARRANTS................... 3,022,411 0.1% -------------- ------ Shares/ Face Amount Value+ ------- ------ (000) SECURITIES LENDING COLLATERAL -- (16.5%) (S)@ DFA Short Term Investment Fund.. 61,420,624 710,636,625 19.6% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $3,155,257,765)............... $4,314,563,214 119.1% ============== ======
213 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED Summary of the Series' investments as of April 30, 2014, 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..................... $ 14,102 $ 91,169,046 -- $ 91,183,148 Belgium..................... -- 116,692,557 -- 116,692,557 Denmark..................... -- 175,972,877 -- 175,972,877 Finland..................... -- 246,569,189 -- 246,569,189 France...................... -- 465,358,980 -- 465,358,980 Germany..................... 9,143,389 508,926,775 -- 518,070,164 Greece...................... -- 140,446 -- 140,446 Ireland..................... 93,788 74,525,752 -- 74,619,540 Israel...................... -- 90,746,828 -- 90,746,828 Italy....................... -- 367,633,230 -- 367,633,230 Netherlands................. 2,691,653 211,861,502 -- 214,553,155 Norway...................... -- 117,647,772 -- 117,647,772 Portugal.................... -- 74,499,835 -- 74,499,835 Spain....................... 153,883 217,694,900 -- 217,848,783 Sweden...................... 3,828,654 375,571,229 -- 379,399,883 Switzerland................. -- 449,589,314 -- 449,589,314 United Kingdom.............. -- 378,477 -- 378,477 Rights/Warrants Austria..................... -- -- -- -- France...................... -- 2,059,874 -- 2,059,874 Israel...................... -- 10,893 -- 10,893 Italy....................... -- -- -- -- Portugal.................... -- 286,655 -- 286,655 Spain....................... -- 471,463 -- 471,463 Sweden...................... -- 193,526 -- 193,526 Securities Lending Collateral. -- 710,636,625 -- 710,636,625 ----------- -------------- -- -------------- TOTAL......................... $15,925,469 $4,298,637,745 -- $4,314,563,214 =========== ============== == ==============
See accompanying Notes to Financial Statements. 214 THE CANADIAN SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2014 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (80.1%) Consumer Discretionary -- (7.7%) # Cineplex, Inc.......................... 271,135 $ 10,219,047 1.2% # Corus Entertainment, Inc. Class B...... 369,716 8,304,738 1.0% #* Imax Corp.............................. 229,046 5,870,081 0.7% Linamar Corp........................... 269,606 13,496,904 1.6% RONA, Inc.............................. 681,945 6,875,136 0.8% Other Securities....................... 38,233,526 4.4% ------------ ----- Total Consumer Discretionary............... 82,999,432 9.7% ------------ ----- Consumer Staples -- (2.7%) Maple Leaf Foods, Inc.................. 500,264 8,265,847 0.9% Other Securities....................... 20,983,102 2.5% ------------ ----- Total Consumer Staples..................... 29,248,949 3.4% ------------ ----- Energy -- (23.7%) * Advantage Oil & Gas, Ltd............... 1,098,231 6,953,810 0.8% * Bankers Petroleum, Ltd................. 1,277,846 6,960,212 0.8% * Bellatrix Exploration, Ltd............. 938,858 9,131,177 1.1% Calfrac Well Services, Ltd............. 159,947 5,538,058 0.6% * Crew Energy, Inc....................... 542,884 6,151,744 0.7% # Enbridge Income Fund Holdings, Inc..... 227,285 5,524,267 0.6% * Gran Tierra Energy, Inc................ 1,391,012 9,886,395 1.2% * Legacy Oil + Gas, Inc.................. 745,800 5,804,182 0.7% # Mullen Group, Ltd...................... 458,025 12,419,600 1.4% * NuVista Energy, Ltd.................... 606,009 6,048,755 0.7% # Parkland Fuel Corp..................... 353,327 6,543,988 0.8% # Pason Systems, Inc..................... 292,560 8,125,110 1.0% Secure Energy Services, Inc............ 437,854 7,853,848 0.9% ShawCor, Ltd........................... 125,996 5,612,084 0.7% Trican Well Service, Ltd............... 643,185 9,213,087 1.1% Trinidad Drilling, Ltd................. 663,617 7,422,968 0.9% # Whitecap Resources, Inc................ 848,168 11,189,735 1.3% Other Securities....................... 123,066,870 14.1% ------------ ----- Total Energy............................... 253,445,890 29.4% ------------ ----- Financials -- (6.2%) Canadian Western Bank.................. 300,957 10,198,023 1.2% FirstService Corp...................... 138,348 6,828,728 0.8% # Home Capital Group, Inc................ 241,200 10,191,115 1.2% Laurentian Bank of Canada.............. 147,250 6,325,013 0.7% Other Securities....................... 33,049,262 3.8% ------------ ----- Total Financials........................... 66,592,141 7.7% ------------ ----- Health Care -- (1.8%) * Endo International P.L.C............... 87,493 5,484,827 0.7% Other Securities....................... 13,758,022 1.5% ------------ ----- Total Health Care.......................... 19,242,849 2.2% ------------ ----- Industrials -- (11.5%) * ATS Automation Tooling Systems, Inc.... 455,298 5,898,665 0.7% # Black Diamond Group, Ltd............... 199,089 6,259,392 0.7% MacDonald Dettwiler & Associates, Ltd.. 85,470 6,628,302 0.8% # Ritchie Bros Auctioneers, Inc.......... 347,194 8,676,286 1.0% # Russel Metals, Inc..................... 316,110 9,301,170 1.1%
215 THE CANADIAN SMALL COMPANY SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- Industrials -- (Continued) Stantec, Inc...................... 228,285 $ 13,529,851 1.6% TransForce, Inc................... 388,103 8,473,432 1.0% WSP Global, Inc................... 189,353 6,480,207 0.8% Other Securities.................. 58,517,140 6.7% -------------- ------ Total Industrials....................... 123,764,445 14.4% -------------- ------ Information Technology -- (4.8%) * Celestica, Inc.................... 949,607 10,535,305 1.2% # Davis + Henderson Corp............ 380,812 11,027,757 1.3% Other Securities.................. 29,406,747 3.4% -------------- ------ Total Information Technology............ 50,969,809 5.9% -------------- ------ Materials -- (17.2%) Alamos Gold, Inc.................. 579,498 5,419,328 0.6% * B2Gold Corp....................... 2,539,819 7,299,329 0.9% CCL Industries, Inc. Class B...... 111,467 10,135,305 1.2% # HudBay Minerals, Inc.............. 872,492 7,442,909 0.9% * Osisko Mining Corp................ 1,551,415 11,111,361 1.3% # Pan American Silver Corp.......... 627,915 8,135,024 1.0% Sherritt International Corp....... 1,628,826 6,895,445 0.8% Other Securities.................. 128,188,750 14.8% -------------- ------ Total Materials......................... 184,627,451 21.5% -------------- ------ Telecommunication Services -- (0.3%) Other Securities.................. 2,808,121 0.3% -------------- ------ Utilities -- (4.2%) # Algonquin Power & Utilities Corp.. 912,415 6,559,765 0.8% # Capital Power Corp................ 389,209 8,742,599 1.0% # Just Energy Group, Inc............ 675,567 5,368,540 0.6% # Northland Power, Inc.............. 373,925 5,844,017 0.7% # Superior Plus Corp................ 653,197 7,872,572 0.9% Other Securities.................. 10,170,144 1.2% -------------- ------ Total Utilities......................... 44,557,637 5.2% -------------- ------ TOTAL COMMON STOCKS..................... 858,256,724 99.7% -------------- ------ Shares/ Face Amount Value+ ------- ------ (000) SECURITIES LENDING COLLATERAL -- (19.9%) (S)@ DFA Short Term Investment Fund.... 18,400,940 212,898,875 24.7% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $1,078,682,448)............... $1,071,155,599 124.4% ============== ======
216 THE CANADIAN SMALL COMPANY SERIES CONTINUED Summary of the Series' investments as of April 30, 2014, 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...... $ 82,999,432 -- -- $ 82,999,432 Consumer Staples............ 29,248,949 -- -- 29,248,949 Energy...................... 253,445,492 $ 398 -- 253,445,890 Financials.................. 66,592,141 -- -- 66,592,141 Health Care................. 19,234,585 8,264 -- 19,242,849 Industrials................. 123,764,445 -- -- 123,764,445 Information Technology...... 50,969,809 -- -- 50,969,809 Materials................... 184,584,754 42,697 -- 184,627,451 Telecommunication Services.. 2,808,121 -- -- 2,808,121 Utilities................... 44,557,637 -- -- 44,557,637 Securities Lending Collateral. -- 212,898,875 -- 212,898,875 ------------ ------------ -- -------------- TOTAL......................... $858,205,365 $212,950,234 -- $1,071,155,599 ============ ============ == ==============
See accompanying Notes to Financial Statements. 217 THE EMERGING MARKETS SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2014 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (88.9%) BRAZIL -- (6.7%) AMBEV SA ADR........................................ 4,150,723 $ 30,092,742 0.8% Cielo SA............................................ 743,950 13,179,074 0.3% Petroleo Brasileiro SA ADR.......................... 1,308,418 18,160,842 0.5% # Vale SA Sponsored ADR............................... 1,238,400 16,371,648 0.4% Other Securities.................................... 206,249,292 5.2% ------------ ------ TOTAL BRAZIL............................................ 284,053,598 7.2% ------------ ------ CHILE -- (1.5%) Other Securities.................................... 64,710,527 1.6% ------------ ------ CHINA -- (13.1%) Bank of China, Ltd. Class H......................... 64,409,100 28,461,762 0.7% China Construction Bank Corp. Class H............... 58,649,590 40,607,391 1.0% # China Mobile, Ltd. Sponsored ADR.................... 926,803 43,958,266 1.1% # CNOOC, Ltd. ADR..................................... 120,801 19,955,117 0.5% Industrial & Commercial Bank of China, Ltd. Class H. 59,907,185 35,718,118 0.9% PetroChina Co., Ltd. ADR............................ 143,410 16,538,041 0.4% Tencent Holdings, Ltd............................... 812,600 51,182,422 1.3% Other Securities.................................... 315,817,149 8.0% ------------ ------ TOTAL CHINA............................................. 552,238,266 13.9% ------------ ------ COLOMBIA -- (0.7%) Other Securities.................................... 29,238,872 0.7% ------------ ------ CZECH REPUBLIC -- (0.3%) Other Securities.................................... 12,511,686 0.3% ------------ ------ EGYPT -- (0.1%) Other Securities.................................... 4,201,649 0.1% ------------ ------ GREECE -- (0.5%) Other Securities.................................... 22,410,533 0.6% ------------ ------ HUNGARY -- (0.3%) Other Securities.................................... 12,077,981 0.3% ------------ ------ INDIA -- (7.3%) HDFC Bank, Ltd...................................... 1,530,953 18,415,560 0.5% Infosys, Ltd........................................ 246,907 13,124,831 0.3% ITC, Ltd............................................ 2,345,449 13,243,148 0.3% Reliance Industries, Ltd............................ 1,443,896 22,451,283 0.6% Tata Consultancy Services, Ltd...................... 504,640 18,333,675 0.5% Other Securities.................................... 223,122,534 5.6% ------------ ------ TOTAL INDIA............................................. 308,691,031 7.8% ------------ ------ INDONESIA -- (2.9%) Astra International Tbk PT.......................... 20,701,010 13,337,497 0.4% Other Securities.................................... 106,769,377 2.6% ------------ ------ TOTAL INDONESIA......................................... 120,106,874 3.0% ------------ ------
218 THE EMERGING MARKETS SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- MALAYSIA -- (4.2%) # CIMB Group Holdings Bhd..................... 5,534,976 $ 12,750,320 0.3% # Malayan Banking Bhd......................... 4,820,521 14,632,704 0.4% Other Securities............................ 149,286,724 3.7% -------------- ------ TOTAL MALAYSIA.................................. 176,669,748 4.4% -------------- ------ MEXICO -- (5.1%) # America Movil S.A.B. de C.V. Series L....... 37,750,669 38,060,142 1.0% #* Cemex S.A.B. de C.V. Sponsored ADR.......... 1,337,402 16,904,765 0.4% Fomento Economico Mexicano S.A.B. de C.V.... 1,793,669 16,295,924 0.4% # Grupo Financiero Banorte S.A.B. de C.V...... 2,819,018 18,722,705 0.5% Grupo Mexico S.A.B. de C.V. Series B........ 4,225,397 12,725,202 0.3% Grupo Televisa S.A.B. Series CPO............ 2,556,698 16,751,841 0.4% # Wal-Mart de Mexico S.A.B. de C.V. Series V.. 5,248,185 13,278,166 0.3% Other Securities............................ 83,475,903 2.1% -------------- ------ TOTAL MEXICO.................................... 216,214,648 5.4% -------------- ------ PERU -- (0.3%) Other Securities............................ 12,233,584 0.3% -------------- ------ PHILIPPINES -- (1.3%) Other Securities............................ 55,163,199 1.4% -------------- ------ POLAND -- (1.9%) Powszechna Kasa Oszczednosci Bank Polski SA. 967,168 13,272,814 0.3% Other Securities............................ 65,668,845 1.7% -------------- ------ TOTAL POLAND.................................... 78,941,659 2.0% -------------- ------ RUSSIA -- (3.4%) Gazprom OAO Sponsored ADR................... 6,186,601 44,710,169 1.1% Lukoil OAO Sponsored ADR.................... 430,626 22,797,092 0.6% Other Securities............................ 74,082,277 1.9% -------------- ------ TOTAL RUSSIA.................................... 141,589,538 3.6% -------------- ------ SOUTH AFRICA -- (7.9%) FirstRand, Ltd.............................. 3,475,911 12,789,231 0.3% MTN Group, Ltd.............................. 1,869,995 37,515,477 0.9% Naspers, Ltd. Class N....................... 444,856 42,038,561 1.1% Sasol, Ltd. Sponsored ADR................... 609,116 33,751,118 0.9% Standard Bank Group, Ltd.................... 1,498,309 19,686,203 0.5% Other Securities............................ 185,951,484 4.7% -------------- ------ TOTAL SOUTH AFRICA.............................. 331,732,074 8.4% -------------- ------ SOUTH KOREA -- (13.9%) Hyundai Mobis............................... 67,404 19,256,211 0.5% # Hyundai Motor Co............................ 151,763 33,838,057 0.9% Kia Motors Corp............................. 270,079 14,984,572 0.4% Naver Corp.................................. 27,242 19,617,420 0.5% POSCO....................................... 47,828 14,129,742 0.4% Samsung Electronics Co., Ltd................ 81,120 105,777,262 2.7% Samsung Electronics Co., Ltd. GDR........... 49,372 31,872,757 0.8% Shinhan Financial Group Co., Ltd............ 374,876 16,362,733 0.4% * SK Hynix, Inc............................... 512,610 19,988,432 0.5% Other Securities............................ 308,657,620 7.6% -------------- ------ TOTAL SOUTH KOREA............................... 584,484,806 14.7% -------------- ------
219 THE EMERGING MARKETS SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- TAIWAN -- (13.3%) Hon Hai Precision Industry Co., Ltd.......... 12,802,056 $ 36,767,003 0.9% MediaTek, Inc................................ 1,280,995 20,073,171 0.5% Taiwan Semiconductor Manufacturing Co., Ltd.. 25,188,808 98,975,776 2.5% Other Securities............................. 403,470,157 10.2% -------------- ------ TOTAL TAIWAN....................................... 559,286,107 14.1% -------------- ------ THAILAND -- (2.5%) Other Securities............................. 103,805,802 2.6% -------------- ------ TURKEY -- (1.7%) Other Securities............................. 69,707,052 1.8% -------------- ------ TOTAL COMMON STOCKS................................ 3,740,069,234 94.2% -------------- ------ PREFERRED STOCKS -- (4.3%) BRAZIL --(4.2%) Banco Bradesco SA............................ 2,233,995 33,253,187 0.8% Itau Unibanco Holding SA..................... 2,568,240 42,386,470 1.1% Vale SA...................................... 1,529,491 18,122,728 0.5% Petroleo Brasileiro SA Sponsored ADR......... 1,981,166 29,321,257 0.8% Other Securities............................. 52,447,182 1.3% -------------- ------ TOTAL BRAZIL....................................... 175,530,824 4.5% -------------- ------ CHILE -- (0.0%) Other Securities............................. 37,233 0.0% -------------- ------ COLOMBIA -- (0.1%) Other Securities............................. 4,491,365 0.1% -------------- ------ INDIA -- (0.0%) Other Securities............................. 104,480 0.0% -------------- ------ TOTAL PREFERRED STOCKS............................. 180,163,902 4.6% -------------- ------ RIGHTS/WARRANTS -- (0.0%) BRAZIL -- (0.0%) Other Securities............................. 1,147 0.0% -------------- ------ HONG KONG -- (0.0%) Other Securities............................. 674 0.0% -------------- ------ PHILIPPINES -- (0.0%) Other Securities............................. 19 0.0% -------------- ------ SOUTH KOREA -- (0.0%) Other Securities............................. 105,022 0.0% -------------- ------ THAILAND -- (0.0%) Other Securities............................. 149,367 0.0% -------------- ------ TOTAL RIGHTS/WARRANTS.............................. 256,229 0.0% -------------- ------ Shares/ Face Amount Value+ ------- ------ - (000) SECURITIES LENDING COLLATERAL -- (6.8%) (S)@ DFA Short Term Investment Fund............... 24,744,687 286,296,034 7.2% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $3,075,524,424)............................. $4,206,785,399 106.0% ============== ======
220 THE EMERGING MARKETS SERIES CONTINUED Summary of the Series' investments as of April 30, 2014, 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...................... $ 284,053,598 -- -- $ 284,053,598 Chile....................... 64,710,527 -- -- 64,710,527 China....................... 119,688,115 $ 432,550,151 -- 552,238,266 Colombia.................... 29,238,872 -- -- 29,238,872 Czech Republic.............. -- 12,511,686 -- 12,511,686 Egypt....................... -- 4,201,649 -- 4,201,649 Greece...................... -- 22,410,533 -- 22,410,533 Hungary..................... -- 12,077,981 -- 12,077,981 India....................... 26,959,956 281,731,075 -- 308,691,031 Indonesia................... 441,711 119,665,163 -- 120,106,874 Malaysia.................... -- 176,669,748 -- 176,669,748 Mexico...................... 216,214,648 -- -- 216,214,648 Peru........................ 12,233,584 -- -- 12,233,584 Philippines................. 466,980 54,696,219 -- 55,163,199 Poland...................... -- 78,941,659 -- 78,941,659 Russia...................... 5,314,230 136,275,308 -- 141,589,538 South Africa................ 49,122,772 282,609,302 -- 331,732,074 South Korea................. 18,871,719 565,613,087 -- 584,484,806 Taiwan...................... 14,168,502 545,117,605 -- 559,286,107 Thailand.................... 103,805,802 -- -- 103,805,802 Turkey...................... 1,069,174 68,637,878 -- 69,707,052 Preferred Stocks Brazil...................... 175,530,824 -- -- 175,530,824 Chile....................... 37,233 -- -- 37,233 Colombia.................... 4,491,365 -- -- 4,491,365 India....................... 104,480 -- -- 104,480 Rights/Warrants Brazil...................... -- 1,147 -- 1,147 Hong Kong................... -- 674 -- 674 Philippines................. -- 19 -- 19 South Korea................. -- 105,022 -- 105,022 Thailand.................... -- 149,367 -- 149,367 Securities Lending Collateral -- 286,296,034 -- 286,296,034 -------------- -------------- -- -------------- TOTAL......................... $1,126,524,092 $3,080,261,307 -- $4,206,785,399 ============== ============== == ==============
See accompanying Notes to Financial Statements. 221 THE EMERGING MARKETS SMALL CAP SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2014 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (87.9%) BRAZIL -- (6.9%) ALL -- America Latina Logistica SA........... 2,092,128 $ 8,285,005 0.2% Anhanguera Educacional Participacoes SA...... 2,379,735 14,728,262 0.3% Cia Hering................................... 1,041,790 11,007,769 0.3% EDP -- Energias do Brasil SA................. 2,249,598 9,776,255 0.2% Equatorial Energia SA........................ 1,447,935 13,221,194 0.3% Estacio Participacoes SA..................... 1,643,304 17,599,327 0.4% Mills Estruturas e Servicos de Engenharia SA. 703,026 8,866,057 0.2% MRV Engenharia e Participacoes SA............ 3,395,133 10,749,922 0.2% Odontoprev SA................................ 2,549,265 10,232,502 0.2% Sul America SA............................... 1,801,909 13,212,784 0.3% Totvs SA..................................... 604,100 9,864,461 0.2% Other Securities............................. 206,207,230 4.8% -------------- ------ TOTAL BRAZIL..................................... 333,750,768 7.6% -------------- ------ CHILE -- (1.2%) Parque Arauco SA............................. 5,518,473 9,876,927 0.2% Vina Concha y Toro SA........................ 3,824,015 7,996,983 0.2% Other Securities............................. 41,004,617 0.9% -------------- ------ TOTAL CHILE...................................... 58,878,527 1.3% -------------- ------ CHINA -- (12.4%) # GOME Electrical Appliances Holding, Ltd...... 43,306,000 8,119,841 0.2% # Kingsoft Corp., Ltd.......................... 2,937,000 9,102,261 0.2% Sino Biopharmaceutical, Ltd.................. 13,536,000 10,605,251 0.3% Other Securities............................. 574,418,805 13.1% -------------- ------ TOTAL CHINA...................................... 602,246,158 13.8% -------------- ------ COLOMBIA -- (0.0%) Other Securities............................. 803,444 0.0% -------------- ------ GREECE -- (1.0%) Other Securities............................. 50,803,666 1.2% -------------- ------ HUNGARY -- (0.0%) Other Securities............................. 1,394,021 0.0% -------------- ------ INDIA -- (8.1%) Aurobindo Pharma, Ltd........................ 1,129,123 10,783,152 0.3% UPL, Ltd..................................... 2,016,992 8,959,003 0.2% Other Securities............................. 376,249,458 8.5% -------------- ------ TOTAL INDIA...................................... 395,991,613 9.0% -------------- ------ INDONESIA -- (3.5%) Other Securities............................. 167,842,174 3.8% -------------- ------ ISRAEL -- (0.0%) Other Securities............................. 16,234 0.0% -------------- ------ MALAYSIA -- (5.8%) # Bursa Malaysia Bhd........................... 3,632,100 8,447,507 0.2% Other Securities............................. 274,096,774 6.2% -------------- ------ TOTAL MALAYSIA................................... 282,544,281 6.4% -------------- ------
222 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- MEXICO -- (4.6%) # Alsea S.A.B. de C.V..................................... 4,006,952 $ 13,859,057 0.3% # Banregio Grupo Financiero S.A.B. de C.V................. 1,487,396 8,616,670 0.2% #* Genomma Lab Internacional S.A.B. de C.V. Class B........ 7,354,004 18,679,066 0.4% * Gruma S.A.B. de C.V. Class B............................ 1,690,397 14,949,375 0.3% Grupo Aeroportuario del Pacifico S.A.B. de C.V. Class B. 2,116,469 12,739,824 0.3% Grupo Aeroportuario del Sureste S.A.B. de C.V. ADR...... 98,029 11,984,045 0.3% Grupo Aeroportuario del Sureste S.A.B. de C.V. Class B.. 713,342 8,730,060 0.2% #* Industrias CH S.A.B. de C.V. Series B................... 1,696,510 8,999,468 0.2% #* Promotora y Operadora de Infraestructura S.A.B. de C.V.. 1,698,488 23,719,307 0.5% Other Securities........................................ 99,129,487 2.4% -------------- ------ TOTAL MEXICO................................................ 221,406,359 5.1% -------------- ------ PHILIPPINES -- (1.4%) Other Securities........................................ 69,493,951 1.6% -------------- ------ POLAND -- (2.3%) Asseco Poland SA........................................ 620,582 9,240,662 0.2% * Grupa Lotos SA.......................................... 645,490 8,324,023 0.2% Lubelski Wegiel Bogdanka SA............................. 272,426 11,151,681 0.3% Other Securities........................................ 84,097,601 1.9% -------------- ------ TOTAL POLAND................................................ 112,813,967 2.6% -------------- ------ SOUTH AFRICA -- (7.4%) Aeci, Ltd............................................... 856,959 9,571,562 0.2% AVI, Ltd................................................ 2,687,799 14,830,459 0.3% Barloworld, Ltd......................................... 859,133 9,372,443 0.2% Clicks Group, Ltd....................................... 2,275,094 13,872,087 0.3% Coronation Fund Managers, Ltd........................... 1,346,747 13,004,885 0.3% Nampak, Ltd............................................. 2,490,646 9,291,754 0.2% * Northam Platinum, Ltd................................... 2,145,957 8,376,688 0.2% Omnia Holdings, Ltd..................................... 513,646 11,042,991 0.3% PPC, Ltd................................................ 4,213,403 12,258,981 0.3% Reunert, Ltd............................................ 1,274,935 8,378,275 0.2% #* Sappi, Ltd.............................................. 4,391,943 13,922,148 0.3% Spar Group, Ltd. (The).................................. 1,016,062 11,938,034 0.3% Sun International, Ltd.................................. 813,283 8,038,794 0.2% Tongaat Hulett, Ltd..................................... 744,400 8,850,235 0.2% Other Securities........................................ 206,766,869 4.7% -------------- ------ TOTAL SOUTH AFRICA.......................................... 359,516,205 8.2% -------------- ------ SOUTH KOREA -- (13.6%) DGB Financial Group, Inc................................ 682,483 10,353,694 0.3% Hotel Shilla Co., Ltd................................... 104,723 8,818,864 0.2% Hyosung Corp............................................ 121,019 8,645,977 0.2% # Hyundai Development Co.................................. 299,750 8,593,993 0.2% Macquarie Korea Infrastructure Fund..................... 1,514,061 9,376,240 0.2% Other Securities........................................ 614,513,213 14.0% -------------- ------ TOTAL SOUTH KOREA........................................... 660,301,981 15.1% -------------- ------ TAIWAN -- (13.1%) Other Securities........................................ 637,407,713 14.6% -------------- ------ THAILAND -- (3.9%) Other Securities........................................ 191,129,803 4.4% -------------- ------
223 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- TURKEY -- (2.7%) Other Securities................ $ 130,850,483 3.0% -------------- ------ TOTAL COMMON STOCKS..................... 4,277,191,348 97.7% -------------- ------ PREFERRED STOCKS -- (1.1%) BRAZIL -- (1.1%) Other Securities................ 50,734,982 1.2% -------------- ------ CHILE -- (0.0%) Other Securities................ 15,095 0.0% -------------- ------ COLOMBIA -- (0.0%) Other Securities................ 1,764,896 0.0% -------------- ------ TOTAL PREFERRED STOCKS.................. 52,514,973 1.2% -------------- ------ RIGHTS/WARRANTS -- (0.0%) BRAZIL -- (0.0%) Other Securities................ -- 0.0% -------------- ------ CHILE -- (0.0%) Other Securities................ -- 0.0% -------------- ------ INDIA -- (0.0%) Other Securities................ 11,605 0.0% -------------- ------ MALAYSIA -- (0.0%) Other Securities................ 45,846 0.0% -------------- ------ PHILIPPINES -- (0.0%) Other Securities................ 9,262 0.0% -------------- ------ SOUTH AFRICA -- (0.0%) Other Securities................ 12,893 0.0% -------------- ------ SOUTH KOREA -- (0.0%) Other Securities................ 517,706 0.0% -------------- ------ TAIWAN -- (0.0%) Other Securities................ 895 0.0% -------------- ------ THAILAND -- (0.0%) Other Securities................ 103,908 0.0% -------------- ------ TURKEY -- (0.0%) Other Securities................ 591,552 0.0% -------------- ------ TOTAL RIGHTS/WARRANTS................... 1,293,667 0.0% -------------- ------ Shares/ Face Amount Value+ ------- ------ - (000) SECURITIES LENDING COLLATERAL -- (11.0%) (S)@ DFA Short Term Investment Fund.. 46,389,128 536,722,214 12.3% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $4,396,701,201).................. $4,867,722,202 111.2% ============== ======
224 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED Summary of the Series' investments as of April 30, 2014, 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...................... $333,750,768 -- -- $ 333,750,768 Chile....................... 58,878,527 -- -- 58,878,527 China....................... 138,453 $ 602,107,705 -- 602,246,158 Colombia.................... 803,444 -- -- 803,444 Greece...................... -- 50,803,666 -- 50,803,666 Hungary..................... -- 1,394,021 -- 1,394,021 India....................... 908,836 395,082,777 -- 395,991,613 Indonesia................... 1,931,582 165,910,592 -- 167,842,174 Israel...................... -- 16,234 -- 16,234 Malaysia.................... -- 282,544,281 -- 282,544,281 Mexico...................... 221,229,791 176,568 -- 221,406,359 Philippines................. -- 69,493,951 -- 69,493,951 Poland...................... -- 112,813,967 -- 112,813,967 South Africa................ 12,889,367 346,626,838 -- 359,516,205 South Korea................. 2,197,056 658,104,925 -- 660,301,981 Taiwan...................... -- 637,407,713 -- 637,407,713 Thailand.................... 190,762,395 367,408 -- 191,129,803 Turkey...................... -- 130,850,483 -- 130,850,483 Preferred Stocks Brazil...................... 50,734,982 -- -- 50,734,982 Chile....................... 15,095 -- -- 15,095 Colombia.................... 1,764,896 -- -- 1,764,896 Rights/Warrants Brazil...................... -- -- -- -- Chile....................... -- -- -- -- India....................... -- 11,605 -- 11,605 Malaysia.................... -- 45,846 -- 45,846 Philippines................. -- 9,262 -- 9,262 South Africa................ -- 12,893 -- 12,893 South Korea................. 19,596 498,110 -- 517,706 Taiwan...................... 895 -- -- 895 Thailand.................... -- 103,908 -- 103,908 Turkey...................... -- 591,552 -- 591,552 Securities Lending Collateral. -- 536,722,214 -- 536,722,214 ------------ -------------- -- -------------- TOTAL......................... $876,025,683 $3,991,696,519 -- $4,867,722,202 ============ ============== == ==============
See accompanying Notes to Financial Statements. 225 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2014 (Unaudited) (Amounts in thousands)
The Japanese The Asia The U.S. Large The DFA Small Pacific Small Cap Value International Company Company Series Value Series* Series Series* -------------- ------------- ------------ ------------- ASSETS: Investments at Value (including $432,843, $922,064, $296,939 and $285,587 of securities on loan, respectively)........... $16,668,644 $ 9,480,370 $2,194,668 $1,402,271 Temporary Cash Investments at Value & Cost................... 69,498 -- -- -- Collateral from Securities on Loan Invested in Affiliate at Value & Cost................................................ 441,535 955,113 317,076 308,612 Foreign Currencies at Value.................................. -- 34,442 606 990 Cash......................................................... -- 12,095 953 2,102 Receivables: Investment Securities Sold................................. 22,131 8,683 1,884 1,890 Dividends, Interest and Tax Reclaims....................... 14,957 38,974 21,266 1,998 Securities Lending Income.................................. 265 2,482 262 342 Unrealized Gain on Foreign Currency Contracts................ -- 8 -- -- Prepaid Expenses and Other Assets............................ -- -- 1 2 ----------- ----------- ---------- ---------- Total Assets............................................ 17,217,030 10,532,167 2,536,716 1,718,207 ----------- ----------- ---------- ---------- LIABILITIES: Payables: Upon Return of Securities Loaned........................... 441,535 955,113 317,076 308,612 Investment Securities Purchased............................ 61,418 36,644 1,346 -- Due to Advisor............................................. 1,360 1,541 182 117 Unrealized Loss on Foreign Currency Contracts................ -- 10 9 -- Accrued Expenses and Other Liabilities....................... 779 474 182 100 ----------- ----------- ---------- ---------- Total Liabilities....................................... 505,092 993,782 318,795 308,829 ----------- ----------- ---------- ---------- NET ASSETS................................................... $16,711,938 $ 9,538,385 $2,217,921 $1,409,378 =========== =========== ========== ========== Investments at Cost.......................................... $10,414,840 $ 7,650,003 $2,109,778 $1,310,941 =========== =========== ========== ========== Foreign Currencies at Cost................................... $ -- $ 34,284 $ 605 $ 989 =========== =========== ========== ==========
---------- * See Note I in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 226 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2014 (Unaudited) (Amounts in thousands)
The The United Continental The Canadian Kingdom Small Small Small The Emerging Company Company Company The Emerging Markets Small Series Series* Series* Markets Series* Cap Series* ------------- ----------- ------------ --------------- ------------- ASSETS: Investments at Value (including $37,099, $654,103, $241,247, $349,865 and $652,668 of securities on loan, respectively).............................. $2,139,478 $3,603,927 $ 858,257 $3,920,489 $4,331,000 Collateral from Securities on Loan Invested in Affiliate at Value & Cost............... 39,146 710,637 212,899 286,296 536,722 Foreign Currencies at Value................. 3,585 8,501 1,146 6,932 26,355 Cash........................................ 259 677 410 30,539 13,561 Receivables: Investment Securities Sold................ 2,188 3,006 294 12,474 1,394 Dividends, Interest and Tax Reclaims...... 13,968 7,799 656 8,691 9,595 Securities Lending Income................. 24 1,682 260 436 1,818 Unrealized Gain on Foreign Currency Contracts.................................. -- 1 -- -- 1 ---------- ---------- ---------- ---------- ---------- Total Assets........................... 2,198,648 4,336,230 1,073,922 4,265,857 4,920,446 ---------- ---------- ---------- ---------- ---------- LIABILITIES: Payables: Upon Return of Securities Loaned.......... 39,146 710,637 212,899 286,296 536,722 Investment Securities Purchased........... 1,734 3,691 -- 5,504 6,244 Due to Advisor............................ 178 295 70 327 720 Unrealized Loss on Foreign Currency Contracts.................................. -- -- -- 8 2 Accrued Expenses and Other Liabilities...... 103 218 38 286 402 ---------- ---------- ---------- ---------- ---------- Total Liabilities...................... 41,161 714,841 213,007 292,421 544,090 ---------- ---------- ---------- ---------- ---------- NET ASSETS.................................. $2,157,487 $3,621,389 $ 860,915 $3,973,436 $4,376,356 ========== ========== ========== ========== ========== Investments at Cost......................... $1,387,145 $2,444,621 $ 865,784 $2,789,228 $3,859,979 ========== ========== ========== ========== ========== Foreign Currencies at Cost.................. $ 3,577 $ 8,476 $ 1,140 $ 6,901 $ 26,272 ========== ========== ========== ========== ==========
---------- * See Note I in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 227 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2014 (Unaudited) (Amounts in thousands)
The Japanese The Asia The U.S. The DFA Small Pacific Small Large Cap International Company Company Value Series Value Series Series Series ------------ ------------- ------------ ------------- Investment Income Dividends (Net of Foreign Taxes Withheld of $0, $11,473, $2,616 and $520, respectively)........................... $ 148,837 $270,261 $ 23,549 $ 20,810 Interest.................................................. 3 1 -- -- Income from Securities Lending............................ 1,553 5,549 1,450 1,902 ---------- -------- --------- -------- Total Investment Income................................ 150,393 275,811 24,999 22,712 ---------- -------- --------- -------- Expenses Investment Advisory Services Fees......................... 7,825 8,965 1,115 654 Accounting & Transfer Agent Fees.......................... 403 236 60 39 Custodian Fees............................................ 75 362 212 151 Shareholders' Reports..................................... 9 5 1 1 Directors'/Trustees' Fees & Expenses...................... 99 59 15 8 Professional Fees......................................... 172 101 25 14 Other..................................................... 36 47 15 8 ---------- -------- --------- -------- Total Expenses......................................... 8,619 9,775 1,443 875 ---------- -------- --------- -------- Fees Paid Indirectly...................................... -- (5) (1) (3) ---------- -------- --------- -------- Net Expenses.............................................. 8,619 9,770 1,442 872 ---------- -------- --------- -------- Net Investment Income (Loss).............................. 141,774 266,041 23,557 21,840 ---------- -------- --------- -------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold*............................. 366,497 124,552 45,562 1,126 Foreign Currency Transactions........................... -- 335 (531) 190 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.............. 907,355 101,142 (122,509) (15,777) Translation of Foreign Currency Denominated Amounts..... -- 66 (91) (4) ---------- -------- --------- -------- Net Realized and Unrealized Gain (Loss)................... 1,273,852 226,095 (77,569) (14,465) ---------- -------- --------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations................................................. $1,415,626 $492,136 $ (54,012) $ 7,375 ========== ======== ========= ========
---------- * Net of foreign capital gain taxes withheld of $0, $7, $0 and $0, respectively. See accompanying Notes to Financial Statements. 228 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2014 (Unaudited) (Amounts in thousands)
The United The Kingdom Continental The Canadian The Emerging Small Small Small The Emerging Markets Company Company Company Markets Small Cap Series Series Series Series Series ---------- ----------- ------------ ------------ ------------ Investment Income Dividends (Net of Foreign Taxes Withheld of $229, $4,968, $1,485, $4,027 and $3,287, respectively)........................................ $ 30,967 $ 32,089 $ 8,531 $ 33,520 $35,778 Interest.............................................. -- 21 -- 1 1 Income from Securities Lending........................ 149 5,627 1,509 2,174 8,352 -------- -------- ------- -------- ------- Total Investment Income............................ 31,116 37,737 10,040 35,695 44,131 -------- -------- ------- -------- ------- Expenses Investment Advisory Services Fees..................... 1,048 1,687 386 1,842 4,072 Accounting & Transfer Agent Fees...................... 56 92 20 100 110 Custodian Fees........................................ 62 351 26 674 1,041 Shareholders' Reports................................. 1 2 -- 2 3 Directors'/Trustees' Fees & Expenses.................. 13 21 5 24 26 Professional Fees..................................... 22 51 8 62 111 Other................................................. 10 17 3 20 28 -------- -------- ------- -------- ------- Total Expenses..................................... 1,212 2,221 448 2,724 5,391 -------- -------- ------- -------- ------- Fees Paid Indirectly.................................. -- (1) (1) (7) (4) -------- -------- ------- -------- ------- Net Expenses.......................................... 1,212 2,220 447 2,717 5,387 -------- -------- ------- -------- ------- Net Investment Income (Loss).......................... 29,904 35,517 9,593 32,978 38,744 -------- -------- ------- -------- ------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold*......................... 59,165 68,682 4,287 (19,598) 44,685 Futures............................................. -- (1,000) -- -- -- Foreign Currency Transactions....................... 188 1,010 (29) (37) (86) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.......... 99,246 367,643 66,933 (80,366) 9,022 Translation of Foreign Currency Denominated Amounts............................................ 91 78 17 29 95 -------- -------- ------- -------- ------- Net Realized and Unrealized Gain (Loss)............... 158,690 436,413 71,208 (99,972) 53,716 -------- -------- ------- -------- ------- Net Increase (Decrease) in Net Assets Resulting from Operations........................................ $188,594 $471,930 $80,801 $(66,994) $92,460 ======== ======== ======= ======== =======
---------- * Net of foreign capital gain taxes withheld of $38, $145, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 229 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
The U.S. Large Cap Value The DFA International The Japanese Small Series Value Series Company Series ------------------------ ----------------------- ---------------------- Six Months Year Six Months Year Six Months Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31, 2014 2013 2014 2013 2014 2013 ----------- ----------- ----------- ----------- ----------- ---------- (Unaudited) (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)........... $ 141,774 $ 250,494 $ 266,041 $ 252,489 $ 23,557 $ 37,996 Net Realized Gain (Loss) on: Investment Securities Sold*.......... 366,497 1,042,669 124,552 394,216 45,562 94,606 Futures.............................. -- -- -- (1,587) -- -- Foreign Currency Transactions........ -- -- 335 (2,158) (531) (2,405) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency............................ 907,355 2,531,751 101,142 1,329,657 (122,509) 403,911 Translation of Foreign Currency Denominated Amounts................. -- -- 66 544 (91) 393 ----------- ----------- ---------- ----------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations......................... 1,415,626 3,824,914 492,136 1,973,161 (54,012) 534,501 ----------- ----------- ---------- ----------- ---------- ---------- Transactions in Interest: Contributions.......................... 825,366 1,639,135 469,662 1,055,913 68,555 268,246 Withdrawals............................ (368,042) (1,214,213) (215,543) (1,475,193) (78,246) (207,854) ----------- ----------- ---------- ----------- ---------- ---------- Net Increase (Decrease) from Transactions in Interest........... 457,324 424,922 254,119 (419,280) (9,691) 60,392 ----------- ----------- ---------- ----------- ---------- ---------- Total Increase (Decrease) in Net Assets......................... 1,872,950 4,249,836 746,255 1,553,881 (63,703) 594,893 Net Assets Beginning of Period.................... 14,838,988 10,589,152 8,792,130 7,238,249 2,281,624 1,686,731 ----------- ----------- ---------- ----------- ---------- ---------- End of Period.......................... $16,711,938 $14,838,988 $9,538,385 $ 8,792,130 $2,217,921 $2,281,624 =========== =========== ========== =========== ========== ==========
---------- * Net of foreign capital gain taxes withheld of $0, $0, $7, $3, $0 and $0, respectively. See accompanying Notes to Financial Statements. 230 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
The Asia Pacific Small The United Kingdom Small The Continental Small Company Series Company Series Company Series ---------------------- ---------------------- ---------------------- Six Months Year Six Months Year Six Months Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31, 2014 2013 2014 2013 2014 2013 ----------- ---------- ----------- ---------- ----------- ---------- (Unaudited) (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)............ $ 21,840 $ 51,800 $ 29,904 $ 55,266 $ 35,517 $ 70,319 Net Realized Gain (Loss) on: Investment Securities Sold*........... 1,126 2,045 59,165 110,830 68,682 61,594 Futures............................... -- -- -- -- (1,000) -- Foreign Currency Transactions......... 190 32 188 8 1,010 (97) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency............................. (15,777) 64,761 99,246 377,497 367,643 843,629 Translation of Foreign Currency Denominated Amounts.................. (4) (13) 91 (22) 78 123 ---------- ---------- ---------- ---------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations.......................... 7,375 118,625 188,594 543,579 471,930 975,568 ---------- ---------- ---------- ---------- ---------- ---------- Transactions in Interest: Contributions........................... 193,486 243,954 5,444 20,921 21,726 97,213 Withdrawals............................. (56,981) (100,941) (24,838) (41,051) (90,033) (100,194) ---------- ---------- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Transactions in Interest............ 136,505 143,013 (19,394) (20,130) (68,307) (2,981) ---------- ---------- ---------- ---------- ---------- ---------- Total Increase (Decrease) in Net Assets.............................. 143,880 261,638 169,200 523,449 403,623 972,587 Net Assets Beginning of Period..................... 1,265,498 1,003,860 1,988,287 1,464,838 3,217,766 2,245,179 ---------- ---------- ---------- ---------- ---------- ---------- End of Period........................... $1,409,378 $1,265,498 $2,157,487 $1,988,287 $3,621,389 $3,217,766 ========== ========== ========== ========== ========== ==========
---------- * Net of foreign capital gain taxes withheld of $0, $0, $38, $14, $145 and $14, respectively. See accompanying Notes to Financial Statements. 231 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
The Canadian Small The Emerging Markets The Emerging Markets Company Series Series Small Cap Series -------------------- ---------------------- ---------------------- Six Months Year Six Months Year Six Months Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31, 2014 2013 2014 2013 2014 2013 ----------- -------- ----------- ---------- ----------- ---------- (Unaudited) (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)................. $ 9,593 $ 20,407 $ 32,978 $ 77,332 $ 38,744 $ 87,786 Net Realized Gain (Loss) on: Investment Securities Sold*................ 4,287 5,104 (19,598) 24,456 44,685 69,227 Futures.................................... -- -- -- -- -- 463 Foreign Currency Transactions.............. (29) (36) (37) (130) (86) (1,240) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................................. 66,933 14,601 (80,366) 145,893 9,022 144,458 Translation of Foreign Currency Denominated Amounts....................... 17 (11) 29 (8) 95 (41) -------- -------- ---------- ---------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations................ 80,801 40,065 (66,994) 247,543 92,460 300,653 -------- -------- ---------- ---------- ---------- ---------- Transactions in Interest: Contributions................................ 42,660 42,578 337,722 937,021 316,401 1,276,889 Withdrawals.................................. (3,750) (30,525) (63,452) (331,711) (124,028) (439,369) -------- -------- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Transactions in Interest................. 38,910 12,053 274,270 605,310 192,373 837,520 -------- -------- ---------- ---------- ---------- ---------- Total Increase (Decrease) in Net Assets................................... 119,711 52,118 207,276 852,853 284,833 1,138,173 Net Assets Beginning of Period.......................... 741,204 689,086 3,766,160 2,913,307 4,091,523 2,953,350 -------- -------- ---------- ---------- ---------- ---------- End of Period................................ $860,915 $741,204 $3,973,436 $3,766,160 $4,376,356 $4,091,523 ======== ======== ========== ========== ========== ==========
---------- * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $1, respectively. See accompanying Notes to Financial Statements. 232 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS
The U.S. Large Cap Value Series ---------------------------------------------------------------------------- Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 2009 ----------------------------------------------------------------------------- (Unaudited) ---------------------------------------------------------------------------------------------------------------------------- Total Return.................................. 9.45%(D) 35.68% 18.31% 5.69% 19.96% 11.90% ---------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)......... $16,711,938 $14,838,988 $10,589,152 $9,335,107 $8,816,400 $7,508,400 Ratio of Expenses to Average Net Assets....... 0.11%(E) 0.11% 0.12% 0.12% 0.12% 0.13% Ratio of Net Investment Income to Average Net Assets....................................... 1.81%(E) 1.98% 2.15% 1.79% 2.02% 2.42% Portfolio Turnover Rate....................... 8%(D) 15% 10% 14% 28% 29% ----------------------------------------------------------------------------------------------------------------------------
The DFA International Value Series -------------------------------------------------------------------------- Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 2009 --------------------------------------------------------------------------- (Unaudited) -------------------------------------------------------------------------------------------------------------------------- Total Return.................................. 5.51%(D) 28.18% 3.17% (8.04)% 11.13% 35.41% -------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)......... $9,538,385 $8,792,130 $7,238,249 $6,955,907 $6,919,633 $6,191,964 Ratio of Expenses to Average Net Assets....... 0.22%(E) 0.22% 0.24% 0.23% 0.24% 0.24% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)............. 0.22%(E) 0.22% 0.24% 0.23% 0.24% 0.24% Ratio of Net Investment Income to Average Net Assets....................................... 5.94%(E) 3.20% 3.75% 3.47% 2.55% 3.22% Portfolio Turnover Rate....................... 8%(D) 15% 14% 9% 20% 18% --------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 233 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS
The Japanese Small Company Series -------------------------------------------------------------------------- Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 2009 --------------------------------------------------------------------------- (Unaudited) -------------------------------------------------------------------------------------------------------------------------- Total Return.................................. (2.38)%(D) 30.62% 0.54% 10.07% 0.72% 22.69% -------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)......... $2,217,921 $2,281,624 $1,686,731 $1,502,815 $1,211,600 $1,183,036 Ratio of Expenses to Average Net Assets....... 0.13%(E) 0.14% 0.15% 0.14% 0.14% 0.15% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)............. 0.13%(E) 0.14% 0.15% 0.14% 0.14% 0.15% Ratio of Net Investment Income to Average Net Assets....................................... 2.11%(E) 1.87% 2.17% 2.07% 1.95% 2.15% Portfolio Turnover Rate....................... 5%(D) 16% 7% 5% 10% 7% --------------------------------------------------------------------------------------------------------------------------
The Asia Pacific Small Company Series -------------------------------------------------------------------- Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 2009 --------------------------------------------------------------------- (Unaudited) ------------------------------------------------------------------------------------------------------------------------- Total Return....................................... 0.21%(D) 10.97% 7.48% (5.15)% 28.91% 84.98% ------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands).............. $1,409,378 $1,265,498 $1,003,860 $906,734 $935,138 $680,997 Ratio of Expenses to Average Net Assets............ 0.13%(E) 0.15% 0.16% 0.16% 0.17% 0.18% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)............................. 0.13%(E) 0.15% 0.16% 0.16% 0.17% 0.18% Ratio of Net Investment Income to Average Net Assets............................................ 3.34%(E) 4.64% 4.26% 3.78% 3.64% 4.00% Portfolio Turnover Rate............................ 2%(D) 9% 18% 17% 18% 23% -------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 234 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS
The United Kingdom Small Company Series ----------------------------------------------------------------------- Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 2009 ------------------------------------------------------------------------ (Unaudited) ---------------------------------------------------------------------------------------------------------------------------- Total Return....................................... 9.52%(D) 37.42% 23.41% 0.20% 25.94% 43.51% ---------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands).............. $2,157,487 $1,988,287 $1,464,838 $1,133,845 $1,036,694 $770,472 Ratio of Expenses to Average Net Assets............ 0.12%(E) 0.12% 0.13% 0.13% 0.13% 0.14% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)............................. 0.12%(E) 0.12% 0.13% 0.13% 0.13% 0.14% Ratio of Net Investment Income to Average Net Assets............................................ 2.85%(E) 3.29% 3.37% 3.76% 2.86% 4.02% Portfolio Turnover Rate............................ 4%(D) 17% 6% 7% 15% 10% ----------------------------------------------------------------------------------------------------------------------------
The Continental Small Company Series -------------------------------------------------------------------------- Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 2009 --------------------------------------------------------------------------- (Unaudited) -------------------------------------------------------------------------------------------------------------------------- Total Return.................................. 14.89%(D) 43.67% 2.29% (10.75)% 15.37% 43.78% -------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)......... $3,621,389 $3,217,766 $2,245,179 $2,001,763 $2,072,484 $1,630,892 Ratio of Expenses to Average Net Assets....... 0.13%(E) 0.14% 0.16% 0.15% 0.15% 0.16% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)............. 0.13%(E) 0.14% 0.16% 0.15% 0.15% 0.16% Ratio of Net Investment Income to Average Net Assets....................................... 2.11%(E) 2.67% 3.15% 2.72% 2.24% 2.93% Portfolio Turnover Rate....................... 6%(D) 13% 9% 10% 12% 7% --------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 235 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS
The Canadian Small Company Series --------------------------------------------------------------- Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 2009 ---------------------------------------------------------------- (Unaudited) ------------------------------------------------------------------------------------------------------------------------- Total Return............................................ 10.37%(D) 5.71% (2.51)% 0.27% 43.17% 61.67% ------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)................... $860,915 $741,204 $689,086 $736,262 $663,722 $365,181 Ratio of Expenses to Average Net Assets................. 0.12%(E) 0.13% 0.15% 0.14% 0.15% 0.17% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)....................................... 0.12%(E) 0.13% 0.15% 0.14% 0.15% 0.17% Ratio of Net Investment Income to Average Net Assets.... 2.49%(E) 2.99% 2.29% 1.72% 1.05% 1.37% Portfolio Turnover Rate................................. 2%(D) 14% 22% 24% 10% 23% -------------------------------------------------------------------------------------------------------------------------
The Emerging Markets Series --------------------------------------------------------------------------- Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 2009 ---------------------------------------------------------------------------- (Unaudited) --------------------------------------------------------------------------------------------------------------------------- Total Return.................................. (2.05)%(D) 6.99% 4.55% (6.44)% 27.04% 53.99% --------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)......... $3,973,436 $3,766,160 $2,913,307 $2,439,981 $2,529,493 $2,109,316 Ratio of Expenses to Average Net Assets....... 0.15%(E) 0.16% 0.20% 0.20% 0.19% 0.20% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)............. 0.15%(E) 0.16% 0.20% 0.20% 0.19% 0.20% Ratio of Net Investment Income to Average Net Assets....................................... 1.79%(E) 2.38% 2.55% 2.48% 2.18% 2.57% Portfolio Turnover Rate....................... 2%(D) 4% 5% 16% 12% 14% ---------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 236 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS
The Emerging Markets Small Cap Series -------------------------------------------------------------------------- Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 2009 --------------------------------------------------------------------------- (Unaudited) -------------------------------------------------------------------------------------------------------------------------- Total Return.................................. 2.12%(D) 9.41% 7.19% (12.94)% 41.96% 92.08% -------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)......... $4,376,356 $4,091,523 $2,953,350 $1,874,926 $1,881,356 $1,167,973 Ratio of Expenses to Average Net Assets....... 0.26%(E) 0.29% 0.36% 0.33% 0.32% 0.33% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)............. 0.26%(E) 0.29% 0.36% 0.33% 0.32% 0.33% Ratio of Net Investment Income to Average Net Assets....................................... 1.90%(E) 2.37% 2.48% 2.32% 2.16% 2.52% Portfolio Turnover Rate....................... 4%(D) 11% 13% 18% 15% 13% --------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 237 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.
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 at the close of the exchanges on which they are principally traded (official closing price). 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 at the mean of the most recent quoted bid and asked prices which approximate fair value. Price information on listed securities is taken from the exchange where the security is primarily traded. Generally, securities issued by open-end 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. 238 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/Trustees. 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 Investment Committee of Dimensional Fund Advisors LP) occur before the net asset value 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, 11:00 p.m. PT, the previous day), which is fourteen hours prior to the close of the NYSE (normally, 1:00 p.m. PT) 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/Trustees of the International Equity Portfolios 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. 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. 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 April 30, 2014, The Emerging Markets Series and The Emerging Markets Small Cap Series had significant transfers of securities with a total value of $315,950 and $436,276 (in thousands), respectively, that transferred from Level 2 to Level 1 because fair value procedures were no longer applied. At October 31, 2013, 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. 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 239 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 and the U.S. dollar equivalent amounts actually received or paid. 3. Deferred Compensation Plan: Each eligible Director/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 Directors/Trustees may defer payment of all or a portion of their total fees earned as a Director/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 Director/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 Director/Trustee shall have the right in a notice of election (the "Notice") to defer the receipt of the Director's/Trustee's deferred compensation until a date specified by such Director/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 Director/Trustee ceases to be a member of the Board; and (ii) five years following the effective date of the Director's/Trustee's first deferral election. If a Director/Trustee who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Director's/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 Director/Trustee ceases to be a member of the Board (unless the Director/Trustee files an amended Notice selecting a different distribution date). As of April 30, 2014, none of the Directors/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 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 Directors/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. 240 C. Investment Advisor: The Advisor, Dimensional Fund Advisors LP, provides investment advisory services to the Trust. For the six months ended April 30, 2014, the Series' investment advisory services 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. During the six months ended April 30, 2014, expenses reduced were as follows (amounts in thousands):
Fees Paid Indirectly ---------- The DFA International Value Series...... $ 5 The Japanese Small Company Series....... 1 The Asia Pacific Small Company Series... 3 The United Kingdom Small Company Series. -- The Continental Small Company Series.... 1 The Canadian Small Company Series....... 1 The Emerging Markets Series............. 7 The Emerging Markets Small Cap Series... 4
Fees Paid to Officers and Directors/Trustees: Certain Officers and Directors/Trustees of the Advisor are also Officers and Directors/Trustees of the Trust; however, such Officers and Directors/Trustees (with the exception of the Chief Compliance Officer ("CCO")) receive no compensation from the Trust. For the six months ended April 30, 2014, the total related amounts paid by the Trust to the CCO were $41 (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, 2014, 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 (amounts in thousands): The U.S. Large Cap Value Series......... $383 The DFA International Value Series...... 276 The Japanese Small Company Series....... 62 The Asia Pacific Small Company Series... 32 The United Kingdom Small Company Series. 42 The Continental Small Company Series.... 77 The Canadian Small Company Series....... 19 The Emerging Markets Series............. 100 The Emerging Markets Small Cap Series... 72
241 E. Purchases and Sales of Securities: For the six months ended April 30, 2014, the Series made the following purchases and sales of investment securities, other than short-term securities and U.S. government securities (amounts in thousands):
Purchases Sales ---------- ---------- The U.S. Large Cap Value Series......... $1,851,848 $1,259,638 The DFA International Value Series...... 1,125,082 709,817 The Japanese Small Company Series....... 111,283 105,085 The Asia Pacific Small Company Series... 189,668 32,500 The United Kingdom Small Company Series. 104,334 94,753 The Continental Small Company Series.... 213,433 252,487 The Canadian Small Company Series....... 68,569 15,382 The Emerging Markets Series............. 352,219 68,542 The Emerging Markets Small Cap Series... 411,009 172,691
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, 2014, the total cost and aggregate gross unrealized appreciation (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes, as follows (amounts in thousands):
Net Unrealized Federal Tax Unrealized Unrealized Appreciation Cost Appreciation (Depreciation) (Depreciation) ----------- ------------ -------------- -------------- The U.S. Large Cap Value Series......... $10,926,067 $6,313,025 $ (59,415) $6,253,610 The DFA International Value Series...... 8,613,314 2,266,781 (444,612) 1,822,169 The Japanese Small Company Series....... 2,457,648 327,237 (273,141) 54,096 The Asia Pacific Small Company Series... 1,643,730 352,204 (285,051) 67,153 The United Kingdom Small Company Series. 1,446,589 810,805 (78,770) 732,035 The Continental Small Company Series.... 3,161,909 1,375,511 (222,856) 1,152,655 The Canadian Small Company Series....... 1,082,507 183,823 (195,174) (11,351) The Emerging Markets Series............. 3,085,526 1,338,279 (217,020) 1,121,259 The Emerging Markets Small Cap Series... 4,428,649 941,842 (502,769) 439,073
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 each Series' tax positions and has concluded that no additional provision for income tax is required in any Series' financial statements. No Series is 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. Each Series' federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service. G. Financial Instruments: In accordance with the Series' investment objectives and policies, the Series may invest in certain financial instruments that have off-balance sheet risk in excess of the amounts recognized in the financial statements and 242 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 enter into futures contracts to gain market exposure on uninvested cash pending investment in securities or to maintain liquidity to pay redemptions. 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 or indices, 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. 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, 2014 (amounts in thousands):
Derivative Type Location of Gain (Loss) on Derivatives Recognized in Income --------------- ----------------------------------------------------------- Equity contracts Net Realized Gain (Loss) on: Futures
Realized Gain (Loss) on Derivatives Recognized in Income ------------------------------- Total Equity Contracts ------- ------------------ The Continental Small Company Series*. $(1,000) $(1,000)
* As of April 30, 2014, there were no futures contracts outstanding. During the six months ended April 30, 2014, the Series had limited activity in futures contracts. H. Line of Credit: The Trust, together with other Dimensional-advised portfolios, has entered into a $500 million unsecured discretionary line of credit effective March 4, 2013 with its domestic custodian bank. 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 was scheduled to expire on March 3, 2014, however, effective March 3, 2014, the term was extended until March 2, 2015. 243 The Trust, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit effective January 10, 2014 with its international custodian bank. 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 9, 2015. For the six months ended April 30, 2014, borrowings by the Series under the lines of credit were as follows (amounts in thousands, except percentages and days):
Weighted Weighted Number of Interest Maximum Amount Average Average Days Expense Borrowed During Interest Rate Loan Balance Outstanding* Incurred The Period ------------- ------------ ------------ -------- --------------- The U.S. Large Cap Value Series....... 0.85% $12,485 8 $ 2 $32,996 The DFA International Value Series.... 0.83% 10,282 4 1 11,874 The Japanese Small Company Series..... 0.83% 5,915 9 1 9,696 The Asia Pacific Small Company Series. 0.83% 310 5 -- 889 The United Kingdom Small Company Series.............................. 0.83% 259 7 -- 798 The Continental Small Company Series.. 0.82% 257 27 -- 1,099 The Emerging Markets Small Cap Series. 0.83% 4,378 23 2 9,078
* Number of Days Outstanding represents the total of single or consecutive days during the six months ended April 30, 2014, 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, 2014. I. Securities Lending: As of April 30, 2014, each Series had securities on loan to brokers/dealers, for which each such Series received cash collateral. In addition, the following Series received non-cash collateral consisting of short and/or long term U.S. Treasury securities (amounts in thousands):
Market Value ------------ The DFA International Value Series.... $ 24,703 The Asia Pacific Small Company Series. 1,302 The Continental Small Company Series.. 437 The Canadian Small Company Series..... 41,339 The Emerging Markets Series........... 83,669 The Emerging Markets Small Cap Series. 181,387
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 equal to at least (i) 100% of the current market value of the loaned securities with respect to securities of the U.S. government or its agencies, (ii) 102% of the current market value of the loaned securities with respect to U.S. securities, and (iii) 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. 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 244 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. J. 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 which 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. K. Other: The Series are subject to claims and suits that arise from time to time in the ordinary course of business (for example, in The Tribune Company Bankruptcy, certain creditors have filed actions against all shareholders of The Tribune Company who tendered shares when the Tribune Company went private in 2007 in a leveraged buyout transaction, seeking the return of proceeds received by the shareholders). 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 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 Court's dismissal order is on appeal to the Second Circuit. 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. Briefing on the motion to dismiss will be completed by July 2014, with oral argument on the motion to be held thereafter. 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 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 they 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 predict what its size might be at the time the cost of the Lawsuits might be quantifiable and thus potentially deducted from its net asset value. Therefore, at this time, those 245 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 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. L. Subsequent Event Evaluations: Management has evaluated the impact of all subsequent events on the Series and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements. 246 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, 2014 EXPENSE TABLES Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 11/01/13 04/30/14 Ratio* Period* --------- --------- ---------- -------- Dimensional Emerging Markets Value Fund --------------------------------------- Actual Fund Return...................... $1,000.00 $ 967.80 0.15% $0.73 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. 247 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 31, 2014. It is 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 amendments 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....................... 6.5% Consumer Staples............................. 5.0% Energy....................................... 14.7% Financials................................... 34.1% Health Care.................................. 0.4% Industrials.................................. 12.0% Information Technology....................... 7.6% Materials.................................... 16.1% Other........................................ -- Real Estate Investment Trusts................ 0.1% Telecommunication Services................... 1.3% Utilities.................................... 2.2% ----- 100.0%
248 DIMENSIONAL EMERGING MARKETS VALUE FUND SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2014 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (89.8%) BRAZIL -- (5.8%) Banco do Brasil SA.................................. 9,750,973 $ 102,374,830 0.6% # Banco Santander Brasil SA ADR....................... 17,807,476 118,419,715 0.6% BM&FBovespa SA...................................... 22,165,187 113,323,526 0.6% Gerdau SA Sponsored ADR............................. 15,421,303 92,682,031 0.5% # Petroleo Brasileiro SA ADR.......................... 18,327,471 254,385,297 1.4% # Vale SA Sponsored ADR............................... 5,665,567 74,898,796 0.4% Other Securities.................................... 420,067,291 2.1% --------------- ------ TOTAL BRAZIL............................................ 1,176,151,486 6.2% --------------- ------ CHILE -- (1.4%) Enersis SA Sponsored ADR............................ 5,733,186 92,304,295 0.5% Other Securities.................................... 184,756,836 1.0% --------------- ------ TOTAL CHILE............................................. 277,061,131 1.5% --------------- ------ CHINA -- (13.9%) Agricultural Bank of China, Ltd. Class H............ 255,464,000 107,163,539 0.6% Bank of China, Ltd. Class H......................... 763,167,331 337,236,300 1.8% China Construction Bank Corp. Class H............... 526,917,940 364,823,738 1.9% # China Petroleum & Chemical Corp. ADR................ 1,255,935 111,614,926 0.6% China Petroleum & Chemical Corp. Class H............ 153,367,575 135,755,471 0.7% # China Unicom Hong Kong, Ltd. ADR.................... 7,285,774 111,690,915 0.6% Industrial & Commercial Bank of China, Ltd. Class H. 294,086,996 175,341,806 0.9% Other Securities.................................... 1,453,697,436 7.6% --------------- ------ TOTAL CHINA............................................. 2,797,324,131 14.7% --------------- ------ COLOMBIA -- (0.1%) Other Securities.................................... 22,287,355 0.1% --------------- ------ CZECH REPUBLIC -- (0.2%) Other Securities.................................... 37,080,820 0.2% --------------- ------ GREECE -- (0.1%) Other Securities.................................... 29,719,693 0.1% --------------- ------ HUNGARY -- (0.4%) # OTP Bank P.L.C...................................... 4,005,156 76,482,558 0.4% Other Securities.................................... 11,937,305 0.1% --------------- ------ TOTAL HUNGARY........................................... 88,419,863 0.5% --------------- ------ INDIA -- (7.3%) ICICI Bank, Ltd. Sponsored ADR...................... 3,344,526 142,710,924 0.8% Reliance Industries, Ltd............................ 21,131,225 328,571,526 1.8% State Bank of India................................. 2,505,452 86,574,863 0.5% Other Securities.................................... 903,630,114 4.6% --------------- ------ TOTAL INDIA............................................. 1,461,487,427 7.7% --------------- ------ INDONESIA -- (2.6%) Other Securities.................................... 531,581,240 2.8% --------------- ------ ISRAEL -- (0.0%) Other Securities.................................... 179,391 0.0% --------------- ------
249 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- MALAYSIA -- (3.9%) Other Securities.................................... $ 774,185,098 4.1% --------------- ------ MEXICO -- (6.7%) Alfa S.A.B. de C.V. Class A......................... 50,229,549 132,688,709 0.7% #* Cemex S.A.B. de C.V. Sponsored ADR.................. 17,909,307 226,373,641 1.2% Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR................................................ 2,566,579 232,968,375 1.2% # Grupo Financiero Banorte S.A.B. de C.V.............. 23,649,283 157,068,369 0.8% Other Securities.................................... 589,874,651 3.2% --------------- ------ TOTAL MEXICO............................................ 1,338,973,745 7.1% --------------- ------ PHILIPPINES -- (1.1%) Other Securities.................................... 211,231,050 1.1% --------------- ------ POLAND -- (1.9%) PGE SA.............................................. 14,358,931 99,777,343 0.5% # Polski Koncern Naftowy Orlen SA..................... 6,279,050 94,021,799 0.5% Other Securities.................................... 191,785,994 1.0% --------------- ------ TOTAL POLAND............................................ 385,585,136 2.0% --------------- ------ RUSSIA -- (3.6%) Gazprom OAO Sponsored ADR........................... 93,269,773 674,054,680 3.6% Other Securities.................................... 59,127,634 0.3% --------------- ------ TOTAL RUSSIA............................................ 733,182,314 3.9% --------------- ------ SOUTH AFRICA -- (7.4%) * AngloGold Ashanti, Ltd. Sponsored ADR............... 4,066,826 73,609,551 0.4% Barclays Africa Group, Ltd.......................... 6,214,975 91,043,580 0.5% # Nedbank Group, Ltd.................................. 3,855,686 82,653,953 0.4% Sanlam, Ltd......................................... 23,829,161 127,656,171 0.7% Standard Bank Group, Ltd............................ 20,138,333 264,596,500 1.4% # Steinhoff International Holdings, Ltd............... 23,854,878 123,958,079 0.7% Other Securities.................................... 728,775,665 3.8% --------------- ------ TOTAL SOUTH AFRICA...................................... 1,492,293,499 7.9% --------------- ------ SOUTH KOREA -- (14.3%) Hana Financial Group, Inc........................... 3,815,029 134,617,332 0.7% # Hyundai Motor Co.................................... 382,144 85,205,290 0.5% KB Financial Group, Inc............................. 2,611,033 89,320,287 0.5% # KB Financial Group, Inc. ADR........................ 3,171,116 108,864,412 0.6% # LG Electronics, Inc................................. 1,776,548 118,328,679 0.6% POSCO............................................... 675,780 199,644,504 1.1% # POSCO ADR........................................... 1,617,993 119,084,285 0.6% Samsung C&T Corp.................................... 1,386,322 87,182,647 0.5% Shinhan Financial Group Co., Ltd.................... 5,061,519 220,927,148 1.2% SK Holdings Co., Ltd................................ 513,323 91,053,325 0.5% SK Innovation Co., Ltd.............................. 845,193 96,824,762 0.5% Other Securities.................................... 1,517,903,887 7.8% --------------- ------ TOTAL SOUTH KOREA....................................... 2,868,956,558 15.1% --------------- ------ TAIWAN -- (14.0%) Fubon Financial Holding Co., Ltd.................... 88,739,471 114,853,842 0.6% Mega Financial Holding Co., Ltd..................... 136,903,915 104,811,122 0.6% # United Microelectronics Corp........................ 214,601,681 93,569,573 0.5%
250 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- TAIWAN -- (Continued) Other Securities..................... $ 2,503,584,789 13.1% --------------- ----- TOTAL TAIWAN............................. 2,816,819,326 14.8% --------------- ----- THAILAND -- (2.8%) PTT PCL.............................. 14,249,300 137,825,430 0.7% Other Securities..................... 419,320,311 2.2% --------------- ----- TOTAL THAILAND........................... 557,145,741 2.9% --------------- ----- TURKEY -- (2.3%) Turkiye Is Bankasi................... 33,315,167 78,789,979 0.4% Other Securities..................... 378,437,180 2.0% --------------- ----- TOTAL TURKEY............................. 457,227,159 2.4% --------------- ----- TOTAL COMMON STOCKS...................... 18,056,892,163 95.1% --------------- ----- PREFERRED STOCKS -- (3.5%) BRAZIL -- (3.4%) Petroleo Brasileiro SA............... 18,238,804 135,538,505 0.7% Vale SA.............................. 6,212,932 73,616,174 0.4% Petroleo Brasileiro SA Sponsored ADR. 21,196,251 313,704,515 1.8% Other Securities..................... 159,563,066 0.7% --------------- ----- TOTAL BRAZIL............................. 682,422,260 3.6% --------------- ----- COLOMBIA -- (0.1%) Other Securities..................... 15,735,620 0.1% --------------- ----- TOTAL PREFERRED STOCKS................... 698,157,880 3.7% --------------- ----- RIGHTS/WARRANTS -- (0.0%) BRAZIL -- (0.0%) Other Securities..................... 4,380 0.0% --------------- ----- CHILE -- (0.0%) Other Securities..................... -- 0.0% --------------- ----- HONG KONG -- (0.0%) Other Securities..................... 5,766 0.0% --------------- ----- MALAYSIA -- (0.0%) Other Securities..................... 86,959 0.0% --------------- ----- PHILIPPINES -- (0.0%) Other Securities..................... 5,696 0.0% --------------- ----- SOUTH KOREA -- (0.0%) Other Securities..................... 1,418,855 0.0% --------------- ----- TAIWAN -- (0.0%) Other Securities..................... 82 0.0% --------------- ----- THAILAND -- (0.0%) Other Securities..................... 122,763 0.0% --------------- ----- TOTAL RIGHTS/WARRANTS.................... 1,644,501 0.0% --------------- -----
251 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
Shares/ Face Percentage Amount Value+ of Net Assets** ------- ------ --------------- (000) SECURITIES LENDING COLLATERAL -- (6.7%) (S)@ DFA Short Term Investment Fund.. 116,161,904 $ 1,343,993,228 7.1% --------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $20,065,502,363)............. $20,100,687,772 105.9% =============== ======
Summary of the Fund's investments as of April 30, 2014, 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...................... $1,176,151,486 -- -- $ 1,176,151,486 Chile....................... 277,061,131 -- -- 277,061,131 China....................... 239,991,379 $ 2,557,332,752 -- 2,797,324,131 Colombia.................... 22,287,355 -- -- 22,287,355 Czech Republic.............. -- 37,080,820 -- 37,080,820 Greece...................... -- 29,719,693 -- 29,719,693 Hungary..................... -- 88,419,863 -- 88,419,863 India....................... 167,750,251 1,293,737,176 -- 1,461,487,427 Indonesia................... 6,576,577 525,004,663 -- 531,581,240 Israel...................... -- 179,391 -- 179,391 Malaysia.................... -- 774,185,098 -- 774,185,098 Mexico...................... 1,338,336,304 637,441 -- 1,338,973,745 Philippines................. -- 211,231,050 -- 211,231,050 Poland...................... -- 385,585,136 -- 385,585,136 Russia...................... 921,795 732,260,519 -- 733,182,314 South Africa................ 202,757,635 1,289,535,864 -- 1,492,293,499 South Korea................. 352,323,627 2,516,632,931 -- 2,868,956,558 Taiwan...................... 35,847,620 2,780,971,706 -- 2,816,819,326 Thailand.................... 555,779,886 1,365,855 -- 557,145,741 Turkey...................... -- 457,227,159 -- 457,227,159 Preferred Stocks Brazil...................... 682,422,260 -- -- 682,422,260 Colombia.................... 15,735,620 -- -- 15,735,620 Rights/Warrants Brazil...................... -- 4,380 -- 4,380 Chile....................... -- -- -- -- Hong Kong................... -- 5,766 -- 5,766 Malaysia.................... -- 86,959 -- 86,959 Philippines................. -- 5,696 -- 5,696 South Korea................. -- 1,418,855 -- 1,418,855 Taiwan...................... 82 -- -- 82 Thailand.................... -- 122,763 -- 122,763 Securities Lending Collateral. -- 1,343,993,228 -- 1,343,993,228 -------------- --------------- -- --------------- TOTAL......................... $5,073,943,008 $15,026,744,764 -- $20,100,687,772 ============== =============== == ===============
See accompanying Notes to Financial Statements. 252 DIMENSIONAL EMERGING MARKETS VALUE FUND STATEMENT OF ASSETS AND LIABILITIES APRIL 30, 2014 (Unaudited) (Amounts in thousands) ASSETS: Investments at Value (including $1,599,184 of securities on loan)*....... $18,756,695 Collateral from Securities on Loan Invested in Affiliate at Value & Cost. 1,343,993 Foreign Currencies at Value.............................................. 96,617 Cash..................................................................... 75,672 Receivables: Investment Securities Sold............................................. 36,495 Dividends, Interest and Tax Reclaims................................... 42,093 Securities Lending Income.............................................. 2,577 Unrealized Gain on Foreign Currency Contracts.......................... 5 ----------- Total Assets........................................................ 20,354,147 ----------- LIABILITIES: Payables: Upon Return of Securities Loaned....................................... 1,343,993 Investment Securities Purchased........................................ 32,937 Due to Advisor......................................................... 1,568 Unrealized Loss on Foreign Currency Contracts............................ 4 Accrued Expenses and Other Liabilities................................... 1,609 ----------- Total Liabilities................................................... 1,380,111 ----------- NET ASSETS............................................................... $18,974,036 =========== Investments at Cost...................................................... $18,721,509 =========== Foreign Currencies at Cost............................................... $ 96,278 ===========
---------- * See Note H in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 253 DIMENSIONAL EMERGING MARKETS VALUE FUND STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2014 (Unaudited) (Amounts in thousands) Investment Income Dividends (Net of Foreign Taxes Withheld of $18,636).......... $ 178,771 Interest...................................................... 4 Income from Securities Lending................................ 10,808 --------- Total Investment Income.................................... 189,583 --------- Expenses Investment Advisory Services Fees............................. 9,150 Accounting & Transfer Agent Fees.............................. 492 Custodian Fees................................................ 3,341 Shareholders' Reports......................................... 13 Directors'/Trustees' Fees & Expenses.......................... 125 Professional Fees............................................. 312 Other......................................................... 166 --------- Total Expenses............................................. 13,599 --------- Fees Paid Indirectly.......................................... (27) --------- Net Expenses.................................................. 13,572 --------- Net Investment Income (Loss).................................. 176,011 --------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on:.................................. Investment Securities Sold.................................. (356,782) Foreign Currency Transactions............................... (2,068) Change in Unrealized Appreciation (Depreciation) of:.......... Investment Securities and Foreign Currency.................. (444,396) Translation of Foreign Currency Denominated Amounts......... 100 --------- Net Realized and Unrealized Gain (Loss)....................... (803,146) --------- Net Increase (Decrease) in Net Assets Resulting from Operations. $(627,135) =========
See accompanying Notes to Financial Statements. 254 DIMENSIONAL EMERGING MARKETS VALUE FUND STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
Six Months Year Ended Ended April 30, Oct. 31, 2014 2013 ----------- ----------- (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).............................................. $ 176,011 $ 419,407 Net Realized Gain (Loss) on: Investment Securities Sold.............................................. (356,782) 304,248 Foreign Currency Transactions........................................... (2,068) (2,833) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.............................. (444,396) 724,674 Translation of Foreign Currency Denominated Amounts..................... 100 7 ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations...... (627,135) 1,445,503 ----------- ----------- Transactions in Interest: Contributions............................................................. 896,469 2,894,722 Withdrawals............................................................... (722,584) (1,797,261) ----------- ----------- Net Increase (Decrease) from Transactions in Interest.................. 173,885 1,097,461 ----------- ----------- Total Increase (Decrease) in Net Assets................................ (453,250) 2,542,964 Net Assets Beginning of Period....................................................... 19,427,286 16,884,322 ----------- ----------- End of Period............................................................. $18,974,036 $19,427,286 =========== ===========
See accompanying Notes to Financial Statements. 255 DIMENSIONAL EMERGING MARKETS VALUE FUND+ FINANCIAL HIGHLIGHTS
Dimensional Emerging Markets Value Fund -------------------------------------------------------------------------------- Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 2009 --------------------------------------------------------------------------------- (Unaudited) ---------------------------------------------------------------------------------------------------------------------------- Total Return.............................. (3.22)%(D) 8.43% 1.10% (14.47)% 30.55% 79.39% ---------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)..... $18,974,036 $19,427,286 $16,884,322 $14,003,579 $11,917,955 $7,965,125 Ratio of Expenses to Average Net Assets... 0.15%(E) 0.16% 0.20% 0.20% 0.19% 0.21% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)......... 0.15%(E) 0.16% 0.20% 0.20% 0.19% 0.21% Ratio of Net Investment Income to Average Net Assets............................... 1.92%(E) 2.32% 2.43% 2.29% 1.81% 2.17% Portfolio Turnover Rate................... 6%(D) 6% 8% 5% 15% 20% ----------------------------------------------------------------------------------------------------------------------------
+ See Note A in the Notes to Financial Statements. See accompanying Notes to Financial Statements. 256 DIMENSIONAL EMERGING MARKETS VALUE FUND NOTES TO FINANCIAL STATEMENTS (Unaudited) A. Organization: Dimensional Emerging Markets Value Fund Inc. ("DEM I") was organized as a closed-end management investment company registered under the Investment Company Act of 1940, as amended. Effective November 21, 1997, DEM I was reorganized as an open-end management investment company. On October 27, 2009, the Board of Directors and shareholders of DEM I approved an Agreement and Plan of Reorganization that provided for the reorganization of DEM I from a Maryland corporation to a Delaware statutory trust. Effective October 30, 2009, DEM I transferred all of its assets and liabilities to Dimensional Emerging Markets Value Fund ("DEM II" or the "Fund"), a Delaware statutory trust, in a tax-free exchange under Internal Revenue Code (the "IRC") (S)368(a)(1)(F). Effective November 1, 2009, the Fund, a master fund in a master-feeder structure, elected with the consent of its holder(s) to change its U.S. federal income tax classification from that of an association taxable as a corporation to a partnership pursuant to Treasury Regulation (S)301.7701-3. The change in capital structure and retroactive reclassification of the statement of changes in net assets and financial highlights for the Fund is a result of the treatment of a partnership for book purposes. The Fund will maintain its books and records and present its financial statements in accordance with generally accepted accounting principles for investment partnerships. 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 at the close of the exchanges on which they are principally traded (official closing price). 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 at the mean of the most recent quoted bid and asked prices which approximate fair value. Price information on listed securities is taken from the exchange where the security is primarily traded. Generally, securities issued by open-end 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/Trustees. Fair value pricing may also be used if events that have a significant 257 effect on the value of an investment (as determined in the discretion of the Investment Committee of Dimensional Fund Advisors LP) occur before the net asset value 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, 11:00 p.m. PT, the previous day), which is fourteen hours prior to the close of the NYSE (normally, 1:00 p.m. PT) 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 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 Directors/Trustees of the Fund 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. 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. 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 April 30, 2014, the Fund had significant transfers of securities with a total value of $988,867 (in thousands) that transferred from Level 2 to Level 1 because fair value procedures were no longer applied. At October 31, 2013, the fair market value 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. 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 Director/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 Directors/Trustees may defer payment of all or a portion of their total fees earned as a Director/Trustee. These deferred amounts may be treated as though such amounts had been invested in shares of the following 258 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, 2014, the total liability for deferred compensation to Directors is included in Accrued Expenses and Other Liabilities on the Statement of Assets and Liabilities in the amount of $425 (in thousands). Each Director/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 Director/Trustee shall have the right in a notice of election (the "Notice") to defer the receipt of the Director's/Trustee's deferred compensation until a date specified by such Director/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 Director/Trustee ceases to be a member of the Board; and (ii) five years following the effective date of the Director's/Trustee's first deferral election. If a Director/Trustee who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Director's/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 Director/Trustee ceases to be a member of the Board (unless the Director/Trustee files an amended Notice selecting a different distribution date). As of April 30, 2014, none of the Directors/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 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 advisory services to the Fund. For the six months ended April 30, 2014, the Fund's investment advisory services 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, the 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. During the six months ended April 30, 2014, expenses reduced were $27 (amount in thousands). 259 Fees Paid to Officers and Directors/Trustees: Certain Officers and Directors/Trustees of the Advisor are also Officers and Directors/Trustees of the Fund; however, such Officers and Directors/Trustees (with the exception of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund. For the six months ended April 30, 2014, the total related amounts paid by the Fund to the CCO were $12 (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, 2014, the Fund made the following purchases and sales of investment securities, other than short-term securities and U.S. government securities (amounts in thousands):
Purchases Sales ---------- ---------- Dimensional Emerging Markets Value Fund. $1,325,742 $1,034,797
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, 2014, the total cost and aggregate gross unrealized appreciation (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes, as follows (amounts in thousands):
Net Unrealized Federal Unrealized Unrealized Appreciation Tax Cost Appreciation Depreciation (Depreciation) ----------- ------------ ------------ -------------- Dimensional Emerging Markets Value Fund. $20,183,112 $3,056,570 $(3,138,994) $(82,424)
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. 260 G. Line of Credit: The Fund, together with other Dimensional-advised portfolios, has entered into a $500 million unsecured discretionary line of credit effective March 4, 2013 with its domestic custodian bank. 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 was scheduled to expire on March 3, 2014, however, effective March 3, 2014, the term was extended until March 2, 2015. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit effective January 10, 2014 with its international custodian bank. 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 9, 2015. For the six months ended April 30, 2014, borrowings by the Fund under the lines of credit were as follows (amounts in thousands, except percentages and days):
Weighted Weighted Number of Interest Maximum Amount Average Average Loan Days Expense Borrowed During Interest Rate Balance Outstanding* Incurred The Period ------------- ------------ ------------ -------- --------------- Dimensional Emerging Markets Value Fund. 0.84% $23,708 5 $3 $29,704
* Number of Days Outstanding represents the total of single or consecutive days during the six months ended April 30, 2014, that the Fund's available line of credit was utilized. There were no outstanding borrowings by the Fund under the lines of credit as of April 30, 2014. H. Securities Lending: As of April 30, 2014, the Fund had securities on loan to brokers/dealers, for which the Fund received cash collateral. In addition, the Fund received non-cash collateral consisting of short and/or long term U.S. Treasury securities with a market value of $364,411 (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 equal to at least (i) 100% of the current market value of the loaned securities with respect to securities of the U.S. government or its agencies, (ii) 102% of the current market value of the loaned securities with respect to U.S. securities, and (iii) 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. 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 261 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. I. 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 which 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. J. Subsequent Event Evaluations: Management has evaluated the impact of all subsequent events on the Fund and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements. 262 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 without charge, upon request, by calling collect: (512) 306-7400. 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://www.dimensional.com and reflects the twelve-month period beginning July 1st and ending June 30th. 263 BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS At the Board meeting held on December 13, 2013 (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 advisory/management agreements for each portfolio or series (collectively, the "Funds") and, if applicable, a Fund's sub-advisory agreements. For certain Funds, Dimensional Fund Advisors Ltd. and/or DFA Australia Limited serve as sub-advisors. (The investment advisory/management agreements and the sub-advisory agreements are referred to as the "Advisory 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 Advisory 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 Advisory 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 Advisory 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 advisory 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 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 management services provided by the Advisor. 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 advisory fees and total expenses of each Fund over various periods were favorable in relation to those of its peer funds, and that the advisory 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. 264 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, including administrative fees paid by the feeder portfolios. 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 advisory fees charged. For several reasons, the Board concluded that economies of scale and the reflection of such economies of scale in the level of advisory 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 Advisory Agreement for each Fund was in the best interests of the Fund and its shareholders. 265 [LOGO] DFA043014-001S [LOGO] SEMI-ANNUAL REPORT six months ended: April 30, 2014 (Unaudited) DFA Investment Dimensions Group Inc. DFA One-Year Fixed Income Portfolio DFA Two-Year Global Fixed Income Portfolio DFA Selectively Hedged Global Fixed Income Portfolio DFA Short-Term Government Portfolio DFA Five-Year Global Fixed Income Portfolio DFA World ex U.S. Government Fixed Income Portfolio DFA Intermediate Government Fixed Income Portfolio DFA Short-Term Extended Quality Portfolio DFA Intermediate-Term Extended Quality Portfolio DFA Investment Grade Portfolio DFA Inflation-Protected Securities Portfolio DFA Short-Duration Real Return Portfolio DFA Short-Term Municipal Bond Portfolio DFA Intermediate-Term Municipal Bond Portfolio DFA California Short-Term Municipal Bond Portfolio DFA California Intermediate-Term Municipal Bond Portfolio [LOGO] Dimensional Fund Advisors 6300 Bee Cave Road, Building One Austin, TX 78746 May 2014 Dear Fellow Shareholder, Since our founding 33 years ago, Dimensional has grown into a global asset management firm. We believe well-functioning markets that bring together investors who supply capital with companies that put capital to work are what make our business and investment approach successful. At Dimensional, we combine insights gained from academia and a belief in the power of markets with decades of practical experience implementing in competitive markets. By applying this approach, we have built up a long and compelling track record across global equity and fixed income markets. Sincerely, /s/ David G. Booth David G. Booth Chairman and Co-Chief Executive Officer DFA INVESTMENT DIMENSIONS GROUP INC. SEMI-ANNUAL REPORT (Unaudited) Table of Contents
Page ---- Letter to Shareholders Definitions of Abbreviations and Footnotes........................... 1 Disclosure of Fund Expenses....................................... 3 Disclosure of Portfolio Holdings.................................. 6 Schedules of Investments DFA One-Year Fixed Income Portfolio........................... 8 DFA Two-Year Global Fixed Income Portfolio.................... 12 DFA Selectively Hedged Global Fixed Income Portfolio.......... 16 DFA Short-Term Government Portfolio........................... 21 DFA Five-Year Global Fixed Income Portfolio................... 23 DFA World ex U.S. Government Fixed Income Portfolio........... 27 DFA Intermediate Government Fixed Income Portfolio............ 30 DFA Short-Term Extended Quality Portfolio..................... 32 DFA Intermediate-Term Extended Quality Portfolio.............. 40 DFA Investment Grade Portfolio................................ 48 DFA Inflation-Protected Securities Portfolio.................. 49 DFA Short-Duration Real Return Portfolio...................... 50 DFA Short-Term Municipal Bond Portfolio....................... 59 DFA Intermediate-Term Municipal Bond Portfolio................ 68 DFA California Short-Term Municipal Bond Portfolio............ 75 DFA California Intermediate-Term Municipal Bond Portfolio..... 82 Statements of Assets and Liabilities.............................. 87 Statements of Operations.......................................... 91 Statements of Changes in Net Assets............................... 95 Financial Highlights.............................................. 99 Notes to Financial Statements..................................... 107 Voting Proxies on Fund Portfolio Securities.......................... 128 Board Approval of Investment Advisory Agreements..................... 129
This report is submitted for the information of the Fund's shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. i DFA INVESTMENT DIMENSIONS GROUP INC. DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES Schedules of Investments ------------------------ Investment Abbreviations AGM Assured Guaranty Municipal Corporation AMBAC American Municipal Bond Assurance Corporation ASSURED GTY Assured Guaranty CP Certificate Participation ETM Escrowed to Maturity FGIC Federal Guaranty Insurance Corporation FSA Financial Security Assurance GO General Obligation GO OF AUTH General Obligation of Authority GO OF DIST General Obligation of District GO OF CMNWLTH General Obligation of Commonwealth GO OF UNIV General Obligation of University NATL-RE Credit rating enhanced by guaranty or insurance from National Public Finance Guarantee Corp. NATL-RE FGIC National Public Finance Guarantee Corp. Re-insures Financial Guaranty Insurance Co. P.L.C. Public Limited Company PSF-GTD Public School Fund Guarantee RB Revenue Bond RN Revenue Note SA Special Assessment SCH BD RES FD School Board Resolution Fund SCH BD GTY School Bond Guaranty SCSDE South Carolina State Department of Education SD CRED PROG School District Credit Program ST Special Tax ST AID WITHHLDG State Aid Withholding UP Unrefunded Portion AUD Australian Dollars CAD Canadian Dollars DKK Danish Krone EUR Euro GBP British Pounds JPY Japanese Yen NOK Norwegian Krone NZD New Zealand Dollars SEK Swedish Krona SGD Singapore Dollars USD United States Dollars
1 DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES CONTINUED Investment Footnotes + See Note B to Financial Statements. # Total or Partial Securities on Loan. ^ Denominated in USD, unless otherwise noted. @ Security purchased with cash proceeds from Securities on Loan. (r) The adjustable rate shown is effective as of April 30, 2014. (currency) Pre-refunded bonds are collateralized by U.S. Government or other eligible securities which are held in escrow and used to pay principal and interest and retire the bonds at the earliest refunding date (payment date) and/or whose interest rates vary with changes in a designated base rate (such as the prime interest rate). ## 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 Directors. ^^^ Face Amount of security is not adjusted for inflation. (S) Affiliated Fund.
Financial Highlights -------------------- (A) Computed using average shares outstanding. (B) Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master/Underlying Fund(s). (C) Because of commencement of operations and related preliminary transaction costs, these ratios are not necessarily indicative of future ratios. (D) Non-Annualized (E) Annualized N/A Does not apply to this fund. All Statements, Schedules and Notes to Financial Statements ----------------------------------------------------------- -- Amounts designated as -- are either zero or rounded to zero. RIC Registered Investment Company SEC Securities and Exchange Commission (a) Commencement of Operations.
2 DFA INVESTMENT DIMENSIONS GROUP INC. DISCLOSURE OF FUND EXPENSES (Unaudited) The following Expense Tables are shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs, in dollars, of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Tables below illustrate your fund's costs in two ways. Actual Fund Return This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return and "Expenses Paid During Period" reflect the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000 = 7.5), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." Hypothetical Example for Comparison Purposes This section is intended to help you compare your fund's costs with those of other mutual funds. The hypothetical "Ending Account Value" and "Expenses Paid During Period" are derived from the fund's actual expense ratio and an assumed 5% annual return before expenses. In this case, because the return used is not the fund's actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the tables are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs, if applicable. The "Annualized Expense Ratio" represents the actual expenses for the six-month period indicated. Six Months Ended April 30, 2014 EXPENSE TABLES Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 11/01/13 04/30/14 Ratio* Period* --------- --------- ---------- -------- DFA One-Year Fixed Income Portfolio ----------------------------------- Actual Fund Return Institutional Class Shares................ $1,000.00 $1,001.30 0.17% $0.84 Hypothetical 5% Annual Return Institutional Class Shares................ $1,000.00 $1,023.95 0.17% $0.85 DFA Two-Year Global Fixed Income Portfolio ------------------------------------------ Actual Fund Return Institutional Class Shares................ $1,000.00 $1,002.70 0.17% $0.84 Hypothetical 5% Annual Return Institutional Class Shares................ $1,000.00 $1,023.95 0.17% $0.85
3 DISCLOSURE OF FUND EXPENSES CONTINUED
Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 11/01/13 04/30/14 Ratio* Period* --------- --------- ---------- -------- DFA Selectively Hedged Global Fixed Income Portfolio ---------------------------------------------------- Actual Fund Return Institutional Class Shares.......................... $1,000.00 $1,012.70 0.17% $0.85 Hypothetical 5% Annual Return Institutional Class Shares.......................... $1,000.00 $1,023.95 0.17% $0.85 DFA Short-Term Government Portfolio ----------------------------------- Actual Fund Return Institutional Class Shares.......................... $1,000.00 $1,002.70 0.19% $0.94 Hypothetical 5% Annual Return Institutional Class Shares.......................... $1,000.00 $1,023.85 0.19% $0.95 DFA Five-Year Global Fixed Income Portfolio ------------------------------------------- Actual Fund Return Institutional Class Shares.......................... $1,000.00 $1,006.40 0.27% $1.34 Hypothetical 5% Annual Return Institutional Class Shares.......................... $1,000.00 $1,023.46 0.27% $1.35 DFA World ex U.S. Government Fixed Income Portfolio --------------------------------------------------- Actual Fund Return Institutional Class Shares.......................... $1,000.00 $1,022.70 0.20% $1.00 Hypothetical 5% Annual Return Institutional Class Shares.......................... $1,000.00 $1,023.80 0.20% $1.00 DFA Intermediate Government Fixed Income Portfolio -------------------------------------------------- Actual Fund Return Institutional Class Shares.......................... $1,000.00 $1,010.60 0.12% $0.60 Hypothetical 5% Annual Return Institutional Class Shares.......................... $1,000.00 $1,024.20 0.12% $0.60 DFA Short-Term Extended Quality Portfolio ----------------------------------------- Actual Fund Return Institutional Class Shares.......................... $1,000.00 $1,007.10 0.22% $1.09 Hypothetical 5% Annual Return Institutional Class Shares.......................... $1,000.00 $1,023.70 0.22% $1.10 DFA Intermediate-Term Extended Quality Portfolio ------------------------------------------------ Actual Fund Return Institutional Class Shares.......................... $1,000.00 $1,030.10 0.22% $1.11 Hypothetical 5% Annual Return Institutional Class Shares.......................... $1,000.00 $1,023.70 0.22% $1.10 DFA Investment Grade Portfolio** -------------------------------- Actual Fund Return Institutional Class Shares.......................... $1,000.00 $1,019.90 0.22% $1.10 Hypothetical 5% Annual Return Institutional Class Shares.......................... $1,000.00 $1,023.70 0.22% $1.10
4 DISCLOSURE OF FUND EXPENSES CONTINUED
Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 11/01/13 04/30/14 Ratio* Period* --------- --------- ---------- -------- DFA Inflation-Protected Securities Portfolio -------------------------------------------- Actual Fund Return Institutional Class Shares............................... $1,000.00 $1,003.50 0.12% $0.60 Hypothetical 5% Annual Return Institutional Class Shares............................... $1,000.00 $1,024.20 0.12% $0.60 DFA Short-Duration Real Return Portfolio+ ----------------------------------------- Actual Fund Return Institutional Class Shares............................... $1,000.00 $1,006.00 0.24% $1.16 Hypothetical 5% Annual Return Institutional Class Shares............................... $1,000.00 $1,023.60 0.24% $1.20 DFA Short-Term Municipal Bond Portfolio --------------------------------------- Actual Fund Return Institutional Class Shares............................... $1,000.00 $1,002.30 0.22% $1.09 Hypothetical 5% Annual Return Institutional Class Shares............................... $1,000.00 $1,023.70 0.22% $1.10 DFA Intermediate-Term Municipal Bond Portfolio ---------------------------------------------- Actual Fund Return Institutional Class Shares............................... $1,000.00 $1,020.60 0.23% $1.15 Hypothetical 5% Annual Return Institutional Class Shares............................... $1,000.00 $1,023.65 0.23% $1.15 DFA California Short-Term Municipal Bond Portfolio -------------------------------------------------- Actual Fund Return Institutional Class Shares............................... $1,000.00 $1,003.30 0.22% $1.09 Hypothetical 5% Annual Return Institutional Class Shares............................... $1,000.00 $1,023.70 0.22% $1.10 DFA California Intermediate-Term Municipal Bond Portfolio --------------------------------------------------------- Actual Fund Return Institutional Class Shares............................... $1,000.00 $1,024.10 0.23% $1.15 Hypothetical 5% Annual Return Institutional Class Shares............................... $1,000.00 $1,023.65 0.23% $1.15
---------- * 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 DFA Investment Grade Portfolio is a Fund of Funds. The expenses shown reflect the direct expenses of the Fund of Funds and the indirect payment of the Fund of Funds' portion of the expenses of its Master Funds (Affiliated Investment Companies). + DFA Short-Duration Real Return Portfolio commenced operations on November 5, 2013. 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 (176), 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, 2014 to allow for comparability. 5 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 31, 2014. It is 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. FUND OF FUNDS
Affiliated Investment Companies ------------------------------- DFA Investment Grade Portfolio. 100.0%
FIXED INCOME PORTFOLIOS DFA One-Year Fixed Income Portfolio Corporate.................................... 14.9% Government................................... 20.8% Foreign Corporate............................ 21.3% Foreign Government........................... 33.9% Supranational................................ 9.1% ----- 100.0%
DFA Two-Year Global Fixed Income Portfolio Corporate.................................... 3.8% Government................................... 13.8% Foreign Corporate............................ 23.5% Foreign Government........................... 42.3% Supranational................................ 16.6% ----- 100.0%
DFA Selectively Hedged Global Fixed Income Portfolio Corporate.................................... 53.3% Government................................... 6.4% Foreign Corporate............................ 26.9% Foreign Government........................... 11.1% Supranational................................ 2.3% ----- 100.0%
DFA Short-Term Government Portfolio Government................................... 100.0% ----- 100.0%
DFA Five-Year Global Fixed Income Portfolio Corporate.................................... 25.1% Government................................... 3.0% Foreign Corporate............................ 24.3% Foreign Government........................... 39.8% Supranational................................ 7.8% ----- 100.0%
DFA World ex U.S. Government Fixed Income Portfolio Government................................... 1.9% Foreign Government........................... 88.8% Supranational................................ 9.3% ----- 100.0%
DFA Intermediate Government Fixed Income Portfolio Government................................... 100.0% ----- 100.0%
DFA Short-Term Extended Quality Portfolio Corporate.................................... 62.6% Government................................... 2.9% Foreign Corporate............................ 15.1% Foreign Government........................... 16.9% Supranational................................ 2.5% ----- 100.0%
DFA Intermediate-Term Extended Quality Portfolio Corporate.................................... 77.4% Government................................... 4.0% Foreign Corporate............................ 12.9% Foreign Government........................... 2.7% Supranational................................ 3.0% ----- 100.0%
DFA Inflation-Protected Securities Portfolio Government................................... 100.0% ----- 100.0%
DFA Short-Duration Real Return Portfolio Corporate.................................... 61.3% Government................................... 6.8% Foreign Corporate............................ 16.4% Foreign Government........................... 13.6% Supranational................................ 1.9% ----- 100.0%
DFA Short-Term Municipal Bond Portfolio Muni Insured................................. 2.3% Muni G.O. Local.............................. 42.2% Muni G.O. State.............................. 33.1% Muni Revenue................................. 22.0% Muni Pre-Refunded............................ 0.4% ----- 100.0%
6 DISCLOSURE OF PORTFOLIO HOLDINGS CONTINUED DFA Intermediate-Term Municipal Bond Portfolio Muni Insured................................. 2.3% Muni G.O. Local.............................. 57.7% Muni G.O. State.............................. 23.4% Muni Revenue................................. 16.6% ----- 100.0%
DFA California Short-Term Municipal Bond Portfolio Muni Insured................................. 6.8% Muni G.O. Local.............................. 34.1% Muni G.O. State.............................. 21.0% Muni Revenue................................. 35.8% Muni Pre-Refunded............................ 2.3% ----- 100.0%
DFA California Intermediate-Term Municipal Bond Portfolio Muni Insured................................. 15.7% Muni G.O. Local.............................. 46.8% Muni G.O. State.............................. 20.0% Muni Revenue................................. 17.4% Muni Pre-Refunded............................ 0.1% ----- 100.0%
7 DFA ONE-YEAR FIXED INCOME PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2014 (Unaudited)
Face Amount Value+ ------ ------ (000) AGENCY OBLIGATIONS -- (7.5%) Federal Farm Credit Bank 0.500%, 06/23/15............................. $ 35,000 $ 35,152,915 Federal Home Loan Bank 0.375%, 08/28/15............................. 70,000 70,200,970 Federal Home Loan Mortgage Corporation 4.375%, 07/17/15............................. 38,000 39,931,084 0.500%, 08/28/15............................. 6,900 6,932,133 4.750%, 11/17/15............................. 25,000 26,735,400 Federal National Mortgage Association 0.500%, 07/02/15............................. 150,000 150,583,650 2.375%, 07/28/15............................. 70,000 71,908,130 0.500%, 09/28/15............................. 20,000 20,069,400 4.375%, 10/15/15............................. 145,000 153,648,525 1.625%, 10/26/15............................. 110,000 112,283,160 ------------ TOTAL AGENCY OBLIGATIONS.......................... 687,445,367 ------------ BONDS -- (69.6%) African Development Bank 2.500%, 03/15/16............................. 3,800 3,943,051 Agence Francaise de Developpement 1.250%, 06/09/14............................. 92,216 92,302,314 ANZ New Zealand Int'l, Ltd. 3.125%, 08/10/15............................. 85,505 88,093,236 Apple, Inc. Floating Rate Note (r) 0.273%, 05/03/16............................. 10,055 10,057,001 Asian Development Bank 2.625%, 02/09/15............................. 50,000 50,929,750 7.500%, 06/15/15............................. 15,000 16,182,690 0.500%, 08/17/15............................. 5,000 5,014,600 2.500%, 03/15/16............................. 23,131 24,010,556 Australia & New Zealand Banking Group, Ltd. 2.125%, 09/19/14............................. 6,868 6,911,337 3.700%, 01/13/15............................. 74,544 76,300,778 # 0.900%, 02/12/16............................. 3,350 3,368,582 Australia & New Zealand Banking Group, Ltd. Floating Rate Note (r) 0.477%, 01/29/15............................. 60,000 60,124,800 Bank Nederlandse Gemeenten 1.000%, 11/17/14............................. 139,400 139,960,946 3.125%, 01/12/15............................. 26,000 26,509,704 1.375%, 03/23/15............................. 17,070 17,235,408 2.750%, 07/01/15............................. 49,500 50,887,683 2.500%, 01/11/16............................. 33,500 34,655,750 Bank of New York Mellon Corp. (The) 4.300%, 05/15/14............................. 14,955 14,971,121 3.100%, 01/15/15............................. 43,900 44,772,205 # 2.950%, 06/18/15............................. 9,975 10,256,036
Face Amount Value+ ------ ------ (000) Bank of Nova Scotia/Houston Floating Rate Note (r) 0.447%, 10/10/14............................. $ 14,000 $ 14,017,836 Belgium Government International Bond 2.750%, 03/05/15............................. 10,000 10,200,100 Berkshire Hathaway, Inc. 3.200%, 02/11/15............................. 5,094 5,209,807 Berkshire Hathaway, Inc. Floating Rate Note (r) 0.936%, 08/15/14............................. 12,700 12,725,565 British Columbia, Province of Canada 2.850%, 06/15/15............................. 59,457 61,176,794 Caisse d'Amortissement de la Dette Sociale 3.500%, 07/01/14............................. 63,000 63,321,300 1.250%, 07/11/14............................. 106,000 106,200,340 Commonwealth Bank of Australia 3.750%, 10/15/14............................. 77,164 78,321,846 3.500%, 03/19/15............................. 25,589 26,303,061 # 1.250%, 09/18/15............................. 21,140 21,364,042 Cooperatieve Centrale Raiffeisen- Boerenleenbank BA 4.200%, 05/13/14............................. 10,024 10,032,019 1.875%, 12/15/14............................. 27,900 28,164,213 0.600%, 04/29/15............................. 140,600 140,532,231 2.125%, 10/13/15............................. 63,168 64,643,415 Cooperatieve Centrale Raiffeisen- Boerenleenbank BA Floating Rate Note (r) 0.715%, 03/18/16............................. 27,477 27,636,477 Council Of Europe Development Bank 2.750%, 02/10/15............................. 81,626 83,191,260 4.000%, 04/15/15............................. 25,000 25,883,850 1.375%, 03/22/16............................. 43,496 44,225,428 DBS Bank, Ltd. 2.375%, 09/14/15............................. 11,700 11,974,342 Development Bank of Japan, Inc. 2.875%, 04/20/15............................. 24,500 25,101,034 2.750%, 03/15/16............................. 8,600 8,936,079 EUROFIMA 4.500%, 03/06/15............................. 85,230 88,222,255 European Bank for Reconstruction & Development 1.625%, 09/03/15............................. 35,000 35,618,205 2.500%, 03/15/16............................. 10,000 10,374,550 European Investment Bank 2.875%, 01/15/15............................. 48,000 48,895,392 1.125%, 04/15/15............................. 69,500 70,114,241 1.000%, 07/15/15............................. 32,000 32,281,504 4.875%, 02/16/16............................. 57,000 61,497,357 2.250%, 03/15/16............................. 52,000 53,726,608 0.625%, 04/15/16............................. 8,000 8,025,408
8 DFA ONE-YEAR FIXED INCOME PORTFOLIO CONTINUED
Face Amount Value+ ------ ------ (000) Export Development Canada 2.250%, 05/28/15............................. $ 21,000 $ 21,450,912 FMS Wertmanagement AoeR 0.625%, 04/18/16............................. 82,040 82,232,138 General Electric Capital Corp. # 4.875%, 03/04/15............................. 34,000 35,284,316 # 3.500%, 06/29/15............................. 14,732 15,235,613 2.375%, 06/30/15............................. 26,425 27,007,803 1.625%, 07/02/15............................. 31,740 32,165,030 # 2.250%, 11/09/15............................. 35,187 36,105,134 1.000%, 01/08/16............................. 76,297 76,812,005 5.000%, 01/08/16............................. 5,000 5,360,460 General Electric Co. # 0.850%, 10/09/15............................. 38,450 38,666,243 International Bank for Reconstruction & Development 0.375%, 11/16/15............................. 75,000 75,053,100 2.125%, 03/15/16............................. 48,500 50,044,967 Japan Bank for International Cooperation 2.500%, 01/21/16............................. 52,000 53,803,516 2.500%, 01/21/16............................. 30,000 31,038,450 Japan Finance Organization for Municipalities 4.625%, 04/21/15............................. 35,200 36,624,896 KFW 1.000%, 01/12/15............................. 120,500 121,194,562 # 0.625%, 04/24/15............................. 15,000 15,063,435 4.375%, 07/21/15............................. 15,000 15,751,185 # 0.500%, 09/30/15............................. 30,000 30,088,050 # 2.625%, 02/16/16............................. 81,500 84,696,511 Kingdom of Denmark 0.625%, 05/22/15............................. 16,000 16,063,680 Kommunalbanken A.S. 2.875%, 10/27/14............................. 105,500 106,834,997 1.000%, 02/09/15............................. 14,000 14,081,760 0.375%, 04/10/15............................. 15,000 15,015,510 2.750%, 05/05/15............................. 9,550 9,786,745 2.375%, 01/19/16............................. 91,300 94,327,325 Kommunekredit 0.750%, 09/02/14............................. 23,000 23,037,720 1.000%, 05/05/15............................. 25,000 25,177,550 Landwirtschaftliche Rentenbank 4.000%, 02/02/15............................. 14,500 14,903,390 3.125%, 07/15/15............................. 70,734 73,128,912 Manitoba, Province of Canada 2.625%, 07/15/15............................. 28,674 29,473,661 Microsoft Corp. 1.625%, 09/25/15............................. 25,917 26,387,368 National Australia Bank, Ltd. 3.750%, 03/02/15............................. 26,150 26,886,933 2.000%, 03/09/15............................. 91,410 92,678,954 # 1.600%, 08/07/15............................. 25,062 25,424,196 2.750%, 09/28/15............................. 10,000 10,303,730 # 0.900%, 01/20/16............................. 47,635 47,979,544
Face Amount Value+ ------ ------ (000) Nederlandse Waterschapsbank NV 1.375%, 05/16/14............................. $137,630 $137,642,387 1.250%, 10/20/14............................. 50,650 50,885,016 3.000%, 03/17/15............................. 36,212 37,067,690 0.750%, 03/29/16............................. 45,500 45,689,098 Netherlands Government Bond 0.250%, 09/12/15............................. 15,000 14,989,500 Network Rail Infrastructure Finance P.L.C. 0.875%, 01/20/15............................. 25,000 25,111,575 Nordea Bank AB # 3.700%, 11/13/14............................. 18,000 18,317,772 2.250%, 03/20/15............................. 16,935 17,217,035 Nordea Bank Finland P.L.C. Floating Rate Note (r) 0.727%, 10/15/14............................. 90,000 90,234,180 (r) 0.418%, 01/21/16............................. 72,500 72,488,907 Nordic Investment Bank # 2.500%, 07/15/15............................. 3,100 3,183,074 2.250%, 03/15/16............................. 21,000 21,703,164 0.500%, 04/14/16............................. 12,500 12,511,825 NRW Bank 1.250%, 05/15/15............................. 69,000 69,659,640 NRW Bank Floating Rate Note (r) 0.556%, 12/01/14............................. 24,000 24,042,240 Oesterreichische Kontrollbank AG # 1.125%, 07/06/15............................. 136,155 137,475,159 1.750%, 10/05/15............................. 14,489 14,783,503 # 4.875%, 02/16/16............................. 9,407 10,144,349 Ontario, Province of Canada 4.500%, 02/03/15............................. 108,100 111,531,634 2.950%, 02/05/15............................. 26,025 26,555,520 0.950%, 05/26/15............................. 53,000 53,387,536 2.700%, 06/16/15............................. 52,000 53,392,040 # 4.750%, 01/19/16............................. 20,000 21,462,400 Quebec, Province of Canada 4.875%, 05/05/14............................. 39,400 39,400,000 4.600%, 05/26/15............................. 16,399 17,142,531 Royal Bank of Canada # 1.150%, 03/13/15............................. 19,881 20,033,646 0.550%, 05/01/15............................. 102,300 102,457,440 0.800%, 10/30/15............................. 68,277 68,595,785 2.625%, 12/15/15............................. 4,995 5,160,654 # 0.850%, 03/08/16............................. 13,000 13,051,233 Royal Bank of Canada Floating Rate Note (r) 0.453%, 12/16/15............................. 65,000 65,074,295 Societe de Financement de l'Economie Francaise 3.375%, 05/05/14............................. 10,000 10,000,000 2.875%, 09/22/14............................. 201,000 203,034,120 State of North Rhine-Westphalia 1.625%, 09/17/14............................. 43,900 44,119,851
9 DFA ONE-YEAR FIXED INCOME PORTFOLIO CONTINUED
Face Amount Value+ ------ ------ (000) Svensk Exportkredit AB # 3.250%, 09/16/14............................. $ 45,368 $ 45,870,859 0.625%, 09/04/15............................. 80,500 80,831,821 1.750%, 10/20/15............................. 120,058 122,456,519 Svenska Handelsbanken Floating Rate Note (r) 0.410%, 10/06/14............................. 95,000 95,050,920 (r) 0.519%, 01/16/15............................. 83,500 83,682,197 Svenska Handelsbanken AB 4.875%, 06/10/14............................. 10,430 10,476,935 Toronto-Dominion Bank (The) # 1.375%, 07/14/14............................. 27,000 27,057,888 Toronto-Dominion Bank (The) Floating Rate Note (r) 0.416%, 05/01/15............................. 155,360 155,605,935 (r) 0.437%, 11/06/15............................. 55,000 55,082,445 Total Capital Canada, Ltd. Floating Rate Note #(r) 0.607%, 01/15/16............................. 11,269 11,337,358 Total Capital International SA 0.750%, 01/25/16............................. 3,000 3,014,682 Total Capital SA 3.000%, 06/24/15............................. 10,000 10,298,280 Toyota Motor Credit Corp. # 1.250%, 11/17/14............................. 34,095 34,278,227 # 1.000%, 02/17/15............................. 84,340 84,856,414 0.875%, 07/17/15............................. 20,090 20,176,548 2.800%, 01/11/16............................. 6,100 6,328,134 Toyota Motor Credit Corp. Floating Rate Note (r) 0.404%, 11/21/14............................. 38,300 38,326,427 (r) 0.406%, 12/05/14............................. 16,200 16,212,506 (r) 0.380%, 04/08/15............................. 39,500 39,533,219 (r) 0.385%, 09/18/15............................. 9,650 9,663,491 US Bancorp 2.875%, 11/20/14............................. 23,400 23,737,451 Wal-Mart Stores, Inc. # 1.500%, 10/25/15............................. 30,674 31,153,189 Westpac Banking Corp. # 4.200%, 02/27/15............................. 35,330 36,415,338 # 3.000%, 08/04/15............................. 71,992 74,231,815 1.125%, 09/25/15............................. 14,913 15,051,303 3.000%, 12/09/15............................. 4,516 4,687,491 0.950%, 01/12/16............................. 27,093 27,313,700 -------------- TOTAL BONDS........................................ 6,409,850,299 -------------- U.S. TREASURY OBLIGATIONS -- (13.2%) U.S. Treasury Notes 0.250%, 07/15/15............................. 278,500 278,837,264 1.750%, 07/31/15............................. 30,000 30,596,490 1.250%, 08/31/15............................. 45,000 45,641,610 1.250%, 10/31/15............................. 150,000 152,290,950 0.375%, 11/15/15............................. 45,000 45,096,660 0.250%, 11/30/15............................. 60,000 60,002,340 0.250%, 12/15/15............................. 49,500 49,482,576 2.125%, 12/31/15............................. 195,000 200,964,270
Face Amount Value+ ------ ------ (000) 0.375%, 01/15/16............................. $ 60,000 $ 60,077,340 0.375%, 01/31/16............................. 75,000 75,087,900 2.000%, 01/31/16............................. 50,000 51,476,550 0.375%, 02/15/16............................. 73,800 73,863,394 0.375%, 03/31/16............................. 20,000 19,999,220 0.250%, 04/15/16............................. 25,000 24,928,700 0.375%, 04/30/16............................. 45,000 44,964,855 -------------- TOTAL U.S. TREASURY OBLIGATIONS.................. 1,213,310,119 -------------- COMMERCIAL PAPER -- (8.6%) Australia & New Zealand Banking Group, Ltd. ## 0.140%, 05/07/14............................. 20,000 19,999,766 ## 0.150%, 05/14/14............................. 10,000 9,999,733 Banque et Caisse d'Epargne de l'Etat 0.110%, 08/01/14............................. 25,000 24,989,345 0.170%, 08/06/14............................. 50,000 49,976,455 Caisse des Depots et Consignations ## 0.175%, 05/27/14............................. 60,000 59,995,638 DBS Bank, Ltd. ## 0.210%, 08/19/14............................. 30,000 29,981,964 Nordea Bank AB ## 0.175%, 08/01/14............................. 15,000 14,993,335 ## 0.190%, 10/08/14............................. 55,000 54,948,102 Oversea Chinese Banking 0.230%, 06/05/14............................. 21,800 21,797,210 0.190%, 07/08/14............................. 10,000 9,996,435 0.240%, 09/30/14............................. 170,500 170,331,887 0.240%, 10/01/14............................. 51,550 51,498,692 0.240%, 10/08/14............................. 20,000 19,978,772 Standard Chartered Bank ## 0.160%, 07/09/14............................. 20,000 19,993,894 Svenska Handelsbanken AB ## 0.160%, 05/07/14............................. 25,000 24,999,610 United Overseas Bank, Ltd. ## 0.180%, 05/06/14............................. 40,000 39,999,532 ## 0.190%, 06/18/14............................. 60,000 59,989,794 ## 0.190%, 08/07/14............................. 75,000 74,963,910 ## 0.200%, 08/19/14............................. 23,910 23,895,625 ## 0.230%, 09/10/14 15,000 14,987,642 -------------- TOTAL COMMERCIAL PAPER........................... 797,317,341 --------------
Shares ------ TEMPORARY CASH INVESTMENTS -- (0.6%) State Street Institutional Liquid Reserves, 0.074%...................................... 54,445,050 54,445,050 ----------
10 DFA ONE-YEAR FIXED INCOME PORTFOLIO CONTINUED
Shares/ Face Amount Value+ ------- ------ (000) SECURITIES LENDING COLLATERAL -- (0.5%) (S)@ DFA Short Term Investment Fund............... 4,342,743 $ 50,245,533 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $9,201,811,548)............................ $9,212,613,709 ==============
Summary of the Portfolio's investments as of April 30, 2014, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) ------------------------------------------------- Level 1 Level 2 Level 3 Total ----------- -------------- ------- -------------- Agency Obligations............ -- $ 687,445,367 -- $ 687,445,367 Bonds......................... -- 6,409,850,299 -- 6,409,850,299 U.S. Treasury Obligations..... -- 1,213,310,119 -- 1,213,310,119 Commercial Paper.............. -- 797,317,341 -- 797,317,341 Temporary Cash Investments.... $54,445,050 -- -- 54,445,050 Securities Lending Collateral. -- 50,245,533 -- 50,245,533 ----------- -------------- -- -------------- TOTAL......................... $54,445,050 $9,158,168,659 -- $9,212,613,709 =========== ============== == ==============
See accompanying Notes to Financial Statements. 11 DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2014 (Unaudited)
Face Amount^ Value+ ------- ------ (000) BONDS -- (84.2%) AUSTRALIA -- (7.9%) Australia & New Zealand Banking Group, Ltd. 3.700%, 01/13/15............................. $ 20,200 $ 20,676,053 Commonwealth Bank of Australia 3.500%, 03/19/15............................. 53,000 54,478,965 3.875%, 12/14/15............................. GBP 31,760 56,082,734 National Australia Bank, Ltd. 3.500%, 01/23/15............................. EUR 105,456 149,529,734 3.750%, 03/02/15............................. 13,374 13,750,893 # 0.900%, 01/20/16............................. 6,500 6,547,015 Westpac Banking Corp. 3.750%, 12/01/14............................. CAD 113,551 104,948,039 3.000%, 08/04/15............................. 3,741 3,857,390 1.125%, 09/25/15............................. 24,407 24,633,351 6.500%, 11/09/15............................. AUD 10,000 9,742,165 3.000%, 12/09/15............................. 21,010 21,807,834 ------------ TOTAL AUSTRALIA.................................. 466,054,173 ------------ AUSTRIA -- (1.8%) Oesterreichische Kontrollbank AG 1.125%, 07/06/15............................. 89,493 90,360,724 4.875%, 02/16/16............................. 16,000 17,254,128 ------------ TOTAL AUSTRIA.................................... 107,614,852 ------------ BELGIUM -- (0.1%) Belgium Government International Bond 2.750%, 03/05/15............................. 5,000 5,100,050 ------------ CANADA -- (7.8%) Bank of Nova Scotia 3.430%, 07/16/14............................. CAD 89,500 82,013,699 3.350%, 11/18/14............................. CAD 17,500 16,141,257 Export Development Canada 3.625%, 09/07/15............................. GBP 14,827 26,002,206 Ontario, Province of Canada 2.700%, 06/16/15............................. 44,152 45,333,949 # 1.875%, 09/15/15............................. 115,925 118,352,933 Royal Bank of Canada 2.050%, 01/13/15............................. CAD 47,000 43,100,808 3.360%, 01/11/16............................. CAD 139,500 131,031,107 ------------ TOTAL CANADA..................................... 461,975,959 ------------ DENMARK -- (2.5%) Denmark Government Bond 4.000%, 11/15/15............................. DKK 757,000 149,120,839 ------------
Face Amount^ Value+ ------- ------ (000) FINLAND -- (0.9%) Finland Government International Bond 1.250%, 10/19/15............................. $ 44,500 $ 45,099,415 2.250%, 03/17/16............................. 5,000 5,167,000 Pohjola Bank P.L.C. 3.125%, 01/12/16............................. EUR 2,118 3,063,494 ------------ TOTAL FINLAND.................................... 53,329,909 ------------ FRANCE -- (1.7%) Caisse d'Amortissement de la Dette Sociale 3.500%, 07/01/14............................. 56,662 56,950,976 Reseau Ferre de France 2.375%, 12/23/15............................. GBP 22,700 39,257,999 Total Capital SA # 2.300%, 03/15/16............................. 2,987 3,086,790 ------------ TOTAL FRANCE..................................... 99,295,765 ------------ GERMANY -- (6.7%) FMS Wertmanagement AoeR # 0.625%, 04/18/16............................. 95,000 95,222,490 KFW 5.500%, 12/07/15............................. GBP 76,000 137,795,160 1.750%, 01/22/16............................. GBP 22,000 37,652,551 Landwirtschaftliche Rentenbank 3.125%, 07/15/15............................. 20,000 20,677,160 NRW Bank 1.250%, 05/15/15............................. 55,535 56,065,915 State of North Rhine- Westphalia 1.500%, 01/13/15............................. 48,500 48,886,060 ------------ TOTAL GERMANY.................................... 396,299,336 ------------ IRELAND -- (1.4%) GE Capital European Funding 2.875%, 09/17/15............................. EUR 56,195 80,339,939 ------------ JAPAN -- (3.1%) Development Bank of Japan, Inc. 2.750%, 03/15/16............................. 8,000 8,312,632 Japan Bank for International Cooperation 1.875%, 09/24/15............................. 52,600 53,668,937 2.500%, 01/21/16............................. 97,400 100,778,124 5.250%, 03/23/16............................. 18,000 19,568,880 ------------ TOTAL JAPAN...................................... 182,328,573 ------------
12 DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO CONTINUED
Face Amount^ Value+ ------- ------ (000) NETHERLANDS -- (9.9%) Bank Nederlandse Gemeenten 2.750%, 07/01/15............................. $ 38,834 $ 39,922,672 2.375%, 12/23/15............................. GBP 39,553 68,387,208 2.500%, 01/11/16............................. 52,000 53,794,000 Cooperatieve Centrale Raiffeisen-Boerenleenbank BA 6.250%, 07/10/14............................. NZD 11,167 9,673,235 4.000%, 09/10/15............................. GBP 30,773 54,005,777 2.125%, 10/13/15............................. 80,000 81,868,560 3.375%, 01/18/16............................. EUR 13,500 19,600,349 5.500%, 02/03/16............................. AUD 8,824 8,485,706 Nederlandse Waterschapsbank NV 2.000%, 09/09/15............................. 76,105 77,799,097 5.625%, 11/17/15............................. GBP 12,246 22,153,446 0.750%, 03/29/16............................. 68,900 69,186,349 Netherlands Government Bond 0.250%, 09/12/15............................. 80,824 80,767,423 ------------ TOTAL NETHERLANDS................................ 585,643,822 ------------ NEW ZEALAND -- (3.4%) ANZ New Zealand Int'l, Ltd. 3.125%, 08/10/15............................. 31,890 32,855,310 1.125%, 03/24/16............................. 4,245 4,262,897 New Zealand Government Bond 6.000%, 04/15/15............................. NZD 185,910 164,115,986 ------------ TOTAL NEW ZEALAND................................ 201,234,193 ------------ NORWAY -- (1.7%) Kommunalbanken A.S. 1.000%, 02/09/15............................. 24,000 24,140,160 0.375%, 04/10/15............................. 10,000 10,010,340 2.375%, 01/19/16............................. 62,500 64,572,375 ------------ TOTAL NORWAY..................................... 98,722,875 ------------ SINGAPORE -- (0.4%) DBS Bank, Ltd. 2.375%, 09/14/15............................. 26,200 26,814,338 ------------ SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (16.2%) African Development Bank 2.500%, 03/15/16............................. 38,000 39,430,510 Asian Development Bank 0.500%, 08/17/15............................. 28,000 28,081,760 0.750%, 09/01/15............................. 74,000 74,426,240 2.500%, 03/15/16............................. 66,593 69,125,199 Council Of Europe Development Bank 5.500%, 06/12/14............................. NZD 24,370 21,052,500
Face Amount^ Value+ ------- ------ (000) SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (Continued) 4.000%, 04/15/15............................. $ 96,439 $ 99,848,504 1.625%, 12/07/15............................. GBP 13,000 22,227,066 EUROFIMA 4.500%, 03/06/15............................. 37,000 38,298,996 European Investment Bank 3.000%, 12/07/15............................. GBP 57,000 99,605,185 2.250%, 03/15/16............................. 30,000 30,996,120 0.625%, 04/15/16............................. 45,000 45,142,920 Inter-American Development Bank 0.625%, 12/15/15............................. GBP 49,400 83,230,097 International Bank for Reconstruction & Development 0.375%, 11/16/15............................. 68,000 68,048,144 2.125%, 03/15/16............................. 100,000 103,185,500 International Finance Corp. 0.625%, 12/15/15............................. GBP 10,268 17,299,383 Nordic Investment Bank 0.500%, 04/14/16............................. 114,380 114,488,203 ------------ TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS..... 954,486,327 ------------ SWEDEN -- (9.4%) Kommuninvest I Sverige AB 3.600%, 05/21/14............................. NZD 7,300 6,294,823 0.625%, 09/18/15............................. 124,000 124,453,344 Nordea Bank AB 4.500%, 05/12/14............................. EUR 19,628 27,249,137 2.750%, 08/11/15............................. EUR 79,062 112,855,677 3.875%, 12/15/15............................. GBP 5,000 8,817,665 Svensk Exportkredit AB 7.625%, 06/30/14............................. NZD 5,800 5,031,899 0.625%, 09/04/15............................. 12,250 12,300,494 1.750%, 10/20/15............................. 53,490 54,558,623 0.875%, 12/15/15............................. GBP 60,000 101,264,442 Svenska Handelsbanken AB 1.500%, 07/06/15............................. EUR 64,300 90,306,300 3.625%, 02/16/16............................. EUR 8,533 12,485,875 ------------ TOTAL SWEDEN..................................... 555,618,279 ------------ UNITED KINGDOM -- (5.0%) Network Rail Infrastructure Finance P.L.C. 4.875%, 11/27/15............................. GBP 64,949 116,640,345 United Kingdom Gilt 2.000%, 01/22/16............................. GBP 102,500 176,944,402 ------------ TOTAL UNITED KINGDOM............................. 293,584,747 ------------
13 DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO CONTINUED
Face Amount^ Value+ ------- ------ (000) UNITED STATES -- (4.3%) General Electric Capital Corp. 1.000%, 01/08/16............................. $ 51,817 $ 52,166,765 5.000%, 01/08/16............................. 15,040 16,124,264 General Electric Co. 0.850%, 10/09/15............................. 16,070 16,160,378 Toyota Motor Credit Corp. 1.000%, 02/17/15............................. 54,654 54,988,646 0.875%, 07/17/15............................. 105,280 105,733,546 Wal-Mart Stores, Inc. 1.500%, 10/25/15............................. 1,341 1,361,949 2.800%, 04/15/16............................. 5,000 5,225,790 -------------- TOTAL UNITED STATES.............................. 251,761,338 -------------- TOTAL BONDS...................................... 4,969,325,314 -------------- AGENCY OBLIGATIONS -- (5.4%) Federal Home Loan Bank # 0.500%, 11/20/15............................. 25,925 26,032,770 Federal National Mortgage Association 0.500%, 09/28/15............................. 60,250 60,459,068 4.375%, 10/15/15............................. 105,930 112,248,195 5.000%, 03/15/16............................. 70,000 76,041,490 # 0.500%, 03/30/16............................. 45,000 45,066,465 -------------- TOTAL AGENCY OBLIGATIONS......................... 319,847,988 --------------
Face Amount^ Value+ ------- ------ (000) U.S. TREASURY OBLIGATIONS -- (10.1%) U.S. Treasury Notes 1.375%, 11/30/15............................. $ 65,500 $ 66,666,686 2.125%, 12/31/15............................. 65,000 66,988,090 0.375%, 01/15/16............................. 85,000 85,109,565 # 2.000%, 01/31/16............................. 75,000 77,214,825 # 0.375%, 03/15/16............................. 300,000 300,081,900 -------------- TOTAL U.S. TREASURY OBLIGATIONS.................... 596,061,066 -------------- Shares/ Face Amount ------- (000) SECURITIES LENDING COLLATERAL -- (0.3%) (S)@ DFA Short Term Investment Fund............... 1,428,215 16,524,450 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $5,868,464,135)............................ $5,901,758,818 ==============
14 DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, 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.............................. -- $ 466,054,173 -- $ 466,054,173 Austria................................ -- 107,614,852 -- 107,614,852 Belgium................................ -- 5,100,050 -- 5,100,050 Canada................................. -- 461,975,959 -- 461,975,959 Denmark................................ -- 149,120,839 -- 149,120,839 Finland................................ -- 53,329,909 -- 53,329,909 France................................. -- 99,295,765 -- 99,295,765 Germany................................ -- 396,299,336 -- 396,299,336 Ireland................................ -- 80,339,939 -- 80,339,939 Japan.................................. -- 182,328,573 -- 182,328,573 Netherlands............................ -- 585,643,822 -- 585,643,822 New Zealand............................ -- 201,234,193 -- 201,234,193 Norway................................. -- 98,722,875 -- 98,722,875 Singapore.............................. -- 26,814,338 -- 26,814,338 Supranational Organization Obligations. -- 954,486,327 -- 954,486,327 Sweden................................. -- 555,618,279 -- 555,618,279 United Kingdom......................... -- 293,584,747 -- 293,584,747 United States.......................... -- 251,761,338 -- 251,761,338 Agency Obligations....................... -- 319,847,988 -- 319,847,988 U.S. Treasury Obligations................ -- 596,061,066 -- 596,061,066 Securities Lending Collateral............ -- 16,524,450 -- 16,524,450 Forward Currency Contracts**............. -- (21,740,690) -- (21,740,690) -- -------------- -- -------------- TOTAL.................................... -- $5,880,018,128 -- $5,880,018,128 == ============== == ==============
**Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note G) See accompanying Notes to Financial Statements. 15 DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2014 (Unaudited)
Face Amount^ Value+ ------- ------ (000) BONDS -- (93.6%) AUSTRALIA -- (5.1%) Commonwealth Bank of Australia 1.900%, 09/18/17............................. $ 10,000 $10,138,800 National Australia Bank, Ltd. 6.750%, 09/16/14............................. AUD 12,146 11,439,509 1.600%, 08/07/15............................. 15,000 15,216,780 Rio Tinto Finance USA, Ltd. 2.500%, 05/20/16............................. 2,525 2,609,961 Westpac Banking Corp. 2.000%, 08/14/17............................. 10,425 10,623,273 ----------- TOTAL AUSTRALIA.................................. 50,028,323 ----------- CANADA -- (8.6%) Bank of Nova Scotia 2.550%, 01/12/17............................. 10,000 10,395,230 Brookfield Asset Management, Inc. 5.800%, 04/25/17............................. 4,150 4,570,797 Enbridge, Inc. 5.800%, 06/15/14............................. 5,000 5,029,650 Export Development Canada 0.875%, 12/07/16............................. GBP 5,000 8,373,194 Ontario, Province of Canada 1.100%, 10/25/17............................. 10,000 9,930,200 Royal Bank of Canada 1.200%, 01/23/17............................. 10,000 10,023,040 Teck Resources, Ltd. 2.500%, 02/01/18............................. 5,000 5,050,975 Thomson Reuters Corp. 6.500%, 07/15/18............................. 4,700 5,504,537 Toronto-Dominion Bank (The) 1.400%, 04/30/18............................. 19,615 19,326,483 TransAlta Corp. 4.750%, 01/15/15............................. 4,000 4,107,880 TransCanada PipeLines, Ltd. 3.400%, 06/01/15............................. 2,105 2,169,173 ----------- TOTAL CANADA..................................... 84,481,159 ----------- FINLAND -- (1.4%) Municipality Finance P.L.C. 2.000%, 05/28/14............................. SEK 90,000 13,848,390 ----------- FRANCE -- (4.1%) BNP Paribas SA 2.375%, 09/14/17............................. 8,000 8,219,464 Orange SA 2.750%, 09/14/16............................. 8,000 8,313,192 Societe Generale SA 2.750%, 10/12/17............................. 8,000 8,270,000 Total Capital International SA 1.550%, 06/28/17............................. 15,000 15,173,910 ----------- TOTAL FRANCE..................................... 39,976,566 -----------
Face Amount^ Value+ ------- ------ (000) GERMANY -- (3.4%) Deutsche Bank AG 3.250%, 01/11/16............................. $ 4,000 $ 4,165,268 6.000%, 09/01/17............................. 4,000 4,554,088 KFW 3.750%, 08/16/17............................. NZD 10,910 9,208,054 Landwirtschaftliche Rentenbank 3.250%, 12/07/16............................. GBP 8,000 14,189,982 State of North Rhine-Westphalia 3.250%, 05/28/14............................. NOK 3,670 617,877 ----------- TOTAL GERMANY.................................... 32,735,269 ----------- JAPAN -- (1.3%) Nomura Holdings, Inc. 5.000%, 03/04/15............................. 5,770 5,973,975 Sumitomo Mitsui Banking Corp. 1.350%, 07/18/15............................. 4,000 4,038,092 2.450%, 01/10/19............................. 2,600 2,630,584 ----------- TOTAL JAPAN...................................... 12,642,651 ----------- NETHERLANDS -- (1.5%) Cooperatieve Centrale Raiffeisen-Boerenleenbank BA 6.250%, 07/10/14............................. NZD 6,500 5,630,521 3.250%, 11/01/17............................. GBP 5,000 8,792,018 ----------- TOTAL NETHERLANDS................................ 14,422,539 ----------- NEW ZEALAND -- (2.9%) New Zealand Government Bond 6.000%, 04/15/15............................. NZD 32,000 28,248,677 ----------- NORWAY -- (1.9%) Kommunalbanken A.S. 1.125%, 12/15/16............................. GBP 5,000 8,405,104 Statoil ASA 3.125%, 08/17/17............................. 10,000 10,540,480 ----------- TOTAL NORWAY..................................... 18,945,584 ----------- SINGAPORE -- (0.6%) Singapore Government Bond 0.500%, 04/01/18............................. SGD 7,000 5,498,169 ----------- SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (2.4%) European Investment Bank 6.500%, 09/10/14............................. NZD 3,000 2,609,872 1.625%, 06/15/17............................. 15,000 15,260,400
16 DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO CONTINUED
Face Amount^ Value+ ------- ------ (000) SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (Continued) Nordic Investment Bank 7.500%, 04/15/15............................. NZD 6,500 $ 5,796,164 ----------- TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS..... 23,666,436 ----------- SWEDEN -- (0.9%) Kommuninvest I Sverige AB 3.600%, 05/21/14............................. NZD 5,000 4,311,522 Svensk Exportkredit AB 7.625%, 06/30/14............................. NZD 5,575 4,836,696 ----------- TOTAL SWEDEN..................................... 9,148,218 ----------- SWITZERLAND -- (1.8%) Credit Suisse New York 3.500%, 03/23/15............................. 5,000 5,136,935 Noble Holding International, Ltd. 2.500%, 03/15/17............................. 3,500 3,572,559 UBS AG 3.875%, 01/15/15............................. 3,993 4,088,321 5.875%, 12/20/17............................. 4,325 4,946,675 ----------- TOTAL SWITZERLAND................................ 17,744,490 ----------- UNITED KINGDOM -- (4.1%) Barclays Bank P.L.C. 5.000%, 09/22/16............................. 6,000 6,560,994 BP Capital Markets P.L.C. 2.248%, 11/01/16............................. 4,000 4,132,980 1.846%, 05/05/17............................. 4,640 4,728,958 GlaxoSmithKline Capital P.L.C. 1.500%, 05/08/17............................. 3,750 3,788,306 Lloyds Bank P.L.C. 4.200%, 03/28/17............................. 4,000 4,328,316 Rio Tinto Finance USA P.L.C. 1.625%, 08/21/17............................. 3,628 3,650,251 Royal Bank of Scotland Group P.L.C. 2.550%, 09/18/15............................. 4,000 4,085,508 Vodafone Group P.L.C. 5.625%, 02/27/17............................. 8,000 8,960,488 ----------- TOTAL UNITED KINGDOM............................. 40,235,801 ----------- UNITED STATES -- (53.6%) AbbVie, Inc. 1.200%, 11/06/15............................. 7,215 7,274,863 ACE INA Holdings, Inc. 2.600%, 11/23/15............................. 4,215 4,344,573 Actavis, Inc. 1.875%, 10/01/17............................. 4,000 4,034,500 Aflac, Inc. 2.650%, 02/15/17............................. 4,000 4,165,376 Agilent Technologies, Inc. 6.500%, 11/01/17............................. 3,580 4,106,786
Face Amount^ Value+ ------- ------ (000) UNITED STATES -- (Continued) Air Products & Chemicals, Inc. 2.000%, 08/02/16............................. $ 4,000 $ 4,109,628 Airgas, Inc. 4.500%, 09/15/14............................. 7,350 7,448,755 Allstate Corp. (The) 5.000%, 08/15/14............................. 3,300 3,341,761 American Express Co. 6.150%, 08/28/17............................. 5,000 5,751,660 7.000%, 03/19/18............................. 2,000 2,382,798 American International Group, Inc. 5.850%, 01/16/18............................. 7,000 7,989,499 Ameriprise Financial, Inc. 5.650%, 11/15/15............................. 1,220 1,306,677 Anadarko Petroleum Corp. 5.950%, 09/15/16............................. 4,000 4,458,404 Anheuser-Busch InBev Worldwide, Inc. 1.375%, 07/15/17............................. 8,000 8,062,920 Apple, Inc. 1.000%, 05/03/18............................. 25,000 24,408,575 Assurant, Inc. 2.500%, 03/15/18............................. 5,000 5,004,700 AT&T, Inc. 1.400%, 12/01/17............................. 9,000 8,964,576 Autodesk, Inc. 1.950%, 12/15/17............................. 4,000 4,030,156 Bank of America Corp. 4.500%, 04/01/15............................. 4,000 4,140,120 6.000%, 09/01/17............................. 4,000 4,538,808 BB&T Corp. 1.450%, 01/12/18............................. 9,000 8,905,896 Berkshire Hathaway Finance Corp. 1.600%, 05/15/17............................. 10,000 10,135,450 Berkshire Hathaway, Inc. 1.550%, 02/09/18............................. 10,000 9,994,860 BlackRock, Inc. 6.250%, 09/15/17............................. 5,000 5,787,380 Buckeye Partners L.P. 6.050%, 01/15/18............................. 1,880 2,094,066 Capital One Financial Corp. 6.750%, 09/15/17............................. 4,000 4,663,724 Cardinal Health, Inc. 1.700%, 03/15/18............................. 9,000 8,938,566 Caterpillar Financial Services Corp. 2.450%, 09/06/18............................. 2,880 2,947,542 Cigna Corp. 5.375%, 03/15/17............................. 1,190 1,323,128 Citigroup, Inc. 4.450%, 01/10/17............................. 4,000 4,320,512 6.000%, 08/15/17............................. 4,000 4,531,800 Coca-Cola Enterprises, Inc. 2.125%, 09/15/15............................. 3,389 3,446,674
17 DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO CONTINUED
Face Amount^ Value+ ------- ------ (000) UNITED STATES -- (Continued) Comcast Corp. 4.950%, 06/15/16............................. $ 4,000 $ 4,346,400 6.500%, 01/15/17............................. 3,500 3,999,992 Comerica, Inc. 3.000%, 09/16/15............................. 1,000 1,031,516 Computer Sciences Corp. 2.500%, 09/15/15............................. 4,000 4,078,464 DIRECTV Holdings LLC / DIRECTV Financing Co., Inc. 2.400%, 03/15/17............................. 4,000 4,104,552 Dollar General Corp. 1.875%, 04/15/18............................. 5,000 4,960,620 Eastman Chemical Co. 2.400%, 06/01/17............................. 4,000 4,089,060 EI du Pont de Nemours & Co. 6.000%, 07/15/18............................. 2,475 2,893,738 EMC Corp. 1.875%, 06/01/18............................. 8,780 8,818,123 Enbridge Energy Partners L.P. 5.875%, 12/15/16............................. 2,000 2,226,234 Energy Transfer Partners L.P. 5.950%, 02/01/15............................. 2,604 2,702,278 EOG Resources, Inc. 2.500%, 02/01/16............................. 4,000 4,117,568 Exelon Generation Co. LLC 6.200%, 10/01/17............................. 4,000 4,564,024 Fifth Third Bancorp 3.625%, 01/25/16............................. 2,100 2,199,242 FMC Technologies, Inc. 2.000%, 10/01/17............................. 5,000 5,035,575 Ford Motor Credit Co. LLC 5.000%, 05/15/18............................. 5,000 5,550,250 Freeport-McMoRan Copper & Gold, Inc. 2.150%, 03/01/17............................. 4,000 4,060,040 General Electric Capital Corp. 3.750%, 11/14/14............................. 10,000 10,184,700 1.625%, 04/02/18............................. 15,000 14,977,935 Goldman Sachs Group, Inc. (The) 6.250%, 09/01/17............................. 4,000 4,570,912 5.950%, 01/18/18............................. 2,000 2,272,562 Hartford Financial Services Group, Inc. (The) 4.000%, 10/15/17............................. 5,142 5,551,504 Hewlett-Packard Co. 2.600%, 09/15/17............................. 4,000 4,133,864 HSBC Finance Corp. 5.250%, 04/15/15............................. 2,187 2,285,365 Intuit, Inc. 5.750%, 03/15/17............................. 2,000 2,239,918 Jefferies Group LLC 5.125%, 04/13/18............................. 1,875 2,046,437 JPMorgan Chase & Co. 3.700%, 01/20/15............................. 4,000 4,092,032 3.150%, 07/05/16............................. 4,000 4,182,580
Face Amount^ Value+ ------- ------ (000) UNITED STATES -- (Continued) KeyBank NA 1.650%, 02/01/18............................. $ 1,820 $1,813,168 Kinder Morgan Energy Partners L.P. 6.000%, 02/01/17............................. 4,000 4,471,564 Kohl's Corp. 6.250%, 12/15/17............................. 4,000 4,625,084 Kroger Co. (The) 2.200%, 01/15/17............................. 2,795 2,858,863 Laboratory Corp. of America Holdings 2.200%, 08/23/17............................. 4,500 4,571,347 Lorillard Tobacco Co. 2.300%, 08/21/17............................. 4,000 4,082,536 MasterCard, Inc. 2.000%, 04/01/19............................. 5,000 4,994,405 McKesson Corp. 1.400%, 03/15/18............................. 8,907 8,743,886 Morgan Stanley 6.250%, 08/28/17............................. 4,000 4,576,468 Murphy Oil Corp. 2.500%, 12/01/17............................. 5,860 5,996,450 Mylan, Inc. 2.550%, 03/28/19............................. 2,400 2,407,241 Nisource Finance Corp. 6.400%, 03/15/18............................. 3,000 3,456,180 Nucor Corp. 5.750%, 12/01/17............................. 7,160 8,088,115 NYSE Euronext 2.000%, 10/05/17............................. 5,000 5,084,020 Oracle Corp. 1.200%, 10/15/17............................. 1,500 1,493,778 PepsiCo, Inc. 7.900%, 11/01/18............................. 893 1,118,824 Philip Morris International, Inc. 5.650%, 05/16/18............................. 3,000 3,444,072 Pioneer Natural Resources Co. 6.650%, 03/15/17............................. 4,000 4,539,304 PPL Energy Supply LLC 6.500%, 05/01/18............................. 4,000 4,491,592 Praxair, Inc. 1.250%, 11/07/18............................. 4,000 3,880,816 Principal Financial Group, Inc. 1.850%, 11/15/17............................. 6,707 6,735,900 Prudential Financial, Inc. 6.100%, 06/15/17............................. 1,000 1,139,834 6.000%, 12/01/17............................. 5,000 5,760,160 Quest Diagnostics, Inc. 3.200%, 04/01/16............................. 4,000 4,160,696 Qwest Corp. 6.500%, 06/01/17............................. 4,000 4,523,012 Reinsurance Group of America, Inc. 5.625%, 03/15/17............................. 1,000 1,096,380 Republic Services, Inc. 3.800%, 05/15/18............................. 2,427 2,586,129
18 DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO CONTINUED
Face Amount^ Value+ ------- ------ (000) UNITED STATES -- (Continued) Safeway, Inc. 3.400%, 12/01/16............................. $ 4,000 $ 4,203,024 Scripps Networks Interactive, Inc. 2.700%, 12/15/16............................. 4,059 4,224,157 Southern Power Co. 4.875%, 07/15/15............................. 5,672 5,943,763 Starwood Hotels & Resorts Worldwide, Inc. 6.750%, 05/15/18............................. 1,000 1,175,978 SunTrust Banks, Inc. 3.500%, 01/20/17............................. 4,000 4,233,000 Symantec Corp. 2.750%, 06/15/17............................. 4,000 4,101,528 TD Ameritrade Holding Corp. 4.150%, 12/01/14............................. 4,000 4,084,336 Tech Data Corp. 3.750%, 09/21/17............................. 4,500 4,689,409 Textron, Inc. 6.200%, 03/15/15............................. 4,000 4,189,772 Toyota Motor Credit Corp. 1.750%, 05/22/17............................. 10,000 10,166,020 Union Bank NA 2.625%, 09/26/18............................. 5,245 5,350,472 Verizon Communications, Inc. 1.100%, 11/01/17............................. 3,000 2,965,056 Wachovia Corp. 5.750%, 06/15/17............................. 4,000 4,544,420 5.750%, 02/01/18............................. 3,000 3,443,739 Weatherford International, LLC 6.350%, 06/15/17............................. 4,000 4,558,144
Face Amount^ Value+ ------- ------ (000) UNITED STATES -- (Continued) WellPoint, Inc. 5.875%, 06/15/17.............................. $ 3,990 $ 4,488,291 1.875%, 01/15/18.............................. 4,000 3,977,444 Western Union Co. (The) 5.930%, 10/01/16.............................. 6,000 6,623,442 Wyndham Worldwide Corp. 2.500%, 03/01/18.............................. 7,405 7,469,942 Xerox Corp. 2.750%, 03/15/19.............................. 6,000 6,089,112 Zimmer Holdings, Inc. 1.400%, 11/30/14.............................. 5,000 5,022,290 ------------ TOTAL UNITED STATES................................ 524,553,381 ------------ TOTAL BONDS........................................ 916,175,653 ------------ AGENCY OBLIGATIONS -- (6.4%) Federal Home Loan Bank 4.875%, 05/17/17.............................. 27,000 30,198,069 5.000%, 11/17/17.............................. 15,000 17,002,125 Federal National Mortgage Association 1.875%, 02/19/19.............................. 15,000 15,114,360 ------------ TOTAL AGENCY OBLIGATIONS........................... 62,314,554 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $972,695,541).............................. $978,490,207 ============
19 DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, 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.............................. -- $ 50,028,323 -- $ 50,028,323 Canada................................. -- 84,481,159 -- 84,481,159 Finland................................ -- 13,848,390 -- 13,848,390 France................................. -- 39,976,566 -- 39,976,566 Germany................................ -- 32,735,269 -- 32,735,269 Japan.................................. -- 12,642,651 -- 12,642,651 Netherlands............................ -- 14,422,539 -- 14,422,539 New Zealand............................ -- 28,248,677 -- 28,248,677 Norway................................. -- 18,945,584 -- 18,945,584 Singapore.............................. -- 5,498,169 -- 5,498,169 Supranational Organization Obligations. -- 23,666,436 -- 23,666,436 Sweden................................. -- 9,148,218 -- 9,148,218 Switzerland............................ -- 17,744,490 -- 17,744,490 United Kingdom......................... -- 40,235,801 -- 40,235,801 United States.......................... -- 524,553,381 -- 524,553,381 Agency Obligations..................... -- 62,314,554 -- 62,314,554 Forward Currency Contracts**........... -- 1,938,143 -- 1,938,143 -- ------------ -- ------------ TOTAL.................................. -- $980,428,350 -- $980,428,350 == ============ == ============
**Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note G) See accompanying Notes to Financial Statements. 20 DFA SHORT-TERM GOVERNMENT PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2014 (Unaudited)
Face Amount Value+ -------- -------------- (000) AGENCY OBLIGATIONS -- (78.2%) Federal Farm Credit Bank 0.500%, 06/23/15............................. $ 17,100 $ 17,174,710 4.875%, 12/16/15............................. 16,714 17,953,059 4.875%, 01/17/17............................. 12,000 13,299,612 Federal Home Loan Bank 2.750%, 03/13/15............................. 54,700 55,940,049 2.875%, 06/12/15............................. 71,020 73,164,591 1.750%, 09/11/15............................. 74,615 76,155,203 0.500%, 11/20/15............................. 5,000 5,020,785 1.375%, 12/11/15............................. 30,185 30,691,625 1.625%, 12/11/15............................. 21,500 21,968,850 5.000%, 12/21/15............................. 39,385 42,422,529 1.000%, 03/11/16............................. 15,000 15,170,865 3.125%, 03/11/16............................. 78,645 82,694,195 5.375%, 05/18/16............................. 81,500 89,703,464 2.125%, 06/10/16............................. 87,700 90,742,401 5.125%, 10/19/16............................. 9,845 10,920,990 4.750%, 12/16/16............................. 82,500 91,029,757 4.875%, 05/17/17............................. 8,000 8,947,576 1.000%, 06/09/17............................. 9,010 9,025,830 1.000%, 06/21/17............................. 134,210 134,393,465 0.750%, 09/08/17............................. 78,000 76,992,552 2.250%, 09/08/17............................. 25,000 25,930,675 5.000%, 11/17/17............................. 138,740 157,258,321 0.750%, 12/08/17............................. 50,530 49,847,239 1.375%, 03/09/18............................. 156,885 156,806,244 1.250%, 06/08/18............................. 19,300 19,122,556 2.000%, 09/14/18............................. 30,000 30,498,090 Tennessee Valley Authority 4.375%, 06/15/15............................. 20,580 21,510,854 5.500%, 07/18/17............................. 3,362 3,828,212 6.250%, 12/15/17............................. 3,300 3,862,439 4.500%, 04/01/18............................. 8,200 9,154,841 1.750%, 10/15/18............................. 31,635 31,764,640 -------------- TOTAL AGENCY OBLIGATIONS......................... 1,472,996,219 -------------- U.S. TREASURY OBLIGATIONS -- (21.2%) U.S. Treasury Bonds 9.875%, 11/15/15............................. 15,500 17,793,519 U.S. Treasury Notes 0.250%, 08/15/15............................. 42,780 42,825,133 0.250%, 09/15/15............................. 43,000 43,035,260 4.500%, 11/15/15............................. 73,500 78,297,565 2.125%, 12/31/15............................. 8,000 8,244,688 0.375%, 01/15/16............................. 15,400 15,419,851 2.000%, 01/31/16............................. 47,340 48,737,998 4.500%, 02/15/16............................. 5,000 5,374,025 2.000%, 04/30/16............................. 32,300 33,314,414 4.250%, 11/15/17............................. 85,000 94,190,625 1.375%, 09/30/18............................. 11,700 11,635,100 -------------- TOTAL U.S. TREASURY OBLIGATIONS.................. 398,868,178 --------------
21 DFA SHORT-TERM GOVERNMENT PORTFOLIO CONTINUED
Shares Value+ ---------- -------------- TEMPORARY CASH INVESTMENTS -- (0.6%) State Street Institutional U.S. Government Money Market Fund 10,536,028 $ 10,536,028 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $1,879,914,284)........................................................ $1,882,400,425 ==============
Summary of the Portfolio's investments as of April 30, 2014, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) ------------------------------------------------- Level 1 Level 2 Level 3 Total ----------- -------------- ------- -------------- Agency Obligations......... -- $1,472,996,219 -- $1,472,996,219 U.S. Treasury Obligations.. -- 398,868,178 -- 398,868,178 Temporary Cash Investments. $10,536,028 -- -- 10,536,028 ----------- -------------- -- -------------- TOTAL...................... $10,536,028 $1,871,864,397 -- $1,882,400,425 =========== ============== == ==============
See accompanying Notes to Financial Statements. 22 DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2014 (Unaudited)
Face Amount^ Value+ ------- ------ (000) BONDS -- (92.2%) AUSTRALIA -- (6.3%) Australia & New Zealand Banking Group, Ltd. 1.875%, 10/06/17.............................. $ 11,500 $ 11,664,922 1.450%, 05/15/18.............................. 25,900 25,422,974 Commonwealth Bank of Australia 1.900%, 09/18/17.............................. 82,130 83,269,964 2.500%, 09/20/18.............................. 101,000 103,112,112 2.250%, 03/13/19.............................. 13,212 13,245,796 National Australia Bank, Ltd. # 2.750%, 03/09/17.............................. 35,000 36,508,780 # 2.300%, 07/25/18.............................. 47,000 47,655,509 Westpac Banking Corp. # 2.000%, 08/14/17.............................. 28,500 29,042,042 # 1.600%, 01/12/18.............................. 50,650 50,570,378 # 2.250%, 07/30/18.............................. 63,900 64,690,826 # 2.250%, 01/17/19.............................. 105,259 105,707,298 ------------ TOTAL AUSTRALIA.................................... 570,890,601 ------------ AUSTRIA -- (1.3%) Oesterreichische Kontrollbank AG 1.125%, 05/29/18.............................. 103,000 101,432,340 1.625%, 03/12/19.............................. 21,000 20,855,037 ------------ TOTAL AUSTRIA...................................... 122,287,377 ------------ CANADA -- (9.7%) Canada Government International Bond 1.625%, 02/27/19.............................. 116,700 116,384,793 Ontario, Province of Canada # 1.200%, 02/14/18.............................. 91,225 90,291,859 # 3.000%, 07/16/18.............................. 20,000 21,083,400 2.000%, 09/27/18.............................. 18,800 18,996,667 2.000%, 01/30/19.............................. 123,650 124,354,187 Royal Bank of Canada # 1.500%, 01/16/18.............................. 56,960 56,709,946 # 2.200%, 07/27/18.............................. 145,150 147,122,589 # 2.150%, 03/15/19.............................. 50,550 50,609,952 Toronto-Dominion Bank (The) 1.400%, 04/30/18.............................. 39,924 39,336,758 # 2.625%, 09/10/18.............................. 157,484 162,065,367 Total Capital Canada, Ltd. # 1.450%, 01/15/18.............................. 53,370 53,230,651 ------------ TOTAL CANADA....................................... 880,186,169 ------------ DENMARK -- (1.7%) Kommunekredit 1.125%, 03/15/18.............................. 155,274 153,025,011 ------------
Face Amount^ Value+ ------- ------ (000) FINLAND -- (2.8%) Finland Government International Bond 1.625%, 10/01/18............................. $ 60,000 $ 60,086,400 Municipality Finance P.L.C. 1.625%, 04/25/17............................. 36,000 36,591,264 1.125%, 12/07/17............................. GBP 62,955 104,438,354 1.125%, 04/17/18............................. 49,800 48,953,898 ------------ TOTAL FINLAND.................................... 250,069,916 ------------ FRANCE -- (3.2%) Caisse d'Amortissement de la Dette Sociale 2.125%, 04/12/17............................. 37,300 38,397,142 Dexia Credit Local SA 2.250%, 01/30/19............................. 44,000 44,129,492 Sanofi # 1.250%, 04/10/18............................. 10,000 9,850,630 Total Capital International SA 1.550%, 06/28/17............................. 58,800 59,481,728 # 2.125%, 01/10/19............................. 91,000 92,100,099 Total Capital SA # 2.125%, 08/10/18............................. 46,700 47,447,013 ------------ TOTAL FRANCE..................................... 291,406,104 ------------ GERMANY -- (5.6%) FMS Wertmanagement AoeR 1.625%, 11/20/18............................. 43,000 42,945,734 KFW 1.000%, 12/07/17............................. GBP 91,300 151,118,698 4.875%, 02/01/18............................. GBP 5,538 10,454,276 1.000%, 06/11/18............................. 49,000 48,074,978 1.875%, 04/01/19............................. 37,750 37,928,444 Landeskreditbank Baden- Wuerttemberg Foerderbank 1.625%, 04/25/17............................. 36,000 36,596,664 0.875%, 12/15/17............................. GBP 19,000 31,215,360 Landwirtschaftliche Rentenbank # 2.375%, 09/13/17............................. 15,000 15,594,900 1.000%, 12/15/17............................. GBP 28,000 46,289,017 # 1.000%, 04/04/18............................. 33,000 32,487,081 1.875%, 09/17/18............................. 15,000 15,159,630 NRW Bank 0.875%, 12/15/17............................. GBP 27,000 44,329,039 ------------ TOTAL GERMANY.................................... 512,193,821 ------------
23 DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO CONTINUED
Face Amount^ Value+ ------- ------ (000) JAPAN -- (3.4%) Development Bank of Japan, Inc. 1.000%, 01/22/18............................. $ 40,100 $ 39,457,598 Japan Bank for International Cooperation 1.750%, 07/31/18............................. 201,350 201,705,786 1.750%, 11/13/18............................. 9,000 8,941,788 Japan Finance Organization for Municipalities 1.500%, 09/12/17............................. 20,000 20,087,000 1.375%, 02/05/18............................. 40,500 40,014,000 ------------ TOTAL JAPAN...................................... 310,206,172 ------------ NETHERLANDS -- (7.7%) Bank Nederlandse Gemeenten 1.375%, 09/27/17............................. 81,900 82,150,614 4.500%, 02/20/18............................. GBP 13,238 24,473,348 1.375%, 03/19/18............................. 95,200 94,621,374 1.875%, 12/07/18............................. GBP 33,000 55,227,976 Cooperatieve Centrale Raiffeisen- Boerenleenbank BA 3.375%, 01/19/17............................. 43,000 45,619,732 1.700%, 03/19/18............................. 20,900 20,818,971 2.250%, 01/14/19............................. 162,155 162,844,483 Nederlandse Waterschapsbank NV 1.875%, 03/13/19............................. 50,300 50,118,618 Shell International Finance BV # 1.125%, 08/21/17............................. 5,140 5,128,635 1.900%, 08/10/18............................. 105,144 105,685,071 2.000%, 11/15/18............................. 53,970 54,381,090 ------------ TOTAL NETHERLANDS................................ 701,069,912 ------------ NEW ZEALAND -- (1.8%) New Zealand Government Bond 6.000%, 12/15/17............................. NZD 174,400 160,384,255 ------------ NORWAY -- (5.5%) Kommunalbanken A.S. 1.000%, 09/26/17............................. 108,000 107,048,520 1.000%, 03/15/18............................. 54,000 53,027,784 1.125%, 05/23/18............................. 15,000 14,742,240 2.125%, 03/15/19............................. 70,500 71,360,805 Statoil ASA # 3.125%, 08/17/17............................. 12,070 12,722,359 # 1.200%, 01/17/18............................. 43,850 43,247,106 1.150%, 05/15/18............................. 183,925 180,186,725 1.950%, 11/08/18............................. 13,800 13,839,234 ------------ TOTAL NORWAY..................................... 496,174,773 ------------
Face Amount^ Value+ ------- ------ (000) SINGAPORE -- (2.2%) Singapore Government Bond 0.500%, 04/01/18............................. SGD 120,000 $ 94,254,319 4.000%, 09/01/18............................. SGD 114,000 102,159,804 ------------ TOTAL SINGAPORE.................................. 196,414,123 ------------ SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (6.9%) African Development Bank 1.625%, 10/02/18............................. 34,920 34,852,255 Asian Development Bank 1.875%, 04/12/19............................. 79,000 79,442,400 Council Of Europe Development Bank 1.500%, 06/19/17............................. 45,000 45,569,700 1.000%, 03/07/18............................. 56,200 55,326,596 1.125%, 05/31/18............................. 60,000 59,022,780 European Investment Bank 4.750%, 10/15/18............................. GBP 28,722 54,142,806 # 1.625%, 12/18/18............................. 25,000 24,933,875 1.500%, 02/01/19............................. GBP 52,800 87,025,767 # 1.875%, 03/15/19............................. 86,400 86,644,339 International Bank for Reconstruction & Development 1.875%, 03/15/19............................. 91,000 91,691,600 Nordic Investment Bank 0.750%, 01/17/18............................. 8,500 8,328,759 ------------ TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS..... 626,980,877 ------------ SWEDEN -- (3.3%) Kingdom of Sweden 1.000%, 02/27/18............................. 25,000 24,627,400 Kommuninvest I Sverige AB 1.000%, 10/24/17............................. 54,300 53,804,350 Svensk Exportkredit AB 1.750%, 05/30/17............................. 81,455 83,064,551 1.125%, 04/05/18............................. 40,000 39,327,080 1.875%, 12/21/18............................. GBP 14,500 24,303,805 Svenska Handelsbanken AB # 2.500%, 01/25/19............................. 76,411 77,556,630 ------------ TOTAL SWEDEN..................................... 302,683,816 ------------ UNITED KINGDOM -- (5.0%) Barclays Bank P.L.C. 1.500%, 04/04/17............................. GBP 34,000 57,600,177 Lloyds Bank P.L.C. 1.500%, 05/02/17............................. GBP 40,500 68,575,734 Network Rail Infrastructure Finance P.L.C. 1.000%, 12/07/17............................. GBP 23,000 38,115,544 0.875%, 05/15/18............................. 10,000 9,772,360
24 DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO CONTINUED
Face Amount^ Value+ ------- ------ (000) UNITED KINGDOM -- (Continued) Transport for London 1.250%, 11/21/17............................. GBP 10,000 $ 16,673,279 United Kingdom Gilt 1.250%, 07/22/18............................. GBP 146,000 242,188,476 4.500%, 03/07/19............................. GBP 10,000 18,996,348 ------------ TOTAL UNITED KINGDOM............................. 451,921,918 ------------ UNITED STATES -- (25.8%) 3M Co. 1.000%, 06/26/17............................. 16,905 16,897,900 Apple, Inc. 1.000%, 05/03/18............................. 95,700 93,436,025 2.100%, 05/06/19............................. 160,000 160,491,360 Berkshire Hathaway Finance Corp. 1.600%, 05/15/17............................. 13,700 13,885,566 1.300%, 05/15/18............................. 48,700 48,124,902 5.400%, 05/15/18............................. 5,000 5,710,120 2.000%, 08/15/18............................. 51,375 51,999,463 Berkshire Hathaway, Inc. 1.900%, 01/31/17............................. 21,300 21,843,065 1.550%, 02/09/18............................. 45,446 45,422,641 Chevron Corp. 1.104%, 12/05/17............................. 103,616 102,966,328 1.718%, 06/24/18............................. 132,577 132,856,605 Coca-Cola Co. (The) 1.650%, 11/01/18............................. 31,819 31,772,512 Colgate-Palmolive Co. 0.900%, 05/01/18............................. 34,300 33,150,538 Exxon Mobil Corp. 1.819%, 03/15/19............................. 165,700 165,661,226 General Electric Capital Corp. 5.625%, 09/15/17............................. 55,500 62,968,746 1.600%, 11/20/17............................. 15,500 15,583,421 # 1.625%, 04/02/18............................. 21,147 21,115,893 5.625%, 05/01/18............................. 17,500 20,055,175 2.300%, 01/14/19............................. 105,200 106,539,512 General Electric Co. 5.250%, 12/06/17............................. 23,418 26,487,023 International Business Machines Corp. # 5.700%, 09/14/17............................. 20,540 23,497,472 1.250%, 02/08/18............................. 93,800 92,864,439 # 1.950%, 02/12/19............................. 138,048 137,273,275 Johnson & Johnson 5.150%, 07/15/18............................. 10,515 12,021,452 # 1.650%, 12/05/18............................. 179,200 178,539,290 Microsoft Corp. # 1.000%, 05/01/18............................. 12,000 11,780,472 # 1.625%, 12/06/18............................. 152,400 151,337,315 Pfizer, Inc. # 1.500%, 06/15/18............................. 133,504 131,902,486
Face Amount^ Value+ ------- ------ (000) UNITED STATES -- (Continued) Procter & Gamble Co. (The) # 1.600%, 11/15/18............................. $ 5,800 $ 5,766,308 Toyota Motor Credit Corp. # 1.250%, 10/05/17............................. 29,567 29,553,606 # 1.375%, 01/10/18............................. 47,200 46,531,695 2.000%, 10/24/18............................. 144,239 145,138,474 # 2.100%, 01/17/19............................. 26,000 26,157,794 Wal-Mart Stores, Inc. # 5.800%, 02/15/18............................. 7,000 8,075,102 1.125%, 04/11/18............................. 141,967 139,491,805 # 1.950%, 12/15/18............................. 22,475 22,589,510 -------------- TOTAL UNITED STATES................................ 2,339,488,516 -------------- TOTAL BONDS........................................ 8,365,383,361 -------------- AGENCY OBLIGATIONS -- (3.1%) Federal Home Loan Bank 1.750%, 12/14/18............................. 81,000 81,115,101 Federal Home Loan Mortgage Corporation # 4.875%, 06/13/18............................. 16,000 18,218,368 Federal National Mortgage Association 0.875%, 05/21/18............................. 24,200 23,636,648 # 1.875%, 09/18/18............................. 89,000 89,954,169 # 1.625%, 11/27/18............................. 41,000 40,952,686 # 1.875%, 02/19/19............................. 30,000 30,228,720 -------------- TOTAL AGENCY OBLIGATIONS........................... 284,105,692 -------------- Shares/ Face Amount ------- (000) SECURITIES LENDING COLLATERAL -- (4.7%) (S)@ DFA Short Term Investment Fund............... 36,486,577 422,149,695 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $9,011,560,650)............................ $9,071,638,748 ==============
25 DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, 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.............................. -- $ 570,890,601 -- $ 570,890,601 Austria................................ -- 122,287,377 -- 122,287,377 Canada................................. -- 880,186,169 -- 880,186,169 Denmark................................ -- 153,025,011 -- 153,025,011 Finland................................ -- 250,069,916 -- 250,069,916 France................................. -- 291,406,104 -- 291,406,104 Germany................................ -- 512,193,821 -- 512,193,821 Japan.................................. -- 310,206,172 -- 310,206,172 Netherlands............................ -- 701,069,912 -- 701,069,912 New Zealand............................ -- 160,384,255 -- 160,384,255 Norway................................. -- 496,174,773 -- 496,174,773 Singapore.............................. -- 196,414,123 -- 196,414,123 Supranational Organization Obligations. -- 626,980,877 -- 626,980,877 Sweden................................. -- 302,683,816 -- 302,683,816 United Kingdom......................... -- 451,921,918 -- 451,921,918 United States.......................... -- 2,339,488,516 -- 2,339,488,516 Agency Obligations....................... -- 284,105,692 -- 284,105,692 Securities Lending Collateral............ -- 422,149,695 -- 422,149,695 Forward Currency Contracts**............. -- (16,961,986) -- (16,961,986) -- -------------- -- -------------- TOTAL.................................... -- $9,054,676,762 -- $9,054,676,762 == ============== == ==============
**Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note G) See accompanying Notes to Financial Statements. 26 DFA WORLD EX U.S. GOVERNMENT FIXED INCOME PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2014 (Unaudited)
Face Amount^ Value+ ------- ------ (000) BONDS -- (98.0%) AUSTRIA -- (3.7%) Austria Government Bond 3.400%, 11/22/22............................. EUR 5,945 $ 9,461,240 1.750%, 10/20/23............................. EUR 600 834,464 ----------- TOTAL AUSTRIA.................................... 10,295,704 ----------- BELGIUM -- (3.9%) Belgium Government Bond 2.250%, 06/22/23............................. EUR 7,550 10,802,863 ----------- CANADA -- (9.4%) Alberta, Province of Canada 2.550%, 12/15/22............................. CAD 8,350 7,439,770 British Columbia, Province of Canada 2.700%, 12/18/22............................. CAD 6,100 5,497,597 Manitoba, Province of Canada 2.550%, 06/02/23............................. CAD 2,950 2,588,157 Ontario, Province of Canada 3.150%, 06/02/22............................. CAD 11,600 10,748,137 ----------- TOTAL CANADA..................................... 26,273,661 ----------- DENMARK -- (3.7%) Denmark Government Bond 3.000%, 11/15/21............................. DKK 8,700 1,829,328 1.500%, 11/15/23............................. DKK 26,800 4,959,833 7.000%, 11/10/24............................. DKK 12,900 3,682,183 ----------- TOTAL DENMARK.................................... 10,471,344 ----------- FINLAND -- (3.7%) Finland Government Bond 1.500%, 04/15/23............................. EUR 7,500 10,320,131 ----------- FRANCE -- (20.2%) Caisse d'Amortissement de la Dette Sociale 2.500%, 10/25/22............................. EUR 1,400 2,060,291 France Government Bond OAT 3.000%, 04/25/22............................. EUR 8,210 12,657,667 1.750%, 05/25/23............................. EUR 8,100 11,221,168 2.250%, 05/25/24............................. EUR 4,300 6,116,066 6.000%, 10/25/25............................. EUR 3,650 7,063,853 3.500%, 04/25/26............................. EUR 7,700 12,116,407 Reseau Ferre de France 5.500%, 12/01/21............................. GBP 2,700 5,364,652 ----------- TOTAL FRANCE..................................... 56,600,104 ----------- GERMANY -- (0.4%) KFW 5.550%, 06/07/21............................. GBP 600 1,210,471 -----------
Face Amount^ Value+ ------- ------ (000) JAPAN -- (10.2%) Japan Government Ten Year Bond 1.400%, 03/20/20.............................. JPY 1,318,000 $13,751,174 1.200%, 06/20/21.............................. JPY 1,197,000 12,387,659 Japan Government Twenty Year Bond 0.800%, 06/20/23.............................. JPY 245,000 2,446,578 ----------- TOTAL JAPAN........................................ 28,585,411 ----------- LUXEMBOURG -- (2.0%) Grand Duchy of Luxembourg 2.125%, 07/10/23.............................. EUR 3,800 5,463,815 ----------- NETHERLANDS -- (8.2%) Bank Nederlandse Gemeenten 5.375%, 06/07/21.............................. GBP 600 1,181,881 2.250%, 08/30/22.............................. EUR 2,300 3,324,640 2.250%, 07/17/23.............................. EUR 2,600 3,729,952 Nederlandse Waterschapsbank NV 3.000%, 11/16/23.............................. EUR 2,700 4,104,305 Netherlands Government Bond 2.250%, 07/15/22.............................. EUR 6,420 9,444,396 2.000%, 07/15/24.............................. EUR 800 1,128,639 ----------- TOTAL NETHERLANDS.................................. 22,913,813 ----------- NEW ZEALAND -- (3.0%) New Zealand Government Bond 3.000%, 04/15/20.............................. NZD 5,100 4,108,756 6.000%, 05/15/21.............................. NZD 4,500 4,277,388 ----------- TOTAL NEW ZEALAND.................................. 8,386,144 ----------- NORWAY -- (1.3%) Norway Government Bond 3.750%, 05/25/21.............................. NOK 20,400 3,715,729 ----------- SINGAPORE -- (3.8%) Singapore Government Bond 3.250%, 09/01/20.............................. SGD 3,100 2,671,286 3.125%, 09/01/22.............................. SGD 1,770 1,500,207 2.750%, 07/01/23.............................. SGD 7,900 6,481,472 ----------- TOTAL SINGAPORE 10,652,965 ----------- SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (8.3%) European Financial Stability Facility 2.250%, 09/05/22.............................. EUR 900 1,307,549
27 DFA WORLD EX U.S. GOVERNMENT FIXED INCOME PORTFOLIO CONTINUED
Face Amount^ Value+ ------- ------ (000) SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (Continued) European Investment Bank 5.375%, 06/07/21............................. GBP 880 $ 1,750,054 2.250%, 10/14/22............................. EUR 2,300 3,344,756 2.500%, 10/31/22............................. GBP 1,380 2,265,404 2.750%, 09/15/25............................. EUR 500 741,844 1.900%, 01/26/26............................. JPY 256,000 2,778,319 European Union 2.750%, 04/04/22............................. EUR 4,100 6,226,969 3.000%, 09/04/26............................. EUR 2,325 3,545,959 International Bank for Reconstruction & Development 5.000%, 03/07/22............................. AUD 1,400 1,357,734 ------------ TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS..... 23,318,588 ------------ SWEDEN -- (1.1%) Sweden Government Bond 5.000%, 12/01/20............................. SEK 16,500 3,076,919 ------------ UNITED KINGDOM -- (15.1%) Network Rail Infrastructure Finance P.L.C. 4.625%, 07/21/20............................. GBP 500 956,672 4.750%, 01/22/24............................. GBP 200 389,140 United Kingdom Gilt 3.750%, 09/07/21............................. GBP 1,130 2,091,621 4.000%, 03/07/22............................. GBP 7,060 13,294,962 1.750%, 09/07/22............................. GBP 10,070 16,010,953 2.250%, 09/07/23............................. GBP 5,850 9,536,176 ------------ TOTAL UNITED KINGDOM............................. 42,279,524 ------------ TOTAL BONDS...................................... 274,367,186 ------------
Face Amount^ Value+ ------- ------ (000) AGENCY OBLIGATIONS -- (1.5%) Federal Home Loan Bank 5.750%, 06/12/26............................. $ 100 $ 123,328 Tennessee Valley Authority 5.350%, 06/07/21............................. GBP 400 778,144 1.875%, 08/15/22............................. 600 557,834 6.750%, 11/01/25............................. 2,000 2,643,334 ------------ TOTAL AGENCY OBLIGATIONS......................... 4,102,640 ------------ U.S. TREASURY OBLIGATIONS -- (0.5%) U.S. Treasury Bonds 6.000%, 02/15/26............................. 1,000 1,323,125 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $276,446,892)............................ $279,792,951 ============
28 DFA WORLD EX U.S. GOVERNMENT FIXED INCOME PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, 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 Austria................................ -- $ 10,295,704 -- $ 10,295,704 Belgium................................ -- 10,802,863 -- 10,802,863 Canada................................. -- 26,273,661 -- 26,273,661 Denmark................................ -- 10,471,344 -- 10,471,344 Finland................................ -- 10,320,131 -- 10,320,131 France................................. -- 56,600,104 -- 56,600,104 Germany................................ -- 1,210,471 -- 1,210,471 Japan.................................. -- 28,585,411 -- 28,585,411 Luxembourg............................. -- 5,463,815 -- 5,463,815 Netherlands............................ -- 22,913,813 -- 22,913,813 New Zealand............................ -- 8,386,144 -- 8,386,144 Norway................................. -- 3,715,729 -- 3,715,729 Singapore.............................. -- 10,652,965 -- 10,652,965 Supranational Organization Obligations. -- 23,318,588 -- 23,318,588 Sweden................................. -- 3,076,919 -- 3,076,919 United Kingdom......................... -- 42,279,524 -- 42,279,524 Agency Obligations....................... -- 4,102,640 -- 4,102,640 U.S. Treasury Obligations................ -- 1,323,125 -- 1,323,125 Forward Currency Contracts**............. -- (1,478,419) -- (1,478,419) -- ------------ -- ------------ TOTAL.................................... -- $278,314,532 -- $278,314,532 == ============ == ============
**Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note G) See accompanying Notes to Financial Statements. 29 DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2014 (Unaudited)
Face Amount Value+ ------ ------ (000) AGENCY OBLIGATIONS -- (60.9%) Federal Farm Credit Bank 5.250%, 06/05/14............................. $ 14,400 $ 14,470,344 4.375%, 06/30/14............................. 3,915 3,942,495 8.160%, 09/30/14............................. 3,615 3,735,427 4.700%, 12/10/14............................. 4,000 4,107,832 4.550%, 02/03/15............................. 4,500 4,651,061 4.375%, 02/17/15............................. 14,300 14,785,356 4.875%, 12/16/15............................. 10,000 10,741,330 6.030%, 03/21/16............................. 4,700 5,196,569 5.125%, 08/25/16............................. 8,000 8,851,456 4.875%, 01/17/17............................. 9,435 10,456,820 2.875%, 02/10/17............................. 32,000 33,659,648 5.050%, 03/08/17............................. 10,000 11,129,440 5.625%, 08/18/17............................. 4,000 4,584,436 5.100%, 09/03/19............................. 9,000 10,498,410 5.320%, 09/03/19............................. 21,300 24,788,834 5.150%, 11/15/19............................. 11,200 13,060,746 4.670%, 05/07/20............................. 5,600 6,425,546 5.350%, 08/07/20............................. 6,700 7,968,772 3.650%, 12/21/20............................. 44,000 48,183,960 5.250%, 03/02/21............................. 6,100 7,126,301 5.220%, 02/22/22............................. 5,000 5,913,475 5.210%, 12/19/22............................. 21,200 24,891,577 5.250%, 03/06/23............................. 6,000 7,107,504 5.220%, 05/15/23............................. 48,100 56,568,486 Federal Home Loan Bank 6.395%, 06/03/14............................. 5,200 5,229,188 6.700%, 06/25/14............................. 12,500 12,623,975 1.375%, 12/11/15............................. 10,000 10,167,840 4.875%, 03/11/16............................. 13,600 14,718,110 5.375%, 05/18/16............................. 44,000 48,428,864 2.125%, 06/10/16............................. 11,500 11,898,947 5.375%, 09/09/16............................. 6,000 6,701,772 5.125%, 10/19/16............................. 14,700 16,306,607 4.750%, 12/16/16............................. 48,000 52,962,768 3.625%, 03/10/17............................. 20,000 21,560,540 4.875%, 05/17/17............................. 87,500 97,864,112 5.000%, 11/17/17............................. 117,600 133,296,660 3.125%, 12/08/17............................. 30,000 31,994,010 1.250%, 06/08/18............................. 17,200 17,041,863 4.750%, 06/08/18............................. 5,835 6,586,857 2.000%, 09/14/18............................. 41,800 42,494,005 1.750%, 12/14/18............................. 45,000 45,063,945 1.500%, 03/08/19............................. 36,000 35,533,728 1.875%, 03/08/19............................. 53,000 53,167,904 5.375%, 05/15/19............................. 49,575 58,070,618 1.625%, 06/14/19............................. 50,830 50,365,465 5.125%, 08/15/19............................. 5,295 6,162,406 4.500%, 09/13/19............................. 32,000 36,056,576 4.125%, 12/13/19............................. 20,000 22,296,480 1.875%, 03/13/20............................. 103,000 101,688,089 4.125%, 03/13/20............................. 100,825 112,301,910 3.000%, 03/18/20............................. 18,080 18,882,535
Face Amount Value+ ------ ------ (000) 3.375%, 06/12/20............................. $28,500 $ 30,566,763 4.625%, 09/11/20............................. 25,650 29,303,637 5.250%, 12/11/20............................. 1,550 1,834,960 1.750%, 03/12/21............................. 17,000 16,458,635 5.000%, 03/12/21............................. 5,200 6,057,142 5.625%, 06/11/21............................. 33,180 40,308,424 2.625%, 12/10/21............................. 37,345 37,933,296 5.000%, 12/10/21............................. 45,500 52,803,478 2.250%, 03/11/22............................. 10,000 9,708,850 2.500%, 03/11/22............................. 11,000 10,928,302 5.250%, 06/10/22............................. 7,225 8,588,856 5.750%, 06/10/22............................. 19,500 24,129,183 2.000%, 09/09/22............................. 16,225 15,109,904 5.375%, 09/30/22............................. 26,600 31,901,513 4.750%, 03/10/23............................. 49,200 56,795,299 3.250%, 06/09/23............................. 5,000 5,169,750 5.375%, 08/15/24............................. 9,000 10,850,967 4.375%, 03/13/26............................. 20,100 22,049,579 5.750%, 06/12/26............................. 6,000 7,399,656 Tennessee Valley Authority 5.500%, 07/18/17............................. 13,500 15,372,059 6.250%, 12/15/17............................. 46,000 53,840,056 4.500%, 04/01/18............................. 44,700 49,905,047 3.875%, 02/15/21............................. 92,806 100,968,381 1.875%, 08/15/22............................. 60,010 55,792,737 6.750%, 11/01/25............................. 32,200 42,557,677 -------------- TOTAL AGENCY OBLIGATIONS......................... 2,148,645,750 -------------- U.S. TREASURY OBLIGATIONS -- (38.7%) U.S. Treasury Bonds 9.250%, 02/15/16............................. 16,500 19,125,827 7.250%, 05/15/16............................. 34,000 38,685,608 7.500%, 11/15/16............................. 36,800 43,133,611 9.000%, 11/15/18............................. 86,500 115,119,304 8.875%, 02/15/19............................. 16,000 21,420,000 8.125%, 08/15/19............................. 84,000 111,162,156 8.750%, 08/15/20............................. 66,200 92,612,741 8.125%, 05/15/21............................. 96,100 133,586,496 7.250%, 08/15/22............................. 41,000 56,080,292 6.250%, 08/15/23............................. 36,000 47,151,576 7.500%, 11/15/24............................. 73,300 106,078,880 6.875%, 08/15/25............................. 8,000 11,227,504 6.000%, 02/15/26............................. 37,000 48,955,625 6.750%, 08/15/26............................. 47,500 66,930,445 6.625%, 02/15/27............................. 19,000 26,656,411 5.250%, 11/15/28............................. 21,000 26,499,375 U.S. Treasury Notes 2.625%, 02/29/16............................. 10,000 10,417,190 3.250%, 05/31/16............................. 10,000 10,581,250 4.875%, 08/15/16............................. 18,200 19,997,250 3.000%, 09/30/16............................. 26,500 28,025,817 3.125%, 04/30/17............................. 30,000 31,996,860 2.375%, 05/31/18............................. 25,800 26,848,125
30 DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO CONTINUED
Face Amount Value+ ------ ------ (000) 2.250%, 07/31/18............................. $ 128,800 $ 133,157,046 1.375%, 09/30/18............................. 92,600 92,086,348 3.625%, 02/15/20............................. 45,000 49,267,980 --------------- TOTAL U.S. TREASURY OBLIGATIONS.................. 1,366,803,717 --------------- Shares ------ TEMPORARY CASH INVESTMENTS -- (0.4%) State Street Institutional U.S. Government Money Market Fund........................... 15,614,417 15,614,417 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $3,439,387,706).......................... $ 3,531,063,884 ===============
Summary of the Portfolio's investments as of April 30, 2014, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) ------------------------------------------------- Level 1 Level 2 Level 3 Total ----------- -------------- ------- -------------- Agency Obligations......... -- $2,148,645,750 -- $2,148,645,750 U.S. Treasury Obligations.. -- 1,366,803,717 -- 1,366,803,717 Temporary Cash Investments. $15,614,417 -- -- 15,614,417 ----------- -------------- -- -------------- TOTAL...................... $15,614,417 $3,515,449,467 -- $3,531,063,884 =========== ============== == ==============
See accompanying Notes to Financial Statements. 31 DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2014 (Unaudited)
Face Amount^ Value+ ------- ------ (000) AGENCY OBLIGATIONS -- (2.8%) Federal Farm Credit Bank 4.875%, 12/16/15............................. $ 1,797 $ 1,930,217 Federal Home Loan Bank 0.500%, 11/20/15............................. 8,355 8,389,732 # 4.875%, 05/17/17............................. 15,320 17,134,608 Federal Home Loan Mortgage Corporation # 5.125%, 10/18/16............................. 4,642 5,149,352 5.000%, 04/18/17............................. 12,998 14,572,968 1.250%, 05/12/17............................. 4,642 4,688,174 # 1.000%, 07/28/17............................. 5,571 5,561,847 1.000%, 09/29/17............................. 854 850,471 Federal National Mortgage Association # 4.875%, 12/15/16............................. 13,927 15,431,422 1.250%, 01/30/17............................. 4,642 4,697,941 5.000%, 02/13/17............................. 4,642 5,172,395 # 1.875%, 09/18/18............................. 9,285 9,384,544 Tennessee Valley Authority 1.750%, 10/15/18............................. 9,285 9,323,050 ------------ TOTAL AGENCY OBLIGATIONS......................... 102,286,721 ------------ BONDS -- (91.5%) 3M Co. # 1.375%, 09/29/16............................. 9,285 9,452,994 1.000%, 06/26/17............................. 6,499 6,496,270 ABB Finance USA, Inc. 1.625%, 05/08/17............................. 2,453 2,471,118 AbbVie, Inc. 1.200%, 11/06/15............................. 4,642 4,680,515 ACE INA Holdings, Inc. 5.600%, 05/15/15............................. 3,312 3,481,714 2.600%, 11/23/15............................. 15,784 16,269,216 Actavis, Inc. # 1.875%, 10/01/17............................. 16,563 16,705,856 Adobe Systems, Inc. 3.250%, 02/01/15............................. 9,285 9,469,948 Aflac, Inc. 3.450%, 08/15/15............................. 1,741 1,806,455 2.650%, 02/15/17............................. 19,654 20,466,575 African Development Bank 1.125%, 03/15/17............................. 6,499 6,535,394 Agilent Technologies, Inc. 6.500%, 11/01/17............................. 11,770 13,501,920 Air Products & Chemicals, Inc. 2.000%, 08/02/16............................. 11,931 12,257,993 Allergan, Inc. 5.750%, 04/01/16............................. 516 559,436 Altria Group, Inc. 4.125%, 09/11/15............................. 7,910 8,277,230
Face Amount^ Value+ ------- ------ (000) Amazon.com, Inc. 0.650%, 11/27/15............................. $ 4,957 $ 4,968,213 American Express Credit Corp. 2.800%, 09/19/16............................. 19,219 20,072,055 American Honda Finance Corp. 2.125%, 10/10/18............................. 28,504 28,818,912 American International Group, Inc. 5.600%, 10/18/16............................. 12,558 13,897,788 5.850%, 01/16/18............................. 7,209 8,228,043 Ameriprise Financial, Inc. 5.650%, 11/15/15............................. 928 993,932 Amgen, Inc. 4.850%, 11/18/14............................. 5,171 5,296,526 Anadarko Petroleum Corp. 5.950%, 09/15/16............................. 17,584 19,599,144 Anheuser-Busch Cos., LLC 5.000%, 01/15/15............................. 1,857 1,916,112 5.050%, 10/15/16............................. 4,924 5,417,651 Anheuser-Busch InBev Worldwide, Inc. 1.375%, 07/15/17............................. 22,283 22,458,256 Aon Corp. 3.500%, 09/30/15............................. 3,785 3,927,017 Apache Corp. 5.625%, 01/15/17............................. 6,834 7,640,344 1.750%, 04/15/17............................. 4,642 4,717,860 Apple, Inc. 1.000%, 05/03/18............................. 7,428 7,252,276 2.100%, 05/06/19............................. 25,000 25,076,775 Applied Materials, Inc. 2.650%, 06/15/16............................. 3,850 3,987,741 Asian Development Bank 1.125%, 03/15/17............................. 4,642 4,669,295 1.750%, 09/11/18............................. 8,286 8,356,779 Assurant, Inc. 2.500%, 03/15/18............................. 9,285 9,293,728 AT&T, Inc. 2.500%, 08/15/15............................. 15,784 16,174,417 2.400%, 08/15/16............................. 6,035 6,226,931 1.600%, 02/15/17............................. 4,642 4,695,921 Australia & New Zealand Banking Group, Ltd. 1.875%, 10/06/17............................. 4,642 4,708,571 1.450%, 05/15/18............................. 4,642 4,556,504 Austria Government International Bond 1.750%, 06/17/16............................. 2,785 2,856,129 Autodesk, Inc. 1.950%, 12/15/17............................. 975 982,351 AutoZone, Inc. 6.950%, 06/15/16............................. 697 778,974
32 DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO CONTINUED
Face Amount^ Value+ ------- ------ (000) Avnet, Inc. 6.000%, 09/01/15............................. $ 1,857 $ 1,975,718 Baker Hughes, Inc. 7.500%, 11/15/18............................. 859 1,054,011 Bank Nederlandse Gemeenten 1.375%, 09/27/17............................. 12,998 13,037,774 1.375%, 03/19/18............................. 23,210 23,068,930 Bank of America Corp. 4.500%, 04/01/15............................. 9,285 9,610,254 3.750%, 07/12/16............................. 9,285 9,803,688 2.000%, 01/11/18............................. 5,385 5,393,718 2.650%, 04/01/19............................. 2,000 2,008,782 Bank of Montreal 2.375%, 01/25/19............................. 305 308,145 Bank of New York Mellon Corp. (The) 4.300%, 05/15/14............................. 1,857 1,859,002 2.950%, 06/18/15............................. 5,862 6,027,156 Bank of Nova Scotia 3.400%, 01/22/15............................. 1,857 1,897,678 2.900%, 03/29/16............................. 9,285 9,678,043 Barclays Bank P.L.C. 5.200%, 07/10/14............................. 8,472 8,547,037 3.900%, 04/07/15............................. 350 361,004 5.000%, 09/22/16............................. 300 328,050 Baxter International, Inc. 1.850%, 06/15/18............................. 18,170 18,102,753 BB&T Corp. 2.150%, 03/22/17............................. 5,339 5,470,153 1.450%, 01/12/18............................. 1,834 1,814,824 Beam, Inc. 1.750%, 06/15/18............................. 18,569 18,210,581 Becton Dickinson and Co. 1.750%, 11/08/16............................. 2,359 2,410,733 Belgium Government International Bond 2.750%, 03/05/15............................. 1,857 1,894,159 Bemis Co., Inc. 5.650%, 08/01/14............................. 1,857 1,879,720 Berkshire Hathaway Finance Corp. 0.950%, 08/15/16............................. 9,285 9,344,851 1.600%, 05/15/17............................. 928 940,570 1.300%, 05/15/18............................. 1,486 1,468,452 Berkshire Hathaway, Inc. 2.200%, 08/15/16............................. 4,642 4,795,381 1.900%, 01/31/17............................. 4,642 4,760,352 BHP Billiton Finance USA, Ltd. 1.625%, 02/24/17............................. 10,698 10,878,261 BlackRock, Inc. 3.500%, 12/10/14............................. 6,035 6,153,950 BNP Paribas SA 3.250%, 03/11/15............................. 3,714 3,800,443 1.250%, 12/12/16............................. 18,569 18,595,368 2.375%, 09/14/17............................. 3,273 3,362,788
Face Amount^ Value+ ------- ------ (000) Boeing Capital Corp. 2.900%, 08/15/18............................. $ 7,091 $ 7,432,878 Boston Scientific Corp. 6.400%, 06/15/16............................. 928 1,027,987 BP Capital Markets P.L.C. 3.125%, 10/01/15............................. 5,292 5,486,740 2.248%, 11/01/16............................. 8,450 8,730,920 1.846%, 05/05/17............................. 3,241 3,303,136 4.750%, 03/10/19............................. 1,000 1,118,859 Branch Banking & Trust Co. 2.300%, 10/15/18............................. 13,927 14,092,578 Bristol-Myers Squibb Co. 1.750%, 03/01/19............................. 8,000 7,896,096 British Columbia, Province of Canada 2.850%, 06/15/15............................. 3,714 3,821,427 2.100%, 05/18/16............................. 4,642 4,789,295 1.200%, 04/25/17............................. 9,285 9,334,860 British Telecommunications P.L.C. 2.000%, 06/22/15............................. 11,341 11,513,871 1.250%, 02/14/17............................. 3,528 3,530,882 Brown-Forman Corp. 1.000%, 01/15/18............................. 6,425 6,252,418 Buckeye Partners L.P. 2.650%, 11/15/18............................. 3,389 3,369,801 Caisse d'Amortissement de la Dette Sociale 2.375%, 03/31/16............................. 4,642 4,803,198 2.125%, 04/12/17............................. 13,741 14,145,178 Canada Government International Bond # 0.875%, 02/14/17............................. 9,285 9,295,863 Canadian Imperial Bank of Commerce 0.900%, 10/01/15............................. 10,544 10,612,726 Canadian National Railway Co. 1.450%, 12/15/16............................. 464 470,518 Canadian Natural Resources, Ltd. 5.700%, 05/15/17............................. 7,627 8,564,518 Capital One Financial Corp. 7.375%, 05/23/14............................. 10,213 10,248,531 2.150%, 03/23/15............................. 2,776 2,817,071 2.450%, 04/24/19............................. 8,100 8,117,156 Cardinal Health, Inc. 1.700%, 03/15/18............................. 8,031 7,976,180 Caterpillar Financial Services Corp. 4.750%, 02/17/15............................. 3,250 3,364,777 2.650%, 04/01/16............................. 7,428 7,701,053 1.000%, 11/25/16............................. 9,285 9,323,811 2.450%, 09/06/18............................. 7,079 7,245,017 CBS Corp. 1.950%, 07/01/17............................. 8,064 8,199,499
33 DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO CONTINUED
Face Amount^ Value+ ------- ------ (000) Celgene Corp. 2.450%, 10/15/15............................. $ 3,858 $ 3,945,619 CenterPoint Energy Resources Corp. 6.125%, 11/01/17............................. 511 583,110 CF Industries, Inc. 6.875%, 05/01/18............................. 11,847 13,934,157 Charles Schwab Corp. (The) # 2.200%, 07/25/18............................. 4,828 4,892,319 Chevron Corp. 1.104%, 12/05/17............................. 4,967 4,935,857 1.718%, 06/24/18............................. 24,743 24,795,183 Cigna Corp. 2.750%, 11/15/16............................. 9,586 10,005,081 Cisco Systems, Inc. 2.125%, 03/01/19............................. 27,000 27,013,338 Citigroup, Inc. 4.450%, 01/10/17............................. 6,499 7,019,752 6.000%, 08/15/17............................. 6,499 7,363,042 2.500%, 09/26/18............................. 6,499 6,568,162 2.550%, 04/08/19............................. 10,000 9,993,500 Coca-Cola Co. (The) 1.500%, 11/15/15............................. 4,944 5,018,061 1.650%, 11/01/18............................. 19,307 19,278,792 Colgate-Palmolive Co. 1.500%, 11/01/18............................. 5,107 5,033,837 1.750%, 03/15/19............................. 1,750 1,739,141 Comcast Corp. 6.500%, 01/15/17............................. 14,559 16,638,826 6.300%, 11/15/17............................. 3,714 4,326,602 5.700%, 05/15/18............................. 6,499 7,481,129 Comerica, Inc. 3.000%, 09/16/15............................. 1,857 1,915,525 Commonwealth Bank of Australia 1.900%, 09/18/17............................. 10,213 10,354,756 2.500%, 09/20/18............................. 11,884 12,132,518 Computer Sciences Corp. 6.500%, 03/15/18............................. 8,683 10,017,864 ConAgra Foods, Inc. 1.900%, 01/25/18............................. 19,083 19,018,786 ConocoPhillips Co. 1.050%, 12/15/17............................. 17,314 17,129,346 Constellation Energy Group, Inc. 4.550%, 06/15/15............................. 9,020 9,393,933 Cooperatieve Centrale Raiffeisen-Boerenleenbank BA 4.200%, 05/13/14............................. 5,571 5,575,457 2.125%, 10/13/15............................. 15,287 15,644,058 2.250%, 01/14/19............................. 43,557 43,742,204 Costco Wholesale Corp. 1.125%, 12/15/17............................. 15,784 15,668,288 Council Of Europe Development Bank 1.500%, 06/19/17............................. 12,070 12,222,806
Face Amount^ Value+ ------- ------ (000) CR Bard, Inc. 1.375%, 01/15/18............................. $ 3,598 $ 3,536,719 Crane Co. 2.750%, 12/15/18............................. 7,897 8,005,142 Credit Suisse New York 3.500%, 03/23/15............................. 1,853 1,903,748 Credit Suisse USA, Inc. 4.875%, 01/15/15............................. 3,714 3,829,316 CVS Caremark Corp. 3.250%, 05/18/15............................. 4,675 4,798,616 5.750%, 06/01/17............................. 453 512,729 Deutsche Bank AG 3.875%, 08/18/14............................. 2,971 3,001,313 6.000%, 09/01/17............................. 11,188 12,737,784 Deutsche Telekom International Finance BV 4.875%, 07/08/14............................. 925 932,162 Development Bank of Japan, Inc. 2.875%, 04/20/15............................. 1,900 1,946,611 1.875%, 10/03/18............................. 7,706 7,719,948 Devon Energy Corp. 1.200%, 12/15/16............................. 956 959,329 Diageo Capital P.L.C. 1.500%, 05/11/17............................. 11,545 11,673,554 Diageo Finance BV 3.250%, 01/15/15............................. 4,642 4,737,077 Diamond Offshore Drilling, Inc. 4.875%, 07/01/15............................. 1,434 1,502,356 DIRECTV Holdings LLC / DIRECTV Financing Co., Inc. 3.550%, 03/15/15............................. 8,356 8,568,501 Dollar General Corp. 1.875%, 04/15/18............................. 11,957 11,862,827 Dominion Resources, Inc. 1.950%, 08/15/16............................. 13,927 14,235,455 6.000%, 11/30/17............................. 1,823 2,091,056 Dover Corp. 4.875%, 10/15/15............................. 5,571 5,914,302 Dow Chemical Co. (The) 2.500%, 02/15/16............................. 7,103 7,304,931 Dr. Pepper Snapple Group, Inc. 2.900%, 01/15/16............................. 11,168 11,559,103 Duke Energy Corp. 3.350%, 04/01/15............................. 2,066 2,119,431 1.625%, 08/15/17............................. 10,306 10,398,651 Eastman Chemical Co. 3.000%, 12/15/15............................. 4,113 4,243,156 2.400%, 06/01/17............................. 7,892 8,067,715 eBay, Inc. 1.625%, 10/15/15............................. 2,135 2,170,631 1.350%, 07/15/17............................. 1,592 1,595,294
34 DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO CONTINUED
Face Amount^ Value+ ------- ------ (000) Ecolab, Inc. 1.000%, 08/09/15............................. $ 9,285 $ 9,328,732 EI du Pont de Nemours & Co. 3.250%, 01/15/15............................. 5,571 5,684,342 6.000%, 07/15/18............................. 9,187 10,741,321 EMC Corp. 1.875%, 06/01/18............................. 22,925 23,024,540 Enbridge Energy Partners L.P. 5.875%, 12/15/16............................. 928 1,032,973 Encana Corp. 5.900%, 12/01/17............................. 5,975 6,844,799 Enterprise Products Operating LLC 5.000%, 03/01/15............................. 928 962,497 1.250%, 08/13/15............................. 2,785 2,802,791 3.200%, 02/01/16............................. 4,642 4,834,434 EOG Resources, Inc. 2.950%, 06/01/15............................. 4,642 4,763,235 2.500%, 02/01/16............................. 2,367 2,436,571 5.875%, 09/15/17............................. 9,145 10,382,620 EUROFIMA 5.250%, 04/07/16............................. 4,642 5,057,784 European Bank for Reconstruction & Development 2.750%, 04/20/15............................. 1,857 1,901,696 European Investment Bank 4.875%, 01/17/17............................. 4,642 5,140,133 # 1.625%, 06/15/17............................. 3,714 3,778,475 1.125%, 09/15/17............................. 2,785 2,780,293 Exelon Corp. 4.900%, 06/15/15............................. 12,534 13,087,740 Export Development Canada 2.250%, 05/28/15............................. 930 949,969 1.250%, 10/26/16............................. 10,215 10,344,496 Express Scripts Holding Co. # 3.125%, 05/15/16............................. 12,070 12,649,722 Exxon Mobil Corp. # 1.819%, 03/15/19............................. 6,128 6,126,566 Fifth Third Bancorp 3.625%, 01/25/16............................. 13,634 14,278,316 2.300%, 03/01/19............................. 10,000 9,979,920 Finland Government International Bond 2.250%, 03/17/16............................. 6,499 6,716,067 FMS Wertmanagement AoeR 1.000%, 11/21/17............................. 23,211 23,001,405 Ford Motor Credit Co. LLC 5.000%, 05/15/18............................. 19,777 21,953,459 Freeport-McMoRan Copper & Gold, Inc. # 2.150%, 03/01/17............................. 3,881 3,939,254 General Dynamics Corp. 1.000%, 11/15/17............................. 7,149 7,025,766
Face Amount^ Value+ ------- ------ (000) General Electric Capital Corp. 3.750%, 11/14/14............................. $ 2,785 $ 2,836,439 2.250%, 11/09/15............................. 1,857 1,905,455 # 2.950%, 05/09/16............................. 3,714 3,862,047 Genworth Holdings, Inc. 6.515%, 05/22/18............................. 446 515,557 Georgia Power Co. # 0.750%, 08/10/15............................. 13,347 13,384,879 5.250%, 12/15/15............................. 2,823 3,025,355 GlaxoSmithKline Capital P.L.C. # 1.500%, 05/08/17............................. 19,442 19,640,600 Goldman Sachs Group, Inc. (The) 5.125%, 01/15/15............................. 5,478 5,648,914 3.625%, 02/07/16............................. 13,927 14,562,893 # 6.250%, 09/01/17............................. 925 1,057,023 Google, Inc. 2.125%, 05/19/16............................. 13,648 14,093,280 Halliburton Co. 1.000%, 08/01/16............................. 8,444 8,499,494 Hartford Financial Services Group, Inc. (The) 4.000%, 03/30/15............................. 1,857 1,913,742 Hershey Co. (The) 4.850%, 08/15/15............................. 464 489,953 1.500%, 11/01/16............................. 4,642 4,720,264 Hewlett-Packard Co. 2.200%, 12/01/15............................. 4,924 5,034,258 2.600%, 09/15/17............................. 928 959,056 # 5.500%, 03/01/18............................. 4,642 5,254,438 # 2.750%, 01/14/19............................. 4,410 4,481,177 Hillshire Brands Co. (The) 2.750%, 09/15/15............................. 928 951,877 Home Depot, Inc. (The) 5.400%, 03/01/16............................. 836 908,539 HSBC Finance Corp. 5.500%, 01/19/16............................. 1,857 2,000,099 HSBC USA, Inc. # 1.625%, 01/16/18............................. 14,670 14,628,572 Huntington Bancshares, Inc. 2.600%, 08/02/18............................. 13,542 13,657,066 Intel Corp. # 1.950%, 10/01/16............................. 11,141 11,457,928 Inter-American Development Bank 1.125%, 03/15/17............................. 761 768,270 0.875%, 03/15/18............................. 9,285 9,095,549 International Bank for Reconstruction & Development 2.375%, 05/26/15............................. 1,857 1,901,367 1.000%, 09/15/16............................. 1,857 1,871,180 # 0.875%, 04/17/17............................. 11,141 11,132,054
35 DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO CONTINUED
Face Amount^ Value+ ------- ------ (000) International Business Machines Corp. 1.250%, 02/08/18............................. $ 1,200 $ 1,188,031 # 1.950%, 02/12/19............................. 6,963 6,923,924 International Finance Corp. 0.875%, 06/15/18............................. 2,785 2,718,547 Japan Bank for International Cooperation 2.250%, 07/13/16............................. 4,642 4,799,248 1.750%, 07/31/18............................. 4,642 4,650,202 Jefferies Group LLC 5.125%, 04/13/18............................. 1,741 1,900,185 John Deere Capital Corp. 2.000%, 01/13/17............................. 6,128 6,302,764 Johnson & Johnson # 2.150%, 05/15/16............................. 1,857 1,914,379 Johnson Controls, Inc. 5.500%, 01/15/16............................. 5,841 6,290,255 2.600%, 12/01/16............................. 5,199 5,394,300 JPMorgan Chase & Co. 4.650%, 06/01/14............................. 5,571 5,588,783 3.400%, 06/24/15............................. 2,321 2,392,466 3.150%, 07/05/16............................. 11,141 11,649,531 2.000%, 08/15/17............................. 1,625 1,649,126 Kellogg Co. 1.875%, 11/17/16............................. 4,814 4,923,451 1.750%, 05/17/17............................. 4,076 4,120,216 KeyBank NA # 1.100%, 11/25/16............................. 11,141 11,172,406 KeyCorp 3.750%, 08/13/15............................. 16,550 17,187,158 KFW 2.000%, 06/01/16............................. 928 955,758 4.875%, 01/17/17............................. 4,642 5,138,787 1.250%, 02/15/17............................. 12,998 13,135,688 # 0.875%, 09/05/17............................. 4,642 4,608,624 Kinder Morgan Energy Partners L.P. # 3.500%, 03/01/16............................. 10,213 10,664,415 Kohl's Corp. 6.250%, 12/15/17............................. 4,642 5,367,410 Kommunalbanken A.S. 2.375%, 01/19/16............................. 1,392 1,438,156 1.000%, 09/26/17............................. 3,714 3,681,280 1.000%, 03/15/18............................. 27,854 27,352,517 Kommunekredit 1.125%, 03/15/18............................. 9,285 9,150,516 Kommuninvest I Sverige AB 1.000%, 10/24/17............................. 23,044 22,833,654 Kraft Foods Group, Inc. 1.625%, 06/04/15............................. 10,874 11,000,421 Laboratory Corp. of America Holdings 2.200%, 08/23/17............................. 21,191 21,526,983 Landeskreditbank Baden- Wuerttemberg Foerderbank 2.250%, 07/15/16............................. 7,242 7,482,492
Face Amount^ Value+ ------- ------ (000) Landwirtschaftliche Rentenbank 0.875%, 09/12/17............................. $ 11,699 $11,594,879 Lloyds Bank P.L.C. # 4.200%, 03/28/17............................. 10,120 10,950,639 Lockheed Martin Corp. 2.125%, 09/15/16............................. 1,230 1,263,825 Loews Corp. 5.250%, 03/15/16............................. 1,857 2,007,378 Lorillard Tobacco Co. 2.300%, 08/21/17............................. 12,353 12,607,892 Lowe's Cos., Inc. 5.000%, 10/15/15............................. 9,285 9,869,658 Manitoba, Province of Canada 2.625%, 07/15/15............................. 7,428 7,635,152 Marathon Oil Corp. 0.900%, 11/01/15............................. 16,535 16,582,836 Marsh & McLennan Cos., Inc. 5.750%, 09/15/15............................. 790 841,548 2.300%, 04/01/17............................. 8,430 8,603,093 MasterCard, Inc. # 2.000%, 04/01/19............................. 9,850 9,838,978 McDonald's Corp. 5.350%, 03/01/18............................. 3,706 4,199,454 McKesson Corp. 1.400%, 03/15/18............................. 9,599 9,423,214 Medtronic, Inc. 3.000%, 03/15/15............................. 6,035 6,177,957 Merck Sharp & Dohme Corp. 4.750%, 03/01/15............................. 2,785 2,886,586 MetLife, Inc. 5.500%, 06/15/14............................. 1,932 1,943,256 # 5.000%, 06/15/15............................. 4,642 4,876,644 Microsoft Corp. # 2.500%, 02/08/16............................. 10,213 10,582,108 Molson Coors Brewing Co. # 2.000%, 05/01/17............................. 915 929,034 Monsanto Co. 1.850%, 11/15/18............................. 27,970 27,820,528 Morgan Stanley 3.800%, 04/29/16............................. 650 684,016 4.750%, 03/22/17............................. 23,738 25,895,143 Motorola Solutions, Inc. 6.000%, 11/15/17............................. 928 1,058,470 Municipality Finance P.L.C. 2.375%, 05/16/16............................. 18,568 19,228,464 1.125%, 04/17/18............................. 23,211 22,816,645 Murphy Oil Corp. 2.500%, 12/01/17............................. 3,714 3,800,480 NASDAQ OMX Group, Inc. (The) 4.000%, 01/15/15............................. 5,014 5,121,154 National Australia Bank, Ltd. 1.300%, 07/25/16............................. 1,750 1,766,739 National City Corp. 4.900%, 01/15/15............................. 10,466 10,789,085
36 DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO CONTINUED
Face Amount^ Value+ ------- ------ (000) Nederlandse Waterschapsbank NV 3.000%, 03/17/15............................. $ 2,785 $ 2,850,810 2.125%, 06/16/16............................. 5,571 5,747,623 NetApp, Inc. 2.000%, 12/15/17............................. 9,285 9,433,254 Network Rail Infrastructure Finance P.L.C. 1.250%, 08/31/16............................. 4,271 4,327,249 New Zealand Government Bond 6.000%, 12/15/17............................. NZD 46,423 42,692,192 Newell Rubbermaid, Inc. 6.250%, 04/15/18............................. 12,070 13,743,373 NextEra Energy Capital Holdings, Inc. 2.600%, 09/01/15............................. 13,927 14,279,367 Nippon Telegraph & Telephone Corp. # 1.400%, 07/18/17............................. 1,323 1,326,984 Nisource Finance Corp. # 6.400%, 03/15/18............................. 2,785 3,208,487 Noble Holding International, Ltd. 2.500%, 03/15/17............................. 10,097 10,306,321 Nomura Holdings, Inc. 5.000%, 03/04/15............................. 2,785 2,883,453 # 2.000%, 09/13/16............................. 6,852 6,943,008 Nordic Investment Bank # 0.750%, 01/17/18............................. 10,213 10,007,249 Novartis Capital Corp. 2.900%, 04/24/15............................. 2,043 2,096,375 Nucor Corp. 5.750%, 12/01/17............................. 2,228 2,516,805 Occidental Petroleum Corp. 2.500%, 02/01/16............................. 4,977 5,130,287 Oesterreichische Kontrollbank AG 1.750%, 10/05/15............................. 1,764 1,799,855 2.000%, 06/03/16............................. 3,528 3,630,993 1.125%, 05/29/18............................. 18,569 18,286,380 Ohio Power Co. 6.000%, 06/01/16............................. 1,857 2,050,407 Omnicom Group, Inc. 5.900%, 04/15/16............................. 9,168 10,024,465 ONEOK Partners L.P. # 6.150%, 10/01/16............................. 10,846 12,180,101 Ontario, Province of Canada 4.950%, 11/28/16............................. 9,285 10,247,817 # 1.200%, 02/14/18............................. 18,569 18,379,058 Oracle Corp. # 5.250%, 01/15/16............................. 3,714 4,006,370 1.200%, 10/15/17............................. 4,735 4,715,359 Orange SA 2.125%, 09/16/15............................. 6,040 6,141,339
Face Amount^ Value+ ------- ------ (000) PACCAR Financial Corp. 0.750%, 08/14/15............................. $ 9,285 $ 9,309,225 1.600%, 03/15/17............................. 422 426,452 PepsiCo, Inc. 3.100%, 01/15/15............................. 806 821,732 0.750%, 03/05/15............................. 1,486 1,491,879 5.000%, 06/01/18............................. 8,697 9,798,110 Petro-Canada 6.050%, 05/15/18............................. 5,571 6,431,998 Pfizer, Inc. 1.500%, 06/15/18............................. 16,248 16,053,089 Philip Morris International, Inc. # 1.625%, 03/20/17............................. 4,642 4,722,209 Plains All American Pipeline L.P. / PAA Finance Corp. 6.500%, 05/01/18............................. 2,917 3,422,265 PNC Funding Corp. 5.400%, 06/10/14............................. 464 466,301 Potash Corp. of Saskatchewan, Inc. 3.750%, 09/30/15............................. 2,785 2,904,777 3.250%, 12/01/17............................. 1,602 1,687,496 PPG Industries, Inc. 1.900%, 01/15/16............................. 3,570 3,634,471 PPL Energy Supply LLC 5.400%, 08/15/14............................. 836 847,395 Praxair, Inc. # 1.250%, 11/07/18............................. 11,527 11,183,542 Procter & Gamble Co. (The) # 1.800%, 11/15/15............................. 4,642 4,734,849 Progress Energy, Inc. 5.625%, 01/15/16............................. 1,857 2,005,363 Prudential Financial, Inc. # 5.100%, 09/20/14............................. 2,196 2,235,205 3.000%, 05/12/16............................. 8,356 8,710,771 Quest Diagnostics, Inc. 5.450%, 11/01/15............................. 928 989,101 # 3.200%, 04/01/16............................. 1,857 1,931,603 Questar Corp. 2.750%, 02/01/16............................. 8,718 8,985,730 Qwest Corp. 7.500%, 10/01/14............................. 5,068 5,198,420 6.500%, 06/01/17............................. 928 1,049,339 Raytheon Co. 6.750%, 03/15/18............................. 3,804 4,468,365 Republic Services, Inc. # 3.800%, 05/15/18............................. 5,040 5,370,453 Rio Tinto Finance USA, Ltd. 2.500%, 05/20/16............................. 7,750 8,010,772 # 2.250%, 09/20/16............................. 7,428 7,651,665 Roper Industries, Inc. 2.050%, 10/01/18............................. 1,750 1,745,305 Royal Bank of Canada 2.300%, 07/20/16............................. 5,107 5,282,951 1.450%, 09/09/16............................. 11,299 11,462,779
37 DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO CONTINUED
Face Amount^ Value+ ------- ------ (000) Royal Bank of Scotland Group P.L.C. # 2.550%, 09/18/15............................. $ 16,712 $17,069,252 Ryder System, Inc. # 2.500%, 03/01/18............................. 3,245 3,299,169 Safeway, Inc. 5.625%, 08/15/14............................. 928 940,716 3.400%, 12/01/16............................. 9,535 10,018,958 Sanofi # 1.250%, 04/10/18............................. 9,661 9,516,694 Sempra Energy 6.500%, 06/01/16............................. 11,946 13,247,146 Shell International Finance BV 1.125%, 08/21/17............................. 4,642 4,631,737 2.000%, 11/15/18............................. 20,426 20,581,585 Singapore Government Bond 0.500%, 04/01/18............................. SGD 9,285 7,292,928 Societe de Financement de l'Economie Francaise 3.375%, 05/05/14............................. 1,857 1,857,000 2.875%, 09/22/14............................. 2,785 2,813,184 Societe Generale SA # 2.750%, 10/12/17............................. 7,428 7,678,695 Southern Power Co. 4.875%, 07/15/15............................. 1,857 1,945,974 Southwest Airlines Co. 5.250%, 10/01/14............................. 2,785 2,835,464 Spectra Energy Capital LLC 5.668%, 08/15/14............................. 1,393 1,411,897 Starbucks Corp. 0.875%, 12/05/16............................. 1,578 1,574,410 # 2.000%, 12/05/18............................. 15,350 15,353,976 Starwood Hotels & Resorts Worldwide, Inc. 6.750%, 05/15/18............................. 4,768 5,607,063 State Street Corp. 4.300%, 05/30/14............................. 5,107 5,120,932 2.875%, 03/07/16............................. 5,571 5,800,915 Statoil ASA # 1.200%, 01/17/18............................. 2,186 2,155,945 1.150%, 05/15/18............................. 3,064 3,001,724 1.950%, 11/08/18............................. 9,285 9,311,397 Sumitomo Mitsui Banking Corp. # 2.450%, 01/10/19............................. 15,227 15,406,115 SunTrust Banks, Inc. 3.600%, 04/15/16............................. 9,285 9,755,257 Svensk Exportkredit AB 2.125%, 07/13/16............................. 9,285 9,569,836 1.750%, 05/30/17............................. 4,642 4,733,726 Svenska Handelsbanken AB # 2.500%, 01/25/19............................. 4,642 4,711,598 Symantec Corp. 2.750%, 06/15/17............................. 4,642 4,759,823 TD Ameritrade Holding Corp. 4.150%, 12/01/14............................. 7,956 8,123,744
Face Amount^ Value+ ------- ------ (000) Tech Data Corp. 3.750%, 09/21/17............................. $ 4,642 $ 4,837,386 Texas Instruments, Inc. 2.375%, 05/16/16............................. 8,585 8,893,090 Thermo Fisher Scientific, Inc. 3.200%, 05/01/15............................. 1,207 1,236,511 1.850%, 01/15/18............................. 8,649 8,672,352 Thomson Reuters Corp. 1.300%, 02/23/17............................. 7,520 7,548,937 Time Warner, Inc. # 5.875%, 11/15/16............................. 11,591 12,965,669 TJX Cos., Inc. (The) 4.200%, 08/15/15............................. 1,462 1,528,226 Toronto-Dominion Bank (The) # 2.375%, 10/19/16............................. 2,785 2,888,379 2.625%, 09/10/18............................. 9,285 9,555,110 Total Capital International SA 2.125%, 01/10/19............................. 10,139 10,261,570 Total Capital SA 3.125%, 10/02/15............................. 4,642 4,814,316 Toyota Motor Credit Corp. 2.800%, 01/11/16............................. 9,749 10,113,603 2.000%, 09/15/16............................. 4,642 4,773,740 # 2.100%, 01/17/19............................. 7,428 7,473,081 Transatlantic Holdings, Inc. 5.750%, 12/14/15............................. 900 967,210 TransCanada PipeLines, Ltd. 0.875%, 03/02/15............................. 3,621 3,634,430 3.400%, 06/01/15............................. 5,571 5,740,838 Travelers Cos., Inc. (The) 5.500%, 12/01/15............................. 7,892 8,493,039 UBS AG 3.875%, 01/15/15............................. 4,586 4,695,477 5.875%, 12/20/17............................. 4,828 5,521,977 Unilever Capital Corp. 2.750%, 02/10/16............................. 8,430 8,763,229 Union Bank NA 3.000%, 06/06/16............................. 25,909 27,050,421 United Kingdom Gilt 1.000%, 09/07/17............................. GBP 38,995 65,064,199 1.250%, 07/22/18............................. GBP 17,641 29,263,335 United Technologies Corp. 4.875%, 05/01/15............................. 836 872,507 1.800%, 06/01/17............................. 13,054 13,288,110 UnitedHealth Group, Inc. 5.000%, 08/15/14............................. 3,157 3,197,129 6.000%, 06/15/17............................. 2,600 2,969,353 # 1.400%, 10/15/17............................. 5,756 5,757,238 Unum Group 7.125%, 09/30/16............................. 8,727 9,935,777 US Bancorp 4.200%, 05/15/14............................. 6,532 6,540,590 3.150%, 03/04/15............................. 2,785 2,852,486 2.200%, 04/25/19............................. 15,000 15,011,190 Valero Energy Corp. 6.125%, 06/15/17............................. 3,253 3,718,895
38 DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO CONTINUED
Face Amount^ Value+ ------- ------ (000) Verizon Communications, Inc. 2.000%, 11/01/16............................. $ 16,160 $16,554,514 Viacom, Inc. 1.250%, 02/27/15............................. 2,135 2,149,603 # 6.250%, 04/30/16............................. 4,642 5,138,104 2.500%, 12/15/16............................. 7,428 7,692,117 Vodafone Group P.L.C. 5.625%, 02/27/17............................. 4,642 5,199,323 Wal-Mart Stores, Inc. 0.600%, 04/11/16............................. 2,785 2,793,336 2.800%, 04/15/16............................. 7,428 7,763,434 5.375%, 04/05/17............................. 5,811 6,557,249 # 1.950%, 12/15/18............................. 6,364 6,396,425 Walgreen Co. 1.000%, 03/13/15............................. 12,848 12,906,677 # 1.800%, 09/15/17............................. 8,356 8,445,083 5.250%, 01/15/19............................. 446 506,685 Walt Disney Co. (The) 1.125%, 02/15/17............................. 15,761 15,843,509 Waste Management, Inc. 2.600%, 09/01/16............................. 6,029 6,254,883 WellPoint, Inc. 5.875%, 06/15/17............................. 1,519 1,708,700 Wells Fargo & Co. 1.500%, 07/01/15............................. 6,499 6,571,191 # 2.625%, 12/15/16............................. 9,883 10,305,142 # 2.100%, 05/08/17............................. 7,165 7,345,644 # 2.125%, 04/22/19............................. 6,000 5,961,054 Western Union Co. (The) 5.930%, 10/01/16............................. 7,347 8,110,405
Face Amount^ Value+ ------- ------ (000) Westpac Banking Corp. # 3.000%, 12/09/15............................. $ 6,035 $ 6,264,173 # 2.000%, 08/14/17............................. 6,499 6,622,604 # 2.250%, 01/17/19............................. 7,000 7,029,813 Westpac Securities NZ, Ltd. 3.450%, 07/28/14............................. 900 906,795 Whirlpool Corp. 7.750%, 07/15/16............................. 4,642 5,291,434 Williams Partners L.P. 3.800%, 02/15/15............................. 3,069 3,143,273 Wyndham Worldwide Corp. 2.500%, 03/01/18............................. 9,647 9,731,604 Xerox Corp. # 4.250%, 02/15/15............................. 9,218 9,486,354 Xilinx, Inc. 2.125%, 03/15/19............................. 1,675 1,662,796 Yum! Brands, Inc. 6.250%, 04/15/16............................. 8,393 9,194,145 6.250%, 03/15/18............................. 754 859,397 -------------- TOTAL BONDS...................................... 3,328,852,646 --------------
Shares/ Face Amount ------- (000) SECURITIES LENDING COLLATERAL -- (5.7%) (S)@ DFA Short Term Investment Fund............... 18,027,264 208,575,440 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $3,611,373,541)............................ $3,639,714,807 ==============
Summary of the Portfolio's investments as of April 30, 2014, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) ---------------------------------------------- Level 1 Level 2 Level 3 Total ------- -------------- ------- -------------- Agency Obligations............ -- $ 102,286,721 -- $ 102,286,721 Bonds......................... -- 3,328,852,646 -- 3,328,852,646 Securities Lending Collateral. -- 208,575,440 -- 208,575,440 Forward Currency Contracts**.. -- (999,327) -- (999,327) -- -------------- -- -------------- TOTAL......................... -- $3,638,715,480 -- $3,638,715,480 == ============== == ==============
**Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note G) See accompanying Notes to Financial Statements. 39 DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2014 (Unaudited)
Face Amount^ Value+ ------- ------ (000) AGENCY OBLIGATIONS -- (3.5%) Federal Farm Credit Bank 4.800%, 02/13/23............................. $ 900 $ 1,018,066 2.630%, 08/03/26............................. 9,000 8,353,593 5.770%, 01/05/27............................. 3,000 3,656,043 Federal Home Loan Bank # 3.625%, 06/11/21............................. 5,000 5,446,925 # 5.250%, 12/09/22............................. 2,000 2,374,512 5.375%, 08/15/24............................. 4,000 4,822,652 5.750%, 06/12/26............................. 3,580 4,415,128 Federal Home Loan Mortgage Corporation # 2.375%, 01/13/22............................. 28,000 27,568,604 Tennessee Valley Authority 6.750%, 11/01/25............................. 10,200 13,481,003 ----------- TOTAL AGENCY OBLIGATIONS......................... 71,136,526 ----------- BONDS -- (81.0%) 21st Century Fox America, Inc. 4.500%, 02/15/21............................. 2,800 3,058,773 3M Co. # 2.000%, 06/26/22............................. 3,000 2,815,173 AbbVie, Inc. 2.900%, 11/06/22............................. 3,000 2,921,850 ACE INA Holdings, Inc. 5.800%, 03/15/18............................. 915 1,047,813 # 2.700%, 03/13/23............................. 8,000 7,649,784 Actavis, Inc. # 3.250%, 10/01/22............................. 5,100 4,941,431 Aetna, Inc. 3.950%, 09/01/20............................. 800 864,316 2.750%, 11/15/22............................. 9,000 8,639,055 Aflac, Inc. # 8.500%, 05/15/19............................. 4,005 5,178,910 Agilent Technologies, Inc. 5.000%, 07/15/20............................. 215 235,518 Allstate Corp. (The) # 3.150%, 06/15/23............................. 7,000 6,959,694 Altera Corp. # 4.100%, 11/15/23............................. 2,330 2,375,475 Altria Group, Inc. 4.750%, 05/05/21............................. 5,731 6,275,439 American Express Co. 8.125%, 05/20/19............................. 1,900 2,410,091 American International Group, Inc. 4.875%, 06/01/22............................. 3,000 3,336,159 American Water Capital Corp. # 3.850%, 03/01/24............................. 3,306 3,393,126 Ameriprise Financial, Inc. 7.300%, 06/28/19............................. 635 782,574
Face Amount^ Value+ ------- ------ (000) Amgen, Inc. 4.500%, 03/15/20............................. $ 720 $ 779,484 Anheuser-Busch InBev Worldwide, Inc. # 4.375%, 02/15/21............................. 5,700 6,234,614 2.500%, 07/15/22............................. 3,000 2,844,780 Aon Corp. 5.000%, 09/30/20............................. 2,500 2,787,090 Aon P.L.C. # 4.000%, 11/27/23............................. 6,250 6,424,850 Apache Corp. 6.900%, 09/15/18............................. 175 210,198 Apple, Inc. # 2.400%, 05/03/23............................. 12,000 11,207,172 3.450%, 05/06/24............................. 25,000 25,033,025 Arrow Electronics, Inc. 6.875%, 06/01/18............................. 3,000 3,411,096 Associates Corp. of North America 6.950%, 11/01/18............................. 190 225,478 Assurant, Inc. # 4.000%, 03/15/23............................. 5,000 4,961,800 AT&T, Inc. # 5.800%, 02/15/19............................. 3,690 4,281,215 3.875%, 08/15/21............................. 1,800 1,883,840 # 3.000%, 02/15/22............................. 6,100 6,002,699 Australia & New Zealand Banking Group, Ltd. 5.100%, 01/13/20............................. 1,500 1,689,294 Autodesk, Inc. # 3.600%, 12/15/22............................. 2,000 1,920,526 AutoZone, Inc. # 2.875%, 01/15/23............................. 5,000 4,712,245 Avon Products, Inc. # 4.200%, 07/15/18............................. 2,000 2,071,166 Baker Hughes, Inc. 7.500%, 11/15/18............................. 1,260 1,546,046 Baltimore Gas & Electric Co. 2.800%, 08/15/22............................. 5,029 4,829,223 Bank Nederlandse Gemeenten 4.375%, 02/16/21............................. 3,200 3,538,752 2.500%, 01/23/23............................. 10,000 9,538,180 Bank of America Corp. 3.300%, 01/11/23............................. 7,000 6,791,820 4.000%, 04/01/24............................. 8,000 8,036,752 Bank of New York Mellon Corp. (The) 5.450%, 05/15/19............................. 2,300 2,635,777 # 3.650%, 02/04/24............................. 11,144 11,331,910 Bank of Nova Scotia 4.375%, 01/13/21............................. 5,000 5,521,085 Barclays Bank P.L.C. 5.125%, 01/08/20............................. 6,000 6,742,476
40 DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO CONTINUED
Face Amount^ Value+ ------- ------ (000) Baxter International, Inc. 2.400%, 08/15/22............................. $ 7,140 $ 6,666,225 3.200%, 06/15/23............................. 2,500 2,445,080 BB&T Corp. 6.850%, 04/30/19............................. 3,385 4,102,373 Beam, Inc. 3.250%, 06/15/23............................. 5,850 5,664,046 Berkshire Hathaway Finance Corp. # 3.000%, 05/15/22............................. 5,000 4,988,235 Berkshire Hathaway, Inc. # 3.750%, 08/15/21............................. 4,000 4,250,356 # 3.400%, 01/31/22............................. 5,000 5,149,860 # 3.000%, 02/11/23............................. 7,000 6,934,130 BHP Billiton Finance USA, Ltd. 3.250%, 11/21/21............................. 1,500 1,527,866 BlackRock, Inc. # 5.000%, 12/10/19............................. 3,230 3,662,998 4.250%, 05/24/21............................. 1,500 1,632,980 BNP Paribas SA # 3.250%, 03/03/23............................. 3,000 2,942,661 Boeing Co. (The) 8.750%, 08/15/21............................. 1,829 2,475,711 Boston Scientific Corp. 6.000%, 01/15/20............................. 2,900 3,359,734 BP Capital Markets P.L.C. 4.750%, 03/10/19............................. 530 592,995 4.500%, 10/01/20............................. 3,200 3,527,971 2.500%, 11/06/22............................. 3,500 3,305,557 Bristol-Myers Squibb Co. 2.000%, 08/01/22............................. 3,070 2,808,519 British Columbia, Province of Canada 6.500%, 01/15/26............................. 12,374 16,044,834 Broadcom Corp. 2.500%, 08/15/22............................. 10,900 10,157,219 Brown-Forman Corp. 2.250%, 01/15/23............................. 750 689,638 Buckeye Partners L.P. # 4.150%, 07/01/23............................. 3,000 3,034,947 Burlington Northern Santa Fe LLC 7.000%, 12/15/25............................. 1,340 1,711,376 CA, Inc. 5.375%, 12/01/19............................. 900 1,011,176 Campbell Soup Co. # 4.250%, 04/15/21............................. 1,600 1,693,824 Canadian National Railway Co. # 5.550%, 03/01/19............................. 1,490 1,722,020 # 2.850%, 12/15/21............................. 2,915 2,906,409 Canadian Natural Resources, Ltd. # 3.450%, 11/15/21............................. 5,250 5,353,672 Capital One Financial Corp. 4.750%, 07/15/21............................. 6,400 7,061,632
Face Amount^ Value+ ------- ------ (000) Cardinal Health, Inc. 4.625%, 12/15/20............................. $ 1,000 $1,095,889 3.200%, 06/15/22............................. 6,000 5,901,546 Caterpillar, Inc. # 2.600%, 06/26/22............................. 5,500 5,298,282 CBS Corp. # 5.750%, 04/15/20............................. 2,800 3,222,262 3.375%, 03/01/22............................. 5,000 4,963,080 Cenovus Energy, Inc. # 3.000%, 08/15/22............................. 3,300 3,186,087 CenterPoint Energy Resources Corp. # 4.500%, 01/15/21............................. 3,000 3,262,785 CF Industries, Inc. 3.450%, 06/01/23............................. 9,260 9,045,650 Charles Schwab Corp. (The) 4.450%, 07/22/20............................. 2,750 3,034,452 Chevron Corp. # 2.355%, 12/05/22............................. 10,000 9,454,400 # 3.191%, 06/24/23............................. 8,161 8,152,986 Church & Dwight Co., Inc. 2.875%, 10/01/22............................. 1,600 1,534,110 Cisco Systems, Inc. # 4.450%, 01/15/20............................. 3,725 4,117,794 Citigroup, Inc. 8.500%, 05/22/19............................. 600 764,335 5.375%, 08/09/20............................. 1,875 2,123,505 4.500%, 01/14/22............................. 2,300 2,458,116 # 3.875%, 10/25/23............................. 7,000 6,995,443 Clorox Co. (The) 3.050%, 09/15/22............................. 4,700 4,596,736 CNA Financial Corp. # 5.750%, 08/15/21............................. 8,082 9,362,892 Coca-Cola Co. (The) 3.300%, 09/01/21............................. 2,650 2,734,766 # 3.200%, 11/01/23............................. 5,000 4,982,480 Coca-Cola Enterprises, Inc. 3.500%, 09/15/20............................. 2,713 2,785,581 Colgate-Palmolive Co. 1.950%, 02/01/23............................. 3,000 2,726,112 Comcast Cable Communications Holdings, Inc. 9.455%, 11/15/22............................. 4,620 6,623,449 Commonwealth Bank of Australia 5.000%, 03/19/20............................. 1,225 1,364,372 Computer Sciences Corp. 4.450%, 09/15/22............................. 5,000 5,200,490 ConAgra Foods, Inc. # 3.200%, 01/25/23............................. 5,900 5,688,774 ConocoPhillips 6.000%, 01/15/20............................. 3,930 4,670,860 ConocoPhillips Co. # 2.400%, 12/15/22............................. 3,000 2,841,615
41 DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO CONTINUED
Face Amount^ Value+ ------- ------ (000) Consolidated Edison Co. of New York, Inc. 6.650%, 04/01/19............................. $ 225 $ 270,918 Cooperatieve Centrale Raiffeisen-Boerenleenbank BA # 4.500%, 01/11/21............................. 2,000 2,186,318 Corning, Inc. 3.700%, 11/15/23............................. 4,235 4,314,097 Costco Wholesale Corp. 1.700%, 12/15/19............................. 7,500 7,309,252 CR Bard, Inc. 4.400%, 01/15/21............................. 800 869,812 Credit Suisse New York # 4.375%, 08/05/20............................. 6,750 7,325,626 CSX Corp. # 4.250%, 06/01/21............................. 8,000 8,636,448 CVS Caremark Corp. 6.250%, 06/01/27............................. 4,795 5,894,115 Cytec Industries, Inc. 3.500%, 04/01/23............................. 6,000 5,714,880 Deutsche Telekom International Finance BV 6.750%, 08/20/18............................. 4,085 4,848,687 Devon Energy Corp. # 3.250%, 05/15/22............................. 4,800 4,762,027 Diageo Capital P.L.C. # 4.828%, 07/15/20............................. 3,600 4,039,852 Diageo Investment Corp. 2.875%, 05/11/22............................. 1,750 1,716,967 DIRECTV Holdings LLC / DIRECTV Financing Co., Inc. # 3.800%, 03/15/22............................. 8,900 8,903,782 Dollar General Corp. # 3.250%, 04/15/23............................. 10,522 9,930,927 Dominion Resources, Inc. 4.450%, 03/15/21............................. 3,900 4,237,311 Dow Chemical Co. (The) # 3.000%, 11/15/22............................. 1,000 961,746 Dr Pepper Snapple Group, Inc. 2.000%, 01/15/20............................. 2,400 2,326,198 DTE Energy Co. 3.850%, 12/01/23............................. 1,500 1,545,666 Duke Energy Corp. 5.050%, 09/15/19............................. 250 283,350 Eastman Chemical Co. 4.500%, 01/15/21............................. 1,983 2,092,690 3.600%, 08/15/22............................. 950 957,043 eBay, Inc. # 2.600%, 07/15/22............................. 4,200 4,018,585 Ecolab, Inc. 4.350%, 12/08/21............................. 6,000 6,527,796 EI du Pont de Nemours & Co. 4.625%, 01/15/20............................. 900 993,152
Face Amount^ Value+ ------- ------ (000) Eli Lilly & Co. 5.500%, 03/15/27............................. $ 5,000 $ 5,878,740 EMC Corp. # 3.375%, 06/01/23............................. 6,000 6,028,236 Enbridge Energy Partners L.P. 5.200%, 03/15/20............................. 350 382,549 4.200%, 09/15/21............................. 1,917 2,002,949 Enbridge, Inc. # 4.000%, 10/01/23............................. 6,000 6,130,626 Encana Corp. 6.500%, 05/15/19............................. 2,250 2,665,251 # 3.900%, 11/15/21............................. 7,700 7,983,214 Energizer Holdings, Inc. 4.700%, 05/24/22............................. 8,935 9,378,641 Energy Transfer Partners L.P. # 3.600%, 02/01/23............................. 11,000 10,691,021 Ensco P.L.C. 4.700%, 03/15/21............................. 3,800 4,103,966 Enterprise Products Operating LLC 5.200%, 09/01/20............................. 2,600 2,945,644 EOG Resources, Inc. 5.625%, 06/01/19............................. 1,000 1,157,069 4.100%, 02/01/21............................. 3,850 4,159,436 EQT Corp. 8.125%, 06/01/19............................. 1,625 1,988,046 European Investment Bank 2.875%, 09/15/20............................. 1,000 1,033,282 4.000%, 02/16/21............................. 1,000 1,097,322 2.500%, 10/31/22............................. GBP 10,000 16,415,968 Exelon Generation Co. LLC # 4.250%, 06/15/22............................. 5,000 5,119,405 Express Scripts Holding Co. 3.900%, 02/15/22............................. 5,000 5,182,160 Exxon Mobil Corp. # 3.176%, 03/15/24............................. 35,000 35,297,675 FedEx Corp. # 2.625%, 08/01/22............................. 6,500 6,166,069 Fifth Third Bancorp 3.500%, 03/15/22............................. 7,500 7,600,432 FMC Technologies, Inc. 3.450%, 10/01/22............................. 8,625 8,287,081 Ford Motor Credit Co. LLC # 4.375%, 08/06/23............................. 11,000 11,521,224 Freeport-McMoRan Copper & Gold, Inc. 3.550%, 03/01/22............................. 3,000 2,899,551 Gap, Inc. (The) 5.950%, 04/12/21............................. 2,500 2,844,035 General Dynamics Corp. 2.250%, 11/15/22............................. 7,500 7,029,127 General Electric Capital Corp. 5.500%, 01/08/20............................. 2,700 3,114,561 General Mills, Inc. # 3.150%, 12/15/21............................. 3,000 3,028,908
42 DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO CONTINUED
Face Amount^ Value+ ------- ------ (000) Genworth Holdings, Inc. # 7.625%, 09/24/21............................. $ 3,060 $ 3,822,411 4.800%, 02/15/24............................. 5,290 5,606,019 Georgia Power Co. 4.250%, 12/01/19............................. 3,492 3,814,832 # 2.850%, 05/15/22............................. 2,550 2,495,535 Gilead Sciences, Inc. 3.700%, 04/01/24............................. 10,000 10,143,370 GlaxoSmithKline Capital, Inc. 2.800%, 03/18/23............................. 3,500 3,386,460 Goldman Sachs Group, Inc. (The) 6.000%, 06/15/20............................. 2,150 2,485,034 5.250%, 07/27/21............................. 5,500 6,104,785 4.000%, 03/03/24............................. 7,000 7,020,510 Google, Inc. 3.625%, 05/19/21............................. 1,000 1,062,017 Great Plains Energy, Inc. 4.850%, 06/01/21............................. 2,000 2,167,398 Halliburton Co. # 5.900%, 09/15/18............................. 1,000 1,159,174 6.150%, 09/15/19............................. 2,360 2,806,045 Hartford Financial Services Group, Inc. (The) # 5.500%, 03/30/20............................. 3,185 3,637,901 5.125%, 04/15/22............................. 3,000 3,367,974 Hershey Co. (The) # 2.625%, 05/01/23............................. 1,527 1,459,667 Hess Corp. 8.125%, 02/15/19............................. 3,745 4,716,049 Hewlett-Packard Co. 4.375%, 09/15/21............................. 2,500 2,638,595 Home Depot, Inc. (The) # 4.400%, 04/01/21............................. 6,000 6,677,262 # 2.700%, 04/01/23............................. 2,000 1,915,024 Hormel Foods Corp. 4.125%, 04/15/21............................. 2,310 2,459,284 HSBC Holdings P.L.C. # 4.000%, 03/30/22............................. 3,000 3,152,820 Husky Energy, Inc. 7.250%, 12/15/19............................. 2,500 3,082,055 Indiana Michigan Power Co. 7.000%, 03/15/19............................. 235 284,024 Integrys Energy Group, Inc. 4.170%, 11/01/20............................. 1,000 1,049,613 Intel Corp. # 3.300%, 10/01/21............................. 7,400 7,619,195 2.700%, 12/15/22............................. 3,000 2,893,719 Inter-American Development Bank 7.000%, 06/15/25............................. 6,000 7,983,408 6.750%, 07/15/27............................. 3,000 4,060,218 International Bank for Reconstruction & Development 7.625%, 01/19/23............................. 7,700 10,656,646
Face Amount^ Value+ ------- ------ (000) International Business Machines Corp. 1.875%, 08/01/22............................. $ 700 $ 637,908 3.375%, 08/01/23............................. 6,810 6,821,495 John Deere Capital Corp. 2.750%, 03/15/22............................. 5,000 4,898,100 Johnson & Johnson 2.950%, 09/01/20............................. 3,000 3,129,558 # 3.375%, 12/05/23............................. 10,000 10,315,910 JPMorgan Chase & Co. 6.300%, 04/23/19............................. 3,500 4,138,372 4.950%, 03/25/20............................. 630 704,720 4.350%, 08/15/21............................. 5,200 5,594,685 Juniper Networks, Inc. 4.600%, 03/15/21............................. 4,000 4,240,316 Kellogg Co. 3.250%, 05/21/18............................. 2,315 2,418,254 Kerr-McGee Corp. 6.950%, 07/01/24............................. 4,900 6,150,926 KeyCorp 5.100%, 03/24/21............................. 7,000 7,911,372 KFW 2.750%, 09/08/20............................. 2,000 2,052,328 2.625%, 01/25/22............................. 3,000 3,002,883 Kimberly-Clark Corp. 2.400%, 06/01/23............................. 4,130 3,870,586 Kinder Morgan Energy Partners L.P. 5.300%, 09/15/20............................. 2,000 2,223,630 5.800%, 03/01/21............................. 550 622,474 4.150%, 03/01/22............................. 2,400 2,462,299 # 3.500%, 09/01/23............................. 5,000 4,786,850 Kohl's Corp. # 3.250%, 02/01/23............................. 2,000 1,896,854 4.750%, 12/15/23............................. 10,000 10,427,470 Koninklijke Philips NV 3.750%, 03/15/22............................. 2,322 2,407,921 Kraft Foods Group, Inc. 3.500%, 06/06/22............................. 6,600 6,705,481 Kroger Co. (The) 3.850%, 08/01/23............................. 7,000 7,104,685 Laboratory Corp. of America Holdings 4.000%, 11/01/23............................. 6,000 6,017,142 Lincoln National Corp. 6.250%, 02/15/20............................. 180 211,501 Lloyds Bank P.L.C. 6.375%, 01/21/21............................. 2,500 3,008,770 Loews Corp. 2.625%, 05/15/23............................. 2,865 2,680,173 Lorillard Tobacco Co. # 6.875%, 05/01/20............................. 2,000 2,361,380 Lowe's Cos., Inc. # 3.120%, 04/15/22............................. 2,000 2,021,464 LyondellBasell Industries NV 5.750%, 04/15/24............................. 4,000 4,661,344
43 DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO CONTINUED
Face Amount^ Value+ ------- ------ (000) Macy's Retail Holdings, Inc. # 3.875%, 01/15/22............................. $ 4,446 $ 4,615,530 # 2.875%, 02/15/23............................. 3,500 3,314,626 Magellan Midstream Partners L.P. 4.250%, 02/01/21............................. 3,370 3,635,162 Manitoba, Province of Canada # 2.100%, 09/06/22............................. 3,000 2,819,352 Marathon Oil Corp. 2.800%, 11/01/22............................. 6,000 5,705,238 Markel Corp. 5.350%, 06/01/21............................. 4,200 4,690,430 # 3.625%, 03/30/23............................. 2,000 1,976,226 Marsh & McLennan Cos., Inc. 9.250%, 04/15/19............................. 225 293,462 McDonald's Corp. # 2.625%, 01/15/22............................. 2,900 2,825,087 Medtronic, Inc. 4.450%, 03/15/20............................. 1,840 2,035,082 3.125%, 03/15/22............................. 3,407 3,430,433 Merck & Co., Inc. # 2.800%, 05/18/23............................. 8,000 7,687,680 MetLife, Inc. 7.717%, 02/15/19............................. 5,975 7,466,904 # 3.600%, 04/10/24............................. 6,208 6,252,747 Microsoft Corp. # 3.000%, 10/01/20............................. 2,000 2,070,358 Mobil Corp. 8.625%, 08/15/21............................. 2,013 2,763,587 Molson Coors Brewing Co. # 3.500%, 05/01/22............................. 10,204 10,230,010 Mondelez International, Inc. 4.000%, 02/01/24............................. 12,000 12,282,492 Monsanto Co. 5.500%, 08/15/25............................. 3,500 4,146,317 Morgan Stanley 5.500%, 07/28/21............................. 8,320 9,412,341 # 3.875%, 04/29/24............................. 6,000 5,961,576 Mosaic Co. (The) 4.250%, 11/15/23............................. 3,000 3,103,845 Motorola Solutions, Inc. 3.750%, 05/15/22............................. 3,000 2,991,084 3.500%, 03/01/23............................. 5,000 4,814,355 Murphy Oil Corp. 4.000%, 06/01/22............................. 2,000 2,006,274 Mylan, Inc. # 4.200%, 11/29/23............................. 5,000 5,158,460 National Australia Bank, Ltd. # 3.000%, 01/20/23............................. 10,000 9,617,560 National Oilwell Varco, Inc. # 2.600%, 12/01/22............................. 8,500 8,118,231 NetApp, Inc. 3.250%, 12/15/22............................. 1,700 1,595,627 New Brunswick, Province of Canada 9.750%, 05/15/20............................. 1,000 1,374,058
Face Amount^ Value+ ------- ------ (000) Newell Rubbermaid, Inc. # 4.000%, 06/15/22............................. $ 4,000 $4,102,328 Nisource Finance Corp. # 6.125%, 03/01/22............................. 6,425 7,477,717 # 3.850%, 02/15/23............................. 1,100 1,111,707 Noble Energy, Inc. 4.150%, 12/15/21............................. 5,000 5,334,795 Noble Holding International, Ltd. # 3.950%, 03/15/22............................. 4,100 4,109,979 Nordstrom, Inc. # 4.000%, 10/15/21............................. 1,500 1,594,130 Northeast Utilities 4.500%, 11/15/19............................. 1,900 2,065,973 Northern Trust Corp. 3.450%, 11/04/20............................. 450 474,552 3.375%, 08/23/21............................. 4,400 4,559,047 2.375%, 08/02/22............................. 3,016 2,878,522 Northrop Grumman Corp. # 5.050%, 08/01/19............................. 1,125 1,253,656 3.500%, 03/15/21............................. 2,256 2,317,253 3.250%, 08/01/23............................. 4,000 3,905,064 Novartis Capital Corp. 4.400%, 04/24/20............................. 4,000 4,434,464 3.400%, 05/06/24............................. 500 504,522 Nucor Corp. 4.000%, 08/01/23............................. 3,500 3,546,662 Occidental Petroleum Corp. # 2.700%, 02/15/23............................. 8,650 8,261,390 Ohio Power Co. # 5.375%, 10/01/21............................. 3,606 4,182,992 Omnicom Group, Inc. 4.450%, 08/15/20............................. 3,650 3,932,466 ONEOK Partners L.P. 8.625%, 03/01/19............................. 4,200 5,256,497 Ontario, Province of Canada # 2.450%, 06/29/22............................. 1,700 1,634,800 Oracle Corp. 5.000%, 07/08/19............................. 2,100 2,386,730 2.500%, 10/15/22............................. 3,000 2,862,144 Orange SA 5.375%, 07/08/19............................. 2,350 2,662,068 # 4.125%, 09/14/21............................. 2,900 3,050,588 Pacific Gas & Electric Co. 3.850%, 11/15/23............................. 5,000 5,119,030 Packaging Corp. of America 4.500%, 11/01/23............................. 6,075 6,378,234 PepsiCo, Inc. 4.500%, 01/15/20............................. 1,575 1,740,830 # 2.750%, 03/05/22............................. 2,404 2,353,509 Pfizer, Inc. # 3.000%, 06/15/23............................. 3,000 2,919,651 Philip Morris International, Inc. # 2.500%, 08/22/22............................. 1,504 1,431,676
44 DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO CONTINUED
Face Amount^ Value+ ------- ------ (000) Plains All American Pipeline L.P. / PAA Finance Corp. 5.000%, 02/01/21............................. $ 1,000 $1,117,724 2.850%, 01/31/23............................. 4,000 3,798,908 PNC Funding Corp. 4.375%, 08/11/20............................. 4,730 5,151,339 # 3.300%, 03/08/22............................. 1,466 1,484,719 PPG Industries, Inc. 2.700%, 08/15/22............................. 1,000 952,402 PPL Energy Supply LLC # 4.600%, 12/15/21............................. 9,815 9,995,596 Praxair, Inc. # 4.050%, 03/15/21............................. 3,800 4,092,600 2.200%, 08/15/22............................. 1,250 1,160,293 Precision Castparts Corp. # 2.500%, 01/15/23............................. 8,000 7,575,856 Principal Financial Group, Inc. 8.875%, 05/15/19............................. 330 421,201 3.125%, 05/15/23............................. 5,096 4,898,163 Private Export Funding Corp. 4.300%, 12/15/21............................. 1,407 1,572,030 Procter & Gamble Co. (The) # 2.300%, 02/06/22............................. 4,000 3,846,996 Progress Energy, Inc. # 7.050%, 03/15/19............................. 2,000 2,420,762 Progressive Corp. (The) 3.750%, 08/23/21............................. 6,800 7,203,716 Prudential Financial, Inc. # 5.375%, 06/21/20............................. 4,170 4,759,338 Quebec, Province of Canada # 2.625%, 02/13/23............................. 7,000 6,701,702 Quest Diagnostics, Inc. # 4.700%, 04/01/21............................. 6,770 7,262,978 Raytheon Co. 3.125%, 10/15/20............................. 2,900 2,987,354 2.500%, 12/15/22............................. 2,200 2,079,570 Reinsurance Group of America, Inc. 5.000%, 06/01/21............................. 1,500 1,639,535 # 4.700%, 09/15/23............................. 6,000 6,323,478 Republic Services, Inc. 3.550%, 06/01/22............................. 4,000 4,043,900 Reynolds American, Inc. 3.250%, 11/01/22............................. 6,850 6,534,092 Rio Tinto Finance USA, Ltd. # 4.125%, 05/20/21............................. 3,800 4,041,406 Rogers Communications, Inc. 3.000%, 03/15/23............................. 2,759 2,635,667 Rowan Cos., Inc. 7.875%, 08/01/19............................. 600 734,135 Royal Bank of Scotland P.L.C. (The) 6.125%, 01/11/21............................. 2,000 2,346,338 Safeway, Inc. 5.000%, 08/15/19............................. 2,025 2,089,822
Face Amount^ Value+ ------- ------ (000) SCANA Corp. 6.250%, 04/01/20............................. $ 1,750 $ 1,971,482 # 4.125%, 02/01/22............................. 3,035 3,073,372 Sempra Energy 9.800%, 02/15/19............................. 160 212,589 # 4.050%, 12/01/23............................. 6,570 6,789,589 Shell International Finance BV 4.300%, 09/22/19............................. 1,500 1,661,886 # 4.375%, 03/25/20............................. 3,000 3,324,570 # 3.400%, 08/12/23............................. 10,000 10,084,410 Southwestern Public Service Co. 8.750%, 12/01/18............................. 350 448,594 Spectra Energy Partners L.P. # 4.750%, 03/15/24............................. 5,000 5,349,020 St Jude Medical, Inc. # 3.250%, 04/15/23............................. 5,000 4,892,160 StanCorp Financial Group, Inc. 5.000%, 08/15/22............................. 5,000 5,117,665 Starwood Hotels & Resorts Worldwide, Inc. # 3.125%, 02/15/23............................. 5,000 4,730,840 State Street Corp. # 4.375%, 03/07/21............................. 6,200 6,838,991 Statoil ASA 2.650%, 01/15/24............................. 10,860 10,258,052 Sumitomo Mitsui Banking Corp. 3.950%, 07/19/23............................. 9,160 9,493,937 Sunoco Logistics Partners Operations L.P. 4.650%, 02/15/22............................. 2,895 3,072,594 SunTrust Bank 2.750%, 05/01/23............................. 4,900 4,624,762 Talisman Energy, Inc. 7.750%, 06/01/19............................. 2,760 3,371,936 Target Corp. 3.875%, 07/15/20............................. 2,000 2,148,060 # 2.900%, 01/15/22............................. 7,676 7,569,780 TD Ameritrade Holding Corp. 5.600%, 12/01/19............................. 2,952 3,427,868 Teck Resources, Ltd. # 3.750%, 02/01/23............................. 6,600 6,289,741 Thermo Fisher Scientific, Inc. 4.500%, 03/01/21............................. 4,000 4,341,008 Time Warner, Inc. 4.750%, 03/29/21............................. 2,200 2,426,299 4.000%, 01/15/22............................. 1,800 1,874,596 TJX Cos., Inc. (The) # 2.500%, 05/15/23............................. 6,440 6,039,039 Total Capital International SA 3.750%, 04/10/24............................. 10,000 10,305,770 Total Capital SA 4.450%, 06/24/20............................. 3,000 3,321,090 Toyota Motor Credit Corp. 4.250%, 01/11/21............................. 1,200 1,307,398 3.300%, 01/12/22............................. 10,165 10,377,448
45 DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO CONTINUED
Face Amount^ Value+ ------- ------ (000) TransAlta Corp. # 4.500%, 11/15/22............................. $ 6,038 $6,023,889 TransCanada PipeLines, Ltd. 7.125%, 01/15/19............................. 915 1,111,313 # 3.800%, 10/01/20............................. 2,000 2,119,640 2.500%, 08/01/22............................. 5,112 4,839,127 Travelers Cos., Inc. (The) 3.900%, 11/01/20............................. 4,200 4,484,235 Tyson Foods, Inc. 4.500%, 06/15/22............................. 4,000 4,232,472 UBS AG 4.875%, 08/04/20............................. 5,928 6,605,280 Unilever Capital Corp. 4.250%, 02/10/21............................. 3,500 3,839,307 UnionBanCal Corp. # 3.500%, 06/18/22............................. 8,550 8,699,317 United Parcel Service, Inc. 3.125%, 01/15/21............................. 2,000 2,063,692 United Technologies Corp. 4.500%, 04/15/20............................. 1,925 2,140,475 UnitedHealth Group, Inc. 2.750%, 02/15/23............................. 7,750 7,425,430 Unum Group 5.625%, 09/15/20............................. 3,500 3,990,486 US Bancorp 3.000%, 03/15/22............................. 3,000 2,988,861 Valero Energy Corp. 9.375%, 03/15/19............................. 2,375 3,100,888 Verizon Communications, Inc. 4.600%, 04/01/21............................. 4,050 4,424,107 5.150%, 09/15/23............................. 9,000 9,916,974 VF Corp. 3.500%, 09/01/21............................. 2,000 2,066,754 Viacom, Inc. # 4.500%, 03/01/21............................. 2,900 3,134,259 Vodafone Group P.L.C. 4.375%, 03/16/21............................. 4,500 4,859,901 2.500%, 09/26/22............................. 9,000 8,329,653 Wal-Mart Stores, Inc. 3.625%, 07/08/20............................. 3,075 3,287,381 4.250%, 04/15/21............................. 4,000 4,388,064 # 2.550%, 04/11/23............................. 5,000 4,759,220 Walgreen Co. 5.250%, 01/15/19............................. 1,320 1,499,606 # 3.100%, 09/15/22............................. 2,124 2,062,340 Walt Disney Co. (The) 2.550%, 02/15/22............................. 4,000 3,896,736 Waste Management, Inc. # 4.600%, 03/01/21............................. 2,860 3,112,106 WellPoint, Inc. # 3.125%, 05/15/22............................. 4,900 4,794,797 Wells Fargo & Co. 4.600%, 04/01/21............................. 2,100 2,325,628 3.500%, 03/08/22............................. 9,700 9,952,219
Face Amount^ Value+ ------- ------ (000) Western Union Co. (The) 3.650%, 08/22/18............................. $ 3,000 $ 3,104,460 # 5.253%, 04/01/20............................. 3,568 3,892,235 Westpac Banking Corp. # 4.875%, 11/19/19............................. 2,250 2,520,592 Whirlpool Corp. 4.700%, 06/01/22............................. 3,000 3,226,452 Williams Partners L.P. 4.000%, 11/15/21............................. 3,500 3,600,142 3.350%, 08/15/22............................. 1,300 1,262,953 Wisconsin Electric Power Co. 2.950%, 09/15/21............................. 6,675 6,730,783 Wisconsin Power & Light Co. 5.000%, 07/15/19............................. 500 558,610 WR Berkley Corp. # 5.375%, 09/15/20............................. 800 880,822 Wyndham Worldwide Corp. 3.900%, 03/01/23............................. 3,027 2,997,190 Xerox Corp. # 4.500%, 05/15/21............................. 5,000 5,362,805 Yum! Brands, Inc. 3.750%, 11/01/21............................. 5,830 5,947,673 Zimmer Holdings, Inc. 4.625%, 11/30/19............................. 2,500 2,774,025 Zoetis, Inc. # 3.250%, 02/01/23............................. 3,000 2,923,266 -------------- TOTAL BONDS...................................... 1,666,813,436 --------------
Shares/ Face Amount ------- (000) SECURITIES LENDING COLLATERAL -- (15.5%) (S)@ DFA Short Term Investment Fund............... 27,639,387 $ 319,787,705 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $2,047,186,438).............................. $2,057,737,667 ==============
46 DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) ---------------------------------------------- Level 1 Level 2 Level 3 Total ------- -------------- ------- -------------- Agency Obligations............ -- $ 71,136,526 -- $ 71,136,526 Bonds......................... -- 1,666,813,436 -- 1,666,813,436 Securities Lending Collateral. -- 319,787,705 -- 319,787,705 Forward Currency Contracts**.. -- (112,052) -- (112,052) -- -------------- -- -------------- TOTAL......................... -- $2,057,625,615 -- $2,057,625,615 == ============== == ==============
**Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note G) See accompanying Notes to Financial Statements. 47 DFA INVESTMENT GRADE PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2014 (Unaudited)
Shares Value+ ---------- -------------- AFFILIATED INVESTMENT COMPANIES -- (99.7%) Investment in DFA Intermediate-Term Extended Quality Portfolio of DFA Investment Dimensions Group Inc............................... 99,795,635 $1,063,821,468 Investment in DFA Intermediate Government Fixed Income Portfolio of DFA Investment Dimensions Group Inc............................... 56,712,931 708,911,640 Investment in DFA Short-Term Extended Quality Portfolio of DFA Investment Dimensions Group Inc............................... 10,992,224 119,265,627 Investment in DFA Short-Term Government Portfolio of DFA Investment Dimensions Group Inc............................... 7,385,237 78,800,476 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $1,972,805,064).......................................... 1,970,799,211 -------------- TEMPORARY CASH INVESTMENTS -- (0.3%) State Street Institutional Liquid Reserves, 0.074% (Cost $5,280,705)................................................. 5,280,705 5,280,705 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $1,978,085,769).......................................... $1,976,079,916 ==============
Summary of the Portfolio's investments as of April 30, 2014, 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. $1,970,799,211 -- -- $1,970,799,211 Temporary Cash Investments...... 5,280,705 -- -- 5,280,705 -------------- -- -- -------------- TOTAL........................... $1,976,079,916 -- -- $1,976,079,916 ============== == == ==============
See accompanying Notes to Financial Statements. 48 DFA INFLATION-PROTECTED SECURITIES PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2014 (Unaudited)
Face Amount^^^ Value+ ----------- -------------- (000) U.S. TREASURY OBLIGATIONS -- (99.4%) Treasury Inflation Protected Security 1.375%, 07/15/18........................................... $ 47,100 $ 55,828,374 2.125%, 01/15/19........................................... 205,800 252,411,139 1.875%, 07/15/19........................................... 224,000 275,695,303 1.375%, 01/15/20........................................... 125,300 147,840,187 1.250%, 07/15/20........................................... 161,800 188,928,006 1.125%, 01/15/21........................................... 166,400 190,862,535 0.625%, 07/15/21........................................... 141,500 152,920,482 0.125%, 01/15/22........................................... 100,000 102,527,891 0.125%, 07/15/22........................................... 100,500 101,391,123 0.125%, 01/15/23........................................... 167,800 166,791,215 0.375%, 07/15/23........................................... 103,000 103,875,907 2.375%, 01/15/25........................................... 78,000 115,604,677 2.000%, 01/15/26........................................... 76,800 104,880,913 2.375%, 01/15/27........................................... 72,300 101,369,488 1.750%, 01/15/28........................................... 50,700 63,962,172 3.625%, 04/15/28........................................... 62,700 125,507,394 2.500%, 01/15/29........................................... 61,000 82,350,479 3.875%, 04/15/29........................................... 61,345 125,569,235 3.375%, 04/15/32........................................... 10,000 18,621,094 -------------- TOTAL U.S. TREASURY OBLIGATIONS.............................. 2,476,937,614 -------------- Shares ----------- TEMPORARY CASH INVESTMENTS -- (0.6%) State Street Institutional U.S. Government Money Market Fund. 15,523,116 15,523,116 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $2,425,086,682)....................................... $2,492,460,730 ==============
Summary of the Portfolio's investments as of April 30, 2014, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) ------------------------------------------------- Level 1 Level 2 Level 3 Total ----------- -------------- ------- -------------- U.S. Treasury Obligations.. -- $2,476,937,614 -- $2,476,937,614 Temporary Cash Investments. $15,523,116 -- -- 15,523,116 ----------- -------------- -- -------------- TOTAL...................... $15,523,116 $2,476,937,614 -- $2,492,460,730 =========== ============== == ==============
See accompanying Notes to Financial Statements. 49 DFA SHORT-DURATION REAL RETURN PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2014 (Unaudited)
Face Amount^ Value+ ------- ------ (000) BONDS -- (93.1%) AUSTRALIA -- (3.1%) Australia & New Zealand Banking Group, Ltd. 1.875%, 10/06/17.............................. $ 358 $ 363,134 1.450%, 05/15/18.............................. 358 351,406 BHP Billiton Finance USA, Ltd. 1.875%, 11/21/16.............................. 1,300 1,335,649 1.625%, 02/24/17.............................. 824 837,884 Commonwealth Bank of Australia 1.125%, 03/13/17.............................. 4,000 3,996,792 1.900%, 09/18/17.............................. 787 797,924 2.500%, 09/20/18.............................. 916 935,155 National Australia Bank, Ltd. 1.300%, 07/25/16.............................. 250 252,391 Rio Tinto Finance USA, Ltd. 2.500%, 05/20/16.............................. 597 617,088 2.250%, 09/20/16.............................. 572 589,223 Westpac Banking Corp. 3.000%, 12/09/15.............................. 465 482,658 2.000%, 08/14/17.............................. 501 510,529 ----------- TOTAL AUSTRALIA.................................... 11,069,833 ----------- AUSTRIA -- (0.6%) Austria Government International Bond 1.750%, 06/17/16.............................. 215 220,491 Oesterreichische Kontrollbank AG 1.750%, 10/05/15.............................. 136 138,764 2.000%, 06/03/16.............................. 272 279,941 1.125%, 05/29/18.............................. 1,431 1,409,220 ----------- TOTAL AUSTRIA...................................... 2,048,416 ----------- BELGIUM -- (0.0%) Belgium Government International Bond 2.750%, 03/05/15.............................. 143 145,861 ----------- CANADA -- (5.8%) Bank of Montreal 2.375%, 01/25/19.............................. 24 24,247 Bank of Nova Scotia 3.400%, 01/22/15.............................. 143 146,132 2.900%, 03/29/16.............................. 715 745,267 British Columbia, Province of Canada 2.850%, 06/15/15.............................. 286 294,273 2.100%, 05/18/16.............................. 358 369,360 1.200%, 04/25/17.............................. 715 718,840 Canada Government International Bond 0.875%, 02/14/17.............................. 715 715,837
Face Amount^ Value+ ------- ------ (000) CANADA -- (Continued) Canadian Imperial Bank of Commerce 0.900%, 10/01/15.............................. $ 813 $ 818,299 Canadian National Railway Co. 1.450%, 12/15/16.............................. 36 36,506 Canadian Natural Resources, Ltd. 5.700%, 05/15/17.............................. 588 660,278 Encana Corp. 5.900%, 12/01/17.............................. 460 526,964 Export Development Canada 2.250%, 05/28/15.............................. 70 71,503 1.250%, 10/26/16.............................. 785 794,951 Manitoba, Province of Canada 2.625%, 07/15/15.............................. 572 587,952 Ontario, Province of Canada 4.950%, 11/28/16.............................. 715 789,143 1.100%, 10/25/17.............................. 4,000 3,972,080 1.200%, 02/14/18.............................. 1,431 1,416,362 Petro-Canada 6.050%, 05/15/18.............................. 429 495,302 Potash Corp. of Saskatchewan, Inc. 3.750%, 09/30/15.............................. 1,315 1,371,555 3.250%, 12/01/17.............................. 123 129,564 Royal Bank of Canada 2.300%, 07/20/16.............................. 393 406,540 1.450%, 09/09/16.............................. 871 883,625 2.150%, 03/15/19.............................. 1,700 1,702,016 Thomson Reuters Corp. 1.300%, 02/23/17.............................. 1,300 1,305,002 Toronto-Dominion Bank (The) 2.375%, 10/19/16.............................. 215 222,981 2.625%, 09/10/18.............................. 715 735,800 TransCanada PipeLines, Ltd. 0.875%, 03/02/15.............................. 279 280,035 3.400%, 06/01/15.............................. 429 442,078 ----------- TOTAL CANADA....................................... 20,662,492 ----------- DENMARK -- (0.2%) Kommunekredit 1.125%, 03/15/18.............................. 715 704,644 ----------- FINLAND -- (1.0%) Finland Government International Bond 2.250%, 03/17/16.............................. 501 517,734 Municipality Finance P.L.C. 2.375%, 05/16/16.............................. 1,432 1,482,936 1.125%, 04/17/18.............................. 1,789 1,758,605 ----------- TOTAL FINLAND...................................... 3,759,275 -----------
50 DFA SHORT-DURATION REAL RETURN PORTFOLIO CONTINUED
Face Amount^ Value+ ------- ------ (000) FRANCE -- (2.2%) BNP Paribas SA 3.250%, 03/11/15.............................. $ 286 $ 292,657 1.250%, 12/12/16.............................. 1,431 1,433,032 2.375%, 09/14/17.............................. 252 258,913 Caisse d'Amortissement de la Dette Sociale 2.375%, 03/31/16.............................. 358 370,432 2.125%, 04/12/17.............................. 1,059 1,090,149 Orange SA 2.125%, 09/16/15.............................. 465 472,802 2.750%, 09/14/16.............................. 1,000 1,039,149 Sanofi 1.250%, 04/10/18.............................. 744 732,887 Societe de Financement de l'Economie Francaise 3.375%, 05/05/14.............................. 143 143,000 2.875%, 09/22/14.............................. 215 217,176 Societe Generale SA 2.750%, 10/12/17.............................. 572 591,305 Total Capital International SA 2.125%, 01/10/19.............................. 781 790,441 Total Capital SA 3.125%, 10/02/15.............................. 358 371,289 ---------- TOTAL FRANCE....................................... 7,803,232 ---------- GERMANY -- (2.1%) Deutsche Bank AG 3.875%, 08/18/14.............................. 229 231,337 3.250%, 01/11/16.............................. 1,000 1,041,317 6.000%, 09/01/17.............................. 862 981,406 FMS Wertmanagement AoeR 1.000%, 11/21/17.............................. 1,789 1,772,845 KFW 2.000%, 06/01/16.............................. 72 74,154 4.875%, 01/17/17.............................. 358 396,313 1.250%, 02/15/17.............................. 1,002 1,012,614 0.875%, 09/05/17.............................. 358 355,426 Landeskreditbank Baden- Wuerttemberg Foerderbank 2.250%, 07/15/16.............................. 558 576,530 Landwirtschaftliche Rentenbank 0.875%, 09/12/17.............................. 901 892,981 ---------- TOTAL GERMANY...................................... 7,334,923 ---------- JAPAN -- (1.3%) Development Bank of Japan, Inc. 2.875%, 04/20/15.............................. 100 102,453 1.875%, 10/03/18.............................. 594 595,075 Japan Bank for International Cooperation 2.250%, 07/13/16.............................. 358 370,127 1.750%, 07/31/18.............................. 358 358,633
Face Amount^ Value+ ------- ------ (000) JAPAN -- (Continued) Nippon Telegraph & Telephone Corp. 1.400%, 07/18/17............................. $ 102 $ 102,307 Nomura Holdings, Inc. 5.000%, 03/04/15............................. 215 222,601 2.000%, 09/13/16............................. 1,528 1,548,295 Sumitomo Mitsui Banking Corp. 2.450%, 01/10/19............................. 1,173 1,186,798 ----------- TOTAL JAPAN...................................... 4,486,289 ----------- NETHERLANDS -- (3.0%) Bank Nederlandse Gemeenten 1.375%, 09/27/17............................. 1,002 1,005,066 1.375%, 03/19/18............................. 1,790 1,779,120 Cooperatieve Centrale Raiffeisen-Boerenleenbank BA 4.200%, 05/13/14............................. 429 429,343 2.125%, 10/13/15............................. 1,178 1,205,515 2.250%, 01/14/19............................. 3,356 3,370,270 Deutsche Telekom International Finance BV 4.875%, 07/08/14............................. 75 75,581 Diageo Finance BV 3.250%, 01/15/15............................. 358 365,333 Nederlandse Waterschapsbank NV 3.000%, 03/17/15............................. 215 220,080 2.125%, 06/16/16............................. 429 442,601 Shell International Finance BV 1.125%, 08/21/17............................. 358 357,208 2.000%, 11/15/18............................. 1,574 1,585,989 ----------- TOTAL NETHERLANDS................................ 10,836,106 ----------- NEW ZEALAND -- (0.9%) New Zealand Government Bond 6.000%, 12/15/17............................. NZD 3,577 3,289,533 Westpac Securities NZ, Ltd. 3.450%, 07/28/14............................. 100 100,755 ----------- TOTAL NEW ZEALAND................................ 3,390,288 ----------- NORWAY -- (1.0%) Kommunalbanken A.S. 2.375%, 01/19/16............................. 108 111,581 1.000%, 09/26/17............................. 286 283,480 1.000%, 03/15/18............................. 2,146 2,107,364 Statoil ASA 1.200%, 01/17/18............................. 168 165,690 1.150%, 05/15/18............................. 236 231,203 1.950%, 11/08/18............................. 715 717,033 ----------- TOTAL NORWAY..................................... 3,616,351 -----------
51 DFA SHORT-DURATION REAL RETURN PORTFOLIO CONTINUED
Face Amount^ Value+ ------- ------ (000) SINGAPORE -- (0.2%) Singapore Government Bond 0.500%, 04/01/18............................. SGD 715 $ 561,599 ---------- SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (1.9%) African Development Bank 1.125%, 03/15/17............................. 501 503,806 Asian Development Bank 1.125%, 03/15/17............................. 358 360,105 1.750%, 09/11/18............................. 639 644,458 Council Of Europe Development Bank 1.500%, 06/19/17............................. 930 941,774 EUROFIMA 5.250%, 04/07/16............................. 358 390,066 European Bank for Reconstruction & Development 2.750%, 04/20/15............................. 143 146,442 European Investment Bank 4.875%, 01/17/17............................. 358 396,417 1.625%, 06/15/17............................. 286 290,965 1.125%, 09/15/17............................. 215 214,637 Inter-American Development Bank 1.125%, 03/15/17............................. 59 59,564 0.875%, 03/15/18............................. 715 700,411 International Bank for Reconstruction & Development 2.375%, 05/26/15............................. 143 146,416 1.000%, 09/15/16............................. 143 144,092 0.875%, 04/17/17............................. 859 858,310 International Finance Corp. 0.875%, 06/15/18............................. 215 209,870 Nordic Investment Bank 0.750%, 01/17/18............................. 787 771,145 ---------- TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS..... 6,778,478 ---------- SWEDEN -- (0.9%) Kommuninvest I Sverige AB 1.000%, 10/24/17............................. 1,776 1,759,789 Svensk Exportkredit AB 2.125%, 07/13/16............................. 715 736,934 1.750%, 05/30/17............................. 358 365,074 Svenska Handelsbanken AB 2.500%, 01/25/19............................. 358 363,367 ---------- TOTAL SWEDEN..................................... 3,225,164 ---------- SWITZERLAND -- (0.8%) Credit Suisse New York 3.500%, 03/23/15............................. 250 256,847 Noble Holding International, Ltd. 2.500%, 03/15/17............................. 778 794,129
Face Amount^ Value+ ------- ------ (000) SWITZERLAND -- (Continued) UBS AG 3.875%, 01/15/15............................. $ 353 $ 361,427 5.875%, 12/20/17............................. 372 425,471 5.750%, 04/25/18............................. 1,000 1,145,638 ----------- TOTAL SWITZERLAND................................ 2,983,512 ----------- UNITED KINGDOM -- (6.1%) Barclays Bank P.L.C. 5.200%, 07/10/14............................. 653 658,784 2.500%, 02/20/19............................. 1,000 1,009,738 BP Capital Markets P.L.C. 3.125%, 10/01/15............................. 408 423,014 2.248%, 11/01/16............................. 1,651 1,705,887 1.846%, 05/05/17............................. 250 254,793 British Telecommunications P.L.C. 2.000%, 06/22/15............................. 874 887,322 1.250%, 02/14/17............................. 272 272,222 Diageo Capital P.L.C. 1.500%, 05/11/17............................. 890 899,910 Ensco P.L.C. 3.250%, 03/15/16............................. 1,375 1,436,465 GlaxoSmithKline Capital P.L.C. 1.500%, 05/08/17............................. 1,498 1,513,302 Lloyds Bank P.L.C. 4.875%, 01/21/16............................. 1,002 1,071,698 4.200%, 03/28/17............................. 780 844,022 Network Rail Infrastructure Finance P.L.C. 1.250%, 08/31/16............................. 329 333,333 Royal Bank of Scotland Group P.L.C. 2.550%, 09/18/15............................. 1,288 1,315,534 United Kingdom Gilt 1.000%, 09/07/17............................. GBP 3,005 5,013,923 1.250%, 07/22/18............................. GBP 1,359 2,254,343 Vodafone Group P.L.C. 5.625%, 02/27/17............................. 358 400,982 1.250%, 09/26/17............................. 1,500 1,487,466 ----------- TOTAL UNITED KINGDOM............................. 21,782,738 ----------- UNITED STATES -- (62.0%) 3M Co. 1.375%, 09/29/16............................. 715 727,936 1.000%, 06/26/17............................. 501 500,790 ABB Finance USA, Inc. 1.625%, 05/08/17............................. 189 190,396 AbbVie, Inc. 1.200%, 11/06/15............................. 358 360,970 ACE INA Holdings, Inc. 5.600%, 05/15/15............................. 255 268,067 2.600%, 11/23/15............................. 1,216 1,253,381 Actavis, Inc. 1.875%, 10/01/17............................. 1,276 1,287,005
52 DFA SHORT-DURATION REAL RETURN PORTFOLIO CONTINUED
Face Amount^ Value+ ------- ------ (000) UNITED STATES -- (Continued) Adobe Systems, Inc. 3.250%, 02/01/15.............................. $ 715 $ 729,242 Aetna, Inc. 2.200%, 03/15/19.............................. 1,340 1,340,352 Aflac, Inc. 3.450%, 08/15/15.............................. 134 139,038 2.650%, 02/15/17.............................. 1,515 1,577,636 Agilent Technologies, Inc. 6.500%, 11/01/17.............................. 907 1,040,462 Air Products & Chemicals, Inc. 2.000%, 08/02/16.............................. 919 944,187 Allergan, Inc. 5.750%, 04/01/16.............................. 40 43,367 Altria Group, Inc. 4.125%, 09/11/15.............................. 610 638,320 Amazon.com, Inc. 0.650%, 11/27/15.............................. 382 382,864 American Express Credit Corp. 2.800%, 09/19/16.............................. 1,481 1,546,736 American Honda Finance Corp. 2.125%, 10/10/18.............................. 2,196 2,220,261 American International Group, Inc. 5.600%, 10/18/16.............................. 968 1,071,274 5.850%, 01/16/18.............................. 556 634,594 Ameriprise Financial, Inc. 5.650%, 11/15/15.............................. 72 77,115 Amgen, Inc. 4.850%, 11/18/14.............................. 398 407,661 2.125%, 05/15/17.............................. 1,000 1,024,609 Anadarko Petroleum Corp. 5.950%, 09/15/16.............................. 1,355 1,510,284 Anheuser-Busch Cos., LLC 5.000%, 01/15/15.............................. 143 147,552 5.050%, 10/15/16.............................. 379 416,996 Anheuser-Busch InBev Worldwide, Inc. 1.375%, 07/15/17.............................. 1,717 1,730,504 Aon Corp. 3.500%, 09/30/15.............................. 1,715 1,779,349 Apache Corp. 5.625%, 01/15/17.............................. 527 589,181 1.750%, 04/15/17.............................. 358 363,850 Apple, Inc. 1.000%, 05/03/18.............................. 572 558,468 Applied Materials, Inc. 2.650%, 06/15/16.............................. 297 307,626 Assurant, Inc. 2.500%, 03/15/18.............................. 715 715,672 AT&T, Inc. 2.500%, 08/15/15.............................. 1,216 1,246,078 2.400%, 08/15/16.............................. 465 479,788 1.600%, 02/15/17.............................. 358 362,159 Autodesk, Inc. 1.950%, 12/15/17.............................. 75 75,565
Face Amount^ Value+ ------- ------ (000) UNITED STATES -- (Continued) AutoZone, Inc. 6.950%, 06/15/16.............................. $ 54 $ 60,351 1.300%, 01/13/17.............................. 1,035 1,033,537 Avnet, Inc. 6.000%, 09/01/15.............................. 143 152,142 Baker Hughes, Inc. 7.500%, 11/15/18.............................. 66 80,983 Bank of America Corp. 4.500%, 04/01/15.............................. 715 740,046 3.750%, 07/12/16.............................. 715 754,942 2.000%, 01/11/18.............................. 415 415,672 Bank of New York Mellon Corp. (The) 4.300%, 05/15/14.............................. 143 143,154 2.950%, 06/18/15.............................. 452 464,735 2.100%, 01/15/19.............................. 1,000 998,480 Baxter International, Inc. 1.850%, 06/15/18.............................. 1,400 1,394,819 BB&T Corp. 2.150%, 03/22/17.............................. 411 421,096 1.450%, 01/12/18.............................. 141 139,526 Beam, Inc. 1.750%, 06/15/18.............................. 1,431 1,403,379 Becton Dickinson and Co. 1.750%, 11/08/16.............................. 1,882 1,923,272 Bemis Co., Inc. 5.650%, 08/01/14.............................. 143 144,750 Berkshire Hathaway Finance Corp. 0.950%, 08/15/16.............................. 715 719,609 1.600%, 05/15/17.............................. 72 72,975 1.300%, 05/15/18.............................. 114 112,654 Berkshire Hathaway, Inc. 2.200%, 08/15/16.............................. 358 369,829 1.900%, 01/31/17.............................. 358 367,128 BlackRock, Inc. 3.500%, 12/10/14.............................. 465 474,165 Boeing Capital Corp. 2.900%, 08/15/18.............................. 546 572,324 Boston Scientific Corp. 6.400%, 06/15/16.............................. 72 79,758 Branch Banking & Trust Co. 2.300%, 10/15/18.............................. 1,073 1,085,757 Bristol-Myers Squibb Co. 1.750%, 03/01/19.............................. 1,500 1,480,518 Brown-Forman Corp. 1.000%, 01/15/18.............................. 495 481,704 Buckeye Partners L.P. 2.650%, 11/15/18.............................. 261 259,521 Campbell Soup Co. 3.050%, 07/15/17.............................. 1,500 1,574,466 Capital One Financial Corp. 7.375%, 05/23/14.............................. 787 789,738 2.150%, 03/23/15.............................. 214 217,166 2.450%, 04/24/19.............................. 900 901,906
53 DFA SHORT-DURATION REAL RETURN PORTFOLIO CONTINUED
Face Amount^ Value+ ------- ------ (000) UNITED STATES -- (Continued) Cardinal Health, Inc. 1.700%, 03/15/18.............................. $ 1,919 $1,905,901 Caterpillar Financial Services Corp. 4.750%, 02/17/15.............................. 250 258,829 2.650%, 04/01/16.............................. 572 593,027 1.000%, 11/25/16.............................. 715 717,989 2.450%, 09/06/18.............................. 545 557,781 CBS Corp. 1.950%, 07/01/17.............................. 621 631,435 Celgene Corp. 2.450%, 10/15/15.............................. 297 303,745 CenterPoint Energy Resources Corp. 6.125%, 11/01/17.............................. 39 44,504 CF Industries, Inc. 6.875%, 05/01/18.............................. 913 1,073,849 Charles Schwab Corp. (The) 2.200%, 07/25/18.............................. 372 376,956 Chevron Corp. 1.104%, 12/05/17.............................. 383 380,599 1.718%, 06/24/18.............................. 1,907 1,911,022 Cigna Corp. 2.750%, 11/15/16.............................. 739 771,308 Citigroup, Inc. 4.450%, 01/10/17.............................. 501 541,144 6.000%, 08/15/17.............................. 501 567,608 2.500%, 09/26/18.............................. 501 506,332 Coca-Cola Co. (The) 1.500%, 11/15/15.............................. 381 386,707 1.650%, 11/01/18.............................. 1,488 1,485,826 Colgate-Palmolive Co. 1.500%, 11/01/18.............................. 393 387,370 Comcast Corp. 6.500%, 01/15/17.............................. 1,122 1,282,283 6.300%, 11/15/17.............................. 286 333,174 5.700%, 05/15/18.............................. 501 576,711 Comerica, Inc. 3.000%, 09/16/15.............................. 143 147,507 Computer Sciences Corp. 6.500%, 03/15/18.............................. 669 771,847 ConAgra Foods, Inc. 1.900%, 01/25/18.............................. 1,471 1,466,050 ConocoPhillips Co. 1.050%, 12/15/17.............................. 1,334 1,319,773 Constellation Energy Group, Inc. 4.550%, 06/15/15.............................. 695 723,812 Costco Wholesale Corp. 1.125%, 12/15/17.............................. 1,216 1,207,085 CR Bard, Inc. 1.375%, 01/15/18.............................. 277 272,282 Crane Co. 2.750%, 12/15/18.............................. 608 616,326 Credit Suisse USA, Inc. 4.875%, 01/15/15.............................. 286 294,880
Face Amount^ Value+ ------- ------ (000) UNITED STATES -- (Continued) CVS Caremark Corp. 3.250%, 05/18/15.............................. $ 360 $ 369,519 5.750%, 06/01/17.............................. 35 39,615 Daimler Finance North America LLC 1.450%, 08/01/16.............................. 1,500 1,514,091 Devon Energy Corp. 1.200%, 12/15/16.............................. 2,000 2,006,964 Diamond Offshore Drilling, Inc. 4.875%, 07/01/15.............................. 111 116,291 DIRECTV Holdings LLC / DIRECTV Financing Co., Inc. 3.550%, 03/15/15.............................. 644 660,378 Discovery Communications LLC 3.700%, 06/01/15.............................. 2,000 2,070,006 Dollar General Corp. 1.875%, 04/15/18.............................. 921 913,746 Dominion Resources, Inc. 1.950%, 08/15/16.............................. 1,073 1,096,765 6.000%, 11/30/17.............................. 140 160,586 Dover Corp. 4.875%, 10/15/15.............................. 429 455,436 Dow Chemical Co. (The) 2.500%, 02/15/16.............................. 1,297 1,333,872 Dr. Pepper Snapple Group, Inc. 2.900%, 01/15/16.............................. 861 891,152 Duke Energy Corp. 3.350%, 04/01/15.............................. 159 163,112 1.625%, 08/15/17.............................. 794 801,138 Eastman Chemical Co. 3.000%, 12/15/15.............................. 317 327,031 2.400%, 06/01/17.............................. 608 621,537 eBay, Inc. 1.625%, 10/15/15.............................. 165 167,754 1.350%, 07/15/17.............................. 123 123,254 Ecolab, Inc. 1.000%, 08/09/15.............................. 715 718,368 Edwards Lifesciences Corp. 2.875%, 10/15/18.............................. 1,000 1,012,980 EI du Pont de Nemours & Co. 3.250%, 01/15/15.............................. 429 437,728 6.000%, 07/15/18.............................. 708 827,784 EMC Corp. 1.875%, 06/01/18.............................. 1,767 1,774,672 Enbridge Energy Partners L.P. 5.875%, 12/15/16.............................. 72 80,144 Energy Transfer Partners L.P. 5.950%, 02/01/15.............................. 1,325 1,375,007 Enterprise Products Operating LLC 5.000%, 03/01/15.............................. 72 74,676 1.250%, 08/13/15.............................. 215 216,373 3.200%, 02/01/16.............................. 358 372,841
54 DFA SHORT-DURATION REAL RETURN PORTFOLIO CONTINUED
Face Amount^ Value+ ------- ------ (000) UNITED STATES -- (Continued) EOG Resources, Inc. 2.950%, 06/01/15.............................. $ 358 $ 367,350 2.500%, 02/01/16.............................. 182 187,349 5.875%, 09/15/17.............................. 705 800,410 Exelon Corp. 4.900%, 06/15/15.............................. 966 1,008,677 Express Scripts Holding Co. 3.125%, 05/15/16.............................. 1,930 2,022,698 Exxon Mobil Corp. 1.819%, 03/15/19.............................. 5,472 5,470,720 Fifth Third Bancorp 3.625%, 01/25/16.............................. 1,051 1,100,668 FMC Technologies, Inc. 2.000%, 10/01/17.............................. 1,120 1,127,969 Ford Motor Credit Co. LLC 5.000%, 05/15/18.............................. 1,524 1,691,716 Freeport-McMoRan Copper & Gold, Inc. 2.150%, 03/01/17.............................. 299 303,488 GATX Corp. 1.250%, 03/04/17.............................. 1,500 1,492,797 General Dynamics Corp. 1.000%, 11/15/17.............................. 551 541,502 General Electric Capital Corp. 3.750%, 11/14/14.............................. 215 218,971 2.250%, 11/09/15.............................. 143 146,731 2.950%, 05/09/16.............................. 286 297,401 Genworth Holdings, Inc. 6.515%, 05/22/18.............................. 34 39,303 Georgia Power Co. 0.750%, 08/10/15.............................. 1,028 1,030,917 5.250%, 12/15/15.............................. 217 232,555 Goldman Sachs Group, Inc. (The) 5.125%, 01/15/15.............................. 422 435,166 3.625%, 02/07/16.............................. 1,073 1,121,992 6.250%, 09/01/17.............................. 71 81,134 Google, Inc. 2.125%, 05/19/16.............................. 1,052 1,086,323 Halliburton Co. 1.000%, 08/01/16.............................. 651 655,278 Hartford Financial Services Group, Inc. (The) 4.000%, 03/30/15.............................. 143 147,370 Hershey Co. (The) 4.850%, 08/15/15.............................. 36 38,014 1.500%, 11/01/16.............................. 358 364,036 Hewlett-Packard Co. 2.200%, 12/01/15.............................. 1,379 1,409,879 2.600%, 09/15/17.............................. 72 74,410 5.500%, 03/01/18.............................. 358 405,232 2.750%, 01/14/19.............................. 340 345,488 Hillshire Brands Co. (The) 2.750%, 09/15/15.............................. 72 73,853 Home Depot, Inc. (The) 5.400%, 03/01/16.............................. 64 69,553
Face Amount^ Value+ ------- ------ (000) UNITED STATES -- (Continued) HSBC Finance Corp. 5.500%, 01/19/16.............................. $ 143 $ 154,019 HSBC USA, Inc. 1.625%, 01/16/18.............................. 1,130 1,126,809 Huntington Bancshares, Inc. 2.600%, 08/02/18.............................. 1,043 1,051,862 Intel Corp. 1.950%, 10/01/16.............................. 859 883,436 International Business Machines Corp. 1.250%, 02/08/18.............................. 100 99,003 1.950%, 02/12/19.............................. 537 533,986 Intuit, Inc. 5.750%, 03/15/17.............................. 1,300 1,455,947 Jefferies Group LLC 5.125%, 04/13/18.............................. 134 146,252 John Deere Capital Corp. 2.000%, 01/13/17.............................. 472 485,461 1.200%, 10/10/17.............................. 1,074 1,070,637 Johnson & Johnson 2.150%, 05/15/16.............................. 143 147,419 Johnson Controls, Inc. 5.500%, 01/15/16.............................. 450 484,611 2.600%, 12/01/16.............................. 401 416,064 JPMorgan Chase & Co. 4.650%, 06/01/14.............................. 429 430,369 3.400%, 06/24/15.............................. 179 184,512 3.150%, 07/05/16.............................. 859 898,209 2.000%, 08/15/17.............................. 125 126,856 2.350%, 01/28/19.............................. 1,000 1,002,484 Kellogg Co. 1.875%, 11/17/16.............................. 371 379,435 1.750%, 05/17/17.............................. 314 317,406 KeyBank NA 1.100%, 11/25/16.............................. 859 861,422 KeyCorp 3.750%, 08/13/15.............................. 1,275 1,324,086 Kinder Morgan Energy Partners L.P. 3.500%, 03/01/16.............................. 787 821,785 Kohl's Corp. 6.250%, 12/15/17.............................. 358 413,945 Kraft Foods Group, Inc. 1.625%, 06/04/15.............................. 838 847,743 Kroger Co. (The) 1.200%, 10/17/16.............................. 480 480,643 6.400%, 08/15/17.............................. 1,170 1,346,436 Laboratory Corp. of America Holdings 2.200%, 08/23/17.............................. 1,633 1,658,891 Lockheed Martin Corp. 2.125%, 09/15/16.............................. 95 97,613 Loews Corp. 5.250%, 03/15/16.............................. 143 154,580
55 DFA SHORT-DURATION REAL RETURN PORTFOLIO CONTINUED
Face Amount^ Value+ ------- ------ (000) UNITED STATES -- (Continued) Lorillard Tobacco Co. 2.300%, 08/21/17.............................. $ 1,797 $1,834,079 Lowe's Cos., Inc. 5.000%, 10/15/15.............................. 715 760,022 Marathon Oil Corp. 0.900%, 11/01/15.............................. 1,274 1,277,686 Marsh & McLennan Cos., Inc. 5.750%, 09/15/15.............................. 62 66,046 2.300%, 04/01/17.............................. 650 663,346 MasterCard, Inc. 2.000%, 04/01/19.............................. 1,550 1,548,266 McDonald's Corp. 5.350%, 03/01/18.............................. 286 324,081 McKesson Corp. 1.400%, 03/15/18.............................. 740 726,448 Medtronic, Inc. 3.000%, 03/15/15.............................. 465 476,015 Merck Sharp & Dohme Corp. 4.750%, 03/01/15.............................. 215 222,842 MetLife, Inc. 5.500%, 06/15/14.............................. 149 149,868 5.000%, 06/15/15.............................. 358 376,096 Microsoft Corp. 2.500%, 02/08/16.............................. 787 815,443 Molson Coors Brewing Co. 2.000%, 05/01/17.............................. 70 71,074 Monsanto Co. 1.850%, 11/15/18.............................. 2,155 2,143,484 Morgan Stanley 3.800%, 04/29/16.............................. 100 105,233 4.750%, 03/22/17.............................. 1,829 1,995,207 Motorola Solutions, Inc. 6.000%, 11/15/17.............................. 72 82,123 Murphy Oil Corp. 2.500%, 12/01/17.............................. 286 292,660 Mylan, Inc. 2.550%, 03/28/19.............................. 811 813,447 NASDAQ OMX Group, Inc. (The) 4.000%, 01/15/15.............................. 386 394,249 National City Corp. 4.900%, 01/15/15.............................. 807 831,912 NetApp, Inc. 2.000%, 12/15/17.............................. 715 726,416 Newell Rubbermaid, Inc. 6.250%, 04/15/18.............................. 930 1,058,934 NextEra Energy Capital Holdings, Inc. 2.600%, 09/01/15.............................. 1,073 1,100,148 Nisource Finance Corp. 6.400%, 03/15/18.............................. 215 247,693 Novartis Capital Corp. 2.900%, 04/24/15.............................. 157 161,102 Nucor Corp. 5.750%, 12/01/17.............................. 172 194,296
Face Amount^ Value+ ------- ------ (000) UNITED STATES -- (Continued) NYSE Euronext 2.000%, 10/05/17.............................. $ 1,350 $1,372,685 Occidental Petroleum Corp. 2.500%, 02/01/16.............................. 384 395,827 1.750%, 02/15/17.............................. 705 716,848 Ohio Power Co. 6.000%, 06/01/16.............................. 143 157,893 Omnicom Group, Inc. 5.900%, 04/15/16.............................. 707 773,047 ONEOK Partners L.P. 6.150%, 10/01/16.............................. 836 938,831 Oracle Corp. 5.250%, 01/15/16.............................. 286 308,514 1.200%, 10/15/17.............................. 1,665 1,658,094 PACCAR Financial Corp. 0.750%, 08/14/15.............................. 715 716,865 1.600%, 03/15/17.............................. 33 33,348 PepsiCo, Inc. 3.100%, 01/15/15.............................. 62 63,210 0.750%, 03/05/15.............................. 114 114,451 5.000%, 06/01/18.............................. 670 754,827 2.250%, 01/07/19.............................. 1,000 1,009,416 Pfizer, Inc. 1.500%, 06/15/18.............................. 1,252 1,236,981 Philip Morris International, Inc. 2.500%, 05/16/16.............................. 1,000 1,038,199 1.625%, 03/20/17.............................. 358 364,186 Plains All American Pipeline L.P. / PAA Finance Corp. 6.500%, 05/01/18.............................. 225 263,973 PNC Funding Corp. 5.400%, 06/10/14.............................. 36 36,178 2.700%, 09/19/16.............................. 1,000 1,039,429 PPG Industries, Inc. 1.900%, 01/15/16.............................. 275 279,966 PPL Energy Supply LLC 5.400%, 08/15/14.............................. 64 64,872 Praxair, Inc. 1.250%, 11/07/18.............................. 888 861,541 Precision Castparts Corp. 0.700%, 12/20/15.............................. 2,000 2,002,764 Procter & Gamble Co. (The) 1.800%, 11/15/15.............................. 358 365,161 Progress Energy, Inc. 5.625%, 01/15/16.............................. 143 154,425 Prudential Financial, Inc. 5.100%, 09/20/14.............................. 169 172,017 3.000%, 05/12/16.............................. 1,294 1,348,939 Quest Diagnostics, Inc. 5.450%, 11/01/15.............................. 72 76,741 3.200%, 04/01/16.............................. 1,343 1,396,954 Questar Corp. 2.750%, 02/01/16.............................. 672 692,637 Qwest Corp. 7.500%, 10/01/14.............................. 390 400,036 6.500%, 06/01/17.............................. 72 81,414
56 DFA SHORT-DURATION REAL RETURN PORTFOLIO CONTINUED
Face Amount^ Value+ ------- ------ (000) UNITED STATES -- (Continued) Raymond James Financial, Inc. 4.250%, 04/15/16.............................. $ 1,000 $1,060,344 Raytheon Co. 6.750%, 03/15/18.............................. 293 344,172 Republic Services, Inc. 3.800%, 05/15/18.............................. 388 413,440 Roper Industries, Inc. 2.050%, 10/01/18.............................. 135 134,638 Ryder System, Inc. 2.500%, 03/01/18.............................. 250 254,173 Safeway, Inc. 5.625%, 08/15/14.............................. 72 72,987 3.400%, 12/01/16.............................. 735 772,306 Sempra Energy 6.500%, 06/01/16.............................. 921 1,021,314 Southern Power Co. 4.875%, 07/15/15.............................. 143 149,852 Southwest Airlines Co. 5.250%, 10/01/14.............................. 215 218,896 Spectra Energy Capital LLC 5.668%, 08/15/14.............................. 107 108,452 Starbucks Corp. 0.875%, 12/05/16.............................. 752 750,289 2.000%, 12/05/18.............................. 1,183 1,183,306 Starwood Hotels & Resorts Worldwide, Inc. 6.750%, 05/15/18.............................. 367 431,584 State Street Corp. 4.300%, 05/30/14.............................. 393 394,072 2.875%, 03/07/16.............................. 429 446,705 Stryker Corp. 1.300%, 04/01/18.............................. 1,500 1,471,612 SunTrust Banks, Inc. 3.600%, 04/15/16.............................. 715 751,213 Symantec Corp. 2.750%, 06/15/17.............................. 358 367,087 Target Corp. 6.000%, 01/15/18.............................. 1,400 1,619,330 TD Ameritrade Holding Corp. 4.150%, 12/01/14.............................. 613 625,924 Tech Data Corp. 3.750%, 09/21/17.............................. 358 373,069 Texas Instruments, Inc. 2.375%, 05/16/16.............................. 662 685,757 Thermo Fisher Scientific, Inc. 3.200%, 05/01/15.............................. 93 95,274 1.850%, 01/15/18.............................. 666 667,798 Time Warner, Inc. 5.875%, 11/15/16.............................. 893 998,908 TJX Cos., Inc. (The) 4.200%, 08/15/15.............................. 113 118,119 Toyota Motor Credit Corp. 2.800%, 01/11/16.............................. 751 779,087 2.000%, 09/15/16.............................. 358 368,160 2.100%, 01/17/19.............................. 572 575,471
Face Amount^ Value+ ------- ------ (000) UNITED STATES -- (Continued) Transatlantic Holdings, Inc. 5.750%, 12/14/15.............................. $ 100 $ 107,468 Travelers Cos., Inc. (The) 5.500%, 12/01/15.............................. 608 654,304 Unilever Capital Corp. 2.750%, 02/10/16.............................. 650 675,694 2.200%, 03/06/19.............................. 1,000 1,004,384 Union Bank NA 3.000%, 06/06/16.............................. 1,996 2,083,934 Union Pacific Corp. 2.250%, 02/15/19.............................. 1,400 1,409,849 United Technologies Corp. 4.875%, 05/01/15.............................. 64 66,795 1.800%, 06/01/17.............................. 1,006 1,024,042 UnitedHealth Group, Inc. 5.000%, 08/15/14.............................. 243 246,089 6.000%, 06/15/17.............................. 200 228,412 1.400%, 10/15/17.............................. 1,444 1,444,310 Unum Group 7.125%, 09/30/16.............................. 673 766,217 US Bancorp 4.200%, 05/15/14.............................. 503 503,661 3.150%, 03/04/15.............................. 215 220,210 1.950%, 11/15/18.............................. 1,000 999,397 Valero Energy Corp. 6.125%, 06/15/17.............................. 251 286,948 Verizon Communications, Inc. 2.000%, 11/01/16.............................. 1,245 1,275,394 Viacom, Inc. 1.250%, 02/27/15.............................. 165 166,129 6.250%, 04/30/16.............................. 358 396,261 2.500%, 12/15/16.............................. 572 592,339 Wal-Mart Stores, Inc. 0.600%, 04/11/16.............................. 215 215,643 2.800%, 04/15/16.............................. 572 597,830 5.375%, 04/05/17.............................. 448 505,532 1.950%, 12/15/18.............................. 490 492,497 Walgreen Co. 1.000%, 03/13/15.............................. 990 994,521 1.800%, 09/15/17.............................. 644 650,866 5.250%, 01/15/19.............................. 34 38,626 Walt Disney Co. (The) 1.125%, 02/15/17.............................. 1,214 1,220,355 Waste Management, Inc. 2.600%, 09/01/16.............................. 1,465 1,519,888 WellPoint, Inc. 1.250%, 09/10/15.............................. 2,000 2,016,218 5.875%, 06/15/17.............................. 117 131,612 Wells Fargo & Co. 1.500%, 07/01/15.............................. 501 506,565 2.625%, 12/15/16.............................. 762 794,548 2.100%, 05/08/17.............................. 552 565,917 Western Union Co. (The) 5.930%, 10/01/16.............................. 566 624,811 Whirlpool Corp. 7.750%, 07/15/16.............................. 358 408,086 Williams Partners L.P. 3.800%, 02/15/15.............................. 237 242,736
57 DFA SHORT-DURATION REAL RETURN PORTFOLIO CONTINUED
Face Amount^ Value+ ------- ------ (000) UNITED STATES -- (Continued) Wyndham Worldwide Corp. 2.500%, 03/01/18.............................. $ 743 $ 749,516 Xerox Corp. 4.250%, 02/15/15.............................. 710 730,670 Yum! Brands, Inc. 6.250%, 04/15/16.............................. 647 708,759 6.250%, 03/15/18.............................. 58 66,107 ------------ TOTAL UNITED STATES................................ 220,981,754 ------------ TOTAL BONDS........................................ 332,170,955 ------------ AGENCY OBLIGATIONS -- (4.0%) Federal Farm Credit Bank 4.875%, 12/16/15.............................. 138 148,231 Federal Home Loan Bank 0.500%, 11/20/15.............................. 645 647,681 4.875%, 05/17/17.............................. 1,180 1,319,768 Federal Home Loan Mortgage Corporation 5.125%, 10/18/16.............................. 358 397,128 5.000%, 04/18/17.............................. 1,002 1,123,412 1.250%, 05/12/17.............................. 358 361,561
Face Amount^ Value+ ------- ------ (000) 1.000%, 07/28/17............................. $ 429 $ 428,295 1.000%, 09/29/17............................. 66 65,727 3.750%, 03/27/19............................. 2,000 2,189,052 Federal National Mortgage Association 4.875%, 12/15/16............................. 1,073 1,188,908 1.250%, 01/30/17............................. 358 362,314 5.000%, 02/13/17............................. 358 398,905 0.750%, 04/20/17............................. 4,000 3,979,328 1.875%, 09/18/18............................. 715 722,666 Tennessee Valley Authority 1.750%, 10/15/18............................. 715 717,930 ------------ TOTAL AGENCY OBLIGATIONS.......................... 14,050,906 ------------ U.S. TREASURY OBLIGATIONS -- (2.9%) Treasury Inflation Protected Security ^^^ 0.125%, 04/15/17............................. 9,800 10,446,478 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $355,647,625)............................. $356,668,339 ============
Summary of the Portfolio's investments as of April 30, 2014, 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.............................. -- $ 11,069,833 -- $ 11,069,833 Austria................................ -- 2,048,416 -- 2,048,416 Belgium................................ -- 145,861 -- 145,861 Canada................................. -- 20,662,492 -- 20,662,492 Denmark................................ -- 704,644 -- 704,644 Finland................................ -- 3,759,275 -- 3,759,275 France................................. -- 7,803,232 -- 7,803,232 Germany................................ -- 7,334,923 -- 7,334,923 Japan.................................. -- 4,486,289 -- 4,486,289 Netherlands............................ -- 10,836,106 -- 10,836,106 New Zealand............................ -- 3,390,288 -- 3,390,288 Norway................................. -- 3,616,351 -- 3,616,351 Singapore.............................. -- 561,599 -- 561,599 Supranational Organization Obligations. -- 6,778,478 -- 6,778,478 Sweden................................. -- 3,225,164 -- 3,225,164 Switzerland............................ -- 2,983,512 -- 2,983,512 United Kingdom......................... -- 21,782,738 -- 21,782,738 United States.......................... -- 220,981,754 -- 220,981,754 Agency Obligations....................... -- 14,050,906 -- 14,050,906 U.S. Treasury Obligations................ -- 10,446,478 -- 10,446,478 Swap Agreements**........................ -- 682,687 -- 682,687 Forward Currency Contracts**............. -- (75,874) -- (75,874) -- ------------ -- ------------ TOTAL.................................... -- $357,275,152 -- $357,275,152 == ============ == ============
**Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note G) See accompanying Notes to Financial Statements. 58 DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2014 (Unaudited)
Face Amount Value+ ------ ------ (000) MUNICIPAL BONDS -- (99.9%) ALABAMA -- (0.7%) Alabama State (GO) Series A 5.000%, 08/01/19............................. $4,500 $ 5,330,475 Alabama Water Pollution Control Authority (RB) Series B 2.000%, 08/15/14............................. 5,255 5,281,958 City of Birmingham (GO) Series A (NATL-RE) 5.000%, 04/01/16............................. 2,800 3,045,924 ----------- TOTAL ALABAMA.................................... 13,658,357 ----------- ALASKA -- (0.2%) City of Anchorage (GO) Series B (NATL-RE) 5.000%, 12/01/14............................. 3,440 3,535,391 ----------- ARIZONA -- (2.8%) Arizona School Facilities Board (RB) 5.000%, 01/01/15............................. 1,125 1,160,888 Arizona State Transportation Board (RB) 5.000%, 07/01/14............................. 4,815 4,853,327 5.000%, 07/01/17............................. 2,105 2,389,112 5.000%, 07/01/18............................. 5,050 5,867,898 City of Phoenix (GO) Series A 5.000%, 07/01/14............................. 7,975 8,039,199 5.000%, 07/01/15............................. 1,250 1,319,362 City of Scottsdale (GO) 5.000%, 07/01/14............................. 2,500 2,520,175 Maricopa County Community College District (GO) 3.000%, 07/01/20............................. 6,505 6,985,329 Phoenix Civic Improvement Corp. (RB) (AMBAC) 5.000%, 07/01/14............................. 4,000 4,030,160 Pima County (GO) 3.000%, 07/01/16............................. 1,625 1,712,701 Salt River Project Agricultural Improvement & Power District (RB) Series A 5.000%, 01/01/15............................. 4,430 4,571,007 Salt River Project Agricultural Improvement & Power District (RB) Series B 4.000%, 12/01/14............................. 3,190 3,260,595 4.000%, 01/01/16............................. 5,000 5,301,000 Town of Gilbert (GO) 5.000%, 07/01/14............................. 3,600 3,628,980 ----------- TOTAL ARIZONA.................................... 55,639,733 -----------
Face Amount Value+ ------ ------ (000) ARKANSAS -- (0.8%) Arkansas State (GO) 5.000%, 04/01/18............................. $ 6,890 $ 7,951,542 5.000%, 04/01/19............................. 7,240 8,524,087 ----------- TOTAL ARKANSAS................................... 16,475,629 ----------- COLORADO -- (4.0%) City & County of Denver (GO) Series A 5.000%, 08/01/18............................. 6,200 7,184,684 5.000%, 08/01/20............................. 4,920 5,880,335 City of Aurora (GO) 5.000%, 12/01/14............................. 4,515 4,640,743 Colorado State Education Loan Program (RN) Series A 1.250%, 06/27/14............................. 25,000 25,045,500 Denver City & County School District No. 1 (GO) Series B (ST AID WITHHLDG) 4.000%, 12/01/18............................. 1,185 1,326,572 State of Colorado (RN) Series A 1.500%, 06/27/14............................. 35,000 35,074,900 ----------- TOTAL COLORADO................................... 79,152,734 ----------- CONNECTICUT -- (3.5%) City of Danbury (GO) 1.500%, 07/25/14............................. 30,000 30,097,800 Connecticut State (GO) Series A 5.000%, 10/15/19............................. 5,350 6,310,057 Connecticut State (GO) Series C 5.000%, 12/01/15............................. 4,000 4,299,240 5.000%, 06/01/18............................. 9,980 11,517,120 Connecticut State Special Tax Revenue (RB) 5.000%, 01/01/19............................. 11,000 12,757,030 Hartford County Metropolitan District (GO) Series A 4.000%, 07/15/15............................. 3,900 4,077,177 ----------- TOTAL CONNECTICUT................................ 69,058,424 ----------- DELAWARE -- (1.8%) City of Wilmington (GO) Series A 5.000%, 12/01/14............................. 2,625 2,697,949 Delaware State (GO) 5.000%, 07/01/19............................. 5,000 5,930,500 5.000%, 08/01/19............................. 5,745 6,821,268 Delaware State (GO) Series A 4.000%, 08/01/17............................. 5,100 5,648,403 Delaware State (GO) Series C 5.000%, 03/01/18............................. 5,265 6,074,178
59 DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO CONTINUED
Face Amount Value+ ------ ------ (000) DELAWARE -- (Continued) Delaware Transportation Authority (RB) Series A 5.000%, 07/01/15............................. $ 3,480 $ 3,672,687 5.000%, 07/01/15............................. 4,270 4,506,430 ----------- TOTAL DELAWARE................................... 35,351,415 ----------- DISTRICT OF COLUMBIA -- (2.6%) District of Columbia (GO) 2.000%, 09/30/14............................. 50,000 50,390,500 ----------- FLORIDA -- (3.9%) Florida State (GO) 5.000%, 07/01/15............................. 7,310 7,715,632 Florida State (GO) Series A 5.000%, 06/01/20............................. 2,000 2,380,500 Florida State Board of Education (GO) 5.000%, 06/01/19............................. 19,310 22,753,939 5.000%, 06/01/19............................. 10,000 11,783,500 Florida State Board of Education (GO) Series B 5.000%, 06/01/16............................. 2,500 2,737,075 5.000%, 06/01/17............................. 9,700 10,965,462 Florida State Board of Education (GO) Series C 5.000%, 06/01/15............................. 6,440 6,773,077 Florida's Turnpike Enterprise (RB) Series B 5.000%, 07/01/16............................. 10,180 11,209,503 ----------- TOTAL FLORIDA.................................... 76,318,688 ----------- GEORGIA -- (2.9%) Athens-Clarke County Unified Government Water & Sewerage Revenue (RB) 5.000%, 01/01/17............................. 1,100 1,222,067 City of Albany (GO) 3.000%, 06/01/17............................. 2,220 2,355,376 De Kalb County School District (GO) (ST AID WITHHLDG) 4.000%, 11/01/17............................. 8,575 9,473,574 Georgia State (GO) Series A 5.000%, 07/01/19............................. 7,350 8,717,835 Georgia State (GO) Series D 5.000%, 02/01/19............................. 7,970 9,377,103 Georgia State (GO) Series E-1 4.500%, 07/01/19............................. 6,890 8,000,806 Georgia State (GO) Series I 5.000%, 07/01/19............................. 14,395 17,073,909 Georgia State Road & Tollway Authority (RB) Series A 5.000%, 06/01/16............................. 255 278,514 5.000%, 06/01/17............................. 1,000 1,126,230 ----------- TOTAL GEORGIA.................................... 57,625,414 -----------
Face Amount Value+ ------ ------ (000) HAWAII -- (3.0%) City & County of Honolulu (GO) Series B (FSA) (AGM) 5.250%, 07/01/15............................. $ 4,220 $ 4,466,364 Hawaii State (GO) Series DG (AMBAC) 5.000%, 07/01/15............................. 15,945 16,827,875 Hawaii State (GO) Series DK 5.000%, 05/01/16............................. 7,000 7,634,340 Hawaii State (GO) Series DR 5.000%, 06/01/19............................. 9,725 11,448,951 Hawaii State (GO) Series DT 4.000%, 11/01/14............................. 4,950 5,043,604 Hawaii State (GO) Series EE 5.000%, 11/01/18............................. 11,495 13,409,262 ----------- TOTAL HAWAII..................................... 58,830,396 ----------- ILLINOIS -- (0.7%) Central Lake County Joint Action Water Agency (RB) 4.000%, 05/01/18............................. 6,195 6,840,581 City of Peoria (GO) Series D 4.000%, 01/01/17............................. 1,620 1,742,164 Du Page Cook & Will Counties Community College District No. 502 (GO) 5.000%, 06/01/16............................. 5,000 5,461,050 ----------- TOTAL ILLINOIS................................... 14,043,795 ----------- IOWA -- (0.2%) State of Iowa (RB) Series A 5.000%, 06/01/18............................. 4,185 4,813,336 ----------- KENTUCKY -- (0.5%) Kentucky State Asset Liability Commission (RB) Series A (AMBAC) 5.000%, 10/01/16............................. 500 552,840 Louisville & Jefferson County Metropolitan Sewer District (RB) Series B 5.000%, 05/15/15............................. 9,415 9,873,793 ----------- TOTAL KENTUCKY................................... 10,426,633 ----------- LOUISIANA -- (0.3%) Louisiana State (GO) Series A 5.000%, 02/01/18............................. 4,000 4,592,040 Saint Tammany Parish Wide School District No.12 (GO) (ASSURED GTY) 5.000%, 03/01/16............................. 930 1,007,413 ----------- TOTAL LOUISIANA.................................. 5,599,453 -----------
60 DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO CONTINUED
Face Amount Value+ ------ ------ (000) MARYLAND -- (6.0%) Cecil County (GO) 3.000%, 06/01/14............................. $ 1,110 $ 1,112,631 Maryland State (GO) 5.000%, 03/01/19............................. 4,800 5,642,208 Maryland State (GO) Series A 5.000%, 03/01/16............................. 3,900 4,230,603 5.000%, 08/01/19............................. 20,000 23,691,000 Maryland State (GO) Series B 5.000%, 08/01/19............................. 11,500 13,622,325 Maryland State (GO) Series C 5.000%, 03/01/16............................. 1,000 1,084,770 5.000%, 11/01/18............................. 8,905 10,426,330 Montgomery County (GO) Series A 5.000%, 11/01/14............................. 10,750 11,006,817 Prince George's County (GO) Series B 4.000%, 03/01/19............................. 9,575 10,789,014 4.000%, 03/01/20............................. 7,230 8,190,867 Prince George's County (GO) Series C 5.000%, 08/01/18............................. 10,075 11,720,550 University System of Maryland (RB) Series D 3.000%, 04/01/15............................. 2,200 2,256,518 Washington County Suburban Sanitation District (GO) 3.000%, 06/01/14............................. 15,000 15,036,000 ------------ TOTAL MARYLAND................................... 118,809,633 ------------ MASSACHUSETTS -- (3.0%) City of Boston (GO) 5.000%, 03/01/18............................. 3,960 4,562,157 Commonwealth of Massachusetts (GO) Series A 5.000%, 08/01/14............................. 4,800 4,856,064 Commonwealth of Massachusetts (GO) Series C (GO OF CMNWLTH) 5.500%, 11/01/15............................. 2,200 2,372,216 Commonwealth of Massachusetts (GO) Series C (NATL-RE FGIC GO OF CMNWLTH) 5.500%, 11/01/14............................. 5,000 5,131,450 Commonwealth of Massachusetts (GO) Series D 5.500%, 11/01/14............................. 4,585 4,705,540 Commonwealth of Massachusetts (GO) Series E 5.000%, 12/01/17............................. 15,000 17,202,750 Massachusetts Water Resources Authority (RB) Series J (AGM GO OF AUTH) 5.250%, 08/01/18............................. 18,000 21,085,200 ------------ TOTAL MASSACHUSETTS.............................. 59,915,377 ------------
Face Amount Value+ ------ ------ (000) MICHIGAN -- (1.0%) Chippewa Valley Schools (GO) (Q- SBLF) 5.000%, 05/01/17............................. $ 1,000 $ 1,120,960 Michigan Finance Authority (RB) 5.000%, 07/01/16............................. 2,590 2,845,452 5.000%, 07/01/18............................. 2,250 2,621,407 Michigan State (GO) 5.000%, 11/01/19............................. 10,700 12,616,691 ----------- TOTAL MICHIGAN................................... 19,204,510 ----------- MINNESOTA -- (4.5%) Chaska Independent School District No. 112 (GO) Series A (SD CRED PROG) 4.000%, 02/01/15............................. 5,740 5,902,672 City of Minneapolis (GO) 3.000%, 12/01/15............................. 8,700 9,076,536 2.000%, 12/01/18............................. 5,085 5,251,635 City of Minneapolis (GO) Series B 4.000%, 12/01/15............................. 8,830 9,350,705 Minnesota State (GO) 5.000%, 08/01/14............................. 2,000 2,023,260 Minnesota State (GO) Series A 5.000%, 08/01/17............................. 13,665 15,543,391 Minnesota State (GO) Series B 5.000%, 08/01/19............................. 4,000 4,742,640 Minnesota State (GO) Series F 5.000%, 10/01/17............................. 12,000 13,720,320 Minnesota State (GO) Series H 5.000%, 11/01/14............................. 15,000 15,357,600 5.000%, 11/01/15............................. 5,000 5,354,300 Washington County (GO) Series A 5.000%, 02/01/15............................. 3,275 3,388,512 ----------- TOTAL MINNESOTA.................................. 89,711,571 ----------- MISSISSIPPI -- (0.3%) Mississippi State (GO) Series A 5.000%, 10/01/14............................. 4,750 4,843,955 ----------- NEBRASKA -- (0.3%) University of Nebraska Facilities Corp. (RB) 5.000%, 07/15/16............................. 5,220 5,728,376 ----------- NEVADA -- (1.0%) Clark County (GO) 5.000%, 11/01/16............................. 7,425 8,182,276 Clark County School District (GO) Series B (AMBAC) 4.500%, 06/15/17............................. 5,770 6,381,447 Clark County School District (GO) Series C 5.000%, 06/15/16............................. 1,000 1,088,840
61 DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO CONTINUED
Face Amount Value+ ------ ------ (000) NEVADA -- (Continued) Truckee Meadows Water Authority (RB) 5.000%, 07/01/15............................. $ 3,900 $ 4,115,943 ----------- TOTAL NEVADA..................................... 19,768,506 ----------- NEW HAMPSHIRE -- (0.2%) City of Dover (GO) 3.000%, 06/15/16............................. 1,850 1,938,208 3.000%, 06/15/17............................. 1,000 1,053,230 City of Nashua (GO) 5.000%, 03/15/17............................. 1,400 1,565,984 ----------- TOTAL NEW HAMPSHIRE.............................. 4,557,422 ----------- NEW JERSEY -- (1.4%) East Windsor Regional School District (GO) (SCH BD RES FD) 3.000%, 03/01/16............................. 625 653,769 Livingston Township (GO) 3.000%, 01/15/16............................. 1,335 1,395,636 3.000%, 01/15/17............................. 1,810 1,897,586 New Jersey State (GO) 5.000%, 06/01/14............................. 4,600 4,616,100 5.000%, 08/01/14............................. 4,000 4,046,520 5.000%, 06/01/18............................. 5,990 6,915,215 New Jersey State (GO) Series H 5.250%, 07/01/15............................. 3,500 3,702,650 New Jersey State (GO) Series M (AMBAC) 5.500%, 07/15/14............................. 4,000 4,044,200 ----------- TOTAL NEW JERSEY................................. 27,271,676 ----------- NEW MEXICO -- (0.4%) New Mexico State Severance Tax Permanent Fund (RB) Series A 5.000%, 07/01/19............................. 6,500 7,645,690 ----------- NEW YORK -- (8.5%) City of New York (GO) 5.000%, 08/01/19............................. 5,000 5,864,650 City of New York (GO) Series A 5.000%, 08/01/14............................. 7,865 7,957,020 City of New York (GO) Series A-1 5.000%, 08/01/14............................. 2,500 2,529,250 City of New York (GO) Series B 5.000%, 08/01/15............................. 10,000 10,593,600 City of New York (GO) Series C 5.000%, 08/01/15............................. 2,630 2,786,117 City of New York (GO) Series E 4.000%, 08/01/14............................. 7,000 7,065,170 City of New York (GO) Series G 5.000%, 08/01/18............................. 8,000 9,223,920 City of New York (GO) Series H-2 3.000%, 06/01/16............................. 4,000 4,212,680
Face Amount Value+ ------ ------ (000) NEW YORK -- (Continued) City of New York (GO) Series I 5.000%, 08/01/14............................. $ 4,000 $ 4,046,800 4.000%, 08/01/15............................. 4,130 4,324,069 Long Beach City School District (GO) (ST AID WITHHLDG) 3.000%, 05/01/16............................. 3,740 3,927,860 New York State (GO) Series C 3.000%, 02/01/15............................. 3,010 3,073,541 New York State Dormitory Authority (RB) Series A 5.000%, 02/15/15............................. 1,025 1,063,540 5.000%, 03/15/16............................. 20,000 21,715,800 5.000%, 02/15/18............................. 11,440 13,100,058 New York State Dormitory Authority (RB) Series C 5.000%, 03/15/19............................. 700 818,370 New York State Urban Development Corp. (RB) 5.000%, 12/15/17............................. 5,765 6,629,577 5.000%, 12/15/18............................. 250 292,243 New York State Urban Development Corp. (RB) Series A 5.000%, 03/15/17............................. 2,195 2,466,543 Suffolk County (GO) Series A 4.000%, 04/01/16............................. 1,035 1,099,739 3.000%, 05/15/16............................. 3,325 3,474,592 Suffolk County (GO) Series B 3.000%, 10/15/15............................. 4,290 4,436,589 3.000%, 10/15/16............................. 2,000 2,103,300 Suffolk County (GO) Series B (AGM) 5.250%, 05/01/16............................. 3,315 3,611,693 Suffolk County (GO) Series C 4.000%, 10/15/15............................. 5,890 6,175,842 Town of Brookhaven (GO) Series A 3.000%, 02/01/19............................. 5,080 5,473,141 Town of Hempstead (GO) Series B 5.000%, 02/01/17............................. 5,165 5,776,898 5.000%, 02/01/18............................. 9,915 11,378,553 Triborough Bridge & Tunnel Authority (RB) Series B 4.000%, 11/15/18............................. 11,860 13,307,987 ------------ TOTAL NEW YORK................................... 168,529,142 ------------ NORTH CAROLINA -- (3.3%) City of Charlotte (GO) Series B 5.000%, 06/01/16............................. 2,335 2,555,914 County of Onslow NC (GO) 4.000%, 12/01/17............................. 525 582,866 Mecklenburg County (GO) Series B 2.000%, 03/01/16............................. 5,000 5,151,550
62 DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO CONTINUED
Face Amount Value+ ------ ------ (000) NORTH CAROLINA -- (Continued) North Carolina State (GO) Series A 5.000%, 03/01/17............................. $ 9,025 $10,139,948 5.000%, 03/01/19............................. 5,000 5,887,550 North Carolina State (GO) Series B 5.000%, 04/01/16............................. 7,350 7,998,490 5.000%, 06/01/18............................. 7,000 8,126,720 North Carolina State (GO) Series E 5.000%, 05/01/14............................. 15,705 15,705,000 Sanford Enterprise (RB) Series A 5.000%, 06/01/15............................. 2,540 2,670,226 Wake County (GO) Series B 5.000%, 05/01/18............................. 4,625 5,332,903 Wake County (GO) Series C 5.000%, 03/01/15............................. 1,400 1,455,888 ----------- TOTAL NORTH CAROLINA............................. 65,607,055 ----------- OHIO -- (3.5%) City of Columbus (GO) Series 1 5.000%, 07/01/20............................. 10,000 11,953,000 City of Columbus (GO) Series 2 5.000%, 07/01/14............................. 4,605 4,642,531 Greater Cleveland Regional Transit Authority (GO) Series B 5.000%, 12/01/16............................. 2,725 3,020,226 Mason City School District (GO) (NATL-RE FGIC) 5.000%, 12/01/15............................. 470 505,161 5.000%, 12/01/15............................. 1,530 1,642,960 Ohio State (GO) 5.000%, 05/01/14............................. 5,000 5,000,000 5.000%, 11/01/15............................. 2,425 2,594,944 Ohio State (GO) Series A 5.000%, 05/01/20............................. 7,000 8,323,210 Ohio State (GO) Series C 5.000%, 09/15/14............................. 3,105 3,159,803 5.000%, 08/01/15............................. 4,000 4,232,800 5.000%, 08/01/17............................. 2,475 2,809,224 Ohio State (GO) Series D 5.000%, 09/15/14............................. 3,800 3,867,070 Ohio State University (The) (RB) Series A 5.000%, 12/01/14............................. 6,760 6,948,266 Ohio State University (The) (RB) Series A (ETM) 4.000%, 12/01/15............................. 55 58,207 Ohio State University (The) (RB) Series A (UP) 4.000%, 12/01/15............................. 945 999,952 Ohio State Water Development Authority (RB) Series A 5.000%, 06/01/16............................. 3,080 3,374,756 State of Ohio (RB) Series 1 3.000%, 12/15/14............................. 6,000 6,104,760 ----------- TOTAL OHIO....................................... 69,236,870 -----------
Face Amount Value+ ------ ------ (000) OKLAHOMA -- (2.2%) City of Tulsa (GO) 4.000%, 05/01/14............................. $ 1,830 $ 1,830,000 Cleveland County Independent School District No. 29 (GO) 1.500%, 03/01/16............................. 4,415 4,498,223 1.500%, 03/01/17............................. 1,465 1,492,732 Oklahoma State (GO) 3.000%, 07/15/14............................. 18,640 18,750,349 Oklahoma State Turnpike Authority (RB) Series A 5.000%, 01/01/15............................. 1,320 1,361,659 Payne County Independent School District No. 16 Stillwater (GO) 1.500%, 06/01/17............................. 3,355 3,418,946 Tulsa County Independent School District No. 1 Tulsa (GO) Series B 2.000%, 08/01/17............................. 5,800 6,022,082 Tulsa County Independent School District No. 3 (GO) 2.000%, 04/01/15............................. 2,425 2,462,685 2.000%, 04/01/16............................. 4,300 4,432,139 ----------- TOTAL OKLAHOMA................................... 44,268,815 ----------- OREGON -- (1.0%) City of Portland (GO) Series A 4.000%, 06/01/15............................. 2,000 2,082,240 Jackson County School District No. 5 (GO) (NATL-RE FGIC SCH BD GTY) 5.000%, 06/15/15............................. 1,965 2,069,852 Multnomah County (GO) 5.000%, 10/01/14............................. 5,490 5,599,032 Portland Community College District (GO) 5.000%, 06/15/14............................. 7,410 7,453,719 Washington County School District No. 15 Forest Grove (GO) (AGM SCH BD GTY) 5.250%, 06/15/15............................. 1,555 1,640,136 ----------- TOTAL OREGON..................................... 18,844,979 ----------- PENNSYLVANIA -- (4.7%) Commonwealth of Pennsylvania (GO) 5.000%, 11/15/18............................. 10,645 12,432,721 5.000%, 10/15/19............................. 2,250 2,662,808 Commonwealth of Pennsylvania (GO) Second Series 5.500%, 06/01/14............................. 8,000 8,035,760 Commonwealth of Pennsylvania (GO) Series 1 5.000%, 04/01/17............................. 8,000 8,982,720
63 DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO CONTINUED
Face Amount Value+ ------ ------ (000) PENNSYLVANIA -- (Continued) Commonwealth of Pennsylvania (GO) Series A 5.000%, 02/15/16............................. $ 7,420 $ 8,033,708 5.000%, 05/01/16............................. 2,025 2,207,230 5.000%, 02/15/19............................. 5,010 5,868,463 Commonwealth of Pennsylvania (GO) Series REF 5.000%, 07/01/19............................. 7,655 9,025,168 Conestoga Valley School District (GO) (ST AID WITHHLDG) 4.000%, 01/15/17............................. 2,680 2,895,418 Pennsylvania Economic Dev. Financing Authority (RB) Series A 5.000%, 07/01/17............................. 14,555 16,524,437 5.000%, 07/01/19............................. 9,400 11,092,752 Tredyffrin Easttown School District (GO) (ST AID WITHHLDG) 5.000%, 02/15/15............................. 2,535 2,630,722 University of Pittsburgh of the Commonwealth System of Higher Education (RB) Series B (GO OF UNIV) 5.000%, 09/15/15............................. 1,850 1,970,380 ----------- TOTAL PENNSYLVANIA............................... 92,362,287 ----------- RHODE ISLAND -- (0.4%) Rhode Island State & Providence Plantations (GO) (AGM) 5.000%, 02/15/15............................. 2,130 2,210,088 Rhode Island State & Providence Plantations (GO) (AGM) (ETM) 5.000%, 02/15/15............................. 1,255 1,301,987 Rhode Island State & Providence Plantations (GO) Series A 4.000%, 08/01/17............................. 2,065 2,270,963 Rhode Island State & Providence Plantations (GO) Series E (NATL-RE) 5.000%, 11/01/15............................. 2,260 2,419,782 ----------- TOTAL RHODE ISLAND............................... 8,202,820 ----------- SOUTH CAROLINA -- (4.4%) Beaufort County School District (GO) Series D (SCSDE) 5.000%, 03/01/17............................. 6,425 7,197,606 Charleston County School District Dev. Corp. (GO) Series A (SCSDE) 5.000%, 02/01/19............................. 7,595 8,912,884 Clemson University (RB) 2.000%, 05/01/16............................. 1,355 1,391,084 Florence County (GO) 4.000%, 06/01/19............................. 15,000 16,910,850
Face Amount Value+ ------ ------ (000) SOUTH CAROLINA -- (Continued) Richland County School District No. 2 (GO) Series C (SCSDE) 5.000%, 02/01/16.............................. $ 6,330 $ 6,843,236 5.000%, 02/01/19.............................. 5,740 6,704,263 South Carolina State (GO) Series A 4.000%, 06/01/15.............................. 6,000 6,246,720 5.000%, 06/01/20.............................. 7,445 8,927,970 South Carolina State (GO) Series A (ST AID WITHHLDG) 5.000%, 10/01/16.............................. 7,415 8,225,089 5.000%, 10/01/17.............................. 7,445 8,514,995 South Carolina State Public Service Authority (RB) Series A (NATL-RE FGIC) 5.500%, 01/01/15.............................. 500 517,450 South Carolina State Public Service Authority (RB) Series E 5.000%, 01/01/15.............................. 835 861,411 York County School District No. 3 (GO) Series B (SCSDE) 5.000%, 03/01/15.............................. 4,770 4,960,037 ----------- TOTAL SOUTH CAROLINA............................... 86,213,595 ----------- SOUTH DAKOTA -- (0.1%) Sioux Falls School District No. 49- 5 (GO) Series B 5.000%, 07/01/15.............................. 1,500 1,582,335 ----------- TENNESSEE -- (1.0%) City of Kingsport (GO) Series B 3.000%, 04/01/17.............................. 2,005 2,119,546 City of Memphis (GO) Series A 5.000%, 04/01/17.............................. 1,230 1,379,961 City of Memphis (GO) Series D 5.000%, 07/01/19.............................. 4,180 4,900,883 Sumner County (GO) 5.000%, 06/01/14.............................. 8,500 8,534,170 Tennessee State (GO) Series A 5.000%, 05/01/14.............................. 3,000 3,000,000 ----------- TOTAL TENNESSEE.................................... 19,934,560 ----------- TEXAS -- (9.9%) Austin Independent School District (GO) (PSF-GTD) 5.000%, 08/01/14.............................. 6,895 6,975,671 Carrollton-Farmers Branch Independent School District (GO) (PSF-GTD) 5.000%, 02/15/16.............................. 6,570 7,115,836 City of Dallas (GO) 5.000%, 02/15/15.............................. 10 10,370 5.000%, 02/15/15.............................. 11,790 12,234,247
64 DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO CONTINUED
Face Amount Value+ ------ ------ (000) TEXAS -- (Continued) City of Dallas (GO) Series A 5.000%, 02/15/16............................. $ 10 $ 10,816 5.000%, 02/15/16............................. 2,520 2,728,883 City of Dallas (GO) Series C 5.000%, 02/15/15............................. 2,430 2,521,562 City of Dallas (GO) Series C (ETM) 5.000%, 02/15/15............................. 10 10,370 City of Dallas TX Waterworks & Sewer System Revenue (RB) (AMBAC) 5.000%, 10/01/14............................. 9,000 9,178,380 City of El Paso (GO) 3.000%, 08/15/17............................. 500 531,995 City of Fort Worth Water & Sewer System (RB) 5.000%, 02/15/19............................. 830 970,536 City of Frisco (GO) (NATL-RE FGIC) 5.250%, 02/15/16............................. 1,175 1,277,601 City of Houston (GO) Series A 4.000%, 03/01/16............................. 4,500 4,798,935 5.000%, 03/01/16............................. 17,850 19,359,753 4.000%, 03/01/18............................. 2,000 2,222,840 City of Houston (RN) 1.250%, 06/30/14............................. 20,000 20,037,000 City of San Antonio (GO) 5.000%, 02/01/20............................. 4,000 4,762,120 City of San Antonio Electric & Gas (RB) 5.375%, 02/01/15............................. 5,975 6,205,456 5.000%, 02/01/19............................. 700 819,000 City of San Antonio Electric & Gas (RB) Series A 5.000%, 02/01/15............................. 3,025 3,131,450 5.000%, 02/01/16............................. 2,875 3,108,105 County of El Paso (GO) (NATL-RE) 5.000%, 02/15/16............................. 2,490 2,682,502 Denton County (GO) Series A 5.000%, 07/15/15............................. 3,960 4,187,621 Fort Bend Independent School District (GO) (PSF-GTD) 5.000%, 08/15/15............................. 3,000 3,183,660 Houston Independent School District (GO) Series A-1 5.000%, 02/15/15............................. 4,000 4,151,040 North Texas Municipal Water District (RB) 5.000%, 09/01/14............................. 1,155 1,173,145 5.000%, 06/01/16............................. 2,130 2,324,554 Northwest Independent School District (GO) (PSF-GTD) 5.000%, 02/15/15............................. 1,000 1,037,760 Nueces County (GO) 2.000%, 02/15/15............................. 2,375 2,408,963
Face Amount Value+ ------ ------ (000) TEXAS -- (Continued) Permanent University Fund (RB) 5.000%, 07/01/18............................. $12,585 $ 14,623,267 San Jacinto College District (GO) 5.000%, 02/15/17............................. 5,000 5,577,150 San Marcos Consolidated Independent School District (GO) (PSF-GTD) (currency) 5.250%, 08/01/20 (Pre-refunded @ $100, 8/1/14)................ 3,195 3,234,299 Socorro Independent School District (GO) (PSF-GTD) 5.250%, 08/15/14............................. 2,270 2,302,461 Texas Public Finance Authority (RB) Series A 5.000%, 07/01/15............................. 10,000 10,559,700 5.000%, 01/01/16............................. 3,345 3,605,007 Texas State (GO) 5.000%, 10/01/16............................. 5,000 5,548,800 Texas Tech University (RB) Series 12 5.000%, 02/15/16............................. 2,095 2,268,277 Travis County (GO) 4.000%, 03/01/15............................. 5,365 5,535,124 University of Texas (RB) Series A 5.000%, 07/01/14............................. 5,250 5,292,367 University of Texas System (The) (RB) Series C 5.000%, 08/15/19............................. 5,000 5,932,150 University of Texas System (The) (RB) Series F 5.000%, 08/15/15............................. 2,405 2,552,234 ------------ TOTAL TEXAS.............................................. 196,191,007 ------------ UTAH -- (2.2%) Alpine School District (GO) (SCH BD GTY) 3.000%, 03/15/16............................. 2,770 2,907,115 Jordan School District (GO) 5.000%, 06/15/19............................. 10,000 11,861,900 Salt Lake City Corp. (GO) 2.000%, 06/30/14............................. 20,000 20,057,600 Utah State (GO) Series C 4.500%, 07/01/19............................. 6,675 7,751,144 ------------ TOTAL UTAH............................................... 42,577,759 ------------ VIRGINIA -- (4.1%) City of Norfolk (GO) Series A 4.000%, 03/01/16............................. 2,000 2,132,480 City of Richmond (GO) Series A (AGM) 5.000%, 07/15/15............................. 5,040 5,328,439 City of Richmond (GO) Series C (ST AID WITHHLDG) 5.000%, 07/15/15............................. 5,325 5,629,750
65 DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO CONTINUED
Face Amount Value+ ------ ------ (000) VIRGINIA -- (Continued) Commonwealth of Virginia (GO) Series B 5.000%, 06/01/19............................. $ 5,705 $ 6,753,237 Fairfax County (GO) Series A (ST AID WITHHLDG) 4.000%, 04/01/16............................. 3,065 3,277,282 4.000%, 10/01/19............................. 12,300 13,979,811 4.000%, 10/01/20............................. 15,530 17,688,980 Fairfax County (GO) Series B (ST AID WITHHLDG) 4.000%, 04/01/19............................. 7,000 7,906,010 Henrico County (GO) 5.000%, 07/15/19............................. 5,460 6,468,462 Virginia State (GO) 5.000%, 06/01/19............................. 10,250 12,133,335 ----------- TOTAL VIRGINIA................................... 81,297,786 ----------- WASHINGTON -- (5.9%) Central Puget Sound Regional Transit Authority (RB) Series P-1 5.000%, 02/01/18............................. 3,000 3,438,060 City of Seattle (GO) 5.000%, 05/01/14............................. 8,300 8,300,000 5.000%, 12/01/17............................. 4,050 4,646,281 City of Seattle (GO) Series B 5.000%, 08/01/15............................. 7,385 7,822,414 City of Seattle Water System Revenue (RB) 5.000%, 09/01/19............................. 3,890 4,616,730 King County School District No. 405 Bellevue (GO) Series B (SCH BD GTY) 5.000%, 12/01/16............................. 4,080 4,548,629 King County School District No. 414 Lake Washington (GO) (SCH BD GTY) 4.000%, 12/01/15............................. 2,430 2,572,495 King County Sewer Enterprise (RB) 4.000%, 01/01/15............................. 6,595 6,761,326 4.000%, 01/01/16............................. 6,510 6,906,329 Snohomish County Public Utility District No. 1 (RB) 5.000%, 12/01/15............................. 5,000 5,369,950 5.000%, 12/01/18............................. 2,390 2,758,275 Washington State (GO) 5.000%, 07/01/17............................. 4,975 5,641,451 5.000%, 07/01/18............................. 7,065 8,178,020 5.000%, 07/01/20............................. 3,650 4,360,472 Washington State (GO) (AGM) 5.000%, 07/01/14............................. 5,145 5,186,829 Washington State (GO) Series 2010A 5.000%, 08/01/18............................. 4,500 5,218,740
Face Amount Value+ ------ ------ (000) WASHINGTON -- (Continued) Washington State (GO) Series 2010C 5.000%, 01/01/15............................. $ 6,100 $ 6,294,163 Washington State (GO) Series A 5.000%, 01/01/16............................. 2,000 2,155,120 5.000%, 08/01/18............................. 2,735 3,171,834 Washington State (GO) Series D 5.000%, 02/01/19............................. 1,710 2,000,700 Washington State (GO) Series R-2010A 5.000%, 01/01/15............................. 10,960 11,308,857 5.000%, 01/01/17............................. 1,215 1,356,305 Washington State (GO) Series R-2011C 4.000%, 07/01/15............................. 4,000 4,175,840 -------------- TOTAL WASHINGTON................................. 116,788,820 -------------- WISCONSIN -- (2.7%) State of Wisconsin (GO) Series 1 (AMBAC) 5.000%, 05/01/19............................. 2,000 2,352,100 Wisconsin State (GO) Series 1 (AMBAC) 5.000%, 05/01/15............................. 18,510 19,391,076 5.000%, 05/01/16............................. 14,075 15,359,203 Wisconsin State (GO) Series 2 5.000%, 11/01/19............................. 4,000 4,735,000 Wisconsin State (GO) Series A 4.000%, 05/01/16............................. 5,090 5,453,681 5.000%, 05/01/16 4,780 5,216,127 -------------- TOTAL WISCONSIN.................................. 52,507,187 -------------- TOTAL MUNICIPAL BONDS............................ 1,972,521,631 --------------
Shares ------ TEMPORARY CASH INVESTMENTS -- (0.1%) JPMorgan Tax Free Money Market Fund.......... 2,943,105 2,943,105 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $1,964,935,744).......................... $1,975,464,736 ==============
66 DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) ------------------------------------------------ Level 1 Level 2 Level 3 Total ---------- -------------- ------- -------------- Municipal Bonds............ -- $1,972,521,631 -- $1,972,521,631 Temporary Cash Investments. $2,943,105 -- -- 2,943,105 ---------- -------------- -- -------------- TOTAL...................... $2,943,105 $1,972,521,631 -- $1,975,464,736 ========== ============== == ==============
See accompanying Notes to Financial Statements. 67 DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2014 (Unaudited)
Face Amount Value+ ------ ------ (000) MUNICIPAL BONDS -- (98.1%) ALASKA -- (0.1%) Borough of North Slope (GO) Series A 4.000%, 06/30/18.............................. $ 400 $ 441,808 ---------- ARIZONA -- (0.4%) City of Phoenix (GO) Series A 5.000%, 07/01/15.............................. 400 422,196 City of Scottsdale (GO) 5.000%, 07/01/15.............................. 500 527,805 Pima County (GO) 3.000%, 07/01/16.............................. 450 474,287 ---------- TOTAL ARIZONA...................................... 1,424,288 ---------- ARKANSAS -- (0.9%) Arkansas State (GO) 5.000%, 04/01/18.............................. 2,500 2,885,175 Springdale School District No. 50 (GO) Series A (ST AID WITHHLDG) 4.000%, 06/01/16.............................. 400 428,052 ---------- TOTAL ARKANSAS..................................... 3,313,227 ---------- CALIFORNIA -- (0.1%) Los Angeles Unified School District (GO) Series KRY 5.000%, 07/01/15.............................. 250 263,843 ---------- COLORADO -- (1.6%) Adams & Arapahoe Joint School District 28J (GO) (ST AID WITHHLDG) 5.000%, 12/01/21.............................. 425 509,877 Arapahoe County School District No. 5 (GO) (ST AID WITHHLDG) 3.000%, 12/15/16.............................. 750 795,555 Boulder County (RB) 5.000%, 07/15/18.............................. 540 618,916 City & County of Denver (GO) Series A 5.000%, 08/01/19.............................. 2,085 2,459,362 Denver City & County School District No. 1 (GO) Series C (ST AID WITHHLDG) 3.000%, 12/01/23.............................. 1,540 1,606,512 ---------- TOTAL COLORADO..................................... 5,990,222 ---------- CONNECTICUT -- (1.9%) City of Middletown (GO) 4.000%, 04/01/22.............................. 1,350 1,499,540 Connecticut State (GO) Series E 5.000%, 08/15/19.............................. 2,775 3,267,562
Face Amount Value+ ------ ------ (000) CONNECTICUT -- (Continued) Connecticut State (ST) Revenue Series A (AMBAC) 4.000%, 08/01/16.............................. $ 300 $ 323,136 Town of Trumbull (GO) Series A 3.000%, 09/01/15.............................. 1,630 1,689,576 3.000%, 09/01/16.............................. 450 475,727 ----------- TOTAL CONNECTICUT.................................. 7,255,541 ----------- DELAWARE -- (0.7%) Delaware State (GO) Series A 5.000%, 08/01/23.............................. 2,225 2,741,133 ----------- FLORIDA -- (2.9%) City of Jacksonville (RB) 5.000%, 10/01/18.............................. 315 365,476 City of Tallahassee Energy System (RB) 5.000%, 10/01/20.............................. 250 293,400 Florida State (GO) Series A 5.000%, 06/01/20.............................. 4,000 4,761,000 Florida State Board of Education (GO) 5.000%, 06/01/19.............................. 610 718,793 Florida State Board of Education (GO) Series A 5.000%, 06/01/17.............................. 150 169,569 Florida State Board of Education (GO) Series B 5.000%, 06/01/17.............................. 300 339,138 5.000%, 06/01/20.............................. 800 952,200 Florida State Board of Education (GO) Series D 5.000%, 06/01/22.............................. 1,000 1,205,220 Pasco County Water & Sewer (RB) Series A 4.000%, 10/01/17.............................. 320 352,966 Tampa Bay Water Supply (RB) 5.000%, 10/01/19.............................. 450 528,665 Tampa Bay Water Supply (RB) Series A 5.000%, 10/01/16.............................. 1,000 1,106,450 ----------- TOTAL FLORIDA...................................... 10,792,877 ----------- GEORGIA -- (1.3%) DeKalb County Water & Sewerage Revenue (RB) Series B 5.250%, 10/01/24.............................. 2,830 3,454,921 Georgia State Road & Tollway Authority (RB) Series A 5.000%, 06/01/16.............................. 1,200 1,310,652 Gordon County School District (GO) (ST AID WITHHLDG) 3.000%, 09/01/17.............................. 250 264,947 ----------- TOTAL GEORGIA...................................... 5,030,520 -----------
68 DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO CONTINUED
Face Amount Value+ ------ ------ (000) HAWAII -- (2.5%) City & County of Honolulu (GO) Series B 5.000%, 08/01/20.............................. $1,470 $1,740,671 City & County of Honolulu (GO) Series B (AGM) 5.250%, 07/01/17.............................. 545 620,782 City & County of Honolulu (GO) Series C 2.000%, 11/01/16.............................. 1,230 1,272,472 Hawaii State (GO) Series DO 5.000%, 08/01/16.............................. 100 110,124 Hawaii State (GO) Series EA 5.000%, 12/01/21.............................. 850 1,023,043 Hawaii State (GO) Series EF 5.000%, 11/01/22.............................. 3,755 4,542,461 ---------- TOTAL HAWAII....................................... 9,309,553 ---------- ILLINOIS -- (0.2%) Chicago Park District (GO) Series 2008E 5.000%, 11/15/18.............................. 250 284,868 University of Illinois (RB) Series A 5.000%, 04/01/20.............................. 500 582,850 ---------- TOTAL ILLINOIS..................................... 867,718 ---------- IOWA -- (0.2%) City of Ankeny (GO) Series D 4.000%, 06/01/18.............................. 700 766,549 KANSAS -- (1.6%) City of Topeka (GO) Series A 4.000%, 08/15/15.............................. 450 471,514 Johnson County (GO) Series B 3.000%, 09/01/22.............................. 2,260 2,368,661 Johnson County Unified School District No. 232 (GO) Series A 5.000%, 09/01/17.............................. 400 451,868 Sedgwick County (GO) Series B 3.000%, 08/01/17.............................. 500 534,100 Sedgwick County Unified School District No. 260 (GO) 5.000%, 10/01/21.............................. 1,325 1,569,277 Wyandotte County Unified Government (GO) Series A 3.000%, 08/01/18.............................. 580 618,303 ---------- TOTAL KANSAS....................................... 6,013,723 ---------- LOUISIANA -- (3.6%) Bossier Parish School Board (GO) 4.000%, 03/01/17.............................. 1,020 1,106,414 Lafayette Louisiana Public Improvement Sales (RB) Series ST-A 4.000%, 03/01/17.............................. 1,330 1,440,749
Face Amount Value+ ------ ------ (000) LOUISIANA -- (Continued) Louisiana State (GO) Series A 5.000%, 02/01/24.............................. $2,000 $ 2,431,680 Louisiana State (GO) Series C 5.000%, 07/15/22.............................. 6,445 7,785,818 Saint Tammany Parish Wide School District No.12 (GO) (ASSURED GTY) 5.000%, 03/01/16.............................. 575 622,863 ----------- TOTAL LOUISIANA.................................... 13,387,524 ----------- MARYLAND -- (5.6%) Anne Arundel County (GO) 5.000%, 04/01/22.............................. 2,475 3,007,323 City of Baltimore (GO) Series B 5.000%, 10/15/22.............................. 8,060 9,612,356 Maryland State (GO) 5.000%, 03/01/19.............................. 3,000 3,526,380 Maryland State (GO) Series A 5.000%, 03/01/16.............................. 1,000 1,084,770 Prince George's County (GO) Series B 4.000%, 03/01/22.............................. 2,480 2,820,132 Town of Ocean City (GO) 3.000%, 10/01/18.............................. 825 874,657 University System of Maryland (RB) Series D 3.000%, 04/01/15.............................. 135 138,468 ----------- TOTAL MARYLAND..................................... 21,064,086 ----------- MASSACHUSETTS -- (7.0%) City of Boston (GO) Series B 4.000%, 01/01/23.............................. 1,795 2,043,787 City of Woburn (GO) 4.000%, 09/01/22.............................. 350 391,727 Commonwealth of Massachusetts (GO) Series B (AGM) 5.250%, 09/01/24.............................. 3,700 4,612,901 Commonwealth of Massachusetts (GO) Series C (AMBAC) 5.500%, 12/01/23.............................. 3,500 4,405,870 Massachusetts Bay Transportation Authority (RB) Series B (NATL-RE) 5.500%, 07/01/24.............................. 3,020 3,831,142 Massachusetts Water Resources Authority (RB) Series A 5.000%, 08/01/22.............................. 3,000 3,627,210 Massachusetts Water Resources Authority (RB) Series J (AGM GO OF AUTH) 5.250%, 08/01/18.............................. 2,000 2,342,800 Town of Auburn (GO) 2.000%, 03/15/19.............................. 750 776,085 Town of Lynnfield (GO) 4.000%, 07/01/16.............................. 1,290 1,387,253
69 DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO CONTINUED
Face Amount Value+ ------ ------ (000) MASSACHUSETTS -- (Continued) Town of Nantucket (GO) 3.000%, 10/01/22.............................. $1,115 $ 1,180,461 Town of Reading (GO) 5.000%, 02/01/18.............................. 1,065 1,216,720 Town of Westwood (GO) 3.000%, 06/01/16.............................. 600 631,650 ----------- TOTAL MASSACHUSETTS................................ 26,447,606 ----------- MICHIGAN -- (1.2%) Kentwood Public Schools (GO) 4.000%, 05/01/22.............................. 500 554,770 Michigan Finance Authority (RB) 5.000%, 07/01/16.............................. 2,500 2,746,575 University of Michigan (RB) Series A 4.000%, 04/01/23.............................. 1,000 1,134,450 ----------- TOTAL MICHIGAN..................................... 4,435,795 ----------- MINNESOTA -- (3.4%) Lakeville Minnesota Independent School District No. 194 (GO) Series D (SD CRED PROG) 5.000%, 02/01/22.............................. 4,000 4,789,720 Minnesota State (GO) 5.000%, 10/01/21.............................. 4,660 5,635,571 Rochester Independent School District No. 535 (GO) Series A (SD CRED PROG) 3.000%, 02/01/22.............................. 1,240 1,310,209 Stillwater Independent School District No. 834 (GO) Series A (SD CRED PROG) 3.000%, 02/01/16.............................. 1,200 1,255,500 ----------- TOTAL MINNESOTA.................................... 12,991,000 ----------- MISSISSIPPI -- (0.9%) Mississippi State (GO) Series F 5.000%, 11/01/21.............................. 2,750 3,310,533 ----------- MISSOURI -- (0.4%) City of Kansas City (GO) Series A 4.000%, 02/01/22.............................. 1,150 1,282,653 City of Liberty (GO) 4.000%, 03/01/16.............................. 385 410,429 ----------- TOTAL MISSOURI..................................... 1,693,082 ----------- NEBRASKA -- (0.9%) Douglas County School District No. 17 (GO) 4.000%, 06/15/22.............................. 3,000 3,361,200 ----------- NEVADA -- (0.8%) Clark County (RB) (AMBAC) 5.000%, 07/01/16.............................. 400 437,636
Face Amount Value+ ------ ------ (000) NEVADA -- (Continued) Clark County School District (GO) Series A 5.000%, 06/15/19.............................. $1,500 $1,719,135 Clark County School District (GO) Series A (NATL-RE FGIC) 4.500%, 06/15/17.............................. 400 442,388 Nevada State (GO) Series D 5.000%, 06/01/17.............................. 425 479,477 ---------- TOTAL NEVADA....................................... 3,078,636 ---------- NEW HAMPSHIRE -- (0.7%) City of Dover (GO) 3.000%, 06/15/19.............................. 600 629,304 City of Nashua (GO) 5.000%, 03/15/17.............................. 330 369,125 City of Portsmouth (GO) 4.000%, 09/15/16.............................. 1,395 1,507,046 ---------- TOTAL NEW HAMPSHIRE................................ 2,505,475 ---------- NEW JERSEY -- (1.8%) Essex County (GO) Series A 5.000%, 08/01/20.............................. 1,000 1,178,960 New Milford School District (GO) (SCH BD RES FD) 4.000%, 08/15/16.............................. 440 468,208 Princeton Regional School District (GO) (ST AID WITHHLDG) 1.750%, 02/01/22.............................. 1,095 1,022,741 South Orange & Maplewood School District (GO) (SCH BD RES FD) 3.000%, 03/01/22.............................. 350 358,096 Township of Livingston (GO) 3.000%, 01/15/21.............................. 350 362,908 Township of North Brunswick (GO) 2.000%, 08/01/18.............................. 1,075 1,087,244 Union County (GO) Series B 3.000%, 03/01/22.............................. 2,360 2,465,539 ---------- TOTAL NEW JERSEY................................... 6,943,696 ---------- NEW MEXICO -- (1.2%) Farmington Municipal School District No. 5 (GO) (ST AID WITHHLDG) 4.000%, 09/01/20.............................. 945 1,045,453 Las Cruces School District No. 2 (GO) Series A (ST AID WITHHLDG) 4.000%, 08/01/19.............................. 1,000 1,102,650 4.000%, 08/01/20.............................. 125 138,124 New Mexico State Severance Tax Permanent Fund (RB) Series A 5.000%, 07/01/19.............................. 2,000 2,352,520 ---------- TOTAL NEW MEXICO................................... 4,638,747 ----------
70 DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO CONTINUED
Face Amount Value+ ------ ------ (000) NEW YORK -- (3.7%) Albany County (GO) Series B 4.000%, 11/01/18.............................. $2,470 $ 2,769,068 City of New York (GO) Series B 5.000%, 08/01/19.............................. 600 703,758 5.000%, 08/01/22.............................. 600 713,496 City of New York (GO) Series C 5.250%, 08/01/18.............................. 430 500,206 City of New York (GO) Series E 5.000%, 08/01/23.............................. 6,000 7,132,260 City of New York (GO) Series F 3.000%, 08/01/15.............................. 150 155,195 Malverne Union Free School District (GO) (ST AID WITHHLDG) 2.125%, 08/01/17.............................. 605 628,994 New York State Dormitory Authority (RB) Series C 5.000%, 03/15/19.............................. 525 613,777 New York State Urban Development Corp. (RB) 5.000%, 12/15/18.............................. 510 596,175 ----------- TOTAL NEW YORK..................................... 13,812,929 ----------- NORTH CAROLINA -- (3.5%) City of High Point (GO) 5.000%, 03/01/18.............................. 700 799,071 Lincoln County (GO) Series A 2.000%, 06/01/17.............................. 500 510,505 North Carolina State (GO) Series D 4.000%, 06/01/23.............................. 6,550 7,508,985 Onslow County (GO) 5.000%, 04/01/17.............................. 600 670,938 Wake County (GO) Series C 5.000%, 03/01/24.............................. 3,000 3,699,510 ----------- TOTAL NORTH CAROLINA............................... 13,189,009 ----------- NORTH DAKOTA -- (0.1%) North Dakota State Board of Higher Education (RB) Series A 2.000%, 04/01/16.............................. 300 308,523 ----------- OHIO -- (2.4%) City of Columbus (GO) Series 1 5.000%, 07/01/22.............................. 2,500 3,026,150 Oakwood City School District (GO) 2.000%, 12/01/17.............................. 280 289,103 Ohio State (GO) Series A 5.000%, 09/01/19.............................. 550 649,341 5.000%, 05/01/20.............................. 1,555 1,848,941 3.000%, 02/01/22.............................. 500 526,850 5.000%, 09/15/22.............................. 500 604,675 Ohio State (GO) Series B 5.000%, 08/01/17.............................. 400 454,016 Ohio State (GO) Series C 5.000%, 09/15/21.............................. 1,000 1,202,860
Face Amount Value+ ------ ------ (000) OHIO -- (Continued) Ohio State Major New Street Infrastructure Project (RB) Series 2008-1 5.500%, 06/15/15.............................. $ 500 $ 529,220 ----------- TOTAL OHIO......................................... 9,131,156 ----------- OKLAHOMA -- (0.9%) City of Tulsa (GO) 5.000%, 12/01/17.............................. 400 458,588 Cleveland County Independent School District No. 29 (GO) 1.500%, 03/01/16.............................. 1,250 1,273,563 Tulsa County Independent School District No. 1 (GO) 2.000%, 09/01/15.............................. 1,090 1,113,849 Tulsa County Independent School District No. 3 (GO) 2.000%, 04/01/16.............................. 425 438,060 ----------- TOTAL OKLAHOMA..................................... 3,284,060 ----------- OREGON -- (1.6%) City of Portland (GO) 4.000%, 06/01/20.............................. 935 1,030,726 Deschutes County (GO) 3.000%, 12/01/15.............................. 225 234,594 Deschutes County Administrative School District No. 1 (GO) (NATL- RE FGIC) 5.000%, 06/15/16.............................. 200 218,210 Lane County School District No. 4J Eugene (GO) Series A (SCH BD GTY) 5.000%, 06/15/23.............................. 3,355 4,031,502 Washington County School District No. 1 (GO) (NATL-RE FGIC) 5.250%, 06/15/17.............................. 400 452,864 ----------- TOTAL OREGON....................................... 5,967,896 ----------- PENNSYLVANIA -- (4.8%) Commonwealth of Pennsylvania (GO) 5.000%, 04/01/22.............................. 8,000 9,623,520 Marple Newtown School District (GO) (AGM ST AID WITHHLDG) 4.000%, 06/01/16.............................. 375 400,493 Monroe County (GO) 4.000%, 12/15/18.............................. 400 438,580 Montgomery County (GO) 5.000%, 05/01/23.............................. 5,255 6,344,361 West View Municipal Authority Water Revenue (RB) 4.000%, 11/15/20.............................. 1,100 1,210,638 ----------- TOTAL PENNSYLVANIA................................. 18,017,592 -----------
71 DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO CONTINUED
Face Amount Value+ ------ ------ (000) RHODE ISLAND -- (0.5%) Rhode Island State & Providence Plantations (GO) Series A 5.000%, 08/01/22.............................. $1,605 $ 1,903,337 ----------- SOUTH CAROLINA -- (4.3%) Beaufort County (GO) Series C (ST AID WITHHLDG) 5.000%, 03/01/22.............................. 3,485 4,188,169 Berkeley County School District (GO) Series B (SCSDE) 5.000%, 03/01/22.............................. 4,120 4,957,843 Clemson University (RB) 3.000%, 05/01/21.............................. 350 369,208 South Carolina State (GO) Series A (ST AID WITHHLDG) 5.000%, 10/01/23.............................. 5,500 6,765,110 ----------- TOTAL SOUTH CAROLINA............................... 16,280,330 ----------- TENNESSEE -- (3.2%) City of Johnson City (GO) 2.000%, 06/01/18.............................. 1,000 1,028,480 3.000%, 06/01/19.............................. 875 938,866 City of Pigeon Forge (GO) 4.000%, 06/01/21.............................. 670 752,779 Hamilton County (GO) 3.000%, 03/01/22.............................. 4,550 4,803,480 Putnam County (GO) 4.000%, 04/01/23.............................. 975 1,096,066 Williamson County (GO) 4.000%, 03/01/18.............................. 1,445 1,607,158 Williamson County (GO) Series A 4.000%, 05/01/22.............................. 300 341,721 Wilson County (GO) (NATL-RE) 5.000%, 04/01/15.............................. 450 469,656 Wilson County (GO) Series B 4.000%, 04/01/20.............................. 1,040 1,147,973 ----------- TOTAL TENNESSEE.................................... 12,186,179 ----------- TEXAS -- (13.3%) Austin Independent School District (GO) (PSF-GTD) 5.000%, 08/01/20.............................. 350 418,086 City of Copperas Cove (GO) 4.000%, 08/15/15.............................. 750 786,053 City of Denton (GO) 4.000%, 02/15/22.............................. 2,510 2,787,681 City of Fort Worth Water & Sewer System (RB) 5.000%, 02/15/19.............................. 400 467,728 City of Houston (GO) Series A 5.000%, 03/01/21.............................. 3,100 3,705,523 5.000%, 03/01/22.............................. 5,890 7,064,348 City of Richardson (GO) 4.250%, 02/15/18.............................. 400 446,020 City of San Antonio (GO) 5.000%, 02/01/20.............................. 1,000 1,190,530
Face Amount Value+ ------ ------ (000) TEXAS -- (Continued) City of San Antonio Electric & Gas (RB) 5.000%, 02/01/19.............................. $ 400 $ 468,000 City of Southlake (GO) 3.000%, 02/15/23.............................. 1,510 1,580,064 Galveston County (GO) 5.000%, 02/01/22.............................. 1,000 1,179,500 Grayson County (GO) 5.000%, 01/01/21.............................. 1,990 2,330,489 Harris County (GO) Series A 4.000%, 10/01/18.............................. 430 480,529 Harris County Metropolitan Transit Authority (RB) Series B 4.000%, 11/01/18.............................. 400 443,072 Hays Consolidated Independent School District (GO) (PSF-GTD) 5.000%, 08/15/23.............................. 1,355 1,650,187 Hidalgo County Drain District No. 1 (GO) 5.000%, 09/01/22.............................. 3,610 4,284,167 Houston Community College System (GO) 5.000%, 02/15/17.............................. 1,000 1,116,610 La Porte Independent School District (GO) 5.000%, 02/15/21.............................. 1,700 1,992,298 Mansfield Independent School District (GO) 5.000%, 02/15/20.............................. 1,000 1,164,080 Mansfield Independent School District (GO) Series A (PSF-GTD) 5.000%, 02/15/22.............................. 895 1,083,899 Northside Independent School District (GO) (PSF-GTD) 5.000%, 02/15/23.............................. 4,535 5,523,222 Pflugerville Independent School District (GO) (PSF-GTD) 5.000%, 08/15/16.............................. 350 385,707 Texas A&M University (RB) Series B 5.000%, 05/15/21.............................. 4,000 4,823,840 Texas A&M University Fund (RB) 5.000%, 07/01/23.............................. 3,500 4,269,615 Texas Transportation Commission State Highway Fund (RB) 5.250%, 04/01/26.............................. 300 377,091 ----------- TOTAL TEXAS........................................ 50,018,339 ----------- UTAH -- (0.7%) Davis County (GO) 4.000%, 02/01/18.............................. 350 381,692 North Davis County Sewer District (RB) 3.000%, 03/01/21.............................. 2,135 2,228,812 ----------- TOTAL UTAH......................................... 2,610,504 -----------
72 DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO CONTINUED
Face Amount Value+ ------ ------ (000) VIRGINIA -- (2.4%) City of Newport News (GO) Series A 2.000%, 07/15/18.............................. $ 515 $ 531,799 Commonwealth of Virginia (GO) Series B 4.000%, 06/01/23.............................. 2,500 2,872,675 Loudoun County (GO) Series A (ST AID WITHHLDG) 5.000%, 12/01/22.............................. 4,000 4,888,080 Virginia State Public School Authority (RB) Series D (ST AID WITHHLDG) 5.250%, 08/01/18.............................. 500 583,435 ---------- TOTAL VIRGINIA..................................... 8,875,989 ---------- WASHINGTON -- (12.8%) Benton County School District No. 400 Richland (GO) (SCH BD GTY) 5.000%, 12/01/22.............................. 4,705 5,599,468 City of Seattle Municipal Light & Power (RB) Series A 5.000%, 06/01/22.............................. 310 373,872 City of Seattle Municipal Light & Power (RB) Series B 5.000%, 02/01/16.............................. 425 459,383 City of Seattle Water System Revenue (RB) 5.000%, 09/01/22.............................. 6,000 7,327,200 Clark County School District No.119 Battleground (GO) (SCH BD GTY) 4.000%, 12/01/22.............................. 2,630 2,928,374 King County (GO) 5.000%, 01/01/21.............................. 425 502,911 King County School District No. 210 (GO) (SCH BD GTY) 2.000%, 12/01/18.............................. 1,200 1,231,776 King County School District No. 412 (GO) (SCH BD GTY) 4.000%, 12/01/21.............................. 1,000 1,110,170 North Thurston Public Schools (GO) (SCH BD GTY) 5.000%, 12/01/20.............................. 2,880 3,382,445 Snohomish County Public Utility District No. 1 (RB) 5.000%, 12/01/19.............................. 1,655 1,922,183 Snohomish County School District No. 15 Edmonds (GO) (SCH BD GTY) 5.000%, 12/01/20.............................. 2,555 3,035,212 Spokane County (GO) 5.000%, 12/01/22.............................. 1,025 1,211,191 Spokane County Wastewater System (RB) Series A 5.000%, 12/01/15.............................. 300 322,347
Face Amount Value+ ------ ------ (000) WASHINGTON -- (Continued) Thurston County School District No. 111 (GO) (SCH BD GTY) 5.000%, 12/01/21.............................. $ 425 $ 504,322 University of Washington (RB) Series A 5.000%, 07/01/22.............................. 6,505 7,836,313 Washington State (GO) 5.000%, 07/01/17.............................. 300 340,188 5.000%, 07/01/23.............................. 3,800 4,607,652 Washington State (GO) Series 2010A 5.000%, 08/01/18.............................. 500 579,860 Washington State (GO) Series A 5.000%, 08/01/23.............................. 750 910,005 Washington State (GO) Series B-1 5.000%, 08/01/21.............................. 1,300 1,565,460 Washington State (GO) Series D 5.000%, 02/01/19.............................. 900 1,053,000 Washington State (GO) Series R-2012C 4.000%, 07/01/21.............................. 1,075 1,220,727 ------------ TOTAL WASHINGTON................................... 48,024,059 ------------ WISCONSIN -- (2.0%) Milwaukee County (GO) Series A 5.000%, 10/01/16.............................. 520 572,452 Milwaukee County Metropolitan Sewer District (GO) Series A 5.500%, 10/01/15.............................. 350 375,869 Sun Prairie Area School District (GO) 4.000%, 03/01/20.............................. 570 619,909 Swallow School District (GO) 2.000%, 04/01/16.............................. 390 401,606 Wisconsin State (GO) Series 2 5.000%, 11/01/20.............................. 4,600 5,491,480 ------------ TOTAL WISCONSIN.................................... 7,461,316 ------------ TOTAL MUNICIPAL BONDS.............................. 369,139,600 ------------
Shares ------ TEMPORARY CASH INVESTMENTS -- (1.9%) JPMorgan Tax Free Money Market Fund.......... 7,230,911 7,230,911 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $373,058,292)............................ $376,370,511 ============
73 DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) -------------------------------------------- Level 1 Level 2 Level 3 Total ---------- ------------ ------- ------------ Municipal Bonds............ -- $369,139,600 -- $369,139,600 Temporary Cash Investments. $7,230,911 -- -- 7,230,911 ---------- ------------ -- ------------ TOTAL...................... $7,230,911 $369,139,600 -- $376,370,511 ========== ============ == ============
See accompanying Notes to Financial Statements. 74 DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2014 (Unaudited)
Face Amount Value+ ------ ------ (000) MUNICIPAL BONDS -- (95.3%) CALIFORNIA -- (95.3%) Anaheim Public Financing Authority (RB) 4.000%, 08/01/14............................. $ 550 $ 554,923 Anaheim Union High School District (GO) (AGM) 5.000%, 08/01/14............................. 800 809,320 Atascadero Unified School District (GO) Series A (AGM) 3.000%, 08/01/15............................. 315 325,748 Bay Area Toll Authority (RB) 4.000%, 04/01/18............................. 2,540 2,833,192 5.000%, 04/01/19............................. 775 913,260 Bay Area Toll Authority (RB) Series F 5.000%, 04/01/15............................. 795 829,956 Berkeley Unified School District (GO) 3.000%, 08/01/15............................. 1,000 1,034,120 Berryessa Union School District (GO) (AMBAC) 5.375%, 08/01/18............................. 380 443,996 California Educational Facilities Authority (RB) 5.000%, 10/01/16............................. 700 767,438 California Educational Facilities Authority (RB) Series A 4.000%, 11/01/19............................. 850 944,027 California State (GO) 5.000%, 05/01/14............................. 5,075 5,075,000 4.500%, 06/01/14............................. 750 752,745 5.000%, 06/01/14............................. 3,465 3,479,137 5.000%, 08/01/14............................. 1,480 1,497,316 4.000%, 09/01/14............................. 875 885,990 4.000%, 10/01/14............................. 1,600 1,625,296 3.000%, 11/01/14............................. 665 674,390 5.000%, 11/01/14............................. 9,000 9,215,010 6.000%, 02/01/15............................. 950 991,097 3.000%, 03/01/15............................. 500 511,745 5.000%, 03/01/15............................. 3,900 4,055,688 5.000%, 03/01/15............................. 500 519,960 4.000%, 04/01/15............................. 700 724,381 5.000%, 04/01/15............................. 1,000 1,043,870 5.000%, 09/01/15............................. 1,000 1,063,350 5.000%, 10/01/15............................. 1,000 1,067,190 5.000%, 10/01/15............................. 500 533,595 3.000%, 11/01/15............................. 500 520,650 5.000%, 12/01/15............................. 700 752,367 5.000%, 02/01/16............................. 1,275 1,377,688 5.000%, 03/01/16............................. 1,245 1,349,580 3.000%, 09/01/16............................. 1,500 1,587,540 5.000%, 09/01/16............................. 2,350 2,595,575 4.000%, 10/01/16............................. 1,175 1,273,500 5.000%, 10/01/16............................. 2,795 3,096,077 5.000%, 10/01/16............................. 2,090 2,315,135
Face Amount Value+ ------ ------ (000) CALIFORNIA -- (Continued) 5.000%, 11/01/16............................. $3,410 $3,789,090 4.000%, 09/01/17............................. 425 469,791 5.000%, 09/01/17............................. 3,600 4,097,232 5.000%, 11/01/17............................. 800 915,080 5.500%, 04/01/18............................. 6,915 8,089,374 5.000%, 09/01/18............................. 3,000 3,486,990 5.000%, 09/01/18............................. 250 290,583 5.000%, 04/01/19............................. 3,500 4,097,100 5.500%, 04/01/19............................. 7,280 8,693,994 5.000%, 10/01/19............................. 4,415 5,204,358 5.000%, 11/01/19............................. 2,485 2,931,579 5.000%, 02/01/20............................. 5,000 5,901,450 5.000%, 09/01/20............................. 700 832,811 5.000%, 10/01/20............................. 1,000 1,188,770 5.000%, 09/01/21............................. 4,400 5,258,440 California State (GO) (AMBAC) 6.000%, 04/01/16............................. 1,265 1,399,596 6.000%, 02/01/17............................. 1,000 1,144,990 California State (GO) (NATL-RE) 4.000%, 09/01/14............................. 1,000 1,012,560 4.125%, 06/01/15............................. 200 208,492 5.000%, 06/01/15............................. 310 326,067 4.000%, 09/01/15............................. 500 525,075 California State (GO) Series 2 4.000%, 09/01/15............................. 750 787,612 California State (GO) Series A 5.000%, 07/01/19............................. 2,500 2,965,250 California State Department of Transportation (RB) Series A (NATL-RE FGIC) 5.000%, 02/01/15............................. 4,660 4,825,756 California State Department of Water Resources (RB) (NATL-RE) 5.000%, 12/01/14............................. 1,500 1,542,030 California State Department of Water Resources (RB) Series AE 5.000%, 12/01/14............................. 575 591,112 California State Department of Water Resources (RB) Series AR 5.000%, 12/01/15............................. 5,045 5,426,604 California State Department of Water Resources (RB) Series L 5.000%, 05/01/14............................. 1,200 1,200,000 4.000%, 05/01/15............................. 2,790 2,895,825 5.000%, 05/01/15............................. 4,650 4,872,316 5.000%, 05/01/16............................. 1,385 1,512,822 5.000%, 05/01/17............................. 2,830 3,197,419 5.000%, 05/01/20............................. 1,000 1,197,850 California State Department of Water Resources (RB) Series M 5.000%, 05/01/14............................. 750 750,000 4.000%, 05/01/15............................. 3,400 3,528,962 4.000%, 05/01/16............................. 2,250 2,413,102
75 DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO CONTINUED
Face Amount Value+ ------ ------ (000) CALIFORNIA -- (Continued) 5.000%, 05/01/16............................. $ 600 $ 655,374 5.000%, 05/01/18............................. 500 578,655 4.000%, 05/01/19............................. 575 651,843 California State Economic Recovery (GO) Series A 5.250%, 07/01/14............................. 2,445 2,465,807 5.250%, 07/01/14............................. 95 95,769 California State Economic Recovery (GO) Series A (NATL-RE FGIC) 5.250%, 07/01/14............................. 4,610 4,649,231 California State Public Works Board (RB) (currency) 5.500%, 06/01/23 (Pre-refunded @ $100, 6/1/14)................ 1,550 1,556,107 California State Public Works Board of Regents University California (RB) Series B (NATL-RE FGIC) 5.000%, 06/01/17............................. 1,275 1,445,926 California State University (RB) Series A 5.000%, 11/01/15............................. 6,250 6,691,875 5.000%, 11/01/16............................. 1,030 1,145,319 5.000%, 11/01/19............................. 3,660 4,334,648 5.000%, 11/01/19............................. 1,000 1,184,330 Chino Valley Unified School District (GO) Series A 4.000%, 08/01/17............................. 500 546,845 City & County of San Francisco (GO) 4.000%, 06/15/14............................. 2,245 2,255,619 4.000%, 06/15/15............................. 2,000 2,085,000 5.000%, 06/15/16............................. 515 566,011 5.000%, 06/15/16............................. 705 774,830 City & County of San Francisco (GO) Series 2008-R1 5.000%, 06/15/14............................. 500 502,975 City & County of San Francisco (GO) Series A 5.000%, 06/15/14............................. 6,950 6,991,352 5.000%, 06/15/15............................. 750 790,192 5.000%, 06/15/15............................. 2,490 2,623,439 City & County of San Francisco (GO) Series R1 5.000%, 06/15/16............................. 3,500 3,846,675 5.000%, 06/15/20............................. 865 1,040,024 5.000%, 06/15/21............................. 250 303,170 City & County of San Francisco Road Repaving & Street Safety Services (GO) 4.000%, 06/15/14............................. 1,100 1,105,203 City of Bakersfield School District (GO) Series A (AGM) 4.000%, 11/01/14............................. 400 407,564 City of Folsom (GO) 4.000%, 08/01/14............................. 1,285 1,295,062
Face Amount Value+ ------ ------ (000) CALIFORNIA -- (Continued) City of Long Beach Harbor Revenue (RB) Series B 5.000%, 05/15/19............................. $ 815 $ 961,301 City of Los Angeles (GO) Series A 2.500%, 09/01/14............................. 5,850 5,894,811 3.000%, 09/01/15............................. 3,000 3,110,040 3.250%, 09/01/16............................. 500 533,145 5.000%, 09/01/20............................. 9,000 10,838,790 City of Los Angeles (GO) Series A (NATL-RE) 5.250%, 09/01/14............................. 2,000 2,033,040 City of Los Angeles (RB) Series A 4.000%, 06/01/14............................. 520 521,581 4.000%, 06/01/15............................. 2,000 2,077,840 City of Los Angeles Wastewater System Revenue (RB) Series A 5.000%, 06/01/14............................. 3,300 3,313,266 5.000%, 06/01/15............................. 10,000 10,516,100 City of Oakland (GO) 5.000%, 01/15/15............................. 500 516,825 City of San Francisco Public Utilities Commission Wastewater Revenue (RB) Series A 3.000%, 10/01/15............................. 275 285,566 City of San Francisco Public Utilities Commission Water Revenue (RB) 5.000%, 11/01/15............................. 1,150 1,230,776 City of San Francisco Public Utilities Commission Water Revenue (RB) (ETM) 5.000%, 11/01/15............................. 425 455,311 City of San Francisco Public Utilities Commission Water Revenue (RB) Series A (ETM) 5.000%, 11/01/14............................. 1,560 1,596,956 City of San Jose (GO) 5.000%, 09/01/14............................. 500 507,790 City of Saratoga (GO) 3.000%, 08/01/16............................. 450 475,119 City of Tulare Sewer Revenue (RB) (AGM) 3.000%, 11/15/19............................. 200 211,600 City of Vernon (RB) Series A 5.250%, 08/01/14............................. 1,300 1,315,028 Coast Community College District (GO) (NATL-RE) 5.250%, 08/01/14............................. 1,000 1,012,270 Colton Joint Unified School District (GO) 5.000%, 08/01/16............................. 1,000 1,093,940 Colton Joint Unified School District (GO) (AGM) 4.000%, 08/01/20............................. 1,000 1,110,530 Conejo Valley Unified School District (GO) 4.000%, 08/01/18............................. 700 773,115
76 DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO CONTINUED
Face Amount Value+ ------ ------ (000) CALIFORNIA -- (Continued) Contra Costa Community College District (GO) (NATL-RE FGIC) 5.000%, 08/01/14............................. $ 1,985 $ 2,008,185 Contra Costa County Public Financing Authority (RB) Series B (NATL-RE) 5.000%, 06/01/15............................. 1,700 1,785,272 Contra Costa Water Authority (RB) Series SER-A 1.000%, 10/01/15............................. 3,360 3,396,288 Contra Costa Water District (RB) Series B 4.000%, 10/01/14............................. 10,000 10,156,800 Contra Costa Water District (RB) Series Q 5.000%, 10/01/18............................. 705 819,943 County of Santa Clara (GO) Series B 5.000%, 08/01/18............................. 5,000 5,827,950 Cupertino Union School District (GO) Series B 4.000%, 08/01/15............................. 1,260 1,319,207 Davis Joint Unified School District Community Facilities District (ST) (AGM) 3.000%, 08/15/16............................. 955 994,155 Desert Sands Unified School District (GO) 4.000%, 08/01/18............................. 1,375 1,523,404 Desert Sands Unified School District (GO) (AGM) (currency) 5.000%, 06/01/21 (Pre-refunded @ $100, 6/1/14)................ 3,275 3,286,593 (currency) 5.000%, 06/01/29............................. (Pre-refunded @ $100, 6/1/14) 600 602,124 Dublin Unified School District (GO) 5.000%, 02/01/19............................. 11,775 13,770,745 East Bay Regional Park District (GO) Series A 4.000%, 09/01/21............................. 210 238,012 El Rancho Unified School District (GO) (AGM) 4.000%, 08/01/20............................. 780 873,967 Escondido Union School District (GO) Series B (NATL-RE FGIC) 5.500%, 08/01/14............................. 550 557,062 Fairfield-Suisun Sewer District (RB) (ASSURED GTY) 4.000%, 05/01/16............................. 1,625 1,738,425 Fairfield-Suisun Unified School District Financing Corp. (GO) 2.500%, 08/01/16............................. 750 782,152
Face Amount Value+ ------ ------ (000) CALIFORNIA -- (Continued) Folsom Cordova Unified School District School Facilities Improvement District No. 4 (GO) Series A (NATL-RE) 5.000%, 10/01/16.............................. $ 550 $ 606,590 Fontana Unified School District (GO) 5.000%, 08/01/18.............................. 3,140 3,618,976 5.000%, 08/01/19.............................. 1,285 1,501,574 4.000%, 08/01/20.............................. 3,620 4,047,088 Foothill-De Anza Community College District (GO) 4.000%, 08/01/19.............................. 550 624,069 Fremont Unified School District/ Alameda County (GO) 5.000%, 08/01/18.............................. 750 865,747 Fremont Union High School District (GO) (NATL-RE FGIC) 5.000%, 09/01/15.............................. 925 983,469 Fresno Unified School District (GO) Series A 2.000%, 08/01/14.............................. 720 723,182 4.000%, 08/01/16.............................. 1,695 1,815,887 Fresno Unified School District (GO) Series A (AGM) 4.000%, 08/01/17.............................. 1,820 1,984,419 Gilroy Public Facilities Financing Authority (RB) 4.000%, 11/01/14.............................. 400 406,968 Glendale Unified School District (GO) 4.000%, 09/01/15.............................. 1,160 1,217,861 Grossmont Union High School District (GO) 4.000%, 08/01/20.............................. 2,420 2,754,250 Grossmont Union High School District (GO) (NATL-RE) 5.000%, 08/01/15.............................. 1,160 1,228,254 Hemet Unified School District (GO) Series A (AGM) 5.750%, 08/01/14.............................. 500 506,155 5.625%, 08/01/15.............................. 355 376,250 Huntington Beach Public Financing Authority (RB) 3.000%, 09/01/16.............................. 950 993,947 Kern High School District (GO) Series C (NATL-RE FGIC) 5.500%, 08/01/14.............................. 650 658,060 Long Beach Unified School District (GO) Series A 4.000%, 08/01/14.............................. 2,335 2,356,622 5.000%, 08/01/14.............................. 1,000 1,011,650 Los Altos Elementary School District (GO) 5.000%, 08/01/19.............................. 975 1,160,923 Los Angeles Community College District (GO) Series A (AGM) 5.250%, 08/01/14.............................. 4,000 4,049,080
77 DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO CONTINUED
Face Amount Value+ ------ ------ (000) CALIFORNIA -- (Continued) Los Angeles Community College District (GO) Series F-1 3.250%, 08/01/14.............................. $ 2,300 $ 2,317,250 3.000%, 08/01/15.............................. 500 517,315 Los Angeles Convention & Exhibit Center Authority (RB) Series A 5.000%, 08/15/17.............................. 975 1,096,397 Los Angeles County Metropolitan Transportation Authority (RB) 5.000%, 07/01/18.............................. 4,650 5,423,806 5.000%, 07/01/19.............................. 4,000 4,757,640 Los Angeles County Metropolitan Transportation Authority (RB) (AMBAC) 5.000%, 07/01/14.............................. 500 504,055 Los Angeles County Metropolitan Transportation Authority (RB) Series A 4.000%, 07/01/15.............................. 11,825 12,339,151 Los Angeles Department of Water & Power (RB) Series A 5.000%, 07/01/14.............................. 4,715 4,753,003 5.000%, 07/01/16.............................. 1,100 1,210,748 5.000%, 07/01/19.............................. 2,990 3,539,891 Los Angeles Municipal Improvement Corp. (RB) Series A 4.000%, 11/01/14.............................. 2,770 2,819,195 4.000%, 11/01/16.............................. 1,795 1,934,884 5.000%, 03/01/17.............................. 4,300 4,771,022 Los Angeles Municipal Improvement Corp. (RB) Series A (NATL-RE FGIC) 4.000%, 01/01/16.............................. 400 423,120 Los Angeles Municipal Improvement Corp. (RB) Series C 3.000%, 03/01/16.............................. 750 783,547 Los Angeles Municipal Improvement Corp. (RB) Series E 5.000%, 09/01/14.............................. 690 700,433 Los Angeles Unified School District (GO) (NATL-RE) 5.750%, 07/01/14.............................. 2,230 2,250,984 5.750%, 07/01/15.............................. 1,370 1,457,707 Los Angeles Unified School District (GO) Series A 4.000%, 07/01/17.............................. 5,500 6,067,270 Los Angeles Unified School District (GO) Series A-1 (FGIC) 5.500%, 07/01/18.............................. 2,745 3,236,712 Los Angeles Unified School District (GO) Series A-2 5.000%, 07/01/21.............................. 2,200 2,655,862 Los Angeles Unified School District (GO) Series E (AMBAC) 5.000%, 07/01/15.............................. 875 923,449
Face Amount Value+ ------ ------ (000) CALIFORNIA -- (Continued) Los Angeles Unified School District (GO) Series G (AMBAC) 5.000%, 07/01/16............................. $ 930 $1,022,144 Los Angeles Unified School District (GO) Series KRY 5.000%, 07/01/15............................. 1,250 1,319,212 5.000%, 07/01/19............................. 3,390 4,007,895 Madera County Transportation Authority (RB) (AGM) 3.000%, 03/01/15............................. 1,020 1,037,075 Manhattan Beach Unified School District (GO) Series F 4.000%, 09/01/21............................. 500 559,830 Manteca Unified School District (GO) (AGM) (currency) 5.250%, 08/01/22 (Pre-refunded @ $100, 8/1/14)................ 500 506,150 Metropolitan Water District of Southern California (RB) Series B- 3 (NATL-RE) 5.000%, 10/01/14............................. 1,050 1,070,811 Metropolitan Water District of Southern California (RB) Series C 4.000%, 10/01/15............................. 900 947,718 Morgan Hill Unified School District (GO) Series A 2.000%, 08/01/15............................. 1,615 1,650,740 Mount Diablo Unified School District (GO) 5.000%, 02/01/19............................. 500 579,750 Mount San Antonio Community College District (GO) Series C (AGM) 4.000%, 09/01/14............................. 750 759,368 New Haven Unified School District (GO) (AGM) 12.000%, 08/01/16............................ 2,480 3,108,382 12.000%, 08/01/17............................ 1,500 2,026,815 4.000%, 08/01/19............................. 1,430 1,594,164 Northern California Power Agency (RB) Series A 5.000%, 07/01/17............................. 1,000 1,129,270 Oak Park Unified School District (GO) Series A 4.000%, 08/01/14............................. 600 605,298 Oakland-Alameda County Coliseum Authority (RB) Series A 5.000%, 02/01/17............................. 3,700 4,085,022 Oceanside Unified School District (GO) Series A (ASSURED GTY) 3.000%, 08/01/16............................. 350 367,129 Orange County (RB) Series A (NATL- RE) 5.000%, 06/01/15............................. 2,000 2,103,880
78 DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO CONTINUED
Face Amount Value+ ------ ------ (000) CALIFORNIA -- (Continued) Orange County Public Financing Authority (RB) (NATL-RE) 5.000%, 07/01/16............................. $3,000 $3,292,470 Orange County Sanitation District (RB) Series A 4.000%, 08/01/14............................. 4,410 4,450,969 Oxnard School District (GO) Series B (ASSURED GTY) 4.000%, 08/01/14............................. 500 504,170 Oxnard Union High School District (GO) 4.000%, 08/01/14............................. 475 479,365 Palm Springs Financing Authority (RB) Series A 3.000%, 11/01/15............................. 625 643,050 Palomar Pomerado Health (GO) Series A (AMBAC) 5.000%, 08/01/15............................. 500 528,455 Pasadena Unified School District (GO) 5.000%, 05/01/20............................. 550 656,733 Peralta Community College District (GO) 5.000%, 08/01/17............................. 1,000 1,131,950 5.000%, 08/01/19............................. 2,220 2,600,242 Peralta Community College District (GO) Series C 4.000%, 08/01/14............................. 500 504,595 5.000%, 08/01/15............................. 1,045 1,106,488 Piedmont Unified School District (GO) 2.000%, 08/01/14............................. 340 341,527 Pleasanton Unified School District (GO) (AGM) 5.250%, 08/01/16............................. 500 552,570 Poway Unified School District (GO) 3.250%, 08/01/18............................. 1,350 1,465,776 Poway Unified School District (ST) (AGM) 3.250%, 10/01/14............................. 3,500 3,541,825 Rancho Santiago Community College District (GO) 3.000%, 09/01/15............................. 1,195 1,238,833 Rancho Santiago Community College District (GO) (AGM) 5.250%, 09/01/16............................. 300 333,819 Riverside County Transportation Commission (RB) Series A 5.000%, 06/01/18............................. 500 580,260 Sacramento Area Flood Control Agency (SA) Series A (NATL-RE FGIC) 5.000%, 10/01/15............................. 765 815,842
Face Amount Value+ ------ ------ (000) CALIFORNIA -- (Continued) Sacramento County Sanitation District (GO) (AMBAC) (currency) 5.000%, 12/01/35 (Pre-refunded @ $100, 12/1/14)............... $ 4,040 $ 4,152,756 Sacramento County Sanitation District (RB) (NATL-RE) 5.000%, 08/01/14............................. 750 758,738 Sacramento Municipal Utility District (RB) Series U (AGM) 5.000%, 08/15/14............................. 1,000 1,013,520 5.000%, 08/15/17............................. 620 705,802 San Diego County Regional Transportation Commission (RB) Series A 4.000%, 04/01/18............................. 425 473,714 5.000%, 04/01/18............................. 1,285 1,481,387 San Diego Public Facilities Financing Authority (RB) Series A 4.500%, 05/15/14............................. 2,560 2,564,301 San Diego Public Facilities Financing Authority (RB) Series B 5.000%, 05/15/14............................. 1,000 1,001,870 5.000%, 05/15/16............................. 1,550 1,695,498 San Diego Public Facilities Financing Authority Sewer Revenue (RB) Series A 5.000%, 05/15/18............................. 350 404,982 San Diego Public Facilities Financing Authority Water Revenue (RB) Series A 5.000%, 08/01/16............................. 6,200 6,846,784 San Diego Public Facilities Financing Authority Water Revenue (RB) Series B 3.750%, 08/01/15............................. 250 260,943 San Diego Unified School District (GO) 2.000%, 07/01/15............................. 15,600 15,920,268 San Diego Unified School District (GO) Series B 1.000%, 07/01/15............................. 8,000 8,071,040 San Diego Unified School District (GO) Series F (AGM) (currency) 5.000%, 07/01/29 (Pre-refunded @ $100, 7/1/14)................ 1,555 1,566,849 San Francisco Community College District (GO) Series A (AGM) 5.000%, 06/15/15............................. 2,265 2,381,421 5.000%, 06/15/16............................. 2,495 2,724,939 San Francisco Community College District (GO) Series B (AGM) 5.000%, 06/15/14............................. 1,515 1,523,590
79 DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO CONTINUED
Face Amount Value+ ------ ------ (000) CALIFORNIA -- (Continued) San Francisco Community College District (GO) Series C 3.000%, 06/15/14.............................. $ 930 $ 933,032 4.000%, 06/15/16.............................. 845 905,172 4.000%, 06/15/18.............................. 485 531,332 San Francisco Community College District (GO) Series C (AGM) 5.000%, 06/15/14.............................. 1,015 1,020,755 San Francisco Unified School District (GO) 5.000%, 06/15/16.............................. 745 818,301 San Francisco Unified School District (GO) Series C (NATL-RE) 5.000%, 06/15/15.............................. 1,400 1,474,872 San Jose Unified School District (GO) (NATL-RE FGIC) 5.000%, 08/01/14.............................. 1,810 1,831,086 San Juan Unified School District (GO) (AGM) 4.000%, 08/01/14.............................. 625 630,788 4.000%, 08/01/15.............................. 600 628,122 San Juan Unified School District (GO) Series A 1.000%, 08/01/15.............................. 5,400 5,452,758 San Juan Unified School District (GO) Series B 3.000%, 08/01/16.............................. 700 740,523 San Leandro Unified School District (GO) Series B 4.000%, 08/01/21.............................. 265 289,695 San Marino Unified School District (GO) Series A 5.250%, 07/01/14.............................. 500 504,225 San Ramon Valley Unified School District (GO) 4.000%, 08/01/21.............................. 4,225 4,859,299 Santa Clara County (GO) 1.250%, 06/30/14.............................. 7,000 7,012,950 Santa Clara Unified School District (GO) 4.000%, 07/01/15.............................. 500 521,860 Santa Clara Valley Transportation Authority (RB) Series B 5.000%, 04/01/18.............................. 7,645 8,803,829 Santa Margarita-Dana Point Authority (RB) Series B (GO OF DIST) 4.000%, 08/01/17.............................. 1,000 1,092,010 Solano County Community College District (GO) (NATL-RE) 5.000%, 08/01/15.............................. 1,115 1,180,607 Southern California Public Power Authority (RB) 4.000%, 07/01/15.............................. 2,200 2,296,448 5.000%, 07/01/18.............................. 1,135 1,319,335 5.000%, 07/01/18.............................. 1,175 1,365,832
Face Amount Value+ ------ ------ (000) CALIFORNIA -- (Continued) Southwestern Community College District (GO) Series A 5.500%, 08/01/17............................. $ 275 $ 314,908 Union Elementary School District (GO) Series A 3.000%, 09/01/18............................. 1,130 1,211,462 University of California (RB) Series E (NATL-RE) 5.000%, 05/15/14............................. 3,180 3,186,042 University of California (RB) Series O 5.000%, 05/15/14............................. 3,275 3,281,222 Upland Unified School District (GO) 1.000%, 08/01/16............................. 900 907,794 Vista Unified School District (GO) (AGM) 4.000%, 08/01/15............................. 1,000 1,046,870 Washington Township Health Care District (GO) Series A 6.500%, 08/01/14............................. 750 761,370 Washington Unified School District- Yolo County (GO) 4.000%, 08/01/20............................. 1,000 1,121,100 West Contra Costa Unified School District (GO) (AGM) 5.000%, 08/01/17............................. 650 732,206 Westlands Water District (RB) Series A (AGM) 4.000%, 09/01/20............................. 1,045 1,176,451 Wiseburn School District (GO) Series A (NATL-RE) 5.000%, 08/01/15............................. 400 423,536 Yosemite Community College District (GO) 1.000%, 08/01/17............................. 1,850 1,859,435 ------------ TOTAL MUNICIPAL BONDS................................... 571,271,486 ------------
Shares ------ COMMERCIAL PAPER -- (3.4%) California State University, 0.060%.......... 7,415,000 7,414,852 City & County of San Francisco, 0.070%....... 12,985,000 12,984,740 ------------ TOTAL COMMERCIAL PAPER........................... 20,399,592 ------------ TEMPORARY CASH INVESTMENTS -- (1.3%) JPMorgan Tax Free Money Market Fund.......... 7,897,480 7,897,480 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $596,194,246)............................ $599,568,558 ============
80 DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) -------------------------------------------- Level 1 Level 2 Level 3 Total ---------- ------------ ------- ------------ Municipal Bonds............ -- $571,271,486 -- $571,271,486 Commercial Paper........... -- 20,399,592 -- 20,399,592 Temporary Cash Investments. $7,897,480 -- -- 7,897,480 ---------- ------------ -- ------------ TOTAL...................... $7,897,480 $591,671,078 -- $599,568,558 ========== ============ == ============
See accompanying Notes to Financial Statements. 81 DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2014 (Unaudited)
Face Amount Value+ ------ ------ (000) MUNICIPAL BONDS -- (98.6%) CALIFORNIA -- (98.6%) Albany Unified School District (GO) 4.000%, 08/01/21............................. $ 240 $ 269,098 Alhambra Unified School District (GO) Series A (ASSURED GTY) 5.250%, 08/01/18............................. 375 430,039 Alum Rock Union Elementary School District (GO) Series A 5.000%, 09/01/21............................. 730 862,101 Amador County Unified School District (GO) 4.000%, 08/01/19............................. 385 415,145 Anaheim Public Financing Authority (RB) 5.000%, 08/01/17............................. 500 565,975 Antelope Valley Union High School District (GO) 4.000%, 08/01/21............................. 500 569,960 5.000%, 08/01/22............................. 1,650 2,004,667 Azusa Unified School District (GO) 5.000%, 07/01/21............................. 425 496,935 Baldwin Park Unified School District (GO) (AGM) 5.000%, 08/01/17............................. 100 113,160 Berryessa Union School District (GO) (AMBAC) 5.375%, 08/01/18............................. 200 233,682 Buena Park School District (GO) (AGM) 2.500%, 08/01/21............................. 75 75,345 California Educational Facilities Authority (RB) 5.000%, 10/01/16............................. 500 548,170 California State (GO) 5.000%, 11/01/16............................. 150 166,676 5.000%, 09/01/18............................. 1,325 1,540,087 5.000%, 10/01/18............................. 250 291,112 5.500%, 04/01/19............................. 1,075 1,283,797 3.125%, 10/01/19............................. 100 108,190 5.000%, 10/01/19............................. 250 294,697 4.000%, 11/01/19............................. 135 152,187 5.000%, 10/01/20............................. 375 445,789 5.000%, 02/01/21............................. 700 831,761 5.000%, 04/01/21............................. 475 565,464 5.000%, 09/01/21............................. 3,705 4,427,845 5.000%, 02/01/22............................. 2,195 2,624,913 5.000%, 04/01/22............................. 1,000 1,197,330 4.000%, 09/01/22............................. 525 590,966 5.250%, 09/01/22............................. 940 1,146,527 5.250%, 10/01/22............................. 1,310 1,599,327 5.000%, 12/01/22............................. 900 1,082,628 5.000%, 02/01/23............................. 1,150 1,380,391
Face Amount Value+ ------ ------ (000) CALIFORNIA -- (Continued) California State (GO) Series B 5.000%, 09/01/23............................. $2,285 $2,751,003 California State Department of Water Resources (RB) Series AR 5.000%, 12/01/22............................. 3,210 3,948,075 5.000%, 12/01/23............................. 900 1,113,804 California State Department of Water Resources (RB) Series L 5.000%, 05/01/17............................. 450 508,423 5.000%, 05/01/20............................. 1,000 1,197,850 California State Department of Water Resources (RB) Series M 4.000%, 05/01/19............................. 455 515,806 California State Economic Recovery (GO) Series A 4.400%, 07/01/18............................. 410 466,240 California State University (RB) Series A 2.500%, 11/01/18............................. 1,500 1,584,975 5.000%, 11/01/19............................. 450 532,948 California State University (RB) Series C (AGM) 5.000%, 11/01/22............................. 100 120,542 Capistrano Unified School District School Facilities Improvement District No. 1 (GO) 4.000%, 08/01/22............................. 580 639,398 Chabot-Las Positas Community College District (GO) 5.000%, 08/01/22............................. 900 1,082,898 4.000%, 08/01/23............................. 1,970 2,208,922 Chaffey Community College District (GO) Series E 4.000%, 06/01/22............................. 335 378,312 Chino Valley Unified School District (GO) Series A 4.000%, 08/01/21............................. 200 222,124 Chula Vista Elementary School District (GO) 5.000%, 08/01/22............................. 1,835 2,162,621 City & County of San Francisco (GO) 4.000%, 06/15/20............................. 800 915,352 City & County of San Francisco (GO) Series A 5.000%, 06/15/22............................. 2,200 2,688,180 City & County of San Francisco (GO) Series R1 5.000%, 06/15/21............................. 470 569,960 City of El Monte School District (GO) Series A (ASSURED GTY) 5.000%, 08/01/15............................. 175 185,297
82 DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO CONTINUED
Face Amount Value+ ------ ------ (000) CALIFORNIA -- (Continued) City of Long Beach Harbor Revenue (RB) Series B 5.000%, 05/15/19............................. $ 250 $ 294,877 City of Los Angeles (GO) Series A 4.000%, 09/01/18............................. 780 879,442 City of Los Angeles (GO) Series B 5.000%, 09/01/19............................. 600 714,474 City of Riverside Water Revenue (RB) Series A 5.000%, 10/01/18............................. 300 348,912 City of Sacramento Unified School District (GO) 5.000%, 07/01/18............................. 300 344,232 City of San Francisco Public Utilities Commission Water Revenue (RB) Series A 5.000%, 11/01/15............................. 40 42,810 5.000%, 11/01/15............................. 135 144,628 Coachella Valley Unified School District (GO) (BAM) 4.000%, 08/01/22............................. 825 919,198 Colton Joint Unified School District (GO) 5.000%, 08/01/21............................. 900 1,055,916 Colton Joint Unified School District (GO) Series C (NATL-RE FGIC) 5.000%, 02/01/15............................. 140 144,862 Conejo Valley Unified School District (GO) 2.000%, 08/01/18............................. 2,350 2,402,922 4.000%, 08/01/18............................. 115 127,012 Contra Costa County Public Financing Authority (RB) Series B (NATL-RE) 5.000%, 06/01/15............................. 200 210,032 Contra Costa County Walnut Creek Elementary School District (GO) 1.500%, 09/01/17............................. 500 507,490 Culver City School Facilities Financing Authority (RB) (AGM GO OF DIST) 5.500%, 08/01/26............................. 855 1,065,595 Cupertino Union School District (GO) Series A 4.000%, 08/01/17............................. 275 304,103 Davis Joint Unified School District Community Facilities District (ST) (AGM) 3.000%, 08/15/22............................. 1,000 997,790 Davis Joint Unified School District Community Facilities District No. 2 (ST) (AGM) 3.000%, 08/15/19............................. 500 517,545
Face Amount Value+ ------ ------ (000) CALIFORNIA -- (Continued) Dublin Unified School District (GO) 5.000%, 08/01/23.............................. $1,665 $2,024,823 East Side Union High School District (GO) 4.000%, 08/01/21.............................. 600 674,886 East Side Union High School District (GO) Series D 3.000%, 08/01/19.............................. 825 883,666 El Dorado Irrigation District & El Dorado Water Agency (CP) Series A (ASSURED GTY) 4.000%, 08/01/16.............................. 530 560,623 El Rancho Unified School District (GO) (AGM) 4.000%, 08/01/21.............................. 1,285 1,433,495 Enterprise Elementary School District (GO) 4.000%, 09/01/19.............................. 500 552,100 Escondido Union School District (GO) Series B (NATL-RE FGIC) 5.000%, 08/01/15.............................. 450 476,653 5.000%, 08/01/16.............................. 400 437,480 Fallbrook Union Elementary School District (GO) Series A 5.000%, 08/01/20.............................. 200 233,998 Folsom Cordova Unified School District School Facilities Improvement District No. 4 (GO) Series A (NATL-RE) 5.000%, 10/01/16.............................. 500 551,445 Fontana Unified School District (GO) 5.000%, 08/01/19.............................. 600 701,124 4.000%, 08/01/21.............................. 1,585 1,765,928 4.000%, 08/01/22.............................. 875 971,469 Franklin-Mckinley School District (GO) (ASSURED GTY) 5.000%, 08/01/17.............................. 275 306,606 Grossmont Union High School District (GO) Series A 5.000%, 08/01/18.............................. 200 232,394 Huntington Beach Public Financing Authority (RB) 4.000%, 09/01/18.............................. 200 219,350 Jurupa Unified School District (GO) (AGM) 4.000%, 08/01/18.............................. 235 256,305 5.000%, 08/01/20.............................. 725 837,679 Liberty Union High School District (GO) 4.000%, 08/01/21.............................. 500 559,555 Lompoc Unified School District (GO) (ASSURED GTY) 5.250%, 08/01/20.............................. 540 639,657
83 DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO CONTINUED
Face Amount Value+ ------ ------ (000) CALIFORNIA -- (Continued) Los Angeles Convention & Exhibit Center Authority (RB) Series A 4.500%, 08/15/18.............................. $ 300 $ 337,017 Los Angeles County Metropolitan Transportation Authority (RB) 5.000%, 07/01/17.............................. 525 597,450 Los Angeles County Metropolitan Transportation Authority (RB) Series A 5.000%, 07/01/17.............................. 300 337,281 5.000%, 07/01/18.............................. 665 761,884 Los Angeles Department of Water & Power (RB) Series B 5.000%, 07/01/22.............................. 435 530,548 Los Angeles Municipal Improvement Corp. (RB) Series A 5.000%, 09/01/16.............................. 200 219,286 Los Angeles Municipal Improvement Corp. (RB) Series C 3.000%, 03/01/16.............................. 250 261,183 Los Angeles Unified School District (GO) (NATL-RE) 5.750%, 07/01/15.............................. 125 133,003 Los Angeles Unified School District (GO) Series A 3.000%, 07/01/19.............................. 475 514,396 5.000%, 07/01/20.............................. 150 179,198 2.000%, 07/01/22.............................. 630 621,564 Los Angeles Unified School District (GO) Series D 4.000%, 07/01/17.............................. 200 220,628 Los Angeles Unified School District (GO) Series KRY 5.000%, 07/01/15.............................. 250 263,843 5.000%, 07/01/18.............................. 750 869,145 Los Rios Community College District (GO) Series B 5.000%, 08/01/23.............................. 510 614,116 Lynwood Unified School District (GO) (AGM) 5.000%, 08/01/21.............................. 450 519,223 5.000%, 08/01/22.............................. 485 563,003 Manhattan Beach Unified School District (GO) Series C 3.500%, 09/01/21.............................. 1,185 1,286,957 Manhattan Beach Unified School District (GO) Series E 3.000%, 09/01/22.............................. 560 586,494 Mendocino-Lake Community College District (GO) Series A (NATL-RE) 5.000%, 08/01/17.............................. 100 112,408 Menifee Union School District (GO) 3.000%, 08/01/23.............................. 670 673,216 Merced Union High School District (GO) Series A (ASSURED GTY) 4.000%, 08/01/18.............................. 250 274,490
Face Amount Value+ ------ ------ (000) CALIFORNIA -- (Continued) Montebello Unified School District (GO) 5.000%, 08/01/20............................. $ 415 $ 486,874 Morongo Unified School District (GO) 3.000%, 08/01/22............................. 480 485,592 Mount Diablo Unified School District (GO) 3.250%, 08/01/19............................. 500 541,815 New Haven Unified School District (GO) (ASSURED GTY) 5.000%, 08/01/19............................. 150 174,707 Oakland Joint Powers Financing Authority (RB) Series B (ASSURED GTY) 4.500%, 08/01/18............................. 500 568,650 Oceanside Unified School District (GO) 4.000%, 08/01/17............................. 300 327,204 Oxnard Union High School District (GO) 4.000%, 08/01/21............................. 320 358,115 4.000%, 08/01/22............................. 500 556,305 Oxnard Union High School District (GO) Series A (AGM) 4.000%, 08/01/15............................. 245 255,920 Peralta Community College District (GO) 5.000%, 08/01/17............................. 100 113,195 Peralta Community College District (GO) (AGM) 5.000%, 08/01/15............................. 200 211,768 Placentia-Yorba Linda Unified School District (GO) Series A 5.000%, 08/01/18............................. 275 319,542 Plumas Unified School District (GO) (AGM) 5.250%, 08/01/21............................. 800 939,032 Pomona Unified School District (GO) Series C 4.000%, 08/01/16............................. 250 265,585 Porterville Unified School District Facilities Improvement District (GO) Series B (AGM) 5.000%, 08/01/18............................. 450 515,835 5.000%, 08/01/19............................. 325 377,647 Poway Unified School District (GO) 5.000%, 08/01/19............................. 200 235,248 Rancho Santiago Community College District (GO) (AGM) 5.250%, 09/01/20............................. 500 608,305 Redlands Financing Authority (RB) Series A 5.000%, 09/01/22............................. 1,290 1,551,315 Roseville City School District (GO) 5.000%, 08/01/17............................. 400 451,956
84 DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO CONTINUED
Face Amount Value+ ------ ------ (000) CALIFORNIA -- (Continued) Sacramento Municipal Utility District (RB) Series U (AGM) 5.000%, 08/15/17............................. $ 125 $ 142,299 San Diego County Regional Transportation Commission (RB) Series A 5.000%, 04/01/18............................. 1,365 1,573,613 San Diego County Water Authority (RB) Series A 4.000%, 05/01/17............................. 450 494,689 San Diego Public Facilities Financing Authority Water Revenue (RB) Series A 5.000%, 08/01/16............................. 400 441,728 San Diego Unified School District (GO) 3.000%, 07/01/23............................. 1,140 1,199,736 San Diego Unified School District (GO) Series C-2 (AGM) 5.500%, 07/01/21............................. 600 742,500 5.500%, 07/01/25............................. 2,000 2,545,080 San Dieguito Union High School District (GO) Series A-2 5.000%, 08/01/23............................. 490 601,823 San Juan Unified School District (GO) 5.000%, 08/01/22............................. 800 967,920 San Juan Unified School District (GO) Series B 3.000%, 08/01/16............................. 260 275,051 San Ramon Valley Unified School District (GO) 4.000%, 08/01/21............................. 1,500 1,725,195 Santa Ana Unified School District (GO) Series A 5.000%, 08/01/18............................. 275 315,601 Santa Clara Unified School District (GO) 5.000%, 07/01/20............................. 1,000 1,196,590 Santa Cruz City High School District (GO) 4.000%, 08/01/22............................. 715 794,951 Santa Monica Community College District (GO) 5.000%, 08/01/22............................. 225 270,725 Santa Monica Public Financing Authority (RB) Series B 4.000%, 12/01/19............................. 175 199,308 Saugus Union School District (GO) (NATL-RE FGIC) 5.250%, 08/01/17............................. 500 568,925 Saugus/Hart School Facilities Financing Authority (RB) Series B 5.000%, 09/01/15............................. 300 318,384
Face Amount Value+ ------ ------ (000) CALIFORNIA -- (Continued) Sequoia Union High School District (GO) Series A 4.000%, 07/01/16............................. $ 360 $ 388,598 Southern California Public Power Authority (RB) 5.000%, 07/01/18............................. 250 290,603 4.000%, 07/01/19............................. 400 454,324 Stockton Unified School District (GO) (AGM) 5.000%, 07/01/20............................. 150 174,803 Val Verde Unified School District (GO) Series B (AGM) 3.000%, 08/01/17............................. 200 212,254 Vista Unified School District (GO) 5.000%, 08/01/22............................. 250 300,390 West Contra Costa Unified School District (GO) (AGM) 5.000%, 08/01/17............................. 195 219,662 West Contra Costa Unified School District (GO) (ASSURED GTY) 5.000%, 08/01/17............................. 175 197,132 West Contra Costa Unified School District (GO) Series B 6.000%, 08/01/20............................. 1,065 1,315,062 West Covina Unified School District (GO) (AGM) 5.000%, 08/01/21............................. 385 448,914 Western Riverside County Regional Wastewater Authority (RB) (ASSURED GTY) 5.000%, 09/01/19............................. 250 280,163 Wright Elementary School District (GO) Series A 3.000%, 08/01/20............................. 165 174,331 Yosemite Union High School District (GO) (AGM) 4.000%, 08/01/19............................. 395 423,511 Yuba Community College District (GO) Series C 5.000%, 08/01/17............................. 240 271,502 ------------ TOTAL MUNICIPAL BONDS............................ 114,794,080 ------------
Shares ------ - TEMPORARY CASH INVESTMENTS -- (1.4%) JPMorgan Tax Free Money Market Fund.......... 1,658,320 1,658,320 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $115,089,733)............................ $116,452,400 ============
85 DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) -------------------------------------------- Level 1 Level 2 Level 3 Total ---------- ------------ ------- ------------ Municipal Bonds............ -- $114,794,080 -- $114,794,080 Temporary Cash Investments. $1,658,320 -- -- 1,658,320 ---------- ------------ -- ------------ TOTAL...................... $1,658,320 $114,794,080 -- $116,452,400 ========== ============ == ============
See accompanying Notes to Financial Statements. 86 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2014 (Unaudited) (Amounts in thousands, except share and per share amounts)
DFA DFA Two-Year Selectively DFA Short- DFA One-Year Global Fixed Hedged Global Term Fixed Income Income Fixed Income Government Portfolio Portfolio Portfolio Portfolio -------------- -------------- ------------- ------------ ASSETS: Investments at Value (including $49,219, $16,187, $0 and $0 of securities on loan, respectively)................ $ 9,107,923 $ 5,885,234 $ 978,490 $ 1,871,864 Temporary Cash Investments at Value & Cost.................. 54,445 -- -- 10,536 Collateral from Securities on Loan Invested in Affiliate at Value & Cost............................................... 50,246 16,524 -- -- Foreign Currencies at Value................................. -- 7 -- -- Cash........................................................ -- 76,604 17,935 -- Receivables: Investment Securities Sold................................ 50,100 50,726 5,106 25,660 Interest.................................................. 36,714 42,352 8,658 16,752 Securities Lending Income................................. 6 1 -- -- Fund Shares Sold.......................................... 11,726 4,629 1,124 2,706 Unrealized Gain on Forward Currency Contracts............... -- 1,828 2,470 -- Prepaid Expenses and Other Assets........................... 79 80 19 29 -------------- -------------- ------------ ------------ Total Assets........................................... 9,311,239 6,077,985 1,013,802 1,927,547 -------------- -------------- ------------ ------------ LIABILITIES: Payables: Upon Return of Securities Loaned.......................... 50,246 16,524 -- -- Investment Securities Purchased........................... 72,001 92,678 7,495 28,193 Fund Shares Redeemed...................................... 4,641 3,418 807 1,047 Due to Advisor............................................ 1,131 729 122 264 Unrealized Loss on Forward Currency Contracts............... -- 23,569 532 -- Accrued Expenses and Other Liabilities...................... 595 448 51 107 -------------- -------------- ------------ ------------ Total Liabilities...................................... 128,614 137,366 9,007 29,611 -------------- -------------- ------------ ------------ NET ASSETS.................................................. $ 9,182,625 $ 5,940,619 $ 1,004,795 $ 1,897,936 ============== ============== ============ ============ Institutional Class Shares -- based on net assets of $9,182,625; $5,940,619; $1,004,795 and $1,897,936 and shares outstanding of 889,404,877; 593,666,658; 98,462,452 and 177,816,066, respectively................... $ 10.32 $ 10.01 $ 10.20 $ 10.67 ============== ============== ============ ============ NUMBER OF SHARES AUTHORIZED................................. 2,000,000,000 2,000,000,000 300,000,000 500,000,000 ============== ============== ============ ============ Investments at Cost......................................... $ 9,097,121 $ 5,851,940 $ 972,696 $ 1,869,378 ============== ============== ============ ============ Foreign Currencies at Cost.................................. $ -- $ 7 $ -- $ -- ============== ============== ============ ============ NET ASSETS CONSIST OF: Paid-In Capital............................................. $ 9,168,583 $ 5,972,906 $ 1,000,161 $ 1,892,698 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........................... 2,290 5,452 5,190 2,113 Accumulated Net Realized Gain (Loss)........................ 950 (49,817) (8,324) 639 Net Unrealized Foreign Exchange Gain (Loss)................. -- (21,216) 1,974 -- Net Unrealized Appreciation (Depreciation).................. 10,802 33,294 5,794 2,486 -------------- -------------- ------------ ------------ NET ASSETS.................................................. $ 9,182,625 $ 5,940,619 $ 1,004,795 $ 1,897,936 ============== ============== ============ ============
See accompanying Notes to Financial Statements. 87 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2014 (Unaudited) (Amounts in thousands, except share and per share amounts)
DFA World ex DFA DFA Five-Year U.S. Intermediate DFA Short- Global Fixed Government Government Term Extended Income Fixed Income Fixed Income Quality Portfolio Portfolio Portfolio Portfolio -------------- ------------ ------------ ------------- ASSETS: Investments at Value (including $412,915, $0, $0 and $204,001 of securities on loan, respectively).............. $ 8,649,489 $ 279,793 $ 3,515,450 $ 3,431,139 Temporary Cash Investments at Value & Cost.................. -- -- 15,614 -- Collateral from Securities on Loan Invested in Affiliate at Value & Cost............................................... 422,150 -- -- 208,575 Foreign Currencies at Value................................. -- 726 -- 16 Cash........................................................ 65,456 2,653 -- 31,386 Receivables: Investment Securities Sold................................ 160,307 -- -- -- Interest.................................................. 40,080 2,901 44,077 24,281 Securities Lending Income................................. 48 -- -- 15 Fund Shares Sold.......................................... 9,508 172 3,068 4,170 Unrealized Gain on Forward Currency Contracts............... 1,617 19 -- 14 Unrealized Gain on Foreign Currency Contracts............... -- 2 -- -- Prepaid Expenses and Other Assets........................... 103 15 44 62 -------------- ------------ ------------ ------------ Total Assets........................................... 9,348,758 286,281 3,578,253 3,699,658 -------------- ------------ ------------ ------------ LIABILITIES: Payables: Upon Return of Securities Loaned.......................... 422,150 -- -- 208,575 Investment Securities Purchased........................... 196,852 543 -- 24,991 Fund Shares Redeemed...................................... 4,834 65 406 2,556 Due to Advisor............................................ 1,771 37 290 555 Unrealized Loss on Forward Currency Contracts............... 18,579 1,497 -- 1,013 Accrued Expenses and Other Liabilities...................... 448 12 186 129 -------------- ------------ ------------ ------------ Total Liabilities...................................... 644,634 2,154 882 237,819 -------------- ------------ ------------ ------------ NET ASSETS.................................................. $ 8,704,124 $ 284,127 $ 3,577,371 $ 3,461,839 ============== ============ ============ ============ Institutional Class Shares -- based on net assets of $8,704,124; $284,127; $3,577,371 and $3,461,839 and shares outstanding of 794,417,268; 27,606,467; 286,149,768 and 319,017,976, respectively.................. $ 10.96 $ 10.29 $ 12.50 $ 10.85 ============== ============ ============ ============ NUMBER OF SHARES AUTHORIZED................................. 1,500,000,000 100,000,000 700,000,000 500,000,000 ============== ============ ============ ============ Investments at Cost......................................... $ 8,589,411 $ 276,447 $ 3,423,774 $ 3,402,798 ============== ============ ============ ============ Foreign Currencies at Cost.................................. $ -- $ 724 $ -- $ 16 ============== ============ ============ ============ NET ASSETS CONSIST OF: Paid-In Capital............................................. $ 8,652,163 $ 283,737 $ 3,470,819 $ 3,431,893 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........................... 18,897 873 13,692 4,193 Accumulated Net Realized Gain (Loss)........................ (10,286) (2,394) 1,184 (1,615) Net Unrealized Foreign Exchange Gain (Loss)................. (16,728) (1,437) -- (973) Net Unrealized Appreciation (Depreciation).................. 60,078 3,348 91,676 28,341 -------------- ------------ ------------ ------------ NET ASSETS.................................................. $ 8,704,124 $ 284,127 $ 3,577,371 $ 3,461,839 ============== ============ ============ ============
See accompanying Notes to Financial Statements. 88 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2014 (Unaudited) (Amounts in thousands, except share and per share amounts)
DFA Intermediate- DFA Inflation- DFA Short- Term Extended DFA Protected Duration Real Quality Investment Securities Return Portfolio Grade Portfolio Portfolio Portfolio ------------- --------------- -------------- ------------- ASSETS: Investments in Affiliated Investment Companies at Value............. -- $ 1,970,799 -- -- Investments at Value (including $312,452, $0, $0 and $0 of securities on loan, respectively).................................. $ 1,737,950 -- $ 2,476,938 $ 356,668 Temporary Cash Investments at Value & Cost.......................... -- 5,281 15,523 -- Temporary Cash...................................................... 19,996 -- -- 8,265 Collateral from Securities on Loan Invested in Affiliate at Value & Cost............................................................... 319,788 -- -- -- Receivables: Investment Securities Sold........................................ 35,748 -- 5,942 -- Interest.......................................................... 17,534 1 8,138 2,262 Securities Lending Income......................................... 36 -- -- -- Fund Shares Sold.................................................. 2,201 4,292 2,243 4,950 Unrealized Gain on Swap Contracts................................... -- -- -- 868 Unrealized Gain on Forward Currency Contracts....................... -- -- -- 1 Deferred Offering Costs............................................. -- -- -- 38 Prepaid Expenses and Other Assets................................... 15 65 26 21 ------------ ------------ ------------ ------------ Total Assets................................................... 2,133,268 1,980,438 2,508,810 373,073 ------------ ------------ ------------ ------------ LIABILITIES: Payables: Upon Return of Securities Loaned.................................. 319,788 -- -- -- Investment Securities Purchased................................... 52,986 2,235 11,480 4,773 Fund Shares Redeemed.............................................. 224 714 2,008 129 Due to Advisor.................................................... 287 34 203 35 Unrealized Loss on Swap Contracts................................... -- -- -- 185 Unrealized Loss on Forward Currency Contracts....................... 112 -- -- 77 Accrued Expenses and Other Liabilities.............................. 56 30 144 14 ------------ ------------ ------------ ------------ Total Liabilities.............................................. 373,453 3,013 13,835 5,213 ------------ ------------ ------------ ------------ NET ASSETS.......................................................... $ 1,759,815 $ 1,977,425 $ 2,494,975 $ 367,860 ============ ============ ============ ============ Institutional Class Shares -- based on net assets of $1,759,815; $1,977,425; $2,494,975 and $367,860 and shares outstanding of 165,067,861; 185,675,158; 210,610,618 and 36,644,812, respectively....................................................... $ 10.66 $ 10.65 $ 11.85 $ 10.04 ============ ============ ============ ============ NUMBER OF SHARES AUTHORIZED......................................... 300,000,000 200,000,000 500,000,000 100,000,000 ============ ============ ============ ============ Investments in Affiliated Investment Companies at Cost.............. $ -- $ 1,972,805 $ -- $ -- ------------ ------------ ------------ ------------ Investments at Cost................................................. $ 1,727,399 $ -- $ 2,409,564 $ 355,648 ============ ============ ============ ============ NET ASSETS CONSIST OF: Paid-In Capital..................................................... $ 1,742,137 $ 1,977,321 $ 2,411,949 $ 365,505 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)............................................. 4,454 2,557 9,749 876 Accumulated Net Realized Gain (Loss)................................ 2,781 (447) 5,903 (150) Net Unrealized Foreign Exchange Gain (Loss)......................... (108) -- -- (74) Net Unrealized Appreciation (Depreciation).......................... 10,551 (2,006) 67,374 1,703 ------------ ------------ ------------ ------------ NET ASSETS.......................................................... $ 1,759,815 $ 1,977,425 $ 2,494,975 $ 367,860 ============ ============ ============ ============
See accompanying Notes to Financial Statements. 89 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2014 (Unaudited) (Amounts in thousands, except share and per share amounts)
DFA DFA California DFA Short- Intermediate- DFA California Intermediate- Term Term Short-Term Term Municipal Municipal Municipal Municipal Bond Portfolio Bond Portfolio Bond Portfolio Bond Portfolio -------------- -------------- -------------- -------------- ASSETS: Investments at Value.................................. $ 1,972,522 $ 369,140 $ 591,672 $ 114,794 Temporary Cash Investments at Value & Cost............ 2,943 7,231 7,897 1,658 Receivables: Interest............................................ 25,421 3,780 6,908 1,079 Fund Shares Sold.................................... 2,410 1,242 3,716 218 Prepaid Expenses and Other Assets..................... 67 50 15 11 ------------ ------------ ------------ ------------ Total Assets..................................... 2,003,363 381,443 610,208 117,760 ------------ ------------ ------------ ------------ LIABILITIES: Payables: Fund Shares Redeemed................................ 1,636 622 506 8 Due to Advisor...................................... 327 57 99 18 Accrued Expenses and Other Liabilities................ 107 14 28 5 ------------ ------------ ------------ ------------ Total Liabilities................................ 2,070 693 633 31 ------------ ------------ ------------ ------------ NET ASSETS............................................ $ 2,001,293 $ 380,750 $ 609,575 $ 117,729 ============ ============ ============ ============ Institutional Class Shares -- based on net assets of $2,001,293; $380,750; $609,575 and $117,729 and shares outstanding of 196,012,744; 38,221,041; 59,194,134 and 11,403,227, respectively.............. $ 10.21 $ 9.96 $ 10.30 $ 10.32 ============ ============ ============ ============ NUMBER OF SHARES AUTHORIZED........................... 500,000,000 100,000,000 300,000,000 100,000,000 ============ ============ ============ ============ Investments at Cost................................... $ 1,961,993 $ 365,827 $ 588,297 $ 113,432 ============ ============ ============ ============ NET ASSETS CONSIST OF: Paid-In Capital....................................... $ 1,989,323 $ 376,890 $ 605,755 $ 116,224 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)..................... 1,507 559 453 178 Accumulated Net Realized Gain (Loss).................. (66) (12) (8) (35) Net Unrealized Appreciation (Depreciation)............ 10,529 3,313 3,375 1,362 ------------ ------------ ------------ ------------ NET ASSETS............................................ $ 2,001,293 $ 380,750 $ 609,575 $ 117,729 ============ ============ ============ ============
See accompanying Notes to Financial Statements. 90 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2014 (Unaudited) (Amounts in thousands)
DFA DFA Two- Selectively DFA One- Year Global Hedged DFA Short- Year Fixed Fixed Global Fixed Term Income Income Income Government Portfolio Portfolio Portfolio Portfolio ---------- ----------- ------------ ---------- Investment Income Interest................................................ $21,226 $ 19,987 $ 7,997 $ 7,947 Income from Securities Lending.......................... 62 142 -- -- ------- -------- ------- ------- Total Investment Income.............................. 21,288 20,129 7,997 7,947 ------- -------- ------- ------- Expenses Investment Advisory Services Fees....................... 2,177 1,423 716 1,546 Administrative Services Fees............................ 4,353 2,845 -- -- Accounting & Transfer Agent Fees........................ 251 165 29 54 Custodian Fees.......................................... 91 156 13 9 Filing Fees............................................. 150 98 25 35 Shareholders' Reports................................... 84 75 12 22 Directors'/Trustees' Fees & Expenses.................... 59 39 6 12 Professional Fees....................................... 101 62 11 20 Other................................................... 40 27 6 10 ------- -------- ------- ------- Total Expenses....................................... 7,306 4,890 818 1,708 ------- -------- ------- ------- Fees Paid Indirectly.................................... -- (16) (4) -- ------- -------- ------- ------- Net Expenses............................................ 7,306 4,874 814 1,708 ------- -------- ------- ------- Net Investment Income (Loss)............................ 13,982 15,255 7,183 6,239 ------- -------- ------- ------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold............................ 1,758 (24,137) (5,147) 866 Foreign Currency Transactions......................... -- (24,827) (3,070) -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency............ 666 58,029 10,311 (2,257) Translation of Foreign Currency Denominated Amounts... -- (10,843) 2,700 -- ------- -------- ------- ------- Net Realized and Unrealized Gain (Loss)................. 2,424 (1,778) 4,794 (1,391) ------- -------- ------- ------- Net Increase (Decrease) in Net Assets Resulting from Operations............................................... $16,406 $ 13,477 $11,977 $ 4,848 ======= ======== ======= =======
See accompanying Notes to Financial Statements. 91 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2014 (Unaudited) (Amounts in thousands)
DFA Five- DFA World ex DFA DFA Short- Year U.S. Intermediate Term GlobalFixed Government Government Extended Income Fixed Income Fixed Income Quality Portfolio Portfolio Portfolio Portfolio ----------- ------------ ------------ ---------- Investment Income Interest...................................................... $ 61,580 $ 2,638 $42,447 $27,920 Income from Securities Lending................................ 304 -- -- 183 -------- ------- ------- ------- Total Investment Income.................................... 61,884 2,638 42,447 28,103 -------- ------- ------- ------- Expenses Investment Advisory Services Fees............................. 10,179 235 1,695 3,336 Accounting & Transfer Agent Fees.............................. 236 9 100 96 Custodian Fees................................................ 176 11 18 29 Filing Fees................................................... 160 16 60 99 Shareholders' Reports......................................... 112 2 48 25 Directors'/Trustees' Fees & Expenses.......................... 53 2 23 20 Professional Fees............................................. 88 2 38 29 Other......................................................... 42 2 20 15 -------- ------- ------- ------- Total Expenses............................................. 11,046 279 2,002 3,649 -------- ------- ------- ------- Fees (Waived), Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C)........................... -- (19) -- 21 Fees Paid Indirectly.......................................... (22) (1) -- (21) -------- ------- ------- ------- Net Expenses.................................................. 11,024 259 2,002 3,649 -------- ------- ------- ------- Net Investment Income (Loss).................................. 50,860 2,379 40,445 24,454 -------- ------- ------- ------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold.................................. 53,247 1,952 1,420 825 Foreign Currency Transactions............................... (62,825) (4,327) -- (4,429) In-Kind Redemptions......................................... -- -- -- 2,482 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................. 19,307 5,663 (6,513) 4,776 Translation of Foreign Currency Denominated Amounts......... (9,191) 667 -- (2,221) -------- ------- ------- ------- Net Realized and Unrealized Gain (Loss)....................... 538 3,955 (5,093) 1,433 -------- ------- ------- ------- Net Increase (Decrease) in Net Assets Resulting from Operations..................................................... $ 51,398 $ 6,334 $35,352 $25,887 ======== ======= ======= =======
See accompanying Notes to Financial Statements. 92 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2014 (Unaudited) (Amounts in thousands)
DFA Intermediate- DFA Term DFA Inflation- DFA Short- Extended Investment Protected Duration Real Quality Grade Securities Return Portfolio Portfolio Portfolio Portfolio(a) ------------- ---------- ---------- ------------- Investment Income Income Distributions Received from Affiliated Investment Companies...................................................... -- $21,951 -- $ 715 Interest........................................................ $25,811 2 $ 13,569 449 Income from Securities Lending.................................. 148 -- -- -- ------- ------- -------- ------ Total Investment Income...................................... 25,959 21,953 13,569 1,164 ------- ------- -------- ------ Expenses Investment Advisory Services Fees............................... 1,579 1,770 1,217 190 Accounting & Transfer Agent Fees................................ 47 24 72 11 Custodian Fees.................................................. 10 -- 13 3 Filing Fees..................................................... 41 81 46 10 Shareholders' Reports........................................... 9 18 43 -- Directors'/Trustees' Fees & Expenses............................ 9 10 17 1 Professional Fees............................................... 13 4 28 24 Organizational & Offering Costs................................. -- -- -- 69 Other........................................................... 6 3 15 -- ------- ------- -------- ------ Total Expenses............................................... 1,714 1,910 1,451 308 ------- ------- -------- ------ Fees (Waived), Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C)............................. 22 (1,564) -- (196) ------- ------- -------- ------ Net Expenses.................................................... 1,736 346 1,451 112 ------- ------- -------- ------ Net Investment Income (Loss).................................... 24,223 21,607 12,118 1,052 ------- ------- -------- ------ Realized and Unrealized Gain (Loss) Capital Gain Distributions Received from Affiliated Investment Companies -- 616 -- 123 Net Realized Gain (Loss) on: Investment Securities Sold.................................... 3,748 (886) 10,537 (145) Foreign Currency Transactions................................. (498) -- -- (128) Change in Unrealized Appreciation (Depreciation) of: Investment Securities......................................... 23,127 17,877 (15,407) 1,020 Swap Contracts................................................ -- -- -- 683 Translation of Foreign Currency Denominated Amounts........... (100) -- -- (74) ------- ------- -------- ------ Net Realized and Unrealized Gain (Loss)......................... 26,277 17,607 (4,870) 1,479 ------- ------- -------- ------ Net Increase (Decrease) in Net Assets Resulting from Operations....................................................... $50,500 $39,214 $ 7,248 $2,531 ======= ======= ======== ======
---------- (a)The Portfolio commenced operations on November 5, 2013. See accompanying Notes to Financial Statements. 93 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2014 (Unaudited) (Amounts in thousands)
DFA DFA DFA California DFA Short- Intermediate- California Intermediate- Term Term Short-Term Term Municipal Municipal Municipal Municipal Bond Bond Bond Bond Portfolio Portfolio Portfolio Portfolio ---------- ------------- ---------- ------------- Investment Income Interest...................................................... $10,345 $3,239 $3,123 $1,043 ------- ------ ------ ------ Total Investment Income.................................... 10,345 3,239 3,123 1,043 ------- ------ ------ ------ Expenses Investment Advisory Services Fees............................. 1,868 321 562 106 Accounting & Transfer Agent Fees.............................. 55 11 18 5 Custodian Fees................................................ 10 3 5 1 Filing Fees................................................... 50 39 12 10 Shareholders' Reports......................................... 17 2 4 1 Directors'/Trustees' Fees & Expenses.......................... 12 2 3 1 Professional Fees............................................. 20 2 5 1 Other......................................................... 11 1 3 1 ------- ------ ------ ------ Total Expenses............................................. 2,043 381 612 126 ------- ------ ------ ------ Fees (Waived), Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C)........................... -- (12) -- (4) ------- ------ ------ ------ Net Expenses.................................................. 2,043 369 612 122 ------- ------ ------ ------ Net Investment Income (Loss).................................. 8,302 2,870 2,511 921 ------- ------ ------ ------ Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold.................................. -- -- -- 77 Change in Unrealized Appreciation (Depreciation) of: Investment Securities....................................... (4,150) 4,734 (558) 1,691 ------- ------ ------ ------ Net Realized and Unrealized Gain (Loss)....................... (4,150) 4,734 (558) 1,768 ------- ------ ------ ------ Net Increase (Decrease) in Net Assets Resulting from Operations..................................................... $ 4,152 $7,604 $1,953 $2,689 ======= ====== ====== ======
See accompanying Notes to Financial Statements. 94 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
DFA Selectively Hedged DFA One-Year Fixed DFA Two-Year Global Global Fixed Income Income Portfolio Fixed Income Portfolio Portfolio ------------------------ ----------------------- --------------------- Six Months Year Six Months Year Six Months Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31, 2014 2013 2014 2013 2014 2013 ----------- ----------- ----------- ----------- ----------- --------- (Unaudited) (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).......... $ 13,982 $ 29,962 $ 15,255 $ 26,491 $ 7,183 $ 15,063 Net Realized Gain (Loss) on: Investment Securities Sold........... 1,758 7,207 (24,137) 85,746 (5,147) (1,684) Foreign Currency Transactions........ -- -- (24,827) (84,623) (3,070) (3,286) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency............................ 666 (5,937) 58,029 (13,289) 10,311 (8,484) Translation of Foreign Currency Denominated Amounts................. -- -- (10,843) 9,862 2,700 2,566 ----------- ----------- ---------- ----------- ---------- --------- Net Increase (Decrease) in Net Assets Resulting from Operations......................... 16,406 31,232 13,477 24,187 11,977 4,175 ----------- ----------- ---------- ----------- ---------- --------- Distributions From: Net Investment Income: Institutional Class Shares........... (13,114) (31,268) (37,291) (45,496) (11,485) (20,638) Net Short-Term Gains: Institutional Class Shares........... (2,481) (9,466) (3,882) (9,165) (1,424) (583) Net Long-Term Gains: Institutional Class Shares........... (4,135) (7,281) (2,218) (1,375) (95) -- ----------- ----------- ---------- ----------- ---------- --------- Total Distributions................. (19,730) (48,015) (43,391) (56,036) (13,004) (21,221) ----------- ----------- ---------- ----------- ---------- --------- Capital Share Transactions (1): Shares Issued......................... 2,580,374 4,613,151 1,017,431 2,087,897 172,936 331,473 Shares Issued in Lieu of Cash Distributions........................ 18,482 45,136 40,219 52,403 12,836 19,987 Shares Redeemed....................... (1,502,618) (3,646,057) (639,315) (1,227,346) (165,237) (212,530) ----------- ----------- ---------- ----------- ---------- --------- Net Increase (Decrease) from Capital Share Transactions......... 1,096,238 1,012,230 418,335 912,954 20,535 138,930 ----------- ----------- ---------- ----------- ---------- --------- Total Increase (Decrease) in Net Assets............................. 1,092,914 995,447 388,421 881,105 19,508 121,884 Net Assets Beginning of Period................... 8,089,711 7,094,264 5,552,198 4,671,093 985,287 863,403 ----------- ----------- ---------- ----------- ---------- --------- End of Period......................... $ 9,182,625 $ 8,089,711 $5,940,619 $ 5,552,198 $1,004,795 $ 985,287 =========== =========== ========== =========== ========== ========= (1) Shares Issued and Redeemed: Shares Issued......................... 249,977 446,607 101,534 207,694 17,141 32,512 Shares Issued in Lieu of Cash Distributions........................ 1,791 4,372 4,019 5,219 1,282 1,950 Shares Redeemed....................... (145,590) (353,107) (63,768) (122,010) (16,416) (20,912) ----------- ----------- ---------- ----------- ---------- --------- Net Increase (Decrease) from Shares Issued and Redeemed......... 106,178 97,872 41,785 90,903 2,007 13,550 =========== =========== ========== =========== ========== ========= Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)..................... $ 2,290 $ 1,422 $ 5,452 $ 27,488 $ 5,190 $ 9,492
DFA Short-Term Government Portfolio ---------------------- Six Months Year Ended Ended April 30, Oct. 31, 2014 2013 ----------- ---------- (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).......... $ 6,239 $ 12,964 Net Realized Gain (Loss) on: Investment Securities Sold........... 866 3,808 Foreign Currency Transactions........ -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency............................ (2,257) (15,692) Translation of Foreign Currency Denominated Amounts................. -- -- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations......................... 4,848 1,080 ---------- ---------- Distributions From: Net Investment Income: Institutional Class Shares........... (6,056) (13,092) Net Short-Term Gains: Institutional Class Shares........... (510) (438) Net Long-Term Gains: Institutional Class Shares........... (3,400) (13,008) ---------- ---------- Total Distributions................. (9,966) (26,538) ---------- ---------- Capital Share Transactions (1): Shares Issued......................... 285,771 581,715 Shares Issued in Lieu of Cash Distributions........................ 9,280 24,196 Shares Redeemed....................... (172,573) (385,547) ---------- ---------- Net Increase (Decrease) from Capital Share Transactions......... 122,478 220,364 ---------- ---------- Total Increase (Decrease) in Net Assets............................. 117,360 194,906 Net Assets Beginning of Period................... 1,780,576 1,585,670 ---------- ---------- End of Period......................... $1,897,936 $1,780,576 ========== ========== (1) Shares Issued and Redeemed: Shares Issued......................... 26,784 54,179 Shares Issued in Lieu of Cash Distributions........................ 871 2,252 Shares Redeemed....................... (16,184) (35,890) ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed......... 11,471 20,541 ========== ========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)..................... $ 2,113 $ 1,930
See accompanying Notes to Financial Statements. 95 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
DFA World ex U.S. DFA Intermediate DFA Five-Year Global Government Fixed Government Fixed Fixed Income Portfolio Income Portfolio Income Portfolio ----------------------- -------------------- ---------------------- Six Months Year Six Months Year Six Months Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31, 2014 2013 2014 2013 2014 2013 ----------- ----------- ----------- -------- ----------- ---------- (Unaudited) (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)............... $ 50,860 $ 74,439 $ 2,379 $ 2,926 $ 40,445 $ 83,312 Net Realized Gain (Loss) on: Investment Securities Sold................ 53,247 174,388 1,952 291 1,420 (235) Foreign Currency Transactions............. (62,825) (88,319) (4,327) 1,424 -- -- In-Kind Redemptions....................... -- -- -- -- -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency................................. 19,307 (133,678) 5,663 (3,992) (6,513) (159,790) Translation of Foreign Currency Denominated Amounts...................... (9,191) 21,190 667 (441) -- -- ---------- ----------- -------- -------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations............... 51,398 48,020 6,334 208 35,352 (76,713) ---------- ----------- -------- -------- ---------- ---------- Distributions From: Net Investment Income: Institutional Class Shares................ (69,415) (62,976) (6,202) (2,781) (40,483) (82,551) Net Short-Term Gains: Institutional Class Shares................ (12,856) (17,590) (73) (1,462) -- -- Net Long-Term Gains: Institutional Class Shares................ (97,134) (42,555) -- -- -- (5,467) ---------- ----------- -------- -------- ---------- ---------- Total Distributions...................... (179,405) (123,121) (6,275) (4,243) (40,483) (88,018) ---------- ----------- -------- -------- ---------- ---------- Capital Share Transactions (1): Shares Issued.............................. 1,594,417 2,830,554 67,887 125,701 585,422 1,287,392 Shares Issued in Lieu of Cash Distributions............................. 169,079 113,315 6,248 4,201 38,216 83,643 Shares Redeemed............................ (782,926) (1,358,544) (30,800) (26,371) (706,974) (599,390) ---------- ----------- -------- -------- ---------- ---------- Net Increase (Decrease) from Capital Share Transactions...................... 980,570 1,585,325 43,335 103,531 (83,336) 771,645 ---------- ----------- -------- -------- ---------- ---------- Total Increase (Decrease) in Net Assets.................................. 852,563 1,510,224 43,394 99,496 (88,467) 606,914 Net Assets Beginning of Period........................ 7,851,561 6,341,337 240,733 141,237 3,665,838 3,058,924 ---------- ----------- -------- -------- ---------- ---------- End of Period.............................. $8,704,124 $ 7,851,561 $284,127 $240,733 $3,577,371 $3,665,838 ========== =========== ======== ======== ========== ========== (1) Shares Issued and Redeemed: Shares Issued.............................. 145,481 254,486 6,672 12,118 47,074 100,692 Shares Issued in Lieu of Cash Distributions............................. 15,496 10,173 617 404 3,090 6,574 Shares Redeemed............................ (71,347) (122,270) (3,030) (2,551) (56,805) (47,391) ---------- ----------- -------- -------- ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed..................... 89,630 142,389 4,259 9,971 (6,641) 59,875 ========== =========== ======== ======== ========== ========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).......................... $ 18,897 $ 37,452 $ 873 $ 4,696 $ 13,692 $ 13,730
DFA Short-Term Extended Quality Portfolio ---------------------- Six Months Year Ended Ended April 30, Oct. 31, 2014 2013 ----------- ---------- (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)............... $ 24,454 $ 35,954 Net Realized Gain (Loss) on: Investment Securities Sold................ 825 6,708 Foreign Currency Transactions............. (4,429) (6,214) In-Kind Redemptions....................... 2,482 -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency................................. 4,776 (21,792) Translation of Foreign Currency Denominated Amounts...................... (2,221) 3,192 ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations............... 25,887 17,848 ---------- ---------- Distributions From: Net Investment Income: Institutional Class Shares................ (20,870) (37,553) Net Short-Term Gains: Institutional Class Shares................ (608) -- Net Long-Term Gains: Institutional Class Shares................ (4,861) (4,387) ---------- ---------- Total Distributions...................... (26,339) (41,940) ---------- ---------- Capital Share Transactions (1): Shares Issued.............................. 1,404,411 1,231,684 Shares Issued in Lieu of Cash Distributions............................. 26,024 41,038 Shares Redeemed............................ (600,228) (591,648) ---------- ---------- Net Increase (Decrease) from Capital Share Transactions...................... 830,207 681,074 ---------- ---------- Total Increase (Decrease) in Net Assets.................................. 829,755 656,982 Net Assets Beginning of Period........................ 2,632,084 1,975,102 ---------- ---------- End of Period.............................. $3,461,839 $2,632,084 ========== ========== (1) Shares Issued and Redeemed: Shares Issued.............................. 129,609 113,382 Shares Issued in Lieu of Cash Distributions............................. 2,404 3,773 Shares Redeemed............................ (55,423) (54,562) ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed..................... 76,590 62,593 ========== ========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).......................... $ 4,193 $ 609
See accompanying Notes to Financial Statements. 96 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
DFA Intermediate-Term Extended Quality DFA Investment Grade DFA Inflation-Protected Portfolio Portfolio Securities Portfolio ---------------------- ---------------------- ---------------------- Six Months Year Six Months Year Six Months Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31, 2014 2013 2014 2013 2014 2013 ----------- ---------- ----------- ---------- ----------- ---------- (Unaudited) (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)......................... $ 24,223 $ 31,127 $ 21,607 $ 25,637 $ 12,118 $ 44,223 Capital Gain Distributions Received from Affiliated Investment Companies................................ -- -- 616 1,855 -- -- Net Realized Gain (Loss) on: Investment Securities Sold.......................... 3,748 84 (886) (1,671) 10,537 (4,633) Foreign Currency Transactions....................... (498) (1,239) -- -- -- -- Change in Unrealized Appreciation (Depreciation) of: Affiliated Investment Companies Shares.............. 23,127 (56,416) 17,877 (43,409) (15,407) (225,943) Swap Contracts...................................... -- -- -- -- -- -- Translation of Foreign Currency Denominated Amounts............................................ (100) 603 -- -- -- -- ---------- ---------- ---------- ---------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations......................... 50,500 (25,841) 39,214 (17,588) 7,248 (186,353) ---------- ---------- ---------- ---------- ---------- ---------- Distributions From: Net Investment Income: Institutional Class Shares.......................... (22,391) (30,139) (21,220) (24,183) (6,505) (50,644) Net Short-Term Gains: Institutional Class Shares.......................... -- -- -- (22) -- (789) Net Long-Term Gains: Institutional Class Shares.......................... (441) (565) (330) (867) -- (13,997) ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions................................ (22,832) (30,704) (21,550) (25,072) (6,505) (65,430) ---------- ---------- ---------- ---------- ---------- ---------- Capital Share Transactions (1): Shares Issued........................................ 473,955 780,881 740,893 859,582 413,662 1,173,461 Shares Issued in Lieu of Cash Distributions.......... 22,672 30,374 21,488 24,433 6,093 61,493 Shares Redeemed...................................... (155,874) (191,586) (244,889) (298,249) (518,294) (901,651) ---------- ---------- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Capital Share Transactions...................................... 340,753 619,669 517,492 585,766 (98,539) 333,303 ---------- ---------- ---------- ---------- ---------- ---------- Total Increase (Decrease) in Net Assets............ 368,421 563,124 535,156 543,106 (97,796) 81,520 Net Assets Beginning of Period.................................. 1,391,394 828,270 1,442,269 899,163 2,592,771 2,511,251 ---------- ---------- ---------- ---------- ---------- ---------- End of Period........................................ $1,759,815 $1,391,394 $1,977,425 $1,442,269 $2,494,975 $2,592,771 ========== ========== ========== ========== ========== ========== (1) Shares Issued and Redeemed: Shares Issued........................................ 45,337 73,136 70,460 80,350 35,449 95,165 Shares Issued in Lieu of Cash Distributions.......... 2,169 2,837 2,059 2,298 528 4,946 Shares Redeemed...................................... (14,949) (18,069) (23,330) (27,973) (44,385) (74,201) ---------- ---------- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed...................................... 32,557 57,904 49,189 54,675 (8,408) 25,910 ========== ========== ========== ========== ========== ========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)............................................... $ 4,454 $ 2,622 $ 2,557 $ 2,170 $ 9,749 $ 4,136
DFA Short- Duration Real Return Portfolio ---------------- Period Nov. 5, 2013(a) to April 30, 2014 ---------------- (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)......................... $ 1,052 Capital Gain Distributions Received from Affiliated Investment Companies................................ 123 Net Realized Gain (Loss) on: Investment Securities Sold.......................... (145) Foreign Currency Transactions....................... (128) Change in Unrealized Appreciation (Depreciation) of: Affiliated Investment Companies Shares.............. 1,020 Swap Contracts...................................... 683 Translation of Foreign Currency Denominated Amounts............................................ (74) -------- Net Increase (Decrease) in Net Assets Resulting from Operations......................... 2,531 -------- Distributions From: Net Investment Income: Institutional Class Shares.......................... (176) Net Short-Term Gains: Institutional Class Shares.......................... -- Net Long-Term Gains: Institutional Class Shares.......................... -- -------- Total Distributions................................ (176) -------- Capital Share Transactions (1): Shares Issued........................................ 371,687 Shares Issued in Lieu of Cash Distributions.......... 175 Shares Redeemed...................................... (6,357) -------- Net Increase (Decrease) from Capital Share Transactions...................................... 365,505 -------- Total Increase (Decrease) in Net Assets............ 367,860 Net Assets Beginning of Period.................................. -- -------- End of Period........................................ $367,860 ======== (1) Shares Issued and Redeemed: Shares Issued........................................ 37,264 Shares Issued in Lieu of Cash Distributions.......... 18 Shares Redeemed...................................... (637) -------- Net Increase (Decrease) from Shares Issued and Redeemed...................................... 36,645 ======== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)............................................... $ 876
---------- See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 97 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
DFA Intermediate-Term DFA California Short- DFA Short-Term Municipal Bond Term Municipal Bond Municipal Bond Portfolio Portfolio Portfolio ---------------------- -------------------- --------------------- Six Months Year Six Months Year Six Months Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31, 2014 2013 2014 2013 2014 2013 ----------- ---------- ----------- -------- ----------- --------- (Unaudited) (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)............... $ 8,302 $ 16,029 $ 2,870 $ 2,189 $ 2,511 $ 4,329 Net Realized Gain (Loss) on: Investment Securities Sold................ -- (2) -- (10) -- (4) Change in Unrealized Appreciation (Depreciation) of: Investment Securities..................... (4,150) (8,310) 4,734 (2,094) (558) (1,033) ---------- ---------- -------- -------- -------- --------- Net Increase (Decrease) in Net Assets Resulting from Operations............... 4,152 7,717 7,604 85 1,953 3,292 ---------- ---------- -------- -------- -------- --------- Distributions From: Net Investment Income: Institutional Class Shares................ (7,961) (16,375) (2,662) (1,943) (2,416) (4,312) ---------- ---------- -------- -------- -------- --------- Total Distributions...................... (7,961) (16,375) (2,662) (1,943) (2,416) (4,312) ---------- ---------- -------- -------- -------- --------- Capital Share Transactions (1): Shares Issued.............................. 437,311 696,633 163,925 225,138 146,459 239,116 Shares Issued in Lieu of Cash Distributions............................. 7,914 15,678 2,656 1,866 2,389 4,217 Shares Redeemed............................ (220,822) (505,250) (60,287) (45,131) (59,900) (116,364) ---------- ---------- -------- -------- -------- --------- Net Increase (Decrease) from Capital Share Transactions...................... 224,403 207,061 106,294 181,873 88,948 126,969 ---------- ---------- -------- -------- -------- --------- Total Increase (Decrease) in Net Assets.................................. 220,594 198,403 111,236 180,015 88,485 125,949 Net Assets Beginning of Period........................ 1,780,699 1,582,296 269,514 89,499 521,090 395,141 ---------- ---------- -------- -------- -------- --------- End of Period.............................. $2,001,293 $1,780,699 $380,750 $269,514 $609,575 $ 521,090 ========== ========== ======== ======== ======== ========= (1) Shares Issued and Redeemed: Shares Issued.............................. 42,781 68,051 16,712 22,910 14,213 23,229 Shares Issued in Lieu of Cash Distributions............................. 774 1,531 270 189 232 410 Shares Redeemed............................ (21,604) (49,325) (6,145) (4,616) (5,815) (11,295) ---------- ---------- -------- -------- -------- --------- Net Increase (Decrease) from Shares Issued and Redeemed..................... 21,951 20,257 10,837 18,483 8,630 12,344 ========== ========== ======== ======== ======== ========= Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).......................... $ 1,507 $ 1,166 $ 559 $ 351 $ 453 $ 358
DFA California Intermediate-Term Municipal Bond Portfolio -------------------- Six Months Year Ended Ended April 30, Oct. 31, 2014 2013 ----------- -------- (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)............... $ 921 $ 1,300 Net Realized Gain (Loss) on: Investment Securities Sold................ 77 (112) Change in Unrealized Appreciation (Depreciation) of: Investment Securities..................... 1,691 (1,195) -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations............... 2,689 (7) -------- -------- Distributions From: Net Investment Income: Institutional Class Shares................ (872) (1,248) -------- -------- Total Distributions...................... (872) (1,248) -------- -------- Capital Share Transactions (1): Shares Issued.............................. 25,096 56,106 Shares Issued in Lieu of Cash Distributions............................. 872 1,215 Shares Redeemed............................ (7,255) (17,519) -------- -------- Net Increase (Decrease) from Capital Share Transactions...................... 18,713 39,802 -------- -------- Total Increase (Decrease) in Net Assets.................................. 20,530 38,547 Net Assets Beginning of Period........................ 97,199 58,652 -------- -------- End of Period.............................. $117,729 $ 97,199 ======== ======== (1) Shares Issued and Redeemed: Shares Issued.............................. 2,465 5,474 Shares Issued in Lieu of Cash Distributions............................. 86 119 Shares Redeemed............................ (714) (1,720) -------- -------- Net Increase (Decrease) from Shares Issued and Redeemed..................... 1,837 3,873 ======== ======== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).......................... $ 178 $ 129
See accompanying Notes to Financial Statements. 98 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
DFA One-Year Fixed Income Portfolio -------------------------------------------------------------- Six Months Year Year Year Year Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 ------------------------------------------------------------------------------------------------------------------------ (Unaudited) Net Asset Value, Beginning of Period.................... $ 10.33 $ 10.35 $ 10.35 $ 10.38 $ 10.33 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)...................... 0.02 0.04 0.05 0.06 0.07 Net Gains (Losses) on Securities (Realized and Unrealized).......................................... -- -- 0.03 -- 0.05 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations..................... 0.02 0.04 0.08 0.06 0.12 ------------------------------------------------------------------------------------------------------------------------ Less Distributions ------------------ Net Investment Income................................. (0.02) (0.04) (0.05) (0.06) (0.07) Net Realized Gains.................................... (0.01) (0.02) (0.03) (0.03) -- ---------- ---------- ---------- ---------- ---------- Total Distributions.................................. (0.03) (0.06) (0.08) (0.09) (0.07) ------------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Period.......................... $ 10.32 $ 10.33 $ 10.35 $ 10.35 $ 10.38 ======================================================== =========== ========== ========== ========== ========== Total Return............................................ 0.13%(D) 0.43% 0.79% 0.57% 1.19% ------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands)................... $9,182,625 $8,089,711 $7,094,264 $6,905,468 $5,754,601 Ratio of Expenses to Average Net Assets................. 0.17%(E) 0.17% 0.17% 0.17% 0.17% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)....................................... 0.17%(E) 0.17% 0.17% 0.17% 0.17% Ratio of Net Investment Income to Average Net Assets.... 0.32%(E) 0.38% 0.52% 0.55% 0.67% Portfolio Turnover Rate................................. 24%(D) 62% 77% 78% 66% ------------------------------------------------------------------------------------------------------------------------
----------- Year Ended Oct. 31, 2009 ----------------------------------------------------------------------- Net Asset Value, Beginning of Period.................... $ 10.17 ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)...................... 0.13 Net Gains (Losses) on Securities (Realized and Unrealized).......................................... 0.25 ---------- Total from Investment Operations..................... 0.38 ----------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income................................. (0.22) Net Realized Gains.................................... -- ---------- Total Distributions.................................. (0.22) ----------------------------------------------------------------------- Net Asset Value, End of Period.......................... $ 10.33 ======================================================== ========== Total Return............................................ 3.80% ----------------------------------------------------------------------- Net Assets, End of Period (thousands)................... $4,269,615 Ratio of Expenses to Average Net Assets................. 0.20%** Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)....................................... 0.20%** Ratio of Net Investment Income to Average Net Assets.... 1.26% Portfolio Turnover Rate................................. 2%* -----------------------------------------------------------------------
DFA Two-Year Global Fixed Income Portfolio -------------------------------------------------------------- Six Months Year Year Year Year Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 ------------------------------------------------------------------------------------------------------------------------ (Unaudited) Net Asset Value, Beginning of Period.................... $ 10.06 $ 10.13 $ 10.23 $ 10.24 $ 10.27 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)...................... 0.03 0.05 0.07 0.10 0.12 Net Gains (Losses) on Securities (Realized and Unrealized).......................................... -- -- 0.02 (0.01) 0.07 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations..................... 0.03 0.05 0.09 0.09 0.19 ------------------------------------------------------------------------------------------------------------------------ Less Distributions ------------------ Net Investment Income................................. (0.07) (0.10) (0.16) (0.03) (0.21) Net Realized Gains.................................... (0.01) (0.02) (0.03) (0.07) (0.01) ---------- ---------- ---------- ---------- ---------- Total Distributions.................................. (0.08) (0.12) (0.19) (0.10) (0.22) ------------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Period.......................... $ 10.01 $ 10.06 $ 10.13 $ 10.23 $ 10.24 ======================================================== =========== ========== ========== ========== ========== Total Return............................................ 0.27%(D) 0.51% 0.85% 0.83% 1.83% ------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands)................... $5,940,619 $5,552,198 $4,671,093 $4,813,711 $4,053,423 Ratio of Expenses to Average Net Assets................. 0.17%(E) 0.18% 0.18% 0.18% 0.18% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)....................................... 0.17%(E) 0.18% 0.18% 0.18% 0.18% Ratio of Net Investment Income to Average Net Assets.... 0.54%(E) 0.54% 0.68% 0.94% 1.13% Portfolio Turnover Rate................................. 59%(D) 123% 107% 71% 109% ------------------------------------------------------------------------------------------------------------------------
----------- Year Ended Oct. 31, 2009 ---------------------------------------------------------------------- Net Asset Value, Beginning of Period.................... $ 10.36 ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)...................... 0.19 Net Gains (Losses) on Securities (Realized and Unrealized).......................................... 0.18 ---------- Total from Investment Operations..................... 0.37 ---------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income................................. (0.46) Net Realized Gains.................................... -- ---------- Total Distributions.................................. (0.46) ---------------------------------------------------------------------- Net Asset Value, End of Period.......................... $ 10.27 ======================================================== ========== Total Return............................................ 3.71% ---------------------------------------------------------------------- Net Assets, End of Period (thousands)................... $3,846,029 Ratio of Expenses to Average Net Assets................. 0.20%** Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)....................................... 0.20%** Ratio of Net Investment Income to Average Net Assets.... 1.89% Portfolio Turnover Rate................................. 1%* ----------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. * For the period October 24, 2009 through October 31, 2009. Effective October 24, 2009, the Portfolios directly invest in securities rather than through the Series. **Represents the combined ratios for the respective portfolios and, for the period November 1, 2008 through October 22, 2009, its respective pro-rata shares of its Master Fund Series. See accompanying Notes to Financial Statements. 99 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
DFA Selectively Hedged Global Fixed Income Portfolio ----------------------------------------------------- -------- Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 2009 ------------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period......................... $ 10.21 $ 10.41 $ 10.65 $ 10.40 $ 10.00 $ 8.91 ---------- -------- -------- -------- -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.08 0.17 0.17 0.20 0.19 0.26 Net Gains (Losses) on Securities (Realized and Unrealized). 0.05 (0.11) (0.06) 0.19 0.22 0.83 ---------- -------- -------- -------- -------- -------- Total from Investment Operations.......................... 0.13 0.06 0.11 0.39 0.41 1.09 ------------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.12) (0.25) (0.34) (0.11) -- -- Net Realized Gains......................................... (0.02) (0.01) (0.01) (0.03) (0.01) -- ---------- -------- -------- -------- -------- -------- Total Distributions....................................... (0.14) (0.26) (0.35) (0.14) (0.01) -- ------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period............................... $ 10.20 $ 10.21 $ 10.41 $ 10.65 $ 10.40 $ 10.00 ============================================================= =========== ======== ======== ======== ======== ======== Total Return................................................. 1.27%(D) 0.52% 1.22% 3.85% 4.08% 12.23% ------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)........................ $1,004,795 $985,287 $863,403 $786,917 $524,375 $303,440 Ratio of Expenses to Average Net Assets...................... 0.17%(E) 0.18% 0.19% 0.19% 0.20% 0.24% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)................................................. 0.17%(E) 0.18% 0.19% 0.19% 0.20% 0.24% Ratio of Net Investment Income to Average Net Assets......... 1.50%(E) 1.62% 1.65% 1.89% 1.84% 2.81% Portfolio Turnover Rate...................................... 23%(D) 99% 109% 51% 78% 28% -------------------------------------------------------------------------------------------------------------------------------
DFA Short-Term Government Portfolio --------------------------------------------------------------- Six Months Year Year Year Year Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 ------------------------------------------------------------------------------------------------------------------------------ (Unaudited) Net Asset Value, Beginning of Period......................... $ 10.70 $ 10.88 $ 10.99 $ 11.15 $ 10.92 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.04 0.08 0.11 0.18 0.25 Net Gains (Losses) on Securities (Realized and Unrealized). (0.01) (0.08) 0.09 0.01 0.32 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations.......................... 0.03 -- 0.20 0.19 0.57 ------------------------------------------------------------------------------------------------------------------------------ Less Distributions ------------------ Net Investment Income...................................... (0.04) (0.09) (0.11) (0.20) (0.26) Net Realized Gains......................................... (0.02) (0.09) (0.20) (0.15) (0.08) ---------- ---------- ---------- ---------- ---------- Total Distributions....................................... (0.06) (0.18) (0.31) (0.35) (0.34) ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Period............................... $ 10.67 $ 10.70 $ 10.88 $ 10.99 $ 11.15 ============================================================= =========== ========== ========== ========== ========== Total Return................................................. 0.27%(D) (0.03)% 1.89% 1.77% 5.32% ------------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands)........................ $1,897,936 $1,780,576 $1,585,670 $1,343,989 $1,110,308 Ratio of Expenses to Average Net Assets...................... 0.19%(E) 0.19% 0.20% 0.21% 0.23% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)................................................. 0.19%(E) 0.19% 0.20% 0.21% 0.23% Ratio of Net Investment Income to Average Net Assets......... 0.69%(E) 0.78% 0.98% 1.65% 2.29% Portfolio Turnover Rate...................................... 9%(D) 37% 41% 64% 64% ------------------------------------------------------------------------------------------------------------------------------
----------- Year Ended Oct. 31, 2009 ------------------------------------------------------------------------- Net Asset Value, Beginning of Period......................... $ 10.44 ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.26 Net Gains (Losses) on Securities (Realized and Unrealized). 0.49 ---------- Total from Investment Operations.......................... 0.75 ------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.27) Net Realized Gains......................................... -- ---------- Total Distributions....................................... (0.27) ------------------------------------------------------------------------- Net Asset Value, End of Period............................... $ 10.92 ============================================================= ========== Total Return................................................. 7.27% ------------------------------------------------------------------------- Net Assets, End of Period (thousands)........................ $1,008,237 Ratio of Expenses to Average Net Assets...................... 0.25% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)................................................. 0.25% Ratio of Net Investment Income to Average Net Assets......... 2.44% Portfolio Turnover Rate...................................... 72% -------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 100 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
DFA Five-Year Global Fixed Income Portfolio ------------------------------------------------------------------------- Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 2009 --------------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period................. $ 11.14 $ 11.28 $ 11.32 $ 11.70 $ 11.27 $ 10.68 ---------- ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................... 0.07 0.12 0.18 0.23 0.29 0.27 Net Gains (Losses) on Securities (Realized and Unrealized)....................................... -- (0.05) 0.22 0.06 0.54 0.55 ---------- ---------- ---------- ---------- ---------- ---------- Total from Investment Operations.................. 0.07 0.07 0.40 0.29 0.83 0.82 --------------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income.............................. (0.10) (0.10) (0.23) (0.44) (0.40) (0.23) Net Realized Gains................................. (0.15) (0.11) (0.21) (0.23) -- -- ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions............................... (0.25) (0.21) (0.44) (0.67) (0.40) (0.23) --------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period....................... $ 10.96 $ 11.14 $ 11.28 $ 11.32 $ 11.70 $ 11.27 ===================================================== =========== ========== ========== ========== ========== ========== Total Return......................................... 0.64%(D) 0.63% 3.74% 2.74% 7.51% 7.74% --------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)................ $8,704,124 $7,851,561 $6,341,337 $5,184,700 $4,395,516 $3,220,787 Ratio of Expenses to Average Net Assets.............. 0.27%(E) 0.28% 0.28% 0.28% 0.28% 0.30% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly). 0.27%(E) 0.28% 0.28% 0.28% 0.28% 0.30% Ratio of Net Investment Income to Average Net Assets. 1.25%(E) 1.05% 1.64% 2.10% 2.56% 2.48% Portfolio Turnover Rate.............................. 37%(D) 72% 58% 67% 73% 70% ---------------------------------------------------------------------------------------------------------------------------------
DFA World ex U.S. Government Fixed Income Portfolio ------------------------------------------- Period Dec. 6, Six Months Year 2011(a) Ended Ended to April 30, Oct. 31, Oct. 31, 2014 2013 2012 --------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period................. $ 10.31 $ 10.56 $ 10.00 -------- -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................... 0.09 0.16 0.18 Net Gains (Losses) on Securities (Realized and Unrealized)....................................... 0.14 (0.14) 0.48 -------- -------- -------- Total from Investment Operations.................. 0.23 0.02 0.66 --------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income.............................. (0.25) (0.17) (0.10) Net Realized Gains................................. -- (0.10) -- -------- -------- -------- Total Distributions............................... (0.25) (0.27) (0.10) --------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period....................... $ 10.29 $ 10.31 $ 10.56 ===================================================== =============== ============ ============ Total Return......................................... 2.27%(D) 0.23% 6.66%(D) --------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)................ $284,127 $240,733 $141,237 Ratio of Expenses to Average Net Assets.............. 0.20%(E) 0.20% 0.20%(C)(E) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly). 0.21%(E) 0.23% 0.37%(C)(E) Ratio of Net Investment Income to Average Net Assets. 1.82%(E) 1.53% 1.83%(C)(E) Portfolio Turnover Rate.............................. 19%(D) 44% 82%(D) ---------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 101 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
DFA Intermediate Government Fixed Income Portfolio -------------------------------------------------------------------------- -------------- Six Months Year Year Year Year Year Six Months Ended Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, April 30, 2014 2013 2012 2011 2010 2009 2014 -------------------------------------------------------------------------------------------------------------------------------- (Unaudited) (Unaudited) Net Asset Value, Beginning of Period............................. $ 12.52 $ 13.13 $ 12.90 $ 12.84 $ 12.31 $ 11.66 $ 10.86 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Income from Investment Operations - Net Investment Income (Loss) (A)....................... 0.15 0.31 0.37 0.44 0.49 0.51 0.08 Net Gains (Losses) on Securities (Realized and Unrealized)........ (0.02) (0.58) 0.32 0.10 0.57 0.72 -- ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total from Investment Operations...................... 0.13 (0.27) 0.69 0.54 1.06 1.23 0.08 -------------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income............. (0.15) (0.32) (0.37) (0.44) (0.48) (0.52) (0.07) Net Realized Gains................ -- (0.02) (0.09) (0.04) (0.05) (0.06) (0.02) ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions.............. (0.15) (0.34) (0.46) (0.48) (0.53) (0.58) (0.09) -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period...... $ 12.50 $ 12.52 $ 13.13 $ 12.90 $ 12.84 $ 12.31 $ 10.85 =================================== =========== ========== ========== ========== ========== ========== =========== Total Return........................ 1.06%(D) (2.09)% 5.49% 4.42% 8.85% 10.71% 0.71%(D) -------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)........................ $3,577,371 $3,665,838 $3,058,924 $2,377,280 $1,869,828 $1,484,155 $3,461,839 Ratio of Expenses to Average Net Assets............................. 0.12%(E) 0.12% 0.13% 0.12% 0.13% 0.15% 0.22%(E) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly)........................ 0.12%(E) 0.12% 0.13% 0.12% 0.13% 0.15% 0.22%(E) Ratio of Net Investment Income to Average Net Assets................. 2.39%(E) 2.45% 2.85% 3.50% 3.91% 4.18% 1.47%(E) Portfolio Turnover Rate............. 14%(D) 6% 4% 16% 7% 8% 13%(D) --------------------------------------------------------------------------------------------------------------------------------
DFA Short-Term Extended Quality Portfolio ------------------------------------------------------- Period March 4, Year Year Year Year 2009(a) Ended Ended Ended Ended to Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2013 2012 2011 2010 2009 -------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period............................. $ 10.98 $ 10.86 $ 10.93 $ 10.56 $ 10.00 ---------- ---------- ---------- -------- -------- Income from Investment Operations - Net Investment Income (Loss) (A)....................... 0.17 0.21 0.25 0.33 0.24 Net Gains (Losses) on Securities (Realized and Unrealized)........ (0.09) 0.13 (0.05) 0.37 0.50 ---------- ---------- ---------- -------- -------- Total from Investment Operations...................... 0.08 0.34 0.20 0.70 0.74 -------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income............. (0.18) (0.20) (0.25) (0.32) (0.18) Net Realized Gains................ (0.02) (0.02) (0.02) (0.01) -- ---------- ---------- ---------- -------- -------- Total Distributions.............. (0.20) (0.22) (0.27) (0.33) (0.18) -------------------------------------------------------------------------------------------------- Net Asset Value, End of Period...... $ 10.86 $ 10.98 $ 10.86 $ 10.93 $ 10.56 =================================== ========== ========== ========== ======== ======== Total Return........................ 0.79% 3.22% 1.91% 6.73% 7.49%(D) -------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)........................ $2,632,084 $1,975,102 $1,333,202 $754,269 $378,475 Ratio of Expenses to Average Net Assets............................. 0.22% 0.22% 0.22% 0.22% 0.22%(C)(E) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly)........................ 0.23% 0.23% 0.23% 0.24% 0.28%(C)(E) Ratio of Net Investment Income to Average Net Assets................. 1.57% 1.96% 2.32% 3.04% 3.54%(C)(E) Portfolio Turnover Rate............. 19% 21% 17% 14% 2%(D) --------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 102 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
DFA Intermediate-Term Extended Quality Portfolio -------------------------------------------------------- Period July 20, Six Months Year Year Year 2010(a) Ended Ended Ended Ended to April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 -------------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period........................... $ 10.50 $ 11.10 $ 10.46 $ 10.28 $ 10.00 ---------- ---------- -------- -------- -------- Income from Investment Operations - Net Investment Income (Loss) (A)............................. 0.16 0.31 0.33 0.33 0.08 Net Gains (Losses) on Securities (Realized and Unrealized)... 0.15 (0.59) 0.61 0.16 0.24 ---------- ---------- -------- -------- -------- Total from Investment Operations............................ 0.31 (0.28) 0.94 0.49 0.32 -------------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income........................................ (0.15) (0.31) (0.30) (0.31) (0.04) Net Realized Gains........................................... -- (0.01) -- -- -- ---------- ---------- -------- -------- -------- Total Distributions......................................... (0.15) (0.32) (0.30) (0.31) (0.04) -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period................................. $ 10.66 $ 10.50 $ 11.10 $ 10.46 $ 10.28 =============================================================== =========== ========== ======== ======== ======== Total Return................................................... 3.01%(D) (2.62)% 9.19% 4.94% 3.15% -------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands).......................... $1,759,815 $1,391,394 $828,270 $307,580 $144,093 Ratio of Expenses to Average Net Assets........................ 0.22%(E) 0.22% 0.22% 0.22% 0.22%(E)(C) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly)................................ 0.22%(E) 0.23% 0.24% 0.27% 0.35%(E)(C) Ratio of Net Investment Income to Average Net Assets........... 3.07%(E) 2.88% 3.04% 3.27% 2.77%(E)(C) Portfolio Turnover Rate........................................ 13%(D) 10% 8% 15% 1%(D) --------------------------------------------------------------------------------------------------------------------------------
DFA Investment Grade Portfolio ------------------------------------------------------ Period March 7, Six Months Year Year 2011(a) Ended Ended Ended to April 30, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 -------------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period........................... $ 10.57 $ 10.99 $ 10.60 $ 10.00 ---------- ---------- -------- -------- Income from Investment Operations - Net Investment Income (Loss) (A)............................. 0.13 0.25 0.25 0.19 Net Gains (Losses) on Securities (Realized and Unrealized)... 0.08 (0.42) 0.40 0.54 ---------- ---------- -------- -------- Total from Investment Operations............................ 0.21 (0.17) 0.65 0.73 -------------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income........................................ (0.13) (0.24) (0.26) (0.13) Net Realized Gains........................................... -- (0.01) -- -- ---------- ---------- -------- -------- Total Distributions......................................... (0.13) (0.25) (0.26) (0.13) -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period................................. $ 10.65 $ 10.57 $ 10.99 $ 10.60 =============================================================== =========== ========== ======== ======== Total Return................................................... 1.99%(D) (1.58)% 6.21% 7.35%(D) -------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands).......................... $1,977,425 $1,442,269 $899,163 $199,654 Ratio of Expenses to Average Net Assets........................ 0.22%(E)(B) 0.22%(B) 0.22%(B) 0.22%(B)(E)(C) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly)................................ 0.40%(E)(B) 0.41%(B) 0.41%(B) 0.50%(B)(E)(C) Ratio of Net Investment Income to Average Net Assets........... 2.44%(E)(B) 2.30%(B) 2.32%(B) 2.68%(E)(C) Portfolio Turnover Rate........................................ N/A N/A N/A N/A --------------------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 103 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
DFA Short-Duration Real Return DFA Inflation-Protected Securities Portfolio Portfolio ------------------------------------------------------------------------ --------------- Period Six Months Year Year Year Year Year Nov. 5, 2013(a) Ended Ended Ended Ended Ended Ended to April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, April 30, 2014 2013 2012 2011 2010 2009 2014 -------------------------------------------------------------------------------------------------------------------------------- (Unaudited) (Unaudited) Net Asset Value, Beginning of Period............................ $ 11.84 $ 13.00 $ 12.35 $ 11.85 $ 10.95 $ 9.41 $ 10.00 ---------- ---------- ---------- ---------- ---------- -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A).. 0.06 0.21 0.27 0.55 0.29 0.12 0.05 Net Gains (Losses) on Securities (Realized and Unrealized)....... (0.02) (1.05) 0.79 0.52 0.92 1.53 0.01 ---------- ---------- ---------- ---------- ---------- -------- -------- Total from Investment Operations..................... 0.04 (0.84) 1.06 1.07 1.21 1.65 0.06 -------------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income............. (0.03) (0.24) (0.27) (0.51) (0.31) (0.10) (0.02) Net Realized Gains................ -- (0.08) (0.14) (0.06) -- (0.01) -- ---------- ---------- ---------- ---------- ---------- -------- -------- Total Distributions............. (0.03) (0.32) (0.41) (0.57) (0.31) (0.11) (0.02) -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period..... $ 11.85 $ 11.84 $ 13.00 $ 12.35 $ 11.85 $ 10.95 $ 10.04 ================================= =========== ========== ========== ========== ========== ======== =============== Total Return....................... 0.35%(D) (6.59)% 8.70% 9.38% 11.29% 17.70% 0.60%(D) -------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)....................... $2,494,975 $2,592,771 $2,511,251 $1,888,045 $1,396,779 $774,110 $367,860 Ratio of Expenses to Average Net Assets............................ 0.12%(E) 0.12% 0.13% 0.13% 0.13% 0.16% 0.24%(C)(E) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumptions of Expenses and/or Recovery of Previously Waived Fees)............................. 0.12%(E) 0.12% 0.13% 0.13% 0.13% 0.16% 0.45%(C)(E) Ratio of Net Investment Income to Average Net Assets................ 1.00%(E) 1.68% 2.12% 4.64% 2.57% 1.20% 1.11%(C)(E) Portfolio Turnover Rate............ 12%(D) 26% 9% 18% 12% 6% 185%(D) --------------------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 104 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
-------------- Six Months Ended April 30, 2014 ----------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period............................... $ 10.23 ---------- Income from Investment Operations - Net Investment Income (Loss) (A)................................. 0.05 Net Gains (Losses) on Securities (Realized and Unrealized)....... (0.03) ---------- Total from Investment Operations................................ 0.02 ----------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income............................................ (0.04) Net Realized Gains............................................... -- ---------- Total Distributions............................................. (0.04) ----------------------------------------------------------------------------------- Net Asset Value, End of Period..................................... $ 10.21 =================================================================== =========== Total Return....................................................... 0.23%(D) ----------------------------------------------------------------------------------- Net Assets, End of Period (thousands).............................. $2,001,293 Ratio of Expenses to Average Net Assets............................ 0.22%(E) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumptions of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly)......................................... 0.22%(E) Ratio of Net Investment Income to Average Net Assets............... 0.89%(E) Portfolio Turnover Rate............................................ 17%(D) -----------------------------------------------------------------------------------
DFA Short-Term Municipal Bond Portfolio ----------------------------------------------------------- Year Year Year Year Year Ended Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2013 2012 2011 2010 2009 -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period............................... $ 10.29 $ 10.30 $ 10.34 $ 10.24 $ 10.02 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations - Net Investment Income (Loss) (A)................................. 0.10 0.14 0.16 0.18 0.20 Net Gains (Losses) on Securities (Realized and Unrealized)....... (0.06) (0.01) (0.03) 0.10 0.23 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations................................ 0.04 0.13 0.13 0.28 0.43 -------------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income............................................ (0.10) (0.14) (0.17) (0.18) (0.21) Net Realized Gains............................................... -- -- -- -- -- ---------- ---------- ---------- ---------- ---------- Total Distributions............................................. (0.10) (0.14) (0.17) (0.18) (0.21) -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period..................................... $ 10.23 $ 10.29 $ 10.30 $ 10.34 $ 10.24 =================================================================== ========== ========== ========== ========== ========== Total Return....................................................... 0.42% 1.30% 1.24% 2.73% 4.32% -------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands).............................. $1,780,699 $1,582,296 $1,525,039 $1,414,926 $1,168,259 Ratio of Expenses to Average Net Assets............................ 0.22% 0.22% 0.23% 0.23% 0.25% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumptions of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly)......................................... 0.22% 0.22% 0.23% 0.23% 0.25% Ratio of Net Investment Income to Average Net Assets............... 0.98% 1.38% 1.60% 1.72% 1.99% Portfolio Turnover Rate............................................ 24% 20% 13% 1% 0% --------------------------------------------------------------------------------------------------------------------------------
DFA Intermediate-Term Municipal Bond Portfolio -------------------------------------- Period March 1, Six Months Year 2012(a) Ended Ended to April 30, Oct. 31, Oct. 31, 2014 2013 2012 ------------------------------------------------------------------------------------------------------------------ (Unaudited) Net Asset Value, Beginning of Period............................... $ 9.84 $ 10.06 $ 10.00 -------- -------- ------- Income from Investment Operations - Net Investment Income (Loss) (A)................................. 0.09 0.13 0.07 Net Gains (Losses) on Securities (Realized and Unrealized)....... 0.11 (0.22) 0.04 -------- -------- ------- Total from Investment Operations................................ 0.20 (0.09) 0.11 ------------------------------------------------------------------------------------------------------------------ Less Distributions ------------------ Net Investment Income............................................ (0.08) (0.13) (0.05) Net Realized Gains............................................... -- -- -- -------- -------- ------- Total Distributions............................................. (0.08) (0.13) (0.05) ------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Period..................................... $ 9.96 $ 9.84 $ 10.06 =================================================================== ============== ========== ========== Total Return....................................................... 2.06%(D) (0.91)% 1.13%(D) ------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands).............................. $380,750 $269,514 $89,499 Ratio of Expenses to Average Net Assets............................ 0.23%(E) 0.23% 0.23%(C)(E) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumptions of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly)......................................... 0.24%(E) 0.26% 0.34%(C)(E) Ratio of Net Investment Income to Average Net Assets............... 1.79%(E) 1.36% 1.09%(C)(E) Portfolio Turnover Rate............................................ 0%(D) 0% 2%(D) ------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 105 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
DFA California Intermediate-Term DFA California Short-Term Municipal Bond Portfolio Municipal Bond Portfolio -------------------------------------------------------------- ------------------------------ Period Nov. 29, Six Months Year Year Year Year Year Six Months Year 2011(a) Ended Ended Ended Ended Ended Ended Ended Ended to April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, April 30, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 2009 2014 2013 2012 -------------------------------------------------------------------------------------------------------------------------------- (Unaudited) (Unaudited) Net Asset Value, Beginning of Period...... $ 10.31 $ 10.34 $ 10.32 $ 10.39 $ 10.26 $ 10.00 $ 10.16 $ 10.30 $ 10.00 -------- -------- -------- -------- -------- -------- -------- ------- ------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)............. 0.05 0.10 0.15 0.17 0.19 0.22 0.09 0.15 0.15 Net Gains (Losses) on Securities (Realized and Unrealized)........ (0.02) (0.03) 0.02 (0.06) 0.13 0.27 0.15 (0.14) 0.27 -------- -------- -------- -------- -------- -------- -------- ------- ------- Total from Investment Operations............ 0.03 0.07 0.17 0.11 0.32 0.49 0.24 0.01 0.42 -------------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income.... (0.04) (0.10) (0.15) (0.18) (0.19) (0.23) (0.08) (0.15) (0.12) -------- -------- -------- -------- -------- -------- -------- ------- ------- Total Distributions.... (0.04) (0.10) (0.15) (0.18) (0.19) (0.23) (0.08) (0.15) (0.12) -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period................... $ 10.30 $ 10.31 $ 10.34 $ 10.32 $ 10.39 $ 10.26 $ 10.32 $ 10.16 $ 10.30 ======================== =========== ======== ======== ======== ======== ======== =========== ======== ======== Total Return.............. 0.33%(D) 0.70% 1.61% 1.08% 3.14% 4.91% 2.41%(D) 0.08% 4.21%(D) -------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)....... $609,575 $521,090 $395,141 $317,822 $297,631 $210,774 $117,729 $97,199 $58,652 Ratio of Expenses to Average Net Assets....... 0.22%(E) 0.23% 0.23% 0.23% 0.24% 0.26% 0.23%(E) 0.23% 0.23%(C)(E) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumptions of Expenses and/or Recovery of Previously Waived Fees).. 0.22%(E) 0.23% 0.23% 0.23% 0.24% 0.26% 0.24%(E) 0.26% 0.41%(C)(E) Ratio of Net Investment Income to Average Net Assets................... 0.89%(E) 0.98% 1.41% 1.69% 1.83% 2.17% 1.74%(E) 1.48% 1.51%(C)(E) Portfolio Turnover Rate... 5%(D) 28% 20% 15% 4% 4% 12%(D) 11% 0%(D) --------------------------------------------------------------------------------------------------------------------------------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 106 DFA INVESTMENT DIMENSIONS GROUP INC. NOTES TO FINANCIAL STATEMENTS (Unaudited) A. Organization: DFA Investment Dimensions Group Inc. (the "Fund" or "IDG") 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 seventy-seven operational portfolios, of which sixteen (the "Portfolios") are included in this report. The remaining operational portfolios are presented in separate reports. DFA Investment Grade Portfolio achieves its investment objective by primarily investing in other portfolios within IDG (collectively, the "Master Funds"). The Portfolio also invests in short-term temporary cash investments.
DFA Investment Grade Portfolio (Percentage Master Funds of Ownership at April 30, 2014) ------------ ------------------------------------------ DFA Intermediate-Term Extended Quality Portfolio. 61% DFA Intermediate Government Fixed Income Portfolio...................................... 20% DFA Short-Term Extended Quality Portfolio........ 3% DFA Short-Term Government Portfolio.............. 4%
Effective February 28, 2011, DFA Five-Year Government Portfolio changed its name to DFA Short-Term Government Portfolio. Prior to October 23, 2009, DFA One-Year Fixed Income Portfolio and DFA Two-Year Global Fixed Income Portfolio invested substantially all of their assets in respective shares of The DFA One-Year Fixed Income Series and The DFA Two-Year Global Fixed Income Series. At the close of business on October 23, 2009, the Portfolios received their pro-rata share of cash and securities from the respective Series in a complete liquidation of their interest in the Series. Effective October 24, 2009, the Portfolios invest directly in securities rather than through the Series and maintain the same investment objectives. 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) 107 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 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. 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. 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. Shares held by the DFA Investment Grade Portfolio of the Master Funds, which are treated as regulated investment companies, and the shares held by the Portfolios in other investment companies, are valued at their respective daily net asset values as reported by their administrator. 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. Valuation hierarchy tables have been included at the end of the Schedules 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, 2014, 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 DFA Two-Year Global Fixed Income Portfolio, DFA Selectively Hedged Global Fixed Income Portfolio, DFA Five-Year Global Fixed Income Portfolio, DFA World ex U.S. Government Fixed Income Portfolio, DFA Short-Term Extended Quality Portfolio, DFA Intermediate-Term Extended Quality Portfolio (the "International Fixed Income Portfolios"), DFA Investment Grade Portfolio and DFA Short-Duration Real Return Portfolio 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 Fixed Income Portfolios enter into forward currency contracts for the purpose of hedging against fluctuations in currency exchange rates or to transfer balances from one currency to another. DFA Selectively Hedged Global Fixed Income Portfolio may hedge the currency exposure of its foreign securities or leave some or all of the currency exposure unhedged. Forward currency contracts are marked-to-market daily based on daily forward exchange rates. The International Fixed Income Portfolios, DFA Investment Grade Portfolio and DFA Short-Duration Real Return Portfolio 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 Fixed Income Portfolios, DFA Investment Grade Portfolio and DFA Short-Duration Real Return Portfolio and the U.S. dollar equivalent amounts actually received or paid. 3. Deferred Compensation Plan: Each eligible Director/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 Directors/Trustees may defer payment of all or a portion of their total fees earned as a Director/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 108 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/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 Director/Trustee shall have the right in a notice of election (the "Notice") to defer the receipt of the Director's/Trustee's deferred compensation until a date specified by such Director/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 Director/Trustee ceases to be a member of the Board; and (ii) five years following the effective date of the Director's/Trustee's first deferral election. If a Director/Trustee who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Director's/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 Director/Trustee ceases to be a member of the Board (unless the Director/Trustee files an amended Notice selecting a different distribution date). As of April 30, 2014, none of the Directors/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/affiliated investment companies and foreign currency are 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 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 Portfolios are allocated using methods approved by the Board, generally based on average net assets. Prior to June 4, 2009 and October 16, 2009, DFA One-Year Fixed Income Portfolio and DFA Two-Year Global Fixed Income Portfolio, respectively, recognized their pro-rata share of net investment income and realized and unrealized gains/losses on a daily basis from their respective investments in The DFA One-Year Fixed Income Series and The DFA Two-Year Global Fixed Income Series which were treated as partnerships in accordance with both U.S. federal income tax regulations and accounting principles generally accepted in the United States of America. Effective June 4, 2009 and October 16, 2009, The DFA One-Year Fixed Income Series' and The DFA Two-Year Global Fixed Income Series', respectively, partnership status ceased and each became a corporate master fund in a RIC/RIC master-feeder structure. The Portfolios became the feeders of these Series. On October 23, 2009, both DFA One-Year Fixed Income Portfolio and DFA Two-Year Global Fixed Income Portfolio liquidated their investment in The DFA One-Year Fixed Income Series and The DFA Two-Year Global Fixed Income Series, respectively. Effective October 24, 2009, DFA One-Year Fixed Income Portfolio and DFA Two-Year Global Fixed Income Portfolio invest directly in securities rather than through the Series and maintain the same investment objectives. See the Federal Income Taxes note for more information regarding these transactions. C. Investment Advisor and Administrator: The Advisor, Dimensional Fund Advisors LP, provides investment advisory services to the Portfolios. For the six months ended April 30, 2014, the Portfolios' investment advisory services fees were accrued daily and paid monthly to the Advisor based on the following effective annual rates of average daily net assets: DFA One-Year Fixed Income Portfolio*................. 0.05% DFA Two-Year Global Fixed Income Portfolio*.......... 0.05% DFA Selectively Hedged Global Fixed Income Portfolio. 0.15% DFA Short-Term Government Portfolio.................. 0.17% DFA Five-Year Global Fixed Income Portfolio.......... 0.25% DFA World ex U.S. Government Fixed Income Portfolio.. 0.18% DFA Intermediate Government Fixed Income Portfolio... 0.10% DFA Short-Term Extended Quality Portfolio............ 0.20%
109 DFA Intermediate-Term Extended Quality Portfolio.......... 0.20% DFA Investment Grade Portfolio............................ 0.20% DFA Inflation-Protected Securities Portfolio.............. 0.10% DFA Short-Duration Real Return Portfolio.................. 0.20% DFA Short-Term Municipal Bond Portfolio................... 0.20% DFA Intermediate-Term Municipal Bond Portfolio............ 0.20% DFA California Short-Term Municipal Bond Portfolio........ 0.20% DFA California Intermediate-Term Municipal Bond Portfolio. 0.20%
For the six months ended April 30, 2014, the administrative services fees for DFA One-Year Fixed Income Portfolio and DFA Two-Year Global Fixed Income Portfolio were accrued daily and paid monthly to the Advisor based on the following effective annual rates of average daily net assets: DFA One-Year Fixed Income Portfolio*........ 0.10% DFA Two-Year Global Fixed Income Portfolio*. 0.10%
* Prior to February 28, 2014, these Portfolios were provided administrative services under an administrative agreement. Effective February 28, 2014, the administrative agreement and investment advisory agreement for each of the Portfolios were combined into an investment management agreement that provides for an investment management fee, equal to each Portfolio's previous investment advisory services fee and administrative services fee, payable to the Advisor for both investment advisory services and administrative services. 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 Portfolios below will remain in effect through February 28, 2015, 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. For the six months ended April 30, 2014, 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 thirty-six months before the date of recovery.
Previously Recovery Waived Fees/ of Previously Expenses Waived Fees/ Assumed Expense Expenses Subject to Future Limitation Amount Assumed Recovery - ----------------- ------------- ----------------- DFA Selectively Hedged Global Fixed Income Portfolio (1).................................... 0.25% -- -- DFA Short-Term Government Portfolio (2)............ 0.20% -- -- DFA World ex U.S. Government Fixed Income Portfolio (1).................................... 0.20% -- $ 201 DFA Short-Term Extended Quality Portfolio (1)...... 0.22% $29 378 DFA Intermediate-Term Extended Quality Portfolio (1).................................... 0.22% 23 232 DFA Investment Grade Portfolio (3)................. 0.22% -- 4,832 DFA Inflation-Protected Securities Portfolio (1)... 0.20% -- -- DFA Short-Duration Real Return Portfolio (4)....... 0.24% -- 196 DFA Short-Term Municipal Bond Portfolio (2)........ 0.30% -- -- DFA Intermediate-Term Municipal Bond Portfolio (1). 0.23% -- 100 DFA California Short-Term Municipal Bond Portfolio (1).................................... 0.30% -- -- DFA California Intermediate-Term Municipal Bond Portfolio (1).................................... 0.23% -- 95
110 (1) The Advisor has contractually agreed to waive all or a portion of its advisory fee and to assume the Portfolio's ordinary operating expenses (excluding the expenses the Portfolio incurs indirectly through its investment in other investment companies and excluding any applicable 12b-1 fees) ("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 above as a percentage of average net assets of such 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 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 will not cause the Portfolio's annualized Portfolio Expenses for such class to exceed the Expense Limitation Amount. (2) The Advisor has contractually agreed to waive all or a portion of its advisory fee to the extent necessary to reduce the Portfolio's ordinary operating expenses (excluding expenses incurred through its investment in other investment companies and excluding any applicable 12b-1 fees) ("Portfolio Expenses") of a class of the Portfolio so that the Portfolio Expenses, on an annualized basis, do not exceed the rate listed above as a percentage of average net assets of such 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 listed above for such Portfolio, the Advisor retains the right to recover any fees previously waived to the extent that such recovery will not cause the Portfolio's annualized Portfolio Expenses for such class to exceed the Expense Limitation Amount. (3) The Advisor has contractually agreed to waive all or a portion of its advisory 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 its investment in unaffiliated investment companies and excluding any applicable 12b-1 fees) ("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 above as a percentage of average net assets of such 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 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 will not cause the Portfolio's annualized Portfolio Expenses for such class to exceed the Expense Limitation Amount. (4) The Advisor has contractually agreed to waive up to the full amount of the Portfolio's management fee of 0.20% 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 (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 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 its investment in unaffiliated investment companies and excluding any applicable 12b-1 fees) ("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 such 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 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 will not cause the annualized Portfolio Expenses of a class of the Portfolio to exceed the Expense Limitation Amount. Earned Income Credit: In addition, the 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 111 the accompanying financial statements is presented before reduction for credits. During the six months ended April 30, 2014, expenses reduced were as follows (amounts in thousands):
Fees Paid Indirectly - ---------- DFA Two-Year Global Fixed Income Portfolio........... $16 DFA Selectively Hedged Global Fixed Income Portfolio. 4 DFA Five-Year Global Fixed Income Portfolio.......... 22 DFA World ex U.S. Government Fixed Income Portfolio.. 1 DFA Short-Term Extended Quality Portfolio............ 21
Fees Paid to Officers and Directors/Trustees: Certain Officers and Directors/Trustees of the Advisor are also Officers and Directors/Trustees of the Fund; however, such Officers and Directors/Trustees (with the exception of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund. For the six months ended April 30, 2014, the total related amounts paid by the Fund to the CCO were $130 (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, 2014, 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 (amounts in thousands): DFA One-Year Fixed Income Portfolio....................... $323 DFA Two-Year Global Fixed Income Portfolio................ 269 DFA Selectively Hedged Global Fixed Income Portfolio...... 19 DFA Short-Term Government Portfolio....................... 55 DFA Five-Year Global Fixed Income Portfolio............... 193 DFA World ex U.S. Government Fixed Income Portfolio....... 2 DFA Intermediate Government Fixed Income Portfolio........ 87 DFA Short-Term Extended Quality Portfolio................. 38 DFA Intermediate-Term Extended Quality Portfolio.......... 13 DFA Investment Grade Portfolio............................ 13 DFA Inflation-Protected Securities Portfolio.............. 52 DFA Short-Duration Real Return Portfolio.................. 1 DFA Short-Term Municipal Bond Portfolio................... 58 DFA Intermediate-Term Municipal Bond Portfolio............ 2 DFA California Short-Term Municipal Bond Portfolio........ 12 DFA California Intermediate-Term Municipal Bond Portfolio. 1
E. Purchases and Sales of Securities: For the six months ended April 30, 2014, the Portfolios made the following purchases and sales of investment securities, other than short-term securities (amounts in thousands):
U.S. Government Securities Other Investment Securities -------------------------- --------------------------- Purchases Sales Purchases Sales ---------- ---------- ---------- ---------- DFA One-Year Fixed Income Portfolio.................. $1,068,787 $ 557,215 $1,950,243 $1,247,372 DFA Two-Year Global Fixed Income Portfolio........... 744,557 1,180,224 3,021,612 2,147,475 DFA Selectively Hedged Global Fixed Income Portfolio. 74,125 82,843 182,615 131,358 DFA Short-Term Government Portfolio.................. 298,849 167,378 -- -- DFA Five-Year Global Fixed Income Portfolio.......... 151,501 276,529 3,726,340 2,777,793 DFA World ex U.S. Government Fixed Income Portfolio.. 6,811 5,775 80,177 43,384
112
U.S. Government Securities Other Investment Securities -------------------------- --------------------------- Purchases Sales Purchases Sales --------- -------- ---------- -------- DFA Intermediate Government Fixed Income Portfolio. $479,504 $513,141 -- -- DFA Short-Term Extended Quality Portfolio.......... 211,367 199,619 $1,293,983 $207,313 DFA Intermediate-Term Extended Quality Portfolio... 55,150 71,854 509,149 130,839 DFA Inflation-Protected Securities Portfolio....... 285,034 389,955 -- -- DFA Short-Duration Real Return Portfolio........... 106,402 89,856 374,258 289,282 DFA Short-Term Municipal Bond Portfolio............ -- -- 659,887 272,070 DFA Intermediate-Term Municipal Bond Portfolio..... -- -- 104,945 -- DFA California Short-Term Municipal Bond Portfolio. -- -- 129,641 23,635 DFA California Intermediate-Term Municipal Bond Portfolio........................................ -- -- 34,394 11,821
For the six months ended April 30, 2014, DFA Investment Grade Portfolio made the following purchases and sales of Affiliated Investment Companies (amounts in thousands):
DFA Investment Grade Portfolio ------------------------------------------------------------------ Balance at Balance at Dividend Distributions of Affiliated Investment Companies 10/31/2013 4/30/2014 Purchases Sales Income Realized Gains ------------------------------- ---------- ---------- --------- -------- -------- ---------------- DFA Intermediate-Term Extended Quality Portfolio............... $766,075 $1,063,821 $286,282 $ 5,823 $13,430 $269 DFA Intermediate Government Fixed Income Portfolio................ 489,951 708,912 223,243 4,302 7,579 -- DFA Short-Term Extended Quality Portfolio....................... 88,053 119,266 31,284 -- 683 177 DFA Short-Term Government Portfolio....................... 79,012 78,800 4,532 4,500 259 170 DFA Short-Duration Real Return Portfolio ------------------------------------------------------------------ Balance at Balance at Dividend Distributions of Affiliated Investment Companies 10/31/2013 4/30/2014 Purchases Sales Income Realized Gains ------------------------------- ---------- ---------- --------- -------- -------- ---------------- DFA Intermediate-Term Extended Quality Portfolio............... -- -- $ 15,352 $ 15,584 $ 119 $ 2 DFA One-Year Fixed Income Portfolio....................... -- -- 14,253 14,251 8 3 DFA Short-Term Extended Quality Portfolio....................... -- -- 258,979 258,550 588 118
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, 2013, primarily attributable to net foreign currency gains/losses, non-deductible expenses, expiration of capital loss carryovers, 113 distribution redesignations and short term distributions from underlying RICs were reclassified to the following accounts. These reclassifications had no effect on net assets or net asset value per share (amounts in thousands):
Increase Increase (Decrease) (Decrease) Increase Undistributed Accumulated (Decrease) Net Investment Net Realized Paid-In Capital Income Gains (Losses) --------------- -------------- -------------- DFA One-Year Fixed Income Portfolio.................. -- -- -- DFA Two-Year Global Fixed Income Portfolio........... -- $ (4,790) $ 4,790 DFA Selectively Hedged Global Fixed Income Portfolio. -- (6,388) 6,388 DFA Short-Term Government Portfolio.................. -- -- -- DFA Five-Year Global Fixed Income Portfolio.......... -- (23,441) 23,441 DFA World ex U.S. Government Fixed Income Portfolio.. -- 1,649 (1,649) DFA Intermediate Government Fixed Income Portfolio... -- (170) 170 DFA Short-Term Extended Quality Portfolio............ -- (4,489) 4,489 DFA Intermediate-Term Extended Quality Portfolio..... -- (1,239) 1,239 DFA Investment Grade Portfolio....................... -- -- -- DFA Inflation-Protected Securities Portfolio......... -- (136) 136 DFA Short-Term Municipal Bond Portfolio.............. -- -- -- DFA Intermediate-Term Municipal Bond Portfolio....... -- -- -- DFA California Short-Term Municipal Bond Portfolio... -- -- -- DFA California Intermediate-Term Municipal Bond Portfolio.......................................... -- -- --
DFA Short-Duration Real Return Portfolio commenced operations on November 5, 2013 and did not pay any distributions for the year ended October 31, 2013. The tax character of dividends and distributions declared and paid during the years ended October 31, 2012 and October 31, 2013 were as follows (amounts in thousands):
Net Investment Income and Short-Term Long-Term Tax Exempt Capital Gains Capital Gains Income Total -------------- ------------- ---------- -------- DFA One-Year Fixed Income Portfolio 2012................................................. $ 39,643 $16,267 -- $ 55,910 2013................................................. 40,734 7,281 -- 48,015 DFA Two-Year Global Fixed Income Portfolio 2012................................................. 82,921 3,260 -- 86,181 2013................................................. 54,661 1,375 -- 56,036 DFA Selectively Hedged Global Fixed Income Portfolio 2012................................................. 25,733 423 -- 26,156 2013................................................. 21,221 -- -- 21,221 DFA Short-Term Government Portfolio 2012................................................. 18,199 21,214 -- 39,413 2013................................................. 13,530 13,008 -- 26,538 DFA Five-Year Global Fixed Income Portfolio 2012................................................. 139,431 76,000 -- 215,431 2013................................................. 80,566 42,555 -- 123,121 DFA World ex U.S. Government Fixed Income Portfolio 2012................................................. 837 -- -- 837 2013................................................. 4,243 -- -- 4,243 DFA Intermediate Government Fixed Income Portfolio 2012................................................. 77,383 16,580 -- 93,963 2013................................................. 82,721 5,297 -- 88,018
114
Net Investment Income and Short- Term Long-Term Tax Exempt Capital Gains Capital Gains Income Total ----------------- ------------- ---------- -------- DFA Short-Term Extended Quality Portfolio 2012...................................................... $ 29,793 $ 2,632 -- $ 32,425 2013...................................................... 37,553 4,387 -- 41,940 DFA Intermediate-Term Extended Quality Portfolio 2012...................................................... 15,556 -- -- 15,556 2013...................................................... 30,139 565 -- 30,704 DFA Investment Grade Portfolio 2012...................................................... 12,346 -- -- 12,346 2013...................................................... 24,205 867 -- 25,072 DFA Inflation-Protected Securities Portfolio 2012...................................................... 45,542 19,542 -- 65,084 2013...................................................... 51,554 13,876 -- 65,430 DFA Short-Term Municipal Bond Portfolio 2012...................................................... 21,494 -- -- 21,494 2013...................................................... -- -- $16,375 16,375 DFA Intermediate-Term Municipal Bond Portfolio 2012...................................................... 362 -- -- 362 2013...................................................... -- -- 1,943 1,943 DFA California Short-Term Municipal Bond Portfolio 2012...................................................... 4,994 -- -- 4,994 2013...................................................... -- -- 4,312 4,312 DFA California Intermediate-Term Municipal Bond Portfolio 2012...................................................... 471 -- -- 471 2013...................................................... -- -- 1,248 1,248
At October 31, 2013, the components of distributable earnings (accumulated losses) were as follows (amounts in thousands):
Undistributed Total Net Net Investment Distributable Income and Undistributed Capital Undistributed Earnings Short-Term Long-Term Loss Appreciation (Accumulated Capital Gains Capital Gains Carryforwards Depreciation Losses) -------------- ------------- ------------- ------------- ------------- DFA One-Year Fixed Income Portfolio......................... $ 4,051 $ 3,485 -- $ 10,135 $ 17,671 DFA Two-Year Global Fixed Income Portfolio......................... 23,221 1,765 -- (27,103) (2,117) DFA Selectively Hedged Global Fixed Income Portfolio.................. 10,291 79 -- (4,691) 5,679 DFA Short-Term Government Portfolio......................... 2,410 3,324 -- 4,674 10,408 DFA Five-Year Global Fixed Income Portfolio......................... 46,570 96,458 -- 37,115 180,143 DFA World ex U.S. Government Fixed Income Portfolio.................. 2,523 -- -- (2,190) 333 DFA Intermediate Government Fixed Income Portfolio.................. 13,811 -- $(237) 98,189 111,763 DFA Short-Term Extended Quality Portfolio......................... 2,258 4,635 -- 23,535 30,428 DFA Intermediate-Term Extended Quality Portfolio................. 2,617 329 -- (12,926) (9,980)
115
Undistributed Total Net Net Investment Distributable Income and Undistributed Capital Undistributed Earnings Short-Term Long-Term Loss Appreciation (Accumulated Capital Gains Capital Gains Carryforwards Depreciation Losses) -------------- ------------- ------------- ------------- ------------- DFA Investment Grade Portfolio...... $2,180 $194 -- $(19,926) $(17,552) DFA Inflation-Protected Securities Portfolio......................... 4,184 -- $(3,570) 81,717 82,331 DFA Short-Term Municipal Bond Portfolio......................... 1,219 -- (66) 14,680 15,833 DFA Intermediate-Term Municipal Bond Portfolio.................... 352 -- (12) (1,421) (1,081) DFA California Short-Term Municipal Bond Portfolio.................... 370 -- (8) 3,933 4,295 DFA California Intermediate-Term Municipal Bond Portfolio.......... 130 -- (113) (329) (312)
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, 2013, 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, ---------------------- --------- ------ 2018 2019 Unlimited Total ---- ---- --------- ------ DFA Intermediate Government Fixed Income Portfolio........ -- -- $ 237 $ 237 DFA Inflation-Protected Securities Portfolio.............. -- -- 3,570 3,570 DFA Short-Term Municipal Bond Portfolio................... -- $ 3 63 66 DFA Intermediate-Term Municipal Bond Portfolio............ -- -- 12 12 DFA California Short-Term Municipal Bond Portfolio........ $ 1 3 4 8 DFA California Intermediate-Term Municipal Bond Portfolio. -- -- 113 113
During the year ended October 31, 2013, each Portfolio did not utilize capital loss carryforwards. At April 30, 2014, the total cost and aggregate gross unrealized appreciation (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes, as follows (amounts in thousands):
Net Unrealized Federal Unrealized Unrealized Appreciation Tax Cost Appreciation Depreciation (Depreciation) ---------- ------------ ------------ -------------- DFA One-Year Fixed Income Portfolio.................. $9,201,812 $ 11,121 $ (319) $10,802 DFA Two-Year Global Fixed Income Portfolio........... 5,868,464 53,003 (19,709) 33,294 DFA Selectively Hedged Global Fixed Income Portfolio. 972,729 8,135 (2,374) 5,761 DFA Short-Term Government Portfolio.................. 1,879,983 8,917 (6,500) 2,417 DFA Five-Year Global Fixed Income Portfolio.......... 9,011,561 79,949 (19,871) 60,078 DFA World ex U.S. Government Fixed Income Portfolio.. 276,450 10,746 (7,403) 3,343 DFA Intermediate Government Fixed Income Portfolio... 3,439,388 113,563 (21,887) 91,676 DFA Short-Term Extended Quality Portfolio............ 3,611,374 32,322 (3,982) 28,340 DFA Intermediate-Term Extended Quality Portfolio..... 2,047,542 27,630 (17,434) 10,196 DFA Investment Grade Portfolio....................... 1,978,128 11,220 (13,268) (2,048)
116
Net Unrealized Federal Unrealized Unrealized Appreciation Tax Cost Appreciation Depreciation (Depreciation) ---------- ------------ ------------ -------------- DFA Inflation-Protected Securities Portfolio......... $2,426,150 $81,232 $(14,921) $66,311 DFA Short-Duration Real Return Portfolio............. 355,648 1,122 (102) 1,020 DFA Short-Term Municipal Bond Portfolio.............. 1,964,936 12,168 (1,639) 10,529 DFA Intermediate-Term Municipal Bond Portfolio....... 373,058 5,300 (1,987) 3,313 DFA California Short-Term Municipal Bond Portfolio... 596,194 3,668 (293) 3,375 DFA California Intermediate-Term Municipal Portfolio. 115,090 1,760 (398) 1,362
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 each Portfolio's tax positions and has concluded that no additional provision for income tax is required in any Portfolio's financial statements. No Portfolio is 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. Each Portfolio's federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. G. Financial Instruments: In accordance with the Portfolios' 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: 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 Portfolios. 2. Forward Currency Contracts: The International Fixed Income Portfolios, DFA Investment Grade Portfolio and DFA Short-Duration Real Return Portfolio may enter into 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 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 April 30, 2014, the following Portfolios had entered into the following contracts and the net unrealized foreign exchange gain (loss) is reflected in the accompanying financial statements (amounts in thousands): 117 DFA Two-Year Global Fixed Income Portfolio*
Unrealized Value at Foreign Settlement Currency Contract April 30, Exchange Date Amount** Currency Amount 2014 Gain (Loss) ---------- -------- ------------------ ----------- ----------- ----------- 05/02/14 20,079 Australian Dollar $ 18,640 $ 18,654 $ 14 05/02/14 (20,079) Australian Dollar (18,514) (18,654) (140) 06/03/14 (19,834) Australian Dollar (18,371) (18,385) (14) 05/02/14 114,281 Canadian Dollar 104,334 104,264 (70) 05/02/14 25,498 Canadian Dollar 23,093 23,263 170 05/02/14 (139,779) Canadian Dollar (126,474) (127,526) (1,052) 05/06/14 (95,887) Canadian Dollar (85,417) (87,474) (2,057) 05/13/14 (95,929) Canadian Dollar (87,813) (87,498) 315 05/22/14 (112,469) Canadian Dollar (102,145) (102,562) (417) 06/03/14 (114,189) Canadian Dollar (104,172) (104,102) 70 05/12/14 (360,140) Denmark Krone (66,649) (66,943) (294) 05/28/14 (458,447) Denmark Krone (84,882) (85,223) (341) 05/07/14 10,743 Euro 14,901 14,904 3 05/07/14 7,290 Euro 10,016 10,113 97 05/07/14 (87,000) Euro (119,263) (120,698) (1,435) 05/09/14 (63,447) Euro (87,537) (88,022) (485) 05/13/14 (67,124) Euro (93,052) (93,122) (70) 06/06/14 (80,723) Euro (111,183) (111,983) (800) 06/13/14 (24,471) Euro (33,723) (33,946) (223) 06/13/14 (58,838) Euro (81,642) (81,621) 21 05/02/14 (11,021) New Zealand Dollar (9,428) (9,503) (75) 05/08/14 (79,614) New Zealand Dollar (68,094) (68,617) (523) 05/14/14 21,268 New Zealand Dollar 18,408 18,321 (87) 05/14/14 10,996 New Zealand Dollar 9,398 9,472 74 05/14/14 (116,285) New Zealand Dollar (100,538) (100,173) 365 05/30/14 (77,891) New Zealand Dollar (66,448) (67,010) (562) 05/02/14 74,939 UK Pound Sterling 126,132 126,527 395 05/02/14 (74,939) UK Pound Sterling (124,687) (126,527) (1,840) 05/06/14 79,896 UK Pound Sterling 134,587 134,891 304 05/06/14 (79,896) UK Pound Sterling (131,684) (134,892) (3,208) 05/07/14 (83,810) UK Pound Sterling (138,302) (141,499) (3,197) 05/08/14 (79,337) UK Pound Sterling (131,977) (133,947) (1,970) 05/15/14 (84,227) UK Pound Sterling (140,627) (142,194) (1,567) 05/16/14 (63,434) UK Pound Sterling (106,109) (107,091) (982) 05/19/14 (89,980) UK Pound Sterling (151,189) (151,903) (714) 05/27/14 (84,221) UK Pound Sterling (141,423) (142,170) (747) 06/02/14 (75,463) UK Pound Sterling (126,986) (127,381) (395) 06/03/14 (80,037) UK Pound Sterling (134,797) (135,101) (304) ----------- ----------- -------- $(2,333,617) $(2,355,358) $(21,741) =========== =========== ========
118 DFA Selectively Hedged Global Fixed Income Portfolio*
Unrealized Foreign Settlement Currency Contract Value at Exchange Date Amount** Currency Amount April 30, 2014 Gain (Loss) ---------- -------- ------------------ -------- -------------- ----------- 07/23/14 89,115 Australian Dollar $ 82,187 $ 82,323 $ 136 06/04/14 87,911 Canadian Dollar 79,484 80,144 660 05/23/14 32,721 New Zealand Dollar 27,012 28,166 1,154 05/23/14 2,609 New Zealand Dollar 2,155 2,246 91 06/04/14 547,996 Norwegian Krone 91,659 92,078 419 05/05/14 6,857 Singapore Dollar 5,459 5,469 10 05/05/14 (6,857) Singapore Dollar (5,437) (5,469) (32) 06/03/14 (6,884) Singapore Dollar (5,481) (5,491) (10) 06/04/14 266,832 Swedish Krona 41,308 41,015 (293) 05/12/14 (14,975) UK Pound Sterling (25,085) (25,282) (197) -------- -------- ------ $293,261 $295,199 $1,938 ======== ======== ======
DFA Five-Year Global Fixed Income Portfolio*
Unrealized Foreign Settlement Currency Contract Value at Exchange Date Amount** Currency Amount April 30, 2014 Gain (Loss) ---------- -------- ------------------ --------- -------------- ----------- 05/02/14 31,165 Euro $ 43,054 $ 43,237 $ 183 05/02/14 16,852 Euro 23,292 23,380 88 05/02/14 15,323 Euro 21,013 21,259 246 05/02/14 236 Euro 327 328 1 05/02/14 (63,577) Euro (87,143) (88,203) (1,060) 05/06/14 22,100 Euro 30,656 30,661 5 05/06/14 19,529 Euro 26,992 27,094 102 05/06/14 17,213 Euro 23,775 23,881 106 05/06/14 15,232 Euro 21,147 21,132 (15) 05/06/14 (74,075) Euro (101,986) (102,768) (782) 05/06/14 (167,319) New Zealand Dollar (142,506) (144,231) (1,725) 05/13/14 (22,105) New Zealand Dollar (19,184) (19,044) 140 05/09/14 (98,693) Singapore Dollar (78,264) (78,721) (457) 05/12/14 (72,355) Singapore Dollar (57,303) (57,713) (410) 05/14/14 (75,009) Singapore Dollar (59,410) (59,830) (420) 05/01/14 53,618 UK Pound Sterling 90,246 90,528 282 05/01/14 (53,618) UK Pound Sterling (89,239) (90,529) (1,290) 05/02/14 49,787 UK Pound Sterling 83,807 84,061 254 05/02/14 (2,492) UK Pound Sterling (4,109) (4,207) (98) 05/02/14 (3,341) UK Pound Sterling (5,621) (5,641) (20) 05/02/14 (8,312) UK Pound Sterling (13,730) (14,033) (303) 05/02/14 (15,079) UK Pound Sterling (25,328) (25,460) (132) 05/02/14 (20,564) UK Pound Sterling (33,896) (34,720) (824) 05/06/14 55,850 UK Pound Sterling 94,085 94,293 208 05/06/14 3,395 UK Pound Sterling 5,729 5,731 2 05/06/14 (55,850) UK Pound Sterling (92,057) (94,294) (2,237) 05/07/14 (56,660) UK Pound Sterling (93,522) (95,661) (2,139) 05/08/14 (57,030) UK Pound Sterling (94,877) (96,285) (1,408) 05/09/14 (61,693) UK Pound Sterling (102,617) (104,156) (1,539) 05/13/14 (83,922) UK Pound Sterling (140,681) (141,681) (1,000)
119
Unrealized Foreign Settlement Currency Contract Value at Exchange Date Amount** Currency Amount April 30, 2014 Gain (Loss) ---------- -------- ----------------- ----------- -------------- ----------- 05/16/14 (83,183) UK Pound Sterling $ (139,142) $ (140,431) $ (1,289) 05/29/14 (71,515) UK Pound Sterling (120,450) (120,720) (270) 05/30/14 (64,037) UK Pound Sterling (107,680) (108,097) (417) 06/02/14 (53,867) UK Pound Sterling (90,644) (90,926) (282) 06/03/14 (3,445) UK Pound Sterling (5,813) (5,815) (2) 06/03/14 (49,855) UK Pound Sterling (83,899) (84,153) (254) 06/04/14 (55,424) UK Pound Sterling (93,347) (93,553) (206) ----------- ----------- -------- $(1,418,325) $(1,435,287) $(16,962) =========== =========== ========
DFA World ex U.S. Government Fixed Income Portfolio*
Unrealized Foreign Settlement Currency Contract Value at Exchange Date Amount** Currency Amount April 30, 2014 Gain (Loss) ---------- ---------- ------------------ --------- -------------- ----------- 05/02/14 1,461 Australian Dollar $ 1,355 $ 1,356 $ 1 05/02/14 (1,461) Australian Dollar (1,348) (1,357) (9) 06/03/14 (1,484) Australian Dollar (1,374) (1,375) (1) 05/22/14 (775) Canadian Dollar (703) (707) (4) 05/22/14 (28,406) Canadian Dollar (25,789) (25,904) (115) 05/27/14 (57,067) Denmark Krone (10,580) (10,608) (28) 06/09/14 (185) Euro (255) (256) (1) 06/09/14 (547) Euro (756) (759) (3) 06/09/14 (1,419) Euro (1,959) (1,969) (10) 06/09/14 (1,635) Euro (2,255) (2,268) (13) 06/09/14 (87,113) Euro (119,973) (120,846) (873) 05/07/14 (3,221,492) Japanese Yen (31,457) (31,512) (55) 05/27/14 (9,664) New Zealand Dollar (8,266) (8,316) (50) 05/22/14 (22,751) Norwegian Krone (3,801) (3,825) (24) 05/02/14 13,397 Singapore Dollar 10,667 10,685 18 05/02/14 (13,397) Singapore Dollar (10,639) (10,686) (47) 06/03/14 (13,444) Singapore Dollar (10,705) (10,723) (18) 05/27/14 (20,355) Swedish Krona (3,096) (3,129) (33) 05/22/14 (214) UK Pound Sterling (359) (361) (2) 05/22/14 (388) UK Pound Sterling (653) (655) (2) 05/22/14 (32,142) UK Pound Sterling (54,051) (54,260) (209) --------- --------- ------- $(275,997) $(277,475) $(1,478) ========= ========= =======
DFA Short-Term Extended Quality Portfolio*
Unrealized Foreign Settlement Currency Contract Value at Exchange Date Amount** Currency Amount April 30, 2014 Gain (Loss) ---------- -------- ------------------ --------- -------------- ----------- 05/28/14 (50,576) New Zealand Dollar $ (43,206) $ (43,518) $(312) 05/05/14 9,095 Singapore Dollar 7,240 7,254 14 05/05/14 (9,095) Singapore Dollar (7,212) (7,254) (42) 06/03/14 (9,131) Singapore Dollar (7,271) (7,284) (13) 05/13/14 (56,088) UK Pound Sterling (94,045) (94,691) (646) --------- --------- ----- $(144,494) $(145,493) $(999) ========= ========= =====
120 DFA Intermediate-Term Extended Quality Portfolio*
Unrealized Foreign Settlement Currency Contract Value at Exchange Date Amount** Currency Amount April 30, 2014 Gain (Loss) ---------- -------- ----------------- -------- -------------- ----------- 05/13/14 (9,818) UK Pound Sterling $(16,464) $(16,576) $(112) -------- -------- ----- $(16,464) $(16,576) $(112) ======== ======== =====
DFA Short-Duration Real Return Portfolio*
Unrealized Foreign Settlement Currency Contract Value at Exchange Date Amount** Currency Amount April 30, 2014 Gain (Loss) ---------- -------- ------------------ -------- -------------- ----------- 05/28/14 (3,897) New Zealand Dollar $ (3,329) $ (3,353) $(24) 05/05/14 700 Singapore Dollar 558 559 1 05/05/14 (700) Singapore Dollar (556) (559) (3) 06/03/14 (703) Singapore Dollar (560) (561) (1) 05/13/14 (4,322) UK Pound Sterling (7,247) (7,296) (49) -------- -------- ---- $(11,134) $(11,210) $(76) ======== ======== ====
* During the six months ended April 30, 2014, the following Portfolios' average contract amount of forward currency contracts were (in thousands): DFA Two-Year Global Fixed Income Portfolio........... $2,904,503 DFA Selectively Hedged Global Fixed Income Portfolio. 347,285 DFA Five-Year Global Fixed Income Portfolio.......... 2,722,373 DFA World ex U.S. Government Fixed Income Portfolio.. 271,930 DFA Short-Term Extended Quality Portfolio............ 206,020 DFA Intermediate-Term Extended Quality Portfolio..... 25,930 DFA Short-Duration Real Return Portfolio............. 2,042
**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. Swap Agreements: The DFA Short-Duration Real Return Portfolio may also enter into inflation swap agreements to seek inflation protection. Inflation swap agreements are contracts in which one party agrees to pay the cumulative percentage increase in a price index (the Consumer Price Index with respect to CPI swaps) over the term of the swap (with some lag on the inflation index), and the other pays a compounded fixed rate. Inflation swap agreements may be used by the DFA Short-Duration Real Return Portfolio to hedge the inflation risk in nominal bonds (i.e. non-inflation indexed bonds) thereby creating "synthetic" inflation-indexed bonds. Among other reasons, one factor that may lead to changes in the values of inflation swap agreements are changes in real interest rates. Real interest rates are tied to the relationship between nominal interest rates and the rate of inflation. If nominal interest rates increase at a faster rate than inflation, real interest rates may rise, which may lead to a change in the value of an inflation swap agreement. Additionally, payments received by the DFA Short-Duration Real Return Portfolio from inflation swap agreements will result in taxable income, either as ordinary income or capital gains, which will increase the amount of taxable distributions received by shareholders. The Advisor and the Fund do not believe that a Portfolio's obligations under swap contracts are senior securities and, accordingly, the Portfolio will not treat them as being subject to the Portfolio's borrowing or senior securities restrictions. However, with respect to swap contracts that provide for the netting of payments, the net amount of the excess, if any, of the Portfolio's obligations over its entitlements with respect to each swap contract will be accrued on a daily basis and an amount of segregated assets having an aggregate market value at least equal to the accrued excess will be maintained to cover the transactions in accordance with SEC positions. With 121 respect to swap contracts that do not provide for the netting of payments by the counterparties, the full notional amount for which the Portfolio is obligated under the swap contract with respect to each swap contract will be accrued on a daily basis and assets having an aggregate market value at least equal to the accrued full notional value will be segregated and maintained to cover the transactions in accordance with SEC positions. To the extent that a 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. At April 30, 2014, DFA Short-Duration Real Return Portfolio had the following outstanding inflation swaps (dollar amounts in thousands):
Unrealized Payments Payments Expiration Notional Appreciation Counterparty Made Received Date Currency Amount (Depreciation) ------------ -------- -------- ---------- -------- -------- -------------- Citibank, N.A................... 1.985% CPI 03/14/2017 USD $ 19,000 $ 63 Citibank, N.A................... 1.978% CPI 03/05/2017 USD 21,000 98 Citibank, N.A................... 1.975% CPI 02/13/2017 USD 27,000 94 Citibank, N.A................... 1.958% CPI 01/15/2017 USD 10,000 10 Citibank, N.A................... 1.945% CPI 03/03/2017 USD 22,000 130 Citibank, N.A................... 1.881% CPI 12/18/2016 USD 7,300 (4) Citibank, N.A................... 1.870% CPI 12/24/2016 USD 9,500 3 Citibank, N.A................... 1.864% CPI 11/13/2016 USD 26,000 (67) Credit Suisse................... 1.968% CPI 02/24/2017 USD 19,000 71 Credit Suisse................... 1.920% CPI 11/18/2016 USD 5,000 (22) Credit Suisse................... 1.888% CPI 11/08/2016 USD 14,000 (43) Deutsche Bank AG, London Branch. 1.988% CPI 04/25/2017 USD 20,000 (4) Deutsche Bank AG, London Branch. 1.945% CPI 01/08/2017 USD 23,000 22 Deutsche Bank AG, London Branch. 1.930% CPI 02/05/2017 USD 18,000 87 Deutsche Bank AG, London Branch. 1.925% CPI 01/28/2017 USD 11,000 32 Deutsche Bank AG, London Branch. 1.905% CPI 01/02/2017 USD 20,300 36 Deutsche Bank AG, London Branch. 1.888% CPI 11/08/2016 USD 14,000 (43) Deutsche Bank AG, London Branch. 1.870% CPI 04/07/2014 USD 21,000 119 Deutsche Bank AG, London Branch. 1.868% CPI 03/31/2017 USD 21,000 101 Deutsche Bank AG, London Branch. 1.845% CPI 12/10/2016 USD 12,000 (2) Deutsche Bank AG, London Branch. 1.815% CPI 12/04/2016 USD 10,500 2 -------- ---- $350,600 $683 ======== ====
The Portfolio received cash collateral of $480 (in thousands) for swap contracts. * During the six months ended April 30, 2014 the average notional value of outstanding swap contracts was $208,167 (in thousands). The following is a summary of the location of derivatives on the Portfolios' Statements of Assets and Liabilities as of April 30, 2014: Location on the Statements of Assets and Liabilities --------------------------------------------------- Derivative Type Asset Derivatives Liability Derivatives --------------- ------------------------ ------------------------ Foreign exchange Unrealized Gain on Unrealized Loss on contracts Forward Forward Currency Contracts Currency Contracts Other contracts Unrealized Gain on Swap Unrealized Loss on Contracts Swap Contracts 122 The following is a summary of the Portfolios' derivative instrument holdings categorized by primary risk exposure as of April 30, 2014 (amounts in thousands):
Asset Derivatives Value --------------------------------- Total Value Foreign at Exchange Swap April 30, 2014 Contracts Contracts - -------------- --------- --------- DFA Two-Year Global Fixed Income Portfolio........... $ 1,828 $ 1,828 -- DFA Selectively Hedged Global Fixed Income Portfolio. 2,470 2,470 -- DFA Five-Year Global Fixed Income Portfolio.......... 1,617 1,617 -- DFA World ex U.S. Government Fixed Income Portfolio.. 19 19 -- DFA Short-Term Extended Quality Portfolio............ 14 14 -- DFA Short-Duration Real Return Portfolio............. 869 1 $ 868 Liability Derivatives Value --------------------------------- Total Value Foreign at Exchange Swap April 30, 2014 Contracts Contracts - -------------- --------- --------- DFA Two-Year Global Fixed Income Portfolio........... $(23,569) $(23,569) -- DFA Selectively Hedged Global Fixed Income Portfolio. (532) (532) -- DFA Five-Year Global Fixed Income Portfolio.......... (18,579) (18,579) -- DFA World ex U.S. Government Fixed Income Portfolio.. (1,497) (1,497) -- DFA Short-Term Extended Quality Portfolio............ (1,013) (1,013) -- DFA Intermediate-Term Extended Quality Portfolio..... (112) (112) -- DFA Short-Duration Real Return Portfolio............. (262) (77) $(185)
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, 2014:
Derivative Type Location of Gain (Loss) on Derivatives Recognized in Income --------------- ----------------------------------------------------------- Foreign exchange contracts Net Realized Gain (Loss) on: Foreign Currency Transactions Change in Unrealized Appreciation (Depreciation) of: Translation of Foreign Currency Denominated Amounts Other contracts Change in Unrealized Appreciation (Depreciation) of: Swap Contracts
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, 2014 (amounts in thousands):
Realized Gain (Loss) on Derivatives Recognized in Income -------------------------------- Foreign Exchange Swap Total Contracts Contracts -------- --------- --------- DFA Two-Year Global Fixed Income Portfolio........... $(25,175) $(25,175) -- DFA Selectively Hedged Global Fixed Income Portfolio. (3,005) (3,005) -- DFA Five-Year Global Fixed Income Portfolio.......... (63,252) (63,252) -- DFA World ex U.S. Government Fixed Income Portfolio.. (4,372) (4,372) -- DFA Short-Term Extended Quality Portfolio............ (4,456) (4,456) -- DFA Intermediate-Term Extended Quality Portfolio..... (501) (501) -- DFA Short-Duration Real Return Portfolio............. (128) (128) --
123
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income -------------------------------- Foreign Exchange Swap Total Contracts Contracts -------- --------- --------- DFA Two-Year Global Fixed Income Portfolio........... $(11,149) $(11,149) -- DFA Selectively Hedged Global Fixed Income Portfolio. 2,639 2,639 -- DFA Five-Year Global Fixed Income Portfolio.......... (9,111) (9,111) -- DFA World ex U.S. Government Fixed Income Portfolio.. 671 671 -- DFA Short-Term Extended Quality Portfolio............ (2,249) (2,249) -- DFA Intermediate-Term Extended Quality Portfolio..... (99) (99) -- DFA Short-Duration Real Return Portfolio............. 607 (76) $683
Offsetting of Derivative Assets and Derivative Liabilities The following tables present 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 April 30, 2014 (Amounts in thousands):
Gross Amounts Not Offset in the Statements of Assets and Liabilities ------------------------- Net Amounts of Assets Presented in Gross Amounts the Statements Cash Gross Amounts of Recognized of Assets and Financial Collateral Net of Recognized Description Assets(a) Liabilities Instruments (b) Received Amount (c) -- Liabilities (a) --------------------------------------------------------------------------------------------------- ---------------- Assets ------------------------------------------------------------------- --------------- DFA Two-Year Global Fixed Income Portfolio Forward Currency Contracts.... $1,828 $1,828 $(1,828) $ -- $ -- $ $23,569 DFA Selectively Hedged Global Fixed Income Portfolio Forward Currency Contracts.... 2,470 2,470 (10) -- 2,460 532 DFA Five-Year Global Fixed Income Portfolio Forward Currency Contracts.... 1,617 1,617 (1,617) -- -- 18,579 DFA World ex U.S. Government Fixed Income Portfolio Forward Currency Contracts.... 19 19 (19) -- -- 1,497 DFA Short-Term Extended Quality Portfolio Forward Currency Contracts.... 14 14 (14) -- -- 1,013 DFA Intermediate-Term Extended Quality Portfolio Forward Currency Contracts.... -- -- -- -- -- 112 DFA Short-Duration Real Return Portfolio Forward Currency Contracts.... 1 1 (1) -- -- 77 Swaps Contracts............... 868 868 (185) (480) 203 185
Gross Amounts Not Offset in the Statements of Assets and Liabilities -------------------------- Net Amounts of Liabilities Presented in the Statements of Assets Cash and Financial Collateral Net Description Liabilities Instruments (d) Pledged Amount (e) ------------------------------------------------------------------------------------ Liabilities ----------------------------------------------------- DFA Two-Year Global Fixed Income Portfolio Forward Currency Contracts.... $23,569 $(1,828) $-- $21,741 DFA Selectively Hedged Global Fixed Income Portfolio Forward Currency Contracts.... 532 (10) -- 522 DFA Five-Year Global Fixed Income Portfolio Forward Currency Contracts.... 18,579 (1,617) -- 16,962 DFA World ex U.S. Government Fixed Income Portfolio Forward Currency Contracts.... 1,497 (19) -- 1,478 DFA Short-Term Extended Quality Portfolio Forward Currency Contracts.... 1,013 (14) -- 999 DFA Intermediate-Term Extended Quality Portfolio Forward Currency Contracts.... 112 -- -- 112 DFA Short-Duration Real Return Portfolio Forward Currency Contracts.... 77 (1) -- 76 Swaps Contracts............... 185 (185) -- --
(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 1 contains information regarding securities lending amounts that are subject to netting arrangements. 124 H. Line of Credit: The Fund, together with other Dimensional-advised portfolios, has entered into a $500 million unsecured discretionary line of credit effective March 4, 2013 with its domestic custodian bank. 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 was scheduled to expire on March 3, 2014, however, effective March 3, 2014, the term was extended until March 2, 2015. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit effective January 10, 2014 with its international custodian bank. 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 9, 2015. For the six months ended April 30, 2014, borrowings by the Portfolios under the lines of credit were as follows (amounts in thousands, except percentages and days):
Weighted Weighted Number of Interest Maximum Amount Average Average Loan Days Expense Borrowed During Interest Rate Balance Outstanding* Incurred The Period ------------- ------------ ------------ -------- --------------- DFA Investment Grade Portfolio. 0.83% $2,821 9 $1 $3,513
* Number of Days Outstanding represents the total of single or consecutive days during the six months ended April 30, 2014, 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, 2014. I. Securities Lending: As of April 30, 2014, some of the Portfolios had securities on loan to brokers/dealers, for which each such Portfolio received cash collateral. Each Portfolio with securities on loan 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 equal to at least (i) 100% of the current market value of the loaned securities with respect to securities of the U.S. government or its agencies, (ii) 102% of the current market value of the loaned securities with respect to U.S. securities, and (iii) 105% of the current market value of the loaned securities with respect to foreign securities. However, daily market fluctuations could cause the Portfolios' 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. Subject to their stated investment policies, the Portfolios with securities on loan 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 Portfolios 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 125 debentures and agency mortgage-backed securities. In addition, each Portfolio with securities on loan 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. 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 which 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. In-Kind Redemptions: In accordance with guidelines described in the Portfolios' prospectus, the Portfolios may distribute portfolio securities rather than cash as payment for a redemption of fund shares (in-kind redemption). For financial reporting purposes, a Portfolio recognizes a gain on in-kind redemptions to the extent the value of the distributed securities on the date of redemption exceed the cost of those securities and a loss on in-kind redemptions to the extent the cost of the distributed securities on the date of redemption exceeds the value of those securities. Gains and losses realized on in-kind redemptions are not recognized for tax purposes and are reclassified from undistributed realized gain (loss) to paid-in capital. During the six months ended April 30, 2014, DFA Short-Term Extended Quality Portfolio realized net gains of in-kind redemptions in the amount of $2,482 (amount in thousands). L. Other: At April 30, 2014, the following number of shareholders held the following approximate percentages of the stated fund outstanding shares. One or more of the shareholders may be omnibus accounts, which typically hold shares for the benefit of several other underlying investors.
Approximate Percentage Number of of Outstanding Shareholders Shares ------------ -------------- DFA One-Year Fixed Income Portfolio....................... 5 66% DFA Two-Year Global Fixed Income Portfolio................ 4 86% DFA Selectively Hedged Global Fixed Income Portfolio...... 5 93% DFA Short-Term Government Portfolio....................... 4 78% DFA Five-Year Global Fixed Income Portfolio............... 3 77% DFA World ex U.S. Government Fixed Income Portfolio....... 4 88% DFA Intermediate Government Fixed Income Portfolio........ 5 91% DFA Short-Term Extended Quality Portfolio................. 5 85% DFA Intermediate-Term Extended Quality Portfolio.......... 5 89% DFA Investment Grade Portfolio............................ 4 93% DFA Inflation-Protected Securities Portfolio.............. 3 64% DFA Short-Duration Real Return Portfolio.................. 3 84% DFA Short-Term Municipal Bond Portfolio................... 5 94% DFA Intermediate-Term Municipal Bond Portfolio............ 4 97% DFA California Short-Term Municipal Bond Portfolio........ 3 94% DFA California Intermediate-Term Municipal Bond Portfolio. 3 97%
126 Further, on December 13, 2013, the Board of the Fund voted to approve the combination of the Investment Advisory Agreement and the Administration Agreement (together, the "Previous Agreements") into a bundled Investment Management Agreement for the DFA One-Year Fixed Income Portfolio and DFA Two-Year Global Fixed Income Portfolio. The Investment Management Agreements became effective on February 28, 2014. The nature and level of services to each Portfolio under the Investment Management Agreements are the same as under the Previous Agreements. As of February 28, 2014, the Portfolios pay the Advisor an investment management fee that is equal to the sum of the previous investment advisory and administration fees that were paid by each Portfolio to the Advisor under the Previous Agreements. M. Subsequent Event Evaluations: Management has evaluated the impact of all subsequent events on the Portfolios and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements. 127 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 without charge, upon request, by calling collect: (512) 306-7400. 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://www.dimensional.com and reflects the twelve-month period beginning July 1st and ending June 30th. 128 BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS At the Board meeting held on December 13, 2013 (the "Meeting"), the Board of Directors of DFA Investment Dimensions Group Inc. (the "Board") considered the continuation of the investment advisory agreements for each portfolio (collectively, the "Funds") and, if applicable, a Fund's sub-advisory agreements. For certain Funds, Dimensional Fund Advisors Ltd. and DFA Australia Limited serve as sub-advisors. (The investment advisory agreements and the sub-advisory agreements are referred to as the "Advisory 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 Advisory 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 Advisory 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 Advisory 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 advisory 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 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 management services provided by the Advisor. 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, 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 based on the Fund's investment strategies and the expectations of its shareholder base, among other things, that the performance of each Fund was reasonable as compared with relevant performance standards. 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 advisory fees and total expenses of each Fund over various periods were favorable in relation to those of its peer funds, and that the advisory 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. 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 129 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 advisory fees charged. For several reasons, the Board concluded that economies of scale and the reflection of such economies of scale in the level of advisory 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 Advisory Agreement for each Fund was in the best interests of the Fund and its shareholders. 130 [LOGO] DFA043014-024S
[LOGO] SEMI-ANNUAL REPORT six months ended: April 30, 2014 (Unaudited) DFA Investment Dimensions Group Inc. U.S. Social Core Equity 2 Portfolio U.S. Sustainability Core 1 Portfolio International Sustainability Core 1 Portfolio DFA International Value ex Tobacco Portfolio International Social Core Equity Portfolio Emerging Markets Social Core Equity Portfolio [LOGO] Dimensional Fund Advisors 6300 Bee Cave Road, Building One Austin, TX 78746 May 2014 Dear Fellow Shareholder, Since our founding 33 years ago, Dimensional has grown into a global asset management firm. We believe well-functioning markets that bring together investors who supply capital with companies that put capital to work are what make our business and investment approach successful. At Dimensional, we combine insights gained from academia and a belief in the power of markets with decades of practical experience implementing in competitive markets. By applying this approach, we have built up a long and compelling track record across global equity and fixed income markets. Sincerely, /s/ David G. Booth David G. Booth Chairman and Co-Chief Executive Officer DFA INVESTMENT DIMENSIONS GROUP INC. SEMI-ANNUAL REPORT (Unaudited) Table of Contents
Page ---- Letter to Shareholders Definitions of Abbreviations and Footnotes....... 1 Disclosure of Fund Expenses...................... 2 Disclosure of Portfolio Holdings................. 4 Summary Schedules of Portfolio Holdings U.S. Social Core Equity 2 Portfolio........... 6 U.S. Sustainability Core 1 Portfolio.......... 9 International Sustainability Core 1 Portfolio. 12 DFA International Value ex Tobacco Portfolio.. 16 International Social Core Equity Portfolio.... 20 Emerging Markets Social Core Equity Portfolio. 24 Statements of Assets and Liabilities............. 29 Statements of Operations......................... 31 Statements of Changes in Net Assets.............. 33 Financial Highlights............................. 35 Notes to Financial Statements.................... 38 Voting Proxies on Fund Portfolio Securities...... 48 Board Approval of Investment Advisory Agreements. 49
This report is submitted for the information of the Fund's shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. i DFA INVESTMENT DIMENSIONS GROUP INC. DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES Summary Schedules of Portfolio Holdings --------------------------------------- Investment Abbreviations ADR American Depositary Receipt GDR Global Depositary Receipt P.L.C. Public Limited Company Investment Footnotes + See Note B to Financial Statements. ++ Securities have generally been fair valued. 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 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. @ Security purchased with cash proceeds from Securities on Loan. (S) Affiliated Fund. Financial Highlights -------------------- (A) Computed using average shares outstanding. (B) Because of commencement of operations and related preliminary transaction costs, these ratios are not necessarily indicative of future ratios. (C) Non-Annualized (D) Annualized All Statements, Schedules and Notes to Financial Statements ----------------------------------------------------------- -- Amounts designated as -- are either zero or rounded to zero. 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, 2014 EXPENSE TABLES Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 11/01/13 04/30/14 Ratio* Period* --------- --------- ---------- -------- U.S. Social Core Equity 2 Portfolio ----------------------------------- Actual Fund Return................... $1,000.00 $1,073.80 0.29% $1.49 Hypothetical 5% Annual Return........ $1,000.00 $1,023.36 0.29% $1.45 U.S. Sustainability Core 1 Portfolio ------------------------------------ Actual Fund Return................... $1,000.00 $1,076.50 0.32% $1.65 Hypothetical 5% Annual Return........ $1,000.00 $1,023.21 0.32% $1.61
2 DISCLOSURE OF FUND EXPENSES CONTINUED
Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 11/01/13 04/30/14 Ratio* Period* --------- --------- ---------- -------- International Sustainability Core 1 Portfolio --------------------------------------------- Actual Fund Return............................ $1,000.00 $1,053.10 0.48% $2.44 Hypothetical 5% Annual Return................. $1,000.00 $1,022.41 0.48% $2.41 DFA International Value ex Tobacco Portfolio -------------------------------------------- Actual Fund Return............................ $1,000.00 $1,055.40 0.56% $2.85 Hypothetical 5% Annual Return................. $1,000.00 $1,022.02 0.56% $2.81 International Social Core Equity Portfolio ------------------------------------------ Actual Fund Return............................ $1,000.00 $1,057.40 0.60% $3.06 Hypothetical 5% Annual Return................. $1,000.00 $1,021.82 0.60% $3.01 Emerging Markets Social Core Equity Portfolio --------------------------------------------- Actual Fund Return............................ $1,000.00 $ 981.30 0.63% $3.09 Hypothetical 5% Annual Return................. $1,000.00 $1,021.67 0.63% $3.16
---------- * 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. 3 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 31, 2014. It is 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 amendments 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 U.S. Social Core Equity 2 Portfolio Consumer Discretionary....................... 13.5% Consumer Staples............................. 5.5% Energy....................................... 14.2% Financials................................... 21.5% Health Care.................................. 2.7% Industrials.................................. 13.6% Information Technology....................... 18.3% Materials.................................... 5.7% Other........................................ -- Real Estate Investment Trusts................ -- Telecommunication Services................... 2.8% Utilities.................................... 2.2% ----- 100.0%
U.S. Sustainability Core 1 Portfolio Consumer Discretionary....................... 14.3% Consumer Staples............................. 7.3% Energy....................................... 10.6% Financials................................... 14.7% Health Care.................................. 12.2% Industrials.................................. 12.9% Information Technology....................... 17.6% Materials.................................... 4.9% Other........................................ -- Telecommunication Services................... 2.3% Utilities.................................... 3.2% ----- 100.0%
International Sustainability Core 1 Portfolio Consumer Discretionary....................... 13.4% Consumer Staples............................. 8.1% Energy....................................... 9.2% Financials................................... 23.6% Health Care.................................. 7.0% Industrials.................................. 15.2% Information Technology....................... 5.2% Materials.................................... 10.4% Other........................................ -- Real Estate Investment Trusts................ -- Telecommunication Services................... 4.1% Utilities.................................... 3.8% ----- 100.0%
4 DISCLOSURE OF PORTFOLIO HOLDINGS CONTINUED DFA International Value ex Tobacco Portfolio Consumer Discretionary....................... 9.6% Consumer Staples............................. 4.2% Energy....................................... 15.4% Financials................................... 34.6% Health Care.................................. 3.4% Industrials.................................. 9.3% Information Technology....................... 3.4% Materials.................................... 11.3% Other........................................ -- Real Estate Investment Trusts................ -- Telecommunication Services................... 4.8% Utilities.................................... 4.0% ----- 100.0%
International Social Core Equity Portfolio Consumer Discretionary....................... 11.7% Consumer Staples............................. 5.2% Energy....................................... 10.7% Financials................................... 28.6% Health Care.................................. 2.9% Industrials.................................. 16.3% Information Technology....................... 5.5% Materials.................................... 12.0% Other........................................ -- Real Estate Investment Trusts................ -- Telecommunication Services................... 3.5% Utilities.................................... 3.6% ----- 100.0%
Emerging Markets Social Core Equity Portfolio Consumer Discretionary....................... 10.1% Consumer Staples............................. 7.1% Energy....................................... 8.1% Financials................................... 26.6% Health Care.................................. 0.4% Industrials.................................. 10.3% Information Technology....................... 16.1% Materials.................................... 12.4% Other........................................ -- Real Estate Investment Trusts................ -- Telecommunication Services................... 4.6% Utilities.................................... 4.3% ----- 100.0%
5 U.S. SOCIAL CORE EQUITY 2 PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2014 (Unaudited)
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (89.4%) Consumer Discretionary -- (12.1%) Comcast Corp. Class A.................... 55,612 $ 2,878,477 0.6% General Motors Co........................ 32,061 1,105,463 0.3% Johnson Controls, Inc.................... 21,706 979,809 0.2% Time Warner Cable, Inc................... 7,128 1,008,327 0.2% Time Warner, Inc......................... 24,494 1,627,871 0.4% Walt Disney Co. (The).................... 23,347 1,852,351 0.4% Other Securities......................... 52,351,796 11.4% ----------- ----- Total Consumer Discretionary................. 61,804,094 13.5% ----------- ----- Consumer Staples -- (4.9%) Coca-Cola Co. (The)...................... 40,564 1,654,606 0.4% CVS Caremark Corp........................ 31,331 2,278,390 0.5% Mondelez International, Inc. Class A..... 46,216 1,647,600 0.4% PepsiCo, Inc............................. 18,070 1,552,032 0.3% Procter & Gamble Co. (The)............... 38,323 3,163,564 0.7% Other Securities......................... 14,943,707 3.2% ----------- ----- Total Consumer Staples....................... 25,239,899 5.5% ----------- ----- Energy -- (12.6%) Anadarko Petroleum Corp.................. 14,242 1,410,243 0.3% Chevron Corp............................. 52,178 6,549,383 1.4% ConocoPhillips........................... 36,204 2,690,319 0.6% EOG Resources, Inc....................... 16,592 1,626,016 0.4% Exxon Mobil Corp......................... 147,900 15,146,439 3.3% Marathon Petroleum Corp.................. 11,016 1,023,937 0.2% Occidental Petroleum Corp................ 24,164 2,313,703 0.5% Phillips 66.............................. 15,782 1,313,378 0.3% Other Securities......................... 32,627,277 7.1% ----------- ----- Total Energy................................. 64,700,695 14.1% ----------- ----- Financials -- (19.2%) American International Group, Inc........ 38,892 2,066,332 0.5% Bank of America Corp..................... 234,131 3,544,743 0.8% * Berkshire Hathaway, Inc. Class B......... 13,145 1,693,733 0.4% BlackRock, Inc........................... 3,388 1,019,788 0.2% Capital One Financial Corp............... 16,041 1,185,430 0.3% Citigroup, Inc........................... 79,782 3,822,356 0.8% Goldman Sachs Group, Inc. (The).......... 11,096 1,773,363 0.4% JPMorgan Chase & Co...................... 106,167 5,943,229 1.3% MetLife, Inc............................. 25,275 1,323,146 0.3% Morgan Stanley........................... 33,219 1,027,464 0.2% PNC Financial Services Group, Inc. (The). 11,956 1,004,782 0.2% U.S. Bancorp............................. 50,752 2,069,667 0.5% Wells Fargo & Co......................... 129,181 6,412,545 1.4% Other Securities......................... 65,256,032 14.1% ----------- ----- Total Financials............................. 98,142,610 21.4% ----------- ----- Health Care -- (2.4%) Other Securities......................... 12,188,514 2.7% ----------- ----- Industrials -- (12.2%) 3M Co.................................... 7,605 1,057,779 0.2% FedEx Corp............................... 9,578 1,305,002 0.3% Union Pacific Corp....................... 14,927 2,842,549 0.6%
6 U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Industrials -- (Continued) United Technologies Corp........................... 11,308 $ 1,338,076 0.3% Other Securities................................... 55,656,524 12.1% ------------ ------ Total Industrials........................................ 62,199,930 13.5% ------------ ------ Information Technology -- (16.4%) Apple, Inc......................................... 16,277 9,604,895 2.1% Cisco Systems, Inc................................. 113,327 2,618,987 0.6% EMC Corp........................................... 49,450 1,275,810 0.3% * Google, Inc. Class A............................... 2,313 1,237,177 0.3% * Google, Inc. Class C............................... 2,313 1,218,165 0.3% Hewlett-Packard Co................................. 84,129 2,781,305 0.6% Intel Corp......................................... 174,364 4,653,775 1.0% International Business Machines Corp............... 8,942 1,756,835 0.4% * Micron Technology, Inc............................. 46,607 1,217,375 0.3% Microsoft Corp..................................... 85,668 3,460,987 0.8% Oracle Corp........................................ 36,124 1,476,749 0.3% QUALCOMM, Inc...................................... 20,304 1,598,128 0.4% Other Securities................................... 50,794,722 10.8% ------------ ------ Total Information Technology............................. 83,694,910 18.2% ------------ ------ Materials -- (5.1%) Other Securities................................... 26,044,811 5.7% ------------ ------ Other -- (0.0%) Other Securities................................... -- 0.0% ------------ ------ Real Estate Investment Trusts -- (0.0%) Other Securities................................... 32,798 0.0% ------------ ------ Telecommunication Services -- (2.5%) AT&T, Inc.......................................... 146,555 5,232,014 1.1% Verizon Communications, Inc........................ 94,161 4,400,144 1.0% Other Securities................................... 3,318,174 0.7% ------------ ------ Total Telecommunication Services......................... 12,950,332 2.8% ------------ ------ Utilities -- (2.0%) Other Securities................................... 10,178,980 2.2% ------------ ------ TOTAL COMMON STOCKS...................................... 457,177,573 99.6% ------------ ------ RIGHTS/WARRANTS -- (0.0%) Other Securities................................... 3,024 0.0% ------------ ------ TEMPORARY CASH INVESTMENTS -- (0.6%) State Street Institutional Liquid Reserves, 0.074%. 2,951,033 2,951,033 0.6% ------------ ------ Shares/ Face Amount ------- - - (000) SECURITIES LENDING COLLATERAL -- (10.0%) (S)@ DFA Short Term Investment Fund..................... 4,428,936 51,242,785 11.2% ------------ ------ TOTAL INVESTMENTS -- (100.0%) (Cost $373,100,748).................................. $511,374,415 111.4% ============ ======
7 U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, 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........ $ 61,804,094 -- -- $ 61,804,094 Consumer Staples.............. 25,239,899 -- -- 25,239,899 Energy........................ 64,700,695 -- -- 64,700,695 Financials.................... 98,142,610 -- -- 98,142,610 Health Care................... 12,188,514 -- -- 12,188,514 Industrials................... 62,199,930 -- -- 62,199,930 Information Technology........ 83,694,910 -- -- 83,694,910 Materials..................... 26,044,811 -- -- 26,044,811 Other......................... -- -- -- -- Real Estate Investment Trusts. 32,798 -- -- 32,798 Telecommunication Services.... 12,950,332 -- -- 12,950,332 Utilities..................... 10,178,980 -- -- 10,178,980 Rights/Warrants................. -- $ 3,024 -- 3,024 Temporary Cash Investments...... 2,951,033 -- -- 2,951,033 Securities Lending Collateral... -- 51,242,785 -- 51,242,785 ------------ ----------- -- ------------ TOTAL........................... $460,128,606 $51,245,809 -- $511,374,415 ============ =========== == ============
See accompanying Notes to Financial Statements. 8 U.S. SUSTAINABILITY CORE 1 PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2014 (Unaudited)
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (90.3%) Consumer Discretionary -- (12.9%) * Amazon.com, Inc........................ 4,437 $ 1,349,425 0.4% Comcast Corp. Class A.................. 31,728 1,642,241 0.5% Home Depot, Inc. (The)................. 20,444 1,625,502 0.5% NIKE, Inc. Class B..................... 13,390 976,800 0.3% Time Warner, Inc....................... 22,360 1,486,046 0.4% Twenty-First Century Fox, Inc. Class A. 30,924 990,186 0.3% Walt Disney Co. (The).................. 23,614 1,873,535 0.6% Other Securities....................... 39,351,393 11.2% ----------- ----- Total Consumer Discretionary............... 49,295,128 14.2% ----------- ----- Consumer Staples -- (6.6%) Altria Group, Inc...................... 38,530 1,545,438 0.5% Coca-Cola Co. (The).................... 30,130 1,229,003 0.4% Colgate-Palmolive Co................... 19,889 1,338,530 0.4% CVS Caremark Corp...................... 27,329 1,987,365 0.6% PepsiCo, Inc........................... 17,835 1,531,848 0.4% Philip Morris International, Inc....... 11,407 974,500 0.3% Procter & Gamble Co. (The)............. 27,571 2,275,986 0.7% Other Securities....................... 14,369,654 4.0% ----------- ----- Total Consumer Staples..................... 25,252,324 7.3% ----------- ----- Energy -- (9.6%) Chevron Corp........................... 20,001 2,510,525 0.7% ConocoPhillips......................... 17,793 1,322,198 0.4% Exxon Mobil Corp....................... 37,767 3,867,718 1.1% Occidental Petroleum Corp.............. 12,671 1,213,248 0.4% Schlumberger, Ltd...................... 22,609 2,295,944 0.7% Other Securities....................... 25,518,211 7.3% ----------- ----- Total Energy............................... 36,727,844 10.6% ----------- ----- Financials -- (13.2%) Bank of America Corp................... 187,476 2,838,387 0.8% Citigroup, Inc......................... 47,513 2,276,348 0.7% Goldman Sachs Group, Inc. (The)........ 6,831 1,091,730 0.3% JPMorgan Chase & Co.................... 62,359 3,490,857 1.0% MetLife, Inc........................... 18,692 978,526 0.3% Morgan Stanley......................... 31,284 967,614 0.3% Wells Fargo & Co....................... 56,921 2,825,558 0.8% Other Securities....................... 36,116,153 10.4% ----------- ----- Total Financials........................... 50,585,173 14.6% ----------- ----- Health Care -- (11.0%) AbbVie, Inc............................ 21,341 1,111,439 0.3% * Biogen Idec, Inc....................... 3,626 1,041,097 0.3% * Celgene Corp........................... 8,092 1,189,605 0.4% * Gilead Sciences, Inc................... 29,928 2,349,049 0.7% Johnson & Johnson...................... 39,753 4,026,581 1.2% Merck & Co., Inc....................... 34,538 2,022,545 0.6% Pfizer, Inc............................ 38,289 1,197,680 0.4% UnitedHealth Group, Inc................ 21,670 1,626,117 0.5%
9 U.S. SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Health Care -- (Continued) Other Securities................................... $ 27,347,351 7.7% ------------ ------ Total Health Care........................................ 41,911,464 12.1% ------------ ------ Industrials -- (11.7%) Boeing Co. (The)................................... 10,768 1,389,287 0.4% General Electric Co................................ 102,682 2,761,119 0.8% United Technologies Corp........................... 13,324 1,576,629 0.5% Other Securities................................... 38,853,864 11.2% ------------ ------ Total Industrials........................................ 44,580,899 12.9% ------------ ------ Information Technology -- (15.9%) Apple, Inc......................................... 9,440 5,570,450 1.6% Cisco Systems, Inc................................. 101,037 2,334,965 0.7% * Facebook, Inc. Class A............................. 18,100 1,082,018 0.3% * Google, Inc. Class A............................... 2,813 1,504,617 0.4% * Google, Inc. Class C............................... 2,813 1,481,495 0.4% Hewlett-Packard Co................................. 57,086 1,887,263 0.6% Intel Corp......................................... 86,163 2,299,690 0.7% International Business Machines Corp............... 7,783 1,529,126 0.5% Microsoft Corp..................................... 121,557 4,910,903 1.4% Oracle Corp........................................ 57,542 2,352,317 0.7% QUALCOMM, Inc...................................... 21,286 1,675,421 0.5% Other Securities................................... 34,003,669 9.7% ------------ ------ Total Information Technology............................. 60,631,934 17.5% ------------ ------ Materials -- (4.4%) Other Securities................................... 16,794,268 4.9% ------------ ------ Telecommunication Services -- (2.1%) AT&T, Inc.......................................... 82,356 2,940,109 0.9% Verizon Communications, Inc........................ 63,408 2,963,056 0.9% Other Securities................................... 2,196,359 0.5% ------------ ------ Total Telecommunication Services......................... 8,099,524 2.3% ------------ ------ Utilities -- (2.9%) Other Securities................................... 10,947,486 3.2% ------------ ------ TOTAL COMMON STOCKS...................................... 344,826,044 99.6% ------------ ------ RIGHTS/WARRANTS -- (0.0%) Other Securities................................... 5,417 0.0% ------------ ------ TEMPORARY CASH INVESTMENTS -- (0.3%) State Street Institutional Liquid Reserves, 0.074%. 1,168,019 1,168,019 0.3% ------------ ------ Shares/ Face Amount ------- - - (000) SECURITIES LENDING COLLATERAL -- (9.4%) (S)@ DFA Short Term Investment Fund..................... 3,085,508 35,699,322 10.3% ------------ ------ TOTAL INVESTMENTS -- (100.0%) (Cost $262,194,648).................................. $381,698,802 110.2% ============ ======
10 U.S. SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, 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...... $ 49,295,128 -- -- $ 49,295,128 Consumer Staples............ 25,252,324 -- -- 25,252,324 Energy...................... 36,727,844 -- -- 36,727,844 Financials.................. 50,585,107 $ 66 -- 50,585,173 Health Care................. 41,911,230 234 -- 41,911,464 Industrials................. 44,580,899 -- -- 44,580,899 Information Technology...... 60,631,934 -- -- 60,631,934 Materials................... 16,794,268 -- -- 16,794,268 Telecommunication Services.. 8,099,524 -- -- 8,099,524 Utilities................... 10,947,486 -- -- 10,947,486 Rights/Warrants............... -- 5,417 -- 5,417 Temporary Cash Investments.... 1,168,019 -- -- 1,168,019 Securities Lending Collateral. -- 35,699,322 -- 35,699,322 ------------ ----------- -- ------------ TOTAL......................... $345,993,763 $35,705,039 -- $381,698,802 ============ =========== == ============
See accompanying Notes to Financial Statements. 11 INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2014 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (89.8%) AUSTRALIA -- (5.7%) Australia & New Zealand Banking Group, Ltd.. 36,012 $ 1,158,066 0.4% Commonwealth Bank of Australia.............. 27,531 2,025,205 0.7% National Australia Bank, Ltd................ 30,542 1,005,668 0.4% Wesfarmers, Ltd............................. 17,468 695,211 0.2% Other Securities............................ 13,525,487 4.5% ----------- ---- TOTAL AUSTRALIA................................. 18,409,637 6.2% ----------- ---- AUSTRIA -- (0.5%) Other Securities............................ 1,475,193 0.5% ----------- ---- BELGIUM -- (1.3%) Anheuser-Busch InBev NV..................... 8,942 974,641 0.3% Other Securities............................ 3,260,685 1.1% ----------- ---- TOTAL BELGIUM................................... 4,235,326 1.4% ----------- ---- CANADA -- (8.0%) # Royal Bank of Canada........................ 12,404 827,839 0.3% Suncor Energy, Inc.......................... 18,330 707,078 0.3% # Toronto-Dominion Bank (The)................. 18,040 867,888 0.3% Other Securities............................ 23,487,211 7.8% ----------- ---- TOTAL CANADA.................................... 25,890,016 8.7% ----------- ---- CHINA -- (0.0%) Other Securities............................ 1,448 0.0% ----------- ---- DENMARK -- (1.4%) Other Securities............................ 4,608,341 1.6% ----------- ---- FINLAND -- (1.5%) Other Securities............................ 4,759,307 1.6% ----------- ---- FRANCE -- (8.2%) BNP Paribas SA.............................. 19,968 1,500,484 0.5% Cie Generale des Etablissements Michelin.... 5,749 705,004 0.2% # GDF Suez.................................... 35,311 889,958 0.3% Renault SA.................................. 11,532 1,127,482 0.4% Schneider Electric SA....................... 7,790 731,255 0.3% Societe Generale SA......................... 12,658 788,305 0.3% Total SA.................................... 24,688 1,766,282 0.6% Other Securities............................ 19,097,212 6.4% ----------- ---- TOTAL FRANCE.................................... 26,605,982 9.0% ----------- ---- GERMANY -- (6.1%) # BASF SE..................................... 13,909 1,613,523 0.6% Daimler AG.................................. 12,254 1,140,837 0.4% Other Securities............................ 17,125,903 5.7% ----------- ---- TOTAL GERMANY................................... 19,880,263 6.7% ----------- ---- GREECE -- (0.0%) Other Securities............................ 3 0.0% ----------- ----
12 INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- HONG KONG -- (1.9%) AIA Group, Ltd........................ 148,400 $ 721,757 0.3% Other Securities...................... 5,383,668 1.8% ----------- ----- TOTAL HONG KONG........................... 6,105,425 2.1% ----------- ----- IRELAND -- (0.3%) Other Securities...................... 941,378 0.3% ----------- ----- ISRAEL -- (0.4%) Other Securities...................... 1,182,941 0.4% ----------- ----- ITALY -- (2.4%) Eni SpA............................... 28,011 725,466 0.3% UniCredit SpA......................... 110,261 987,899 0.4% Other Securities...................... 6,199,510 2.0% ----------- ----- TOTAL ITALY............................... 7,912,875 2.7% ----------- ----- JAPAN -- (17.0%) Softbank Corp......................... 11,584 862,784 0.3% Sumitomo Mitsui Financial Group, Inc.. 19,400 766,888 0.3% Toyota Motor Corp..................... 19,755 1,067,326 0.4% Toyota Motor Corp. Sponsored ADR...... 11,495 1,246,288 0.4% Other Securities...................... 51,369,691 17.3% ----------- ----- TOTAL JAPAN............................... 55,312,977 18.7% ----------- ----- NETHERLANDS -- (2.7%) Aegon NV.............................. 95,341 873,935 0.3% #* ING Groep NV Sponsored ADR............ 56,475 807,592 0.3% Other Securities...................... 6,934,493 2.3% ----------- ----- TOTAL NETHERLANDS......................... 8,616,020 2.9% ----------- ----- NEW ZEALAND -- (0.3%) Other Securities...................... 846,837 0.3% ----------- ----- NORWAY -- (1.0%) Other Securities...................... 3,143,110 1.1% ----------- ----- PORTUGAL -- (0.2%) Other Securities...................... 793,901 0.3% ----------- ----- SINGAPORE -- (1.1%) Other Securities...................... 3,710,522 1.3% ----------- ----- SPAIN -- (2.7%) Banco Santander SA.................... 100,123 995,789 0.3% Other Securities...................... 7,644,646 2.6% ----------- ----- TOTAL SPAIN............................... 8,640,435 2.9% ----------- ----- SWEDEN -- (3.2%) Other Securities...................... 10,478,679 3.5% ----------- ----- SWITZERLAND -- (6.5%) ABB, Ltd.............................. 30,839 742,482 0.3% Credit Suisse Group AG Sponsored ADR.. 21,939 694,808 0.3% Holcim, Ltd........................... 8,206 752,625 0.3% Nestle SA............................. 26,495 2,047,647 0.7% Novartis AG........................... 10,302 895,579 0.3% Novartis AG ADR....................... 20,867 1,814,177 0.6%
13 INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- SWITZERLAND -- (Continued) Roche Holding AG.............................. 9,498 2,786,201 1.0% Swiss Re AG................................... 10,458 914,459 0.3% Zurich Insurance Group AG..................... 3,698 $ 1,060,434 0.4% Other Securities.............................. 9,554,167 3.0% ------------ ----- TOTAL SWITZERLAND................................. 21,262,579 7.2% ------------ ----- UNITED KINGDOM -- (17.4%) AstraZeneca P.L.C. Sponsored ADR.............. 14,670 1,159,663 0.4% Barclays P.L.C. Sponsored ADR................. 60,785 1,040,031 0.4% BP P.L.C. Sponsored ADR....................... 72,360 3,662,863 1.2% British American Tobacco P.L.C. Sponsored ADR. 9,620 1,106,492 0.4% GlaxoSmithKline P.L.C. Sponsored ADR.......... 18,679 1,034,256 0.4% HSBC Holdings P.L.C. Sponsored ADR............ 49,104 2,520,017 0.9% Imperial Tobacco Group P.L.C.................. 24,241 1,047,560 0.4% Legal & General Group P.L.C................... 198,527 710,675 0.3% * Lloyds Banking Group P.L.C.................... 820,267 1,046,015 0.4% Reckitt Benckiser Group P.L.C................. 13,473 1,087,621 0.4% Royal Dutch Shell P.L.C. ADR(780259107)....... 21,316 1,804,399 0.6% Royal Dutch Shell P.L.C. ADR(780259206)....... 16,936 1,333,541 0.5% SSE P.L.C..................................... 30,851 795,539 0.3% Vodafone Group P.L.C. Sponsored ADR........... 26,423 1,003,024 0.3% Other Securities.............................. 37,235,584 12.2% ------------ ----- TOTAL UNITED KINGDOM.............................. 56,587,280 19.1% ------------ ----- UNITED STATES -- (0.0%) Other Securities.............................. 20,791 0.0% ------------ ----- TOTAL COMMON STOCKS............................... 291,421,266 98.5% ------------ ----- PREFERRED STOCKS -- (0.1%) GERMANY -- (0.1%) Other Securities.............................. 235,678 0.1% ------------ ----- UNITED KINGDOM -- (0.0%) Other Securities.............................. 7,739 0.0% ------------ ----- TOTAL PREFERRED STOCKS............................ 243,417 0.1% ------------ ----- RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) Other Securities.............................. 816 0.0% ------------ ----- AUSTRIA -- (0.0%) Other Securities.............................. -- 0.0% ------------ ----- FRANCE -- (0.0%) Other Securities.............................. 24,164 0.0% ------------ ----- HONG KONG -- (0.0%) Other Securities.............................. 1,310 0.0% ------------ ----- SPAIN -- (0.0%) Other Securities.............................. 18,028 0.0% ------------ ----- SWEDEN -- (0.0%) Other Securities.............................. 2,706 0.0% ------------ ----- UNITED KINGDOM -- (0.0%) Other Securities.............................. 19,884 0.0% ------------ ----- TOTAL RIGHTS/WARRANTS............................. 66,908 0.0% ------------ -----
14 INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED
Shares/ Face Percentage Amount Value+ of Net Assets** ------- ------ --------------- (000) SECURITIES LENDING COLLATERAL -- (10.1%) (S)@ DFA Short Term Investment Fund.. 2,848,596 $ 32,958,255 11.1% ------------ ------ TOTAL INVESTMENTS -- (100.0%) (Cost $276,882,515)................. $324,689,846 109.7% ============ ======
Summary of the Portfolio's investments as of April 30, 2014, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) --------------------------------------------- Level 1 Level 2 Level 3 Total ----------- ------------ ------- ------------ Common Stocks Australia................... $ 1,119,429 $ 17,290,208 -- $ 18,409,637 Austria..................... 16,819 1,458,374 -- 1,475,193 Belgium..................... 607,254 3,628,072 -- 4,235,326 Canada...................... 25,889,870 146 -- 25,890,016 China....................... -- 1,448 -- 1,448 Denmark..................... 665,644 3,942,697 -- 4,608,341 Finland..................... 372,217 4,387,090 -- 4,759,307 France...................... 1,597,248 25,008,734 -- 26,605,982 Germany..................... 1,389,253 18,491,010 -- 19,880,263 Greece...................... -- 3 -- 3 Hong Kong................... 44,297 6,061,128 -- 6,105,425 Ireland..................... 192,155 749,223 -- 941,378 Israel...................... 344,173 838,768 -- 1,182,941 Italy....................... 210,327 7,702,548 -- 7,912,875 Japan....................... 3,481,618 51,831,359 -- 55,312,977 Netherlands................. 2,262,686 6,353,334 -- 8,616,020 New Zealand................. 6,574 840,263 -- 846,837 Norway...................... 187,176 2,955,934 -- 3,143,110 Portugal.................... 9,130 784,771 -- 793,901 Singapore................... -- 3,710,522 -- 3,710,522 Spain....................... 1,143,214 7,497,221 -- 8,640,435 Sweden...................... 243,605 10,235,074 -- 10,478,679 Switzerland................. 3,567,316 17,695,263 -- 21,262,579 United Kingdom.............. 19,478,377 37,108,903 -- 56,587,280 United States............... 20,791 -- -- 20,791 Preferred Stocks Germany..................... -- 235,678 -- 235,678 United Kingdom.............. -- 7,739 -- 7,739 Rights/Warrants Australia................... -- 816 -- 816 Austria..................... -- -- -- -- France...................... -- 24,164 -- 24,164 Hong Kong................... -- 1,310 -- 1,310 Spain....................... -- 18,028 -- 18,028 Sweden...................... -- 2,706 -- 2,706 United Kingdom.............. -- 19,884 -- 19,884 Securities Lending Collateral. -- 32,958,255 -- 32,958,255 ----------- ------------ -- ------------ TOTAL......................... $62,849,173 $261,840,673 -- $324,689,846 =========== ============ == ============
See accompanying Notes to Financial Statements. 15 DFA INTERNATIONAL VALUE EX TOBACCO PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2014 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (91.5%) AUSTRALIA -- (4.8%) Santos, Ltd................................. 33,098 $ 424,361 0.5% Suncorp Group, Ltd.......................... 35,006 425,119 0.5% Wesfarmers, Ltd............................. 21,108 840,065 1.1% Other Securities............................ 2,478,613 3.1% ---------- ----- TOTAL AUSTRALIA................................. 4,168,158 5.2% ---------- ----- AUSTRIA -- (0.2%) Other Securities............................ 200,752 0.3% ---------- ----- BELGIUM -- (1.4%) Other Securities............................ 1,181,049 1.5% ---------- ----- CANADA -- (8.2%) Canadian Natural Resources, Ltd.(136385101). 10,741 437,911 0.5% Canadian Natural Resources, Ltd.(2171573)... 11,405 464,712 0.6% Manulife Financial Corp..................... 28,109 527,789 0.7% Suncor Energy, Inc.......................... 32,505 1,253,877 1.6% Other Securities............................ 4,366,437 5.5% ---------- ----- TOTAL CANADA.................................... 7,050,726 8.9% ---------- ----- DENMARK -- (1.7%) Danske Bank A.S............................. 16,130 456,370 0.6% Other Securities............................ 1,001,238 1.2% ---------- ----- TOTAL DENMARK................................... 1,457,608 1.8% ---------- ----- FINLAND -- (1.0%) Other Securities............................ 830,502 1.0% ---------- ----- FRANCE -- (10.0%) # AXA SA Sponsored ADR........................ 37,500 941,250 1.2% BNP Paribas SA.............................. 15,859 1,191,716 1.5% Cie de St-Gobain............................ 9,008 551,879 0.7% # GDF Suez.................................... 37,268 939,281 1.2% Orange SA................................... 41,374 670,311 0.8% Renault SA.................................. 6,090 595,418 0.8% Societe Generale SA......................... 10,843 675,271 0.9% Vivendi SA.................................. 37,887 1,017,902 1.3% Other Securities............................ 2,039,383 2.5% ---------- ----- TOTAL FRANCE.................................... 8,622,411 10.9% ---------- ----- GERMANY -- (7.5%) # Allianz SE.................................. 5,432 945,330 1.2% Bayerische Motoren Werke AG................. 5,628 707,467 0.9% Daimler AG.................................. 19,352 1,801,654 2.3% Deutsche Bank AG............................ 13,472 593,172 0.7% E.ON SE..................................... 33,149 634,964 0.8% # Muenchener Rueckversicherungs AG............ 2,257 521,726 0.7% Other Securities............................ 1,228,406 1.5% ---------- ----- TOTAL GERMANY................................... 6,432,719 8.1% ---------- -----
16 DFA INTERNATIONAL VALUE EX TOBACCO PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- HONG KONG -- (1.8%) Hutchison Whampoa, Ltd................... 33,000 $ 452,743 0.6% Other Securities......................... 1,110,299 1.4% ----------- ----- TOTAL HONG KONG.............................. 1,563,042 2.0% ----------- ----- IRELAND -- (0.1%) Other Securities......................... 96,304 0.1% ----------- ----- ISRAEL -- (0.3%) Other Securities......................... 232,247 0.3% ----------- ----- ITALY -- (1.7%) UniCredit SpA............................ 64,972 582,126 0.7% Other Securities......................... 861,504 1.1% ----------- ----- TOTAL ITALY.................................. 1,443,630 1.8% ----------- ----- JAPAN -- (18.3%) Mitsubishi Corp.......................... 25,100 449,473 0.6% Mitsubishi UFJ Financial Group, Inc...... 259,500 1,380,409 1.7% Mitsui & Co., Ltd........................ 39,400 558,785 0.7% Mizuho Financial Group, Inc.............. 329,500 645,361 0.8% NTT DOCOMO, Inc.......................... 30,100 480,111 0.6% Other Securities......................... 12,255,236 15.5% ----------- ----- TOTAL JAPAN.................................. 15,769,375 19.9% ----------- ----- NETHERLANDS -- (3.4%) Aegon NV................................. 47,918 439,236 0.6% * ING Groep NV............................. 65,495 936,241 1.2% Other Securities......................... 1,538,045 1.9% ----------- ----- TOTAL NETHERLANDS............................ 2,913,522 3.7% ----------- ----- NEW ZEALAND -- (0.0%) Other Securities......................... 42,569 0.1% ----------- ----- NORWAY -- (0.7%) Other Securities......................... 578,055 0.7% ----------- ----- PORTUGAL -- (0.0%) Other Securities......................... 29,419 0.0% ----------- ----- SINGAPORE -- (1.1%) Other Securities......................... 985,703 1.2% ----------- ----- SPAIN -- (2.4%) Banco Santander SA....................... 74,334 739,300 0.9% Iberdrola SA............................. 74,647 521,449 0.7% Other Securities......................... 784,034 1.0% ----------- ----- TOTAL SPAIN.................................. 2,044,783 2.6% ----------- ----- SWEDEN -- (2.8%) Nordea Bank AB........................... 41,285 598,244 0.8% Skandinaviska Enskilda Banken AB Class A. 35,139 485,372 0.6% Telefonaktiebolaget LM Ericsson Class B.. 44,784 540,026 0.7% Other Securities......................... 746,632 0.9% ----------- ----- TOTAL SWEDEN................................. 2,370,274 3.0% ----------- -----
17 DFA INTERNATIONAL VALUE EX TOBACCO PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- SWITZERLAND -- (8.7%) Credit Suisse Group AG.................. 27,987 $ 887,261 1.1% Holcim, Ltd............................. 7,487 686,681 0.9% Novartis AG............................. 20,994 1,825,061 2.3% Swiss Re AG............................. 12,185 1,065,470 1.3% UBS AG.................................. 41,120 859,978 1.1% Zurich Insurance Group AG............... 3,199 917,341 1.2% Other Securities........................ 1,232,405 1.5% ----------- ------ TOTAL SWITZERLAND............................. 7,474,197 9.4% ----------- ------ UNITED KINGDOM -- (15.4%) Anglo American P.L.C.................... 23,136 618,497 0.8% Barclays P.L.C. Sponsored ADR........... 44,443 760,420 1.0% BP P.L.C. Sponsored ADR................. 63,160 3,197,159 4.0% HSBC Holdings P.L.C. Sponsored ADR...... 14,489 743,576 0.9% Kingfisher P.L.C........................ 68,152 482,270 0.6% Royal Dutch Shell P.L.C. ADR(780259107). 28,341 2,399,066 3.0% Royal Dutch Shell P.L.C. ADR(780259206). 9,770 769,290 1.0% Vodafone Group P.L.C. Sponsored ADR..... 25,258 958,787 1.2% Other Securities........................ 3,277,753 4.1% ----------- ------ TOTAL UNITED KINGDOM.......................... 13,206,818 16.6% ----------- ------ TOTAL COMMON STOCKS........................... 78,693,863 99.1% ----------- ------ PREFERRED STOCKS -- (0.3%) GERMANY -- (0.3%) Other Securities........................ 233,024 0.3% ----------- ------ RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) Other Securities........................ -- 0.0% ----------- ------ FRANCE -- (0.0%) Other Securities........................ 8,181 0.0% ----------- ------ HONG KONG -- (0.0%) Other Securities........................ 513 0.0% ----------- ------ SPAIN -- (0.0%) Other Securities........................ 15,725 0.0% ----------- ------ TOTAL RIGHTS/WARRANTS......................... 24,419 0.0% ----------- ------ Shares/ Face Amount Value+ ------- ------ - (000) SECURITIES LENDING COLLATERAL -- (8.2%) (S)@ DFA Short Term Investment Fund.......... 611,875 7,079,391 8.9% ----------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $78,386,052)........................ $86,030,697 108.3% =========== ======
18 DFA INTERNATIONAL VALUE EX TOBACCO PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) ------------------------------------------- Level 1 Level 2 Level 3 Total ----------- ----------- ------- ----------- Common Stocks Australia................... -- $ 4,168,158 -- $ 4,168,158 Austria..................... -- 200,752 -- 200,752 Belgium..................... -- 1,181,049 -- 1,181,049 Canada...................... $ 7,050,726 -- -- 7,050,726 Denmark..................... -- 1,457,608 -- 1,457,608 Finland..................... -- 830,502 -- 830,502 France...................... 941,250 7,681,161 -- 8,622,411 Germany..................... 593,172 5,839,547 -- 6,432,719 Hong Kong................... -- 1,563,042 -- 1,563,042 Ireland..................... 17,334 78,970 -- 96,304 Israel...................... -- 232,247 -- 232,247 Italy....................... -- 1,443,630 -- 1,443,630 Japan....................... 391,608 15,377,767 -- 15,769,375 Netherlands................. 235,658 2,677,864 -- 2,913,522 New Zealand................. -- 42,569 -- 42,569 Norway...................... -- 578,055 -- 578,055 Portugal.................... -- 29,419 -- 29,419 Singapore................... -- 985,703 -- 985,703 Spain....................... -- 2,044,783 -- 2,044,783 Sweden...................... -- 2,370,274 -- 2,370,274 Switzerland................. 159,704 7,314,493 -- 7,474,197 United Kingdom.............. 9,489,062 3,717,756 -- 13,206,818 Preferred Stocks Germany..................... -- 233,024 -- 233,024 Rights/Warrants Australia................... -- -- -- -- France...................... -- 8,181 -- 8,181 Hong Kong................... -- 513 -- 513 Spain....................... -- 15,725 -- 15,725 Securities Lending Collateral. -- 7,079,391 -- 7,079,391 ----------- ----------- -- ----------- TOTAL......................... $18,878,514 $67,152,183 -- $86,030,697 =========== =========== == ===========
See accompanying Notes to Financial Statements. 19 INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2014 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (89.8%) AUSTRALIA -- (6.1%) Australia & New Zealand Banking Group, Ltd.. 24,858 $ 799,378 0.4% BHP Billiton, Ltd........................... 28,535 1,004,906 0.6% National Australia Bank, Ltd................ 23,943 788,380 0.4% Wesfarmers, Ltd............................. 13,904 553,360 0.3% Westpac Banking Corp........................ 19,827 649,424 0.4% Other Securities............................ 8,702,691 4.6% ----------- ----- TOTAL AUSTRALIA................................. 12,498,139 6.7% ----------- ----- AUSTRIA -- (0.6%) Other Securities............................ 1,297,426 0.7% ----------- ----- BELGIUM -- (1.1%) Other Securities............................ 2,172,844 1.2% ----------- ----- BRAZIL -- (0.0%) Other Securities............................ 602 0.0% ----------- ----- CANADA -- (9.1%) Bank of Montreal............................ 8,519 587,300 0.3% Bank of Nova Scotia......................... 11,901 723,343 0.4% Canadian Natural Resources, Ltd............. 12,687 517,249 0.3% Suncor Energy, Inc.......................... 21,740 839,164 0.5% Toronto-Dominion Bank (The)................. 18,099 870,381 0.5% Other Securities............................ 15,124,612 8.0% ----------- ----- TOTAL CANADA.................................... 18,662,049 10.0% ----------- ----- DENMARK -- (1.2%) Other Securities............................ 2,408,033 1.3% ----------- ----- FINLAND -- (1.4%) Other Securities............................ 2,821,394 1.5% ----------- ----- FRANCE -- (7.1%) AXA SA...................................... 23,354 609,446 0.3% BNP Paribas SA.............................. 13,156 988,601 0.5% # GDF Suez.................................... 18,302 461,273 0.3% Orange SA................................... 28,976 469,448 0.3% Societe Generale SA......................... 9,494 591,260 0.3% Total SA.................................... 19,994 1,430,454 0.8% Total SA Sponsored ADR...................... 6,978 497,113 0.3% Other Securities............................ 9,517,825 5.0% ----------- ----- TOTAL FRANCE.................................... 14,565,420 7.8% ----------- ----- GERMANY -- (6.0%) # Allianz SE.................................. 5,674 987,445 0.5% # BASF SE..................................... 4,083 473,651 0.3% Bayerische Motoren Werke AG................. 4,086 513,630 0.3% # Deutsche Bank AG............................ 11,410 502,382 0.3% Deutsche Telekom AG......................... 31,094 522,412 0.3% # Muenchener Rueckversicherungs AG............ 2,230 515,484 0.3% RWE AG...................................... 12,966 494,797 0.3% Other Securities............................ 8,217,782 4.3% ----------- ----- TOTAL GERMANY................................... 12,227,583 6.6% ----------- -----
20 INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- HONG KONG -- (2.8%) AIA Group, Ltd........................ 90,200 $ 438,696 0.2% Other Securities...................... 5,292,734 2.9% ----------- ----- TOTAL HONG KONG........................... 5,731,430 3.1% ----------- ----- IRELAND -- (0.5%) Other Securities...................... 995,733 0.5% ----------- ----- ISRAEL -- (0.4%) Other Securities...................... 885,244 0.5% ----------- ----- ITALY -- (2.8%) Intesa Sanpaolo SpA................... 141,596 484,546 0.3% UniCredit SpA......................... 59,398 532,185 0.3% Other Securities...................... 4,804,801 2.5% ----------- ----- TOTAL ITALY............................... 5,821,532 3.1% ----------- ----- JAPAN -- (16.7%) Honda Motor Co., Ltd.................. 13,800 457,948 0.3% Mitsubishi UFJ Financial Group, Inc... 150,800 802,180 0.5% Mizuho Financial Group, Inc........... 257,599 504,535 0.3% Sumitomo Mitsui Financial Group, Inc.. 15,100 596,908 0.3% Other Securities...................... 31,992,849 17.0% ----------- ----- TOTAL JAPAN............................... 34,354,420 18.4% ----------- ----- NETHERLANDS -- (2.4%) * ING Groep NV.......................... 48,535 693,801 0.4% Other Securities...................... 4,214,071 2.2% ----------- ----- TOTAL NETHERLANDS......................... 4,907,872 2.6% ----------- ----- NEW ZEALAND -- (0.3%) Other Securities...................... 663,166 0.4% ----------- ----- NORWAY -- (1.0%) Other Securities...................... 2,017,745 1.1% ----------- ----- PORTUGAL -- (0.4%) Other Securities...................... 808,299 0.4% ----------- ----- SINGAPORE -- (1.5%) Other Securities...................... 3,137,378 1.7% ----------- ----- SPAIN -- (2.8%) Banco Bilbao Vizcaya Argentaria SA.... 42,993 529,577 0.3% Banco Santander SA.................... 117,003 1,163,670 0.6% Other Securities...................... 4,077,922 2.2% ----------- ----- TOTAL SPAIN............................... 5,771,169 3.1% ----------- ----- SWEDEN -- (2.7%) Nordea Bank AB........................ 37,248 539,746 0.3% Other Securities...................... 5,042,597 2.7% ----------- ----- TOTAL SWEDEN.............................. 5,582,343 3.0% ----------- -----
21 INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- SWITZERLAND -- (4.5%) Swiss Re AG............................. 7,268 $ 635,522 0.4% UBS AG.................................. 36,724 767,899 0.4% Zurich Insurance Group AG............... 2,123 608,789 0.3% Other Securities........................ 7,247,505 3.9% ------------ ----- TOTAL SWITZERLAND........................... 9,259,715 5.0% ------------ ----- UNITED KINGDOM -- (18.4%) Anglo American P.L.C.................... 24,220 647,476 0.4% Barclays P.L.C. Sponsored ADR........... 46,066 788,189 0.4% BG Group P.L.C.......................... 32,328 653,973 0.4% # BHP Billiton P.L.C. ADR................. 8,483 548,850 0.3% BP P.L.C. Sponsored ADR................. 43,642 2,209,158 1.2% Glencore Xstrata P.L.C.................. 110,930 598,552 0.3% HSBC Holdings P.L.C. Sponsored ADR...... 39,434 2,023,753 1.1% # Rio Tinto P.L.C. Sponsored ADR.......... 16,173 878,032 0.5% Royal Dutch Shell P.L.C. ADR(780259206). 26,736 2,105,193 1.1% # Royal Dutch Shell P.L.C. ADR(780259107). 12,106 1,024,773 0.6% Vodafone Group P.L.C.................... 249,982 949,083 0.5% WPP P.L.C............................... 26,472 570,778 0.3% Other Securities........................ 24,799,256 13.2% ------------ ----- TOTAL UNITED KINGDOM........................ 37,797,066 20.3% ------------ ----- UNITED STATES -- (0.0%) Other Securities........................ 44,452 0.0% ------------ ----- TOTAL COMMON STOCKS......................... 184,431,054 99.0% ------------ ----- PREFERRED STOCKS -- (0.0%) UNITED KINGDOM -- (0.0%) Other Securities........................ 3,940 0.0% ------------ ----- TOTAL PREFERRED STOCKS...................... 3,940 0.0% ------------ ----- RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) Other Securities........................ -- 0.0% ------------ ----- FRANCE -- (0.0%) Other Securities........................ 18,147 0.0% ------------ ----- HONG KONG -- (0.0%) Other Securities........................ 1,164 0.0% ------------ ----- ISRAEL -- (0.0%) Other Securities........................ 251 0.0% ------------ ----- PORTUGAL -- (0.0%) Other Securities........................ 4,354 0.0% ------------ ----- SPAIN -- (0.0%) Other Securities........................ 24,752 0.0% ------------ ----- SWEDEN -- (0.0%) Other Securities........................ 495 0.0% ------------ ----- TOTAL RIGHTS/WARRANTS....................... 49,163 0.0% ------------ -----
22 INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED
Shares/ Face Percentage Amount Value+ of Net Assets** ------- ------ --------------- (000) SECURITIES LENDING COLLATERAL -- (10.2%) (S)@ DFA Short Term Investment Fund.. 1,816,900 $ 21,021,537 11.3% ------------ ------ TOTAL INVESTMENTS -- (100.0%) (Cost $180,631,169)................. $205,505,694 110.3% ============ ======
Summary of the Portfolio's investments as of April 30, 2014, 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................... $ 71,669 $ 12,426,470 -- $ 12,498,139 Austria..................... 11,770 1,285,656 -- 1,297,426 Belgium..................... 103,711 2,069,133 -- 2,172,844 Brazil...................... 602 -- -- 602 Canada...................... 18,662,049 -- -- 18,662,049 Denmark..................... -- 2,408,033 -- 2,408,033 Finland..................... -- 2,821,394 -- 2,821,394 France...................... 548,674 14,016,746 -- 14,565,420 Germany..................... 614,300 11,613,283 -- 12,227,583 Hong Kong................... -- 5,731,430 -- 5,731,430 Ireland..................... 343,366 652,367 -- 995,733 Israel...................... 100,149 785,095 -- 885,244 Italy....................... 244,261 5,577,271 -- 5,821,532 Japan....................... 90,950 34,263,470 -- 34,354,420 Netherlands................. 685,867 4,222,005 -- 4,907,872 New Zealand................. -- 663,166 -- 663,166 Norway...................... 157,833 1,859,912 -- 2,017,745 Portugal.................... -- 808,299 -- 808,299 Singapore................... -- 3,137,378 -- 3,137,378 Spain....................... 92,815 5,678,354 -- 5,771,169 Sweden...................... 845 5,581,498 -- 5,582,343 Switzerland................. 1,327,279 7,932,436 -- 9,259,715 United Kingdom.............. 12,046,913 25,750,153 -- 37,797,066 United States............... 41,530 2,922 -- 44,452 Preferred Stocks United Kingdom.............. -- 3,940 -- 3,940 Rights/Warrants Australia................... -- -- -- -- France...................... -- 18,147 -- 18,147 Hong Kong................... -- 1,164 -- 1,164 Israel...................... -- 251 -- 251 Portugal.................... -- 4,354 -- 4,354 Spain....................... -- 24,752 -- 24,752 Sweden...................... -- 495 -- 495 Securities Lending Collateral. -- 21,021,537 -- 21,021,537 ----------- ------------ -- ------------ TOTAL......................... $35,144,583 $170,361,111 -- $205,505,694 =========== ============ == ============
See accompanying Notes to Financial Statements. 23 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2014 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (89.3%) BRAZIL -- (6.7%) BM&FBovespa SA...................................... 421,917 $ 2,157,127 0.3% Petroleo Brasileiro SA ADR.......................... 137,398 1,907,084 0.3% # Vale SA Sponsored ADR............................... 213,281 2,819,575 0.4% Other Securities.................................... 48,885,383 6.1% ------------ ----- TOTAL BRAZIL............................................ 55,769,169 7.1% ------------ ----- CHILE -- (1.4%) Other Securities.................................... 11,830,160 1.5% ------------ ----- CHINA -- (13.8%) Bank of China, Ltd. Class H......................... 10,209,356 4,511,416 0.6% China Construction Bank Corp. Class H............... 9,769,990 6,764,477 0.9% # China Mobile, Ltd. Sponsored ADR.................... 167,201 7,930,343 1.0% # CNOOC, Ltd. ADR..................................... 24,420 4,033,940 0.5% Industrial & Commercial Bank of China, Ltd. Class H. 9,848,017 5,871,627 0.8% Tencent Holdings, Ltd............................... 100,300 6,317,496 0.8% Other Securities.................................... 78,788,623 10.0% ------------ ----- TOTAL CHINA............................................. 114,217,922 14.6% ------------ ----- COLOMBIA -- (0.6%) Other Securities.................................... 5,442,127 0.7% ------------ ----- CZECH REPUBLIC -- (0.3%) Other Securities.................................... 2,366,617 0.3% ------------ ----- EGYPT -- (0.1%) Other Securities.................................... 580,384 0.1% ------------ ----- GREECE -- (0.6%) Other Securities.................................... 4,704,071 0.6% ------------ ----- HUNGARY -- (0.2%) Other Securities.................................... 2,009,560 0.3% ------------ ----- INDIA -- (6.4%) HDFC Bank, Ltd...................................... 198,696 2,390,079 0.3% Other Securities.................................... 51,106,638 6.6% ------------ ----- TOTAL INDIA............................................. 53,496,717 6.9% ------------ ----- INDONESIA -- (3.1%) Astra International Tbk PT.......................... 3,490,000 2,248,579 0.3% Bank Rakyat Indonesia Persero Tbk PT................ 2,294,800 1,970,670 0.3% Other Securities.................................... 21,710,625 2.7% ------------ ----- TOTAL INDONESIA......................................... 25,929,874 3.3% ------------ ----- MALAYSIA -- (4.0%) # CIMB Group Holdings Bhd............................. 1,002,229 2,308,725 0.3% Malayan Banking Bhd................................. 885,096 2,686,711 0.4% Other Securities.................................... 28,074,396 3.5% ------------ ----- TOTAL MALAYSIA.......................................... 33,069,832 4.2% ------------ -----
24 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- MEXICO -- (5.4%) Alfa S.A.B. de C.V. Class A............................. 802,622 $ 2,120,244 0.3% America Movil S.A.B. de C.V. Series L ADR............... 133,377 2,678,210 0.4% #* Cemex S.A.B. de C.V. Sponsored ADR...................... 339,434 4,290,448 0.6% Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR. 38,039 3,452,800 0.4% # Grupo Financiero Banorte S.A.B. de C.V.................. 465,170 3,089,459 0.4% Grupo Mexico S.A.B. de C.V. Series B.................... 800,168 2,409,785 0.3% Other Securities........................................ 26,567,023 3.3% ------------ ----- TOTAL MEXICO................................................ 44,607,969 5.7% ------------ ----- PERU -- (0.2%) Other Securities........................................ 1,604,207 0.2% ------------ ----- PHILIPPINES -- (1.4%) Other Securities........................................ 11,498,883 1.5% ------------ ----- POLAND -- (2.4%) PGE SA.................................................. 273,129 1,897,919 0.3% Powszechna Kasa Oszczednosci Bank Polski SA............. 187,979 2,579,707 0.3% Other Securities........................................ 15,227,775 1.9% ------------ ----- TOTAL POLAND 19,705,401 2.5% ------------ ----- RUSSIA -- (2.8%) Gazprom OAO Sponsored ADR............................... 863,297 6,238,992 0.8% Lukoil OAO Sponsored ADR................................ 73,944 3,914,553 0.5% Sberbank of Russia Sponsored ADR........................ 270,027 2,274,726 0.3% Other Securities........................................ 10,507,289 1.3% ------------ ----- TOTAL RUSSIA................................................ 22,935,560 2.9% ------------ ----- SOUTH AFRICA -- (7.2%) # Bidvest Group, Ltd...................................... 75,288 2,067,245 0.3% FirstRand, Ltd.......................................... 615,443 2,264,455 0.3% Naspers, Ltd. Class N................................... 41,170 3,890,534 0.5% Sanlam, Ltd............................................. 489,472 2,622,170 0.3% Sasol, Ltd. Sponsored ADR............................... 97,818 5,420,095 0.7% Standard Bank Group, Ltd................................ 204,910 2,692,302 0.3% Steinhoff International Holdings, Ltd................... 477,716 2,482,375 0.3% Other Securities........................................ 38,682,921 5.0% ------------ ----- TOTAL SOUTH AFRICA.......................................... 60,122,097 7.7% ------------ ----- SOUTH KOREA -- (14.0%) Hana Financial Group, Inc............................... 77,845 2,746,831 0.4% Hyundai Mobis........................................... 9,612 2,745,990 0.4% Naver Corp.............................................. 2,596 1,869,423 0.3% Samsung Electronics Co., Ltd............................ 9,941 12,962,667 1.7% Samsung Electronics Co., Ltd. GDR....................... 16,921 10,923,579 1.4% * SK Hynix, Inc........................................... 52,400 2,043,257 0.3% SK Innovation Co., Ltd.................................. 16,616 1,903,518 0.3% Other Securities........................................ 80,932,420 10.1% ------------ ----- TOTAL SOUTH KOREA........................................... 116,127,685 14.9% ------------ ----- TAIWAN -- (13.8%) Hon Hai Precision Industry Co., Ltd..................... 1,536,856 4,413,790 0.6% MediaTek, Inc........................................... 118,360 1,854,699 0.3% Taiwan Semiconductor Manufacturing Co., Ltd............. 2,131,214 8,374,297 1.1%
25 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- TAIWAN -- (Continued) Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored ADR. 100,755 $ 2,025,175 0.3% Other Securities........................................... 97,897,246 12.4% ------------ ----- TOTAL TAIWAN................................................... 114,565,207 14.7% ------------ ----- THAILAND -- (3.0%) Other Securities........................................... 24,673,883 3.2% ------------ ----- TURKEY -- (1.9%) Other Securities........................................... 15,856,886 2.0% ------------ ----- TOTAL COMMON STOCKS............................................ 741,114,211 94.9% ------------ ----- PREFERRED STOCKS -- (3.9%) BRAZIL -- (3.8%) Banco Bradesco SA.......................................... 270,290 4,023,287 0.5% Banco Bradesco SA ADR...................................... 167,162 2,485,705 0.3% Itau Unibanco Holding SA................................... 331,418 5,469,753 0.7% Itau Unibanco Holding SA ADR............................... 204,379 3,343,642 0.4% Petroleo Brasileiro SA..................................... 266,582 1,981,058 0.3% Petroleo Brasileiro SA Sponsored ADR....................... 236,527 3,500,600 0.5% Vale SA Sponsored ADR...................................... 328,650 3,901,076 0.5% Other Securities........................................... 7,154,243 0.9% ------------ ----- TOTAL BRAZIL................................................... 31,859,364 4.1% ------------ ----- CHILE -- (0.0%) Other Securities........................................... 133,132 0.0% ------------ ----- COLOMBIA -- (0.1%) Other Securities........................................... 762,820 0.1% ------------ ----- INDIA -- (0.0%) Other Securities........................................... 28,426 0.0% ------------ ----- TOTAL PREFERRED STOCKS......................................... 32,783,742 4.2% ------------ ----- RIGHTS/WARRANTS -- (0.0%) BRAZIL -- (0.0%) Other Securities........................................... 210 0.0% ------------ ----- HONG KONG -- (0.0%) Other Securities........................................... 177 0.0% ------------ ----- INDIA -- (0.0%) Other Securities........................................... 989 0.0% ------------ ----- MALAYSIA -- (0.0%) Other Securities........................................... 1,833 0.0% ------------ ----- PHILIPPINES -- (0.0%) Other Securities........................................... 1,322 0.0% ------------ ----- SOUTH KOREA -- (0.0%) Other Securities........................................... 42,065 0.0% ------------ ----- TAIWAN -- (0.0%) Other Securities........................................... 70 0.0% ------------ ----- THAILAND -- (0.0%) Other Securities........................................... 38,323 0.0% ------------ -----
26 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- TURKEY -- (0.0%) Other Securities................ $ 36,522 0.0% ------------ ------ TOTAL RIGHTS/WARRANTS.................. 121,511 0.0% ------------ ------ Shares/ Face Amount Value+ ------- ------ (000) SECURITIES LENDING COLLATERAL -- (6.8%) (S)@ DFA Short Term Investment Fund.. 4,854,235 56,163,496 7.2% ------------ ------ TOTAL INVESTMENTS -- (100.0%) (Cost $763,136,960)................ $830,182,960 106.3% ============ ======
27 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, 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...................... $ 55,769,169 -- -- $ 55,769,169 Chile....................... 11,830,160 -- -- 11,830,160 China....................... 15,955,355 $ 98,262,567 -- 114,217,922 Colombia.................... 5,442,127 -- -- 5,442,127 Czech Republic.............. -- 2,366,617 -- 2,366,617 Egypt....................... -- 580,384 -- 580,384 Greece...................... 183,115 4,520,956 -- 4,704,071 Hungary..................... -- 2,009,560 -- 2,009,560 India....................... 3,963,328 49,533,389 -- 53,496,717 Indonesia................... 1,127,499 24,802,375 -- 25,929,874 Malaysia.................... -- 33,069,832 -- 33,069,832 Mexico...................... 44,597,778 10,191 -- 44,607,969 Peru........................ 1,604,207 -- -- 1,604,207 Philippines................. 469,495 11,029,388 -- 11,498,883 Poland...................... -- 19,705,401 -- 19,705,401 Russia...................... 807,613 22,127,947 -- 22,935,560 South Africa................ 8,841,410 51,280,687 -- 60,122,097 South Korea................. 5,296,710 110,830,975 -- 116,127,685 Taiwan...................... 5,706,031 108,859,176 -- 114,565,207 Thailand.................... 24,652,732 21,151 -- 24,673,883 Turkey...................... 496,244 15,360,642 -- 15,856,886 Preferred Stocks Brazil...................... 31,859,364 -- -- 31,859,364 Chile....................... 133,132 -- -- 133,132 Colombia.................... 762,820 -- -- 762,820 India....................... 28,426 -- -- 28,426 Rights/Warrants Brazil...................... -- 210 -- 210 Hong Kong................... -- 177 -- 177 India....................... -- 989 -- 989 Malaysia.................... -- 1,833 -- 1,833 Philippines................. -- 1,322 -- 1,322 South Korea................. -- 42,065 -- 42,065 Taiwan...................... 70 -- -- 70 Thailand.................... -- 38,323 -- 38,323 Turkey...................... -- 36,522 -- 36,522 Securities Lending Collateral. -- 56,163,496 -- 56,163,496 ------------ ------------ -- ------------ TOTAL......................... $219,526,785 $610,656,175 -- $830,182,960 ============ ============ == ============
See accompanying Notes to Financial Statements. 28 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2014 (Unaudited) (Amounts in thousands, except share and per share amounts)
U.S. International U.S. Social Sustainability Sustainability Core Equity 2 Core 1 Core 1 Portfolio Portfolio Portfolio* ------------- -------------- -------------- ASSETS: Investments at Value (including $50,205, $35,003 and $32,236 of securities on loan, respectively).................................................... $ 457,181 $ 344,831 $ 291,732 Temporary Cash Investments at Value & Cost................................. 2,951 1,168 -- Collateral from Securities on Loan Invested in Affiliate at Value & Cost... 51,243 35,699 32,958 Foreign Currencies at Value................................................ -- -- 295 Cash....................................................................... 110 42 3,464 Receivables: Investment Securities Sold............................................... 436 1,151 32 Dividends, Interest and Tax Reclaims..................................... 329 256 1,134 Securities Lending Income................................................ 19 13 58 Fund Shares Sold......................................................... 138 502 570 Unrealized Gain on Foreign Currency Contracts.............................. -- -- 2 Prepaid Expenses and Other Assets.......................................... 9 14 14 ------------ ------------ ------------ Total Assets.......................................................... 512,416 383,676 330,259 ------------ ------------ ------------ LIABILITIES: Payables: Upon Return of Securities Loaned......................................... 51,243 35,699 32,958 Investment Securities Purchased.......................................... 2,017 1,473 1,120 Fund Shares Redeemed..................................................... 86 49 10 Due to Advisor........................................................... 93 82 99 Accrued Expenses and Other Liabilities..................................... 50 17 21 ------------ ------------ ------------ Total Liabilities..................................................... 53,489 37,320 34,208 ------------ ------------ ------------ NET ASSETS................................................................. $ 458,927 $ 346,356 $ 296,051 ============ ============ ============ SHARES OUTSTANDING, $0.01 PAR VALUE (1).................................... 36,221,365 22,039,359 29,121,132 ============ ============ ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE..................................................................... $ 12.67 $ 15.72 $ 10.17 ============ ============ ============ Investments at Cost........................................................ $ 318,907 $ 225,327 $ 243,924 ============ ============ ============ Foreign Currencies at Cost................................................. $ -- $ -- $ 294 ============ ============ ============ NET ASSETS CONSIST OF: Paid-In Capital............................................................ $ 316,871 $ 224,234 $ 247,243 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........................................................ 875 661 2,026 Accumulated Net Realized Gain (Loss)....................................... 2,907 1,957 (1,032) Net Unrealized Foreign Exchange Gain (Loss)................................ -- -- 5 Net Unrealized Appreciation (Depreciation)................................. 138,274 119,504 47,809 ------------ ------------ ------------ NET ASSETS................................................................. $ 458,927 $ 346,356 $ 296,051 ============ ============ ============ (1) NUMBER OF SHARES AUTHORIZED............................................ 300,000,000 300,000,000 300,000,000 ============ ============ ============
---------- * See Note I in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 29 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2014 (Unaudited) (Amounts in thousands, except share and per share amounts)
DFA International International Emerging Value ex Social Core Markets Social Tobacco Equity Core Equity Portfolio* Portfolio* Portfolio* ------------- ------------- -------------- ASSETS: Investments at Value (including $7,007, $20,271 and $65,314 of securities on loan, respectively)................................................... $ 78,951 $ 184,484 $ 774,019 Collateral from Securities on Loan Invested in Affiliate at Value & Cost.. 7,079 21,022 56,163 Foreign Currencies at Value............................................... 149 247 3,453 Cash...................................................................... 36 933 6 Receivables: Investment Securities Sold.............................................. 20 11 5,701 Dividends, Interest and Tax Reclaims.................................... 319 774 1,918 Securities Lending Income............................................... 23 37 123 Fund Shares Sold........................................................ -- 12 44 Unrealized Gain on Foreign Currency Contracts........................... -- -- 1 Prepaid Expenses and Other Assets......................................... 12 14 18 ------------ ------------ ------------ Total Assets......................................................... 86,589 207,534 841,446 ------------ ------------ ------------ LIABILITIES: Payables: Upon Return of Securities Loaned........................................ 7,079 21,022 56,163 Investment Securities Purchased......................................... 68 -- 2,912 Fund Shares Redeemed.................................................... -- 9 66 Due to Advisor.......................................................... 29 66 355 Line of Credit.......................................................... -- -- 1,175 Accrued Expenses and Other Liabilities.................................... 12 44 123 ------------ ------------ ------------ Total Liabilities.................................................... 7,188 21,141 60,794 ------------ ------------ ------------ NET ASSETS................................................................ $ 79,401 $ 186,393 $ 780,652 ============ ============ ============ SHARES OUTSTANDING, $0.01 PAR VALUE (1)................................... 7,945,807 14,542,073 61,978,333 ============ ============ ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE.................................................................... $ 9.99 $ 12.82 $ 12.60 ============ ============ ============ Investments at Cost....................................................... $ 71,307 $ 159,610 $ 706,973 ============ ============ ============ Foreign Currencies at Cost................................................ $ 149 $ 246 $ 3,424 ============ ============ ============ NET ASSETS CONSIST OF: Paid-In Capital........................................................... $ 70,103 $ 159,941 $ 715,577 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)....................................................... 714 1,364 2,093 Accumulated Net Realized Gain (Loss)...................................... 939 211 (4,094) Net Unrealized Foreign Exchange Gain (Loss)............................... 1 2 1 Net Unrealized Appreciation (Depreciation)................................ 7,644 24,875 67,075 ------------ ------------ ------------ NET ASSETS................................................................ $ 79,401 $ 186,393 $ 780,652 ============ ============ ============ (1) NUMBER OF SHARES AUTHORIZED........................................... 300,000,000 400,000,000 500,000,000 ============ ============ ============
---------- * See Note I in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 30 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2014 (Unaudited) (Amounts in thousands)
U.S. International U.S. Social Sustainability Sustainability Core Equity 2 Core 1 Core 1 Portfolio Portfolio Portfolio ------------- -------------- -------------- Investment Income Dividends (Net of Foreign Taxes Withheld of $1, $1 and $288, respectively)................................................ $ 3,619 $ 2,746 $ 4,578 Income from Securities Lending................................ 106 67 138 ------- ------- ------- Total Investment Income.................................... 3,725 2,813 4,716 ------- ------- ------- Expenses Investment Advisory Services Fees............................. 534 465 483 Accounting & Transfer Agent Fees.............................. 14 11 13 Custodian Fees................................................ 8 9 34 Filing Fees................................................... 16 12 12 Shareholders' Reports......................................... 5 5 3 Directors'/Trustees' Fees & Expenses.......................... 3 2 1 Professional Fees............................................. 4 3 2 Other......................................................... 36 5 8 ------- ------- ------- Total Expenses............................................. 620 512 556 ------- ------- ------- Fees Paid Indirectly.......................................... -- -- (1) ------- ------- ------- Net Expenses.................................................. 620 512 555 ------- ------- ------- Net Investment Income (Loss).................................. 3,105 2,301 4,161 ------- ------- ------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold*................................. 2,963 1,972 (525) Foreign Currency Transactions............................... -- -- (5) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................. 24,284 18,922 8,879 Translation of Foreign Currency Denominated Amounts......... -- -- 2 ------- ------- ------- Net Realized and Unrealized Gain (Loss)....................... 27,247 20,894 8,351 ------- ------- ------- Net Increase (Decrease) in Net Assets Resulting from Operations. $30,352 $23,195 $12,512 ======= ======= =======
---------- * Net of foreign capital gain taxes withheld of $0, $0 and $1, respectively. See accompanying Notes to Financial Statements. 31 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2014 (Unaudited) (Amounts in thousands)
DFA Emerging International International Markets Value ex Social Core Social Core Tobacco Equity Equity Portfolio Portfolio Portfolio ------------- ------------- ----------- Investment Income Dividends (Net of Foreign Taxes Withheld of $108, $182 and $770, respectively)..................................................... $2,119 $3,085 $ 6,386 Income from Securities Lending..................................... 50 106 593 ------ ------ -------- Total Investment Income......................................... 2,169 3,191 6,979 ------ ------ -------- Expenses Investment Advisory Services Fees.................................. 172 296 2,031 Accounting & Transfer Agent Fees................................... 9 12 28 Custodian Fees..................................................... 8 55 170 Filing Fees........................................................ 9 14 22 Shareholders' Reports.............................................. 1 -- 7 Directors'/Trustees' Fees & Expenses............................... 1 1 5 Professional Fees.................................................. 1 2 25 Other.............................................................. 5 26 30 ------ ------ -------- Total Expenses.................................................. 206 406 2,318 ------ ------ -------- Fees (Waived), Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C)..................................... 8 74 -- Fees Paid Indirectly............................................... -- -- (1) ------ ------ -------- Net Expenses....................................................... 214 480 2,317 ------ ------ -------- Net Investment Income (Loss)....................................... 1,955 2,711 4,662 ------ ------ -------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold....................................... 1,048 271 (3,770) Foreign Currency Transactions.................................... (1) (13) (21) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency....................... 1,166 6,364 (14,030) Translation of Foreign Currency Denominated Amounts.............. -- 1 (1) ------ ------ -------- Net Realized and Unrealized Gain (Loss)............................ 2,213 6,623 (17,822) ------ ------ -------- Net Increase (Decrease) in Net Assets Resulting from Operations...... $4,168 $9,334 $(13,160) ====== ====== ========
See accompanying Notes to Financial Statements. 32 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
U.S. Social Core Equity 2 U.S. Sustainability Core 1 International Sustainability Portfolio Portfolio Core 1 Portfolio ------------------------ ------------------------- --------------------------- Six Months Year Six Months Year Six Months Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31, 2014 2013 2014 2013 2014 2013 ----------- -------- ----------- -------- ----------- -------- (Unaudited) (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)................ $ 3,105 $ 5,368 $ 2,301 $ 3,984 $ 4,161 $ 4,482 Capital Gain Distributions Received from Investment Securities...................... -- -- -- 3 -- -- Net Realized Gain (Loss) on: Investment Securities Sold*............... 2,963 7,956 1,972 2,387 (525) 521 Futures................................... -- 175 -- -- -- -- Foreign Currency Transactions............. -- -- -- -- (5) (19) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency................................. 24,284 80,194 18,922 62,760 8,879 37,246 Translation of Foreign Currency Denominated Amounts...................... -- -- -- -- 2 10 -------- -------- -------- -------- -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations.............................. 30,352 93,693 23,195 69,134 12,512 42,240 -------- -------- -------- -------- -------- -------- Distributions From: Net Investment Income....................... (2,625) (5,251) (2,032) (3,999) (2,541) (4,537) Net Short-Term Gains........................ (505) -- (183) -- (22) -- Net Long-Term Gains......................... (7,238) (2,745) (2,133) (913) (474) -- -------- -------- -------- -------- -------- -------- Total Distributions...................... (10,368) (7,996) (4,348) (4,912) (3,037) (4,537) -------- -------- -------- -------- -------- -------- Capital Share Transactions (1): Shares Issued............................... 52,526 123,375 55,198 77,887 89,096 47,684 Shares Issued in Lieu of Cash Distributions.............................. 9,821 6,403 4,278 4,617 2,871 4,462 Shares Redeemed............................. (34,429) (73,184) (29,628) (44,244) (11,993) (28,302) -------- -------- -------- -------- -------- -------- Net Increase (Decrease) from Capital Share Transactions...................... 27,918 56,594 29,848 38,260 79,974 23,844 -------- -------- -------- -------- -------- -------- Total Increase (Decrease) in Net Assets.................................. 47,902 142,291 48,695 102,482 89,449 61,547 Net Assets Beginning of Period......................... 411,025 268,734 297,661 195,179 206,602 145,055 -------- -------- -------- -------- -------- -------- End of Period............................... $458,927 $411,025 $346,356 $297,661 $296,051 $206,602 ======== ======== ======== ======== ======== ======== (1) Shares Issued and Redeemed: Shares Issued............................... 4,240 11,348 3,594 5,990 8,936 5,427 Shares Issued in Lieu of Cash Distributions.............................. 814 642 285 370 294 511 Shares Redeemed............................. (2,790) (6,896) (1,936) (3,344) (1,217) (3,204) -------- -------- -------- -------- -------- -------- Net Increase (Decrease) from Shares Issued and Redeemed..................... 2,264 5,094 1,943 3,016 8,013 2,734 ======== ======== ======== ======== ======== ======== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........................... $ 875 $ 395 $ 661 $ 392 $ 2,026 $ 391
---------- * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $1 and $0, respectively. See accompanying Notes to Financial Statements. 33 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
DFA International Value International Social Emerging Markets Social ex Tobacco Portfolio Core Equity Portfolio Core Equity Portfolio ----------------------- --------------------- ---------------------- Period Six Months Year Six Months Nov. 1, Six Months Year Ended Ended Ended 2012(a) to Ended Ended April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31, 2014 2013 2014 2013 2014 2013 ----------- -------- ----------- ---------- ----------- -------- (Unaudited) (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)................. $ 1,955 $ 1,846 $ 2,711 $ 2,048 $ 4,662 $ 12,168 Net Realized Gain (Loss) on: Investment Securities Sold*................ 1,048 1,032 271 469 (3,770) 183 Futures.................................... -- -- -- 15 -- -- Foreign Currency Transactions.............. (1) (1) (13) 2 (21) (128) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................................. 1,166 13,831 6,364 18,511 (14,030) 32,111 Translation of Foreign Currency Denominated Amounts....................... -- 4 1 1 (1) 2 ------- ------- -------- -------- -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations................ 4,168 16,712 9,334 21,046 (13,160) 44,336 ------- ------- -------- -------- -------- -------- Distributions From: Net Investment Income........................ (1,389) (2,014) (1,730) (1,606) (4,345) (11,637) Net Short-Term Gains......................... -- -- (497) -- (117) -- Net Long-Term Gains.......................... (380) -- (12) -- -- (14,134) ------- ------- -------- -------- -------- -------- Total Distributions....................... (1,769) (2,014) (2,239) (1,606) (4,462) (25,771) ------- ------- -------- -------- -------- -------- Capital Share Transactions (1): Shares Issued................................ 135 1,884 35,932 146,054 76,468 305,618 Shares Issued in Lieu of Cash Distributions............................... 1,769 2,014 2,015 1,408 3,962 23,993 Shares Redeemed.............................. (2,590) -- (7,505) (18,046) (46,343) (41,300) ------- ------- -------- -------- -------- -------- Net Increase (Decrease) from Capital Share Transactions....................... (686) 3,898 30,442 129,416 34,087 288,311 ------- ------- -------- -------- -------- -------- Total Increase (Decrease) in Net Assets................................... 1,713 18,596 37,537 148,856 16,465 306,876 Net Assets Beginning of Period.......................... 77,688 59,092 148,856 -- 764,187 457,311 ------- ------- -------- -------- -------- -------- End of Period................................ $79,401 $77,688 $186,393 $148,856 $780,652 $764,187 ======= ======= ======== ======== ======== ======== (1) Shares Issued and Redeemed: Shares Issued................................ 14 228 2,881 13,564 6,249 24,079 Shares Issued in Lieu of Cash Distributions............................... 184 236 165 129 322 1,904 Shares Redeemed.............................. (270) -- (608) (1,589) (3,751) (3,274) ------- ------- -------- -------- -------- -------- Net Increase (Decrease) from Shares Issued and Redeemed...................... (72) 464 2,438 12,104 2,820 22,709 ======= ======= ======== ======== ======== ======== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)....................................... $ 714 $ 148 $ 1,364 $ 383 $ 2,093 $ 1,776
---------- See page 1 for the Definitions of Abbreviations and Footnotes. * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $3, respectively. See accompanying Notes to Financial Statements. 34 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
U.S. Social Core Equity 2 Portfolio ------------------------------------------------------------- ------------- Six Months Year Year Year Year Year Six Months Ended Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, April 30, 2014 2013 2012 2011 2010 2009 2014 --------------------------------------------------------------------------------------------------------------------------------- (Unaudited) (Unaudited) Net Asset Value, Beginning of Period............... $ 12.10 $ 9.31 $ 8.32 $ 7.83 $ 6.57 $ 6.12 $ 14.81 -------- -------- -------- -------- -------- ------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................. 0.09 0.18 0.14 0.11 0.10 0.10 0.11 Net Gains (Losses) on Securities (Realized and Unrealized)..................................... 0.79 2.87 0.98 0.48 1.25 0.46 1.01 -------- -------- -------- -------- -------- ------- -------- Total from Investment Operations................ 0.88 3.05 1.12 0.59 1.35 0.56 1.12 --------------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income............................ (0.08) (0.17) (0.13) (0.10) (0.09) (0.11) (0.10) Net Realized Gains............................... (0.23) (0.09) -- -- -- -- (0.11) -------- -------- -------- -------- -------- ------- -------- Total Distributions............................. (0.31) (0.26) (0.13) (0.10) (0.09) (0.11) (0.21) --------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period..................... $ 12.67 $ 12.10 $ 9.31 $ 8.32 $ 7.83 $ 6.57 $ 15.72 =================================================== =========== ======== ======== ======== ======== ======== =========== Total Return....................................... 7.38%(C) 33.47% 13.63% 7.57% 20.75% 9.49% 7.65%(C) --------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands).............. $458,927 $411,025 $268,734 $189,172 $120,881 $76,815 $346,356 Ratio of Expenses to Average Net Assets............ 0.29%(D) 0.30% 0.33% 0.35% 0.33% 0.41% 0.32%(D) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly).................................. 0.29%(D) 0.30% 0.33% 0.35% 0.33% 0.41% 0.32%(D) Ratio of Net Investment Income to Average Net Assets............................................ 1.45%(D) 1.64% 1.60% 1.28% 1.32% 1.62% 1.43%(D) Portfolio Turnover Rate............................ 4%(C) 12% 13% 12% 13% 8% 2%(C) ---------------------------------------------------------------------------------------------------------------------------------
U.S. Sustainability Core 1 Portfolio ------------------------------------------------ Year Year Year Year Year Ended Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2013 2012 2011 2010 2009 ---------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period............... $ 11.43 $ 10.13 $ 9.57 $ 8.15 $ 7.39 -------- -------- -------- -------- ------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................. 0.21 0.18 0.14 0.13 0.14 Net Gains (Losses) on Securities (Realized and Unrealized)..................................... 3.44 1.29 0.56 1.42 0.77 -------- -------- -------- -------- ------- Total from Investment Operations................ 3.65 1.47 0.70 1.55 0.91 ---------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income............................ (0.22) (0.17) (0.14) (0.13) (0.15) Net Realized Gains............................... (0.05) -- -- -- -- -------- -------- -------- -------- ------- Total Distributions............................. (0.27) (0.17) (0.14) (0.13) (0.15) ---------------------------------------------------------------------------------------------------- Net Asset Value, End of Period..................... $ 14.81 $ 11.43 $ 10.13 $ 9.57 $ 8.15 =================================================== ======== ======== ======== ======== ======== Total Return....................................... 32.40% 14.60% 7.31% 19.15% 12.69% ---------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands).............. $297,661 $195,179 $148,066 $127,397 $85,299 Ratio of Expenses to Average Net Assets............ 0.33% 0.37% 0.37% 0.37% 0.37% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly).................................. 0.33% 0.35% 0.35% 0.37% 0.47% Ratio of Net Investment Income to Average Net Assets............................................ 1.61% 1.63% 1.39% 1.46% 1.97% Portfolio Turnover Rate............................ 2% 9% 14% 6% 18% ----------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 35 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
International Sustainability Core 1 Portfolio -------------------------------------------------------------- Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 2009 ---------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period................. $ 9.79 $ 7.89 $ 7.73 $ 8.39 $ 7.70 $ 6.00 -------- -------- -------- -------- -------- ------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................... 0.18 0.23 0.23 0.23 0.17 0.16 Net Gains (Losses) on Securities (Realized and Unrealized)....................................... 0.33 1.90 0.15 (0.66) 0.68 1.70 -------- -------- -------- -------- -------- ------- Total from Investment Operations.................. 0.51 2.13 0.38 (0.43) 0.85 1.86 ---------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income.............................. (0.11) (0.23) (0.21) (0.23) (0.16) (0.16) Net Realized Gains................................. (0.02) -- (0.01) -- -- -- -------- -------- -------- -------- -------- ------- Total Distributions............................... (0.13) (0.23) (0.22) (0.23) (0.16) (0.16) ---------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period....................... $ 10.17 $ 9.79 $ 7.89 $ 7.73 $ 8.39 $ 7.70 ===================================================== =========== ======== ======== ======== ======== ======== Total Return......................................... 5.31%(C) 27.38% 5.18% (5.41)% 11.29% 31.56% ---------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)................ $296,051 $206,602 $145,055 $116,447 $106,545 $74,124 Ratio of Expenses to Average Net Assets.............. 0.48%(D) 0.52% 0.57% 0.57% 0.57% 0.57% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly). 0.48%(D) 0.50% 0.56% 0.54% 0.55% 0.66% Ratio of Net Investment Income to Average Net Assets. 3.62%(D) 2.57% 2.96% 2.66% 2.15% 2.57% Portfolio Turnover Rate.............................. 2%(C) 2% 11% 13% 7% 7% ----------------------------------------------------------------------------------------------------------------------
DFA International Value ex Tobacco Portfolio ---------------------------------------------------------- Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 2009 ----------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period................. $ 9.69 $ 7.82 $ 7.89 $ 8.87 $ 8.22 $ 6.33 ------- ------- ------- ------- ------- ------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................... 0.25 0.24 0.26 0.27 0.19 0.20 Net Gains (Losses) on Securities (Realized and Unrealized)....................................... 0.28 1.89 (0.08) (0.99) 0.64 1.90 ------- ------- ------- ------- ------- ------- Total from Investment Operations.................. 0.53 2.13 0.18 (0.72) 0.83 2.10 ----------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income.............................. (0.18) (0.26) (0.25) (0.26) (0.18) (0.21) Net Realized Gains................................. (0.05) -- -- -- -- -- ------- ------- ------- ------- ------- ------- Total Distributions............................... (0.23) (0.26) (0.25) (0.26) (0.18) (0.21) ----------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period....................... $ 9.99 $ 9.69 $ 7.82 $ 7.89 $ 8.87 $ 8.22 ===================================================== =========== ======== ======== ======== ======== ======== Total Return......................................... 5.54%(C) 27.77% 2.61% (8.37)% 10.49% 33.74% ----------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)................ $79,401 $77,688 $59,092 $52,927 $64,645 $49,627 Ratio of Expenses to Average Net Assets.............. 0.56%(D) 0.60% 0.60% 0.60% 0.60% 0.60% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly). 0.54%(D) 0.56% 0.62% 0.61% 0.62% 0.70% Ratio of Net Investment Income to Average Net Assets. 5.13%(D) 2.75% 3.43% 2.99% 2.30% 2.98% Portfolio Turnover Rate.............................. 10%(C) 16% 16% 21% 23% 32% -----------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 36 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
International Social Core Equity Portfolio ---------------------- Period Nov. 1, Six Months 2012(a) Six Months Ended to Ended April 30, Oct. 31, April 30, 2014 2013 2014 ---------------------------------------------------------------------------------------------------------- (Unaudited) (Unaudited) Net Asset Value, Beginning of Period........................ $ 12.30 $ 10.00 $ 12.92 -------- -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.21 0.27 0.08 Net Gains (Losses) on Securities (Realized and Unrealized). 0.48 2.27 (0.33) -------- -------- -------- Total from Investment Operations......................... 0.69 2.54 (0.25) ---------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.13) (0.24) (0.07) Net Realized Gains......................................... (0.04) -- -- -------- -------- -------- Total Distributions...................................... (0.17) (0.24) (0.07) ---------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period.............................. $ 12.82 $ 12.30 $ 12.60 =========================================================== =========== ======== =========== Total Return................................................ 5.74%(C) 25.81%(C) (1.87)%(C) ---------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)....................... $186,393 $148,856 $780,652 Ratio of Expenses to Average Net Assets..................... 0.60%(D) 0.60%(B)(D) 0.63%(D) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly)...................... 0.51%(D) 0.68%(B)(D) 0.63%(D) Ratio of Net Investment Income to Average Net Assets........ 3.39%(D) 2.44%(B)(D) 1.26%(D) Portfolio Turnover Rate..................................... 1%(C) 14%(C) 5%(C) ----------------------------------------------------------------------------------------------------------
Emerging Markets Social Core Equity Portfolio ------------------------------------------------- Year Year Year Year Year Ended Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2013 2012 2011 2010 2009 --------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period........................ $ 12.55 $ 12.33 $ 14.80 $ 11.51 $ 6.92 -------- -------- -------- -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.24 0.24 0.28 0.20 0.18 Net Gains (Losses) on Securities (Realized and Unrealized). 0.72 0.17 (1.85) 3.29 4.59 -------- -------- -------- -------- -------- Total from Investment Operations......................... 0.96 0.41 (1.57) 3.49 4.77 --------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.23) (0.19) (0.30) (0.20) (0.18) Net Realized Gains......................................... (0.36) -- (0.60) -- -- -------- -------- -------- -------- -------- Total Distributions...................................... (0.59) (0.19) (0.90) (0.20) (0.18) --------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period.............................. $ 12.92 $ 12.55 $ 12.33 $ 14.80 $ 11.51 =========================================================== ======== ======== ======== ======== ======== Total Return................................................ 7.74% 3.41% (11.29)% 30.63% 69.84% --------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)....................... $764,187 $457,311 $435,565 $615,735 $460,705 Ratio of Expenses to Average Net Assets..................... 0.66% 0.75% 0.70% 0.67% 0.70% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly)...................... 0.66% 0.75% 0.71% 0.67% 0.70% Ratio of Net Investment Income to Average Net Assets........ 1.94% 1.92% 1.99% 1.57% 2.10% Portfolio Turnover Rate..................................... 2% 44% 28% 14% 4% ---------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 37 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 whose shares are offered, without a sales charge, generally to institutional investors and clients of registered investment advisors. The Fund offers seventy-seven operational portfolios, six of which, U.S. Social Core Equity 2 Portfolio, U.S. Sustainability Core 1 Portfolio, International Sustainability Core 1 Portfolio, DFA International Value ex Tobacco Portfolio, International Social Core Equity Portfolio and Emerging Markets Social Core Equity Portfolio (the "Portfolios"), are included in this report. The remaining seventy-one portfolios are presented in separate reports. 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 U.S. Social Core Equity 2 Portfolio and U.S. Sustainability Core 1 Portfolio (the "Domestic Equity Portfolios") and International Sustainability Core 1 Portfolio, DFA International Value ex Tobacco Portfolio, International Social Core Equity Portfolio and Emerging Markets Social Core Equity Portfolio (the "International Equity Portfolios"), including over-the-counter securities, are valued at the last quoted sale price at the close of the exchanges on which they are principally traded (official closing price). 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 at the mean of the most recent quoted bid and asked prices which approximate fair value. Price information on listed securities is taken from the exchange where the security is primarily traded. Generally, securities issued by open-end 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. 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 Investment Committee of Dimensional Fund Advisors LP) occur before the net asset value is calculated. When fair value pricing is used, the prices of securities used by the 38 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, 11:00 p.m. PT, the previous day), which is fourteen hours prior to the close of the NYSE (normally, 1:00 p.m. PT) 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 the International Equity Portfolios 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. 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 Portfolios 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. 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 Portfolios recognize transfers between the levels as of the end of the period. As of April 30, 2014, the Emerging Markets Social Core Equity Portfolio had significant transfers of securities with a total value of $63,842 (in thousands) that transferred from Level 2 to Level 1 because fair value procedures were no longer applied. At October 31, 2013, the fair market value 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. 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 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 International Equity Portfolios and the U.S. dollar equivalent amounts actually received or paid. 39 3. Deferred Compensation Plan: Each eligible Director/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 Directors/Trustees may defer payment of all or a portion of their total fees earned as a Director/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 Director/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 Director/Trustee shall have the right in a notice of election (the "Notice") to defer the receipt of the Director's/Trustee's deferred compensation until a date specified by such Director/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 Director/Trustee ceases to be a member of the Board; and (ii) five years following the effective date of the Director's/Trustee's first deferral election. If a Director/Trustee who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Director's/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 Director/Trustee ceases to be a member of the Board (unless the Director/Trustee files an amended Notice selecting a different distribution date). As of April 30, 2014, none of the Directors/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 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 Portfolios estimate 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 a Portfolio are directly charged. Common expenses of the Fund or Portfolios are allocated using methods approved by the Board, 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 International Equity 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 Social Core Equity Portfolio 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 advisory services to the Portfolios. For the six months ended April 30, 2014, the Portfolios' investment advisory services fees were accrued daily and paid monthly to the Advisor based on the following effective annual rates of average daily net assets: U.S. Social Core Equity 2 Portfolio........... 0.25% U.S. Sustainability Core 1 Portfolio.......... 0.29% International Sustainability Core 1 Portfolio. 0.42% DFA International Value ex Tobacco Portfolio.. 0.45% International Social Core Equity Portfolio.... 0.37% Emerging Markets Social Core Equity Portfolio. 0.55%
40 Pursuant to an Amended Fee Waiver and/or Expense Assumption Agreement (the "Fee Waiver Agreement"), the Advisor has contractually agreed to waive all or a portion of its advisory fees, and in certain instances, assume certain expenses of the Portfolios, as described in the notes below. The Fee Waiver Agreement for the Portfolios below will remain in effect through February 28, 2015, 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. For the six months ended April 30, 2014, the Portfolios had expense limits based on a percentage of average net assets on an annualized basis, and previously waived fees subject to future recovery by the Advisor as reflected below (amounts in thousands). The Advisor recovered previously waived fees and/or expenses assumed as listed 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 thirty-six months before the date of recovery.
Previously Recovery Waived Fees/ of Previously Expenses Assumed Expense Waived Fees/ Subject to Future Limitation Amount Expenses Assumed Recovery ----------------- ---------------- ----------------- U.S. Social Core Equity 2 Portfolio (1)........... 0.60% -- -- U.S. Sustainability Core 1 Portfolio (2).......... 0.37% -- -- International Sustainability Core 1 Portfolio (2). 0.57% -- -- DFA International Value ex Tobacco Portfolio (3)................................... 0.60% $ 8 -- International Social Core Equity Portfolio (2).... 0.60% 74 -- Emerging Markets Social Core Equity Portfolio (2)................................... 0.85% -- --
(1) The Advisor has contractually agreed to waive all or a portion of its advisory fee to the extent necessary to reduce the Portfolio's ordinary operating expenses (excluding expenses incurred through its investment in other investment companies and excluding any applicable 12b-1 fees) ("Portfolio Expenses") so that the Portfolio Expenses do not exceed 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 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 Portfolio's annualized Portfolio Expenses to exceed the Expense Limitation Amount. (2) The Advisor has contractually agreed to waive all or a portion of its advisory fee and to assume the ordinary operating expenses of the Portfolio (excluding the expenses that the Portfolio incurs indirectly through its investment in other investment companies and excluding any applicable 12b-1 fees) ("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, 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 Portfolio's annualized Portfolio Expenses to exceed the Expense Limitation Amount. (3) The Advisor has contractually agreed to waive all or a portion of its advisory fee and to assume the Portfolio's expenses (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 its investment in unaffiliated investment companies and excluding any applicable 12b-1 fees) ("Portfolio Expenses") to the extent necessary to limit the Portfolio Expenses 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 are less than the Portfolio's 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 Portfolio's annualized Portfolio Expenses to exceed the Expense Limitation Amount. 41 Earned Income Credit: In addition, the Portfolios have entered into arrangements with their custodian whereby net interest earned on uninvested cash balances was used to reduce a portion of each Portfolio's custody expenses. Custody expense in the accompanying financial statements is presented before reduction for credits. During the six months ended April 30, 2014, expenses reduced were as follows (amounts in thousands):
Fees Paid Indirectly ---------- International Sustainability Core 1 Portfolio. $ 1 DFA International Value ex Tobacco Portfolio.. -- International Social Core Equity Portfolio.... -- Emerging Markets Social Core Equity Portfolio. 1
Fees Paid to Officers and Directors/Trustees: Certain Officers and Directors/Trustees of the Advisor are also Officers and Directors/Trustees of the Fund; however, such Officers and Directors/Trustees (with the exception of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund. For the six months ended April 30, 2014, the total related amounts paid by the Fund to the CCO were $130 (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, 2014, 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 (amounts in thousands): U.S. Social Core Equity 2 Portfolio........... $ 6 U.S. Sustainability Core 1 Portfolio.......... 5 International Sustainability Core 1 Portfolio. 4 DFA International Value ex Tobacco Portfolio.. 2 International Social Core Equity Portfolio.... 1 Emerging Markets Social Core Equity Portfolio. 19
E. Purchases and Sales of Securities: For the six months ended April 30, 2014, the Portfolios made the following purchases and sales of investment securities, other than short-term securities and U.S. government securities (amounts in thousands):
Purchases Sales --------- ------- U.S. Social Core Equity 2 Portfolio........... $37,194 $15,603 U.S. Sustainability Core 1 Portfolio.......... 35,402 7,477 International Sustainability Core 1 Portfolio. 81,509 4,291 DFA International Value ex Tobacco Portfolio.. 7,437 8,804 International Social Core Equity Portfolio.... 31,394 2,325 Emerging Markets Social Core Equity Portfolio. 67,429 35,131
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 shareholders. Accordingly, no provision has been made for federal income taxes. 42 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, 2013, primarily attributable to net foreign currency gains/losses, foreign capital gains tax, tax equalization, non-deductible expenses, realized gains on securities considered to be "passive foreign investment companies", and the utilization of accumulated earnings and profits distributed to shareholders on redemptions of shares as part of the dividends paid deduction for income tax purposes, were reclassified to the following accounts. These reclassifications had no effect on net assets or net asset value per share (amounts in thousands):
Increase Increase (Decrease) (Decrease) Increase Undistributed Accumulated (Decrease) Net Investment Net Realized Paid-In Capital Income Gains (Losses) --------------- -------------- -------------- U.S. Social Core Equity 2 Portfolio........... $639 $(243) $(396) U.S. Sustainability Core 1 Portfolio.......... 206 (127) (79) International Sustainability Core 1 Portfolio. 110 (111) 1 DFA International Value ex Tobacco Portfolio.. -- 12 (12) International Social Core Equity Portfolio.... 83 (59) (24) Emerging Markets Social Core Equity Portfolio. -- (58) 58
The tax character of dividends and distributions declared and paid during the years ended October 31, 2012 and October 31, 2013 were as follows (amounts in thousands):
Net Investment Income and Short-Term Long-Term Capital Gains Capital Gains Total -------------- ------------- ------- U.S. Social Core Equity 2 Portfolio 2012.......................................... $ 3,292 $ 115 $ 3,407 2013.......................................... 5,251 2,745 7,996 U.S. Sustainability Core 1 Portfolio 2012.......................................... 2,611 -- 2,611 2013.......................................... 3,999 913 4,912 International Sustainability Core 1 Portfolio 2012.......................................... 3,619 91 3,710 2013.......................................... 4,537 -- 4,537 DFA International Value ex Tobacco Portfolio 2012.......................................... 1,801 -- 1,801 2013.......................................... 2,014 -- 2,014 International Social Core Equity Portfolio 2013.......................................... 1,606 -- 1,606 Emerging Markets Social Core Equity Portfolio 2012.......................................... 7,239 3,548 10,787 2013.......................................... 11,666 14,105 25,771
43 At October 31, 2013, the following net investment income and short-term capital gains and long-term capital gains distributions designated for federal income tax purposes are due to the utilization of accumulated earnings and profits distributed to shareholders upon redemption of shares (amounts in thousands):
Net Investment Income and Short-Term Long-Term Capital Gains Capital Gains Total -------------- ------------- ----- U.S. Social Core Equity 2 Portfolio........... $280 $359 $639 U.S. Sustainability Core 1 Portfolio.......... 135 71 206 International Sustainability Core 1 Portfolio. 100 10 110 International Social Core Equity Portfolio.... 94 -- 94
At October 31, 2013, the components of distributable earnings (accumulated losses) were as follows (amounts in thousands):
Undistributed Total Net Net Investment Distributable Income and Undistributed Unrealized Earnings Short-Term Long-Term Appreciation (Accumulated Capital Gains Capital Gains Depreciation Losses) -------------- ------------- ------------ ------------- U.S. Social Core Equity 2 Portfolio........... $ 942 $7,221 $113,914 $122,077 U.S. Sustainability Core 1 Portfolio.......... 596 2,127 100,557 103,280 International Sustainability Core 1 Portfolio. 578 453 38,304 39,336 DFA International Value ex Tobacco Portfolio.. 174 376 6,352 6,902 International Social Core Equity Portfolio.... 961 9 18,387 19,357 Emerging Markets Social Core Equity Portfolio. 3,163 -- 79,552 82,715
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. During the year ended October 31, 2013, the Portfolios utilized the following capital loss carryforwards to offset realized capital gains for federal income tax purposes (amounts in thousands): International Sustainability Core 1 Portfolio. $ 55 DFA International Value ex Tobacco Portfolio.. 645
At April 30, 2014, the total cost and aggregate gross unrealized appreciation (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes, as follows (amounts in thousands):
Net Unrealized Federal Unrealized Unrealized Appreciation Tax Cost Appreciation (Depreciation) (Depreciation) -------- ------------ -------------- -------------- U.S. Social Core Equity 2 Portfolio........... $373,176 $144,201 $ (6,002) $138,199 U.S. Sustainability Core 1 Portfolio.......... 262,219 122,854 (3,375) 119,479 International Sustainability Core 1 Portfolio. 277,515 58,919 (11,744) 47,175 DFA International Value ex Tobacco Portfolio.. 78,513 14,024 (6,507) 7,517 International Social Core Equity Portfolio.... 180,757 29,372 (4,623) 24,749 Emerging Markets Social Core Equity Portfolio. 764,694 140,781 (75,293) 65,488
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. 44 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 any Portfolio's 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. Each Portfolio's federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. G. Financial Instruments: In accordance with the Portfolios' 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: 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. H. Line of Credit: The Fund, together with other Dimensional-advised portfolios, has entered into a $500 million unsecured discretionary line of credit effective March 4, 2013 with its domestic custodian bank. 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 was scheduled to expire on March 3, 2014, however, effective March 3, 2014, the term was extended until March 2, 2015. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit effective January 10, 2014 with its international custodian bank. 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 9, 2015. For the six months ended April 30, 2014, borrowings by the Portfolios under the lines of credit were as follows (amounts in thousands, except percentages and days):
Weighted Weighted Number of Interest Maximum Amount Average Average Loan Days Expense Borrowed During Interest Rate Balance Outstanding* Incurred the Period ------------- ------------ ------------ -------- --------------- U.S. Social Core Equity 2 Portfolio........... 0.85% $1,072 23 $ 1 $3,477 U.S. Sustainability Core 1 Portfolio.......... 0.84% 220 4 -- 255 International Sustainability Core 1 Portfolio. 0.83% 482 3 -- 482 DFA International Value ex Tobacco Portfolio.. 0.83% 248 31 -- 2,477 International Social Core Equity Portfolio.... 0.84% 382 13 -- 693 Emerging Markets Social Core Equity Portfolio. 0.84% 2,416 20 1 9,215
* Number of Days Outstanding represents the total of single or consecutive days during the six months ended April 30, 2014, that each Portfolio's available line of credit was utilized. 45 At April 30, 2014, Emerging Markets Social Core Equity Portfolio had loans outstanding of $1,175 (amount in thousands). I. Securities Lending: As of April 30, 2014, the Portfolios had securities on loan to brokers/dealers, for which each such Portfolio received cash collateral. In addition, the following Portfolios received non-cash collateral consisting of short and/or long term U.S. Treasury securities (amounts in thousands):
Market Value ------- International Sustainability Core 1 Portfolio. $ 1,327 DFA International Value ex Tobacco Portfolio.. 268 International Social Core Equity Portfolio.... 462 Emerging Markets Social Core Equity Portfolio. 15,412
The Portfolios invest the cash collateral, as described below, and record 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 equal to at least (i) 100% of the current market value of the loaned securities with respect to securities of the U.S. government or its agencies, (ii) 102% of the current market value of the loaned securities with respect to U.S. securities, and (iii) 105% of the current market value of the loaned securities with respect to foreign securities. However, daily market fluctuations could cause the Portfolios' 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. Subject to their stated investment policies, the Portfolios 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 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 Portfolios 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. 46 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 which 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. Other: At April 30, 2014, the following number of shareholders held the following approximate percentages of the stated fund outstanding shares. One or more of the shareholders may be omnibus accounts, which typically hold shares for the benefit of several other underlying investors.
Approximate Percentage Number of of Outstanding Shareholders Shares ------------ -------------- U.S. Social Core Equity 2 Portfolio........... 5 71% U.S. Sustainability Core 1 Portfolio.......... 4 89% International Sustainability Core 1 Portfolio. 4 85% DFA International Value ex Tobacco Portfolio.. 3 95% International Social Core Equity Portfolio.... 6 61% Emerging Markets Social Core Equity Portfolio. 4 41%
L. Subsequent Event Evaluations: Management has evaluated the impact of all subsequent events on the Portfolios and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements. 47 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 without charge, upon request, by calling collect: (512) 306-7400. 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://www.dimensional.com and reflects the twelve-month period beginning July 1st and ending June 30th. 48 BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS At the Board meeting held on December 13, 2013 (the "Meeting"), the Board of Directors of DFA Investment Dimensions Group Inc. (the "Board") considered the continuation of the investment advisory agreements for each portfolio (collectively, the "Funds") and, if applicable, a Fund's sub-advisory agreements. For certain Funds, Dimensional Fund Advisors Ltd. and DFA Australia Limited serve as sub-advisors. (The investment advisory agreements and the sub-advisory agreements are referred to as the "Advisory 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 Advisory 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 Advisory 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 Advisory 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 advisory 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 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 management services provided by the Advisor. 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, 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 based on the Fund's investment strategies and the expectations of its shareholder base, among other things, that the performance of each Fund was reasonable as compared with relevant performance standards. 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 advisory fees and total expenses of each Fund over various periods were favorable in relation to those of its peer funds, and that the advisory 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. 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 49 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 advisory fees charged. For several reasons, the Board concluded that economies of scale and the reflection of such economies of scale in the level of advisory 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 Advisory Agreement for each Fund was in the best interests of the Fund and its shareholders. 50 [LOGO] DFA043014-014S [LOGO] SEMI-ANNUAL REPORT six months ended: April 30, 2014 (Unaudited) DFA Investment Dimensions Group Inc. Tax-Managed U.S. Marketwide Value Portfolio Tax-Managed U.S. Equity Portfolio Tax-Managed U.S. Targeted Value Portfolio Tax-Managed U.S. Small Cap Portfolio T.A. U.S. Core Equity 2 Portfolio Tax-Managed DFA International Value Portfolio T.A. World ex U.S. Core Equity Portfolio The DFA Investment Trust Company Tax-Managed U.S. Marketwide Value Series [LOGO] Dimensional Fund Advisors 6300 Bee Cave Road, Building One Austin, TX 78746 May 2014 Dear Fellow Shareholder, Since our founding 33 years ago, Dimensional has grown into a global asset management firm. We believe well-functioning markets that bring together investors who supply capital with companies that put capital to work are what make our business and investment approach successful. At Dimensional, we combine insights gained from academia and a belief in the power of markets with decades of practical experience implementing in competitive markets. By applying this approach, we have built up a long and compelling track record across global equity and fixed income markets. Sincerely, /s/ David G. Booth David G. Booth Chairman and Co-Chief Executive Officer SEMI-ANNUAL REPORT (Unaudited) Table of Contents
Page ---- Letter to Shareholders Definitions of Abbreviations and Footnotes...................................... 1 DFA Investment Dimensions Group Inc. Disclosure of Fund Expenses.................................................. 2 Disclosure of Portfolio Holdings............................................. 4 Schedule of Investments/Summary Schedules of Portfolio Holdings Tax-Managed U.S. Marketwide Value Portfolio.............................. 6 Tax-Managed U.S. Equity Portfolio........................................ 7 Tax-Managed U.S. Targeted Value Portfolio................................ 10 Tax-Managed U.S. Small Cap Portfolio..................................... 13 T.A. U.S. Core Equity 2 Portfolio........................................ 16 Tax-Managed DFA International Value Portfolio............................ 19 T.A. World ex U.S. Core Equity Portfolio................................. 23 Statements of Assets and Liabilities......................................... 29 Statements of Operations..................................................... 31 Statements of Changes in Net Assets.......................................... 33 Financial Highlights......................................................... 35 Notes to Financial Statements................................................ 39 The DFA Investment Trust Company - The Tax-Managed U.S. Marketwide Value Series Disclosure of Fund Expenses.................................................. 50 Disclosure of Portfolio Holdings............................................. 51 Summary Schedule of Portfolio Holdings....................................... 52 Statement of Assets and Liabilities.......................................... 55 Statement of Operations...................................................... 56 Statements of Changes in Net Assets.......................................... 57 Financial Highlights......................................................... 58 Notes to Financial Statements................................................ 59 Voting Proxies on Fund Portfolio Securities..................................... 63 Board Approval of Investment Advisory Agreements................................ 64
This report is submitted for the information of the Fund's shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. i DFA INVESTMENT DIMENSIONS GROUP INC. THE DFA INVESTMENT TRUST COMPANY DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES Schedules of Investments/Summary Schedules of Portfolio Holdings ---------------------------------------------------------------- Investment Abbreviations ADR American Depositary Receipt P.L.C. Public Limited Company Investment Footnotes + See Note B to Financial Statements. ++ Securities have generally been fair valued. 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 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. @ Security purchased with cash proceeds from Securities on Loan. (S) Affiliated Fund. Financial Highlights -------------------- (A) Computed using average shares outstanding. (B) Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Funds. (C) Non-Annualized (D) Annualized All Statements, Schedules and Notes to Financial Statements ----------------------------------------------------------- -- Amounts designated as -- are either zero or rounded to zero. SEC Securities and Exchange Commission
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, 2014 EXPENSE TABLES Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 11/01/13 04/30/14 Ratio* Period* --------- --------- ---------- -------- Tax-Managed U.S. Marketwide Value Portfolio** --------------------------------------------- Actual Fund Return $1,000.00 $1,083.20 0.37% $1.91 Hypothetical 5% Annual Return $1,000.00 $1,022.96 0.37% $1.86 Tax-Managed U.S. Equity Portfolio --------------------------------- Actual Fund Return $1,000.00 $1,077.70 0.22% $1.13 Hypothetical 5% Annual Return $1,000.00 $1,023.70 0.22% $1.10
2 DISCLOSURE OF FUND EXPENSES CONTINUED
Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 11/01/13 04/30/14 Ratio* Period* --------- --------- ---------- -------- Tax-Managed U.S. Targeted Value Portfolio ----------------------------------------- Actual Fund Return $1,000.00 $1,073.70 0.43% $2.21 Hypothetical 5% Annual Return $1,000.00 $1,022.66 0.43% $2.16 Tax-Managed U.S. Small Cap Portfolio ------------------------------------ Actual Fund Return $1,000.00 $1,046.40 0.52% $2.64 Hypothetical 5% Annual Return $1,000.00 $1,022.22 0.52% $2.61 T.A. U.S. Core Equity 2 Portfolio --------------------------------- Actual Fund Return $1,000.00 $1,078.10 0.24% $1.24 Hypothetical 5% Annual Return $1,000.00 $1,023.60 0.24% $1.20 Tax-Managed DFA International Value Portfolio --------------------------------------------- Actual Fund Return $1,000.00 $1,051.10 0.53% $2.70 Hypothetical 5% Annual Return $1,000.00 $1,022.17 0.53% $2.66 T.A. World ex U.S. Core Equity Portfolio ---------------------------------------- Actual Fund Return $1,000.00 $1,041.60 0.45% $2.28 Hypothetical 5% Annual Return $1,000.00 $1,022.56 0.45% $2.26
---------- * 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 indirect payment of the Feeder Fund's portion of the expenses of its Master Fund (Affiliated Investment Company). 3 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 31, 2014. It is 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 amendments 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 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 ----------------------------- Tax-Managed U.S. Marketwide Value Portfolio. 100.0%
DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS Tax-Managed U.S. Equity Portfolio Consumer Discretionary....................... 13.0% Consumer Staples............................. 9.0% Energy....................................... 10.2% Financials................................... 14.4% Health Care.................................. 13.0% Industrials.................................. 12.1% Information Technology....................... 18.7% Materials.................................... 4.0% Other........................................ -- Real Estate Investment Trusts................ 0.1% Telecommunication Services................... 2.2% Utilities.................................... 3.3% ----- 100.0%
Tax-Managed U.S. Targeted Value Portfolio Consumer Discretionary....................... 15.7% Consumer Staples............................. 3.7% Energy....................................... 9.9% Financials................................... 25.3% Health Care.................................. 5.9% Industrials.................................. 16.8% Information Technology....................... 13.2% Materials.................................... 8.3% Other........................................ -- Real Estate Investment Trusts................ 0.1% Telecommunication Services................... 0.7% Utilities.................................... 0.4% ----- 100.0%
Tax-Managed U.S. Small Cap Portfolio Consumer Discretionary....................... 16.0% Consumer Staples............................. 4.3% Energy....................................... 6.4% Financials................................... 19.6% Health Care.................................. 9.4% Industrials.................................. 18.5% Information Technology....................... 16.9% Materials.................................... 5.4% Other........................................ -- Real Estate Investment Trusts................ 0.1% Telecommunication Services................... 0.8% Utilities.................................... 2.6% ----- 100.0%
4 DISCLOSURE OF PORTFOLIO HOLDINGS CONTINUED T.A. U.S. Core Equity 2 Portfolio Consumer Discretionary....................... 13.4% Consumer Staples............................. 6.1% Energy....................................... 12.3% Financials................................... 18.5% Health Care.................................. 10.8% Industrials.................................. 14.0% Information Technology....................... 15.3% Materials.................................... 5.1% Other........................................ -- Real Estate Investment Trusts................ -- Telecommunication Services................... 2.5% Utilities.................................... 2.0% ----- 100.0%
Tax-Managed DFA International Value Portfolio Consumer Discretionary....................... 9.3% Consumer Staples............................. 4.5% Energy....................................... 14.1% Financials................................... 34.7% Health Care.................................. 3.7% Industrials.................................. 9.7% Information Technology....................... 3.7% Materials.................................... 11.6% Other........................................ -- Real Estate Investment Trusts................ -- Telecommunication Services................... 4.9% Utilities.................................... 3.8% ----- 100.0%
T.A. World ex U.S. Core Equity Portfolio Consumer Discretionary....................... 13.9% Consumer Staples............................. 7.0% Energy....................................... 9.0% Financials................................... 24.2% Health Care.................................. 5.3% Industrials.................................. 15.8% Information Technology....................... 7.4% Materials.................................... 11.1% Other........................................ -- Real Estate Investment Trusts................ -- Telecommunication Services................... 3.3% Utilities.................................... 3.0% ----- 100.0%
5 TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2014 (Unaudited)
Value+ -------------- AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The Tax-Managed U.S. Marketwide Value Series of The DFA Investment Trust Company............................ $3,398,993,021 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $1,903,623,358).................................... $3,398,993,021 ==============
Summary of the Portfolio's Master Fund's investments as of April 30, 2014, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 6 TAX-MANAGED U.S. EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2014 (Unaudited)
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (94.5%) Consumer Discretionary -- (12.2%) * Amazon.com, Inc................... 39,712 $ 12,077,611 0.6% Comcast Corp. Class A............. 227,903 11,796,259 0.6% Home Depot, Inc. (The)............ 151,412 12,038,768 0.6% McDonald's Corp................... 107,641 10,912,645 0.5% Walt Disney Co. (The)............. 183,316 14,544,291 0.7% Other Securities.................. 216,990,782 9.9% ------------ ----- Total Consumer Discretionary.......... 278,360,356 12.9% ------------ ----- Consumer Staples -- (8.5%) Altria Group, Inc................. 214,752 8,613,703 0.4% Coca-Cola Co. (The)............... 431,559 17,603,292 0.8% CVS Caremark Corp................. 132,004 9,599,331 0.5% PepsiCo, Inc...................... 166,178 14,273,028 0.7% Philip Morris International, Inc.. 170,074 14,529,422 0.7% Procter & Gamble Co. (The)........ 295,232 24,371,402 1.1% Wal-Mart Stores, Inc.............. 174,326 13,895,525 0.7% Other Securities.................. 90,125,097 4.1% ------------ ----- Total Consumer Staples................ 193,010,800 9.0% ------------ ----- Energy -- (9.7%) Chevron Corp...................... 207,657 26,065,107 1.2% ConocoPhillips.................... 124,357 9,240,969 0.4% Exxon Mobil Corp.................. 475,705 48,716,949 2.3% Occidental Petroleum Corp......... 86,556 8,287,737 0.4% Schlumberger, Ltd................. 141,594 14,378,871 0.7% Other Securities.................. 112,946,378 5.2% ------------ ----- Total Energy.......................... 219,636,011 10.2% ------------ ----- Financials -- (13.6%) American Express Co............... 104,440 9,131,189 0.4% Bank of America Corp.............. 1,155,107 17,488,320 0.8% * Berkshire Hathaway, Inc. Class B.. 193,795 24,970,486 1.2% Citigroup, Inc.................... 326,044 15,620,768 0.7% JPMorgan Chase & Co............... 407,567 22,815,601 1.1% Wells Fargo & Co.................. 543,241 26,966,483 1.3% Other Securities.................. 192,291,539 8.9% ------------ ----- Total Financials...................... 309,284,386 14.4% ------------ ----- Health Care -- (12.3%) AbbVie, Inc....................... 171,168 8,914,429 0.4% Amgen, Inc........................ 81,177 9,071,530 0.4% Bristol-Myers Squibb Co........... 177,688 8,900,392 0.4% * Gilead Sciences, Inc.............. 165,726 13,007,834 0.6% Johnson & Johnson................. 305,805 30,974,988 1.5% Merck & Co., Inc.................. 314,073 18,392,115 0.9% Pfizer, Inc....................... 704,127 22,025,093 1.0% UnitedHealth Group, Inc........... 108,703 8,157,073 0.4% Other Securities.................. 160,948,040 7.4% ------------ ----- Total Health Care..................... 280,391,494 13.0% ------------ ----- Industrials -- (11.5%) 3M Co............................. 70,092 9,749,096 0.5% Boeing Co. (The).................. 77,367 9,981,890 0.5%
7 TAX-MANAGED U.S. EQUITY PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Industrials -- (Continued) General Electric Co................................ 1,098,105 $ 29,528,043 1.4% Union Pacific Corp................................. 50,016 9,524,547 0.5% United Technologies Corp........................... 93,907 11,112,015 0.5% Other Securities................................... 190,381,687 8.7% -------------- ------ Total Industrials........................................ 260,277,278 12.1% -------------- ------ Information Technology -- (17.7%) Apple, Inc......................................... 96,789 57,114,221 2.7% Cisco Systems, Inc................................. 566,126 13,083,172 0.6% * Facebook, Inc. Class A............................. 176,180 10,532,040 0.5% * Google, Inc. Class A............................... 30,123 16,112,190 0.8% * Google, Inc. Class C............................... 30,123 15,864,579 0.8% Intel Corp......................................... 538,727 14,378,624 0.7% International Business Machines Corp............... 104,744 20,579,054 1.0% MasterCard, Inc. Class A........................... 124,910 9,187,130 0.4% Microsoft Corp..................................... 857,750 34,653,100 1.6% Oracle Corp........................................ 400,229 16,361,362 0.8% QUALCOMM, Inc...................................... 184,909 14,554,187 0.7% Visa, Inc. Class A................................. 55,143 11,172,523 0.5% Other Securities................................... 168,918,746 7.6% -------------- ------ Total Information Technology............................. 402,510,928 18.7% -------------- ------ Materials -- (3.8%) Other Securities................................... 86,317,451 4.0% -------------- ------ Other -- (0.0%) Other Securities................................... -- 0.0% -------------- ------ Real Estate Investment Trusts -- (0.1%) Other Securities................................... 2,336,118 0.1% -------------- ------ Telecommunication Services -- (2.0%) AT&T, Inc.......................................... 570,785 20,377,025 1.0% Verizon Communications, Inc........................ 377,573 17,643,986 0.8% Other Securities................................... 8,149,132 0.3% -------------- ------ Total Telecommunication Services......................... 46,170,143 2.1% -------------- ------ Utilities -- (3.1%) Other Securities................................... 70,705,446 3.3% -------------- ------ TOTAL COMMON STOCKS...................................... 2,149,000,411 99.8% -------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities................................... 19,339 0.0% -------------- ------ TEMPORARY CASH INVESTMENTS -- (0.3%) State Street Institutional Liquid Reserves, 0.074%. 6,797,299 6,797,299 0.3% -------------- ------ Shares/ Face Amount ------- - - (000) SECURITIES LENDING COLLATERAL -- (5.2%) (S)@ DFA Short Term Investment Fund..................... 10,243,036 118,511,924 5.5% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $1,187,944,743)................................ $2,274,328,973 105.6% ============== ======
8 TAX-MANAGED U.S. EQUITY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, 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........ $ 278,360,356 -- -- $ 278,360,356 Consumer Staples.............. 193,010,800 -- -- 193,010,800 Energy........................ 219,636,011 -- -- 219,636,011 Financials.................... 309,284,232 $ 154 -- 309,284,386 Health Care................... 280,388,250 3,244 -- 280,391,494 Industrials................... 260,277,278 -- -- 260,277,278 Information Technology........ 402,510,928 -- -- 402,510,928 Materials..................... 86,317,451 -- -- 86,317,451 Other......................... -- -- -- -- Real Estate Investment Trusts. 2,336,118 -- -- 2,336,118 Telecommunication Services.... 46,170,143 -- -- 46,170,143 Utilities..................... 70,705,446 -- -- 70,705,446 Rights/Warrants................. -- 19,339 -- 19,339 Temporary Cash Investments...... 6,797,299 -- -- 6,797,299 Securities Lending Collateral... -- 118,511,924 -- 118,511,924 -------------- ------------ -- -------------- TOTAL........................... $2,155,794,312 $118,534,661 -- $2,274,328,973 ============== ============ == ==============
See accompanying Notes to Financial Statements. 9 TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2014 (Unaudited)
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (87.7%) Consumer Discretionary -- (13.8%) #* Cabela's, Inc.......................... 208,284 $ 13,665,513 0.4% Dillard's, Inc. Class A................ 254,247 24,898,409 0.7% # GameStop Corp. Class A................. 431,501 17,121,960 0.5% #* Iconix Brand Group, Inc................ 357,800 15,206,500 0.5% # Lennar Corp. Class A................... 309,800 11,955,182 0.4% * Mohawk Industries, Inc................. 95,662 12,666,605 0.4% Other Securities....................... 435,777,435 12.7% ------------ ------ Total Consumer Discretionary............... 531,291,604 15.6% ------------ ------ Consumer Staples -- (3.2%) * Constellation Brands, Inc. Class A..... 317,371 25,338,901 0.8% Other Securities....................... 100,354,346 2.9% ------------ ------ Total Consumer Staples..................... 125,693,247 3.7% ------------ ------ Energy -- (8.7%) Bristow Group, Inc..................... 174,943 13,435,622 0.4% # Exterran Holdings, Inc................. 320,367 13,782,188 0.4% #* Helix Energy Solutions Group, Inc...... 562,740 13,528,270 0.4% Nabors Industries, Ltd................. 538,310 13,737,671 0.4% Patterson-UTI Energy, Inc.............. 473,266 15,395,343 0.5% Tesoro Corp............................ 419,582 23,618,271 0.7% # Western Refining, Inc.................. 378,467 16,463,315 0.5% * Whiting Petroleum Corp................. 170,705 12,584,373 0.4% Other Securities....................... 213,454,487 6.2% ------------ ------ Total Energy............................... 335,999,540 9.9% ------------ ------ Financials -- (22.2%) Allied World Assurance Co. Holdings AG. 155,508 16,746,657 0.5% * American Capital, Ltd.................. 1,164,025 17,448,735 0.5% American Financial Group, Inc.......... 370,385 21,641,596 0.6% Assurant, Inc.......................... 331,133 22,321,676 0.7% Axis Capital Holdings, Ltd............. 302,382 13,833,976 0.4% CNO Financial Group, Inc............... 1,264,042 21,804,724 0.7% * E*TRADE Financial Corp................. 585,382 13,141,826 0.4% Everest Re Group, Ltd.................. 104,016 16,437,648 0.5% * Genworth Financial, Inc. Class A....... 923,584 16,485,974 0.5% # Legg Mason, Inc........................ 349,011 16,365,126 0.5% NASDAQ OMX Group, Inc. (The)........... 408,569 15,076,196 0.5% PartnerRe, Ltd......................... 163,753 17,259,566 0.5% Protective Life Corp................... 263,755 13,491,068 0.4% Reinsurance Group of America, Inc...... 235,808 18,088,832 0.5% Other Securities....................... 618,034,366 18.0% ------------ ------ Total Financials........................... 858,177,966 25.2% ------------ ------ Health Care -- (5.2%) * LifePoint Hospitals, Inc............... 217,249 12,148,564 0.4% Omnicare, Inc.......................... 317,727 18,831,679 0.6% Other Securities....................... 169,985,284 4.9% ------------ ------ Total Health Care.......................... 200,965,527 5.9% ------------ ------ Industrials -- (14.8%) AMERCO................................. 88,302 22,085,213 0.7% #* Avis Budget Group, Inc................. 549,560 28,901,360 0.9%
10 TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Industrials -- (Continued) Curtiss-Wright Corp................................ 193,210 $ 12,353,847 0.4% * Esterline Technologies Corp........................ 124,499 13,572,881 0.4% GATX Corp.......................................... 210,848 13,837,954 0.4% Owens Corning...................................... 367,806 15,024,875 0.5% Ryder System, Inc.................................. 233,530 19,191,495 0.6% Trinity Industries, Inc............................ 277,414 20,822,695 0.6% Other Securities................................... 424,142,234 12.3% -------------- ------ Total Industrials........................................ 569,932,554 16.8% -------------- ------ Information Technology -- (11.6%) * Arrow Electronics, Inc............................. 351,633 19,955,173 0.6% Avnet, Inc......................................... 307,290 13,253,418 0.4% #* First Solar, Inc................................... 234,322 15,814,392 0.5% * Ingram Micro, Inc. Class A......................... 553,452 14,921,066 0.4% Marvell Technology Group, Ltd...................... 827,739 13,127,941 0.4% * SYNNEX Corp........................................ 188,595 12,707,531 0.4% Other Securities................................... 357,361,465 10.4% -------------- ------ Total Information Technology............................. 447,140,986 13.1% -------------- ------ Materials -- (7.2%) Ashland, Inc....................................... 159,881 15,444,505 0.5% MeadWestvaco Corp.................................. 386,074 15,083,911 0.4% Reliance Steel & Aluminum Co....................... 200,657 14,210,529 0.4% Rock-Tenn Co. Class A.............................. 149,967 14,338,345 0.4% Westlake Chemical Corp............................. 191,836 13,658,723 0.4% Other Securities................................... 206,215,152 6.1% -------------- ------ Total Materials.......................................... 278,951,165 8.2% -------------- ------ Other -- (0.0%) Other Securities................................... -- 0.0% -------------- ------ Real Estate Investment Trusts -- (0.0%) Other Securities................................... 1,455,351 0.1% -------------- ------ Telecommunication Services -- (0.6%) Other Securities................................... 24,352,217 0.7% -------------- ------ Utilities -- (0.4%) Other Securities................................... 14,510,813 0.4% -------------- ------ TOTAL COMMON STOCKS...................................... 3,388,470,970 99.6% -------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities................................... 272,480 0.0% -------------- ------ TEMPORARY CASH INVESTMENTS -- (0.3%) State Street Institutional Liquid Reserves, 0.074%. 11,897,618 11,897,618 0.3% -------------- ------ Shares/ Face Amount ------- - - (000) SECURITIES LENDING COLLATERAL -- (12.0%) (S)@ DFA Short Term Investment Fund..................... 39,936,034 462,059,912 13.6% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $2,391,733,486)................................ $3,862,700,980 113.5% ============== ======
11 TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, 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........ $ 531,280,004 $ 11,600 -- $ 531,291,604 Consumer Staples.............. 125,693,247 -- -- 125,693,247 Energy........................ 335,999,540 -- -- 335,999,540 Financials.................... 858,151,451 26,515 -- 858,177,966 Health Care................... 200,728,882 236,645 -- 200,965,527 Industrials................... 569,930,617 1,937 -- 569,932,554 Information Technology........ 447,140,986 -- -- 447,140,986 Materials..................... 278,951,165 -- -- 278,951,165 Other......................... -- -- -- -- Real Estate Investment Trusts. 1,455,351 -- -- 1,455,351 Telecommunication Services.... 24,352,217 -- -- 24,352,217 Utilities..................... 14,510,813 -- -- 14,510,813 Rights/Warrants................. -- 272,480 -- 272,480 Temporary Cash Investments...... 11,897,618 -- -- 11,897,618 Securities Lending Collateral... -- 462,059,912 -- 462,059,912 -------------- ------------ -- -------------- TOTAL........................... $3,400,091,891 $462,609,089 -- $3,862,700,980 ============== ============ == ==============
See accompanying Notes to Financial Statements. 12 TAX-MANAGED U.S. SMALL CAP PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2014 (Unaudited)
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (82.1%) Consumer Discretionary -- (13.2%) #* Cabela's, Inc....................... 65,260 $ 4,281,709 0.2% #* Conn's, Inc......................... 78,720 3,481,786 0.2% Domino's Pizza, Inc................. 54,821 4,077,586 0.2% #* Iconix Brand Group, Inc............. 102,033 4,336,402 0.2% Lithia Motors, Inc. Class A......... 51,735 3,842,876 0.2% Other Securities.................... 296,375,715 14.9% ------------ ------ Total Consumer Discretionary............ 316,396,074 15.9% ------------ ------ Consumer Staples -- (3.5%) * Pilgrim's Pride Corp................ 173,140 3,784,840 0.2% Other Securities.................... 80,770,647 4.0% ------------ ------ Total Consumer Staples.................. 84,555,487 4.2% ------------ ------ Energy -- (5.2%) Bristow Group, Inc.................. 53,346 4,096,973 0.2% * Carrizo Oil & Gas, Inc.............. 66,176 3,641,004 0.2% Exterran Holdings, Inc.............. 96,024 4,130,953 0.2% * Stone Energy Corp................... 76,866 3,770,277 0.2% # Western Refining, Inc............... 181,222 7,883,157 0.4% Other Securities.................... 102,579,645 5.1% ------------ ------ Total Energy............................ 126,102,009 6.3% ------------ ------ Financials -- (16.1%) # BancorpSouth, Inc................... 148,561 3,470,385 0.2% Cathay General Bancorp.............. 161,692 3,815,931 0.2% CNO Financial Group, Inc............ 336,171 5,798,950 0.3% Hanover Insurance Group, Inc. (The). 58,429 3,415,175 0.2% Investors Bancorp, Inc.............. 162,953 4,355,734 0.2% PacWest Bancorp..................... 131,887 5,192,391 0.3% Primerica, Inc...................... 80,041 3,673,081 0.2% Radian Group, Inc................... 324,032 4,529,967 0.2% StanCorp Financial Group, Inc....... 59,107 3,611,438 0.2% TCF Financial Corp.................. 239,281 3,756,712 0.2% Webster Financial Corp.............. 144,207 4,346,399 0.2% * Western Alliance Bancorp............ 158,880 3,665,362 0.2% Other Securities.................... 336,699,007 16.9% ------------ ------ Total Financials........................ 386,330,532 19.5% ------------ ------ Health Care -- (7.7%) #* Air Methods Corp.................... 68,832 3,831,877 0.2% * Jazz Pharmaceuticals P.L.C.......... 39,116 5,276,748 0.3% * Medidata Solutions, Inc............. 98,340 3,570,725 0.2% * Prestige Brands Holdings, Inc....... 110,081 3,689,915 0.2% Other Securities.................... 169,408,204 8.5% ------------ ------ Total Health Care....................... 185,777,469 9.4% ------------ ------ Industrials -- (15.2%) AMERCO.............................. 25,259 6,317,528 0.3% * American Airlines Group, Inc........ 133,986 4,698,889 0.2% # American Railcar Industries, Inc.... 53,313 3,702,055 0.2% * Avis Budget Group, Inc.............. 130,275 6,851,162 0.3% Curtiss-Wright Corp................. 61,113 3,907,565 0.2% * DXP Enterprises, Inc................ 31,485 3,564,417 0.2%
13 TAX-MANAGED U.S. SMALL CAP PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Industrials -- (Continued) # EnerSys, Inc....................................... 63,999 $ 4,325,052 0.2% * Esterline Technologies Corp........................ 48,126 5,246,697 0.3% # Manitowoc Co., Inc. (The).......................... 108,200 3,438,596 0.2% #* MasTec, Inc........................................ 89,929 3,559,390 0.2% #* Middleby Corp. (The)............................... 16,509 4,168,192 0.2% * On Assignment, Inc................................. 101,799 3,562,965 0.2% Other Securities................................... 313,112,229 15.8% -------------- ------ Total Industrials........................................ 366,454,737 18.5% -------------- ------ Information Technology -- (13.9%) * ARRIS Group, Inc................................... 170,706 4,453,720 0.2% # Convergys Corp..................................... 170,395 3,670,308 0.2% * CoStar Group, Inc.................................. 31,675 5,096,191 0.3% FEI Co............................................. 43,300 3,443,216 0.2% Mentor Graphics Corp............................... 201,941 4,180,179 0.2% * SYNNEX Corp........................................ 63,951 4,309,018 0.2% * TriQuint Semiconductor, Inc........................ 253,709 3,597,594 0.2% Other Securities................................... 304,770,838 15.3% -------------- ------ Total Information Technology............................. 333,521,064 16.8% -------------- ------ Materials -- (4.4%) * KapStone Paper and Packaging Corp.................. 152,404 4,020,418 0.2% PolyOne Corp....................................... 131,230 4,917,188 0.3% #* Texas Industries, Inc.............................. 44,165 3,829,106 0.2% Other Securities................................... 93,912,534 4.7% -------------- ------ Total Materials.......................................... 106,679,246 5.4% -------------- ------ Other -- (0.0%) Other Securities................................... -- 0.0% -------------- ------ Real Estate Investment Trusts -- (0.0%) Other Securities................................... 996,728 0.1% -------------- ------ Telecommunication Services -- (0.7%) Other Securities................................... 16,022,208 0.8% -------------- ------ Utilities -- (2.2%) Black Hills Corp................................... 62,287 3,597,074 0.2% Other Securities................................... 48,395,749 2.4% -------------- ------ Total Utilities.......................................... 51,992,823 2.6% -------------- ------ TOTAL COMMON STOCKS...................................... 1,974,828,377 99.5% -------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities................................... 20,862 0.0% -------------- ------ TEMPORARY CASH INVESTMENTS -- (0.4%) State Street Institutional Liquid Reserves, 0.074%. 9,743,419 9,743,419 0.5% -------------- ------ Shares/ Face Amount ------- - (000) SECURITIES LENDING COLLATERAL -- (17.5%) (S)@ DFA Short Term Investment Fund..................... 36,412,899 421,297,246 21.2% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $1,515,539,876)................................ $2,405,889,904 121.2% ============== ======
14 TAX-MANAGED U.S. SMALL CAP PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, 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........ $ 316,360,737 $ 35,337 -- $ 316,396,074 Consumer Staples.............. 84,555,487 -- -- 84,555,487 Energy........................ 126,102,009 -- -- 126,102,009 Financials.................... 386,321,740 8,792 -- 386,330,532 Health Care................... 185,691,882 85,587 -- 185,777,469 Industrials................... 366,454,499 238 -- 366,454,737 Information Technology........ 333,521,064 -- -- 333,521,064 Materials..................... 106,679,246 -- -- 106,679,246 Other......................... -- -- -- -- Real Estate Investment Trusts. 996,728 -- -- 996,728 Telecommunication Services.... 16,022,208 -- -- 16,022,208 Utilities..................... 51,992,823 -- -- 51,992,823 Rights/Warrants................. -- 20,862 -- 20,862 Temporary Cash Investments...... 9,743,419 -- -- 9,743,419 Securities Lending Collateral... -- 421,297,246 -- 421,297,246 -------------- ------------ -- -------------- TOTAL........................... $1,984,441,842 $421,448,062 -- $2,405,889,904 ============== ============ == ==============
See accompanying Notes to Financial Statements. 15 T.A. U.S. CORE EQUITY 2 PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2014 (Unaudited)
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (91.4%) Consumer Discretionary -- (12.3%) CBS Corp. Class B.................... 191,185 $ 11,042,846 0.3% Comcast Corp. Class A................ 456,217 23,613,792 0.5% Lowe's Cos., Inc..................... 255,861 11,746,579 0.3% Time Warner Cable, Inc............... 88,298 12,490,635 0.3% Time Warner, Inc..................... 218,287 14,507,354 0.3% Walt Disney Co. (The)................ 365,590 29,005,911 0.6% Other Securities..................... 513,407,023 11.1% ------------ ----- Total Consumer Discretionary............. 615,814,140 13.4% ------------ ----- Consumer Staples -- (5.5%) Coca-Cola Co. (The).................. 268,707 10,960,559 0.2% CVS Caremark Corp.................... 278,252 20,234,485 0.5% Mondelez International, Inc. Class A. 366,471 13,064,691 0.3% PepsiCo, Inc......................... 132,927 11,417,100 0.3% Procter & Gamble Co. (The)........... 274,994 22,700,755 0.5% Wal-Mart Stores, Inc................. 291,496 23,235,146 0.5% Other Securities..................... 176,685,159 3.7% ------------ ----- Total Consumer Staples................... 278,297,895 6.0% ------------ ----- Energy -- (11.2%) Anadarko Petroleum Corp.............. 112,874 11,176,784 0.3% Chevron Corp......................... 458,235 57,517,657 1.3% ConocoPhillips....................... 284,294 21,125,887 0.5% EOG Resources, Inc................... 128,684 12,611,032 0.3% Exxon Mobil Corp..................... 1,219,337 124,872,302 2.7% Occidental Petroleum Corp............ 187,825 17,984,244 0.4% Phillips 66.......................... 135,617 11,286,047 0.3% Schlumberger, Ltd.................... 133,494 13,556,316 0.3% Other Securities..................... 294,616,637 6.1% ------------ ----- Total Energy............................. 564,746,906 12.2% ------------ ----- Financials -- (17.0%) American International Group, Inc.... 316,145 16,796,784 0.4% Bank of America Corp................. 2,305,089 34,899,047 0.8% * Berkshire Hathaway, Inc. Class B..... 103,179 13,294,614 0.3% Citigroup, Inc....................... 694,510 33,273,974 0.7% Goldman Sachs Group, Inc. (The)...... 96,775 15,466,580 0.3% JPMorgan Chase & Co.................. 899,243 50,339,623 1.1% U.S. Bancorp......................... 381,670 15,564,503 0.3% Wells Fargo & Co..................... 1,199,886 59,562,341 1.3% Other Securities..................... 612,023,792 13.3% ------------ ----- Total Financials......................... 851,221,258 18.5% ------------ ----- Health Care -- (9.9%) * Express Scripts Holding Co........... 163,258 10,869,718 0.2% Johnson & Johnson.................... 258,804 26,214,257 0.6% Merck & Co., Inc..................... 572,640 33,533,798 0.7% Pfizer, Inc.......................... 1,496,557 46,812,303 1.0% UnitedHealth Group, Inc.............. 220,408 16,539,416 0.4% Zoetis, Inc.......................... 386,123 11,684,082 0.3% Other Securities..................... 349,992,061 7.6% ------------ ----- Total Health Care........................ 495,645,635 10.8% ------------ -----
16 T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Industrials -- (12.8%) Caterpillar, Inc................................... 94,581 $ 9,968,837 0.2% General Electric Co................................ 2,249,996 60,502,392 1.3% Union Pacific Corp................................. 105,422 20,075,511 0.4% Other Securities................................... 553,101,402 12.1% -------------- ------ Total Industrials........................................ 643,648,142 14.0% -------------- ------ Information Technology -- (13.9%) Apple, Inc......................................... 120,852 71,313,557 1.6% Cisco Systems, Inc................................. 1,252,046 28,934,783 0.6% EMC Corp........................................... 415,286 10,714,379 0.2% Hewlett-Packard Co................................. 707,815 23,400,364 0.5% Intel Corp......................................... 1,402,548 37,434,006 0.8% International Business Machines Corp............... 64,884 12,747,759 0.3% * Micron Technology, Inc............................. 431,051 11,259,052 0.3% Microsoft Corp..................................... 631,854 25,526,902 0.6% Oracle Corp........................................ 262,413 10,727,443 0.2% Visa, Inc. Class A................................. 97,604 19,775,546 0.4% Other Securities................................... 448,125,826 9.7% -------------- ------ Total Information Technology............................. 699,959,617 15.2% -------------- ------ Materials -- (4.7%) Dow Chemical Co. (The)............................. 264,593 13,203,191 0.3% Other Securities................................... 222,545,370 4.8% -------------- ------ Total Materials.......................................... 235,748,561 5.1% -------------- ------ Other -- (0.0%) Other Securities................................... -- 0.0% -------------- ------ Real Estate Investment Trusts -- (0.0%) Other Securities................................... 547,332 0.0% -------------- ------ Telecommunication Services -- (2.3%) AT&T, Inc.......................................... 1,387,275 49,525,717 1.1% Verizon Communications, Inc........................ 740,077 34,583,798 0.8% Other Securities................................... 28,819,451 0.5% -------------- ------ Total Telecommunication Services......................... 112,928,966 2.4% -------------- ------ Utilities -- (1.8%) Other Securities................................... 91,230,461 2.0% -------------- ------ TOTAL COMMON STOCKS...................................... 4,589,788,913 99.6% -------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities................................... 114,478 0.0% -------------- ------ TEMPORARY CASH INVESTMENTS -- (0.4%) State Street Institutional Liquid Reserves, 0.074%. 19,562,306 19,562,306 0.4% -------------- ------ Shares/ Face Amount ------- - - (000) SECURITIES LENDING COLLATERAL -- (8.2%) (S)@ DFA Short Term Investment Fund..................... 35,677,419 412,787,742 9.0% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $3,171,512,565)................................ $5,022,253,439 109.0% ============== ======
17 T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, 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........ $ 615,788,867 $ 25,273 -- $ 615,814,140 Consumer Staples.............. 278,297,895 -- -- 278,297,895 Energy........................ 564,746,906 -- -- 564,746,906 Financials.................... 851,219,576 1,682 -- 851,221,258 Health Care................... 495,625,069 20,566 -- 495,645,635 Industrials................... 643,647,916 226 -- 643,648,142 Information Technology........ 699,959,617 -- -- 699,959,617 Materials..................... 235,748,561 -- -- 235,748,561 Other......................... -- -- -- -- Real Estate Investment Trusts. 547,332 -- -- 547,332 Telecommunication Services.... 112,928,966 -- -- 112,928,966 Utilities..................... 91,230,461 -- -- 91,230,461 Rights/Warrants................. -- 114,478 -- 114,478 Temporary Cash Investments...... 19,562,306 -- -- 19,562,306 Securities Lending Collateral... -- 412,787,742 -- 412,787,742 -------------- ------------ -- -------------- TOTAL........................... $4,609,303,472 $412,949,967 -- $5,022,253,439 ============== ============ == ==============
See accompanying Notes to Financial Statements. 18 TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2014 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (96.3%) AUSTRALIA -- (5.1%) Santos, Ltd................................. 1,313,407 $ 16,839,665 0.6% Wesfarmers, Ltd............................. 836,327 33,285,056 1.1% Other Securities............................ 109,795,624 3.5% ------------ ----- TOTAL AUSTRALIA................................. 159,920,345 5.2% ------------ ----- AUSTRIA -- (0.2%) Other Securities............................ 6,342,974 0.2% ------------ ----- BELGIUM -- (1.3%) Other Securities............................ 42,453,190 1.4% ------------ ----- CANADA -- (8.7%) Canadian Natural Resources, Ltd.(136385101). 420,627 17,148,963 0.6% Canadian Natural Resources, Ltd.(2171573)... 440,539 17,950,341 0.6% Manulife Financial Corp..................... 1,149,080 21,575,719 0.7% Suncor Energy, Inc.......................... 1,078,999 41,622,260 1.4% Other Securities............................ 177,440,963 5.7% ------------ ----- TOTAL CANADA.................................... 275,738,246 9.0% ------------ ----- DENMARK -- (1.5%) Other Securities............................ 47,666,496 1.6% ------------ ----- FINLAND -- (1.2%) Other Securities............................ 37,330,642 1.2% ------------ ----- FRANCE -- (10.0%) # AXA SA...................................... 987,329 25,765,346 0.8% BNP Paribas SA.............................. 593,662 44,610,413 1.5% Cie de St-Gobain............................ 355,943 21,807,006 0.7% GDF Suez.................................... 1,112,207 28,031,425 0.9% Orange SA................................... 1,431,646 23,194,485 0.8% Renault SA.................................. 246,024 24,053,729 0.8% Societe Generale SA......................... 437,609 27,253,056 0.9% Vivendi SA.................................. 1,017,849 27,346,296 0.9% Other Securities............................ 93,739,551 3.0% ------------ ----- TOTAL FRANCE.................................... 315,801,307 10.3% ------------ ----- GERMANY -- (8.0%) # Allianz SE.................................. 145,482 25,318,210 0.8% Bayerische Motoren Werke AG................. 230,620 28,990,073 1.0% Daimler AG.................................. 692,538 64,474,682 2.1% # E.ON SE..................................... 1,187,081 22,738,354 0.7% # Muenchener Rueckversicherungs AG............ 112,068 25,905,517 0.9% RWE AG...................................... 507,020 19,348,428 0.6% Other Securities............................ 67,749,552 2.2% ------------ ----- TOTAL GERMANY................................... 254,524,816 8.3% ------------ ----- HONG KONG -- (2.5%) Hutchison Whampoa, Ltd...................... 1,722,000 23,624,968 0.8% Other Securities............................ 54,329,672 1.7% ------------ ----- TOTAL HONG KONG................................. 77,954,640 2.5% ------------ -----
19 TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- IRELAND -- (0.1%) Other Securities........................ $ 2,918,765 0.1% ------------ ----- ISRAEL -- (0.3%) Other Securities........................ 9,854,923 0.3% ------------ ----- ITALY -- (1.8%) UniCredit SpA........................... 2,940,970 26,350,043 0.8% Other Securities........................ 32,125,267 1.1% ------------ ----- TOTAL ITALY................................. 58,475,310 1.9% ------------ ----- JAPAN -- (19.3%) Mitsubishi Corp......................... 1,136,600 20,353,439 0.7% Mitsubishi UFJ Financial Group, Inc..... 7,531,834 40,065,545 1.3% Mitsui & Co., Ltd....................... 1,287,200 18,255,547 0.6% Mizuho Financial Group, Inc............. 13,848,700 27,124,163 0.9% NTT DOCOMO, Inc......................... 1,212,400 19,338,437 0.6% Sumitomo Mitsui Financial Group, Inc.... 739,027 29,213,962 1.0% Other Securities........................ 455,130,650 14.8% ------------ ----- TOTAL JAPAN................................. 609,481,743 19.9% ------------ ----- NETHERLANDS -- (3.6%) ArcelorMittal........................... 1,128,008 18,342,803 0.6% * ING Groep NV............................ 1,578,512 22,564,600 0.7% Other Securities........................ 72,406,006 2.4% ------------ ----- TOTAL NETHERLANDS........................... 113,313,409 3.7% ------------ ----- NEW ZEALAND -- (0.1%) Other Securities........................ 2,477,564 0.1% ------------ ----- NORWAY -- (0.7%) Other Securities........................ 22,353,843 0.7% ------------ ----- PORTUGAL -- (0.1%) Other Securities........................ 2,678,856 0.1% ------------ ----- SINGAPORE -- (1.1%) Other Securities........................ 35,858,762 1.2% ------------ ----- SPAIN -- (2.5%) Banco Santander SA...................... 2,192,883 21,809,683 0.7% Iberdrola SA............................ 3,245,520 22,671,689 0.7% Other Securities........................ 34,666,862 1.2% ------------ ----- TOTAL SPAIN................................. 79,148,234 2.6% ------------ ----- SWEDEN -- (3.1%) Nordea Bank AB.......................... 1,822,627 26,410,954 0.9% Telefonaktiebolaget LM Ericsson Class B. 1,777,471 21,433,559 0.7% Other Securities........................ 49,114,427 1.6% ------------ ----- TOTAL SWEDEN................................ 96,958,940 3.2% ------------ ----- SWITZERLAND -- (9.2%) Credit Suisse Group AG.................. 941,145 29,836,774 1.0% Holcim, Ltd............................. 241,079 22,110,899 0.7% Novartis AG............................. 811,428 70,539,462 2.3%
20 TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- SWITZERLAND -- (Continued) Swiss Re AG............................. 456,584 $ 39,924,200 1.3% UBS AG.................................. 1,543,793 32,286,677 1.1% Zurich Insurance Group AG............... 105,743 30,322,721 1.0% Other Securities........................ 64,508,793 2.0% -------------- ------ TOTAL SWITZERLAND............................. 289,529,526 9.4% -------------- ------ UNITED KINGDOM -- (15.9%) Anglo American P.L.C.................... 942,482 25,195,464 0.8% Barclays P.L.C.......................... 4,222,955 18,032,198 0.6% Barclays P.L.C. Sponsored ADR........... 1,053,220 18,020,600 0.6% BP P.L.C. Sponsored ADR................. 2,374,137 120,178,814 3.9% HSBC Holdings P.L.C. Sponsored ADR...... 684,845 35,146,245 1.2% * Lloyds Banking Group P.L.C.............. 20,203,383 25,763,605 0.9% Royal Dutch Shell P.L.C. ADR(780259107). 943,951 79,905,452 2.6% Royal Dutch Shell P.L.C. ADR(780259206). 401,472 31,611,905 1.0% Vodafone Group P.L.C.................... 8,067,235 30,628,119 1.0% Vodafone Group P.L.C. Sponsored ADR..... 465,674 17,676,971 0.6% Other Securities........................ 99,067,304 3.2% -------------- ------ TOTAL UNITED KINGDOM.......................... 501,226,677 16.4% -------------- ------ TOTAL COMMON STOCKS........................... 3,042,009,208 99.3% -------------- ------ PREFERRED STOCKS -- (0.2%) GERMANY -- (0.2%) Other Securities........................ 5,115,239 0.2% -------------- ------ RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) Other Securities........................ -- 0.0% -------------- ------ FRANCE -- (0.0%) Other Securities........................ 188,959 0.0% -------------- ------ HONG KONG -- (0.0%) Other Securities........................ 35,377 0.0% -------------- ------ SPAIN -- (0.0%) Other Securities........................ 463,916 0.0% -------------- ------ TOTAL RIGHTS/WARRANTS......................... 688,252 0.0% -------------- ------ Shares/ Face Amount Value+ ------- ------ - (000) SECURITIES LENDING COLLATERAL -- (3.5%) (S)@ DFA Short Term Investment Fund.......... 9,652,150 111,675,372 3.6% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $2,709,726,949)..................... $3,159,488,071 103.1% ============== ======
21 TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, 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................... $ 261,563 $ 159,658,782 -- $ 159,920,345 Austria..................... -- 6,342,974 -- 6,342,974 Belgium..................... 792,032 41,661,158 -- 42,453,190 Canada...................... 275,738,246 -- -- 275,738,246 Denmark..................... -- 47,666,496 -- 47,666,496 Finland..................... -- 37,330,642 -- 37,330,642 France...................... 10,419,039 305,382,268 -- 315,801,307 Germany..................... 22,610,374 231,914,442 -- 254,524,816 Hong Kong................... -- 77,954,640 -- 77,954,640 Ireland..................... 1,367,346 1,551,419 -- 2,918,765 Israel...................... -- 9,854,923 -- 9,854,923 Italy....................... 2,469,787 56,005,523 -- 58,475,310 Japan....................... 22,639,858 586,841,885 -- 609,481,743 Netherlands................. 6,040,366 107,273,043 -- 113,313,409 New Zealand................. -- 2,477,564 -- 2,477,564 Norway...................... -- 22,353,843 -- 22,353,843 Portugal.................... -- 2,678,856 -- 2,678,856 Singapore................... -- 35,858,762 -- 35,858,762 Spain....................... 18,376 79,129,858 -- 79,148,234 Sweden...................... 1,622,691 95,336,249 -- 96,958,940 Switzerland................. 24,262,781 265,266,745 -- 289,529,526 United Kingdom.............. 315,010,218 186,216,459 -- 501,226,677 Preferred Stocks Germany..................... -- 5,115,239 -- 5,115,239 Rights/Warrants Australia................... -- -- -- -- France...................... -- 188,959 -- 188,959 Hong Kong................... -- 35,377 -- 35,377 Spain....................... -- 463,916 -- 463,916 Securities Lending Collateral. -- 111,675,372 -- 111,675,372 ------------ -------------- -- -------------- TOTAL......................... $683,252,677 $2,476,235,394 -- $3,159,488,071 ============ ============== == ==============
See accompanying Notes to Financial Statements. 22 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2014 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (96.6%) AUSTRALIA -- (4.7%) Australia & New Zealand Banking Group, Ltd.. 185,705 $ 5,971,859 0.3% Commonwealth Bank of Australia.............. 54,418 4,003,037 0.2% National Australia Bank, Ltd................ 164,052 5,401,802 0.3% Westpac Banking Corp........................ 166,809 5,463,748 0.3% Other Securities............................ 73,456,927 3.7% ------------ ---- TOTAL AUSTRALIA................................. 94,297,373 4.8% ------------ ---- AUSTRIA -- (0.4%) Other Securities............................ 7,940,475 0.4% ------------ ---- BELGIUM -- (1.0%) Other Securities............................ 21,006,620 1.1% ------------ ---- BRAZIL -- (1.5%) Other Securities............................ 29,589,013 1.5% ------------ ---- CANADA -- (6.8%) Magna International, Inc.................... 34,872 3,416,409 0.2% Royal Bank of Canada........................ 55,774 3,722,338 0.2% Suncor Energy, Inc.......................... 108,988 4,204,199 0.2% Toronto-Dominion Bank (The)................. 110,000 5,292,003 0.3% Other Securities............................ 119,407,735 6.0% ------------ ---- TOTAL CANADA.................................... 136,042,684 6.9% ------------ ---- CHILE -- (0.3%) Other Securities............................ 5,362,415 0.3% ------------ ---- CHINA -- (3.9%) China Construction Bank Corp. Class H....... 6,169,200 4,271,387 0.2% Other Securities............................ 74,258,902 3.8% ------------ ---- TOTAL CHINA..................................... 78,530,289 4.0% ------------ ---- COLOMBIA -- (0.1%) Other Securities............................ 1,493,041 0.1% ------------ ---- CZECH REPUBLIC -- (0.1%) Other Securities............................ 1,058,876 0.1% ------------ ---- DENMARK -- (1.1%) Other Securities............................ 22,505,701 1.1% ------------ ---- EGYPT -- (0.0%) Other Securities............................ 101,334 0.0% ------------ ---- FINLAND -- (1.2%) #* Nokia Oyj................................... 490,765 3,674,637 0.2% Other Securities............................ 21,209,819 1.1% ------------ ---- TOTAL FINLAND................................... 24,884,456 1.3% ------------ ---- FRANCE -- (6.4%) BNP Paribas SA.............................. 77,818 5,847,592 0.3% Cie de St-Gobain............................ 60,070 3,680,215 0.2% Sanofi...................................... 41,470 4,475,436 0.2% Societe Generale SA......................... 60,221 3,750,394 0.2%
23 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- FRANCE -- (Continued) Total SA.............................. 124,526 $ 8,909,108 0.5% Total SA Sponsored ADR................ 85,482 6,089,738 0.3% Other Securities...................... 95,108,936 4.8% ------------ ----- TOTAL FRANCE.............................. 127,861,419 6.5% ------------ ----- GERMANY -- (5.3%) Allianz SE............................ 29,681 5,165,380 0.3% BASF SE............................... 31,183 3,617,406 0.2% Bayerische Motoren Werke AG........... 33,795 4,248,198 0.2% Daimler AG............................ 70,685 6,580,712 0.3% Deutsche Post AG...................... 93,390 3,523,880 0.2% RWE AG................................ 89,853 3,428,887 0.2% Other Securities...................... 80,265,834 4.0% ------------ ----- TOTAL GERMANY............................. 106,830,297 5.4% ------------ ----- GREECE -- (0.2%) Other Securities...................... 3,709,137 0.2% ------------ ----- HONG KONG -- (1.9%) Other Securities...................... 38,365,073 2.0% ------------ ----- HUNGARY -- (0.0%) Other Securities...................... 869,973 0.0% ------------ ----- INDIA -- (1.4%) Other Securities...................... 28,368,588 1.4% ------------ ----- INDONESIA -- (0.6%) Other Securities...................... 11,650,164 0.6% ------------ ----- IRELAND -- (0.4%) Other Securities...................... 7,974,423 0.4% ------------ ----- ISRAEL -- (0.5%) Other Securities...................... 10,191,410 0.5% ------------ ----- ITALY -- (2.1%) Other Securities...................... 42,605,695 2.2% ------------ ----- JAPAN -- (14.4%) Mizuho Financial Group, Inc........... 1,822,055 3,568,690 0.2% Sumitomo Mitsui Financial Group, Inc.. 101,283 4,003,748 0.2% Toyota Motor Corp..................... 91,655 4,951,950 0.3% Toyota Motor Corp. Sponsored ADR...... 50,053 5,426,746 0.3% Other Securities...................... 271,987,579 13.7% ------------ ----- TOTAL JAPAN............................... 289,938,713 14.7% ------------ ----- MALAYSIA -- (0.8%) Other Securities...................... 17,107,095 0.9% ------------ ----- MEXICO -- (1.1%) Other Securities...................... 22,261,864 1.1% ------------ ----- NETHERLANDS -- (2.1%) * ING Groep NV Sponsored ADR............ 263,004 3,760,957 0.2% Other Securities...................... 37,726,107 1.9% ------------ ----- TOTAL NETHERLANDS......................... 41,487,064 2.1% ------------ -----
24 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- NEW ZEALAND -- (0.2%) Other Securities.............. $ 4,657,562 0.2% ------------ ---- NORWAY -- (0.8%) Other Securities.............. 15,707,889 0.8% ------------ ---- PERU -- (0.0%) Other Securities.............. 497,269 0.0% ------------ ---- PHILIPPINES -- (0.3%) Other Securities.............. 7,041,555 0.4% ------------ ---- POLAND -- (0.4%) Other Securities.............. 7,481,979 0.4% ------------ ---- PORTUGAL -- (0.3%) Other Securities.............. 5,510,385 0.3% ------------ ---- RUSSIA -- (0.5%) Other Securities.............. 9,219,129 0.5% ------------ ---- SINGAPORE -- (1.0%) Other Securities.............. 20,443,625 1.0% ------------ ---- SOUTH AFRICA -- (1.6%) Other Securities.............. 31,272,003 1.6% ------------ ---- SOUTH KOREA -- (3.6%) Samsung Electronics Co., Ltd.. 4,072 5,309,716 0.3% Other Securities.............. 68,099,166 3.4% ------------ ---- TOTAL SOUTH KOREA................. 73,408,882 3.7% ------------ ---- SPAIN -- (2.1%) Banco Santander SA............ 756,343 7,522,335 0.4% Other Securities.............. 34,852,964 1.8% ------------ ---- TOTAL SPAIN....................... 42,375,299 2.2% ------------ ---- SWEDEN -- (2.5%) Other Securities.............. 50,149,912 2.5% ------------ ---- SWITZERLAND -- (5.4%) ABB, Ltd...................... 141,970 3,418,082 0.2% Credit Suisse Group AG........ 133,018 4,217,021 0.2% Nestle SA..................... 127,298 9,838,132 0.5% Novartis AG ADR............... 117,451 10,211,190 0.5% Roche Holding AG.............. 17,635 5,173,158 0.3% Swiss Re AG................... 51,583 4,510,473 0.2% UBS AG........................ 159,324 3,331,465 0.2% Zurich Insurance Group AG..... 21,258 6,095,916 0.3% Other Securities.............. 61,092,004 3.1% ------------ ---- TOTAL SWITZERLAND................. 107,887,441 5.5% ------------ ---- TAIWAN -- (3.5%) Other Securities.............. 70,653,941 3.6% ------------ ---- THAILAND -- (0.6%) Other Securities.............. 12,089,504 0.6% ------------ ----
25 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- TURKEY -- (0.4%) Other Securities.................... $ 7,833,075 0.4% -------------- ----- UNITED KINGDOM -- (15.1%) Anglo American P.L.C................ 139,396 3,726,487 0.2% AstraZeneca P.L.C. Sponsored ADR.... 53,810 4,253,680 0.2% Aviva P.L.C......................... 420,432 3,746,801 0.2% BG Group P.L.C...................... 258,899 5,237,347 0.3% BP P.L.C. Sponsored ADR............. 261,163 13,220,071 0.7% HSBC Holdings P.L.C................. 343,562 3,510,383 0.2% HSBC Holdings P.L.C. Sponsored ADR.. 225,098 11,552,029 0.6% Legal & General Group P.L.C......... 989,741 3,543,016 0.2% # Rio Tinto P.L.C. Sponsored ADR...... 72,416 3,931,465 0.2% # Royal Dutch Shell P.L.C. ADR........ 185,909 15,737,197 0.8% Standard Chartered P.L.C............ 170,094 3,683,766 0.2% Tesco P.L.C......................... 713,147 3,532,877 0.2% Vodafone Group P.L.C. Sponsored ADR. 187,163 7,104,725 0.4% Other Securities.................... 221,732,176 11.1% -------------- ----- TOTAL UNITED KINGDOM.................... 304,512,020 15.5% -------------- ----- UNITED STATES -- (0.0%) Other Securities.................... 263,242 0.0% -------------- ----- TOTAL COMMON STOCKS..................... 1,943,037,904 98.8% -------------- ----- PREFERRED STOCKS -- (0.7%) BRAZIL -- (0.6%) Other Securities.................... 12,246,549 0.6% -------------- ----- CHILE -- (0.0%) Other Securities.................... 71,947 0.0% -------------- ----- COLOMBIA -- (0.0%) Other Securities.................... 180,336 0.0% -------------- ----- GERMANY -- (0.1%) Other Securities.................... 1,346,494 0.1% -------------- ----- INDIA -- (0.0%) Other Securities.................... 14,185 0.0% -------------- ----- UNITED KINGDOM -- (0.0%) Other Securities.................... 30,109 0.0% -------------- ----- TOTAL PREFERRED STOCKS.................. 13,889,620 0.7% -------------- ----- RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) Other Securities.................... 8,848 0.0% -------------- ----- AUSTRIA -- (0.0%) Other Securities.................... -- 0.0% -------------- ----- BRAZIL -- (0.0%) Other Securities.................... 150 0.0% -------------- ----- FRANCE -- (0.0%) Other Securities.................... 94,897 0.0% -------------- ----- HONG KONG -- (0.0%) Other Securities.................... 7,884 0.0% -------------- -----
26 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- ISRAEL -- (0.0%) Other Securities................ $ 1,070 0.0% -------------- ------ PHILIPPINES -- (0.0%) Other Securities................ 1,055 0.0% -------------- ------ PORTUGAL -- (0.0%) Other Securities................ 13,578 0.0% -------------- ------ SOUTH KOREA -- (0.0%) Other Securities................ 29,724 0.0% -------------- ------ SPAIN -- (0.0%) Other Securities................ 160,008 0.0% -------------- ------ SWEDEN -- (0.0%) Other Securities................ 7,192 0.0% -------------- ------ TAIWAN -- (0.0%) Other Securities................ 36 0.0% -------------- ------ THAILAND -- (0.0%) Other Securities................ 9,281 0.0% -------------- ------ UNITED KINGDOM -- (0.0%) Other Securities................ 139,711 0.0% -------------- ------ TOTAL RIGHTS/WARRANTS.................. 473,434 0.0% -------------- ------ Shares/ Face Amount Value+ ------- ------ - (000) SECURITIES LENDING COLLATERAL -- (2.7%) (S)@ DFA Short Term Investment Fund.. 4,598,159 53,200,695 2.7% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $1,586,331,166)........................ $2,010,601,653 102.2% ============== ======
Summary of the Portfolio's investments as of April 30, 2014, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) ---------------------------------------------- Level 1 Level 2 Level 3 Total ------------ ------------ ------- ------------ Common Stocks Australia...... $ 1,981,411 $ 92,315,962 -- $ 94,297,373 Austria........ 87,015 7,853,460 -- 7,940,475 Belgium........ 2,323,210 18,683,410 -- 21,006,620 Brazil......... 29,589,013 -- -- 29,589,013 Canada......... 136,033,117 9,567 -- 136,042,684 Chile.......... 5,362,415 -- -- 5,362,415 China.......... 9,143,766 69,386,523 -- 78,530,289 Colombia....... 1,493,041 -- -- 1,493,041 Czech Republic. -- 1,058,876 -- 1,058,876 Denmark........ 945,020 21,560,681 -- 22,505,701 Egypt.......... -- 101,334 -- 101,334 Finland........ 258,959 24,625,497 -- 24,884,456 France......... 11,392,115 116,469,304 -- 127,861,419
27 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED
Investments in Securities (Market Value) -------------------------------------------------- Level 1 Level 2 Level 3 Total ------------ -------------- ------- -------------- Germany..................... $ 7,919,337 $ 98,910,960 -- $ 106,830,297 Greece...................... 11,066 3,698,071 -- 3,709,137 Hong Kong................... 38,174 38,326,899 -- 38,365,073 Hungary..................... 29,914 840,059 -- 869,973 India....................... 1,445,988 26,922,600 -- 28,368,588 Indonesia................... 222,828 11,427,336 -- 11,650,164 Ireland..................... 1,626,222 6,348,201 -- 7,974,423 Israel...................... 3,231,993 6,959,417 -- 10,191,410 Italy....................... 2,925,745 39,679,950 -- 42,605,695 Japan....................... 15,532,660 274,406,053 -- 289,938,713 Malaysia.................... -- 17,107,095 -- 17,107,095 Mexico...................... 22,260,255 1,609 -- 22,261,864 Netherlands................. 10,878,996 30,608,068 -- 41,487,064 New Zealand................. 16,337 4,641,225 -- 4,657,562 Norway...................... 1,688,502 14,019,387 -- 15,707,889 Peru........................ 497,269 -- -- 497,269 Philippines................. 64,500 6,977,055 -- 7,041,555 Poland...................... -- 7,481,979 -- 7,481,979 Portugal.................... -- 5,510,385 -- 5,510,385 Russia...................... 233,152 8,985,977 -- 9,219,129 Singapore................... -- 20,443,625 -- 20,443,625 South Africa................ 4,164,339 27,107,664 -- 31,272,003 South Korea................. 4,439,142 68,969,740 -- 73,408,882 Spain....................... 5,656,847 36,718,452 -- 42,375,299 Sweden...................... 1,240,279 48,909,633 -- 50,149,912 Switzerland................. 18,849,558 89,037,883 -- 107,887,441 Taiwan...................... 1,260,403 69,393,538 -- 70,653,941 Thailand.................... 12,089,504 -- -- 12,089,504 Turkey...................... 132,593 7,700,482 -- 7,833,075 United Kingdom.............. 82,321,610 222,190,410 -- 304,512,020 United States............... 150,393 112,849 -- 263,242 Preferred Stocks Brazil...................... 12,246,549 -- -- 12,246,549 Chile....................... 71,947 -- -- 71,947 Colombia.................... 180,336 -- -- 180,336 Germany..................... -- 1,346,494 -- 1,346,494 India....................... 14,185 -- -- 14,185 United Kingdom.............. -- 30,109 -- 30,109 Rights/Warrants Australia................... -- 8,848 -- 8,848 Austria..................... -- -- -- -- Brazil...................... -- 150 -- 150 France...................... -- 94,897 -- 94,897 Hong Kong................... -- 7,884 -- 7,884 Israel...................... -- 1,070 -- 1,070 Philippines................. -- 1,055 -- 1,055 Portugal.................... -- 13,578 -- 13,578 South Korea................. -- 29,724 -- 29,724 Spain....................... -- 160,008 -- 160,008 Sweden...................... -- 7,192 -- 7,192 Taiwan...................... 36 -- -- 36 Thailand.................... -- 9,281 -- 9,281 United Kingdom.............. -- 139,711 -- 139,711 Securities Lending Collateral -- 53,200,695 -- 53,200,695 ------------ -------------- -- -------------- TOTAL $410,049,741 $1,600,551,912 -- $2,010,601,653 ============ ============== == ==============
See accompanying Notes to Financial Statements. 28 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2014 (Unaudited) (Amounts in thousands, except share and per share amounts)
Tax-Managed U.S. Tax-Managed Tax-Managed Tax-Managed Marketwide U.S. Equity U.S. Targeted U.S. Small Value Portfolio Portfolio Value Portfolio Cap Portfolio --------------- ------------ --------------- ------------- ASSETS: Investments in Affiliated Investment Company at Value....... $ 3,398,993 $ -- $ -- $ -- Investments at Value (including $0, $116,442, $476,743 and $411,284 of securities on loan, respectively).......... $ -- $ 2,149,020 $ 3,388,743 $ 1,974,850 Temporary Cash Investments at Value & Cost.................. -- 6,797 11,898 9,743 Collateral from Securities on Loan Invested in Affiliate at Value & Cost............................................... -- 118,512 462,060 421,297 Cash........................................................ -- 110 4,266 1,628 Receivables: Investment Securities/Affiliated Investment Company Sold..................................................... -- 124 4,901 2,538 Dividends, Interest and Tax Reclaims...................... -- 1,708 815 703 Securities Lending Income................................. -- 38 142 181 Fund Shares Sold.......................................... 971 1,094 1,067 941 Prepaid Expenses and Other Assets........................... 34 20 37 25 ------------ ------------ ------------ ------------ Total Assets........................................... 3,399,998 2,277,423 3,873,929 2,411,906 ------------ ------------ ------------ ------------ LIABILITIES: Payables: Upon Return of Securities Loaned.......................... -- 118,512 462,060 421,297 Investment Securities/Affiliated Investment Company Purchased................................................ -- 3,987 6,832 4,425 Fund Shares Redeemed...................................... 1,036 711 765 603 Due to Advisor............................................ 415 356 1,178 823 Accrued Expenses and Other Liabilities...................... 123 157 177 109 ------------ ------------ ------------ ------------ Total Liabilities...................................... 1,574 123,723 471,012 427,257 ------------ ------------ ------------ ------------ NET ASSETS.................................................. $ 3,398,424 $ 2,153,700 $ 3,402,917 $ 1,984,649 ============ ============ ============ ============ SHARES OUTSTANDING, $0.01 PAR VALUE (1)..................... 141,430,536 104,938,538 105,188,321 55,492,465 ============ ============ ============ ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE............................................ $ 24.03 $ 20.52 $ 32.35 $ 35.76 ============ ============ ============ ============ Investments in Affiliated Investment Company at Cost........ $ 1,903,623 $ -- $ -- $ -- ------------ ------------ ------------ ------------ Investments at Cost......................................... $ -- $ 1,062,636 $ 1,917,776 $ 1,084,500 ============ ============ ============ ============ NET ASSETS CONSIST OF: Paid-In Capital............................................. $ 1,997,820 $ 1,449,975 $ 1,867,262 $ 1,060,432 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........................... 5,848 4,423 3,305 1,652 Accumulated Net Realized Gain (Loss)........................ (100,614) (387,082) 61,383 32,215 Net Unrealized Appreciation (Depreciation).................. 1,495,370 1,086,384 1,470,967 890,350 ------------ ------------ ------------ ------------ NET ASSETS.................................................. $ 3,398,424 $ 2,153,700 $ 3,402,917 $ 1,984,649 ============ ============ ============ ============ (1) NUMBER OF SHARES AUTHORIZED............................. 700,000,000 500,000,000 700,000,000 500,000,000 ============ ============ ============ ============
See accompanying Notes to Financial Statements. 29 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2014 (Unaudited) (Amounts in thousands, except share and per share amounts)
Tax-Managed T.A. World ex T.A. U.S. Core DFA U.S. Core Equity 2 International Equity Portfolio Value Portfolio Portfolio* -------------- --------------- ------------- ASSETS: Investments at Value (including $404,225, $102,369 and $54,106 of securities on loan, respectively)...................................................... $ 4,589,904 $ 3,047,813 $ 1,957,401 Temporary Cash Investments at Value & Cost................................... 19,562 -- -- Collateral from Securities on Loan Invested in Affiliate at Value & Cost..... 412,788 111,675 53,201 Foreign Currencies at Value.................................................. -- 8,322 4,151 Cash......................................................................... 753 4,818 3,527 Receivables: Investment Securities Sold................................................. 4,813 803 3,463 Dividends, Interest and Tax Reclaims....................................... 2,991 11,771 7,725 Securities Lending Income.................................................. 191 303 168 Fund Shares Sold........................................................... 3,880 1,174 1,863 Unrealized Gain on Foreign Currency Contracts................................ -- 10 6 Prepaid Expenses and Other Assets............................................ 65 41 49 -------------- ------------ ------------ Total Assets............................................................ 5,034,947 3,186,730 2,031,554 -------------- ------------ ------------ LIABILITIES: Payables: Upon Return of Securities Loaned........................................... 412,788 111,675 53,201 Investment Securities Purchased............................................ 12,544 8,339 8,475 Fund Shares Redeemed....................................................... 1,207 494 1,072 Due to Advisor............................................................. 825 1,237 638 Unrealized Loss on Foreign Currency Contracts................................ -- 2 2 Accrued Expenses and Other Liabilities....................................... 199 184 193 -------------- ------------ ------------ Total Liabilities....................................................... 427,563 121,931 63,581 -------------- ------------ ------------ NET ASSETS................................................................... $ 4,607,384 $ 3,064,799 $ 1,967,973 ============== ============ ============ SHARES OUTSTANDING, $0.01 PAR VALUE (1)...................................... 339,941,303 186,170,715 186,597,840 ============== ============ ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE....................................................................... $ 13.55 $ 16.46 $ 10.55 ============== ============ ============ Investments at Cost.......................................................... $ 2,739,163 $ 2,598,052 $ 1,533,130 ============== ============ ============ Foreign Currencies at Cost................................................... $ -- $ 8,282 $ 4,144 ============== ============ ============ NET ASSETS CONSIST OF: Paid-In Capital.............................................................. $ 2,707,461 $ 2,582,024 $ 1,528,968 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).......................................................... 8,772 25,334 13,041 Accumulated Net Realized Gain (Loss)......................................... 40,410 7,606 1,645 Net Unrealized Foreign Exchange Gain (Loss).................................. -- 34 41 Net Unrealized Appreciation (Depreciation)................................... 1,850,741 449,801 424,278 -------------- ------------ ------------ NET ASSETS................................................................... $ 4,607,384 $ 3,064,799 $ 1,967,973 ============== ============ ============ (1) NUMBER OF SHARES AUTHORIZED.............................................. 1,000,000,000 700,000,000 500,000,000 ============== ============ ============
---------- * See Note I in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 30 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2014 (Unaudited) (Amounts in thousands)
Tax-Managed U.S. Tax-Managed Marketwide Tax-Managed U.S. Targeted Value U.S. Equity Value Portfolio* Portfolio Portfolio ----------- ----------- ------------- Investment Income Net Investment Income Allocated from Affiliated Investment Company: Dividends................................................................ $ 29,063 -- -- Interest................................................................. 1 -- -- Income from Securities Lending........................................... 275 -- -- Expenses Allocated from Affiliated Investment Company.................... (3,419) -- -- -------- -------- -------- Total Net Investment Income Received from Affiliated Investment Company.............................................................. 25,920 -- -- -------- -------- -------- Fund Investment Income Dividends (Net of Foreign Taxes Withheld of $0, $2 and $2, respectively). -- $ 19,408 $ 19,104 Interest................................................................. -- 1 2 Income from Securities Lending........................................... -- 218 781 -------- -------- -------- Total Investment Income............................................... -- 19,627 19,887 -------- -------- -------- Fund Expenses Investment Advisory Services Fees........................................ -- 517 6,945 Administrative Services Fees............................................. 2,435 1,550 -- Accounting & Transfer Agent Fees......................................... 21 61 97 Custodian Fees........................................................... -- 15 21 Filing Fees.............................................................. 27 31 28 Shareholders' Reports.................................................... 26 15 26 Directors'/Trustees' Fees & Expenses..................................... 21 14 21 Professional Fees........................................................ 6 22 34 Other.................................................................... 12 15 17 -------- -------- -------- Total Expenses........................................................ 2,548 2,240 7,189 -------- -------- -------- Fees (Waived), Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C)........................................... -- 34 -- -------- -------- -------- Net Expenses............................................................. 2,548 2,274 7,189 -------- -------- -------- Net Investment Income (Loss)............................................. 23,372 17,353 12,698 -------- -------- -------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold............................................. 12,786 6,695 62,719 Futures................................................................ -- -- (690) Change in Unrealized Appreciation (Depreciation) of: Investment Securities.................................................. 223,817 130,667 158,099 -------- -------- -------- Net Realized and Unrealized Gain (Loss).................................. 236,603 137,362 220,128 -------- -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations............ $259,975 $154,715 $232,826 ======== ======== ========
---------- * Investment Income and Realized and Unrealized Gain (Loss) were allocated from the Portfolio's Master Fund (Affiliated Investment Company). See accompanying Notes to Financial Statements. 31 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2014 (Unaudited) (Amounts in thousands)
Tax-Managed DFA T.A. World ex Tax-Managed T.A. U.S. Core International U.S. Core U.S. Small Equity 2 Value Equity Cap Portfolio Portfolio Portfolio Portfolio ------------- -------------- ------------- ------------- Investment Income Dividends (Net of Foreign Taxes Withheld of $2, $3, $3,837 and $1,985, respectively).................................. $10,899 $ 36,980 $ 87,465 $29,078 Interest.................................................... -- -- 2 -- Income from Securities Lending.............................. 1,101 1,103 756 602 ------- -------- -------- ------- Total Investment Income.................................. 12,000 38,083 88,223 29,680 ------- -------- -------- ------- Fund Expenses Investment Advisory Services Fees........................... 4,884 4,757 7,136 3,586 Accounting & Transfer Agent Fees............................ 58 126 89 58 Custodian Fees.............................................. 17 31 154 269 Filing Fees................................................. 22 62 46 34 Shareholders' Reports....................................... 18 23 26 15 Directors'/Trustees' Fees & Expenses........................ 12 27 18 11 Professional Fees........................................... 20 42 44 32 Other....................................................... 13 23 22 22 ------- -------- -------- ------- Total Expenses........................................... 5,044 5,091 7,535 4,027 ------- -------- -------- ------- Fees Paid Indirectly........................................ -- -- (2) (2) ------- -------- -------- ------- Net Expenses................................................ 5,044 5,091 7,533 4,025 ------- -------- -------- ------- Net Investment Income (Loss)................................ 6,956 32,992 80,690 25,655 ------- -------- -------- ------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold*............................... 34,089 43,315 20,254 4,191 Foreign Currency Transactions............................. -- -- 150 (94) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency................ 46,036 249,798 46,580 46,788 Translation of Foreign Currency Denominated Amounts....... -- -- (44) 2 ------- -------- -------- ------- Net Realized and Unrealized Gain (Loss)..................... 80,125 293,113 66,940 50,887 ------- -------- -------- ------- Net Increase (Decrease) in Net Assets Resulting from Operations................................................... $87,081 $326,105 $147,630 $76,542 ======= ======== ======== =======
---------- * Net of foreign capital gain taxes withheld of $0, $0, $2 and $2, respectively. See accompanying Notes to Financial Statements. 32 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
Tax-Managed U.S. Tax-Managed U.S. Equity Tax-Managed U.S. Targeted Marketwide Value Portfolio Portfolio Value Portfolio ------------------------- ---------------------- ------------------------ Six Months Year Six Months Year Six Months Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31, 2014 2013 2014 2013 2014 2013 ----------- ---------- ----------- ---------- ----------- ---------- (Unaudited) (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)........ $ 23,372 $ 45,063 $ 17,353 $ 33,279 $ 12,698 $ 34,184 Net Realized Gain (Loss) on: Investment Securities Sold/ Affiliated Investment Company Sold...................... 12,786 28,282 6,695 31,573 62,719 90,493 Futures............................ -- -- -- -- (690) (469) Change in Unrealized Appreciation (Depreciation) of: Investment Securities/Affiliated Investment Company................ 223,817 749,568 130,667 385,510 158,099 808,724 ---------- ---------- ---------- ---------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations....................... 259,975 822,913 154,715 450,362 232,826 932,932 ---------- ---------- ---------- ---------- ---------- ---------- Distributions From: Net Investment Income............... (24,231) (45,918) (17,137) (33,403) (14,162) (34,487) Net Long-Term Gains................. -- -- -- -- (83,909) (51,974) ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions............... (24,231) (45,918) (17,137) (33,403) (98,071) (86,461) ---------- ---------- ---------- ---------- ---------- ---------- Capital Share Transactions (1): Shares Issued....................... 242,950 413,061 124,380 292,819 195,131 351,960 Shares Issued in Lieu of Cash Distributions...................... 23,775 44,666 16,287 31,525 97,041 85,408 Shares Redeemed..................... (214,481) (469,582) (116,006) (272,253) (225,063) (461,353) ---------- ---------- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Capital Share Transactions..................... 52,244 (11,855) 24,661 52,091 67,109 (23,985) ---------- ---------- ---------- ---------- ---------- ---------- Total Increase (Decrease) in Net Assets....................... 287,988 765,140 162,239 469,050 201,864 822,486 Net Assets Beginning of Period................. 3,110,436 2,345,296 1,991,461 1,522,411 3,201,053 2,378,567 ---------- ---------- ---------- ---------- ---------- ---------- End of Period....................... $3,398,424 $3,110,436 $2,153,700 $1,991,461 $3,402,917 $3,201,053 ========== ========== ========== ========== ========== ========== (1) Shares Issued and Redeemed: Shares Issued....................... 10,398 21,510 6,227 17,525 6,101 13,343 Shares Issued in Lieu of Cash Distributions...................... 1,023 2,374 823 1,885 3,137 3,664 Shares Redeemed..................... (9,182) (24,667) (5,811) (16,115) (7,096) (17,890) ---------- ---------- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed......................... 2,239 (783) 1,239 3,295 2,142 (883) ========== ========== ========== ========== ========== ========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).............................. $ 5,848 $ 6,707 $ 4,423 $ 4,207 $ 3,305 $ 4,774
Tax-Managed U.S. Small Cap Portfolio ---------------------- Six Months Year Ended Ended April 30, Oct. 31, 2014 2013 ----------- ---------- (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)........ $ 6,956 $ 18,958 Net Realized Gain (Loss) on: Investment Securities Sold/ Affiliated Investment Company Sold...................... 34,089 66,451 Futures............................ -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities/Affiliated Investment Company................ 46,036 440,389 ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations....................... 87,081 525,798 ---------- ---------- Distributions From: Net Investment Income............... (7,639) (19,758) Net Long-Term Gains................. -- -- ---------- ---------- Total Distributions............... (7,639) (19,758) ---------- ---------- Capital Share Transactions (1): Shares Issued....................... 140,960 265,581 Shares Issued in Lieu of Cash Distributions...................... 7,496 19,249 Shares Redeemed..................... (116,184) (249,201) ---------- ---------- Net Increase (Decrease) from Capital Share Transactions..................... 32,272 35,629 ---------- ---------- Total Increase (Decrease) in Net Assets....................... 111,714 541,669 Net Assets Beginning of Period................. 1,872,935 1,331,266 ---------- ---------- End of Period....................... $1,984,649 $1,872,935 ========== ========== (1) Shares Issued and Redeemed: Shares Issued....................... 3,921 9,157 Shares Issued in Lieu of Cash Distributions...................... 212 725 Shares Redeemed..................... (3,236) (8,677) ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed......................... 897 1,205 ========== ========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).............................. $ 1,652 $ 2,335
See accompanying Notes to Financial Statements. 33 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
T.A. U.S. Core Equity 2 Tax-Managed DFA T.A. World ex U.S. Core Portfolio International Value Portfolio Equity Portfolio ---------------------- ---------------------------- ---------------------- Six Months Year Six Months Year Six Months Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31, 2014 2013 2014 2013 2014 2013 ----------- ---------- ----------- ---------- ----------- ---------- (Unaudited) (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)............ $ 32,992 $ 59,525 $ 80,690 $ 62,438 $ 25,655 $ 36,104 Net Realized Gain (Loss) on: Investment Securities Sold*............ 43,315 40,753 20,254 21,533 4,191 4,345 Foreign Currency Transactions.......... -- -- 150 (449) (94) (309) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.............................. 249,798 894,300 46,580 480,686 46,788 263,265 Translation of Foreign Currency Denominated Amounts................... -- -- (44) 267 2 82 ---------- ---------- ---------- ---------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations.......................... 326,105 994,578 147,630 564,475 76,542 303,487 ---------- ---------- ---------- ---------- ---------- ---------- Distributions From: Net Investment Income................... (30,768) (58,615) (60,930) (64,636) (16,753) (37,052) Net Long-Term Gains..................... (39,638) (3,496) -- -- (4,097) (436) ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions.................. (70,406) (62,111) (60,930) (64,636) (20,850) (37,488) ---------- ---------- ---------- ---------- ---------- ---------- Capital Share Transactions (1): Shares Issued........................... 465,767 772,713 306,877 540,616 283,576 401,186 Shares Issued in Lieu of Cash Distributions.......................... 70,265 61,302 60,161 63,075 20,781 36,576 Shares Redeemed......................... (288,100) (515,963) (147,323) (316,534) (117,971) (218,473) ---------- ---------- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Capital Share Transactions.......... 247,932 318,052 219,715 287,157 186,386 219,289 ---------- ---------- ---------- ---------- ---------- ---------- Total Increase (Decrease) in Net Assets.............................. 503,631 1,250,519 306,415 786,996 242,078 485,288 Net Assets Beginning of Period..................... 4,103,753 2,853,234 2,758,384 1,971,388 1,725,895 1,240,607 ---------- ---------- ---------- ---------- ---------- ---------- End of Period........................... $4,607,384 $4,103,753 $3,064,799 $2,758,384 $1,967,973 $1,725,895 ========== ========== ========== ========== ========== ========== (1) Shares Issued and Redeemed: Shares Issued........................... 35,138 70,037 19,059 37,954 27,730 42,914 Shares Issued in Lieu of Cash Distributions.......................... 5,440 5,642 3,735 4,452 2,072 3,951 Shares Redeemed......................... (21,847) (47,040) (9,153) (22,556) (11,575) (23,452) ---------- ---------- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed.......... 18,731 28,639 13,641 19,850 18,227 23,413 ========== ========== ========== ========== ========== ========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)....................... $ 8,772 $ 6,550 $ 25,334 $ 5,574 $ 13,041 $ 4,137
---------- * Net of foreign capital gain taxes withheld of $0, $0, $2, $0, $2 and $0, respectively. See accompanying Notes to Financial Statements. 34 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
Tax-Managed U.S. Marketwide Value Portfolio ----------------------------------------------------------------------------- Six Months Year Year Year Year Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 -------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period. $ 22.35 $ 16.76 $ 14.42 $ 13.78 $ 11.61 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A).... 0.17 0.32 0.28 0.22 0.16 Net Gains (Losses) on Securities (Realized and Unrealized).......... 1.68 5.60 2.33 0.63 2.17 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations....................... 1.85 5.92 2.61 0.85 2.33 -------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income............... (0.17) (0.33) (0.27) (0.21) (0.16) ---------- ---------- ---------- ---------- ---------- Total Distributions............... (0.17) (0.33) (0.27) (0.21) (0.16) -------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period....... $ 24.03 $ 22.35 $ 16.76 $ 14.42 $ 13.78 ===================================== =========== ========== ========== ========== ========== Total Return......................... 8.32%(C) 35.71% 18.34% 6.15% 20.17% -------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)......................... $3,398,424 $3,110,436 $2,345,296 $2,063,119 $1,896,941 Ratio of Expenses to Average Net Assets.............................. 0.37%(B)(D) 0.37%(B) 0.38%(B) 0.38%(B) 0.38%(B) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumptions of Expenses and/or Recovery of Previously Waived Fees)............................... 0.37%(B)(D) 0.37%(B) 0.38%(B) 0.38%(B) 0.38%(B) Ratio of Net Investment Income to Average Net Assets.................. 1.44%(D) 1.66% 1.83% 1.45% 1.24% Portfolio Turnover Rate.............. N/A N/A N/A N/A N/A --------------------------------------------------------------------------------------------------------------------
----------- Year Ended Oct. 31, 2009 ----------------------------------------------------- Net Asset Value, Beginning of Period. $ 10.59 ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A).... 0.21 Net Gains (Losses) on Securities (Realized and Unrealized).......... 1.06 ---------- Total from Investment Operations....................... 1.27 ----------------------------------------------------- Less Distributions ------------------ Net Investment Income............... (0.25) ---------- Total Distributions............... (0.25) ----------------------------------------------------- Net Asset Value, End of Period....... $ 11.61 ===================================== ========== Total Return......................... 12.54% ----------------------------------------------------- Net Assets, End of Period (thousands)......................... $1,618,256 Ratio of Expenses to Average Net Assets.............................. 0.40%(B) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumptions of Expenses and/or Recovery of Previously Waived Fees)............................... 0.40%(B) Ratio of Net Investment Income to Average Net Assets.................. 2.07% Portfolio Turnover Rate.............. N/A -----------------------------------------------------
Tax-Managed U.S. Equity Portfolio ------------------------------------------------------------------------------ Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 2009 ------------------------------------------------------------------------------------------------------------------------ (Unaudited) Net Asset Value, Beginning of Period. $ 19.20 $ 15.16 $ 13.48 $ 12.70 $ 10.94 $ 10.36 ---------- ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A).... 0.17 0.32 0.27 0.23 0.20 0.22 Net Gains (Losses) on Securities (Realized and Unrealized).......... 1.31 4.05 1.67 0.77 1.76 0.60 ---------- ---------- ---------- ---------- ---------- ---------- Total from Investment Operations....................... 1.48 4.37 1.94 1.00 1.96 0.82 ------------------------------------------------------------------------------------------------------------------------ Less Distributions ------------------ Net Investment Income............... (0.16) (0.33) (0.26) (0.22) (0.20) (0.24) ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions............... (0.16) (0.33) (0.26) (0.22) (0.20) (0.24) ------------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Period....... $ 20.52 $ 19.20 $ 15.16 $ 13.48 $ 12.70 $ 10.94 ===================================== =========== ========== ========== ========== ========== ========== Total Return......................... 7.77%(C) 29.15% 14.57% 7.92% 18.10% 8.30% ------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands)......................... $2,153,700 $1,991,461 $1,522,411 $1,364,068 $1,286,236 $1,141,449 Ratio of Expenses to Average Net Assets.............................. 0.22%(D) 0.22% 0.22% 0.22%** 0.22%(B) 0.22%(B) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumptions of Expenses and/or Recovery of Previously Waived Fees)............................... 0.22%(D) 0.22% 0.22% 0.23%** 0.23%(B) 0.26%(B) Ratio of Net Investment Income to Average Net Assets.................. 1.68%(D) 1.89% 1.87% 1.65% 1.70% 2.24% Portfolio Turnover Rate.............. 0%(C) 3% 7% 11%* N/A N/A ------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. * For the period February 28, 2011 through October 31, 2011. Effective February 28, 2011, the Portfolio invests directly in securities rather than through The Tax-Managed U.S. Equity Series. **Represents the combined ratios for the Portfolio and, for the period November 1, 2010 through February 27, 2011, its respective pro-rata share of The Tax-Managed U.S. Equity Series. See accompanying Notes to Financial Statements. 35 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
Tax-Managed U.S. Targeted Value Portfolio ------------------------------------------------------------------------- Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 2009 ---------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period...... $ 31.06 $ 22.89 $ 20.02 $ 19.09 $ 14.96 $ 14.41 ---------- ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........ 0.12 0.33 0.21 0.14 0.11 0.14 Net Gains (Losses) on Securities (Realized and Unrealized).............. 2.13 8.69 2.85 0.93 4.13 0.60 ---------- ---------- ---------- ---------- ---------- ---------- Total from Investment Operations....... 2.25 9.02 3.06 1.07 4.24 0.74 ---------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income................... (0.14) (0.34) (0.19) (0.14) (0.11) (0.19) Net Realized Gains...................... (0.82) (0.51) -- -- -- -- ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions.................... (0.96) (0.85) (0.19) (0.14) (0.11) (0.19) ---------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period............ $ 32.35 $ 31.06 $ 22.89 $ 20.02 $ 19.09 $ 14.96 ========================================== =========== ========== ========== ========== ========== ========== Total Return.............................. 7.37%(C) 40.60% 15.39% 5.58% 28.43% 5.41% ---------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)..... $3,402,917 $3,201,053 $2,378,567 $2,191,055 $2,145,546 $1,700,343 Ratio of Expenses to Average Net Assets................................... 0.43%(D) 0.44% 0.44% 0.44% 0.45% 0.47% Ratio of Net Investment Income to Average Net Assets............................... 0.77%(D) 1.24% 0.98% 0.66% 0.63% 1.04% Portfolio Turnover Rate................... 4%(C) 6% 12% 21% 26% 34% ----------------------------------------------------------------------------------------------------------------------
Tax-Managed U.S. Small Cap Portfolio ----------------------------------------------------------------------- Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 2009 ------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period...... $ 34.31 $ 24.93 $ 22.07 $ 20.47 $ 16.26 $ 15.83 ---------- ---------- ---------- ---------- ---------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........ 0.13 0.35 0.21 0.15 0.11 0.13 Net Gains (Losses) on Securities (Realized and Unrealized).............. 1.46 9.40 2.85 1.59 4.20 0.47 ---------- ---------- ---------- ---------- ---------- -------- Total from Investment Operations....... 1.59 9.75 3.06 1.74 4.31 0.60 ------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income................... (0.14) (0.37) (0.20) (0.14) (0.10) (0.17) Net Realized Gains...................... -- -- -- -- -- -- ---------- ---------- ---------- ---------- ---------- -------- Total Distributions.................... (0.14) (0.37) (0.20) (0.14) (0.10) (0.17) ------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period............ $ 35.76 $ 34.31 $ 24.93 $ 22.07 $ 20.47 $ 16.26 ========================================== =========== ========== ========== ========== ========== ======== Total Return.............................. 4.64%(C) 39.55% 13.95% 8.50% 26.61% 3.98% ------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)..... $1,984,649 $1,872,935 $1,331,266 $1,212,285 $1,141,494 $957,145 Ratio of Expenses to Average Net Assets................................... 0.52%(D) 0.52% 0.53% 0.53% 0.53% 0.55% Ratio of Net Investment Income to Average Net Assets............................... 0.71%(D) 1.20% 0.90% 0.64% 0.58% 0.88% Portfolio Turnover Rate................... 3%(C) 7% 17% 22% 27% 28% -------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 36 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
T.A. U.S. Core Equity 2 Portfolio ------------------------------------------------------------------------- -------------- Six Months Year Year Year Year Year Six Months Ended Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, April 30, 2014 2013 2012 2011 2010 2009 2014 ------------------------------------------------------------------------------------------------------------------------------- (Unaudited) (Unaudited) Net Asset Value, Beginning of Period............................. $ 12.78 $ 9.75 $ 8.63 $ 8.18 $ 6.83 $ 6.31 $ 15.99 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A).. 0.10 0.19 0.16 0.12 0.11 0.11 0.45 Net Gains (Losses) on Securities (Realized and Unrealized)........ 0.88 3.04 1.11 0.45 1.35 0.52 0.36 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total from Investment Operations...................... 0.98 3.23 1.27 0.57 1.46 0.63 0.81 ------------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income............. (0.09) (0.19) (0.15) (0.12) (0.11) (0.11) (0.34) Net Realized Gains................ (0.12) (0.01) -- -- -- -- -- ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions.............. (0.21) (0.20) (0.15) (0.12) (0.11) (0.11) (0.34) ------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period...... $ 13.55 $ 12.78 $ 9.75 $ 8.63 $ 8.18 $ 6.83 $ 16.46 ==================================== =========== ========== ========== ========== ========== ========== =========== Total Return........................ 7.81%(C) 33.58% 14.82% 6.97% 21.49% 10.28% 5.11%(C) ------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)........................ $4,607,384 $4,103,753 $2,853,234 $2,432,872 $2,014,584 $1,444,886 $3,064,799 Ratio of Expenses to Average Net Assets............................. 0.24%(D) 0.24% 0.24% 0.24% 0.25% 0.28% 0.53%(D) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly).......... 0.24%(D) 0.24% 0.24% 0.24% 0.25% 0.28% 0.53%(D) Ratio of Net Investment Income to Average Net Assets................. 1.53%(D) 1.72% 1.71% 1.39% 1.45% 1.82% 5.65%(D) Portfolio Turnover Rate............. 2%(C) 2% 6% 6% 5% 5% 7%(C) -------------------------------------------------------------------------------------------------------------------------------
Tax-Managed DFA International Value Portfolio ------------------------------------------------------------ Year Year Year Year Year Ended Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2013 2012 2011 2010 2009 ------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period............................. $ 12.91 $ 12.99 $ 14.53 $ 13.49 $ 10.55 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A).. 0.39 0.42 0.46 0.31 0.32 Net Gains (Losses) on Securities (Realized and Unrealized)........ 3.09 (0.10) (1.55) 1.03 3.00 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations...................... 3.48 0.32 (1.09) 1.34 3.32 ------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income............. (0.40) (0.40) (0.45) (0.30) (0.38) Net Realized Gains................ -- -- -- -- -- ---------- ---------- ---------- ---------- ---------- Total Distributions.............. (0.40) (0.40) (0.45) (0.30) (0.38) ------------------------------------------------------------------------------------------------- Net Asset Value, End of Period...... $ 15.99 $ 12.91 $ 12.99 $ 14.53 $ 13.49 ==================================== ========== ========== ========== ========== ========== Total Return........................ 27.39% 2.77% (7.81)% 10.34% 32.27% ------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)........................ $2,758,384 $1,971,388 $1,843,496 $1,834,003 $1,637,834 Ratio of Expenses to Average Net Assets............................. 0.53% 0.55% 0.55% 0.55% 0.56% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly).......... 0.53% 0.55% 0.55% 0.55% 0.56% Ratio of Net Investment Income to Average Net Assets................. 2.70% 3.32% 3.16% 2.29% 2.92% Portfolio Turnover Rate............. 12% 18% 16% 28% 24% -------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 37 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
T.A. World ex U.S. Core Equity Portfolio ---------------------------------------------------------------------- Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 2009 -------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period...... $ 10.25 $ 8.56 $ 8.39 $ 9.31 $ 8.13 $ 5.85 ---------- ---------- ---------- ---------- -------- -------- Income from Investment Operations ---------------------- Net Investment Income (Loss) (A)............. 0.15 0.23 0.23 0.25 0.17 0.16 Net Gains (Losses) on Securities (Realized and Unrealized)........ 0.27 1.70 0.16 (0.93) 1.17 2.27 ---------- ---------- ---------- ---------- -------- -------- Total from Investment Operations............ 0.42 1.93 0.39 (0.68) 1.34 2.43 -------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income.... (0.10) (0.24) (0.22) (0.24) (0.16) (0.15) Net Realized Gains....... (0.02) -- -- -- -- -- ---------- ---------- ---------- ---------- -------- -------- Total Distributions.... (0.12) (0.24) (0.22) (0.24) (0.16) (0.15) -------------------------------------------------------------------------------------------------- Net Asset Value, End of Period................... $ 10.55 $ 10.25 $ 8.56 $ 8.39 $ 9.31 $ 8.13 ======================== =========== ========== ========== ========== ======== ======== Total Return.............. 4.16%(C) 22.88% 4.90% (7.55)% 16.78% 42.13% -------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)....... $1,967,973 $1,725,895 $1,240,607 $1,042,981 $966,999 $668,728 Ratio of Expenses to Average Net Assets....... 0.45%(D) 0.46% 0.49% 0.48% 0.48% 0.54% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly).............. 0.45%(D) 0.46% 0.49% 0.48% 0.48% 0.51% Ratio of Net Investment Income to Average Net Assets................... 2.86%(D) 2.45% 2.77% 2.63% 2.00% 2.38% Portfolio Turnover Rate... 3%(C) 2% 3% 5% 2% 5% --------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 38 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 seventy-seven operational portfolios, seven of which (the "Portfolios"), are included in this section of the report. The remaining seventy portfolios are presented in separate reports. Tax-Managed U.S. Marketwide Value Portfolio (the "Feeder Fund") primarily invests its assets in The Tax-Managed U.S. Marketwide Value Series (the "Series"), a corresponding series of The DFA Investment Trust Company. At April 30, 2014, the Feeder Fund owned 71% of its 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. Tax-Managed U.S. Equity Portfolio, Tax-Managed U.S. Targeted Value Portfolio, Tax-Managed U.S. Small Cap Portfolio, T.A. U.S. Core Equity 2 Portfolio, Tax-Managed DFA International Value Portfolio and T.A. World ex U.S. Core Equity Portfolio are organized as stand-alone registered investment companies. Prior to February 28, 2011, Tax-Managed U.S. Equity Portfolio invested substantially all of its assets in The Tax-Managed U.S. Equity Series (the "Equity Series"). At the close of business February 25, 2011, Tax-Managed U.S. Equity Portfolio received its prorata share of cash and securities from the Equity Series in a complete liquidation of its interest in the Equity Series. Effective February 28, 2011, Tax-Managed U.S. Equity Portfolio invests directly in securities rather than through the Equity Series and maintains the same investment objective. 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 Tax-Managed U.S. Equity Portfolio, Tax-Managed U.S. Targeted Value Portfolio, Tax-Managed U.S. Small Cap Portfolio and T.A. U.S. Core Equity 2 Portfolio (the "Domestic Equity Portfolios") and Tax-Managed DFA International Value Portfolio and T.A. World ex U.S. Core Equity Portfolio (the "International Equity Portfolios"), including over-the-counter securities, are valued at the last quoted sale price at the close of the exchanges on which they are principally traded (official closing price). 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 39 there is no last reported sale price or NOCP for the day, the Domestic Equity Portfolios and the International Equity Portfolios value the securities at the mean of the most recent quoted bid and asked prices which approximate fair value. Price information on listed securities is taken from the exchange where the security is primarily traded. Generally, securities issued by open-end 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. 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 Investment Committee of Dimensional Fund Advisors LP) occur before the net asset value 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, 11:00 p.m. PT, the previous day), which is fourteen hours prior to the close of the NYSE (normally, 1:00 p.m. PT) 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 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 the International Equity Portfolios use 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 Portfolios 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. Tax-Managed U.S. Marketwide Value Portfolio's investment reflects its proportionate interest in the net assets of the Series. 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. Valuation hierarchy tables have 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 Portfolios recognize transfers between the levels as of the end of the period. As of April 30, 2014, the T.A. World Ex US Core Equity Portfolio had significant transfers of securities with a total value of $29,065 (in thousands) that transferred from Level 2 to Level 1 because fair value procedures were no longer applied. At October 31, 2013, the fair market value 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. 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 40 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 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 International Equity Portfolios and the U.S. dollar equivalent amounts actually received or paid. 3. Deferred Compensation Plan: Each eligible Director/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 Directors/Trustees may defer payment of all or a portion of their total fees earned as a Director/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 Director/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 Director/Trustee shall have the right in a notice of election (the "Notice") to defer the receipt of the Director's/Trustee's deferred compensation until a date specified by such Director/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 Director/Trustee ceases to be a member of the Board; and (ii) five years following the effective date of the Director's/Trustee's first deferral election. If a Director/Trustee who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Director's/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 Director/Trustee ceases to be a member of the Board (unless the Director/Trustee files an amended Notice selecting a different distribution date). As of April 30, 2014, none of the Directors/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 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 Portfolios estimate 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 a Portfolio are directly charged. Common expenses of the Fund or Portfolios are allocated using methods approved by the Board, generally based on average net assets. The Feeder Fund recognizes its pro-rata share of net investment income and realized and unrealized gains/losses of investment securities, on a daily basis, from its Series, which is treated as a partnership for federal income tax purposes. 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 International Equity 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 41 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. T.A. World ex U.S. Core Equity Portfolio 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 administrative services to the Feeder Fund and Tax-Managed U.S. Equity Portfolio, including supervision of services provided by others, providing information to shareholders and the Board, and other administrative services. The Advisor provides investment advisory services to the Portfolios. The Advisor receives no additional compensation for the investment advisory services it provides to the Feeder Fund. For the six months ended April 30, 2014, the Portfolios' administrative services fees or investment advisory services fees were accrued daily and paid monthly to the Advisor based on the following effective annual rates of average daily net assets:
Administrative Advisory Services Fees Services Fees -------------- ------------- Tax-Managed U.S. Marketwide Value Portfolio... 0.15% -- Tax-Managed U.S. Equity Portfolio*............ 0.15% 0.05% Tax-Managed U.S. Targeted Value Portfolio..... -- 0.42% Tax-Managed U.S. Small Cap Portfolio.......... -- 0.50% T.A. U.S. Core Equity 2 Portfolio............. -- 0.22% Tax-Managed DFA International Value Portfolio. -- 0.50% T.A. World ex U.S. Core Equity Portfolio...... -- 0.40%
Prior to February 28, 2014, the Portfolio was provided administrative services under an administrative agreement. Effective February 28, 2014, the administrative agreement and investment advisory agreement for the Portfolio was combined into an investment management agreement that provides for an investment management fee, equal to the Portfolio's previous investment advisory services fee and administrative services fee, payable to the Advisor for both investment advisory services and administrative services. 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 Tax-Managed U.S. Equity Portfolio, T.A. U.S. Core Equity 2 Portfolio, and T.A. World ex U.S. Core Equity Portfolio, as described in the notes below. The Fee Waiver Agreement for the Portfolios below will remain in effect through February 28, 2015, 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. For the six months ended April 30, 2014, the Portfolios listed 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 listed, 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 recovery.
Previously Recovery Waived Fees/ Expense of Previously Expenses Assumed Limitation Waived Fees/ Subject to Future Amount Expenses Assumed Recovery ---------- ---------------- ----------------- Tax-Managed U.S. Equity Portfolio (1)........ 0.22% $34 $173 T.A. U.S. Core Equity 2 Portfolio (2)........ 0.30% -- -- T.A. World ex U.S. Core Equity Portfolio (3). 0.60% -- --
(1) The Advisor has contractually agreed to waive its management fee and assume the ordinary operating expenses of the Portfolio (excluding the expenses that the Portfolio incurs indirectly through investment in other investment companies) ("Portfolio Expenses") to the extent necessary to reduce the Portfolio's expenses when its 42 total operating expenses exceed 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 for 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 Portfolio Expenses to exceed the Expense Limitation Amount. (2) The Advisor has contractually agreed to waive all or a portion of its advisory fee and to assume the Portfolio's ordinary operating expenses (excluding the expenses the Portfolio incurs indirectly through investment in other investment companies and excluding any applicable 12b-1 fees) ("Portfolio Expenses") to the extent necessary to limit the Portfolio Expenses to the rate listed above as a percentage of average net assets 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 listed above, the Advisor retains the right to recover any fees previously waived and/or any expenses previously assumed to the extent that such recovery will not cause the Portfolio's annualized Portfolio Expenses to exceed the Expense Limitation Amount. (3) The Advisor has contractually agreed to waive all or a portion of its advisory 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 its investment in unaffiliated investment companies and excluding any applicable 12b-1 fees) ("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 annualized 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 any expenses previously assumed to the extent that such recovery will not cause the Portfolio's annualized Portfolio Expenses to exceed the Expense Limitation Amount. Earned Income Credit: In addition, the Portfolios have entered into arrangements with their custodian whereby net interest earned on uninvested cash balances was used to reduce a portion of each Portfolio's custody expenses. Custody expense in the accompanying financial statements is presented before reduction for credits. During the six months ended April 30, 2014, expenses reduced were as follows (amounts in thousands):
Fees Paid Indirectly ---------- Tax-Managed DFA International Value Portfolio. $2 T.A. World ex U.S. Core Equity Portfolio...... 2
Fees Paid to Officers and Directors/Trustees: Certain Officers and Directors/Trustees of the Advisor are also Officers and Directors/Trustees of the Fund; however, such Officers and Directors/Trustees (with the exception of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund. For the six months ended April 30, 2014, the total related amounts paid to the CCO by the Fund were $130 (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, 2014, 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 (amounts in thousands): Tax-Managed U.S. Marketwide Value Portfolio... $83 Tax-Managed U.S. Equity Portfolio............. 96 Tax-Managed U.S. Targeted Value Portfolio..... 87 Tax-Managed U.S. Small Cap Portfolio.......... 50 T.A. U.S. Core Equity 2 Portfolio............. 83 Tax-Managed DFA International Value Portfolio. 76 T.A. World ex U.S. Core Equity Portfolio...... 36
43 E. Purchases and Sales of Securities: For the six months ended April 30, 2014, the Portfolios made the following purchases and sales of investment securities, other than short-term securities and U.S. government securities (amounts in thousands):
Purchases Sales --------- -------- Tax-Managed U.S. Equity Portfolio............. $ 38,267 $ 8,224 Tax-Managed U.S. Targeted Value Portfolio..... 138,723 132,718 Tax-Managed U.S. Small Cap Portfolio.......... 99,482 50,822 T.A. U.S. Core Equity 2 Portfolio............. 300,148 74,756 Tax-Managed DFA International Value Portfolio. 402,348 198,348 T.A. World ex U.S. Core Equity Portfolio...... 233,668 48,106
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 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, 2013, primarily attributable to net foreign currency gains/losses, realized gains on securities considered to be "passive foreign investment companies", the utilization of accumulated earnings and profits distributed to shareholders on redemptions of shares as part of the dividends paid deduction for income tax purposes, non-deductible expenses, foreign capital gains tax, tax equalization, were reclassified to the following accounts. These reclassifications had no effect on net assets or net asset value per share (amounts in thousands):
Increase Increase (Decrease) (Decrease) Increase Undistributed Accumulated (Decrease) Net Investment Net Realized Paid-In Capital Income Gains (Losses) --------------- -------------- -------------- Tax-Managed U.S. Marketwide Value Portfolio... -- $ 411 $ (411) Tax-Managed U.S. Equity Portfolio............. -- 91 (91) Tax-Managed U.S. Targeted Value Portfolio..... $4,040 2,090 (6,130) Tax-Managed U.S. Small Cap Portfolio.......... -- 993 (993) T.A. U.S. Core Equity 2 Portfolio............. 2,201 (884) (1,317) Tax-Managed DFA International Value Portfolio. -- 15 (15) T.A. World ex U.S. Core Equity Portfolio...... 825 (763) (62)
The tax character of dividends and distributions declared and paid during the years ended October 31, 2012 and October 31, 2013 were as follows (amounts in thousands):
Net Investment Income and Short-Term Long-Term Capital Gains Capital Gains Total -------------- ------------- ------- Tax-Managed U.S. Marketwide Value Portfolio 2012........................................ $38,619 $38,619 2013........................................ 45,918 -- 45,918
44
Net Investment Income and Short-Term Long-Term Capital Gains Capital Gains Total -------------- ------------- ------- Tax-Managed U.S. Equity Portfolio 2012.......................................... $26,579 $26,579 2013.......................................... 33,403 -- 33,403 Tax-Managed U.S. Targeted Value Portfolio 2012.......................................... 21,411 $ 3,466 24,877 2013.......................................... 34,487 51,974 86,461 Tax-Managed U.S. Small Cap Portfolio 2012.......................................... 10,665 10,665 2013.......................................... 19,758 -- 19,758 T.A. U.S. Core Equity 2 Portfolio 2012.......................................... 43,904 140 44,044 2013.......................................... 58,615 3,496 62,111 Tax-Managed DFA International Value Portfolio 2012.......................................... 60,106 60,106 2013.......................................... 64,636 -- 64,636 T.A. World ex U.S. Core Equity Portfolio 2012.......................................... 30,337 10 30,347 2013.......................................... 37,052 436 37,488
At October 31, 2013, the following net investment income and short-term capital gains and long-term capital gains distributions designated for federal income tax purposes are due to the utilization of accumulated earnings and profits distributed to shareholders upon redemption of shares (amounts in thousands):
Net Investment Income and Short-Term Long-Term Capital Gains Capital Gains Total -------------- ------------- ------ Tax-Managed U.S. Targeted Value Portfolio. $1,189 $2,851 $4,040 T.A. U.S. Core Equity 2 Portfolio......... 1,315 886 2,201 T.A. World ex U.S. Core Equity Portfolio.. 746 80 826
At October 31, 2013, the components of distributable earnings (accumulated losses) were as follows (amounts in thousands):
Undistributed Total Net Net Investment Distributable Income and Undistributed Unrealized Earnings Short-Term Long-Term Capital Loss Appreciation (Accumulated Capital Gains Capital Gains Carryforwards (Depreciation) Losses) -------------- ------------- ------------- -------------- ------------- Tax-Managed U.S. Marketwide Value Portfolio......................... $6,823 -- $(112,900) $1,271,053 $1,164,976 Tax-Managed U.S. Equity Portfolio... 4,298 -- (392,788) 954,728 566,238 Tax-Managed U.S. Targeted Value Portfolio......................... 4,848 $83,814 -- 1,312,318 1,400,980 Tax-Managed U.S. Small Cap Portfolio......................... 2,623 -- (1,518) 843,717 844,822 T.A. U.S. Core Equity 2 Portfolio... 6,680 39,411 -- 1,598,207 1,644,298 Tax-Managed DFA International Value Portfolio......................... 5,723 -- (8,800) 399,221 396,144 T.A. World ex U.S. Core Equity Portfolio......................... 6,920 3,988 -- 372,437 383,345
45 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, 2013, 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, -------------------------- 2016 2017 Total -------- -------- -------- Tax-Managed U.S. Marketwide Value Portfolio... -- $112,900 $112,900 Tax-Managed U.S. Equity Portfolio............. $106,222 286,566 392,788 Tax-Managed U.S. Small Cap Portfolio.......... -- 1,518 1,518 Tax-Managed DFA International Value Portfolio. -- 8,800 8,800
During the year ended October 31, 2013, the Portfolios utilized the following capital loss carryforwards to offset realized capital gains for federal income tax purposes (amounts in thousands): Tax-Managed U.S. Marketwide Value Portfolio... $27,871 Tax-Managed U.S. Equity Portfolio............. 31,253 Tax-Managed U.S. Small Cap Portfolio.......... 65,442 Tax-Managed DFA International Value Portfolio. 21,417
At April 30, 2014, the total cost and aggregate gross unrealized appreciation (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes, as follows (amounts in thousands):
Net Unrealized Federal Unrealized Unrealized Appreciation Tax Cost Appreciation Depreciation (Depreciation) ---------- ------------ ------------ -------------- Tax-Managed U.S. Marketwide Value Portfolio... $1,904,123 $1,494,870 -- $1,494,870 Tax-Managed U.S. Equity Portfolio............. 1,188,933 1,100,158 $ (14,762) 1,085,396 Tax-Managed U.S. Targeted Value Portfolio..... 2,392,284 1,552,897 (82,480) 1,470,417 Tax-Managed U.S. Small Cap Portfolio.......... 1,516,137 929,697 (39,944) 889,753 T.A. U.S. Core Equity 2 Portfolio............. 3,174,249 1,893,167 (45,162) 1,848,005 Tax-Managed DFA International Value Portfolio. 2,713,809 607,641 (161,962) 445,679 T.A. World ex U.S. Core Equity Portfolio...... 1,591,430 538,207 (119,035) 419,172
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 each Portfolio's tax positions and has concluded that no additional provision for income tax is required in any Portfolio's 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. Each Portfolio's federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. 46 G. Financial Instruments: In accordance with the Portfolios' 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: 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. Futures Contracts: The Portfolios may enter into futures contracts to gain market exposure on uninvested cash pending investment in securities or to maintain liquidity to pay redemptions. Upon entering into a futures contract, the Portfolio 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 Portfolio as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Portfolio records a realized gain or loss, which is presented in the Statements of Operations as a net realized gain or loss on futures, equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Risks may arise upon 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 Portfolio could lose more than the initial margin requirements. The Portfolios entering into stock index futures are subject to equity price risk from those futures contracts. Counterparty credit risk related to exchange-traded futures is minimal because the exchange's clearinghouse, as counterparty to all exchange-traded futures, guarantees the futures against default. The following is a summary of the location on the Tax-Managed U.S. Targeted Value Portfolio's Statement of Operations of realized and change in unrealized gains and losses from the Portfolio's derivative instrument holdings through the six months ended April 30, 2014 (amounts in thousands):
Derivative Type Location of Gain (Loss) on Derivatives Recognized in Income --------------- ----------------------------------------------------------- Equity contracts Net Realized Gain (Loss) on: Futures
The following is a summary of the realized and change in unrealized gains and losses from the Tax-Managed U.S. Targeted Value Portfolio's derivative instrument holdings categorized by primary risk exposure for the six months ended April 30, 2014 (amounts in thousands):
Realized Gain (Loss) on Derivatives Recognized in Income --------------------------------- Equity Total Contracts --------- ------------- Tax-Managed U.S. Targeted Value Portfolio*. $(690) $(690)
* As of April 30, 2014, there were no futures contracts outstanding. During the six months ended April 30, 2014, the Portfolio had limited activity in futures contracts. H. Line of Credit: The Fund, together with other Dimensional-advised portfolios, has entered into a $500 million unsecured discretionary line of credit effective March 4, 2013 with its domestic custodian bank. Each portfolio is permitted to 47 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 was scheduled to expire on March 3, 2014, however, effective March 3, 2014, the term was extended until March 2, 2015. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit effective January 10, 2014 with its international custodian bank. 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 9, 2015. For the six months ended April 30, 2014, borrowings by the Portfolios under the lines of credit were as follows (amounts in thousands, except percentages and days):
Weighted Weighted Number of Interest Maximum Amount Average Average Days Expense Borrowed During Interest Rate Loan Balance Outstanding* Incurred The Period ------------- ------------ ------------ -------- --------------- Tax-Managed U.S. Targeted Value Portfolio......................... 0.85% $6,533 3 -- $ 6,533 T.A. U.S. Core Equity 2 Portfolio... 0.85% 1,075 3 -- 1,075 Tax-Managed DFA International Value Portfolio......................... 0.83% 7,419 8 $ 1 12,007
* Number of Days Outstanding represents the total of single or consecutive days during the six months ended April 30, 2014, that each 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, 2014. I. Securities Lending: As of April 30, 2014, some of the Portfolios had securities on loan to brokers/dealers, for which each such Portfolio received cash collateral. In addition, the following Portfolio received non-cash collateral consisting of short and/or long term U.S. Treasury securities (amounts in thousands):
Market Value ------ T.A. World ex U.S. Core Equity Portfolio. $6,570
Each Portfolio with securities on loan 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 equal to at least (i) 100% of the current market value of the loaned securities with respect to securities of the U.S. government or its agencies, (ii) 102% of the current market value of the loaned securities with respect to U.S. securities, and (iii) 105% of the current market value of the loaned securities with respect to foreign securities. However, daily market fluctuations could cause the Portfolios' 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. 48 Subject to their stated investment policies, the Portfolios with securities on loan 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 Portfolios 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 with securities on loan 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. 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 which 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. Other: At April 30, 2014, the following number of shareholders held the following approximate percentages of the stated fund outstanding shares. One or more of the shareholders may be omnibus accounts, which typically hold shares for the benefit of several other underlying investors.
Approximate Percentage Number of of Outstanding Shareholders Shares ------------ -------------- Tax-Managed U.S. Marketwide Value Portfolio... 3 91% Tax-Managed U.S. Equity Portfolio............. 3 86% Tax-Managed U.S. Targeted Value Portfolio..... 3 96% Tax-Managed U.S. Small Cap Portfolio.......... 3 94% T.A. U.S. Core Equity 2 Portfolio............. 3 92% Tax-Managed DFA International Value Portfolio. 3 94% T.A. World ex U.S. Core Equity Portfolio...... 3 90%
On December 13, 2013, the Board of the Fund voted to approve the combination of the Investment Advisory Agreement and the Administration Agreement (together, the "Previous Agreements") into a bundled Investment Management Agreement for the Tax-Managed U.S. Equity Portfolio. The Investment Management Agreement became effective on February 28, 2014. The nature and level of services to the Portfolio under the Investment Management Agreement are the same as under the Previous Agreements. As of February 28, 2014, the Portfolio pays the Advisor an investment management fee that is equal to the sum of the previous investment advisory and administration fees that were paid by the Portfolio to the Advisor under the Previous Agreements. L. Subsequent Event Evaluations: Management has evaluated the impact of all subsequent events on the Portfolios and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements. 49 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, 2014 EXPENSE TABLES Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 11/01/13 04/30/14 Ratio* Period* --------- --------- ---------- -------- The Tax-Managed U.S. Marketwide Value Series -------------------------------------------- Actual Fund Return........................... $1,000.00 $1,084.10 0.21% $1.09 Hypothetical 5% Annual Return................ $1,000.00 $1,023.75 0.21% $1.05
---------- * 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. 50 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 31, 2014. It is 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 amendments 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 EQUITY PORTFOLIO The Tax-Managed U.S. Marketwide Value Series Consumer Discretionary....................... 17.8% Consumer Staples............................. 7.3% Energy....................................... 17.1% Financials................................... 18.7% Health Care.................................. 9.9% Industrials.................................. 14.3% Information Technology....................... 6.8% Materials.................................... 3.2% Other........................................ -- Real Estate Investment Trusts................ -- Telecommunication Services................... 4.5% Utilities.................................... 0.4% ----- 100.0%
51 THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2014 (Unaudited)
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (95.2%) Consumer Discretionary -- (16.9%) Comcast Corp. Class A.................. 3,446,875 $178,410,250 3.7% Comcast Corp. Special Class A.......... 1,088,341 55,538,041 1.2% General Motors Co...................... 674,707 23,263,897 0.5% * Liberty Interactive Corp. Class A...... 882,463 25,644,375 0.5% Time Warner Cable, Inc................. 693,942 98,165,035 2.1% Time Warner, Inc....................... 1,534,860 102,006,796 2.1% Twenty-First Century Fox, Inc. Class A. 1,287,383 41,222,004 0.9% Other Securities....................... 324,623,832 6.7% ------------ ----- Total Consumer Discretionary............... 848,874,230 17.7% ------------ ----- Consumer Staples -- (7.0%) Archer-Daniels-Midland Co.............. 813,476 35,573,306 0.8% * Constellation Brands, Inc. Class A..... 249,042 19,883,513 0.4% CVS Caremark Corp...................... 1,510,745 109,861,376 2.3% Mondelez International, Inc. Class A... 2,081,099 74,191,179 1.6% Other Securities....................... 111,314,721 2.2% ------------ ----- Total Consumer Staples..................... 350,824,095 7.3% ------------ ----- Energy -- (16.2%) Anadarko Petroleum Corp................ 845,068 83,678,633 1.8% Apache Corp............................ 289,715 25,147,262 0.5% Chevron Corp........................... 696,706 87,450,537 1.8% ConocoPhillips......................... 1,766,829 131,293,063 2.8% Exxon Mobil Corp....................... 510,224 52,252,040 1.1% Hess Corp.............................. 378,130 33,714,071 0.7% Marathon Oil Corp...................... 903,937 32,677,323 0.7% Marathon Petroleum Corp................ 451,968 42,010,426 0.9% National Oilwell Varco, Inc............ 250,948 19,706,946 0.4% Phillips 66............................ 883,414 73,517,713 1.5% Valero Energy Corp..................... 605,899 34,639,246 0.7% Other Securities....................... 199,516,990 4.1% ------------ ----- Total Energy............................... 815,604,250 17.0% ------------ ----- Financials -- (17.8%) American International Group, Inc...... 899,581 47,794,738 1.0% Bank of America Corp................... 6,542,656 99,055,812 2.1% Capital One Financial Corp............. 356,632 26,355,105 0.6% Citigroup, Inc......................... 2,248,344 107,718,161 2.3% CME Group, Inc......................... 414,385 29,168,560 0.6% Goldman Sachs Group, Inc. (The)........ 143,685 22,963,737 0.5% JPMorgan Chase & Co.................... 1,591,818 89,109,972 1.9% MetLife, Inc........................... 1,125,923 58,942,069 1.2% Morgan Stanley......................... 1,476,248 45,660,351 1.0% Prudential Financial, Inc.............. 497,625 40,148,385 0.9% Other Securities....................... 325,616,838 6.5% ------------ ----- Total Financials........................... 892,533,728 18.6% ------------ ----- Health Care -- (9.5%) Aetna, Inc............................. 558,462 39,902,110 0.8% * Express Scripts Holding Co............. 493,239 32,839,853 0.7% Humana, Inc............................ 236,814 25,990,337 0.6% Pfizer, Inc............................ 3,950,849 123,582,557 2.6% Thermo Fisher Scientific, Inc.......... 499,520 56,945,280 1.2% WellPoint, Inc......................... 504,640 50,807,155 1.1%
52 THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Health Care -- (Continued) Zoetis, Inc........................................ 805,208 $ 24,365,594 0.5% Other Securities................................... 120,754,284 2.4% -------------- ------ Total Health Care........................................ 475,187,170 9.9% -------------- ------ Industrials -- (13.6%) CSX Corp........................................... 1,242,950 35,076,049 0.8% General Electric Co................................ 5,021,489 135,027,839 2.8% Norfolk Southern Corp.............................. 545,229 51,540,497 1.1% Northrop Grumman Corp.............................. 337,038 40,953,487 0.9% Union Pacific Corp................................. 444,064 84,563,108 1.8% Other Securities................................... 337,071,373 6.9% -------------- ------ Total Industrials........................................ 684,232,353 14.3% -------------- ------ Information Technology -- (6.5%) Corning, Inc....................................... 1,201,485 25,123,051 0.5% * Micron Technology, Inc............................. 758,908 19,822,677 0.4% * Yahoo!, Inc........................................ 1,048,770 37,703,281 0.8% Other Securities................................... 242,269,358 5.1% -------------- ------ Total Information Technology............................. 324,918,367 6.8% -------------- ------ Materials -- (3.1%) International Paper Co............................. 493,615 23,027,140 0.5% Other Securities................................... 132,034,497 2.7% -------------- ------ Total Materials.......................................... 155,061,637 3.2% -------------- ------ Other -- (0.0%) Other Securities................................... -- 0.0% -------------- ------ Real Estate Investment Trusts -- (0.0%) Other Securities................................... 169,393 0.0% -------------- ------ Telecommunication Services -- (4.3%) AT&T, Inc.......................................... 4,065,906 145,152,844 3.0% Verizon Communications, Inc........................ 644,888 30,135,616 0.6% Other Securities................................... 39,529,376 0.9% -------------- ------ Total Telecommunication Services......................... 214,817,836 4.5% -------------- ------ Utilities -- (0.3%) Other Securities................................... 16,769,702 0.4% -------------- ------ TOTAL COMMON STOCKS...................................... 4,778,992,761 99.7% -------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities................................... 21,150 0.0% -------------- ------ TEMPORARY CASH INVESTMENTS -- (0.2%) State Street Institutional Liquid Reserves, 0.074%. 11,873,516 11,873,516 0.2% -------------- ------ Shares/ Face Amount ------- - - (000) SECURITIES LENDING COLLATERAL -- (4.6%) (S)@ DFA Short Term Investment Fund..................... 19,872,417 229,923,863 4.8% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $2,914,575,678)................................... $5,020,811,290 104.7% ============== ======
53 THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED Summary of the Series' investments as of April 30, 2014, 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........ $ 848,874,230 -- -- $ 848,874,230 Consumer Staples.............. 350,824,095 -- -- 350,824,095 Energy........................ 815,604,250 -- -- 815,604,250 Financials.................... 892,527,152 $ 6,576 -- 892,533,728 Health Care................... 475,127,397 59,773 -- 475,187,170 Industrials................... 684,232,141 212 -- 684,232,353 Information Technology........ 324,918,367 -- -- 324,918,367 Materials..................... 155,061,637 -- -- 155,061,637 Other......................... -- -- -- -- Real Estate Investment Trusts. 169,393 -- -- 169,393 Telecommunication Services.... 214,817,836 -- -- 214,817,836 Utilities..................... 16,769,702 -- -- 16,769,702 Rights/Warrants................. -- 21,150 -- 21,150 Temporary Cash Investments...... 11,873,516 -- -- 11,873,516 Securities Lending Collateral... -- 229,923,863 -- 229,923,863 -------------- ------------ -- -------------- TOTAL........................... $4,790,799,716 $230,011,574 -- $5,020,811,290 ============== ============ == ==============
See accompanying Notes to Financial Statements. 54 THE DFA INVESTMENT TRUST COMPANY THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES STATEMENT OF ASSETS AND LIABILITIES APRIL 30, 2014 (Unaudited) (Amounts in thousands) ASSETS: Investments at Value (including $225,255 of securities on loan).......... $4,779,013 Temporary Cash Investments at Value & Cost............................... 11,874 Collateral from Securities on Loan Invested in Affiliate at Value & Cost. 229,924 Cash..................................................................... 1,055 Receivables: Investment Securities Sold............................................. 849 Dividends and Interest................................................. 4,181 Securities Lending Income.............................................. 71 ---------- Total Assets........................................................ 5,026,967 ---------- LIABILITIES: Payables: Upon Return of Securities Loaned....................................... 229,924 Due to Advisor......................................................... 781 Accrued Expenses and Other Liabilities................................... 228 ---------- Total Liabilities................................................... 230,933 ---------- NET ASSETS............................................................... $4,796,034 ========== Investments at Cost...................................................... $2,672,778 ==========
See accompanying Notes to Financial Statements. 55 THE DFA INVESTMENT TRUST COMPANY THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2014 (Unaudited) (Amounts in thousands) Investment Income Dividends..................................................... $ 40,992 Interest...................................................... 1 Income from Securities Lending................................ 388 -------- Total Investment Income.................................... 41,381 -------- Expenses Investment Advisory Services Fees............................. 4,579 Accounting & Transfer Agent Fees.............................. 118 Custodian Fees................................................ 25 Shareholders' Reports......................................... 8 Directors'/Trustees' Fees & Expenses.......................... 29 Professional Fees............................................. 50 Other......................................................... 13 -------- Total Expenses............................................. 4,822 -------- Net Expenses.................................................. 4,822 -------- Net Investment Income (Loss).................................. 36,559 -------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold.................................. 18,006 Change in Unrealized Appreciation (Depreciation) of: Investment Securities....................................... 315,510 -------- Net Realized and Unrealized Gain (Loss)....................... 333,516 -------- Net Increase (Decrease) in Net Assets Resulting from Operations. $370,075 ========
See accompanying Notes to Financial Statements. 56 THE DFA INVESTMENT TRUST COMPANY THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
Six Months Year Ended Ended April 30, Oct. 31, 2014 2013 - ----------- ---------- (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).......................................... $ 36,559 $ 69,562 Net Realized Gain (Loss) on: Investment Securities Sold.......................................... 18,006 39,747 Change in Unrealized Appreciation (Depreciation) of: Investment Securities............................................... 315,510 1,056,586 ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations.... 370,075 1,165,895 ---------- ---------- Transactions in Interest: Contributions......................................................... 100,953 285,068 Withdrawals........................................................... (64,749) (367,684) ---------- ---------- Net Increase (Decrease) from Transactions in Interest.............. 36,204 (82,616) ---------- ---------- Total Increase (Decrease) in Net Assets............................ 406,279 1,083,279 Net Assets Beginning of Period................................................... 4,389,755 3,306,476 ---------- ---------- End of Period......................................................... $4,796,034 $4,389,755 ========== ==========
See accompanying Notes to Financial Statements. 57 THE DFA INVESTMENT TRUST COMPANY THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES FINANCIAL HIGHLIGHTS
Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 2009 -------------------------------------------------------------------------------------------------------------------------------- (Unaudited) Total Return......................................... 8.41%(C) 35.92% 18.47% 6.33% 20.38% 12.76% -------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)................ $4,796,034 $4,389,755 $3,306,476 $2,901,325 $2,670,673 $2,289,927 Ratio of Expenses to Average Net Assets.............. 0.21%(D) 0.21% 0.22% 0.22% 0.22% 0.23% Ratio of Net Investment Income to Average Net Assets. 1.60%(D) 1.82% 1.99% 1.61% 1.40% 2.23% Portfolio Turnover Rate.............................. 1%(C) 5% 10% 20% 25% 28% --------------------------------------------------------------------------------------------------------------------------------
See accompanying Notes to Financial Statements. 58 THE DFA INVESTMENT TRUST COMPANY THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES 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 operational portfolios, one of which, The Tax-Managed U.S. Marketwide Value Series (the "Series"), is presented in this section of the report. The remaining ten portfolios are presented in separate reports. 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 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 Series' own assumptions in determining the fair value of investments) Securities held by the Series, including over-the-counter securities, are valued at the last quoted sale price at the close of the exchanges on which they are principally traded (official closing price). Securities held by the Series that are listed on Nasdaq are valued at the Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price or NOCP for the day, the Series values the securities at the mean of the most recent quoted bid and asked prices which approximate fair value. Price information on listed securities is taken from the exchange where the security is primarily traded. Generally, securities issued by open-end 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. 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 Investment Committee of Dimensional Fund Advisors LP) occur before the net asset value is calculated. When fair value pricing is used, the prices of securities used by the Series may differ from the quoted or published prices for the same securities on their primary markets or exchanges. These securities are generally categorized as Level 2 in the hierarchy. 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. 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 59 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, 2014, there were no significant transfers between Level 1 and Level 2 and no significant Level 3 investments held by the Series. 2. Deferred Compensation Plan: Each eligible Director/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 Directors/Trustees may defer payment of all or a portion of their total fees earned as a Director/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, 2014, 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 $116 (in thousands). Each Director/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 Director/Trustee shall have the right in a notice of election (the "Notice") to defer the receipt of the Director's/Trustee's deferred compensation until a date specified by such Director/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 Director/Trustee ceases to be a member of the Board; and (ii) five years following the effective date of the Director's/Trustee's first deferral election. If a Director/Trustee who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Director's/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 Director/Trustee ceases to be a member of the Board (unless the Director/Trustee files an amended Notice selecting a different distribution date). As of April 30, 2014, none of the Directors/Trustees 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 are 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 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 Series are directly charged. Common expenses of the Trust or its Series are allocated using methods approved by the Board, generally based on average net assets. C. Investment Advisor: The Advisor, Dimensional Fund Advisors LP, provides investment advisory services to the Series. For the six months ended April 30, 2014, the Series' investment advisory services fees were accrued daily and paid monthly to the Advisor based on an effective annual rate of 0.20% of average daily net assets of the Series. Fees Paid to Officers and Directors/Trustees: Certain Officers and Directors/Trustees of the Advisor are also Officers and Directors/Trustees of the Trust; however, such Officers and Directors/Trustees (with the exception of the Chief Compliance Officer ("CCO")) receive no compensation from the Trust. For the six months ended April 30, 2014, the total related amounts paid to the CCO by the Trust were $41 (in thousands). The total related amounts paid by the Series is included in Other Expenses on the Statement of Operations. 60 D. Purchases and Sales of Securities: For the six months ended April 30, 2014, the Series made the following purchases and sales of investment securities, other than short-term securities and U.S. government securities (amounts in thousands):
Purchases Sales --------- ------- The Tax-Managed U.S. Marketwide Value Series. $115,281 $25,035
There were no purchases or sales of long-term U.S. government securities. E. Federal Income Taxes: The Series is treated as a partnership for federal income tax purposes and therefore, no provision for federal income taxes is required. 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, 2014, the total cost and aggregate gross unrealized appreciation (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes, as follows (amounts in thousands):
Net Unrealized Federal Unrealized Unrealized Appreciation Tax Cost Appreciation Depreciation (Depreciation) ---------- ------------ ------------ -------------- Tax Managed U.S. Marketwide Value Series. $2,915,227 $2,142,081 $(36,497) $2,105,584
The difference between book basis and tax-basis unrealized appreciation (depreciation) is primarily attributable to the tax deferral of losses on wash sales. 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 the Series' financial statements. The Series 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 Series' federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. F. Line of Credit: The Trust, together with other Dimensional-advised portfolios, has entered into a $500 million unsecured discretionary line of credit effective March 4, 2013 with its domestic custodian bank. 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 was scheduled to expire on March 3, 2014, however, effective March 3, 2014, the term was extended until March 2, 2015. The Trust, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit effective January 10, 2014 with its international custodian bank. 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 9, 2015. There were no borrowings by the Series under the lines of credit during the six months ended April 30, 2014. 61 G. Securities Lending: As of April 30, 2014, the Series had securities on loan to brokers/dealers, for which the Series received cash collateral. The 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 equal to at least (i) 100% of the current market value of the loaned securities with respect to securities of the U.S. government or its agencies, (ii) 102% of the current market value of the loaned securities with respect to U.S. securities, and (iii) 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. Subject to its stated investment policies, the 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. The Series also may invest the cash collateral received for the loaned securities in securities of the U.S. government or its agencies, repurchase agreements collateralized by securities of the U.S. government or its agencies, and affiliated 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 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. H. Indemnitees; Contractual Obligations: Under the Trust's organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In the normal course of business, the Trust enters into contracts that contain a variety of representations and warranties which 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. I. Subsequent Event Evaluations: Management has evaluated the impact of all subsequent events on the Series and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements. 62 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 without charge, upon request, by calling collect: (512) 306-7400. 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://www.dimensional.com and reflects the twelve-month period beginning July 1st and ending June 30th. 63 BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS At the Board meeting held on December 13, 2013 (the "Meeting"), the Board of Directors of DFA Investment Dimensions Group Inc. and the Board of Trustees of The DFA Investment Trust Company (together, the "Board") considered the continuation of the investment advisory/management agreements for each portfolio or series (collectively, the "Funds") and, if applicable, a Fund's sub-advisory agreements. For certain Funds, Dimensional Fund Advisors Ltd. and DFA Australia Limited serve as a sub-advisor. (The investment advisory/management agreements and the sub-advisory agreements are referred to as the "Advisory 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 Advisory 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 Advisory 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 Advisory 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 advisory 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 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 management services provided by the Advisor. 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 based on the Fund's investment strategies and the expectations of its shareholder base, among other things, that the performance of each Fund was reasonable as compared with relevant performance standards. 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 advisory fees and total expenses of each Fund over various periods were favorable in relation to those of its peer funds, and that the advisory 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. 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 64 profitability of the Advisor, and the compensation that it received for providing services to each Fund, including administrative fees paid by the feeder portfolios. The Board considered the profitability to the Advisor of managing and servicing 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 advisory fees charged. For several reasons, the Board concluded that economies of scale and the reflection of such economies of scale in the level of advisory 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 Advisory Agreement for each Fund was in the best interests of the Fund and its shareholders. 65 [LOGO] DFA043014-002S [LOGO] SEMI-ANNUAL REPORT six months ended: April 30, 2014 (Unaudited) DFA Investment Dimensions Group Inc. CSTG&E U.S. Social Core Equity 2 Portfolio CSTG&E International Social Core Equity Portfolio [LOGO] Dimensional Fund Advisors 6300 Bee Cave Road, Building One Austin, TX 78746 May 2014 Dear Fellow Shareholder, Since our founding 33 years ago, Dimensional has grown into a global asset management firm. We believe well-functioning markets that bring together investors who supply capital with companies that put capital to work are what make our business and investment approach successful. At Dimensional, we combine insights gained from academia and a belief in the power of markets with decades of practical experience implementing in competitive markets. By applying this approach, we have built up a long and compelling track record across global equity and fixed income markets. Sincerely, /s/ David G. Booth David G. Booth Chairman and Co-Chief Executive Officer DFA INVESTMENT DIMENSIONS GROUP INC. SEMI-ANNUAL REPORT (Unaudited) Table of Contents
Page ---- Letter to Shareholders Definitions of Abbreviations and Footnotes................... 1 Disclosure of Fund Expenses............................... 2 Disclosure of Portfolio Holdings.......................... 3 Summary Schedules of Portfolio Holdings CSTG&E U.S. Social Core Equity 2 Portfolio............ 4 CSTG&E International Social Core Equity Portfolio..... 7 Statements of Assets and Liabilities...................... 11 Statements of Operations.................................. 12 Statements of Changes in Net Assets....................... 13 Financial Highlights...................................... 14 Notes to Financial Statements............................. 15 Voting Proxies on Fund Portfolio Securities.................. 22 Board Approval of Investment Advisory Agreements............. 23
This report is submitted for the information of the Fund's shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. i DFA INVESTMENT DIMENSIONS GROUP INC. DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES Summary Schedules of Portfolio Holdings --------------------------------------- Investment Abbreviations ADR American Depositary Receipt P.L.C. Public Limited Company Investment Footnotes + See Note B to Financial Statements. ++ Securities have generally been fair valued. 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 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. @ Security purchased with cash proceeds from Securities on Loan. (S) Affiliated Fund. Financial Highlights -------------------- (A) Computed using average shares outstanding. (B) Non-Annualized (C) Annualized All Statements, Schedules and Notes to Financial Statements ----------------------------------------------------------- -- Amounts designated as -- are either zero or rounded to zero. SEC Securities and Exchange Commission
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, 2014 EXPENSE TABLES Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 11/01/13 04/30/14 Ratio* Period* --------- --------- ---------- -------- CSTG&E U.S. Social Core Equity 2 Portfolio ------------------------------------------ Actual Fund Return................................ $1,000.00 $1,070.40 0.32% $1.64 Hypothetical 5% Annual Return..................... $1,000.00 $1,023.21 0.32% $1.61 CSTG&E International Social Core Equity Portfolio ------------------------------------------------- Actual Fund Return................................ $1,000.00 $1,055.20 0.51% $2.60 Hypothetical 5% Annual Return..................... $1,000.00 $1,022.27 0.51% $2.56
---------- * 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. 2 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 31, 2014. It is 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 amendments 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. CSTG&E U.S. Social Core Equity 2 Portfolio Consumer Discretionary....................... 14.8% Consumer Staples............................. 5.4% Energy....................................... 14.5% Financials................................... 21.6% Industrials.................................. 17.5% Information Technology....................... 15.0% Materials.................................... 6.3% Other........................................ -- Real Estate Investment Trusts................ -- Telecommunication Services................... 2.4% Utilities.................................... 2.5% ----- 100.0%
CSTG&E International Social Core Equity Portfolio Consumer Discretionary....................... 14.0% Consumer Staples............................. 6.2% Energy....................................... 10.5% Financials................................... 27.6% Industrials.................................. 17.4% Information Technology....................... 6.1% Materials.................................... 11.5% Other........................................ -- Real Estate Investment Trusts................ -- Telecommunication Services................... 3.3% Utilities.................................... 3.4% ----- 100.0%
3 CSTG&E U.S. SOCIAL CORE EQUITY 2 PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2014 (Unaudited)
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (90.3%) Consumer Discretionary -- (13.3%) * Amazon.com, Inc...................... 700 $ 212,891 0.2% Comcast Corp. Class A................ 11,509 595,706 0.7% Home Depot, Inc. (The)............... 2,736 217,539 0.2% Time Warner Cable, Inc............... 2,380 336,675 0.4% Time Warner, Inc..................... 5,166 343,332 0.4% Walt Disney Co. (The)................ 7,200 571,248 0.6% Other Securities..................... 11,155,002 12.2% ----------- ----- Total Consumer Discretionary............. 13,432,393 14.7% ----------- ----- Consumer Staples -- (4.9%) Coca-Cola Co. (The).................. 5,690 232,095 0.3% Mondelez International, Inc. Class A. 6,403 228,267 0.3% PepsiCo, Inc......................... 3,179 273,044 0.3% Procter & Gamble Co. (The)........... 9,400 775,970 0.9% Wal-Mart Stores, Inc................. 5,291 421,746 0.5% Other Securities..................... 3,034,416 3.1% ----------- ----- Total Consumer Staples................... 4,965,538 5.4% ----------- ----- Energy -- (13.1%) Anadarko Petroleum Corp.............. 3,500 346,570 0.4% Cabot Oil & Gas Corp................. 5,600 219,968 0.2% Chevron Corp......................... 17,800 2,234,256 2.5% ConocoPhillips....................... 8,900 661,359 0.7% EOG Resources, Inc................... 3,542 347,116 0.4% Exxon Mobil Corp..................... 20,079 2,056,290 2.3% Marathon Petroleum Corp.............. 2,400 223,080 0.2% Occidental Petroleum Corp............ 2,800 268,100 0.3% Phillips 66.......................... 4,450 370,329 0.4% Schlumberger, Ltd.................... 2,905 295,003 0.3% Valero Energy Corp................... 5,000 285,850 0.3% Other Securities..................... 5,862,390 6.4% ----------- ----- Total Energy............................. 13,170,311 14.4% ----------- ----- Financials -- (19.5%) American International Group, Inc.... 8,485 450,808 0.5% Bank of America Corp................. 36,276 549,219 0.6% * Berkshire Hathaway, Inc. Class B..... 2,400 309,240 0.3% Citigroup, Inc....................... 11,644 557,864 0.6% Goldman Sachs Group, Inc. (The)...... 2,540 405,943 0.5% JPMorgan Chase & Co.................. 21,909 1,226,466 1.4% Travelers Cos., Inc. (The)........... 3,008 272,465 0.3% U.S. Bancorp......................... 8,200 334,396 0.4% Wells Fargo & Co..................... 28,843 1,431,767 1.6% Other Securities..................... 14,134,207 15.3% ----------- ----- Total Financials......................... 19,672,375 21.5% ----------- ----- Industrials -- (15.8%) FedEx Corp........................... 2,068 281,765 0.3% General Electric Co.................. 38,178 1,026,606 1.1% Norfolk Southern Corp................ 3,180 300,605 0.3% Northrop Grumman Corp................ 1,795 218,110 0.2%
4 CSTG&E U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Industrials -- (Continued) Union Pacific Corp................................. 2,900 $ 552,247 0.6% Other Securities................................... 13,512,166 14.9% ------------ ------ Total Industrials........................................ 15,891,499 17.4% ------------ ------ Information Technology -- (13.6%) Apple, Inc......................................... 2,199 1,297,608 1.4% Cisco Systems, Inc................................. 14,702 339,763 0.4% * Google, Inc. Class A............................... 400 213,952 0.2% * Google, Inc. Class C............................... 400 210,664 0.2% Hewlett-Packard Co................................. 8,701 287,655 0.3% International Business Machines Corp............... 2,000 392,940 0.4% * Micron Technology, Inc............................. 10,475 273,607 0.3% Microsoft Corp..................................... 14,774 596,870 0.7% Oracle Corp........................................ 6,000 245,280 0.3% QUALCOMM, Inc...................................... 3,200 251,872 0.3% Visa, Inc. Class A................................. 1,400 283,654 0.3% Western Digital Corp............................... 2,700 237,951 0.3% Other Securities................................... 9,066,057 9.9% ------------ ------ Total Information Technology............................. 13,697,873 15.0% ------------ ------ Materials -- (5.7%) Other Securities................................... 5,712,752 6.3% ------------ ------ Other -- (0.0%) Other Securities................................... -- 0.0% ------------ ------ Real Estate Investment Trusts -- (0.0%) Other Securities................................... 2,414 0.0% ------------ ------ Telecommunication Services -- (2.2%) AT&T, Inc.......................................... 31,480 1,123,836 1.2% Verizon Communications, Inc........................ 10,681 499,123 0.6% Other Securities................................... 613,541 0.7% ------------ ------ Total Telecommunication Services......................... 2,236,500 2.5% ------------ ------ Utilities -- (2.2%) Other Securities................................... 2,237,324 2.5% ------------ ------ TOTAL COMMON STOCKS...................................... 91,018,979 99.7% ------------ ------ RIGHTS/WARRANTS -- (0.0%) Other Securities................................... 5,292 0.0% ------------ ------ TEMPORARY CASH INVESTMENTS -- (0.3%) State Street Institutional Liquid Reserves, 0.074%. 309,848 309,848 0.3% ------------ ------ Shares/ Face Amount ------- - - (000) SECURITIES LENDING COLLATERAL -- (9.4%) (S)@ DFA Short Term Investment Fund..................... 816,608 9,448,153 10.3% ------------ ------ TOTAL INVESTMENTS -- (100.0%) (Cost $69,361,946)................................... $100,782,272 110.3% ============ ======
5 CSTG&E U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, 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........ $13,432,393 -- -- $ 13,432,393 Consumer Staples.............. 4,965,538 -- -- 4,965,538 Energy........................ 13,170,311 -- -- 13,170,311 Financials.................... 19,672,287 $ 88 -- 19,672,375 Industrials................... 15,891,475 24 -- 15,891,499 Information Technology........ 13,697,873 -- -- 13,697,873 Materials..................... 5,712,752 -- -- 5,712,752 Other......................... -- -- -- -- Real Estate Investment Trusts. 2,414 -- -- 2,414 Telecommunication Services.... 2,236,500 -- -- 2,236,500 Utilities..................... 2,237,324 -- -- 2,237,324 Rights/Warrants................. -- 5,292 -- 5,292 Temporary Cash Investments...... 309,848 -- -- 309,848 Securities Lending Collateral... -- 9,448,153 -- 9,448,153 ----------- ---------- -- ------------ TOTAL........................... $91,328,715 $9,453,557 -- $100,782,272 =========== ========== == ============
See accompanying Notes to Financial Statements. 6 CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2014 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (88.6%) AUSTRALIA -- (5.6%) Australia & New Zealand Banking Group, Ltd. 11,691 $ 375,957 0.3% National Australia Bank, Ltd................ 13,973 460,094 0.4% Wesfarmers, Ltd............................. 7,672 305,326 0.3% Westpac Banking Corp........................ 8,282 271,273 0.2% Westpac Banking Corp. Sponsored ADR......... 9,000 294,210 0.3% Other Securities............................ 5,597,776 4.7% ------------- ------ TOTAL AUSTRALIA................................. 7,304,636 6.2% ------------- ------ AUSTRIA -- (0.6%) Other Securities............................ 742,522 0.6% ------------- ------ BELGIUM -- (1.0%) Other Securities............................ 1,365,295 1.2% ------------- ------ CANADA -- (8.4%) Royal Bank of Canada........................ 4,751 317,080 0.3% Toronto-Dominion Bank (The)................. 8,800 423,360 0.4% Other Securities............................ 10,281,378 8.7% ------------- ------ TOTAL CANADA.................................... 11,021,818 9.4% ------------- ------ CHINA -- (0.0%) Other Securities............................ 881 0.0% ------------- ------ DENMARK -- (1.0%) Other Securities............................ 1,356,844 1.1% ------------- ------ FINLAND -- (1.7%) #* Nokia Oyj................................... 43,552 326,099 0.3% Other Securities............................ 1,936,151 1.6% ------------- ------ TOTAL FINLAND................................... 2,262,250 1.9% ------------- ------ FRANCE -- (7.6%) BNP Paribas SA.............................. 6,949 522,179 0.4% Cie de St-Gobain............................ 5,953 364,713 0.3% Cie Generale des Etablissements Michelin.... 2,255 276,532 0.2% # GDF Suez.................................... 10,842 273,255 0.2% Total SA 6,697 479,131 0.4% Total SA Sponsored ADR 6,258 445,820 0.4% Vivendi SA.................................. 11,384 305,849 0.3% Other Securities............................ 7,290,399 6.3% ------------- ------ TOTAL FRANCE.................................... 9,957,878 8.5% ------------- ------ GERMANY -- (5.6%) # Allianz SE.................................. 2,730 475,101 0.4% # BASF SE..................................... 3,847 446,274 0.4% Daimler AG.................................. 6,932 645,363 0.6% Deutsche Bank AG............................ 7,500 330,225 0.3% Deutsche Telekom AG......................... 17,467 293,464 0.3% # Muenchener Rueckversicherungs AG............ 1,328 306,979 0.3% Other Securities............................ 4,932,399 4.0% ------------- ------ TOTAL GERMANY................................... 7,429,805 6.3% ------------- ------
7 CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- GREECE -- (0.0%) Other Securities...................... $ -- 0.0% ------------- ------ HONG KONG -- (2.4%) Other Securities...................... 3,130,595 2.7% ------------- ------ IRELAND -- (0.5%) Other Securities...................... 671,060 0.6% ------------- ------ ISRAEL -- (0.4%) Other Securities...................... 547,862 0.5% ------------- ------ ITALY -- (2.6%) Intesa Sanpaolo SpA................... 84,234 288,251 0.3% UniCredit SpA......................... 36,110 323,533 0.3% Other Securities...................... 2,828,094 2.3% ------------- ------ TOTAL ITALY............................... 3,439,878 2.9% ------------- ------ JAPAN -- (17.1%) Mitsubishi UFJ Financial Group, Inc... 105,370 560,515 0.5% Mizuho Financial Group, Inc........... 169,200 331,396 0.3% Sumitomo Mitsui Financial Group, Inc.. 8,564 338,538 0.3% Toyota Motor Corp. Sponsored ADR...... 4,548 493,094 0.4% Other Securities...................... 20,804,030 17.6% ------------- ------ TOTAL JAPAN............................... 22,527,573 19.1% ------------- ------ NETHERLANDS -- (2.3%) Other Securities...................... 3,052,955 2.6% ------------- ------ NEW ZEALAND -- (0.3%) Other Securities...................... 360,607 0.3% ------------- ------ NORWAY -- (1.1%) Other Securities...................... 1,448,914 1.2% ------------- ------ PORTUGAL -- (0.3%) Other Securities...................... 445,342 0.4% ------------- ------ SINGAPORE -- (1.4%) Other Securities...................... 1,812,152 1.5% ------------- ------ SPAIN -- (2.6%) Banco Santander SA.................... 27,792 276,410 0.2% Banco Santander SA Sponsored ADR...... 38,868 387,125 0.3% Iberdrola SA.......................... 38,628 269,837 0.2% Other Securities...................... 2,478,492 2.2% ------------- ------ TOTAL SPAIN............................... 3,411,864 2.9% ------------- ------ SWEDEN -- (2.9%) Nordea Bank AB........................ 21,743 315,069 0.3% Other Securities...................... 3,506,292 2.9% ------------- ------ TOTAL SWEDEN.............................. 3,821,361 3.2% ------------- ------ SWITZERLAND -- (5.7%) ABB, Ltd.............................. 14,101 339,497 0.3% Credit Suisse Group AG................ 10,947 347,049 0.3% Holcim, Ltd........................... 2,867 262,951 0.2%
8 CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- SWITZERLAND -- (Continued) Nestle SA............................... 15,515 $ 1,199,065 1.0% Swiss Re AG............................. 4,151 362,968 0.3% Zurich Insurance Group AG............... 1,668 478,313 0.4% Other Securities........................ 4,504,302 3.9% ------------- ------ TOTAL SWITZERLAND........................... 7,494,145 6.4% ------------- ------ UNITED KINGDOM -- (17.5%) Aviva P.L.C............................. 31,314 279,064 0.2% Barclays P.L.C. Sponsored ADR........... 29,855 510,819 0.4% BG Group P.L.C.......................... 15,156 306,595 0.3% BP P.L.C. Sponsored ADR................. 27,397 1,386,836 1.2% Glencore Xstrata P.L.C.................. 51,395 277,314 0.2% HSBC Holdings P.L.C. Sponsored ADR...... 25,824 1,325,288 1.1% #* Lloyds Banking Group P.L.C. ADR......... 66,758 345,139 0.3% Prudential P.L.C. ADR................... 6,900 318,711 0.3% # Rio Tinto P.L.C. Sponsored ADR.......... 7,139 387,576 0.3% Royal Dutch Shell P.L.C. ADR(780259206). 10,328 813,227 0.7% # Royal Dutch Shell P.L.C. ADR(780259107). 15,447 1,307,589 1.1% Tesco P.L.C............................. 77,518 384,018 0.3% Vodafone Group P.L.C. Sponsored ADR..... 15,694 595,758 0.5% Other Securities........................ 14,860,485 12.7% ------------- ------ TOTAL UNITED KINGDOM........................ 23,098,419 19.6% ------------- ------ UNITED STATES -- (0.0%) Other Securities........................ 10,328 0.0% ------------- ------ TOTAL COMMON STOCKS......................... 116,714,984 99.1% ------------- ------ PREFERRED STOCKS -- (0.0%) UNITED KINGDOM -- (0.0%) Other Securities........................ 667 0.0% ------------- ------ TOTAL PREFERRED STOCKS...................... 667 0.0% ------------- ------ RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) Other Securities........................ 2,310 0.0% ------------- ------ FRANCE -- (0.0%) Other Securities........................ 11,081 0.0% ------------- ------ HONG KONG -- (0.0%) Other Securities........................ 741 0.0% ------------- ------ ISRAEL -- (0.0%) Other Securities........................ 37 0.0% ------------- ------ PORTUGAL -- (0.0%) Other Securities........................ 2,160 0.0% ------------- ------ SPAIN -- (0.0%) Other Securities........................ 5,880 0.0% ------------- ------ UNITED KINGDOM -- (0.0%) Other Securities........................ 12,634 0.0% ------------- ------ TOTAL RIGHTS/WARRANTS....................... 34,843 0.0% ------------- ------
9 CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED
Shares/ Face Percentage Amount Value+ of Net Assets** ------- ------ --------------- (000) SECURITIES LENDING COLLATERAL -- (11.4%) (S)@ DFA Short Term Investment Fund.. 1,293,622 $ 14,967,209 12.7% ------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $127,583,520).................... $ 131,717,703 111.8% ============= ======
Summary of the Portfolio's investments as of April 30, 2014, 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................... $ 487,882 $ 6,816,754 -- $ 7,304,636 Austria..................... 8,832 733,690 -- 742,522 Belgium..................... 82,192 1,283,103 -- 1,365,295 Canada...................... 11,017,212 4,606 -- 11,021,818 China....................... -- 881 -- 881 Denmark..................... -- 1,356,844 -- 1,356,844 Finland..................... 284,173 1,978,077 -- 2,262,250 France...................... 1,066,142 8,891,736 -- 9,957,878 Germany..................... 651,607 6,778,198 -- 7,429,805 Greece...................... -- -- -- -- Hong Kong................... -- 3,130,595 -- 3,130,595 Ireland..................... 130,562 540,498 -- 671,060 Israel...................... 37,282 510,580 -- 547,862 Italy....................... 362,330 3,077,548 -- 3,439,878 Japan....................... 1,115,210 21,412,363 -- 22,527,573 Netherlands................. 465,509 2,587,446 -- 3,052,955 New Zealand................. -- 360,607 -- 360,607 Norway...................... 116,741 1,332,173 -- 1,448,914 Portugal.................... 12,238 433,104 -- 445,342 Singapore................... -- 1,812,152 -- 1,812,152 Spain....................... 752,981 2,658,883 -- 3,411,864 Sweden...................... 229,471 3,591,890 -- 3,821,361 Switzerland................. 584,442 6,909,703 -- 7,494,145 United Kingdom.............. 8,515,564 14,582,855 -- 23,098,419 United States............... 292 10,036 -- 10,328 Preferred Stocks United Kingdom.............. -- 667 -- 667 Rights/Warrants Australia................... -- 2,310 -- 2,310 France...................... -- 11,081 -- 11,081 Hong Kong................... -- 741 -- 741 Israel...................... -- 37 -- 37 Portugal.................... -- 2,160 -- 2,160 Spain....................... -- 5,880 -- 5,880 United Kingdom.............. -- 12,634 -- 12,634 Securities Lending Collateral. -- 14,967,209 -- 14,967,209 ----------- ------------ -- ------------ TOTAL......................... $25,920,662 $105,797,041 -- $131,717,703 =========== ============ == ============
See accompanying Notes to Financial Statements. 10 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2014 (Unaudited) (Amounts in thousands, except share and per share amounts)
CSTG&E CSTG&E U.S. International Social Core Social Core Equity 2 Equity Portfolio Portfolio* ------------ ------------- ASSETS: Investments at Value (including $9,250 and $14,418 of securities on loan, respectively). $ 91,024 $ 116,750 Temporary Cash Investments at Value & Cost.............................................. 310 -- Collateral from Securities on Loan Invested in Affiliate at Value & Cost................ 9,448 14,967 Foreign Currencies at Value............................................................. -- 498 Cash.................................................................................... 31 58 Receivables: Investment Securities Sold............................................................ 82 27 Dividends, Interest and Tax Reclaims.................................................. 60 533 Securities Lending Income............................................................. 4 26 Fund Shares Sold...................................................................... -- 18 Prepaid Expenses and Other Assets....................................................... 2 2 ------------ ------------ Total Assets....................................................................... 100,961 132,879 ------------ ------------ LIABILITIES: Payables: Upon Return of Securities Loaned...................................................... 9,448 14,967 Investment Securities Purchased....................................................... 132 -- Fund Shares Redeemed.................................................................. 9 60 Due to Advisor........................................................................ 20 40 Accrued Expenses and Other Liabilities.................................................. 19 31 ------------ ------------ Total Liabilities.................................................................. 9,628 15,098 ------------ ------------ NET ASSETS.............................................................................. $ 91,333 $ 117,781 ============ ============ SHARES OUTSTANDING, $0.01 PAR VALUE (1)................................................. 6,570,632 12,336,380 ============ ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE................................ $ 13.90 $ 9.55 ============ ============ Investments at Cost..................................................................... $ 59,604 $ 112,616 ============ ============ Foreign Currencies at Cost.............................................................. $ -- $ 496 ============ ============ NET ASSETS CONSIST OF: Paid-In Capital......................................................................... $ 65,212 $ 117,038 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).. 161 966 Accumulated Net Realized Gain (Loss).................................................... (5,460) (4,361) Net Unrealized Foreign Exchange Gain (Loss)............................................. -- 2 Net Unrealized Appreciation (Depreciation).............................................. 31,420 4,136 ------------ ------------ NET ASSETS.............................................................................. $ 91,333 $ 117,781 ============ ============ (1) NUMBER OF SHARES AUTHORIZED......................................................... 300,000,000 300,000,000 ============ ============
---------- * See Note I in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 11 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2014 (Unaudited) (Amounts in thousands)
CSTG&E CSTG&E U.S. International Social Core Social Core Equity 2 Equity Portfolio Portfolio ----------- ------------- Investment Income Dividends (Net of Foreign Taxes Withheld of $0 and $136, respectively). $ 784 $ 2,228 Income from Securities Lending......................................... 29 71 ------ ------- Total Investment Income............................................. 813 2,299 ------ ------- Expenses Investment Advisory Services Fees...................................... 123 235 Accounting & Transfer Agent Fees....................................... 3 9 Custodian Fees......................................................... 3 16 Filing Fees............................................................ 1 2 Shareholders' Reports.................................................. 2 2 Directors'/Trustees' Fees & Expenses................................... 1 1 Professional Fees...................................................... 1 1 Other.................................................................. 14 21 ------ ------- Total Expenses...................................................... 148 287 ------ ------- Fees Paid Indirectly................................................... -- -- ------ ------- Net Expenses........................................................... 148 287 ------ ------- Net Investment Income (Loss)........................................... 665 2,012 ------ ------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold*.......................................... (268) (1,424) Foreign Currency Transactions........................................ -- (4) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency........................... 5,853 5,625 Translation of Foreign Currency Denominated Amounts.................. -- 1 ------ ------- Net Realized and Unrealized Gain (Loss)................................ 5,585 4,198 ------ ------- Net Increase (Decrease) in Net Assets Resulting from Operations.......... $6,250 $ 6,210 ====== =======
---------- * Net of foreign capital gain taxes withheld of $0 and $1, respectively. See accompanying Notes to Financial Statements. 12 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
CSTG&E U.S. Social Core CSTG&E International Equity 2 Portfolio Social Core Equity Portfolio ---------------------- --------------------------- Six Months Year Six Months Year Ended Ended Ended Ended April 30, Oct. 31, April 30, Oct. 31, 2014 2013 2014 2013 ----------- -------- ----------- -------- (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).................................. $ 665 $ 1,453 $ 2,012 $ 2,034 Net Realized Gain (Loss) on: Investment Securities Sold*................................. (268) 675 (1,424) (86) Foreign Currency Transactions............................... -- -- (4) (24) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................. 5,853 21,536 5,625 19,724 Translation of Foreign Currency Denominated Amounts......... -- -- 1 4 ------- -------- -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations................................................ 6,250 23,664 6,210 21,652 ------- -------- -------- -------- Distributions From: Net Investment Income......................................... (661) (1,515) (1,347) (2,071) ------- -------- -------- -------- Total Distributions........................................ (661) (1,515) (1,347) (2,071) ------- -------- -------- -------- Capital Share Transactions (1): Shares Issued................................................. 1,059 1,318 3,864 29,491 Shares Issued in Lieu of Cash Distributions................... 661 1,515 1,347 2,071 Shares Redeemed............................................... (5,245) (11,910) (2,731) (5,607) ------- -------- -------- -------- Net Increase (Decrease) from Capital Share Transactions.... (3,525) (9,077) 2,480 25,955 ------- -------- -------- -------- Total Increase (Decrease) in Net Assets.................... 2,064 13,072 7,343 45,536 Net Assets Beginning of Period........................................... 89,269 76,197 110,438 64,902 ------- -------- -------- -------- End of Period................................................. $91,333 $ 89,269 $117,781 $110,438 ======= ======== ======== ======== (1) Shares Issued and Redeemed: Shares Issued................................................. 79 120 423 3,692 Shares Issued in Lieu of Cash Distributions................... 49 136 147 258 Shares Redeemed............................................... (383) (995) (294) (677) ------- -------- -------- -------- Net Increase (Decrease) from Shares Issued and Redeemed.................................................. (255) (739) 276 3,273 ======= ======== ======== ======== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)...................................... $ 161 $ 157 $ 966 $ 301
---------- * Net of foreign capital gain taxes withheld of $0, $0, $1 and $0, respectively. See accompanying Notes to Financial Statements. 13 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
CSTG&E U.S. Social Core Equity 2 Portfolio --------------------------------------------------------- Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 2009 ------------------------------------------------------------------------------------------------ (Unaudited) Net Asset Value, Beginning of Period............................. $ 13.08 $ 10.07 $ 8.98 $ 8.49 $ 7.05 $ 6.53 ------- ------- ------- ------- ------- ------- Income from Investment Operations ---------------------- Net Investment Income (Loss) (A)....................... 0.10 0.20 0.16 0.13 0.11 0.12 Net Gains (Losses) on Securities (Realized and Unrealized)........ 0.82 3.01 1.08 0.49 1.44 0.53 ------- ------- ------- ------- ------- ------- Total from Investment Operations...................... 0.92 3.21 1.24 0.62 1.55 0.65 ------------------------------------------------------------------------------------------------ Less Distributions ------------------ Net Investment Income............. (0.10) (0.20) (0.15) (0.13) (0.11) (0.13) ------- ------- ------- ------- ------- ------- Total Distributions.............. (0.10) (0.20) (0.15) (0.13) (0.11) (0.13) ------------------------------------------------------------------------------------------------ Net Asset Value, End of Period...... $ 13.90 $ 13.08 $ 10.07 $ 8.98 $ 8.49 $ 7.05 =================================== =========== ======== ======== ======== ======== ======== Total Return........................ 7.04%(D) 32.27% 13.94% 7.24% 22.14% 10.26% ------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands)........................ $91,333 $89,269 $76,197 $75,246 $82,083 $72,368 Ratio of Expenses to Average Net Assets............................. 0.32%(E) 0.35% 0.36% 0.38% 0.37% 0.40% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)........................ 0.32%(E) 0.35% 0.36% 0.38% 0.37% 0.40% Ratio of Net Investment Income to Average Net Assets................. 1.46%(E) 1.71% 1.65% 1.36% 1.36% 1.89% Portfolio Turnover Rate............. 1%(D) 4% 9% 9% 7% 12% ------------------------------------------------------------------------------------------------
CSTG&E International Social Core Equity Portfolio ----------------------------------------------------------- Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 2009 ------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period............................. $ 9.16 $ 7.39 $ 7.27 $ 7.92 $ 7.21 $ 5.57 -------- -------- ------- ------- ------- ------- Income from Investment Operations ---------------------- Net Investment Income (Loss) (A)....................... 0.16 0.21 0.21 0.22 0.16 0.16 Net Gains (Losses) on Securities (Realized and Unrealized)........ 0.34 1.79 0.12 (0.64) 0.70 1.65 -------- -------- ------- ------- ------- ------- Total from Investment Operations...................... 0.50 2.00 0.33 (0.42) 0.86 1.81 ------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income............. (0.11) (0.23) (0.21) (0.23) (0.15) (0.17) -------- -------- ------- ------- ------- ------- Total Distributions.............. (0.11) (0.23) (0.21) (0.23) (0.15) (0.17) ------------------------------------------------------------------------------------------------- Net Asset Value, End of Period...... $ 9.55 $ 9.16 $ 7.39 $ 7.27 $ 7.92 $ 7.21 =================================== =========== ======== ======== ======== ======== ======== Total Return........................ 5.52%(D) 27.54% 4.87% (5.62)% 12.32% 33.26% ------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)........................ $117,781 $110,438 $64,902 $67,710 $84,836 $76,201 Ratio of Expenses to Average Net Assets............................. 0.51%(E) 0.56% 0.60% 0.58% 0.56% 0.60% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)........................ 0.51%(E) 0.56% 0.60% 0.58% 0.56% 0.60% Ratio of Net Investment Income to Average Net Assets................. 3.60%(E) 2.54% 3.00% 2.76% 2.12% 2.69% Portfolio Turnover Rate............. 3%(D) 8% 7% 6% 5% 10% -------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 14 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 whose shares are offered, without a sales charge, generally to institutional investors and clients of registered investment advisors. The Fund consists of seventy-seven operational portfolios, two of which, CSTG&E U.S. Social Core Equity 2 Portfolio and CSTG&E International Social Core Equity Portfolio (the "Portfolios"), are included in this report. The remaining operational portfolios are presented in separate reports. 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 the Portfolios, including over-the-counter securities, are valued at the last quoted sale price at the close of the exchanges on which they are principally traded (official closing price). International equity securities are subject to a fair value factor, as described later in this note. Securities held by the 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 Portfolios value the securities at the mean of the most recent quoted bid and asked prices which approximate fair value. Price information on listed securities is taken from the exchange where the security is primarily traded. Generally, securities issued by open-end 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. 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 Investment Committee of Dimensional Fund Advisors LP) occur before the net asset value is calculated. When fair value pricing is used, the prices of securities used by the 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. CSTG&E International Social Core Equity Portfolio 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, 11:00 p.m. PT, the previous day), which is fourteen hours prior to the close of 15 the NYSE (normally, 1:00 p.m. PT) and the time that the net asset value of the CSTG&E International Social Core Equity Portfolio is computed. Due to the time differences between the closings of the relevant foreign securities exchanges and the time CSTG&E International Social Core Equity Portfolio prices its shares at the close of the NYSE, the Portfolio 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 CSTG&E International Social Core Equity Portfolio'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 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 CSTG&E International Social Core Equity Portfolio utilizes data furnished by an independent pricing service (and that data draws upon, among other information, the market values of foreign investments). When CSTG&E International Social Core Equity Portfolio uses fair value pricing, the values assigned to the 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. 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. Valuation hierarchy tables have 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, 2014, 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 CSTG&E International Social Core Equity Portfolio 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. CSTG&E International Social Core Equity Portfolio 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 Portfolio and the U.S. dollar equivalent amounts actually received or paid. 3. Deferred Compensation Plan: Each eligible Director/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 Directors/Trustees may defer payment of all or a portion of their total fees earned as a Director/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 Director/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 Director/Trustee shall have the right in a notice of election (the "Notice") to defer the receipt of the Director's/Trustee's deferred compensation until a date specified by such Director/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 Director/Trustee ceases to be a member of the Board; and (ii) five years following the effective date of 16 the Director's/Trustee's first deferral election. If a Director/Trustee who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Director's/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 Director/Trustee ceases to be a member of the Board (unless the Director/Trustee files an amended Notice selecting a different distribution date). As of April 30, 2014, none of the Directors/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 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 Portfolios estimate 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 a Portfolio are directly charged. Common expenses of the Fund or Portfolios are allocated using methods approved by the Board, generally based on average net assets. CSTG&E International Social Core Equity Portfolio 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. CSTG&E International Social Core Equity Portfolio accrues such taxes when the related income or capital gains are earned or throughout the holding period. Some countries require governmental approval for the repatriation of investment income, capital or the proceeds of sales earned by foreign investors. 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. C. Investment Advisor: The Advisor, Dimensional Fund Advisors LP, provides investment advisory services to the Portfolios. For the six months ended April 30, 2014, the investment advisory services fees were accrued daily and paid monthly to the Advisor based on an effective annual rate of 0.27% and 0.42% of average daily net assets for CSTG&E U.S. Social Core Equity 2 Portfolio and CSTG&E International Social Core Equity Portfolio, respectively. Earned Income Credit: In addition, the Portfolios have entered into arrangements with their custodian whereby net interest earned on uninvested cash balances was used to reduce a portion of each Portfolio's custody expenses. Custody expense in the accompanying financial statements is presented before reduction for credits. During the six months ended April 30, 2014, expenses reduced were as follows (amounts in thousands):
Fees Paid Indirectly ---------- CSTG&E International Social Core Equity Portfolio. --
Fees Paid to Officers and Directors/Trustees: Certain Officers and Directors/Trustees of the Advisor are also Officers and Directors/Trustees of the Fund; however, such Officers and Directors/Trustees (with the exception of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund. For the six months ended April 30, 2014, the total related amounts paid by the Fund to the CCO were $130 (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, 2014, 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 (amounts in thousands): CSTG&E U.S. Social Core Equity 2 Portfolio........ $3 CSTG&E International Social Core Equity Portfolio. 3
17 E. Purchases and Sales of Securities: For the six months ended April 30, 2014, the Portfolios made the following purchases and sales of investment securities, other than short-term securities and U.S. government securities (amounts in thousands):
Purchases Sales --------- ------ CSTG&E U.S. Social Core Equity 2 Portfolio........ $1,245 $4,599 CSTG&E International Social Core Equity Portfolio. 5,869 3,600
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 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, 2013, primarily attributable to net foreign currency gains/losses, foreign capital gains tax and realized gains on securities considered to be "passive foreign investment companies", were reclassified to the following accounts. These reclassifications had no effect on net assets or net asset value per share (amounts in thousands):
Increase Increase (Decrease) (Decrease) Increase Undistributed Accumulated (Decrease) Net Investment Net Realized Paid-In Capital Income Gains (Losses) --------------- -------------- -------------- CSTG&E U.S. Social Core Equity 2 Portfolio........ -- $ 4 $(4) CSTG&E International Social Core Equity Portfolio. -- (12) 12
The tax character of dividends and distributions declared and paid during the years ended October 31, 2012 and October 31, 2013 were as follows (amounts in thousands):
Net Investment Income and Short-Term Long-Term Capital Gains Capital Gains Total -------------- ------------- ------ CSTG&E U.S. Social Core Equity 2 Portfolio 2012.............................................. $1,213 -- $1,213 2013.............................................. 1,515 -- 1,515 CSTG&E International Social Core Equity Portfolio 2012.............................................. 1,881 -- 1,881 2013.............................................. 2,071 -- 2,071
At October 31, 2013, the components of distributable earnings (accumulated losses) were as follows (amounts in thousands):
Undistributed Total Net Net Investment Distributable Income and Unrealized Earnings Short-Term Capital Loss Appreciation (Accumulated Capital Gains Carryforward (Depreciation) Losses) -------------- ------------ -------------- ------------- CSTG&E U.S. Social Core Equity 2 Portfolio........ $159 $(5,189) $25,566 $20,536 CSTG&E International Social Core Equity Portfolio. 426 (2,922) (1,621) (4,117)
18 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, 2013, 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, ---------------------- 2016 2017 2018 Unlimited Total ---- ------ ---- --------- ------ CSTG&E U.S. Social Core Equity 2 Portfolio........ $664 $3,134 $556 $ 835 $5,189 CSTG&E International Social Core Equity Portfolio. -- 904 -- 2,018 2,922
During the year ended October 31, 2013, the Portfolios utilized the following capital loss carryforwards to offset realized capital gains for federal income tax purposes (amount in thousands): CSTG&E U.S. Social Core Equity 2 Portfolio. $673
At April 30, 2014, the total cost and aggregate gross unrealized appreciation (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes, as follows (amounts in thousands):
Net Unrealized Federal Unrealized Unrealized Appreciation Tax Cost Appreciation Depreciation (Depreciation) -------- ------------ ------------ -------------- CSTG&E U.S. Social Core Equity 2 Portfolio........ $ 69,363 $34,868 $ (3,449) $31,419 CSTG&E International Social Core Equity Portfolio. 127,716 21,124 (17,123) 4,001
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 each Portfolio's tax positions and has concluded that no additional provision for income tax is required in any Portfolio's financial statements. No Portfolio is 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. Each Portfolio's federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. G. Financial Instruments: In accordance with the Portfolios' 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: 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 government 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 CSTG&E International Social Core Equity Portfolio may be inhibited. H. Line of Credit: The Fund, together with other Dimensional-advised portfolios, has entered into a $500 million unsecured discretionary line of credit effective March 4, 2013 with its domestic custodian bank. 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 19 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 was scheduled to expire on March 3, 2014, however, effective March 3, 2014, the term was extended until March 2, 2015. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit effective January 10, 2014 with its international custodian bank. 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 9, 2015. For the six months ended April 30, 2014, borrowings by the Portfolios under the lines of credit were as follows (amounts in thousands, except percentages and days):
Weighted Weighted Number of Interest Maximum Amount Average Average Days Expense Borrowed During Interest Rate Loan Balance Outstanding* Incurred The Period ------------- ------------ ------------ -------- --------------- CSTG&E U.S. Social Core Equity 2 Portfolio........ 0.84% $550 34 -- $2,820 CSTG&E International Social Core Equity Portfolio. 0.83% 258 30 -- 816
* Number of Days Outstanding represents the total of single or consecutive days during the six months ended April 30, 2014, that each 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, 2014. I. Securities Lending: As of April 30, 2014, the Portfolios had securities on loan to brokers/dealers, for which each Portfolio received cash collateral. In addition, the following Portfolio received non-cash collateral consisting of short and/or long term U.S. Treasury securities (amounts in thousands):
Market Value ------ CSTG&E International Social Core Equity Portfolio. $334
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 equal to at least (i) 100% of the current market value of the loaned securities with respect to securities of the U.S. government or its agencies, (ii) 102% of the current market value of the loaned securities with respect to U.S. securities, and (iii) 105% of the current market value of the loaned securities with respect to foreign securities. However, daily market fluctuations could cause the Portfolios' 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. Subject to their stated investment policies, the Portfolios 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 also may invest the cash collateral received for the loaned securities in securities of the U.S. government or its agencies, repurchase agreements collateralized 20 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 Portfolios 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. 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 which 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. Other: At April 30, 2014, two shareholders held 96% of the outstanding shares of CSTG&E U.S. Social Core Equity 2 Portfolio and two shareholders held 98% of the outstanding shares of CSTG&E International Social Core Equity Portfolio. One or more of the shareholders may be omnibus accounts, which typically hold shares for the benefit of several other underlying investors. L. Subsequent Event Evaluations: Management has evaluated the impact of all subsequent events on the Portfolios and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements. 21 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 without charge, upon request, by calling collect: (512) 306-7400. 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://www.dimensional.com and reflects the twelve-month period beginning July 1st and ending June 30th. 22 BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS At the Board meeting held on December 13, 2013 (the "Meeting"), the Board of Directors of DFA Investment Dimensions Group Inc. (the "Board") considered the continuation of the investment advisory agreements for each portfolio (collectively, the "Funds") and, if applicable, a Fund's sub-advisory agreements. For CSTG&E International Social Core Equity Portfolio, Dimensional Fund Advisors Ltd. and DFA Australia Limited each serves as a sub-advisor. (The investment advisory agreements and the sub-advisory agreements are referred to as the "Advisory 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 Advisory 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 Advisory 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 Advisory 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 advisory 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 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 management services provided by the Advisor. 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, 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 based on each Fund's investment strategies and the expectations of its shareholder base, among other things, that the performance of each Fund was reasonable as compared with relevant performance standards. 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 advisory fees and total expenses of each Fund over various periods were favorable in relation to those of its peer funds, and that the advisory 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. 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 23 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 advisory fees charged. For several reasons, the Board concluded that economies of scale and the reflection of such economies of scale in the level of advisory 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 Advisory Agreement for each Fund was in the best interests of the Fund and its shareholders. 24 [LOGO] DFA043014-015S [LOGO] SEMI-ANNUAL REPORT six months ended: April 30, 2014 (Unaudited) DFA Investment Dimensions Group Inc. VA U.S. Targeted Value Portfolio VA U.S. Large Value Portfolio VA International Value Portfolio VA International Small Portfolio VA Short-Term Fixed Portfolio VA Global Bond Portfolio DFA VA Global Moderate Allocation Portfolio [LOGO] Dimensional Fund Advisors 6300 Bee Cave Road, Building One Austin, TX 78746 May 2014 Dear Fellow Shareholder, Since our founding 33 years ago, Dimensional has grown into a global asset management firm. We believe well-functioning markets that bring together investors who supply capital with companies that put capital to work are what make our business and investment approach successful. At Dimensional, we combine insights gained from academia and a belief in the power of markets with decades of practical experience implementing in competitive markets. By applying this approach, we have built up a long and compelling track record across global equity and fixed income markets. Sincerely, /s/ David G. Booth David G. Booth Chairman and Co-Chief Executive Officer DFA INVESTMENT DIMENSIONS GROUP INC. SEMI-ANNUAL REPORT (Unaudited) Table of Contents
Page ---- Letter to Shareholders Definitions of Abbreviations and Footnotes....................... 1 Disclosure of Fund Expenses...................................... 2 Disclosure of Portfolio Holdings................................. 4 Summary Schedules of Portfolio Holdings/Schedules of Investments VA U.S. Targeted Value Portfolio.............................. 6 VA U.S. Large Value Portfolio................................. 9 VA International Value Portfolio.............................. 12 VA International Small Portfolio.............................. 16 VA Short-Term Fixed Portfolio................................. 20 VA Global Bond Portfolio...................................... 23 DFA VA Global Moderate Allocation Portfolio................... 26 Statements of Assets and Liabilities............................. 27 Statements of Operations......................................... 29 Statements of Changes in Net Assets.............................. 31 Financial Highlights............................................. 34 Notes to Financial Statements.................................... 38 Voting Proxies on Fund Portfolio Securities...................... 51 Board Approval of Investment Advisory Agreements................. 52
This report is submitted for the information of the Fund's shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. i DFA INVESTMENT DIMENSIONS GROUP INC. DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES Summary Schedules of Portfolio Holdings/Schedules of Investments ---------------------------------------------------------------- Investment Abbreviations ADR American Depositary Receipt P.L.C. Public Limited Company GBP British Pounds NZD New Zealand Dollars SGD Singapore Dollars USD United States Dollars Investment Footnotes + See Note B to Financial Statements. ++ Securities have generally been fair valued. 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 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. (r) The adjustable rate shown is effective as of April 30, 2014. ## 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. (S) Affiliated Fund. Financial Highlights -------------------- (A) Computed using average shares outstanding. (B) Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Funds. (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. 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, 2014 EXPENSE TABLES Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 11/01/13 04/30/14 Ratio* Period* --------- --------- ---------- -------- VA U.S. Targeted Value Portfolio -------------------------------- Actual Fund Return............... $1,000.00 $1,080.20 0.37% $1.91 Hypothetical 5% Annual Return.... $1,000.00 $1,022.96 0.37% $1.86 VA U.S. Large Value Portfolio ----------------------------- Actual Fund Return............... $1,000.00 $1,094.50 0.27% $1.40 Hypothetical 5% Annual Return.... $1,000.00 $1,023.46 0.27% $1.35
2 DISCLOSURE OF FUND EXPENSES CONTINUED
Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 11/01/13 04/30/14 Ratio* Period* --------- --------- ---------- -------- VA International Value Portfolio -------------------------------- Actual Fund Return............................ $1,000.00 $1,053.50 0.48% $2.44 Hypothetical 5% Annual Return................. $1,000.00 $1,022.41 0.48% $2.41 VA International Small Portfolio -------------------------------- Actual Fund Return............................ $1,000.00 $1,075.60 0.59% $3.04 Hypothetical 5% Annual Return................. $1,000.00 $1,021.87 0.59% $2.96 VA Short-Term Fixed Portfolio ----------------------------- Actual Fund Return............................ $1,000.00 $1,001.60 0.27% $1.34 Hypothetical 5% Annual Return................. $1,000.00 $1,023.46 0.27% $1.35 VA Global Bond Portfolio ------------------------ Actual Fund Return............................ $1,000.00 $1,005.90 0.25% $1.24 Hypothetical 5% Annual Return................. $1,000.00 $1,023.55 0.25% $1.25 DFA VA Global Moderate Allocation Portfolio** --------------------------------------------- Actual Fund Return............................ $1,000.00 $1,044.70 0.40% $2.03 Hypothetical 5% Annual Return................. $1,000.00 $1,022.81 0.40% $2.01
---------- * 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. **DFA VA Global Moderate Allocation Portfolio is a Fund of Funds. The expenses shown reflect the direct expenses of the Fund of Funds and the indirect payment of the Fund of Funds' portion of the expenses of its Master Funds (Affiliated Investment Companies). 3 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 31, 2014. It is 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 amendments 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. FUND OF FUNDS
Affiliated Investment Company ----------------------------- DFA VA Global Moderate Allocation Portfolio. 100.0%
DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS VA U.S. Targeted Value Portfolio Consumer Discretionary....................... 12.3% Consumer Staples............................. 3.2% Energy....................................... 11.9% Financials................................... 23.8% Health Care.................................. 5.9% Industrials.................................. 18.8% Information Technology....................... 15.1% Materials.................................... 7.0% Other........................................ -- Real Estate Investment Trusts................ -- Telecommunication Services................... 1.3% Utilities.................................... 0.7% ----- 100.0%
VA U.S. Large Value Portfolio Consumer Discretionary....................... 12.3% Consumer Staples............................. 7.0% Energy....................................... 22.6% Financials................................... 21.7% Health Care.................................. 10.3% Industrials.................................. 9.9% Information Technology....................... 8.1% Materials.................................... 3.6% Telecommunication Services................... 4.1% Utilities.................................... 0.4% ----- 100.0%
VA International Value Portfolio Consumer Discretionary....................... 8.3% Consumer Staples............................. 4.2% Energy....................................... 15.4% Financials................................... 34.9% Health Care.................................. 3.6% Industrials.................................. 9.8% Information Technology....................... 3.5% Materials.................................... 11.6% Other........................................ -- Real Estate Investment Trusts................ -- Telecommunication Services................... 4.9% Utilities.................................... 3.8% ----- 100.0%
4 DISCLOSURE OF PORTFOLIO HOLDINGS CONTINUED VA International Small Portfolio Consumer Discretionary....................... 19.2% Consumer Staples............................. 5.9% Energy....................................... 5.8% Financials................................... 13.7% Health Care.................................. 6.3% Industrials.................................. 25.4% Information Technology....................... 9.6% Materials.................................... 10.1% Other........................................ -- Real Estate Investment Trusts................ -- Telecommunication Services................... 1.8% Utilities.................................... 2.2% ----- 100.0%
FIXED INCOME PORTFOLIOS VA Short-Term Fixed Portfolio Corporate.................................... 18.0% Government................................... 22.1% Foreign Corporate............................ 23.1% Foreign Government........................... 27.9% Supranational................................ 8.9% ----- 100.0%
VA Global Bond Portfolio Corporate.................................... 26.1% Government................................... 4.4% Foreign Corporate............................ 24.7% Foreign Government........................... 39.1% Supranational................................ 5.7% ----- 100.0%
5 VA U.S. TARGETED VALUE PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2014 (Unaudited)
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (82.0%) Consumer Discretionary -- (10.1%) # DeVry Education Group, Inc.......... 14,803 $ 666,579 0.4% Dillard's, Inc. Class A............. 7,314 716,260 0.4% Graham Holdings Co. Class B......... 910 610,819 0.4% # Wendy's Co. (The)................... 87,792 729,551 0.5% Other Securities.................... 17,308,416 10.5% ----------- ----- Total Consumer Discretionary............ 20,031,625 12.2% ----------- ----- Consumer Staples -- (2.6%) Other Securities.................... 5,260,598 3.2% ----------- ----- Energy -- (9.8%) # Denbury Resources, Inc.............. 38,940 654,971 0.4% Exterran Holdings, Inc.............. 15,632 672,489 0.4% Nabors Industries, Ltd.............. 43,157 1,101,367 0.7% Patterson-UTI Energy, Inc........... 21,500 699,395 0.4% * Stone Energy Corp................... 11,822 579,869 0.4% Superior Energy Services, Inc....... 21,870 719,960 0.4% Other Securities.................... 14,943,049 9.1% ----------- ----- Total Energy............................ 19,371,100 11.8% ----------- ----- Financials -- (19.5%) American Financial Group, Inc....... 13,215 772,152 0.5% Assurant, Inc....................... 11,316 762,812 0.5% Axis Capital Holdings, Ltd.......... 13,382 612,226 0.4% * E*TRADE Financial Corp.............. 42,087 944,853 0.6% * Genworth Financial, Inc. Class A.... 66,323 1,183,866 0.7% Hanover Insurance Group, Inc. (The). 10,024 585,903 0.4% # Legg Mason, Inc..................... 18,412 863,339 0.5% NASDAQ OMX Group, Inc. (The)........ 24,288 896,227 0.6% Old Republic International Corp..... 37,481 620,685 0.4% PartnerRe, Ltd...................... 8,404 885,782 0.5% Protective Life Corp................ 11,192 572,471 0.4% Reinsurance Group of America, Inc... 10,860 833,071 0.5% Zions Bancorp....................... 22,916 662,731 0.4% Other Securities.................... 28,538,378 17.2% ----------- ----- Total Financials........................ 38,734,496 23.6% ----------- ----- Health Care -- (4.8%) #* Alere, Inc.......................... 19,422 648,695 0.4% * LifePoint Hospitals, Inc............ 10,900 609,528 0.4% Omnicare, Inc....................... 15,345 909,498 0.6% Other Securities.................... 7,468,286 4.5% ----------- ----- Total Health Care....................... 9,636,007 5.9% ----------- ----- Industrials -- (15.4%) AGCO Corp........................... 13,971 778,185 0.5% AMERCO.............................. 5,363 1,341,340 0.8% #* Avis Budget Group, Inc.............. 21,045 1,106,757 0.7% Curtiss-Wright Corp................. 10,861 694,452 0.4% * Esterline Technologies Corp......... 7,459 813,180 0.5% GATX Corp........................... 10,799 708,738 0.4% Owens Corning....................... 17,148 700,496 0.4% * Quanta Services, Inc................ 23,786 839,170 0.5% Ryder System, Inc................... 9,234 758,850 0.5%
6 VA U.S. TARGETED VALUE PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Industrials -- (Continued) Trinity Industries, Inc............................ 10,389 $ 779,798 0.5% Other Securities................................... 22,057,046 13.5% ------------ ------ Total Industrials........................................ 30,578,012 18.7% ------------ ------ Information Technology -- (12.4%) * ARRIS Group, Inc................................... 23,100 602,679 0.4% * Arrow Electronics, Inc............................. 15,959 905,673 0.6% Avnet, Inc......................................... 19,346 834,393 0.5% #* First Solar, Inc................................... 13,314 898,562 0.6% IAC/InterActiveCorp................................ 9,617 637,415 0.4% * Ingram Micro, Inc. Class A......................... 24,100 649,736 0.4% # Lexmark International, Inc. Class A................ 13,503 580,629 0.4% Marvell Technology Group, Ltd...................... 70,113 1,111,992 0.7% * Tech Data Corp..................................... 10,139 633,586 0.4% Other Securities................................... 17,730,573 10.6% ------------ ------ Total Information Technology............................. 24,585,238 15.0% ------------ ------ Materials -- (5.7%) MeadWestvaco Corp.................................. 14,871 581,010 0.4% Reliance Steel & Aluminum Co....................... 11,310 800,974 0.5% Steel Dynamics, Inc................................ 31,853 581,954 0.4% Other Securities................................... 9,379,095 5.6% ------------ ------ Total Materials.......................................... 11,343,033 6.9% ------------ ------ Other -- (0.0%) Other Securities................................... -- 0.0% ------------ ------ Real Estate Investment Trusts -- (0.0%) Other Securities................................... 77,085 0.1% ------------ ------ Telecommunication Services -- (1.1%) # Frontier Communications Corp....................... 112,833 671,356 0.4% Other Securities................................... 1,456,563 0.9% ------------ ------ Total Telecommunication Services......................... 2,127,919 1.3% ------------ ------ Utilities -- (0.6%) UGI Corp........................................... 14,418 673,176 0.4% Other Securities................................... 466,933 0.3% ------------ ------ Total Utilities.......................................... 1,140,109 0.7% ------------ ------ TOTAL COMMON STOCKS...................................... 162,885,222 99.4% ------------ ------ RIGHTS/WARRANTS -- (0.0%) Other Securities................................... 60 0.0% ------------ ------ TEMPORARY CASH INVESTMENTS -- (0.4%) State Street Institutional Liquid Reserves, 0.074%. 888,610 888,610 0.5% ------------ ------ Shares/ Face Amount ------- (000) SECURITIES LENDING COLLATERAL -- (17.6%) (S)@ DFA Short Term Investment Fund..................... 3,010,835 34,835,365 21.3% ------------ ------ TOTAL INVESTMENTS -- (100.0%) (Cost $157,210,221).................................. $198,609,257 121.2% ============ ======
7 VA U.S. TARGETED VALUE PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, 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........ $ 20,029,207 $ 2,418 -- $ 20,031,625 Consumer Staples.............. 5,260,598 -- -- 5,260,598 Energy........................ 19,371,100 -- -- 19,371,100 Financials.................... 38,733,132 1,364 -- 38,734,496 Health Care................... 9,624,908 11,099 -- 9,636,007 Industrials................... 30,577,820 192 -- 30,578,012 Information Technology........ 24,585,238 -- -- 24,585,238 Materials..................... 11,343,033 -- -- 11,343,033 Other......................... -- -- -- -- Real Estate Investment Trusts. 77,085 -- -- 77,085 Telecommunication Services.... 2,127,919 -- -- 2,127,919 Utilities..................... 1,140,109 -- -- 1,140,109 Rights/Warrants................. -- 60 -- 60 Temporary Cash Investments...... 888,610 -- -- 888,610 Securities Lending Collateral... -- 34,835,365 -- 34,835,365 ------------ ----------- -- ------------ TOTAL........................... $163,758,759 $34,850,498 -- $198,609,257 ============ =========== == ============
See accompanying Notes to Financial Statements. 8 VA U.S. LARGE VALUE PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2014 (Unaudited)
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (95.3%) Consumer Discretionary -- (11.7%) Comcast Corp. Class A................ 139,605 $ 7,225,955 3.1% Comcast Corp. Special Class A........ 35,244 1,798,501 0.8% General Motors Co.................... 54,630 1,883,642 0.8% Time Warner Cable, Inc............... 25,682 3,632,976 1.6% Time Warner, Inc..................... 71,600 4,758,536 2.1% Other Securities..................... 8,954,326 3.8% ----------- ----- Total Consumer Discretionary............. 28,253,936 12.2% ----------- ----- Consumer Staples -- (6.6%) Archer-Daniels-Midland Co............ 45,882 2,006,420 0.9% CVS Caremark Corp.................... 95,713 6,960,249 3.0% Mondelez International, Inc. Class A. 107,008 3,814,835 1.7% Other Securities..................... 3,251,344 1.3% ----------- ----- Total Consumer Staples................... 16,032,848 6.9% ----------- ----- Energy -- (21.6%) Anadarko Petroleum Corp.............. 36,543 3,618,488 1.6% Apache Corp.......................... 26,682 2,315,998 1.0% Baker Hughes, Inc.................... 27,445 1,918,406 0.8% Chevron Corp......................... 68,050 8,541,636 3.7% ConocoPhillips....................... 95,487 7,095,639 3.1% Devon Energy Corp.................... 24,476 1,713,320 0.7% Exxon Mobil Corp..................... 17,803 1,823,205 0.8% Hess Corp............................ 24,374 2,173,186 0.9% Marathon Oil Corp.................... 51,214 1,851,386 0.8% Marathon Petroleum Corp.............. 23,311 2,166,757 0.9% National Oilwell Varco, Inc.......... 26,397 2,072,956 0.9% Occidental Petroleum Corp............ 30,706 2,940,100 1.3% Phillips 66.......................... 41,103 3,420,592 1.5% Valero Energy Corp................... 39,957 2,284,342 1.0% Other Securities..................... 8,184,496 3.6% ----------- ----- Total Energy............................. 52,120,507 22.6% ----------- ----- Financials -- (20.7%) American International Group, Inc.... 82,674 4,392,470 1.9% Bank of America Corp................. 371,178 5,619,635 2.4% Bank of New York Mellon Corp. (The).. 50,605 1,713,991 0.7% Capital One Financial Corp........... 23,935 1,768,797 0.8% Citigroup, Inc....................... 101,521 4,863,871 2.1% # CME Group, Inc....................... 22,092 1,555,056 0.7% Goldman Sachs Group, Inc. (The)...... 9,063 1,448,449 0.6% JPMorgan Chase & Co.................. 128,347 7,184,865 3.1% MetLife, Inc......................... 50,375 2,637,131 1.1% Morgan Stanley....................... 87,548 2,707,860 1.2% Other Securities..................... 16,002,599 7.0% ----------- ----- Total Financials......................... 49,894,724 21.6% ----------- ----- Health Care -- (9.8%) Aetna, Inc........................... 29,702 2,122,208 0.9% * Express Scripts Holding Co........... 47,317 3,150,366 1.4% Pfizer, Inc.......................... 230,509 7,210,322 3.1% Thermo Fisher Scientific, Inc........ 28,431 3,241,134 1.4% WellPoint, Inc....................... 19,421 1,955,306 0.9%
9 VA U.S. LARGE VALUE PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Health Care -- (Continued) Other Securities................................... $ 6,030,415 2.6% ------------ ------ Total Health Care........................................ 23,709,751 10.3% ------------ ------ Industrials -- (9.5%) CSX Corp........................................... 81,927 2,311,980 1.0% Eaton Corp. P.L.C.................................. 31,678 2,301,090 1.0% FedEx Corp......................................... 10,397 1,416,591 0.6% General Electric Co................................ 171,495 4,611,501 2.0% Norfolk Southern Corp.............................. 23,455 2,217,201 1.0% Northrop Grumman Corp.............................. 14,791 1,797,254 0.8% Other Securities................................... 8,206,579 3.5% ------------ ------ Total Industrials........................................ 22,862,196 9.9% ------------ ------ Information Technology -- (7.7%) Corning, Inc....................................... 82,181 1,718,405 0.7% Hewlett-Packard Co................................. 134,639 4,451,165 1.9% Intel Corp......................................... 79,570 2,123,723 0.9% * Micron Technology, Inc............................. 66,760 1,743,771 0.8% * Yahoo!, Inc........................................ 56,989 2,048,755 0.9% Other Securities................................... 6,597,430 2.9% ------------ ------ Total Information Technology............................. 18,683,249 8.1% ------------ ------ Materials -- (3.4%) Freeport-McMoRan Copper & Gold, Inc................ 60,591 2,082,513 0.9% Other Securities................................... 6,110,053 2.7% ------------ ------ Total Materials.......................................... 8,192,566 3.6% ------------ ------ Telecommunication Services -- (3.9%) AT&T, Inc.......................................... 213,744 7,630,661 3.3% Other Securities................................... 1,790,280 0.8% ------------ ------ Total Telecommunication Services......................... 9,420,941 4.1% ------------ ------ Utilities -- (0.4%) Other Securities................................... 913,260 0.4% ------------ ------ TOTAL COMMON STOCKS...................................... 230,083,978 99.7% ------------ ------ TEMPORARY CASH INVESTMENTS -- (0.4%) State Street Institutional Liquid Reserves, 0.074%. 950,580 950,580 0.4% ------------ ------ Shares/ Face Amount ------- (000) SECURITIES LENDING COLLATERAL -- (4.3%) (S)@ DFA Short Term Investment Fund..................... 892,716 10,328,726 4.5% ------------ ------ TOTAL INVESTMENTS -- (100.0%) (Cost $170,943,267).................................. $241,363,284 104.6% ============ ======
10 VA U.S. LARGE VALUE PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, 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...... $ 28,253,936 -- -- $ 28,253,936 Consumer Staples............ 16,032,848 -- -- 16,032,848 Energy...................... 52,120,507 -- -- 52,120,507 Financials.................. 49,894,724 -- -- 49,894,724 Health Care................. 23,709,751 -- -- 23,709,751 Industrials................. 22,862,196 -- -- 22,862,196 Information Technology...... 18,683,249 -- -- 18,683,249 Materials................... 8,192,566 -- -- 8,192,566 Telecommunication Services.. 9,420,941 -- -- 9,420,941 Utilities................... 913,260 -- -- 913,260 Temporary Cash Investments.... 950,580 -- -- 950,580 Securities Lending Collateral. -- $10,328,726 -- 10,328,726 ------------ ----------- -- ------------ TOTAL......................... $231,034,558 $10,328,726 -- $241,363,284 ============ =========== == ============
See accompanying Notes to Financial Statements. 11 VA INTERNATIONAL VALUE PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2014 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (89.9%) AUSTRALIA -- (4.7%) Wesfarmers, Ltd.................. 41,405 $ 1,647,894 1.0% Other Securities................. 6,479,116 4.2% ----------- ----- TOTAL AUSTRALIA...................... 8,127,010 5.2% ----------- ----- AUSTRIA -- (0.2%) Other Securities................. 315,545 0.2% ----------- ----- BELGIUM -- (1.4%) Other Securities................. 2,425,605 1.5% ----------- ----- CANADA -- (7.8%) Canadian Natural Resources, Ltd.. 38,757 1,580,123 1.0% Manulife Financial Corp.......... 41,820 785,234 0.5% Suncor Energy, Inc............... 51,054 1,969,402 1.2% Other Securities................. 9,222,699 5.9% ----------- ----- TOTAL CANADA......................... 13,557,458 8.6% ----------- ----- DENMARK -- (1.6%) Other Securities................. 2,768,522 1.8% ----------- ----- FINLAND -- (1.0%) Other Securities................. 1,738,626 1.1% ----------- ----- FRANCE -- (9.5%) AXA SA........................... 59,061 1,541,256 1.0% BNP Paribas SA................... 30,023 2,256,062 1.4% Cie de St-Gobain................. 19,618 1,201,905 0.8% # GDF Suez......................... 56,467 1,423,162 0.9% Lafarge SA....................... 9,061 829,071 0.5% Orange SA........................ 68,037 1,102,286 0.7% Renault SA....................... 12,684 1,240,113 0.8% Societe Generale SA.............. 21,148 1,317,038 0.8% Vivendi SA....................... 53,030 1,424,757 0.9% Other Securities................. 4,177,895 2.7% ----------- ----- TOTAL FRANCE......................... 16,513,545 10.5% ----------- ----- GERMANY -- (7.7%) # Allianz SE....................... 7,745 1,347,861 0.8% Bayerische Motoren Werke AG...... 11,585 1,456,292 0.9% Daimler AG....................... 33,999 3,165,277 2.0% Deutsche Bank AG................. 24,639 1,085,236 0.7% # E.ON SE.......................... 59,606 1,141,744 0.7% # Muenchener Rueckversicherungs AG. 5,893 1,362,219 0.9% RWE AG........................... 28,761 1,097,551 0.7% Other Securities................. 2,766,749 1.8% ----------- ----- TOTAL GERMANY........................ 13,422,929 8.5% ----------- ----- HONG KONG -- (2.2%) Hutchison Whampoa, Ltd........... 78,000 1,070,120 0.7% Other Securities................. 2,689,387 1.7% ----------- ----- TOTAL HONG KONG...................... 3,759,507 2.4% ----------- -----
12 VA INTERNATIONAL VALUE PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- IRELAND -- (0.2%) Other Securities...................... $ 357,576 0.2% ----------- ----- ISRAEL -- (0.4%) Other Securities...................... 683,389 0.4% ----------- ----- ITALY -- (1.6%) UniCredit SpA......................... 132,894 1,190,683 0.8% Other Securities...................... 1,569,479 0.9% ----------- ----- TOTAL ITALY............................... 2,760,162 1.7% ----------- ----- JAPAN -- (17.6%) Mitsubishi Corp....................... 49,800 891,784 0.6% Mitsubishi UFJ Financial Group, Inc... 459,000 2,441,648 1.6% Mitsui & Co., Ltd..................... 72,300 1,025,385 0.7% Mizuho Financial Group, Inc........... 737,600 1,444,669 0.9% Nippon Steel & Sumitomo Metal Corp.... 322,185 845,297 0.5% Nissan Motor Co., Ltd................. 89,900 775,711 0.5% # NTT DOCOMO, Inc....................... 58,700 936,297 0.6% Sumitomo Mitsui Financial Group, Inc.. 25,700 1,015,929 0.7% Other Securities...................... 21,311,277 13.4% ----------- ----- TOTAL JAPAN............................... 30,687,997 19.5% ----------- ----- NETHERLANDS -- (3.5%) * ING Groep NV.......................... 109,394 1,563,771 1.0% Other Securities...................... 4,532,606 2.9% ----------- ----- TOTAL NETHERLANDS......................... 6,096,377 3.9% ----------- ----- NEW ZEALAND -- (0.1%) Other Securities...................... 128,312 0.1% ----------- ----- NORWAY -- (0.7%) Other Securities...................... 1,243,232 0.8% ----------- ----- PORTUGAL -- (0.1%) Other Securities...................... 222,852 0.1% ----------- ----- SINGAPORE -- (1.0%) Other Securities...................... 1,784,204 1.1% ----------- ----- SPAIN -- (2.4%) Banco Santander SA.................... 159,735 1,588,671 1.0% Iberdrola SA.......................... 163,978 1,145,475 0.7% Other Securities...................... 1,374,852 0.9% ----------- ----- TOTAL SPAIN............................... 4,108,998 2.6% ----------- ----- SWEDEN -- (2.7%) Nordea Bank AB........................ 85,572 1,239,989 0.8% Other Securities...................... 3,449,144 2.2% ----------- ----- TOTAL SWEDEN.............................. 4,689,133 3.0% ----------- ----- SWITZERLAND -- (8.1%) Credit Suisse Group AG................ 51,115 1,620,480 1.0% Holcim, Ltd........................... 10,715 982,741 0.6% Novartis AG........................... 38,719 3,365,939 2.1% Novartis AG ADR....................... 10,786 937,735 0.6%
13 VA INTERNATIONAL VALUE PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- SWITZERLAND -- (Continued) Swiss Re AG............................. 22,063 $ 1,929,213 1.2% UBS AG.................................. 63,790 1,334,095 0.8% Zurich Insurance Group AG............... 5,596 1,604,702 1.0% Other Securities........................ 2,291,635 1.6% ------------ ------ TOTAL SWITZERLAND............................. 14,066,540 8.9% ------------ ------ UNITED KINGDOM -- (15.4%) Anglo American P.L.C.................... 50,374 1,346,653 0.8% Barclays P.L.C. Sponsored ADR........... 119,644 2,047,102 1.3% BP P.L.C. Sponsored ADR................. 128,132 6,486,042 4.1% HSBC Holdings P.L.C. Sponsored ADR...... 66,182 3,396,460 2.2% * Lloyds Banking Group P.L.C. ADR......... 176,409 912,034 0.6% # Royal Dutch Shell P.L.C. ADR(780259107). 38,739 3,279,256 2.1% Royal Dutch Shell P.L.C. ADR(780259206). 47,974 3,777,473 2.4% Vodafone Group P.L.C.................... 367,083 1,393,669 0.9% Vodafone Group P.L.C. Sponsored ADR..... 25,108 953,093 0.6% Other Securities........................ 3,278,504 2.1% ------------ ------ TOTAL UNITED KINGDOM.......................... 26,870,286 17.1% ------------ ------ TOTAL COMMON STOCKS........................... 156,327,805 99.2% ------------ ------ PREFERRED STOCKS -- (0.0%) GERMANY -- (0.0%) Other Securities........................ 44,017 0.0% ------------ ------ RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) Other Securities........................ -- 0.0% ------------ ------ FRANCE -- (0.0%) Other Securities........................ 16,889 0.0% ------------ ------ HONG KONG -- (0.0%) Other Securities........................ 1,994 0.0% ------------ ------ SPAIN -- (0.0%) Other Securities........................ 33,793 0.1% ------------ ------ TOTAL RIGHTS/WARRANTS......................... 52,676 0.1% ------------ ------ Shares/ Face Amount Value+ ------- ------ (000) SECURITIES LENDING COLLATERAL -- (10.1%) (S)@ DFA Short Term Investment Fund.......... 1,510,546 17,477,019 11.1% ------------ ------ TOTAL INVESTMENTS -- (100.0%) (Cost $161,384,052)....................... $173,901,517 110.4% ============ ======
14 VA INTERNATIONAL VALUE PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, 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................... -- $ 8,127,010 -- $ 8,127,010 Austria..................... -- 315,545 -- 315,545 Belgium..................... -- 2,425,605 -- 2,425,605 Canada...................... $13,557,458 -- -- 13,557,458 Denmark..................... -- 2,768,522 -- 2,768,522 Finland..................... -- 1,738,626 -- 1,738,626 France...................... 63,397 16,450,148 -- 16,513,545 Germany..................... 862,598 12,560,331 -- 13,422,929 Hong Kong................... -- 3,759,507 -- 3,759,507 Ireland..................... 209,079 148,497 -- 357,576 Israel...................... -- 683,389 -- 683,389 Italy....................... 318,432 2,441,730 -- 2,760,162 Japan....................... 513,324 30,174,673 -- 30,687,997 Netherlands................. 613,941 5,482,436 -- 6,096,377 New Zealand................. -- 128,312 -- 128,312 Norway...................... -- 1,243,232 -- 1,243,232 Portugal.................... -- 222,852 -- 222,852 Singapore................... -- 1,784,204 -- 1,784,204 Spain....................... -- 4,108,998 -- 4,108,998 Sweden...................... 369,448 4,319,685 -- 4,689,133 Switzerland................. 1,247,015 12,819,525 -- 14,066,540 United Kingdom.............. 21,160,484 5,709,802 -- 26,870,286 Preferred Stocks Germany..................... -- 44,017 -- 44,017 Rights/Warrants Australia................... -- -- -- -- France...................... -- 16,889 -- 16,889 Hong Kong................... -- 1,994 -- 1,994 Spain....................... -- 33,793 -- 33,793 Securities Lending Collateral. -- 17,477,019 -- 17,477,019 ----------- ------------ -- ------------ TOTAL......................... $38,915,176 $134,986,341 -- $173,901,517 =========== ============ == ============
See accompanying Notes to Financial Statements. 15 VA INTERNATIONAL SMALL PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2014 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (87.8%) AUSTRALIA -- (4.8%) Other Securities.......... $ 7,483,890 5.5% ----------- ---- AUSTRIA -- (0.9%) Other Securities.......... 1,332,476 1.0% ----------- ---- BELGIUM -- (1.3%) Ackermans & van Haaren NV. 2,145 277,376 0.2% Other Securities.......... 1,680,021 1.2% ----------- ---- TOTAL BELGIUM................. 1,957,397 1.4% ----------- ---- CANADA -- (8.2%) Other Securities.......... 12,580,224 9.2% ----------- ---- CHINA -- (0.0%) Other Securities.......... 1,511 0.0% ----------- ---- DENMARK -- (1.6%) * Vestas Wind Systems A.S... 10,145 450,550 0.3% Other Securities.......... 1,960,399 1.5% ----------- ---- TOTAL DENMARK................. 2,410,949 1.8% ----------- ---- FINLAND -- (2.3%) Huhtamaki Oyj............. 9,505 249,926 0.2% Other Securities.......... 3,319,655 2.4% ----------- ---- TOTAL FINLAND................. 3,569,581 2.6% ----------- ---- FRANCE -- (4.2%) # Neopost SA................ 3,793 311,455 0.2% Teleperformance........... 4,525 259,519 0.2% Other Securities.......... 5,852,999 4.3% ----------- ---- TOTAL FRANCE.................. 6,423,973 4.7% ----------- ---- GERMANY -- (4.5%) # Deutsche Wohnen AG........ 11,908 255,634 0.2% Rhoen Klinikum AG......... 8,742 282,273 0.2% Stada Arzneimittel AG..... 5,765 251,386 0.2% Other Securities.......... 6,201,707 4.5% ----------- ---- TOTAL GERMANY................. 6,991,000 5.1% ----------- ---- GREECE -- (0.0%) Other Securities.......... 42,862 0.0% ----------- ---- HONG KONG -- (2.6%) Other Securities.......... 3,959,626 2.9% ----------- ---- IRELAND -- (0.4%) Other Securities.......... 698,746 0.5% ----------- ---- ISRAEL -- (0.6%) Other Securities.......... 959,868 0.7% ----------- ---- ITALY -- (3.2%) Azimut Holding SpA........ 8,914 278,275 0.2%
16 VA INTERNATIONAL SMALL PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- ITALY -- (Continued) * Banca Popolare dell'Emilia Romagna SC. 22,456 $ 258,848 0.2% * Finmeccanica SpA...................... 29,283 270,998 0.2% Other Securities...................... 4,164,264 3.0% ----------- ----- TOTAL ITALY............................... 4,972,385 3.6% ----------- ----- JAPAN -- (17.7%) Other Securities...................... 27,253,185 19.9% ----------- ----- NETHERLANDS -- (2.0%) Delta Lloyd NV........................ 14,060 370,030 0.3% Nutreco NV............................ 8,732 406,502 0.3% Other Securities...................... 2,285,783 1.6% ----------- ----- TOTAL NETHERLANDS......................... 3,062,315 2.2% ----------- ----- NEW ZEALAND -- (0.9%) Other Securities...................... 1,413,254 1.0% ----------- ----- NORWAY -- (1.0%) Other Securities...................... 1,503,102 1.1% ----------- ----- PORTUGAL -- (0.4%) Other Securities...................... 688,976 0.5% ----------- ----- SINGAPORE -- (1.3%) Other Securities...................... 1,950,047 1.4% ----------- ----- SPAIN -- (2.1%) * Jazztel P.L.C......................... 16,693 256,371 0.2% Other Securities...................... 3,009,154 2.2% ----------- ----- TOTAL SPAIN............................... 3,265,525 2.4% ----------- ----- SWEDEN -- (3.5%) Meda AB Class A....................... 13,817 248,360 0.2% NCC AB Class B........................ 8,486 297,311 0.2% Other Securities...................... 4,849,198 3.6% ----------- ----- TOTAL SWEDEN.............................. 5,394,869 4.0% ----------- ----- SWITZERLAND -- (4.0%) Georg Fischer AG...................... 344 272,897 0.2% Lonza Group AG........................ 3,804 398,129 0.3% OC Oerlikon Corp. AG.................. 15,998 254,843 0.2% Other Securities...................... 5,209,289 3.8% ----------- ----- TOTAL SWITZERLAND......................... 6,135,158 4.5% ----------- ----- UNITED KINGDOM -- (20.2%) Ashtead Group P.L.C................... 49,721 736,675 0.5% Balfour Beatty P.L.C.................. 79,585 377,955 0.3% Barratt Developments P.L.C............ 88,920 556,120 0.4% Bellway P.L.C......................... 14,389 350,411 0.3% Berkeley Group Holdings P.L.C......... 7,459 289,422 0.2% * BTG P.L.C............................. 30,003 269,786 0.2% Carillion P.L.C....................... 52,138 326,144 0.2% Close Brothers Group P.L.C............ 16,179 382,168 0.3% Cobham P.L.C.......................... 75,745 395,151 0.3% Daily Mail & General Trust P.L.C...... 19,287 265,855 0.2% DCC P.L.C............................. 10,180 521,971 0.4% * Dixons Retail P.L.C................... 442,969 336,912 0.2%
17 VA INTERNATIONAL SMALL PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- UNITED KINGDOM -- (Continued) Drax Group P.L.C.................... 25,834 $ 289,186 0.2% DS Smith P.L.C...................... 72,474 386,218 0.3% Elementis P.L.C..................... 53,498 251,141 0.2% * Firstgroup P.L.C.................... 136,135 297,478 0.2% Greene King P.L.C................... 16,409 247,040 0.2% Halma P.L.C......................... 44,457 422,375 0.3% Hays P.L.C.......................... 172,819 440,895 0.3% Howden Joinery Group P.L.C.......... 61,666 339,502 0.3% Inchcape P.L.C...................... 24,576 266,974 0.2% Informa P.L.C....................... 33,824 276,218 0.2% Inmarsat P.L.C...................... 22,705 279,372 0.2% Jardine Lloyd Thompson Group P.L.C.. 14,271 254,658 0.2% National Express Group P.L.C........ 52,227 246,377 0.2% Pennon Group P.L.C.................. 19,316 247,277 0.2% * Persimmon P.L.C..................... 23,193 514,699 0.4% Rotork P.L.C........................ 7,996 350,675 0.3% Spectris P.L.C...................... 13,919 523,725 0.4% Spirax-Sarco Engineering P.L.C...... 6,360 311,793 0.2% Taylor Wimpey P.L.C................. 237,041 421,564 0.3% Other Securities.................... 20,006,162 14.5% ------------ ----- TOTAL UNITED KINGDOM.................... 31,181,899 22.8% ------------ ----- UNITED STATES -- (0.1%) Other Securities.................... 118,233 0.1% ------------ ----- TOTAL COMMON STOCKS..................... 135,351,051 98.9% ------------ ----- PREFERRED STOCKS -- (0.0%) UNITED KINGDOM -- (0.0%) Other Securities.................... 187 0.0% ------------ ----- RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) Other Securities.................... 3,950 0.0% ------------ ----- AUSTRIA -- (0.0%) Other Securities.................... -- 0.0% ------------ ----- FRANCE -- (0.0%) Other Securities.................... 24,915 0.0% ------------ ----- HONG KONG -- (0.0%) Other Securities.................... 70 0.0% ------------ ----- ISRAEL -- (0.0%) Other Securities.................... 50 0.0% ------------ ----- PORTUGAL -- (0.0%) Other Securities.................... 3,592 0.0% ------------ ----- SINGAPORE -- (0.0%) Other Securities.................... 54 0.0% ------------ ----- SPAIN -- (0.0%) Other Securities.................... 108 0.0% ------------ ----- SWEDEN -- (0.0%) Other Securities.................... 3,076 0.0% ------------ ----- TOTAL RIGHTS/WARRANTS................... 35,815 0.0% ------------ -----
18 VA INTERNATIONAL SMALL PORTFOLIO CONTINUED
Shares/ Face Percentage Amount Value+ of Net Assets** ------- ------ --------------- (000) SECURITIES LENDING COLLATERAL -- (12.2%) (S)@ DFA Short Term Investment Fund.. 1,622,330 $ 18,770,355 13.7% ------------ ------ TOTAL INVESTMENTS -- (100.0%) (Cost $131,475,177)................. $154,157,408 112.6% ============ ======
Summary of the Portfolio's investments as of April 30, 2014, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) --------------------------------------------- Level 1 Level 2 Level 3 Total ----------- ------------ ------- ------------ Common Stocks Australia................... $ 1,179 $ 7,482,711 -- $ 7,483,890 Austria..................... 6,573 1,325,903 -- 1,332,476 Belgium..................... -- 1,957,397 -- 1,957,397 Canada...................... 12,579,849 375 -- 12,580,224 China....................... -- 1,511 -- 1,511 Denmark..................... -- 2,410,949 -- 2,410,949 Finland..................... 2,666 3,566,915 -- 3,569,581 France...................... -- 6,423,973 -- 6,423,973 Germany..................... 185,100 6,805,900 -- 6,991,000 Greece...................... -- 42,862 -- 42,862 Hong Kong................... -- 3,959,626 -- 3,959,626 Ireland..................... -- 698,746 -- 698,746 Israel...................... -- 959,868 -- 959,868 Italy....................... -- 4,972,385 -- 4,972,385 Japan....................... 92,175 27,161,010 -- 27,253,185 Netherlands................. 42,160 3,020,155 -- 3,062,315 New Zealand................. -- 1,413,254 -- 1,413,254 Norway...................... -- 1,503,102 -- 1,503,102 Portugal.................... -- 688,976 -- 688,976 Singapore................... -- 1,950,047 -- 1,950,047 Spain....................... 2,356 3,263,169 -- 3,265,525 Sweden...................... 49,562 5,345,307 -- 5,394,869 Switzerland................. -- 6,135,158 -- 6,135,158 United Kingdom.............. 3,700 31,178,199 -- 31,181,899 United States............... 90,047 28,186 -- 118,233 Preferred Stocks United Kingdom.............. -- 187 -- 187 Rights/Warrants Australia................... -- 3,950 -- 3,950 Austria..................... -- -- -- -- France...................... -- 24,915 -- 24,915 Hong Kong................... -- 70 -- 70 Israel...................... -- 50 -- 50 Portugal.................... -- 3,592 -- 3,592 Singapore................... -- 54 -- 54 Spain....................... -- 108 -- 108 Sweden...................... -- 3,076 -- 3,076 Securities Lending Collateral. -- 18,770,355 -- 18,770,355 ----------- ------------ -- ------------ TOTAL......................... $13,055,367 $141,102,041 -- $154,157,408 =========== ============ == ============
See accompanying Notes to Financial Statements. 19 VA SHORT-TERM FIXED PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2014 (Unaudited)
Face Amount Value+ ------ ------ (000) AGENCY OBLIGATIONS -- (8.8%) Federal Home Loan Bank 0.250%, 02/20/15............................. $1,100 $ 1,101,250 0.375%, 08/28/15............................. 1,100 1,103,158 Federal Home Loan Mortgage Corporation 1.750%, 09/10/15............................. 3,100 3,164,455 Federal National Mortgage Association 0.500%, 07/02/15............................. 2,600 2,610,117 2.375%, 07/28/15............................. 1,200 1,232,711 0.500%, 09/28/15............................. 1,500 1,505,205 4.375%, 10/15/15............................. 2,500 2,649,112 1.625%, 10/26/15............................. 1,500 1,531,134 ----------- TOTAL AGENCY OBLIGATIONS.......................... 14,897,142 ----------- BONDS -- (62.9%) African Development Bank 2.500%, 03/15/16............................. 200 207,529 Agence Francaise de Developpement 1.250%, 06/09/14............................. 2,600 2,602,434 ANZ New Zealand Int'l, Ltd. 3.125%, 08/10/15............................. 900 927,243 Apple, Inc. Floating Rate Note (r) 0.273%, 05/03/16............................. 1,000 1,000,199 Asian Development Bank 0.500%, 08/17/15............................. 1,500 1,504,380 Australia & New Zealand Banking Group, Ltd. 2.125%, 09/19/14............................. 834 839,263 # 3.700%, 01/13/15............................. 650 665,319 # 0.900%, 02/12/16............................. 300 301,664 Australia & New Zealand Banking Group, Ltd. Floating Rate Note (r) 0.477%, 01/29/15............................. 1,500 1,503,120 Bank Nederlandse Gemeenten 5.000%, 05/16/14............................. 500 500,731 3.125%, 01/12/15............................. 1,000 1,019,604 1.375%, 03/23/15............................. 1,000 1,009,690 2.500%, 01/11/16............................. 1,000 1,034,500 Bank of New York Mellon Corp. (The) # 2.950%, 06/18/15............................. 800 822,539 British Columbia, Province of Canada 2.850%, 06/15/15............................. 3,000 3,086,775 Caisse d'Amortissement de la Dette Sociale 3.500%, 07/01/14............................. 500 502,550 1.250%, 07/11/14............................. 2,000 2,003,780 Commonwealth Bank of Australia 3.750%, 10/15/14............................. 1,800 1,827,009 1.250%, 09/18/15............................. 1,000 1,010,598
Face Amount Value+ ------ ------ (000) Cooperatieve Centrale Raiffeisen- Boerenleenbank BA 1.875%, 12/15/14............................. $2,100 $2,119,887 0.600%, 04/29/15............................. 1,000 999,518 2.125%, 10/13/15............................. 1,000 1,023,357 Cooperatieve Centrale Raiffeisen- Boerenleenbank BA Floating Rate Note (r) 0.715%, 03/18/16............................. 500 502,902 Council Of Europe Development Bank 2.750%, 02/10/15............................. 500 509,588 4.000%, 04/15/15............................. 2,000 2,070,708 # 2.625%, 02/16/16............................. 500 519,431 DBS Bank, Ltd. 2.375%, 09/14/15............................. 1,800 1,842,206 Development Bank of Japan, Inc. 2.750%, 03/15/16............................. 1,000 1,039,079 European Bank for Reconstruction & Development 1.625%, 09/03/15............................. 1,500 1,526,494 European Investment Bank 2.875%, 01/15/15............................. 1,000 1,018,654 1.125%, 04/15/15............................. 500 504,419 1.000%, 07/15/15............................. 500 504,399 4.875%, 02/16/16............................. 1,000 1,078,901 2.250%, 03/15/16............................. 1,000 1,033,204 0.625%, 04/15/16............................. 500 501,588 Export Development Canada 2.250%, 05/28/15............................. 1,500 1,532,208 General Electric Capital Corp. 2.250%, 11/09/15............................. 800 820,874 1.000%, 01/08/16............................. 1,600 1,610,800 General Electric Co. 0.850%, 10/09/15............................. 1,550 1,558,717 International Bank for Reconstruction & Development 2.125%, 03/15/16............................. 1,500 1,547,782 KFW 1.000%, 01/12/15............................. 2,000 2,011,528 2.625%, 02/16/16............................. 500 519,611 Kommunalbanken A.S. 2.875%, 10/27/14............................. 500 506,327 1.000%, 02/09/15............................. 1,100 1,106,424 2.375%, 01/19/16............................. 2,750 2,841,184 Kommunekredit 0.750%, 09/02/14............................. 1,000 1,001,640 Landwirtschaftliche Rentenbank 3.125%, 07/15/15............................. 1,500 1,550,787 National Australia Bank, Ltd. 2.000%, 03/09/15............................. 300 304,165 2.750%, 09/28/15............................. 2,000 2,060,746 0.900%, 01/20/16............................. 1,000 1,007,233 Nederlandse Waterschapsbank NV 1.375%, 05/16/14............................. 1,800 1,800,162 1.250%, 10/20/14............................. 1,450 1,456,728 0.750%, 03/29/16............................. 800 803,325
20 VA SHORT-TERM FIXED PORTFOLIO CONTINUED
Face Amount Value+ ------ ------ (000) Nordea Bank AB 2.250%, 03/20/15............................. $ 900 $ 914,989 Nordea Bank Finland P.L.C. Floating Rate Note (r) 0.418%, 01/21/16............................. 2,500 2,499,617 Nordic Investment Bank # 2.625%, 10/06/14............................. 600 606,152 # 2.500%, 07/15/15............................. 1,000 1,026,798 Novartis Capital Corp. 2.900%, 04/24/15............................. 1,000 1,026,126 NRW Bank 1.250%, 05/15/15............................. 1,000 1,009,560 NRW Bank Floating Rate Note (r) 0.556%, 12/01/14............................. 1,000 1,001,760 Oesterreichische Kontrollbank AG # 4.875%, 02/16/16............................. 1,000 1,078,383 Ontario, Province of Canada 4.500%, 02/03/15............................. 1,100 1,134,919 2.950%, 02/05/15............................. 1,500 1,530,577 0.950%, 05/26/15............................. 500 503,656 Quebec, Province of Canada 4.875%, 05/05/14............................. 2,000 2,000,000 # 4.600%, 05/26/15............................. 1,000 1,045,340 Royal Bank of Canada 0.550%, 05/01/15............................. 3,200 3,204,925 0.800%, 10/30/15............................. 500 502,335 2.625%, 12/15/15............................. 500 516,582 0.850%, 03/08/16............................. 500 501,971 Societe de Financement de l'Economie Francaise 2.875%, 09/22/14............................. 1,000 1,010,120 State of North Rhine-Westphalia 1.625%, 09/17/14............................. 500 502,504 Svensk Exportkredit AB 0.625%, 09/04/15............................. 2,500 2,510,305 1.750%, 10/20/15............................. 980 999,578 Svenska Handelsbanken Floating Rate Note (r) 0.410%, 10/06/14............................. 500 500,268 (r) 0.519%, 01/16/15............................. 1,000 1,002,182 Toronto-Dominion Bank (The) 1.375%, 07/14/14............................. 800 801,715 Toronto-Dominion Bank (The) Floating Rate Note (r) 0.416%, 05/01/15............................. 1,000 1,001,583 (r) 0.437%, 11/06/15............................. 1,874 1,876,809 Total Capital Canada, Ltd. Floating Rate Note (r) 0.607%, 01/15/16............................. 1,140 1,146,915 Total Capital SA 3.000%, 06/24/15............................. 700 720,880 Toyota Motor Credit Corp. 1.250%, 11/17/14............................. 805 809,326 1.000%, 02/17/15............................. 1,500 1,509,184 2.800%, 01/11/16............................. 500 518,700
Face Amount Value+ ------ ------ (000) Toyota Motor Credit Corp. Floating Rate Note (r) 0.406%, 12/05/14............................. $ 400 $ 400,309 (r) 0.380%, 04/08/15............................. 500 500,421 US Bancorp 2.875%, 11/20/14............................. 2,000 2,028,842 Westpac Banking Corp. # 4.200%, 02/27/15............................. 813 837,975 # 3.000%, 08/04/15............................. 1,486 1,532,232 1.125%, 09/25/15............................. 474 478,396 # 3.000%, 12/09/15............................. 500 518,987 0.950%, 01/12/16............................. 1,335 1,345,875 ------------ TOTAL BONDS....................................... 105,860,299 ------------ U.S. TREASURY OBLIGATIONS -- (12.1%) U.S. Treasury Notes 0.250%, 07/15/15............................. 2,500 2,503,027 1.750%, 07/31/15............................. 750 764,912 0.250%, 08/15/15............................. 1,600 1,601,688 1.250%, 08/31/15............................. 700 709,981 1.250%, 10/31/15............................. 500 507,636 0.375%, 11/15/15............................. 1,000 1,002,148 0.250%, 11/30/15............................. 2,700 2,700,105 0.250%, 12/15/15............................. 1,700 1,699,402 2.125%, 12/31/15............................. 3,000 3,091,758 0.375%, 01/15/16............................. 1,000 1,001,289 0.375%, 02/15/16............................. 1,000 1,000,859 0.375%, 03/31/16............................. 2,800 2,799,891 0.375%, 04/30/16............................. 1,000 999,219 ------------ TOTAL U.S. TREASURY OBLIGATIONS................... 20,381,915 ------------ COMMERCIAL PAPER -- (10.8%) BNZ International Funding, Ltd. ## 0.300%, 08/26/14............................. 350 349,771 Caisse des Depots et Consignations ## 0.175%, 05/27/14............................. 2,000 1,999,855 DBS BANK, Ltd. ## 0.150%, 07/25/14............................. 800 799,700 ## 0.230%, 10/01/14............................. 2,000 1,997,912 Nordea Bank AB ## 0.175%, 08/01/14............................. 400 399,822 Oversea Chinese Banking 0.240%, 09/30/14............................. 4,500 4,495,563 Standard Chartered Bank ## 0.160%, 07/07/14............................. 2,000 1,999,414 ## 0.160%, 07/09/14............................. 2,500 2,499,237 ## 0.180%, 07/28/14............................. 250 249,895 Svenska Handelsbanken AB ## 0.150%, 06/11/14............................. 2,450 2,449,583 United Overseas Bank, Ltd. ## 0.200%, 05/13/14............................. 500 499,986 ## 0.190%, 05/19/14............................. 500 499,977 ------------ TOTAL COMMERCIAL PAPER............................ 18,240,715 ------------
21 VA SHORT-TERM FIXED PORTFOLIO CONTINUED
Shares Value+ ------ ------ TEMPORARY CASH INVESTMENTS -- (1.3%) State Street Institutional Liquid Reserves, 0.074%...................................... 2,196,028 $ 2,196,028 ------------ Shares/ Face Amount ------- - (000) SECURITIES LENDING COLLATERAL -- (4.1%) (S)@ DFA Short Term Investment Fund............... 592,064 6,850,178 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $168,250,346).............................. $168,426,277 ============
Summary of the Portfolio's investments as of April 30, 2014, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) -------------------------------------------- Level 1 Level 2 Level 3 Total ---------- ------------ ------- ------------ Agency Obligations............ -- $ 14,897,142 -- $ 14,897,142 Bonds......................... -- 105,860,299 -- 105,860,299 U.S. Treasury Obligations..... -- 20,381,915 -- 20,381,915 Commercial Paper.............. -- 18,240,715 -- 18,240,715 Temporary Cash Investments.... $2,196,028 -- -- 2,196,028 Securities Lending Collateral. -- 6,850,178 -- 6,850,178 ---------- ------------ -- ------------ TOTAL......................... $2,196,028 $166,230,249 -- $168,426,277 ========== ============ == ============
See accompanying Notes to Financial Statements. 22 VA GLOBAL BOND PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2014 (Unaudited)
Face Amount^ Value+ ------- ------ (000) BONDS -- (85.9%) AUSTRALIA -- (6.5%) Australia & New Zealand Banking Group, Ltd. 1.450%, 05/15/18............................. 900 $ 883,424 Commonwealth Bank of Australia 1.900%, 09/18/17............................. 590 598,189 2.500%, 09/20/18............................. 900 918,821 2.250%, 03/13/19............................. 2,000 2,005,116 National Australia Bank, Ltd. # 2.300%, 07/25/18............................. 4,000 4,055,788 Westpac Banking Corp. # 2.250%, 01/17/19............................. 4,400 4,418,739 ----------- TOTAL AUSTRALIA............................................. 12,880,077 ----------- AUSTRIA -- (1.0%) Oesterreichische Kontrollbank AG 1.125%, 05/29/18............................. 1,000 984,780 1.625%, 03/12/19............................. 1,000 993,097 ----------- TOTAL AUSTRIA............................................... 1,977,877 ----------- CANADA -- (9.1%) Canada Government International Bond 1.625%, 02/27/19............................. 2,900 2,892,167 Ontario, Province of Canada # 1.200%, 02/14/18............................. 1,100 1,088,748 # 2.000%, 09/27/18............................. 1,300 1,313,599 2.000%, 01/30/19............................. 2,750 2,765,661 Royal Bank of Canada 2.200%, 07/27/18............................. 5,000 5,067,950 # 2.150%, 03/15/19............................. 200 200,237 Toronto-Dominion Bank (The) 1.400%, 04/30/18............................. 1,500 1,477,937 2.625%, 09/10/18............................. 2,500 2,572,728 Total Capital Canada, Ltd. 1.450%, 01/15/18............................. 750 748,042 ----------- TOTAL CANADA................................................ 18,127,069 ----------- DENMARK -- (1.7%) Kommunekredit 1.125%, 03/15/18............................. 3,500 3,449,306 ----------- FINLAND -- (2.3%) Finland Government International Bond 1.625%, 10/01/18............................. 1,000 1,001,440 Municipality Finance P.L.C. 1.125%, 12/07/17............................. GBP1,000 1,658,937 1.125%, 04/17/18............................. 2,000 1,966,020 ----------- TOTAL FINLAND............................................... 4,626,397 -----------
Face Amount^ Value+ ------- ------ (000) FRANCE -- (2.2%) Total Capital International SA 1.550%, 06/28/17............................. 2,000 $ 2,023,188 2.125%, 01/10/19............................. 1,000 1,012,089 Total Capital SA 2.125%, 08/10/18............................. 1,300 1,320,795 ----------- TOTAL FRANCE...................................... 4,356,072 ----------- GERMANY -- (6.1%) KFW 1.000%, 12/07/17............................. GBP2,000 3,310,377 1.000%, 06/11/18............................. 500 490,561 Landeskreditbank Baden- Wuerttemberg Foerderbank 0.875%, 12/15/17............................. GBP1,000 1,642,914 Landwirtschaftliche Rentenbank 1.000%, 12/15/17............................. GBP3,000 4,959,537 NRW Bank 0.875%, 12/15/17............................. GBP1,000 1,641,816 ----------- TOTAL GERMANY..................................... 12,045,205 ----------- JAPAN -- (2.5%) Japan Bank for International Cooperation 1.750%, 07/31/18............................. 4,000 4,007,068 Japan Finance Organization for Municipalities 1.375%, 02/05/18............................. 1,000 988,000 ----------- TOTAL JAPAN....................................... 4,995,068 ----------- NETHERLANDS -- (8.2%) Bank Nederlandse Gemeenten 1.375%, 09/27/17............................. 2,100 2,106,426 1.375%, 03/19/18............................. 800 795,138 Cooperatieve Centrale Raiffeisen- Boerenleenbank BA 2.250%, 01/14/19............................. 5,035 5,056,409 Nederlandse Waterschapsbank NV 1.875%, 03/13/19............................. 3,100 3,088,821 Shell International Finance BV 1.900%, 08/10/18............................. 4,000 4,020,584 # 2.000%, 11/15/18............................. 1,300 1,309,902 ----------- TOTAL NETHERLANDS................................. 16,377,280 ----------- NEW ZEALAND -- (1.9%) New Zealand Government Bond 6.000%, 12/15/17............................. NZD4,000 3,678,538 ----------- NORWAY -- (4.4%) Kommunalbanken A.S. 1.000%, 09/26/17............................. 900 892,071 1.000%, 03/15/18............................. 2,000 1,963,992 2.125%, 03/15/19............................. 2,200 2,226,862
23 VA GLOBAL BOND PORTFOLIO CONTINUED
Face Amount^ Value+ ------- ------ (000) NORWAY -- (Continued) Statoil ASA 1.150%, 05/15/18............................. 2,600 $2,547,155 1.950%, 11/08/18............................. 1,100 1,103,127 ---------- TOTAL NORWAY..................................... 8,733,207 ---------- SINGAPORE -- (2.5%) Singapore Government Bond 0.500%, 04/01/18............................. SGD 3,000 2,356,358 4.000%, 09/01/18............................. SGD 3,000 2,688,416 ---------- TOTAL SINGAPORE.................................. 5,044,774 ---------- SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (4.7%) Asian Development Bank 1.875%, 04/12/19............................. 500 502,800 Council Of Europe Development Bank 1.000%, 03/07/18............................. 500 492,230 European Investment Bank 1.625%, 12/18/18............................. 1,000 997,355 1.500%, 02/01/19............................. GBP 1,600 2,637,144 1.875%, 03/15/19............................. 1,600 1,604,525 International Bank for Reconstruction & Development 1.875%, 03/15/19............................. 3,000 3,022,800 ---------- TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS..... 9,256,854 ---------- SWEDEN -- (3.3%) Kommuninvest I Sverige AB 1.000%, 10/24/17............................. 900 891,785 Svensk Exportkredit AB 1.750%, 05/30/17............................. 2,400 2,447,424 1.875%, 12/21/18............................. GBP 500 838,062 Svenska Handelsbanken AB 4.000%, 01/18/19............................. GBP 137 246,526 # 2.500%, 01/25/19............................. 2,000 2,029,986 ---------- TOTAL SWEDEN..................................... 6,453,783 ---------- UNITED KINGDOM -- (4.0%) Barclays Bank P.L.C. 1.500%, 04/04/17............................. GBP 1,000 1,694,123 Lloyds Bank P.L.C. 1.500%, 05/02/17............................. GBP 500 846,614 United Kingdom Gilt 1.250%, 07/22/18............................. GBP 3,200 5,308,240 ---------- TOTAL UNITED KINGDOM............................. 7,848,977 ---------- UNITED STATES -- (25.5%) Apple, Inc. 1.000%, 05/03/18............................. $4,700 4,588,812 2.100%, 05/06/19............................. 700 702,150
Face Amount^ Value+ ------- ------ (000) UNITED STATES -- (Continued) Berkshire Hathaway Finance Corp. 1.600%, 05/15/17............................. $1,200 $ 1,216,254 1.300%, 05/15/18............................. 2,500 2,470,477 Berkshire Hathaway, Inc. 1.550%, 02/09/18............................. 900 899,537 Chevron Corp. 1.104%, 12/05/17............................. 3,800 3,776,174 1.718%, 06/24/18............................. 173 173,365 Coca-Cola Co. (The) 1.150%, 04/01/18............................. 1,500 1,477,684 1.650%, 11/01/18............................. 3,000 2,995,617 Colgate-Palmolive Co. 0.900%, 05/01/18............................. 500 483,244 Exxon Mobil Corp. 1.819%, 03/15/19............................. 3,300 3,299,228 General Electric Capital Corp. 5.625%, 09/15/17............................. 2,500 2,836,430 1.625%, 04/02/18............................. 1,000 998,529 2.300%, 01/14/19............................. 1,300 1,316,553 International Business Machines Corp. 1.250%, 02/08/18............................. 1,000 990,026 # 1.950%, 02/12/19............................. 4,200 4,176,430 Johnson & Johnson 5.150%, 07/15/18............................. 1,930 2,206,505 1.650%, 12/05/18............................. 1,600 1,594,101 Microsoft Corp. 1.625%, 12/06/18............................. 3,000 2,979,081 Pfizer, Inc. 1.500%, 06/15/18............................. 1,500 1,482,006 Toyota Motor Credit Corp. 1.750%, 05/22/17............................. 500 508,301 # 1.375%, 01/10/18............................. 3,500 3,450,443 2.000%, 10/24/18............................. 500 503,118 2.100%, 01/17/19............................. 500 503,035 Wal-Mart Stores, Inc. 5.800%, 02/15/18............................. 1,000 1,153,586 1.125%, 04/11/18............................. 1,500 1,473,848 # 1.950%, 12/15/18............................. 2,500 2,512,737 ------------ TOTAL UNITED STATES.............................. 50,767,271 ------------ TOTAL BONDS...................................... 170,617,755 ------------ AGENCY OBLIGATIONS -- (4.3%) Federal Home Loan Mortgage Corporation 4.875%, 06/13/18............................. 700 797,054 Federal National Mortgage Association # 1.875%, 09/18/18............................. 1,000 1,010,721 # 1.625%, 11/27/18............................. 5,000 4,994,230 # 1.875%, 02/19/19............................. 1,800 1,813,723 ------------ TOTAL AGENCY OBLIGATIONS......................... 8,615,728 ------------
24 VA GLOBAL BOND PORTFOLIO CONTINUED
Shares/ Face Amount Value+ ------- ------ (000) SECURITIES LENDING COLLATERAL -- (9.8%) (S)@ DFA Short Term Investment Fund............... 1,688,422 $ 19,535,038 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $197,152,905).............................. $198,768,521 ============
Summary of the Portfolio's investments as of April 30, 2014, 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.............................. -- $ 12,880,077 -- $ 12,880,077 Austria................................ -- 1,977,877 -- 1,977,877 Canada................................. -- 18,127,069 -- 18,127,069 Denmark................................ -- 3,449,306 -- 3,449,306 Finland................................ -- 4,626,397 -- 4,626,397 France................................. -- 4,356,072 -- 4,356,072 Germany................................ -- 12,045,205 -- 12,045,205 Japan.................................. -- 4,995,068 -- 4,995,068 Netherlands............................ -- 16,377,280 -- 16,377,280 New Zealand............................ -- 3,678,538 -- 3,678,538 Norway................................. -- 8,733,207 -- 8,733,207 Singapore.............................. -- 5,044,774 -- 5,044,774 Supranational Organization Obligations. -- 9,256,854 -- 9,256,854 Sweden................................. -- 6,453,783 -- 6,453,783 United Kingdom......................... -- 7,848,977 -- 7,848,977 United States.......................... -- 50,767,271 -- 50,767,271 Agency Obligations....................... -- 8,615,728 -- 8,615,728 Securities Lending Collateral............ -- 19,535,038 -- 19,535,038 Forward Currency Contracts**............. -- (145,387) -- (145,387) -- ------------ -- ------------ TOTAL.................................... -- $198,623,134 -- $198,623,134 == ============ == ============
**Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note G) See accompanying Notes to Financial Statements. 25 DFA VA GLOBAL MODERATE ALLOCATION PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2014 (Unaudited)
Shares Value+ ------- ----------- AFFILIATED INVESTMENT COMPANIES -- (100.0%) Investment in U.S. Core Equity 2 Portfolio of DFA Investment Dimensions Group Inc................................. 869,859 $14,413,567 Investment in International Core Equity Portfolio of DFA Investment Dimensions Group Inc................................. 600,419 7,907,517 Investment in DFA Selectively Hedged Global Fixed Income Portfolio of DFA Investment Dimensions Group Inc................................. 611,329 6,235,560 Investment in VA Global Bond Portfolio of DFA Investment Dimensions Group Inc................................. 577,242 6,222,664 Investment in U.S. Core Equity 1 Portfolio of DFA Investment Dimensions Group Inc................................. 305,972 5,137,264 Investment in Emerging Markets Core Equity Portfolio of DFA Investment Dimensions Group Inc................................. 138,823 2,737,595 Investment in DFA Two-Year Global Fixed Income Portfolio of DFA Investment Dimensions Group Inc................................. 248,449 2,486,970 Investment in VA Short-Term Fixed Portfolio of DFA Investment Dimensions Group Inc................................. 243,338 2,484,486 Investment in VA U.S. Large Value Portfolio of DFA Investment Dimensions Group Inc................................. 44,605 998,695 Investment in VA International Value Portfolio of DFA Investment Dimensions Group Inc................................. 64,784 879,761 Investment in DFA Real Estate Securities Portfolio of DFA Investment Dimensions Group Inc................................. 17,334 511,341 ----------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $45,615,030)............................................... 50,015,420 ----------- TEMPORARY CASH INVESTMENTS -- (0.0%) State Street Institutional Liquid Reserves, 0.074% (Cost $16,376)...................................................... 16,376 16,376 ----------- TOTAL INVESTMENTS -- (100.0%) (Cost $45,631,406)............................................... $50,031,796 ===========
Summary of the Portfolio's investments as of April 30, 2014, 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. $50,015,420 -- -- $50,015,420 Temporary Cash Investments...... 16,376 -- -- 16,376 ----------- -- -- ----------- TOTAL........................... $50,031,796 -- -- $50,031,796 =========== == == ===========
See accompanying Notes to Financial Statements. 26 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2014 (Unaudited) (Amounts in thousands, except share and per share amounts)
VA U.S. VA Targeted Value VA U.S. Large International Portfolio Value Portfolio Value Portfolio* -------------- --------------- ---------------- ASSETS: Investments at Value (including $34,110, $10,115 and $17,146 of securities on loan, respectively)....................................... $ 162,885 $ 230,084 $ 156,424 Temporary Cash Investments at Value & Cost............................... 889 951 -- Collateral from Securities on Loan Invested in Affiliate at Value & Cost. 34,835 10,329 17,477 Foreign Currencies at Value.............................................. -- -- 532 Cash..................................................................... 246 -- 708 Receivables: Investment Securities Sold............................................. 273 203 51 Dividends, Interest and Tax Reclaims................................... 64 206 526 Securities Lending Income.............................................. 10 3 43 Fund Shares Sold....................................................... 181 247 134 Unrealized Gain on Foreign Currency Contracts............................ -- -- 1 ------------ ------------ ------------ Total Assets........................................................ 199,383 242,023 175,896 ------------ ------------ ------------ LIABILITIES: Payables: Upon Return of Securities Loaned....................................... 34,835 10,329 17,477 Investment Securities Purchased........................................ 562 782 777 Fund Shares Redeemed................................................... 121 39 24 Due to Advisor......................................................... 47 47 51 Unrealized Loss on Foreign Currency Contracts............................ -- -- 2 Accrued Expenses and Other Liabilities................................... 13 17 17 ------------ ------------ ------------ Total Liabilities................................................... 35,578 11,214 18,348 ------------ ------------ ------------ NET ASSETS............................................................... $ 163,805 $ 230,809 $ 157,548 ============ ============ ============ SHARES OUTSTANDING, $0.01 PAR VALUE (1).................................. 8,665,065 10,306,567 11,605,692 ============ ============ ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE................................................................... $ 18.90 $ 22.39 $ 13.58 ============ ============ ============ Investments at Cost...................................................... $ 121,486 $ 159,664 $ 143,907 ============ ============ ============ Foreign Currencies at Cost............................................... $ -- $ -- $ 529 ============ ============ ============ NET ASSETS CONSIST OF: Paid-In Capital.......................................................... $ 116,153 $ 159,439 $ 143,111 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)...................................................... 306 1,212 3,705 Accumulated Net Realized Gain (Loss)..................................... 5,947 (262) (1,787) Net Unrealized Foreign Exchange Gain (Loss).............................. -- -- (1) Net Unrealized Appreciation (Depreciation)............................... 41,399 70,420 12,520 ------------ ------------ ------------ NET ASSETS............................................................... $ 163,805 $ 230,809 $ 157,548 ============ ============ ============ (1) NUMBER OF SHARES AUTHORIZED.......................................... 100,000,000 100,000,000 100,000,000 ============ ============ ============
---------- * See Note I in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 27 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2014 (Unaudited) (Amounts in thousands, except share and per share amounts)
DFA VA Global VA VA Short- VA Global Moderate International Term Fixed Bond Allocation Small Portfolio* Portfolio Portfolio Portfolio ---------------- ------------ ------------ ------------ ASSETS: Investments in Affiliated Investment Companies at Value...................................................... $ -- $ -- $ -- $ 50,015 Investments at Value (including $18,035, $6,711, $19,090 and $0 of securities on loan, respectively)................ $ 135,387 $ 159,380 $ 179,233 $ -- Temporary Cash Investments at Value & Cost.................. -- 2,196 -- 16 Collateral from Securities on Loan Invested in Affiliate at Value & Cost............................................... 18,770 6,850 19,535 -- Foreign Currencies at Value................................. 328 -- -- -- Cash........................................................ 815 -- 1,372 -- Receivables: Investment Securities Sold................................ 2 -- -- -- Dividends, Interest and Tax Reclaims...................... 566 635 892 -- Securities Lending Income................................. 30 1 2 -- Fund Shares Sold.......................................... 198 268 344 -- Unrealized Gain on Foreign Currency Contracts............... 1 -- -- -- ------------ ------------ ------------ ------------ Total Assets........................................... 156,097 169,330 201,378 50,031 ------------ ------------ ------------ ------------ LIABILITIES: Payables: Upon Return of Securities Loaned.......................... 18,770 6,850 19,535 -- Investment Securities Purchased........................... 323 1,992 700 -- Fund Shares Redeemed...................................... 6 14 -- -- Due to Advisor............................................ 56 33 34 2 Unrealized Loss on Forward Currency Contracts............... -- -- 145 -- Accrued Expenses and Other Liabilities...................... 30 11 13 6 ------------ ------------ ------------ ------------ Total Liabilities...................................... 19,185 8,900 20,427 8 ------------ ------------ ------------ ------------ NET ASSETS.................................................. $ 136,912 $ 160,430 $ 180,951 $ 50,023 ============ ============ ============ ============ SHARES OUTSTANDING, $0.01 PAR VALUE (1)..................... 10,697,114 15,715,473 16,780,603 4,456,953 ============ ============ ============ ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE............................................ $ 12.80 $ 10.21 $ 10.78 $ 11.22 ============ ============ ============ ============ Investments in Affiliated Investment Companies at Cost...... $ -- $ -- $ -- $ 45,615 ------------ ------------ ------------ ------------ Investments at Cost......................................... $ 112,705 $ 159,204 $ 177,618 $ -- ============ ============ ============ ============ Foreign Currencies at Cost.................................. $ 327 $ -- $ -- $ -- ============ ============ ============ ============ NET ASSETS CONSIST OF: Paid-In Capital............................................. $ 112,862 $ 160,145 $ 178,531 $ 45,283 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........................... 406 90 729 45 Accumulated Net Realized Gain (Loss)........................ 959 19 217 295 Net Unrealized Foreign Exchange Gain (Loss)................. 2 -- (141) -- Net Unrealized Appreciation (Depreciation).................. 22,683 176 1,615 4,400 ------------ ------------ ------------ ------------ NET ASSETS.................................................. $ 136,912 $ 160,430 $ 180,951 $ 50,023 ============ ============ ============ ============ (1) NUMBER OF SHARES AUTHORIZED............................. 100,000,000 100,000,000 100,000,000 100,000,000 ============ ============ ============ ============
---------- * See Note I in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 28 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2014 (Unaudited) (Amounts in thousands)
VA U.S. VA Targeted VA U.S. Large International Value Value Value Portfolio Portfolio Portfolio --------- ------------- ------------- Investment Income Dividends (Net of Foreign Taxes Withheld of $0, $0 and $200, respectively). $ 975 $ 1,974 $4,347 Income from Securities Lending............................................. 57 22 93 ------- ------- ------ Total Investment Income................................................. 1,032 1,996 4,440 ------- ------- ------ Expenses Investment Advisory Services Fees.......................................... 281 268 290 Accounting & Transfer Agent Fees........................................... 5 7 10 Custodian Fees............................................................. 4 3 21 Filing Fees................................................................ 1 1 1 Shareholders' Reports...................................................... 1 2 1 Directors'/Trustees' Fees & Expenses....................................... 1 1 1 Professional Fees.......................................................... 2 3 21 Other...................................................................... 4 2 1 ------- ------- ------ Total Expenses.......................................................... 299 287 346 ------- ------- ------ Fees Paid Indirectly....................................................... -- -- -- ------- ------- ------ Net Expenses............................................................... 299 287 346 ------- ------- ------ Net Investment Income (Loss)............................................... 733 1,709 4,094 ------- ------- ------ Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold............................................... 10,429 (146) 629 Foreign Currency Transactions............................................ -- -- 3 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency............................... 1,868 17,828 3,129 Translation of Foreign Currency Denominated Amounts...................... -- -- (3) ------- ------- ------ Net Realized and Unrealized Gain (Loss).................................... 12,297 17,682 3,758 ------- ------- ------ Net Increase (Decrease) in Net Assets Resulting from Operations.............. $13,030 $19,391 $7,852 ======= ======= ======
See accompanying Notes to Financial Statements. 29 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2014 (Unaudited) (Amounts in thousands)
DFA VA VA Global International VA Short- VA Global Moderate Small Term Fixed Bond Allocation Portfolio Portfolio Portfolio Portfolio ------------- ---------- --------- ---------- Investment Income Income Distributions Received from Affiliated Investment Companies..... -- -- -- $ 362 ------ ---- ------- ------ Total Net Investment Income Received from Affiliated Investment Companies.......................................................... -- -- -- 362 ------ ---- ------- ------ Dividends (Net of Foreign Taxes Withheld of $134, $0, $0 and $0, respectively)......................................................... $1,441 -- -- -- Interest............................................................... -- $368 $ 1,279 -- Income from Securities Lending......................................... 120 3 7 -- ------ ---- ------- ------ Total Investment Income............................................. 1,561 371 1,286 -- ------ ---- ------- ------ Expenses Investment Advisory Services Fees...................................... 316 188 198 56 Accounting & Transfer Agent Fees....................................... 9 5 5 9 Custodian Fees......................................................... 39 2 5 -- Filing Fees............................................................ 1 1 1 1 Shareholders' Reports.................................................. 1 1 2 -- Directors'/Trustees' Fees & Expenses................................... 1 1 1 -- Professional Fees...................................................... 2 2 2 3 Organizational & Offering Costs........................................ -- -- -- 41 Other.................................................................. 4 1 1 -- ------ ---- ------- ------ Total Expenses...................................................... 373 201 215 110 ------ ---- ------- ------ Fees (Waived), Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C)......................................... -- -- -- (80) Fees Paid Indirectly................................................... -- -- (1) -- ------ ---- ------- ------ Net Expenses........................................................... 373 201 214 30 ------ ---- ------- ------ Net Investment Income (Loss)........................................... 1,188 170 1,072 332 ------ ---- ------- ------ Realized and Unrealized Gain (Loss) Capital Gain Distributions Received from Affiliated Investment Companies............................................................. -- -- -- 297 Net Realized Gain (Loss) on: Investment Securities Sold*.......................................... 964 45 1,805 -- Foreign Currency Transactions........................................ (1) -- (1,564) -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency........................... 7,198 -- (60) 1,369 Translation of Foreign Currency Denominated Amounts.................. 1 -- (184) -- ------ ---- ------- ------ Net Realized and Unrealized Gain (Loss)................................ 8,162 45 (3) 1,666 ------ ---- ------- ------ Net Increase (Decrease) in Net Assets Resulting from Operations.......... $9,350 $215 $ 1,069 $1,998 ====== ==== ======= ======
---------- * Net of foreign capital gain taxes withheld of $2, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 30 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
VA U.S. Targeted Value VA U.S. Large Value Portfolio Portfolio -------------------- -------------------- Six Months Year Six Months Year Ended Ended Ended Ended April 30, Oct. 31, April 30, Oct. 31, 2014 2013 2014 2013 ----------- -------- ----------- -------- (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)...................................... $ 733 $ 1,610 $ 1,709 $ 3,064 Net Realized Gain (Loss) on: Investment Securities Sold...................................... 10,429 8,116 (146) 19,286 Futures......................................................... -- 14 -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities........................................... 1,868 34,514 17,828 30,264 -------- -------- -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations.................................................... 13,030 44,254 19,391 52,614 -------- -------- -------- -------- Distributions From: Net Investment Income............................................. (1,253) (1,513) (2,914) (2,749) Net Long-Term Gains............................................... -- -- (16,668) -- -------- -------- -------- -------- Total Distributions............................................ (1,253) (1,513) (19,582) (2,749) -------- -------- -------- -------- Capital Share Transactions (1): Shares Issued..................................................... 21,821 41,539 29,434 40,912 Shares Issued in Lieu of Cash Distributions....................... 1,253 1,513 19,582 2,749 Shares Redeemed................................................... (32,367) (27,317) (18,139) (44,449) -------- -------- -------- -------- Net Increase (Decrease) from Capital Share Transactions........ (9,293) 15,735 30,877 (788) -------- -------- -------- -------- Total Increase (Decrease) in Net Assets........................ 2,484 58,476 30,686 49,077 Net Assets Beginning of Period............................................... 161,321 102,845 200,123 151,046 -------- -------- -------- -------- End of Period..................................................... $163,805 $161,321 $230,809 $200,123 ======== ======== ======== ======== (1) Shares Issued and Redeemed: Shares Issued..................................................... 1,185 2,689 1,337 2,039 Shares Issued in Lieu of Cash Distributions....................... 70 119 933 162 Shares Redeemed................................................... (1,738) (1,836) (824) (2,278) -------- -------- -------- -------- Net Increase (Decrease) from Shares Issued and Redeemed........ (483) 972 1,446 (77) ======== ======== ======== ======== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)................................................. $ 306 $ 826 $ 1,212 $ 2,417
See accompanying Notes to Financial Statements. 31 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
VA International Value VA International Small Portfolio Portfolio -------------------- -------------------- Six Months Year Six Months Year Ended Ended Ended Ended April 30, Oct. 31, April 30, Oct. 31, 2014 2013 2014 2013 ----------- -------- ----------- -------- (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)...................................... $ 4,094 $ 3,316 $ 1,188 $ 2,333 Net Realized Gain (Loss) on: Investment Securities Sold*..................................... 629 839 964 3,779 Foreign Currency Transactions................................... 3 (28) (1) (33) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency...................... 3,129 22,926 7,198 20,645 Translation of Foreign Currency Denominated Amounts............. (3) 5 1 4 -------- -------- -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations.................................................... 7,852 27,058 9,350 26,728 -------- -------- -------- -------- Distributions From: Net Investment Income............................................. (3,420) (3,195) (2,639) (2,169) Net Short-Term Gains.............................................. -- -- (812) -- Net Long-Term Gains............................................... -- -- (2,793) (1,449) -------- -------- -------- -------- Total Distributions............................................ (3,420) (3,195) (6,244) (3,618) -------- -------- -------- -------- Capital Share Transactions (1): Shares Issued..................................................... 21,602 31,167 19,823 33,809 Shares Issued in Lieu of Cash Distributions....................... 3,420 3,195 6,244 3,618 Shares Redeemed................................................... (9,814) (19,474) (12,188) (27,214) -------- -------- -------- -------- Net Increase (Decrease) from Capital Share Transactions........ 15,208 14,888 13,879 10,213 -------- -------- -------- -------- Total Increase (Decrease) in Net Assets........................ 19,640 38,751 16,985 33,323 Net Assets Beginning of Period............................................... 137,908 99,157 119,927 86,604 End of Period..................................................... $157,548 $137,908 $136,912 $119,927 ======== ======== ======== ======== (1) Shares Issued and Redeemed: Shares Issued..................................................... 1,645 2,635 1,582 3,051 Shares Issued in Lieu of Cash Distributions....................... 271 295 528 364 Shares Redeemed................................................... (745) (1,660) (972) (2,495) -------- -------- -------- -------- Net Increase (Decrease) from Shares Issued and Redeemed........ 1,171 1,270 1,138 920 ======== ======== ======== ======== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)................................................. $ 3,705 $ 3,031 $ 406 $ 1,857
---------- * Net of foreign capital gain taxes withheld of $0, $0, $2 and $0, respectively. See accompanying Notes to Financial Statements. 32 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
VA Short-Term Fixed DFA VA Global Moderate Portfolio VA Global Bond Portfolio Allocation Portfolio -------------------- ----------------------- --------------------- Period April 8, Six Months Year Six Months Year Six Months 2013(a) Ended Ended Ended Ended Ended to April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31, 2014 2013 2014 2013 2014 2013 ----------- -------- ----------- -------- ----------- -------- (Unaudited) (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)................. $ 170 $ 386 $ 1,072 $ 1,574 $ 332 $ 241 Capital Gain Distributions Received from Affiliated Investment Companies............. -- -- -- -- 297 -- Net Realized Gain (Loss) on: Investment Securities Sold................. 45 110 1,805 2,995 -- 108 Foreign Currency Transactions.............. -- -- (1,564) (2,051) -- -- Change in Unrealized Appreciation (Depreciation) of: Affiliated Investment Companies Shares..... -- (126) (60) (2,110) 1,369 3,031 Translation of Foreign Currency Denominated Amounts....................... -- -- (184) 645 -- -- -------- -------- -------- -------- ------- ------- Net Increase (Decrease) in Net Assets Resulting from Operations................ 215 370 1,069 1,053 1,998 3,380 -------- -------- -------- -------- ------- ------- Distributions From: Net Investment Income........................ (382) (475) (767) (2,291) (537) -- Net Short-Term Gains......................... (85) (121) (345) (242) (110) -- Net Long-Term Gains.......................... (42) (132) (2,067) (1,667) -- -- -------- -------- -------- -------- ------- ------- Total Distributions....................... (509) (728) (3,179) (4,200) (647) -- -------- -------- -------- -------- ------- ------- Capital Share Transactions (1): Shares Issued................................ 32,786 47,780 24,895 57,493 7,917 37,150 Shares Issued in Lieu of Cash Distributions.. 509 728 3,179 4,200 647 -- Shares Redeemed.............................. (10,477) (22,284) (12,306) (32,443) (375) (47) -------- -------- -------- -------- ------- ------- Net Increase (Decrease) from Capital Share Transactions....................... 22,818 26,224 15,768 29,250 8,189 37,103 -------- -------- -------- -------- ------- ------- Total Increase (Decrease) in Net Assets................................... 22,524 25,866 13,658 26,103 9,540 40,483 Net Assets Beginning of Period.......................... 137,906 112,040 167,293 141,190 40,483 -- End of Period................................ $160,430 $137,906 $180,951 $167,293 $50,023 $40,483 ======== ======== ======== ======== ======= ======= (1) Shares Issued and Redeemed: Shares Issued................................ 3,212 4,675 2,311 5,272 720 3,716 Shares Issued in Lieu of Cash Distributions.. 50 71 297 385 60 -- Shares Redeemed.............................. (1,027) (2,181) (1,142) (2,972) (34) (5) -------- -------- -------- -------- ------- ------- Net Increase (Decrease) from Shares Issued and Redeemed...................... 2,235 2,565 1,466 2,685 746 3,711 ======== ======== ======== ======== ======= ======= Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)............................ $ 90 $ 302 $ 729 $ 424 $ 45 $ 250
---------- See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 33 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
VA U.S. Targeted Value Portfolio ----------------------------------------------------------- ------------- Six Months Year Year Year Year Year Six Months Ended Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, April 30, 2014 2013 2012 2011 2010 2009 2014 --------------------------------------------------------------------------------------------------------------------------------- (Unaudited) (Unaudited) Net Asset Value, Beginning of Period................. $ 17.63 $ 12.58 $ 10.95 $ 10.40 $ 8.27 $ 8.13 $ 22.58 -------- -------- -------- ------- ------- ------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................... 0.08 0.19 0.12 0.09 0.07 0.08 0.17 Net Gains (Losses) on Securities (Realized and Unrealized)....................................... 1.33 5.05 1.60 0.53 2.15 0.24 1.81 -------- -------- -------- ------- ------- ------- -------- Total from Investment Operations.................. 1.41 5.24 1.72 0.62 2.22 0.32 1.98 --------------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income.............................. (0.14) (0.19) (0.09) (0.07) (0.09) (0.14) (0.32) Net Realized Gains................................. -- -- -- -- -- (0.04) (1.85) -------- -------- -------- ------- ------- ------- -------- Total Distributions............................... (0.14) (0.19) (0.09) (0.07) (0.09) (0.18) (2.17) --------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period....................... $ 18.90 $ 17.63 $ 12.58 $ 10.95 $ 10.40 $ 8.27 $ 22.39 ===================================================== =========== ======== ======== ======== ======== ======== =========== Total Return......................................... 8.02%(D) 42.19% 15.82% 5.94% 27.00% 4.32% 9.45%(D) --------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)................ $163,805 $161,321 $102,845 $88,845 $93,851 $67,307 $230,809 Ratio of Expenses to Average Net Assets.............. 0.37%(E) 0.39% 0.41% 0.40% 0.42% 0.45% 0.27%(E) Ratio of Net Investment Income to Average Net Assets. 0.91%(E) 1.28% 1.00% 0.82% 0.68% 1.11% 1.59%(E) Portfolio Turnover Rate.............................. 10%(D) 15% 21% 14% 32% 19% 10%(D) ---------------------------------------------------------------------------------------------------------------------------------
VA U.S. Large Value Portfolio ------------------------------------------------ Year Year Year Year Year Ended Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2013 2012 2011 2010 2009 ------------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Period................. $ 16.90 $ 14.60 $ 14.09 $ 11.94 $ 11.10 -------- -------- -------- -------- ------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................... 0.35 0.30 0.24 0.25 0.23 Net Gains (Losses) on Securities (Realized and Unrealized)....................................... 5.64 2.26 0.52 2.12 0.92 -------- -------- -------- -------- ------- Total from Investment Operations.................. 5.99 2.56 0.76 2.37 1.15 ------------------------------------------------------------------------------------------------------ Less Distributions ------------------ Net Investment Income.............................. (0.31) (0.26) (0.25) (0.22) (0.31) Net Realized Gains................................. -- -- -- -- -- -------- -------- -------- -------- ------- Total Distributions............................... (0.31) (0.26) (0.25) (0.22) (0.31) ------------------------------------------------------------------------------------------------------ Net Asset Value, End of Period....................... $ 22.58 $ 16.90 $ 14.60 $ 14.09 $ 11.94 ===================================================== ======== ======== ======== ======== ======== Total Return......................................... 36.04% 17.87% 5.37% 20.08% 11.01% ------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands)................ $200,123 $151,046 $123,893 $122,672 $99,834 Ratio of Expenses to Average Net Assets.............. 0.28% 0.30% 0.29% 0.30% 0.33% Ratio of Net Investment Income to Average Net Assets. 1.78% 1.92% 1.59% 1.87% 2.24% Portfolio Turnover Rate.............................. 29% 12% 15% 33% 38% ------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 34 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
VA International Value Portfolio ------------------------------------------------------------ Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 2009 ---------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period......................... $ 13.22 $ 10.82 $ 10.87 $ 12.07 $ 11.22 $ 10.20 -------- -------- ------- ------- -------- ------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.37 0.34 0.37 0.37 0.25 0.27 Net Gains (Losses) on Securities (Realized and Unrealized). 0.31 2.41 (0.02) (1.32) 0.89 2.47 -------- -------- ------- ------- -------- ------- Total from Investment Operations.......................... 0.68 2.75 0.35 (0.95) 1.14 2.74 ---------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.32) (0.35) (0.40) (0.25) (0.29) (0.54) Net Realized Gains......................................... -- -- -- -- -- (1.18) -------- -------- ------- ------- -------- ------- Total Distributions....................................... (0.32) (0.35) (0.40) (0.25) (0.29) (1.72) ---------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period............................... $ 13.58 $ 13.22 $ 10.82 $ 10.87 $ 12.07 $ 11.22 ============================================================= =========== ======== ======== ======== ======== ======== Total Return................................................. 5.35%(D) 26.10% 3.57% (8.08)% 10.35% 33.92% ---------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)........................ $157,548 $137,908 $99,157 $93,450 $103,601 $75,350 Ratio of Expenses to Average Net Assets...................... 0.48%(E) 0.47% 0.50% 0.49% 0.50% 0.52% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)................................................. 0.48%(E) 0.47% 0.50% 0.49% 0.50% 0.52% Ratio of Net Investment Income to Average Net Assets......... 5.66%(E) 2.90% 3.56% 3.02% 2.28% 3.03% Portfolio Turnover Rate...................................... 6%(D) 14% 17% 19% 21% 20% ----------------------------------------------------------------------------------------------------------------------------
VA International Small Portfolio ----------------------------------------------------------- Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 2009 -------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period......................... $ 12.55 $ 10.02 $ 10.20 $ 10.62 $ 9.20 $ 7.33 -------- -------- ------- ------- ------- ------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.12 0.26 0.24 0.25 0.18 0.18 Net Gains (Losses) on Securities (Realized and Unrealized). 0.77 2.69 0.28 (0.45) 1.42 2.46 -------- -------- ------- ------- ------- ------- Total from Investment Operations.......................... 0.89 2.95 0.52 (0.20) 1.60 2.64 -------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.27) (0.25) (0.31) (0.22) (0.18) (0.28) Net Realized Gains......................................... (0.37) (0.17) (0.39) -- -- (0.49) -------- -------- ------- ------- ------- ------- Total Distributions....................................... (0.64) (0.42) (0.70) (0.22) (0.18) (0.77) -------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period............................... $ 12.80 $ 12.55 $ 10.02 $ 10.20 $ 10.62 $ 9.20 ============================================================= =========== ======== ======== ======== ======== ======== Total Return................................................. 7.56%(D) 30.50% 6.05% (2.03)% 17.68% 41.04% -------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)........................ $136,912 $119,927 $86,604 $75,790 $78,148 $58,954 Ratio of Expenses to Average Net Assets...................... 0.59%(E) 0.65% 0.63% 0.62% 0.63% 0.66% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)................................................. 0.59%(E) 0.65% 0.63% 0.62% 0.63% 0.66% Ratio of Net Investment Income to Average Net Assets......... 1.88%(E) 2.36% 2.51% 2.26% 1.87% 2.41% Portfolio Turnover Rate...................................... 3%(D) 12% 13% 13% 9% 14% --------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 35 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
VA Short-Term Fixed Portfolio ------------------------------------------------------------ Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 2009 ----------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period.................... $ 10.23 $ 10.26 $ 10.25 $ 10.31 $ 10.42 $ 10.34 -------- -------- -------- -------- ------- ------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)...................... 0.01 0.03 0.04 0.04 0.06 0.19 Net Gains (Losses) on Securities (Realized and Unrealized).......................................... 0.01 -- 0.04 0.01 0.05 0.20 -------- -------- -------- -------- ------- ------- Total from Investment Operations..................... 0.02 0.03 0.08 0.05 0.11 0.39 ----------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income................................. (0.03) (0.04) (0.04) (0.06) (0.16) (0.31) Net Realized Gains.................................... (0.01) (0.02) (0.03) (0.05) (0.06) -- -------- -------- -------- -------- ------- ------- Total Distributions.................................. (0.04) (0.06) (0.07) (0.11) (0.22) (0.31) ----------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period.......................... $ 10.21 $ 10.23 $ 10.26 $ 10.25 $ 10.31 $ 10.42 ======================================================== =========== ======== ======== ======== ======== ======== Total Return............................................ 0.16%(D) 0.35% 0.73% 0.42% 1.09% 3.84% ----------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)................... $160,430 $137,906 $112,040 $115,501 $89,166 $82,248 Ratio of Expenses to Average Net Assets................. 0.27%(E) 0.29% 0.30% 0.29% 0.30% 0.34% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)....................................... 0.27%(E) 0.29% 0.30% 0.29% 0.30% 0.34% Ratio of Net Investment Income to Average Net Assets.... 0.23%(E) 0.32% 0.42% 0.42% 0.60% 1.85% Portfolio Turnover Rate................................. 31%(D) 55% 85% 66% 79% 68% -----------------------------------------------------------------------------------------------------------------------
VA Global Bond Portfolio ------------------------------------------------------------- Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 2009 ----------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period.................... $ 10.92 $ 11.18 $ 11.28 $ 11.82 $ 11.44 $ 10.97 -------- -------- -------- -------- -------- ------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)...................... 0.07 0.11 0.18 0.23 0.30 0.28 Net Gains (Losses) on Securities (Realized and Unrealized).......................................... (0.01) (0.04) 0.25 0.06 0.54 0.57 -------- -------- -------- -------- -------- ------- Total from Investment Operations..................... 0.06 0.07 0.43 0.29 0.84 0.85 ----------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income................................. (0.05) (0.18) (0.30) (0.49) (0.46) (0.38) Net Realized Gains.................................... (0.15) (0.15) (0.23) (0.34) -- -- -------- -------- -------- -------- -------- ------- Total Distributions.................................. (0.20) (0.33) (0.53) (0.83) (0.46) (0.38) ----------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period.......................... $ 10.78 $ 10.92 $ 11.18 $ 11.28 $ 11.82 $ 11.44 ======================================================== =========== ======== ======== ======== ======== ======== Total Return............................................ 0.59%(D) 0.63% 3.97% 2.77% 7.61% 7.93% ----------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)................... $180,951 $167,293 $141,190 $131,212 $107,954 $89,641 Ratio of Expenses to Average Net Assets................. 0.25%(E) 0.27% 0.29% 0.29% 0.31% 0.34% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)....................................... 0.25%(E) 0.27% 0.29% 0.29% 0.31% 0.34% Ratio of Net Investment Income to Average Net Assets.... 1.23%(E) 1.04% 1.61% 2.10% 2.64% 2.51% Portfolio Turnover Rate................................. 43%(D) 73% 63% 71% 80% 65% -----------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 36 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
DFA VA Global Moderate Allocation Portfolio ------------------------------- Period Six Months April 8, Ended 2013(a) April 30, to 2014 Oct. 31, 2013 ----------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period. $ 10.91 $ 10.00 ------- ------- Income from Investment Operations ----------- Net Investment Income (Loss) (A). 0.08 0.07 Net Gains (Losses) on Securities (Realized and Unrealized)....... 0.40 0.84 ------- ------- Total from Investment Operations....... 0.48 0.91 ----------------------------------------------------------------- Less Distributions ------------------ Net Investment Income............ (0.14) -- Net Realized Gains.. (0.03) -- ------- ------- Total Distributions.... (0.17) -- ----------------------------------------------------------------- Net Asset Value, End of Period....... $ 11.22 $ 10.91 ==================== ================= =================== Total Return......... 4.47%(D) 9.10%(D) ----------------------------------------------------------------- Net Assets, End of Period (thousands).. $50,023 $40,483 Ratio of Expenses to Average Net Assets (B).......... 0.40%(E) 0.40%(C)(E) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumptions of Expenses and/or Recovery of Previously Waived Fees) (B)........... 0.76%(E) 0.93%(C)(E) Ratio of Net Investment Income to Average Net Assets.............. 1.48%(E) 1.12%(C)(E) -----------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 37 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 without a sales charge, to institutional investors, retirement plans and clients of registered investment advisors. The Fund consists of seventy-seven operational portfolios, seven of which (the "Portfolios") are included in this report. The remaining seventy are presented in separate reports. The Portfolios are only available through a select group of insurance products. DFA VA Global Moderate Allocation Portfolio invests in eleven portfolios within the Fund.
Percentage Ownership Fund of Funds at April 30, 2014 ------------- - ----------------- DFA VA Global Moderate Allocation Portfolio U.S. Core Equity 2 Portfolio -- International Core Equity Portfolio -- DFA Selectively Hedged Global Fixed Income 1% Portfolio VA Global Bond Portfolio 3% U.S. Core Equity 1 Portfolio -- Emerging Markets Core Equity Portfolio -- DFA Two-Year Global Fixed Income Portfolio -- VA Short-Term Fixed Portfolio 2% VA U.S. Large Value Portfolio -- VA International Value Portfolio 1% DFA Real Estate Securities Portfolio --
Amounts designated as -- are less than 1%. 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 VA U.S. Targeted Value Portfolio and VA U.S. Large Value Portfolio (the "Domestic Equity Portfolios") and VA International Value Portfolio and VA International Small Portfolio (the "International Equity 38 Portfolios"), including over-the-counter securities, are valued at the last quoted sale price at the close of the exchanges on which they are principally traded (official closing price). 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 at the mean of the most recent quoted bid and asked prices which approximate fair value. Price information on listed securities is taken from the exchange where the security is primarily traded. Generally, securities issued by open-end 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/Trustees. 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 Investment Committee of Dimensional Fund Advisors LP) occur before the net asset value 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, 11:00 p.m. PT, the previous day), which is fourteen hours prior to the close of the NYSE (normally, 1:00 p.m. PT) 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/Trustees of the 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 the International Equity Portfolios use 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. Debt securities held by VA Short-Term Fixed Portfolio and VA Global Bond Portfolio (the "Fixed Income 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 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. 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/Trustees. These securities are generally categorized as Level 2 in the hierarchy. Futures contracts held by the Portfolios 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. 39 Shares held by the DFA VA Global Moderate Allocation Portfolio of the Master Funds, which are treated as regulated investment companies, and the shares held by the Portfolios in other investment companies, are valued at their respective daily net asset values as reported by their administrator. These securities 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. Valuation hierarchy tables have 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, 2014, 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 International Equity Portfolios and VA Global Bond Portfolio 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 VA Global Bond Portfolio also enters 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 VA Global Bond Portfolio does 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 and VA Global Bond Portfolio and the U.S. dollar equivalent amounts actually received or paid. 3. Deferred Compensation Plan: Each eligible Director/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 Directors/Trustees may defer payment of all or a portion of their total fees earned as a Director/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 Director/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 Director/Trustee shall have the right in a notice of election (the "Notice") to defer the receipt of the Director's/Trustee's deferred compensation until a date specified by such Director/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 Director/Trustee ceases to be a member of the Board; and (ii) five years following the effective date of the Director's/Trustee's first deferral election. If a Director/Trustee who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Director's/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 Director/Trustee ceases to be a member of the Board (unless the Director/Trustee files an amended Notice selecting a different distribution date). As of April 30, 2014, none of the Directors/Trustees have requested or received a distribution of proceeds of a deferred fee account. 40 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 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 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 Portfolios are allocated using methods approved by the Board, 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 International Equity 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. C. Investment Advisor: The Advisor, Dimensional Fund Advisors LP, provides investment advisory services to the Portfolios. For the six months ended April 30, 2014, the Portfolios' investment advisory services fees were accrued daily and paid monthly to the Advisor based on the following effective annual rates of average daily net assets: VA U.S. Targeted Value Portfolio............ 0.35% VA U.S. Large Value Portfolio............... 0.25% VA International Value Portfolio............ 0.40% VA International Small Portfolio............ 0.50% VA Short-Term Fixed Portfolio............... 0.25% VA Global Bond Portfolio.................... 0.23%* DFA VA Global Moderate Allocation Portfolio. 0.25%
---------- * The Portfolio's investment advisory fees are based on an effective annual rate of 0.25% of the first $100 million of average daily net assets and 0.20% of average daily net assets exceeding $100 million. With respect to the DFA VA Global Moderate Allocation Portfolio, pursuant to a Fee Waiver and Expense Assumption Agreement (the "Fee Waiver Agreement") for the Portfolio, the Advisor has agreed to waive all or a portion of its management fee and to assume the expenses of the Institutional Class shares 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 in unaffiliated investment companies and excluding any applicable 12b-1 fees) ("Portfolio Expenses") to the extent necessary to limit the Portfolio Expenses of the Institutional Class shares of the Portfolio, on an annualized basis, to 0.40% of the average daily net assets of the Institutional Class shares of the Portfolio (the "Expense Limitation Amount"). At any time that the Portfolio Expenses of the Institutional Class shares of the Portfolio are less than the Expense Limitation Amount 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 will not cause the annualized Portfolio Expenses for such class of shares of the Portfolio to exceed the Expense Limitation Amount. The Fund, on behalf of 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 will remain in effect through February 28, 2015, 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. Earned Income Credit: In addition, the 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 41 the accompanying financial statements is presented before reduction for credits. During the six months ended April 30, 2014, expenses reduced were as follows (amounts in thousands):
Fees Paid Indirectly ---------- VA International Value Portfolio. -- VA International Small Portfolio. -- VA Global Bond Portfolio......... $ 1
Fees Paid to Officers and Directors/Trustees: Certain Officers and Directors/Trustees of the Advisor are also Officers and Directors/Trustees of the Fund; however, such Officers and Directors/Trustees (with the exception of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund. For the six months ended April 30, 2014, the total related amounts paid by the Fund to the CCO were $130 (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, 2014, 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 (amounts in thousands): VA U.S. Targeted Value Portfolio............ $ 4 VA U.S. Large Value Portfolio............... 5 VA International Value Portfolio............ 4 VA International Small Portfolio............ 3 VA Short-Term Fixed Portfolio............... 4 VA Global Bond Portfolio.................... 5 DFA VA Global Moderate Allocation Portfolio. --
E. Purchases and Sales of Securities: For the six months ended April 30, 2014, the Portfolios made the following purchases and sales of investment securities, other than short-term securities (amounts in thousands):
Other Investment U.S. GovernmentSecurities Securities ------------------------- ----------------- Purchases Sales Purchases Sales --------- ------- --------- ------- VA U.S. Targeted Value Portfolio. -- -- $16,768 $25,326 VA U.S. Large Value Portfolio.... -- -- 34,824 21,967 VA International Value Portfolio. -- -- 21,361 8,288 VA International Small Portfolio. -- -- 12,871 4,106 VA Short-Term Fixed Portfolio.... $18,559 $12,831 36,946 27,411 VA Global Bond Portfolio......... 6,779 4,781 80,447 70,841
For the six months ended April 30, 2014, DFA VA Global Moderate Allocation Portfolio made the following purchases and sales of Affiliated Investment Companies (amounts in thousands):
DFA VA Global Moderate Allocation Portfolio --------------------------------------------------------------- Balance at Balance at Dividend Distributions of Affiliated Investment Companies 10/31/2013 4/30/2014 Purchases Sales Income Realized Gains ------------------------------- ---------- ---------- --------- ----- -------- ---------------- U.S. Core Equity 2 Portfolio........ $11,748 $14,414 $2,172 $274 $90 $120 International Core Equity Portfolio. 6,433 7,907 1,208 67 79 -- DFA Selectively Hedged Global Fixed Income Portfolio.................. 4,967 6,235 1,258 -- 62 8 VA Global Bond Portfolio............ 5,030 6,223 1,253 -- 23 74
42
DFA VA Global Moderate Allocation Portfolio --------------------------------------------------------------- Balance at Balance at Dividend Distributions of Affiliated Investment Companies 10/31/2013 4/30/2014 Purchases Sales Income Realized Gains ------------------------------- ---------- ---------- --------- ----- -------- ---------------- U.S. Core Equity 1 Portfolio........... $4,221 $5,137 $648 $25 $35 $19 Emerging Markets Core Equity Portfolio. 2,096 2,738 665 3 14 -- DFA Two-Year Global Fixed Income Portfolio............................ 1,985 2,487 512 -- 14 2 VA Short-Term Fixed Portfolio.......... 1,983 2,484 505 -- 6 2 VA U.S. Large Value Portfolio.......... 873 999 126 -- 12 72 VA International Value Portfolio....... 764 880 93 -- 19 -- DFA Real Estate Securities Portfolio... 353 511 129 6 8 --
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 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, 2013, primarily attributable to realized gains on securities considered to be "passive foreign investment companies", and net foreign currency gains/losses, were reclassified to the following accounts. These reclassifications had no effect on net assets or net asset value per share (amounts in thousands):
Increase Increase (Decrease) (Decrease) Increase Undistributed Accumulated (Decrease) Net Investment Net Realized Paid-In Capital Income Gains (Losses) --------------- -------------- -------------- VA U.S. Targeted Value Portfolio............ -- $ 7 $ (7) VA U.S. Large Value Portfolio............... -- -- -- VA International Value Portfolio............ -- (23) 23 VA International Small Portfolio............ -- 138 (138) VA Short-Term Fixed Portfolio............... -- -- -- VA Global Bond Portfolio.................... -- (1,448) 1,448 DFA VA Global Moderate Allocation Portfolio. $(9) 9 --
The tax character of dividends and distributions declared and paid during the years ended October 31, 2012 and October 31, 2013 were as follows (amounts in thousands):
Net Investment Income and Short-Term Long-Term Capital Gains Capital Gains Total -------------- ------------- ------ VA U.S. Targeted Value Portfolio 2012............................. $ 709 $ 709 2013............................. 1,513 -- 1,513 VA U.S. Large Value Portfolio 2012............................. 2,165 2,165 2013............................. 2,749 -- 2,749
43
Net Investment Income and Short-Term Long-Term Capital Gains Capital Gains Total -------------- ------------- ------ VA International Value Portfolio 2012........................................ $3,413 $3,413 2013........................................ 3,195 -- 3,195 VA International Small Portfolio 2012........................................ 2,316 $2,935 5,251 2013........................................ 2,169 1,449 3,618 VA Short-Term Fixed Portfolio 2012........................................ 469 246 715 2013........................................ 596 132 728 VA Global Bond Portfolio 2012........................................ 4,104 2,075 6,179 2013........................................ 2,533 1,667 4,200 DFA VA Global Moderate Allocation Portfolio 2013........................................ -- -- --
DFA VA Global Moderate Allocation Portfolio commenced operations on April 8, 2013, and did not pay any distributions for the years ended October 31, 2012 and October 31,2013. At October 31, 2013, the components of distributable earnings (accumulated losses) were as follows (amounts in thousands):
Undistributed Total Net Net Investment Distributable Income and Undistributed Unrealized Earnings Short-Term Long-Term Capital Loss Appreciation (Accumulated Capital Gains Capital Gains Carryforwards (Depreciation) Losses) -------------- ------------- ------------- -------------- ------------- VA U.S. Targeted Value Portfolio.. $ 914 -- $(4,181) $39,145 $35,878 VA U.S. Large Value Portfolio..... 2,420 $16,659 -- 52,485 71,564 VA International Value Portfolio.. 3,054 -- (2,412) 9,367 10,009 VA International Small Portfolio.. 3,297 2,784 -- 14,866 20,947 VA Short-Term Fixed Portfolio..... 377 29 -- 177 583 VA Global Bond Portfolio.......... 777 2,063 -- 1,694 4,534 DFA VA Global Moderate Allocation Portfolio....................... 358 -- -- 3,032 3,390
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, 2013, 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, ---------------------- 2016 2017 2018 Total ------ ------ ------ ------ VA U.S. Targeted Value Portfolio. -- $1,685 $2,496 $4,181 VA U.S. Large Value Portfolio.... -- -- -- -- VA International Value Portfolio. $2,412 -- -- 2,412
44 During the year ended October 31, 2013, the Portfolios utilized the following capital loss carryforwards to offset realized capital gains for federal income tax purposes (amounts in thousands): VA U.S. Targeted Value Portfolio. $8,112 VA U.S. Large Value Portfolio.... 2,723 VA International Value Portfolio. 837
At April 30, 2014, the total cost and aggregate gross unrealized appreciation (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes, as follows (amounts in thousands):
Net Unrealized Federal Unrealized Unrealized Appreciation Tax Cost Appreciation Depreciation (Depreciation) -------- ------------ ------------ -------------- VA U.S. Targeted Value Portfolio............ $157,595 $49,904 $ (8,890) $41,014 VA U.S. Large Value Portfolio............... 171,050 71,640 (1,326) 70,314 VA International Value Portfolio............ 161,412 26,438 (13,949) 12,489 VA International Small Portfolio............ 132,098 38,825 (16,766) 22,059 VA Short-Term Fixed Portfolio............... 168,250 187 (11) 176 VA Global Bond Portfolio.................... 197,162 2,001 (395) 1,606 DFA VA Global Moderate Allocation Portfolio. 45,631 4,520 (120) 4,400
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 any Portfolio's 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. Financial Instruments: In accordance with the Portfolios' 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: 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 Portfolios may be inhibited. Derivative Financial Instruments: Summarized below are the specific types of derivative instruments used by the Portfolios. 2. Forward Currency Contracts: The International Equity Portfolios may enter into forward currency contracts 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, the International Equity Portfolios may, from time to time, enter into forward currency contracts to transfer balances from one currency to another currency. The VA Global Bond Portfolio may enter into forward currency contracts only to hedge against adverse changes in the relationship of the U.S. dollar to foreign currencies (foreign exchange rate risk) or to transfer balances from one 45 currency to another currency. 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 April 30, 2014, the VA Global Bond 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): VA Global Bond Portfolio*
Unrealized Foreign Settlement Currency Contract Value at Exchange Date Amount** Currency Amount April 30, 2014 Gain (Loss) ---------- -------- ------------------ -------- -------------- ----------- 05/20/14 (4,350) New Zealand Dollar $ (3,736) $ (3,745) $ (9) 05/12/14 (6,321) Singapore Dollar (5,007) (5,042) (35) 05/29/14 (14,737) UK Pound Sterling (24,776) (24,877) (101) -------- -------- ----- $(33,519) $(33,664) $(145) ======== ======== =====
* During the six months ended April 30, 2014, the VA Global Bond Portfolio's average contract amount of forward currency contracts was $50,564 (in thousands). **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 and are generally limited to unrealized appreciation, if any, on the contracts. The following is a summary of the location of derivatives on the Portfolio's Statements of Assets and Liabilities categorized by primary risk exposure as of April 30, 2014: Location on the Statements of Assets and Liabilities --------------------------------------------------- Derivative Type Asset Derivatives Liability Derivatives --------------- ------------------------ ------------------------ Foreign exchange Unrealized Gain on Unrealized Loss on contracts Forward Currency Forward Currency Contracts Contracts The following is a summary of the Portfolio's derivative instrument holdings categorized by primary risk exposure as of April 30, 2014 (amounts in thousands):
Liability Derivatives Value -------------------------- Total Value Foreign at Exchange April 30, 2014 Contracts - -------------- --------- VA Global Bond Portfolio. $(145) $(145)
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 through the six months ended April 30, 2014:
Derivative Type Location of Gain (Loss) on Derivatives Recognized in Income --------------- ----------------------------------------------------------- Foreign exchange contracts Net Realized Gain (Loss) on: Foreign Currency Transactions Change in Unrealized Appreciation (Depreciation) of: Translation of Foreign Currency Denominated Amounts
46 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, 2014 (amounts in thousands):
Realized Gain (Loss) on Derivatives Recognized in Income ------------------------------- Foreign Exchange Total Contracts ------- --------- VA Global Bond Portfolio. $(1,569) $(1,569) Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income ------------------------------- Foreign Exchange Total Contracts ------- --------- VA Global Bond Portfolio. $ (176) $ (176)
Offsetting of Derivative Assets and Derivative Liabilities The following tables present 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 April 30, 2014 (Amounts in thousands):
Gross Amounts Not Offset in the Statements of Assets and Liabilities ------------------------- Net Amounts of Liabilities Presented in the Gross Statements Amounts of of Assets Cash Recognized and Financial Collateral Net Description Liabilities(a) Liabilities Instruments(b) Pledged Amount(c) ----------- -------------- -------------- -------------- ---------- --------- Liabilities ----------------------------------------------------------------- VA Global Bond Portfolio Forward Currency Contracts. $145 $145 -- -- $145
(a)No amounts have been netted against the gross amounts recognized in the Statements of Assets and Liabilities (b)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. (c)Represents the net amount due to counterparties in the event of default. Note l contains information regarding securities lending amounts that are subject to netting arrangements. H. Line of Credit: The Fund, together with other Dimensional-advised portfolios, has entered into a $500 million unsecured discretionary line of credit effective March 4, 2013 with its domestic custodian bank. 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 was scheduled to expire on March 3, 2014, however, effective March 3, 2014, the term was extended until March 2, 2015. 47 The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit effective January 10, 2014 with its international custodian bank. 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 9, 2015. For the six months ended April 30, 2014, borrowings by the Portfolios under the lines of credit were as follows (amounts in thousands, except percentages and days):
Weighted Weighted Number of Interest Maximum Amount Average Average Days Expense Borrowed During Interest Rate Loan Balance Outstanding* Incurred The Period ------------- ------------ ------------ -------- --------------- VA U.S. Targeted Value Portfolio.. 0.84% $8,045 13 $ 2 $14,912 VA U.S. Large Value Portfolio..... 0.84% 274 10 -- 750 VA International Value Portfolio.. 0.83% 139 7 -- 189 VA International Small Portfolio.. 0.83% 151 6 -- 228 DFA VA Global Moderate Allocation Portfolio....................... 0.84% 164 2 -- 181
* Number of Days Outstanding represents the total of single or consecutive days during the six months ended April 30, 2014, that each 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, 2014. I. Securities Lending: As of April 30, 2014, some of the Portfolios had securities on loan to brokers/dealers, for which each such Portfolio received cash collateral. In addition, the following Portfolios received non-cash collateral consisting of short and/or long term U.S. Treasury securities (amounts in thousands):
Market Value ------ VA International Value Portfolio. $860 VA International Small Portfolio. 604
Each Portfolio with securities on loan 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 equal to at least (i) 100% of the current market value of the loaned securities with respect to securities of the U.S. government or its agencies, (ii) 102% of the current market value of the loaned securities with respect to U.S. securities, and (iii) 105% of the current market value of the loaned securities with respect to foreign securities. However, daily market fluctuations could cause the Portfolios' 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. Subject to their stated investment policies, the Portfolios with securities on loan 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 Portfolios 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 48 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 with securities on loan 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. 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 which 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. Other: At April 30, 2014, the following number of shareholders held the following approximate percentages of the stated fund outstanding shares. One or more of the shareholders may be omnibus accounts, which typically hold shares for the benefit of several other underlying investors.
Approximate Percentage Number of of Outstanding Shareholders Shares ------------ -------------- VA U.S. Targeted Value Portfolio............ 4 85% VA U.S. Large Value Portfolio............... 3 83% VA International Value Portfolio............ 4 83% VA International Small Portfolio............ 4 75% VA Short-Term Fixed Portfolio............... 4 87% VA Global Bond Portfolio.................... 3 86% DFA VA Global Moderate Allocation Portfolio. 3 100%
The Portfolios are subject to claims and suits that arise from time to time in the ordinary course of business (for example, in The Tribune Company Bankruptcy, certain creditors have filed actions against all shareholders of The Tribune Company who tendered shares when the Tribune Company went private in 2007 in a leveraged buyout transaction, seeking the return of proceeds received by the shareholders). 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 VA U.S. Large Value Portfolio 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 VA U.S. Large Value Portfolio, 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 Court's dismissal order is on appeal to the Second Circuit. The Committee Action remains pending, and a motion to dismiss on behalf of all shareholder defendants in the Committee Action was filed on 49 May 23, 2014. Briefing on the motion to dismiss will be completed by July 2014, with oral argument on the motion to be held thereafter. The Committee Action is stayed pending the disposition of the motion to dismiss. Litigation counsel to the VA U.S. Large Value Portfolio in the Lawsuits 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 VA U.S. Large Value Portfolio arising from the Lawsuits. Until the VA U.S. Large Value Portfolio can do so, no reduction of the net asset value of the VA U.S. Large Value Portfolio 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 VA U.S. Large Value Portfolio's net asset value at this time. The VA U.S. Large Value Portfolio also cannot predict what its size might be at the time the cost of the Lawsuits might be quantifiable and thus potentially deducted from its net asset value. Therefore, at this time, those investors buying or redeeming shares of the VA U.S. Large Value Portfolio will pay or receive, as the case may be, a price based on the net asset value of the VA U.S. Large Value Portfolio, with no adjustment relating to the Lawsuits. The attorneys' fees and costs relating to the Lawsuits will be taken as expenses by the VA U.S. Large Value Portfolio as incurred and in a manner similar to any other expense incurred by the VA U.S. Large Value Portfolio. L. Subsequent Event Evaluations: Management has evaluated the impact of all subsequent events on the Portfolios and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements. 50 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 without charge, upon request, by calling collect: (512) 306-7400. 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://www.dimensional.com and reflects the twelve-month period beginning July 1st and ending June 30th. 51 BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS At the Board meeting held on December 13, 2013 (the "Meeting"), the Board of Directors of DFA Investment Dimensions Group Inc. (the "Board") considered the continuation of the investment advisory agreements for each portfolio (collectively, the "Funds") and, if applicable, a Fund's sub-advisory agreement. For VA International Small Portfolio and VA International Value Portfolio, Dimensional Fund Advisors Ltd. and DFA Australia Limited each serves as a sub-advisor. (The investment advisory agreements and the sub-advisory agreements are referred to as the "Advisory 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 Advisory 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 Advisory 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 Advisory 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 advisory 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 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 management services provided by the Advisor. 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 based on each Fund's investment strategies and the expectation of the shareholder base, among other things, that the performance of each Fund was reasonable as compared with relevant performance standards. 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 advisory fees and total expenses of each Fund over various periods were favorable in relation to those of its peer funds, and that the advisory 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. 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 52 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 advisory fees charged. For several reasons, the Board concluded that economies of scale and the reflection of such economies of scale in the level of advisory 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 Advisory Agreement for each Fund was in the best interests of the Fund and its shareholders. 53 [LOGO] DFA043014-004S [LOGO] SEMI-ANNUAL REPORT six months ended: April 30, 2014 (Unaudited) Dimensional Investment Group Inc. LWAS/DFA U.S. High Book to Market Portfolio LWAS/DFA Two-Year Fixed Income Portfolio LWAS/DFA Two-Year Government Portfolio DFA Investment Dimensions Group Inc. LWAS/DFA International High Book to Market Portfolio [LOGO] Dimensional Fund Advisors 6300 Bee Cave Road, Building One Austin, TX 78746 May 2014 Dear Fellow Shareholder, Since our founding 33 years ago, Dimensional has grown into a global asset management firm. We believe well-functioning markets that bring together investors who supply capital with companies that put capital to work are what make our business and investment approach successful. At Dimensional, we combine insights gained from academia and a belief in the power of markets with decades of practical experience implementing in competitive markets. By applying this approach, we have built up a long and compelling track record across global equity and fixed income markets. Sincerely, /s/ David G. Booth David G. Booth Chairman and Co-Chief Executive Officer DIMENSIONAL INVESTMENT GROUP INC. SEMI-ANNUAL REPORT (Unaudited) Table of Contents
Page ---- Letter to Shareholders Definitions of Abbreviations and Footnotes.................................................. 1 Dimensional Investment Group Inc. Disclosure of Fund Expenses.............................................................. 2 Disclosure of Portfolio Holdings......................................................... 4 Schedules of Investments LWAS/DFA U.S. High Book to Market Portfolio.......................................... 5 LWAS/DFA Two-Year Fixed Income Portfolio............................................. 6 LWAS/DFA Two-Year Government Portfolio............................................... 8 Statements of Assets and Liabilities..................................................... 9 Statements of Operations................................................................. 11 Statements of Changes in Net Assets...................................................... 12 Financial Highlights..................................................................... 13 Notes to Financial Statements............................................................ 15 DFA Investment Dimensions Group Inc. - LWAS/DFA International High Book to Market Portfolio Disclosure of Fund Expenses.............................................................. 22 Disclosure of Portfolio Holdings......................................................... 23 Schedule of Investments.................................................................. 24 Statement of Assets and Liabilities...................................................... 25 Statement of Operations.................................................................. 26 Statements of Changes in Net Assets...................................................... 27 Financial Highlights..................................................................... 28 Notes to Financial Statements............................................................ 29 The DFA Investment Trust Company Disclosure of Fund Expenses.............................................................. 33 Disclosure of Portfolio Holdings......................................................... 34 Summary Schedules of Portfolio Holdings The U.S. Large Cap Value Series...................................................... 35 The DFA International Value Series................................................... 38 Statements of Assets and Liabilities..................................................... 42 Statements of Operations................................................................. 43 Statements of Changes in Net Assets...................................................... 44 Financial Highlights..................................................................... 45 Notes to Financial Statements............................................................ 46 Voting Proxies on Fund Portfolio Securities................................................. 53 Board Approval of Investment Advisory Agreements............................................ 54
This report is submitted for the information of the Fund's shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. i DIMENSIONAL INVESTMENT GROUP INC. DFA INVESTMENT DIMENSIONS GROUP INC. THE DFA INVESTMENT TRUST COMPANY DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES Schedules of Investments/Summary Schedules of Portfolio Holdings ---------------------------------------------------------------- Investment Abbreviations ADR American Depositary Receipt P.L.C. Public Limited Company Investment Footnotes + See Note B to Financial Statements. ++ Securities have generally been fair valued. 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 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. @ Security purchased with cash proceeds from Securities on Loan. (r) The adjustable rate shown is effective as of April 30, 2014. (S) Affiliated Fund. Financial Highlights -------------------- (A) Computed using average shares outstanding. (B) Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Funds. (C) Non-Annualized (D) Annualized All Statements, Schedules and Notes to Financial Statements ----------------------------------------------------------- -- Amounts designated as -- are either zero or rounded to zero. SEC Securities and Exchange Commission
1 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, 2014 EXPENSE TABLES Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 11/01/13 04/30/14 Ratio* Period* --------- --------- ---------- -------- LWAS/DFA U.S. High Book to Market Portfolio** --------------------------------------------- Actual Fund Return............................ $1,000.00 $1,093.00 0.34% $1.76 Hypothetical 5% Annual Return................. $1,000.00 $1,023.11 0.34% $1.71 LWAS/DFA Two-Year Fixed Income Portfolio ---------------------------------------- Actual Fund Return............................ $1,000.00 $1,002.20 0.28% $1.39 Hypothetical 5% Annual Return................. $1,000.00 $1,023.41 0.28% $1.40
2 DISCLOSURE OF FUND EXPENSES CONTINUED
Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 11/01/13 04/30/14 Ratio* Period* --------- --------- ---------- -------- LWAS/DFA Two-Year Government Portfolio -------------------------------------- Actual Fund Return..................... $1,000.00 $1,001.30 0.27% $1.34 Hypothetical 5% Annual Return.......... $1,000.00 $1,023.46 0.27% $1.35
---------- * 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 indirect payment of the Feeder Fund's portion of the expenses of its Master Fund (Affiliated Investment Company). 3 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 31, 2014. It is 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 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 ----------------------------- LWAS/DFA U.S. High Book to Market Portfolio. 100.0%
FIXED INCOME PORTFOLIOS LWAS/DFA Two-Year Fixed Income Portfolio Corporate.................................... 6.9% Government................................... 37.6% Foreign Corporate............................ 20.6% Foreign Government........................... 23.8% Supranational................................ 11.1% ----- 100.0%
LWAS/DFA Two-Year Government Portfolio Government................................... 100.0% ----- 100.0%
4 LWAS/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2014 (Unaudited)
Value+ ----------- AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The U.S. Large Cap Value Series of The DFA Investment Trust Company.................................. $69,318,953 ----------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $33,485,019)........................................... $69,318,953 ===========
Summary of the Portfolio's Master Fund's investments as of April 30, 2014, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 5 LWAS/DFA TWO-YEAR FIXED INCOME PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2014 (Unaudited)
Face Amount Value+ ------ ------ (000) AGENCY OBLIGATIONS -- (11.9%) Federal Home Loan Mortgage Corporation 1.750%, 09/10/15............................. $3,900 $ 3,981,089 Federal National Mortgage Association 0.500%, 09/28/15............................. 500 501,735 4.375%, 10/15/15............................. 3,500 3,708,757 1.625%, 10/26/15............................. 3,500 3,572,646 ----------- TOTAL AGENCY OBLIGATIONS.......................... 11,764,227 ----------- BONDS -- (61.9%) Agence Francaise de Developpement 1.250%, 06/09/14............................. 2,000 2,001,872 Asian Development Bank 0.500%, 08/17/15............................. 1,000 1,002,920 Australia & New Zealand Banking Group, Ltd. 3.700%, 01/13/15............................. 1,500 1,535,350 0.900%, 02/12/16............................. 500 502,773 Bank Nederlandse Gemeenten 3.125%, 01/12/15............................. 500 509,802 1.375%, 03/23/15............................. 1,000 1,009,690 2.750%, 07/01/15............................. 500 514,017 2.500%, 01/11/16............................. 600 620,700 Bank of New York Mellon Corp. (The) 3.100%, 01/15/15............................. 700 713,908 2.950%, 06/18/15............................. 1,000 1,028,174 Bank of Nova Scotia Floating Rate Note (r) 0.575%, 08/01/14............................. 2,000 2,001,958 British Columbia, Province of Canada 2.850%, 06/15/15............................. 2,000 2,057,850 Commonwealth Bank of Australia 3.750%, 10/15/14............................. 1,500 1,522,507 3.500%, 03/19/15............................. 300 308,372 Cooperatieve Centrale Raiffeisen- Boerenleenbank BA 1.875%, 12/15/14............................. 2,000 2,018,940 2.125%, 10/13/15............................. 500 511,678 Council Of Europe Development Bank 2.750%, 02/10/15............................. 900 917,258 2.625%, 02/16/16............................. 1,000 1,038,861 1.375%, 03/22/16............................. 600 610,062 Development Bank of Japan, Inc. 2.875%, 04/20/15............................. 500 512,266 EUROFIMA 4.500%, 03/06/15............................. 1,000 1,035,108 European Bank for Reconstruction & Development 2.500%, 03/15/16............................. 1,000 1,037,455 European Investment Bank 4.875%, 02/16/16............................. 2,000 2,157,802 FMS Wertmanagement AoeR 0.625%, 04/18/16............................. 500 501,171
Face Amount Value+ ------ ------ (000) General Electric Capital Corp. 1.000%, 01/08/16............................. $2,500 $ 2,516,875 International Bank for Reconstruction & Development 2.125%, 03/15/16............................. 2,000 2,063,710 KFW 1.250%, 10/26/15............................. 2,000 2,026,516 Kommunalbanken A.S. 1.000%, 02/09/15............................. 500 502,920 2.750%, 05/05/15............................. 400 409,916 2.375%, 01/19/16............................. 1,700 1,756,369 Kommunekredit 0.750%, 09/02/14............................. 1,000 1,001,640 Manitoba, Province of Canada 2.625%, 07/15/15............................. 1,200 1,233,466 National Australia Bank, Ltd. 2.000%, 03/09/15............................. 2,000 2,027,764 1.600%, 08/07/15............................. 500 507,226 Nederlandse Waterschapsbank NV 0.750%, 03/29/16............................. 2,000 2,008,312 Nordea Bank AB 3.700%, 11/13/14............................. 2,000 2,035,308 Nordic Investment Bank 2.250%, 03/15/16............................. 1,000 1,033,484 Oesterreichische Kontrollbank AG 4.875%, 02/16/16............................. 1,000 1,078,383 Ontario, Province of Canada 4.500%, 02/03/15............................. 800 825,396 2.950%, 02/05/15............................. 1,300 1,326,500 4.750%, 01/19/16............................. 556 596,655 Quebec, Province of Canada 4.600%, 05/26/15............................. 2,000 2,090,680 Royal Bank of Canada 0.800%, 10/30/15............................. 450 452,101 2.625%, 12/15/15............................. 2,000 2,066,328 Svensk Exportkredit AB 0.625%, 09/04/15............................. 800 803,298 Toronto-Dominion Bank (The) Floating Rate Note (r) 0.416%, 05/01/15............................. 2,250 2,253,562 Toyota Motor Credit Corp. 1.000%, 02/17/15............................. 1,200 1,207,348 2.800%, 01/11/16............................. 1,235 1,281,188 Westpac Banking Corp. 3.000%, 08/04/15............................. 2,000 2,062,224 1.125%, 09/25/15............................. 474 478,396 ----------- TOTAL BONDS....................................... 61,316,059 ----------- U.S. TREASURY OBLIGATIONS -- (25.6%) U.S. Treasury Notes 0.375%, 11/15/15............................. 1,000 1,002,148 0.250%, 12/15/15............................. 4,300 4,298,486 2.125%, 12/31/15............................. 1,900 1,958,113 0.375%, 01/15/16............................. 4,800 4,806,187
6 LWAS/DFA TWO-YEAR FIXED INCOME PORTFOLIO CONTINUED
Face Amount Value+ ------ ------ (000) 2.000%, 01/31/16............................. $2,600 $ 2,676,781 0.375%, 02/15/16............................. 2,000 2,001,718 2.625%, 02/29/16............................. 1,400 1,458,407 0.375%, 03/15/16............................. 3,000 3,000,819 0.375%, 03/31/16............................. 2,200 2,199,914 0.375%, 04/30/16............................. 2,000 1,998,438 ----------- TOTAL U.S. TREASURY OBLIGATIONS.................. 25,401,011 -----------
Shares ------ TEMPORARY CASH INVESTMENTS -- (0.6%) State Street Institutional Liquid Reserves, 0.074%...................................... 603,644 603,644 ----------- TOTAL INVESTMENTS -- (100.0%) (Cost $98,973,590)............................. $99,084,941 ===========
Summary of the Portfolio's investments as of April 30, 2014, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) ---------------------------------------- Level 1 Level 2 Level 3 Total -------- ----------- ------- ----------- Agency Obligations......... -- $11,764,227 -- $11,764,227 Bonds...................... -- 61,316,059 -- 61,316,059 U.S. Treasury Obligations.. -- 25,401,011 -- 25,401,011 Temporary Cash Investments. $603,644 -- -- 603,644 -------- ----------- -- ----------- TOTAL...................... $603,644 $98,481,297 -- $99,084,941 ======== =========== == ===========
See accompanying Notes to Financial Statements. 7 LWAS/DFA TWO-YEAR GOVERNMENT PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2014 (Unaudited)
Face Amount Value+ ------- ------------ (000) AGENCY OBLIGATIONS -- (23.2%) Federal Farm Credit Bank 0.500%, 06/23/15................... $ 320 $ 321,398 Federal Home Loan Bank 1.750%, 09/11/15................... 22,705 23,173,677 0.375%, 02/19/16................... 5,900 5,898,655 3.125%, 03/11/16................... 4,485 4,715,919 ------------ TOTAL AGENCY OBLIGATIONS............. 34,109,649 ------------ U.S. TREASURY OBLIGATIONS -- (76.3%) U.S. Treasury Notes 1.750%, 07/31/15................... 2,000 2,039,766 4.250%, 08/15/15................... 200 210,531 0.250%, 09/15/15................... 17,600 17,614,432 0.250%, 10/15/15................... 700 700,410 0.375%, 11/15/15................... 31,800 31,868,307 0.250%, 12/15/15................... 15,500 15,494,544 2.625%, 02/29/16................... 15,600 16,250,816 0.250%, 04/15/16................... 27,800 27,720,715 ------------ TOTAL U.S. TREASURY OBLIGATIONS...... 111,899,521 ------------
Shares ------- TEMPORARY CASH INVESTMENTS -- (0.5%) State Street Institutional U.S. Government Money Market Fund. 684,313 684,313 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $146,511,864)......................................... $146,693,483 ============
Summary of the Portfolio's investments as of April 30, 2014, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) ------------------------------------------ Level 1 Level 2 Level 3 Total -------- ------------ ------- ------------ Agency Obligations......... -- $ 34,109,649 -- $ 34,109,649 U.S. Treasury Obligations.. -- 111,899,521 -- 111,899,521 Temporary Cash Investments. $684,313 -- -- 684,313 -------- ------------ -- ------------ TOTAL...................... $684,313 $146,009,170 -- $146,693,483 ======== ============ == ============
See accompanying Notes to Financial Statements. 8 DIMENSIONAL INVESTMENT GROUP INC. LWAS/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO STATEMENT OF ASSETS AND LIABILITIES APRIL 30, 2014 (Unaudited) (Amounts in thousands, except share and per share amounts) ASSETS: Investment in The U.S. Large Cap Value Series of The DFA Investment Trust Company (Affiliated Investment Company) at Value.............................................. $ 69,319 Prepaid Expenses and Other Assets...................................................... 12 ------------ Total Assets...................................................................... 69,331 ------------ LIABILITIES: Payables: Due to Advisor....................................................................... 1 Accrued Expenses and Other Liabilities................................................. 17 ------------ Total Liabilities................................................................. 18 ------------ NET ASSETS............................................................................. $ 69,313 ============ SHARES OUTSTANDING, $0.01 PAR VALUE (1)................................................ 3,598,645 ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE............................... $ 19.26 ============ Investment in Affiliated Investment Company at Cost.................................... $ 33,485 ============ NET ASSETS CONSIST OF: Paid-In Capital........................................................................ $ 31,173 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income). 137 Accumulated Net Realized Gain (Loss)................................................... 2,169 Net Unrealized Appreciation (Depreciation)............................................. 35,834 ------------ NET ASSETS............................................................................. $ 69,313 ============ (1) NUMBER OF SHARES AUTHORIZED........................................................ 300,000,000 ============
See accompanying Notes to Financial Statements. 9 DIMENSIONAL INVESTMENT GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2014 (Unaudited) (Amounts in thousands, except share and per share amounts)
LWAS/DFA LWAS/DFA Two-Year Two-Year Fixed Income Government Portfolio Portfolio ------------ ------------ ASSETS: Investments at Value................................................................... $ 98,481 $ 146,009 Temporary Cash Investments at Value & Cost............................................. 604 684 Receivables: Interest............................................................................. 450 237 Prepaid Expenses and Other Assets...................................................... 12 13 ------------ ------------ Total Assets...................................................................... 99,547 146,943 ------------ ------------ LIABILITIES: Payables: Fund Shares Redeemed................................................................. 14 25 Due to Advisor....................................................................... 12 18 Accrued Expenses and Other Liabilities................................................. 17 25 ------------ ------------ Total Liabilities................................................................. 43 68 ------------ ------------ NET ASSETS............................................................................. $ 99,504 $ 146,875 ============ ============ SHARES OUTSTANDING, $0.01 PAR VALUE (1)................................................ 9,935,238 14,836,477 ============ ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE............................... $ 10.02 $ 9.90 ============ ============ Investments at Cost.................................................................... $ 98,370 $ 145,828 ============ ============ NET ASSETS CONSIST OF: Paid-In Capital........................................................................ $ 99,301 $ 146,521 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income). 29 12 Accumulated Net Realized Gain (Loss)................................................... 63 161 Net Unrealized Appreciation (Depreciation)............................................. 111 181 ------------ ------------ NET ASSETS............................................................................. $ 99,504 $ 146,875 ============ ============ (1) NUMBER OF SHARES AUTHORIZED........................................................ 300,000,000 300,000,000 ============ ============
See accompanying Notes to Financial Statements. 10 DIMENSIONAL INVESTMENT GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2014 (Unaudited) (Amounts in thousands)
LWAS/DFA LWAS/DFA U.S. High Two-Year LWAS/DFA Book to Fixed Two-Year Market Income Government Portfolio* Portfolio Portfolio ---------- --------- ---------- Investment Income Net Investment Income Allocated from Affiliated Investment Company: Dividends.............................................................. $ 642 -- -- Income from Securities Lending......................................... 7 -- -- Expenses Allocated from Affiliated Investment Company.................. (37) -- -- ------ ---- ---- Total Net Investment Income Received from Affiliated Investment Company............................................................ 612 -- -- ------ ---- ---- Fund Investment Income Interest............................................................... -- $237 $242 ------ ---- ---- Total Investment Income............................................. -- 237 242 ------ ---- ---- Fund Expenses Investment Advisory Services Fees...................................... -- 72 109 Administrative Services Fees........................................... 3 -- -- Accounting & Transfer Agent Fees....................................... 10 5 6 Shareholder Servicing Fees............................................. 51 39 58 Custodian Fees......................................................... -- 1 1 Filing Fees............................................................ 8 9 10 Shareholders' Reports.................................................. 2 3 5 Directors'/Trustees' Fees & Expenses................................... -- 1 1 Professional Fees...................................................... 1 2 4 Other.................................................................. 2 1 1 ------ ---- ---- Total Expenses...................................................... 77 133 195 ------ ---- ---- Net Investment Income (Loss)........................................... 535 104 47 ------ ---- ---- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold........................................... 2,173 71 172 Change in Unrealized Appreciation (Depreciation) of: Investment Securities................................................ 3,370 (12) 17 ------ ---- ---- Net Realized and Unrealized Gain (Loss)................................ 5,543 59 189 ------ ---- ---- Net Increase (Decrease) in Net Assets Resulting from Operations.......... $6,078 $163 $236 ====== ==== ====
---------- * Investment Income and Realized and Unrealized Gain (Loss) were allocated from the Portfolio's Master Fund (Affiliated Investment Company). See accompanying Notes to Financial Statements. 11 DIMENSIONAL INVESTMENT GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
LWAS/DFA U.S. High Book LWAS/DFA Two-Year LWAS/DFA Two-Year to Market Portfolio Fixed Income Portfolio Government Portfolio ------------------------ -------------------- -------------------- Six Months Year Six Months Year Six Months Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31, 2014 2013 2014 2013 2014 2013 ----------- -------- ----------- -------- ----------- -------- (Unaudited) (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)................. $ 535 $ 1,142 $ 104 $ 244 $ 47 $ 72 Net Realized Gain (Loss) on: Investment Securities Sold................. 2,173 6,899 71 116 172 319 Change in Unrealized Appreciation (Depreciation) of: Investment Securities...................... 3,370 11,517 (12) (101) 17 (95) ------- -------- ------- -------- -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations................ 6,078 19,558 163 259 236 296 ------- -------- ------- -------- -------- -------- Distributions From: Net Investment Income........................ (436) (1,172) (99) (271) (30) (116) Net Short-Term Gains......................... -- -- (67) (360) (135) (955) Net Long-Term Gains.......................... (2,398) -- (48) (44) (180) (29) ------- -------- ------- -------- -------- -------- Total Distributions....................... (2,834) (1,172) (214) (675) (345) (1,100) ------- -------- ------- -------- -------- -------- Capital Share Transactions (1): Shares Issued................................ 1,730 5,461 9,483 18,639 12,447 28,064 Shares Issued in Lieu of Cash Distributions............................... 2,834 1,049 214 560 344 805 Shares Redeemed.............................. (5,761) (18,546) (4,868) (13,383) (11,012) (28,133) ------- -------- ------- -------- -------- -------- Net Increase (Decrease) from Capital Share Transactions....................... (1,197) (12,036) 4,829 5,816 1,779 736 ------- -------- ------- -------- -------- -------- Total Increase (Decrease) in Net Assets................................... 2,047 6,350 4,778 5,400 1,670 (68) Net Assets Beginning of Period.......................... 67,266 60,916 94,726 89,326 145,205 145,273 ------- -------- ------- -------- -------- -------- End of Period................................ $69,313 $ 67,266 $99,504 $ 94,726 $146,875 $145,205 ======= ======== ======= ======== ======== ======== (1) Shares Issued and Redeemed: Shares Issued................................ 92 340 947 1,860 1,257 2,835 Shares Issued in Lieu of Cash Distributions............................... 156 67 21 56 35 81 Shares Redeemed.............................. (305) (1,152) (486) (1,335) (1,113) (2,841) ------- -------- ------- -------- -------- -------- Net Increase (Decrease) from Shares Issued and Redeemed...................... (57) (745) 482 581 179 75 ======= ======== ======= ======== ======== ======== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)............................ $ 137 $ 38 $ 29 $ 24 $ 12 $ (5)
See accompanying Notes to Financial Statements. 12 DIMENSIONAL INVESTMENT GROUP INC. LWAS/DFA U.S. HIGH BOOK TO MARKET PORTFOLIO FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
LWAS/DFA U.S. High Book to Market Portfolio --------------------------------------------------------- Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 2009 ------------------------------------------------------------------------------------------------------------------------ (Unaudited) Net Asset Value, Beginning of Period......................... $ 18.40 $ 13.84 $ 11.96 $ 11.52 $ 9.80 $ 9.04 ------- ------- ------- ------- ------- ------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.15 0.28 0.25 0.20 0.19 0.18 Net Gains (Losses) on Securities (Realized and Unrealized). 1.51 4.57 1.87 0.44 1.72 0.79 ------- ------- ------- ------- ------- ------- Total from Investment Operations.......................... 1.66 4.85 2.12 0.64 1.91 0.97 ------------------------------------------------------------------------------------------------------------------------ Less Distributions ------------------ Net Investment Income...................................... (0.12) (0.29) (0.24) (0.20) (0.19) (0.21) Net Realized Gains......................................... (0.68) -- -- -- -- -- ------- ------- ------- ------- ------- ------- Total Distributions....................................... (0.80) (0.29) (0.24) (0.20) (0.19) (0.21) ------------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Period............................... $ 19.26 $ 18.40 $ 13.84 $ 11.96 $ 11.52 $ 9.80 ============================================================= =========== ======== ======== ======== ======== ======== Total Return................................................. 9.30%(C) 35.41% 18.01% 5.48% 19.71% 11.61% ------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands)........................ $69,313 $67,266 $60,916 $62,759 $67,314 $65,927 Ratio of Expenses to Average Net Assets (B).................. 0.34%(D) 0.34% 0.34% 0.34% 0.35% 0.38% Ratio of Net Investment Income to Average Net Assets......... 1.59%(D) 1.77% 1.93% 1.56% 1.78% 2.20% ------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 13 DIMENSIONAL INVESTMENT GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
LWAS/DFA Two-Year Fixed Income Portfolio --------------------------------------------------------- Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 2009 ----------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period................. $ 10.02 $ 10.07 $ 10.10 $ 10.13 $ 10.03 $ 9.84 ------- ------- ------- ------- ------- ------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................... 0.01 0.03 0.04 0.05 0.08 0.19 Net Gains (Losses) on Securities (Realized and Unrealized)....................................... 0.01 -- 0.03 0.03 0.11 0.23 ------- ------- ------- ------- ------- ------- Total from Investment Operations.................. 0.02 0.03 0.07 0.08 0.19 0.42 ----------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income.............................. (0.01) (0.03) (0.04) (0.06) (0.09) (0.23) Net Realized Gains................................. (0.01) (0.05) (0.06) (0.05) -- -- ------- ------- ------- ------- ------- ------- Total Distributions............................... (0.02) (0.08) (0.10) (0.11) (0.09) (0.23) ----------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period....................... $ 10.02 $ 10.02 $ 10.07 $ 10.10 $ 10.13 $ 10.03 ===================================================== =========== ======== ======== ======== ======== ======== Total Return......................................... 0.22%(C) 0.26% 0.75% 0.73% 1.89% 4.31% ----------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)................ $99,504 $94,726 $89,326 $92,897 $89,264 $77,398 Ratio of Expenses to Average Net Assets.............. 0.28%(D) 0.29% 0.30% 0.30% 0.31% 0.34% Ratio of Net Investment Income to Average Net Assets. 0.22%(D) 0.27% 0.40% 0.54% 0.82% 1.92% Portfolio Turnover Rate.............................. 51%(C) 57% 102% 98% 113% 77% -----------------------------------------------------------------------------------------------------------------
LWAS/DFA Two-Year Government Portfolio -------------------------------------------------------------- Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 2009 --------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period................. $ 9.91 $ 9.96 $ 9.98 $ 10.07 $ 10.10 $ 9.80 -------- -------- -------- -------- -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................... -- 0.01 0.02 0.04 0.07 0.18 Net Gains (Losses) on Securities (Realized and Unrealized)....................................... 0.01 0.02 0.04 0.02 0.13 0.33 -------- -------- -------- -------- -------- -------- Total from Investment Operations.................. 0.01 0.03 0.06 0.06 0.20 0.51 --------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income.............................. -- (0.01) (0.03) (0.04) (0.08) (0.21) Net Realized Gains................................. (0.02) (0.07) (0.05) (0.11) (0.15) -- -------- -------- -------- -------- -------- -------- Total Distributions............................... (0.02) (0.08) (0.08) (0.15) (0.23) (0.21) --------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period....................... $ 9.90 $ 9.91 $ 9.96 $ 9.98 $ 10.07 $ 10.10 ===================================================== =========== ======== ======== ======== ======== ======== Total Return......................................... 0.13%(C) 0.26% 0.50% 0.66% 1.98% 5.21% --------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)................ $146,875 $145,205 $145,273 $178,442 $173,724 $136,508 Ratio of Expenses to Average Net Assets.............. 0.27%(D) 0.28% 0.28% 0.29% 0.29% 0.31% Ratio of Net Investment Income to Average Net Assets. 0.06%(D) 0.05% 0.19% 0.41% 0.72% 1.76% Portfolio Turnover Rate.............................. 78%(C) 160% 111% 127% 166% 112% ---------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 14 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 fifteen portfolios, three of which, LWAS/DFA U.S. High Book to Market Portfolio, LWAS/DFA Two-Year Fixed Income Portfolio and LWAS/DFA Two-Year Government Portfolio (the "Portfolios"), are presented in this report. The remaining operational portfolios are presented in separate reports. LWAS/DFA U.S. High Book to Market Portfolio ("Feeder Fund") primarily invests its assets in The U.S. Large Cap Value Series (the "Series"), a corresponding series of The DFA Investment Trust Company. At April 30, 2014, the Feeder Fund owned 1% of the 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 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) Debt securities held by LWAS/DFA Two-Year Fixed Income Portfolio and LWAS/DFA Two-Year Government 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 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. 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. These valuations are generally categorized as Level 2 in the hierarchy. 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 Investment Committee of Dimensional Fund Advisors LP) occur before the net asset value is calculated. When fair value pricing is used, the prices of securities used by the 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. 15 The Feeder Fund's investment reflects its proportionate interest in the net assets of the Series. 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. Valuation hierarchy tables have been included at the end of the Schedules 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, 2014, there were no significant transfers between Level 1 and Level 2 and no Level 3 investments held by the Portfolios. 2. Deferred Compensation Plan: Each eligible Director/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 Directors/Trustees may defer payment of all or a portion of their total fees earned as a Director/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 Director/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 Director/Trustee shall have the right in a notice of election (the "Notice") to defer the receipt of the Director's/Trustee's deferred compensation until a date specified by such Director/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 Director/Trustee ceases to be a member of the Board; and (ii) five years following the effective date of the Director's/Trustee's first deferral election. If a Director/Trustee who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Director's/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 Director/Trustee ceases to be a member of the Board (unless the Director/Trustee files an amended Notice selecting a different distribution date). As of April 30, 2014, none of the Directors/Trustees have requested or received a distribution of proceeds of a deferred fee account. 3. Other: The Feeder Fund recognizes its pro-rata share of net investment income and realized and unrealized gains/losses of investment securities, on a daily basis, from its Series, which is treated as a partnership for federal income tax purposes. Security transactions are accounted for as of the trade date. Costs used in determining realized gains and losses on the sale of investment securities are on the basis of identified cost. Dividend income and distributions to shareholders are recorded on the ex-dividend date. 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 Portfolios are allocated using methods approved by the Board, generally based on average net assets. C. Investment Advisor: The Advisor, Dimensional Fund Advisors LP, provides administrative services to the Feeder Fund, including supervision of services provided by others, providing information to shareholders and the Board, and other administrative services. The Advisor provides investment advisory services to the Portfolios. The Advisor receives no additional compensation for the investment advisory services it provides to the Feeder Fund, but is compensated for the investment advisory services it provides to the Feeder Fund's Master Fund. For the 16 six months ended April 30, 2014, the Portfolios' administrative services fees or investment advisory services fees were accrued daily and paid monthly to the Advisor based on the following effective annual rates of average daily net assets:
Administrative Advisory Services Fees Services Fees -------------- ------------- LWAS/DFA U.S. High Book to Market Portfolio. 0.01% -- LWAS/DFA Two-Year Fixed Income Portfolio.... -- 0.15% LWAS/DFA Two-Year Government Portfolio...... -- 0.15%
In addition, pursuant to a Client Service Agreement with LWI Financial Inc. ("LWIF"), the Portfolios pay monthly Shareholder Servicing Fees to LWIF at the following effective annual rates of their average daily net assets:
Shareholder Servicing Fees -------------- LWAS/DFA U.S. High Book to Market Portfolio. 0.15% LWAS/DFA Two-Year Fixed Income Portfolio.... 0.08% LWAS/DFA Two-Year Government Portfolio...... 0.08%
Fees Paid to Officers and Directors/Trustees: Certain Officers and Directors/Trustees of the Advisor are also Officers and Directors/Trustees of the Fund; however, such Officers and Directors/Trustees (with the exception of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund. For the six months ended April 30, 2014, the total related amounts paid by the Fund to the CCO were $15 (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, 2014, 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 (amounts in thousands): LWAS/DFA U.S. High Book to Market Portfolio. $3 LWAS/DFA Two-Year Fixed Income Portfolio.... 4 LWAS/DFA Two-Year Government Portfolio...... 6
E. Purchases and Sales of Securities: For the six months ended April 30, 2014, the Portfolios made the following purchases and sales of investment securities, other than short-term securities (amounts in thousands):
U.S. Government Securities Other Investment Securities -------------------------- --------------------------- Purchases Sales Purchases Sales --------- -------- --------- ------- LWAS/DFA Two-Year Fixed Income Portfolio. $ 27,879 $ 19,191 $25,202 $28,310 LWAS/DFA Two-Year Government Portfolio... 115,183 112,505 -- --
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 17 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, 2013, primarily attributable to tax equalization, were reclassified to the following accounts. These reclassifications had no effect on net assets or net asset value per share (amounts in thousands):
Increase Increase (Decrease) (Decrease) Increase Undistributed Accumulated (Decrease) Net Investment Net Realized Paid-In Capital Income Gains (Losses) --------------- -------------- -------------- LWAS/DFA U.S. High Book to Market Portfolio. $443 $(114) $(329) LWAS/DFA Two-Year Fixed Income Portfolio.... -- -- -- LWAS/DFA Two-Year Government Portfolio...... -- -- --
The tax character of dividends and distributions declared and paid during the years ended October 31, 2012 and October 31, 2013 were as follows (amounts in thousands):
Net Investment Income and Short-Term Long-Term Capital Gains Capital Gains Total -------------- ------------- ------ LWAS/DFA U.S. High Book to Market Portfolio 2012........................................ $1,185 -- $1,185 2013........................................ 1,172 -- 1,172 LWAS/DFA Two-Year Fixed Income Portfolio 2012........................................ 854 $90 944 2013........................................ 631 44 675 LWAS/DFA Two-Year Government Portfolio 2012........................................ 1,187 -- 1,187 2013........................................ 1,071 29 1,100
At October 31, 2013, the following net investment income and short-term capital gains and long-term capital gains distributions designated for federal income tax purposes are due to the utilization of accumulated earnings and profits distributed to shareholders upon redemption of shares (amounts in thousands):
Net Investment Income and Short-Term Long-Term Capital Gains Capital Gains Total -------------- ------------- ----- LWAS/DFA U.S. High Book to Market Portfolio. $114 $329 $443
At October 31, 2013, the components of distributable earnings (accumulated losses) were as follows (amounts in thousands):
Undistributed Total Net Net Investment Distributable Income and Undistributed Unrealized Earnings Short-Term Long-Term Appreciation Accumulated Capital Gains Capital Gains (Depreciation) (Losses) -------------- ------------- -------------- ------------- LWAS/DFA U.S. High Book to Market Portfolio. $ 42 $2,396 $32,462 $34,900 LWAS/DFA Two-Year Fixed Income Portfolio.... 88 46 123 257 LWAS/DFA Two-Year Government Portfolio...... 126 179 164 469
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 18 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, 2013, the Portfolios had no capital loss carryforwards available to offset future realized capital gains. During the year ended October 31, 2013, the LWAS/DFA U.S. High Book to Market Portfolio utilized the following capital loss carryforwards to offset realized capital gains for federal income tax purposes (amounts in thousands): LWAS/DFA U.S. High Book to Market Portfolio. $4,175
At April 30, 2014, 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 (amounts in thousands):
Net Unrealized Federal Unrealized Unrealized Appreciation Tax Cost Appreciation (Depreciation) (Depreciation) -------- ------------ -------------- -------------- LWAS/DFA U.S. High Book to Market Portfolio. $ 33,486 $35,833 -- $35,833 LWAS/DFA Two-Year Fixed Income Portfolio.... 98,974 117 $(6) 111 LWAS/DFA Two-Year Government Portfolio...... 146,512 181 -- 181
The difference between book basis and tax-basis unrealized appreciation (depreciation) is primarily attributable to the tax deferral of losses on wash sales. 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 each Portfolio's tax positions and has concluded that no additional provision for income tax is required in any Portfolio's financial statements. No Portfolio is 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. Each Portfolio's federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. G. Line of Credit: The Fund, together with other Dimensional-advised portfolios, has entered into a $500 million unsecured discretionary line of credit effective March 4, 2013 with its domestic custodian bank. 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 was scheduled to expire on March 3, 2014, however, effective March 3, 2014, the term was extended until March 2, 2015. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit effective January 10, 2014 with its international custodian bank. 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 9, 2015. There were no borrowings by the Portfolios under the lines of credit during the six months ended April 30, 2014. 19 H. Indemnitees; Contractual Obligations: Under the Fund's organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties which provide general indemnification. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote. I. Other: At April 30, 2014, the following number of shareholders held the following approximate percentages of the stated fund outstanding shares. One or more of the shareholders may be omnibus accounts, which typically hold shares for the benefit of several other underlying investors.
Approximate Percentage Number of of Outstanding Shareholders Shares ------------ -------------- LWAS/DFA U.S. High Book to Market Portfolio. 2 95% LWAS/DFA Two-Year Fixed Income Portfolio.... 3 97% LWAS/DFA Two-Year Government Portfolio...... 2 93%
The Portfolios are subject to claims and suits that arise from time to time in the ordinary course of business (for example, in The Tribune Company Bankruptcy, certain creditors have filed actions against all shareholders of The Tribune Company who tendered shares when the Tribune Company went private in 2007 in a leveraged buyout transaction, seeking the return of proceeds received by the shareholders). 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 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 Court's dismissal order is on appeal to the Second Circuit. 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. Briefing on the motion to dismiss will be completed by July 2014, with oral argument on the motion to be held thereafter. 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 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. 20 The U.S. Large Cap Value Series also cannot predict what its size might be at the time the cost of the Lawsuits might be quantifiable and thus potentially 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. J. Subsequent Event Evaluations: Management has evaluated the impact of all subsequent events on the Portfolios and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements. 21 DFA INVESTMENT DIMENSIONS GROUP INC. LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO DISCLOSURE OF FUND EXPENSES (Unaudited) The following Expense Table is shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, 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 table are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs, if applicable. The "Annualized Expense Ratio" represents the actual expenses for the six-month period indicated. Six Months Ended April 30, 2014 EXPENSE TABLES Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 11/01/13 04/30/14 Ratio* Period* --------- --------- ---------- -------- LWAS/DFA International High Book to Market Portfolio ---------------------------------------------------- Actual Fund Return................................... $1,000.00 $1,053.20 0.50% $2.55 Hypothetical 5% Annual Return........................ $1,000.00 $1,022.32 0.50% $2.51
---------- * 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 indirect payment of the Feeder Fund's portion of the expenses of its Master Fund (Affiliated Investment Company). 22 DFA INVESTMENT DIMENSIONS GROUP INC. LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO DISCLOSURE OF PORTFOLIO HOLDINGS (Unaudited) The SEC requires that all funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters 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 31, 2014. It is 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 country. Affiliated Investment Company. 100.0%
23 LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2014 (Unaudited)
Value+ ----------- AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The DFA International Value Series of The DFA Investment Trust Company.................................. $79,435,206 ----------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $63,154,597)........................................... $79,435,206 ===========
Summary of the Portfolio's Master Fund's investments as of April 30, 2014, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 24 DFA INVESTMENT DIMENSIONS GROUP INC. LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO STATEMENT OF ASSETS AND LIABILITIES APRIL 30, 2014 (Unaudited) (Amounts in thousands, except share and per share amounts) ASSETS: Investment in The DFA International Value Series of The DFA Investment Trust Company (Affiliated Investment Company) at Value.............................................. $ 79,435 Prepaid Expenses and Other Assets...................................................... 12 ------------ Total Assets...................................................................... 79,447 ------------ LIABILITIES: Payables: Fund Shares Redeemed................................................................. 5 Due to Advisor....................................................................... 1 Accrued Expenses and Other Liabilities................................................. 22 ------------ Total Liabilities................................................................. 28 ------------ NET ASSETS............................................................................. $ 79,419 ============ SHARES OUTSTANDING, $0.01 PAR VALUE (1)................................................ 8,492,576 ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE............................... $ 9.35 ============ Investment in Affiliated Investment Company at Cost.................................... $ 63,155 ============ NET ASSETS CONSIST OF: Paid-In Capital........................................................................ $ 61,355 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income). 663 Accumulated Net Realized Gain (Loss)................................................... 1,111 Net Unrealized Foreign Exchange Gain (Loss)............................................ 10 Net Unrealized Appreciation (Depreciation)............................................. 16,280 ------------ NET ASSETS............................................................................. $ 79,419 ============ (1) NUMBER OF SHARES AUTHORIZED........................................................ 200,000,000 ============
See accompanying Notes to Financial Statements. 25 DFA INVESTMENT DIMENSIONS GROUP INC. LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO* STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2014 (Unaudited) (Amounts in thousands) Investment Income Dividends (Net of Foreign Taxes Withheld of $97).............. $2,291 Income from Securities Lending................................ 47 Expenses Allocated from Affiliated Investment Company......... (83) ------ Total Investment Income.................................... 2,255 ------ Expenses Administrative Services Fees.................................. 4 Accounting & Transfer Agent Fees.............................. 12 Shareholder Servicing Fees.................................... 73 Filing Fees................................................... 14 Shareholders' Reports......................................... 3 Directors'/Trustees' Fees & Expenses.......................... 1 Professional Fees............................................. 1 Other......................................................... 1 ------ Total Expenses............................................. 109 ------ Net Investment Income (Loss).................................. 2,146 ------ Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold.................................. 1,131 Foreign Currency Transactions............................... 3 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................. 758 ------ Net Realized and Unrealized Gain (Loss)....................... 1,892 ------ Net Increase (Decrease) in Net Assets Resulting from Operations. $4,038 ======
---------- * Investment Income and Realized and Unrealized Gain (Loss) were allocated from the Portfolio's Master Fund (Affiliated Investment Company). See accompanying Notes to Financial Statements. 26 DFA INVESTMENT DIMENSIONS GROUP INC. LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
Six Months Year Ended Ended April 30, Oct. 31, 2014 2013 - ----------- -------- (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)......................................................... $ 2,146 $ 2,079 Net Realized Gain (Loss) on: Investment Securities Sold......................................................... 1,131 3,625 Futures............................................................................ -- (14) Foreign Currency Transactions...................................................... 3 (20) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency......................................... 758 11,905 Translation of Foreign Currency Denominated Amounts................................ -- 6 ------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations................... 4,038 17,581 ------- -------- Distributions From: Net Investment Income................................................................ (1,547) (2,242) Net Short-Term Gains................................................................. (145) -- Net Long-Term Gains.................................................................. (3,304) (4,494) ------- -------- Total Distributions............................................................... (4,996) (6,736) ------- -------- Capital Share Transactions (1): Shares Issued........................................................................ 2,753 7,334 Shares Issued in Lieu of Cash Distributions.......................................... 4,995 5,799 Shares Redeemed...................................................................... (5,272) (12,977) ------- -------- Net Increase (Decrease) from Capital Share Transactions........................... 2,476 156 ------- -------- Total Increase (Decrease) in Net Assets........................................... 1,518 11,001 Net Assets Beginning of Period.................................................................. 77,901 66,900 ------- -------- End of Period........................................................................ $79,419 $ 77,901 ======= ======== (1) Shares Issued and Redeemed: Shares Issued........................................................................ 299 869 Shares Issued in Lieu of Cash Distributions.......................................... 562 723 Shares Redeemed...................................................................... (569) (1,527) ------- -------- Net Increase (Decrease) from Shares Issued and Redeemed........................... 292 65 ======= ======== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income). $ 663 $ 64
See accompanying Notes to Financial Statements. 27 DFA INVESTMENT DIMENSIONS GROUP INC. LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
Six Months Year Year Year Year Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2014 2013 2012 2011 2010 2009 ------------------------------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period......................... $ 9.50 $ 8.22 $ 8.68 $ 10.38 $ 9.66 $ 11.40 ------- ------- ------- ------- ------- ------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.26 0.25 0.28 0.32 0.22 0.25 Net Gains (Losses) on Securities (Realized and Unrealized). 0.21 1.87 (0.10) (1.09) 0.79 2.14 ------- ------- ------- ------- ------- ------- Total from Investment Operations.......................... 0.47 2.12 0.18 (0.77) 1.01 2.39 ------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.19) (0.27) (0.28) (0.31) (0.23) (0.27) Net Realized Gains......................................... (0.43) (0.57) (0.36) (0.62) (0.06) (3.86) ------- ------- ------- ------- ------- ------- Total Distributions....................................... (0.62) (0.84) (0.64) (0.93) (0.29) (4.13) ------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period............................... $ 9.35 $ 9.50 $ 8.22 $ 8.68 $ 10.38 $ 9.66 ============================================================= =========== ======== ======== ======== ======== ======== Total Return................................................. 5.32%(C) 27.91% 2.89% (8.30)% 10.85% 34.92% ------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)........................ $79,419 $77,901 $66,900 $72,856 $85,892 $85,504 Ratio of Expenses to Average Net Assets (B).................. 0.50%(D) 0.49% 0.50% 0.49% 0.50% 0.52% Ratio of Net Investment Income to Average Net Assets......... 5.61%(D) 2.91% 3.49% 3.24% 2.29% 2.99% -------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 28 DFA INVESTMENT DIMENSIONS GROUP INC. LWAS/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO 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 offered to institutional investors, retirement plans and clients of registered investment advisors. The Fund consists of seventy-seven operational portfolios, one of which, LWAS/DFA International High Book to Market Portfolio (the "Portfolio"), is presented in this report. The remaining operational portfolios are presented in separate reports. The Portfolio primarily invests its assets in The DFA International Value Series (the "Series"), a corresponding series of The DFA Investment Trust Company. At April 30, 2014, the Portfolio owned 1% of the 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 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) The Portfolio's investments reflect its proportionate interest in the net assets of the Series. These valuations are classified as Level 1 in the hierarchy. A summary of the inputs used to value the Portfolio's investments is disclosed previously in this note. 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, 2014, 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/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 Directors/Trustees may defer payment of all or a portion of their total fees earned as a Director/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 29 included in Directors'/Trustees' Fees & Expenses. At April 30, 2014, the total liability for deferred compensation to Directors/Trustees is included in Accrued Expenses and Other Liabilities on the Statement of Assets and Liabilities in the amount of $3 (in thousands). Each Director/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 Director/Trustee shall have the right in a notice of election (the "Notice") to defer the receipt of the Director's/Trustee's deferred compensation until a date specified by such Director/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 Director/Trustee ceases to be a member of the Board; and (ii) five years following the effective date of the Director's/Trustee's first deferral election. If a Director/Trustee who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Director's/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 Director/Trustee ceases to be a member of the Board (unless the Director/Trustee files an amended Notice selecting a different distribution date). As of April 30, 2014, none of the Directors/Trustees have requested or received a distribution of proceeds of a deferred fee account. 3. Other: The Portfolio recognizes its pro-rata share, on a daily basis, of net investment income and realized and unrealized gains and losses of investment securities and foreign currency from the Series, which is treated as a partnership for federal income tax purposes. 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. 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. Investment Advisor: The Advisor, Dimensional Fund Advisors LP, provides administrative services to the Portfolio, including supervision of services provided by others, providing information to shareholders and the Board, and other administrative services. The Advisor provides investment advisory services to the Series. For the six months ended April 30, 2014, the Portfolio's administrative services fees were accrued daily and paid monthly to the Advisor based on an effective annual rate of 0.01% of average daily net assets. In addition, pursuant to a Client Service Agreement with LWI Financial Inc. ("LWIF"), the Portfolio pays a monthly Shareholder Servicing Fee to LWIF an effective annual rate of 0.19% of its average daily net assets. Fees Paid to Officers and Directors/Trustees: Certain Officers and Directors/Trustees of the Advisor are also Officers and Directors/Trustees of the Fund; however, such Officers and Directors/Trustees (with the exception of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund. For the six months ended April 30, 2014, the total related amounts paid by the Fund to the CCO were $130 (in thousands). The total related amounts paid by the Portfolio are included in Other Expenses on the Statement of Operations. D. Federal Income Taxes: The Portfolio has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code for federal income tax purposes and to distribute substantially all of its taxable income and net capital gains to its shareholders. Accordingly, no provision has been made for federal income taxes. Distributions from net investment income and net realized capital gains are determined in accordance with U.S. federal income tax regulations, which may differ from those amounts determined under accounting principles generally accepted in the United States of America. These book/tax differences are either temporary or permanent in nature. To the extent 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, 2013, primarily 30 attributable to net foreign currency gains (losses) and gains on securities considered to be "passive foreign investment companies", tax equalization and foreign capital gains tax were reclassified to the following accounts. These reclassifications had no effect on net assets or net asset value per share (amounts in thousands):
Increase Increase (Decrease) (Decrease) Increase Undistributed Accumulated (Decrease) Net Investment Net Realized Paid-In Capital Income Gains (Losses) --------------- -------------- -------------- LWAS/DFA International High Book to Market Portfolio. $257 $(109) $(148)
The tax character of dividends and distributions declared and paid during the years ended October 31, 2012 and October 31, 2013 were as follows (amounts in thousands):
Net Investment Income and Short-Term Long-Term Capital Gains Capital Gains Total -------------- ------------- ------ LWAS/DFA International High Book to Market Portfolio 2012................................................. $2,327 $2,965 $5,292 2013................................................. 2,242 4,494 6,736
At October 31, 2013, the following net investment income and short-term capital gains and long-term capital gains distributions designated for federal income tax purposes are due to the utilization of accumulated earnings and profits distributed to shareholders upon redemption of shares (amounts in thousands):
Net Investment Income and Short-Term Long-Term Capital Gains Capital Gains Total -------------- ------------- ----- LWAS/DFA International High Book to Market Portfolio. $101 $156 $257
At October 31, 2013, the components of distributable earnings (accumulated losses) were as follows (amounts in thousands):
Undistributed Total Net Net Investment Distributable Income and Undistributed Unrealized Earnings Short-Term Long-Term Appreciation (Accumulated Capital Gains Capital Gains (Depreciation) Losses) -------------- ------------- -------------- ------------- LWAS/DFA International High Book to Market Portfolio................................ $266 $3,297 $15,465 $19,028
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, 2013, the Portfolio had no capital loss carryforwards available to offset future realized capital gains. During the year ended October 31, 2013, the Portfolio did not utilize capital loss carryforwards. At April 30, 2014, 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 (amounts in thousands):
Net Unrealized Federal Unrealized Unrealized Appreciation Tax Cost Appreciation (Depreciation) (Depreciation) -------- ------------ -------------- -------------- LWAS/DFA International High Book to Market Portfolio. $63,222 $16,213 -- $16,213
31 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 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. E. Line of Credit: The Fund, together with other Dimensional-advised portfolios, has entered into a $500 million unsecured discretionary line of credit effective March 4, 2013 with its domestic custodian bank. 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 was scheduled to expire on March 3, 2014, however, effective March 3, 2014, the term was extended until March 2, 2015. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit effective January 10, 2014 with its international custodian bank. 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 9, 2015. There were no borrowings by the Portfolio under the lines of credit during the six months ended April 30, 2014. F. 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 which 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. G. Other: At April 30, 2014, two shareholders held approximately 96% of 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. H. Subsequent Event Evaluations: Management has evaluated the impact of all subsequent events on the Portfolio and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements. 32 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, 2014 EXPENSE TABLES Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 11/01/13 04/30/14 Ratio* Period* --------- --------- ---------- -------- The U.S. Large Cap Value Series ------------------------------- Actual Fund Return................. $1,000.00 $1,094.50 0.11% $0.57 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 $1,055.10 0.22% $1.12 Hypothetical 5% Annual Return...... $1,000.00 $1,023.70 0.22% $1.10
---------- * 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 (181), then divided by the number of days in the year (365) to reflect the six-month period. 33 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 31, 2014. It is 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 amendments 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....................... 12.0% Consumer Staples............................. 7.1% Energy....................................... 22.2% Financials................................... 22.6% Health Care.................................. 9.7% Industrials.................................. 11.4% Information Technology....................... 7.2% Materials.................................... 3.3% Telecommunication Services................... 4.2% Utilities.................................... 0.3% ----- 100.0%
The DFA International Value Series Consumer Discretionary....................... 9.6% Consumer Staples............................. 4.6% Energy....................................... 14.3% Financials................................... 34.7% Health Care.................................. 3.7% Industrials.................................. 10.0% Information Technology....................... 3.5% Materials.................................... 11.3% Other........................................ -- Real Estate Investment Trusts................ -- Telecommunication Services................... 4.8% Utilities.................................... 3.5% ----- 100.0%
34 THE U.S. LARGE CAP VALUE SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2014 (Unaudited)
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (97.0%) Consumer Discretionary -- (11.6%) Comcast Corp. Class A................ 9,873,756 $ 511,065,611 3.1% # Comcast Corp. Special Class A........ 3,813,064 194,580,656 1.2% General Motors Co.................... 3,716,863 128,157,436 0.8% Time Warner Cable, Inc............... 1,876,119 265,395,794 1.6% Time Warner, Inc..................... 5,052,904 335,816,000 2.0% Other Securities..................... 556,054,796 3.2% -------------- ----- Total Consumer Discretionary............. 1,991,070,293 11.9% -------------- ----- Consumer Staples -- (6.9%) Archer-Daniels-Midland Co............ 3,151,861 137,830,881 0.8% CVS Caremark Corp.................... 6,986,047 508,025,338 3.0% Mondelez International, Inc. Class A. 7,976,433 284,359,836 1.7% Other Securities..................... 251,992,010 1.6% -------------- ----- Total Consumer Staples................... 1,182,208,065 7.1% -------------- ----- Energy -- (21.6%) Anadarko Petroleum Corp.............. 2,644,697 261,877,897 1.6% Apache Corp.......................... 1,895,772 164,553,010 1.0% Baker Hughes, Inc.................... 1,938,026 135,468,017 0.8% Chevron Corp......................... 4,835,771 606,985,976 3.6% ConocoPhillips....................... 6,993,622 519,696,051 3.1% Devon Energy Corp.................... 1,721,246 120,487,220 0.7% Exxon Mobil Corp..................... 1,502,573 153,878,501 0.9% Hess Corp............................ 1,628,606 145,206,511 0.9% Marathon Oil Corp.................... 3,640,872 131,617,523 0.8% Marathon Petroleum Corp.............. 1,752,484 162,893,388 1.0% National Oilwell Varco, Inc.......... 2,032,845 159,639,318 1.0% Occidental Petroleum Corp............ 2,152,468 206,098,811 1.2% Phillips 66.......................... 2,926,797 243,568,046 1.5% Valero Energy Corp................... 2,806,975 160,474,761 1.0% Other Securities..................... 532,312,812 3.1% -------------- ----- Total Energy............................. 3,704,757,842 22.2% -------------- ----- Financials -- (22.0%) American International Group, Inc.... 6,143,899 326,425,354 2.0% Bank of America Corp................. 26,957,644 408,138,730 2.4% Bank of New York Mellon Corp. (The).. 3,735,585 126,524,264 0.8% Capital One Financial Corp........... 2,096,624 154,940,514 0.9% Citigroup, Inc....................... 7,932,413 380,041,907 2.3% CME Group, Inc....................... 1,612,799 113,524,922 0.7% JPMorgan Chase & Co.................. 9,265,436 518,679,107 3.1% MetLife, Inc......................... 4,300,949 225,154,680 1.3% Morgan Stanley....................... 6,887,527 213,031,210 1.3% Prudential Financial, Inc............ 1,944,264 156,863,220 0.9% SunTrust Banks, Inc.................. 2,600,602 99,499,033 0.6% Other Securities..................... 1,051,677,256 6.3% -------------- ----- Total Financials......................... 3,774,500,197 22.6% -------------- ----- Health Care -- (9.3%) Aetna, Inc........................... 2,009,110 143,550,909 0.9% * Express Scripts Holding Co........... 3,072,578 204,572,243 1.2% Pfizer, Inc.......................... 16,350,996 511,459,155 3.1%
35 THE U.S. LARGE CAP VALUE SERIES CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Health Care -- (Continued) Thermo Fisher Scientific, Inc...................... 1,947,634 $ 222,030,276 1.3% WellPoint, Inc..................................... 1,674,297 168,568,222 1.0% Other Securities................................... 357,718,328 2.1% --------------- ------ Total Health Care........................................ 1,607,899,133 9.6% --------------- ------ Industrials -- (11.1%) CSX Corp........................................... 5,604,703 158,164,719 1.0% Eaton Corp. P.L.C.................................. 2,273,922 165,177,694 1.0% FedEx Corp......................................... 828,737 112,915,416 0.7% General Electric Co................................ 12,431,885 334,293,388 2.0% Norfolk Southern Corp.............................. 1,681,939 158,993,694 1.0% Northrop Grumman Corp.............................. 1,364,645 165,818,014 1.0% Union Pacific Corp................................. 1,891,022 360,107,319 2.2% Other Securities................................... 448,194,227 2.5% --------------- ------ Total Industrials........................................ 1,903,664,471 11.4% --------------- ------ Information Technology -- (7.0%) Corning, Inc....................................... 5,762,032 120,484,089 0.7% Hewlett-Packard Co................................. 9,619,949 318,035,514 1.9% Intel Corp......................................... 5,871,145 156,700,860 0.9% Other Securities................................... 606,174,129 3.7% --------------- ------ Total Information Technology............................. 1,201,394,592 7.2% --------------- ------ Materials -- (3.2%) Freeport-McMoRan Copper & Gold, Inc................ 4,647,012 159,717,802 1.0% Other Securities................................... 395,751,544 2.3% --------------- ------ Total Materials.......................................... 555,469,346 3.3% --------------- ------ Telecommunication Services -- (4.0%) AT&T, Inc.......................................... 15,116,213 539,648,804 3.2% Other Securities................................... 153,431,442 0.9% --------------- ------ Total Telecommunication Services......................... 693,080,246 4.1% --------------- ------ Utilities -- (0.3%) Other Securities................................... 54,600,112 0.3% --------------- ------ TOTAL COMMON STOCKS...................................... 16,668,644,297 99.7% --------------- ------ TEMPORARY CASH INVESTMENTS -- (0.4%) State Street Institutional Liquid Reserves, 0.074%. 69,498,079 69,498,079 0.4% --------------- ------ Shares/ Face Amount ------- (000) SECURITIES LENDING COLLATERAL -- (2.6%) (S)@ DFA Short Term Investment Fund..................... 38,162,068 441,535,131 2.7% --------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $10,925,873,386)............................... $17,179,677,507 102.8% =============== ======
36 THE U.S. LARGE CAP VALUE SERIES CONTINUED Summary of the Series' investments as of April 30, 2014, 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...... $ 1,991,070,293 -- -- $ 1,991,070,293 Consumer Staples............ 1,182,208,065 -- -- 1,182,208,065 Energy...................... 3,704,757,842 -- -- 3,704,757,842 Financials.................. 3,774,500,197 -- -- 3,774,500,197 Health Care................. 1,607,899,133 -- -- 1,607,899,133 Industrials................. 1,903,664,471 -- -- 1,903,664,471 Information Technology...... 1,201,394,592 -- -- 1,201,394,592 Materials................... 555,469,346 -- -- 555,469,346 Telecommunication Services.. 693,080,246 -- -- 693,080,246 Utilities................... 54,600,112 -- -- 54,600,112 Temporary Cash Investments.... 69,498,079 -- -- 69,498,079 Securities Lending Collateral. -- $441,535,131 -- 441,535,131 --------------- ------------ -- --------------- TOTAL......................... $16,738,142,376 $441,535,131 -- $17,179,677,507 =============== ============ == ===============
See accompanying Notes to Financial Statements. 37 THE DFA INTERNATIONAL VALUE SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2014 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (90.6%) AUSTRALIA -- (4.6%) Santos, Ltd...................... 4,099,271 $ 52,558,232 0.6% Wesfarmers, Ltd.................. 2,586,337 102,933,877 1.1% Other Securities................. 321,643,082 3.3% ------------ ----- TOTAL AUSTRALIA...................... 477,135,191 5.0% ------------ ----- AUSTRIA -- (0.1%) Other Securities................. 15,658,992 0.2% ------------ ----- BELGIUM -- (1.2%) Other Securities................. 128,323,164 1.4% ------------ ----- CANADA -- (8.0%) # Canadian Natural Resources, Ltd.. 1,849,320 75,352,978 0.8% Manulife Financial Corp.......... 3,287,435 61,726,575 0.7% Suncor Energy, Inc............... 3,750,370 144,670,082 1.5% Other Securities................. 554,656,413 5.8% ------------ ----- TOTAL CANADA......................... 836,406,048 8.8% ------------ ----- DENMARK -- (1.6%) Other Securities................. 163,115,860 1.7% ------------ ----- FINLAND -- (0.9%) Other Securities................. 94,719,007 1.0% ------------ ----- FRANCE -- (9.5%) AXA SA........................... 4,004,754 104,508,095 1.1% BNP Paribas SA................... 1,975,744 148,466,225 1.6% Cie de St-Gobain................. 1,078,023 66,045,558 0.7% # GDF Suez......................... 3,247,971 81,859,990 0.9% Orange SA........................ 3,875,091 62,781,400 0.7% Renault SA....................... 740,603 72,408,643 0.8% Societe Generale SA.............. 1,296,228 80,725,428 0.8% Vivendi SA....................... 3,686,124 99,034,179 1.0% Other Securities................. 279,123,896 2.8% ------------ ----- TOTAL FRANCE......................... 994,953,414 10.4% ------------ ----- GERMANY -- (7.4%) # Allianz SE....................... 518,031 90,152,856 1.0% Bayerische Motoren Werke AG...... 683,720 85,946,981 0.9% Daimler AG....................... 2,088,586 194,445,529 2.0% # E.ON SE.......................... 3,638,090 69,687,054 0.7% # Muenchener Rueckversicherungs AG. 297,828 68,845,597 0.7% RWE AG........................... 1,358,567 51,844,377 0.6% Other Securities................. 207,837,909 2.2% ------------ ----- TOTAL GERMANY........................ 768,760,303 8.1% ------------ ----- HONG KONG -- (1.9%) Hutchison Whampoa, Ltd........... 5,076,000 69,640,150 0.7% Other Securities................. 134,088,552 1.4% ------------ ----- TOTAL HONG KONG...................... 203,728,702 2.1% ------------ -----
38 THE DFA INTERNATIONAL VALUE SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- IRELAND -- (0.2%) Other Securities........................ $ 18,770,592 0.2% -------------- ----- ISRAEL -- (0.3%) Other Securities........................ 32,609,956 0.3% -------------- ----- ITALY -- (1.6%) UniCredit SpA........................... 6,290,570 56,361,264 0.6% Other Securities........................ 113,430,866 1.2% -------------- ----- TOTAL ITALY................................. 169,792,130 1.8% -------------- ----- JAPAN -- (18.3%) Mitsubishi Corp......................... 3,482,500 62,362,177 0.7% Mitsubishi UFJ Financial Group, Inc..... 24,653,206 131,142,580 1.4% Mitsui & Co., Ltd....................... 4,220,700 59,859,529 0.6% Mizuho Financial Group, Inc............. 42,833,200 83,893,411 0.9% Nippon Steel & Sumitomo Metal Corp...... 19,029,940 49,927,655 0.5% Sumitomo Mitsui Financial Group, Inc.... 1,688,300 66,739,011 0.7% Other Securities........................ 1,455,186,354 15.2% -------------- ----- TOTAL JAPAN................................. 1,909,110,717 20.0% -------------- ----- NETHERLANDS -- (3.2%) # ArcelorMittal........................... 3,159,312 51,374,315 0.5% * ING Groep NV............................ 6,479,202 92,619,251 1.0% Other Securities........................ 195,212,987 2.1% -------------- ----- TOTAL NETHERLANDS........................... 339,206,553 3.6% -------------- ----- NEW ZEALAND -- (0.1%) Other Securities........................ 8,078,915 0.1% -------------- ----- NORWAY -- (0.7%) Other Securities........................ 70,152,730 0.7% -------------- ----- PORTUGAL -- (0.1%) Other Securities........................ 8,215,156 0.1% -------------- ----- SINGAPORE -- (1.1%) Other Securities........................ 118,422,958 1.2% -------------- ----- SPAIN -- (2.6%) Banco Santander SA...................... 8,200,002 81,554,496 0.8% Iberdrola SA............................ 9,376,631 65,500,776 0.7% Other Securities........................ 119,686,535 1.3% -------------- ----- TOTAL SPAIN................................. 266,741,807 2.8% -------------- ----- SWEDEN -- (2.9%) Nordea Bank AB.......................... 5,366,449 77,763,053 0.8% Telefonaktiebolaget LM Ericsson Class B. 4,713,081 56,832,490 0.6% Other Securities........................ 163,261,946 1.7% -------------- ----- TOTAL SWEDEN................................ 297,857,489 3.1% -------------- ----- SWITZERLAND -- (8.8%) Credit Suisse Group AG.................. 1,928,358 61,134,025 0.6% Holcim, Ltd............................. 887,877 81,432,888 0.9% Novartis AG............................. 2,434,443 211,632,207 2.2% Novartis AG ADR......................... 681,571 59,255,783 0.6%
39 THE DFA INTERNATIONAL VALUE SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- SWITZERLAND -- (Continued) Swiss Re AG............................. 1,412,545 $ 123,514,466 1.3% UBS AG.................................. 4,344,251 90,855,076 1.0% Zurich Insurance Group AG............... 321,452 92,179,146 1.0% Other Securities........................ 194,865,896 2.0% --------------- ------ TOTAL SWITZERLAND............................. 914,869,487 9.6% --------------- ------ UNITED KINGDOM -- (15.5%) Anglo American P.L.C.................... 2,938,851 78,564,591 0.8% Barclays P.L.C. Sponsored ADR........... 5,037,005 86,183,156 0.9% BP P.L.C. Sponsored ADR................. 6,938,726 351,238,309 3.7% Glencore Xstrata P.L.C.................. 9,442,477 50,949,377 0.5% # HSBC Holdings P.L.C. Sponsored ADR...... 1,892,534 97,124,844 1.0% Kingfisher P.L.C........................ 8,040,406 56,896,948 0.6% # Royal Dutch Shell P.L.C. ADR(780259107). 3,323,210 281,309,727 3.0% Royal Dutch Shell P.L.C. ADR(780259206). 755,142 59,459,881 0.6% Vodafone Group P.L.C.................... 19,078,000 72,431,667 0.8% Vodafone Group P.L.C. Sponsored ADR..... 2,056,797 78,076,025 0.8% Other Securities........................ 401,284,528 4.2% --------------- ------ TOTAL UNITED KINGDOM.......................... 1,613,519,053 16.9% --------------- ------ TOTAL COMMON STOCKS........................... 9,450,148,224 99.1% --------------- ------ PREFERRED STOCKS -- (0.3%) GERMANY -- (0.3%) Other Securities........................ 28,133,374 0.3% --------------- ------ RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) Other Securities........................ -- 0.0% --------------- ------ FRANCE -- (0.0%) Other Securities........................ 304,214 0.0% --------------- ------ HONG KONG -- (0.0%) Other Securities........................ 49,049 0.0% --------------- ------ SPAIN -- (0.0%) Other Securities........................ 1,734,756 0.0% --------------- ------ TOTAL RIGHTS/WARRANTS......................... 2,088,019 0.0% --------------- ------ Shares/ Face Amount Value+ ------- ------ (000) SECURITIES LENDING COLLATERAL -- (9.1%) (S)@ DFA Short Term Investment Fund.......... 82,550,804 955,112,801 10.0% --------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $8,605,115,658)........................ $10,435,482,418 109.4% =============== ======
40 THE DFA INTERNATIONAL VALUE SERIES CONTINUED Summary of the Series' investments as of April 30, 2014, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) ----------------------------------------------------- Level 1 Level 2 Level 3 Total -------------- -------------- ------- --------------- Common Stocks Australia................... $ 1,974,118 $ 475,161,073 -- $ 477,135,191 Austria..................... -- 15,658,992 -- 15,658,992 Belgium..................... 3,952,688 124,370,476 -- 128,323,164 Canada...................... 836,406,048 -- -- 836,406,048 Denmark..................... -- 163,115,860 -- 163,115,860 Finland..................... 2,128,584 92,590,423 -- 94,719,007 France...................... 5,948,762 989,004,652 -- 994,953,414 Germany..................... 76,929,392 691,830,911 -- 768,760,303 Hong Kong................... -- 203,728,702 -- 203,728,702 Ireland..................... 6,301,524 12,469,068 -- 18,770,592 Israel...................... -- 32,609,956 -- 32,609,956 Italy....................... 24,068,580 145,723,550 -- 169,792,130 Japan....................... 62,859,115 1,846,251,602 -- 1,909,110,717 Netherlands................. 27,544,627 311,661,926 -- 339,206,553 New Zealand................. -- 8,078,915 -- 8,078,915 Norway...................... 322,262 69,830,468 -- 70,152,730 Portugal.................... -- 8,215,156 -- 8,215,156 Singapore................... -- 118,422,958 -- 118,422,958 Spain....................... 15,348,649 251,393,158 -- 266,741,807 Sweden...................... 11,416,422 286,441,067 -- 297,857,489 Switzerland................. 102,217,682 812,651,805 -- 914,869,487 United Kingdom.............. 996,765,713 616,753,340 -- 1,613,519,053 Preferred Stocks Germany..................... -- 28,133,374 -- 28,133,374 Rights/Warrants Australia................... -- -- -- -- France...................... -- 304,214 -- 304,214 Hong Kong................... -- 49,049 -- 49,049 Spain....................... -- 1,734,756 -- 1,734,756 Securities Lending Collateral. -- 955,112,801 -- 955,112,801 -------------- -------------- -- --------------- TOTAL......................... $2,174,184,166 $8,261,298,252 -- $10,435,482,418 ============== ============== == ===============
See accompanying Notes to Financial Statements. 41 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2014 (Unaudited) (Amounts in thousands)
The U.S. The DFA Large Cap International Value Series Value Series* ------------ ------------- ASSETS: Investments at Value (including $432,843 and $922,064 of securities on loan, respectively). $16,668,644 $ 9,480,370 Temporary Cash Investments at Value & Cost................................................. 69,498 -- Collateral from Securities on Loan Invested in Affiliate at Value & Cost................... 441,535 955,113 Foreign Currencies at Value................................................................ -- 34,442 Cash....................................................................................... -- 12,095 Receivables: Investment Securities Sold............................................................... 22,131 8,683 Dividends, Interest and Tax Reclaims..................................................... 14,957 38,974 Securities Lending Income................................................................ 265 2,482 Unrealized Gain on Foreign Currency Contracts.............................................. -- 8 ----------- ----------- Total Assets.......................................................................... 17,217,030 10,532,167 ----------- ----------- LIABILITIES: Payables: Upon Return of Securities Loaned......................................................... 441,535 955,113 Investment Securities Purchased.......................................................... 61,418 36,644 Due to Advisor........................................................................... 1,360 1,541 Unrealized Loss on Foreign Currency Contracts.............................................. -- 10 Accrued Expenses and Other Liabilities..................................................... 779 474 ----------- ----------- Total Liabilities..................................................................... 505,092 993,782 ----------- ----------- NET ASSETS................................................................................. $16,711,938 $ 9,538,385 =========== =========== Investments at Cost........................................................................ $10,414,840 $ 7,650,003 =========== =========== Foreign Currencies at Cost................................................................. $ -- $ 34,284 =========== ===========
---------- * See Note I in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 42 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2014 (Unaudited) (Amounts in thousands)
The U.S. The DFA Large Cap International Value Series Value Series ------------ ------------- Investment Income Dividends (Net of Foreign Taxes Withheld of $0 and $11,473, respectively). $ 148,837 $270,261 Interest.................................................................. 3 1 Income from Securities Lending............................................ 1,553 5,549 ---------- -------- Total Investment Income................................................ 150,393 275,811 ---------- -------- Expenses Investment Advisory Services Fees......................................... 7,825 8,965 Accounting & Transfer Agent Fees.......................................... 403 236 Custodian Fees............................................................ 75 362 Shareholders' Reports..................................................... 9 5 Directors'/Trustees' Fees & Expenses...................................... 99 59 Professional Fees......................................................... 172 101 Other..................................................................... 36 47 ---------- -------- Total Expenses......................................................... 8,619 9,775 ---------- -------- Fees Paid Indirectly...................................................... -- (5) ---------- -------- Net Expenses.............................................................. 8,619 9,770 ---------- -------- Net Investment Income (Loss).............................................. 141,774 266,041 ---------- -------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold*............................................. 366,497 124,552 Foreign Currency Transactions........................................... -- 335 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.............................. 907,355 101,142 Translation of Foreign Currency Denominated Amounts..................... -- 66 ---------- -------- Net Realized and Unrealized Gain (Loss)................................... 1,273,852 226,095 ---------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations............. $1,415,626 $492,136 ========== ========
---------- * Net of foreign capital gain taxes withheld of $0 and $7, respectively. See accompanying Notes to Financial Statements. 43 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
The U.S. Large Cap Value The DFA International Value Series Series ------------------------ -------------------------- Six Months Year Six Months Year Ended Ended Ended Ended April 30, Oct. 31, April 30, Oct. 31, 2014 2013 2014 2013 ----------- ----------- ----------- ----------- (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)................................ $ 141,774 $ 250,494 $ 266,041 $ 252,489 Net Realized Gain (Loss) on: Investment Securities Sold*............................... 366,497 1,042,669 124,552 394,216 Futures................................................... -- -- -- (1,587) Foreign Currency Transactions............................. -- -- 335 (2,158) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency................ 907,355 2,531,751 101,142 1,329,657 Translation of Foreign Currency Denominated Amounts....... -- -- 66 544 ----------- ----------- ---------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations.............................................. 1,415,626 3,824,914 492,136 1,973,161 ----------- ----------- ---------- ----------- Transactions in Interest: Contributions............................................... 825,366 1,639,135 469,662 1,055,913 Withdrawals................................................. (368,042) (1,214,213) (215,543) (1,475,193) ----------- ----------- ---------- ----------- Net Increase (Decrease) from Transactions in Interest.... 457,324 424,922 254,119 (419,280) ----------- ----------- ---------- ----------- Total Increase (Decrease) in Net Assets.................. 1,872,950 4,249,836 746,255 1,553,881 Net Assets Beginning of Period......................................... 14,838,988 10,589,152 8,792,130 7,238,249 ----------- ----------- ---------- ----------- End of Period............................................... $16,711,938 $14,838,988 $9,538,385 $ 8,792,130 =========== =========== ========== ===========
---------- * Net of foreign capital gain taxes withheld of $0, $0, $7 and $3, respectively. See accompanying Notes to Financial Statements. 44 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS
The U.S. Large Cap Value Series ---------------------------------------------------------------------------- -------------- Six Months Year Year Year Year Year Six Months Ended Ended Ended Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, April 30, 2014 2013 2012 2011 2010 2009 2014 -------------------------------------------------------------------------------------------------------------------------------- (Unaudited) (Unaudited) Total Return...................... 9.45%(C) 35.68% 18.31% 5.69% 19.96% 11.90% 5.51%(C) -------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)...................... $16,711,938 $14,838,988 $10,589,152 $9,335,107 $8,816,400 $7,508,400 $9,538,385 Ratio of Expenses to Average Net Assets........................... 0.11%(D) 0.11% 0.12% 0.12% 0.12% 0.13% 0.22%(D) Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)...................... 0.11%(D) 0.11% 0.12% 0.12% 0.12% 0.13% 0.22%(D) Ratio of Net Investment Income to Average Net Assets............... 1.81%(D) 1.98% 2.15% 1.79% 2.02% 2.42% 5.94%(D) Portfolio Turnover Rate........... 8%(C) 15% 10% 14% 28% 29% 8%(C) --------------------------------------------------------------------------------------------------------------------------------
The DFA International Value Series ------------------------------------------------------------ Year Year Year Year Year Ended Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2013 2012 2011 2010 2009 ----------------------------------------------------------------------------------------------- Total Return...................... 28.18% 3.17% (8.04)% 11.13% 35.41% ----------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)...................... $8,792,130 $7,238,249 $6,955,907 $6,919,633 $6,191,964 Ratio of Expenses to Average Net Assets........................... 0.22% 0.24% 0.23% 0.24% 0.24% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)...................... 0.22% 0.24% 0.23% 0.24% 0.24% Ratio of Net Investment Income to Average Net Assets............... 3.20% 3.75% 3.47% 2.55% 3.22% Portfolio Turnover Rate........... 15% 14% 9% 20% 18% -----------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 45 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, two of which, The U.S. Large Cap Value Series and The DFA International Value Series (the "Series"), are presented in this section of the report. The remaining operational portfolios are presented in separate reports. 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 Series, including over-the-counter securities, are valued at the last quoted sale price at the close of the exchanges on which they are principally traded (official closing price). International equity securities are subject to a fair value factor, as described later in this note. Securities held by the Series that are listed on Nasdaq are valued at the Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price or NOCP for the day, the Series value the securities at the mean of the most recent quoted bid and asked prices which approximate fair value. Price information on listed securities is taken from the exchange where the security is primarily traded. Generally, securities issued by open-end 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/Trustees. 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 Investment Committee of Dimensional Fund Advisors LP) occur before the net asset value is calculated. When fair value pricing is used, the prices of securities used by the Series may differ from the quoted or published prices for the same securities on their primary markets or exchanges. These securities are generally categorized as Level 2 in the hierarchy. The DFA International Value Series (the "International Series") will also apply a fair value price in the circumstances described below. Generally, trading in foreign securities markets is completed each day at various times prior to the close of the NYSE. For example, trading in the Japanese securities markets is completed each day at the close of the Tokyo Stock Exchange (normally, 11:00 p.m. PT, the previous day), which is fourteen hours prior to the close of the NYSE (normally, 1:00 p.m. PT) and the time that the net asset value of the International 46 Series is computed. Due to the time differences between the closings of the relevant foreign securities exchanges and the time the International Series prices its shares at the close of the NYSE, the International Series 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 International Series foreign investments since the last closing prices of the foreign investments were calculated on their primary foreign securities markets or exchanges. For these purposes, the Board of Directors/Trustees of the International Series has determined that movements in relevant indices or other appropriate market indicators, after the close of the Tokyo Stock Exchange or the London Stock Exchange, demonstrate that market quotations may be unreliable. Fair valuation of portfolio securities may occur on a daily basis. The fair value pricing by the International Series utilizes data furnished by an independent pricing service (and that data draws upon, among other information, the market values of foreign investments). The fair value prices of portfolio securities generally will be used when it is determined that the use of such prices will have a material impact on the net asset value of the International Series. When the International Series uses fair value pricing, the values assigned to the International Series foreign investments may not be the quoted or published prices of the investments on their primary markets or exchanges. These securities are generally categorized as Level 2 in the hierarchy. 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. 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, 2014, 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 Series 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 Series 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 International Series and the U.S. dollar equivalent amounts actually received or paid. 3. Deferred Compensation Plan: Each eligible Director/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 Directors/Trustees may defer payment of all or a portion of their total fees earned as a Director/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 Director/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 Director/Trustee shall have the right in a notice of election (the "Notice") to defer the 47 receipt of the Director's/Trustee's deferred compensation until a date specified by such Director/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 Director/Trustee ceases to be a member of the Board; and (ii) five years following the effective date of the Director's/Trustee's first deferral election. If a Director/Trustee who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Director's/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 Director/Trustee ceases to be a member of the Board (unless the Director/Trustee files an amended Notice selecting a different distribution date). As of April 30, 2014, none of the Directors/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 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 Directors/Trustees, generally based on average net assets. The International Series 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 International Series 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. C. Investment Advisor: The Advisor, Dimensional Fund Advisors LP, provides investment advisory services to each Series. For the six months ended April 30, 2014, the investment advisory services fees were accrued daily and paid monthly to the Advisor based on an effective annual rate of 0.10% and 0.20% of average daily net assets for The U.S. Large Cap Value Series and The DFA International Value Series, respectively. Earned Income Credit: In addition, the Series entered into arrangements with their custodian whereby net interest earned on uninvested cash balances was used to reduce a portion of the Series' custody expenses. Custody expense in the accompanying financial statements is presented before reduction for credits. During the six months ended April 30, 2014, expenses reduced were as follows (amounts in thousands):
Fees Paid Indirectly ---------- The DFA International Value Series. $5
Fees Paid to Officers and Directors/Trustees: Certain Officers and Directors/Trustees of the Advisor are also Officers and Directors/Trustees of the Trust; however, such Officers and Directors/Trustees (with the exception of the Chief Compliance Officer ("CCO")) receive no compensation from the Trust. For the six months ended April 30, 2014, the total related amounts paid by the Trust to the CCO were $41 (in thousands). The total related amounts paid by each of the Series are included in Other Expenses on the Statement of Operations. 48 D. Deferred Compensation: At April 30, 2014, 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 (amounts in thousands): The U.S. Large Cap Value Series.... $383 The DFA International Value Series. 276
E. Purchases and Sales of Securities: For the six months ended April 30, 2014, the Series made the following purchases and sales of investment securities, other than short-term securities and U.S. government securities (amounts in thousands):
Purchases Sales ---------- ---------- The U.S. Large Cap Value Series.... $1,851,848 $1,259,638 The DFA International Value Series. 1,125,082 709,817
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, 2014, the total cost and aggregate gross unrealized appreciation (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes, as follows (amounts in thousands):
Net Unrealized Federal Unrealized Unrealized Appreciation Tax Cost Appreciation (Depreciation) (Depreciation) ----------- ------------ -------------- -------------- The U.S. Large Cap Value Series.... $10,926,067 $6,313,025 $ (59,415) $6,253,610 The DFA International Value Series. 8,613,314 2,266,781 (444,612) 1,822,169
The difference between book basis and tax-basis unrealized appreciation (depreciation) is primarily attributable to the tax deferral of losses on wash sales. 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 each Series' tax positions and has concluded that no additional provision for income tax is required in any Series' financial statements. No Series is 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. Each Series' federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. G. Financial Instruments: In accordance with the Series' investment objectives and policies, the Series may invest in certain financial instruments that have off-balance sheet risk in excess of the amounts recognized in the financial statements and concentrations of credit and market risk. These instruments and their significant corresponding risks are described below: 1. Foreign Market Risks: Investments in foreign markets may involve certain considerations and risks not typically associated with investments in the United States of America, including the possibility of future political and economic developments and the level of foreign government 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. 49 H. Line of Credit: The Trust, together with other Dimensional-advised portfolios, has entered into a $500 million unsecured discretionary line of credit effective March 4, 2013 with its domestic custodian bank. 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 was scheduled to expire on March 3, 2014, however, effective March 3, 2014, the term was extended until March 2, 2015. The Trust, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit effective January 10, 2014 with its international custodian bank. 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 9, 2015. For the six months ended April 30, 2014, borrowings by the Series under the lines of credit were as follows (amounts in thousands, except percentages and days):
Weighted Weighted Number of Interest Maximum Amount Average Average Days Expense Borrowed During Interest Rate Loan Balance Outstanding* Incurred The Period ------------- ------------ ------------ -------- --------------- The U.S. Large Cap Value Series.... 0.85% $12,485 8 $2 $32,996 The DFA International Value Series. 0.83% 10,282 4 1 11,874
* Number of Days Outstanding represents the total of single or consecutive days during the six months ended April 30, 2014, 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, 2014. I. Securities Lending: As of April 30, 2014, each Series had securities on loan to brokers/dealers, for which each Series received cash collateral. 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. In addition, The DFA International Value Series received non-cash collateral consisting of short and/or long term U.S. Treasury securities with a market value of $24,703 (in thousands). Loans of securities are expected at all times to be secured by collateral equal to at least (i) 100% of the current market value of the loaned securities with respect to securities of the U.S. government or its agencies, (ii) 102% of the current market value of the loaned securities with respect to U.S. securities, and (iii) 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. 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 50 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. J. Indemnitees; Contractual Obligations: Under the Trust's organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In the normal course of business, the Trust enters into contracts that contain a variety of representations and warranties which 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. K. Other: The Series are subject to claims and suits that arise from time to time in the ordinary course of business (for example, in The Tribune Company Bankruptcy, certain creditors have filed actions against all shareholders of The Tribune Company who tendered shares when the Tribune Company went private in 2007 in a leveraged buyout transaction, seeking the return of proceeds received by the shareholders). 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 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 Court's dismissal order is on appeal to the Second Circuit. 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. Briefing on the motion to dismiss will be completed by July 2014, with oral argument on the motion to be held thereafter. 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 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 predict what its size might be at the time the cost of the Lawsuits might be quantifiable and thus potentially 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 51 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. L. Subsequent Event Evaluations: Management has evaluated the impact of all subsequent events on the Series and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements. 52 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 without charge, upon request, by calling collect: (512) 306-7400. 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://www.dimensional.com and reflects the twelve-month period beginning July 1st and ending June 30th. 53 BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS At the Board meeting held on December 13, 2013 (the "Meeting"), the Board of Directors of Dimensional Investment Group Inc. and the Board of Trustees of The DFA Investment Trust Company (together, the "Board") considered the continuation of the investment advisory/management agreements for each portfolio or series (collectively, the "Funds") and the sub-advisory agreements for The DFA International Value Series. For The DFA International Value Series, Dimensional Fund Advisors Ltd. and DFA Australia Limited serve as sub-advisors. (The investment advisory/management agreements and the sub-advisory agreements are referred to as the "Advisory 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 Advisory 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 Advisory 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 Advisory 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 advisory 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 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 management services provided by the Advisor. 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 based on the Fund's investment strategies and the expectations of its shareholder base, among other things, that the performance of each Fund was reasonable as compared with relevant performance standards. 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 advisory fees and total expenses of each Fund over various periods were favorable in relation to those of its peer funds, and that the advisory 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. 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 54 profitability of the Advisor, and the compensation that it received for providing services to each Fund, including administrative fees paid by the feeder portfolios. 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 advisory fees charged. For several reasons, the Board concluded that economies of scale and the reflection of such economies of scale in the level of advisory 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 Advisory Agreement for each Fund was in the best interests of the Fund and its shareholders. 55 [LOGO] DFA043014-003S [LOGO] SEMI-ANNUAL REPORT six months ended: April 30, 2014 (Unaudited) DFA Investment Dimensions Group Inc. Dimensional Retirement Equity Fund II Dimensional Retirement Fixed Income Fund II Dimensional Retirement Fixed Income Fund III [LOGO] Dimensional Fund Advisors 6300 Bee Cave Road, Building One Austin, TX 78746 May 2014 Dear Fellow Shareholder, Since our founding 33 years ago, Dimensional has grown into a global asset management firm. We believe well-functioning markets that bring together investors who supply capital with companies that put capital to work are what make our business and investment approach successful. At Dimensional, we combine insights gained from academia and a belief in the power of markets with decades of practical experience implementing in competitive markets. By applying this approach, we have built up a long and compelling track record across global equity and fixed income markets. Sincerely, /s/ David G. Booth David G. Booth Chairman and Co-Chief Executive Officer DFA INVESTMENT DIMENSIONS GROUP INC. SEMI-ANNUAL REPORT (Unaudited) Table of Contents
Page ---- Letter to Shareholders Definitions of Abbreviations and Footnotes.............. 1 Disclosure of Fund Expenses.......................... 2 Disclosure of Portfolio Holdings..................... 4 Schedules of Investments Dimensional Retirement Equity Fund II............ 5 Dimensional Retirement Fixed Income Fund II...... 6 Dimensional Retirement Fixed Income Fund III..... 7 Statements of Assets and Liabilities................. 8 Statements of Operations............................. 9 Statements of Changes in Net Assets.................. 10 Financial Highlights................................. 11 Notes to Financial Statements........................ 12 Voting Proxies on Fund Portfolio Securities............. 19 Board Approval of Investment Advisory Agreements........ 20
This report is submitted for the information of the Fund's shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. i DFA INVESTMENT DIMENSIONS GROUP INC. DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES Schedules of Investments ------------------------ Investment Footnotes + See Note B to Financial Statements. ^^^ Face Amount of security is not adjusted for inflation. 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 Funds. (C) Annualized. (D) Non-Annualized. (E) Because of commencement of operations and related preliminary transaction costs, these ratios are not necessarily indicative of future ratios. All Statements, Schedules and Notes to Financial Statements ----------------------------------------------------------- -- Amounts designated as -- are either zero or rounded to zero. 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, 2014 EXPENSE TABLES Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 11/01/13 04/30/14 Ratio* Period* --------- --------- ---------- -------- Dimensional Retirement Equity Fund II** --------------------------------------- Actual Fund Return............................ $1,000.00 $1,072.20 0.40% $2.06 Hypothetical 5% Annual Return................. $1,000.00 $1,022.81 0.40% $2.01 Dimensional Retirement Fixed Income Fund II** --------------------------------------------- Actual Fund Return............................ $1,000.00 $1,005.50 0.40% $1.99 Hypothetical 5% Annual Return................. $1,000.00 $1,022.81 0.40% $2.01
2 DISCLOSURE OF FUND EXPENSES CONTINUED
Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 11/01/13 04/30/14 Ratio* Period* --------- --------- ---------- -------- Dimensional Retirement Fixed Income Fund III -------------------------------------------- Actual Fund Return........................... $1,000.00 $1,051.30 0.40% $2.03 Hypothetical 5% Annual Return................ $1,000.00 $1,022.81 0.40% $2.01
---------- * 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 Fund of Funds. The expenses shown reflect the direct expenses of the Fund of Funds and the indirect payment of the Fund of Funds' portion of the expenses of its Master Funds (Affiliated Investment Companies). 3 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 31, 2014. It is 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. FUNDS OF FUNDS
Affiliated Investment Companies ------------------------------- Dimensional Retirement Equity Fund II....... 100.0% Dimensional Retirement Fixed Income Fund II. 100.0%
FIXED INCOME PORTFOLIO Dimensional Retirement Fixed Income Fund III Government................................... 100.0% ----- 100.0%
4 DIMENSIONAL RETIREMENT EQUITY FUND II SCHEDULE OF INVESTMENTS April 30, 2014 (Unaudited)
Shares Value+ ------ ---------- AFFILIATED INVESTMENT COMPANIES -- (99.8%) Investment in U.S. Large Company Portfolio of Dimensional Investment Group Inc....................... 56,991 $ 848,026 Investment in U.S. Core Equity 1 Portfolio of DFA Investment Dimensions Group Inc.................... 50,228 843,324 Investment in Large Cap International Portfolio of DFA Investment Dimensions Group Inc.................... 14,751 339,119 Investment in International Core Equity Portfolio of DFA Investment Dimensions Group Inc.................... 9,479 124,834 Investment in The Emerging Markets Series of The DFA Investment Trust Company....................... 81,975 Investment in Emerging Markets Core Equity Portfolio of DFA Investment Dimensions Group Inc.................... 1,825 35,983 ---------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $1,979,340)................................... 2,273,261 ---------- TEMPORARY CASH INVESTMENTS -- (0.2%) State Street Institutional Liquid Reserves, 0.074% (Cost $4,631).......................................... 4,631 4,631 ---------- TOTAL INVESTMENTS -- (100.0%) (Cost $1,983,971)................................... $2,277,892 ==========
Summary of the Fund's investments as of April 30, 2014, 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. $2,273,261 -- -- $2,273,261 Temporary Cash Investments...... 4,631 -- -- 4,631 ---------- -- -- ---------- TOTAL........................... $2,277,892 -- -- $2,277,892 ========== == == ==========
See accompanying Notes to Financial Statements. 5 DIMENSIONAL RETIREMENT FIXED INCOME FUND II SCHEDULE OF INVESTMENTS April 30, 2014 (Unaudited)
Shares Value+ ------ ---------- AFFILIATED INVESTMENT COMPANIES -- (99.7%) Investment in DFA Inflation-Protected Securities Portfolio of DFA Investment Dimensions Group Inc......................... 87,283 $1,034,306 Investment in DFA One-Year Fixed Income Portfolio of DFA Investment Dimensions Group Inc......................... 7,358 75,939 Investment in Dimensional Retirement Fixed Income Fund III of DFA Investment Dimensions Group Inc......................... 165 1,520 ---------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $1,098,738)........................................ 1,111,765 ---------- TEMPORARY CASH INVESTMENTS -- (0.3%) State Street Institutional Liquid Reserves, 0.074% (Cost $3,881)............................................... 3,881 3,881 ---------- TOTAL INVESTMENTS -- (100.0%) (Cost $1,102,619)........................................ $1,115,646 ==========
Summary of the Fund's investments as of April 30, 2014, 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. $1,111,765 -- -- $1,111,765 Temporary Cash Investments...... 3,881 -- -- 3,881 ---------- -- -- ---------- TOTAL........................... $1,115,646 -- -- $1,115,646 ========== == == ==========
See accompanying Notes to Financial Statements. 6 DIMENSIONAL RETIREMENT FIXED INCOME FUND III SCHEDULE OF INVESTMENTS April 30, 2014 (Unaudited)
Face Amount^^^ (000) Value+ --------- ------ U.S. TREASURY OBLIGATIONS -- (100.0%) Treasury Inflation Protected Security 0.750%, 02/15/42.................... $ 476 $ 445,146 0.625%, 02/15/43.................... 1,536 1,359,195 1.375%, 02/15/44.................... 15 15,915 ---------- TOTAL U.S. TREASURY OBLIGATIONS....... 1,820,256 ---------- TOTAL INVESTMENTS -- (100.0%) (Cost $1,775,167)................... $1,820,256 ==========
Summary of the Fund's investments as of April 30, 2014, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) ------------------------------------- Level 1 Level 2 Level 3 Total ------- ---------- ------- ---------- U.S. Treasury Obligations. -- $1,820,256 -- $1,820,256 -- ---------- -- ---------- TOTAL..................... -- $1,820,256 -- $1,820,256 == ========== == ==========
See accompanying Notes to Financial Statements. 7 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2014 (Unaudited) (Amounts in thousands, except share and per share amounts)
Dimensional Dimensional Dimensional Retirement Retirement Retirement Fixed Income Fixed Income Equity Fund II Fund II Fund III -------------- ------------ ------------ ASSETS: Investments in Affiliated Investment Companies at Value............. $ 2,273 $ 1,112 -- Investments at Value................................................ -- -- $ 1,820 Temporary Cash Investments at Value & Cost.......................... 5 4 -- Cash................................................................ -- -- 31 Receivables: Interest.......................................................... -- -- 3 From Advisor...................................................... 5 -- 2 Prepaid Expenses and Other Assets................................... 13 14 13 ------------ ------------ ------------ Total Assets................................................... 2,296 1,130 1,869 ------------ ------------ ------------ LIABILITIES: Payables: Accrued Expenses and Other Liabilities.............................. 10 7 6 ------------ ------------ ------------ Total Liabilities.............................................. 10 7 6 ------------ ------------ ------------ NET ASSETS.......................................................... $ 2,286 $ 1,123 $ 1,863 ============ ============ ============ SHARES OUTSTANDING, $0.01 PAR VALUE (1)............................. 171,576 119,999 202,169 ============ ============ ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE.............................................................. $ 13.32 $ 9.35 $ 9.22 ============ ============ ============ Investments in Affiliated Investment Companies at Cost.............. $ 1,979 $ 1,099 $ -- ------------ ------------ ------------ Investments at Cost................................................. $ -- $ -- $ 1,775 ============ ============ ============ NET ASSETS CONSIST OF: Paid-In Capital..................................................... $ 1,931 $ 1,158 $ 2,337 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)................................................. -- -- 10 Accumulated Net Realized Gain (Loss)................................ 61 (48) (529) Net Unrealized Appreciation (Depreciation).......................... 294 13 45 ------------ ------------ ------------ NET ASSETS.......................................................... $ 2,286 $ 1,123 $ 1,863 ============ ============ ============ (1) NUMBER OF SHARES AUTHORIZED..................................... 100,000,000 100,000,000 100,000,000 ============ ============ ============
See accompanying Notes to Financial Statements. 8 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2014 (Unaudited) (Amounts in thousands)
Dimensional Dimensional Dimensional Retirement Retirement Retirement Fixed Income Fixed Income Equity Fund II* Fund II Fund III --------------- ------------ ------------ Investment Income Net Investment Income Allocated from Affiliated Investment Companies: Dividends.............................................................. $ 1 -- -- Income Distributions................................................... 17 $ 4 -- ---- ---- ----- Total Net Investment Income Received from Affiliated Investment Companies............................................................ 18 4 -- ---- ---- ----- Fund Investment Income Interest................................................................. -- -- $ 17 ---- ---- ----- Total Fund Investment Income.......................................... -- -- 17 ---- ---- ----- Fund Expenses Investment Advisory Services Fees........................................ 3 2 3 Accounting & Transfer Agent Fees......................................... 15 15 2 Filing Fees.............................................................. 8 8 8 Shareholders' Reports.................................................... 1 -- 4 Audit Fees............................................................... 2 2 -- Legal Fees............................................................... 1 1 4 Other.................................................................... 1 1 1 ---- ---- ----- Total Expenses........................................................ 31 29 22 ---- ---- ----- Fees (Waived) and/or Expenses Reimbursed (Note C)........................ (29) (28) (18) ---- ---- ----- Net Expenses............................................................. 2 1 4 ---- ---- ----- Net Investment Income (Loss)............................................. 16 3 13 ---- ---- ----- Realized and Unrealized Gain (Loss) Capital Gain Distributions Received from Affiliated Investment Companies. 3 -- -- Net Realized Gain (Loss) on: Affiliated Investment Companies Shares/Investment Securities Sold...... 61 (27) (225) Change in Unrealized Appreciation (Depreciation) of: Affiliated Investment Companies Shares/Investment Securities........... 50 15 313 ---- ---- ----- Net Realized and Unrealized Gain (Loss).................................. 114 (12) 88 ---- ---- ----- Net Increase (Decrease) in Net Assets Resulting from Operations............ $130 $ (9) $ 101 ==== ==== =====
---------- * Investment Income and a portion of Realized and Unrealized Gain (Loss) were allocated from one of the Fund's Master Funds (an Affiliated Investment Company). See accompanying Notes to Financial Statements. 9 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
Dimensional Retirement Dimensional Retirement Dimensional Retirement Equity Fund II Fixed Income Fund II Fixed Income Fund III --------------------- --------------------- --------------------- Six Months Year Six Months Year Six Months Year Ended Ended Ended Ended Ended Ended April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31, 2014 2013 2014 2013 2014 2013 ----------- -------- ----------- -------- ----------- -------- (Unaudited) (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).................. $ 16 $ 23 $ 3 $ 5 $ 13 $ 31 Capital Gain Distributions Received from Affiliated Investment Companies.............. 3 -- -- 1 -- -- Net Realized Gain (Loss) on: Affiliated Investment Companies Shares/ Investment Securities Sold................. 61 21 (27) (22) (225) (304) Change in Unrealized Appreciation (Depreciation) of: Affiliated Investment Companies Shares/ Investment Securities...................... 50 228 15 (2) 313 (305) ------- ------- ------- ------ ------- ------- Net Increase (Decrease) in Net Assets Resulting from Operations................. 130 272 (9) (18) 101 (578) ------- ------- ------- ------ ------- ------- Distributions From: Net Investment Income......................... (16) (23) (3) (5) (7) (29) Net Short-Term Gains.......................... (10) -- -- -- -- -- Net Long-Term Gains........................... (14) -- -- -- -- -- ------- ------- ------- ------ ------- ------- Total Distributions........................ (40) (23) (3) (5) (7) (29) ------- ------- ------- ------ ------- ------- Capital Share Transactions (1): Shares Issued................................. 1,653 2,383 1,204 2,119 1,515 3,807 Shares Issued in Lieu of Cash Distributions... 39 23 3 5 7 29 Shares Redeemed............................... (1,224) (1,118) (1,810) (369) (1,128) (2,343) ------- ------- ------- ------ ------- ------- Net Increase (Decrease) from Capital Share Transactions........................ 468 1,288 (603) 1,755 394 1,493 ------- ------- ------- ------ ------- ------- Total Increase (Decrease) in Net Assets.... 558 1,537 (615) 1,732 488 886 Net Assets Beginning of Period........................... 1,728 191 1,738 6 1,375 489 ------- ------- ------- ------ ------- ------- End of Period................................. $ 2,286 $ 1,728 $ 1,123 $1,738 $ 1,863 $ 1,375 ======= ======= ======= ====== ======= ======= (1) Shares Issued and Redeemed: Shares Issued................................. 129 212 130 223 178 361 Shares Issued in Lieu of Cash Distributions... 3 2 -- 1 1 3 Shares Redeemed............................... (96) (97) (196) (39) (133) (251) ------- ------- ------- ------ ------- ------- Net Increase (Decrease) from Shares Issued and Redeemed....................... 36 117 (66) 185 46 113 ======= ======= ======= ====== ======= ======= Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........................................ $ -- $ -- $ -- $ -- $ 10 $ 4
See accompanying Notes to Financial Statements. 10 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
Dimensional Retirement Equity Fund II ------------------------------------ Period Six Months Year March 7, Ended Ended 2012(a) to April 30, Oct. 31, Oct. 31, 2014 2013 2012 --------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period............... $12.71 $10.24 $10.00 ------ ------ ------ Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................. 0.11 0.23 0.16 Net Gains (Losses) on Securities (Realized and Unrealized)..................................... 0.79 2.47 0.19 ------ ------ ------ Total from Investment Operations................ 0.90 2.70 0.35 --------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income............................ (0.11) (0.23) (0.11) Net Realized Gains............................... (0.18) -- (0.00) ------ ------ ------ Total Distributions............................. (0.29) (0.23) (0.11) --------------------------------------------------------------------------------------------------- Net Asset Value, End of Period..................... $13.32 $12.71 $10.24 =================================================== =========== ======== ========== Total Return....................................... 7.22%(D) 26.77% 3.54%(D) --------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands).............. $2,286 $1,728 $ 191 Ratio of Expenses to Average Net Assets............ 0.40%(B)(C) 0.40%(B) 0.40%(B)(C)(E) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses)............... 3.52%(B)(C) 5.71%(B) 52.27%(B)(C)(E) Ratio of Net Investment Income to Average Net Assets............................................ 1.67%(C) 2.01% 2.40%(C)(E) Portfolio Turnover Rate............................ N/A N/A N/A ---------------------------------------------------------------------------------------------------
Dimensional Retirement Fixed Income Fund II ------------------------------------ Period Six Months Year May 16, Ended Ended 2012(a) to April 30, Oct. 31, Oct. 31, 2014 2013 2012 --------------------------------------------------------------------------------------------------- (Unaudited) Net Asset Value, Beginning of Period............... $ 9.32 $10.18 $ 10.00 ------ ------ ------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................. 0.01 0.13 0.23 Net Gains (Losses) on Securities (Realized and Unrealized)..................................... 0.04 (0.83) 0.06 ------ ------ ------- Total from Investment Operations................ 0.05 (0.70) 0.29 --------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income............................ (0.02) (0.16) (0.11) Net Realized Gains............................... -- -- -- ------ ------ ------- Total Distributions............................. (0.02) (0.16) (0.11) --------------------------------------------------------------------------------------------------- Net Asset Value, End of Period..................... $ 9.35 $ 9.32 $ 10.18 =================================================== =========== ======== ========== Total Return....................................... 0.55%(D) (6.94)% 2.87%(D) --------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands).............. $1,123 $1,738 $ 6 Ratio of Expenses to Average Net Assets............ 0.40%(B)(C) 0.40%(B) 0.40%(B)(C)(E) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses)............... 4.54%(B)(C) 17.48%(B) 447.64%(B)(C)(E) Ratio of Net Investment Income to Average Net Assets............................................ 0.32%(C) 1.40% 5.07%(C)(E) Portfolio Turnover Rate............................ N/A N/A N/A ---------------------------------------------------------------------------------------------------
Dimensional Retirement Fixed Income Fund III ---------------------------------- Period Six Months Year March 7, Ended Ended 2012(a) to April 30, Oct. 31, Oct. 31, 2014 2013 2012 ------------------------------------------------------------------------------------------------ (Unaudited) Net Asset Value, Beginning of Period............... $ 8.80 $ 11.38 $10.00 ------ ------- ------ Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................. 0.06 0.15 0.12 Net Gains (Losses) on Securities (Realized and Unrealized)..................................... 0.39 (2.60) 1.30 ------ ------- ------ Total from Investment Operations................ 0.45 (2.45) 1.42 ------------------------------------------------------------------------------------------------ Less Distributions ------------------ Net Investment Income............................ (0.03) (0.13) (0.04) Net Realized Gains............................... -- -- -- ------ ------- ------ Total Distributions............................. (0.03) (0.13) (0.04) ------------------------------------------------------------------------------------------------ Net Asset Value, End of Period..................... $ 9.22 $ 8.80 $11.38 =================================================== ============= ========== ============ Total Return....................................... 5.13%(D) (21.54)% 14.23%(D) ------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands).............. $1,863 $ 1,375 $ 489 Ratio of Expenses to Average Net Assets............ 0.40%(C) 0.40% 0.40%(C)(E) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses)............... 2.36%(C) 2.90% 29.65%(C)(E) Ratio of Net Investment Income to Average Net Assets............................................ 1.39%(C) 1.50% 1.68%(C)(E) Portfolio Turnover Rate............................ 40%(D) 120% 11%(D) ------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 11 DFA INVESTMENT DIMENSIONS GROUP INC. NOTES TO FINANCIAL STATEMENTS (Unaudited) A. Organization: DFA Investment Dimensions Group Inc. (the "Fund" or "IDG") 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 seventy-seven operational portfolios, three of which, Dimensional Retirement Equity Fund II, Dimensional Retirement Fixed Income Fund II and Dimensional Retirement Fixed Income Fund III (each a "Retirement Fund" and collectively, the "Retirement Funds"), are presented in this report. The remaining operational portfolios are presented in separate reports. Dimensional Retirement Equity Fund II and Dimensional Retirement Fixed Income Fund II achieve their investment objectives by primarily investing in other portfolios within IDG, Dimensional Investment Group Inc. ("DIG") and The DFA Investment Trust Company ("ITC") (collectively, the "Master Funds"). The Portfolios also invest in short-term temporary cash investments.
Ownership Fund of Funds Master Funds at 04/30/14 ------------- ------------ ----------- Dimensional Retirement Equity Fund II U.S. Core Equity 1 Portfolio (IDG) -- U.S. Large Company Portfolio (DIG) -- Large Cap International Portfolio (IDG) -- International Core Equity Portfolio (IDG) -- Emerging Markets Core Equity Portfolio (IDG) -- The Emerging Markets Series (ITC) -- Dimensional Retirement Fixed Income Fund II DFA Inflation-Protected Securities Portfolio (IDG) -- DFA One-Year Fixed Income Portfolio (IDG) -- Dimensional Retirement Fixed Income Fund III (IDG) --
Amounts designated as -- are less than 1%. 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 Retirement Funds 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 Retirement Funds' own assumptions in determining the fair value of investments) 12 Debt securities held by the Retirement Funds 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 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. 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/Trustees (the "Board"). Shares held by the Dimensional Retirement Equity Fund II (except shares of The Emerging Markets Series) and Dimensional Retirement Fixed Income Fund II of the Master Funds, which are treated as regulated investment companies, and the shares held by the Dimensional Retirement Fixed Income Fund III in other investment companies, are valued at their respective daily net asset values as reported by their administrator. Dimensional Retirement Equity Fund II's investment in The Emerging Markets Series, which is taxed as a partnership, reflects its proportionate interest in the net assets of the Series. These securities are generally categorized as Level 1 in the hierarchy. A summary of the inputs used to value the Retirement Funds' investments by each major security type is disclosed previously in this note. Valuation hierarchy tables have been included at the end of the Schedules 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, 2014, there were no significant transfers between Level 1 and Level 2 and no significant Level 3 investments held by the Retirement Funds. 2. Deferred Compensation Plan: Each eligible Director/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 Directors/Trustees may defer payment of all or a portion of their total fees earned as a Director/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 Director/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 Director/Trustee shall have the right in a notice of election (the "Notice") to defer the receipt of the Director's/Trustee's deferred compensation until a date specified by such Director/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 Director/Trustee ceases to be a member of the Board; and (ii) five years following the effective date of the Director's/Trustee's first deferral election. If a Director/Trustee who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Director's/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 Director/Trustee ceases to be a member of the Board (unless the Director/Trustee files an amended Notice selecting a different distribution date). As of April 30, 2014, none of the Directors/Trustees 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 are 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 Retirement Funds estimate 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 a Retirement Fund are directly charged. Common expenses of the Fund or Retirement Funds are allocated using methods approved by the Board, generally based on average net assets. 13 C. Investment Advisor: The Advisor, Dimensional Fund Advisors LP, provides investment advisory services to the Retirement Funds and the Master Funds. For the six months ended April 30, 2014, the investment advisory services fees were accrued daily and paid monthly to the Advisor based on an effective annual rate of 0.30% of each Retirement Fund's average daily net assets. Pursuant to an Amended and Restated Fee Waiver and Expense Assumption Agreement (the "Fee Waiver Agreement"), the Advisor has contractually agreed to waive management fees, and in certain instances, assume certain expenses of the Retirement Funds, as described below. The Fee Waiver Agreement for the Retirement Funds will remain in effect through February 28, 2015, 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. With respect to Dimensional Retirement Equity Fund II and Dimensional Retirement Fixed Income Fund II, the Advisor has contractually agreed to waive up to the full amount of each Portfolio's management fee of 0.30% to the extent necessary to offset the proportionate share of the management fees paid by the Portfolios through their investment in the Master Funds (including each 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 each Portfolio to the extent necessary to reduce the ordinary operating expenses (including expenses incurred through its investment in other investment companies but excluding any applicable 12b-1 fees) ("Portfolio Expenses") of such class of the Portfolio so that the Portfolio Expenses do not exceed 0.40% of the average net assets of such class of the Portfolio on an annualized basis. With respect to Dimensional Retirement Fixed Income Fund III, the Advisor has contractually agreed to assume the expenses of each class of the Portfolio to the extent necessary to limit the ordinary operating expenses (not including expenses incurred through an investment in other investment companies and any applicable 12b-1 fees) ("Portfolio Expenses") of a class of the Portfolio so that such Portfolio Expenses do not exceed 0.40% of the average net assets of such class of the Portfolio on an annualized basis. Fees Paid to Officers and Directors/Trustees: Certain Officers and Directors/Trustees of the Advisor are also Officers and Directors/Trustees of the Fund; however, such Officers and Directors/Trustees (with the exception of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund. For the six months ended April 30, 2014, the total related amounts paid by the Fund to the CCO were $130 (in thousands). The total related amounts paid by each of the Retirement Funds are included in Other Expenses on the Statement of Operations. D. Deferred Compensation: At April 30, 2014, 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 (amounts in thousands): Dimensional Retirement Equity Fund II........ -- Dimensional Retirement Fixed Income Fund II.. -- Dimensional Retirement Fixed Income Fund III. --
14 E. Purchases and Sales of Securities: For the six months ended April 30, 2014, Dimensional Retirement Equity Fund II and Dimensional Retirement Fixed Income Fund II made the following purchases and sales of Affiliated Investment Companies (amounts in thousands):
Dimensional Retirement Equity Fund II ---------------------------------------------------------------- Balance at Balance at Dividend Distributions of Affiliated Investment Companies 10/31/2013 4/30/2014 Purchases Sales Income Realized Gains ------------------------------- ---------- ---------- --------- ------ -------- ---------------- U.S. Large Company Portfolio........... $ 641 $ 848 $ 571 $ 414 $ 7 -- U.S. Core Equity 1 Portfolio........... 639 843 578 420 5 $ 3 Large Cap International Portfolio...... 258 339 243 174 4 -- International Core Equity Portfolio.... 96 125 88 64 1 -- Emerging Markets Core Equity Portfolio. 30 36 29 23 -- -- Dimensional Retirement Fixed Income Fund II ---------------------------------------------------------------- Balance at Balance at Dividend Distributions of Affiliated Investment Companies 10/31/2013 4/30/2014 Purchases Sales Income Realized Gains ------------------------------- ---------- ---------- --------- ------ -------- ---------------- DFA Inflation-Protected Securities Portfolio............................ $1,583 $1,034 $1,046 $1,585 $ 4 -- DFA One-Year Fixed Income Portfolio.... 125 76 120 169 -- -- Dimensional Retirement Fixed Income Fund III............................. 41 2 1 38 -- --
For the six months ended April 30, 2014, Dimensional Retirement Fixed Income Fund III made the following purchases and sales of investment securities, other than short-term securities (amounts in thousands):
U.S. Government Securities Other Investment Securities -------------------------- --------------------------- Purchases Sales Purchases Sales - --------- ----- --------- ----- Dimensional Retirement Fixed Income Fund III. $1,103 $738 -- --
F. Federal Income Taxes: Each Retirement Fund 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, 2013, primarily attributable to net foreign currency gains/losses, non-deductible expenses and distribution redesignations, were reclassified to the following accounts. These reclassifications had no effect on net assets or net asset value per share (amounts in thousands):
Increase Increase (Decrease) (Decrease) Increase Undistributed Accumulated (Decrease) Net Investment Net Realized Paid-In Capital Income Gains (Losses) --------------- -------------- -------------- Dimensional Retirement Equity Fund II........ -- -- -- Dimensional Retirement Fixed Income Fund II.. -- -- -- Dimensional Retirement Fixed Income Fund III. -- -- --
15 The tax character of dividends and distributions declared and paid during the years ended October 31, 2012 and October 31, 2013 were as follows (amounts in thousands):
Net Investment Income and Short-Term Long-Term Capital Gains Capital Gains Total -------------- ------------- ----- Dimensional Retirement Equity Fund II 2012......................................... $ 2 -- $ 2 2013......................................... 24 -- 24 Dimensional Retirement Fixed Income Fund II 2013......................................... 5 -- 5 Dimensional Retirement Fixed Income Fund III 2012......................................... 2 -- 2 2013......................................... 29 -- 29
Dimensional Retirement Fixed Income Fund II commenced operations on May 16, 2012 and did not pay any distributions for the year ended October 31, 2012. At October 31, 2013, the components of distributable earnings (accumulated losses) were as follows (amounts in thousands):
Undistributed Net Total Net Investment Distributable Income and Undistributed Capital Unrealized Earnings Short-Term Long-Term Loss Appreciation (Accumulated Capital Gains Capital Gains Carryforwards (Depreciation) Losses) ------------- ------------- ------------- -------------- ------------- Dimensional Retirement Equity Fund II. $10 $13 -- $ 241 $ 264 Dimensional Retirement Fixed Income Fund II............................. -- -- -- (24) (24) Dimensional Retirement Fixed Income Fund III............................ 4 -- $(304) (268) (568)
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 Retirement Funds after October 31, 2011 will not be subject to expiration and will retain their character as either short-term or long-term capital losses. As of October 31, 2013, the Dimensional Retirement Fixed Income Fund III 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, ----------- Unlimited Total ----------- ----- Dimensional Retirement Fixed Income Fund III. $304 $304
During the year ended October 31, 2013, the Retirement Funds did not utilize capital loss carryforwards. At April 30, 2014, the total cost and aggregate gross unrealized appreciation (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes, as follows (amounts in thousands):
Net Unrealized Federal Unrealized Unrealized Appreciation Tax Cost Appreciation Depreciation (Depreciation) -------- ------------ ------------ -------------- Dimensional Retirement Equity Fund II........ $1,987 $291 -- $291 Dimensional Retirement Fixed Income Fund II.. 1,126 -- $(10) (10) Dimensional Retirement Fixed Income Fund III. 1,775 90 (45) 45
16 The difference between book basis and tax-basis unrealized appreciation (depreciation) is primarily attributable to the tax deferral of losses on wash sales. 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 Retirement Funds' tax positions and has concluded that no additional provision for income tax is required in any Retirement Fund's financial statements. The Retirement Funds 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 Retirement Funds' federal tax returns for the prior two fiscal years remain subject to examination by the Internal Revenue Service. G. Line of Credit: The Fund, together with other Dimensional-advised portfolios, has entered into a $500 million unsecured discretionary line of credit effective March 4, 2013 with its domestic custodian bank. 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 was scheduled to expire on March 3, 2014, however, effective March 3, 2014, the term was extended until March 2, 2015. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit effective January 10, 2014 with its international custodian bank. 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 9, 2015. For the six months ended April 30, 2014, borrowings by the Retirement Funds under the lines of credit were as follows (amounts in thousands, except percentages and days):
Weighted Weighted Number of Interest Maximum Amount Average Average Loan Days Expense Borrowed During Interest Rate Balance Outstanding* Incurred The Period ------------- ------------ ------------ -------- --------------- Dimensional Retirement Equity Fund II. 0.84% $37 33 $-- $216 Dimensional Retirement Fixed Income Fund II............................. 0.85% 52 23 -- 514
* Number of Days Outstanding represents the total of single or consecutive days during the six months ended April 30, 2014, that each Retirement Fund's available line of credit was utilized. There were no outstanding borrowings by the Retirement Funds under the lines of credit as of April 30, 2014. H. Indemnitees; Contractual Obligations: Under the Fund's organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties which 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. 17 I. Other: At April 30, 2014, the following number of shareholders held the following approximate percentages of the stated fund outstanding shares. One or more of the shareholders may be omnibus accounts, which typically hold shares for the benefit of several other underlying investors.
Approximate Percentage Number of of Outstanding Shareholders Shares - ------------ -------------- Dimensional Retirement Equity Fund II........ 4 100% Dimensional Retirement Fixed Income Fund II.. 2 95% Dimensional Retirement Fixed Income Fund III. 3 100%
J. Subsequent Event Evaluations: Management has evaluated the impact of all subsequent events on the Retirement Funds and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements. 18 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 without charge, upon request, by calling collect: (512) 306-7400. 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://www.dimensional.com and reflects the twelve-month period beginning July 1st and ending June 30th. 19 BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS At the Board meeting held on December 13, 2013 (the "Meeting"), the Board of Directors of DFA Investment Dimensions Group Inc. (the "Board") considered the continuation of the investment advisory agreements for each portfolio (collectively, the "Funds") and a Fund's sub-advisory agreements. Dimensional Fund Advisors Ltd. and DFA Australia Limited serve as sub-advisors. (The investment advisory agreements and the sub-advisory agreements are referred to as the "Advisory 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 Advisory 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 Advisory 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 Advisory 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 advisory 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 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 management services provided by the Advisor. 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, 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 based on the Fund's investment strategies and the expectations of its shareholder base, among other things, that the performance of each Fund was reasonable as compared with relevant performance standards. 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 advisory fees and total expenses of each Fund over various periods were favorable in relation to those of its peer funds, and that the advisory 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. 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 20 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 advisory fees charged. For several reasons, the Board concluded that economies of scale and the reflection of such economies of scale in the level of advisory 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 Advisory Agreement for each Fund was in the best interests of the Fund and its shareholders. 21 [LOGO] DFA043014-034S [LOGO] SEMI-ANNUAL REPORT period ended: April 30, 2014 (Unaudited) DFA Investment Dimensions Group Inc. U.S. Large Cap Growth Portfolio U.S. Small Cap Growth Portfolio International Large Cap Growth Portfolio International Small Cap Growth Portfolio [LOGO] Dimensional Fund Advisors 6300 Bee Cave Road, Building One Austin, TX 78746 May 2014 Dear Fellow Shareholder, Since our founding 33 years ago, Dimensional has grown into a global asset management firm. We believe well-functioning markets that bring together investors who supply capital with companies that put capital to work are what make our business and investment approach successful. At Dimensional, we combine insights gained from academia and a belief in the power of markets with decades of practical experience implementing in competitive markets. By applying this approach, we have built up a long and compelling track record across global equity and fixed income markets. Sincerely, /s/ David G. Booth David G. Booth Chairman and Co-Chief Executive Officer DFA INVESTMENT DIMENSIONS GROUP INC. SEMI-ANNUAL REPORT (Unaudited) Table of Contents
Page ---- Letter to Shareholders Definitions of Abbreviations and Footnotes.......... 1 Disclosure of Fund Expenses...................... 2 Disclosure of Portfolio Holdings................. 4 Summary Schedules of Portfolio Holdings U.S. Large Cap Growth Portfolio.............. 5 U.S. Small Cap Growth Portfolio.............. 8 International Large Cap Growth Portfolio..... 11 International Small Cap Growth Portfolio..... 14 Statements of Assets and Liabilities............. 18 Statements of Operations......................... 19 Statements of Changes in Net Assets.............. 20 Financial Highlights............................. 21 Notes to Financial Statements.................... 22 Voting Proxies on Fund Portfolio Securities......... 30 Board Approval of Investment Advisory Agreements.... 31
This report is submitted for the information of the Fund's shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. i DFA INVESTMENT DIMENSIONS GROUP INC. DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES Summary Schedules of Portfolio Holdings --------------------------------------- Investment Abbreviations ADR American Depositary Receipt P.L.C. Public Limited Company Investment Footnotes + See Note B to Financial Statements. ++ Securities have generally been fair valued. 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 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. @ Security purchased with cash proceeds from Securities on Loan. (S) Affiliated Fund. Financial Highlights -------------------- (A) Computed using average shares outstanding. (B) Because of commencement of operations and related preliminary transaction costs, these ratios are not necessarily indicative of future ratios. (C) Non-Annualized (D) Annualized All Statements, Schedules and Notes to Financial Statements ----------------------------------------------------------- -- Amounts designated as -- are either zero or rounded to zero. 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, 2014 EXPENSE TABLES Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 11/01/13 04/30/14 Ratio* Period* --------- --------- ---------- -------- U.S. Large Cap Growth Portfolio ------------------------------- Actual Fund Return Institutional Class Shares..... $1,000.00 $1,069.00 0.20% $1.03 Hypothetical 5% Annual Return Institutional Class Shares..... $1,000.00 $1,023.80 0.20% $1.00 U.S. Small Cap Growth Portfolio ------------------------------- Actual Fund Return Institutional Class Shares..... $1,000.00 $1,024.50 0.40% $2.01 Hypothetical 5% Annual Return Institutional Class Shares..... $1,000.00 $1,022.81 0.40% $2.01
2 DISCLOSURE OF FUND EXPENSES CONTINUED
Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 11/01/13 04/30/14 Ratio* Period* --------- --------- ---------- -------- International Large Cap Growth Portfolio ---------------------------------------- Actual Fund Return Institutional Class Shares.............. $1,000.00 $1,049.60 0.30% $1.52 Hypothetical 5% Annual Return Institutional Class Shares.............. $1,000.00 $1,023.31 0.30% $1.51 International Small Cap Growth Portfolio ---------------------------------------- Actual Fund Return Institutional Class Shares.............. $1,000.00 $1,064.00 0.55% $2.81 Hypothetical 5% Annual Return Institutional Class Shares.............. $1,000.00 $1,022.07 0.55% $2.76
---------- * 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. 3 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 31, 2014. It is 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 amendments 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 U.S. Large Cap Growth Portfolio Consumer Discretionary....................... 21.2% Consumer Staples............................. 13.8% Energy....................................... 3.4% Financials................................... 3.2% Health Care.................................. 12.4% Industrials.................................. 15.5% Information Technology....................... 20.0% Materials.................................... 6.6% Real Estate Investment Trusts................ 0.1% Telecommunication Services................... 3.8% Utilities.................................... -- ----- 100.0%
U.S. Small Cap Growth Portfolio Consumer Discretionary....................... 23.1% Consumer Staples............................. 4.2% Energy....................................... 3.3% Financials................................... 7.4% Health Care.................................. 11.9% Industrials.................................. 20.4% Information Technology....................... 21.7% Materials.................................... 7.2% Telecommunication Services................... 0.8% ----- 100.0%
International Large Cap Growth Portfolio Consumer Discretionary....................... 20.5% Consumer Staples............................. 13.6% Energy....................................... 4.5% Financials................................... 5.2% Health Care.................................. 12.6% Industrials.................................. 17.5% Information Technology....................... 6.8% Materials.................................... 11.0% Telecommunication Services................... 5.9% Utilities.................................... 2.4% ----- 100.0%
International Small Cap Growth Portfolio Consumer Discretionary....................... 24.2% Consumer Staples............................. 6.4% Energy....................................... 4.7% Financials................................... 4.9% Health Care.................................. 8.4% Industrials.................................. 26.7% Information Technology....................... 12.1% Materials.................................... 6.8% Other........................................ -- Telecommunication Services................... 5.0% Utilities.................................... 0.8% ----- 100.0%
4 U.S. LARGE CAP GROWTH PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2014 (Unaudited)
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (94.3%) Consumer Discretionary -- (20.0%) * Amazon.com, Inc............... 10,821 $ 3,290,991 1.0% Ford Motor Co................. 194,181 3,136,023 1.0% Harley-Davidson, Inc.......... 20,884 1,544,163 0.5% Home Depot, Inc. (The)........ 63,822 5,074,487 1.6% Lowe's Cos., Inc.............. 45,536 2,090,558 0.7% McDonald's Corp............... 42,158 4,273,978 1.3% * Michael Kors Holdings, Ltd.... 18,882 1,722,038 0.5% Starbucks Corp................ 32,035 2,262,312 0.7% TJX Cos., Inc. (The).......... 31,239 1,817,485 0.6% Other Securities.............. 42,468,444 13.3% ----------- ----- Total Consumer Discretionary...... 67,680,479 21.2% ----------- ----- Consumer Staples -- (13.0%) Altria Group, Inc............. 86,751 3,479,583 1.1% Coca-Cola Co. (The)........... 114,125 4,655,159 1.5% Colgate-Palmolive Co.......... 38,419 2,585,599 0.8% Kimberly-Clark Corp........... 16,601 1,863,462 0.6% Mead Johnson Nutrition Co..... 20,453 1,805,182 0.6% PepsiCo, Inc.................. 63,698 5,471,021 1.7% Wal-Mart Stores, Inc.......... 69,459 5,536,577 1.7% Other Securities.............. 18,450,022 5.7% ----------- ----- Total Consumer Staples............ 43,846,605 13.7% ----------- ----- Energy -- (3.2%) Halliburton Co................ 35,602 2,245,418 0.7% Schlumberger, Ltd............. 26,012 2,641,519 0.8% Other Securities.............. 5,890,656 1.9% ----------- ----- Total Energy...................... 10,777,593 3.4% ----------- ----- Financials -- (3.0%) American Express Co........... 28,586 2,499,274 0.8% Moody's Corp.................. 19,935 1,564,897 0.5% Other Securities.............. 6,221,555 1.9% ----------- ----- Total Financials.................. 10,285,726 3.2% ----------- ----- Health Care -- (11.7%) AbbVie, Inc................... 67,894 3,535,920 1.1% Amgen, Inc.................... 19,638 2,194,547 0.7% * Celgene Corp.................. 11,862 1,743,833 0.5% Eli Lilly & Co................ 42,655 2,520,910 0.8% * Gilead Sciences, Inc.......... 44,774 3,514,311 1.1% Johnson & Johnson............. 81,181 8,222,823 2.6% Other Securities.............. 17,809,348 5.6% ----------- ----- Total Health Care................. 39,541,692 12.4% ----------- ----- Industrials -- (14.7%) 3M Co......................... 17,920 2,492,493 0.8% Boeing Co. (The).............. 31,031 4,003,620 1.2% Caterpillar, Inc.............. 30,155 3,178,337 1.0% Deere & Co.................... 19,158 1,788,208 0.6% Emerson Electric Co........... 30,065 2,049,832 0.6% Honeywell International, Inc.. 21,500 1,997,350 0.6% Lockheed Martin Corp.......... 11,245 1,845,754 0.6%
5 U.S. LARGE CAP GROWTH PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Industrials -- (Continued) * United Continental Holdings, Inc................... 45,920 $ 1,876,750 0.6% United Parcel Service, Inc. Class B................ 31,474 3,100,189 1.0% United Technologies Corp........................... 24,586 2,909,261 0.9% Other Securities................................... 24,296,720 7.6% ------------ ------ Total Industrials........................................ 49,538,514 15.5% ------------ ------ Information Technology -- (18.8%) Accenture P.L.C. Class A........................... 27,006 2,166,421 0.7% Apple, Inc......................................... 23,706 13,988,674 4.4% International Business Machines Corp............... 28,223 5,544,973 1.7% MasterCard, Inc. Class A........................... 42,060 3,093,513 1.0% Microsoft Corp..................................... 306,281 12,373,752 3.9% Oracle Corp........................................ 145,160 5,934,141 1.9% Seagate Technology P.L.C........................... 46,479 2,443,866 0.8% Texas Instruments, Inc............................. 45,809 2,082,019 0.6% Other Securities................................... 16,034,776 4.9% ------------ ------ Total Information Technology............................. 63,662,135 19.9% ------------ ------ Materials -- (6.3%) Eastman Chemical Co................................ 19,376 1,689,006 0.5% EI du Pont de Nemours & Co......................... 36,570 2,461,892 0.8% LyondellBasell Industries NV Class A............... 18,427 1,704,497 0.5% Monsanto Co........................................ 14,483 1,603,268 0.5% Praxair, Inc....................................... 11,964 1,561,900 0.5% Other Securities................................... 12,109,887 3.8% ------------ ------ Total Materials.......................................... 21,130,450 6.6% ------------ ------ Real Estate Investment Trusts -- (0.1%) Other Securities................................... 445,617 0.1% ------------ ------ Telecommunication Services -- (3.5%) Verizon Communications, Inc........................ 204,031 9,534,369 3.0% Other Securities................................... 2,452,353 0.7% ------------ ------ Total Telecommunication Services......................... 11,986,722 3.7% ------------ ------ Utilities -- (0.0%) Other Securities................................... 78,537 0.0% ------------ ------ TOTAL COMMON STOCKS...................................... 318,974,070 99.7% ------------ ------ TEMPORARY CASH INVESTMENTS -- (0.2%) State Street Institutional Liquid Reserves, 0.074%. 679,508 679,508 0.2% ------------ ------ Shares/ Face Amount ------- (000) SECURITIES LENDING COLLATERAL -- (5.5%) (S)@ DFA Short Term Investment Fund..................... 1,600,691 18,519,994 5.8% ------------ ------ TOTAL INVESTMENTS -- (100.0%) (Cost $300,892,578).................................. $338,173,572 105.7% ============ ======
6 U.S. LARGE CAP GROWTH PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, 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........ $ 67,680,479 -- -- $ 67,680,479 Consumer Staples.............. 43,846,605 -- -- 43,846,605 Energy........................ 10,777,593 -- -- 10,777,593 Financials.................... 10,285,726 -- -- 10,285,726 Health Care................... 39,541,692 -- -- 39,541,692 Industrials................... 49,538,514 -- -- 49,538,514 Information Technology........ 63,662,135 -- -- 63,662,135 Materials..................... 21,130,450 -- -- 21,130,450 Real Estate Investment Trusts. 445,617 -- -- 445,617 Telecommunication Services.... 11,986,722 -- -- 11,986,722 Utilities..................... 78,537 -- -- 78,537 Temporary Cash Investments...... 679,508 -- -- 679,508 Securities Lending Collateral... -- $18,519,994 -- 18,519,994 ------------ ----------- -- ------------ TOTAL........................... $319,653,578 $18,519,994 -- $338,173,572 ============ =========== == ============
See accompanying Notes to Financial Statements. 7 U.S. SMALL CAP GROWTH PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2014 (Unaudited)
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (73.0%) Consumer Discretionary -- (16.9%) * Asbury Automotive Group, Inc................... 10,685 $ 659,692 0.4% #* Buffalo Wild Wings, Inc........................ 5,523 807,021 0.5% # Cheesecake Factory, Inc. (The)................. 18,039 809,771 0.5% # Chico's FAS, Inc............................... 43,860 696,497 0.5% # CST Brands, Inc................................ 21,491 701,251 0.5% #* Deckers Outdoor Corp........................... 9,818 775,131 0.5% #* Five Below, Inc................................ 16,963 683,779 0.5% #* Lumber Liquidators Holdings, Inc............... 7,844 683,683 0.5% # New York Times Co. (The) Class A............... 44,565 716,605 0.5% # Pool Corp...................................... 13,059 770,742 0.5% * Steven Madden, Ltd............................. 18,745 667,509 0.4% Vail Resorts, Inc.............................. 10,372 718,054 0.5% # Wolverine World Wide, Inc...................... 26,204 736,332 0.5% Other Securities............................... 25,125,197 16.7% ----------- ----- Total Consumer Discretionary....................... 34,551,264 23.0% ----------- ----- Consumer Staples -- (3.1%) # Casey's General Stores, Inc.................... 10,917 749,561 0.5% # Lancaster Colony Corp.......................... 7,976 756,763 0.5% Other Securities............................... 4,816,397 3.2% ----------- ----- Total Consumer Staples............................. 6,322,721 4.2% ----------- ----- Energy -- (2.4%) #* Carrizo Oil & Gas, Inc......................... 14,226 782,715 0.5% Other Securities............................... 4,194,779 2.8% ----------- ----- Total Energy....................................... 4,977,494 3.3% ----------- ----- Financials -- (5.4%) # Bank of Hawaii Corp............................ 13,434 741,154 0.5% #* Portfolio Recovery Associates, Inc............. 14,421 824,160 0.5% #* Texas Capital Bancshares, Inc.................. 13,144 738,561 0.5% Other Securities............................... 8,817,058 5.9% ----------- ----- Total Financials................................... 11,120,933 7.4% ----------- ----- Health Care -- (8.7%) #* Akorn, Inc..................................... 26,465 667,447 0.4% * Charles River Laboratories International, Inc.. 13,386 719,096 0.5% # HealthSouth Corp............................... 24,154 836,695 0.6% #* Myriad Genetics, Inc........................... 20,459 863,574 0.6% STERIS Corp.................................... 17,568 844,142 0.6% Other Securities............................... 13,911,980 9.2% ----------- ----- Total Health Care.................................. 17,842,934 11.9% ----------- ----- Industrials -- (14.9%) CLARCOR, Inc................................... 11,435 660,486 0.4% # Corporate Executive Board Co. (The)............ 10,526 726,504 0.5% # Deluxe Corp.................................... 15,754 865,682 0.6% # Landstar System, Inc........................... 13,750 866,112 0.6% Manitowoc Co., Inc. (The)...................... 25,015 794,977 0.5% #* MasTec, Inc.................................... 27,352 1,082,592 0.7% * Spirit Airlines, Inc........................... 18,235 1,036,477 0.7% Other Securities............................... 24,443,243 16.3% ----------- ----- Total Industrials.................................. 30,476,073 20.3% ----------- -----
8 U.S. SMALL CAP GROWTH PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Information Technology -- (15.8%) # Booz Allen Hamilton Holding Corp................... 33,225 $ 772,149 0.5% * Cognex Corp........................................ 19,266 663,328 0.4% * CoreLogic, Inc..................................... 24,271 680,316 0.5% # Diebold, Inc....................................... 18,251 686,420 0.5% #* Euronet Worldwide, Inc............................. 14,572 670,166 0.4% #* Finisar Corp....................................... 34,468 901,338 0.6% #* Manhattan Associates, Inc.......................... 21,076 664,526 0.4% * Riverbed Technology, Inc........................... 41,999 816,881 0.5% * Sapient Corp....................................... 46,955 763,958 0.5% * Shutterstock, Inc.................................. 9,185 666,004 0.4% * Take-Two Interactive Software, Inc................. 34,387 700,807 0.5% * Verint Systems, Inc................................ 15,424 675,108 0.5% * Zebra Technologies Corp. Class A................... 16,366 1,136,455 0.8% Other Securities................................... 22,610,954 15.1% ------------ ------ Total Information Technology............................. 32,408,410 21.6% ------------ ------ Materials -- (5.2%) * Berry Plastics Group, Inc.......................... 33,793 760,005 0.5% Compass Minerals International, Inc................ 8,095 741,502 0.5% HB Fuller Co....................................... 14,787 685,082 0.5% * KapStone Paper and Packaging Corp.................. 32,658 861,518 0.6% # US Silica Holdings, Inc............................ 16,741 756,191 0.5% Worthington Industries, Inc........................ 19,725 725,880 0.5% Other Securities................................... 6,225,541 4.1% ------------ ------ Total Materials.......................................... 10,755,719 7.2% ------------ ------ Telecommunication Services -- (0.6%) Other Securities................................... 1,124,790 0.7% ------------ ------ TOTAL COMMON STOCKS...................................... 149,580,338 99.6% ------------ ------ TEMPORARY CASH INVESTMENTS -- (0.2%) State Street Institutional Liquid Reserves, 0.074%. 498,655 498,655 0.3% ------------ ------ Shares/ Face Amount ------- (000) SECURITIES LENDING COLLATERAL -- (26.8%) (S)@ DFA Short Term Investment Fund..................... 4,743,845 54,886,286 36.6% ------------ ------ TOTAL INVESTMENTS -- (100.0%) (Cost $185,815,511).................................. $204,965,279 136.5% ============ ======
9 U.S. SMALL CAP GROWTH PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, 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...... $ 34,551,264 -- -- $ 34,551,264 Consumer Staples............ 6,322,721 -- -- 6,322,721 Energy...................... 4,977,494 -- -- 4,977,494 Financials.................. 11,120,933 -- -- 11,120,933 Health Care................. 17,842,934 -- -- 17,842,934 Industrials................. 30,476,073 -- -- 30,476,073 Information Technology...... 32,408,410 -- -- 32,408,410 Materials................... 10,755,719 -- -- 10,755,719 Telecommunication Services.. 1,124,790 -- -- 1,124,790 Temporary Cash Investments.... 498,655 -- -- 498,655 Securities Lending Collateral. -- $54,886,286 -- 54,886,286 ------------ ----------- -- ------------ TOTAL......................... $150,078,993 $54,886,286 -- $204,965,279 ============ =========== == ============
See accompanying Notes to Financial Statements. 10 INTERNATIONAL LARGE CAP GROWTH PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2014 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (89.0%) AUSTRALIA -- (6.7%) # BHP Billiton, Ltd. Sponsored ADR......... 20,200 $1,424,908 1.5% Brambles, Ltd............................ 60,035 527,904 0.6% Commonwealth Bank of Australia........... 13,481 991,674 1.1% CSL, Ltd................................. 7,974 508,345 0.5% Woolworths, Ltd.......................... 20,666 718,184 0.8% Other Securities......................... 2,966,838 3.0% ---------- ---- TOTAL AUSTRALIA.............................. 7,137,853 7.5% ---------- ---- AUSTRIA -- (0.2%) Other Securities......................... 170,678 0.2% ---------- ---- CANADA -- (8.5%) Canadian National Railway Co............. 8,780 514,245 0.5% Canadian Oil Sands, Ltd.................. 22,498 487,708 0.5% Royal Bank of Canada..................... 11,667 778,652 0.8% Other Securities......................... 7,255,080 7.7% ---------- ---- TOTAL CANADA................................. 9,035,685 9.5% ---------- ---- FINLAND -- (0.6%) Other Securities......................... 644,756 0.7% ---------- ---- FRANCE -- (8.7%) Air Liquide SA........................... 4,552 651,243 0.7% # Carrefour SA............................. 29,842 1,163,272 1.2% Cie Generale des Etablissements Michelin. 6,307 773,432 0.8% LVMH Moet Hennessy Louis Vuitton SA...... 2,461 484,803 0.5% Vinci SA................................. 7,028 530,658 0.6% Other Securities......................... 5,677,282 6.0% ---------- ---- TOTAL FRANCE................................. 9,280,690 9.8% ---------- ---- GERMANY -- (7.7%) # BASF SE.................................. 17,660 2,048,661 2.1% Bayer AG................................. 15,071 2,095,497 2.2% Continental AG........................... 2,005 471,786 0.5% Deutsche Post AG......................... 16,525 623,537 0.7% SAP AG................................... 6,668 538,954 0.6% # SAP AG Sponsored ADR..................... 7,462 604,347 0.6% Other Securities......................... 1,799,232 1.9% ---------- ---- TOTAL GERMANY................................ 8,182,014 8.6% ---------- ---- HONG KONG -- (2.1%) Other Securities......................... 2,212,823 2.3% ---------- ---- ISRAEL -- (0.4%) Other Securities......................... 382,410 0.4% ---------- ---- ITALY -- (2.3%) Atlantia SpA............................. 20,314 529,158 0.5% * Fiat SpA................................. 47,860 577,801 0.6% Other Securities......................... 1,392,943 1.5% ---------- ---- TOTAL ITALY.................................. 2,499,902 2.6% ---------- ----
11 INTERNATIONAL LARGE CAP GROWTH PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- JAPAN -- (16.5%) Hitachi, Ltd.................................. 92,000 $ 655,862 0.7% Japan Tobacco, Inc............................ 19,700 647,510 0.7% KDDI Corp..................................... 12,800 682,645 0.7% Seven & I Holdings Co., Ltd................... 13,600 536,605 0.6% # Softbank Corp................................. 16,400 1,221,439 1.3% Toyota Motor Corp. Sponsored ADR.............. 7,062 765,662 0.8% Other Securities.............................. 13,021,350 13.6% ----------- ----- TOTAL JAPAN....................................... 17,531,073 18.4% ----------- ----- NETHERLANDS -- (2.3%) # Reed Elsevier NV.............................. 27,691 565,197 0.6% Unilever NV................................... 16,507 707,838 0.7% Other Securities.............................. 1,205,512 1.3% ----------- ----- TOTAL NETHERLANDS................................. 2,478,547 2.6% ----------- ----- NORWAY -- (1.3%) Statoil ASA................................... 22,445 684,245 0.7% Other Securities.............................. 706,342 0.8% ----------- ----- TOTAL NORWAY...................................... 1,390,587 1.5% ----------- ----- SINGAPORE -- (0.9%) Other Securities.............................. 992,072 1.0% ----------- ----- SPAIN -- (3.1%) # Telefonica SA................................. 61,731 1,035,977 1.1% Other Securities.............................. 2,223,493 2.3% ----------- ----- TOTAL SPAIN....................................... 3,259,470 3.4% ----------- ----- SWEDEN -- (2.4%) Hennes & Mauritz AB Class B................... 12,744 521,649 0.6% Sandvik AB.................................... 32,543 462,499 0.5% Other Securities.............................. 1,566,397 1.6% ----------- ----- TOTAL SWEDEN...................................... 2,550,545 2.7% ----------- ----- SWITZERLAND -- (7.9%) Nestle SA..................................... 28,949 2,237,302 2.4% Roche Holding AG.............................. 9,483 2,781,801 2.9% Syngenta AG................................... 1,536 608,243 0.6% Other Securities.............................. 2,731,818 2.9% ----------- ----- TOTAL SWITZERLAND................................. 8,359,164 8.8% ----------- ----- UNITED KINGDOM -- (17.4%) AstraZeneca P.L.C. Sponsored ADR.............. 18,110 1,431,595 1.5% BAE Systems P.L.C............................. 152,677 1,032,932 1.1% British American Tobacco P.L.C. Sponsored ADR. 13,632 1,567,953 1.7% British Sky Broadcasting Group P.L.C.......... 34,357 511,327 0.5% Centrica P.L.C................................ 231,751 1,292,484 1.4% Compass Group P.L.C........................... 34,314 546,586 0.6% Diageo P.L.C. Sponsored ADR................... 4,164 511,256 0.5% Experian P.L.C................................ 25,196 484,443 0.5% GlaxoSmithKline P.L.C. Sponsored ADR.......... 34,738 1,923,443 2.0% Imperial Tobacco Group P.L.C.................. 18,459 797,694 0.8% Next P.L.C.................................... 4,864 536,605 0.6% Reed Elsevier P.L.C........................... 38,986 574,951 0.6%
12 INTERNATIONAL LARGE CAP GROWTH PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- UNITED KINGDOM -- (Continued) Rolls-Royce Holdings P.L.C...... 36,050 $ 640,337 0.7% Unilever P.L.C. Sponsored ADR... 12,307 550,615 0.6% Other Securities................ 6,039,986 6.3% ------------ ------ TOTAL UNITED KINGDOM.................... 18,442,207 19.4% ------------ ------ TOTAL COMMON STOCKS..................... 94,550,476 99.4% ------------ ------ PREFERRED STOCKS -- (0.0%) UNITED KINGDOM -- (0.0%) Other Securities................ 8,156 0.0% ------------ ------ Shares/ Face Amount Value+ ------- ------ (000) SECURITIES LENDING COLLATERAL -- (11.0%) (S)@ DFA Short Term Investment Fund.. 1,007,831 11,660,601 12.3% ------------ ------ TOTAL INVESTMENTS -- (100.0%) (Cost $100,196,177)................. $106,219,233 111.7% ============ ======
Summary of the Portfolio's investments as of April 30, 2014, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) -------------------------------------------- Level 1 Level 2 Level 3 Total ----------- ----------- ------- ------------ Common Stocks Australia......................... $ 1,424,908 $ 5,712,945 -- $ 7,137,853 Austria........................... -- 170,678 -- 170,678 Canada............................ 9,035,685 -- -- 9,035,685 Finland........................... 79,493 565,263 -- 644,756 France............................ -- 9,280,690 -- 9,280,690 Germany........................... 604,347 7,577,667 -- 8,182,014 Hong Kong......................... -- 2,212,823 -- 2,212,823 Israel............................ -- 382,410 -- 382,410 Italy............................. 155,436 2,344,466 -- 2,499,902 Japan............................. 765,662 16,765,411 -- 17,531,073 Netherlands....................... -- 2,478,547 -- 2,478,547 Norway............................ 133,766 1,256,821 -- 1,390,587 Singapore......................... -- 992,072 -- 992,072 Spain............................. -- 3,259,470 -- 3,259,470 Sweden............................ -- 2,550,545 -- 2,550,545 Switzerland....................... -- 8,359,164 -- 8,359,164 United Kingdom.................... 6,321,969 12,120,238 -- 18,442,207 Preferred Stocks United Kingdom.................... -- 8,156 -- 8,156 Securities Lending Collateral...... -- 11,660,601 -- 11,660,601 ----------- ----------- -- ------------ TOTAL.............................. $18,521,266 $87,697,967 -- $106,219,233 =========== =========== == ============
See accompanying Notes to Financial Statements. 13 INTERNATIONAL SMALL CAP GROWTH PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2014 (Unaudited)
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (86.8%) AUSTRALIA -- (5.3%) Other Securities......... $3,732,028 6.0% ---------- ---- AUSTRIA -- (0.8%) Other Securities......... 591,388 1.0% ---------- ---- BELGIUM -- (0.8%) Other Securities......... 532,530 0.9% ---------- ---- CANADA -- (8.3%) # Cineplex, Inc............ 7,209 271,706 0.4% Davis + Henderson Corp... 8,043 232,913 0.4% # Mullen Group, Ltd........ 9,054 245,504 0.4% # Whitecap Resources, Inc.. 17,351 228,909 0.4% Other Securities......... 4,887,896 7.9% ---------- ---- TOTAL CANADA................. 5,866,928 9.5% ---------- ---- DENMARK -- (1.9%) # FLSmidth & Co. A.S....... 4,893 261,959 0.4% GN Store Nord A.S........ 13,128 317,155 0.5% * Topdanmark A.S........... 10,580 309,568 0.5% Other Securities......... 464,133 0.8% ---------- ---- TOTAL DENMARK................ 1,352,815 2.2% ---------- ---- FINLAND -- (2.6%) Elisa Oyj................ 13,157 393,200 0.6% # Metso Oyj................ 5,759 231,798 0.4% Orion Oyj Class B........ 9,907 302,388 0.5% Other Securities......... 876,209 1.4% ---------- ---- TOTAL FINLAND................ 1,803,595 2.9% ---------- ---- FRANCE -- (4.0%) # Ingenico................. 4,005 349,482 0.6% Neopost SA............... 3,527 289,613 0.5% Other Securities......... 2,218,472 3.5% ---------- ---- TOTAL FRANCE................. 2,857,567 4.6% ---------- ---- GERMANY -- (5.0%) Freenet AG............... 7,869 272,528 0.4% MTU Aero Engines AG...... 4,854 457,667 0.7% Other Securities......... 2,767,350 4.6% ---------- ---- TOTAL GERMANY................ 3,497,545 5.7% ---------- ---- HONG KONG -- (2.8%) Other Securities......... 2,007,591 3.2% ---------- ---- IRELAND -- (0.5%) Paddy Power P.L.C........ 4,425 341,419 0.5% Other Securities......... 32,015 0.1% ---------- ---- TOTAL IRELAND................ 373,434 0.6% ---------- ---- ISRAEL -- (0.6%) Other Securities......... 416,112 0.7% ---------- ----
14 INTERNATIONAL SMALL CAP GROWTH PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- ITALY -- (2.4%) Other Securities.................. $ 1,689,777 2.7% ----------- ----- JAPAN -- (17.1%) Other Securities.................. 12,052,794 19.5% ----------- ----- NETHERLANDS -- (1.7%) Aalberts Industries NV............ 9,733 324,223 0.5% Arcadis NV........................ 6,575 233,689 0.4% Nutreco NV........................ 6,540 304,458 0.5% Other Securities.................. 315,977 0.5% ----------- ----- TOTAL NETHERLANDS..................... 1,178,347 1.9% ----------- ----- NEW ZEALAND -- (0.8%) Other Securities.................. 589,334 1.0% ----------- ----- NORWAY -- (1.0%) Other Securities.................. 710,894 1.1% ----------- ----- PORTUGAL -- (0.7%) Other Securities.................. 473,811 0.8% ----------- ----- SINGAPORE -- (1.0%) Other Securities.................. 712,501 1.2% ----------- ----- SPAIN -- (2.1%) Bolsas y Mercados Espanoles SA.... 6,783 295,504 0.5% * Jazztel P.L.C..................... 21,422 328,999 0.5% Other Securities.................. 886,679 1.4% ----------- ----- TOTAL SPAIN........................... 1,511,182 2.4% ----------- ----- SWEDEN -- (3.2%) Hexpol AB......................... 2,438 230,997 0.4% # Intrum Justitia AB................ 9,133 264,778 0.4% # JM AB............................. 7,570 257,228 0.4% # Modern Times Group AB Class B..... 5,994 267,435 0.4% Other Securities.................. 1,235,530 2.1% ----------- ----- TOTAL SWEDEN.......................... 2,255,968 3.7% ----------- ----- SWITZERLAND -- (4.5%) * Dufry AG.......................... 1,755 290,446 0.5% # Galenica AG....................... 269 273,917 0.5% Georg Fischer AG.................. 360 285,590 0.5% Other Securities.................. 2,306,090 3.6% ----------- ----- TOTAL SWITZERLAND..................... 3,156,043 5.1% ----------- ----- UNITED KINGDOM -- (19.7%) AMEC P.L.C........................ 21,346 445,815 0.7% Ashtead Group P.L.C............... 25,048 371,116 0.6% Berendsen P.L.C................... 14,749 257,753 0.4% Britvic P.L.C..................... 22,232 272,287 0.4% Cobham P.L.C...................... 69,733 363,787 0.6% Croda International P.L.C......... 11,761 512,244 0.8% Daily Mail & General Trust P.L.C.. 16,738 230,719 0.4% * Dixons Retail P.L.C............... 309,482 235,385 0.4% G4S P.L.C......................... 65,120 259,990 0.4% Halma P.L.C....................... 33,450 317,800 0.5%
15 INTERNATIONAL SMALL CAP GROWTH PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- UNITED KINGDOM -- (Continued) Hays P.L.C....................... 130,180 $ 332,115 0.5% Hikma Pharmaceuticals P.L.C...... 11,504 301,886 0.5% Howden Joinery Group P.L.C....... 55,243 304,140 0.5% IG Group Holdings P.L.C.......... 31,203 335,544 0.5% Inmarsat P.L.C................... 37,827 465,440 0.8% Rightmove P.L.C.................. 8,774 357,446 0.6% Rotork P.L.C..................... 8,038 352,517 0.6% Spirax-Sarco Engineering P.L.C... 6,459 316,631 0.5% TalkTalk Telecom Group P.L.C..... 48,625 235,650 0.4% * Thomas Cook Group P.L.C.......... 130,723 386,430 0.6% UBM P.L.C........................ 20,926 232,778 0.4% Victrex P.L.C.................... 7,465 235,037 0.4% William Hill P.L.C............... 50,527 302,760 0.5% Other Securities................. 6,508,425 10.6% ----------- ------ TOTAL UNITED KINGDOM.................... 13,933,695 22.6% ----------- ------ UNITED STATES -- (0.0%) Other Securities................. 20,499 0.0% ----------- ------ TOTAL COMMON STOCKS..................... 61,316,378 99.3% ----------- ------ RIGHTS/WARRANTS -- (0.0%) PORTUGAL -- (0.0%) Other Securities................. 3,477 0.0% ----------- ------ SWEDEN -- (0.0%) Other Securities................. 1,726 0.0% ----------- ------ TOTAL RIGHTS/WARRANTS................... 5,203 0.0% ----------- ------ Shares/ Face Amount Value+ ------- ------ (000) SECURITIES LENDING COLLATERAL -- (13.2%) (S)@ DFA Short Term Investment Fund... 804,377 9,306,640 15.1% ----------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $63,247,161).................. $70,628,221 114.4% =========== ======
16 INTERNATIONAL SMALL CAP GROWTH PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) ------------------------------------------ Level 1 Level 2 Level 3 Total ---------- ----------- ------- ----------- Common Stocks Australia......................... -- $ 3,732,028 -- $ 3,732,028 Austria........................... -- 591,388 -- 591,388 Belgium........................... -- 532,530 -- 532,530 Canada............................ $5,866,928 -- -- 5,866,928 Denmark........................... -- 1,352,815 -- 1,352,815 Finland........................... -- 1,803,595 -- 1,803,595 France............................ -- 2,857,567 -- 2,857,567 Germany........................... -- 3,497,545 -- 3,497,545 Hong Kong......................... -- 2,007,591 -- 2,007,591 Ireland........................... -- 373,434 -- 373,434 Israel............................ -- 416,112 -- 416,112 Italy............................. -- 1,689,777 -- 1,689,777 Japan............................. 47,538 12,005,256 -- 12,052,794 Netherlands....................... -- 1,178,347 -- 1,178,347 New Zealand....................... -- 589,334 -- 589,334 Norway............................ -- 710,894 -- 710,894 Portugal.......................... -- 473,811 -- 473,811 Singapore......................... -- 712,501 -- 712,501 Spain............................. 3,501 1,507,681 -- 1,511,182 Sweden............................ 42,094 2,213,874 -- 2,255,968 Switzerland....................... -- 3,156,043 -- 3,156,043 United Kingdom.................... -- 13,933,695 -- 13,933,695 United States..................... 20,499 -- -- 20,499 Rights/Warrants Portugal.......................... -- 3,477 -- 3,477 Sweden............................ -- 1,726 -- 1,726 Securities Lending Collateral...... -- 9,306,640 -- 9,306,640 ---------- ----------- -- ----------- TOTAL.............................. $5,980,560 $64,647,661 -- $70,628,221 ========== =========== == ===========
See accompanying Notes to Financial Statements. 17 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2014 (Unaudited) (Amounts in thousands, except share and per share amounts)
International International U.S. Large Cap U.S. Small Cap Large Cap Small Cap Growth Growth Growth Growth Portfolio Portfolio Portfolio* Portfolio* -------------- -------------- ------------- ------------- ASSETS: Investments at Value (including $18,302, $53,935, $11,934 and $9,221 of securities on loan, respectively)........................ $318,974 $149,580 $ 94,559 $61,322 Temporary Cash Investments at Value & Cost.......................... 680 499 -- -- Collateral from Securities on Loan Invested in Affiliate at Value & Cost............................................................... 18,520 54,886 11,661 9,307 Foreign Currencies at Value......................................... -- -- 137 159 Cash................................................................ -- -- 150 94 Receivables: Investment Securities Sold........................................ -- 738 11 71 Dividends, Interest and Tax Reclaims.............................. 309 30 432 234 Securities Lending Income......................................... 3 19 11 13 Fund Shares Sold.................................................. 906 187 110 126 Unrealized Gain on Foreign Currency Contracts....................... -- -- 1 -- Prepaid Expenses and Other Assets................................... 33 26 16 21 -------- -------- -------- ------- Total Assets................................................... 339,425 205,965 107,088 71,347 -------- -------- -------- ------- LIABILITIES: Payables: Upon Return of Securities Loaned.................................. 18,520 54,886 11,661 9,307 Investment Securities Purchased................................... 717 789 279 253 Fund Shares Redeemed.............................................. 109 62 17 13 Due to Advisor.................................................... 38 40 16 17 Accrued Expenses and Other Liabilities.............................. 14 10 7 13 -------- -------- -------- ------- Total Liabilities.............................................. 19,398 55,787 11,980 9,603 -------- -------- -------- ------- NET ASSETS.......................................................... $320,027 $150,178 $ 95,108 $61,744 ======== ======== ======== ======= NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $320,027; $150,178; $95,108 and $61,744 and shares outstanding of 24,001,723; 11,002,984; 7,732,494 and 4,774,705, respectively...... $ 13.33 $ 13.65 $ 12.30 $ 12.93 ======== ======== ======== ======= Investments at Cost................................................. $281,693 $130,430 $ 88,536 $53,941 ======== ======== ======== ======= Foreign Currencies at Cost.......................................... $ -- $ -- $ 137 $ 159 ======== ======== ======== ======= NET ASSETS CONSIST OF: Paid-In Capital..................................................... $281,520 $129,365 $ 87,456 $53,471 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)................................................. 705 113 654 379 Accumulated Net Realized Gain (Loss)................................ 521 1,550 974 512 Net Unrealized Foreign Exchange Gain (Loss)......................... -- -- 1 1 Net Unrealized Appreciation (Depreciation).......................... 37,281 19,150 6,023 7,381 ======== ======== ======== ======= NET ASSETS.......................................................... $320,027 $150,178 $ 95,108 $61,744 ======== ======== ======== =======
---------- * See Note I in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 18 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE PERIOD ENDED APRIL 30, 2014 (Unaudited) (Amounts in thousands)
International International U.S. Large Cap U.S. Small Cap Large Cap Small Cap Growth Growth Growth Growth Portfolio Portfolio Portfolio Portfolio -------------- -------------- ------------- ------------- Investment Income Dividends (Net of Foreign Taxes Withheld of $1, $0, $86 and $53, respectively).......................................... $ 2,470 $ 694 $ 981 $ 605 Income from Securities Lending............................... 19 95 30 43 ------- ------ ------ ------ Total Investment Income................................... 2,489 789 1,011 648 ------- ------ ------ ------ Fund Expenses Investment Advisory Services Fees............................ 232 241 76 133 Accounting & Transfer Agent Fees............................. 10 6 9 8 Custodian Fees............................................... 6 6 13 26 Filing Fees.................................................. 37 22 11 19 Shareholders' Reports........................................ 5 3 2 2 Directors'/Trustees' Fees & Expenses......................... 1 1 -- -- Professional Fees............................................ 2 1 -- -- Organizational & Offering Costs.............................. 5 5 5 5 Other........................................................ 3 4 2 2 ------- ------ ------ ------ Total Expenses............................................ 301 289 118 195 ------- ------ ------ ------ Fees (Waived), Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C)................... (28) (14) (26) (51) Fees Paid Indirectly......................................... -- -- -- -- ------- ------ ------ ------ Net Expenses................................................. 273 275 92 144 ------- ------ ------ ------ Net Investment Income (Loss)................................. 2,216 514 919 504 ------- ------ ------ ------ Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold................................. 558 1,561 1,033 601 Foreign Currency Transactions.............................. -- -- (20) (1) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency................. 15,443 727 1,488 2,306 Translation of Foreign Currency Denominated Amounts........ -- -- 1 -- ------- ------ ------ ------ Net Realized and Unrealized Gain (Loss)...................... 16,001 2,288 2,502 2,906 ------- ------ ------ ------ Net Increase (Decrease) in Net Assets Resulting from Operations.................................................... $18,217 $2,802 $3,421 $3,410 ======= ====== ====== ======
See accompanying Notes to Financial Statements. 19 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
International International U.S. Large Cap U.S. Small Cap Large Cap Small Cap Growth Portfolio Growth Portfolio Growth Portfolio Growth Portfolio -------------------- -------------------- ------------------- ------------------- Period Period Period Period Dec. 20, Dec. 20, Dec. 20, Dec. 20, Six Months 2012(a) Six Months 2012(a) Six Months 2012(a) Six Months 2012(a) Ended to Ended to Ended to Ended to April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31, April 30, Oct. 31, 2014 2013 2014 2013 2014 2013 2014 2013 ----------- -------- ----------- -------- ----------- -------- ----------- -------- (Unaudited) (Unaudited) (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)....... $ 2,216 $ 1,381 $ 514 $ 379 $ 919 $ 533 $ 504 $ 509 Net Realized Gain (Loss) on: Investment Securities Sold........ 558 (38) 1,561 898 1,033 (39) 601 (88) Futures........................... -- 1 -- 20 -- -- -- -- Foreign Currency Transactions..................... -- -- -- -- (20) (9) (1) (7) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency................. 15,443 21,838 727 18,423 1,488 4,535 2,306 5,075 Translation of Foreign Currency Denominated Amounts.............. -- -- -- -- 1 -- -- 1 -------- -------- -------- -------- ------- ------- ------- ------- Net Increase (Decrease) in Net Assets Resulting from Operations...................... 18,217 23,182 2,802 19,720 3,421 5,020 3,410 5,490 -------- -------- -------- -------- ------- ------- ------- ------- Distributions From: Net Investment Income: Institutional Class Shares........ (1,909) (991) (484) (304) (416) (382) (274) (361) Net Short-Term Gains: Institutional Class Shares........ -- -- (910) -- -- -- -- -- Net Long-Term Gains: Institutional Class Shares........ -- -- (19) -- -- -- -- -- -------- -------- -------- -------- ------- ------- ------- ------- Total Distributions.............. (1,909) (991) (1,413) (304) (416) (382) (274) (361) -------- -------- -------- -------- ------- ------- ------- ------- Capital Share Transactions (1): Shares Issued...................... 92,100 220,963 35,330 108,051 48,284 42,798 16,558 39,725 Shares Issued in Lieu of Cash Distributions..................... 1,907 986 1,412 304 411 381 273 360 Shares Redeemed.................... (14,192) (20,236) (9,587) (6,137) (3,300) (1,109) (2,497) (940) -------- -------- -------- -------- ------- ------- ------- ------- Net Increase (Decrease) from Capital Share Transactions.................... 79,815 201,713 27,155 102,218 45,395 42,070 14,334 39,145 -------- -------- -------- -------- ------- ------- ------- ------- Total Increase (Decrease) in Net Assets...................... 96,123 223,904 28,544 121,634 48,400 46,708 17,470 44,274 Net Assets Beginning of Period................ 223,904 -- 121,634 -- 46,708 -- 44,274 -- -------- -------- -------- -------- ------- ------- ------- ------- End of Period...................... $320,027 $223,904 $150,178 $121,634 $95,108 $46,708 $61,744 $44,274 ======== ======== ======== ======== ======= ======= ======= ======= (1) Shares Issued and Redeemed: Shares Issued...................... 7,120 19,482 2,564 9,497 4,018 4,020 1,328 3,673 Shares Issued in Lieu of Cash Distributions..................... 148 84 104 24 35 35 22 33 Shares Redeemed.................... (1,089) (1,743) (694) (492) (277) (99) (199) (82) -------- -------- -------- -------- ------- ------- ------- ------- Net Increase (Decrease) from Shares Issued and Redeemed........................ 6,179 17,823 1,974 9,029 3,776 3,956 1,151 3,624 ======== ======== ======== ======== ======= ======= ======= ======= Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........... $ 705 $ 398 $ 113 $ 83 $ 654 $ 151 $ 379 $ 149
---------- Seepage 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 20 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
U.S. Large Cap Growth Portfolio U.S. Small Cap Growth Portfolio ------------------------------- ------------------------------- Period Period Dec. 20, Dec. 20, Six Months 2012(a) Six Months 2012(a) Ended to Ended to April 30, Oct. 31, April 30, Oct. 31, 2014 2013 2014 2013 ------------------------------------------------------------------------------------------------------------------- (Unaudited) (Unaudited) Net Asset Value, Beginning of Period.............. $ 12.56 $ 10.00 $ 13.47 $ 10.00 -------- -------- -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................. 0.10 0.16 0.05 0.07 Net Gains (Losses) on Securities (Realized and Unrealized).................................... 0.76 2.49 0.28 3.44 -------- -------- -------- -------- Total from Investment Operations............... 0.86 2.65 0.33 3.51 ------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income............................ (0.09) (0.09) (0.05) (0.04) Net Realized Gains............................... -- -- (0.10) -- -------- -------- -------- -------- Total Distributions............................ (0.09) (0.09) (0.15) (0.04) ------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period.................... $ 13.33 $ 12.56 $ 13.65 $ 13.47 ================================================= ============ ========= ============ ========= Total Return...................................... 6.90%(C) 26.58%(C) 2.45%(C) 35.17%(C) ------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)............. $320,027 $223,904 $150,178 $121,634 Ratio of Expenses to Average Net Assets........... 0.20%(D) 0.20%(B)(D) 0.40%(D) 0.40%(B)(D) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly)............................ 0.22%(D) 0.28%(B)(D) 0.42%(D) 0.49%(B)(D) Ratio of Net Investment Income to Average Net Assets........................................... 1.62%(D) 1.59%(D) 0.75%(D) 0.71%(D) Portfolio Turnover Rate........................... 0%(C) 10%(C) 9%(C) 25%(C) -------------------------------------------------------------------------------------------------------------------
International Large Cap Growth Portfolio International Small Cap Growth Portfolio ---------------------------------------- ---------------------------------------- Period Period Dec. 20, Dec. 20, Six Months 2012(a) Six Months 2012(a) Ended to Ended to April 30, Oct. 31, April 30, Oct. 31, 2014 2013 2014 2013 ------------------------------------------------------------------------------------------------------------------------------------ (Unaudited) (Unaudited) Net Asset Value, Beginning of Period.............. $ 11.81 $ 10.00 $ 12.22 $ 10.00 ------- ------- ------- ------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................. 0.18 0.24 0.12 0.24 Net Gains (Losses) on Securities (Realized and Unrealized).................................... 0.40 1.74 0.66 2.13 ------- ------- ------- ------- Total from Investment Operations............... 0.58 1.98 0.78 2.37 ------------------------------------------------------------------------------------------------------------------------------------ Less Distributions ------------------ Net Investment Income............................ (0.09) (0.17) (0.07) (0.15) Net Realized Gains............................... -- -- -- -- ------- ------- ------- ------- Total Distributions............................ (0.09) (0.17) (0.07) (0.15) ------------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Period.................... $ 12.30 $ 11.81 $ 12.93 $ 12.22 ================================================= ================= ============== ================= ============== Total Return...................................... 4.96%(C) 19.98%(C) 6.40%(C) 23.83%(C) ------------------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands)............. $95,108 $46,708 $61,744 $44,274 Ratio of Expenses to Average Net Assets........... 0.30%(D) 0.30%(B)(D) 0.55%(D) 0.55%(B)(D) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly)............................ 0.39%(D) 0.65%(B)(D) 0.74%(D) 1.00%(B)(D) Ratio of Net Investment Income to Average Net Assets........................................... 3.03%(D) 2.60%(D) 1.89%(D) 2.50%(D) Portfolio Turnover Rate........................... 15%(C) 3%(C) 14%(C) 7%(C) ------------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 21 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 offers seventy-seven operational portfolios, four of which, U.S. Large Cap Growth Portfolio, U.S. Small Cap Growth Portfolio, International Large Cap Growth Portfolio and International Small Cap Growth Portfolio (the "Portfolios"), are included in this report. The remaining seventy-three portfolios are presented in separate reports. 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 U.S. Large Cap Growth Portfolio and U.S. Small Cap Growth Portfolio (the "Domestic Equity Portfolios") and International Large Cap Growth Portfolio and International Small Cap Growth Portfolio (the "International Equity Portfolios"), including over-the-counter securities, are valued at the last quoted sale price at the close of the exchanges on which they are principally traded (official closing price). 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 at the mean of the most recent quoted bid and asked prices which approximate fair value. Price information on listed securities is taken from the exchange where the security is primarily traded. Generally, securities issued by open-end 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/Trustees. 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 Investment Committee of Dimensional Fund Advisors LP) occur before the net asset value 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. 22 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, 11:00 p.m. PT, the previous day), which is fourteen hours prior to the close of the NYSE (normally, 1:00 p.m. PT) 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/Trustees of the Fund 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. 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 Portfolios 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. 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, 2014, 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 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 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 International Equity Portfolios and the U.S. dollar equivalent amounts actually received or paid. 3. Deferred Compensation Plan: Each eligible Director/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 Directors/Trustees may defer payment of all or a portion of their total fees earned as a Director/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. 23 Each Director/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 Director/Trustee shall have the right in a notice of election (the "Notice") to defer the receipt of the Director's/Trustee's deferred compensation until a date specified by such Director/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 Director/Trustee ceases to be a member of the Board; and (ii) five years following the effective date of the Director's/Trustee's first deferral election. If a Director/Trustee who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Director's/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 Director/Trustee ceases to be a member of the Board (unless the Director/Trustee files an amended Notice selecting a different distribution date). As of April 30, 2014, none of the Directors/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 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 Portfolios estimate 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 a Portfolio are directly charged. Common expenses of the Fund or Portfolios are allocated using methods approved by the Board, 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 International Equity 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. C. Investment Advisor: The Advisor, Dimensional Fund Advisors LP, provides investment advisory services to the Portfolios. For the six months ended April 30, 2014, the Portfolios' investment advisory services fees were accrued daily and paid monthly to the Advisor based on the following effective annual rates of average daily net assets: U.S. Large Cap Growth Portfolio.......... 0.17% U.S. Small Cap Growth Portfolio.......... 0.35% International Large Cap Growth Portfolio. 0.25% International Small Cap Growth Portfolio. 0.50%
Pursuant to a Fee Waiver and Expense Assumption Agreement (the "Fee Waiver Agreement"), the Advisor has contractually agreed to waive all or a portion of its advisory fees, and in certain instances, assume certain expenses of the Portfolios, as described in the notes below. The Fee Waiver Agreement for the Portfolios below will remain in effect through February 28, 2015, 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. For the six months ended April 30, 2014, the Portfolios had expense limits based on a percentage of average net assets on an annualized basis, and previously waived fees subject to future recovery by the Advisor as reflected below (amounts in thousands). The Advisor recovered previously waived fees and/or expenses assumed as listed below (amounts in thousands). The Fund, on behalf of the Portfolios, is not obligated 24 to reimburse the Advisor for fees previously waived or expenses previously assumed by the Advisor more than thirty-six months before the date of recovery.
Previously Recovery Waived Fees/ of Previously Expenses Waived Fees/ Assumed Expense Expenses Subject to Future Institutional Class Shares Limitation Amount Assumed Recovery -------------------------- ----------------- ------------- ----------------- U.S. Large Cap Growth Portfolio (1).......... 0.20% -- $ 98 U.S. Small Cap Growth Portfolio (1).......... 0.40% -- 62 International Large Cap Growth Portfolio (1). 0.30% -- 97 International Small Cap Growth Portfolio (1). 0.55% -- 141
(1) 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 each Portfolio (excluding the expenses that the Portfolio incurs indirectly through its investment in other investment companies and excluding any applicable 12b-1 fees) ("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 above as a percentage 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 Expense Limitation Amount listed above for such class of shares 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 will not cause the annualized Portfolio Expenses for such class of shares of the Portfolio to exceed the Expense Limitation Amount. Earned Income Credit: In addition, the 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. During the six months ended April 30, 2014, expenses reduced were as follows (amounts in thousands):
Fees Paid Indirectly ---------- International Large Cap Growth Portfolio. -- International Small Cap Growth Portfolio. --
Fees Paid to Officers and Directors/Trustees: Certain Officers and Directors/Trustees of the Advisor are also Officers and Directors/Trustees of the Fund; however, such Officers and Directors/Trustees (with the exception of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund. For the six months ended April 30, 2014, the total related amounts paid by the Fund to the CCO were $130 (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, 2014, 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 (amounts in thousands): U.S. Large Cap Growth Portfolio.......... $ 1 U.S. Small Cap Growth Portfolio.......... 1 International Large Cap Growth Portfolio. -- International Small Cap Growth Portfolio. --
25 E. Purchases and Sales of Securities: For the six months ended April 30, 2014, the Portfolios made the following purchases and sales of investment securities, other than short-term securities and U.S. government securities (amounts in thousands):
Purchases Sales - --------- ------- U.S. Large Cap Growth Portfolio.......... $81,990 -- U.S. Small Cap Growth Portfolio.......... 39,186 $12,239 International Large Cap Growth Portfolio. 56,205 9,016 International Small Cap Growth Portfolio. 21,984 7,391
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 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, 2013, primarily attributable to net foreign currency gains/losses, non-deductible organizational costs, 90 day stock issuance expense, non-deductible excise tax and realized gains on securities considered to be "passive foreign investment companies", were reclassified to the following accounts. These reclassifications had no effect on net assets or net asset value per share (amounts in thousands):
Increase Increase (Decrease) (Decrease) Increase Undistributed Accumulated (Decrease) Net Investment Net Realized Paid-In Capital Income Gains (Losses) --------------- -------------- -------------- U.S. Large Cap Growth Portfolio.......... $(8) $ 8 -- U.S. Small Cap Growth Portfolio.......... (8) 8 -- International Large Cap Growth Portfolio. (9) -- $ 9 International Small Cap Growth Portfolio. (8) 1 7
The tax character of dividends and distributions declared and paid during the year ended October 31, 2013 were as follows (amounts in thousands):
Net Investment Income and Short-Term Long-Term Capital Gains Capital Gains Total -------------- ------------- ----- U.S. Large Cap Growth Portfolio 2013..................................... $991 -- $991 U.S. Small Cap Growth Portfolio 2013..................................... 304 -- 304 International Large Cap Growth Portfolio 2013..................................... 382 -- 382 International Small Cap Growth Portfolio 2013..................................... 361 -- 361
26 At October 31, 2013, the components of distributable earnings (accumulated losses) were as follows (amounts in thousands):
Undistributed Net Total Net Investment Distributable Income and Undistributed Capital Unrealized Earnings Short-Term Long-Term Loss Appreciation (Accumulated Capital Gains Capital Gains Carryforwards (Depreciation) Losses) ------------- ------------- ------------- -------------- ------------- U.S. Large Cap Growth Portfolio.......... $399 -- $(26) $21,827 $22,200 U.S. Small Cap Growth Portfolio.......... 989 $12 -- 18,423 19,424 International Large Cap Growth Portfolio. 149 -- (40) 4,538 4,647 International Small Cap Growth Portfolio. 150 -- (87) 5,075 5,138
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, 2013, 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, ---------------------- Unlimited Total ---------------------- ----- U.S. Large Cap Growth Portfolio.......... $26 $26 International Large Cap Growth Portfolio. 40 40 International Small Cap Growth Portfolio. 87 87
During the year ended October 31, 2013 each Portfolio did not utilize capital loss carryforwards. At April 30, 2014, the total cost and aggregate gross unrealized appreciation (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes, as follows (amounts in thousands):
Net Unrealized Federal Unrealized Unrealized Appreciation Tax Cost Appreciation Depreciation (Depreciation) -------- ------------ ------------ -------------- U.S. Large Cap Growth Portfolio.......... $300,904 $41,024 $(3,754) $37,270 U.S. Small Cap Growth Portfolio.......... 185,816 23,065 (3,916) 19,149 International Large Cap Growth Portfolio. 100,196 6,976 (952) 6,024 International Small Cap Growth Portfolio. 63,247 8,991 (1,609) 7,382
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 each Portfolios' tax positions and has concluded that no additional provision for income tax is required in any Portfolio's 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 fiscal period remains subject to examination by the Internal Revenue Service. G. Financial Instruments: In accordance with the Portfolios' 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 27 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. H. Line of Credit: The Fund, together with other Dimensional-advised portfolios, has entered into a $500 million unsecured discretionary line of credit effective March 4, 2013 with its domestic custodian bank. 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 was scheduled to expire on March 3, 2014, however, effective March 3, 2014, the term was extended until March 2, 2015. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit effective January 10, 2014 with its international custodian bank. 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 9, 2015. For the six months ended April 30, 2014, borrowings by the Portfolios under the lines of credit were as follows (amounts in thousands, except percentages and days):
Weighted Weighted Number of Interest Maximum Amount Average Average Loan Days Expense Borrowed During Interest Rate Balance Outstanding* Incurred The Period ------------- ------------ ------------ -------- --------------- U.S. Small Cap Growth Portfolio.......... 0.84% $1,116 10 -- $1,774 International Large Cap Growth Portfolio. 0.84% 82 6 -- 110 International Small Cap Growth Portfolio. 0.83% 51 9 -- 99
* Number of Days Outstanding represents the total of single or consecutive days during the six months ended April 30, 2014, that each 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, 2014. I. Securities Lending: As of April 30, 2014, some of the Portfolios had securities on loan to brokers/dealers, for which each such Portfolio received cash collateral. In addition, International Large Cap Growth Portfolio and International Small Cap Growth Portfolio received non-cash collateral consisting of short and/or long term U.S. Treasury securities with a market value of $1,231 and $634 (in thousands), respectively. 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 equal to at least (i) 100% of the current market value of the loaned securities with respect to securities of the U.S. government or its agencies, (ii) 102% of the current market value of the loaned securities with respect to U.S. securities, and (iii) 105% of the current market value of the loaned securities with respect to foreign securities. However, daily market fluctuations could cause the 28 Portfolios' 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. Subject to their stated investment policies, each 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. 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. However, dividend income received from loaned securities may not be eligible to be taxed at qualified dividend income rates. 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 which 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. Other: At April 30, 2014, the following number of shareholders held the following approximate percentages of the stated fund outstanding shares. One or more of the shareholders may be omnibus accounts, which typically hold shares for the benefit of several other underlying investors.
Approximate Percentage Number of of Outstanding Shareholders Shares ------------ -------------- U.S. Large Cap Growth Portfolio.......... 3 93% U.S. Small Cap Growth Portfolio.......... 3 98% International Large Cap Growth Portfolio. 3 96% International Small Cap Growth Portfolio. 3 97%
L. Subsequent Event Evaluations: Management has evaluated the impact of all subsequent events on the Portfolios and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements. 29 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 without charge, upon request, by calling collect: (512) 306-7400. 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://www.dimensional.com and reflects the twelve-month period beginning July 1st and ending June 30th. 30 BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS At the Board meeting held on December 13, 2013 (the "Meeting"), the Board of Directors of DFA Investment Dimensions Group Inc. (the "Board") considered the continuation of the investment advisory agreements for each portfolio (collectively, the "Funds") and, if applicable, a Fund's sub-advisory agreements. For certain Funds, Dimensional Fund Advisors Ltd. and DFA Australia Limited serve as sub-advisors. (The investment advisory agreements and the sub-advisory agreements are referred to as the "Advisory 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 Advisory 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 Advisory 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 Advisory 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 advisory 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 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 management services provided by the Advisor. 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, 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 based on the Fund's investment strategies and the expectations of its shareholder base, among other things, that the performance of each Fund was reasonable as compared with relevant performance standards. 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 advisory fees and total expenses of each Fund over various periods were favorable in relation to those of its peer funds, and that the advisory 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. 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 31 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 advisory fees charged. For several reasons, the Board concluded that economies of scale and the reflection of such economies of scale in the level of advisory 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 Advisory Agreement for each Fund was in the best interests of the Fund and its shareholders. 32 [LOGO] DFA043014-041S ITEM 2. CODE OF ETHICS. Not applicable when filing a semi-annual report to shareholders. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. Not applicable when filing a semi-annual report to shareholders. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Not applicable when filing a semi-annual report to shareholders. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. This item is not applicable to the Registrant because it is not a listed issuer. ITEM 6. INVESTMENTS. (a) Please see the schedules of investments contained in the reports to stockholders included under Item 1 of this Report except as discussed below. Provided below is a complete schedule of investments for each series of the Registrant or the master fund in which the series of the Registrant invests that provided a summary schedule of portfolio holdings in a report to stockholders included under Item 1 in lieu of a complete schedule of investments. The schedules of investments for the following series are provided below: Name of Entity for which Schedule of Relationship to Series of the Investments is Provided Registrant ------------------------------------ ------------------------------------- U.S. Large Cap Equity Portfolio Series of Registrant U.S. Targeted Value Portfolio Series of Registrant U.S. Small Cap Value Portfolio Series of Registrant U.S. Core Equity 1 Portfolio Series of Registrant U.S. Core Equity 2 Portfolio Series of Registrant U.S. Vector Equity Portfolio Series of Registrant U.S. Small Cap Portfolio Series of Registrant U.S. Micro Cap Portfolio Series of Registrant DFA Real Estate Securities Portfolio Series of Registrant Large Cap International Portfolio Series of Registrant International Core Equity Portfolio Series of Registrant DFA International Real Estate Series of Registrant Securities Portfolio DFA International Small Cap Value Series of Registrant Portfolio International Vector Equity Portfolio Series of Registrant Emerging Markets Core Equity Portfolio Series of Registrant The U.S. Large Cap Value Series Master fund for U.S. Large Cap Value Portfolio The DFA International Value Series Master fund for LWAS/DFA International High Book to Market Portfolio The Japanese Small Company Series Master fund for Japanese Small Company Portfolio Name of Entity for which Schedule of Relationship to Series of the Investments is Provided Registrant ------------------------------------ ------------------------------------- The Asia Pacific Small Company Series Master fund for Asia Pacific Small Company Portfolio The United Kingdom Small Company Master fund for United Kingdom Small Series Company Portfolio The Continental Small Company Series Master fund for Continental Small Company Portfolio The Emerging Markets Series Master fund for Emerging Markets Portfolio The Emerging Markets Small Cap Series Master fund for Emerging Markets Small Cap Portfolio Dimensional Emerging Markets Value Master fund for Emerging Markets Fund Value Portfolio U.S. Social Core Equity 2 Portfolio Series of Registrant U.S. Sustainability Core 1 Portfolio Series of Registrant International Sustainability Core 1 Series of Registrant Portfolio DFA International Value ex Tobacco Series of Registrant Portfolio International Social Core Equity Series of Registrant Portfolio Emerging Markets Social Core Equity Series of Registrant Portfolio Tax-Managed U.S. Equity Portfolio Series of Registrant Tax-Managed U.S. Targeted Value Series of Registrant Portfolio Tax-Managed U.S. Small Cap Portfolio Series of Registrant T.A. U.S. Core Equity 2 Portfolio Series of Registrant Tax-Managed DFA International Value Series of Registrant Portfolio T.A. World ex U.S. Core Equity Series of Registrant Portfolio The Tax-Managed U.S. Marketwide Value Master fund for Tax-Managed U.S. Series Marketwide Value Portfolio CSTG&E U.S. Social Core Equity 2 Series of Registrant Portfolio CSTG&E International Social Core Series of Registrant Equity Portfolio Name of Entity for which Schedule of Relationship to Series of the Investments is Provided Registrant ------------------------------------ ------------------------------------- VA U.S. Targeted Value Portfolio Series of Registrant VA U.S. Large Value Portfolio Series of Registrant VA International Value Portfolio Series of Registrant VA International Small Portfolio Series of Registrant U.S. Large Cap Growth Portfolio Series of Registrant U.S. Small Cap Growth Portfolio Series of Registrant International Large Cap Growth Series of Registrant Portfolio International Small Cap Growth Series of Registrant Portfolio DFA INVESTMENT DIMENSIONS GROUP INC. THE DFA INVESTMENT TRUST COMPANY DIMENSIONAL EMERGING MARKETS VALUE FUND DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES SCHEDULES OF INVESTMENTS ------------------------ Investment Abbreviations ADR American Depositary Receipt FNMA Federal National Mortgage Association GDR Global Depository Receipt NVDR Non-Voting Depository Receipt P.L.C. Public Limited Company REIT Real Estate Investment Trust SA Special Assessment STRIP Seperate Trading of Registered Interest and Principal of Securities Investment Footnotes + See Note B to Financial Statements. ++ Securities have generally been fair valued. See Note B to Financial Statements. * Non-Income Producing Securities. # Total or Partial Securities on Loan. @ Security purchased with cash proceeds from Securities on Loan. (o) Security is being fair valued as of April 30, 2013. -- Amounts designated as -- are either zero or rounded to zero. (S) Affiliated Fund. U.S. LARGE CAP EQUITY PORTFOLIO SCHEDULE OF INVESTMENTS APRIL 30, 2014 (UNAUDITED) SHARES VALUE+ ------ ---------- COMMON STOCKS -- (88.6%) Consumer Discretionary -- (11.8%) # Abercrombie & Fitch Co. Class A 1,639 $ 60,250 Advance Auto Parts, Inc. 678 82,235 * Amazon.com, Inc. 3,260 991,464 * AMC Networks, Inc. Class A 730 47,939 * Apollo Education Group, Inc. Class A 1,705 49,206 #* Ascena Retail Group, Inc. 3,200 55,040 # Autoliv, Inc. 2,052 209,263 #* AutoNation, Inc. 813 43,081 #* Bed Bath & Beyond, Inc. 1,929 119,849 # Best Buy Co., Inc. 5,932 153,817 BorgWarner, Inc. 2,278 141,555 Brunswick Corp. 1,850 74,351 Burger King Worldwide, Inc. 744 19,441 #* Cabela's, Inc. 1,521 99,793 # Cablevision Systems Corp. Class A 2,351 39,262 #* CarMax, Inc. 2,608 114,178 Carnival Corp. 2,571 101,066 # Carter's, Inc. 1,241 91,412 # CBS Corp. Class B 6,091 351,816 #* Charter Communications, Inc. Class A 892 120,893 #* Chipotle Mexican Grill, Inc. 320 159,520 # Cinemark Holdings, Inc. 2,673 79,174 Coach, Inc. 2,269 101,311 # Comcast Corp. Class A 19,662 1,017,705 Comcast Corp. Special Class A 3,832 195,547 # Dana Holding Corp. 3,382 71,597 # Darden Restaurants, Inc. 2,148 106,777 Delphi Automotive P.L.C. 2,555 170,776 Dick's Sporting Goods, Inc. 1,035 54,503 Dillard's, Inc. Class A 1,305 127,799 * DIRECTV 3,398 263,685 #* Discovery Communications, Inc. Class A 1,030 78,177 * Discovery Communications, Inc. Class C 458 32,120 #* DISH Network Corp. Class A 1,998 113,606 * Dollar General Corp. 5,026 283,667 * Dollar Tree, Inc. 1,924 100,183 # DR Horton, Inc. 4,627 103,090 DSW, Inc. Class A 1,114 37,196 # Dunkin' Brands Group, Inc. 1,997 90,883 Expedia, Inc. 1,912 135,733 Family Dollar Stores, Inc. 1,227 72,086 Foot Locker, Inc. 3,128 145,546 Ford Motor Co. 41,485 669,983 * Fossil Group, Inc. 521 55,565 # GameStop Corp. Class A 4,008 159,037 # Gannett Co., Inc. 4,493 122,075 Gap, Inc. (The) 3,984 156,571 # Garmin, Ltd. 1,964 112,144 General Motors Co. 14,712 507,270 Gentex Corp. 2,757 79,043 # Genuine Parts Co. 1,571 136,865 U.S. LARGE CAP EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Consumer Discretionary -- (Continued) GNC Holdings, Inc. Class A 2,069 $ 93,105 Goodyear Tire & Rubber Co. (The) 3,914 98,633 Graham Holdings Co. Class B 108 72,493 #* Groupon, Inc. 2,889 20,194 H&R Block, Inc. 2,350 66,787 Hanesbrands, Inc. 953 78,232 Harley-Davidson, Inc. 2,708 200,229 Harman International Industries, Inc. 1,037 113,666 # Hasbro, Inc. 1,280 70,733 Home Depot, Inc. (The) 13,913 1,106,223 #* HomeAway, Inc. 883 28,803 * Hyatt Hotels Corp. Class A 518 29,153 International Game Technology 5,685 71,347 Interpublic Group of Cos., Inc. (The) 7,034 122,532 Johnson Controls, Inc. 6,911 311,962 #* Kate Spade & Co. 1,751 60,882 # Kohl's Corp. 5,415 296,688 L Brands, Inc. 1,990 107,858 #* Lamar Advertising Co. Class A 1,414 70,587 #* Lands' End, Inc. 436 12,055 Las Vegas Sands Corp. 4,105 324,829 Lear Corp. 1,928 160,140 # Leggett & Platt, Inc. 2,937 96,510 # Lennar Corp. Class A 2,418 93,311 #* Liberty Global P.L.C. Class A 1,583 63,035 * Liberty Global P.L.C. Class C 4,781 183,734 * Liberty Interactive Corp. Class A 8,042 233,700 #* Liberty Media Corp. Class A 1,474 191,193 * Liberty Ventures Series A 1,806 104,820 # Lions Gate Entertainment Corp. 2,291 60,780 * Live Nation Entertainment, Inc. 6,386 133,340 * LKQ Corp. 2,072 60,337 Lowe's Cos., Inc. 10,014 459,743 #* Lululemon Athletica, Inc. 970 44,552 Macy's, Inc. 4,535 260,445 #* Madison Square Garden Co. (The) Class A 918 50,123 # Marriott International, Inc. Class A 1,972 114,238 Mattel, Inc. 3,239 127,017 McDonald's Corp. 9,563 969,497 #* MGM Resorts International 9,392 236,960 * Michael Kors Holdings, Ltd. 1,976 180,211 * Mohawk Industries, Inc. 1,021 135,191 # Morningstar, Inc. 688 50,451 * Murphy USA, Inc. 641 27,242 * Netflix, Inc. 228 73,425 # Newell Rubbermaid, Inc. 2,984 89,848 * News Corp. Class A 5,000 85,100 #* News Corp. Class B 2,243 37,099 NIKE, Inc. Class B 6,243 455,427 Nordstrom, Inc. 1,701 104,237 #* Norwegian Cruise Line Holdings, Ltd. 1,225 40,143 * NVR, Inc. 85 91,545 U.S. LARGE CAP EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Consumer Discretionary -- (Continued) * O'Reilly Automotive, Inc. 1,049 $ 156,081 Omnicom Group, Inc. 1,541 104,295 #* Panera Bread Co. Class A 502 76,791 #* Penn National Gaming, Inc. 1,617 18,046 Penske Automotive Group, Inc. 2,667 122,309 # PetSmart, Inc. 921 62,333 Polaris Industries, Inc. 605 81,270 * Priceline Group, Inc. (The) 446 516,356 PulteGroup, Inc. 5,654 103,977 PVH Corp. 1,116 140,136 Ralph Lauren Corp. 865 130,935 Ross Stores, Inc. 1,910 130,033 Royal Caribbean Cruises, Ltd. 3,246 172,460 * Sally Beauty Holdings, Inc. 2,268 62,166 Scripps Networks Interactive, Inc. Class A 942 70,716 #* Sears Holdings Corp. 1,450 63,524 # Service Corp. International 5,961 111,888 # Signet Jewelers, Ltd. 1,055 106,893 # Sinclair Broadcast Group, Inc. Class A 1,610 43,035 #* Sirius XM Holdings, Inc. 24,475 78,075 Six Flags Entertainment Corp. 1,474 59,166 # Sotheby's 898 37,770 # Staples, Inc. 12,015 150,187 Starbucks Corp. 7,051 497,942 Starwood Hotels & Resorts Worldwide, Inc. 1,659 127,162 #* Starz 1,278 41,241 Target Corp. 6,115 377,601 * Tenneco, Inc. 840 50,291 #* Tesla Motors, Inc. 502 104,361 Tiffany & Co. 978 85,565 Time Warner Cable, Inc. 3,035 429,331 Time Warner, Inc. 8,193 544,507 TJX Cos., Inc. (The) 6,813 396,380 #* Toll Brothers, Inc. 2,288 78,341 # Tractor Supply Co. 1,325 89,093 * TripAdvisor, Inc. 1,095 88,410 #* TRW Automotive Holdings Corp. 2,980 239,443 Tupperware Brands Corp. 916 77,778 # Twenty-First Century Fox, Inc. Class A 10,764 344,663 Twenty-First Century Fox, Inc. Class B 2,877 90,108 * Ulta Salon Cosmetics & Fragrance, Inc. 574 50,346 #* Under Armour, Inc. Class A 1,266 61,895 * Urban Outfitters, Inc. 3,181 113,419 VF Corp. 2,392 146,127 Viacom, Inc. Class A 134 11,386 Viacom, Inc. Class B 3,777 320,969 * Visteon Corp. 1,065 92,453 Walt Disney Co. (The) 16,094 1,276,898 # Wendy's Co. (The) 5,283 43,902 Whirlpool Corp. 1,898 291,115 Williams-Sonoma, Inc. 2,237 140,528 Wyndham Worldwide Corp. 2,087 148,887 U.S. LARGE CAP EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------ ----------- Consumer Discretionary -- (Continued) Wynn Resorts, Ltd. 799 $ 162,908 Yum! Brands, Inc. 4,384 337,524 ----------- Total Consumer Discretionary 26,334,546 ----------- Consumer Staples -- (7.4%) Altria Group, Inc. 19,164 768,668 # Archer-Daniels-Midland Co. 4,620 202,033 Avon Products, Inc. 3,081 47,078 Beam, Inc. 2,151 179,544 # Brown-Forman Corp. Class A 358 31,909 # Brown-Forman Corp. Class B 1,235 110,804 Bunge, Ltd. 2,014 160,415 # Campbell Soup Co. 2,657 120,867 Church & Dwight Co., Inc. 1,809 124,839 # Clorox Co. (The) 1,137 103,126 Coca-Cola Co. (The) 33,826 1,379,763 Coca-Cola Enterprises, Inc. 4,550 206,752 Colgate-Palmolive Co. 8,832 594,394 ConAgra Foods, Inc. 4,506 137,478 * Constellation Brands, Inc. Class A 1,792 143,073 Costco Wholesale Corp. 3,643 421,422 CVS Caremark Corp. 10,891 791,994 Dr Pepper Snapple Group, Inc. 3,550 196,741 # Energizer Holdings, Inc. 1,296 144,750 Estee Lauder Cos., Inc. (The) Class A 2,096 152,107 Flowers Foods, Inc. 3,865 79,310 General Mills, Inc. 5,086 269,660 * Hain Celestial Group, Inc. (The) 651 55,999 # Herbalife, Ltd. 1,227 73,595 Hershey Co. (The) 1,356 130,501 Hillshire Brands Co. (The) 2,087 74,402 Hormel Foods Corp. 1,800 85,842 # Ingredion, Inc. 2,056 144,845 # JM Smucker Co. (The) 1,632 157,782 Kellogg Co. 2,216 148,095 # Keurig Green Mountain, Inc. 1,879 176,025 Kimberly-Clark Corp. 3,635 408,029 Kraft Foods Group, Inc. 5,414 307,840 # Kroger Co. (The) 5,880 270,715 Lorillard, Inc. 2,348 139,518 # McCormick & Co., Inc. 837 59,594 Mead Johnson Nutrition Co. 1,860 164,164 Molson Coors Brewing Co. Class B 2,181 130,795 Mondelez International, Inc. Class A 11,530 411,045 * Monster Beverage Corp. 1,414 94,681 # Nu Skin Enterprises, Inc. Class A 695 60,465 PepsiCo, Inc. 14,898 1,279,589 Philip Morris International, Inc. 7,357 628,509 * Pilgrim's Pride Corp. 4,150 90,719 # Pricesmart, Inc. 408 39,184 Procter & Gamble Co. (The) 20,979 1,731,816 Reynolds American, Inc. 2,783 157,045 U.S. LARGE CAP EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------ ----------- Consumer Staples -- (Continued) * Rite Aid Corp. 10,428 $ 76,124 Safeway, Inc. 6,868 233,924 #* Seaboard Corp. 4 9,752 Spectrum Brands Holdings, Inc. 1,004 77,137 Sysco Corp. 4,817 175,483 Tyson Foods, Inc. Class A 5,856 245,776 #* United Natural Foods, Inc. 743 51,289 Wal-Mart Stores, Inc. 19,844 1,581,765 Walgreen Co. 6,926 470,275 * WhiteWave Foods Co. (The) Class A 2,379 65,875 # Whole Foods Market, Inc. 2,570 127,729 ----------- Total Consumer Staples 16,502,650 ----------- Energy -- (10.5%) Anadarko Petroleum Corp. 3,853 381,524 Apache Corp. 4,339 376,625 #* Atwood Oceanics, Inc. 1,717 85,095 Baker Hughes, Inc. 4,021 281,068 Cabot Oil & Gas Corp. 3,541 139,090 * Cameron International Corp. 4,027 261,594 #* Cheniere Energy, Inc. 1,002 56,563 Chesapeake Energy Corp. 12,956 372,485 Chevron Corp. 21,017 2,638,054 Cimarex Energy Co. 2,113 251,701 * Cobalt International Energy, Inc. 1,520 27,360 * Concho Resources, Inc. 2,490 324,820 ConocoPhillips 14,678 1,090,722 CONSOL Energy, Inc. 3,027 134,732 #* Continental Resources, Inc. 383 53,053 Core Laboratories NV 396 74,321 # Denbury Resources, Inc. 4,861 81,762 Devon Energy Corp. 3,533 247,310 # Diamond Offshore Drilling, Inc. 1,472 80,386 * Dresser-Rand Group, Inc. 1,357 82,017 * Dril-Quip, Inc. 606 68,551 Energen Corp. 981 76,430 EOG Resources, Inc. 6,914 677,572 EQT Corp. 998 108,772 Exxon Mobil Corp. 54,223 5,552,977 * FMC Technologies, Inc. 1,808 102,514 * Gulfport Energy Corp. 1,102 81,184 Halliburton Co. 9,775 616,509 # Helmerich & Payne, Inc. 2,146 233,163 Hess Corp. 3,251 289,859 # HollyFrontier Corp. 4,248 223,402 # Kinder Morgan, Inc. 4,401 143,737 * Kosmos Energy, Ltd. 5,012 54,731 #* Laredo Petroleum, Inc. 2,647 77,372 # LinnCo LLC 2,321 63,967 Marathon Oil Corp. 8,550 309,083 Marathon Petroleum Corp. 3,917 364,085 Murphy Oil Corp. 2,567 162,825 U.S. LARGE CAP EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------ ----------- Energy -- (Continued) Nabors Industries, Ltd. 6,763 $ 172,592 National Oilwell Varco, Inc. 3,081 241,951 * Newfield Exploration Co. 3,500 118,475 Noble Corp. P.L.C. 4,090 126,013 Noble Energy, Inc. 3,961 284,321 #* Oasis Petroleum, Inc. 2,867 133,344 Occidental Petroleum Corp. 8,655 828,716 Oceaneering International, Inc. 1,103 80,828 * Oil States International, Inc. 1,445 140,367 # ONEOK, Inc. 3,498 221,144 Patterson-UTI Energy, Inc. 3,518 114,441 Peabody Energy Corp. 4,708 89,499 Phillips 66 4,161 346,278 # Pioneer Natural Resources Co. 993 191,917 QEP Resources, Inc. 4,254 130,555 # Range Resources Corp. 1,523 137,755 #* Rowan Cos. P.L.C. Class A 2,040 63,077 RPC, Inc. 3,262 72,514 Schlumberger, Ltd. 11,950 1,213,522 SM Energy Co. 1,978 146,629 * Southwestern Energy Co. 5,921 283,497 Spectra Energy Corp. 4,576 181,713 # Superior Energy Services, Inc. 3,278 107,912 Targa Resources Corp. 738 79,697 Teekay Corp. 1,908 107,058 Tesoro Corp. 2,810 158,175 # Transocean, Ltd. 2,338 100,698 #* Ultra Petroleum Corp. 1,422 42,376 Valero Energy Corp. 5,649 322,953 * Weatherford International, Ltd. 13,261 278,481 * Whiting Petroleum Corp. 3,038 223,961 Williams Cos., Inc. (The) 7,047 297,172 * WPX Energy, Inc. 3,551 75,565 ----------- Total Energy 23,360,211 ----------- Financials -- (11.6%) ACE, Ltd. 2,459 251,605 * Affiliated Managers Group, Inc. 442 87,604 Aflac, Inc. 5,183 325,078 * Alleghany Corp. 208 84,860 Allied World Assurance Co. Holdings AG 583 62,783 Allstate Corp. (The) 4,065 231,502 #* Altisource Portfolio Solutions SA 400 41,484 * American Capital, Ltd. 4,942 74,081 American Express Co. 9,240 807,853 American Financial Group, Inc. 1,651 96,468 American International Group, Inc. 10,252 544,689 Ameriprise Financial, Inc. 1,831 204,395 Aon P.L.C. 2,512 213,219 #* Arch Capital Group, Ltd. 1,756 100,654 Arthur J Gallagher & Co. 1,742 78,425 Assurant, Inc. 1,270 85,611 U.S. LARGE CAP EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Financials -- (Continued) Assured Guaranty, Ltd. 2,897 $ 69,267 Axis Capital Holdings, Ltd. 2,212 101,199 Bank of America Corp. 76,492 1,158,089 Bank of New York Mellon Corp. (The) 8,164 276,515 BB&T Corp. 5,195 193,929 * Berkshire Hathaway, Inc. Class B 13,217 1,703,010 BlackRock, Inc. 968 291,368 BOK Financial Corp. 1,052 68,822 Brown & Brown, Inc. 2,876 85,647 Capital One Financial Corp. 5,082 375,560 CBOE Holdings, Inc. 1,497 79,880 * CBRE Group, Inc. Class A 3,491 93,000 # Charles Schwab Corp. (The) 8,253 219,117 Chubb Corp. (The) 1,720 158,378 # Cincinnati Financial Corp. 2,404 117,171 CIT Group, Inc. 2,682 115,460 Citigroup, Inc. 22,250 1,065,997 City National Corp. 1,041 75,545 CME Group, Inc. 2,250 158,377 CNA Financial Corp. 553 22,645 Comerica, Inc. 2,346 113,171 # Commerce Bancshares, Inc. 1,795 78,047 # Cullen/Frost Bankers, Inc. 1,101 84,127 Discover Financial Services 5,858 327,462 * E*TRADE Financial Corp. 4,966 111,487 East West Bancorp, Inc. 3,214 110,915 # Eaton Vance Corp. 2,155 77,731 Erie Indemnity Co. Class A 1,049 75,161 # Everest Re Group, Ltd. 865 136,696 # Fidelity National Financial, Inc. Class A 4,714 151,696 Fifth Third Bancorp 11,229 231,430 First Niagara Financial Group, Inc. 6,123 54,617 # First Republic Bank 2,316 117,560 FirstMerit Corp. 2,975 57,685 * Forest City Enterprises, Inc. Class A 3,215 60,796 Franklin Resources, Inc. 3,657 191,444 * Genworth Financial, Inc. Class A 6,943 123,933 Goldman Sachs Group, Inc. (The) 3,819 610,353 Hartford Financial Services Group, Inc. (The) 8,400 301,308 HCC Insurance Holdings, Inc. 1,592 73,136 * Howard Hughes Corp. (The) 671 95,792 Huntington Bancshares, Inc. 10,514 96,308 IntercontinentalExchange Group, Inc. 712 145,561 Invesco, Ltd. 5,966 210,063 # Investors Bancorp, Inc. 1,288 34,428 Jones Lang LaSalle, Inc. 1,003 116,238 JPMorgan Chase & Co. 34,493 1,930,918 KeyCorp 12,667 172,778 # Legg Mason, Inc. 2,241 105,080 Leucadia National Corp. 4,728 120,659 Lincoln National Corp. 3,979 193,021 Loews Corp. 2,259 99,328 U.S. LARGE CAP EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------ ----------- Financials -- (Continued) LPL Financial Holdings, Inc. 2,168 $ 102,655 # M&T Bank Corp. 2,188 266,958 #* Markel Corp. 173 108,284 Marsh & McLennan Cos., Inc. 4,657 229,637 McGraw Hill Financial, Inc. 2,404 177,728 MetLife, Inc. 6,728 352,211 Moody's Corp. 1,943 152,525 Morgan Stanley 10,929 338,034 * MSCI, Inc. 2,246 91,053 NASDAQ OMX Group, Inc. (The) 2,367 87,342 # New York Community Bancorp, Inc. 5,652 87,097 Northern Trust Corp. 3,219 193,945 * Ocwen Financial Corp. 1,417 53,704 Old Republic International Corp. 4,693 77,716 PartnerRe, Ltd. 875 92,225 # People's United Financial, Inc. 5,614 80,168 PNC Financial Services Group, Inc. (The) 3,586 301,367 * Popular, Inc. 1,497 46,257 Principal Financial Group, Inc. 4,015 188,063 ProAssurance Corp. 758 34,428 Progressive Corp. (The) 11,969 290,248 Prosperity Bancshares, Inc. 1,243 73,337 Protective Life Corp. 1,224 62,608 Prudential Financial, Inc. 3,276 264,308 Raymond James Financial, Inc. 2,300 114,310 * Realogy Holdings Corp. 1,935 81,367 # Regions Financial Corp. 18,864 191,281 Reinsurance Group of America, Inc. 1,142 87,603 # RenaissanceRe Holdings, Ltd. 899 90,988 SEI Investments Co. 2,095 67,836 * Signature Bank 740 87,927 SLM Corp. 12,251 315,463 State Street Corp. 3,101 200,201 SunTrust Banks, Inc. 3,844 147,071 * SVB Financial Group 1,203 128,348 T Rowe Price Group, Inc. 2,086 171,323 TD Ameritrade Holding Corp. 4,442 141,700 * TFS Financial Corp. 3,372 45,151 # Torchmark Corp. 1,482 118,115 Travelers Cos., Inc. (The) 4,677 423,643 U.S. Bancorp 16,340 666,345 Unum Group 3,614 120,057 Validus Holdings, Ltd. 1,707 63,278 Waddell & Reed Financial, Inc. Class A 1,546 104,278 Wells Fargo & Co. 44,451 2,206,548 # Willis Group Holdings P.L.C. 1,353 55,459 WR Berkley Corp. 2,841 125,686 XL Group P.L.C. 3,539 110,948 # Zions Bancorp. 3,054 88,322 ----------- Total Financials 25,833,362 ----------- U.S. LARGE CAP EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Health Care -- (10.7%) Abbott Laboratories 10,889 $ 421,840 AbbVie, Inc. 15,096 786,200 * Actavis P.L.C. 1,043 213,116 Aetna, Inc. 4,354 311,093 Agilent Technologies, Inc. 2,566 138,667 * Alexion Pharmaceuticals, Inc. 1,270 200,914 * Align Technology, Inc. 1,068 53,816 * Alkermes P.L.C. 1,468 67,910 Allergan, Inc. 2,691 446,275 #* Alnylam Pharmaceuticals, Inc. 496 24,567 AmerisourceBergen Corp. 2,073 135,118 Amgen, Inc. 6,929 774,316 #* athenahealth, Inc. 379 46,860 Baxter International, Inc. 4,871 354,560 Becton Dickinson and Co. 1,538 173,840 * Bio-Rad Laboratories, Inc. Class A 312 38,441 * Biogen Idec, Inc. 2,010 577,111 * BioMarin Pharmaceutical, Inc. 720 41,926 * Boston Scientific Corp. 18,737 236,274 Bristol-Myers Squibb Co. 10,938 547,884 #* Brookdale Senior Living, Inc. 1,978 62,979 * Bruker Corp. 2,980 61,567 Cardinal Health, Inc. 3,614 251,209 * CareFusion Corp. 2,831 110,579 * Celgene Corp. 3,401 499,981 * Centene Corp. 894 59,362 #* Cepheid, Inc. 361 15,696 * Cerner Corp. 2,100 107,730 Cigna Corp. 3,232 258,689 * Community Health Systems, Inc. 2,306 87,374 # Cooper Cos., Inc. (The) 548 72,287 * Covance, Inc. 992 87,574 Covidien P.L.C. 4,145 295,331 # CR Bard, Inc. 695 95,444 * Cubist Pharmaceuticals, Inc. 1,010 70,761 * DaVita HealthCare Partners, Inc. 4,057 281,150 # DENTSPLY International, Inc. 2,168 96,758 #* Edwards Lifesciences Corp. 1,163 94,750 Eli Lilly & Co. 11,327 669,426 * Endo International P.L.C. 2,720 171,210 * Express Scripts Holding Co. 7,288 485,235 * Forest Laboratories, Inc. 3,199 294,020 * Gilead Sciences, Inc. 14,615 1,147,131 * HCA Holdings, Inc. 2,237 116,324 #* Henry Schein, Inc. 1,169 133,535 #* Hologic, Inc. 4,740 99,469 #* Hospira, Inc. 2,014 92,241 Humana, Inc. 3,316 363,931 #* IDEXX Laboratories, Inc. 931 117,716 #* Illumina, Inc. 518 70,370 * Incyte Corp., Ltd. 1,226 59,535 #* Intercept Pharmaceuticals, Inc. 60 15,847 U.S. LARGE CAP EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------ ----------- Health Care -- (Continued) * Intuitive Surgical, Inc. 368 $ 133,106 #* Isis Pharmaceuticals, Inc. 909 24,188 * Jazz Pharmaceuticals P.L.C. 791 106,706 Johnson & Johnson 24,589 2,490,620 #* Laboratory Corp. of America Holdings 1,309 129,198 #* Mallinckrodt P.L.C. 1,113 79,279 McKesson Corp. 1,932 326,875 #* Medivation, Inc. 610 36,728 * MEDNAX, Inc. 1,894 112,219 Medtronic, Inc. 9,189 540,497 Merck & Co., Inc. 28,433 1,665,036 * Mettler-Toledo International, Inc. 249 58,047 #* Mylan, Inc. 3,915 198,804 Omnicare, Inc. 2,152 127,549 #* Opko Health, Inc. 4,868 40,258 # Patterson Cos., Inc. 2,261 92,023 # PerkinElmer, Inc. 2,208 92,670 Perrigo Co. P.L.C. 1,121 162,388 Pfizer, Inc. 58,972 1,844,644 #* Pharmacyclics, Inc. 151 14,282 #* Puma Biotechnology, Inc. 160 12,086 # Quest Diagnostics, Inc. 3,183 178,025 # Questcor Pharmaceuticals, Inc. 967 79,468 * Regeneron Pharmaceuticals, Inc. 662 196,541 # ResMed, Inc. 1,203 59,970 #* Salix Pharmaceuticals, Ltd. 1,026 112,860 #* Seattle Genetics, Inc. 987 37,980 #* Sirona Dental Systems, Inc. 889 66,871 St Jude Medical, Inc. 2,971 188,569 Stryker Corp. 1,690 131,397 * Taro Pharmaceutical Industries, Ltd. 307 34,485 Teleflex, Inc. 810 82,693 * Tenet Healthcare Corp. 1,922 86,644 #* Theravance, Inc. 1,010 27,189 Thermo Fisher Scientific, Inc. 2,740 312,360 #* United Therapeutics Corp. 1,083 108,311 UnitedHealth Group, Inc. 10,774 808,481 Universal Health Services, Inc. Class B 2,178 178,139 * Varian Medical Systems, Inc. 945 75,175 * Vertex Pharmaceuticals, Inc. 924 62,555 * Waters Corp. 679 66,909 WellPoint, Inc. 2,357 237,303 Zimmer Holdings, Inc. 2,861 276,945 ----------- Total Health Care 23,732,012 ----------- Industrials -- (11.8%) 3M Co. 6,041 840,243 Acuity Brands, Inc. 699 87,074 #* AECOM Technology Corp. 1,091 35,370 AGCO Corp. 2,645 147,327 Air Lease Corp. 1,200 43,044 Alaska Air Group, Inc. 2,518 236,893 U.S. LARGE CAP EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Industrials -- (Continued) Allegion P.L.C. 601 $ 29,659 # Alliant Techsystems, Inc. 918 132,394 Allison Transmission Holdings, Inc. 3,746 111,781 AMERCO 690 172,576 * American Airlines Group, Inc. 5,059 177,419 AMETEK, Inc. 3,369 177,614 AO Smith Corp. 1,079 50,454 #* Avis Budget Group, Inc. 1,925 101,236 * B/E Aerospace, Inc. 1,188 104,271 Babcock & Wilcox Co. (The) 2,510 87,323 Boeing Co. (The) 6,890 888,948 Carlisle Cos., Inc. 1,367 112,436 Caterpillar, Inc. 7,328 772,371 # CH Robinson Worldwide, Inc. 1,333 78,514 #* Chart Industries, Inc. 275 18,761 Chicago Bridge & Iron Co. NV 1,155 92,481 Cintas Corp. 1,588 93,581 #* Clean Harbors, Inc. 1,175 70,500 #* Colfax Corp. 1,023 73,636 Copa Holdings SA Class A 339 45,860 * Copart, Inc. 2,243 81,354 Crane Co. 1,416 102,986 CSX Corp. 9,190 259,342 Cummins, Inc. 1,655 249,657 Danaher Corp. 4,125 302,692 # Deere & Co. 3,939 367,666 Delta Air Lines, Inc. 9,196 338,689 # Donaldson Co., Inc. 1,206 50,761 Dover Corp. 2,389 206,410 Eaton Corp. P.L.C. 3,422 248,574 Emerson Electric Co. 6,739 459,465 Equifax, Inc. 1,707 120,873 Exelis, Inc. 5,024 93,145 # Expeditors International of Washington, Inc. 1,652 68,128 # Fastenal Co. 2,942 147,335 FedEx Corp. 3,686 502,217 Flowserve Corp. 1,455 106,288 Fluor Corp. 2,681 202,952 Fortune Brands Home & Security, Inc. 2,299 91,615 # Generac Holdings, Inc. 1,233 72,599 General Dynamics Corp. 3,076 336,668 General Electric Co. 89,722 2,412,625 * Genesee & Wyoming, Inc. Class A 1,105 109,406 Graco, Inc. 1,166 84,535 * Hertz Global Holdings, Inc. 12,626 359,462 * Hexcel Corp. 1,647 68,663 Honeywell International, Inc. 6,627 615,648 # Hubbell, Inc. Class A 100 11,210 # Hubbell, Inc. Class B 708 83,346 Huntington Ingalls Industries, Inc. 1,286 132,458 IDEX Corp. 1,366 101,863 * IHS, Inc. Class A 563 67,915 U.S. LARGE CAP EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Industrials -- (Continued) Illinois Tool Works, Inc. 3,735 $318,334 Ingersoll-Rand P.L.C. 4,135 247,273 Iron Mountain, Inc. 4,391 124,880 ITT Corp. 1,879 81,060 #* Jacobs Engineering Group, Inc. 1,750 100,975 JB Hunt Transport Services, Inc. 1,131 86,069 # Joy Global, Inc. 3,398 205,171 Kansas City Southern 1,252 126,302 KAR Auction Services, Inc. 3,024 90,055 KBR, Inc. 3,277 83,137 # Kennametal, Inc. 1,913 89,394 * Kirby Corp. 1,543 155,257 L-3 Communications Holdings, Inc. 1,502 173,286 Lennox International, Inc. 898 75,279 Lincoln Electric Holdings, Inc. 1,225 81,842 Lockheed Martin Corp. 2,573 422,332 # Manitowoc Co., Inc. (The) 3,271 103,952 # Manpowergroup, Inc. 1,315 106,962 Masco Corp. 2,836 56,975 * Middleby Corp. (The) 289 72,967 # MSC Industrial Direct Co., Inc. Class A 1,055 96,068 Nielsen Holdings NV 5,348 251,089 # Nordson Corp. 1,228 91,302 # Norfolk Southern Corp. 2,809 265,535 Northrop Grumman Corp. 2,279 276,921 #* Old Dominion Freight Line, Inc. 1,974 119,684 Oshkosh Corp. 2,396 133,002 Owens Corning 2,560 104,576 PACCAR, Inc. 3,880 248,242 Pall Corp. 978 82,299 Parker Hannifin Corp. 1,507 191,208 Pentair, Ltd. 2,883 214,178 # Pitney Bowes, Inc. 3,614 96,855 Precision Castparts Corp. 1,165 294,850 * Quanta Services, Inc. 2,828 99,772 Raytheon Co. 3,334 318,330 Republic Services, Inc. 5,827 204,469 Robert Half International, Inc. 2,289 102,547 Rockwell Automation, Inc. 1,308 155,887 # Rockwell Collins, Inc. 1,277 99,159 Rollins, Inc. 2,399 72,162 Roper Industries, Inc. 1,185 164,656 RR Donnelley & Sons Co. 3,166 55,722 # Ryder System, Inc. 2,034 167,154 * Sensata Technologies Holding NV 1,522 64,639 Snap-on, Inc. 786 91,176 #* SolarCity Corp. 830 44,198 Southwest Airlines Co. 11,880 287,140 * Spirit Aerosystems Holdings, Inc. Class A 2,120 63,664 * Spirit Airlines, Inc. 905 51,440 SPX Corp. 779 79,333 Stanley Black & Decker, Inc. 2,318 199,093 U.S. LARGE CAP EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------ ----------- Industrials -- (Continued) * Stericycle, Inc. 695 $ 80,926 * Teledyne Technologies, Inc. 733 68,066 # Terex Corp. 2,690 116,450 Textron, Inc. 5,029 205,686 Timken Co. (The) 1,838 115,941 Toro Co. (The) 800 50,832 Towers Watson & Co. Class A 1,050 117,831 TransDigm Group, Inc. 464 82,532 # Trinity Industries, Inc. 2,161 162,205 # Triumph Group, Inc. 1,050 68,051 Tyco International, Ltd. 3,933 160,860 Union Pacific Corp. 4,907 934,440 * United Continental Holdings, Inc. 4,705 192,293 # United Parcel Service, Inc. Class B 6,857 675,414 #* United Rentals, Inc. 2,490 233,637 United Technologies Corp. 8,698 1,029,234 URS Corp. 1,505 70,916 #* USG Corp. 1,479 44,163 # Valmont Industries, Inc. 742 110,491 * Verisk Analytics, Inc. Class A 1,605 96,444 * WABCO Holdings, Inc. 843 90,209 Wabtec Corp. 819 61,056 Waste Connections, Inc. 2,787 124,467 Waste Management, Inc. 5,965 265,144 Watsco, Inc. 448 46,104 #* WESCO International, Inc. 1,090 95,680 # WW Grainger, Inc. 592 150,605 Xylem, Inc. 1,924 72,323 ----------- Total Industrials 26,348,165 ----------- Information Technology -- (16.0%) #* 3D Systems Corp. 766 36,262 # Accenture P.L.C. Class A 6,164 494,476 Activision Blizzard, Inc. 13,959 279,320 * Adobe Systems, Inc. 2,414 148,920 * Akamai Technologies, Inc. 1,992 105,715 #* Alliance Data Systems Corp. 504 121,918 Altera Corp. 3,067 99,739 Amdocs, Ltd. 2,730 127,027 Amphenol Corp. Class A 1,652 157,518 Analog Devices, Inc. 3,684 188,952 * ANSYS, Inc. 672 51,280 * AOL, Inc. 748 32,022 Apple, Inc. 10,091 5,954,598 # Applied Materials, Inc. 6,908 131,666 * ARRIS Group, Inc. 1,905 49,701 * Arrow Electronics, Inc. 2,419 137,278 * Aspen Technology, Inc. 1,797 77,253 * Atmel Corp. 4,379 34,025 * Autodesk, Inc. 1,549 74,383 Automatic Data Processing, Inc. 4,727 368,517 Avago Technologies, Ltd. 2,108 133,858 U.S. LARGE CAP EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Information Technology -- (Continued) Avnet, Inc. 2,175 $ 93,808 #* Blackhawk Network Holdings, Inc. Class B 1,128 25,978 Broadcom Corp. Class A 7,659 235,974 Broadridge Financial Solutions, Inc. 2,827 108,387 * Brocade Communications Systems, Inc. 9,371 87,244 CA, Inc. 9,345 281,658 #* Cadence Design Systems, Inc. 3,905 60,762 Cisco Systems, Inc. 39,850 920,933 #* Citrix Systems, Inc. 714 42,347 * Cognizant Technology Solutions Corp. Class A 4,506 215,860 #* CommVault Systems, Inc. 531 25,700 Computer Sciences Corp. 4,187 247,787 #* Concur Technologies, Inc. 443 35,648 Corning, Inc. 10,227 213,847 * CoStar Group, Inc. 254 40,866 #* Cree, Inc. 1,039 49,010 #* Dolby Laboratories, Inc. Class A 900 35,865 DST Systems, Inc. 998 92,006 * eBay, Inc. 9,167 475,126 * EchoStar Corp. Class A 801 36,013 * Electronic Arts, Inc. 2,648 74,938 EMC Corp. 22,005 567,729 #* Equinix, Inc. 569 106,864 * F5 Networks, Inc. 663 69,728 * Facebook, Inc. Class A 11,203 669,715 # FactSet Research Systems, Inc. 720 76,680 FEI Co. 417 33,160 Fidelity National Information Services, Inc. 5,342 285,423 * First Solar, Inc. 1,827 123,304 * Fiserv, Inc. 4,131 251,082 * FleetCor Technologies, Inc. 614 70,076 FLIR Systems, Inc. 2,280 77,611 * Fortinet, Inc. 1,495 32,860 #* Freescale Semiconductor, Ltd. 1,923 42,248 * Gartner, Inc. 748 51,567 #* Genpact, Ltd. 3,191 53,800 # Global Payments, Inc. 1,604 107,195 * Google, Inc. Class A 1,744 932,831 * Google, Inc. Class C 1,744 918,495 Harris Corp. 1,214 89,253 Hewlett-Packard Co. 27,529 910,109 IAC/InterActiveCorp 1,389 92,063 * Informatica Corp. 1,367 48,460 * Ingram Micro, Inc. Class A 2,968 80,017 Intel Corp. 62,176 1,659,477 # International Business Machines Corp. 9,715 1,908,706 Intuit, Inc. 2,568 194,526 * IPG Photonics Corp. 922 59,589 Jabil Circuit, Inc. 6,235 107,616 Jack Henry & Associates, Inc. 1,594 87,925 * JDS Uniphase Corp. 2,615 33,132 * Juniper Networks, Inc. 6,597 162,880 U.S. LARGE CAP EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Information Technology -- (Continued) # KLA-Tencor Corp. 2,004 $ 128,236 * Knowles Corp. 1,194 33,348 #* Lam Research Corp. 2,260 130,199 # Leidos Holdings, Inc. 1,862 69,341 Linear Technology Corp. 2,132 94,874 #* LinkedIn Corp. Class A 448 68,755 LSI Corp. 8,502 94,712 Marvell Technology Group, Ltd. 7,065 112,051 MasterCard, Inc. Class A 10,160 747,268 Maxim Integrated Products, Inc. 3,491 113,248 # Microchip Technology, Inc. 1,659 78,869 * Micron Technology, Inc. 12,571 328,355 * MICROS Systems, Inc. 1,037 53,406 Microsoft Corp. 80,082 3,235,313 Motorola Solutions, Inc. 2,290 145,598 National Instruments Corp. 1,229 33,564 * NCR Corp. 1,488 45,399 NetApp, Inc. 4,863 173,171 #* NetSuite, Inc. 231 17,859 #* NeuStar, Inc. Class A 1,135 29,192 #* Nuance Communications, Inc. 4,220 67,900 NVIDIA Corp. 8,900 164,383 #* ON Semiconductor Corp. 6,489 61,061 Oracle Corp. 29,564 1,208,576 * Palo Alto Networks, Inc. 731 46,477 #* Pandora Media, Inc. 1,852 43,374 Paychex, Inc. 3,307 138,266 * PTC, Inc. 1,960 69,325 QUALCOMM, Inc. 12,382 974,587 * Rackspace Hosting, Inc. 1,107 32,125 * Red Hat, Inc. 1,037 50,450 #* Salesforce.com, Inc. 2,794 144,310 SanDisk Corp. 4,658 395,790 Science Applications International Corp. 695 27,105 # Seagate Technology P.L.C. 3,805 200,067 #* ServiceNow, Inc. 611 30,379 * Skyworks Solutions, Inc. 3,958 162,476 Solera Holdings, Inc. 1,201 77,801 * Splunk, Inc. 508 27,722 * SS&C Technologies Holdings, Inc. 827 32,187 #* Stratasys, Ltd. 868 84,083 #* SunEdison, Inc. 2,224 42,768 #* SunPower Corp. 979 32,718 Symantec Corp. 9,842 199,596 * Synopsys, Inc. 2,200 82,764 #* Syntel, Inc. 587 47,148 TE Connectivity, Ltd. 3,629 214,038 #* Teradata Corp. 1,031 46,869 #* Teradyne, Inc. 2,722 48,098 Texas Instruments, Inc. 9,101 413,640 * TIBCO Software, Inc. 2,026 39,770 Total System Services, Inc. 4,493 142,743 U.S. LARGE CAP EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------ ----------- Information Technology -- (Continued) #* Trimble Navigation, Ltd. 1,282 $ 49,267 #* Ubiquiti Networks, Inc. 923 35,748 * Ultimate Software Group, Inc. (The) 427 51,082 #* Vantiv, Inc. Class A 2,246 69,064 #* VeriSign, Inc. 871 41,094 Visa, Inc. Class A 3,637 736,893 #* VMware, Inc. Class A 504 46,625 Western Digital Corp. 4,566 402,402 # Western Union Co. (The) 4,442 70,495 * WEX, Inc. 733 70,346 #* Workday, Inc. Class A 405 29,593 Xerox Corp. 26,208 316,855 Xilinx, Inc. 1,794 84,659 * Yahoo!, Inc. 5,456 196,143 #* Yelp, Inc. 458 26,711 #* Zillow, Inc. Class A 214 23,262 #* Zynga, Inc. Class A 11,278 45,676 ----------- Total Information Technology 35,485,575 ----------- Materials -- (4.1%) Air Products & Chemicals, Inc. 1,920 225,638 # Airgas, Inc. 1,168 124,112 Albemarle Corp. 1,942 130,192 # Alcoa, Inc. 18,002 242,487 # Allegheny Technologies, Inc. 2,060 84,872 # Aptargroup, Inc. 1,487 100,254 Ashland, Inc. 1,567 151,372 Avery Dennison Corp. 2,548 123,986 Ball Corp. 1,311 73,665 # Bemis Co., Inc. 2,597 104,503 # Celanese Corp. Series A 2,382 146,326 CF Industries Holdings, Inc. 1,602 392,762 # Cliffs Natural Resources, Inc. 2,534 44,902 * Crown Holdings, Inc. 1,224 57,736 # Cytec Industries, Inc. 506 48,232 Domtar Corp. 400 37,344 Dow Chemical Co. (The) 13,687 682,981 Eagle Materials, Inc. 718 59,831 Eastman Chemical Co. 2,914 254,013 Ecolab, Inc. 2,292 239,835 # EI du Pont de Nemours & Co. 7,731 520,451 FMC Corp. 1,249 96,173 Freeport-McMoRan Copper & Gold, Inc. 12,588 432,650 Huntsman Corp. 8,597 215,355 International Flavors & Fragrances, Inc. 776 76,452 International Paper Co. 4,988 232,690 LyondellBasell Industries NV Class A 5,904 546,120 # Martin Marietta Materials, Inc. 615 76,463 # MeadWestvaco Corp. 2,103 82,164 Monsanto Co. 4,389 485,862 Mosaic Co. (The) 2,358 117,994 # NewMarket Corp. 233 86,751 U.S. LARGE CAP EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Materials -- (Continued) Newmont Mining Corp. 5,938 $ 147,441 # Nucor Corp. 5,695 294,716 * Owens-Illinois, Inc. 3,978 126,421 Packaging Corp. of America 1,261 84,020 # PolyOne Corp. 300 11,241 PPG Industries, Inc. 1,352 261,774 Praxair, Inc. 2,796 365,018 Reliance Steel & Aluminum Co. 1,296 91,783 Rock-Tenn Co. Class A 1,250 119,513 Rockwood Holdings, Inc. 1,527 108,493 # Royal Gold, Inc. 1,237 81,889 RPM International, Inc. 2,812 119,960 Scotts Miracle-Gro Co. (The) Class A 1,330 81,409 Sealed Air Corp. 3,301 113,257 Sherwin-Williams Co. (The) 803 160,472 # Sigma-Aldrich Corp. 1,017 97,846 Sonoco Products Co. 2,528 106,378 # Southern Copper Corp. 1,000 30,140 Steel Dynamics, Inc. 3,997 73,025 # United States Steel Corp. 3,909 101,712 Valspar Corp. (The) 815 59,528 Vulcan Materials Co. 1,703 109,895 # Westlake Chemical Corp. 1,242 88,430 * WR Grace & Co. 679 62,536 ---------- Total Materials 9,191,065 ---------- Real Estate Investment Trusts -- (0.1%) Crown Castle International Corp. 2,609 189,753 ---------- Telecommunication Services -- (2.5%) AT&T, Inc. 65,485 2,337,815 # CenturyLink, Inc. 6,007 209,704 # Frontier Communications Corp. 28,526 169,730 #* Level 3 Communications, Inc. 2,093 90,062 #* SBA Communications Corp. Class A 1,099 98,646 #* Sprint Corp. 9,676 82,246 Telephone & Data Systems, Inc. 1,594 43,341 #* tw telecom, Inc. 3,174 97,410 # United States Cellular Corp. 389 16,159 Verizon Communications, Inc. 46,285 2,162,898 # Windstream Holdings, Inc. 20,731 188,030 ---------- Total Telecommunication Services 5,496,041 ---------- Utilities -- (2.1%) AES Corp. 5,107 73,796 AGL Resources, Inc. 1,503 81,162 Alliant Energy Corp. 727 42,515 Ameren Corp. 1,637 67,624 American Electric Power Co., Inc. 3,531 190,003 American Water Works Co., Inc. 1,265 57,595 # Aqua America, Inc. 2,328 58,410 # Atmos Energy Corp. 1,263 64,464 U.S. LARGE CAP EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ------------ Utilities -- (Continued) #* Calpine Corp. 6,708 $ 153,814 CenterPoint Energy, Inc. 2,823 69,897 CMS Energy Corp. 1,578 47,829 Consolidated Edison, Inc. 1,747 101,378 Dominion Resources, Inc. 4,041 293,134 DTE Energy Co. 1,163 90,877 Duke Energy Corp. 5,073 377,888 Edison International 1,894 107,125 Entergy Corp. 900 65,250 Exelon Corp. 4,386 153,642 FirstEnergy Corp. 1,237 41,749 Great Plains Energy, Inc. 2,072 55,592 # Integrys Energy Group, Inc. 749 45,899 ITC Holdings Corp. 1,920 70,982 MDU Resources Group, Inc. 1,180 41,796 # National Fuel Gas Co. 1,040 76,586 NextEra Energy, Inc. 3,163 315,826 # NiSource, Inc. 1,904 69,153 Northeast Utilities 2,114 99,908 NRG Energy, Inc. 4,265 139,551 OGE Energy Corp. 1,295 48,342 # ONE Gas, Inc. 692 25,313 # Pepco Holdings, Inc. 3,375 90,315 PG&E Corp. 3,219 146,722 Pinnacle West Capital Corp. 591 33,066 PPL Corp. 4,639 154,664 Public Service Enterprise Group, Inc. 3,297 135,078 Questar Corp. 2,315 56,208 # SCANA Corp. 703 37,737 Sempra Energy 1,622 159,945 # Southern Co. (The) 6,442 295,237 # TECO Energy, Inc. 3,130 56,215 UGI Corp. 3,088 144,179 # Westar Energy, Inc. 1,564 56,116 # Wisconsin Energy Corp. 1,420 68,842 # Xcel Energy, Inc. 3,099 98,765 ------------ Total Utilities 4,660,189 ------------ TOTAL COMMON STOCKS 197,133,569 ------------ RIGHTS/WARRANTS -- (0.0%) (o)* Community Health Systems, Inc. Rights 01/04/16 4,045 243 ------------ TEMPORARY CASH INVESTMENTS -- (0.3%) State Street Institutional Liquid Reserves, 0.074% 663,556 663,556 ------------ U.S. LARGE CAP EQUITY PORTFOLIO CONTINUED SHARES/ FACE AMOUNT (000) VALUE+ --------- ------------ SECURITIES LENDING COLLATERAL -- (11.1%) (S)@ DFA Short Term Investment Fund 2,124,238 $ 24,577,432 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $200,177,255) $222,374,800 ============ U.S. LARGE CAP EQUITY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, 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 $ 26,334,546 -- -- $ 26,334,546 Consumer Staples 16,502,650 -- -- 16,502,650 Energy 23,360,211 -- -- 23,360,211 Financials 25,833,362 -- -- 25,833,362 Health Care 23,732,012 -- -- 23,732,012 Industrials 26,348,165 -- -- 26,348,165 Information Technology 35,485,575 -- -- 35,485,575 Materials 9,191,065 -- -- 9,191,065 Real Estate Investment Trusts 189,753 -- -- 189,753 Telecommunication Services 5,496,041 -- -- 5,496,041 Utilities 4,660,189 -- -- 4,660,189 Rights/Warrants -- $ 243 -- 243 Temporary Cash Investments 663,556 -- -- 663,556 Securities Lending Collateral -- 24,577,432 -- 24,577,432 ------------ ----------- -- ------------ TOTAL $197,797,125 $24,577,675 -- $222,374,800 ============ =========== == ============ U.S. TARGETED VALUE PORTFOLIO SCHEDULE OF INVESTMENTS APRIL 30, 2014 (UNAUDITED) SHARES VALUE+ ------- ----------- COMMON STOCKS -- (84.8%) Consumer Discretionary -- (11.3%) * 1-800-Flowers.com, Inc. Class A 193,518 $ 1,054,673 Aaron's, Inc. 107,915 3,180,255 # Abercrombie & Fitch Co. Class A 31,393 1,154,007 # AH Belo Corp. Class A 96,709 1,113,121 * ALCO Stores, Inc. 2,172 21,915 * Ambassadors Group, Inc. 6,599 27,980 AMCON Distributing Co. 228 18,345 #* America's Car-Mart, Inc. 55,801 2,016,648 * Apollo Education Group, Inc. Class A 15,572 449,408 Ark Restaurants Corp. 11,690 248,179 #* Ascent Capital Group, Inc. Class A 61,337 4,218,145 * Ballantyne Strong, Inc. 68,354 308,960 #* Barnes & Noble, Inc. 321,067 5,265,499 # Bassett Furniture Industries, Inc. 51,875 715,356 # Beasley Broadcasting Group, Inc. Class A 15,520 119,504 * Beazer Homes USA, Inc. 77,276 1,465,153 # bebe stores, Inc. 430,654 2,174,803 Big 5 Sporting Goods Corp. 114,346 1,396,165 * Big Lots, Inc. 8,300 327,850 * Biglari Holdings, Inc. 8,095 3,472,917 #* BJ's Restaurants, Inc. 22,690 647,799 # Bob Evans Farms, Inc. 147,825 6,928,558 #* Body Central Corp. 1,514 1,575 * Books-A-Million, Inc. 53,259 125,691 Bowl America, Inc. Class A 14,589 214,823 #* Boyd Gaming Corp. 273,360 3,231,115 #* Bridgepoint Education, Inc. 103,777 1,644,865 * Bright Horizons Family Solutions, Inc. 15,450 630,051 Brown Shoe Co., Inc. 223,020 5,261,042 * Build-A-Bear Workshop, Inc. 110,392 1,238,598 #* Cabela's, Inc. 155,654 10,212,459 #* Cache, Inc. 97,561 259,512 #* Caesars Entertainment Corp. 11,176 206,421 # Callaway Golf Co. 344,701 3,002,346 #* Cambium Learning Group, Inc. 60,806 136,205 * Canterbury Park Holding Corp. 9,680 108,900 * Career Education Corp. 141,654 1,022,742 * Carmike Cinemas, Inc. 10,080 298,973 # Carriage Services, Inc. 72,347 1,164,063 * Carrols Restaurant Group, Inc. 56,541 379,390 # Cato Corp. (The) Class A 45,055 1,283,617 #* Cavco Industries, Inc. 34,087 2,657,082 #* Central European Media Enterprises, Ltd. Class A 9,800 26,852 #* Charles & Colvard, Ltd. 35,582 77,213 # Chico's FAS, Inc. 289,403 4,595,720 # Children's Place Retail Stores, Inc. (The) 65,172 3,128,256 * Christopher & Banks Corp. 112,735 703,466 Churchill Downs, Inc. 63,679 5,592,927 * Citi Trends, Inc. 47,996 815,452 Clear Channel Outdoor Holdings, Inc. Class A 12,626 101,261 * Coast Distribution System, Inc. (The) 1,305 4,176 U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Consumer Discretionary -- (Continued) * Cobra Electronics Corp. 24,371 $ 80,424 # Collectors Universe, Inc. 6,053 142,124 Columbia Sportswear Co. 1,639 140,921 #* Conn's, Inc. 100,646 4,451,573 Cooper Tire & Rubber Co. 6,800 171,020 * Cooper-Standard Holding, Inc. 280 18,970 Core-Mark Holding Co., Inc. 62,356 5,022,152 #* Corinthian Colleges, Inc. 485,524 558,353 * Crocs, Inc. 245,015 3,707,077 CSS Industries, Inc. 17,513 419,787 CTC Media, Inc. 78,164 677,682 Culp, Inc. 31,732 572,763 * Cumulus Media, Inc. Class A 436,659 2,798,984 # Darden Restaurants, Inc. 213,933 10,634,609 * Del Frisco's Restaurant Group, Inc. 440 11,444 #* dELiA*s, Inc. 73,478 62,089 #* Delta Apparel, Inc. 33,047 503,306 Destination Maternity Corp. 6,542 161,326 #* Destination XL Group, Inc. 203,977 1,101,476 # DeVry Education Group, Inc. 203,239 9,151,852 Dillard's, Inc. Class A 211,147 20,677,626 DineEquity, Inc. 84,469 6,403,595 * Dixie Group, Inc. (The) 36,313 547,237 #* Dorman Products, Inc. 2,734 157,342 #* Dover Downs Gaming & Entertainment, Inc. 38,372 55,639 Dover Motorsports, Inc. 12,359 28,920 # DR Horton, Inc. 527,875 11,761,055 #* DreamWorks Animation SKG, Inc. Class A 244,014 5,863,656 #* Education Management Corp. 39,767 157,875 Educational Development Corp. 2,346 9,102 #* Emerson Radio Corp. 89,291 181,261 #* Entercom Communications Corp. Class A 47,847 516,748 # Escalade, Inc. 3,943 58,041 # Ethan Allen Interiors, Inc. 38,760 941,093 * EW Scripps Co. Class A 251,388 4,306,276 (o)#* FAB Universal Corp. 14,476 33,338 #* Famous Dave's Of America, Inc. 393 10,411 * Federal-Mogul Holdings Corp. 173,240 2,983,193 Finish Line, Inc. (The) Class A 171,072 4,709,612 Flexsteel Industries, Inc. 21,493 737,640 Foot Locker, Inc. 296,273 13,785,583 Fred's, Inc. Class A 190,447 3,469,944 # Frisch's Restaurants, Inc. 10,837 256,620 #* FTD Cos., Inc. 120,562 3,657,851 #* Fuel Systems Solutions, Inc. 89,701 940,066 * Full House Resorts, Inc. 75,264 150,152 #* G-III Apparel Group, Ltd. 69,499 4,987,943 * Gaiam, Inc. Class A 49,050 361,989 # GameStop Corp. Class A 635,798 25,228,465 #* Gaming Partners International Corp. 17,120 144,664 Gannett Co., Inc. 480,660 13,059,532 * Geeknet, Inc. 560 8,288 U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Consumer Discretionary -- (Continued) #* Genesco, Inc. 87,904 $ 6,713,228 Graham Holdings Co. Class B 31,543 21,172,608 #* Gray Television, Inc. 333,110 3,747,487 # Group 1 Automotive, Inc. 165,440 11,933,187 Guess?, Inc. 24,000 645,840 * Hallwood Group, Inc. (The) 101 1,238 # Harte-Hanks, Inc. 239,638 1,926,690 Haverty Furniture Cos., Inc. 106,089 2,709,513 Haverty Furniture Cos., Inc. Class A 844 21,590 * Helen of Troy, Ltd. 162,968 10,218,094 #* hhgregg, Inc. 125,798 1,084,379 * Hollywood Media Corp. 6,339 7,924 Hooker Furniture Corp. 54,414 753,634 #* Iconix Brand Group, Inc. 354,283 15,057,027 International Speedway Corp. Class A 133,179 4,187,148 * Isle of Capri Casinos, Inc. 147,406 1,002,361 # JAKKS Pacific, Inc. 54,360 476,194 #* JC Penney Co., Inc. 138,300 1,178,316 John Wiley & Sons, Inc. Class A 20,850 1,198,041 # Johnson Outdoors, Inc. Class A 25,140 526,180 * Jos A Bank Clothiers, Inc. 14,693 948,433 * Journal Communications, Inc. Class A 314,796 2,524,664 #* K12, Inc. 29,397 696,121 # KB Home 91,070 1,503,566 * Kirkland's, Inc. 89,444 1,530,387 #* Krispy Kreme Doughnuts, Inc. 90,886 1,594,140 La-Z-Boy, Inc. 254,916 6,176,615 * Lakeland Industries, Inc. 27,527 195,442 #* Lands' End, Inc. 2,034 56,240 Lear Corp. 176,869 14,690,739 #* Lee Enterprises, Inc. 35,600 143,112 Lennar Corp. Class B 61,143 1,988,370 * Liberty Ventures Series A 69,736 4,047,477 #* Life Time Fitness, Inc. 24,798 1,190,304 Lifetime Brands, Inc. 57,659 1,101,287 # Lincoln Educational Services Corp. 38,993 159,091 Lithia Motors, Inc. Class A 42,873 3,184,606 * Live Nation Entertainment, Inc. 924,308 19,299,551 * Loral Space & Communications, Inc. 35,122 2,528,433 #* Luby's, Inc. 122,762 665,370 * M/I Homes, Inc. 89,060 1,983,366 * Madison Square Garden Co. (The) Class A 76,620 4,183,452 Marcus Corp. (The) 106,855 1,787,684 * MarineMax, Inc. 133,003 2,136,028 * Marriott Vacations Worldwide Corp. 91,787 5,000,556 #* Martha Stewart Living Omnimedia, Inc. Class A 42,931 167,860 # Matthews International Corp. Class A 49,126 1,982,234 #* McClatchy Co. (The) Class A 191,458 1,049,190 # MDC Holdings, Inc. 166,301 4,589,908 #* Media General, Inc. Class A 21,681 332,153 Men's Wearhouse, Inc. (The) 276,271 13,089,720 # Meredith Corp. 125,477 5,529,771 U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Consumer Discretionary -- (Continued) * Meritage Homes Corp. 137,185 $ 5,292,597 * Modine Manufacturing Co. 216,890 3,574,347 * Monarch Casino & Resort, Inc. 41,176 660,463 * Motorcar Parts of America, Inc. 51,014 1,399,824 Movado Group, Inc. 87,835 3,450,159 * MTR Gaming Group, Inc. 43,655 220,894 * Murphy USA, Inc. 98,994 4,207,245 NACCO Industries, Inc. Class A 33,768 1,809,627 * Nathan's Famous, Inc. 3,570 175,930 * Nautilus, Inc. 3,766 31,371 #* New York & Co., Inc. 198,583 832,063 # New York Times Co. (The) Class A 41,894 673,656 * Nobility Homes, Inc. 946 10,406 #* Office Depot, Inc. 978,297 4,001,235 #* Orbitz Worldwide, Inc. 17,745 130,426 * Orient-Express Hotels, Ltd. Class A 477,974 6,261,459 #* P&F Industries, Inc. Class A 1,458 11,956 #* Pacific Sunwear of California, Inc. 111,913 322,309 #* Penn National Gaming, Inc. 65,632 732,453 Penske Automotive Group, Inc. 224,615 10,300,844 #* Pep Boys-Manny, Moe & Jack (The) 274,328 2,803,632 * Perfumania Holdings, Inc. 13,797 91,474 #* Perry Ellis International, Inc. 82,106 1,239,801 #* Pinnacle Entertainment, Inc. 144,245 3,356,581 PulteGroup, Inc. 899,726 16,545,961 #* Quiksilver, Inc. 744,504 4,779,716 #* Radio One, Inc. Class D 26,961 121,864 #* RadioShack Corp. 225,355 322,258 * Reading International, Inc. Class A 8,787 62,212 * Red Lion Hotels Corp. 90,325 519,369 #* Red Robin Gourmet Burgers, Inc. 75,879 5,158,254 # Regis Corp. 298,372 3,920,608 # Rent-A-Center, Inc. 325,902 9,519,597 RG Barry Corp. 28,514 521,236 #* Rick's Cabaret International, Inc. 50,022 505,222 Rocky Brands, Inc. 34,614 506,749 #* Ruby Tuesday, Inc. 337,423 2,601,531 # Ryland Group, Inc. (The) 146,984 5,642,716 Saga Communications, Inc. Class A 16,217 718,413 # Salem Communications Corp. Class A 29,846 262,943 # Scholastic Corp. 150,930 4,967,106 #* Scientific Games Corp. Class A 148,261 1,776,167 #* Sears Holdings Corp. 6,765 296,375 Service Corp. International 207,927 3,902,790 #* Shiloh Industries, Inc. 53,877 1,063,532 Shoe Carnival, Inc. 103,151 2,355,969 #* Shutterfly, Inc. 29,100 1,191,063 Signet Jewelers, Ltd. 91,941 9,315,462 * Sizmek, Inc. 112,174 1,074,627 * Skechers U.S.A., Inc. Class A 268,478 11,004,913 * Skullcandy, Inc. 45,469 350,111 * Skyline Corp. 27,646 140,995 U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ --------- ------------ Consumer Discretionary -- (Continued) # Sonic Automotive, Inc. Class A 196,388 $ 4,780,084 * Spanish Broadcasting System, Inc. Class A 16,642 105,510 Spartan Motors, Inc. 157,816 838,003 # Speedway Motorsports, Inc. 190,470 3,464,649 * Sport Chalet, Inc. Class B 2,311 2,935 # Stage Stores, Inc. 175,507 3,366,224 Standard Motor Products, Inc. 160,707 6,105,259 * Stanley Furniture Co., Inc. 49,285 143,912 # Stein Mart, Inc. 188,192 2,352,400 * Steiner Leisure, Ltd. 2,821 121,783 * Stoneridge, Inc. 87,832 938,924 Strattec Security Corp. 5,513 368,324 Superior Industries International, Inc. 152,418 3,222,116 # Superior Uniform Group, Inc. 6,639 107,950 #* Systemax, Inc. 63,565 1,099,039 #* Tandy Leather Factory, Inc. 40,081 392,393 * Toll Brothers, Inc. 178,443 6,109,888 # Trans World Entertainment Corp. 5,565 18,198 #* Trinity Place Holdings, Inc. 37,307 236,899 #* Tuesday Morning Corp. 198,053 2,768,781 * Unifi, Inc. 96,247 2,130,909 * Universal Electronics, Inc. 52,566 1,963,340 Universal Technical Institute, Inc. 13,677 164,261 # Value Line, Inc. 1,845 26,900 * Valuevision Media, Inc. Class A 72,468 339,150 * Visteon Corp. 21,237 1,843,584 #* Vitamin Shoppe, Inc. 86,073 4,121,175 * VOXX International Corp. 100,744 1,183,742 * Wells-Gardner Electronics Corp. 22,378 38,266 # Wendy's Co. (The) 2,361,897 19,627,364 * West Marine, Inc. 115,748 1,238,504 #* Wet Seal, Inc. (The) Class A 380,337 429,781 Weyco Group, Inc. 14,578 365,762 * William Lyon Homes Class A 505 13,180 # Wolverine World Wide, Inc. 62,130 1,745,853 * Zagg, Inc. 9,677 42,095 #* Zale Corp. 182,634 3,906,541 ------------ Total Consumer Discretionary 658,107,460 ------------ Consumer Staples -- (2.8%) # Alico, Inc. 10,173 355,241 * Alliance One International, Inc. 444,232 1,141,676 # Andersons, Inc. (The) 169,476 10,556,660 * Boulder Brands, Inc. 280,158 4,135,132 * Bridgford Foods Corp. 1,048 10,381 # Cal-Maine Foods, Inc. 38,874 2,318,057 # Casey's General Stores, Inc. 38,642 2,653,160 CCA Industries, Inc. 24,286 73,587 #* Central Garden and Pet Co. 79,373 645,303 #* Central Garden and Pet Co. Class A 193,017 1,596,251 * Chiquita Brands International, Inc. 229,559 2,635,337 Coca-Cola Bottling Co. Consolidated 15,507 1,275,141 U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ --------- ------------ Consumer Staples -- (Continued) * Constellation Brands, Inc. Class A 152,269 $ 12,157,157 * Constellation Brands, Inc. Class B 157 12,389 #* Craft Brew Alliance, Inc. 59,046 883,919 * Darling International, Inc. 151,919 3,039,899 # Dean Foods Co. 123,679 1,959,075 * Elizabeth Arden, Inc. 77,799 2,858,335 Energizer Holdings, Inc. 86,178 9,625,221 * Farmer Bros. Co. 21,013 414,166 # Fresh Del Monte Produce, Inc. 310,620 8,973,812 Golden Enterprises, Inc. 17,103 75,253 # Griffin Land & Nurseries, Inc. 10,781 314,805 #* Hain Celestial Group, Inc. (The) 101,901 8,765,524 # Ingles Markets, Inc. Class A 62,571 1,438,507 Ingredion, Inc. 122,815 8,652,317 # Inter Parfums, Inc. 95,073 3,478,721 # John B. Sanfilippo & Son, Inc. 38,315 883,161 * Mannatech, Inc. 3,902 63,486 # MGP Ingredients, Inc. 55,785 325,784 #* Natural Alternatives International, Inc. 12,132 69,152 * Nutraceutical International Corp. 57,498 1,432,850 # Oil-Dri Corp. of America 20,822 697,745 * Omega Protein Corp. 111,384 1,265,322 # Orchids Paper Products Co. 25,790 692,977 * Pantry, Inc. (The) 109,950 1,653,648 * Pilgrim's Pride Corp. 181,851 3,975,263 Pinnacle Foods, Inc. 44,669 1,357,938 #* Post Holdings, Inc. 183,305 9,579,519 #* Primo Water Corp. 4,300 19,307 # Reliv International, Inc. 600 1,326 # Sanderson Farms, Inc. 93,079 7,657,609 * Seaboard Corp. 1,692 4,125,096 * Seneca Foods Corp. Class A 31,294 888,750 #* Seneca Foods Corp. Class B 189 5,772 # Snyder's-Lance, Inc. 53,476 1,420,323 Spartan Stores, Inc. 194,311 4,185,459 Spectrum Brands Holdings, Inc. 105,580 8,111,711 #* Susser Holdings Corp. 129,264 10,002,448 # Tootsie Roll Industries, Inc. 11,262 317,476 * TreeHouse Foods, Inc. 23,752 1,777,600 # Universal Corp. 123,817 6,756,694 # Village Super Market, Inc. Class A 20,181 488,178 # Weis Markets, Inc. 77,704 3,581,377 ------------ Total Consumer Staples 161,380,997 ------------ Energy -- (9.3%) Adams Resources & Energy, Inc. 17,359 1,250,890 Alon USA Energy, Inc. 285,694 4,653,955 #* Alpha Natural Resources, Inc. 1,178,592 5,067,946 #* Approach Resources, Inc. 87,580 1,817,285 # Arch Coal, Inc. 477,446 2,186,703 * Atwood Oceanics, Inc. 24,383 1,208,421 * Barnwell Industries, Inc. 21,188 65,153 U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Energy -- (Continued) #* Basic Energy Services, Inc. 241,952 $ 6,392,372 #* Bill Barrett Corp. 259,577 6,146,783 Bolt Technology Corp. 41,081 693,447 #* Bonanza Creek Energy, Inc. 124,723 6,064,032 #* BPZ Resources, Inc. 410,902 1,109,435 # Bristow Group, Inc. 161,348 12,391,526 #* C&J Energy Services, Inc. 134,466 4,042,048 #* Cal Dive International, Inc. 84,019 124,348 * Callon Petroleum Co. 133,992 1,230,047 * Carrizo Oil & Gas, Inc. 122,913 6,762,673 Cimarex Energy Co. 29,912 3,563,117 * Clayton Williams Energy, Inc. 20,632 2,980,911 * Cloud Peak Energy, Inc. 229,484 4,518,540 # Comstock Resources, Inc. 277,161 7,705,076 * Contango Oil & Gas Co. 39,304 1,888,164 # Dawson Geophysical Co. 47,151 1,332,487 Delek US Holdings, Inc. 210,572 6,736,198 # Denbury Resources, Inc. 85,500 1,438,110 DHT Holdings, Inc. 3,249 25,375 #* Emerald Oil, Inc. 139,961 989,524 #* Endeavour International Corp. 170,330 585,935 # Energy XXI Bermuda, Ltd. 101,567 2,430,498 * ENGlobal Corp. 46,727 99,996 EnLink Midstream LLC 109,720 3,876,408 * EPL Oil & Gas, Inc. 189,781 7,428,028 * Era Group, Inc. 102,587 2,928,859 #* Escalera Resources Co. 52,252 142,648 # Exterran Holdings, Inc. 371,091 15,964,335 #* Forbes Energy Services, Ltd. 10,414 43,114 * Forum Energy Technologies, Inc. 51,173 1,528,026 * Gastar Exploration, Inc. 169,503 1,123,805 # Green Plains Renewable Energy, Inc. 181,915 5,439,259 Gulf Island Fabrication, Inc. 73,674 1,477,900 Gulfmark Offshore, Inc. Class A 154,301 6,945,088 #* Harvest Natural Resources, Inc. 198,761 896,412 * Helix Energy Solutions Group, Inc. 568,915 13,676,717 #* Hercules Offshore, Inc. 840,892 3,758,787 * HKN, Inc. 1,137 71,068 #* Hornbeck Offshore Services, Inc. 193,454 8,014,799 * Key Energy Services, Inc. 444,095 4,458,714 Knightsbridge Tankers, Ltd. 63,086 753,878 * Kodiak Oil & Gas Corp. 201,596 2,562,285 #* Magnum Hunter Resources Corp. 499,141 4,242,699 #* Matador Resources Co. 134,710 3,868,871 * Matrix Service Co. 143,815 4,453,951 #* McDermott International, Inc. 371,819 2,688,251 #* Mexco Energy Corp. 6,763 49,032 #* Miller Energy Resources, Inc. 32,924 158,694 * Mitcham Industries, Inc. 57,917 799,255 Nabors Industries, Ltd. 1,097,257 28,001,999 * Natural Gas Services Group, Inc. 61,745 1,894,954 * Newfield Exploration Co. 414,409 14,027,745 U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------- ------------ Energy -- (Continued) #* Newpark Resources, Inc. 524,786 $ 6,318,423 # Nordic American Tankers, Ltd. 3,000 25,890 #* Northern Oil and Gas, Inc. 116,515 1,797,826 #* Nuverra Environmental Solutions, Inc. 25,263 429,724 * Oil States International, Inc. 76,470 7,428,296 #* Overseas Shipholding Group, Inc. 142,039 809,622 * Pacific Drilling SA 27,279 270,335 # Panhandle Oil and Gas, Inc. Class A 3,104 136,110 * Parker Drilling Co. 658,047 4,362,852 Patterson-UTI Energy, Inc. 740,622 24,092,434 #* PDC Energy, Inc. 187,492 11,937,616 Peabody Energy Corp. 230,642 4,384,504 #* Penn Virginia Corp. 369,181 6,143,172 * PetroQuest Energy, Inc. 3,108 18,710 #* PHI, Inc. Non-Voting 63,165 2,829,792 * Pioneer Energy Services Corp. 336,370 5,035,459 * Pyramid Oil Co. 100 516 QEP Resources, Inc. 371,563 11,403,268 * Renewable Energy Group, Inc. 60,734 714,839 * Rex Energy Corp. 399,863 8,421,115 #* Rosetta Resources, Inc. 123,197 5,832,146 * Rowan Cos. P.L.C. Class A 691,059 21,367,544 #* SandRidge Energy, Inc. 795,665 5,458,262 Scorpio Tankers, Inc. 248,970 2,243,220 #* SEACOR Holdings, Inc. 106,689 8,896,796 SemGroup Corp. Class A 67,640 4,320,843 # Ship Finance International, Ltd. 172,469 3,040,628 SM Energy Co. 98,540 7,304,770 * Steel Excel, Inc. 42,674 1,382,638 * Stone Energy Corp. 226,699 11,119,586 Superior Energy Services, Inc. 633,713 20,861,832 #* Swift Energy Co. 231,376 2,852,866 #* Synergy Resources Corp. 9,843 114,573 # Teekay Corp. 73,629 4,131,323 #* Tesco Corp. 81,772 1,635,440 Tesoro Corp. 301,142 16,951,283 * TETRA Technologies, Inc. 418,348 5,229,350 * TGC Industries, Inc. 36,617 185,282 Tidewater, Inc. 305,591 15,563,750 #* Triangle Petroleum Corp. 269,752 2,595,014 * Unit Corp. 226,934 14,966,297 #* Vaalco Energy, Inc. 266,869 2,460,532 # W&T Offshore, Inc. 174,669 3,353,645 * Warren Resources, Inc. 201,472 1,021,463 # Western Refining, Inc. 390,087 16,968,784 * Whiting Petroleum Corp. 196,573 14,491,362 * Willbros Group, Inc. 320,389 3,559,522 * WPX Energy, Inc. 548,538 11,672,889 ------------ Total Energy 542,918,719 ------------ Financials -- (21.0%) * 1st Constitution Bancorp 464 4,835 U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Financials -- (Continued) 1st Source Corp. 97,177 $ 2,865,750 # 1st United Bancorp, Inc. 36,488 267,092 # Access National Corp. 15,412 227,327 Alexander & Baldwin, Inc. 201,631 7,522,853 * Alleghany Corp. 2,190 893,476 Alliance Bancorp, Inc. of Pennsylvania 770 12,016 Allied World Assurance Co. Holdings AG 172,670 18,594,832 #* Ambac Financial Group, Inc. 105,278 3,177,290 * American Capital, Ltd. 1,547,412 23,195,706 # American Equity Investment Life Holding Co. 331,806 7,737,716 American Financial Group, Inc. 465,774 27,215,175 * American Independence Corp. 60 656 # American National Bankshares, Inc. 19,282 410,899 American National Insurance Co. 46,142 5,186,822 * American River Bankshares 1,626 15,545 * Ameris Bancorp 94,992 2,020,480 AMERISAFE, Inc. 105,756 4,510,493 # AmeriServ Financial, Inc. 36,909 128,443 * Arch Capital Group, Ltd. 27,915 1,600,088 Argo Group International Holdings, Ltd. 160,766 7,141,226 # Arrow Financial Corp. 1,531 38,321 Aspen Insurance Holdings, Ltd. 389,738 17,842,206 # Associated Banc-Corp 627,330 11,009,641 Assurant, Inc. 471,974 31,815,767 Assured Guaranty, Ltd. 577,469 13,807,284 #* Asta Funding, Inc. 60,415 493,591 Astoria Financial Corp. 508,927 6,748,372 #* Atlantic Coast Financial Corp. 4,033 17,342 #* Atlanticus Holdings Corp. 66,219 160,912 Auburn National Bancorp., Inc. 692 16,480 #* AV Homes, Inc. 44,952 770,028 Axis Capital Holdings, Ltd. 606,646 27,754,054 Baldwin & Lyons, Inc. Class A 253 5,978 Baldwin & Lyons, Inc. Class B 14,285 371,553 # Banc of California, Inc. 24,903 313,031 # Bancfirst Corp. 25,542 1,486,800 * Bancorp, Inc. 146,000 2,309,720 # BancorpSouth, Inc. 347,932 8,127,692 Bank Mutual Corp. 160,845 968,287 Bank of Commerce Holdings 5,200 33,020 Bank of Kentucky Financial Corp. 4,128 142,457 BankFinancial Corp. 106,520 1,048,157 Banner Corp. 106,937 4,228,289 # Bar Harbor Bankshares 8,396 315,522 BBCN Bancorp, Inc. 277,645 4,278,509 BCB Bancorp, Inc. 4,921 65,449 * Beneficial Mutual Bancorp, Inc. 28,579 372,670 Berkshire Hills Bancorp, Inc. 105,507 2,472,029 * BofI Holding, Inc. 51,961 4,188,576 Boston Private Financial Holdings, Inc. 379,688 4,749,897 Bridge Bancorp, Inc. 1,155 28,090 #* Bridge Capital Holdings 1,785 39,984 U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Financials -- (Continued) # Brookline Bancorp, Inc. 295,123 $ 2,679,717 Bryn Mawr Bank Corp. 22,420 611,618 C&F Financial Corp. 2,965 92,656 Calamos Asset Management, Inc. Class A 87,224 1,062,388 # California First National Bancorp 3,333 49,428 # Camden National Corp. 10,941 417,618 Cape Bancorp, Inc. 3,623 38,585 * Capital Bank Financial Corp. Class A 5,127 122,279 # Capital City Bank Group, Inc. 69,097 960,448 Capital Southwest Corp. 69,272 2,431,447 Capitol Federal Financial, Inc. 326,854 3,935,322 # Cardinal Financial Corp. 155,459 2,611,711 # Cash America International, Inc. 71,699 3,122,491 Cathay General Bancorp 371,944 8,777,878 Center Bancorp, Inc. 50,938 942,862 Centerstate Banks, Inc. 97,115 1,065,352 Central Pacific Financial Corp. 32,815 615,938 # Century Bancorp, Inc. Class A 3,819 127,937 Chemical Financial Corp. 88,882 2,494,918 Chicopee Bancorp, Inc. 1,885 32,667 # Citizens Community Bancorp, Inc. 6,617 53,135 # Citizens Holding Co. 1,103 20,703 #* Citizens, Inc. 78,129 513,308 # City Holding Co. 29,927 1,286,562 Clifton Bancorp, Inc. 2,419 28,036 CNB Financial Corp. 8,980 148,350 CNO Financial Group, Inc. 1,174,038 20,252,155 # CoBiz Financial, Inc. 152,875 1,534,865 Codorus Valley Bancorp, Inc. 303 6,469 * Colonial Financial Services, Inc. 522 6,087 Columbia Banking System, Inc. 171,047 4,245,387 # Community Bank System, Inc. 137,492 5,113,327 Community Trust Bancorp, Inc. 70,615 2,603,575 #* Community West Bancshares 367 2,543 # Consolidated-Tomoka Land Co. 11,795 466,256 * Consumer Portfolio Services, Inc. 9,146 63,839 #* Cowen Group, Inc. Class A 386,842 1,589,921 * Customers Bancorp, Inc. 3,932 86,622 # CVB Financial Corp. 171,350 2,477,721 #* DFC Global Corp. 1,000 9,320 Dime Community Bancshares, Inc. 188,788 3,077,244 Donegal Group, Inc. Class A 80,831 1,193,066 # Donegal Group, Inc. Class B 59 1,273 #* Doral Financial Corp. 1,812 17,323 * E*TRADE Financial Corp. 1,292,524 29,017,164 East West Bancorp, Inc. 4,015 138,558 # EMC Insurance Group, Inc. 55,011 1,814,813 Employers Holdings, Inc. 119,695 2,435,793 #* Encore Capital Group, Inc. 85,015 3,674,348 Endurance Specialty Holdings, Ltd. 247,707 12,588,470 #* Enstar Group, Ltd. 8,804 1,136,596 # Enterprise Bancorp, Inc. 7,936 144,911 U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Financials -- (Continued) Enterprise Financial Services Corp. 50,693 $ 905,884 # ESB Financial Corp. 50,107 632,350 # ESSA Bancorp, Inc. 79,429 825,267 Evans Bancorp, Inc. 163 3,680 # EverBank Financial Corp. 127,277 2,382,625 Everest Re Group, Ltd. 27,336 4,319,908 * Ezcorp, Inc. Class A 4,075 42,502 #* Farmers Capital Bank Corp. 1,687 35,241 FBL Financial Group, Inc. Class A 134,590 6,017,519 Federal Agricultural Mortgage Corp. Class C 60,117 2,138,963 Federated National Holding Co. 28,190 547,732 # Fidelity Southern Corp. 25,454 336,247 Financial Institutions, Inc. 31,545 730,267 #* First Acceptance Corp. 82,671 197,584 # First American Financial Corp. 298,092 7,929,247 # First Bancorp 63,963 1,100,803 # First Bancorp, Inc. 23,909 380,870 #* First BanCorp. 76,559 393,513 First Bancshares, Inc. (The) 137 1,985 First Busey Corp. 271,458 1,493,019 First Business Financial Services, Inc. 914 41,322 First Citizens BancShares, Inc. Class A 10,007 2,250,474 First Commonwealth Financial Corp. 523,696 4,498,549 First Community Bancshares, Inc. 50,483 747,653 # First Connecticut Bancorp, Inc. 3,750 59,438 First Defiance Financial Corp. 44,537 1,203,390 #* First Federal Bancshares of Arkansas, Inc. 4,332 38,425 First Financial Bancorp 120,286 1,947,430 First Financial Corp. 49,520 1,585,135 First Financial Holdings, Inc. 31,405 1,804,845 # First Financial Northwest, Inc. 97,328 992,746 First Interstate Bancsystem, Inc. 48,855 1,216,001 #* First Marblehead Corp. (The) 24,327 127,960 # First Merchants Corp. 142,082 3,014,980 First Midwest Bancorp, Inc. 315,336 5,162,050 First Niagara Financial Group, Inc. 1,489,377 13,285,243 First South Bancorp, Inc. 6,484 52,067 # First West Virginia Bancorp 63 1,136 Firstbank Corp. 301 5,307 FirstMerit Corp. 206,220 3,998,606 * Flagstar Bancorp, Inc. 92,543 1,628,757 Flushing Financial Corp. 153,821 2,956,440 FNB Corp. 534,108 6,644,304 #* Forestar Group, Inc. 78,340 1,335,697 #* Fortegra Financial Corp. 281 2,029 Fox Chase Bancorp, Inc. 26,564 443,088 #* Franklin Financial Corp. 5,307 105,928 Fulton Financial Corp. 327,095 3,987,288 # FXCM, Inc. Class A 5,955 92,183 # Gain Capital Holdings, Inc. 38,593 389,789 * Genworth Financial, Inc. Class A 2,131,699 38,050,827 # German American Bancorp, Inc. 30,939 805,652 U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Financials -- (Continued) # GFI Group, Inc. 221,401 $ 823,612 # Glacier Bancorp, Inc. 116,064 2,978,202 * Global Indemnity P.L.C. 81,077 2,172,864 Great Southern Bancorp, Inc. 51,030 1,463,030 #* Green Dot Corp. Class A 63,664 1,105,844 * Greenlight Capital Re, Ltd. Class A 61,532 1,958,564 Guaranty Bancorp 24,139 303,910 * Guaranty Federal Bancshares, Inc. 348 4,399 * Hallmark Financial Services, Inc. 100,040 840,336 Hampden Bancorp, Inc. 20,730 336,862 Hancock Holding Co. 23,254 784,357 Hanmi Financial Corp. 156,332 3,325,182 Hanover Insurance Group, Inc. (The) 225,011 13,151,893 #* Harris & Harris Group, Inc. 146,100 524,499 Hawthorn Bancshares, Inc. 535 7,094 HCC Insurance Holdings, Inc. 141,377 6,494,859 # HCI Group, Inc. 31,651 1,224,261 # Heartland Financial USA, Inc. 45,581 1,107,618 Heritage Commerce Corp. 68,269 554,344 # Heritage Financial Corp. 26,203 423,440 Heritage Financial Group, Inc. 1,994 38,385 HF Financial Corp. 3,852 52,772 * Hilltop Holdings, Inc. 263,212 5,880,156 # Hingham Institution for Savings 1,748 121,503 * HMN Financial, Inc. 1,700 18,938 #* Home Bancorp, Inc. 7,568 153,252 Home BancShares, Inc. 58,632 1,859,221 Home Federal Bancorp, Inc. 86,290 1,298,664 HopFed Bancorp, Inc. 6,953 79,125 Horace Mann Educators Corp. 199,789 6,007,655 # Horizon Bancorp 9,962 199,140 Hudson City Bancorp, Inc. 75,160 748,594 # Hudson Valley Holding Corp. 11,959 219,567 Huntington Bancshares, Inc. 1 9 Iberiabank Corp. 98,558 6,199,298 * ICG Group, Inc. 111,044 2,263,077 #* Imperial Holdings, Inc. 1,082 7,239 # Independence Holding Co. 55,689 727,298 # Independent Bank Corp.(453836108) 98,307 3,649,156 Independent Bank Corp.(453838609) 24,000 312,480 Infinity Property & Casualty Corp. 14,000 898,380 Interactive Brokers Group, Inc. Class A 191,975 4,588,202 International Bancshares Corp. 244,131 5,605,248 #* Intervest Bancshares Corp. Class A 17,708 134,050 #* INTL. FCStone, Inc. 4,934 93,351 * Investment Technology Group, Inc. 154,059 3,179,778 Investors Bancorp, Inc. 2,340 62,548 # Investors Title Co. 4,496 318,137 # Janus Capital Group, Inc. 888,638 10,779,179 JMP Group, Inc. 57,369 396,420 * KCG Holdings, Inc. Class A 42,847 426,328 #* Kearny Financial Corp. 1,371 19,989 U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Financials -- (Continued) Kemper Corp. 291,935 $11,505,158 Kentucky First Federal Bancorp 2,420 20,788 #* Ladenburg Thalmann Financial Services, Inc. 5,000 13,650 Lake Shore Bancorp, Inc. 306 3,790 # Lakeland Bancorp, Inc. 130,516 1,362,587 # Lakeland Financial Corp. 58,904 2,155,886 Landmark Bancorp, Inc. 468 9,042 # Legg Mason, Inc. 731,595 34,304,490 LNB Bancorp, Inc. 31,120 354,146 # Louisiana Bancorp, Inc. 13,988 272,766 Macatawa Bank Corp. 137,897 671,558 # Maiden Holdings, Ltd. 232,779 2,746,792 MainSource Financial Group, Inc. 88,279 1,459,252 * Markel Corp. 1,864 1,166,715 Marlin Business Services Corp. 58,904 1,011,382 #* Maui Land & Pineapple Co., Inc. 817 6,397 MB Financial, Inc. 274,677 7,372,331 * MBIA, Inc. 871,365 10,560,944 * MBT Financial Corp. 41,903 206,582 # MCG Capital Corp. 450,543 1,513,824 # Meadowbrook Insurance Group, Inc. 217,301 1,216,886 # Medallion Financial Corp. 109,087 1,483,583 Mercantile Bank Corp. 37,124 724,289 Merchants Bancshares, Inc. 20,000 581,400 Mercury General Corp. 12,386 592,794 #* Meridian Interstate Bancorp, Inc. 23,717 599,329 Meta Financial Group, Inc. 4,690 196,558 * Metro Bancorp, Inc. 66,562 1,359,196 #* MGIC Investment Corp. 321,338 2,763,507 MicroFinancial, Inc. 41,697 328,155 Mid Penn Bancorp, Inc. 106 1,590 # MidSouth Bancorp, Inc. 19,374 323,933 # MidWestOne Financial Group, Inc. 1,800 44,334 # Montpelier Re Holdings, Ltd. 304,755 9,319,408 MutualFirst Financial, Inc. 3,283 61,720 NASDAQ OMX Group, Inc. (The) 858,799 31,689,683 # National Bank Holdings Corp. Class A 2,988 57,250 # National Interstate Corp. 13,998 392,224 National Penn Bancshares, Inc. 558,947 5,460,912 # National Security Group, Inc. 2,423 25,151 National Western Life Insurance Co. Class A 3,011 702,316 #* Naugatuck Valley Financial Corp. 385 2,982 * Navigators Group, Inc. (The) 67,657 3,854,419 # NBT Bancorp, Inc. 85,332 1,932,770 Nelnet, Inc. Class A 156,407 6,609,760 * New Century Bancorp, Inc. 700 5,187 # New Hampshire Thrift Bancshares, Inc. 1,468 21,653 # New York Community Bancorp, Inc. 992,111 15,288,431 #* NewBridge Bancorp 51,882 398,973 #* NewStar Financial, Inc. 256,825 2,932,941 Nicholas Financial, Inc. 8,089 127,159 * North Valley Bancorp 6,514 147,216 U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Financials -- (Continued) Northeast Community Bancorp, Inc. 9,196 $ 66,947 Northfield Bancorp, Inc. 66,974 868,653 # Northrim BanCorp, Inc. 12,388 297,188 Northwest Bancshares, Inc. 358,033 4,758,259 # Norwood Financial Corp. 368 10,613 # Ocean Shore Holding Co. 92 1,379 OceanFirst Financial Corp. 63,426 1,028,770 OFG Bancorp 216,486 3,693,251 Ohio Valley Banc Corp. 1,834 39,890 Old National Bancorp 380,127 5,367,388 Old Republic International Corp. 1,182,426 19,580,975 #* Old Second Bancorp, Inc. 32,787 156,066 OmniAmerican Bancorp, Inc. 49,613 1,233,379 OneBeacon Insurance Group, Ltd. Class A 108,664 1,677,772 Oppenheimer Holdings, Inc. Class A 15,047 383,097 Oritani Financial Corp. 98,026 1,453,726 Pacific Continental Corp. 41,394 545,573 * Pacific Mercantile Bancorp 40,919 268,019 #* Pacific Premier Bancorp, Inc. 25,051 341,946 PacWest Bancorp 223,987 8,818,368 Park National Corp. 11,552 837,751 Park Sterling Corp. 127,933 835,402 PartnerRe, Ltd. 321,083 33,842,148 # Peapack Gladstone Financial Corp. 29,993 570,167 # Penns Woods Bancorp, Inc. 2,355 103,620 # People's United Financial, Inc. 1,543,963 22,047,792 Peoples Bancorp of North Carolina, Inc. 410 7,052 Peoples Bancorp, Inc. 49,925 1,301,545 #* PHH Corp. 305,779 7,268,367 #* Phoenix Cos., Inc. (The) 18,657 821,281 * PICO Holdings, Inc. 90,888 2,113,146 Pinnacle Financial Partners, Inc. 160,571 5,550,939 * Piper Jaffray Cos. 60,533 2,654,977 Platinum Underwriters Holdings, Ltd. 188,394 11,814,188 * Popular, Inc. 218,581 6,754,153 * Preferred Bank 25,513 547,254 # Premier Financial Bancorp, Inc. 15,601 223,094 Primerica, Inc. 122,534 5,623,085 PrivateBancorp, Inc. 291,864 8,046,690 ProAssurance Corp. 372 16,896 Prosperity Bancshares, Inc. 39,852 2,351,268 Protective Life Corp. 427,997 21,892,047 # Provident Financial Holdings, Inc. 30,246 425,561 # Provident Financial Services, Inc. 305,970 5,317,759 #* Prudential Bancorp, Inc. 2,692 29,101 * PSB Holdings, Inc. 599 3,917 Pulaski Financial Corp. 28,592 295,355 # QC Holdings, Inc. 80,189 165,991 QCR Holdings, Inc. 246 4,253 Radian Group, Inc. 12,854 179,699 Reinsurance Group of America, Inc. 387,086 29,693,367 # RenaissanceRe Holdings, Ltd. 56,578 5,726,259 U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Financials -- (Continued) # Renasant Corp. 120,812 $ 3,288,503 Republic Bancorp, Inc. Class A 25,599 614,632 #* Republic First Bancorp, Inc. 2,800 12,376 # Resource America, Inc. Class A 83,429 709,981 * Riverview Bancorp, Inc. 31,681 110,250 RLI Corp. 65,773 2,832,185 # S&T Bancorp, Inc. 138,319 3,217,300 #* Safeguard Scientifics, Inc. 102,515 2,153,840 Safety Insurance Group, Inc. 65,125 3,497,864 Salisbury Bancorp, Inc. 291 8,775 Sandy Spring Bancorp, Inc. 105,576 2,539,103 * Seacoast Banking Corp. of Florida 563 5,968 Selective Insurance Group, Inc. 252,402 5,790,102 * Shore Bancshares, Inc. 3,713 35,236 SI Financial Group, Inc. 7,388 87,178 Sierra Bancorp 27,552 430,087 # Simmons First National Corp. Class A 58,805 2,126,389 Simplicity Bancorp, Inc. 18,379 318,692 (o)* Southern Community Financial Corp. 34,147 7,512 #* Southern First Bancshares, Inc. 2,286 31,227 Southern Missouri Bancorp, Inc. 293 10,343 # Southern National Bancorp of Virginia, Inc. 1,259 13,005 # Southside Bancshares, Inc. 57,641 1,589,733 Southwest Bancorp, Inc. 87,892 1,467,796 Southwest Georgia Financial Corp. 700 10,042 StanCorp Financial Group, Inc. 132,141 8,073,815 # State Auto Financial Corp. 128,885 2,636,987 Sterling Bancorp 281,468 3,366,357 # Stewart Information Services Corp. 100,223 3,056,801 Stock Yards Bancorp Inc 2,018 59,491 #* Stratus Properties, Inc. 1,430 23,738 * Suffolk Bancorp 87,728 1,923,875 Summit State Bank 1,121 13,004 #* Sun Bancorp, Inc. 120,870 459,306 Susquehanna Bancshares, Inc. 1,004,967 10,411,458 * Sussex Bancorp 639 5,751 # Symetra Financial Corp. 309,538 6,395,055 Synovus Financial Corp. 826,275 2,652,343 * Taylor Capital Group, Inc. 78,907 1,679,930 TCF Financial Corp. 360,808 5,664,686 Teche Holding Co. 540 39,366 Territorial Bancorp, Inc. 20,309 415,522 TF Financial Corp. 4,609 144,538 Timberland Bancorp, Inc. 10,843 115,478 Tompkins Financial Corp. 41,830 1,971,866 # Tower Group International, Ltd. 213,884 526,155 # TowneBank 79,009 1,219,109 * Tree.com, Inc. 52,289 1,520,564 # Trico Bancshares 63,304 1,535,122 # TrustCo Bank Corp. 268,530 1,774,983 Trustmark Corp. 231,005 5,283,084 UMB Financial Corp. 15,823 928,968 U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------- -------------- Financials -- (Continued) Umpqua Holdings Corp. 583,249 $ 9,699,431 Union Bankshares Corp. 183,275 4,690,007 United Bancshares, Inc. 466 7,134 United Bankshares, Inc. 152,931 4,473,232 United Community Bancorp 114 1,300 * United Community Banks, Inc. 97,600 1,576,240 #* United Community Financial Corp. 2,218 7,386 # United Financial Bancorp, Inc.(91030T109) 96,629 1,704,536 United Financial Bancorp, Inc.(910304104) 65,894 867,165 United Fire Group, Inc. 118,756 3,303,792 #* United Security Bancshares 1,145 6,460 Unity Bancorp, Inc. 3,489 29,831 # Universal Insurance Holdings, Inc. 168,532 2,465,623 Univest Corp. of Pennsylvania 46,383 914,209 Validus Holdings, Ltd. 405,498 15,031,811 ViewPoint Financial Group, Inc. 137,512 3,584,938 * Walker & Dunlop, Inc. 65,554 1,027,887 Washington Banking Co. 26,133 449,488 Washington Federal, Inc. 390,061 8,417,516 # Washington Trust Bancorp, Inc. 61,565 2,105,523 Waterstone Financial, Inc. 23,508 244,718 Wayne Savings Bancshares, Inc. 120 1,394 Webster Financial Corp. 338,622 10,206,067 WesBanco, Inc. 119,709 3,620,000 # West Bancorporation, Inc. 58,901 854,654 * Western Alliance Bancorp 280,258 6,465,552 Westfield Financial, Inc. 131,049 897,686 White Mountains Insurance Group, Ltd. 2,625 1,565,182 Wilshire Bancorp, Inc. 358,042 3,580,420 Wintrust Financial Corp. 231,325 10,367,986 WR Berkley Corp. 44,497 1,968,547 WSFS Financial Corp. 15,936 1,077,592 WVS Financial Corp. 111 1,324 * Yadkin Financial Corp. 4,717 90,331 Zions Bancorp. 948,371 27,426,889 #* ZipRealty, Inc. 93,955 311,931 -------------- Total Financials 1,226,970,107 -------------- Health Care -- (5.3%) * Addus HomeCare Corp. 30,464 658,632 #* Affymetrix, Inc. 489,243 3,635,075 #* Albany Molecular Research, Inc. 143,811 2,309,605 #* Alere, Inc. 361,377 12,069,992 * Allied Healthcare Products, Inc. 1,097 2,370 * Almost Family, Inc. 43,727 938,819 #* Alphatec Holdings, Inc. 147,075 198,551 #* Amedisys, Inc. 178,820 2,437,317 * American Shared Hospital Services 4,548 12,689 * AMN Healthcare Services, Inc. 93,637 1,168,590 * Amsurg Corp. 168,181 7,283,919 Analogic Corp. 44,743 3,359,304 * AngioDynamics, Inc. 137,345 1,845,917 U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Health Care -- (Continued) * Anika Therapeutics, Inc. 73,307 $ 3,133,141 #* Arqule, Inc. 8,633 13,985 #* ArthroCare Corp. 310 15,044 #* AVEO Pharmaceuticals, Inc. 12,600 15,498 #* Baxano Surgical, Inc. 97,586 82,948 * Bio-Rad Laboratories, Inc. Class A 11,039 1,360,115 #* BioScrip, Inc. 266,195 1,842,069 * BioTelemetry, Inc. 99,971 793,770 * Cambrex Corp. 158,377 3,245,145 Cantel Medical Corp. 80,701 2,676,045 #* Capital Senior Living Corp. 90,913 2,248,278 * Chindex International, Inc. 6,388 152,226 * Community Health Systems, Inc. 490,559 18,587,280 CONMED Corp. 141,317 6,547,217 * Cross Country Healthcare, Inc. 127,342 902,855 CryoLife, Inc. 98,823 897,313 #* Cumberland Pharmaceuticals, Inc. 90,380 402,191 * Cutera, Inc. 70,229 724,061 * Cynosure, Inc. Class A 69,710 1,710,683 Digirad Corp. 88,544 281,570 #* Emergent Biosolutions, Inc. 125,640 3,311,870 Ensign Group, Inc. (The) 410 17,425 * Enzo Biochem, Inc. 132,897 558,167 # Enzon Pharmaceuticals, Inc. 79,602 70,854 #* Exactech, Inc. 39,046 867,602 * ExamWorks Group, Inc. 29,669 1,091,819 * Five Star Quality Care, Inc. 218,412 1,054,930 #* Furiex Pharmaceuticals, Inc. 10,318 1,066,572 #* Gentiva Health Services, Inc. 127,589 960,745 * Greatbatch, Inc. 135,788 6,250,322 * Hanger, Inc. 111,931 3,880,648 #* Harvard Apparatus Regenerative Technology, Inc. 37,209 321,858 #* Harvard Bioscience, Inc. 148,840 628,105 * Health Net, Inc. 54,582 1,873,800 #* Healthways, Inc. 204,778 3,686,004 # Hill-Rom Holdings, Inc. 176,656 6,599,868 #* Hologic, Inc. 468,719 9,836,068 #* Horizon Pharma, Inc. 34,063 483,013 * ICU Medical, Inc. 16,863 940,618 #* Idera Pharmaceuticals, Inc. 141,206 401,025 * Impax Laboratories, Inc. 199,817 5,225,215 Invacare Corp. 167,384 2,644,667 * Iridex Corp. 918 7,647 Kewaunee Scientific Corp. 7,798 130,616 Kindred Healthcare, Inc. 301,101 7,557,635 * Lannett Co., Inc. 97,301 3,359,804 LeMaitre Vascular, Inc. 73,991 607,466 #* LHC Group, Inc. 79,076 1,643,199 * LifePoint Hospitals, Inc. 233,325 13,047,534 * Magellan Health Services, Inc. 140,801 8,127,034 (o)* Maxygen, Inc. 172,517 5,175 * MedAssets, Inc. 237,365 5,419,043 U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------- ------------ Health Care -- (Continued) (o)* MedCath Corp. 103,153 $ 206,306 * Medical Action Industries, Inc. 90,546 580,400 #* Medicines Co. (The) 116,653 3,102,970 * MediciNova, Inc. 23,798 44,740 * Merit Medical Systems, Inc. 68,392 880,205 * Misonix, Inc. 5,883 35,298 #* Molina Healthcare, Inc. 276,308 10,333,919 # National Healthcare Corp. 25,110 1,374,270 * Natus Medical, Inc. 174,102 4,322,953 * NuVasive, Inc. 91,446 3,082,645 # Omnicare, Inc. 597,354 35,405,172 * Omnicell, Inc. 228,895 6,061,140 * OraSure Technologies, Inc. 10,559 69,161 * Orthofix International NV 5,031 151,936 # Owens & Minor, Inc. 221,883 7,441,956 #* Pacific Biosciences of California, Inc. 74,676 330,068 #* PDI, Inc. 111,537 526,455 * PharMerica Corp. 153,288 4,167,901 #* PhotoMedex, Inc. 6,849 103,488 #* Pozen, Inc. 85,751 716,878 * Prestige Brands Holdings, Inc. 313,269 10,500,777 * Providence Service Corp. (The) 57,778 2,346,365 #* Repligen Corp. 112,834 1,788,419 #* Rigel Pharmaceuticals, Inc. 9,300 29,760 #* RTI Surgical, Inc. 275,919 1,186,452 #* Sciclone Pharmaceuticals, Inc. 334,998 1,601,290 Select Medical Holdings Corp. 419,430 5,855,243 #* Skilled Healthcare Group, Inc. Class A 63,759 328,996 Span-America Medical Systems, Inc. 5,550 115,717 STERIS Corp. 31,571 1,516,987 #* Sucampo Pharmaceuticals, Inc. Class A 53,019 366,361 * Symmetry Medical, Inc. 193,018 1,594,329 #* Targacept, Inc. 23,151 102,790 Teleflex, Inc. 144,988 14,801,825 * Tornier NV 40,308 684,027 #* Transcept Pharmaceuticals, Inc. 61,189 180,508 * Triple-S Management Corp. Class B 94,561 1,416,524 Universal American Corp. 380,924 2,731,225 Universal Health Services, Inc. Class B 11,688 955,962 * VCA Antech, Inc. 173,201 5,305,147 * Wright Medical Group, Inc. 242,707 6,638,036 ------------ Total Health Care 312,213,163 ------------ Industrials -- (14.4%) AAR Corp. 206,357 5,344,646 ABM Industries, Inc. 214,507 5,810,995 # Acacia Research Corp. 13,695 219,668 * ACCO Brands Corp. 129,363 792,995 #* Accuride Corp. 19,382 109,314 Aceto Corp. 154,305 3,376,193 Acme United Corp. 12,718 214,044 #* Acorn Energy, Inc. 29,843 69,236 U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Industrials -- (Continued) Actuant Corp. Class A 170,899 $ 5,786,640 #* Adept Technology, Inc. 60,855 727,826 * AECOM Technology Corp. 361,021 11,704,301 #* Aegion Corp. 186,883 4,763,648 #* AeroCentury Corp. 782 14,037 #* Aerovironment, Inc. 149,658 5,053,951 AGCO Corp. 303,952 16,930,126 Air Lease Corp. 26,063 934,880 * Air Transport Services Group, Inc. 303,540 2,376,718 Aircastle, Ltd. 169,196 2,972,774 # Alamo Group, Inc. 63,138 3,353,891 Alaska Air Group, Inc. 150,204 14,131,192 Albany International Corp. Class A 142,582 5,130,100 # Alliant Techsystems, Inc. 50,652 7,305,031 (o)* Allied Defense Group, Inc. 20,781 1,662 Allied Motion Technologies, Inc. 6,810 77,225 * Alpha PRO Tech, Ltd. 4,773 9,785 Altra Industrial Motion Corp. 150,897 5,154,642 AMERCO 84,246 21,070,767 #* Ameresco, Inc. Class A 11,550 74,036 American Railcar Industries, Inc. 121,307 8,423,558 # American Science & Engineering, Inc. 2,213 148,714 #* American Superconductor Corp. 54,350 69,568 * American Woodmark Corp. 4,684 140,567 * AMREP Corp. 7,243 39,474 # Apogee Enterprises, Inc. 141,135 4,483,859 Applied Industrial Technologies, Inc. 52,376 2,509,858 * ARC Document Solutions, Inc. 123,093 787,795 ArcBest Corp. 152,757 6,021,681 Argan, Inc. 14,857 397,722 #* Arotech Corp. 11,970 41,536 #* Ascent Solar Technologies, Inc. 31,847 16,086 Astec Industries, Inc. 79,925 3,193,004 #* Atlas Air Worldwide Holdings, Inc. 151,882 5,314,351 #* Avalon Holdings Corp. Class A 1,925 8,624 #* Avis Budget Group, Inc. 665,365 34,991,545 # AZZ, Inc. 63,129 2,741,061 Baltic Trading, Ltd. 54,155 324,388 Barnes Group, Inc. 238,149 9,173,499 Barrett Business Services, Inc. 39,248 1,978,492 * Beacon Roofing Supply, Inc. 139,152 4,951,028 * Blount International, Inc. 9,261 103,445 #* BlueLinx Holdings, Inc. 217,402 284,797 Brady Corp. Class A 84,723 2,185,006 * Breeze-Eastern Corp. 37,653 372,765 # Briggs & Stratton Corp. 259,610 5,547,866 # Brink's Co. (The) 79,590 2,024,770 * CAI International, Inc. 79,003 1,718,315 * Casella Waste Systems, Inc. Class A 58,272 297,187 #* CBIZ, Inc. 192,442 1,649,228 CDI Corp. 103,738 1,589,266 Ceco Environmental Corp. 34,172 542,993 U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Industrials -- (Continued) Celadon Group, Inc. 133,198 $ 3,064,886 Chicago Rivet & Machine Co. 2,310 89,513 CIRCOR International, Inc. 84,843 6,890,100 CLARCOR, Inc. 10,632 614,104 * Columbus McKinnon Corp. 95,290 2,524,232 Comfort Systems USA, Inc. 195,774 2,936,610 # Compx International, Inc. 5,019 46,175 Con-way, Inc. 130,909 5,561,014 # Courier Corp. 52,547 763,508 Covanta Holding Corp. 117,796 2,173,336 * Covenant Transportation Group, Inc. Class A 41,614 426,543 #* CPI Aerostructures, Inc. 30,852 415,576 * CRA International, Inc. 46,319 1,008,365 * CTPartners Executive Search, Inc. 1,700 16,320 Cubic Corp. 17,598 834,673 Curtiss-Wright Corp. 255,204 16,317,744 * DigitalGlobe, Inc. 70,561 2,101,307 Douglas Dynamics, Inc. 100,626 1,697,561 * Ducommun, Inc. 49,344 1,197,579 * Dycom Industries, Inc. 145,296 4,562,294 # Dynamic Materials Corp. 43,946 887,709 #* Eagle Bulk Shipping, Inc. 3,852 11,248 Eastern Co. (The) 10,824 182,817 # Ecology and Environment, Inc. Class A 8,425 80,796 Encore Wire Corp. 110,081 5,364,247 #* Energy Recovery, Inc. 67,980 347,378 #* EnerNOC, Inc. 117,497 2,772,929 # EnerSys, Inc. 132,748 8,971,110 #* Engility Holdings, Inc. 34,799 1,518,628 # Ennis, Inc. 141,695 2,119,757 #* EnPro Industries, Inc. 110,538 7,871,411 ESCO Technologies, Inc. 93,032 3,109,129 # Espey Manufacturing & Electronics Corp. 7,809 207,719 * Esterline Technologies Corp. 145,640 15,877,673 Exelis, Inc. 209,072 3,876,195 * Federal Signal Corp. 280,838 4,263,121 * Franklin Covey Co. 119,121 2,414,583 # FreightCar America, Inc. 60,137 1,579,198 #* FTI Consulting, Inc. 189,885 6,513,055 #* Fuel Tech, Inc. 57,322 349,091 * Furmanite Corp. 91,429 958,176 G&K Services, Inc. Class A 95,020 5,030,359 # GATX Corp. 229,076 15,034,258 #* Genco Shipping & Trading, Ltd. 17,729 29,253 * Gencor Industries, Inc. 16,355 171,564 Generac Holdings, Inc. 315 18,547 General Cable Corp. 278,409 7,132,839 * Genesee & Wyoming, Inc. Class A 25,661 2,540,696 #* Gibraltar Industries, Inc. 145,546 2,485,926 # Global Power Equipment Group, Inc. 7,741 135,700 #* Goldfield Corp. (The) 16,385 33,753 * GP Strategies Corp. 86,740 2,279,527 U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Industrials -- (Continued) #* GrafTech International, Ltd. 217,239 $ 2,435,249 # Granite Construction, Inc. 192,577 7,198,528 #* Great Lakes Dredge & Dock Corp. 297,689 2,569,056 #* Greenbrier Cos., Inc. (The) 152,823 8,014,038 # Griffon Corp. 279,210 2,970,794 * H&E Equipment Services, Inc. 142,208 5,482,118 Hardinge, Inc. 51,860 692,850 #* Hawaiian Holdings, Inc. 314,551 4,545,262 Heidrick & Struggles International, Inc. 81,043 1,527,661 * Hill International, Inc. 125,857 845,759 # Houston Wire & Cable Co. 133,594 1,664,581 * Hub Group, Inc. Class A 117,679 5,254,367 * Hudson Global, Inc. 125,898 446,938 Hurco Cos., Inc. 34,584 922,009 * Huron Consulting Group, Inc. 54,028 3,846,794 Hyster-Yale Materials Handling, Inc. 62,641 6,037,966 * ICF International, Inc. 70,707 2,755,452 #* InnerWorkings, Inc. 8,228 59,242 #* Innovative Solutions & Support, Inc. 44,641 300,434 Insteel Industries, Inc. 84,828 1,745,760 #* Integrated Electrical Services, Inc. 33,463 207,805 # International Shipholding Corp. 26,095 702,999 # Intersections, Inc. 43,923 246,847 #* JetBlue Airways Corp. 1,516,297 11,986,328 # Joy Global, Inc. 161,221 9,734,524 Kadant, Inc. 36,328 1,262,398 # Kaman Corp. 38,140 1,600,736 KBR, Inc. 64,661 1,640,450 # Kelly Services, Inc. Class A 168,394 3,546,378 * Key Technology, Inc. 23,834 293,873 # Kforce, Inc. 1,104 25,524 Kimball International, Inc. Class B 161,322 2,703,757 # Knight Transportation, Inc. 291,971 6,928,472 * Korn/Ferry International 198,545 5,767,732 #* Kratos Defense & Security Solutions, Inc. 187,180 1,351,440 * Lawson Products, Inc. 39,074 654,489 #* Layne Christensen Co. 99,974 1,741,547 LB Foster Co. Class A 42,690 2,021,371 #* LMI Aerospace, Inc. 63,379 864,490 LS Starrett Co. (The) Class A 22,027 344,062 LSI Industries, Inc. 107,928 821,332 * Lydall, Inc. 82,151 1,923,155 Manpowergroup, Inc. 112,752 9,171,248 # Marten Transport, Ltd. 156,725 3,676,768 #* MasTec, Inc. 75,048 2,970,400 Mastech Holdings, Inc. 1,877 32,435 Matson, Inc. 178,293 4,223,761 # McGrath RentCorp 92,761 2,929,392 #* Metalico, Inc. 234,285 360,799 * Mfri, Inc. 27,948 304,354 # Miller Industries, Inc. 63,420 1,228,445 * Mistras Group, Inc. 16,683 378,871 U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Industrials -- (Continued) # Mobile Mini, Inc. 256,466 $11,330,668 * Moog, Inc. Class A 58,798 3,848,329 * MRC Global, Inc. 522 15,237 Mueller Industries, Inc. 229,178 6,632,411 Mueller Water Products, Inc. Class A 613,251 5,592,849 # Multi-Color Corp. 45,197 1,575,115 * MYR Group, Inc. 111,677 2,619,942 # National Presto Industries, Inc. 7,322 529,088 * Navigant Consulting, Inc. 179,143 3,009,602 # NL Industries, Inc. 87,722 879,852 NN, Inc. 86,492 1,692,648 * Northwest Pipe Co. 45,902 1,641,915 #* Ocean Power Technologies, Inc. 41,206 111,256 * On Assignment, Inc. 178,163 6,235,705 * Orbital Sciences Corp. 218,213 6,415,462 * Orion Energy Systems, Inc. 59,774 316,802 * Orion Marine Group, Inc. 53,713 630,053 Oshkosh Corp. 147,415 8,183,007 Owens Corning 624,093 25,494,199 * PAM Transportation Services, Inc. 37,772 940,145 * Park-Ohio Holdings Corp. 999 58,332 * Patrick Industries, Inc. 9,440 378,261 #* Patriot Transportation Holding, Inc. 9,368 326,756 * Pendrell Corp. 20,276 33,455 * PGT, Inc. 81,174 807,681 #* Pike Corp. 156,502 1,502,419 #* PMFG, Inc. 1,946 11,034 Powell Industries, Inc. 41,618 2,635,252 * PowerSecure International, Inc. 96,570 2,146,751 Preformed Line Products Co. 18,849 1,126,416 Providence and Worcester Railroad Co. 2,267 39,536 Quad/Graphics, Inc. 34,794 753,290 Quanex Building Products Corp. 124,736 2,350,026 * Quanta Services, Inc. 389,317 13,735,104 #* RCM Technologies, Inc. 41,207 279,383 Regal-Beloit Corp. 43,911 3,281,469 * Republic Airways Holdings, Inc. 242,281 2,013,355 Resources Connection, Inc. 122,511 1,667,375 #* Roadrunner Transportation Systems, Inc. 51,275 1,262,903 * RPX Corp. 72,392 1,185,781 #* Rush Enterprises, Inc. Class A 139,034 4,462,991 #* Rush Enterprises, Inc. Class B 1,650 46,662 Ryder System, Inc. 309,611 25,443,832 * Saia, Inc. 130,975 5,392,241 Schawk, Inc. 88,944 1,778,880 SIFCO Industries, Inc. 15,111 496,396 Simpson Manufacturing Co., Inc. 122,152 4,005,364 SkyWest, Inc. 255,435 2,963,046 * SL Industries, Inc. 15,541 427,222 #* SP Plus Corp. 2,787 68,059 * Sparton Corp. 49,588 1,346,810 #* Standard Register Co. (The) 26,506 192,434 U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------- ------------ Industrials -- (Continued) Standex International Corp. 60,488 $ 3,591,173 Steelcase, Inc. Class A 88,597 1,460,079 #* Sterling Construction Co., Inc. 77,398 594,417 * Supreme Industries, Inc. Class A 15,449 87,596 # Sypris Solutions, Inc. 30,619 92,776 #* TAL International Group, Inc. 216,260 9,121,847 * Team, Inc. 5,846 250,735 #* Tecumseh Products Co. Class A 48,641 292,332 * Tecumseh Products Co. Class B 2,547 14,874 # Terex Corp. 199,602 8,640,771 * Tetra Tech, Inc. 210,822 6,044,267 # Textainer Group Holdings, Ltd. 10,689 420,078 * Thermon Group Holdings, Inc. 19,792 471,445 # Titan International, Inc. 167,087 2,925,693 #* Titan Machinery, Inc. 121,425 2,141,937 #* Transcat, Inc. 1,400 13,776 #* TRC Cos., Inc. 9,700 57,521 * Trimas Corp. 2,500 89,650 Trinity Industries, Inc. 485,295 36,426,243 * Tutor Perini Corp. 226,228 6,696,349 # Twin Disc, Inc. 46,249 1,337,984 * Ultralife Corp. 84,726 305,014 UniFirst Corp. 76,293 7,342,438 # United Stationers, Inc. 144,267 5,414,341 Universal Forest Products, Inc. 93,810 4,736,467 * Universal Security Instruments, Inc. 1,053 4,423 # Universal Truckload Services, Inc. 10,651 262,654 # URS Corp. 366,165 17,253,695 #* USA Truck, Inc. 51,322 855,025 # UTi Worldwide, Inc. 188,803 1,848,381 # Valmont Industries, Inc. 36,211 5,392,180 * Versar, Inc. 35,947 138,755 Viad Corp. 100,377 2,313,690 * Virco Manufacturing Corp. 19,199 42,142 * Volt Information Sciences, Inc. 55,204 440,528 # VSE Corp. 9,098 568,352 #* Wabash National Corp. 20,906 279,304 Watts Water Technologies, Inc. Class A 144,348 7,679,314 # Werner Enterprises, Inc. 199,092 5,096,755 * Wesco Aircraft Holdings, Inc. 135,795 2,751,207 * Willdan Group, Inc. 3,123 14,584 * Willis Lease Finance Corp. 12,818 258,411 Woodward, Inc. 20,739 929,729 #* XPO Logistics, Inc. 87,473 2,374,017 ------------ Total Industrials 840,938,993 ------------ Information Technology -- (12.3%) * Actuate Corp. 1,900 10,697 * Acxiom Corp. 117,570 3,320,177 * ADDvantage Technologies Group, Inc. 4,567 15,345 # ADTRAN, Inc. 74,985 1,681,914 * Advanced Energy Industries, Inc. 217,892 4,767,477 U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Information Technology -- (Continued) * Aeroflex Holding Corp. 117,613 $ 899,739 * Agilysys, Inc. 89,456 1,121,778 * Alpha & Omega Semiconductor, Ltd. 28,505 205,236 #* Amkor Technology, Inc. 397,449 3,159,720 * Amtech Systems, Inc. 50,698 433,468 #* ANADIGICS, Inc. 247,601 309,501 * AOL, Inc. 435,272 18,633,994 * ARRIS Group, Inc. 548,984 14,322,993 * Arrow Electronics, Inc. 510,838 28,990,056 Astro-Med, Inc. 22,284 280,110 #* Aviat Networks, Inc. 254,758 384,685 #* Avid Technology, Inc. 177,859 1,342,835 Avnet, Inc. 659,675 28,451,783 AVX Corp. 496,141 6,623,482 #* Aware, Inc. 55,296 306,340 * Axcelis Technologies, Inc. 189,435 339,089 * AXT, Inc. 186,167 402,121 * Bankrate, Inc. 167,612 2,936,562 Bel Fuse, Inc. Class A 1,820 37,055 Bel Fuse, Inc. Class B 46,351 1,008,598 * Benchmark Electronics, Inc. 298,403 6,916,982 Black Box Corp. 82,688 1,757,947 #* Blucora, Inc. 226,372 4,357,661 #* BroadVision, Inc. 22,469 222,892 * Brocade Communications Systems, Inc. 1,885,092 17,550,207 Brooks Automation, Inc. 310,373 3,175,116 * Bsquare Corp. 18,261 58,435 * BTU International, Inc. 17,003 49,819 #* CACI International, Inc. Class A 140,211 9,765,696 #* Calix, Inc. 202,390 1,783,056 * Cascade Microtech, Inc. 44,792 478,379 #* Ceva, Inc. 16,266 263,997 * Checkpoint Systems, Inc. 166,623 2,127,776 * CIBER, Inc. 350,209 1,512,903 #* Cirrus Logic, Inc. 47,604 1,061,569 * Coherent, Inc. 86,425 5,160,437 # Cohu, Inc. 106,665 1,098,650 # Communications Systems, Inc. 39,335 475,560 Computer Task Group, Inc. 2,165 34,229 Compuware Corp. 145,522 1,507,608 # Comtech Telecommunications Corp. 123,702 3,927,538 Concurrent Computer Corp. 41,378 347,161 # Convergys Corp. 590,305 12,715,170 * CoreLogic, Inc. 251,499 7,049,517 #* Cray, Inc. 106,678 3,062,725 #* Cree, Inc. 26,662 1,257,647 CSG Systems International, Inc. 118,892 3,133,993 CTS Corp. 162,305 2,887,406 #* CyberOptics Corp. 23,180 174,314 Daktronics, Inc. 39,840 518,717 #* Datalink Corp. 73,719 946,552 * Dealertrack Technologies, Inc. 89,054 4,068,877 U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Information Technology -- (Continued) #* Demand Media, Inc. 13,232 $ 55,045 * Digi International, Inc. 125,500 1,111,930 # Digimarc Corp. 3,527 116,462 * Digital River, Inc. 107,875 1,649,409 * Diodes, Inc. 74,131 1,954,834 * DSP Group, Inc. 113,470 903,221 DST Systems, Inc. 4,618 425,733 #* DTS, Inc. 7,392 137,565 EarthLink Holdings Corp. 552,396 1,883,670 #* Eastman Kodak Co. 2,349 70,165 * EchoStar Corp. Class A 180,895 8,133,039 * Edgewater Technology, Inc. 32,647 231,141 # Electro Rent Corp. 121,380 1,960,287 Electro Scientific Industries, Inc. 134,250 1,138,440 * Electronics for Imaging, Inc. 235,046 8,882,388 #* Emcore Corp. 17,043 82,318 * Emulex Corp. 367,715 2,629,162 * Entegris, Inc. 447,180 4,959,226 #* Entropic Communications, Inc. 267,467 986,953 EPIQ Systems, Inc. 146,733 1,876,715 * ePlus, Inc. 38,437 1,923,387 #* Euronet Worldwide, Inc. 125,315 5,763,237 * Exar Corp. 227,216 2,458,477 * Extreme Networks, Inc. 388,995 2,225,051 * Fabrinet 93,222 2,013,595 #* Fairchild Semiconductor International, Inc. 720,838 9,176,268 #* FARO Technologies, Inc. 48,176 1,922,222 #* Finisar Corp. 346,274 9,055,065 #* First Solar, Inc. 629,345 42,474,494 * FormFactor, Inc. 255,570 1,469,527 * Frequency Electronics, Inc. 29,641 315,825 * Global Cash Access Holdings, Inc. 103,886 685,648 * GSE Systems, Inc. 70,034 122,560 * GSI Group, Inc. 28,531 346,366 #* GSI Technology, Inc. 119,649 759,771 Hackett Group, Inc. (The) 179,152 1,074,912 * Harmonic, Inc. 473,996 3,332,192 #* Hutchinson Technology, Inc. 88,159 245,082 #* ID Systems, Inc. 56,513 318,168 #* Identive Group, Inc. 23,553 20,020 #* IEC Electronics Corp. 8,769 39,022 * II-VI, Inc. 8,192 117,965 * Ikanos Communications, Inc. 49,085 29,206 * Imation Corp. 171,828 742,297 #* Infinera Corp. 66,130 592,525 * Ingram Micro, Inc. Class A 789,039 21,272,491 * Innodata, Inc. 4,088 13,777 * Inphi Corp. 17,230 254,832 * Insight Enterprises, Inc. 219,712 5,738,877 * Integrated Device Technology, Inc. 457,074 5,334,054 * Integrated Silicon Solution, Inc. 138,479 2,002,406 #* Internap Network Services Corp. 336,121 2,258,733 U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Information Technology -- (Continued) * International Rectifier Corp. 389,755 $10,149,220 #* Interphase Corp. 27,282 148,687 Intersil Corp. Class A 726,674 8,967,157 * inTEST Corp. 2,679 11,064 * Intevac, Inc. 102,204 822,742 * IntraLinks Holdings, Inc. 67,083 613,809 #* IntriCon Corp. 10,021 66,239 * Iteris, Inc. 16,517 32,043 #* Itron, Inc. 80,913 3,074,694 IXYS Corp. 143,506 1,548,430 Jabil Circuit, Inc. 7,710 133,075 #* Kemet Corp. 118,181 592,087 * Key Tronic Corp. 56,373 590,789 #* Kopin Corp. 235,036 766,217 * Kulicke & Soffa Industries, Inc. 399,262 5,873,144 * KVH Industries, Inc. 116,478 1,573,618 * Lattice Semiconductor Corp. 458,413 3,859,837 # Leidos Holdings, Inc. 8,500 316,540 # Lexmark International, Inc. Class A 270,066 11,612,838 #* Limelight Networks, Inc. 193,548 400,644 * LoJack Corp. 32,631 185,018 * LTX-Credence Corp. 195,071 1,878,534 * Magnachip Semiconductor Corp. 133,061 1,862,854 # ManTech International Corp. Class A 110,545 3,297,557 # Marchex, Inc. Class B 111,980 1,035,815 Marvell Technology Group, Ltd. 1,758,707 27,893,093 * Mattson Technology, Inc. 40,656 80,905 #* Maxwell Technologies, Inc. 69,290 1,043,507 #* Measurement Specialties, Inc. 72,425 4,660,549 Mentor Graphics Corp. 375,869 7,780,488 * Mercury Systems, Inc. 108,387 1,513,083 Methode Electronics, Inc. 235,004 6,519,011 Micrel, Inc. 21,313 212,277 * Microsemi Corp. 247,174 5,813,532 MKS Instruments, Inc. 288,661 8,125,807 # MOCON, Inc. 2,300 36,754 #* ModusLink Global Solutions, Inc. 170,782 689,959 * Monster Worldwide, Inc. 304,331 2,096,841 #* MoSys, Inc. 24,296 94,997 * Multi-Fineline Electronix, Inc. 84,449 1,045,479 #* Nanometrics, Inc. 55,388 900,609 * NAPCO Security Technologies, Inc. 33,409 195,109 * NCI, Inc. Class A 3,439 34,287 #* NeoPhotonics Corp. 11,456 66,101 #* NETGEAR, Inc. 35,251 1,138,607 * Newport Corp. 192,338 3,592,874 #* Novatel Wireless, Inc. 117,883 213,368 * Oclaro, Inc. 198,548 675,063 * OmniVision Technologies, Inc. 357,023 6,972,659 * ON Semiconductor Corp. 104,940 987,485 * Oplink Communications, Inc. 116,079 1,989,594 Optical Cable Corp. 28,064 106,363 U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Information Technology -- (Continued) * PAR Technology Corp. 55,165 $ 266,447 # Park Electrochemical Corp. 45,299 1,207,671 # PC Connection, Inc. 116,384 2,328,844 PC-Tel, Inc. 40,760 336,270 * PCM, Inc. 51,256 534,088 * PDF Solutions, Inc. 8,650 162,361 # Perceptron, Inc. 40,400 476,720 * Perficient, Inc. 174,093 3,180,679 * Pericom Semiconductor Corp. 123,556 997,097 #* Photronics, Inc. 311,067 2,700,062 #* Planar Systems, Inc. 54,660 120,252 Plantronics, Inc. 7,297 317,930 * Plexus Corp. 90,714 3,802,731 * PLX Technology, Inc. 46,795 271,411 * PMC-Sierra, Inc. 865,801 5,922,079 * Polycom, Inc. 428,464 5,270,107 * PRGX Global, Inc. 6,254 40,213 #* Procera Networks, Inc. 6,813 63,088 * Progress Software Corp. 102,777 2,205,594 * QLogic Corp. 161,607 1,871,409 * Qualstar Corp. 33,400 50,434 * QuinStreet, Inc. 36,950 225,395 * Qumu Corp. 42,582 572,728 #* Radisys Corp. 121,573 389,034 * RealNetworks, Inc. 146,420 1,104,007 #* Reis, Inc. 44,432 731,351 * Relm Wireless Corp. 2,200 7,084 # RF Industries, Ltd. 30,109 183,966 * RF Micro Devices, Inc. 102,140 862,062 Richardson Electronics, Ltd. 77,071 772,251 #* Rofin-Sinar Technologies, Inc. 41,089 912,176 * Rogers Corp. 36,098 2,166,602 * Rosetta Stone, Inc. 59,134 704,286 * Rovi Corp. 238,293 5,311,551 #* Rubicon Technology, Inc. 53,423 541,175 * Rudolph Technologies, Inc. 170,691 1,554,995 #* Sanmina Corp. 415,810 8,420,152 * ScanSource, Inc. 77,969 2,994,789 * Seachange International, Inc. 181,554 1,701,161 * Selectica, Inc. 916 5,450 * ShoreTel, Inc. 97,043 732,675 * Sigma Designs, Inc. 157,798 594,898 * Silicon Image, Inc. 242,305 1,359,331 * Smith Micro Software, Inc. 87,329 144,966 #* SMTC Corp. 30,286 46,338 * Sonus Networks, Inc. 609,161 1,991,956 * Spansion, Inc. Class A 141,425 2,521,608 #* Speed Commerce, Inc. 3,267 10,781 * StarTek, Inc. 58,117 403,913 #* SunEdison, Inc. 627,039 12,057,960 #* SunPower Corp. 314,405 10,507,415 * Super Micro Computer, Inc. 123,859 2,521,769 U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ --------- ------------ Information Technology -- (Continued) * support.com, Inc. 150,980 $ 372,921 * Sykes Enterprises, Inc. 190,811 3,776,150 * SYNNEX Corp. 196,018 13,207,693 * Take-Two Interactive Software, Inc. 183,479 3,739,302 * Tech Data Corp. 261,278 16,327,262 * TeleCommunication Systems, Inc. Class A 254,011 647,728 * Telenav, Inc. 28,558 175,061 * TeleTech Holdings, Inc. 9,686 233,723 # Tessco Technologies, Inc. 39,695 1,305,569 Tessera Technologies, Inc. 240,446 5,272,981 TheStreet, Inc. 103,777 266,707 * Trio Tech International 979 3,079 * TriQuint Semiconductor, Inc. 976,471 13,846,359 #* TTM Technologies, Inc. 291,340 2,298,673 * Ultra Clean Holdings, Inc. 85,782 730,863 United Online, Inc. 89,716 1,063,135 #* UTStarcom Holdings Corp. 17,484 54,026 #* Veeco Instruments, Inc. 101,930 3,768,352 * VeriFone Systems, Inc. 63,000 2,106,720 #* Viasystems Group, Inc. 113,088 1,359,318 * Vicon Industries, Inc. 22,202 64,830 * Video Display Corp. 10,067 34,932 * Virtusa Corp. 113,124 3,729,698 # Vishay Intertechnology, Inc. 754,072 10,722,904 * Vishay Precision Group, Inc. 54,769 888,901 #* Vocus, Inc. 14,034 252,331 Wayside Technology Group, Inc. 7,339 118,598 #* WebMD Health Corp. 24,300 1,071,387 #* Westell Technologies, Inc. Class A 113,872 371,223 * XO Group, Inc. 136,025 1,444,585 * Zygo Corp. 74,649 1,436,247 #* Zynga, Inc. Class A 1,651,319 6,687,842 ------------ Total Information Technology 718,168,511 ------------ Materials -- (6.7%) A Schulman, Inc. 147,127 5,284,802 Allegheny Technologies, Inc. 236,339 9,737,167 #* Allied Nevada Gold Corp. 27,900 94,581 #* AM Castle & Co. 109,790 1,348,221 AMCOL International Corp. 6,071 278,355 # American Vanguard Corp. 14,709 261,967 # Ampco-Pittsburgh Corp. 32,333 647,630 #* Arabian American Development Co. 9,705 106,076 Ashland, Inc. 61,660 5,956,356 # Axiall Corp. 132,689 6,183,307 Bemis Co., Inc. 103,693 4,172,606 * Boise Cascade Co. 28,755 719,450 Cabot Corp. 36,319 2,099,238 * Calgon Carbon Corp. 89,711 1,796,911 #* Century Aluminum Co. 454,590 6,250,613 # Chase Corp. 23,780 740,509 #* Chemtura Corp. 321,090 7,160,307 U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Materials -- (Continued) * Clearwater Paper Corp. 59,174 $ 3,632,692 # Cliffs Natural Resources, Inc. 815,442 14,449,632 #* Codexis, Inc. 3,757 6,387 * Coeur Mining, Inc. 448,217 3,881,559 Commercial Metals Co. 668,655 12,838,176 * Continental Materials Corp. 125 2,313 * Core Molding Technologies, Inc. 31,258 375,409 Domtar Corp. 183,622 17,142,950 * Ferro Corp. 280,018 3,634,634 Friedman Industries, Inc. 32,585 279,579 # FutureFuel Corp. 107,628 2,160,094 #* General Moly, Inc. 7,700 8,470 Globe Specialty Metals, Inc. 19,309 374,208 #* Golden Minerals Co. 13,557 9,490 * Graphic Packaging Holding Co. 312,790 3,209,225 Greif, Inc. Class A 520 28,179 # Hawkins, Inc. 229 8,290 # Haynes International, Inc. 36,599 1,941,577 HB Fuller Co. 159,859 7,406,267 # Hecla Mining Co. 536,703 1,647,678 #* Horsehead Holding Corp. 224,841 3,505,271 Huntsman Corp. 531,378 13,311,019 Innophos Holdings, Inc. 40,311 2,275,153 Innospec, Inc. 13,198 568,306 #* Intrepid Potash, Inc. 61,541 1,003,118 # Kaiser Aluminum Corp. 97,047 6,832,109 * KapStone Paper and Packaging Corp. 500,280 13,197,386 # KMG Chemicals, Inc. 28,353 442,590 * Kraton Performance Polymers, Inc. 84,875 2,210,994 #* Landec Corp. 140,041 1,660,886 #* Louisiana-Pacific Corp. 417,742 6,846,791 * LSB Industries, Inc. 56,351 2,152,045 Materion Corp. 100,067 3,367,255 #* McEwen Mining, Inc. 397,880 954,912 MeadWestvaco Corp. 369,223 14,425,543 * Mercer International, Inc. 217,426 1,800,287 Minerals Technologies, Inc. 137,102 8,156,198 Myers Industries, Inc. 190,557 3,563,416 Neenah Paper, Inc. 77,971 3,927,399 Noranda Aluminum Holding Corp. 58,813 208,786 #* Northern Technologies International Corp. 6,949 146,971 # Olin Corp. 317,116 8,910,960 Olympic Steel, Inc. 56,163 1,480,457 # OM Group, Inc. 160,504 4,701,162 * OMNOVA Solutions, Inc. 41,268 376,364 * Penford Corp. 52,958 667,271 PH Glatfelter Co. 240,760 6,144,195 PolyOne Corp. 25,154 942,520 Reliance Steel & Aluminum Co. 417,707 29,582,010 * Resolute Forest Products, Inc. 111,427 1,987,858 Rock-Tenn Co. Class A 176,292 16,855,278 # Royal Gold, Inc. 63,493 4,203,237 U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ --------- ------------ Materials -- (Continued) * RTI International Metals, Inc. 173,122 $ 4,875,116 # Schnitzer Steel Industries, Inc. Class A 147,214 4,132,297 Sensient Technologies Corp. 180,267 9,743,431 Sonoco Products Co. 116,619 4,907,328 Steel Dynamics, Inc. 945,483 17,273,974 Stepan Co. 7,851 454,023 #* Stillwater Mining Co. 553,901 8,740,558 * SunCoke Energy, Inc. 269,295 5,620,187 Synalloy Corp. 12,873 199,532 #* Texas Industries, Inc. 121,280 10,514,976 Tredegar Corp. 21,600 449,496 # Tronox, Ltd. Class A 82,963 2,032,594 # United States Lime & Minerals, Inc. 9,565 517,084 # United States Steel Corp. 741,765 19,300,725 * Universal Stainless & Alloy Products, Inc. 35,038 1,257,514 Vulcan Materials Co. 13,331 860,249 # Walter Energy, Inc. 22,100 159,120 # Wausau Paper Corp. 180,883 2,163,361 Westlake Chemical Corp. 47,053 3,350,174 Worthington Industries, Inc. 54,132 1,992,058 # Zep, Inc. 17,667 305,462 ------------ Total Materials 391,131,911 ------------ Other -- (0.0%) (o)* FRD Acquisition Co. Escrow Shares 55,628 -- (o)#* Gerber Scientific, Inc. Escrow Shares 137,957 -- ------------ Total Other -- ------------ Real Estate Investment Trusts -- (0.1%) Geo Group, Inc. (The) 103,102 3,457,010 ------------ Telecommunication Services -- (1.1%) # Alteva 10,169 61,522 Atlantic Tele-Network, Inc. 14,904 881,870 * Cbeyond, Inc. 45,815 453,110 # Frontier Communications Corp. 2,373,164 14,120,326 * General Communication, Inc. Class A 259,590 2,710,120 #* Hawaiian Telcom Holdco, Inc. 2,948 78,476 # HC2 Holdings, Inc. 3,166 12,442 # HickoryTech Corp. 51,639 612,955 IDT Corp. Class B 61,175 969,012 Inteliquent, Inc. 182,031 2,482,903 #* Iridium Communications, Inc. 320,634 2,138,629 Lumos Networks Corp. 4,260 56,275 #* NII Holdings, Inc. 68,368 58,790 * ORBCOMM, Inc. 193,350 1,212,304 #* Premiere Global Services, Inc. 222,706 2,832,820 # Shenandoah Telecommunications Co. 43,276 1,213,026 #* Straight Path Communications, Inc. Class B 28,787 201,509 * T-Mobile US, Inc. 216,214 6,332,908 Telephone & Data Systems, Inc. 429,082 11,666,740 United States Cellular Corp. 102,697 4,266,033 U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ---------- -------------- Telecommunication Services -- (Continued) USA Mobility, Inc. 96,088 $ 1,645,987 * Vonage Holdings Corp. 797,601 3,062,788 # Windstream Holdings, Inc. 625,059 5,669,285 -------------- Total Telecommunication Services 62,739,830 -------------- Utilities -- (0.5%) # Consolidated Water Co., Ltd. 32,635 379,219 #* Dynegy, Inc. 47,106 1,340,166 #* Genie Energy, Ltd. Class B 77,586 628,446 # Ormat Technologies, Inc. 114,126 3,044,882 SJW Corp. 40,237 1,095,653 UGI Corp. 449,464 20,985,474 -------------- Total Utilities 27,473,840 -------------- TOTAL COMMON STOCKS 4,945,500,541 -------------- RIGHTS/WARRANTS -- (0.0%) (o)* Capital Bank Corp. Contingent Value Rights 200 -- (o)* Leap Wireless International, Inc. Contingent Value Rights 270,907 682,686 (o)#* Magnum Hunter Resources Corp. Warrants 04/15/16 50,591 -- (o)#* PhotoMedex, Inc. Contingent Value Warrants 12/13/14 1,528 -- -------------- TOTAL RIGHTS/WARRANTS 682,686 -------------- TEMPORARY CASH INVESTMENTS -- (0.3%) State Street Institutional Liquid Reserves, 0.074% 15,510,701 15,510,701 -------------- SHARES/ FACE AMOUNT (000) ---------- SECURITIES LENDING COLLATERAL -- (14.9%) (S)@ DFA Short Term Investment Fund 74,872,147 866,270,744 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $4,310,166,489) $5,827,964,672 ============== U.S. TARGETED VALUE PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, 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 $ 658,074,122 $ 33,338 -- $ 658,107,460 Consumer Staples 161,380,997 -- -- 161,380,997 Energy 542,918,719 -- -- 542,918,719 Financials 1,226,962,595 7,512 -- 1,226,970,107 Health Care 312,001,682 211,481 -- 312,213,163 Industrials 840,937,331 1,662 -- 840,938,993 Information Technology 718,168,511 -- -- 718,168,511 Materials 391,131,911 -- -- 391,131,911 Other -- -- -- -- Real Estate Investment Trusts 3,457,010 -- -- 3,457,010 Telecommunication Services 62,739,830 -- -- 62,739,830 Utilities 27,473,840 -- -- 27,473,840 Rights/Warrants -- 682,686 -- 682,686 Temporary Cash Investments 15,510,701 -- -- 15,510,701 Securities Lending Collateral -- 866,270,744 -- 866,270,744 -------------- ------------ -- -------------- TOTAL $4,960,757,249 $867,207,423 -- $5,827,964,672 ============== ============ == ============== U.S. SMALL CAP VALUE PORTFOLIO SCHEDULE OF INVESTMENTS APRIL 30, 2014 (UNAUDITED) SHARES VALUE+ --------- ----------- COMMON STOCKS -- (83.9%) Consumer Discretionary -- (12.3%) * 1-800-Flowers.com, Inc. Class A 213,842 $ 1,165,439 # Aaron's, Inc. 563,911 16,618,457 # Abercrombie & Fitch Co. Class A 823,524 30,272,742 # AH Belo Corp. Class A 239,077 2,751,776 #* ALCO Stores, Inc. 98,216 990,999 * Ambassadors Group, Inc. 6,586 27,925 AMCON Distributing Co. 3,567 287,001 # American Eagle Outfitters, Inc. 805,165 9,307,707 * Ascena Retail Group, Inc. 334,940 5,760,968 #* Ascent Capital Group, Inc. Class A 105,902 7,282,881 * Ballantyne Strong, Inc. 315,943 1,428,062 #* Barnes & Noble, Inc. 1,577,178 25,865,719 # Bassett Furniture Industries, Inc. 200,365 2,763,033 # Beasley Broadcasting Group, Inc. Class A 75,568 581,874 # bebe stores, Inc. 319,937 1,615,682 # Big 5 Sporting Goods Corp. 63,221 771,928 * Biglari Holdings, Inc. 26,626 11,423,087 #* BJ's Restaurants, Inc. 33,564 958,252 #* Black Diamond, Inc. 335,769 3,743,824 # Bob Evans Farms, Inc. 340,620 15,964,859 #* Body Central Corp. 112,234 116,723 #* Books-A-Million, Inc. 322,657 761,471 #* Boyd Gaming Corp. 422,688 4,996,172 #* Bridgepoint Education, Inc. 83,028 1,315,994 Brown Shoe Co., Inc. 499,092 11,773,580 * Build-A-Bear Workshop, Inc. 509,189 5,713,101 #* Cabela's, Inc. 345,541 22,670,945 #* Cache, Inc. 451,798 1,201,783 # Callaway Golf Co. 2,093,614 18,235,378 * Cambium Learning Group, Inc. 218,576 489,610 * Canterbury Park Holding Corp. 16,406 184,567 * Career Education Corp. 350,459 2,530,314 Carriage Services, Inc. 367,201 5,908,264 * Carrols Restaurant Group, Inc. 7,357 49,365 * Cavco Industries, Inc. 30,342 2,365,159 #* Central European Media Enterprises, Ltd. Class A 58,733 160,928 #* Charles & Colvard, Ltd. 19,136 41,525 # Children's Place Retail Stores, Inc. (The) 237,744 11,411,712 * Christopher & Banks Corp. 357,867 2,233,090 Churchill Downs, Inc. 2,204 193,577 * Citi Trends, Inc. 72,319 1,228,700 * Coast Distribution System, Inc. (The) 92,516 296,051 #* Cobra Electronics Corp. 176,106 581,150 # Collectors Universe, Inc. 21,749 510,667 #* Conn's, Inc. 611,963 27,067,123 Core-Mark Holding Co., Inc. 289,967 23,353,942 #* Corinthian Colleges, Inc. 680,515 782,592 * Crocs, Inc. 63,717 964,038 #* Crown Media Holdings, Inc. Class A 228,048 816,412 CSS Industries, Inc. 259,352 6,216,667 Culp, Inc. 26,354 475,690 U.S. SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Consumer Discretionary -- (Continued) * Cumulus Media, Inc. Class A 1,350,666 $ 8,657,769 #* dELiA*s, Inc. 271,854 229,717 #* Delta Apparel, Inc. 188,208 2,866,408 Destination Maternity Corp. 115,942 2,859,130 #* Destination XL Group, Inc. 34,779 187,807 # DeVry Education Group, Inc. 889,844 40,069,675 Dillard's, Inc. Class A 73,088 7,157,508 * Dixie Group, Inc. (The) 293,970 4,430,128 #* Dorman Products, Inc. 471,467 27,132,926 #* Dover Downs Gaming & Entertainment, Inc. 136,501 197,926 Dover Motorsports, Inc. 319,398 747,391 #* DreamWorks Animation SKG, Inc. Class A 684,061 16,437,986 #* Education Management Corp. 13,591 53,956 # Educational Development Corp. 1,000 3,880 #* ELXSI Corp. 8,249 80,222 #* Emerson Radio Corp. 156,037 316,755 * Emmis Communications Corp. Class A 353,768 1,142,671 #* Entercom Communications Corp. Class A 63,248 683,078 # Escalade, Inc. 4,453 65,548 #* EW Scripps Co. Class A 1,289,837 22,094,908 (o)#* FAB Universal Corp. 5,333 12,282 #* Federal-Mogul Holdings Corp. 415,593 7,156,511 #* Flanigan's Enterprises, Inc. 4,740 66,123 # Flexsteel Industries, Inc. 196,868 6,756,510 # Fred's, Inc. Class A 1,069,088 19,478,783 Frisch's Restaurants, Inc. 49,454 1,171,071 #* FTD Cos., Inc. 348,882 10,585,080 #* Fuel Systems Solutions, Inc. 165,969 1,739,355 #* Full House Resorts, Inc. 121,199 241,792 * Gaiam, Inc. Class A 92,238 680,716 #* Gaming Partners International Corp. 44,581 376,709 * Geeknet, Inc. 61,724 913,515 #* Genesco, Inc. 5,144 392,847 #* Gray Television, Inc. 1,312,014 14,760,157 #* Gray Television, Inc. Class A 23,767 219,964 # Group 1 Automotive, Inc. 556,954 40,173,092 * Hallwood Group, Inc. (The) 4,538 55,636 # Harte-Hanks, Inc. 362,848 2,917,298 #* Hastings Entertainment, Inc. 298,504 880,587 Haverty Furniture Cos., Inc. 522,626 13,347,868 # Haverty Furniture Cos., Inc. Class A 5,701 145,832 * Helen of Troy, Ltd. 842,455 52,821,928 #* hhgregg, Inc. 51,621 444,973 * Hollywood Media Corp. 447,988 559,985 # Hooker Furniture Corp. 253,794 3,515,047 #* Iconix Brand Group, Inc. 2,048,461 87,059,592 # International Speedway Corp. Class A 759,713 23,885,377 #* Isle of Capri Casinos, Inc. 509,303 3,463,260 * Jaclyn, Inc. 40,909 245,454 # JAKKS Pacific, Inc. 692,157 6,063,295 # Johnson Outdoors, Inc. Class A 207,794 4,349,128 * Journal Communications, Inc. Class A 728,783 5,844,840 U.S. SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Consumer Discretionary -- (Continued) #* K12, Inc. 80,906 $ 1,915,854 * Kona Grill, Inc. 74,031 1,736,027 La-Z-Boy, Inc. 273,164 6,618,764 #* Lakeland Industries, Inc. 141,538 1,004,920 #* Lee Enterprises, Inc. 107,038 430,293 #* Libbey, Inc. 337,773 9,008,406 * Liberty Media Corp. Class B 2,215 277,861 #* Life Time Fitness, Inc. 377,589 18,124,272 Lifetime Brands, Inc. 352,718 6,736,914 * LIN Media LLC Class A 240,316 5,630,604 # Lincoln Educational Services Corp. 33,307 135,893 Lithia Motors, Inc. Class A 195,321 14,508,444 * Live Nation Entertainment, Inc. 2,763,163 57,694,843 * Loral Space & Communications, Inc. 86,706 6,241,965 #* Luby's, Inc. 481,887 2,611,828 #* M/I Homes, Inc. 318,396 7,090,679 # Marcus Corp. (The) 562,220 9,405,941 #* MarineMax, Inc. 632,180 10,152,811 * Marriott Vacations Worldwide Corp. 618,412 33,691,086 # Matthews International Corp. Class A 15,237 614,813 #* McClatchy Co. (The) Class A 1,241,657 6,804,280 McRae Industries, Inc. Class A 30,453 892,273 # MDC Holdings, Inc. 774,315 21,371,094 #* Media General, Inc. Class A 396,500 6,074,380 Men's Wearhouse, Inc. (The) 39,170 1,855,875 # Meredith Corp. 128,673 5,670,619 * Meritage Homes Corp. 29,738 1,147,292 #* Modine Manufacturing Co. 78,941 1,300,948 #* Monarch Casino & Resort, Inc. 10,218 163,897 #* Motorcar Parts of America, Inc. 82,164 2,254,580 Movado Group, Inc. 433,624 17,032,751 #* MTR Gaming Group, Inc. 287,975 1,457,153 NACCO Industries, Inc. Class A 151,042 8,094,341 National CineMedia, Inc. 24,440 371,244 #* Nautilus, Inc. 23,985 199,795 #* Nevada Gold & Casinos, Inc. 130,600 150,190 * New York & Co., Inc. 165,919 695,201 # Nexstar Broadcasting Group, Inc. Class A 66,242 2,639,744 * Nobility Homes, Inc. 4,781 52,591 #* Office Depot, Inc. 2,049,677 8,383,179 * Orient-Express Hotels, Ltd. Class A 2,610,922 34,203,078 * P&F Industries, Inc. Class A 24,537 201,203 #* Pacific Sunwear of California, Inc. 1,422,155 4,095,806 #* Penn National Gaming, Inc. 500,587 5,586,551 Penske Automotive Group, Inc. 1,250,616 57,353,250 #* Pep Boys-Manny, Moe & Jack (The) 1,430,354 14,618,218 * Perfumania Holdings, Inc. 89,183 591,283 #* Perry Ellis International, Inc. 465,385 7,027,313 #* Pinnacle Entertainment, Inc. 1,763 41,025 * Point.360 34,599 12,456 #* Premier Exhibitions, Inc. 201,518 175,945 * QEP Co., Inc. 42,217 778,904 U.S. SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE+ --------- -------------- Consumer Discretionary -- (Continued) #* Quiksilver, Inc. 1,911,680 $ 12,272,986 #* Radio One, Inc. Class D 623,107 2,816,444 #* RadioShack Corp. 71,827 102,713 #* Reading International, Inc. Class A 168,095 1,190,113 #* Red Lion Hotels Corp. 529,902 3,046,936 # Regis Corp. 1,834,694 24,107,879 # Rent-A-Center, Inc. 1,812,734 52,949,960 #* Rick's Cabaret International, Inc. 255,070 2,576,207 Rocky Brands, Inc. 128,368 1,879,308 #* Ruby Tuesday, Inc. 1,773,386 13,672,806 # Saga Communications, Inc. Class A 155,524 6,889,713 # Salem Communications Corp. Class A 112,349 989,795 # Scholastic Corp. 1,407,493 46,320,595 #* Shiloh Industries, Inc. 192,329 3,796,574 # Shoe Carnival, Inc. 559,938 12,788,984 #* Sizmek, Inc. 295,542 2,831,292 * Skechers U.S.A., Inc. Class A 1,138,657 46,673,550 * Skullcandy, Inc. 183,466 1,412,688 * Skyline Corp. 1,465 7,472 Sonic Automotive, Inc. Class A 57,726 1,405,051 #* Spanish Broadcasting System, Inc. Class A 8,699 55,152 Spartan Motors, Inc. 678,830 3,604,587 #* Spectrum Group International, Inc. 312,991 190,925 # Speedway Motorsports, Inc. 912,661 16,601,304 #* Sport Chalet, Inc. Class A 82,165 92,846 * Sport Chalet, Inc. Class B 15,675 19,907 # Stage Stores, Inc. 1,054,045 20,216,583 Standard Motor Products, Inc. 267,219 10,151,650 * Stanley Furniture Co., Inc. 93,359 272,608 * Starz Class B 2,327 75,185 # Stein Mart, Inc. 13,707 171,337 * Stoneridge, Inc. 110,349 1,179,631 Strattec Security Corp. 48,198 3,220,108 Superior Industries International, Inc. 770,022 16,278,265 # Superior Uniform Group, Inc. 144,642 2,351,879 #* Systemax, Inc. 30,340 524,579 # Trans World Entertainment Corp. 634,084 2,073,455 #* TRI Pointe Homes, Inc. 15,499 249,069 #* Trinity Place Holdings, Inc. 366,813 2,329,263 #* Tuesday Morning Corp. 1,299,169 18,162,383 #* Unifi, Inc. 441,743 9,780,190 * Universal Electronics, Inc. 33,659 1,257,164 * Valuevision Media, Inc. Class A 3,840 17,971 #* VOXX International Corp. 467,980 5,498,765 # Wendy's Co. (The) 5,010,422 41,636,607 #* West Marine, Inc. 598,932 6,408,572 #* Wet Seal, Inc. (The) Class A 268,827 303,775 * Zagg, Inc. 106,845 464,776 #* Zale Corp. 1,002,090 21,434,705 -------------- Total Consumer Discretionary 1,567,251,485 -------------- U.S. SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE+ --------- ------------ Consumer Staples -- (2.6%) * Alliance One International, Inc. 1,604,896 $ 4,124,583 # Andersons, Inc. (The) 80,856 5,036,520 #* Boulder Brands, Inc. 1,079,155 15,928,328 * Bridgford Foods Corp. 37,720 373,617 # CCA Industries, Inc. 32,097 97,254 #* Central Garden and Pet Co. 312,005 2,536,601 #* Central Garden and Pet Co. Class A 930,053 7,691,538 #* Chiquita Brands International, Inc. 1,392,929 15,990,825 #* Craft Brew Alliance, Inc. 251,817 3,769,700 * Crystal Rock Holdings, Inc. 9,911 8,474 * Cuisine Solutions, Inc. 156,778 315,124 Dean Foods Co. 782,941 12,401,785 * Elizabeth Arden, Inc. 800 29,392 #* Farmer Bros. Co. 11,351 223,728 # Fresh Del Monte Produce, Inc. 1,668,743 48,209,985 # Griffin Land & Nurseries, Inc. 20,232 590,774 #* Harbinger Group, Inc. 147,141 1,715,664 # Ingles Markets, Inc. Class A 235,800 5,421,042 # John B. Sanfilippo & Son, Inc. 214,706 4,948,973 * Mannatech, Inc. 3,084 50,177 # MGP Ingredients, Inc. 289,677 1,691,714 #* Natural Alternatives International, Inc. 94,109 536,421 #* Nutraceutical International Corp. 58,325 1,453,459 # Oil-Dri Corp. of America 73,605 2,466,503 * Omega Protein Corp. 555,415 6,309,514 # Orchids Paper Products Co. 2,641 70,964 #* Pantry, Inc. (The) 554,664 8,342,147 #* Post Holdings, Inc. 831,094 43,432,972 Reliv International, Inc. 12,603 27,853 #* Revlon, Inc. Class A 33,302 1,003,722 # Roundy's, Inc. 18,988 128,549 * Seaboard Corp. 18,588 45,317,544 #* Seneca Foods Corp. Class A 95,222 2,704,305 * Seneca Foods Corp. Class B 24,265 741,053 # Snyder's-Lance, Inc. 26,660 708,090 Spartan Stores, Inc. 930,808 20,049,604 Spectrum Brands Holdings, Inc. 168,595 12,953,154 #* TreeHouse Foods, Inc. 55,314 4,139,700 # Universal Corp. 830,795 45,336,483 # Weis Markets, Inc. 9,965 459,287 ------------ Total Consumer Staples 327,337,122 ------------ Energy -- (10.2%) Adams Resources & Energy, Inc. 108,293 7,803,594 # Alon USA Energy, Inc. 1,219,268 19,861,876 #* Alpha Natural Resources, Inc. 7,379,049 31,729,911 #* Approach Resources, Inc. 23,097 479,263 #* Barnwell Industries, Inc. 142,853 439,273 #* Basic Energy Services, Inc. 822,623 21,733,700 #* Bill Barrett Corp. 802,715 19,008,291 #* Black Ridge Oil and Gas, Inc. 72,013 61,931 Bolt Technology Corp. 6,706 113,197 U.S. SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE+ --------- ------------ Energy -- (Continued) # Bristow Group, Inc. 1,350,016 $103,681,229 #* C&J Energy Services, Inc. 161,064 4,841,584 #* Cal Dive International, Inc. 896,081 1,326,200 * Callon Petroleum Co. 398,077 3,654,347 #* Clayton Williams Energy, Inc. 3,954 571,274 * Cloud Peak Energy, Inc. 1,102,910 21,716,298 # Comstock Resources, Inc. 1,579,419 43,907,848 #* Contango Oil & Gas Co. 40,514 1,946,292 # Dawson Geophysical Co. 195,627 5,528,419 Delek US Holdings, Inc. 1,112,945 35,603,110 DHT Holdings, Inc. 101,379 791,770 #* Emerald Oil, Inc. 27,559 194,842 # Energy XXI Bermuda, Ltd. 970,014 23,212,435 #* EPL Oil & Gas, Inc. 626,932 24,538,118 * Era Group, Inc. 494,097 14,106,469 #* Escalera Resources Co. 81,571 222,689 Evolution Petroleum Corp. 17,477 206,229 # Exterran Holdings, Inc. 2,367,691 101,858,067 #* Forbes Energy Services, Ltd. 1,755 7,266 * Forum Energy Technologies, Inc. 32,396 967,344 * Gastar Exploration, Inc. 7,589 50,315 # Green Plains Renewable Energy, Inc. 1,042,931 31,183,637 # Gulf Island Fabrication, Inc. 260,396 5,223,544 Gulfmark Offshore, Inc. Class A 853,641 38,422,381 #* Halcon Resources Corp. 221,233 1,221,206 #* Harvest Natural Resources, Inc. 1,085,710 4,896,552 #* Helix Energy Solutions Group, Inc. 3,591,562 86,341,150 #* Hercules Offshore, Inc. 5,192,933 23,212,410 * HKN, Inc. 2,167 135,448 #* Hornbeck Offshore Services, Inc. 1,311,935 54,353,467 #* Hyperdynamics Corp. 537 779 #* ION Geophysical Corp. 183,332 806,661 #* Key Energy Services, Inc. 3,320,986 33,342,699 #* Magnum Hunter Resources Corp. 409,557 3,481,234 #* Matador Resources Co. 1,928 55,372 #* McDermott International, Inc. 4,447,838 32,157,869 #* Mexco Energy Corp. 733 5,314 #* Midstates Petroleum Co., Inc. 15,989 94,335 #* Miller Energy Resources, Inc. 30,956 149,208 #* Mitcham Industries, Inc. 192,522 2,656,804 * Natural Gas Services Group, Inc. 300,278 9,215,532 #* Newpark Resources, Inc. 1,451,681 17,478,239 # Nordic American Tankers, Ltd. 274,138 2,365,811 #* Northern Oil and Gas, Inc. 937,086 14,459,237 #* Overseas Shipholding Group, Inc. 776,519 4,426,158 #* Pacific Drilling SA 246,945 2,447,225 * Parker Drilling Co. 3,553,895 23,562,324 #* PDC Energy, Inc. 564,285 35,928,026 #* Penn Virginia Corp. 2,025,040 33,696,666 #* PHI, Inc. Non-Voting 311,111 13,937,773 #* PHI, Inc. Voting 1,686 71,318 * Pioneer Energy Services Corp. 1,907,098 28,549,257 U.S. SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE+ --------- -------------- Energy -- (Continued) * Renewable Energy Group, Inc. 592,836 $ 6,977,680 #* Rentech, Inc. 506,484 1,073,746 #* REX American Resources Corp. 234,850 15,349,796 #* Rosetta Resources, Inc. 99,193 4,695,797 #* SandRidge Energy, Inc. 424,495 2,912,036 #* SEACOR Holdings, Inc. 572,132 47,710,087 # Ship Finance International, Ltd. 68,221 1,202,736 * Steel Excel, Inc. 421,014 13,640,854 * Stone Energy Corp. 773,137 37,922,370 Superior Energy Services, Inc. 915,588 30,141,157 #* Swift Energy Co. 867,842 10,700,492 #* Synthesis Energy Systems, Inc. 1,263 2,185 #* Tesco Corp. 549,318 10,986,360 #* TETRA Technologies, Inc. 1,311,713 16,396,412 #* TGC Industries, Inc. 92,704 469,082 # Tidewater, Inc. 189,656 9,659,180 #* Triangle Petroleum Corp. 931,142 8,957,586 * Unit Corp. 343,126 22,629,160 * US Energy Corp. Wyoming 10,022 42,593 #* USEC, Inc. 14,531 49,115 #* Vaalco Energy, Inc. 175,204 1,615,381 # W&T Offshore, Inc. 571,443 10,971,706 * Warren Resources, Inc. 656,888 3,330,422 # Western Refining, Inc. 1,084,054 47,156,349 #* Westmoreland Coal Co. 68,170 2,018,514 * Willbros Group, Inc. 171,061 1,900,488 -------------- Total Energy 1,302,552,101 -------------- Financials -- (21.5%) * 1st Constitution Bancorp 17,947 187,008 # 1st Source Corp. 589,930 17,397,036 # 1st United Bancorp, Inc. 88,107 644,943 #* A-Mark Precious Metals, Inc. 78,247 929,966 # Access National Corp. 39,281 579,395 # Alexander & Baldwin, Inc. 790,886 29,507,957 Alliance Bancorp, Inc. of Pennsylvania 2,078 32,427 #* Altisource Asset Management Corp. 18,447 18,045,778 # Ameriana Bancorp 34,757 479,820 # American Equity Investment Life Holding Co. 2,111,537 49,241,043 * American Independence Corp. 8,517 93,091 American National Insurance Co. 5,717 642,648 * American River Bankshares 142,147 1,358,925 * Ameris Bancorp 200,892 4,272,973 # AmeriServ Financial, Inc. 323,958 1,127,374 Argo Group International Holdings, Ltd. 1,019,162 45,271,176 Aspen Insurance Holdings, Ltd. 1,316,288 60,259,665 # Associated Banc-Corp 855,148 15,007,847 * Asta Funding, Inc. 222,408 1,817,073 Astoria Financial Corp. 2,139,827 28,374,106 # Atlantic American Corp. 238,675 835,362 #* Atlantic Coast Financial Corp. 17,186 73,900 #* Atlanticus Holdings Corp. 262,883 638,806 U.S. SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE+ --------- ------------ Financials -- (Continued) #* AV Homes, Inc. 231,572 $ 3,966,828 # Baldwin & Lyons, Inc. Class A 3,124 73,820 # Baldwin & Lyons, Inc. Class B 368,143 9,575,399 # Banc of California, Inc. 119,581 1,503,133 # Bancorp of New Jersey, Inc. 400 5,444 * Bancorp, Inc. 207,040 3,275,373 # BancorpSouth, Inc. 730,539 17,065,391 Bank Mutual Corp. 187,515 1,128,840 Bank of Commerce Holdings 15,477 98,279 # BankFinancial Corp. 524,139 5,157,528 Banner Corp. 148,776 5,882,603 # Bar Harbor Bankshares 530 19,917 #* BBX Capital Corp. Class A 266,322 4,988,211 BCB Bancorp, Inc. 25,972 345,428 * Beneficial Mutual Bancorp, Inc. 7,075 92,258 Berkshire Bancorp, Inc. 4,650 34,177 Berkshire Hills Bancorp, Inc. 574,073 13,450,530 #* BNCCORP, Inc. 29,762 461,311 * BofI Holding, Inc. 12,710 1,024,553 # Boston Private Financial Holdings, Inc. 337,789 4,225,740 #* Bridge Capital Holdings 34,550 773,920 # Brookline Bancorp, Inc. 1,102,142 10,007,449 C&F Financial Corp. 14,360 448,750 # Calamos Asset Management, Inc. Class A 155,674 1,896,109 # California First National Bancorp 142,816 2,117,961 Camden National Corp. 300 11,451 Cape Bancorp, Inc. 36,671 390,546 * Capital Bank Financial Corp. Class A 52,456 1,251,076 # Capital City Bank Group, Inc. 52,500 729,750 Capital Southwest Corp. 204,928 7,192,973 # Capitol Federal Financial, Inc. 1,616,290 19,460,132 * Carolina Bank Holdings, Inc. 4,214 40,539 # Cash America International, Inc. 282,142 12,287,284 Cathay General Bancorp 1,273,848 30,062,813 Centerstate Banks, Inc. 101,131 1,109,407 Central Pacific Financial Corp. 39,090 733,719 # Century Bancorp, Inc. Class A 19,731 660,988 Chemical Financial Corp. 671,333 18,844,317 Chicopee Bancorp, Inc. 38,643 669,683 # Citizens Community Bancorp, Inc. 42,530 341,516 * Citizens First Corp. 5,422 58,449 CNO Financial Group, Inc. 8,473,636 146,170,221 # CoBiz Financial, Inc. 43,350 435,234 Codorus Valley Bancorp, Inc. 16,689 356,310 #* Colonial Financial Services, Inc. 4,224 49,252 #* Colony Bankcorp, Inc. 12,037 74,268 Columbia Banking System, Inc. 479,371 11,897,988 * Community Bankers Trust Corp. 300 1,236 #* Community West Bancshares 23,717 164,359 #* CommunityOne Bancorp 998 9,731 * Consumer Portfolio Services, Inc. 314,416 2,194,624 #* Cowen Group, Inc. Class A 1,408,515 5,788,997 U.S. SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Financials -- (Continued) #* Customers Bancorp, Inc. 26,834 $ 591,153 #* DFC Global Corp. 282,848 2,636,143 Dime Community Bancshares, Inc. 5,738 93,529 Donegal Group, Inc. Class A 491,040 7,247,750 # Donegal Group, Inc. Class B 54,693 1,180,275 #* Doral Financial Corp. 9,481 90,638 Eagle Bancorp Montana, Inc. 1,125 12,229 * Eastern Virginia Bankshares, Inc. 22,219 149,978 # EMC Insurance Group, Inc. 293,400 9,679,266 Employers Holdings, Inc. 5,796 117,949 Endurance Specialty Holdings, Ltd. 1,345,668 68,386,848 #* Enstar Group, Ltd. 2,408 310,873 # Enterprise Bancorp, Inc. 4,006 73,150 # Enterprise Financial Services Corp. 79,073 1,413,035 # ESB Financial Corp. 44,352 559,722 # ESSA Bancorp, Inc. 176,522 1,834,064 Evans Bancorp, Inc. 5,783 130,551 # EverBank Financial Corp. 15,751 294,859 * Ezcorp, Inc. Class A 290,333 3,028,173 #* Farmers Capital Bank Corp. 56,370 1,177,569 # FBL Financial Group, Inc. Class A 791,367 35,382,019 # Federal Agricultural Mortgage Corp. Class A 3,592 98,870 Federal Agricultural Mortgage Corp. Class C 246,270 8,762,287 Federated National Holding Co. 169,778 3,298,787 # Fidelity Southern Corp. 33,167 438,136 Financial Institutions, Inc. 178,038 4,121,580 #* First Acceptance Corp. 865,637 2,068,872 # First American Financial Corp. 1,825,531 48,559,125 # First Bancorp 77,463 1,333,138 First Bancorp of Indiana, Inc. 5,430 80,771 # First Bancorp, Inc. 658 10,482 #* First BanCorp. 635,046 3,264,136 #* First Bancshares, Inc. 22,105 182,366 First Bancshares, Inc. (The) 2,580 37,384 First Business Financial Services, Inc. 23,772 1,074,732 First Citizens BancShares, Inc. Class A 23,645 5,317,524 # First Commonwealth Financial Corp. 2,077,179 17,842,968 First Community Bancshares, Inc. 90,209 1,335,995 # First Connecticut Bancorp, Inc. 4,438 70,342 First Defiance Financial Corp. 204,972 5,538,343 #* First Federal Bancshares of Arkansas, Inc. 103,884 921,451 # First Federal of Northern Michigan Bancorp, Inc. 31,310 155,611 First Financial Corp. 158,287 5,066,767 # First Financial Holdings, Inc. 54,076 3,107,748 # First Financial Northwest, Inc. 216,348 2,206,750 * First Financial Service Corp. 16,049 58,579 First Interstate Bancsystem, Inc. 342,427 8,523,008 #* First Marblehead Corp. (The) 17,819 93,728 First Merchants Corp. 854,841 18,139,726 First Midwest Bancorp, Inc. 1,317,833 21,572,926 * First Place Financial Corp. 203,821 316 #* First United Corp. 70,785 584,684 U.S. SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Financials -- (Continued) # First West Virginia Bancorp 9,474 $ 170,816 Firstbank Corp. 99,156 1,748,120 FirstMerit Corp. 118,678 2,301,166 * Flagstar Bancorp, Inc. 295,616 5,202,842 # Flushing Financial Corp. 388,331 7,463,722 # FNB Corp. 960,096 11,943,594 #* Forestar Group, Inc. 104,211 1,776,798 #* Fortegra Financial Corp. 4,128 29,804 Fox Chase Bancorp, Inc. 40,271 671,720 #* Franklin Financial Corp. 19,557 390,358 Fulton Financial Corp. 2,599,588 31,688,978 # Gain Capital Holdings, Inc. 420 4,242 * GAINSCO, Inc. 100 869 # GFI Group, Inc. 187,617 697,935 #* Global Indemnity P.L.C. 256,850 6,883,580 Great Southern Bancorp, Inc. 3,057 87,644 * Greenlight Capital Re, Ltd. Class A 89,395 2,845,443 # Guaranty Bancorp 115,707 1,456,751 #* Guaranty Federal Bancshares, Inc. 32,452 410,193 * Hallmark Financial Services, Inc. 445,378 3,741,175 Hampden Bancorp, Inc. 9,957 161,801 Hancock Holding Co. 44,021 1,484,828 Hanover Insurance Group, Inc. (The) 1,120,492 65,492,757 Harleysville Savings Financial Corp. 14,292 241,535 #* Harris & Harris Group, Inc. 315,989 1,134,401 Hawthorn Bancshares, Inc. 28,194 373,852 # Heartland Financial USA, Inc. 2,117 51,443 Heritage Commerce Corp. 237,542 1,928,841 # Heritage Financial Corp. 51,906 838,801 Heritage Financial Group, Inc. 11,730 225,802 HF Financial Corp. 127,909 1,752,353 * Hilltop Holdings, Inc. 1,305,463 29,164,043 # Hingham Institution for Savings 1,857 129,080 * HMN Financial, Inc. 102,799 1,145,181 #* Home Bancorp, Inc. 5,999 121,480 Home Federal Bancorp, Inc. 207,561 3,123,793 # HomeStreet, Inc. 6,386 115,970 * HomeTrust Bancshares, Inc. 3,211 49,032 HopFed Bancorp, Inc. 72,033 819,736 Horace Mann Educators Corp. 909,746 27,356,062 # Horizon Bancorp 17,121 342,249 # Huntington Bancshares, Inc. 57,160 523,586 # Iberiabank Corp. 265,161 16,678,627 #* ICG Group, Inc. 761,982 15,529,193 #* Imperial Holdings, Inc. 59,108 395,433 # Independence Holding Co. 267,078 3,488,039 Independent Bank Corp. 44,809 583,413 Infinity Property & Casualty Corp. 477,290 30,627,699 International Bancshares Corp. 745,980 17,127,701 #* Intervest Bancshares Corp. Class A 174,269 1,319,216 #* INTL. FCStone, Inc. 8,211 155,352 #* Investment Technology Group, Inc. 365,575 7,545,468 U.S. SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Financials -- (Continued) # Investors Title Co. 43,302 $ 3,064,050 #* Jacksonville Bancorp, Inc. 625 6,519 # Janus Capital Group, Inc. 2,759,995 33,478,739 * Jefferson Bancshares, Inc. 30,773 241,568 # JMP Group, Inc. 37,531 259,339 * KCG Holdings, Inc. Class A 171,521 1,706,634 Kemper Corp. 1,652,800 65,136,848 Lake Shore Bancorp, Inc. 697 8,632 Lakeland Bancorp, Inc. 155,839 1,626,959 Landmark Bancorp, Inc. 25,597 494,534 # LNB Bancorp, Inc. 215,712 2,454,803 # Louisiana Bancorp, Inc. 1,005 19,597 # LSB Financial Corp. 14,699 433,180 # Macatawa Bank Corp. 150,646 733,646 * Magyar Bancorp, Inc. 36,773 304,113 # Maiden Holdings, Ltd. 1,279,583 15,099,079 # MainSource Financial Group, Inc. 509,612 8,423,886 * Malvern Bancorp, Inc. 1,888 19,446 Manning & Napier, Inc. 680 11,302 # Marlin Business Services Corp. 345,056 5,924,612 #* Maui Land & Pineapple Co., Inc. 12,148 95,119 MB Financial, Inc. 1,553,415 41,693,659 * MBIA, Inc. 6,187,865 74,996,924 * MBT Financial Corp. 358,206 1,765,956 # MCG Capital Corp. 2,360,215 7,930,322 # Meadowbrook Insurance Group, Inc. 1,525,908 8,545,085 # Medallion Financial Corp. 331,032 4,502,035 # Mercantile Bank Corp. 95,648 1,866,092 # Mercury General Corp. 8,373 400,732 # Meta Financial Group, Inc. 49,599 2,078,694 #* Metro Bancorp, Inc. 401,510 8,198,834 #* MGIC Investment Corp. 3,085,096 26,531,826 MicroFinancial, Inc. 220,012 1,731,494 Mid Penn Bancorp, Inc. 4,664 69,960 # MidWestOne Financial Group, Inc. 16,034 394,917 # Montpelier Re Holdings, Ltd. 2,155,898 65,927,361 * MSB Financial Corp. 3,087 25,174 MutualFirst Financial, Inc. 140,766 2,646,401 # National Bank Holdings Corp. Class A 11,882 227,659 # National Interstate Corp. 3,000 84,060 National Penn Bancshares, Inc. 1,086,635 10,616,424 National Security Group, Inc. 11,290 117,190 National Western Life Insurance Co. Class A 65,017 15,165,215 * Naugatuck Valley Financial Corp. 3,280 25,404 * Navigators Group, Inc. (The) 463,446 26,402,519 # NBT Bancorp, Inc. 10,538 238,686 Nelnet, Inc. Class A 430,910 18,210,257 * New Century Bancorp, Inc. 40,342 298,934 # New Hampshire Thrift Bancshares, Inc. 90,405 1,333,474 * NewBridge Bancorp 250,514 1,926,453 #* NewStar Financial, Inc. 490,506 5,601,579 * North Valley Bancorp 5,059 114,333 U.S. SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Financials -- (Continued) Northeast Bancorp 13,957 $ 135,662 Northeast Community Bancorp, Inc. 10,981 79,942 Northfield Bancorp, Inc. 280,731 3,641,081 # Northrim BanCorp, Inc. 137,999 3,310,596 Northway Financial, Inc. 7,359 138,717 # Northwest Bancshares, Inc. 1,688,178 22,435,886 # Norwood Financial Corp. 504 14,535 # Ocean Shore Holding Co. 18,712 280,493 # OFG Bancorp 865,653 14,768,040 # Old Line Bancshares, Inc. 39,695 673,624 # Old National Bancorp 660,062 9,320,070 #* Old Second Bancorp, Inc. 317,787 1,512,666 OmniAmerican Bancorp, Inc. 8,717 216,705 # OneBeacon Insurance Group, Ltd. Class A 68,931 1,064,295 # Oppenheimer Holdings, Inc. Class A 66,426 1,691,206 Oritani Financial Corp. 4,353 64,555 Pacific Continental Corp. 43,723 576,269 #* Pacific Mercantile Bancorp 142,901 936,002 #* Pacific Premier Bancorp, Inc. 119,828 1,635,652 PacWest Bancorp 1,022,770 40,266,455 Park Sterling Corp. 702,246 4,585,666 * Patriot National Bancorp, Inc. 76,824 99,103 Peoples Bancorp 14,576 364,400 # Peoples Bancorp of North Carolina, Inc. 32,318 555,870 Peoples Bancorp, Inc. 286,793 7,476,694 #* PHH Corp. 2,038,158 48,447,016 #* Phoenix Cos., Inc. (The) 103,691 4,564,478 * PICO Holdings, Inc. 139,432 3,241,794 Pinnacle Financial Partners, Inc. 643,266 22,237,706 * Piper Jaffray Cos. 341,899 14,995,690 Platinum Underwriters Holdings, Ltd. 978,955 61,390,268 * Popular, Inc. 776,656 23,998,670 #* Porter Bancorp, Inc. 8,106 8,754 * Preferred Bank 35,862 769,240 Premier Financial Bancorp, Inc. 153,304 2,192,247 PrivateBancorp, Inc. 298,613 8,232,760 ProAssurance Corp. 77,862 3,536,492 Protective Life Corp. 137,101 7,012,716 # Provident Financial Holdings, Inc. 189,969 2,672,864 # Provident Financial Services, Inc. 2,296,391 39,911,276 * Prudential Bancorp, Inc. 94 1,016 * PSB Holdings, Inc. 2,619 17,128 # Pulaski Financial Corp. 233,961 2,416,817 QC Holdings, Inc. 1,979 4,097 # QCR Holdings, Inc. 2,479 42,862 Radian Group, Inc. 1,346,898 18,829,634 # Renasant Corp. 553,629 15,069,781 Republic Bancorp, Inc. Class A 14,916 358,133 #* Republic First Bancorp, Inc. 77,655 343,235 # Resource America, Inc. Class A 296,143 2,520,177 #* Riverview Bancorp, Inc. 460,438 1,602,324 * Royal Bancshares of Pennsylvania, Inc. Class A 8,282 21,616 U.S. SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Financials -- (Continued) # S&T Bancorp, Inc. 9,004 $ 209,433 #* Safeguard Scientifics, Inc. 245,411 5,156,085 Safety Insurance Group, Inc. 389,411 20,915,265 Salisbury Bancorp, Inc. 3,107 93,692 # Sandy Spring Bancorp, Inc. 321,670 7,736,163 # SB Financial Group, Inc. 33,863 267,518 #* Security National Financial Corp. Class A 12,981 50,496 Selective Insurance Group, Inc. 1,856,648 42,591,505 * Shore Bancshares, Inc. 10,316 97,899 SI Financial Group, Inc. 8,587 101,327 * Siebert Financial Corp. 50,658 148,175 # Sierra Bancorp 218,146 3,405,259 # Simmons First National Corp. Class A 45,791 1,655,803 Simplicity Bancorp, Inc. 9,042 156,788 * South Street Financial Corp. 11,002 105,553 #* Southcoast Financial Corp. 123,556 888,368 (o)# Southern Community Financial Corp. 226,834 49,903 * Southern First Bancshares, Inc. 67,157 917,365 # Southern Missouri Bancorp, Inc. 384 13,555 # Southern National Bancorp of Virginia, Inc. 5,903 60,978 Southwest Bancorp, Inc. 371,476 6,203,649 Southwest Georgia Financial Corp. 1,652 23,698 StanCorp Financial Group, Inc. 645,152 39,418,787 # State Auto Financial Corp. 817,479 16,725,620 # Sterling Bancorp 1,094,407 13,089,108 # Stewart Information Services Corp. 633,206 19,312,783 #* Stratus Properties, Inc. 122,308 2,030,313 #* Suffolk Bancorp 11,214 245,923 # Summit State Bank 8,558 99,273 #* Sun Bancorp, Inc. 591,825 2,248,935 Susquehanna Bancshares, Inc. 5,950,068 61,642,704 * Sussex Bancorp 30,750 276,750 * SWS Group, Inc. 1,900 14,079 Symetra Financial Corp. 1,546,996 31,960,937 Synovus Financial Corp. 6,337,456 20,343,234 * Taylor Capital Group, Inc. 91,483 1,947,673 Teche Holding Co. 14,319 1,043,855 # Territorial Bancorp, Inc. 9,072 185,613 TF Financial Corp. 73,202 2,295,615 Timberland Bancorp, Inc. 186,434 1,985,522 Tompkins Financial Corp. 89 4,195 # Tower Group International, Ltd. 1,179,095 2,900,574 # TowneBank 78,039 1,204,142 #* Transcontinental Realty Investors, Inc. 2,293 32,790 #* Tree.com, Inc. 132,521 3,853,711 # Trustmark Corp. 162,756 3,722,230 # Umpqua Holdings Corp. 4,077,772 67,813,348 * Unico American Corp. 145,800 1,926,018 Union Bankshares Corp. 620,899 15,888,805 United Bancshares, Inc. 9,093 139,214 United Bankshares, Inc. 92,527 2,706,415 United Community Bancorp 2,815 32,091 U.S. SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE+ --------- -------------- Financials -- (Continued) * United Community Banks, Inc. 163,415 $ 2,639,152 #* United Community Financial Corp. 480,969 1,601,627 # United Financial Bancorp, Inc.(91030T109) 225,690 3,981,172 United Financial Bancorp, Inc.(910304104) 11,681 153,722 United Fire Group, Inc. 861,095 23,955,663 #* United Security Bancshares 8,793 49,593 Unity Bancorp, Inc. 51,891 443,668 # Universal Insurance Holdings, Inc. 212,466 3,108,378 # Univest Corp. of Pennsylvania 14,797 291,649 * Vantagesouth Bancshares, Inc. 37,363 229,409 # VSB Bancorp, Inc. 833 9,396 * Walker & Dunlop, Inc. 13,692 214,691 Washington Federal, Inc. 2,231,745 48,161,057 # Waterstone Financial, Inc. 96,225 1,001,702 Wayne Savings Bancshares, Inc. 22,033 256,023 Webster Financial Corp. 2,295,144 69,175,640 # WesBanco, Inc. 739,437 22,360,575 # West Bancorporation, Inc. 82,211 1,192,882 # Westfield Financial, Inc. 367,765 2,519,190 # Wintrust Financial Corp. 1,388,818 62,246,823 * Wright Investors' Service Holdings, Inc. 89,208 155,222 WSFS Financial Corp. 26,313 1,779,285 WVS Financial Corp. 1,740 20,749 * Yadkin Financial Corp. 34,273 656,328 -------------- Total Financials 2,754,859,119 -------------- Health Care -- (4.4%) #* Addus HomeCare Corp. 14,594 315,522 #* Affymetrix, Inc. 934,283 6,941,723 #* Albany Molecular Research, Inc. 873,537 14,029,004 #* Alere, Inc. 870,660 29,080,044 * Allied Healthcare Products, Inc. 207,331 447,835 #* Almost Family, Inc. 61,408 1,318,430 #* Alphatec Holdings, Inc. 194,191 262,158 #* Amedisys, Inc. 649,664 8,854,920 #* American Shared Hospital Services 87,469 244,039 * Amsurg Corp. 516,263 22,359,351 * AngioDynamics, Inc. 789,731 10,613,985 #* Anika Therapeutics, Inc. 194,619 8,318,016 * Arrhythmia Research Technology, Inc. 5,407 26,224 #* AVEO Pharmaceuticals, Inc. 13,179 16,210 #* Bioanalytical Systems, Inc. 9,691 26,941 #* BioScrip, Inc. 446,859 3,092,264 * BioTelemetry, Inc. 320,149 2,541,983 #* Capital Senior Living Corp. 472,165 11,676,640 * Chindex International, Inc. 8,385 199,815 CONMED Corp. 831,122 38,505,882 * Cross Country Healthcare, Inc. 921,612 6,534,229 CryoLife, Inc. 395,364 3,589,905 #* Cumberland Pharmaceuticals, Inc. 34,176 152,083 #* Cutera, Inc. 399,674 4,120,639 Daxor Corp. 8,579 71,292 U.S. SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE+ --------- ------------ Health Care -- (Continued) Digirad Corp. 253,185 $ 805,128 #* Emergent Biosolutions, Inc. 43,578 1,148,716 #* Enzo Biochem, Inc. 497,886 2,091,121 # Enzon Pharmaceuticals, Inc. 9,488 8,445 #* Exactech, Inc. 2,933 65,171 * Five Star Quality Care, Inc. 936,550 4,523,537 #* Gentiva Health Services, Inc. 543,576 4,093,127 * Greatbatch, Inc. 577,717 26,592,314 * Hanger, Inc. 50,220 1,741,127 #* Harvard Apparatus Regenerative Technology, Inc. 43,963 380,280 #* Harvard Bioscience, Inc. 184,805 779,877 * Health Net, Inc. 642,810 22,067,667 #* Healthways, Inc. 383,633 6,905,394 * ICU Medical, Inc. 15,295 853,155 Invacare Corp. 778,561 12,301,264 * Iridex Corp. 60,213 501,574 Kewaunee Scientific Corp. 68,740 1,151,395 # Kindred Healthcare, Inc. 1,618,370 40,621,087 * Lannett Co., Inc. 278,478 9,615,845 # LeMaitre Vascular, Inc. 72,587 595,939 #* LHC Group, Inc. 84,804 1,762,227 * LifePoint Hospitals, Inc. 1,892,213 105,812,551 * Magellan Health Services, Inc. 269,253 15,541,283 (o)#* Maxygen, Inc. 701,074 21,032 * MedAssets, Inc. 17,474 398,931 (o)#* MedCath Corp. 622,045 1,244,090 #* Medical Action Industries, Inc. 106,170 680,550 #* MediciNova, Inc. 18,700 35,156 * Merit Medical Systems, Inc. 90,063 1,159,111 #* Misonix, Inc. 131,503 789,018 #* Molina Healthcare, Inc. 194,968 7,291,803 # National Healthcare Corp. 400 21,892 * Natus Medical, Inc. 75,052 1,863,541 * Orthofix International NV 112,647 3,401,939 #* Pacific Biosciences of California, Inc. 141,966 627,490 #* PDI, Inc. 294,287 1,389,035 #* Pernix Therapeutics Holdings 4,185 20,130 #* PharMerica Corp. 523,661 14,238,343 * Prestige Brands Holdings, Inc. 1,233,861 41,359,021 Psychemedics Corp. 365 5,752 * RadNet, Inc. 285,137 1,417,131 #* Retractable Technologies, Inc. 39,828 146,965 #* Rigel Pharmaceuticals, Inc. 36,828 117,850 #* RTI Surgical, Inc. 699,904 3,009,587 #* Sciclone Pharmaceuticals, Inc. 37,163 177,639 Select Medical Holdings Corp. 425,126 5,934,759 #* Skilled Healthcare Group, Inc. Class A 50,778 262,015 #* Special Diversified Opportunities, Inc. 70,070 82,683 #* Stereotaxis, Inc. 2,235 8,649 #* Sucampo Pharmaceuticals, Inc. Class A 277,919 1,920,420 * Symmetry Medical, Inc. 914,668 7,555,158 #* Targacept, Inc. 97,656 433,593 U.S. SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE+ --------- ------------ Health Care -- (Continued) #* Transcept Pharmaceuticals, Inc. 2,688 $ 7,930 #* Triple-S Management Corp. Class B 603,505 9,040,505 # Universal American Corp. 2,163,085 15,509,320 * VCA Antech, Inc. 22,410 686,418 * WellCare Health Plans, Inc. 171,386 11,563,413 Xstelos Holdings, Inc. 251,700 176,190 ------------ Total Health Care 565,894,417 ------------ Industrials -- (15.6%) # AAR Corp. 1,212,101 31,393,416 ABM Industries, Inc. 77,426 2,097,470 # Acacia Research Corp. 83,125 1,333,325 #* ACCO Brands Corp. 855,979 5,247,151 #* Accuride Corp. 65,493 369,381 Aceto Corp. 533,965 11,683,154 # Acme United Corp. 2,707 45,559 #* Acorn Energy, Inc. 140,865 326,807 Actuant Corp. Class A 400 13,544 #* Aegion Corp. 887,489 22,622,095 #* AeroCentury Corp. 31,474 564,958 * Air Transport Services Group, Inc. 825,271 6,461,872 Aircastle, Ltd. 1,404,483 24,676,766 # Alamo Group, Inc. 307,163 16,316,499 Albany International Corp. Class A 3,971 142,877 (o) Allied Defense Group, Inc. 118,807 9,505 Allied Motion Technologies, Inc. 44,049 499,516 AMERCO 343,691 85,960,556 #* Ameresco, Inc. Class A 8,400 53,844 # American Railcar Industries, Inc. 484,088 33,615,071 * AMREP Corp. 8,733 47,595 # Apogee Enterprises, Inc. 122,111 3,879,466 * ARC Document Solutions, Inc. 139,548 893,107 ArcBest Corp. 773,859 30,505,522 Argan, Inc. 968 25,913 #* Arotech Corp. 57,107 198,161 #* Ascent Solar Technologies, Inc. 118,282 59,744 # Astec Industries, Inc. 59,384 2,372,391 #* Atlas Air Worldwide Holdings, Inc. 732,886 25,643,681 #* Avalon Holdings Corp. Class A 51,820 232,154 * Avis Budget Group, Inc. 3,370,535 177,256,436 # Baltic Trading, Ltd. 491,593 2,944,642 Barnes Group, Inc. 91,121 3,509,981 Barrett Business Services, Inc. 79,460 4,005,579 #* BlueLinx Holdings, Inc. 836,669 1,096,036 # Brady Corp. Class A 144,372 3,723,354 # Briggs & Stratton Corp. 1,186,191 25,348,902 # Brink's Co. (The) 53,726 1,366,789 #* Builders FirstSource, Inc. 222,403 1,745,864 #* CAI International, Inc. 89,477 1,946,125 * Casella Waste Systems, Inc. Class A 14,929 76,138 #* CBIZ, Inc. 409,643 3,510,640 CDI Corp. 403,507 6,181,727 U.S. SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE+ --------- ------------ Industrials -- (Continued) # Ceco Environmental Corp. 119,310 $ 1,895,836 # Celadon Group, Inc. 62,313 1,433,822 Chicago Rivet & Machine Co. 28,248 1,094,610 * Columbus McKinnon Corp. 4,124 109,245 # Comfort Systems USA, Inc. 37,073 556,095 # Compx International, Inc. 67,191 618,157 Con-way, Inc. 135,453 5,754,043 # Courier Corp. 68,916 1,001,349 Covanta Holding Corp. 1,421,379 26,224,443 * Covenant Transportation Group, Inc. Class A 203,297 2,083,794 #* CPI Aerostructures, Inc. 7,476 100,702 #* CRA International, Inc. 65,831 1,433,141 Cubic Corp. 999 47,383 Curtiss-Wright Corp. 641,116 40,992,957 * DigitalGlobe, Inc. 424,397 12,638,543 Douglas Dynamics, Inc. 1,220 20,581 #* Ducommun, Inc. 309,013 7,499,745 * Dycom Industries, Inc. 418,475 13,140,115 # Dynamic Materials Corp. 8,572 173,154 #* Eagle Bulk Shipping, Inc. 355,785 1,038,892 Eastern Co. (The) 69,790 1,178,753 Ecology and Environment, Inc. Class A 35,051 336,139 EMCOR Group, Inc. 4,367 200,838 # Encore Wire Corp. 248,475 12,108,187 #* Energy Recovery, Inc. 27,016 138,052 #* Engility Holdings, Inc. 149,406 6,520,078 Ennis, Inc. 757,408 11,330,824 #* Erickson, Inc. 700 11,067 ESCO Technologies, Inc. 114,921 3,840,660 * Esterline Technologies Corp. 1,145,345 124,865,512 * Federal Signal Corp. 982,704 14,917,447 * Franklin Covey Co. 213,063 4,318,787 # FreightCar America, Inc. 41,065 1,078,367 #* FTI Consulting, Inc. 667,462 22,893,947 #* Fuel Tech, Inc. 102,548 624,517 # G&K Services, Inc. Class A 577,409 30,568,032 # GATX Corp. 1,763,892 115,764,232 * Gencor Industries, Inc. 35,002 367,171 # General Cable Corp. 1,727,267 44,252,581 #* Gibraltar Industries, Inc. 867,615 14,818,864 # Global Power Equipment Group, Inc. 8,739 153,195 #* GP Strategies Corp. 153,177 4,025,492 #* GrafTech International, Ltd. 1,514,486 16,977,388 # Granite Construction, Inc. 356,804 13,337,333 #* Great Lakes Dredge & Dock Corp. 1,460,574 12,604,754 #* Greenbrier Cos., Inc. (The) 770,646 40,412,676 # Griffon Corp. 1,509,131 16,057,154 * H&E Equipment Services, Inc. 347,240 13,386,102 Hardinge, Inc. 259,203 3,462,952 #* Hawaiian Holdings, Inc. 456,670 6,598,881 Heidrick & Struggles International, Inc. 16,633 313,532 * Hill International, Inc. 401,989 2,701,366 U.S. SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE+ ---------- ----------- Industrials -- (Continued) * Hudson Global, Inc. 389,082 $ 1,381,241 Hurco Cos., Inc. 126,087 3,361,479 # Hyster-Yale Materials Handling, Inc. 297,424 28,668,699 * ICF International, Inc. 120,861 4,709,953 #* InnerWorkings, Inc. 73,834 531,605 #* Innovative Solutions & Support, Inc. 100 673 Insteel Industries, Inc. 195,356 4,020,426 * Integrated Electrical Services, Inc. 900 5,589 * Intelligent Systems Corp. 27,446 42,816 # International Shipholding Corp. 220,292 5,934,666 # Intersections, Inc. 165,041 927,530 #* JetBlue Airways Corp. 10,804,486 85,409,462 * JPS Industries, Inc. 42,199 290,118 Kadant, Inc. 409,129 14,217,233 # Kelly Services, Inc. Class A 990,190 20,853,401 Kelly Services, Inc. Class B 567 12,877 * Key Technology, Inc. 10,099 124,521 Kimball International, Inc. Class B 787,055 13,191,042 * Korn/Ferry International 355,502 10,327,333 #* Kratos Defense & Security Solutions, Inc. 656,148 4,737,389 #* Lawson Products, Inc. 201,534 3,375,694 #* Layne Christensen Co. 504,050 8,780,551 # LB Foster Co. Class A 47,365 2,242,733 #* LMI Aerospace, Inc. 147,008 2,005,189 LS Starrett Co. (The) Class A 183,253 2,862,412 # LSI Industries, Inc. 201,707 1,534,990 * Lydall, Inc. 417,771 9,780,019 #* Magnetek, Inc. 29,000 639,450 # Marten Transport, Ltd. 845,591 19,837,565 Mastech Holdings, Inc. 58,730 1,014,854 # Matson, Inc. 841,455 19,934,069 # McGrath RentCorp 94,866 2,995,868 * Meritor, Inc. 76,805 911,675 #* Metalico, Inc. 143,374 220,796 * Mfri, Inc. 204,452 2,226,482 # Miller Industries, Inc. 295,316 5,720,271 # Mobile Mini, Inc. 1,175,105 51,916,139 * Moog, Inc. Class A 43,679 2,858,791 * MRC Global, Inc. 269,216 7,858,415 Mueller Water Products, Inc. Class A 3,721,812 33,942,925 # Multi-Color Corp. 26,729 931,506 * MYR Group, Inc. 13,844 324,780 * Navigant Consulting, Inc. 676,258 11,361,134 # NL Industries, Inc. 170,882 1,713,946 # NN, Inc. 485,644 9,504,053 * Northwest Pipe Co. 256,151 9,162,521 #* Ocean Power Technologies, Inc. 88,447 238,807 * Orbital Sciences Corp. 171,868 5,052,919 * Orion Energy Systems, Inc. 96,096 509,309 * Orion Marine Group, Inc. 163,723 1,920,471 * PAM Transportation Services, Inc. 150,056 3,734,894 * Park-Ohio Holdings Corp. 116,265 6,788,713 U.S. SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Industrials -- (Continued) * Patrick Industries, Inc. 125,616 $ 5,033,433 #* Patriot Transportation Holding, Inc. 7,369 257,031 * PGT, Inc. 80,347 799,453 #* Pike Corp. 435,582 4,181,587 #* PMFG, Inc. 7,327 41,544 #* PowerSecure International, Inc. 296,322 6,587,238 Preformed Line Products Co. 44,160 2,639,002 # Providence and Worcester Railroad Co. 88,450 1,542,568 Quad/Graphics, Inc. 180,265 3,902,737 #* Quality Distribution, Inc. 162,863 2,047,188 # Quanex Building Products Corp. 33,582 632,685 #* RCM Technologies, Inc. 215,529 1,461,287 * Republic Airways Holdings, Inc. 1,594,974 13,254,234 Resources Connection, Inc. 51,092 695,362 * Roadrunner Transportation Systems, Inc. 47,244 1,163,620 #* RPX Corp. 20,706 339,164 RR Donnelley & Sons Co. 156,041 2,746,322 #* Rush Enterprises, Inc. Class A 856,868 27,505,463 #* Rush Enterprises, Inc. Class B 332,305 9,397,585 * Saia, Inc. 631,194 25,986,257 Schawk, Inc. 121,875 2,437,500 # Servotronics, Inc. 15,025 116,369 SIFCO Industries, Inc. 68,152 2,238,793 SkyWest, Inc. 1,671,434 19,388,634 * SL Industries, Inc. 28,931 795,313 * Sparton Corp. 311,191 8,451,948 Standex International Corp. 212,743 12,630,552 #* Sterling Construction Co., Inc. 173,748 1,334,385 * Supreme Industries, Inc. Class A 176,937 1,003,233 Sypris Solutions, Inc. 278,004 842,352 # TAL International Group, Inc. 45,174 1,905,439 #* Tecumseh Products Co. Class A 409,492 2,461,047 * Tecumseh Products Co. Class B 59,184 345,635 * Tetra Tech, Inc. 68,050 1,950,993 # Titan International, Inc. 724,054 12,678,186 #* Titan Machinery, Inc. 70,698 1,247,113 #* Transcat, Inc. 58,439 575,040 #* TRC Cos., Inc. 316,913 1,879,294 # Trinity Industries, Inc. 437,767 32,858,791 * Tutor Perini Corp. 1,298,565 38,437,524 # Twin Disc, Inc. 68,541 1,982,891 #* Ultralife Corp. 140,452 505,627 * Ultrapetrol Bahamas, Ltd. 242,535 686,374 UniFirst Corp. 144,311 13,888,491 United Stationers, Inc. 46,022 1,727,206 # Universal Forest Products, Inc. 619,807 31,294,055 #* Universal Security Instruments, Inc. 34,941 146,752 #* USA Truck, Inc. 307,125 5,116,702 * Versar, Inc. 45,303 174,870 Viad Corp. 525,060 12,102,633 * Virco Manufacturing Corp. 37,692 82,734 #* Volt Information Sciences, Inc. 534,473 4,265,095 U.S. SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE+ --------- -------------- Industrials -- (Continued) # VSE Corp. 6,654 $ 415,675 # Watts Water Technologies, Inc. Class A 548,845 29,198,554 # Werner Enterprises, Inc. 377,582 9,666,099 * Willdan Group, Inc. 38,985 182,060 * Willis Lease Finance Corp. 294,405 5,935,205 #* XPO Logistics, Inc. 486 13,190 -------------- Total Industrials 1,999,850,908 -------------- Information Technology -- (11.8%) #* ADDvantage Technologies Group, Inc. 4,523 15,197 * Advanced Energy Industries, Inc. 107,663 2,355,666 #* Aehr Test Systems 54,035 138,330 #* Aeroflex Holding Corp. 2,800 21,420 #* Aetrium, Inc. 10,647 53,767 * Agilysys, Inc. 502,038 6,295,557 * Alpha & Omega Semiconductor, Ltd. 343,388 2,472,394 #* Amkor Technology, Inc. 559,650 4,449,218 #* ANADIGICS, Inc. 251,610 314,513 * AOL, Inc. 463,753 19,853,266 * ARRIS Group, Inc. 171,589 4,476,757 Astro-Med, Inc. 167,804 2,109,296 #* Audience, Inc. 16,244 186,806 * Autobytel, Inc. 55,623 691,950 #* Aviat Networks, Inc. 1,151,085 1,738,138 #* Avid Technology, Inc. 973,693 7,351,382 AVX Corp. 274,443 3,663,814 #* Aware, Inc. 660,227 3,657,658 * Axcelis Technologies, Inc. 487,072 871,859 * AXT, Inc. 210,884 455,509 # Bel Fuse, Inc. Class A 14,272 290,578 Bel Fuse, Inc. Class B 169,368 3,685,448 * Benchmark Electronics, Inc. 2,299,623 53,305,261 # Black Box Corp. 510,256 10,848,043 * Blonder Tongue Laboratories 19,745 17,771 #* Blucora, Inc. 964,544 18,567,472 * Bogen Communications International 43,300 44,599 (o) Bogen Corp. 43,300 -- #* BroadVision, Inc. 17,915 177,717 # Brooks Automation, Inc. 2,044,187 20,912,033 * Bsquare Corp. 74,978 239,930 * BTU International, Inc. 17,638 51,679 #* CACI International, Inc. Class A 827,960 57,667,414 #* CalAmp Corp. 170,528 3,026,872 * Cascade Microtech, Inc. 336,101 3,589,559 * Checkpoint Systems, Inc. 465,057 5,938,778 #* ChyronHego Corp. 51,176 122,311 * CIBER, Inc. 2,052,110 8,865,115 #* Cinedigm Corp. 205,377 513,443 #* Clearfield, Inc. 44,712 704,661 * Coherent, Inc. 470,071 28,067,939 # Cohu, Inc. 702,713 7,237,944 (o)# Commerce One, LLC 55,600 -- U.S. SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Information Technology -- (Continued) # Communications Systems, Inc. 153,092 $ 1,850,882 # Computer Task Group, Inc. 128,200 2,026,842 Compuware Corp. 138,972 1,439,750 # Comtech Telecommunications Corp. 527,830 16,758,603 Concurrent Computer Corp. 137,792 1,156,075 # Convergys Corp. 3,909,664 84,214,163 # CSP, Inc. 125,308 949,835 CTS Corp. 1,225,517 21,801,947 #* CyberOptics Corp. 237,710 1,787,579 #* Data I/O Corp. 74,290 193,154 #* Dataram Corp. 2,200 5,896 #* Demand Media, Inc. 229,097 953,044 * Digi International, Inc. 714,315 6,328,831 # Digimarc Corp. 29,179 963,491 * Digital River, Inc. 305,449 4,670,315 * Diodes, Inc. 128,370 3,385,117 #* Dot Hill Systems Corp. 388,477 1,604,410 * DSP Group, Inc. 549,920 4,377,363 # EarthLink Holdings Corp. 2,799,073 9,544,839 #* Eastman Kodak Co. 1,200 35,844 #* Echelon Corp. 7,911 20,490 * Edgewater Technology, Inc. 298,591 2,114,024 # Electro Rent Corp. 545,049 8,802,541 # Electro Scientific Industries, Inc. 897,364 7,609,647 * Electronics for Imaging, Inc. 927,043 35,032,955 * Emcore Corp. 51,228 247,431 * Emulex Corp. 1,351,095 9,660,329 #* Entropic Communications, Inc. 332,458 1,226,770 EPIQ Systems, Inc. 334,773 4,281,747 * ePlus, Inc. 270,502 13,535,920 #* Exar Corp. 943,449 10,208,118 #* Fabrinet 16,235 350,676 #* Fairchild Semiconductor International, Inc. 3,649,415 46,457,053 #* First Solar, Inc. 140,736 9,498,273 * FormFactor, Inc. 1,036,231 5,958,328 * Frequency Electronics, Inc. 218,323 2,326,232 * Giga-tronics, Inc. 10,700 12,840 #* GigOptix, Inc. 21,536 34,242 #* GSE Systems, Inc. 19,948 34,909 * GSI Group, Inc. 20,292 246,345 #* GSI Technology, Inc. 6,651 42,234 Hackett Group, Inc. (The) 192,050 1,152,300 * Harmonic, Inc. 1,099,288 7,727,995 #* Hutchinson Technology, Inc. 677,548 1,883,583 #* ID Systems, Inc. 153,839 866,114 #* Identive Group, Inc. 104,300 88,655 #* II-VI, Inc. 98,251 1,414,814 * Ikanos Communications, Inc. 128,006 76,164 #* Imation Corp. 1,427,295 6,165,914 * Insight Enterprises, Inc. 1,058,603 27,650,710 * Integrated Silicon Solution, Inc. 424,801 6,142,622 #* Internap Network Services Corp. 595,572 4,002,244 U.S. SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Information Technology -- (Continued) #* International Rectifier Corp. 1,565,384 $40,762,599 * Internet Patents Corp. 16,755 53,784 #* Interphase Corp. 78,699 428,910 Intersil Corp. Class A 2,056,417 25,376,186 * Intevac, Inc. 163,070 1,312,714 * IntraLinks Holdings, Inc. 248,481 2,273,601 #* IntriCon Corp. 44,161 291,904 #* iPass, Inc. 171,694 278,144 * Iteris, Inc. 107,467 208,486 #* Itron, Inc. 121,686 4,624,068 * Ixia 12,657 157,200 IXYS Corp. 35,661 384,782 #* Kemet Corp. 201,409 1,009,059 * Key Tronic Corp. 351,713 3,685,952 #* Kopin Corp. 5,300 17,278 * Kulicke & Soffa Industries, Inc. 1,235,854 18,179,412 * KVH Industries, Inc. 800 10,808 * Lattice Semiconductor Corp. 727,951 6,129,347 # Lexmark International, Inc. Class A 335,000 14,405,000 * LGL Group, Inc. (The) 8,402 41,170 #* Limelight Networks, Inc. 167,925 347,605 * Lionbridge Technologies, Inc. 65,229 383,547 * LoJack Corp. 138,946 787,824 * LTX-Credence Corp. 89,918 865,910 * Magnachip Semiconductor Corp. 5,800 81,200 #* Management Network Group, Inc. 10,673 43,653 # ManTech International Corp. Class A 334,139 9,967,366 # Marchex, Inc. Class B 255,488 2,363,264 #* Maxwell Technologies, Inc. 27,419 412,930 * Mercury Systems, Inc. 95,312 1,330,556 Methode Electronics, Inc. 787,880 21,855,791 # MKS Instruments, Inc. 1,392,090 39,187,334 #* ModusLink Global Solutions, Inc. 838,727 3,388,457 * Monster Worldwide, Inc. 2,264,614 15,603,190 #* MoSys, Inc. 144,081 563,357 * Multi-Fineline Electronix, Inc. 6,091 75,407 * NAPCO Security Technologies, Inc. 42,075 245,718 * NCI, Inc. Class A 7,285 72,631 #* NeoPhotonics Corp. 22,098 127,505 #* NETGEAR, Inc. 313,105 10,113,292 * Newport Corp. 1,041,072 19,447,225 #* Novatel Wireless, Inc. 231,558 419,120 #* Numerex Corp. Class A 89,013 912,383 * Oclaro, Inc. 318,679 1,083,509 #* OmniVision Technologies, Inc. 1,595,054 31,151,405 * Omtool, Ltd. 16,864 42,244 #* Oplink Communications, Inc. 187,777 3,218,498 # Optical Cable Corp. 169,845 643,713 * PAR Technology Corp. 147,203 710,991 PC Connection, Inc. 869,589 17,400,476 PC-Tel, Inc. 613,025 5,057,456 #* PCM, Inc. 204,946 2,135,537 U.S. SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Information Technology -- (Continued) * PDF Solutions, Inc. 225,405 $ 4,230,852 # Perceptron, Inc. 195,775 2,310,145 * Pericom Semiconductor Corp. 531,128 4,286,203 #* Photronics, Inc. 1,812,534 15,732,795 #* Planar Systems, Inc. 427,186 939,809 * Plexus Corp. 27,983 1,173,047 * Polycom, Inc. 2,778,657 34,177,481 #* PRGX Global, Inc. 7,528 48,405 * QLogic Corp. 1,324,791 15,341,080 #* Qualstar Corp. 379,283 572,717 * QuinStreet, Inc. 34,108 208,059 * Qumu Corp. 35,376 475,807 #* Radisys Corp. 233,276 746,483 * RealNetworks, Inc. 671,606 5,063,909 #* Reis, Inc. 331,936 5,463,667 #* Relm Wireless Corp. 130,663 420,735 # RF Industries, Ltd. 63,374 387,215 # Richardson Electronics, Ltd. 437,510 4,383,850 #* Rofin-Sinar Technologies, Inc. 74,187 1,646,951 * Rogers Corp. 1,159 69,563 * Rovi Corp. 1,115,142 24,856,515 #* Rudolph Technologies, Inc. 144,726 1,318,454 #* Sanmina Corp. 1,768,789 35,817,977 * ScanSource, Inc. 103,496 3,975,281 * Seachange International, Inc. 576,574 5,402,498 * Selectica, Inc. 3,912 23,276 #* Sevcon, Inc. 2,400 26,136 * Sigma Designs, Inc. 762,286 2,873,818 #* Sigmatron International, Inc. 16,500 170,280 #* Smith Micro Software, Inc. 6,955 11,545 * Spansion, Inc. Class A 1,014,477 18,088,125 #* Speed Commerce, Inc. 54,871 181,074 * StarTek, Inc. 236,335 1,642,528 #* SunPower Corp. 469,996 15,707,266 #* Super Micro Computer, Inc. 52,348 1,065,805 #* support.com, Inc. 814,775 2,012,494 #* Sykes Enterprises, Inc. 343,513 6,798,122 #* Synacor, Inc. 5,200 12,324 * SYNNEX Corp. 1,217,746 82,051,726 * Tech Data Corp. 947,224 59,192,028 #* TechTarget, Inc. 9,581 61,510 #* TeleCommunication Systems, Inc. Class A 970,193 2,473,992 * Telenav, Inc. 64,569 395,808 # Tessco Technologies, Inc. 73,369 2,413,106 # Tessera Technologies, Inc. 11,352 248,949 # TheStreet, Inc. 453,355 1,165,122 * Trio Tech International 39,533 124,331 * TriQuint Semiconductor, Inc. 3,614,088 51,247,768 * TSR, Inc. 1,145 3,469 #* TTM Technologies, Inc. 605,135 4,774,515 * Ultra Clean Holdings, Inc. 158,207 1,347,924 #* Ultratech, Inc. 10,569 281,347 U.S. SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE+ --------- -------------- Information Technology -- (Continued) United Online, Inc. 387,832 $ 4,595,809 #* UTStarcom Holdings Corp. 138,395 427,641 * VeriFone Systems, Inc. 245,782 8,218,950 #* Viasystems Group, Inc. 565,834 6,801,325 * Vicon Industries, Inc. 102,175 298,351 * Video Display Corp. 5,282 18,329 # Vishay Intertechnology, Inc. 4,983,062 70,859,142 * Vishay Precision Group, Inc. 372,658 6,048,239 #* Westell Technologies, Inc. Class A 82,538 269,074 #* Wireless Telecom Group, Inc. 137,594 326,098 #* Zygo Corp. 411,660 7,920,338 #* Zynga, Inc. Class A 2,042,087 8,270,452 -------------- Total Information Technology 1,511,134,395 -------------- Materials -- (5.1%) A Schulman, Inc. 630,670 22,653,666 #* Allied Nevada Gold Corp. 632,202 2,143,165 #* AM Castle & Co. 642,190 7,886,093 * American Biltrite, Inc. 110 46,200 # Ampco-Pittsburgh Corp. 53,988 1,081,380 # Axiall Corp. 376,421 17,541,219 # Cabot Corp. 25,654 1,482,801 #* Century Aluminum Co. 2,669,590 36,706,862 # Chase Corp. 1,380 42,973 * Clearwater Paper Corp. 6,765 415,303 * Codexis, Inc. 2,273 3,864 #* Coeur Mining, Inc. 2,339,118 20,256,762 Commercial Metals Co. 2,245,753 43,118,458 * Continental Materials Corp. 13,260 245,376 * Core Molding Technologies, Inc. 198,499 2,383,973 Domtar Corp. 66,713 6,228,326 * Ferro Corp. 133,773 1,736,374 Friedman Industries, Inc. 179,533 1,540,393 #* Golden Minerals Co. 12,380 8,666 * Graphic Packaging Holding Co. 5,789,957 59,404,959 Greif, Inc. Class A 35,061 1,899,956 # Haynes International, Inc. 1,378 73,103 * Headwaters, Inc. 652,631 8,144,835 # Hecla Mining Co. 439,274 1,348,571 #* Horsehead Holding Corp. 758,895 11,831,173 #* Intrepid Potash, Inc. 19,516 318,111 # Kaiser Aluminum Corp. 623,602 43,901,581 * KapStone Paper and Packaging Corp. 278,366 7,343,295 # KMG Chemicals, Inc. 1,674 26,131 * Kraton Performance Polymers, Inc. 215,313 5,608,904 * Landec Corp. 662,131 7,852,874 #* Louisiana-Pacific Corp. 4,511,484 73,943,223 #* LSB Industries, Inc. 30,602 1,168,690 Materion Corp. 74,978 2,523,010 #* McEwen Mining, Inc. 422,505 1,014,012 #* Mercer International, Inc. 451,826 3,741,119 #* Mines Management, Inc. 118,526 150,528 U.S. SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE+ --------- ------------ Materials -- (Continued) Myers Industries, Inc. 500,577 $ 9,360,790 Noranda Aluminum Holding Corp. 486,398 1,726,713 #* Northern Technologies International Corp. 3,305 69,901 # Olin Corp. 596,386 16,758,447 # Olympic Steel, Inc. 293,381 7,733,523 # OM Group, Inc. 1,035,713 30,336,034 #* Penford Corp. 256,129 3,227,225 PH Glatfelter Co. 1,166,261 29,762,981 PolyOne Corp. 311,293 11,664,149 * Resolute Forest Products, Inc. 394,575 7,039,218 #* RTI International Metals, Inc. 982,778 27,675,028 # Schnitzer Steel Industries, Inc. Class A 643,878 18,073,655 #* Stillwater Mining Co. 1,673,650 26,410,197 * SunCoke Energy, Inc. 412,275 8,604,179 # Synalloy Corp. 40,252 623,906 #* Texas Industries, Inc. 53,540 4,641,918 Tredegar Corp. 1,193,213 24,830,762 # Tronox, Ltd. Class A 447,263 10,957,943 #* Universal Stainless & Alloy Products, Inc. 130,617 4,687,844 # Wausau Paper Corp. 369,974 4,424,889 * Webco Industries, Inc. 9,290 975,450 Westlake Chemical Corp. 170,594 12,146,293 # Zep, Inc. 1,027 17,757 ------------ Total Materials 657,564,731 ------------ Other -- (0.0%) (o)* Allen Organ Co. Escrow Shares 4,900 -- (o)* Big 4 Ranch, Inc. 73,300 -- (o)* Concord Camera Corp. Escrow Shares 95,952 -- (o)* First Commerce Bancorp Escrow Shares 70,003 -- (o)* Gerber Scientific, Inc. Escrow Shares 525,910 -- (o)* Petrocorp, Inc. Escrow Shares 102,600 -- ------------ Total Other -- ------------ Real Estate Investment Trusts -- (0.1%) Geo Group, Inc. (The) 308,608 10,347,626 Parkway Properties, Inc. 1,112 20,973 ------------ Total Real Estate Investment Trusts 10,368,599 ------------ Telecommunication Services -- (0.2%) #* Alaska Communications Systems Group, Inc. 26,960 50,954 Atlantic Tele-Network, Inc. 10,278 608,149 #* Boingo Wireless, Inc. 33,955 224,103 * Cincinnati Bell, Inc. 851,428 2,852,284 #* General Communication, Inc. Class A 165,234 1,725,043 #* Hawaiian Telcom Holdco, Inc. 10,101 268,889 # HC2 Holdings, Inc. 10,700 42,051 IDT Corp. Class B 19,306 305,807 #* Iridium Communications, Inc. 1,442,170 9,619,274 #* ORBCOMM, Inc. 1,080,553 6,775,067 #* Premiere Global Services, Inc. 3,776 48,031 U.S. SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE+ ----------- --------------- Telecommunication Services -- (Continued) # Shenandoah Telecommunications Co. 867 $ 24,302 #* Straight Path Communications, Inc. Class B 9,653 67,571 Telephone & Data Systems, Inc. 112,580 3,061,050 USA Mobility, Inc. 130,317 2,232,330 --------------- Total Telecommunication Services 27,904,905 --------------- Utilities -- (0.1%) # Atlantic Power Corp. 35,369 105,046 # Consolidated Water Co., Ltd. 146,640 1,703,957 * Genie Energy, Ltd. Class B 32,852 266,101 # Ormat Technologies, Inc. 185,884 4,959,385 SJW Corp. 16,389 446,273 --------------- Total Utilities 7,480,762 --------------- TOTAL COMMON STOCKS 10,732,198,544 --------------- PREFERRED STOCKS -- (0.0%) Other -- (0.0%) (o)* Enron TOPRS Escrow Shares 34,332 -- --------------- RIGHTS/WARRANTS -- (0.0%) (o)* Capital Bank Corp. Contingent Value Rights 45,703 -- (o)* CSF Holding, Inc. Litigation Rights 40,500 -- (o)* Leap Wireless International, Inc. Contingent Value Rights 978,534 2,465,906 (o)* LGL Group, Inc. (The) Warrants 08/06/18 42,010 2,521 (o)#* Magnum Hunter Resources Corp. Warrants 04/15/16 40,956 -- (o)#* PhotoMedex, Inc. Contingent Value Warrants 12/13/14 10,016 -- (o)* U.S. Concrete, Inc. Warrants Class A 08/31/17 24,689 149,368 (o)* U.S. Concrete, Inc. Warrants Class B 08/31/17 24,689 98,756 --------------- TOTAL RIGHTS/WARRANTS 2,716,551 --------------- TEMPORARY CASH INVESTMENTS -- (1.0%) State Street Institutional Liquid Reserves, 0.074% 131,694,550 131,694,550 --------------- SHARES/ FACE AMOUNT (000) ----------- SECURITIES LENDING COLLATERAL -- (15.1%) (S)@ DFA Short Term Investment Fund 166,620,285 1,927,796,697 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $9,487,737,808) $12,794,406,342 =============== U.S. SMALL CAP VALUE PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, 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 $ 1,567,239,203 $ 12,282 -- $ 1,567,251,485 Consumer Staples 327,337,122 -- -- 327,337,122 Energy 1,302,552,101 -- -- 1,302,552,101 Financials 2,754,809,216 49,903 -- 2,754,859,119 Health Care 564,629,295 1,265,122 -- 565,894,417 Industrials 1,999,841,403 9,505 -- 1,999,850,908 Information Technology 1,511,134,395 -- -- 1,511,134,395 Materials 657,564,731 -- -- 657,564,731 Other -- -- -- -- Real Estate Investment Trusts 10,368,599 -- -- 10,368,599 Telecommunication Services 27,904,905 -- -- 27,904,905 Utilities 7,480,762 -- -- 7,480,762 Preferred Stocks Other -- -- -- -- Rights/Warrants -- 2,716,551 -- 2,716,551 Temporary Cash Investments 131,694,550 -- -- 131,694,550 Securities Lending Collateral -- 1,927,796,697 -- 1,927,796,697 Futures Contracts** (4,123,080) -- -- (4,123,080) --------------- -------------- -- --------------- TOTAL $10,858,433,202 $1,931,850,060 -- $12,790,283,262 =============== ============== == =============== ** Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) U.S. CORE EQUITY 1 PORTFOLIO SCHEDULE OF INVESTMENTS APRIL 30, 2014 (UNAUDITED) SHARES VALUE+ ------- ----------- COMMON STOCKS -- (91.7%) Consumer Discretionary -- (12.7%) * 1-800-Flowers.com, Inc. Class A 25,370 $ 138,267 # Aaron's, Inc. 73,718 2,172,469 # Abercrombie & Fitch Co. Class A 70,622 2,596,065 Advance Auto Parts, Inc. 46,700 5,664,243 #* Aeropostale, Inc. 58,751 291,992 AH Belo Corp. Class A 15,518 178,612 * Amazon.com, Inc. 117,726 35,804,008 #* Ambassadors Group, Inc. 8,122 34,437 * AMC Networks, Inc. Class A 49,532 3,252,766 AMCON Distributing Co. 247 19,874 #* America's Car-Mart, Inc. 8,261 298,553 * American Axle & Manufacturing Holdings, Inc. 60,499 1,067,807 # American Eagle Outfitters, Inc. 137,716 1,591,997 #* American Public Education, Inc. 17,979 622,073 * ANN, Inc. 55,008 2,155,764 * Apollo Education Group, Inc. Class A 161,621 4,664,382 # Arctic Cat, Inc. 12,176 497,877 Ark Restaurants Corp. 2,510 53,287 * Asbury Automotive Group, Inc. 27,819 1,717,545 * Ascena Retail Group, Inc. 165,300 2,843,160 #* Ascent Capital Group, Inc. Class A 14,541 999,985 # Autoliv, Inc. 73,971 7,543,563 * AutoNation, Inc. 46,142 2,445,065 * AutoZone, Inc. 11,997 6,405,078 * Ballantyne Strong, Inc. 10,077 45,548 #* Bally Technologies, Inc. 27,844 1,812,923 #* Barnes & Noble, Inc. 56,152 920,893 # Bassett Furniture Industries, Inc. 7,766 107,093 Beasley Broadcasting Group, Inc. Class A 3,374 25,980 * Beazer Homes USA, Inc. 11,219 212,712 # bebe stores, Inc. 79,073 399,319 * Bed Bath & Beyond, Inc. 60,100 3,734,013 # Best Buy Co., Inc. 199,785 5,180,425 # Big 5 Sporting Goods Corp. 22,121 270,097 * Big Lots, Inc. 46,275 1,827,863 * Biglari Holdings, Inc. 1,548 664,123 #* BJ's Restaurants, Inc. 25,871 738,617 #* Blue Nile, Inc. 7,692 267,143 # Blyth, Inc. 11,136 104,344 # Bob Evans Farms, Inc. 26,941 1,262,725 #* Body Central Corp. 9,690 10,078 # Bon-Ton Stores, Inc. (The) 13,310 146,410 * Books-A-Million, Inc. 9,373 22,120 BorgWarner, Inc. 91,298 5,673,258 # Bowl America, Inc. Class A 1,576 23,207 #* Boyd Gaming Corp. 47,548 562,017 * Bravo Brio Restaurant Group, Inc. 14,723 220,403 #* Bridgepoint Education, Inc. 44,168 700,063 Brinker International, Inc. 50,626 2,487,762 Brown Shoe Co., Inc. 43,207 1,019,253 Brunswick Corp. 46,904 1,885,072 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Consumer Discretionary -- (Continued) # Buckle, Inc. (The) 23,083 $ 1,084,670 * Buffalo Wild Wings, Inc. 20,055 2,930,437 * Build-A-Bear Workshop, Inc. 13,537 151,885 #* Cabela's, Inc. 53,932 3,538,479 # Cablevision Systems Corp. Class A 173,327 2,894,561 #* Cache, Inc. 12,441 33,093 #* Caesars Acquisition Co. Class A 63,258 797,051 #* Caesars Entertainment Corp. 70,116 1,295,043 # Callaway Golf Co. 74,527 649,130 * Cambium Learning Group, Inc. 45,231 101,317 * Canterbury Park Holding Corp. 2,402 27,023 # Capella Education Co. 14,090 822,292 * Career Education Corp. 69,693 503,183 #* CarMax, Inc. 77,932 3,411,863 * Carmike Cinemas, Inc. 22,920 679,807 Carnival Corp. 139,507 5,484,020 # Carriage Services, Inc. 12,876 207,175 #* Carrols Restaurant Group, Inc. 22,276 149,472 # Carter's, Inc. 46,502 3,425,337 # Cato Corp. (The) Class A 27,700 789,173 * Cavco Industries, Inc. 6,903 538,089 CBS Corp. Class A 9,684 563,125 CBS Corp. Class B 161,638 9,336,211 #* Central European Media Enterprises, Ltd. Class A 30,475 83,502 #* Charles & Colvard, Ltd. 17,475 37,921 * Charter Communications, Inc. Class A 37,866 5,131,979 # Cheesecake Factory, Inc. (The) 56,217 2,523,581 Cherokee, Inc. 3,363 46,645 Chico's FAS, Inc. 170,936 2,714,464 # Children's Place Retail Stores, Inc. (The) 28,532 1,369,536 * Chipotle Mexican Grill, Inc. 11,700 5,832,450 # Choice Hotels International, Inc. 47,507 2,098,859 * Christopher & Banks Corp. 19,052 118,884 Churchill Downs, Inc. 17,380 1,526,485 # Cinemark Holdings, Inc. 101,535 3,007,467 * Citi Trends, Inc. 14,593 247,935 Clear Channel Outdoor Holdings, Inc. Class A 33,565 269,191 Coach, Inc. 162,767 7,267,547 * Coast Distribution System, Inc. (The) 890 2,848 * Cobra Electronics Corp. 4,559 15,045 # Collectors Universe, Inc. 3,602 84,575 Columbia Sportswear Co. 30,427 2,616,113 Comcast Corp. Class A 754,125 39,033,510 Comcast Corp. Special Class A 168,043 8,575,234 #* Conn's, Inc. 29,186 1,290,897 # Cooper Tire & Rubber Co. 56,307 1,416,121 Core-Mark Holding Co., Inc. 11,801 950,453 #* Corinthian Colleges, Inc. 82,909 95,345 # Cracker Barrel Old Country Store, Inc. 30,484 2,888,054 * Crocs, Inc. 74,760 1,131,119 #* Crown Media Holdings, Inc. Class A 16,884 60,445 CSS Industries, Inc. 2,658 63,712 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Consumer Discretionary -- (Continued) # CST Brands, Inc. 37,455 $ 1,222,157 CTC Media, Inc. 156,776 1,359,248 Culp, Inc. 10,739 193,839 * Cumulus Media, Inc. Class A 66,466 426,047 # Dana Holding Corp. 146,589 3,103,289 # Darden Restaurants, Inc. 65,324 3,247,256 #* Deckers Outdoor Corp. 27,788 2,193,863 #* dELiA*s, Inc. 2,914 2,462 Delphi Automotive P.L.C. 97,131 6,492,236 #* Delta Apparel, Inc. 6,441 98,096 Destination Maternity Corp. 10,940 269,780 #* Destination XL Group, Inc. 50,786 274,244 # DeVry Education Group, Inc. 68,646 3,091,129 * DGSE Cos., Inc. 3,733 10,004 Dick's Sporting Goods, Inc. 37,524 1,976,014 Dillard's, Inc. Class A 42,148 4,127,554 DineEquity, Inc. 18,961 1,437,433 * DIRECTV 130,949 10,161,642 * Discovery Communications, Inc. Class A 36,788 2,792,209 * Discovery Communications, Inc. Class B 1,400 105,168 * Discovery Communications, Inc. Class C 22,092 1,549,312 * DISH Network Corp. Class A 59,822 3,401,479 * Dixie Group, Inc. (The) 4,689 70,663 * Dollar General Corp. 84,940 4,794,014 * Dollar Tree, Inc. 81,910 4,265,054 Domino's Pizza, Inc. 45,406 3,377,298 #* Dorman Products, Inc. 29,627 1,705,034 * Dover Downs Gaming & Entertainment, Inc. 8,520 12,354 Dover Motorsports, Inc. 3,182 7,446 # DR Horton, Inc. 219,609 4,892,889 #* DreamWorks Animation SKG, Inc. Class A 78,702 1,891,209 Drew Industries, Inc. 18,796 945,815 DSW, Inc. Class A 74,048 2,472,463 # Dunkin' Brands Group, Inc. 94,117 4,283,265 #* Education Management Corp. 52,147 207,024 Educational Development Corp. 1,932 7,496 Einstein Noah Restaurant Group, Inc. 11,040 169,574 * Emerson Radio Corp. 14,810 30,064 #* Entercom Communications Corp. Class A 23,008 248,486 # Entravision Communications Corp. Class A 41,298 219,292 # Escalade, Inc. 5,323 78,355 # Ethan Allen Interiors, Inc. 20,924 508,035 #* Ever-Glory International Group, Inc. 1,700 12,580 * EW Scripps Co. Class A 41,271 706,972 Expedia, Inc. 69,202 4,912,650 * Express, Inc. 67,193 979,002 (o)#* FAB Universal Corp. 12,591 28,997 Family Dollar Stores, Inc. 39,470 2,318,862 #* Famous Dave's Of America, Inc. 4,605 121,986 #* Federal-Mogul Holdings Corp. 85,960 1,480,231 * Fiesta Restaurant Group, Inc. 16,627 608,714 Finish Line, Inc. (The) Class A 55,892 1,538,707 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Consumer Discretionary -- (Continued) #* Flanigan's Enterprises, Inc. 300 $ 4,185 Flexsteel Industries, Inc. 3,267 112,123 Foot Locker, Inc. 158,387 7,369,747 Ford Motor Co. 900,080 14,536,292 * Fossil Group, Inc. 21,765 2,321,237 # Fred's, Inc. Class A 30,384 553,596 Frisch's Restaurants, Inc. 2,853 67,559 #* FTD Cos., Inc. 18,181 551,612 #* Fuel Systems Solutions, Inc. 18,605 194,980 #* Full House Resorts, Inc. 8,200 16,359 #* G-III Apparel Group, Ltd. 18,232 1,308,511 * Gaiam, Inc. Class A 8,701 64,213 # GameStop Corp. Class A 118,086 4,685,652 #* Gaming Partners International Corp. 4,515 38,152 Gannett Co., Inc. 207,876 5,647,991 Gap, Inc. (The) 247,999 9,746,361 # Garmin, Ltd. 129,864 7,415,234 * Geeknet, Inc. 3,235 47,878 General Motors Co. 439,969 15,170,131 #* Genesco, Inc. 27,129 2,071,842 Gentex Corp. 125,209 3,589,742 * Gentherm, Inc. 36,001 1,308,636 # Genuine Parts Co. 47,517 4,139,681 GNC Holdings, Inc. Class A 103,249 4,646,205 Goodyear Tire & Rubber Co. (The) 176,393 4,445,104 # Gordmans Stores, Inc. 9,185 41,241 Graham Holdings Co. Class B 7,010 4,705,322 * Grand Canyon Education, Inc. 31,853 1,373,501 #* Gray Television, Inc. 63,627 715,804 #* Gray Television, Inc. Class A 600 5,553 # Group 1 Automotive, Inc. 30,049 2,167,434 #* Groupon, Inc. 459,287 3,210,416 # Guess?, Inc. 78,673 2,117,090 H&R Block, Inc. 172,262 4,895,686 * Hallwood Group, Inc. (The) 252 3,090 * Hampshire Group, Ltd. 689 2,653 Hanesbrands, Inc. 68,346 5,610,523 Harley-Davidson, Inc. 90,989 6,727,727 Harman International Industries, Inc. 58,831 6,448,466 # Harte-Hanks, Inc. 57,135 459,365 # Hasbro, Inc. 47,397 2,619,158 * Hastings Entertainment, Inc. 1,400 4,130 Haverty Furniture Cos., Inc. 19,358 494,403 # Haverty Furniture Cos., Inc. Class A 1,608 41,133 * Helen of Troy, Ltd. 32,270 2,023,329 #* hhgregg, Inc. 27,171 234,214 #* Hibbett Sports, Inc. 20,630 1,110,926 Hillenbrand, Inc. 50,835 1,545,384 * Hollywood Media Corp. 3,425 4,281 Home Depot, Inc. (The) 418,549 33,278,831 * HomeAway, Inc. 58,166 1,897,375 # Hooker Furniture Corp. 9,849 136,409 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Consumer Discretionary -- (Continued) #* Hovnanian Enterprises, Inc. Class A 11,285 $ 50,331 HSN, Inc. 45,931 2,665,835 * Hyatt Hotels Corp. Class A 32,938 1,853,751 #* Iconix Brand Group, Inc. 60,513 2,571,802 International Game Technology 213,851 2,683,830 # International Speedway Corp. Class A 25,489 801,374 Interpublic Group of Cos., Inc. (The) 240,891 4,196,321 # Interval Leisure Group, Inc. 49,216 1,268,296 #* iRobot Corp. 22,770 762,795 #* Isle of Capri Casinos, Inc. 34,443 234,212 #* ITT Educational Services, Inc. 8,984 242,568 * Jack in the Box, Inc. 54,953 2,942,184 # JAKKS Pacific, Inc. 12,915 113,135 * Jarden Corp. 49,450 2,826,067 #* JC Penney Co., Inc. 124,572 1,061,353 John Wiley & Sons, Inc. Class A 46,295 2,660,111 John Wiley & Sons, Inc. Class B 4,638 272,645 Johnson Controls, Inc. 217,303 9,809,057 # Johnson Outdoors, Inc. Class A 8,183 171,270 * Jos A Bank Clothiers, Inc. 31,210 2,014,606 * Journal Communications, Inc. Class A 44,742 358,831 #* K12, Inc. 29,920 708,506 * Kate Spade & Co. 99,640 3,464,483 # KB Home 62,897 1,038,429 * Kirkland's, Inc. 14,248 243,783 Kohl's Corp. 180,516 9,890,472 * Kona Grill, Inc. 4,321 101,327 Koss Corp. 1,533 7,082 #* Krispy Kreme Doughnuts, Inc. 52,657 923,604 L Brands, Inc. 126,640 6,863,888 La-Z-Boy, Inc. 47,258 1,145,061 * Lakeland Industries, Inc. 3,968 28,173 * Lamar Advertising Co. Class A 69,020 3,445,478 #* Lands' End, Inc. 22,424 620,024 Las Vegas Sands Corp. 186,495 14,757,349 * Lazare Kaplan International, Inc. 1,600 3,160 * LeapFrog Enterprises, Inc. 38,081 260,855 Lear Corp. 81,440 6,764,406 #* Learning Tree International, Inc. 6,151 18,761 #* Lee Enterprises, Inc. 20,446 82,193 # Leggett & Platt, Inc. 99,483 3,269,011 # Lennar Corp. Class A 110,902 4,279,708 Lennar Corp. Class B 17,482 568,515 * Libbey, Inc. 12,000 320,040 * Liberty Global P.L.C. Class A 53,944 2,148,050 * Liberty Global P.L.C. Class B 488 19,496 * Liberty Global P.L.C. Class C 138,054 5,305,415 * Liberty Interactive Corp. Class A 360,336 10,471,364 * Liberty Interactive Corp. Class B 6,948 209,309 * Liberty Media Corp. Class A 82,494 10,700,297 * Liberty Media Corp. Class B 2,392 300,064 * Liberty Ventures Series A 71,392 4,143,592 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Consumer Discretionary -- (Continued) * Liberty Ventures Series B 694 $ 41,359 #* Life Time Fitness, Inc. 42,597 2,044,656 # Lifetime Brands, Inc. 10,549 201,486 * LIN Media LLC Class A 33,177 777,337 # Lincoln Educational Services Corp. 13,802 56,312 # Lions Gate Entertainment Corp. 53,677 1,424,051 Lithia Motors, Inc. Class A 18,568 1,379,231 * Live Nation Entertainment, Inc. 205,595 4,292,824 * LKQ Corp. 152,344 4,436,257 * Loral Space & Communications, Inc. 14,301 1,029,529 Lowe's Cos., Inc. 370,363 17,003,365 #* Luby's, Inc. 19,164 103,869 #* Lululemon Athletica, Inc. 34,553 1,587,019 #* Lumber Liquidators Holdings, Inc. 22,193 1,934,342 * M/I Homes, Inc. 20,804 463,305 Macy's, Inc. 207,226 11,900,989 * Madison Square Garden Co. (The) Class A 62,809 3,429,371 Marcus Corp. (The) 15,379 257,291 # Marine Products Corp. 20,779 147,531 #* MarineMax, Inc. 24,136 387,624 # Marriott International, Inc. Class A 110,070 6,376,355 * Marriott Vacations Worldwide Corp. 17,108 932,044 #* Martha Stewart Living Omnimedia, Inc. Class A 35,026 136,952 Mattel, Inc. 102,700 4,027,380 Matthews International Corp. Class A 26,850 1,083,398 #* Mattress Firm Holding Corp. 1,120 50,613 #* McClatchy Co. (The) Class A 50,664 277,639 McDonald's Corp. 366,308 37,136,305 # MDC Holdings, Inc. 44,183 1,219,451 #* Media General, Inc. Class A 15,715 240,754 Men's Wearhouse, Inc. (The) 47,117 2,232,403 # Meredith Corp. 39,277 1,730,937 * Meritage Homes Corp. 33,812 1,304,467 * MGM Resorts International 356,931 9,005,369 * Michael Kors Holdings, Ltd. 88,980 8,114,976 #* Modine Manufacturing Co. 57,617 949,528 * Mohawk Industries, Inc. 54,493 7,215,418 * Monarch Casino & Resort, Inc. 15,093 242,092 # Monro Muffler Brake, Inc. 25,320 1,428,048 # Morningstar, Inc. 37,240 2,730,809 * Motorcar Parts of America, Inc. 12,654 347,226 # Movado Group, Inc. 16,841 661,514 * MTR Gaming Group, Inc. 15,484 78,349 * Multimedia Games Holding Co., Inc. 8,600 251,120 * Murphy USA, Inc. 33,167 1,409,598 NACCO Industries, Inc. Class A 6,164 330,329 * Nathan's Famous, Inc. 2,974 146,559 National CineMedia, Inc. 52,584 798,751 #* Nautilus, Inc. 24,139 201,078 * Netflix, Inc. 17,337 5,583,207 #* Nevada Gold & Casinos, Inc. 700 805 * New York & Co., Inc. 53,002 222,078 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Consumer Discretionary -- (Continued) # New York Times Co. (The) Class A 120,148 $ 1,931,980 Newell Rubbermaid, Inc. 107,992 3,251,639 * News Corp. Class A 169,493 2,884,771 #* News Corp. Class B 76,093 1,258,578 # Nexstar Broadcasting Group, Inc. Class A 17,890 712,917 NIKE, Inc. Class B 203,294 14,830,297 * Nobility Homes, Inc. 1,105 12,155 Nordstrom, Inc. 121,611 7,452,322 Nutrisystem, Inc. 17,391 260,865 * NVR, Inc. 3,022 3,254,694 * O'Reilly Automotive, Inc. 60,514 9,003,878 #* Office Depot, Inc. 460,842 1,884,844 Omnicom Group, Inc. 52,804 3,573,775 #* Orbitz Worldwide, Inc. 53,526 393,416 * Orient-Express Hotels, Ltd. Class A 83,221 1,090,195 #* Outerwall, Inc. 20,260 1,405,031 * Overstock.com, Inc. 9,836 157,573 # Oxford Industries, Inc. 15,589 1,029,030 * P&F Industries, Inc. Class A 504 4,133 #* Pacific Sunwear of California, Inc. 44,547 128,295 * Panera Bread Co. Class A 23,917 3,658,583 Papa John's International, Inc. 39,831 1,746,988 #* Penn National Gaming, Inc. 78,352 874,408 Penske Automotive Group, Inc. 93,466 4,286,351 #* Pep Boys-Manny, Moe & Jack (The) 47,946 490,008 * Perfumania Holdings, Inc. 2,203 14,606 #* Perry Ellis International, Inc. 13,637 205,919 # PetMed Express, Inc. 14,214 186,061 # PetSmart, Inc. 32,817 2,221,055 # Pier 1 Imports, Inc. 82,564 1,507,619 * Pinnacle Entertainment, Inc. 36,695 853,893 # Polaris Industries, Inc. 35,836 4,813,850 Pool Corp. 30,601 1,806,071 * Popeyes Louisiana Kitchen, Inc. 15,936 607,162 #* Premier Exhibitions, Inc. 8,500 7,421 * Priceline Group, Inc. (The) 15,661 18,131,523 PulteGroup, Inc. 285,154 5,243,982 PVH Corp. 61,277 7,694,553 * QEP Co., Inc. 352 6,494 #* Quiksilver, Inc. 164,480 1,055,962 #* Radio One, Inc. Class D 16,485 74,512 #* RadioShack Corp. 72,896 104,241 Ralph Lauren Corp. 15,909 2,408,145 #* Reading International, Inc. Class A 5,859 41,482 * Red Lion Hotels Corp. 13,744 79,028 #* Red Robin Gourmet Burgers, Inc. 12,370 840,913 # Regal Entertainment Group Class A 106,541 2,002,971 # Regis Corp. 51,358 674,844 # Rent-A-Center, Inc. 52,497 1,533,437 #* Rentrak Corp. 4,450 253,606 RG Barry Corp. 7,819 142,931 * Rick's Cabaret International, Inc. 7,842 79,204 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Consumer Discretionary -- (Continued) Rocky Brands, Inc. 5,087 $ 74,474 Ross Stores, Inc. 122,798 8,360,088 Royal Caribbean Cruises, Ltd. 174,781 9,286,115 #* Ruby Tuesday, Inc. 54,383 419,293 Ruth's Hospitality Group, Inc. 33,192 417,887 # Ryland Group, Inc. (The) 39,522 1,517,250 # Saga Communications, Inc. Class A 1,544 68,399 # Salem Communications Corp. Class A 12,181 107,315 * Sally Beauty Holdings, Inc. 107,775 2,954,113 # Scholastic Corp. 19,372 637,533 * Scientific Games Corp. Class A 76,458 915,967 Scripps Networks Interactive, Inc. Class A 62,780 4,712,895 #* Sears Holdings Corp. 74,551 3,266,079 #* Select Comfort Corp. 26,630 489,992 Service Corp. International 219,107 4,112,638 #* Shiloh Industries, Inc. 17,372 342,923 Shoe Carnival, Inc. 19,687 449,651 #* Shutterfly, Inc. 30,034 1,229,292 Signet Jewelers, Ltd. 66,470 6,734,740 # Sinclair Broadcast Group, Inc. Class A 60,866 1,626,948 #* Sirius XM Holdings, Inc. 1,257,082 4,010,092 Six Flags Entertainment Corp. 69,117 2,774,356 * Sizmek, Inc. 27,927 267,541 * Skechers U.S.A., Inc. Class A 36,498 1,496,053 * Skullcandy, Inc. 18,541 142,766 * Skyline Corp. 4,311 21,986 #* Smith & Wesson Holding Corp. 8,213 126,070 # Sonic Automotive, Inc. Class A 48,920 1,190,713 #* Sonic Corp. 55,715 1,060,814 # Sotheby's 54,981 2,312,501 * Spanish Broadcasting System, Inc. Class A 1,868 11,843 Spartan Motors, Inc. 27,734 147,268 * Spectrum Group International, Inc. 385 235 # Speedway Motorsports, Inc. 32,195 585,627 #* Sport Chalet, Inc. Class A 2,817 3,183 * Sport Chalet, Inc. Class B 238 302 * Spy, Inc. 335 369 Stage Stores, Inc. 30,335 581,825 Standard Motor Products, Inc. 24,323 924,031 #* Standard Pacific Corp. 175,204 1,399,880 * Stanley Furniture Co., Inc. 8,749 25,547 # Staples, Inc. 498,964 6,237,050 Starbucks Corp. 250,884 17,717,428 Starwood Hotels & Resorts Worldwide, Inc. 60,016 4,600,226 * Starz 100,881 3,255,430 * Starz Class B 2,392 77,286 # Stein Mart, Inc. 36,882 461,025 * Steiner Leisure, Ltd. 13,905 600,279 #* Steven Madden, Ltd. 55,209 1,965,992 * Stoneridge, Inc. 29,966 320,337 Strattec Security Corp. 2,038 136,159 * Strayer Education, Inc. 3,851 164,168 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Consumer Discretionary -- (Continued) # Sturm Ruger & Co., Inc. 9,700 $ 624,195 Superior Industries International, Inc. 21,344 451,212 Superior Uniform Group, Inc. 5,000 81,300 #* Systemax, Inc. 27,440 474,438 #* Tandy Leather Factory, Inc. 1,146 11,219 Target Corp. 133,365 8,235,289 #* Tempur Sealy International, Inc. 54,269 2,723,218 * Tenneco, Inc. 52,848 3,164,010 #* Tesla Motors, Inc. 35,679 7,417,307 # Texas Roadhouse, Inc. 57,504 1,422,649 # Thor Industries, Inc. 43,699 2,659,958 Tiffany & Co. 45,458 3,977,120 Time Warner Cable, Inc. 96,502 13,651,173 Time Warner, Inc. 318,327 21,156,012 TJX Cos., Inc. (The) 326,440 18,992,279 * Toll Brothers, Inc. 132,025 4,520,536 * Tower International, Inc. 10,306 286,610 Town Sports International Holdings, Inc. 17,552 123,040 Tractor Supply Co. 80,004 5,379,469 # Trans World Entertainment Corp. 200 654 * Trinity Place Holdings, Inc. 892 5,664 #* TripAdvisor, Inc. 45,452 3,669,794 * TRW Automotive Holdings Corp. 119,251 9,581,818 #* Tuesday Morning Corp. 27,700 387,246 # Tupperware Brands Corp. 32,867 2,790,737 Twenty-First Century Fox, Inc. Class A 450,943 14,439,195 Twenty-First Century Fox, Inc. Class B 229,192 7,178,293 * Ulta Salon Cosmetics & Fragrance, Inc. 21,433 1,879,888 #* Under Armour, Inc. Class A 60,160 2,941,222 * Unifi, Inc. 15,429 341,598 * Universal Electronics, Inc. 15,486 578,402 # Universal Technical Institute, Inc. 16,908 203,065 #* UQM Technologies, Inc. 12,948 28,615 * Urban Outfitters, Inc. 77,100 2,749,000 * US Auto Parts Network, Inc. 14,602 45,558 Vail Resorts, Inc. 34,963 2,420,488 # Value Line, Inc. 2,920 42,574 * Valuevision Media, Inc. Class A 36,640 171,475 VF Corp. 106,008 6,476,029 Viacom, Inc. Class A 7,238 615,013 Viacom, Inc. Class B 111,256 9,454,535 * Visteon Corp. 47,524 4,125,558 #* Vitacost.com, Inc. 1,340 8,938 #* Vitamin Shoppe, Inc. 24,161 1,156,829 * VOXX International Corp. 20,275 238,231 Walt Disney Co. (The) 447,208 35,481,483 # Weight Watchers International, Inc. 38,632 764,914 * Wells-Gardner Electronics Corp. 2,858 4,887 # Wendy's Co. (The) 527,208 4,381,098 * West Marine, Inc. 17,350 185,645 #* Wet Seal, Inc. (The) Class A 78,804 89,049 Weyco Group, Inc. 6,018 150,992 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED SHARES VALUE+ --------- -------------- Consumer Discretionary -- (Continued) Whirlpool Corp. 63,852 $ 9,793,620 Williams-Sonoma, Inc. 79,870 5,017,433 # Winmark Corp. 2,250 170,685 #* Winnebago Industries, Inc. 22,227 531,225 # Wolverine World Wide, Inc. 82,445 2,316,705 # World Wrestling Entertainment, Inc. Class A 25,048 488,436 Wyndham Worldwide Corp. 84,920 6,058,193 Wynn Resorts, Ltd. 31,740 6,471,469 Yum! Brands, Inc. 158,416 12,196,448 * Zagg, Inc. 15,716 68,365 * Zale Corp. 30,200 645,978 #* Zumiez, Inc. 23,135 565,651 -------------- Total Consumer Discretionary 1,257,449,625 -------------- Consumer Staples -- (6.9%) Alico, Inc. 5,837 203,828 * Alliance One International, Inc. 82,516 212,066 Altria Group, Inc. 732,996 29,400,469 # Andersons, Inc. (The) 30,261 1,884,958 #* Annie's, Inc. 9,443 306,992 Archer-Daniels-Midland Co. 226,909 9,922,731 # Avon Products, Inc. 123,718 1,890,411 # B&G Foods, Inc. 42,659 1,399,215 Beam, Inc. 123,368 10,297,527 #* Boston Beer Co., Inc. (The) Class A 3,493 859,418 * Boulder Brands, Inc. 48,729 719,240 * Bridgford Foods Corp. 2,501 24,772 Brown-Forman Corp. Class A 20,568 1,833,226 Brown-Forman Corp. Class B 51,947 4,660,685 Bunge, Ltd. 108,127 8,612,315 # Cal-Maine Foods, Inc. 21,474 1,280,495 Calavo Growers, Inc. 10,601 329,585 # Campbell Soup Co. 153,261 6,971,843 # Casey's General Stores, Inc. 35,289 2,422,943 CCA Industries, Inc. 3,400 10,302 #* Central Garden and Pet Co. 11,250 91,462 #* Central Garden and Pet Co. Class A 30,622 253,244 #* Chefs' Warehouse, Inc. (The) 6,220 124,960 #* Chiquita Brands International, Inc. 39,234 450,406 Church & Dwight Co., Inc. 47,202 3,257,410 # Clorox Co. (The) 50,475 4,578,082 # Coca-Cola Bottling Co. Consolidated 6,560 539,429 Coca-Cola Co. (The) 1,231,353 50,226,889 Coca-Cola Enterprises, Inc. 206,530 9,384,723 #* Coffee Holding Co., Inc. 300 2,148 Colgate-Palmolive Co. 323,290 21,757,417 ConAgra Foods, Inc. 230,572 7,034,752 * Constellation Brands, Inc. Class A 132,407 10,571,375 * Constellation Brands, Inc. Class B 3,160 249,356 Costco Wholesale Corp. 114,273 13,219,101 #* Craft Brew Alliance, Inc. 13,301 199,116 #* Crimson Wine Group, Ltd. 15,327 136,257 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Consumer Staples -- (Continued) CVS Caremark Corp. 420,555 $30,582,760 * Darling International, Inc. 131,122 2,623,751 Dean Foods Co. 86,737 1,373,914 #* Diamond Foods, Inc. 12,571 384,295 Dr Pepper Snapple Group, Inc. 111,211 6,163,314 * Elizabeth Arden, Inc. 22,020 809,015 Energizer Holdings, Inc. 47,755 5,333,756 Estee Lauder Cos., Inc. (The) Class A 96,561 7,007,432 #* Farmer Bros. Co. 14,048 276,886 Flowers Foods, Inc. 166,319 3,412,866 # Fresh Del Monte Produce, Inc. 56,917 1,644,332 #* Fresh Market, Inc. (The) 19,067 707,386 General Mills, Inc. 163,707 8,679,745 Golden Enterprises, Inc. 3,860 16,984 # Griffin Land & Nurseries, Inc. 2,756 80,475 #* Hain Celestial Group, Inc. (The) 36,126 3,107,558 #* Harbinger Group, Inc. 3,819 44,529 # Herbalife, Ltd. 39,760 2,384,805 Hershey Co. (The) 62,341 5,999,698 Hillshire Brands Co. (The) 110,710 3,946,811 Hormel Foods Corp. 73,536 3,506,932 * IGI Laboratories, Inc. 921 4,633 Ingles Markets, Inc. Class A 12,818 294,686 Ingredion, Inc. 79,007 5,566,043 Inter Parfums, Inc. 29,298 1,072,014 * Inventure Foods, Inc. 1,478 17,766 J&J Snack Foods Corp. 14,785 1,383,876 JM Smucker Co. (The) 79,826 7,717,578 # John B. Sanfilippo & Son, Inc. 5,956 137,286 Kellogg Co. 53,841 3,598,194 Keurig Green Mountain, Inc. 47,520 4,451,674 Kimberly-Clark Corp. 173,420 19,466,395 Kraft Foods Group, Inc. 188,108 10,695,821 Kroger Co. (The) 129,126 5,944,961 # Lancaster Colony Corp. 23,068 2,188,692 # Lifeway Foods, Inc. 3,699 55,522 # Limoneira Co. 244 5,605 Lorillard, Inc. 94,950 5,641,929 * Mannatech, Inc. 740 12,040 McCormick & Co., Inc.(579780107) 3,498 249,617 McCormick & Co., Inc.(579780206) 36,702 2,613,182 Mead Johnson Nutrition Co. 83,828 7,398,659 #* Medifast, Inc. 11,518 364,545 # MGP Ingredients, Inc. 10,602 61,916 # Molson Coors Brewing Co. Class A 1,162 69,604 Molson Coors Brewing Co. Class B 116,616 6,993,461 Mondelez International, Inc. Class A 602,947 21,495,060 * Monster Beverage Corp. 107,227 7,179,920 #* National Beverage Corp. 20,329 391,943 #* Natural Alternatives International, Inc. 2,740 15,618 # Nature's Sunshine Products, Inc. 200 2,672 Nu Skin Enterprises, Inc. Class A 29,862 2,597,994 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED SHARES VALUE+ ------- ------------ Consumer Staples -- (Continued) * Nutraceutical International Corp. 9,876 $ 246,110 # Oil-Dri Corp. of America 4,211 141,111 * Omega Protein Corp. 17,258 196,051 # Orchids Paper Products Co. 3,281 88,160 * Pantry, Inc. (The) 18,888 284,075 PepsiCo, Inc. 548,723 47,129,818 Philip Morris International, Inc. 379,444 32,415,901 * Pilgrim's Pride Corp. 135,481 2,961,615 #* Post Holdings, Inc. 32,510 1,698,973 # Pricesmart, Inc. 15,032 1,443,673 #* Primo Water Corp. 5,500 24,695 Procter & Gamble Co. (The) 620,688 51,237,794 Reliv International, Inc. 2,740 6,055 * Revlon, Inc. Class A 31,659 954,202 Reynolds American, Inc. 127,528 7,196,405 * Rite Aid Corp. 755,659 5,516,311 Rocky Mountain Chocolate Factory, Inc. 3,966 47,394 Safeway, Inc. 213,913 7,285,877 # Sanderson Farms, Inc. 33,813 2,781,795 * Seaboard Corp. 540 1,316,520 * Seneca Foods Corp. Class A 7,423 210,813 #* Seneca Foods Corp. Class B 1,493 45,596 # Snyder's-Lance, Inc. 69,639 1,849,612 Spartan Stores, Inc. 30,654 660,287 Spectrum Brands Holdings, Inc. 54,708 4,203,216 #* Susser Holdings Corp. 20,501 1,586,367 Sysco Corp. 155,876 5,678,563 #* Tofutti Brands, Inc. 456 1,819 # Tootsie Roll Industries, Inc. 25,812 727,640 * TreeHouse Foods, Inc. 38,795 2,903,418 Tyson Foods, Inc. Class A 210,250 8,824,192 * United Natural Foods, Inc. 34,745 2,398,447 United-Guardian, Inc. 1,741 53,971 # Universal Corp. 19,514 1,064,879 #* USANA Health Sciences, Inc. 9,599 651,388 # Vector Group, Ltd. 58,663 1,249,522 # Village Super Market, Inc. Class A 4,375 105,831 Wal-Mart Stores, Inc. 614,660 48,994,549 Walgreen Co. 278,962 18,941,520 WD-40 Co. 12,396 902,925 # Weis Markets, Inc. 23,496 1,082,931 * WhiteWave Foods Co. (The) Class A 76,022 2,105,049 Whole Foods Market, Inc. 110,858 5,509,643 ------------ Total Consumer Staples 683,820,011 ------------ Energy -- (9.8%) * Abraxas Petroleum Corp. 3,201 17,477 Adams Resources & Energy, Inc. 3,234 233,042 # Alon USA Energy, Inc. 55,668 906,832 #* Alpha Natural Resources, Inc. 222,776 957,937 Anadarko Petroleum Corp. 178,288 17,654,078 Apache Corp. 148,142 12,858,726 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Energy -- (Continued) #* Approach Resources, Inc. 32,109 $ 666,262 # Arch Coal, Inc. 182,324 835,044 * Atwood Oceanics, Inc. 66,417 3,291,626 Baker Hughes, Inc. 160,344 11,208,046 * Barnwell Industries, Inc. 4,663 14,339 * Basic Energy Services, Inc. 42,473 1,122,137 #* Bill Barrett Corp. 39,573 937,089 * BioFuel Energy Corp. 530 3,938 Bolt Technology Corp. 7,091 119,696 #* Bonanza Creek Energy, Inc. 41,706 2,027,746 #* BPZ Resources, Inc. 97,710 263,817 # Bristow Group, Inc. 33,119 2,543,539 #* C&J Energy Services, Inc. 50,373 1,514,212 Cabot Oil & Gas Corp. 188,708 7,412,450 #* Cal Dive International, Inc. 72,892 107,880 * Callon Petroleum Co. 39,200 359,856 * Cameron International Corp. 72,473 4,707,846 # CARBO Ceramics, Inc. 20,327 2,843,951 #* Carrizo Oil & Gas, Inc. 57,074 3,140,211 * Cheniere Energy, Inc. 139,133 7,854,058 Chesapeake Energy Corp. 508,197 14,610,664 Chevron Corp. 731,435 91,809,721 Cimarex Energy Co. 67,058 7,987,949 * Clayton Williams Energy, Inc. 12,224 1,766,123 #* Clean Energy Fuels Corp. 54,100 478,785 * Cloud Peak Energy, Inc. 55,029 1,083,521 * Cobalt International Energy, Inc. 123,680 2,226,240 # Comstock Resources, Inc. 44,876 1,247,553 * Concho Resources, Inc. 81,273 10,602,063 ConocoPhillips 459,670 34,158,078 CONSOL Energy, Inc. 172,926 7,696,936 * Contango Oil & Gas Co. 15,327 736,309 #* Continental Resources, Inc. 14,629 2,026,409 Core Laboratories NV 17,518 3,287,778 # Dawson Geophysical Co. 8,468 239,306 Delek US Holdings, Inc. 64,970 2,078,390 # Denbury Resources, Inc. 277,808 4,672,731 Devon Energy Corp. 139,584 9,770,880 # DHT Holdings, Inc. 4,917 38,402 # Diamond Offshore Drilling, Inc. 74,831 4,086,521 * Dresser-Rand Group, Inc. 60,567 3,660,669 * Dril-Quip, Inc. 32,784 3,708,526 #* Emerald Oil, Inc. 63,636 449,906 #* Endeavour International Corp. 30,906 106,317 Energen Corp. 59,921 4,668,445 # Energy XXI Bermuda, Ltd. 75,768 1,813,128 * ENGlobal Corp. 13,200 28,248 EnLink Midstream LLC 37,902 1,339,078 EOG Resources, Inc. 224,676 22,018,248 * EPL Oil & Gas, Inc. 41,087 1,608,145 EQT Corp. 54,509 5,940,936 * Era Group, Inc. 20,356 581,164 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED SHARES VALUE+ --------- ------------ Energy -- (Continued) #* Escalera Resources Co. 6,980 $ 19,055 Evolution Petroleum Corp. 8,344 98,459 Exterran Holdings, Inc. 59,646 2,565,971 Exxon Mobil Corp. 1,886,883 193,235,688 #* FieldPoint Petroleum Corp. 4,233 23,366 * FMC Technologies, Inc. 67,645 3,835,471 #* Forest Oil Corp. 21,506 40,001 * Gastar Exploration, Inc. 75,461 500,306 #* Geospace Technologies Corp. 10,281 597,634 #* Gevo, Inc. 4,451 4,584 #* Goodrich Petroleum Corp. 6,972 175,346 # Green Plains Renewable Energy, Inc. 26,557 794,054 * Gulf Coast Ultra Deep Royalty Trust 122,555 360,312 # Gulf Island Fabrication, Inc. 12,790 256,567 Gulfmark Offshore, Inc. Class A 29,608 1,332,656 * Gulfport Energy Corp. 57,990 4,272,123 #* Halcon Resources Corp. 63,794 352,143 Halliburton Co. 280,777 17,708,605 #* Harvest Natural Resources, Inc. 33,762 152,267 * Helix Energy Solutions Group, Inc. 103,822 2,495,881 Helmerich & Payne, Inc. 82,768 8,992,743 * Hercules Offshore, Inc. 135,628 606,257 Hess Corp. 113,175 10,090,683 * HKN, Inc. 239 14,939 HollyFrontier Corp. 155,646 8,185,423 #* Hornbeck Offshore Services, Inc. 31,447 1,302,849 #* Houston American Energy Corp. 5,544 2,606 * ION Geophysical Corp. 140,575 618,530 * Key Energy Services, Inc. 152,268 1,528,771 Kinder Morgan, Inc. 222,564 7,268,940 Knightsbridge Tankers, Ltd. 31,335 374,453 #* Kodiak Oil & Gas Corp. 271,273 3,447,880 * Kosmos Energy, Ltd. 150,173 1,639,889 #* Laredo Petroleum, Inc. 114,996 3,361,333 # LinnCo LLC 72,347 1,993,883 #* Lucas Energy, Inc. 11,754 7,372 #* Magnum Hunter Resources Corp. 125,633 1,067,880 Marathon Oil Corp. 253,862 9,177,111 Marathon Petroleum Corp. 118,439 11,008,905 #* Matador Resources Co. 67,995 1,952,816 * Matrix Service Co. 28,141 871,527 #* McDermott International, Inc. 205,264 1,484,059 #* Mexco Energy Corp. 684 4,959 #* Miller Energy Resources, Inc. 1,630 7,857 * Mitcham Industries, Inc. 11,460 158,148 Murphy Oil Corp. 132,669 8,415,195 Nabors Industries, Ltd. 350,903 8,955,044 National Oilwell Varco, Inc. 143,901 11,300,545 * Natural Gas Services Group, Inc. 11,371 348,976 * Newfield Exploration Co. 175,506 5,940,878 #* Newpark Resources, Inc. 96,648 1,163,642 Noble Corp. P.L.C. 205,127 6,319,963 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Energy -- (Continued) Noble Energy, Inc. 131,932 $ 9,470,079 # Nordic American Tankers, Ltd. 29,510 254,671 #* Northern Oil and Gas, Inc. 62,249 960,502 #* Nuverra Environmental Solutions, Inc. 16,662 283,421 * Oasis Petroleum, Inc. 88,840 4,131,948 Occidental Petroleum Corp. 304,289 29,135,672 Oceaneering International, Inc. 51,872 3,801,180 * Oil States International, Inc. 56,622 5,500,261 ONEOK, Inc. 79,192 5,006,518 #* Overseas Shipholding Group, Inc. 19,258 109,771 Panhandle Oil and Gas, Inc. Class A 5,393 236,483 * Parker Drilling Co. 129,468 858,373 Patterson-UTI Energy, Inc. 185,277 6,027,061 * PDC Energy, Inc. 36,641 2,332,932 Peabody Energy Corp. 236,569 4,497,177 #* Penn Virginia Corp. 90,762 1,510,280 * PetroQuest Energy, Inc. 46,451 279,635 #* PHI, Inc. Non-Voting 10,430 467,264 #* PHI, Inc. Voting 2,247 95,048 Phillips 66 184,803 15,379,306 * Pioneer Energy Services Corp. 54,296 812,811 Pioneer Natural Resources Co. 54,477 10,528,770 #* PostRock Energy Corp. 1,437 1,969 * Pyramid Oil Co. 2,104 10,857 QEP Resources, Inc. 134,969 4,142,199 Range Resources Corp. 58,556 5,296,390 * Renewable Energy Group, Inc. 10,193 119,972 #* Rentech, Inc. 153,569 325,566 * REX American Resources Corp. 7,500 490,200 * Rex Energy Corp. 63,446 1,336,173 * RigNet, Inc. 5,434 254,094 #* Rosetta Resources, Inc. 65,790 3,114,499 * Rowan Cos. P.L.C. Class A 148,342 4,586,735 * Royale Energy, Inc. 400 1,080 RPC, Inc. 119,307 2,652,195 #* Sanchez Energy Corp. 2,262 63,969 #* SandRidge Energy, Inc. 645,221 4,426,216 Schlumberger, Ltd. 337,427 34,265,712 # Scorpio Tankers, Inc. 102,882 926,967 #* SEACOR Holdings, Inc. 22,295 1,859,180 SemGroup Corp. Class A 40,763 2,603,940 Ship Finance International, Ltd. 74,592 1,315,057 SM Energy Co. 62,394 4,625,267 * Southwestern Energy Co. 178,128 8,528,769 Spectra Energy Corp. 171,692 6,817,889 * Steel Excel, Inc. 6,102 197,705 * Stone Energy Corp. 57,931 2,841,515 Superior Energy Services, Inc. 170,693 5,619,214 #* Swift Energy Co. 31,634 390,047 #* Synergy Resources Corp. 59,565 693,337 #* Synthesis Energy Systems, Inc. 27,753 48,013 Targa Resources Corp. 37,821 4,084,290 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED SHARES VALUE+ ------- ------------ Energy -- (Continued) # Teekay Corp. 67,941 $ 3,812,169 #* Tesco Corp. 39,383 787,660 Tesoro Corp. 102,623 5,776,649 * TETRA Technologies, Inc. 87,375 1,092,187 #* TGC Industries, Inc. 14,420 72,965 # Tidewater, Inc. 54,990 2,800,641 # Transocean, Ltd. 112,505 4,845,590 #* Triangle Petroleum Corp. 66,637 641,048 #* Ultra Petroleum Corp. 128,356 3,825,009 * Unit Corp. 49,827 3,286,091 #* Uranium Energy Corp. 21,851 23,381 * Uranium Resources, Inc. 685 1,843 #* Vaalco Energy, Inc. 58,569 540,006 Valero Energy Corp. 308,688 17,647,693 # W&T Offshore, Inc. 82,979 1,593,197 * Warren Resources, Inc. 60,337 305,909 * Weatherford International, Ltd. 621,232 13,045,872 # Western Refining, Inc. 114,670 4,988,145 * Westmoreland Coal Co. 3,276 97,002 * Whiting Petroleum Corp. 91,661 6,757,249 * Willbros Group, Inc. 52,689 585,375 Williams Cos., Inc. (The) 170,141 7,174,846 # World Fuel Services Corp. 69,160 3,149,546 * WPX Energy, Inc. 248,918 5,296,975 #* Zion Oil & Gas, Inc. 16,343 36,445 ------------ Total Energy 968,065,221 ------------ Financials -- (14.4%) * 1st Constitution Bancorp 1,373 14,307 1st Source Corp. 23,760 700,682 # 1st United Bancorp, Inc. 22,508 164,759 * A-Mark Precious Metals, Inc. 96 1,141 # Access National Corp. 4,884 72,039 ACE, Ltd. 121,601 12,442,214 * Affiliated Managers Group, Inc. 21,536 4,268,435 Aflac, Inc. 169,582 10,636,183 # Alexander & Baldwin, Inc. 46,007 1,716,521 * Alleghany Corp. 12,172 4,965,933 Alliance Bancorp, Inc. of Pennsylvania 1,546 24,125 Allied World Assurance Co. Holdings AG 35,677 3,842,056 Allstate Corp. (The) 165,705 9,436,900 #* Altisource Asset Management Corp. 909 889,229 #* Altisource Portfolio Solutions SA 11,017 1,142,573 # Ameriana Bancorp 456 6,295 * American Capital, Ltd. 276,188 4,140,058 # American Equity Investment Life Holding Co. 76,315 1,779,666 American Express Co. 342,243 29,922,306 American Financial Group, Inc. 92,794 5,421,953 * American Independence Corp. 371 4,055 American International Group, Inc. 479,419 25,471,531 # American National Bankshares, Inc. 3,768 80,296 American National Insurance Co. 19,731 2,217,962 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Financials -- (Continued) * American River Bankshares 2,192 $ 20,956 (o)* American Spectrum Realty, Inc. 642 1,079 Ameriprise Financial, Inc. 129,219 14,424,717 * Ameris Bancorp 21,091 448,606 AMERISAFE, Inc. 18,475 787,959 AmeriServ Financial, Inc. 8,436 29,357 # Amtrust Financial Services, Inc. 77,833 3,009,802 Aon P.L.C. 84,747 7,193,325 * Arch Capital Group, Ltd. 100,749 5,774,933 Argo Group International Holdings, Ltd. 26,125 1,160,473 # Arrow Financial Corp. 10,415 260,687 Arthur J Gallagher & Co. 68,818 3,098,186 Aspen Insurance Holdings, Ltd. 66,780 3,057,188 Associated Banc-Corp 179,686 3,153,489 Assurant, Inc. 82,901 5,588,356 Assured Guaranty, Ltd. 181,465 4,338,828 * Asta Funding, Inc. 9,299 75,973 Astoria Financial Corp. 104,401 1,384,357 Atlantic American Corp. 2,737 9,580 #* Atlantic Coast Financial Corp. 945 4,064 #* Atlanticus Holdings Corp. 14,132 34,341 Auburn National Bancorp., Inc. 335 7,978 #* AV Homes, Inc. 8,825 151,172 Axis Capital Holdings, Ltd. 110,926 5,074,865 Baldwin & Lyons, Inc. Class A 638 15,076 Baldwin & Lyons, Inc. Class B 8,934 232,373 # Banc of California, Inc. 9,411 118,296 # Bancfirst Corp. 14,457 841,542 * Bancorp, Inc. 38,456 608,374 # BancorpSouth, Inc. 103,137 2,409,280 Bank Mutual Corp. 38,610 232,432 Bank of America Corp. 3,840,087 58,138,917 Bank of Commerce Holdings 6,357 40,367 # Bank of Hawaii Corp. 40,636 2,241,888 Bank of Kentucky Financial Corp. 2,404 82,962 Bank of New York Mellon Corp. (The) 411,492 13,937,234 Bank of the Ozarks, Inc. 27,880 1,670,012 # BankFinancial Corp. 14,549 143,162 BankUnited, Inc. 105,382 3,476,552 Banner Corp. 20,182 797,996 # Bar Harbor Bankshares 2,309 86,772 BB&T Corp. 244,187 9,115,501 BBCN Bancorp, Inc. 85,040 1,310,466 * BBX Capital Corp. Class A 1,011 18,936 BCB Bancorp, Inc. 4,090 54,397 #* Beneficial Mutual Bancorp, Inc. 63,935 833,712 Berkshire Bancorp, Inc. 1,000 7,350 * Berkshire Hathaway, Inc. Class B 406,267 52,347,503 Berkshire Hills Bancorp, Inc. 23,502 550,652 BGC Partners, Inc. Class A 203,850 1,461,605 BlackRock, Inc. 45,438 13,676,838 * BofI Holding, Inc. 11,117 896,141 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Financials -- (Continued) # BOK Financial Corp. 60,241 $ 3,940,966 # Boston Private Financial Holdings, Inc. 86,910 1,087,244 Bridge Bancorp, Inc. 2,089 50,804 * Bridge Capital Holdings 4,396 98,470 Brookline Bancorp, Inc. 74,651 677,831 Brown & Brown, Inc. 145,544 4,334,300 * Brunswick Bancorp 40 194 Bryn Mawr Bank Corp. 11,404 311,101 C&F Financial Corp. 721 22,531 Calamos Asset Management, Inc. Class A 19,363 235,841 # California First National Bancorp 2,970 44,045 # Camden National Corp. 7,297 278,526 Cape Bancorp, Inc. 4,558 48,543 * Capital Bank Financial Corp. Class A 1,269 30,266 # Capital City Bank Group, Inc. 11,641 161,810 Capital One Financial Corp. 209,306 15,467,713 (o)* Capital Properties, Inc., 5.000% 540 540 * Capital Properties, Inc. Class A 600 5,967 Capital Southwest Corp. 8,660 303,966 # Capitol Federal Financial, Inc. 149,138 1,795,622 Cardinal Financial Corp. 30,164 506,755 * Carolina Bank Holdings, Inc. 900 8,658 # Cash America International, Inc. 26,330 1,146,672 Cathay General Bancorp 81,606 1,925,902 CBOE Holdings, Inc. 78,339 4,180,169 * CBRE Group, Inc. Class A 117,161 3,121,169 Center Bancorp, Inc. 14,278 264,286 Centerstate Banks, Inc. 22,455 246,331 Central Pacific Financial Corp. 10,965 205,813 # Century Bancorp, Inc. Class A 1,596 53,466 Charles Schwab Corp. (The) 271,621 7,211,538 Charter Financial Corp. 1,777 19,547 Chemical Financial Corp. 30,172 846,928 Chicopee Bancorp, Inc. 3,096 53,654 Chubb Corp. (The) 89,145 8,208,472 Cincinnati Financial Corp. 119,926 5,845,193 CIT Group, Inc. 153,636 6,614,030 Citigroup, Inc. 1,034,416 49,558,871 Citizens Community Bancorp, Inc. 1,650 13,250 Citizens Holding Co. 772 14,490 #* Citizens, Inc. 39,312 258,280 # City Holding Co. 14,805 636,467 City National Corp. 54,479 3,953,541 CKX Lands, Inc. 743 11,349 Clifton Bancorp, Inc. 17,273 200,194 CME Group, Inc. 113,532 7,991,517 CNA Financial Corp. 132,635 5,431,403 # CNB Financial Corp. 8,185 135,216 CNO Financial Group, Inc. 184,317 3,179,468 # CoBiz Financial, Inc. 38,778 389,331 Codorus Valley Bancorp, Inc. 1,678 35,825 # Cohen & Steers, Inc. 15,317 620,492 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Financials -- (Continued) #* Colonial Financial Services, Inc. 1,300 $ 15,158 * Colony Bankcorp, Inc. 1,337 8,249 Columbia Banking System, Inc. 51,619 1,281,184 # Comerica, Inc. 137,729 6,644,047 Commerce Bancshares, Inc. 99,530 4,327,564 Commercial National Financial Corp. 847 17,618 # Community Bank System, Inc. 40,058 1,489,757 * Community Bankers Trust Corp. 5,562 22,915 Community Trust Bancorp, Inc. 15,725 579,781 * Community West Bancshares 1,844 12,779 #* CommunityOne Bancorp 1 10 # Consolidated-Tomoka Land Co. 4,572 180,731 * Consumer Portfolio Services, Inc. 11,333 79,104 #* Cowen Group, Inc. Class A 121,371 498,835 Crawford & Co. Class A 18,114 174,800 # Crawford & Co. Class B 19,531 223,044 * Credit Acceptance Corp. 18,727 2,462,975 # Cullen/Frost Bankers, Inc. 63,237 4,831,939 # CVB Financial Corp. 112,153 1,621,732 #* DFC Global Corp. 36,564 340,776 # Diamond Hill Investment Group, Inc. 1,277 151,605 Dime Community Bancshares, Inc. 37,730 614,999 Discover Financial Services 148,486 8,300,367 Donegal Group, Inc. Class A 18,939 279,540 Donegal Group, Inc. Class B 2,147 46,332 #* Doral Financial Corp. 199 1,902 * E*TRADE Financial Corp. 354,058 7,948,602 Eagle Bancorp Montana, Inc. 566 6,152 East West Bancorp, Inc. 145,242 5,012,301 * Eastern Virginia Bankshares, Inc. 851 5,744 # Eaton Vance Corp. 91,769 3,310,108 * eHealth, Inc. 14,039 588,094 # EMC Insurance Group, Inc. 10,245 337,983 Employers Holdings, Inc. 32,349 658,302 #* Encore Capital Group, Inc. 28,928 1,250,268 Endurance Specialty Holdings, Ltd. 46,723 2,374,463 #* Enstar Group, Ltd. 14,043 1,812,951 # Enterprise Bancorp, Inc. 3,680 67,197 Enterprise Financial Services Corp. 14,188 253,540 Erie Indemnity Co. Class A 35,688 2,557,045 # ESB Financial Corp. 8,890 112,192 # ESSA Bancorp, Inc. 8,794 91,370 Evans Bancorp, Inc. 1,219 27,519 Evercore Partners, Inc. Class A 32,053 1,712,592 Everest Re Group, Ltd. 39,678 6,270,314 #* Ezcorp, Inc. Class A 46,143 481,272 #* Farmers Capital Bank Corp. 1,933 40,380 # FBL Financial Group, Inc. Class A 22,739 1,016,661 # Federal Agricultural Mortgage Corp. Class A 773 21,277 Federal Agricultural Mortgage Corp. Class C 9,100 323,778 # Federated Investors, Inc. Class B 83,481 2,382,548 Federated National Holding Co. 9,362 181,904 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Financials -- (Continued) Fidelity National Financial, Inc. Class A 204,074 $ 6,567,101 Fidelity Southern Corp. 6,371 84,161 Fifth Third Bancorp 621,471 12,808,517 # Financial Engines, Inc. 9,992 442,146 Financial Institutions, Inc. 11,282 261,178 * First Acceptance Corp. 9,100 21,749 # First American Financial Corp. 103,809 2,761,319 First Bancorp 13,598 234,022 First Bancorp of Indiana, Inc. 96 1,428 First Bancorp, Inc. 5,920 94,306 #* First BanCorp. 21,527 110,649 * First Bancshares, Inc. 200 1,650 First Bancshares, Inc. (The) 237 3,434 First Busey Corp. 86,193 474,062 First Business Financial Services, Inc. 1,081 48,872 * First Cash Financial Services, Inc. 23,719 1,156,776 First Citizens BancShares, Inc. Class A 5,907 1,328,425 # First Commonwealth Financial Corp. 95,454 819,950 First Community Bancshares, Inc. 15,359 227,467 First Defiance Financial Corp. 7,949 214,782 #* First Federal Bancshares of Arkansas, Inc. 2,243 19,895 First Federal of Northern Michigan Bancorp, Inc. 200 994 First Financial Bancorp 60,524 979,884 # First Financial Bankshares, Inc. 21,031 1,241,881 First Financial Corp. 11,314 362,161 # First Financial Holdings, Inc. 20,102 1,155,262 # First Financial Northwest, Inc. 12,837 130,937 * First Financial Service Corp. 917 3,347 First Horizon National Corp. 252,079 2,896,388 First Interstate Bancsystem, Inc. 18,783 467,509 #* First Marblehead Corp. (The) 5,889 30,976 First Merchants Corp. 29,022 615,847 First Midwest Bancorp, Inc. 75,629 1,238,047 First Niagara Financial Group, Inc. 386,338 3,446,135 * First Place Financial Corp. 9,209 14 First Republic Bank 100,844 5,118,841 First South Bancorp, Inc. 4,572 36,713 * First United Corp. 1,938 16,008 First West Virginia Bancorp 266 4,796 Firstbank Corp. 1,646 29,019 FirstMerit Corp. 186,361 3,613,540 * Flagstar Bancorp, Inc. 51,712 910,131 Flushing Financial Corp. 30,258 581,559 # FNB Corp. 173,665 2,160,393 * Forest City Enterprises, Inc. Class A 179,773 3,399,507 * Forest City Enterprises, Inc. Class B 4,615 87,224 * Forestar Group, Inc. 33,000 562,650 Fox Chase Bancorp, Inc. 11,006 183,580 Franklin Resources, Inc. 114,657 6,002,294 Fulton Financial Corp. 194,897 2,375,794 # FXCM, Inc. Class A 34,906 540,345 # Gain Capital Holdings, Inc. 29,251 295,435 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Financials -- (Continued) * GAINSCO, Inc. 513 $ 4,458 # GAMCO Investors, Inc. Class A 5,224 396,658 * Genworth Financial, Inc. Class A 483,810 8,636,009 # German American Bancorp, Inc. 10,089 262,718 GFI Group, Inc. 116,588 433,707 Glacier Bancorp, Inc. 79,414 2,037,763 #* Gleacher & Co., Inc. 650 7,475 * Global Indemnity P.L.C. 13,609 364,721 Goldman Sachs Group, Inc. (The) 152,527 24,376,865 Great Southern Bancorp, Inc. 11,010 315,657 #* Green Dot Corp. Class A 38,954 676,631 # Greenhill & Co., Inc. 18,390 922,259 * Greenlight Capital Re, Ltd. Class A 30,800 980,364 # Guaranty Bancorp 1,480 18,633 #* Guaranty Federal Bancshares, Inc. 909 11,490 * Hallmark Financial Services, Inc. 13,444 112,930 # Hampden Bancorp, Inc. 818 13,293 Hancock Holding Co. 88,104 2,971,748 Hanmi Financial Corp. 33,952 722,159 Hanover Insurance Group, Inc. (The) 45,282 2,646,733 Harleysville Savings Financial Corp. 1,916 32,380 #* Harris & Harris Group, Inc. 21,080 75,677 Hartford Financial Services Group, Inc. (The) 361,344 12,961,409 # Hawthorn Bancshares, Inc. 1,228 16,283 HCC Insurance Holdings, Inc. 104,750 4,812,215 # HCI Group, Inc. 8,790 339,997 Heartland Financial USA, Inc. 15,126 367,562 Heritage Commerce Corp. 19,954 162,026 # Heritage Financial Corp. 12,619 203,923 Heritage Financial Group, Inc. 4,012 77,231 HF Financial Corp. 1,948 26,688 HFF, Inc. Class A 24,226 823,684 * Hilltop Holdings, Inc. 82,528 1,843,676 # Hingham Institution for Savings 458 31,836 * HMN Financial, Inc. 989 11,017 #* Home Bancorp, Inc. 4,739 95,965 Home BancShares, Inc. 51,620 1,636,870 Home Federal Bancorp, Inc. 11,618 174,851 HopFed Bancorp, Inc. 1,211 13,781 Horace Mann Educators Corp. 32,617 980,793 # Horizon Bancorp 1,500 29,985 * Howard Hughes Corp. (The) 40,962 5,847,735 Hudson City Bancorp, Inc. 416,419 4,147,533 # Hudson Valley Holding Corp. 12,778 234,604 Huntington Bancshares, Inc. 693,834 6,355,519 # Iberiabank Corp. 31,172 1,960,719 * ICG Group, Inc. 37,349 761,173 # Independence Holding Co. 8,496 110,958 # Independent Bank Corp.(453836108) 23,331 866,047 Independent Bank Corp.(453838609) 3,800 49,476 # Infinity Property & Casualty Corp. 7,832 502,579 Interactive Brokers Group, Inc. Class A 84,322 2,015,296 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Financials -- (Continued) IntercontinentalExchange Group, Inc. 34,222 $ 6,996,346 #* InterGroup Corp. (The) 200 3,498 International Bancshares Corp. 67,093 1,540,455 #* Intervest Bancshares Corp. Class A 15,492 117,274 #* INTL. FCStone, Inc. 16,685 315,680 Invesco, Ltd. 337,374 11,878,939 * Investment Technology Group, Inc. 26,174 540,231 Investors Bancorp, Inc. 109,484 2,926,507 #* Investors Capital Holdings, Ltd. 1,399 9,954 # Investors Title Co. 1,022 72,317 # Janus Capital Group, Inc. 172,452 2,091,843 * Jefferson Bancshares, Inc. 1,271 9,977 # JMP Group, Inc. 15,902 109,883 Jones Lang LaSalle, Inc. 43,037 4,987,558 JPMorgan Chase & Co. 1,360,498 76,160,678 * KCG Holdings, Inc. Class A 7,392 73,550 #* Kearny Financial Corp. 44,060 642,395 Kemper Corp. 56,241 2,216,458 Kennedy-Wilson Holdings, Inc. 75,179 1,641,909 # Kentucky First Federal Bancorp 936 8,040 KeyCorp 752,159 10,259,449 #* Ladenburg Thalmann Financial Services, Inc. 23,786 64,936 Lake Shore Bancorp, Inc. 125 1,548 Lakeland Bancorp, Inc. 26,016 271,607 # Lakeland Financial Corp. 15,294 559,760 Landmark Bancorp, Inc. 1,197 23,126 Legg Mason, Inc. 131,430 6,162,753 Leucadia National Corp. 284,343 7,256,433 Life Partners Holdings, Inc. 7,528 20,551 Lincoln National Corp. 211,735 10,271,265 LNB Bancorp, Inc. 6,277 71,432 Loews Corp. 112,962 4,966,939 # Louisiana Bancorp, Inc. 2,100 40,950 LPL Financial Holdings, Inc. 84,895 4,019,778 LSB Financial Corp. 259 7,633 # M&T Bank Corp. 96,891 11,821,671 Macatawa Bank Corp. 19,394 94,449 * Magyar Bancorp, Inc. 211 1,745 # Maiden Holdings, Ltd. 79,127 933,699 # MainSource Financial Group, Inc. 15,803 261,224 #* Malvern Bancorp, Inc. 134 1,380 Manning & Napier, Inc. 2,618 43,511 * Markel Corp. 10,422 6,523,338 MarketAxess Holdings, Inc. 24,306 1,309,607 Marlin Business Services Corp. 11,172 191,823 Marsh & McLennan Cos., Inc. 140,592 6,932,592 #* Maui Land & Pineapple Co., Inc. 2,542 19,904 MB Financial, Inc. 55,073 1,478,159 * MBIA, Inc. 191,659 2,322,907 * MBT Financial Corp. 4,170 20,558 # MCG Capital Corp. 58,376 196,143 McGraw Hill Financial, Inc. 119,180 8,810,977 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Financials -- (Continued) # Meadowbrook Insurance Group, Inc. 35,445 $ 198,492 # Medallion Financial Corp. 22,015 299,404 # Mercantile Bank Corp. 6,156 120,104 Merchants Bancshares, Inc. 4,638 134,827 Mercury General Corp. 55,623 2,662,117 * Meridian Interstate Bancorp, Inc. 16,677 421,428 Meta Financial Group, Inc. 1,310 54,902 MetLife, Inc. 318,115 16,653,320 * Metro Bancorp, Inc. 10,574 215,921 #* MGIC Investment Corp. 152,142 1,308,421 MicroFinancial, Inc. 7,011 55,177 Mid Penn Bancorp, Inc. 497 7,455 # MidSouth Bancorp, Inc. 5,731 95,822 # MidWestOne Financial Group, Inc. 3,102 76,402 # Montpelier Re Holdings, Ltd. 46,585 1,424,569 Moody's Corp. 136,685 10,729,773 Morgan Stanley 439,424 13,591,384 * MSB Financial Corp. 339 2,765 * MSCI, Inc. 92,812 3,762,598 MutualFirst Financial, Inc. 2,798 52,602 NASDAQ OMX Group, Inc. (The) 136,287 5,028,990 # National Interstate Corp. 14,597 409,008 National Penn Bancshares, Inc. 150,458 1,469,975 National Security Group, Inc. 312 3,239 National Western Life Insurance Co. Class A 1,427 332,848 #* Naugatuck Valley Financial Corp. 610 4,724 * Navigators Group, Inc. (The) 14,054 800,656 NBT Bancorp, Inc. 43,897 994,267 Nelnet, Inc. Class A 35,331 1,493,088 * New Century Bancorp, Inc. 300 2,223 # New Hampshire Thrift Bancshares, Inc. 3,306 48,764 # New York Community Bancorp, Inc. 328,457 5,061,522 * NewBridge Bancorp 8,957 68,879 #* NewStar Financial, Inc. 38,956 444,878 Nicholas Financial, Inc. 4,022 63,226 * North Valley Bancorp 252 5,695 Northeast Bancorp 59 573 Northeast Community Bancorp, Inc. 3,456 25,160 Northern Trust Corp. 181,610 10,942,003 Northfield Bancorp, Inc. 55,335 717,695 # Northrim BanCorp, Inc. 3,902 93,609 Northwest Bancshares, Inc. 99,625 1,324,016 # Norwood Financial Corp. 991 28,580 # Ocean Shore Holding Co. 3,964 59,420 OceanFirst Financial Corp. 16,231 263,267 #* Ocwen Financial Corp. 106,268 4,027,557 OFG Bancorp 44,256 755,007 Ohio Valley Banc Corp. 1,110 24,143 Old Line Bancshares, Inc. 600 10,182 # Old National Bancorp 102,895 1,452,872 Old Republic International Corp. 253,456 4,197,231 * Old Second Bancorp, Inc. 4,388 20,887 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Financials -- (Continued) OmniAmerican Bancorp, Inc. 9,890 $ 245,865 # OneBeacon Insurance Group, Ltd. Class A 23,836 368,028 Oppenheimer Holdings, Inc. Class A 8,464 215,493 Oritani Financial Corp. 48,584 720,501 Pacific Continental Corp. 15,394 202,893 * Pacific Mercantile Bancorp 7,453 48,817 #* Pacific Premier Bancorp, Inc. 2,700 36,855 PacWest Bancorp 99,963 3,935,543 Park National Corp. 12,868 933,187 Park Sterling Corp. 20,322 132,703 PartnerRe, Ltd. 53,064 5,592,946 * Patriot National Bancorp, Inc. 500 645 # Peapack Gladstone Financial Corp. 6,688 127,139 # Penns Woods Bancorp, Inc. 3,034 133,496 # People's United Financial, Inc. 334,855 4,781,729 Peoples Bancorp 470 11,750 Peoples Bancorp of North Carolina, Inc. 2,042 35,122 Peoples Bancorp, Inc. 9,279 241,904 #* PHH Corp. 46,987 1,116,881 * Phoenix Cos., Inc. (The) 4,663 205,265 * PICO Holdings, Inc. 22,220 516,615 Pinnacle Financial Partners, Inc. 36,380 1,257,657 * Piper Jaffray Cos. 12,428 545,092 Platinum Underwriters Holdings, Ltd. 29,146 1,827,746 PNC Financial Services Group, Inc. (The) 158,691 13,336,392 * Popular, Inc. 100,755 3,113,330 * Porter Bancorp, Inc. 3,389 3,660 #* Portfolio Recovery Associates, Inc. 40,407 2,309,260 * Preferred Bank 1,261 27,048 Premier Financial Bancorp, Inc. 2,911 41,627 Primerica, Inc. 60,533 2,777,859 * Primus Guaranty, Ltd. 16,378 131,679 Principal Financial Group, Inc. 225,158 10,546,401 PrivateBancorp, Inc. 78,398 2,161,433 ProAssurance Corp. 59,050 2,682,051 Progressive Corp. (The) 458,857 11,127,282 # Prosperity Bancshares, Inc. 65,959 3,891,581 Protective Life Corp. 83,805 4,286,626 # Provident Financial Holdings, Inc. 6,264 88,134 Provident Financial Services, Inc. 49,741 864,499 * Prudential Bancorp, Inc. 2,842 30,722 Prudential Financial, Inc. 158,984 12,826,829 * PSB Holdings, Inc. 1,100 7,194 Pulaski Financial Corp. 7,180 74,169 # Pzena Investment Management, Inc. Class A 8,560 93,047 QC Holdings, Inc. 8,157 16,885 # QCR Holdings, Inc. 1,185 20,489 Radian Group, Inc. 100,718 1,408,038 Raymond James Financial, Inc. 105,086 5,222,774 Regions Financial Corp. 1,121,851 11,375,569 Reinsurance Group of America, Inc. 75,920 5,823,823 # RenaissanceRe Holdings, Ltd. 49,929 5,053,314 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Financials -- (Continued) # Renasant Corp. 26,531 $ 722,174 Republic Bancorp, Inc. Class A 14,893 357,581 #* Republic First Bancorp, Inc. 14,828 65,540 # Resource America, Inc. Class A 13,106 111,532 #* Riverview Bancorp, Inc. 9,533 33,175 # RLI Corp. 39,986 1,721,797 * Royal Bancshares of Pennsylvania, Inc. Class A 2,453 6,402 # S&T Bancorp, Inc. 28,907 672,377 #* Safeguard Scientifics, Inc. 20,000 420,200 Safety Insurance Group, Inc. 14,444 775,787 # Salisbury Bancorp, Inc. 543 16,374 Sandy Spring Bancorp, Inc. 23,110 555,796 SB Financial Group, Inc. 1,124 8,880 #* Seacoast Banking Corp. of Florida 6,735 71,391 * Security National Financial Corp. Class A 899 3,497 SEI Investments Co. 124,430 4,029,043 Selective Insurance Group, Inc. 53,825 1,234,746 #* Shore Bancshares, Inc. 3,114 29,552 SI Financial Group, Inc. 5,983 70,599 * Siebert Financial Corp. 3,562 10,419 Sierra Bancorp 9,727 151,838 * Signature Bank 43,030 5,112,825 # Simmons First National Corp. Class A 15,665 566,446 Simplicity Bancorp, Inc. 6,143 106,520 SLM Corp. 335,336 8,634,902 * South Street Financial Corp. 300 2,878 * Southcoast Financial Corp. 2,666 19,169 (o) Southern Community Financial Corp. 5,725 1,260 * Southern First Bancshares, Inc. 1,052 14,370 Southern Missouri Bancorp, Inc. 557 19,662 # Southern National Bancorp of Virginia, Inc. 302 3,120 # Southside Bancshares, Inc. 18,248 503,278 Southwest Bancorp, Inc. 16,450 274,715 Southwest Georgia Financial Corp. 863 12,380 #* St Joe Co. (The) 66,355 1,184,437 StanCorp Financial Group, Inc. 47,956 2,930,112 # State Auto Financial Corp. 31,122 636,756 State Street Corp. 151,491 9,780,259 Sterling Bancorp 76,328 912,883 # Stewart Information Services Corp. 21,400 652,700 * Stifel Financial Corp. 72,485 3,390,123 Stock Yards Bancorp Inc 11,700 344,916 * Stratus Properties, Inc. 2,912 48,339 #* Suffolk Bancorp 11,604 254,476 Summit State Bank 1,967 22,817 #* Sun Bancorp, Inc. 29,446 111,895 SunTrust Banks, Inc. 310,288 11,871,619 Susquehanna Bancshares, Inc. 209,098 2,166,255 * Sussex Bancorp 448 4,032 * SVB Financial Group 46,568 4,968,340 * SWS Group, Inc. 12,800 94,848 Symetra Financial Corp. 108,354 2,238,594 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Financials -- (Continued) Synovus Financial Corp. 1,109,088 $ 3,560,172 T Rowe Price Group, Inc. 70,274 5,771,604 * Taylor Capital Group, Inc. 23,708 504,743 TCF Financial Corp. 174,321 2,736,840 TD Ameritrade Holding Corp. 165,550 5,281,045 # Teche Holding Co. 824 60,070 #* Tejon Ranch Co. 15,148 469,739 # Territorial Bancorp, Inc. 9,185 187,925 # Teton Advisors, Inc. Class A 29 1,326 * Texas Capital Bancshares, Inc. 39,898 2,241,869 TF Financial Corp. 1,494 46,852 * TFS Financial Corp. 214,918 2,877,752 Timberland Bancorp, Inc. 1,600 17,040 Tompkins Financial Corp. 12,472 587,930 Torchmark Corp. 68,891 5,490,613 # Tower Group International, Ltd. 41,762 102,735 TowneBank 25,090 387,139 Travelers Cos., Inc. (The) 149,660 13,556,203 * Tree.com, Inc. 8,606 250,262 # Trico Bancshares 13,744 333,292 # TrustCo Bank Corp. 94,236 622,900 Trustmark Corp. 71,629 1,638,155 U.S. Bancorp 640,200 26,107,356 # UMB Financial Corp. 46,031 2,702,480 # Umpqua Holdings Corp. 107,233 1,783,285 #* Unico American Corp. 100 1,321 Union Bankshares Corp. 37,125 950,029 # Union Bankshares, Inc. 863 20,324 United Bancshares, Inc. 1,036 15,861 United Bankshares, Inc. 56,827 1,662,190 United Community Bancorp 99 1,129 * United Community Banks, Inc. 49,369 797,309 #* United Community Financial Corp. 6,897 22,967 * United Financial Bancorp, Inc.(910304104) 25,474 335,238 # United Financial Bancorp, Inc.(91030T109) 15,360 270,950 United Fire Group, Inc. 21,736 604,696 #* United Security Bancshares 4,582 25,845 Unity Bancorp, Inc. 3,873 33,114 # Universal Insurance Holdings, Inc. 40,757 596,275 # Univest Corp. of Pennsylvania 16,228 319,854 Unum Group 205,939 6,841,294 Validus Holdings, Ltd. 99,741 3,697,399 # Valley National Bancorp 174,413 1,747,618 * Vantagesouth Bancshares, Inc. 3,241 19,900 ViewPoint Financial Group, Inc. 38,969 1,015,922 #* Viewtran Group, Inc. 3,100 6,572 * Virtus Investment Partners, Inc. 4,318 798,787 # VSB Bancorp, Inc. 169 1,906 Waddell & Reed Financial, Inc. Class A 65,797 4,438,008 * Walker & Dunlop, Inc. 9,634 151,061 Washington Banking Co. 12,496 214,931 Washington Federal, Inc. 109,150 2,355,457 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED SHARES VALUE+ --------- -------------- Financials -- (Continued) # Washington Trust Bancorp, Inc. 16,199 $ 554,006 # Waterstone Financial, Inc. 13,136 136,746 Wayne Savings Bancshares, Inc. 955 11,097 Webster Financial Corp. 98,814 2,978,254 Wells Fargo & Co. 1,811,112 89,903,600 # WesBanco, Inc. 25,679 776,533 # West Bancorporation, Inc. 12,598 182,797 # Westamerica Bancorporation 23,834 1,211,244 * Western Alliance Bancorp 79,374 1,831,158 Westfield Financial, Inc. 20,512 140,507 # Westwood Holdings Group, Inc. 4,374 254,436 Willis Group Holdings P.L.C. 56,420 2,312,656 Wilshire Bancorp, Inc. 77,043 770,430 # Wintrust Financial Corp. 42,718 1,914,621 #* WisdomTree Investments, Inc. 114,919 1,297,436 #* World Acceptance Corp. 9,067 658,264 WR Berkley Corp. 97,415 4,309,640 WSFS Financial Corp. 4,034 272,779 WVS Financial Corp. 803 9,576 XL Group P.L.C. 224,961 7,052,527 * Yadkin Financial Corp. 2,192 41,977 Zions Bancorp. 183,285 5,300,602 * ZipRealty, Inc. 11,687 38,801 -------------- Total Financials 1,424,386,732 -------------- Health Care -- (10.4%) #* Abaxis, Inc. 7,459 302,910 Abbott Laboratories 376,087 14,569,610 AbbVie, Inc. 586,332 30,536,171 #* Acadia Healthcare Co., Inc. 26,155 1,099,033 #* Accuray, Inc. 47,447 398,555 * Acorda Therapeutics, Inc. 31,281 1,108,911 * Actavis P.L.C. 73,687 15,056,465 #* Adcare Health Systems, Inc. 2,984 12,234 * Addus HomeCare Corp. 9,732 210,406 Aetna, Inc. 134,335 9,598,236 #* Affymax, Inc. 23,828 12,867 #* Affymetrix, Inc. 89,923 668,128 Agilent Technologies, Inc. 73,407 3,966,914 #* Air Methods Corp. 57,682 3,211,157 #* Akorn, Inc. 47,877 1,207,458 #* Albany Molecular Research, Inc. 23,579 378,679 * Alere, Inc. 88,578 2,958,505 * Alexion Pharmaceuticals, Inc. 39,749 6,288,292 #* Align Technology, Inc. 53,254 2,683,469 * Alkermes P.L.C. 109,570 5,068,708 Allergan, Inc. 82,027 13,603,358 * Alliance HealthCare Services, Inc. 5,721 162,820 * Allied Healthcare Products, Inc. 1,583 3,419 * Allscripts Healthcare Solutions, Inc. 203,156 3,092,034 * Almost Family, Inc. 7,302 156,774 * Alnylam Pharmaceuticals, Inc. 27,384 1,356,330 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Health Care -- (Continued) #* Alphatec Holdings, Inc. 40,201 $ 54,271 #* AMAG Pharmaceuticals, Inc. 14,999 273,882 #* Amedisys, Inc. 32,387 441,435 * American Shared Hospital Services 797 2,224 AmerisourceBergen Corp. 95,538 6,227,167 Amgen, Inc. 197,640 22,086,270 * AMN Healthcare Services, Inc. 34,573 431,471 * Amsurg Corp. 34,501 1,494,238 #* Anacor Pharmaceuticals, Inc. 17,718 291,815 Analogic Corp. 12,091 907,792 * AngioDynamics, Inc. 31,505 423,427 #* Anika Therapeutics, Inc. 15,532 663,838 * Arqule, Inc. 11,499 18,628 * Arrhythmia Research Technology, Inc. 1,150 5,578 * ArthroCare Corp. 23,431 1,137,106 #* athenahealth, Inc. 12,686 1,568,497 * AtriCure, Inc. 2,500 38,500 # Atrion Corp. 1,243 358,394 #* Authentidate Holding Corp. 326 339 #* Auxilium Pharmaceuticals, Inc. 33,410 752,059 #* AVEO Pharmaceuticals, Inc. 1,372 1,688 #* Baxano Surgical, Inc. 17,578 14,941 Baxter International, Inc. 138,893 10,110,021 Becton Dickinson and Co. 51,570 5,828,957 * Bio-Rad Laboratories, Inc. Class A 22,788 2,807,709 * Bio-Rad Laboratories, Inc. Class B 1,562 200,975 #* Bio-Reference Labs, Inc. 19,000 482,600 #* Bioanalytical Systems, Inc. 400 1,112 * Biogen Idec, Inc. 70,829 20,336,422 * BioMarin Pharmaceutical, Inc. 69,676 4,057,233 #* BioScrip, Inc. 62,273 430,929 #* Biospecifics Technologies Corp. 900 21,357 #* Biota Pharmaceuticals, Inc. 1,866 6,886 * BioTelemetry, Inc. 20,541 163,096 * Boston Scientific Corp. 1,003,610 12,655,522 * Bovie Medical Corp. 7,222 28,527 Bristol-Myers Squibb Co. 409,202 20,496,928 * Brookdale Senior Living, Inc. 94,587 3,011,650 * Bruker Corp. 138,122 2,853,601 * Cambrex Corp. 33,102 678,260 Cantel Medical Corp. 32,964 1,093,086 * Capital Senior Living Corp. 21,903 541,661 #* Cardica, Inc. 1,700 1,819 Cardinal Health, Inc. 95,367 6,628,960 * CareFusion Corp. 163,668 6,392,872 * Celgene Corp. 119,850 17,619,149 #* Celldex Therapeutics, Inc. 36,352 545,280 #* Celsion Corp. 666 2,211 * Centene Corp. 37,229 2,472,006 #* Cepheid, Inc. 24,248 1,054,303 * Cerner Corp. 81,908 4,201,880 * Charles River Laboratories International, Inc. 51,769 2,781,031 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Health Care -- (Continued) # Chemed Corp. 13,600 $ 1,132,472 * Chindex International, Inc. 8,632 205,701 Cigna Corp. 155,296 12,429,892 #* Columbia Laboratories, Inc. 386 2,586 * Community Health Systems, Inc. 105,531 3,998,570 # Computer Programs & Systems, Inc. 7,987 504,219 CONMED Corp. 22,248 1,030,750 Cooper Cos., Inc. (The) 37,384 4,931,323 * Corvel Corp. 15,756 717,528 * Covance, Inc. 44,348 3,915,041 Covidien P.L.C. 115,859 8,254,954 CR Bard, Inc. 30,362 4,169,613 * Cross Country Healthcare, Inc. 28,018 198,648 # CryoLife, Inc. 26,075 236,761 * Cubist Pharmaceuticals, Inc. 63,461 4,446,078 #* Cumberland Pharmaceuticals, Inc. 14,360 63,902 #* Cutera, Inc. 12,003 123,751 #* Cyberonics, Inc. 14,064 832,026 * Cynosure, Inc. Class A 19,235 472,027 #* Cytokinetics, Inc. 2,470 11,239 * DaVita HealthCare Partners, Inc. 114,641 7,944,621 Daxor Corp. 2,013 16,728 DENTSPLY International, Inc. 66,164 2,952,899 * Depomed, Inc. 18,914 264,985 # Digirad Corp. 9,575 30,449 * Durect Corp. 18,393 23,911 #* Dyax Corp. 24,678 163,122 #* Edwards Lifesciences Corp. 31,200 2,541,864 Eli Lilly & Co. 280,470 16,575,777 #* Emergent Biosolutions, Inc. 33,103 872,595 * Emeritus Corp. 26,182 781,009 * Endo International P.L.C. 98,137 6,177,233 Ensign Group, Inc. (The) 17,002 722,585 #* EnteroMedics, Inc. 100 182 #* Enzo Biochem, Inc. 23,675 99,435 Enzon Pharmaceuticals, Inc. 38,733 34,476 #* Exact Sciences Corp. 1,550 18,600 #* Exactech, Inc. 11,305 251,197 * ExamWorks Group, Inc. 26,888 989,478 * Express Scripts Holding Co. 280,660 18,686,343 * Five Star Quality Care, Inc. 46,677 225,450 * Forest Laboratories, Inc. 203,080 18,665,083 * Furiex Pharmaceuticals, Inc. 6,234 644,409 #* Gentiva Health Services, Inc. 27,565 207,564 * Gilead Sciences, Inc. 585,923 45,989,096 * Globus Medical, Inc. Class A 16,267 397,240 * Greatbatch, Inc. 19,695 906,561 #* GTx, Inc. 8,205 12,636 * Haemonetics Corp. 39,016 1,184,526 * Hanger, Inc. 37,035 1,284,003 * Harvard Apparatus Regenerative Technology, Inc. 6,528 56,467 #* Harvard Bioscience, Inc. 26,114 110,201 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Health Care -- (Continued) * HCA Holdings, Inc. 80,241 $ 4,172,532 * Health Net, Inc. 79,794 2,739,328 # HealthSouth Corp. 52,066 1,803,566 * HealthStream, Inc. 10,500 237,825 #* Healthways, Inc. 37,705 678,690 * Henry Schein, Inc. 38,271 4,371,696 # Hill-Rom Holdings, Inc. 47,312 1,767,576 #* HMS Holdings Corp. 55,059 890,304 #* Hologic, Inc. 171,180 3,592,212 #* Horizon Pharma, Inc. 25,543 362,200 * Hospira, Inc. 124,280 5,692,024 Humana, Inc. 121,062 13,286,555 * ICU Medical, Inc. 14,367 801,391 #* Idera Pharmaceuticals, Inc. 12,837 36,457 #* IDEXX Laboratories, Inc. 30,958 3,914,330 #* Illumina, Inc. 37,922 5,151,704 * Impax Laboratories, Inc. 76,063 1,989,047 * Incyte Corp., Ltd. 102,337 4,969,485 #* Infinity Pharmaceuticals, Inc. 11,703 114,338 #* Insys Therapeutics, Inc. 4,960 203,658 * Integra LifeSciences Holdings Corp. 21,889 997,701 * Intuitive Surgical, Inc. 8,330 3,012,961 Invacare Corp. 32,126 507,591 #* IPC The Hospitalist Co., Inc. 13,189 534,155 * Iridex Corp. 2,696 22,458 #* Isis Pharmaceuticals, Inc. 49,163 1,308,227 * Jazz Pharmaceuticals P.L.C. 46,274 6,242,363 Johnson & Johnson 871,648 88,289,226 Kewaunee Scientific Corp. 1,352 22,646 Kindred Healthcare, Inc. 52,462 1,316,796 * Laboratory Corp. of America Holdings 41,562 4,102,169 # Landauer, Inc. 4,482 193,802 * Lannett Co., Inc. 21,767 751,615 #* LCA-Vision, Inc. 8,304 44,509 # LeMaitre Vascular, Inc. 8,529 70,023 #* LHC Group, Inc. 16,956 352,346 * LifePoint Hospitals, Inc. 42,949 2,401,708 #* Ligand Pharmaceuticals, Inc. Class B 5,831 368,344 #* Luminex Corp. 32,972 633,392 * Magellan Health Services, Inc. 29,077 1,678,324 #* Mallinckrodt P.L.C. 26,456 1,884,461 #* Masimo Corp. 45,571 1,219,480 #* Mast Therapeutics, Inc. 9,644 5,537 (o)* Maxygen, Inc. 18,827 565 McKesson Corp. 63,960 10,821,392 * MedAssets, Inc. 67,629 1,543,970 (o)* MedCath Corp. 11,283 22,566 #* Medical Action Industries, Inc. 18,216 116,765 #* Medicines Co. (The) 44,085 1,172,661 * MediciNova, Inc. 1,657 3,115 * Medidata Solutions, Inc. 18,834 683,863 #* Medivation, Inc. 41,241 2,483,121 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Health Care -- (Continued) * MEDNAX, Inc. 100,710 $ 5,967,068 Medtronic, Inc. 255,826 15,047,685 Merck & Co., Inc. 801,185 46,917,394 # Meridian Bioscience, Inc. 13,751 274,607 #* Merit Medical Systems, Inc. 42,639 548,764 * Mettler-Toledo International, Inc. 17,599 4,102,679 * Misonix, Inc. 2,220 13,320 #* Molina Healthcare, Inc. 45,300 1,694,220 * Momenta Pharmaceuticals, Inc. 46,247 528,141 * MWI Veterinary Supply, Inc. 9,388 1,470,536 * Mylan, Inc. 181,213 9,201,996 #* Myriad Genetics, Inc. 60,906 2,570,842 #* Nanosphere, Inc. 11,930 20,400 # National Healthcare Corp. 11,008 602,468 #* National Research Corp. Class A 11,661 183,777 #* National Research Corp. Class B 1,943 85,259 * Natus Medical, Inc. 32,808 814,623 * Neogen Corp. 13,046 544,997 #* NPS Pharmaceuticals, Inc. 3,990 106,214 * NuVasive, Inc. 44,228 1,490,926 Omnicare, Inc. 95,436 5,656,492 * Omnicell, Inc. 37,789 1,000,653 #* OncoGenex Pharmaceutical, Inc. 1,100 4,268 #* Opko Health, Inc. 320,839 2,653,339 * OraSure Technologies, Inc. 43,327 283,792 * Orthofix International NV 12,389 374,148 #* Osiris Therapeutics, Inc. 3,966 56,436 # Owens & Minor, Inc. 67,789 2,273,643 #* Pacific Biosciences of California, Inc. 27,980 123,672 #* Pain Therapeutics, Inc. 40,174 228,590 * PAREXEL International Corp. 46,637 2,114,988 # Patterson Cos., Inc. 75,864 3,087,665 #* PDI, Inc. 10,224 48,257 # PDL BioPharma, Inc. 98,354 835,025 PerkinElmer, Inc. 122,022 5,121,263 #* Pernix Therapeutics Holdings 3,056 14,699 Perrigo Co. P.L.C. 47,124 6,826,383 Pfizer, Inc. 2,295,798 71,812,561 * PharMerica Corp. 31,477 855,860 #* PhotoMedex, Inc. 5,223 78,920 #* Pozen, Inc. 24,054 201,091 * Prestige Brands Holdings, Inc. 51,041 1,710,894 #* Progenics Pharmaceuticals, Inc. 32,363 114,241 * ProPhase Labs, Inc. 3,827 7,577 * Providence Service Corp. (The) 11,710 475,543 #* pSivida Corp. 6,147 22,375 Psychemedics Corp. 400 6,304 Quality Systems, Inc. 48,767 720,289 # Quest Diagnostics, Inc. 114,806 6,421,100 # Questcor Pharmaceuticals, Inc. 30,745 2,526,624 #* Quidel Corp. 26,958 578,249 #* RadNet, Inc. 17,856 88,744 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Health Care -- (Continued) * Regeneron Pharmaceuticals, Inc. 26,802 $ 7,957,246 #* Repligen Corp. 26,740 423,829 # ResMed, Inc. 48,448 2,415,133 #* Retractable Technologies, Inc. 2,700 9,963 * Rigel Pharmaceuticals, Inc. 41,025 131,280 #* RTI Surgical, Inc. 47,690 205,067 #* Sagent Pharmaceuticals, Inc. 12,683 262,411 #* Salix Pharmaceuticals, Ltd. 36,039 3,964,290 #* Sangamo Biosciences, Inc. 9,721 134,539 #* Sciclone Pharmaceuticals, Inc. 54,788 261,887 #* Seattle Genetics, Inc. 48,892 1,881,364 Select Medical Holdings Corp. 150,450 2,100,282 * Sirona Dental Systems, Inc. 42,304 3,182,107 * Skilled Healthcare Group, Inc. Class A 15,845 81,760 # Span-America Medical Systems, Inc. 1,628 33,944 * Special Diversified Opportunities, Inc. 6,364 7,510 * Spectranetics Corp. 11,818 251,251 #* Spectrum Pharmaceuticals, Inc. 39,588 271,970 St Jude Medical, Inc. 84,499 5,363,152 #* Staar Surgical Co. 7,839 133,341 #* Stereotaxis, Inc. 1,899 7,349 STERIS Corp. 44,418 2,134,285 Stryker Corp. 60,685 4,718,259 #* Sucampo Pharmaceuticals, Inc. Class A 7,466 51,590 * SunLink Health Systems, Inc. 2,605 3,934 #* SurModics, Inc. 12,999 282,858 * Symmetry Medical, Inc. 33,805 279,229 #* Targacept, Inc. 1,592 7,068 * Taro Pharmaceutical Industries, Ltd. 8,909 1,000,748 * Team Health Holdings, Inc. 64,180 3,111,446 Techne Corp. 29,461 2,631,162 # Teleflex, Inc. 41,136 4,199,574 #* Tenet Healthcare Corp. 81,518 3,674,831 #* Theravance, Inc. 45,811 1,233,232 Thermo Fisher Scientific, Inc. 124,378 14,179,092 * Thoratec Corp. 45,894 1,504,405 * Tornier NV 27,511 466,862 #* Transcept Pharmaceuticals, Inc. 9,901 29,208 #* Triple-S Management Corp. Class B 20,296 304,034 #* United Therapeutics Corp. 41,007 4,101,110 UnitedHealth Group, Inc. 363,224 27,256,329 # Universal American Corp. 80,319 575,887 Universal Health Services, Inc. Class B 71,985 5,887,653 * Uroplasty, Inc. 2,100 7,308 US Physical Therapy, Inc. 9,452 291,594 # Utah Medical Products, Inc. 2,567 130,378 * Varian Medical Systems, Inc. 35,403 2,816,309 * Vascular Solutions, Inc. 12,692 278,082 * VCA Antech, Inc. 102,433 3,137,523 * Vertex Pharmaceuticals, Inc. 50,604 3,425,891 #* Vical, Inc. 14,130 15,967 #* Volcano Corp. 4,371 76,755 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED SHARES VALUE+ ------- -------------- Health Care -- (Continued) * Waters Corp. 24,784 $ 2,442,215 * WellCare Health Plans, Inc. 49,341 3,329,037 WellPoint, Inc. 106,927 10,765,410 West Pharmaceutical Services, Inc. 56,638 2,456,956 * Wright Medical Group, Inc. 47,631 1,302,708 #* XenoPort, Inc. 22,266 90,400 #* Zalicus, Inc. 3,117 3,335 Zimmer Holdings, Inc. 100,495 9,727,916 Zoetis, Inc. 548,666 16,602,633 -------------- Total Health Care 1,020,624,111 -------------- Industrials -- (12.4%) 3M Co. 232,760 32,374,588 # AAON, Inc. 26,106 740,105 # AAR Corp. 35,816 927,634 ABM Industries, Inc. 57,580 1,559,842 # Acacia Research Corp. 41,555 666,542 #* ACCO Brands Corp. 82,552 506,044 #* Accuride Corp. 14,909 84,087 Aceto Corp. 30,868 675,392 # Acme United Corp. 1,000 16,830 #* Acorn Energy, Inc. 10,523 24,413 * Active Power, Inc. 360 1,015 Actuant Corp. Class A 73,166 2,477,401 # Acuity Brands, Inc. 34,556 4,304,641 * Adept Technology, Inc. 6,777 81,053 # ADT Corp. (The) 155,331 4,697,209 #* Advisory Board Co. (The) 15,439 884,037 * AECOM Technology Corp. 101,169 3,279,899 #* Aegion Corp. 39,089 996,379 * AeroCentury Corp. 691 12,403 #* Aerovironment, Inc. 24,952 842,629 AGCO Corp. 87,613 4,880,044 * Air Transport Services Group, Inc. 61,220 479,353 Aircastle, Ltd. 39,578 695,385 # Alamo Group, Inc. 11,977 636,218 Alaska Air Group, Inc. 94,931 8,931,108 Albany International Corp. Class A 29,657 1,067,059 Allegiant Travel Co. 19,263 2,262,439 Allegion P.L.C. 58,306 2,877,401 # Alliant Techsystems, Inc. 33,943 4,895,259 (o) Allied Defense Group, Inc. 3,200 256 Allied Motion Technologies, Inc. 5,104 57,879 Allison Transmission Holdings, Inc. 77,890 2,324,238 Altra Industrial Motion Corp. 22,993 785,441 AMERCO 17,789 4,449,207 #* Ameresco, Inc. Class A 21,115 135,347 * American Airlines Group, Inc. 114,796 4,025,896 American Railcar Industries, Inc. 19,392 1,346,580 American Science & Engineering, Inc. 5,659 380,285 #* American Superconductor Corp. 8,960 11,469 * American Woodmark Corp. 12,264 368,043 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Industrials -- (Continued) AMETEK, Inc. 84,732 $ 4,467,071 * AMREP Corp. 3,360 18,312 AO Smith Corp. 63,922 2,988,993 Apogee Enterprises, Inc. 26,535 843,017 Applied Industrial Technologies, Inc. 33,512 1,605,895 * ARC Document Solutions, Inc. 39,885 255,264 ArcBest Corp. 24,176 953,018 Argan, Inc. 15,110 404,495 * Armstrong World Industries, Inc. 44,238 2,325,149 #* Arotech Corp. 14,831 51,464 #* Ascent Solar Technologies, Inc. 14,292 7,219 # Astec Industries, Inc. 23,179 926,001 * Astronics Corp. 8,850 505,512 * Astronics Corp. Class B 1,690 96,161 #* Atlas Air Worldwide Holdings, Inc. 24,912 871,671 * Avalon Holdings Corp. Class A 500 2,240 * Avis Budget Group, Inc. 161,539 8,495,336 # AZZ, Inc. 22,144 961,492 * B/E Aerospace, Inc. 54,163 4,753,887 Babcock & Wilcox Co. (The) 95,547 3,324,080 Baltic Trading, Ltd. 8,669 51,927 Barnes Group, Inc. 57,905 2,230,501 Barrett Business Services, Inc. 7,132 359,524 * Beacon Roofing Supply, Inc. 44,549 1,585,053 * Blount International, Inc. 62,419 697,220 #* BlueLinx Holdings, Inc. 25,832 33,840 Boeing Co. (The) 264,277 34,097,019 Brady Corp. Class A 43,578 1,123,877 * Breeze-Eastern Corp. 4,762 47,144 # Briggs & Stratton Corp. 43,930 938,784 # Brink's Co. (The) 47,513 1,208,731 * Broadwind Energy, Inc. 488 6,583 #* Builders FirstSource, Inc. 59,256 465,160 * CAI International, Inc. 16,201 352,372 Carlisle Cos., Inc. 59,459 4,890,503 * Casella Waste Systems, Inc. Class A 19,206 97,951 Caterpillar, Inc. 180,796 19,055,898 #* CBIZ, Inc. 52,103 446,523 CDI Corp. 16,021 245,442 Ceco Environmental Corp. 14,425 229,213 Celadon Group, Inc. 23,711 545,590 # CH Robinson Worldwide, Inc. 48,744 2,871,022 #* Chart Industries, Inc. 25,103 1,712,527 Chicago Bridge & Iron Co. NV 47,797 3,827,106 Chicago Rivet & Machine Co. 474 18,368 Cintas Corp. 87,943 5,182,481 CIRCOR International, Inc. 16,096 1,307,156 CLARCOR, Inc. 33,169 1,915,841 #* Clean Harbors, Inc. 61,092 3,665,520 * Colfax Corp. 81,134 5,840,025 * Columbus McKinnon Corp. 19,710 522,118 Comfort Systems USA, Inc. 36,120 541,800 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Industrials -- (Continued) #* Command Security Corp. 4,000 $ 7,900 #* Commercial Vehicle Group, Inc. 14,342 139,261 # Compx International, Inc. 1,315 12,098 Con-way, Inc. 76,525 3,250,782 Copa Holdings SA Class A 9,709 1,313,434 * Copart, Inc. 87,957 3,190,200 Corporate Executive Board Co. (The) 32,198 2,222,306 Courier Corp. 9,396 136,524 Covanta Holding Corp. 129,394 2,387,319 * Covenant Transportation Group, Inc. Class A 7,022 71,976 #* CPI Aerostructures, Inc. 5,447 73,371 #* CRA International, Inc. 6,991 152,194 Crane Co. 47,044 3,421,510 CSX Corp. 366,423 10,340,457 * CTPartners Executive Search, Inc. 1,200 11,520 Cubic Corp. 27,600 1,309,068 Cummins, Inc. 45,479 6,860,507 Curtiss-Wright Corp. 49,769 3,182,230 Danaher Corp. 173,628 12,740,823 Deere & Co. 105,440 9,841,770 Delta Air Lines, Inc. 260,159 9,581,656 Deluxe Corp. 61,765 3,393,987 * DigitalGlobe, Inc. 75,193 2,239,248 Donaldson Co., Inc. 49,375 2,078,194 Douglas Dynamics, Inc. 20,968 353,730 Dover Corp. 107,673 9,302,947 * Ducommun, Inc. 9,171 222,580 Dun & Bradstreet Corp. (The) 31,408 3,478,750 * DXP Enterprises, Inc. 14,628 1,656,036 * Dycom Industries, Inc. 33,593 1,054,820 # Dynamic Materials Corp. 11,762 237,592 #* Eagle Bulk Shipping, Inc. 5,847 17,073 Eastern Co. (The) 2,746 46,380 Eaton Corp. P.L.C. 163,173 11,852,887 #* Echo Global Logistics, Inc. 18,797 367,669 Ecology and Environment, Inc. Class A 1,746 16,744 EMCOR Group, Inc. 65,833 3,027,660 Emerson Electric Co. 234,513 15,989,096 # Encore Wire Corp. 21,516 1,048,475 #* Energy Recovery, Inc. 34,173 174,624 #* EnerNOC, Inc. 26,936 635,690 # EnerSys, Inc. 48,288 3,263,303 #* Engility Holdings, Inc. 12,285 536,117 Ennis, Inc. 20,180 301,893 #* EnPro Industries, Inc. 22,284 1,586,844 EnviroStar, Inc. 100 313 Equifax, Inc. 56,560 4,005,014 # ESCO Technologies, Inc. 25,782 861,634 Espey Manufacturing & Electronics Corp. 1,489 39,607 * Esterline Technologies Corp. 30,614 3,337,538 Exelis, Inc. 190,730 3,536,134 Expeditors International of Washington, Inc. 68,636 2,830,549 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Industrials -- (Continued) Exponent, Inc. 10,629 $ 748,494 # Fastenal Co. 91,096 4,562,088 * Federal Signal Corp. 50,581 767,820 FedEx Corp. 107,414 14,635,157 Flowserve Corp. 53,440 3,903,792 Fluor Corp. 70,053 5,303,012 Fortune Brands Home & Security, Inc. 125,096 4,985,076 Forward Air Corp. 24,843 1,098,806 * Franklin Covey Co. 14,953 303,097 # Franklin Electric Co., Inc. 39,033 1,509,406 FreightCar America, Inc. 11,459 300,913 * FTI Consulting, Inc. 40,525 1,390,007 #* Fuel Tech, Inc. 19,248 117,220 * Furmanite Corp. 36,043 377,731 G&K Services, Inc. Class A 17,855 945,244 # GATX Corp. 42,839 2,811,524 #* Genco Shipping & Trading, Ltd. 32,587 53,769 * Gencor Industries, Inc. 2,365 24,809 #* GenCorp, Inc. 39,369 691,320 Generac Holdings, Inc. 43,982 2,589,660 General Cable Corp. 45,033 1,153,745 General Dynamics Corp. 91,455 10,009,750 General Electric Co. 3,214,914 86,449,037 * Genesee & Wyoming, Inc. Class A 54,817 5,427,431 * Gibraltar Industries, Inc. 26,691 455,882 # Global Power Equipment Group, Inc. 12,367 216,794 #* Goldfield Corp. (The) 11,623 23,943 # Gorman-Rupp Co. (The) 17,906 555,981 #* GP Strategies Corp. 15,073 396,118 Graco, Inc. 45,811 3,321,297 #* GrafTech International, Ltd. 136,162 1,526,376 Graham Corp. 8,388 250,298 # Granite Construction, Inc. 37,926 1,417,674 * Great Lakes Dredge & Dock Corp. 62,243 537,157 #* Greenbrier Cos., Inc. (The) 31,578 1,655,950 # Griffon Corp. 60,722 646,082 * H&E Equipment Services, Inc. 31,333 1,207,887 Hardinge, Inc. 10,375 138,610 Harsco Corp. 97,609 2,335,783 #* Hawaiian Holdings, Inc. 49,733 718,642 # Healthcare Services Group, Inc. 17,346 504,769 # Heartland Express, Inc. 68,437 1,489,189 # HEICO Corp. 21,470 1,187,720 HEICO Corp. Class A 31,765 1,294,424 Heidrick & Struggles International, Inc. 14,775 278,509 #* Heritage-Crystal Clean, Inc. 4,417 70,672 Herman Miller, Inc. 70,882 2,185,292 * Hertz Global Holdings, Inc. 579,111 16,487,290 * Hexcel Corp. 81,626 3,402,988 * Hill International, Inc. 26,258 176,454 # HNI Corp. 36,773 1,295,513 Honeywell International, Inc. 215,621 20,031,191 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Industrials -- (Continued) # Houston Wire & Cable Co. 17,436 $ 217,253 * Hub Group, Inc. Class A 33,279 1,485,907 # Hubbell, Inc. Class A 4,100 459,610 Hubbell, Inc. Class B 27,464 3,233,062 * Hudson Global, Inc. 23,996 85,186 Huntington Ingalls Industries, Inc. 52,099 5,366,197 Hurco Cos., Inc. 4,582 122,156 * Huron Consulting Group, Inc. 21,075 1,500,540 * Huttig Building Products, Inc. 2,588 11,439 Hyster-Yale Materials Handling, Inc. 11,128 1,072,628 * ICF International, Inc. 18,264 711,748 IDEX Corp. 65,124 4,856,297 * IHS, Inc. Class A 20,484 2,470,985 Illinois Tool Works, Inc. 103,272 8,801,873 Ingersoll-Rand P.L.C. 174,920 10,460,216 #* InnerWorkings, Inc. 35,203 253,462 #* Innovative Solutions & Support, Inc. 10,802 72,697 Insperity, Inc. 20,259 649,504 Insteel Industries, Inc. 15,967 328,601 * Integrated Electrical Services, Inc. 5,698 35,385 # Interface, Inc. 63,746 1,146,791 # International Shipholding Corp. 3,805 102,507 # Intersections, Inc. 13,979 78,562 # Iron Mountain, Inc. 274,878 7,817,530 ITT Corp. 74,318 3,206,079 * Jacobs Engineering Group, Inc. 99,203 5,724,013 JB Hunt Transport Services, Inc. 47,696 3,629,666 #* JetBlue Airways Corp. 325,878 2,576,066 John Bean Technologies Corp. 17,119 496,280 # Joy Global, Inc. 105,852 6,391,344 Kadant, Inc. 7,600 264,100 # Kaman Corp. 51,004 2,140,638 Kansas City Southern 54,035 5,451,051 KAR Auction Services, Inc. 146,128 4,351,692 KBR, Inc. 156,856 3,979,437 # Kelly Services, Inc. Class A 35,712 752,095 Kelly Services, Inc. Class B 319 7,244 # Kennametal, Inc. 82,407 3,850,879 #* Key Technology, Inc. 3,418 42,144 Kforce, Inc. 31,804 735,308 Kimball International, Inc. Class B 29,634 496,666 * Kirby Corp. 57,411 5,776,695 # Knight Transportation, Inc. 87,841 2,084,467 Knoll, Inc. 37,042 673,794 * Korn/Ferry International 53,284 1,547,900 #* Kratos Defense & Security Solutions, Inc. 56,308 406,544 L-3 Communications Holdings, Inc. 65,147 7,516,009 # Landstar System, Inc. 30,111 1,896,692 #* Lawson Products, Inc. 5,743 96,195 #* Layne Christensen Co. 20,348 354,462 # LB Foster Co. Class A 10,072 476,909 # Lennox International, Inc. 44,531 3,733,034 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Industrials -- (Continued) Lincoln Electric Holdings, Inc. 59,903 $ 4,002,119 # Lindsay Corp. 10,381 914,878 #* LMI Aerospace, Inc. 9,060 123,578 Lockheed Martin Corp. 111,721 18,337,885 LS Starrett Co. (The) Class A 4,692 73,289 # LSI Industries, Inc. 17,359 132,102 #* Luna Innovations, Inc. 90 130 * Lydall, Inc. 12,907 302,153 #* Magnetek, Inc. 590 13,010 #* Manitex International, Inc. 2,000 32,920 # Manitowoc Co., Inc. (The) 99,777 3,170,913 Manpowergroup, Inc. 71,498 5,815,647 Marten Transport, Ltd. 32,819 769,934 Masco Corp. 154,400 3,101,896 #* MasTec, Inc. 84,555 3,346,687 Mastech Holdings, Inc. 1,412 24,399 Matson, Inc. 42,724 1,012,132 # McGrath RentCorp 21,730 686,233 * Meritor, Inc. 77,337 917,990 #* Metalico, Inc. 29,181 44,939 * Mfri, Inc. 3,034 33,040 * Middleby Corp. (The) 15,287 3,859,662 Miller Industries, Inc. 8,825 170,940 * Mistras Group, Inc. 18,236 414,140 # Mobile Mini, Inc. 45,488 2,009,660 * Moog, Inc. Class A 42,189 2,761,270 * Moog, Inc. Class B 3,215 210,518 * MRC Global, Inc. 108,033 3,153,483 MSA Safety, Inc. 30,213 1,593,736 # MSC Industrial Direct Co., Inc. Class A 39,305 3,579,113 Mueller Industries, Inc. 62,428 1,806,666 Mueller Water Products, Inc. Class A 127,169 1,159,781 # Multi-Color Corp. 11,629 405,271 * MYR Group, Inc. 21,515 504,742 # National Presto Industries, Inc. 5,789 418,313 * Navigant Consulting, Inc. 50,167 842,806 #* Navistar International Corp. 29,857 1,132,476 #* NCI Building Systems, Inc. 10,711 167,520 Nielsen Holdings NV 267,174 12,543,819 # NL Industries, Inc. 32,061 321,572 NN, Inc. 17,391 340,342 Nordson Corp. 34,965 2,599,648 Norfolk Southern Corp. 110,036 10,401,703 * Nortek, Inc. 880 72,301 Northrop Grumman Corp. 70,930 8,618,704 #* Northwest Pipe Co. 8,570 306,549 #* Ocean Power Technologies, Inc. 5,515 14,891 * Old Dominion Freight Line, Inc. 64,998 3,940,829 # Omega Flex, Inc. 3,648 73,580 * On Assignment, Inc. 42,076 1,472,660 * Orbital Sciences Corp. 62,986 1,851,788 * Orion Energy Systems, Inc. 19,776 104,813 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Industrials -- (Continued) * Orion Marine Group, Inc. 13,198 $ 154,813 Oshkosh Corp. 92,142 5,114,802 Owens Corning 113,675 4,643,624 PACCAR, Inc. 86,743 5,549,817 Pall Corp. 39,341 3,310,545 * PAM Transportation Services, Inc. 4,978 123,902 * Park-Ohio Holdings Corp. 10,331 603,227 Parker Hannifin Corp. 64,362 8,166,251 * Patrick Industries, Inc. 10,062 403,184 #* Patriot Transportation Holding, Inc. 4,366 152,286 * Pendrell Corp. 103,176 170,240 Pentair, Ltd. 150,525 11,182,502 * PGT, Inc. 38,073 378,826 #* Pike Corp. 31,344 300,902 # Pitney Bowes, Inc. 182,197 4,882,880 #* Plug Power, Inc. 784 3,646 #* PMFG, Inc. 6,463 36,645 #* Polypore International, Inc. 32,355 1,122,071 Powell Industries, Inc. 11,346 718,429 * PowerSecure International, Inc. 21,605 480,279 Precision Castparts Corp. 33,504 8,479,527 # Preformed Line Products Co. 4,237 253,203 Primoris Services Corp. 53,975 1,510,220 #* Proto Labs, Inc. 12,988 786,294 # Providence and Worcester Railroad Co. 1,227 21,399 Quad/Graphics, Inc. 4,393 95,108 * Quality Distribution, Inc. 23,515 295,584 # Quanex Building Products Corp. 40,035 754,259 * Quanta Services, Inc. 158,715 5,599,465 # Raven Industries, Inc. 39,307 1,214,586 Raytheon Co. 95,959 9,162,165 * RBC Bearings, Inc. 17,675 1,100,446 * RCM Technologies, Inc. 7,192 48,762 #* Real Goods Solar, Inc. Class A 4,310 12,628 Regal-Beloit Corp. 46,419 3,468,892 * Republic Airways Holdings, Inc. 41,632 345,962 Republic Services, Inc. 273,381 9,592,939 Resources Connection, Inc. 39,666 539,854 * Rexnord Corp. 20,246 541,378 #* Roadrunner Transportation Systems, Inc. 37,676 927,960 Robert Half International, Inc. 99,014 4,435,827 Rockwell Automation, Inc. 55,186 6,577,067 Rockwell Collins, Inc. 86,897 6,747,552 Rollins, Inc. 69,599 2,093,538 Roper Industries, Inc. 37,266 5,178,111 #* RPX Corp. 57,348 939,360 RR Donnelley & Sons Co. 164,708 2,898,861 #* Rush Enterprises, Inc. Class A 27,316 876,844 * Rush Enterprises, Inc. Class B 2,881 81,475 Ryder System, Inc. 56,740 4,662,893 * Saia, Inc. 29,348 1,208,257 # Schawk, Inc. 16,375 327,500 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Industrials -- (Continued) * Sensata Technologies Holding NV 64,030 $ 2,719,354 # Servotronics, Inc. 389 3,013 SIFCO Industries, Inc. 3,251 106,795 Simpson Manufacturing Co., Inc. 49,610 1,626,712 SkyWest, Inc. 44,565 516,954 * SL Industries, Inc. 4,724 129,863 Snap-on, Inc. 38,814 4,502,424 Southwest Airlines Co. 508,666 12,294,457 #* SP Plus Corp. 7,985 194,994 #* Sparton Corp. 6,370 173,009 * Spirit Aerosystems Holdings, Inc. Class A 127,799 3,837,804 * Spirit Airlines, Inc. 61,730 3,508,733 SPX Corp. 45,481 4,631,785 #* Standard Register Co. (The) 2,977 21,613 Standex International Corp. 10,481 622,257 Stanley Black & Decker, Inc. 117,142 10,061,326 Steelcase, Inc. Class A 70,999 1,170,064 * Stericycle, Inc. 28,018 3,262,416 #* Sterling Construction Co., Inc. 11,349 87,160 # Sun Hydraulics Corp. 18,650 762,412 * Supreme Industries, Inc. Class A 5,876 33,317 #* Swift Transportation Co. 71,086 1,709,618 Sypris Solutions, Inc. 12,624 38,251 #* TAL International Group, Inc. 38,338 1,617,097 #* Taser International, Inc. 32,983 532,675 * Team, Inc. 15,124 648,668 #* Tecumseh Products Co. Class A 8,422 50,616 * Tecumseh Products Co. Class B 4,050 23,652 * Teledyne Technologies, Inc. 30,228 2,806,972 # Tennant Co. 15,002 956,978 # Terex Corp. 117,816 5,100,255 * Tetra Tech, Inc. 58,641 1,681,237 # Textainer Group Holdings, Ltd. 50,784 1,995,811 Textron, Inc. 159,725 6,532,752 * Thermon Group Holdings, Inc. 7,328 174,553 Timken Co. (The) 78,256 4,936,388 # Titan International, Inc. 51,879 908,401 #* Titan Machinery, Inc. 18,690 329,692 Toro Co. (The) 51,568 3,276,631 Towers Watson & Co. Class A 34,849 3,910,755 TransDigm Group, Inc. 33,865 6,023,568 #* TRC Cos., Inc. 15,862 94,062 #* Trex Co., Inc. 10,928 858,067 * Trimas Corp. 36,268 1,300,570 Trinity Industries, Inc. 99,769 7,488,661 Triumph Group, Inc. 50,187 3,252,619 * TrueBlue, Inc. 33,359 892,353 * Tutor Perini Corp. 50,704 1,500,838 # Twin Disc, Inc. 9,700 280,621 Tyco International, Ltd. 131,362 5,372,706 #* Ultralife Corp. 11,666 41,998 UniFirst Corp. 15,482 1,489,988 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED SHARES VALUE+ ------- -------------- Industrials -- (Continued) Union Pacific Corp. 165,151 $ 31,449,705 * United Continental Holdings, Inc. 299,519 12,241,342 United Parcel Service, Inc. Class B 260,438 25,653,143 #* United Rentals, Inc. 87,788 8,237,148 United Stationers, Inc. 42,474 1,594,049 United Technologies Corp. 222,603 26,340,613 Universal Forest Products, Inc. 15,510 783,100 * Universal Security Instruments, Inc. 1,135 4,767 # Universal Truckload Services, Inc. 12,449 306,992 URS Corp. 74,343 3,503,042 US Ecology, Inc. 16,180 722,437 #* USA Truck, Inc. 6,922 115,321 #* USG Corp. 61,275 1,829,671 # UTi Worldwide, Inc. 105,872 1,036,487 # Valmont Industries, Inc. 23,602 3,514,574 * Verisk Analytics, Inc. Class A 63,478 3,814,393 * Versar, Inc. 4,038 15,587 Viad Corp. 20,448 471,326 * Vicor Corp. 15,288 127,808 * Virco Manufacturing Corp. 6,445 14,147 * Volt Information Sciences, Inc. 10,850 86,583 # VSE Corp. 3,584 223,892 #* Wabash National Corp. 54,822 732,422 * WABCO Holdings, Inc. 37,161 3,976,599 Wabtec Corp. 62,832 4,684,126 Waste Connections, Inc. 130,759 5,839,697 Waste Management, Inc. 168,299 7,480,891 Watsco, Inc. 24,187 2,489,084 # Watsco, Inc. Class B 2,268 229,680 Watts Water Technologies, Inc. Class A 31,205 1,660,106 # Werner Enterprises, Inc. 74,319 1,902,566 * Wesco Aircraft Holdings, Inc. 13,871 281,026 #* WESCO International, Inc. 44,256 3,884,792 * Willdan Group, Inc. 3,604 16,831 * Willis Lease Finance Corp. 4,420 89,107 # Woodward, Inc. 61,368 2,751,127 WW Grainger, Inc. 14,013 3,564,907 #* XPO Logistics, Inc. 17,894 485,643 Xylem, Inc. 93,860 3,528,197 #* YRC Worldwide, Inc. 8,409 188,614 -------------- Total Industrials 1,227,386,126 -------------- Information Technology -- (16.0%) #* 3D Systems Corp. 42,720 2,022,365 Accenture P.L.C. Class A 277,659 22,273,805 * ACI Worldwide, Inc. 40,408 2,309,317 Activision Blizzard, Inc. 391,417 7,832,254 * Actuate Corp. 39,862 224,423 * Acxiom Corp. 65,750 1,856,780 #* ADDvantage Technologies Group, Inc. 3,642 12,237 * Adobe Systems, Inc. 115,270 7,111,006 # ADTRAN, Inc. 53,536 1,200,812 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED SHARES VALUE+ ------- ------------ Information Technology -- (Continued) * Advanced Energy Industries, Inc. 44,479 $ 973,201 #* Advanced Micro Devices, Inc. 91,993 376,251 # Advent Software, Inc. 45,493 1,311,108 * Aehr Test Systems 788 2,017 * Aeroflex Holding Corp. 6,134 46,925 #* Aetrium, Inc. 207 1,045 * Agilysys, Inc. 20,355 255,252 * Akamai Technologies, Inc. 72,284 3,836,112 #* Alliance Data Systems Corp. 34,087 8,245,645 * Alpha & Omega Semiconductor, Ltd. 15,468 111,370 Altera Corp. 80,294 2,611,161 Amdocs, Ltd. 123,393 5,741,476 # American Software, Inc. Class A 19,865 191,499 #* Amkor Technology, Inc. 135,464 1,076,939 Amphenol Corp. Class A 57,803 5,511,516 * Amtech Systems, Inc. 7,913 67,656 #* ANADIGICS, Inc. 59,417 74,271 Analog Devices, Inc. 123,854 6,352,472 Anixter International, Inc. 26,166 2,563,745 * ANSYS, Inc. 27,239 2,078,608 * AOL, Inc. 75,754 3,243,029 Apple, Inc. 319,378 188,461,764 Applied Materials, Inc. 361,152 6,883,557 #* Applied Micro Circuits Corp. 45,721 443,951 * ARRIS Group, Inc. 137,064 3,576,000 * Arrow Electronics, Inc. 102,391 5,810,689 * Aspen Technology, Inc. 77,668 3,338,947 Astro-Med, Inc. 4,620 58,073 * Atmel Corp. 333,677 2,592,670 * Autobytel, Inc. 267 3,321 * Autodesk, Inc. 69,959 3,359,431 Automatic Data Processing, Inc. 133,518 10,409,063 Avago Technologies, Ltd. 88,426 5,615,051 #* AVG Technologies NV 25,261 473,139 #* Aviat Networks, Inc. 47,169 71,225 #* Avid Technology, Inc. 37,151 280,490 Avnet, Inc. 124,893 5,386,635 AVX Corp. 89,161 1,190,299 * Aware, Inc. 12,087 66,962 * Axcelis Technologies, Inc. 62,314 111,542 * AXT, Inc. 24,367 52,633 Badger Meter, Inc. 11,534 571,510 * Bankrate, Inc. 86,348 1,512,817 # Bel Fuse, Inc. Class A 1,700 34,612 Bel Fuse, Inc. Class B 8,861 192,815 Belden, Inc. 35,767 2,639,962 * Benchmark Electronics, Inc. 43,736 1,013,800 Black Box Corp. 13,595 289,030 Blackbaud, Inc. 22,429 682,963 #* Blackhawk Network Holdings, Inc. Class B 35,143 809,343 #* Blucora, Inc. 46,839 901,651 Booz Allen Hamilton Holding Corp. 51,044 1,186,263 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Information Technology -- (Continued) #* Bottomline Technologies de, Inc. 28,928 $ 915,282 Broadcom Corp. Class A 98,470 3,033,861 Broadridge Financial Solutions, Inc. 143,543 5,503,439 * BroadVision, Inc. 3,362 33,351 * Brocade Communications Systems, Inc. 454,643 4,232,726 # Brooks Automation, Inc. 64,009 654,812 * Bsquare Corp. 4,926 15,763 #* BTU International, Inc. 5,073 14,864 CA, Inc. 328,482 9,900,447 * Cabot Microelectronics Corp. 18,315 794,322 #* CACI International, Inc. Class A 21,582 1,503,186 * Cadence Design Systems, Inc. 226,920 3,530,875 * CalAmp Corp. 16,958 301,004 * Calix, Inc. 51,341 452,314 * Cardtronics, Inc. 38,594 1,292,127 * Cascade Microtech, Inc. 8,576 91,592 # Cass Information Systems, Inc. 8,617 435,245 #* Ceva, Inc. 21,122 342,810 * Checkpoint Systems, Inc. 39,617 505,909 #* China Information Technology, Inc. 11,819 47,985 #* ChyronHego Corp. 5,535 13,229 * CIBER, Inc. 93,231 402,758 #* Ciena Corp. 116,817 2,309,472 * Cinedigm Corp. 52,434 131,085 #* Cirrus Logic, Inc. 50,345 1,122,693 Cisco Systems, Inc. 1,871,862 43,258,731 #* Citrix Systems, Inc. 38,695 2,295,000 #* Clearfield, Inc. 8,284 130,556 * Cognex Corp. 69,870 2,405,624 * Cognizant Technology Solutions Corp. Class A 153,394 7,348,340 * Coherent, Inc. 24,244 1,447,609 # Cohu, Inc. 18,243 187,903 Communications Systems, Inc. 6,855 82,877 #* CommVault Systems, Inc. 21,597 1,045,295 Computer Sciences Corp. 178,279 10,550,551 Computer Task Group, Inc. 12,978 205,182 Compuware Corp. 178,883 1,853,228 * comScore, Inc. 7,532 235,978 # Comtech Telecommunications Corp. 17,310 549,592 * Comverse, Inc. 3,459 86,267 #* Concur Technologies, Inc. 33,247 2,675,386 # Concurrent Computer Corp. 5,951 49,929 * Constant Contact, Inc. 24,536 634,501 Convergys Corp. 94,587 2,037,404 #* Conversant, Inc. 70,251 1,716,934 * CoreLogic, Inc. 93,931 2,632,886 Corning, Inc. 523,751 10,951,633 * CoStar Group, Inc. 21,425 3,447,068 #* Cray, Inc. 35,502 1,019,262 #* Cree, Inc. 100,922 4,760,491 * Crexendo, Inc. 4,054 12,892 CSG Systems International, Inc. 32,091 845,919 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Information Technology -- (Continued) CSP, Inc. 709 $ 5,374 CTS Corp. 30,923 550,120 #* CyberOptics Corp. 4,778 35,931 Daktronics, Inc. 34,304 446,638 * Datalink Corp. 17,533 225,124 * Dealertrack Technologies, Inc. 38,164 1,743,713 #* Demand Media, Inc. 42,677 177,536 #* Dice Holdings, Inc. 43,429 332,232 # Diebold, Inc. 61,433 2,310,495 * Digi International, Inc. 22,616 200,378 # Digimarc Corp. 4,419 145,915 * Digital River, Inc. 36,018 550,715 * Diodes, Inc. 47,242 1,245,772 #* Dolby Laboratories, Inc. Class A 39,752 1,584,117 * Dot Hill Systems Corp. 26,438 109,189 * DSP Group, Inc. 16,722 133,107 DST Systems, Inc. 42,236 3,893,737 * DTS, Inc. 15,126 281,495 EarthLink Holdings Corp. 86,005 293,277 * eBay, Inc. 254,864 13,209,601 # Ebix, Inc. 29,226 461,186 #* Echelon Corp. 6,990 18,104 * EchoStar Corp. Class A 43,970 1,976,891 * Edgewater Technology, Inc. 5,900 41,772 #* Elecsys Corp. 58 786 # Electro Rent Corp. 22,444 362,471 # Electro Scientific Industries, Inc. 23,740 201,315 * Electronic Arts, Inc. 122,671 3,471,589 * Electronics for Imaging, Inc. 45,694 1,726,776 #* Ellie Mae, Inc. 16,863 411,289 #* eMagin Corp. 9,611 23,163 EMC Corp. 738,260 19,047,108 * Emcore Corp. 15,932 76,952 * Emulex Corp. 101,483 725,603 * Entegris, Inc. 147,754 1,638,592 #* Entropic Communications, Inc. 91,723 338,458 * Envestnet, Inc. 6,963 256,587 * EPAM Systems, Inc. 33,474 1,042,046 EPIQ Systems, Inc. 34,141 436,663 * ePlus, Inc. 6,933 346,927 #* Equinix, Inc. 16,279 3,057,359 * Euronet Worldwide, Inc. 42,025 1,932,730 #* Exar Corp. 44,266 478,958 * ExlService Holdings, Inc. 23,422 662,725 * Extreme Networks, Inc. 87,771 502,050 * F5 Networks, Inc. 26,729 2,811,089 #* Fabrinet 24,255 523,908 * Facebook, Inc. Class A 459,531 27,470,763 # FactSet Research Systems, Inc. 37,165 3,958,072 Fair Isaac Corp. 28,576 1,634,547 * Fairchild Semiconductor International, Inc. 119,689 1,523,641 #* FalconStor Software, Inc. 21,742 33,048 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Information Technology -- (Continued) * FARO Technologies, Inc. 11,460 $ 457,254 FEI Co. 33,554 2,668,214 Fidelity National Information Services, Inc. 219,255 11,714,795 #* Finisar Corp. 87,719 2,293,852 * First Solar, Inc. 130,087 8,779,572 * Fiserv, Inc. 123,430 7,502,075 * FleetCor Technologies, Inc. 55,064 6,284,454 FLIR Systems, Inc. 130,061 4,427,276 * FormFactor, Inc. 53,779 309,229 Forrester Research, Inc. 15,969 565,782 * Fortinet, Inc. 74,629 1,640,345 #* Freescale Semiconductor, Ltd. 119,602 2,627,656 * Frequency Electronics, Inc. 5,169 55,076 #* Fusion-io, Inc. 64,803 559,250 * Gartner, Inc. 57,888 3,990,799 * Genpact, Ltd. 182,432 3,075,804 #* GigOptix, Inc. 1,174 1,867 * Global Cash Access Holdings, Inc. 53,109 350,519 Global Payments, Inc. 72,030 4,813,765 # Globalscape, Inc. 7,843 19,372 * Google, Inc. Class A 68,974 36,892,813 * Google, Inc. Class C 68,974 36,325,847 #* GSE Systems, Inc. 10,738 18,792 * GSI Group, Inc. 25,444 308,890 #* GSI Technology, Inc. 18,402 116,853 #* GT Advanced Technologies, Inc. 72,222 1,199,607 #* Guidance Software, Inc. 5,853 53,906 #* Guidewire Software, Inc. 30,141 1,138,124 Hackett Group, Inc. (The) 30,512 183,072 * Harmonic, Inc. 113,919 800,851 Harris Corp. 67,326 4,949,808 # Heartland Payment Systems, Inc. 29,726 1,216,982 Hewlett-Packard Co. 931,583 30,798,134 Hittite Microwave Corp. 25,186 1,495,041 #* Hutchinson Technology, Inc. 19,571 54,407 IAC/InterActiveCorp 85,223 5,648,580 #* ID Systems, Inc. 7,118 40,074 * Identive Group, Inc. 29,569 25,134 #* IEC Electronics Corp. 5,002 22,259 * iGATE Corp. 47,072 1,722,835 * II-VI, Inc. 62,581 901,166 * Ikanos Communications, Inc. 4,543 2,703 #* Imation Corp. 27,305 117,958 * Immersion Corp. 9,931 112,618 #* Infinera Corp. 91,317 818,200 * Informatica Corp. 87,297 3,094,679 * Ingram Micro, Inc. Class A 163,630 4,411,465 * Innodata, Inc. 13,032 43,918 * Inphi Corp. 15,287 226,095 * Insight Enterprises, Inc. 41,599 1,086,566 * Integrated Device Technology, Inc. 145,003 1,692,185 * Integrated Silicon Solution, Inc. 28,868 417,431 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Information Technology -- (Continued) Intel Corp. 2,209,569 $58,973,397 * Intellicheck Mobilisa, Inc. 4,118 2,800 * Interactive Intelligence Group, Inc. 6,712 419,970 # InterDigital, Inc. 29,340 1,018,685 #* Internap Network Services Corp. 47,600 319,872 International Business Machines Corp. 334,798 65,777,763 * International Rectifier Corp. 79,955 2,082,028 * Interphase Corp. 2,397 13,064 Intersil Corp. Class A 138,626 1,710,645 #* inTEST Corp. 1,100 4,543 * Intevac, Inc. 16,827 135,457 * IntraLinks Holdings, Inc. 44,662 408,657 * IntriCon Corp. 2,604 17,212 Intuit, Inc. 123,403 9,347,777 #* Inuvo, Inc. 773 595 #* InvenSense, Inc. 14,754 317,654 #* IPG Photonics Corp. 42,610 2,753,884 * Iteris, Inc. 3,700 7,178 #* Itron, Inc. 42,093 1,599,534 * Ixia 53,268 661,589 # IXYS Corp. 23,823 257,050 # j2 Global, Inc. 37,655 1,745,686 Jabil Circuit, Inc. 208,867 3,605,044 Jack Henry & Associates, Inc. 71,098 3,921,766 * JDS Uniphase Corp. 175,850 2,228,019 * Juniper Networks, Inc. 377,588 9,322,648 * Kemet Corp. 43,819 219,533 * Key Tronic Corp. 8,234 86,292 KLA-Tencor Corp. 71,178 4,554,680 * Knowles Corp. 53,836 1,503,639 #* Kopin Corp. 52,846 172,278 * Kulicke & Soffa Industries, Inc. 88,890 1,307,572 * KVH Industries, Inc. 14,698 198,570 * Lam Research Corp. 124,245 7,157,754 #* Lattice Semiconductor Corp. 108,900 916,938 # Leidos Holdings, Inc. 90,950 3,386,978 # Lexmark International, Inc. Class A 76,588 3,293,284 * LGL Group, Inc. (The) 964 4,724 #* Limelight Networks, Inc. 80,422 166,474 Linear Technology Corp. 147,755 6,575,097 * LinkedIn Corp. Class A 21,479 3,296,382 * Lionbridge Technologies, Inc. 50,577 297,393 * Liquidity Services, Inc. 2,998 51,716 Littelfuse, Inc. 17,754 1,607,625 * LogMeIn, Inc. 2,816 127,987 * LoJack Corp. 18,587 105,388 LSI Corp. 441,194 4,914,901 * LTX-Credence Corp. 41,824 402,765 * Magnachip Semiconductor Corp. 38,971 545,594 * Manhattan Associates, Inc. 64,816 2,043,648 # ManTech International Corp. Class A 24,118 719,440 # Marchex, Inc. Class B 18,835 174,224 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED SHARES VALUE+ --------- ------------ Information Technology -- (Continued) Marvell Technology Group, Ltd. 377,061 $ 5,980,187 MasterCard, Inc. Class A 384,167 28,255,483 #* Mattersight Corp. 2,290 14,450 * Mattson Technology, Inc. 41,768 83,118 Maxim Integrated Products, Inc. 119,916 3,890,075 MAXIMUS, Inc. 55,844 2,377,279 * MaxLinear, Inc. Class A 9,110 71,696 #* Maxwell Technologies, Inc. 30,742 462,975 #* Measurement Specialties, Inc. 12,334 793,693 Mentor Graphics Corp. 116,438 2,410,267 * Mercury Systems, Inc. 24,032 335,487 # Mesa Laboratories, Inc. 2,478 212,365 Methode Electronics, Inc. 33,723 935,476 Micrel, Inc. 44,629 444,505 # Microchip Technology, Inc. 71,648 3,406,146 * Micron Technology, Inc. 743,836 19,428,996 * MICROS Systems, Inc. 60,867 3,134,650 * Microsemi Corp. 98,697 2,321,353 Microsoft Corp. 2,517,862 101,721,625 MKS Instruments, Inc. 54,738 1,540,875 MOCON, Inc. 3,434 54,875 #* ModusLink Global Solutions, Inc. 27,305 110,312 * MoneyGram International, Inc. 22,061 291,205 * Monolithic Power Systems, Inc. 27,993 1,038,540 Monotype Imaging Holdings, Inc. 31,633 835,428 * Monster Worldwide, Inc. 104,133 717,476 #* MoSys, Inc. 27,600 107,916 Motorola Solutions, Inc. 76,051 4,835,323 * Move, Inc. 26,766 286,129 # MTS Systems Corp. 12,976 836,563 * Multi-Fineline Electronix, Inc. 19,220 237,944 * Nanometrics, Inc. 21,470 349,102 * NAPCO Security Technologies, Inc. 8,159 47,649 # National Instruments Corp. 100,630 2,748,205 * NCI, Inc. Class A 5,008 49,930 * NCR Corp. 116,768 3,562,592 #* NeoPhotonics Corp. 1,440 8,309 NetApp, Inc. 174,681 6,220,390 #* NETGEAR, Inc. 34,489 1,113,995 #* Netlist, Inc. 11,100 17,982 * Netscout Systems, Inc. 31,562 1,229,656 #* NetSuite, Inc. 17,837 1,378,978 #* NeuStar, Inc. Class A 51,089 1,314,009 * Newport Corp. 38,600 721,048 NIC, Inc. 21,689 397,776 #* Novatel Wireless, Inc. 23,600 42,716 #* Nuance Communications, Inc. 227,048 3,653,202 #* Numerex Corp. Class A 7,300 74,825 NVIDIA Corp. 437,793 8,086,037 * Oclaro, Inc. 55,087 187,296 * OmniVision Technologies, Inc. 52,695 1,029,133 * ON Semiconductor Corp. 310,662 2,923,329 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Information Technology -- (Continued) * Onvia, Inc. 442 $ 2,305 * OpenTable, Inc. 13,321 894,638 * Oplink Communications, Inc. 18,141 310,937 Optical Cable Corp. 3,696 14,008 Oracle Corp. 1,063,571 43,478,782 * OSI Systems, Inc. 16,086 897,760 #* Pandora Media, Inc. 86,387 2,023,184 * PAR Technology Corp. 8,654 41,799 # Park Electrochemical Corp. 18,914 504,247 #* Parkervision, Inc. 2,905 13,247 Paychex, Inc. 233,670 9,769,743 PC Connection, Inc. 18,315 366,483 PC-Tel, Inc. 12,027 99,223 #* PCM, Inc. 7,619 79,390 * PDF Solutions, Inc. 16,670 312,896 Pegasystems, Inc. 17,142 284,043 # Perceptron, Inc. 7,250 85,550 * Perficient, Inc. 32,938 601,777 * Pericom Semiconductor Corp. 19,546 157,736 #* Photronics, Inc. 53,760 466,637 #* Planar Systems, Inc. 9,180 20,196 Plantronics, Inc. 34,383 1,498,067 * Plexus Corp. 35,954 1,507,192 * PLX Technology, Inc. 26,267 152,349 * PMC-Sierra, Inc. 189,227 1,294,313 * Polycom, Inc. 154,045 1,894,753 Power Integrations, Inc. 23,948 1,131,064 #* PRGX Global, Inc. 24,971 160,564 #* Procera Networks, Inc. 11,749 108,796 * Progress Software Corp. 51,253 1,099,889 * PROS Holdings, Inc. 8,482 232,407 * PTC, Inc. 98,640 3,488,897 * Pulse Electronics Corp. 1,308 4,316 QAD, Inc. Class A 5,894 112,281 QAD, Inc. Class B 1,959 30,541 * QLogic Corp. 87,439 1,012,544 QUALCOMM, Inc. 411,597 32,396,800 * Qualstar Corp. 3,826 5,777 #* Quantum Corp. 104,104 112,432 #* QuickLogic Corp. 7,193 34,023 * QuinStreet, Inc. 30,209 184,275 * Qumu Corp. 6,460 86,887 #* Rackspace Hosting, Inc. 112,807 3,273,659 #* Radisys Corp. 20,449 65,437 #* Rambus, Inc. 87,903 1,062,747 #* RealD, Inc. 33,877 371,292 * RealNetworks, Inc. 27,707 208,911 #* RealPage, Inc. 20,403 362,153 * Red Hat, Inc. 48,409 2,355,098 #* Reis, Inc. 6,081 100,093 * Relm Wireless Corp. 1,238 3,986 #* Remark Media, Inc. 1,020 5,875 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Information Technology -- (Continued) # RF Industries, Ltd. 4,931 $ 30,128 * RF Micro Devices, Inc. 252,604 2,131,978 # Richardson Electronics, Ltd. 9,355 93,737 * Riverbed Technology, Inc. 110,153 2,142,476 #* Rofin-Sinar Technologies, Inc. 24,231 537,928 * Rogers Corp. 18,659 1,119,913 * Rosetta Stone, Inc. 20,764 247,299 * Rovi Corp. 95,719 2,133,577 #* Rubicon Technology, Inc. 18,250 184,873 * Rudolph Technologies, Inc. 28,723 261,667 * Saba Software, Inc. 10,919 120,109 * Salesforce.com, Inc. 135,290 6,987,728 SanDisk Corp. 175,868 14,943,504 * Sanmina Corp. 96,428 1,952,667 * Sapient Corp. 115,275 1,875,524 * ScanSource, Inc. 26,611 1,022,129 Science Applications International Corp. 45,048 1,756,872 * Seachange International, Inc. 35,007 328,016 Seagate Technology P.L.C. 145,977 7,675,471 * Semtech Corp. 50,115 1,201,758 * ServiceSource International, Inc. 5,015 31,294 #* Sevcon, Inc. 613 6,676 * ShoreTel, Inc. 54,109 408,523 * Sigma Designs, Inc. 28,288 106,646 #* Silicon Graphics International Corp. 18,836 227,539 * Silicon Image, Inc. 72,830 408,576 * Silicon Laboratories, Inc. 32,884 1,478,136 * Skyworks Solutions, Inc. 187,419 7,693,550 #* Smith Micro Software, Inc. 22,674 37,639 #* SMTC Corp. 10,077 15,418 * SolarWinds, Inc. 27,322 1,101,623 Solera Holdings, Inc. 45,933 2,975,540 #* Sonus Networks, Inc. 277,971 908,965 * Spansion, Inc. Class A 59,964 1,069,158 #* Speed Commerce, Inc. 23,259 76,755 * SS&C Technologies Holdings, Inc. 75,258 2,929,041 #* Stamps.com, Inc. 12,220 424,156 * StarTek, Inc. 8,170 56,782 #* Stratasys, Ltd. 36,074 3,494,488 #* SunEdison, Inc. 205,115 3,944,361 #* SunPower Corp. 104,563 3,494,495 * Super Micro Computer, Inc. 43,745 890,648 #* support.com, Inc. 43,901 108,435 #* Sykes Enterprises, Inc. 45,535 901,138 Symantec Corp. 263,917 5,352,237 #* Synaptics, Inc. 26,643 1,655,862 #* Synchronoss Technologies, Inc. 31,247 951,159 * SYNNEX Corp. 39,675 2,673,301 * Synopsys, Inc. 115,885 4,359,594 * Syntel, Inc. 27,343 2,196,190 * Take-Two Interactive Software, Inc. 148,240 3,021,131 #* Tangoe, Inc. 5,369 80,750 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Information Technology -- (Continued) TE Connectivity, Ltd. 126,207 $ 7,443,689 * Tech Data Corp. 39,266 2,453,732 #* TeleCommunication Systems, Inc. Class A 44,803 114,248 * Telenav, Inc. 34,314 210,345 * TeleTech Holdings, Inc. 40,213 970,340 #* Teradata Corp. 43,236 1,965,509 #* Teradyne, Inc. 196,904 3,479,294 # Tessco Technologies, Inc. 6,747 221,909 Tessera Technologies, Inc. 52,636 1,154,307 Texas Instruments, Inc. 311,763 14,169,628 # TheStreet, Inc. 10,517 27,029 * TIBCO Software, Inc. 131,576 2,582,837 * TiVo, Inc. 19,132 226,906 Total System Services, Inc. 127,324 4,045,083 Transact Technologies, Inc. 5,192 55,502 #* Travelzoo, Inc. 2,163 38,804 * Trimble Navigation, Ltd. 85,222 3,275,081 * Trio Tech International 1,525 4,796 * TriQuint Semiconductor, Inc. 195,803 2,776,487 * TSR, Inc. 210 636 #* TTM Technologies, Inc. 74,295 586,188 * Tyler Technologies, Inc. 18,127 1,480,070 #* Ubiquiti Networks, Inc. 12,921 500,430 * Ultimate Software Group, Inc. (The) 8,474 1,013,745 * Ultra Clean Holdings, Inc. 25,327 215,786 #* Ultratech, Inc. 20,540 546,775 * Unisys Corp. 35,405 862,820 United Online, Inc. 12,987 153,896 #* Unwired Planet, Inc. 42,677 97,304 #* USA Technologies, Inc. 15,296 30,898 #* UTStarcom Holdings Corp. 13,753 42,497 #* Vantiv, Inc. Class A 126,106 3,877,759 #* Veeco Instruments, Inc. 37,861 1,399,721 * VeriFone Systems, Inc. 110,107 3,681,978 * Verint Systems, Inc. 42,645 1,866,572 #* VeriSign, Inc. 49,085 2,315,830 #* ViaSat, Inc. 37,708 2,421,231 #* Viasystems Group, Inc. 15,052 180,925 * Vicon Industries, Inc. 600 1,752 * Video Display Corp. 3,612 12,534 * Virtusa Corp. 22,068 727,582 Visa, Inc. Class A 127,752 25,883,833 # Vishay Intertechnology, Inc. 119,662 1,701,594 * Vishay Precision Group, Inc. 12,209 198,152 #* VistaPrint NV 23,086 911,204 #* VMware, Inc. Class A 17,754 1,642,423 * Wave Systems Corp. Class A 475 546 # Wayside Technology Group, Inc. 2,300 37,168 #* Web.com Group, Inc. 31,944 981,000 #* WebMD Health Corp. 31,910 1,406,912 * Westell Technologies, Inc. Class A 44,422 144,816 Western Digital Corp. 172,010 15,159,241 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED SHARES VALUE+ ------- -------------- Information Technology -- (Continued) # Western Union Co. (The) 178,919 $ 2,839,445 * WEX, Inc. 32,407 3,110,100 #* Wireless Telecom Group, Inc. 3,316 7,859 Xerox Corp. 951,992 11,509,583 Xilinx, Inc. 88,623 4,182,119 * XO Group, Inc. 24,719 262,516 * Yahoo!, Inc. 203,508 7,316,113 * Zebra Technologies Corp. Class A 39,815 2,764,754 #* Zillow, Inc. Class A 13,590 1,477,233 #* Zix Corp. 44,261 145,176 * Zygo Corp. 15,640 300,914 #* Zynga, Inc. Class A 661,522 2,679,164 -------------- Total Information Technology 1,579,639,720 -------------- Materials -- (4.5%) A Schulman, Inc. 27,885 1,001,629 * AEP Industries, Inc. 4,361 155,339 Air Products & Chemicals, Inc. 46,991 5,522,382 Airgas, Inc. 40,322 4,284,616 Albemarle Corp. 65,906 4,418,338 Alcoa, Inc. 687,756 9,264,073 # Allegheny Technologies, Inc. 118,304 4,874,125 #* Allied Nevada Gold Corp. 61,549 208,651 #* AM Castle & Co. 20,061 246,349 AMCOL International Corp. 30,154 1,382,561 * American Biltrite, Inc. 17 7,140 # American Vanguard Corp. 29,848 531,593 Ampco-Pittsburgh Corp. 7,591 152,048 # Aptargroup, Inc. 50,934 3,433,970 #* Arabian American Development Co. 13,745 150,233 Ashland, Inc. 60,273 5,822,372 Avery Dennison Corp. 86,617 4,214,783 Axiall Corp. 57,631 2,685,605 # Balchem Corp. 20,092 1,244,699 Ball Corp. 90,156 5,065,866 Bemis Co., Inc. 103,161 4,151,199 Cabot Corp. 64,308 3,717,002 * Calgon Carbon Corp. 47,248 946,377 # Carpenter Technology Corp. 54,069 3,395,533 Celanese Corp. Series A 60,128 3,693,663 #* Century Aluminum Co. 89,462 1,230,103 CF Industries Holdings, Inc. 74,584 18,285,759 Chase Corp. 5,531 172,235 * Chemtura Corp. 106,726 2,379,990 * Clearwater Paper Corp. 22,824 1,401,165 # Cliffs Natural Resources, Inc. 211,131 3,741,241 * Codexis, Inc. 5,607 9,532 * Coeur Mining, Inc. 77,841 674,103 Commercial Metals Co. 116,807 2,242,694 Compass Minerals International, Inc. 27,947 2,559,945 #* Contango ORE, Inc. 833 9,913 #* Continental Materials Corp. 268 4,959 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Materials -- (Continued) * Core Molding Technologies, Inc. 5,580 $ 67,016 * Crown Holdings, Inc. 74,940 3,534,920 Cytec Industries, Inc. 40,733 3,882,670 # Deltic Timber Corp. 6,112 371,304 Domtar Corp. 36,579 3,415,015 Dow Chemical Co. (The) 365,150 18,220,985 Eagle Materials, Inc. 40,222 3,351,699 Eastman Chemical Co. 93,295 8,132,525 Ecolab, Inc. 85,722 8,969,950 EI du Pont de Nemours & Co. 260,417 17,531,273 * Ferro Corp. 90,116 1,169,706 * Flotek Industries, Inc. 41,616 1,165,664 FMC Corp. 85,379 6,574,183 Freeport-McMoRan Copper & Gold, Inc. 391,460 13,454,480 Friedman Industries, Inc. 5,521 47,370 # FutureFuel Corp. 25,322 508,213 #* General Moly, Inc. 63,899 70,289 Globe Specialty Metals, Inc. 52,261 1,012,818 #* Golden Minerals Co. 7,014 4,910 * Graphic Packaging Holding Co. 335,971 3,447,063 Greif, Inc. Class A 26,368 1,428,882 Greif, Inc. Class B 14,223 836,455 # Hawkins, Inc. 7,394 267,663 Haynes International, Inc. 11,779 624,876 HB Fuller Co. 40,448 1,873,956 * Headwaters, Inc. 59,305 740,126 # Hecla Mining Co. 247,286 759,168 #* Horsehead Holding Corp. 50,607 788,963 Huntsman Corp. 230,924 5,784,646 Innophos Holdings, Inc. 22,605 1,275,826 # Innospec, Inc. 19,194 826,494 International Flavors & Fragrances, Inc. 29,143 2,871,168 International Paper Co. 152,071 7,094,112 #* Intrepid Potash, Inc. 65,369 1,065,515 # Kaiser Aluminum Corp. 16,078 1,131,891 * KapStone Paper and Packaging Corp. 85,634 2,259,025 # KMG Chemicals, Inc. 9,500 148,295 Koppers Holdings, Inc. 15,498 661,765 * Kraton Performance Polymers, Inc. 32,238 839,800 # Kronos Worldwide, Inc. 56,104 878,028 * Landec Corp. 24,600 291,756 #* Louisiana-Pacific Corp. 139,501 2,286,421 * LSB Industries, Inc. 21,925 837,316 LyondellBasell Industries NV Class A 134,279 12,420,808 # Martin Marietta Materials, Inc. 30,488 3,790,573 Materion Corp. 20,581 692,551 #* McEwen Mining, Inc. 136,545 327,708 MeadWestvaco Corp. 130,601 5,102,581 #* Mercer International, Inc. 43,784 362,532 Minerals Technologies, Inc. 33,798 2,010,643 #* Mines Management, Inc. 4,267 5,419 #* Molycorp, Inc. 10,678 50,721 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Materials -- (Continued) Monsanto Co. 144,857 $16,035,670 Mosaic Co. (The) 92,450 4,626,198 Myers Industries, Inc. 34,716 649,189 Neenah Paper, Inc. 13,564 683,219 # NewMarket Corp. 9,401 3,500,180 Newmont Mining Corp. 142,662 3,542,298 Noranda Aluminum Holding Corp. 43,884 155,788 * Northern Technologies International Corp. 2,180 46,107 Nucor Corp. 229,411 11,872,019 # Olin Corp. 96,399 2,708,812 # Olympic Steel, Inc. 10,794 284,530 # OM Group, Inc. 28,483 834,267 #* OMNOVA Solutions, Inc. 37,968 346,268 * Owens-Illinois, Inc. 230,455 7,323,860 Packaging Corp. of America 71,239 4,746,655 #* Penford Corp. 9,592 120,859 PH Glatfelter Co. 35,183 897,870 PolyOne Corp. 72,826 2,728,790 PPG Industries, Inc. 39,958 7,736,668 Praxair, Inc. 114,107 14,896,669 Quaker Chemical Corp. 10,595 788,586 Reliance Steel & Aluminum Co. 65,756 4,656,840 * Resolute Forest Products, Inc. 4,112 73,358 Rock-Tenn Co. Class A 53,558 5,120,680 Rockwood Holdings, Inc. 59,647 4,237,919 # Royal Gold, Inc. 38,090 2,521,558 RPM International, Inc. 120,694 5,148,806 * RTI International Metals, Inc. 27,121 763,727 # Schnitzer Steel Industries, Inc. Class A 26,160 734,311 Schweitzer-Mauduit International, Inc. 25,108 1,095,713 Scotts Miracle-Gro Co. (The) Class A 55,555 3,400,522 Sealed Air Corp. 169,269 5,807,619 #* Senomyx, Inc. 8,376 68,599 Sensient Technologies Corp. 53,121 2,871,190 Sherwin-Williams Co. (The) 38,850 7,763,784 Sigma-Aldrich Corp. 39,262 3,777,397 Silgan Holdings, Inc. 48,766 2,426,109 #* Silver Bull Resources, Inc. 500 165 #* Solitario Exploration & Royalty Corp. 1,700 1,802 Sonoco Products Co. 83,092 3,496,511 # Southern Copper Corp. 43,034 1,297,045 Steel Dynamics, Inc. 215,383 3,935,047 Stepan Co. 14,828 857,503 #* Stillwater Mining Co. 107,140 1,690,669 * SunCoke Energy, Inc. 72,142 1,505,604 # Synalloy Corp. 4,755 73,703 #* Texas Industries, Inc. 23,386 2,027,566 Tredegar Corp. 13,871 288,656 # Tronox, Ltd. Class A 64,056 1,569,372 # United States Lime & Minerals, Inc. 3,372 182,290 # United States Steel Corp. 248,639 6,469,587 * Universal Stainless & Alloy Products, Inc. 5,675 203,676 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED SHARES VALUE+ --------- ------------ Materials -- (Continued) # US Silica Holdings, Inc. 41,846 $ 1,890,184 # Valhi, Inc. 66,024 500,462 Valspar Corp. (The) 63,347 4,626,865 #* Verso Paper Corp. 12,902 35,093 Vulcan Materials Co. 98,172 6,335,039 # Walter Energy, Inc. 54,392 391,622 # Wausau Paper Corp. 41,597 497,500 Westlake Chemical Corp. 70,852 5,044,662 Worthington Industries, Inc. 56,984 2,097,011 * WR Grace & Co. 37,827 3,483,867 # Zep, Inc. 15,790 273,009 ------------ Total Materials 442,316,665 ------------ Other -- (0.0%) (o)* Brooklyn Federal Bancorp, Inc. Escrow Shares 2,293 -- (o)* Concord Camera Corp. Escrow Shares 405 -- (o)* Gerber Scientific, Inc. Escrow Shares 15,579 -- (o)* Softbrands, Inc. Escrow Shares 3,200 -- ------------ Total Other -- ------------ Real Estate Investment Trusts -- (0.0%) Crown Castle International Corp. 23,359 1,698,900 Parkway Properties, Inc. 15,133 285,408 ------------ Total Real Estate Investment Trusts 1,984,308 ------------ Telecommunication Services -- (2.0%) #* 8x8, Inc. 51,971 504,119 #* Alaska Communications Systems Group, Inc. 30,523 57,689 # Alteva 3,521 21,302 AT&T, Inc. 2,012,756 71,855,389 Atlantic Tele-Network, Inc. 15,815 935,774 #* Boingo Wireless, Inc. 4,724 31,178 * Cbeyond, Inc. 27,607 273,033 # CenturyLink, Inc. 186,399 6,507,189 #* Cincinnati Bell, Inc. 138,975 465,566 Cogent Communications Group, Inc. 22,475 774,713 # Consolidated Communications Holdings, Inc. 30,999 617,500 # Frontier Communications Corp. 1,162,352 6,915,994 #* General Communication, Inc. Class A 38,056 397,305 # HC2 Holdings, Inc. 7,362 28,933 # HickoryTech Corp. 9,412 111,721 IDT Corp. Class B 17,248 273,208 # Inteliquent, Inc. 41,494 565,978 #* Iridium Communications, Inc. 57,785 385,426 * Level 3 Communications, Inc. 146,555 6,306,262 Lumos Networks Corp. 16,768 221,505 #* NII Holdings, Inc. 86,707 74,559 # NTELOS Holdings Corp. 26,667 367,738 * ORBCOMM, Inc. 37,244 233,520 #* Premiere Global Services, Inc. 46,731 594,418 * SBA Communications Corp. Class A 82,607 7,414,804 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED SHARES VALUE+ --------- ------------ Telecommunication Services -- (Continued) Shenandoah Telecommunications Co. 24,476 $ 686,062 #* Sprint Corp. 379,417 3,225,045 #* Straight Path Communications, Inc. Class B 8,024 56,168 * T-Mobile US, Inc. 93,063 2,725,815 Telephone & Data Systems, Inc. 113,757 3,093,053 * tw telecom, Inc. 127,425 3,910,673 United States Cellular Corp. 29,939 1,243,666 USA Mobility, Inc. 21,634 370,591 Verizon Communications, Inc. 1,347,334 62,960,918 * Vonage Holdings Corp. 218,009 837,155 # Windstream Holdings, Inc. 632,627 5,737,927 ------------ Total Telecommunication Services 190,781,896 ------------ Utilities -- (2.6%) AES Corp. 386,774 5,588,884 AGL Resources, Inc. 96,547 5,213,538 # ALLETE, Inc. 32,655 1,690,223 Alliant Energy Corp. 42,392 2,479,084 Ameren Corp. 86,993 3,593,681 American Electric Power Co., Inc. 124,806 6,715,811 American States Water Co. 31,169 946,291 American Water Works Co., Inc. 63,904 2,909,549 # Aqua America, Inc. 137,621 3,452,911 # Artesian Resources Corp. Class A 4,218 92,880 Atmos Energy Corp. 74,688 3,812,076 # Avista Corp. 48,414 1,556,510 Black Hills Corp. 38,116 2,201,199 #* Cadiz, Inc. 2,464 15,844 California Water Service Group 38,734 871,515 * Calpine Corp. 273,448 6,270,163 CenterPoint Energy, Inc. 148,224 3,670,026 Chesapeake Utilities Corp. 7,918 500,893 Cleco Corp. 49,089 2,579,627 CMS Energy Corp. 84,723 2,567,954 Connecticut Water Service, Inc. 7,761 252,233 Consolidated Edison, Inc. 66,715 3,871,471 # Consolidated Water Co., Ltd. 12,219 141,985 # Delta Natural Gas Co., Inc. 2,858 54,502 Dominion Resources, Inc. 149,595 10,851,621 DTE Energy Co. 61,280 4,788,419 Duke Energy Corp. 180,905 13,475,613 #* Dynegy, Inc. 56,836 1,616,984 Edison International 92,284 5,219,583 El Paso Electric Co. 31,807 1,202,941 Empire District Electric Co. (The) 35,687 867,908 Entergy Corp. 54,359 3,941,028 Exelon Corp. 199,101 6,974,508 FirstEnergy Corp. 81,006 2,733,953 # Gas Natural, Inc. 3,269 35,632 * Genie Energy, Ltd. Class B 16,745 135,635 # Great Plains Energy, Inc. 124,945 3,352,274 # Hawaiian Electric Industries, Inc. 79,894 1,916,657 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Utilities -- (Continued) IDACORP, Inc. 43,168 $ 2,423,452 Integrys Energy Group, Inc. 60,587 3,712,771 ITC Holdings Corp. 129,036 4,770,461 # Laclede Group, Inc. (The) 27,657 1,311,218 MDU Resources Group, Inc. 130,874 4,635,557 # MGE Energy, Inc. 27,951 1,068,287 Middlesex Water Co. 12,498 254,084 National Fuel Gas Co. 29,842 2,197,565 New Jersey Resources Corp. 34,399 1,710,662 NextEra Energy, Inc. 112,170 11,200,174 NiSource, Inc. 110,538 4,014,740 Northeast Utilities 108,137 5,110,555 # Northwest Natural Gas Co. 21,728 961,899 # NorthWestern Corp. 33,444 1,618,021 NRG Energy, Inc. 239,653 7,841,446 OGE Energy Corp. 66,782 2,492,972 ONE Gas, Inc. 16,559 605,728 # Ormat Technologies, Inc. 33,366 890,205 # Otter Tail Corp. 29,111 852,952 # Pepco Holdings, Inc. 86,562 2,316,399 PG&E Corp. 103,534 4,719,080 Piedmont Natural Gas Co., Inc. 58,655 2,099,262 Pinnacle West Capital Corp. 33,614 1,880,703 PNM Resources, Inc. 67,164 1,859,100 # Portland General Electric Co. 59,316 1,985,307 PPL Corp. 161,502 5,384,477 Public Service Enterprise Group, Inc. 177,379 7,267,218 Questar Corp. 132,783 3,223,971 RGC Resources, Inc. 1,530 29,223 # SCANA Corp. 41,611 2,233,678 Sempra Energy 59,465 5,863,844 SJW Corp. 15,795 430,098 # South Jersey Industries, Inc. 24,723 1,420,336 Southern Co. (The) 205,906 9,436,672 Southwest Gas Corp. 39,108 2,151,331 # TECO Energy, Inc. 187,182 3,361,789 UGI Corp. 121,147 5,656,353 # UIL Holdings Corp. 38,639 1,419,210 # Unitil Corp. 10,896 361,747 # UNS Energy Corp. 32,100 1,927,926 Vectren Corp. 67,899 2,754,662 # Westar Energy, Inc. 104,865 3,762,556 # WGL Holdings, Inc. 39,328 1,564,861 # Wisconsin Energy Corp. 78,566 3,808,880 Xcel Energy, Inc. 150,926 4,810,012 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED SHARES VALUE+ ---------- -------------- Utilities -- (Continued) # York Water Co. 8,955 $ 179,190 -------------- Total Utilities 257,742,240 -------------- TOTAL COMMON STOCKS 9,054,196,655 -------------- PREFERRED STOCKS -- (0.0%) Other -- (0.0%) (o)* Enron TOPRS Escrow Shares 666 -- -------------- RIGHTS/WARRANTS -- (0.0%) (o)* Capital Bank Corp. Contingent Value Rights 988 -- (o)* Community Health Systems, Inc. Rights 01/04/16 216,226 12,995 (o)* Leap Wireless International, Inc. Contingent Value Rights 51,554 129,916 (o)* LGL Group, Inc. (The) Warrants 08/06/18 4,820 289 (o)#* Magnum Hunter Resources Corp. Warrants 04/15/16 12,563 -- (o)* PhotoMedex, Inc. Contingent Value Warrants 12/13/14 389 -- (o)* Tejon Ranch Co. Warrants 08/31/16 2,148 7,303 (o)* U.S. Concrete, Inc. Warrants Class A 08/31/17 294 1,779 (o)* U.S. Concrete, Inc. Warrants Class B 08/31/17 294 1,176 -------------- TOTAL RIGHTS/WARRANTS 153,458 -------------- TEMPORARY CASH INVESTMENTS -- (0.3%) State Street Institutional Liquid Reserves, 0.074% 30,400,127 30,400,127 -------------- SHARES/ FACE AMOUNT (000) ---------- SECURITIES LENDING COLLATERAL -- (8.0%) (S)@ DFA Short Term Investment Fund 68,556,843 793,202,676 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $7,040,623,421) $9,877,952,916 ============== U.S. CORE EQUITY 1 PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, 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 $1,257,420,628 $ 28,997 -- $1,257,449,625 Consumer Staples 683,820,011 -- -- 683,820,011 Energy 968,065,221 -- -- 968,065,221 Financials 1,424,383,853 2,879 -- 1,424,386,732 Health Care 1,020,600,980 23,131 -- 1,020,624,111 Industrials 1,227,385,870 256 -- 1,227,386,126 Information Technology 1,579,639,720 -- -- 1,579,639,720 Materials 442,316,665 -- -- 442,316,665 Other -- -- -- -- Real Estate Investment Trusts 1,984,308 -- -- 1,984,308 Telecommunication Services 190,781,896 -- -- 190,781,896 Utilities 257,742,240 -- -- 257,742,240 Preferred Stocks Other -- -- -- -- Rights/Warrants -- 153,458 -- 153,458 Temporary Cash Investments 30,400,127 -- -- 30,400,127 Securities Lending Collateral -- 793,202,676 -- 793,202,676 -------------- ------------ -- -------------- TOTAL $9,084,541,519 $793,411,397 -- $9,877,952,916 ============== ============ == ============== U.S. CORE EQUITY 2 PORTFOLIO SCHEDULE OF INVESTMENTS APRIL 30, 2014 (UNAUDITED) SHARES VALUE+ ------- ----------- COMMON STOCKS -- (91.0%) Consumer Discretionary -- (11.9%) * 1-800-Flowers.com, Inc. Class A 46,103 $ 251,261 Aaron's, Inc. 124,911 3,681,127 # Abercrombie & Fitch Co. Class A 106,414 3,911,779 Advance Auto Parts, Inc. 23,986 2,909,262 #* Aeropostale, Inc. 130,833 650,240 AH Belo Corp. Class A 28,956 333,284 * ALCO Stores, Inc. 100 1,009 * Amazon.com, Inc. 62,932 19,139,509 * Ambassadors Group, Inc. 23,469 99,509 #* AMC Networks, Inc. Class A 39,188 2,573,476 AMCON Distributing Co. 668 53,747 #* America's Car-Mart, Inc. 14,916 539,064 * American Axle & Manufacturing Holdings, Inc. 86,852 1,532,938 # American Eagle Outfitters, Inc. 273,812 3,165,267 #* American Public Education, Inc. 31,061 1,074,711 * ANN, Inc. 88,099 3,452,600 * Apollo Education Group, Inc. Class A 220,072 6,351,278 # Arctic Cat, Inc. 23,182 947,912 Ark Restaurants Corp. 4,916 104,367 * Asbury Automotive Group, Inc. 58,263 3,597,158 * Ascena Retail Group, Inc. 270,277 4,648,764 #* Ascent Capital Group, Inc. Class A 21,275 1,463,082 # Autoliv, Inc. 52,355 5,339,163 * AutoNation, Inc. 85,779 4,545,429 * AutoZone, Inc. 9,141 4,880,288 * Ballantyne Strong, Inc. 17,770 80,320 #* Bally Technologies, Inc. 37,045 2,412,000 #* Barnes & Noble, Inc. 98,183 1,610,201 # Bassett Furniture Industries, Inc. 14,448 199,238 # Beasley Broadcasting Group, Inc. Class A 8,562 65,927 * Beazer Homes USA, Inc. 22,402 424,742 bebe stores, Inc. 130,718 660,126 * Bed Bath & Beyond, Inc. 45,415 2,821,634 Best Buy Co., Inc. 254,544 6,600,326 # Big 5 Sporting Goods Corp. 38,869 474,590 * Big Lots, Inc. 97,736 3,860,572 * Biglari Holdings, Inc. 3,000 1,287,060 #* BJ's Restaurants, Inc. 46,391 1,324,463 * Blue Nile, Inc. 5,804 201,573 # Blyth, Inc. 24,520 229,752 # Bob Evans Farms, Inc. 48,017 2,250,557 #* Body Central Corp. 10,272 10,683 # Bon-Ton Stores, Inc. (The) 26,063 286,693 * Books-A-Million, Inc. 20,408 48,163 BorgWarner, Inc. 77,316 4,804,416 Bowl America, Inc. Class A 3,937 57,972 #* Boyd Gaming Corp. 103,900 1,228,098 * Bravo Brio Restaurant Group, Inc. 33,628 503,411 #* Bridgepoint Education, Inc. 71,667 1,135,922 # Brinker International, Inc. 59,535 2,925,550 Brown Shoe Co., Inc. 75,984 1,792,463 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Consumer Discretionary -- (Continued) Brunswick Corp. 86,917 $ 3,493,194 # Buckle, Inc. (The) 38,775 1,822,037 * Buffalo Wild Wings, Inc. 25,469 3,721,530 * Build-A-Bear Workshop, Inc. 26,815 300,864 #* Cabela's, Inc. 100,507 6,594,264 # Cablevision Systems Corp. Class A 133,821 2,234,811 #* Cache, Inc. 25,413 67,599 #* Caesars Acquisition Co. Class A 134,738 1,697,699 #* Caesars Entertainment Corp. 166,816 3,081,092 # Callaway Golf Co. 124,004 1,080,075 * Cambium Learning Group, Inc. 82,206 184,141 * Canterbury Park Holding Corp. 5,270 59,288 # Capella Education Co. 24,626 1,437,173 * Career Education Corp. 118,197 853,382 #* CarMax, Inc. 120,937 5,294,622 * Carmike Cinemas, Inc. 39,920 1,184,027 Carnival Corp. 218,690 8,596,704 Carriage Services, Inc. 26,463 425,790 * Carrols Restaurant Group, Inc. 34,757 233,219 Carter's, Inc. 77,010 5,672,557 # Cato Corp. (The) Class A 46,031 1,311,423 * Cavco Industries, Inc. 12,245 954,498 CBS Corp. Class A 18,791 1,092,697 CBS Corp. Class B 354,501 20,475,978 #* Central European Media Enterprises, Ltd. Class A 18,678 51,178 #* Charles & Colvard, Ltd. 29,159 63,275 * Charter Communications, Inc. Class A 12,906 1,749,150 # Cheesecake Factory, Inc. (The) 100,276 4,501,390 Cherokee, Inc. 8,005 111,029 # Chico's FAS, Inc. 253,049 4,018,418 # Children's Place Retail Stores, Inc. (The) 38,069 1,827,312 * Chipotle Mexican Grill, Inc. 12,522 6,242,217 # Choice Hotels International, Inc. 45,235 1,998,482 * Christopher & Banks Corp. 53,335 332,810 Churchill Downs, Inc. 28,595 2,511,499 Cinemark Holdings, Inc. 153,849 4,557,007 * Citi Trends, Inc. 25,849 439,175 Clear Channel Outdoor Holdings, Inc. Class A 55,873 448,101 Coach, Inc. 34,738 1,551,052 * Coast Distribution System, Inc. (The) 1,760 5,632 * Cobra Electronics Corp. 9,352 30,862 # Collectors Universe, Inc. 8,599 201,905 # Columbia Sportswear Co. 50,929 4,378,875 Comcast Corp. Class A 1,101,420 57,009,499 Comcast Corp. Special Class A 337,406 17,217,828 #* Conn's, Inc. 56,833 2,513,724 Cooper Tire & Rubber Co. 105,768 2,660,065 Core-Mark Holding Co., Inc. 19,156 1,542,824 #* Corinthian Colleges, Inc. 125,219 144,002 Cracker Barrel Old Country Store, Inc. 41,813 3,961,364 * Crocs, Inc. 147,461 2,231,085 #* Crown Media Holdings, Inc. Class A 51,149 183,113 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Consumer Discretionary -- (Continued) CSS Industries, Inc. 8,600 $ 206,142 # CST Brands, Inc. 50,252 1,639,723 CTC Media, Inc. 261,896 2,270,638 Culp, Inc. 18,403 332,174 * Cumulus Media, Inc. Class A 140,245 898,970 # Dana Holding Corp. 227,791 4,822,335 # Darden Restaurants, Inc. 102,353 5,087,968 #* Deckers Outdoor Corp. 59,288 4,680,788 #* dELiA*s, Inc. 15,474 13,076 #* Delta Apparel, Inc. 15,491 235,928 Destination Maternity Corp. 23,762 585,971 #* Destination XL Group, Inc. 82,498 445,489 # DeVry Education Group, Inc. 100,361 4,519,256 * DGSE Cos., Inc. 8,710 23,343 Dick's Sporting Goods, Inc. 34,536 1,818,666 Dillard's, Inc. Class A 77,200 7,560,196 DineEquity, Inc. 31,889 2,417,505 * DIRECTV 110,916 8,607,082 * Discovery Communications, Inc. Class A 38,327 2,909,019 * Discovery Communications, Inc. Class B 2,270 170,522 * Discovery Communications, Inc. Class C 31,784 2,229,012 * DISH Network Corp. Class A 42,243 2,401,937 * Dixie Group, Inc. (The) 15,615 235,318 * Dollar General Corp. 38,195 2,155,726 * Dollar Tree, Inc. 48,760 2,538,933 Domino's Pizza, Inc. 57,309 4,262,643 #* Dorman Products, Inc. 56,280 3,238,914 * Dover Downs Gaming & Entertainment, Inc. 18,137 26,299 Dover Motorsports, Inc. 9,156 21,425 # DR Horton, Inc. 360,331 8,028,175 #* DreamWorks Animation SKG, Inc. Class A 131,995 3,171,840 # Drew Industries, Inc. 39,171 1,971,085 DSW, Inc. Class A 92,580 3,091,246 # Dunkin' Brands Group, Inc. 94,072 4,281,217 #* Education Management Corp. 69,433 275,649 Educational Development Corp. 3,809 14,779 Einstein Noah Restaurant Group, Inc. 25,761 395,689 * Emerson Radio Corp. 26,350 53,491 * Emmis Communications Corp. Class A 5,500 17,765 #* Empire Resorts, Inc. 5,120 34,662 #* Entercom Communications Corp. Class A 41,042 443,254 * Entertainment Gaming Asia, Inc. 2,058 1,751 # Entravision Communications Corp. Class A 66,956 355,536 Escalade, Inc. 12,111 178,274 # Ethan Allen Interiors, Inc. 47,995 1,165,319 #* Ever-Glory International Group, Inc. 2,000 14,800 * EW Scripps Co. Class A 76,553 1,311,353 Expedia, Inc. 65,285 4,634,582 * Express, Inc. 87,347 1,272,646 (o)#* FAB Universal Corp. 23,117 53,238 Family Dollar Stores, Inc. 38,461 2,259,584 #* Famous Dave's Of America, Inc. 10,924 289,377 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Consumer Discretionary -- (Continued) #* Federal-Mogul Holdings Corp. 129,700 $ 2,233,434 * Fiesta Restaurant Group, Inc. 31,463 1,151,860 Finish Line, Inc. (The) Class A 86,573 2,383,355 * Flanigan's Enterprises, Inc. 1,000 13,950 # Flexsteel Industries, Inc. 7,812 268,108 Foot Locker, Inc. 255,692 11,897,349 Ford Motor Co. 374,507 6,048,288 * Fossil Group, Inc. 34,843 3,716,006 # Fred's, Inc. Class A 58,107 1,058,710 Frisch's Restaurants, Inc. 7,545 178,666 #* FTD Cos., Inc. 31,559 957,500 #* Fuel Systems Solutions, Inc. 33,207 348,009 * Full House Resorts, Inc. 19,925 39,750 #* G-III Apparel Group, Ltd. 35,952 2,580,275 * Gaiam, Inc. Class A 18,959 139,917 # GameStop Corp. Class A 202,321 8,028,097 * Gaming Partners International Corp. 8,266 69,848 Gannett Co., Inc. 362,135 9,839,208 Gap, Inc. (The) 250,607 9,848,855 # Garmin, Ltd. 135,206 7,720,263 * Geeknet, Inc. 7,665 113,442 General Motors Co. 567,538 19,568,710 #* Genesco, Inc. 40,175 3,068,165 Gentex Corp. 195,396 5,602,003 * Gentherm, Inc. 62,391 2,267,913 # Genuine Parts Co. 58,553 5,101,137 GNC Holdings, Inc. Class A 12,952 582,840 Goodyear Tire & Rubber Co. (The) 142,429 3,589,211 # Gordmans Stores, Inc. 12,089 54,280 Graham Holdings Co. Class B 11,115 7,460,721 * Grand Canyon Education, Inc. 52,834 2,278,202 * Gray Television, Inc. 90,481 1,017,911 * Gray Television, Inc. Class A 3,160 29,246 # Group 1 Automotive, Inc. 41,547 2,996,785 #* Groupon, Inc. 29,440 205,786 # Guess?, Inc. 135,741 3,652,790 H&R Block, Inc. 81,220 2,308,272 * Hallwood Group, Inc. (The) 1,023 12,542 #* Hampshire Group, Ltd. 1,000 3,850 Hanesbrands, Inc. 47,175 3,872,596 Harley-Davidson, Inc. 92,291 6,823,997 Harman International Industries, Inc. 48,992 5,370,013 Harte-Hanks, Inc. 101,453 815,682 # Hasbro, Inc. 34,967 1,932,276 * Hastings Entertainment, Inc. 2,673 7,885 Haverty Furniture Cos., Inc. 34,291 875,792 Haverty Furniture Cos., Inc. Class A 2,523 64,538 * Helen of Troy, Ltd. 53,869 3,377,586 * Here Media, Inc. 300 -- * Here Media, Inc. Special Shares 300 -- #* hhgregg, Inc. 53,331 459,713 #* Hibbett Sports, Inc. 28,075 1,511,839 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Consumer Discretionary -- (Continued) Hillenbrand, Inc. 107,978 $ 3,282,531 * Hollywood Media Corp. 12,071 15,089 Home Depot, Inc. (The) 286,801 22,803,548 # Hooker Furniture Corp. 16,557 229,314 #* Hovnanian Enterprises, Inc. Class A 102,044 455,116 HSN, Inc. 63,351 3,676,892 * Hyatt Hotels Corp. Class A 31,138 1,752,447 #* Iconix Brand Group, Inc. 111,831 4,752,817 International Game Technology 222,506 2,792,450 International Speedway Corp. Class A 44,175 1,388,862 Interpublic Group of Cos., Inc. (The) 412,069 7,178,242 # Interval Leisure Group, Inc. 92,846 2,392,641 #* iRobot Corp. 51,251 1,716,908 * Isle of Capri Casinos, Inc. 54,990 373,932 #* ITT Educational Services, Inc. 15,300 413,100 * Jack in the Box, Inc. 85,286 4,566,212 # JAKKS Pacific, Inc. 27,534 241,198 * Jarden Corp. 153,127 8,751,208 #* JC Penney Co., Inc. 188,258 1,603,958 John Wiley & Sons, Inc. Class A 83,396 4,791,934 John Wiley & Sons, Inc. Class B 7,502 441,005 Johnson Controls, Inc. 373,276 16,849,679 # Johnson Outdoors, Inc. Class A 19,561 409,412 * Jos A Bank Clothiers, Inc. 45,028 2,906,557 * Journal Communications, Inc. Class A 71,971 577,207 * K12, Inc. 49,967 1,183,219 * Kate Spade & Co. 76,431 2,657,506 # KB Home 120,600 1,991,106 * Kirkland's, Inc. 29,803 509,929 Kohl's Corp. 160,350 8,785,576 * Kona Grill, Inc. 11,997 281,330 Koss Corp. 4,495 20,767 #* Krispy Kreme Doughnuts, Inc. 103,485 1,815,127 L Brands, Inc. 88,844 4,815,345 La-Z-Boy, Inc. 93,027 2,254,044 * Lakeland Industries, Inc. 7,818 55,508 * Lamar Advertising Co. Class A 64,341 3,211,903 #* Lands' End, Inc. 37,689 1,042,101 Las Vegas Sands Corp. 78,588 6,218,668 * Lazare Kaplan International, Inc. 3,667 7,242 #* LeapFrog Enterprises, Inc. 88,244 604,471 Lear Corp. 74,859 6,217,789 * Learning Tree International, Inc. 16,482 50,270 #* Lee Enterprises, Inc. 46,810 188,176 # Leggett & Platt, Inc. 187,397 6,157,865 # Lennar Corp. Class A 189,831 7,325,578 Lennar Corp. Class B 30,153 980,576 #* Libbey, Inc. 27,932 744,946 * Liberty Global P.L.C. Class A 89,117 3,548,639 * Liberty Global P.L.C. Class B 808 32,280 * Liberty Global P.L.C. Class C 222,577 8,553,634 * Liberty Interactive Corp. Class A 542,102 15,753,484 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Consumer Discretionary -- (Continued) * Liberty Interactive Corp. Class B 11,386 $ 343,003 * Liberty Media Corp. Class A 135,703 17,602,036 * Liberty Media Corp. Class B 5,224 655,325 * Liberty Ventures Series A 120,298 6,982,096 * Liberty Ventures Series B 1,138 67,819 #* Life Time Fitness, Inc. 69,694 3,345,312 Lifetime Brands, Inc. 16,818 321,224 * LIN Media LLC Class A 49,530 1,160,488 # Lincoln Educational Services Corp. 32,420 132,274 # Lions Gate Entertainment Corp. 12,506 331,784 Lithia Motors, Inc. Class A 40,194 2,985,610 * Live Nation Entertainment, Inc. 340,489 7,109,410 * LKQ Corp. 376,352 10,959,370 * Loral Space & Communications, Inc. 30,095 2,166,539 Lowe's Cos., Inc. 331,612 15,224,307 #* Luby's, Inc. 35,781 193,933 #* Lululemon Athletica, Inc. 18,766 861,922 #* Lumber Liquidators Holdings, Inc. 34,916 3,043,279 * M/I Homes, Inc. 36,568 814,369 Macy's, Inc. 276,516 15,880,314 * Madison Square Garden Co. (The) Class A 109,895 6,000,267 Marcus Corp. (The) 30,027 502,352 # Marine Products Corp. 47,094 334,367 #* MarineMax, Inc. 39,369 632,266 # Marriott International, Inc. Class A 81,920 4,745,626 * Marriott Vacations Worldwide Corp. 14,520 791,050 #* Martha Stewart Living Omnimedia, Inc. Class A 60,321 235,855 Mattel, Inc. 125,420 4,918,345 Matthews International Corp. Class A 43,518 1,755,951 #* Mattress Firm Holding Corp. 10,007 452,216 #* McClatchy Co. (The) Class A 97,918 536,591 McDonald's Corp. 159,232 16,142,940 # MDC Holdings, Inc. 81,138 2,239,409 #* Media General, Inc. Class A 37,031 567,315 # Men's Wearhouse, Inc. (The) 81,646 3,868,387 Meredith Corp. 56,139 2,474,046 * Meritage Homes Corp. 60,328 2,327,454 * MGM Resorts International 534,725 13,491,112 * Michael Kors Holdings, Ltd. 28,374 2,587,709 * Modine Manufacturing Co. 83,592 1,377,596 * Mohawk Industries, Inc. 89,815 11,892,404 * Monarch Casino & Resort, Inc. 27,593 442,592 # Monro Muffler Brake, Inc. 46,126 2,601,506 # Morningstar, Inc. 20,040 1,469,533 * Motorcar Parts of America, Inc. 19,134 525,037 Movado Group, Inc. 33,112 1,300,639 * MTR Gaming Group, Inc. 26,957 136,402 * Multimedia Games Holding Co., Inc. 25,419 742,235 * Murphy USA, Inc. 51,294 2,179,995 NACCO Industries, Inc. Class A 10,535 564,571 * Nathan's Famous, Inc. 7,706 379,752 National CineMedia, Inc. 69,480 1,055,401 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Consumer Discretionary -- (Continued) * Nautilus, Inc. 53,207 $ 443,214 * Netflix, Inc. 20,041 6,454,004 #* Nevada Gold & Casinos, Inc. 1,100 1,265 #* New York & Co., Inc. 111,142 465,685 # New York Times Co. (The) Class A 263,440 4,236,115 Newell Rubbermaid, Inc. 92,609 2,788,457 * News Corp. Class A 344,974 5,871,457 #* News Corp. Class B 129,824 2,147,289 # Nexstar Broadcasting Group, Inc. Class A 28,227 1,124,846 NIKE, Inc. Class B 79,134 5,772,825 * Nobility Homes, Inc. 2,557 28,127 Nordstrom, Inc. 70,101 4,295,789 Nutrisystem, Inc. 42,029 630,435 * NVR, Inc. 6,499 6,999,423 * O'Reilly Automotive, Inc. 73,392 10,919,996 #* Office Depot, Inc. 805,475 3,294,393 Omnicom Group, Inc. 47,482 3,213,582 * Orbitz Worldwide, Inc. 89,814 660,133 * Orient-Express Hotels, Ltd. Class A 157,124 2,058,324 #* Outerwall, Inc. 48,358 3,353,627 * Overstock.com, Inc. 21,548 345,199 Oxford Industries, Inc. 32,505 2,145,655 * P&F Industries, Inc. Class A 2,869 23,526 * Pacific Sunwear of California, Inc. 84,041 242,038 #* Panera Bread Co. Class A 20,262 3,099,478 Papa John's International, Inc. 71,676 3,143,709 * Penn National Gaming, Inc. 134,797 1,504,335 Penske Automotive Group, Inc. 156,495 7,176,861 * Pep Boys-Manny, Moe & Jack (The) 87,677 896,059 * Perfumania Holdings, Inc. 6,982 46,291 #* Perry Ellis International, Inc. 25,247 381,230 # PetMed Express, Inc. 32,127 420,542 # PetSmart, Inc. 31,473 2,130,093 # Pier 1 Imports, Inc. 139,418 2,545,773 #* Pinnacle Entertainment, Inc. 76,630 1,783,180 * Point.360 6,026 2,169 # Polaris Industries, Inc. 27,911 3,749,285 Pool Corp. 56,154 3,314,209 * Popeyes Louisiana Kitchen, Inc. 22,076 841,096 #* Premier Exhibitions, Inc. 6,900 6,024 * Priceline Group, Inc. (The) 5,504 6,372,256 PulteGroup, Inc. 570,771 10,496,479 PVH Corp. 71,941 9,033,631 * QEP Co., Inc. 670 12,362 #* Quiksilver, Inc. 280,118 1,798,358 #* Radio One, Inc. Class D 33,982 153,599 #* RadioShack Corp. 143,336 204,970 Ralph Lauren Corp. 12,900 1,952,673 * Reading International, Inc. Class A 14,293 101,194 * Reading International, Inc. Class B 300 3,077 * Red Lion Hotels Corp. 26,248 150,926 * Red Robin Gourmet Burgers, Inc. 25,039 1,702,151 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Consumer Discretionary -- (Continued) # Regal Entertainment Group Class A 110,822 $ 2,083,454 # Regis Corp. 93,341 1,226,501 # Rent-A-Center, Inc. 96,937 2,831,530 #* Rentrak Corp. 11,567 659,203 RG Barry Corp. 21,060 384,977 * Rick's Cabaret International, Inc. 13,809 139,471 Rocky Brands, Inc. 8,403 123,020 Ross Stores, Inc. 88,466 6,022,765 Royal Caribbean Cruises, Ltd. 237,748 12,631,551 #* Ruby Tuesday, Inc. 104,938 809,072 Ruth's Hospitality Group, Inc. 84,228 1,060,431 # Ryland Group, Inc. (The) 69,112 2,653,210 # Saga Communications, Inc. Class A 5,094 225,664 # Salem Communications Corp. Class A 21,782 191,899 * Sally Beauty Holdings, Inc. 101,280 2,776,085 # Scholastic Corp. 38,702 1,273,683 * Scientific Games Corp. Class A 143,686 1,721,358 Scripps Networks Interactive, Inc. Class A 29,755 2,233,708 #* Sears Holdings Corp. 125,301 5,489,437 #* Select Comfort Corp. 45,800 842,720 Service Corp. International 368,150 6,910,175 #* Shiloh Industries, Inc. 29,724 586,752 Shoe Carnival, Inc. 34,798 794,786 #* Shutterfly, Inc. 66,497 2,721,722 Signet Jewelers, Ltd. 125,728 12,738,761 # Sinclair Broadcast Group, Inc. Class A 41,284 1,103,521 Six Flags Entertainment Corp. 147,364 5,915,191 * Sizmek, Inc. 46,642 446,830 * Skechers U.S.A., Inc. Class A 63,932 2,620,573 #* Skullcandy, Inc. 5,700 43,890 #* Skyline Corp. 10,884 55,508 #* Smith & Wesson Holding Corp. 28,380 435,633 # Sonic Automotive, Inc. Class A 73,765 1,795,440 #* Sonic Corp. 83,693 1,593,515 # Sotheby's 89,578 3,767,651 #* Spanish Broadcasting System, Inc. Class A 2,346 14,874 Spartan Motors, Inc. 47,982 254,784 # Speedway Motorsports, Inc. 61,111 1,111,609 * Sport Chalet, Inc. Class A 9,608 10,857 * Sport Chalet, Inc. Class B 1,292 1,641 Stage Stores, Inc. 50,669 971,831 Standard Motor Products, Inc. 39,529 1,501,707 #* Standard Pacific Corp. 394,219 3,149,810 * Stanley Furniture Co., Inc. 15,342 44,799 # Staples, Inc. 422,267 5,278,337 Starbucks Corp. 82,172 5,802,987 Starwood Hotels & Resorts Worldwide, Inc. 29,703 2,276,735 * Starz 152,168 4,910,461 * Starz Class B 5,224 168,787 # Stein Mart, Inc. 76,891 961,137 * Steiner Leisure, Ltd. 23,590 1,018,380 * Steven Madden, Ltd. 87,811 3,126,950 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Consumer Discretionary -- (Continued) * Stoneridge, Inc. 48,856 $ 522,271 # Strattec Security Corp. 4,792 320,154 * Strayer Education, Inc. 7,822 333,452 # Sturm Ruger & Co., Inc. 24,927 1,604,052 Superior Industries International, Inc. 42,144 890,924 Superior Uniform Group, Inc. 12,533 203,787 #* Systemax, Inc. 51,897 897,299 #* Tandy Leather Factory, Inc. 7,929 77,625 Target Corp. 146,665 9,056,564 #* Tempur Sealy International, Inc. 28,422 1,426,216 * Tenneco, Inc. 42,100 2,520,527 #* Tesla Motors, Inc. 18,724 3,892,532 Texas Roadhouse, Inc. 120,981 2,993,070 # Thor Industries, Inc. 88,137 5,364,899 Tiffany & Co. 42,344 3,704,677 Time Warner Cable, Inc. 161,177 22,800,098 Time Warner, Inc. 517,992 34,425,748 TJX Cos., Inc. (The) 133,009 7,738,464 #* Toll Brothers, Inc. 197,716 6,769,796 * Tower International, Inc. 385 10,707 Town Sports International Holdings, Inc. 30,008 210,356 Tractor Supply Co. 112,892 7,590,858 # Trans World Entertainment Corp. 1,798 5,879 #* Trinity Place Holdings, Inc. 10,474 66,510 #* TripAdvisor, Inc. 53,030 4,281,642 * TRW Automotive Holdings Corp. 116,619 9,370,337 #* Tuesday Morning Corp. 75,510 1,055,630 # Tupperware Brands Corp. 28,324 2,404,991 Twenty-First Century Fox, Inc. Class A 846,333 27,099,583 Twenty-First Century Fox, Inc. Class B 305,808 9,577,907 * Ulta Salon Cosmetics & Fragrance, Inc. 39,676 3,479,982 #* Under Armour, Inc. Class A 43,200 2,112,048 * Unifi, Inc. 29,133 645,005 * Universal Electronics, Inc. 24,697 922,433 Universal Technical Institute, Inc. 35,790 429,838 #* UQM Technologies, Inc. 21,417 47,332 * Urban Outfitters, Inc. 31,700 1,130,263 * US Auto Parts Network, Inc. 39,333 122,719 Vail Resorts, Inc. 61,762 4,275,783 # Value Line, Inc. 7,363 107,353 * Valuevision Media, Inc. Class A 82,152 384,471 VF Corp. 148,552 9,075,042 Viacom, Inc. Class A 9,434 801,607 Viacom, Inc. Class B 120,573 10,246,294 * Visteon Corp. 82,031 7,121,111 #* Vitacost.com, Inc. 8,179 54,554 #* Vitamin Shoppe, Inc. 41,682 1,995,734 #* VOXX International Corp. 33,932 398,701 Walking Co. Holdings, Inc. (The) 329 2,262 Walt Disney Co. (The) 830,524 65,893,774 # Weight Watchers International, Inc. 34,160 676,368 * Wells-Gardner Electronics Corp. 4,482 7,664 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- -------------- Consumer Discretionary -- (Continued) # Wendy's Co. (The) 686,659 $ 5,706,136 * West Marine, Inc. 35,052 375,056 #* Wet Seal, Inc. (The) Class A 145,614 164,544 # Weyco Group, Inc. 12,731 319,421 Whirlpool Corp. 69,189 10,612,209 Williams-Sonoma, Inc. 85,855 5,393,411 # Winmark Corp. 4,323 327,943 #* Winnebago Industries, Inc. 47,064 1,124,830 # Wolverine World Wide, Inc. 139,978 3,933,382 # World Wrestling Entertainment, Inc. Class A 51,161 997,639 Wyndham Worldwide Corp. 180,614 12,885,003 Wynn Resorts, Ltd. 19,658 4,008,070 Yum! Brands, Inc. 81,248 6,255,284 * Zagg, Inc. 35,013 152,307 * Zale Corp. 50,207 1,073,928 #* Zumiez, Inc. 53,311 1,303,454 -------------- Total Consumer Discretionary 1,498,764,664 -------------- Consumer Staples -- (5.7%) # Alico, Inc. 10,664 372,387 * Alliance One International, Inc. 138,442 355,796 Altria Group, Inc. 380,680 15,269,075 Andersons, Inc. (The) 46,573 2,901,032 Archer-Daniels-Midland Co. 334,396 14,623,137 # Avon Products, Inc. 68,745 1,050,424 B&G Foods, Inc. 73,821 2,421,329 Beam, Inc. 152,865 12,759,642 #* Boston Beer Co., Inc. (The) Class A 4,280 1,053,051 #* Boulder Brands, Inc. 99,079 1,462,406 * Bridgford Foods Corp. 7,329 72,594 Brown-Forman Corp. Class A 20,355 1,814,241 Brown-Forman Corp. Class B 26,010 2,333,617 Bunge, Ltd. 161,261 12,844,439 Cal-Maine Foods, Inc. 35,592 2,122,351 # Calavo Growers, Inc. 25,585 795,438 # Campbell Soup Co. 98,018 4,458,839 # Casey's General Stores, Inc. 66,737 4,582,162 CCA Industries, Inc. 5,962 18,065 #* Central Garden and Pet Co. 26,310 213,900 * Central Garden and Pet Co. Class A 60,553 500,773 #* Chefs' Warehouse, Inc. (The) 580 11,652 #* Chiquita Brands International, Inc. 86,616 994,352 Church & Dwight Co., Inc. 89,722 6,191,715 # Clorox Co. (The) 18,397 1,668,608 # Coca-Cola Bottling Co. Consolidated 11,216 922,292 Coca-Cola Co. (The) 710,972 29,000,548 Coca-Cola Enterprises, Inc. 337,678 15,344,088 #* Coffee Holding Co., Inc. 5,400 38,664 Colgate-Palmolive Co. 116,542 7,843,277 ConAgra Foods, Inc. 300,325 9,162,916 * Constellation Brands, Inc. Class A 209,075 16,692,548 * Constellation Brands, Inc. Class B 5,400 426,114 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Consumer Staples -- (Continued) Costco Wholesale Corp. 80,555 $ 9,318,602 #* Craft Brew Alliance, Inc. 25,033 374,744 #* Crimson Wine Group, Ltd. 24,913 221,477 * Crystal Rock Holdings, Inc. 200 171 CVS Caremark Corp. 680,040 49,452,509 * Darling International, Inc. 205,056 4,103,171 # Dean Foods Co. 165,578 2,622,755 #* Diamond Foods, Inc. 29,698 907,868 Dr Pepper Snapple Group, Inc. 257,376 14,263,778 * Elizabeth Arden, Inc. 48,020 1,764,255 Energizer Holdings, Inc. 47,928 5,353,078 Estee Lauder Cos., Inc. (The) Class A 37,796 2,742,856 * Farmer Bros. Co. 25,411 500,851 Flowers Foods, Inc. 177,571 3,643,757 # Fresh Del Monte Produce, Inc. 96,955 2,801,030 #* Fresh Market, Inc. (The) 3,681 136,565 General Mills, Inc. 108,088 5,730,826 Golden Enterprises, Inc. 9,888 43,507 # Griffin Land & Nurseries, Inc. 6,027 175,988 #* Hain Celestial Group, Inc. (The) 66,335 5,706,137 #* Harbinger Group, Inc. 8,503 99,145 # Herbalife, Ltd. 44,162 2,648,837 Hershey Co. (The) 21,027 2,023,638 Hillshire Brands Co. (The) 66,406 2,367,374 Hormel Foods Corp. 129,444 6,173,184 * IGI Laboratories, Inc. 647 3,254 Ingles Markets, Inc. Class A 22,882 526,057 Ingredion, Inc. 130,320 9,181,044 # Inter Parfums, Inc. 51,717 1,892,325 #* Inventure Foods, Inc. 8,519 102,398 J&J Snack Foods Corp. 32,551 3,046,774 JM Smucker Co. (The) 102,584 9,917,821 # John B. Sanfilippo & Son, Inc. 8,216 189,379 Kellogg Co. 30,401 2,031,699 Keurig Green Mountain, Inc. 72,737 6,814,002 Kimberly-Clark Corp. 70,827 7,950,331 Kraft Foods Group, Inc. 291,931 16,599,197 Kroger Co. (The) 214,162 9,860,018 # Lancaster Colony Corp. 40,971 3,887,328 # Lifeway Foods, Inc. 8,037 120,635 # Limoneira Co. 2,051 47,111 Lorillard, Inc. 55,079 3,272,794 * Mannatech, Inc. 2,000 32,540 # McCormick & Co., Inc.(579780107) 3,330 237,629 McCormick & Co., Inc.(579780206) 22,414 1,595,877 Mead Johnson Nutrition Co. 48,770 4,304,440 #* Medifast, Inc. 24,365 771,152 MGP Ingredients, Inc. 20,250 118,260 Molson Coors Brewing Co. Class A 1,020 61,098 Molson Coors Brewing Co. Class B 170,402 10,219,008 Mondelez International, Inc. Class A 938,871 33,470,751 * Monster Beverage Corp. 60,708 4,065,008 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ------------ Consumer Staples -- (Continued) #* National Beverage Corp. 50,259 $ 968,994 #* Natural Alternatives International, Inc. 7,028 40,060 Nature's Sunshine Products, Inc. 400 5,344 Nu Skin Enterprises, Inc. Class A 62,985 5,479,695 * Nutraceutical International Corp. 14,920 371,806 # Oil-Dri Corp. of America 10,212 342,204 * Omega Protein Corp. 31,549 358,397 # Orchids Paper Products Co. 5,292 142,196 * Pantry, Inc. (The) 35,589 535,259 PepsiCo, Inc. 321,785 27,638,114 Philip Morris International, Inc. 186,642 15,944,826 * Pilgrim's Pride Corp. 253,171 5,534,318 * Post Holdings, Inc. 54,384 2,842,108 # Pricesmart, Inc. 29,831 2,864,969 Procter & Gamble Co. (The) 646,219 53,345,378 # Reliv International, Inc. 8,132 17,972 * Revlon, Inc. Class A 45,959 1,385,204 Reynolds American, Inc. 85,900 4,847,337 * Rite Aid Corp. 671,134 4,899,278 Rocky Mountain Chocolate Factory, Inc. 10,758 128,558 # Roundy's, Inc. 6,131 41,507 Safeway, Inc. 240,783 8,201,069 # Sanderson Farms, Inc. 66,205 5,446,685 * Seaboard Corp. 1,240 3,023,120 * Seneca Foods Corp. Class A 13,971 396,776 * Seneca Foods Corp. Class B 1,999 61,049 # Snyder's-Lance, Inc. 111,753 2,968,160 Spartan Stores, Inc. 56,468 1,216,321 Spectrum Brands Holdings, Inc. 89,716 6,892,880 #* Susser Holdings Corp. 36,855 2,851,840 Sysco Corp. 64,489 2,349,334 #* Tofutti Brands, Inc. 1,645 6,564 # Tootsie Roll Industries, Inc. 61,827 1,742,903 #* TreeHouse Foods, Inc. 63,101 4,722,479 Tyson Foods, Inc. Class A 299,875 12,585,754 #* United Natural Foods, Inc. 67,665 4,670,915 United-Guardian, Inc. 4,655 144,305 # Universal Corp. 35,612 1,943,347 #* USANA Health Sciences, Inc. 22,158 1,503,642 # Vector Group, Ltd. 82,431 1,755,780 Village Super Market, Inc. Class A 10,894 263,526 Wal-Mart Stores, Inc. 773,229 61,634,084 Walgreen Co. 325,367 22,092,419 # WD-40 Co. 21,425 1,560,597 # Weis Markets, Inc. 40,839 1,882,269 * WhiteWave Foods Co. (The) Class A 157,177 4,352,231 Whole Foods Market, Inc. 111,644 5,548,707 ------------ Total Consumer Staples 711,365,785 ------------ Energy -- (11.2%) * Abraxas Petroleum Corp. 37,774 206,246 Adams Resources & Energy, Inc. 6,454 465,075 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ --------- ------------ Energy -- (Continued) # Alon USA Energy, Inc. 97,591 $ 1,589,757 #* Alpha Natural Resources, Inc. 363,138 1,561,493 Anadarko Petroleum Corp. 289,878 28,703,720 Apache Corp. 231,068 20,056,702 #* Approach Resources, Inc. 49,529 1,027,727 # Arch Coal, Inc. 334,373 1,531,428 * Atwood Oceanics, Inc. 110,580 5,480,345 Baker Hughes, Inc. 223,782 15,642,362 * Barnwell Industries, Inc. 10,714 32,946 #* Basic Energy Services, Inc. 69,817 1,844,565 #* Bill Barrett Corp. 76,460 1,810,573 * BioFuel Energy Corp. 586 4,354 * Black Ridge Oil and Gas, Inc. 3,728 3,206 Bolt Technology Corp. 13,925 235,054 #* Bonanza Creek Energy, Inc. 70,953 3,449,735 #* BPZ Resources, Inc. 187,459 506,139 Bristow Group, Inc. 59,800 4,592,640 #* C&J Energy Services, Inc. 88,232 2,652,254 Cabot Oil & Gas Corp. 260,940 10,249,723 #* Cal Dive International, Inc. 136,372 201,831 * Callon Petroleum Co. 67,786 622,275 * Cameron International Corp. 107,036 6,953,059 # CARBO Ceramics, Inc. 30,729 4,299,294 * Carrizo Oil & Gas, Inc. 110,582 6,084,222 #* Cheniere Energy, Inc. 109,205 6,164,622 # Chesapeake Energy Corp. 731,417 21,028,239 Chevron Corp. 1,126,532 141,402,297 Cimarex Energy Co. 86,997 10,363,083 * Clayton Williams Energy, Inc. 19,824 2,864,172 #* Clean Energy Fuels Corp. 131,913 1,167,430 * Cloud Peak Energy, Inc. 98,316 1,935,842 * Cobalt International Energy, Inc. 30,619 551,142 # Comstock Resources, Inc. 79,403 2,207,403 * Concho Resources, Inc. 70,531 9,200,769 ConocoPhillips 719,368 53,456,236 CONSOL Energy, Inc. 135,371 6,025,363 * Contango Oil & Gas Co. 28,858 1,386,338 #* Continental Resources, Inc. 8,245 1,142,097 Core Laboratories NV 10,047 1,885,621 # Dawson Geophysical Co. 13,291 375,604 Delek US Holdings, Inc. 99,594 3,186,012 # Denbury Resources, Inc. 401,479 6,752,877 Devon Energy Corp. 193,022 13,511,540 # DHT Holdings, Inc. 11,574 90,393 # Diamond Offshore Drilling, Inc. 75,303 4,112,297 * Dresser-Rand Group, Inc. 58,960 3,563,542 * Dril-Quip, Inc. 49,886 5,643,104 #* Emerald Oil, Inc. 95,689 676,521 #* Endeavour International Corp. 69,811 240,150 Energen Corp. 50,283 3,917,549 # Energy XXI Bermuda, Ltd. 128,564 3,076,537 * ENGlobal Corp. 27,850 59,599 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ --------- ------------ Energy -- (Continued) EnLink Midstream LLC 90,682 $ 3,203,795 EOG Resources, Inc. 313,746 30,747,108 * EPL Oil & Gas, Inc. 66,082 2,586,449 EQT Corp. 41,423 4,514,693 * Era Group, Inc. 35,242 1,006,159 * Escalera Resources Co. 13,728 37,477 Evolution Petroleum Corp. 23,938 282,468 Exterran Holdings, Inc. 108,389 4,662,895 Exxon Mobil Corp. 3,041,760 311,506,642 #* FieldPoint Petroleum Corp. 9,928 54,803 * FMC Technologies, Inc. 46,376 2,629,519 #* Forbes Energy Services, Ltd. 1,485 6,148 #* Forest Oil Corp. 12,975 24,134 * Gastar Exploration, Inc. 134,499 891,728 #* Geospace Technologies Corp. 18,034 1,048,316 #* Gevo, Inc. 8,138 8,382 #* Goodrich Petroleum Corp. 8,198 206,180 # Green Plains Renewable Energy, Inc. 50,430 1,507,857 * Gulf Coast Ultra Deep Royalty Trust 203,138 597,226 Gulf Island Fabrication, Inc. 22,399 449,324 Gulfmark Offshore, Inc. Class A 47,667 2,145,492 * Gulfport Energy Corp. 103,910 7,655,050 #* Halcon Resources Corp. 85,916 474,256 Halliburton Co. 227,536 14,350,696 #* Harvest Natural Resources, Inc. 65,844 296,956 * Helix Energy Solutions Group, Inc. 177,835 4,275,153 Helmerich & Payne, Inc. 117,824 12,801,578 * Hercules Offshore, Inc. 251,482 1,124,125 Hess Corp. 175,764 15,671,118 * HKN, Inc. 278 17,376 HollyFrontier Corp. 233,319 12,270,246 #* Hornbeck Offshore Services, Inc. 58,368 2,418,186 #* ION Geophysical Corp. 258,401 1,136,964 #* Key Energy Services, Inc. 258,576 2,596,103 Kinder Morgan, Inc. 220,515 7,202,020 Knightsbridge Tankers, Ltd. 51,512 615,568 #* Kodiak Oil & Gas Corp. 452,059 5,745,670 * Kosmos Energy, Ltd. 19,195 209,609 #* Laredo Petroleum, Inc. 163,103 4,767,501 # LinnCo LLC 128,741 3,548,102 #* Lucas Energy, Inc. 22,519 14,124 #* Magnum Hunter Resources Corp. 222,311 1,889,643 Marathon Oil Corp. 379,258 13,710,177 Marathon Petroleum Corp. 220,271 20,474,189 #* Matador Resources Co. 111,963 3,215,577 * Matrix Service Co. 46,064 1,426,602 #* McDermott International, Inc. 345,195 2,495,760 #* Mexco Energy Corp. 2,059 14,928 * Mitcham Industries, Inc. 18,174 250,801 Murphy Oil Corp. 111,706 7,085,512 Nabors Industries, Ltd. 518,696 13,237,122 National Oilwell Varco, Inc. 229,138 17,994,207 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Energy -- (Continued) * Natural Gas Services Group, Inc. 19,519 $ 599,038 * Newfield Exploration Co. 238,229 8,064,052 #* Newpark Resources, Inc. 147,888 1,780,572 Noble Corp. P.L.C. 267,780 8,250,302 Noble Energy, Inc. 202,440 14,531,143 # Nordic American Tankers, Ltd. 9,013 77,782 #* Northern Oil and Gas, Inc. 96,304 1,485,971 #* Nuverra Environmental Solutions, Inc. 40,056 681,353 #* Oasis Petroleum, Inc. 129,257 6,011,743 Occidental Petroleum Corp. 470,771 45,076,323 Oceaneering International, Inc. 55,284 4,051,212 * Oil States International, Inc. 93,764 9,108,235 ONEOK, Inc. 267,903 16,936,828 #* Overseas Shipholding Group, Inc. 43,852 249,956 # Panhandle Oil and Gas, Inc. Class A 12,506 548,388 * Parker Drilling Co. 212,004 1,405,587 Patterson-UTI Energy, Inc. 251,688 8,187,411 * PDC Energy, Inc. 61,796 3,934,551 Peabody Energy Corp. 405,544 7,709,391 * Penn Virginia Corp. 112,915 1,878,906 * PetroQuest Energy, Inc. 99,733 600,393 * PHI, Inc. Non-Voting 20,171 903,661 #* PHI, Inc. Voting 2,686 113,618 Phillips 66 330,183 27,477,829 * Pioneer Energy Services Corp. 103,030 1,542,359 Pioneer Natural Resources Co. 62,058 11,993,950 #* PostRock Energy Corp. 1,400 1,918 * Pyramid Oil Co. 3,900 20,124 QEP Resources, Inc. 301,430 9,250,887 Range Resources Corp. 72,807 6,585,393 * Renewable Energy Group, Inc. 30,848 363,081 #* Rentech, Inc. 296,041 627,607 * REX American Resources Corp. 19,000 1,241,840 * Rex Energy Corp. 94,391 1,987,874 * RigNet, Inc. 3,933 183,907 #* Rosetta Resources, Inc. 100,743 4,769,174 * Rowan Cos. P.L.C. Class A 218,091 6,743,374 #* Royale Energy, Inc. 3,300 8,910 RPC, Inc. 237,456 5,278,647 #* SandRidge Energy, Inc. 850,047 5,831,322 Schlumberger, Ltd. 324,889 32,992,478 Scorpio Tankers, Inc. 123,518 1,112,897 #* SEACOR Holdings, Inc. 35,196 2,934,994 SemGroup Corp. Class A 71,694 4,579,813 # Ship Finance International, Ltd. 133,320 2,350,432 SM Energy Co. 106,717 7,910,931 * Southwestern Energy Co. 304,884 14,597,846 Spectra Energy Corp. 102,350 4,064,318 * Steel Excel, Inc. 15,552 503,885 * Stone Energy Corp. 86,273 4,231,691 Superior Energy Services, Inc. 274,451 9,034,927 #* Swift Energy Co. 62,421 769,651 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- -------------- Energy -- (Continued) #* Synergy Resources Corp. 127,283 $ 1,481,574 #* Synthesis Energy Systems, Inc. 45,358 78,469 Targa Resources Corp. 21,067 2,275,025 # Teekay Corp. 144,929 8,131,966 #* Tesco Corp. 60,692 1,213,840 Tesoro Corp. 217,506 12,243,413 #* TETRA Technologies, Inc. 132,662 1,658,275 #* TGC Industries, Inc. 32,159 162,725 Tidewater, Inc. 85,888 4,374,276 # Transocean, Ltd. 176,122 7,585,575 #* Triangle Petroleum Corp. 142,488 1,370,735 #* Ultra Petroleum Corp. 96,263 2,868,637 * Unit Corp. 82,022 5,409,351 #* Uranium Energy Corp. 13,761 14,724 #* Vaalco Energy, Inc. 91,841 846,774 Valero Energy Corp. 327,949 18,748,844 # W&T Offshore, Inc. 126,804 2,434,637 * Warren Resources, Inc. 111,282 564,200 * Weatherford International, Ltd. 840,533 17,651,193 # Western Refining, Inc. 162,820 7,082,670 * Westmoreland Coal Co. 9,963 295,004 * Whiting Petroleum Corp. 137,185 10,113,278 * Willbros Group, Inc. 82,347 914,875 Williams Cos., Inc. (The) 198,070 8,352,612 # World Fuel Services Corp. 122,834 5,593,860 * WPX Energy, Inc. 348,019 7,405,844 #* Zion Oil & Gas, Inc. 22,567 50,324 -------------- Total Energy 1,412,995,993 -------------- Financials -- (16.9%) * 1st Constitution Bancorp 3,197 33,313 1st Source Corp. 41,044 1,210,388 # 1st United Bancorp, Inc. 39,952 292,449 # Access National Corp. 11,632 171,572 ACE, Ltd. 179,796 18,396,727 * Affiliated Managers Group, Inc. 43,142 8,550,744 Aflac, Inc. 265,140 16,629,581 # Alexander & Baldwin, Inc. 71,039 2,650,465 * Alleghany Corp. 17,916 7,309,370 Alliance Bancorp, Inc. of Pennsylvania 4,908 76,589 Allied World Assurance Co. Holdings AG 62,835 6,766,701 Allstate Corp. (The) 247,324 14,085,102 * Altisource Asset Management Corp. 1,977 1,934,000 #* Altisource Portfolio Solutions SA 19,775 2,050,865 # Ameriana Bancorp 898 12,397 * American Capital, Ltd. 518,772 7,776,392 # American Equity Investment Life Holding Co. 124,816 2,910,709 American Express Co. 264,871 23,157,672 American Financial Group, Inc. 156,168 9,124,896 * American Independence Corp. 1,038 11,345 American International Group, Inc. 794,955 42,235,959 # American National Bankshares, Inc. 8,116 172,952 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Financials -- (Continued) American National Insurance Co. 32,458 $ 3,648,604 * American River Bankshares 7,316 69,941 (o)* American Spectrum Realty, Inc. 1,280 2,150 Ameriprise Financial, Inc. 219,392 24,490,729 * Ameris Bancorp 37,468 796,944 AMERISAFE, Inc. 30,951 1,320,060 AmeriServ Financial, Inc. 18,864 65,647 # Amtrust Financial Services, Inc. 127,459 4,928,840 Aon P.L.C. 154,392 13,104,793 #* Arch Capital Group, Ltd. 139,974 8,023,310 Argo Group International Holdings, Ltd. 49,201 2,185,508 # Arrow Financial Corp. 18,742 469,112 Arthur J Gallagher & Co. 93,055 4,189,336 Aspen Insurance Holdings, Ltd. 115,188 5,273,307 Associated Banc-Corp 284,923 5,000,399 Assurant, Inc. 137,241 9,251,416 Assured Guaranty, Ltd. 319,214 7,632,407 * Asta Funding, Inc. 19,482 159,168 Astoria Financial Corp. 167,357 2,219,154 Atlantic American Corp. 11,687 40,905 #* Atlantic Coast Financial Corp. 1,723 7,409 #* Atlanticus Holdings Corp. 36,049 87,599 Auburn National Bancorp., Inc. 1,955 46,558 #* AV Homes, Inc. 16,627 284,821 Axis Capital Holdings, Ltd. 164,927 7,545,410 # Baldwin & Lyons, Inc. Class A 2,126 50,237 # Baldwin & Lyons, Inc. Class B 15,999 416,134 # Banc of California, Inc. 16,862 211,955 # Bancfirst Corp. 26,767 1,558,107 Bancorp of New Jersey, Inc. 200 2,722 * Bancorp, Inc. 62,463 988,165 # BancorpSouth, Inc. 161,987 3,784,016 Bank Mutual Corp. 65,147 392,185 Bank of America Corp. 5,487,830 83,085,746 Bank of Commerce Holdings 8,161 51,822 Bank of Hawaii Corp. 76,261 4,207,319 # Bank of Kentucky Financial Corp. 5,476 188,977 Bank of New York Mellon Corp. (The) 618,880 20,961,466 # Bank of the Ozarks, Inc. 60,754 3,639,165 # BankFinancial Corp. 27,930 274,831 BankUnited, Inc. 173,510 5,724,095 Banner Corp. 33,615 1,329,137 # Bar Harbor Bankshares 5,080 190,906 BB&T Corp. 356,556 13,310,235 BBCN Bancorp, Inc. 134,925 2,079,194 #* BBX Capital Corp. Class A 2,975 55,722 # BCB Bancorp, Inc. 9,933 132,109 #* Beneficial Mutual Bancorp, Inc. 116,824 1,523,385 Berkshire Bancorp, Inc. 3,850 28,298 * Berkshire Hathaway, Inc. Class B 232,188 29,917,424 Berkshire Hills Bancorp, Inc. 40,482 948,493 BGC Partners, Inc. Class A 433,406 3,107,521 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Financials -- (Continued) BlackRock, Inc. 73,133 $22,013,033 * BofI Holding, Inc. 22,709 1,830,573 # BOK Financial Corp. 100,294 6,561,233 Boston Private Financial Holdings, Inc. 132,716 1,660,277 # Bridge Bancorp, Inc. 6,184 150,395 #* Bridge Capital Holdings 11,048 247,475 # Brookline Bancorp, Inc. 122,117 1,108,822 Brown & Brown, Inc. 254,904 7,591,041 Bryn Mawr Bank Corp. 21,861 596,368 C&F Financial Corp. 2,201 68,781 Calamos Asset Management, Inc. Class A 34,076 415,046 # California First National Bancorp 8,102 120,153 # Camden National Corp. 12,683 484,110 Cape Bancorp, Inc. 6,875 73,219 * Capital Bank Financial Corp. Class A 3,547 84,596 # Capital City Bank Group, Inc. 22,959 319,130 Capital One Financial Corp. 316,576 23,394,966 (o) Capital Properties, Inc., 5.000% 1,260 1,260 #* Capital Properties, Inc. Class A 1,400 13,923 Capital Southwest Corp. 19,500 684,450 # Capitol Federal Financial, Inc. 257,535 3,100,721 # Cardinal Financial Corp. 51,210 860,328 * Carolina Bank Holdings, Inc. 1,200 11,544 # Cash America International, Inc. 47,008 2,047,198 Cathay General Bancorp 135,727 3,203,157 CBOE Holdings, Inc. 57,513 3,068,894 * CBRE Group, Inc. Class A 79,207 2,110,074 Center Bancorp, Inc. 23,751 439,631 Centerstate Banks, Inc. 41,922 459,884 Central Pacific Financial Corp. 23,282 437,003 # Century Bancorp, Inc. Class A 3,952 132,392 Charles Schwab Corp. (The) 206,046 5,470,521 Charter Financial Corp. 4,056 44,616 Chemical Financial Corp. 47,456 1,332,090 # Chicopee Bancorp, Inc. 7,105 123,130 Chubb Corp. (The) 145,404 13,388,800 Cincinnati Financial Corp. 178,811 8,715,248 CIT Group, Inc. 222,969 9,598,815 Citigroup, Inc. 1,691,954 81,061,516 # Citizens Community Bancorp, Inc. 5,940 47,698 Citizens Holding Co. 2,412 45,273 #* Citizens, Inc. 72,414 475,760 # City Holding Co. 26,028 1,118,944 City National Corp. 92,950 6,745,382 CKX Lands, Inc. 2,161 33,009 Clifton Bancorp, Inc. 35,339 409,579 CME Group, Inc. 160,665 11,309,209 CNA Financial Corp. 210,019 8,600,278 CNB Financial Corp. 13,395 221,285 CNO Financial Group, Inc. 360,876 6,225,111 CoBiz Financial, Inc. 63,706 639,608 Codorus Valley Bancorp, Inc. 3,129 66,804 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Financials -- (Continued) # Cohen & Steers, Inc. 21,767 $ 881,781 * Colonial Financial Services, Inc. 2,537 29,581 #* Colony Bankcorp, Inc. 3,512 21,669 Columbia Banking System, Inc. 84,450 2,096,049 Comerica, Inc. 199,974 9,646,746 Commerce Bancshares, Inc. 166,119 7,222,854 Commercial National Financial Corp. 2,306 47,965 # Community Bank System, Inc. 69,471 2,583,627 * Community Bankers Trust Corp. 1,768 7,284 # Community Trust Bancorp, Inc. 26,180 965,257 * Community West Bancshares 3,113 21,573 #* CommunityOne Bancorp 122 1,190 # Consolidated-Tomoka Land Co. 8,114 320,746 * Consumer Portfolio Services, Inc. 27,948 195,077 * Cowen Group, Inc. Class A 192,855 792,634 Crawford & Co. Class A 36,655 353,721 # Crawford & Co. Class B 39,704 453,420 * Credit Acceptance Corp. 28,720 3,777,254 # Cullen/Frost Bankers, Inc. 104,895 8,015,027 # CVB Financial Corp. 174,616 2,524,947 #* DFC Global Corp. 65,826 613,498 # Diamond Hill Investment Group, Inc. 2,604 309,147 Dime Community Bancshares, Inc. 63,465 1,034,480 Discover Financial Services 238,701 13,343,386 Donegal Group, Inc. Class A 30,681 452,852 # Donegal Group, Inc. Class B 5,678 122,531 #* Doral Financial Corp. 339 3,241 * E*TRADE Financial Corp. 504,941 11,335,925 Eagle Bancorp Montana, Inc. 751 8,163 East West Bancorp, Inc. 244,345 8,432,346 * Eastern Virginia Bankshares, Inc. 3,292 22,221 Eaton Vance Corp. 66,091 2,383,902 * eHealth, Inc. 32,294 1,352,796 EMC Insurance Group, Inc. 18,772 619,288 Employers Holdings, Inc. 52,920 1,076,922 #* Encore Capital Group, Inc. 42,365 1,831,015 Endurance Specialty Holdings, Ltd. 77,272 3,926,963 #* Enstar Group, Ltd. 23,735 3,064,189 # Enterprise Bancorp, Inc. 8,838 161,382 # Enterprise Financial Services Corp. 26,367 471,178 Erie Indemnity Co. Class A 45,350 3,249,328 # ESB Financial Corp. 20,940 264,263 ESSA Bancorp, Inc. 21,343 221,754 Evans Bancorp, Inc. 2,684 60,591 Evercore Partners, Inc. Class A 54,583 2,916,370 Everest Re Group, Ltd. 57,189 9,037,578 * Ezcorp, Inc. Class A 84,046 876,600 #* Farmers Capital Bank Corp. 6,545 136,725 FBL Financial Group, Inc. Class A 44,583 1,993,306 Federal Agricultural Mortgage Corp. Class A 1,506 41,453 Federal Agricultural Mortgage Corp. Class C 15,408 548,217 # Federated Investors, Inc. Class B 61,483 1,754,725 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Financials -- (Continued) Federated National Holding Co. 10,903 $ 211,845 Fidelity National Financial, Inc. Class A 339,723 10,932,286 Fidelity Southern Corp. 9,904 130,832 Fifth Third Bancorp 917,495 18,909,572 # Financial Engines, Inc. 7,048 311,874 Financial Institutions, Inc. 21,245 491,822 * First Acceptance Corp. 34,466 82,374 # First American Financial Corp. 181,206 4,820,080 # First Bancorp 26,904 463,018 First Bancorp of Indiana, Inc. 700 10,413 # First Bancorp, Inc. 12,744 203,012 * First BanCorp. 48,679 250,210 * First Bancshares, Inc. 569 4,694 First Bancshares, Inc. (The) 588 8,520 First Busey Corp. 148,919 819,055 First Business Financial Services, Inc. 2,063 93,268 * First Cash Financial Services, Inc. 40,969 1,998,058 First Citizens BancShares, Inc. Class A 12,723 2,861,275 First Commonwealth Financial Corp. 167,614 1,439,804 First Community Bancshares, Inc. 28,521 422,396 First Defiance Financial Corp. 13,493 364,581 #* First Federal Bancshares of Arkansas, Inc. 5,920 52,510 First Federal of Northern Michigan Bancorp, Inc. 1,458 7,246 First Financial Bancorp 98,369 1,592,594 # First Financial Bankshares, Inc. 50,166 2,962,302 First Financial Corp. 21,762 696,602 First Financial Holdings, Inc. 41,778 2,400,982 First Financial Northwest, Inc. 21,460 218,892 * First Financial Service Corp. 1,956 7,139 First Horizon National Corp. 408,566 4,694,423 First Interstate Bancsystem, Inc. 31,471 783,313 #* First Marblehead Corp. (The) 11,556 60,785 First Merchants Corp. 51,975 1,102,910 First Midwest Bancorp, Inc. 127,458 2,086,487 First Niagara Financial Group, Inc. 616,667 5,500,670 * First Place Financial Corp. 23,310 36 First Republic Bank 49,575 2,516,427 First South Bancorp, Inc. 10,177 81,721 * First United Corp. 5,415 44,728 First West Virginia Bancorp 752 13,559 Firstbank Corp. 6,355 112,039 FirstMerit Corp. 287,695 5,578,406 * Flagstar Bancorp, Inc. 55,490 976,624 Flushing Financial Corp. 51,375 987,428 # FNB Corp. 271,053 3,371,899 * Forest City Enterprises, Inc. Class A 306,812 5,801,815 * Forest City Enterprises, Inc. Class B 13,338 252,088 #* Forestar Group, Inc. 57,977 988,508 #* Fortegra Financial Corp. 1,154 8,332 # Fox Chase Bancorp, Inc. 26,803 447,074 * Franklin Financial Corp. 1,219 24,331 Franklin Resources, Inc. 73,653 3,855,735 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Financials -- (Continued) Fulton Financial Corp. 337,555 $ 4,114,795 # FXCM, Inc. Class A 68,244 1,056,417 # Gain Capital Holdings, Inc. 40,643 410,494 * GAINSCO, Inc. 1,100 9,559 # GAMCO Investors, Inc. Class A 8,812 669,095 * Genworth Financial, Inc. Class A 663,329 11,840,423 # German American Bancorp, Inc. 18,570 483,563 # GFI Group, Inc. 186,276 692,947 # Glacier Bancorp, Inc. 122,344 3,139,347 #* Gleacher & Co., Inc. 4,182 48,093 * Global Indemnity P.L.C. 25,376 680,077 Goldman Sachs Group, Inc. (The) 245,156 39,180,832 Gouverneur Bancorp, Inc. 600 6,240 # Great Southern Bancorp, Inc. 20,689 593,154 #* Green Dot Corp. Class A 56,442 980,398 # Greenhill & Co., Inc. 24,565 1,231,935 * Greenlight Capital Re, Ltd. Class A 51,745 1,647,043 # Guaranty Bancorp 5,874 73,954 #* Guaranty Federal Bancshares, Inc. 1,840 23,258 #* Hallmark Financial Services, Inc. 25,575 214,830 Hampden Bancorp, Inc. 4,784 77,740 * Hampton Roads Bankshares, Inc. 912 1,514 Hancock Holding Co. 142,736 4,814,485 Hanmi Financial Corp. 55,540 1,181,336 Hanover Insurance Group, Inc. (The) 76,934 4,496,792 Harleysville Savings Financial Corp. 3,569 60,316 #* Harris & Harris Group, Inc. 39,920 143,313 Hartford Financial Services Group, Inc. (The) 519,292 18,627,004 Hawthorn Bancshares, Inc. 2,685 35,603 HCC Insurance Holdings, Inc. 176,004 8,085,624 # HCI Group, Inc. 20,082 776,772 # Heartland Financial USA, Inc. 28,015 680,765 Heritage Commerce Corp. 36,457 296,031 # Heritage Financial Corp. 23,199 374,896 Heritage Financial Group, Inc. 9,512 183,106 HF Financial Corp. 5,606 76,802 HFF, Inc. Class A 54,093 1,839,162 * Hilltop Holdings, Inc. 140,633 3,141,741 # Hingham Institution for Savings 1,548 107,601 * HMN Financial, Inc. 2,615 29,131 #* Home Bancorp, Inc. 8,770 177,593 Home BancShares, Inc. 94,357 2,992,060 Home Federal Bancorp, Inc. 22,353 336,413 HopFed Bancorp, Inc. 3,213 36,564 Horace Mann Educators Corp. 61,432 1,847,260 # Horizon Bancorp 4,783 95,612 * Howard Hughes Corp. (The) 68,553 9,786,626 Hudson City Bancorp, Inc. 798,053 7,948,608 Hudson Valley Holding Corp. 25,014 459,257 Huntington Bancshares, Inc. 892,285 8,173,333 Iberiabank Corp. 49,594 3,119,463 * ICG Group, Inc. 63,178 1,287,568 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ --------- ------------ Financials -- (Continued) #* Imperial Holdings, Inc. 1,691 $ 11,313 # Independence Holding Co. 18,425 240,631 # Independent Bank Corp.(453836108) 37,707 1,399,684 Independent Bank Corp.(453838609) 8,213 106,933 Infinity Property & Casualty Corp. 19,978 1,281,988 Interactive Brokers Group, Inc. Class A 126,211 3,016,443 IntercontinentalExchange Group, Inc. 68,486 14,001,278 #* InterGroup Corp. (The) 677 11,841 International Bancshares Corp. 112,950 2,593,332 #* Intervest Bancshares Corp. Class A 23,302 176,396 #* INTL. FCStone, Inc. 29,319 554,715 Invesco, Ltd. 431,488 15,192,692 * Investment Technology Group, Inc. 51,038 1,053,424 Investors Bancorp, Inc. 226,317 6,049,453 * Investors Capital Holdings, Ltd. 5,019 35,710 Investors Title Co. 2,281 161,404 #* Jacksonville Bancorp, Inc. 22 229 # Janus Capital Group, Inc. 299,466 3,632,523 * Jefferson Bancshares, Inc. 2,704 21,226 JMP Group, Inc. 30,003 207,321 Jones Lang LaSalle, Inc. 74,689 8,655,708 JPMorgan Chase & Co. 2,211,559 123,803,073 * KCG Holdings, Inc. Class A 14,443 143,708 #* Kearny Financial Corp. 96,018 1,399,942 Kemper Corp. 95,465 3,762,276 Kennedy-Wilson Holdings, Inc. 108,724 2,374,532 # Kentucky First Federal Bancorp 3,283 28,201 KeyCorp 979,536 13,360,871 #* Ladenburg Thalmann Financial Services, Inc. 7,506 20,491 Lake Shore Bancorp, Inc. 449 5,561 Lakeland Bancorp, Inc. 51,188 534,403 # Lakeland Financial Corp. 26,219 959,615 Landmark Bancorp, Inc. 2,422 46,793 # Legg Mason, Inc. 222,398 10,428,242 Leucadia National Corp. 498,666 12,725,956 Life Partners Holdings, Inc. 19,377 52,899 Lincoln National Corp. 297,181 14,416,250 LNB Bancorp, Inc. 13,999 159,309 Loews Corp. 183,672 8,076,058 # Louisiana Bancorp, Inc. 3,600 70,200 LPL Financial Holdings, Inc. 134,021 6,345,894 LSB Financial Corp. 837 24,666 # M&T Bank Corp. 142,235 17,354,092 Macatawa Bank Corp. 39,247 191,133 * Magyar Bancorp, Inc. 2,122 17,549 # Maiden Holdings, Ltd. 121,055 1,428,449 # MainSource Financial Group, Inc. 29,780 492,263 #* Malvern Bancorp, Inc. 694 7,148 Manning & Napier, Inc. 3,895 64,735 * Markel Corp. 18,847 11,796,714 MarketAxess Holdings, Inc. 44,373 2,390,817 Marlin Business Services Corp. 20,780 356,793 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Financials -- (Continued) Marsh & McLennan Cos., Inc. 132,000 $ 6,508,920 #* Maui Land & Pineapple Co., Inc. 7,073 55,382 MB Financial, Inc. 94,050 2,524,302 * MBIA, Inc. 370,356 4,488,715 * MBT Financial Corp. 13,759 67,832 # MCG Capital Corp. 113,797 382,358 McGraw Hill Financial, Inc. 38,546 2,849,706 # Meadowbrook Insurance Group, Inc. 75,195 421,092 Medallion Financial Corp. 36,699 499,106 # Mercantile Bank Corp. 10,936 213,361 # Merchants Bancshares, Inc. 9,216 267,909 Mercury General Corp. 95,008 4,547,083 * Meridian Interstate Bancorp, Inc. 28,404 717,769 Meta Financial Group, Inc. 3,022 126,652 MetLife, Inc. 458,222 23,987,922 * Metro Bancorp, Inc. 20,331 415,159 #* MGIC Investment Corp. 277,958 2,390,439 MicroFinancial, Inc. 16,382 128,926 Mid Penn Bancorp, Inc. 1,624 24,360 # MidSouth Bancorp, Inc. 12,123 202,697 # MidWestOne Financial Group, Inc. 7,672 188,961 # Montpelier Re Holdings, Ltd. 100,596 3,076,226 Moody's Corp. 86,899 6,821,572 Morgan Stanley 779,544 24,111,296 * MSB Financial Corp. 1,360 11,091 * MSCI, Inc. 166,336 6,743,261 MutualFirst Financial, Inc. 6,697 125,904 NASDAQ OMX Group, Inc. (The) 259,253 9,566,436 # National Interstate Corp. 27,018 757,044 National Penn Bancshares, Inc. 251,029 2,452,553 National Security Group, Inc. 977 10,141 National Western Life Insurance Co. Class A 3,479 811,477 * Naugatuck Valley Financial Corp. 2,250 17,426 * Navigators Group, Inc. (The) 25,143 1,432,397 # NBT Bancorp, Inc. 75,428 1,708,444 Nelnet, Inc. Class A 59,059 2,495,833 #* New Century Bancorp, Inc. 2,277 16,873 # New Hampshire Thrift Bancshares, Inc. 5,906 87,114 # New York Community Bancorp, Inc. 474,581 7,313,293 * NewBridge Bancorp 16,536 127,162 * NewStar Financial, Inc. 72,656 829,732 Nicholas Financial, Inc. 8,516 133,872 * North Valley Bancorp 1,037 23,436 Northeast Bancorp 301 2,926 Northeast Community Bancorp, Inc. 10,493 76,389 Northern Trust Corp. 162,259 9,776,105 Northfield Bancorp, Inc. 94,419 1,224,614 # Northrim BanCorp, Inc. 8,061 193,383 # Northway Financial, Inc. 2,363 44,543 Northwest Bancshares, Inc. 159,295 2,117,031 # Norwood Financial Corp. 2,272 65,524 # Ocean Shore Holding Co. 8,012 120,100 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Financials -- (Continued) OceanFirst Financial Corp. 28,564 $ 463,308 #* Ocwen Financial Corp. 209,008 7,921,403 OFG Bancorp 79,248 1,351,971 Ohio Valley Banc Corp. 3,467 75,407 # Old Line Bancshares, Inc. 4,134 70,154 Old National Bancorp 175,417 2,476,894 Old Republic International Corp. 445,788 7,382,249 * Old Second Bancorp, Inc. 13,666 65,050 OmniAmerican Bancorp, Inc. 18,051 448,748 OneBeacon Insurance Group, Ltd. Class A 42,145 650,719 Oppenheimer Holdings, Inc. Class A 13,829 352,086 Oritani Financial Corp. 82,902 1,229,437 Pacific Continental Corp. 25,226 332,479 * Pacific Mercantile Bancorp 10,106 66,194 #* Pacific Premier Bancorp, Inc. 7,368 100,573 PacWest Bancorp 205,608 8,094,787 # Park National Corp. 21,931 1,590,436 Park Sterling Corp. 27,958 182,566 PartnerRe, Ltd. 96,568 10,178,267 * Patriot National Bancorp, Inc. 1,300 1,677 Peapack Gladstone Financial Corp. 14,506 275,759 Penns Woods Bancorp, Inc. 6,023 265,012 # People's United Financial, Inc. 552,133 7,884,459 Peoples Bancorp 1,479 36,975 Peoples Bancorp of North Carolina, Inc. 4,359 74,975 Peoples Bancorp, Inc. 17,144 446,944 #* PHH Corp. 85,169 2,024,467 #* Phoenix Cos., Inc. (The) 8,763 385,747 * PICO Holdings, Inc. 38,215 888,499 Pinnacle Financial Partners, Inc. 57,965 2,003,850 #* Piper Jaffray Cos. 23,362 1,024,657 Platinum Underwriters Holdings, Ltd. 60,202 3,775,267 PNC Financial Services Group, Inc. (The) 286,381 24,067,459 * Popular, Inc. 173,661 5,366,125 * Porter Bancorp, Inc. 11,060 11,945 #* Portfolio Recovery Associates, Inc. 83,079 4,747,965 * Preferred Bank 4,437 95,174 Premier Financial Bancorp, Inc. 6,752 96,554 Primerica, Inc. 97,121 4,456,883 * Primus Guaranty, Ltd. 31,204 250,880 Principal Financial Group, Inc. 329,033 15,411,906 PrivateBancorp, Inc. 126,941 3,499,763 ProAssurance Corp. 105,312 4,783,271 Progressive Corp. (The) 313,109 7,592,893 # Prosperity Bancshares, Inc. 107,624 6,349,816 Protective Life Corp. 136,379 6,975,786 # Provident Financial Holdings, Inc. 13,977 196,656 # Provident Financial Services, Inc. 91,196 1,584,986 * Prudential Bancorp, Inc. 6,262 67,692 Prudential Financial, Inc. 251,525 20,293,037 * PSB Holdings, Inc. 3,341 21,850 Pulaski Financial Corp. 14,284 147,554 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Financials -- (Continued) # Pzena Investment Management, Inc. Class A 7,981 $ 86,753 QC Holdings, Inc. 17,425 36,070 QCR Holdings, Inc. 2,716 46,960 Radian Group, Inc. 195,407 2,731,790 Raymond James Financial, Inc. 171,935 8,545,170 * Regional Management Corp. 4,340 66,576 Regions Financial Corp. 1,565,852 15,877,739 Reinsurance Group of America, Inc. 123,189 9,449,828 # RenaissanceRe Holdings, Ltd. 79,147 8,010,468 # Renasant Corp. 46,426 1,263,716 Republic Bancorp, Inc. Class A 27,977 671,728 * Republic First Bancorp, Inc. 20,055 88,643 # Resource America, Inc. Class A 25,836 219,864 #* Riverview Bancorp, Inc. 12,542 43,646 # RLI Corp. 73,160 3,150,270 * Royal Bancshares of Pennsylvania, Inc. Class A 6,756 17,633 # S&T Bancorp, Inc. 50,542 1,175,607 #* Safeguard Scientifics, Inc. 33,090 695,221 Safety Insurance Group, Inc. 24,934 1,339,205 Salisbury Bancorp, Inc. 1,248 37,633 Sandy Spring Bancorp, Inc. 39,949 960,773 # SB Financial Group, Inc. 2,715 21,449 #* Seacoast Banking Corp. of Florida 12,166 128,960 * Security National Financial Corp. Class A 3,116 12,121 SEI Investments Co. 127,149 4,117,085 Selective Insurance Group, Inc. 91,857 2,107,200 * Shore Bancshares, Inc. 6,595 62,587 SI Financial Group, Inc. 10,889 128,490 * Siebert Financial Corp. 8,302 24,283 Sierra Bancorp 17,579 274,408 * Signature Bank 64,459 7,659,018 Simmons First National Corp. Class A 26,251 949,236 Simplicity Bancorp, Inc. 11,596 201,075 SLM Corp. 360,881 9,292,686 * Southcoast Financial Corp. 5,485 39,437 (o) Southern Community Financial Corp. 13,882 3,054 * Southern First Bancshares, Inc. 3,032 41,417 Southern Missouri Bancorp, Inc. 1,461 51,573 # Southern National Bancorp of Virginia, Inc. 1,825 18,852 Southside Bancshares, Inc. 31,960 881,454 Southwest Bancorp, Inc. 30,163 503,722 Southwest Georgia Financial Corp. 1,954 28,030 #* St Joe Co. (The) 106,833 1,906,969 StanCorp Financial Group, Inc. 77,293 4,722,602 # State Auto Financial Corp. 54,992 1,125,136 State Street Corp. 248,017 16,011,978 Sterling Bancorp 119,072 1,424,101 # Stewart Information Services Corp. 36,603 1,116,392 * Stifel Financial Corp. 108,671 5,082,543 # Stock Yards Bancorp Inc 22,032 649,503 * Stratus Properties, Inc. 6,860 113,876 #* Suffolk Bancorp 19,605 429,938 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Financials -- (Continued) Summit State Bank 4,397 $ 51,005 #* Sun Bancorp, Inc. 50,901 193,424 SunTrust Banks, Inc. 255,845 9,788,630 Susquehanna Bancshares, Inc. 325,996 3,377,319 * Sussex Bancorp 2,871 25,839 * SVB Financial Group 78,288 8,352,547 * SWS Group, Inc. 32,323 239,513 Symetra Financial Corp. 178,581 3,689,483 Synovus Financial Corp. 1,699,250 5,454,593 T Rowe Price Group, Inc. 31,459 2,583,728 * Taylor Capital Group, Inc. 42,479 904,378 TCF Financial Corp. 289,798 4,549,829 TD Ameritrade Holding Corp. 239,738 7,647,642 Teche Holding Co. 2,166 157,901 #* Tejon Ranch Co. 33,119 1,027,020 Territorial Bancorp, Inc. 16,671 341,089 # Teton Advisors, Inc. Class A 95 4,344 * Texas Capital Bancshares, Inc. 69,835 3,924,029 TF Financial Corp. 3,426 107,439 * TFS Financial Corp. 355,728 4,763,198 Timberland Bancorp, Inc. 5,770 61,451 Tompkins Financial Corp. 20,439 963,494 # Torchmark Corp. 100,785 8,032,565 # Tower Group International, Ltd. 68,455 168,399 # TowneBank 44,760 690,647 #* Transcontinental Realty Investors, Inc. 100 1,430 Travelers Cos., Inc. (The) 231,460 20,965,647 #* Tree.com, Inc. 18,558 539,667 # Trico Bancshares 24,971 605,547 # TrustCo Bank Corp. 158,700 1,049,007 Trustmark Corp. 117,058 2,677,116 U.S. Bancorp 1,031,884 42,080,230 # UMB Financial Corp. 74,403 4,368,200 # Umpqua Holdings Corp. 183,580 3,052,935 * Unico American Corp. 100 1,321 Union Bankshares Corp. 71,478 1,829,122 # Union Bankshares, Inc. 2,439 57,438 United Bancshares, Inc. 2,086 31,937 United Bankshares, Inc. 104,853 3,066,950 United Community Bancorp 1,156 13,178 * United Community Banks, Inc. 75,530 1,219,810 #* United Community Financial Corp. 11,197 37,286 United Financial Bancorp, Inc.(91030T109) 27,958 493,179 United Financial Bancorp, Inc.(910304104) 43,857 577,158 United Fire Group, Inc. 51,432 1,430,838 * United Security Bancshares 8,687 48,995 Unity Bancorp, Inc. 5,831 49,855 # Universal Insurance Holdings, Inc. 82,409 1,205,644 Univest Corp. of Pennsylvania 27,394 539,936 Unum Group 291,024 9,667,817 Validus Holdings, Ltd. 182,557 6,767,388 # Valley National Bancorp 328,369 3,290,257 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ --------- -------------- Financials -- (Continued) * Vantagesouth Bancshares, Inc. 6,567 $ 40,321 ViewPoint Financial Group, Inc. 65,752 1,714,155 #* Viewtran Group, Inc. 3,670 7,780 * Virtus Investment Partners, Inc. 12,193 2,255,583 VSB Bancorp, Inc. 134 1,512 Waddell & Reed Financial, Inc. Class A 48,607 3,278,542 * Walker & Dunlop, Inc. 17,247 270,433 Washington Banking Co. 24,202 416,274 Washington Federal, Inc. 177,307 3,826,285 # Washington Trust Bancorp, Inc. 27,109 927,128 Waterstone Financial, Inc. 26,389 274,709 Wayne Savings Bancshares, Inc. 1,615 18,766 Webster Financial Corp. 158,673 4,782,404 Wells Fargo & Co. 2,946,809 146,279,599 WesBanco, Inc. 45,338 1,371,021 # West Bancorporation, Inc. 23,486 340,782 # Westamerica Bancorporation 47,131 2,395,197 * Western Alliance Bancorp 153,411 3,539,192 Westfield Financial, Inc. 39,650 271,603 # Westwood Holdings Group, Inc. 8,294 482,462 Willis Group Holdings P.L.C. 105,494 4,324,199 Wilshire Bancorp, Inc. 128,019 1,280,190 Wintrust Financial Corp. 71,536 3,206,244 #* World Acceptance Corp. 24,217 1,758,154 WR Berkley Corp. 142,835 6,319,020 WSFS Financial Corp. 1,651 111,641 WVS Financial Corp. 2,157 25,722 XL Group P.L.C. 319,765 10,024,633 * Yadkin Financial Corp. 5,013 95,999 Zions Bancorp. 321,339 9,293,124 #* ZipRealty, Inc. 25,107 83,355 -------------- Total Financials 2,123,705,138 -------------- Health Care -- (9.8%) #* Abaxis, Inc. 12,970 526,712 Abbott Laboratories 446,908 17,313,216 AbbVie, Inc. 255,842 13,324,251 #* Acadia Healthcare Co., Inc. 43,152 1,813,247 #* Accelerate Diagnostics, Inc. 2,471 45,541 #* Accretive Health, Inc. 10,626 85,539 #* Accuray, Inc. 110,347 926,915 * Acorda Therapeutics, Inc. 55,709 1,974,884 * Actavis P.L.C. 102,512 20,946,277 #* Adcare Health Systems, Inc. 7,607 31,189 * Addus HomeCare Corp. 18,395 397,700 Aetna, Inc. 245,037 17,507,894 #* Affymax, Inc. 51,139 27,615 #* Affymetrix, Inc. 122,411 909,514 Agilent Technologies, Inc. 144,195 7,792,298 #* Air Methods Corp. 97,480 5,426,712 #* Akorn, Inc. 76,885 1,939,040 #* Albany Molecular Research, Inc. 46,348 744,349 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Health Care -- (Continued) #* Alere, Inc. 142,568 $ 4,761,771 * Alexion Pharmaceuticals, Inc. 36,176 5,723,043 #* Align Technology, Inc. 80,275 4,045,057 * Alkermes P.L.C. 70,206 3,247,730 Allergan, Inc. 33,891 5,620,483 * Alliance HealthCare Services, Inc. 11,547 328,628 * Allied Healthcare Products, Inc. 6,964 15,042 #* Allscripts Healthcare Solutions, Inc. 313,825 4,776,416 * Almost Family, Inc. 13,851 297,381 #* Alnylam Pharmaceuticals, Inc. 41,355 2,048,313 #* Alphatec Holdings, Inc. 95,998 129,597 #* AMAG Pharmaceuticals, Inc. 27,690 505,619 #* Amedisys, Inc. 56,578 771,158 #* American Shared Hospital Services 4,179 11,659 AmerisourceBergen Corp. 98,227 6,402,436 Amgen, Inc. 259,507 28,999,907 * AMN Healthcare Services, Inc. 76,927 960,049 * Amsurg Corp. 53,979 2,337,830 Analogic Corp. 19,808 1,487,185 * AngioDynamics, Inc. 46,710 627,782 * ANI Pharmaceuticals, Inc. 1,410 43,865 * Anika Therapeutics, Inc. 23,479 1,003,492 #* Arqule, Inc. 26,787 43,395 * Arrhythmia Research Technology, Inc. 1,790 8,682 * ArthroCare Corp. 49,506 2,402,526 #* athenahealth, Inc. 10,282 1,271,266 * AtriCure, Inc. 8,962 138,015 # Atrion Corp. 3,127 901,608 #* Authentidate Holding Corp. 1,238 1,288 #* Auxilium Pharmaceuticals, Inc. 85,664 1,928,297 #* AVEO Pharmaceuticals, Inc. 13,498 16,603 #* Baxano Surgical, Inc. 28,585 24,297 Baxter International, Inc. 64,524 4,696,702 Becton Dickinson and Co. 25,917 2,929,399 * Bio-Rad Laboratories, Inc. Class A 35,403 4,362,004 * Bio-Rad Laboratories, Inc. Class B 2,960 380,848 #* Bio-Reference Labs, Inc. 36,510 927,354 #* Bioanalytical Systems, Inc. 2,068 5,749 * BioCryst Pharmaceuticals, Inc. 79 679 * Biogen Idec, Inc. 31,207 8,960,154 * BioMarin Pharmaceutical, Inc. 35,450 2,064,254 #* BioScrip, Inc. 115,755 801,025 * Biospecifics Technologies Corp. 1,942 46,084 * Biota Pharmaceuticals, Inc. 5,213 19,236 * BioTelemetry, Inc. 40,437 321,070 * Boston Scientific Corp. 1,295,703 16,338,815 #* Bovie Medical Corp. 16,167 63,860 Bristol-Myers Squibb Co. 291,159 14,584,154 #* Brookdale Senior Living, Inc. 175,444 5,586,137 * Bruker Corp. 64,955 1,341,970 #* BSD Medical Corp. 3,163 3,511 * Cambrex Corp. 52,271 1,071,033 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Health Care -- (Continued) Cantel Medical Corp. 67,806 $ 2,248,447 * Capital Senior Living Corp. 43,514 1,076,101 #* Cardica, Inc. 3,013 3,224 Cardinal Health, Inc. 103,083 7,165,299 * CareFusion Corp. 231,091 9,026,414 * Catalyst Pharmaceutical Partners, Inc. 890 1,851 * Celgene Corp. 48,158 7,079,708 #* Celldex Therapeutics, Inc. 88,604 1,329,060 #* Celsion Corp. 1,650 5,478 * Centene Corp. 71,323 4,735,847 #* Cepheid, Inc. 18,235 792,858 * Cerner Corp. 52,076 2,671,499 * Charles River Laboratories International, Inc. 74,180 3,984,950 # Chemed Corp. 31,925 2,658,395 * Chindex International, Inc. 12,137 289,225 Cigna Corp. 203,814 16,313,273 #* Columbia Laboratories, Inc. 811 5,434 * Community Health Systems, Inc. 186,908 7,081,944 # Computer Programs & Systems, Inc. 7,296 460,596 CONMED Corp. 43,673 2,023,370 Cooper Cos., Inc. (The) 74,291 9,799,726 * Corvel Corp. 31,890 1,452,271 * Covance, Inc. 73,012 6,445,499 Covidien P.L.C. 90,669 6,460,166 CR Bard, Inc. 12,868 1,767,162 * Cross Country Healthcare, Inc. 47,402 336,080 CryoLife, Inc. 42,034 381,669 * Cubist Pharmaceuticals, Inc. 92,878 6,507,033 #* Cumberland Pharmaceuticals, Inc. 29,618 131,800 #* Cutera, Inc. 22,365 230,583 #* Cyberonics, Inc. 26,907 1,591,818 * Cynosure, Inc. Class A 36,379 892,741 * DaVita HealthCare Partners, Inc. 280,924 19,468,033 Daxor Corp. 5,407 44,932 DENTSPLY International, Inc. 96,933 4,326,120 #* Depomed, Inc. 23,828 333,830 Digirad Corp. 23,800 75,684 #* Durect Corp. 40,784 53,019 #* Dyax Corp. 68,911 455,502 #* Dynavax Technologies Corp. 23,749 38,711 #* Edwards Lifesciences Corp. 36,693 2,989,379 Eli Lilly & Co. 157,416 9,303,286 #* Emergent Biosolutions, Inc. 58,363 1,538,449 * Emeritus Corp. 65,645 1,958,190 #* Endo International P.L.C. 160,078 10,076,110 Ensign Group, Inc. (The) 38,205 1,623,713 #* EnteroMedics, Inc. 417 759 #* Enzo Biochem, Inc. 53,941 226,552 # Enzon Pharmaceuticals, Inc. 77,086 68,614 #* Exact Sciences Corp. 15,692 188,304 #* Exactech, Inc. 19,740 438,623 * ExamWorks Group, Inc. 47,587 1,751,202 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Health Care -- (Continued) * Express Scripts Holding Co. 462,397 $30,786,392 * Five Star Quality Care, Inc. 79,274 382,893 * Forest Laboratories, Inc. 190,988 17,553,707 * Furiex Pharmaceuticals, Inc. 14,153 1,462,996 #* Gentiva Health Services, Inc. 57,592 433,668 * Gilead Sciences, Inc. 250,362 19,650,913 * Globus Medical, Inc. Class A 39,786 971,574 * Greatbatch, Inc. 36,653 1,687,138 #* GTx, Inc. 2,689 4,141 * Haemonetics Corp. 90,565 2,749,553 * Hanger, Inc. 54,530 1,890,555 #* Harvard Apparatus Regenerative Technology, Inc. 10,276 88,887 #* Harvard Bioscience, Inc. 41,105 173,463 * HCA Holdings, Inc. 46,506 2,418,312 * Health Net, Inc. 136,519 4,686,697 # HealthSouth Corp. 75,653 2,620,620 * HealthStream, Inc. 26,746 605,797 #* Healthways, Inc. 58,045 1,044,810 * Henry Schein, Inc. 63,424 7,244,924 # Hill-Rom Holdings, Inc. 103,329 3,860,371 #* HMS Holdings Corp. 18,900 305,613 #* Hologic, Inc. 263,818 5,536,221 * Hooper Holmes, Inc. 27,377 16,700 #* Horizon Pharma, Inc. 25,375 359,818 * Hospira, Inc. 117,874 5,398,629 Humana, Inc. 181,094 19,875,066 * ICU Medical, Inc. 24,911 1,389,536 #* Idera Pharmaceuticals, Inc. 30,405 86,350 #* IDEXX Laboratories, Inc. 14,434 1,825,035 #* Illumina, Inc. 19,907 2,704,366 * Impax Laboratories, Inc. 115,042 3,008,348 * Incyte Corp., Ltd. 86,152 4,183,541 #* Infinity Pharmaceuticals, Inc. 22,453 219,366 #* Inovio Pharmaceuticals, Inc. 13,901 32,945 * Insys Therapeutics, Inc. 369 15,151 #* Integra LifeSciences Holdings Corp. 44,625 2,034,008 * Intuitive Surgical, Inc. 3,637 1,315,503 Invacare Corp. 53,931 852,110 #* IPC The Hospitalist Co., Inc. 28,824 1,167,372 * Iridex Corp. 6,507 54,203 #* Isis Pharmaceuticals, Inc. 1,872 49,814 * Jazz Pharmaceuticals P.L.C. 51,858 6,995,644 Johnson & Johnson 664,537 67,310,953 #* Keryx Biopharmaceuticals, Inc. 5,600 82,712 Kewaunee Scientific Corp. 3,000 50,250 Kindred Healthcare, Inc. 91,626 2,299,813 * Laboratory Corp. of America Holdings 59,940 5,916,078 # Landauer, Inc. 5,650 244,306 * Lannett Co., Inc. 50,589 1,746,838 #* LCA-Vision, Inc. 20,620 110,523 LeMaitre Vascular, Inc. 22,583 185,406 #* LHC Group, Inc. 29,031 603,264 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Health Care -- (Continued) * LifePoint Hospitals, Inc. 79,199 $ 4,428,808 #* Ligand Pharmaceuticals, Inc. Class B 7,510 474,407 #* Luminex Corp. 56,331 1,082,119 * Magellan Health Services, Inc. 46,491 2,683,461 #* Mallinckrodt P.L.C. 54,551 3,885,668 #* Masimo Corp. 76,034 2,034,670 #* Mast Therapeutics, Inc. 25,886 14,861 (o)#* Maxygen, Inc. 48,995 1,470 McKesson Corp. 54,224 9,174,159 * MedAssets, Inc. 107,780 2,460,617 (o)#* MedCath Corp. 26,258 52,516 * Medical Action Industries, Inc. 32,084 205,658 #* Medicines Co. (The) 107,572 2,861,415 * MediciNova, Inc. 5,363 10,082 * Medidata Solutions, Inc. 17,770 645,229 #* Medivation, Inc. 28,640 1,724,414 * MEDNAX, Inc. 169,046 10,015,975 Medtronic, Inc. 241,121 14,182,737 Merck & Co., Inc. 1,401,705 82,083,845 #* Merge Healthcare, Inc. 7,819 17,827 # Meridian Bioscience, Inc. 7,218 144,143 * Merit Medical Systems, Inc. 70,502 907,361 * Mettler-Toledo International, Inc. 11,500 2,680,880 * Misonix, Inc. 8,260 49,560 #* Molina Healthcare, Inc. 76,298 2,853,545 * Momenta Pharmaceuticals, Inc. 88,278 1,008,135 #* MWI Veterinary Supply, Inc. 17,009 2,664,290 * Mylan, Inc. 182,953 9,290,353 #* Myriad Genetics, Inc. 134,178 5,663,653 #* Nanosphere, Inc. 31,702 54,210 # National Healthcare Corp. 20,065 1,098,157 #* National Research Corp. Class A 29,412 463,533 #* National Research Corp. Class B 4,902 215,100 * Natus Medical, Inc. 58,055 1,441,506 #* Neogen Corp. 29,077 1,214,692 #* NPS Pharmaceuticals, Inc. 22,988 611,941 * NuVasive, Inc. 77,336 2,606,997 Omnicare, Inc. 174,573 10,346,942 * Omnicell, Inc. 58,316 1,544,208 #* OncoGenex Pharmaceutical, Inc. 1,700 6,596 #* Opko Health, Inc. 388,769 3,215,120 * OraSure Technologies, Inc. 42,581 278,906 * Orthofix International NV 29,396 887,759 * Osiris Therapeutics, Inc. 6,118 87,059 # Owens & Minor, Inc. 111,336 3,734,209 #* Pacific Biosciences of California, Inc. 66,354 293,285 #* Pain Therapeutics, Inc. 50,349 286,486 * PAREXEL International Corp. 91,576 4,152,972 # Patterson Cos., Inc. 142,309 5,791,976 #* PDI, Inc. 21,336 100,706 # PDL BioPharma, Inc. 149,198 1,266,691 PerkinElmer, Inc. 195,649 8,211,389 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ --------- ------------ Health Care -- (Continued) #* Pernix Therapeutics Holdings 7,120 $ 34,247 Perrigo Co. P.L.C. 35,679 5,168,460 Pfizer, Inc. 3,831,803 119,858,798 * PharMerica Corp. 53,338 1,450,260 #* PhotoMedex, Inc. 7,613 115,032 #* Pozen, Inc. 44,928 375,598 * Prestige Brands Holdings, Inc. 90,105 3,020,320 #* Progenics Pharmaceuticals, Inc. 99,984 352,944 #* ProPhase Labs, Inc. 19,981 39,562 * Providence Service Corp. (The) 23,103 938,213 #* pSivida Corp. 25,881 94,207 Psychemedics Corp. 1,810 28,526 Quality Systems, Inc. 84,006 1,240,769 # Quest Diagnostics, Inc. 107,667 6,021,815 # Questcor Pharmaceuticals, Inc. 47,500 3,903,550 * Quidel Corp. 50,738 1,088,330 * RadNet, Inc. 33,951 168,736 * Regeneron Pharmaceuticals, Inc. 33,215 9,861,201 #* Repligen Corp. 54,646 866,139 # ResMed, Inc. 67,431 3,361,435 * Retractable Technologies, Inc. 7,725 28,505 #* Rigel Pharmaceuticals, Inc. 102,876 329,203 #* RTI Surgical, Inc. 87,990 378,357 #* Sagent Pharmaceuticals, Inc. 16,834 348,295 #* Salix Pharmaceuticals, Ltd. 24,827 2,730,970 #* Sangamo Biosciences, Inc. 26,718 369,777 #* Sciclone Pharmaceuticals, Inc. 88,042 420,841 #* Seattle Genetics, Inc. 38,000 1,462,240 Select Medical Holdings Corp. 193,326 2,698,831 Simulations Plus, Inc. 4,400 26,620 #* Sirona Dental Systems, Inc. 69,168 5,202,817 #* Skilled Healthcare Group, Inc. Class A 34,371 177,354 Span-America Medical Systems, Inc. 3,812 79,480 * Special Diversified Opportunities, Inc. 14,178 16,730 * Spectranetics Corp. 43,357 921,770 #* Spectrum Pharmaceuticals, Inc. 95,574 656,593 St Jude Medical, Inc. 180,927 11,483,437 #* Staar Surgical Co. 26,138 444,607 #* StemCells, Inc. 545 681 #* Stereotaxis, Inc. 4,433 17,156 STERIS Corp. 89,775 4,313,689 Stryker Corp. 51,444 3,999,771 #* Sucampo Pharmaceuticals, Inc. Class A 14,749 101,916 * SunLink Health Systems, Inc. 3,122 4,714 * SurModics, Inc. 27,984 608,932 * Symmetry Medical, Inc. 59,206 489,042 #* Targacept, Inc. 9,807 43,543 * Taro Pharmaceutical Industries, Ltd. 286 32,126 * Team Health Holdings, Inc. 50,086 2,428,169 Techne Corp. 14,100 1,259,271 # Teleflex, Inc. 68,284 6,971,114 #* Tenet Healthcare Corp. 164,303 7,406,779 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- -------------- Health Care -- (Continued) #* Theravance, Inc. 12,559 $ 338,088 Thermo Fisher Scientific, Inc. 197,528 22,518,192 * Thoratec Corp. 97,164 3,185,036 * Tornier NV 24,924 422,960 #* Transcept Pharmaceuticals, Inc. 23,021 67,912 * Triple-S Management Corp. Class B 40,623 608,533 * United Therapeutics Corp. 60,724 6,073,007 UnitedHealth Group, Inc. 576,403 43,253,281 # Universal American Corp. 140,720 1,008,962 Universal Health Services, Inc. Class B 110,174 9,011,131 * Uroplasty, Inc. 2,767 9,629 US Physical Therapy, Inc. 20,699 638,564 # Utah Medical Products, Inc. 6,006 305,045 * Varian Medical Systems, Inc. 17,446 1,387,829 * Vascular Solutions, Inc. 27,906 611,420 * VCA Antech, Inc. 150,838 4,620,168 * Vertex Pharmaceuticals, Inc. 30,622 2,073,109 #* Vical, Inc. 19,691 22,251 #* Volcano Corp. 31,538 553,807 * Waters Corp. 16,195 1,595,855 * WellCare Health Plans, Inc. 74,900 5,053,503 WellPoint, Inc. 203,028 20,440,859 West Pharmaceutical Services, Inc. 107,900 4,680,702 * Wright Medical Group, Inc. 77,860 2,129,471 #* XenoPort, Inc. 23,373 94,894 #* Zalicus, Inc. 8,906 9,529 Zimmer Holdings, Inc. 130,497 12,632,110 Zoetis, Inc. 936,170 28,328,504 -------------- Total Health Care 1,229,646,898 -------------- Industrials -- (12.8%) 3M Co. 136,848 19,034,188 # AAON, Inc. 58,279 1,652,210 # AAR Corp. 64,754 1,677,129 ABM Industries, Inc. 92,707 2,511,433 # Acacia Research Corp. 71,606 1,148,560 #* ACCO Brands Corp. 129,747 795,349 #* Accuride Corp. 34,436 194,219 Aceto Corp. 49,227 1,077,087 Acme United Corp. 2,302 38,743 #* Acorn Energy, Inc. 24,822 57,587 * Active Power, Inc. 920 2,594 Actuant Corp. Class A 121,522 4,114,735 Acuity Brands, Inc. 45,017 5,607,768 * Adept Technology, Inc. 14,123 168,911 # ADT Corp. (The) 131,385 3,973,082 #* Advisory Board Co. (The) 27,568 1,578,544 * AECOM Technology Corp. 174,318 5,651,390 #* Aegion Corp. 67,690 1,725,418 #* AeroCentury Corp. 1,459 26,189 * Aerovironment, Inc. 39,203 1,323,885 AGCO Corp. 173,743 9,677,485 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Industrials -- (Continued) * Air Transport Services Group, Inc. 101,787 $ 796,992 Aircastle, Ltd. 90,875 1,596,674 Alamo Group, Inc. 20,434 1,085,454 Alaska Air Group, Inc. 120,097 11,298,726 Albany International Corp. Class A 47,742 1,717,757 Allegiant Travel Co. 31,070 3,649,172 Allegion P.L.C. 52,413 2,586,582 Alliant Techsystems, Inc. 55,723 8,036,371 (o) Allied Defense Group, Inc. 8,042 643 Allied Motion Technologies, Inc. 6,678 75,729 Allison Transmission Holdings, Inc. 146,681 4,376,961 Altra Industrial Motion Corp. 46,243 1,579,661 AMERCO 33,219 8,308,404 #* Ameresco, Inc. Class A 37,184 238,349 * American Airlines Group, Inc. 199,017 6,979,526 # American Railcar Industries, Inc. 39,572 2,747,880 American Science & Engineering, Inc. 13,227 888,854 #* American Superconductor Corp. 9,532 12,201 * American Woodmark Corp. 25,255 757,903 AMETEK, Inc. 96,809 5,103,770 * AMREP Corp. 9,572 52,167 AO Smith Corp. 116,746 5,459,043 # Apogee Enterprises, Inc. 51,318 1,630,373 Applied Industrial Technologies, Inc. 73,294 3,512,248 * ARC Document Solutions, Inc. 81,373 520,787 ArcBest Corp. 42,847 1,689,029 Argan, Inc. 27,087 725,119 * Armstrong World Industries, Inc. 74,050 3,892,068 * Arotech Corp. 5,156 17,891 #* Ascent Solar Technologies, Inc. 31,475 15,898 Astec Industries, Inc. 37,588 1,501,641 * Astronics Corp. 19,607 1,119,952 * Astronics Corp. Class B 3,685 209,677 #* Atlas Air Worldwide Holdings, Inc. 44,090 1,542,709 #* Avalon Holdings Corp. Class A 1,202 5,385 #* Avis Budget Group, Inc. 233,731 12,291,913 # AZZ, Inc. 43,509 1,889,161 * B/E Aerospace, Inc. 121,675 10,679,415 Babcock & Wilcox Co. (The) 94,915 3,302,093 Baltic Trading, Ltd. 21,705 130,013 Barnes Group, Inc. 86,441 3,329,707 Barrett Business Services, Inc. 13,746 692,936 #* Beacon Roofing Supply, Inc. 81,124 2,886,392 * Blount International, Inc. 136,648 1,526,358 #* BlueLinx Holdings, Inc. 86,144 112,849 Boeing Co. (The) 114,933 14,828,656 Brady Corp. Class A 77,801 2,006,488 * Breeze-Eastern Corp. 12,352 122,285 # Briggs & Stratton Corp. 79,246 1,693,487 # Brink's Co. (The) 97,110 2,470,478 * Broadwind Energy, Inc. 2,072 27,951 #* Builders FirstSource, Inc. 71,793 563,575 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Industrials -- (Continued) * CAI International, Inc. 34,699 $ 754,703 Carlisle Cos., Inc. 85,240 7,010,990 * Casella Waste Systems, Inc. Class A 38,456 196,126 Caterpillar, Inc. 237,421 25,024,173 #* CBIZ, Inc. 93,126 798,090 CDI Corp. 28,435 435,624 Ceco Environmental Corp. 31,518 500,821 # Celadon Group, Inc. 38,691 890,280 # CH Robinson Worldwide, Inc. 16,987 1,000,534 #* Chart Industries, Inc. 42,909 2,927,252 Chicago Bridge & Iron Co. NV 26,778 2,144,114 Chicago Rivet & Machine Co. 653 25,304 Cintas Corp. 116,576 6,869,824 CIRCOR International, Inc. 30,383 2,467,403 # CLARCOR, Inc. 64,019 3,697,737 #* Clean Harbors, Inc. 97,482 5,848,920 * Colfax Corp. 141,914 10,214,970 * Columbus McKinnon Corp. 32,594 863,415 # Comfort Systems USA, Inc. 65,515 982,725 #* Command Security Corp. 10,654 21,042 #* Commercial Vehicle Group, Inc. 24,357 236,506 # Compx International, Inc. 3,471 31,933 Con-way, Inc. 93,689 3,979,909 Copa Holdings SA Class A 12,530 1,695,058 * Copart, Inc. 71,990 2,611,077 Corporate Executive Board Co. (The) 54,522 3,763,108 Courier Corp. 21,176 307,687 Covanta Holding Corp. 226,397 4,177,025 * Covenant Transportation Group, Inc. Class A 12,060 123,615 #* CPI Aerostructures, Inc. 8,781 118,280 #* CRA International, Inc. 14,257 310,375 Crane Co. 74,082 5,387,984 CSX Corp. 566,905 15,998,059 Cubic Corp. 42,291 2,005,862 Cummins, Inc. 25,812 3,893,740 Curtiss-Wright Corp. 78,292 5,005,990 Danaher Corp. 247,085 18,131,097 Deere & Co. 100,682 9,397,658 Delta Air Lines, Inc. 294,469 10,845,293 # Deluxe Corp. 101,145 5,557,918 #* DigitalGlobe, Inc. 125,841 3,747,545 Donaldson Co., Inc. 44,342 1,866,355 Douglas Dynamics, Inc. 36,617 617,729 Dover Corp. 130,371 11,264,054 * Ducommun, Inc. 17,367 421,497 Dun & Bradstreet Corp. (The) 30,081 3,331,772 * DXP Enterprises, Inc. 25,098 2,841,345 * Dycom Industries, Inc. 55,795 1,751,963 # Dynamic Materials Corp. 20,382 411,716 #* Eagle Bulk Shipping, Inc. 13,093 38,232 Eastern Co. (The) 6,782 114,548 Eaton Corp. P.L.C. 271,917 19,752,051 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ --------- ------------ Industrials -- (Continued) #* Echo Global Logistics, Inc. 41,033 $ 802,605 Ecology and Environment, Inc. Class A 3,767 36,126 EMCOR Group, Inc. 112,952 5,194,662 Emerson Electric Co. 115,882 7,900,835 Encore Wire Corp. 34,570 1,684,596 #* Energy Recovery, Inc. 58,749 300,207 #* EnerNOC, Inc. 48,983 1,155,999 # EnerSys, Inc. 80,857 5,464,316 #* Engility Holdings, Inc. 25,095 1,095,146 # Ennis, Inc. 39,200 586,432 #* EnPro Industries, Inc. 35,768 2,547,039 EnviroStar, Inc. 100 313 Equifax, Inc. 103,330 7,316,797 ESCO Technologies, Inc. 44,351 1,482,210 # Espey Manufacturing & Electronics Corp. 4,614 122,732 * Esterline Technologies Corp. 54,096 5,897,546 Exelis, Inc. 304,397 5,643,520 Expeditors International of Washington, Inc. 34,200 1,410,408 Exponent, Inc. 18,149 1,278,053 # Fastenal Co. 60,176 3,013,614 * Federal Signal Corp. 107,743 1,635,539 FedEx Corp. 169,444 23,086,745 Flowserve Corp. 87,256 6,374,051 Fluor Corp. 124,294 9,409,056 Fortune Brands Home & Security, Inc. 204,895 8,165,066 Forward Air Corp. 52,345 2,315,219 * Franklin Covey Co. 27,517 557,770 # Franklin Electric Co., Inc. 82,477 3,189,386 # FreightCar America, Inc. 19,888 522,259 * FTI Consulting, Inc. 69,137 2,371,399 #* Fuel Tech, Inc. 30,552 186,062 * Furmanite Corp. 64,389 674,797 G&K Services, Inc. Class A 33,222 1,758,773 GATX Corp. 77,786 5,105,095 #* Genco Shipping & Trading, Ltd. 60,046 99,076 * Gencor Industries, Inc. 5,578 58,513 #* GenCorp, Inc. 63,086 1,107,790 Generac Holdings, Inc. 72,815 4,287,347 General Cable Corp. 82,789 2,121,054 General Dynamics Corp. 162,242 17,757,387 General Electric Co. 5,351,514 143,902,211 * Genesee & Wyoming, Inc. Class A 90,520 8,962,385 * Gibraltar Industries, Inc. 49,354 842,966 # Global Power Equipment Group, Inc. 22,239 389,850 #* Goldfield Corp. (The) 18,424 37,953 # Gorman-Rupp Co. (The) 38,613 1,198,934 * GP Strategies Corp. 32,659 858,279 Graco, Inc. 35,405 2,566,863 #* GrafTech International, Ltd. 203,893 2,285,641 # Graham Corp. 17,619 525,751 # Granite Construction, Inc. 65,859 2,461,809 #* Great Lakes Dredge & Dock Corp. 99,858 861,775 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Industrials -- (Continued) #* Greenbrier Cos., Inc. (The) 47,338 $ 2,482,405 Griffon Corp. 98,568 1,048,764 * H&E Equipment Services, Inc. 53,667 2,068,863 Hardinge, Inc. 16,040 214,294 Harsco Corp. 145,701 3,486,625 #* Hawaiian Holdings, Inc. 88,476 1,278,478 # Healthcare Services Group, Inc. 15,989 465,280 # Heartland Express, Inc. 145,966 3,176,220 # HEICO Corp. 37,893 2,096,241 HEICO Corp. Class A 69,871 2,847,243 Heidrick & Struggles International, Inc. 26,138 492,701 #* Heritage-Crystal Clean, Inc. 7,298 116,768 Herman Miller, Inc. 59,198 1,825,074 * Hertz Global Holdings, Inc. 589,504 16,783,179 * Hexcel Corp. 126,769 5,285,000 * Hill International, Inc. 51,954 349,131 # HNI Corp. 75,289 2,652,431 Honeywell International, Inc. 121,286 11,267,469 # Houston Wire & Cable Co. 30,850 384,391 * Hub Group, Inc. Class A 61,641 2,752,271 Hubbell, Inc. Class A 7,919 887,720 Hubbell, Inc. Class B 61,174 7,201,403 * Hudson Global, Inc. 43,679 155,060 Huntington Ingalls Industries, Inc. 79,113 8,148,639 Hurco Cos., Inc. 8,940 238,340 * Huron Consulting Group, Inc. 40,294 2,868,933 Hyster-Yale Materials Handling, Inc. 21,158 2,039,420 * ICF International, Inc. 31,458 1,225,918 IDEX Corp. 123,842 9,234,898 * IHS, Inc. Class A 20,789 2,507,777 Illinois Tool Works, Inc. 87,875 7,489,586 Ingersoll-Rand P.L.C. 157,241 9,403,012 #* InnerWorkings, Inc. 66,030 475,416 #* Innovative Solutions & Support, Inc. 19,910 133,994 Insperity, Inc. 41,907 1,343,538 Insteel Industries, Inc. 28,079 577,866 * Integrated Electrical Services, Inc. 14,770 91,722 * Intelligent Systems Corp. 629 981 # Interface, Inc. 85,639 1,540,646 # International Shipholding Corp. 8,363 225,299 # Intersections, Inc. 30,961 174,001 # Iron Mountain, Inc. 214,499 6,100,352 ITT Corp. 114,983 4,960,367 * Jacobs Engineering Group, Inc. 84,730 4,888,921 JB Hunt Transport Services, Inc. 32,900 2,503,690 #* JetBlue Airways Corp. 479,924 3,793,799 # John Bean Technologies Corp. 39,301 1,139,336 # Joy Global, Inc. 112,160 6,772,221 Kadant, Inc. 17,092 593,947 # Kaman Corp. 84,492 3,546,129 Kansas City Southern 95,096 9,593,285 KAR Auction Services, Inc. 237,894 7,084,483 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Industrials -- (Continued) KBR, Inc. 255,616 $ 6,484,978 # Kelly Services, Inc. Class A 60,884 1,282,217 Kelly Services, Inc. Class B 1,275 28,955 # Kennametal, Inc. 133,816 6,253,222 * Key Technology, Inc. 7,462 92,006 # Kforce, Inc. 59,534 1,376,426 Kimball International, Inc. Class B 50,492 846,246 * Kirby Corp. 99,803 10,042,178 # Knight Transportation, Inc. 134,478 3,191,163 Knoll, Inc. 78,008 1,418,966 * Korn/Ferry International 81,882 2,378,672 #* Kratos Defense & Security Solutions, Inc. 95,134 686,867 L-3 Communications Holdings, Inc. 100,263 11,567,342 # Landstar System, Inc. 50,173 3,160,397 #* Lawson Products, Inc. 12,431 208,219 #* Layne Christensen Co. 34,483 600,694 LB Foster Co. Class A 16,243 769,106 # Lennox International, Inc. 32,303 2,707,961 Lincoln Electric Holdings, Inc. 106,249 7,098,496 # Lindsay Corp. 20,998 1,850,554 #* LMI Aerospace, Inc. 17,391 237,213 Lockheed Martin Corp. 53,308 8,749,975 LS Starrett Co. (The) Class A 9,260 144,641 LSI Industries, Inc. 42,695 324,909 #* Luna Innovations, Inc. 4,551 6,553 * Lydall, Inc. 24,164 565,679 * Magnetek, Inc. 1,525 33,626 #* Manitex International, Inc. 2,123 34,945 # Manitowoc Co., Inc. (The) 202,460 6,434,179 Manpowergroup, Inc. 126,766 10,311,146 Marten Transport, Ltd. 58,210 1,365,607 Masco Corp. 114,829 2,306,915 #* MasTec, Inc. 125,372 4,962,224 Mastech Holdings, Inc. 3,567 61,638 Matson, Inc. 71,411 1,691,727 # McGrath RentCorp 39,998 1,263,137 * Meritor, Inc. 124,231 1,474,622 * Metalico, Inc. 76,765 118,218 * Mfri, Inc. 6,501 70,796 #* Middleby Corp. (The) 22,669 5,723,469 Miller Industries, Inc. 16,917 327,682 * Mistras Group, Inc. 41,992 953,638 # Mobile Mini, Inc. 76,077 3,361,082 * Moog, Inc. Class A 70,114 4,588,961 * Moog, Inc. Class B 6,265 410,232 * MRC Global, Inc. 163,564 4,774,433 # MSA Safety, Inc. 61,993 3,270,131 MSC Industrial Direct Co., Inc. Class A 12,491 1,137,430 Mueller Industries, Inc. 118,168 3,419,782 Mueller Water Products, Inc. Class A 271,891 2,479,646 # Multi-Color Corp. 21,828 760,706 * MYR Group, Inc. 34,702 814,109 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Industrials -- (Continued) # National Presto Industries, Inc. 10,320 $ 745,723 * Navigant Consulting, Inc. 84,651 1,422,137 #* Navistar International Corp. 26,099 989,935 #* NCI Building Systems, Inc. 929 14,530 Nielsen Holdings NV 154,496 7,253,587 # NL Industries, Inc. 66,217 664,157 NN, Inc. 28,052 548,978 Nordson Corp. 44,212 3,287,162 Norfolk Southern Corp. 166,058 15,697,463 * Nortek, Inc. 713 58,580 Northrop Grumman Corp. 134,779 16,376,996 #* Northwest Pipe Co. 14,589 521,849 #* Ocean Power Technologies, Inc. 8,423 22,742 * Old Dominion Freight Line, Inc. 112,841 6,841,550 # Omega Flex, Inc. 8,600 173,462 * On Assignment, Inc. 91,840 3,214,400 * Orbital Sciences Corp. 99,159 2,915,275 * Orion Energy Systems, Inc. 30,093 159,493 * Orion Marine Group, Inc. 30,944 362,973 Oshkosh Corp. 152,082 8,442,072 Owens Corning 197,978 8,087,401 PACCAR, Inc. 59,533 3,808,921 Pall Corp. 20,800 1,750,320 * PAM Transportation Services, Inc. 9,059 225,479 * Park-Ohio Holdings Corp. 23,403 1,366,501 Parker Hannifin Corp. 97,858 12,416,223 * Patrick Industries, Inc. 18,021 722,101 #* Patriot Transportation Holding, Inc. 10,465 365,019 #* Pendrell Corp. 67,532 111,428 Pentair, Ltd. 192,918 14,331,878 * PGT, Inc. 53,997 537,270 * Pike Corp. 57,952 556,339 # Pitney Bowes, Inc. 138,640 3,715,552 #* Plug Power, Inc. 2,629 12,225 #* PMFG, Inc. 16,342 92,659 #* Polypore International, Inc. 76,811 2,663,805 Powell Industries, Inc. 19,910 1,260,701 * PowerSecure International, Inc. 39,354 874,839 Precision Castparts Corp. 19,531 4,943,101 # Preformed Line Products Co. 8,209 490,570 Primoris Services Corp. 117,212 3,279,592 * Proto Labs, Inc. 3,642 220,487 Providence and Worcester Railroad Co. 3,494 60,935 Quad/Graphics, Inc. 4,133 89,479 * Quality Distribution, Inc. 37,533 471,790 Quanex Building Products Corp. 61,916 1,166,497 * Quanta Services, Inc. 214,473 7,566,607 # Raven Industries, Inc. 71,765 2,217,539 Raytheon Co. 116,541 11,127,335 #* RBC Bearings, Inc. 39,711 2,472,407 * RCM Technologies, Inc. 13,580 92,072 #* Real Goods Solar, Inc. Class A 512 1,500 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Industrials -- (Continued) Regal-Beloit Corp. 78,674 $ 5,879,308 * Republic Airways Holdings, Inc. 78,614 653,282 Republic Services, Inc. 225,148 7,900,443 Resources Connection, Inc. 84,694 1,152,685 * Rexnord Corp. 8,088 216,273 #* Roadrunner Transportation Systems, Inc. 60,930 1,500,706 Robert Half International, Inc. 69,588 3,117,542 Rockwell Automation, Inc. 45,743 5,451,651 Rockwell Collins, Inc. 38,785 3,011,655 Rollins, Inc. 44,775 1,346,832 Roper Industries, Inc. 66,703 9,268,382 * RPX Corp. 87,525 1,433,660 RR Donnelley & Sons Co. 311,814 5,487,926 #* Rush Enterprises, Inc. Class A 48,150 1,545,615 * Rush Enterprises, Inc. Class B 8,637 244,254 Ryder System, Inc. 91,475 7,517,416 * Saia, Inc. 52,843 2,175,546 Schawk, Inc. 32,035 640,700 Servotronics, Inc. 1,473 11,408 SIFCO Industries, Inc. 7,118 233,826 Simpson Manufacturing Co., Inc. 81,637 2,676,877 SkyWest, Inc. 91,028 1,055,925 * SL Industries, Inc. 11,694 321,468 SmartPros, Ltd. 1,344 4,610 Snap-on, Inc. 79,949 9,274,084 Southwest Airlines Co. 773,474 18,694,867 #* SP Plus Corp. 21,221 518,217 * Sparton Corp. 11,200 304,192 * Spirit Aerosystems Holdings, Inc. Class A 207,437 6,229,333 * Spirit Airlines, Inc. 86,403 4,911,147 SPX Corp. 80,563 8,204,536 #* Standard Register Co. (The) 6,813 49,462 Standex International Corp. 22,545 1,338,497 Stanley Black & Decker, Inc. 153,667 13,198,459 Steelcase, Inc. Class A 151,313 2,493,638 * Stericycle, Inc. 15,661 1,823,567 #* Sterling Construction Co., Inc. 23,323 179,121 # Sun Hydraulics Corp. 31,604 1,291,972 * Supreme Industries, Inc. Class A 14,584 82,691 #* Swift Transportation Co. 142,697 3,431,863 Sypris Solutions, Inc. 26,299 79,686 #* TAL International Group, Inc. 56,839 2,397,469 #* Taser International, Inc. 82,399 1,330,744 * Team, Inc. 34,201 1,466,881 #* Tecumseh Products Co. Class A 15,402 92,566 * Tecumseh Products Co. Class B 4,901 28,622 * Teledyne Technologies, Inc. 48,937 4,544,290 # Tennant Co. 23,807 1,518,649 Terex Corp. 193,513 8,377,178 * Tetra Tech, Inc. 101,118 2,899,053 # Textainer Group Holdings, Ltd. 82,635 3,247,556 Textron, Inc. 186,989 7,647,850 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Industrials -- (Continued) * Thermon Group Holdings, Inc. 26,069 $ 620,964 Timken Co. (The) 122,787 7,745,404 # Titan International, Inc. 85,461 1,496,422 #* Titan Machinery, Inc. 34,120 601,877 Toro Co. (The) 37,150 2,360,511 Towers Watson & Co. Class A 37,357 4,192,203 TransDigm Group, Inc. 18,201 3,237,412 #* TRC Cos., Inc. 29,408 174,389 #* Trex Co., Inc. 22,006 1,727,911 * Trimas Corp. 63,511 2,277,504 Trinity Industries, Inc. 138,117 10,367,062 # Triumph Group, Inc. 87,175 5,649,812 * TrueBlue, Inc. 71,032 1,900,106 * Tutor Perini Corp. 83,636 2,475,626 # Twin Disc, Inc. 22,040 637,617 Tyco International, Ltd. 207,871 8,501,924 #* Ultralife Corp. 19,679 70,844 UniFirst Corp. 24,068 2,316,304 Union Pacific Corp. 267,041 50,852,618 * United Continental Holdings, Inc. 374,963 15,324,738 United Parcel Service, Inc. Class B 106,414 10,481,779 #* United Rentals, Inc. 125,353 11,761,872 # United Stationers, Inc. 65,169 2,445,793 United Technologies Corp. 196,838 23,291,841 Universal Forest Products, Inc. 29,064 1,467,441 * Universal Security Instruments, Inc. 1,873 7,867 # Universal Truckload Services, Inc. 21,221 523,310 URS Corp. 128,737 6,066,087 US Ecology, Inc. 32,126 1,434,426 #* USA Truck, Inc. 14,166 236,006 #* USG Corp. 115,330 3,443,754 # UTi Worldwide, Inc. 176,046 1,723,490 # Valmont Industries, Inc. 33,895 5,047,304 * Verisk Analytics, Inc. Class A 27,360 1,644,062 * Versar, Inc. 15,761 60,837 Viad Corp. 33,305 767,680 * Vicor Corp. 34,427 287,810 * Virco Manufacturing Corp. 11,119 24,406 #* Volt Information Sciences, Inc. 23,850 190,323 VSE Corp. 6,890 430,418 #* Wabash National Corp. 122,059 1,630,708 * WABCO Holdings, Inc. 27,768 2,971,454 Wabtec Corp. 109,846 8,189,019 Waste Connections, Inc. 212,374 9,484,623 Waste Management, Inc. 233,210 10,366,185 Watsco, Inc. 40,177 4,134,615 # Watsco, Inc. Class B 5,058 512,224 Watts Water Technologies, Inc. Class A 46,572 2,477,630 Werner Enterprises, Inc. 130,236 3,334,042 * Wesco Aircraft Holdings, Inc. 33,067 669,937 #* WESCO International, Inc. 75,503 6,627,653 * Willdan Group, Inc. 7,684 35,884 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- -------------- Industrials -- (Continued) * Willis Lease Finance Corp. 8,926 $ 179,948 Woodward, Inc. 95,443 4,278,710 WW Grainger, Inc. 13,523 3,440,251 #* XPO Logistics, Inc. 35,163 954,324 Xylem, Inc. 126,611 4,759,308 #* YRC Worldwide, Inc. 1,770 39,701 -------------- Total Industrials 1,610,849,873 -------------- Information Technology -- (14.0%) #* 3D Systems Corp. 62,072 2,938,488 Accenture P.L.C. Class A 116,551 9,349,721 * ACI Worldwide, Inc. 59,160 3,380,994 Activision Blizzard, Inc. 563,469 11,275,015 * Actuate Corp. 83,460 469,880 * Acxiom Corp. 128,305 3,623,333 * ADDvantage Technologies Group, Inc. 7,817 26,265 * Adobe Systems, Inc. 81,557 5,031,251 # ADTRAN, Inc. 96,668 2,168,263 * Advanced Energy Industries, Inc. 67,891 1,485,455 #* Advanced Micro Devices, Inc. 117,229 479,467 * Advanced Photonix, Inc. Class A 1,915 1,053 # Advent Software, Inc. 61,382 1,769,029 #* Aehr Test Systems 4,618 11,822 #* Aeroflex Holding Corp. 5,086 38,908 #* Aetrium, Inc. 646 3,262 * Agilysys, Inc. 36,023 451,728 * Akamai Technologies, Inc. 113,952 6,047,433 * Alliance Data Systems Corp. 20,497 4,958,224 * Alpha & Omega Semiconductor, Ltd. 13,132 94,550 Altera Corp. 179,312 5,831,226 Amdocs, Ltd. 131,808 6,133,026 American Software, Inc. Class A 41,689 401,882 #* Amkor Technology, Inc. 275,673 2,191,600 Amphenol Corp. Class A 32,171 3,067,505 * Amtech Systems, Inc. 11,796 100,856 #* ANADIGICS, Inc. 100,745 125,931 Analog Devices, Inc. 213,941 10,973,034 Anixter International, Inc. 49,872 4,886,459 * ANSYS, Inc. 43,080 3,287,435 * AOL, Inc. 145,693 6,237,117 Apple, Inc. 318,984 188,229,269 Applied Materials, Inc. 434,626 8,283,972 * Applied Micro Circuits Corp. 80,305 779,762 * ARRIS Group, Inc. 220,365 5,749,323 * Arrow Electronics, Inc. 176,372 10,009,111 * Aspen Technology, Inc. 44,909 1,930,638 Astro-Med, Inc. 9,339 117,391 * Atmel Corp. 598,527 4,650,555 * Autobytel, Inc. 3,757 46,737 * Autodesk, Inc. 41,500 1,992,830 Automatic Data Processing, Inc. 85,937 6,699,648 Avago Technologies, Ltd. 11,197 711,009 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Information Technology -- (Continued) #* AVG Technologies NV 25,443 $ 476,547 #* Aviat Networks, Inc. 88,527 133,676 #* Avid Technology, Inc. 62,217 469,738 Avnet, Inc. 228,393 9,850,590 AVX Corp. 229,798 3,067,803 #* Aware, Inc. 26,058 144,361 * Axcelis Technologies, Inc. 109,032 195,167 #* AXT, Inc. 45,551 98,390 # Badger Meter, Inc. 24,273 1,202,727 * Bankrate, Inc. 138,608 2,428,412 Bel Fuse, Inc. Class A 4,354 88,647 Bel Fuse, Inc. Class B 13,898 302,420 Belden, Inc. 70,812 5,226,634 * Benchmark Electronics, Inc. 86,360 2,001,825 Black Box Corp. 35,024 744,610 # Blackbaud, Inc. 36,147 1,100,676 #* Blackhawk Network Holdings, Inc. Class B 39,558 911,021 * Blonder Tongue Laboratories 433 390 #* Blucora, Inc. 68,317 1,315,102 # Booz Allen Hamilton Holding Corp. 49,159 1,142,455 #* Bottomline Technologies de, Inc. 63,828 2,019,518 Broadcom Corp. Class A 102,883 3,169,825 Broadridge Financial Solutions, Inc. 100,564 3,855,624 * BroadVision, Inc. 6,453 64,014 * Brocade Communications Systems, Inc. 764,125 7,114,004 Brooks Automation, Inc. 108,914 1,114,190 * Bsquare Corp. 12,187 38,998 * BTU International, Inc. 10,388 30,437 CA, Inc. 361,744 10,902,964 * Cabot Microelectronics Corp. 40,967 1,776,739 #* CACI International, Inc. Class A 43,130 3,004,004 * Cadence Design Systems, Inc. 106,862 1,662,773 * CalAmp Corp. 20,878 370,584 #* Calix, Inc. 86,101 758,550 * Cardtronics, Inc. 83,222 2,786,273 * Cascade Microtech, Inc. 18,571 198,338 # Cass Information Systems, Inc. 18,870 953,124 * Ceva, Inc. 35,254 572,172 * Checkpoint Systems, Inc. 68,783 878,359 #* China Information Technology, Inc. 20,716 84,107 #* ChyronHego Corp. 5,035 12,034 * CIBER, Inc. 152,480 658,714 #* Ciena Corp. 120,904 2,390,272 * Cinedigm Corp. 83,923 209,807 #* Cirrus Logic, Inc. 111,773 2,492,538 Cisco Systems, Inc. 3,101,253 71,669,957 #* Citrix Systems, Inc. 32,097 1,903,673 #* Clearfield, Inc. 20,285 319,692 * Cognex Corp. 141,140 4,859,450 * Cognizant Technology Solutions Corp. Class A 62,310 2,984,961 * Coherent, Inc. 38,640 2,307,194 Cohu, Inc. 34,325 353,547 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Information Technology -- (Continued) Communications Systems, Inc. 17,110 $ 206,860 * CommVault Systems, Inc. 19,732 955,029 Computer Sciences Corp. 190,065 11,248,047 # Computer Task Group, Inc. 30,804 487,011 Compuware Corp. 333,104 3,450,957 * comScore, Inc. 18,134 568,138 # Comtech Telecommunications Corp. 36,524 1,159,637 * Comverse, Inc. 1,587 39,580 #* Concur Technologies, Inc. 28,597 2,301,201 Concurrent Computer Corp. 14,271 119,734 * Constant Contact, Inc. 31,960 826,486 # Convergys Corp. 178,498 3,844,847 #* Conversant, Inc. 228,447 5,583,245 * CoreLogic, Inc. 164,536 4,611,944 Corning, Inc. 717,350 14,999,788 * CoStar Group, Inc. 36,021 5,795,419 #* Cray, Inc. 67,321 1,932,786 #* Cree, Inc. 126,414 5,962,948 * Crexendo, Inc. 10,564 33,594 CSG Systems International, Inc. 58,393 1,539,239 CSP, Inc. 2,797 21,201 CTS Corp. 56,634 1,007,519 * CyberOptics Corp. 10,031 75,433 Daktronics, Inc. 73,390 955,538 #* Datalink Corp. 35,705 458,452 * Dealertrack Technologies, Inc. 75,751 3,461,063 #* Demand Media, Inc. 49,159 204,501 * Dice Holdings, Inc. 100,155 766,186 # Diebold, Inc. 108,300 4,073,163 * Digi International, Inc. 40,813 361,603 # Digimarc Corp. 9,758 322,209 * Digital River, Inc. 59,850 915,106 * Diodes, Inc. 75,992 2,003,909 #* Document Security Systems, Inc. 5,000 6,350 #* Dolby Laboratories, Inc. Class A 63,150 2,516,527 * Dot Hill Systems Corp. 71,103 293,655 * DSP Group, Inc. 31,722 252,507 DST Systems, Inc. 72,821 6,713,368 #* DTS, Inc. 27,939 519,945 # EarthLink Holdings Corp. 160,358 546,821 * eBay, Inc. 251,850 13,053,385 # Ebix, Inc. 58,742 926,949 #* Echelon Corp. 19,608 50,785 * EchoStar Corp. Class A 72,681 3,267,738 * Edgewater Technology, Inc. 10,488 74,255 #* Elecsys Corp. 376 5,099 # Electro Rent Corp. 38,351 619,369 Electro Scientific Industries, Inc. 41,652 353,209 * Electronic Arts, Inc. 101,239 2,865,064 * Electronics for Imaging, Inc. 80,322 3,035,368 #* Ellie Mae, Inc. 21,253 518,361 #* eMagin Corp. 12,094 29,147 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Information Technology -- (Continued) EMC Corp. 1,136,231 $29,314,760 #* Emcore Corp. 33,414 161,390 * Emulex Corp. 159,365 1,139,460 * Entegris, Inc. 231,042 2,562,256 #* Entropic Communications, Inc. 138,368 510,578 * Envestnet, Inc. 15,854 584,220 * EPAM Systems, Inc. 46,156 1,436,836 EPIQ Systems, Inc. 59,621 762,553 * ePlus, Inc. 12,730 637,009 #* Equinix, Inc. 32,137 6,035,650 * Euronet Worldwide, Inc. 83,419 3,836,440 #* Exar Corp. 81,869 885,823 #* ExlService Holdings, Inc. 54,236 1,534,608 * Extreme Networks, Inc. 155,567 889,843 * F5 Networks, Inc. 22,500 2,366,325 * Fabrinet 25,572 552,355 # FactSet Research Systems, Inc. 25,182 2,681,883 Fair Isaac Corp. 62,297 3,563,388 #* Fairchild Semiconductor International, Inc. 222,324 2,830,185 #* FalconStor Software, Inc. 50,770 77,170 * FARO Technologies, Inc. 29,692 1,184,711 FEI Co. 55,099 4,381,472 Fidelity National Information Services, Inc. 297,338 15,886,769 #* Finisar Corp. 164,974 4,314,070 #* First Solar, Inc. 166,287 11,222,710 * Fiserv, Inc. 202,066 12,281,571 * FleetCor Technologies, Inc. 3,388 386,672 FLIR Systems, Inc. 202,624 6,897,321 * FormFactor, Inc. 94,433 542,990 # Forrester Research, Inc. 34,676 1,228,571 * Fortinet, Inc. 24,220 532,356 #* Freescale Semiconductor, Ltd. 102,749 2,257,396 * Frequency Electronics, Inc. 10,710 114,115 #* Fusion-io, Inc. 300 2,589 * Gartner, Inc. 38,338 2,643,022 * Genpact, Ltd. 234,177 3,948,224 #* GigOptix, Inc. 3,988 6,341 * Global Cash Access Holdings, Inc. 114,399 755,033 Global Payments, Inc. 103,620 6,924,925 # Globalscape, Inc. 11,741 29,000 * Google, Inc. Class A 34,906 18,670,521 * Google, Inc. Class C 33,306 17,540,938 * GSE Systems, Inc. 19,854 34,744 * GSI Group, Inc. 50,058 607,704 #* GSI Technology, Inc. 37,756 239,751 #* GT Advanced Technologies, Inc. 125,682 2,087,578 #* Guidance Software, Inc. 17,697 162,989 * Guidewire Software, Inc. 2,214 83,601 Hackett Group, Inc. (The) 60,552 363,312 * Harmonic, Inc. 177,547 1,248,155 Harris Corp. 87,438 6,428,442 # Heartland Payment Systems, Inc. 43,083 1,763,818 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Information Technology -- (Continued) Hewlett-Packard Co. 1,806,885 $59,735,618 Hittite Microwave Corp. 40,549 2,406,989 #* Hutchinson Technology, Inc. 31,174 86,664 IAC/InterActiveCorp 165,687 10,981,734 * ID Systems, Inc. 15,829 89,117 * Identive Group, Inc. 25,290 21,496 #* IEC Electronics Corp. 9,658 42,978 * iGATE Corp. 61,319 2,244,275 * II-VI, Inc. 99,130 1,427,472 * Ikanos Communications, Inc. 23,895 14,218 #* Imation Corp. 54,588 235,820 #* Immersion Corp. 28,268 320,559 #* Infinera Corp. 199,026 1,783,273 * Informatica Corp. 42,728 1,514,708 * Ingram Micro, Inc. Class A 270,020 7,279,739 * Innodata, Inc. 31,335 105,599 * Inphi Corp. 35,425 523,936 * Insight Enterprises, Inc. 80,314 2,097,802 * Integrated Device Technology, Inc. 244,054 2,848,110 * Integrated Silicon Solution, Inc. 47,624 688,643 Intel Corp. 3,577,014 95,470,504 * Intellicheck Mobilisa, Inc. 7,700 5,236 * Interactive Intelligence Group, Inc. 20,026 1,253,027 # InterDigital, Inc. 38,866 1,349,428 #* Internap Network Services Corp. 89,721 602,925 International Business Machines Corp. 159,105 31,259,359 #* International Rectifier Corp. 123,835 3,224,663 * Interphase Corp. 5,636 30,716 Intersil Corp. Class A 214,564 2,647,720 #* inTEST Corp. 3,806 15,719 * Intevac, Inc. 31,727 255,402 * IntraLinks Holdings, Inc. 7,168 65,587 * IntriCon Corp. 8,894 58,789 Intuit, Inc. 48,836 3,699,327 #* Inuvo, Inc. 3,679 2,833 #* InvenSense, Inc. 4,750 102,267 #* IPG Photonics Corp. 66,639 4,306,879 * Iteris, Inc. 12,775 24,783 #* Itron, Inc. 61,554 2,339,052 * Ixia 122,922 1,526,691 IXYS Corp. 47,132 508,554 # j2 Global, Inc. 85,185 3,949,177 Jabil Circuit, Inc. 354,338 6,115,874 Jack Henry & Associates, Inc. 86,922 4,794,618 * JDS Uniphase Corp. 315,326 3,995,180 * Juniper Networks, Inc. 549,843 13,575,624 * Kemet Corp. 66,332 332,323 * Key Tronic Corp. 14,320 150,074 KLA-Tencor Corp. 120,499 7,710,731 * Knowles Corp. 65,185 1,820,617 #* Kopin Corp. 98,511 321,146 * Kulicke & Soffa Industries, Inc. 127,702 1,878,496 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Information Technology -- (Continued) * KVH Industries, Inc. 26,340 $ 355,853 * Lam Research Corp. 156,502 9,016,080 * Lattice Semiconductor Corp. 190,322 1,602,511 # Leidos Holdings, Inc. 144,206 5,370,231 # Lexmark International, Inc. Class A 105,325 4,528,975 * LGL Group, Inc. (The) 2,633 12,902 * Limelight Networks, Inc. 150,081 310,668 Linear Technology Corp. 83,798 3,729,011 * Lionbridge Technologies, Inc. 94,593 556,207 * Liquidity Services, Inc. 4,258 73,450 Littelfuse, Inc. 39,389 3,566,674 #* LogMeIn, Inc. 1,762 80,083 * LoJack Corp. 43,904 248,936 LSI Corp. 266,959 2,973,923 * LTX-Credence Corp. 78,246 753,509 * M/A-COM Technology Solutions Holdings, Inc. 1,751 30,660 * Magnachip Semiconductor Corp. 60,645 849,030 * Management Network Group, Inc. 3,573 14,614 * Manhattan Associates, Inc. 134,204 4,231,452 # ManTech International Corp. Class A 38,274 1,141,713 Marchex, Inc. Class B 38,409 355,283 Marvell Technology Group, Ltd. 501,434 7,952,743 MasterCard, Inc. Class A 129,581 9,530,683 * Mattersight Corp. 5,001 31,556 * Mattson Technology, Inc. 81,264 161,715 Maxim Integrated Products, Inc. 182,408 5,917,316 MAXIMUS, Inc. 112,800 4,801,896 * MaxLinear, Inc. Class A 18,275 143,824 #* Maxwell Technologies, Inc. 44,438 669,236 #* Measurement Specialties, Inc. 27,240 1,752,894 #* Mediabistro, Inc. 942 1,074 Mentor Graphics Corp. 192,026 3,974,938 #* Mercury Systems, Inc. 46,684 651,709 # Mesa Laboratories, Inc. 6,175 529,197 Methode Electronics, Inc. 63,895 1,772,447 Micrel, Inc. 97,988 975,960 # Microchip Technology, Inc. 106,961 5,084,926 * Micron Technology, Inc. 1,086,356 28,375,619 * MICROS Systems, Inc. 59,747 3,076,970 * Microsemi Corp. 160,256 3,769,221 Microsoft Corp. 1,623,715 65,598,086 MKS Instruments, Inc. 91,193 2,567,083 MOCON, Inc. 8,521 136,166 #* ModusLink Global Solutions, Inc. 57,190 231,048 * MoneyGram International, Inc. 20,083 265,096 * Monolithic Power Systems, Inc. 59,761 2,217,133 Monotype Imaging Holdings, Inc. 58,179 1,536,507 * Monster Worldwide, Inc. 170,844 1,177,115 #* MoSys, Inc. 65,993 258,033 Motorola Solutions, Inc. 63,769 4,054,433 * Move, Inc. 61,085 652,999 # MTS Systems Corp. 24,108 1,554,243 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Information Technology -- (Continued) * Multi-Fineline Electronix, Inc. 34,615 $ 428,534 #* Nanometrics, Inc. 38,535 626,579 * NAPCO Security Technologies, Inc. 17,222 100,576 # National Instruments Corp. 36,646 1,000,802 * NCI, Inc. Class A 10,441 104,097 * NCR Corp. 134,305 4,097,646 NetApp, Inc. 240,733 8,572,502 #* NETGEAR, Inc. 61,975 2,001,792 #* Netlist, Inc. 31,529 51,077 * Netscout Systems, Inc. 69,780 2,718,629 #* NetSuite, Inc. 15,289 1,181,993 #* NeuStar, Inc. Class A 56,098 1,442,841 * Newport Corp. 64,300 1,201,124 #* Newtek Business Services, Inc. 14,356 39,623 NIC, Inc. 37,300 684,082 * Novatel Wireless, Inc. 48,740 88,219 #* Nuance Communications, Inc. 212,058 3,412,013 #* Numerex Corp. Class A 18,298 187,554 NVIDIA Corp. 406,868 7,514,852 * Oclaro, Inc. 106,869 363,355 * OmniVision Technologies, Inc. 90,827 1,773,851 * ON Semiconductor Corp. 610,478 5,744,598 #* Onvia, Inc. 1,484 7,739 * OpenTable, Inc. 3,827 257,021 * Oplink Communications, Inc. 31,981 548,154 Optical Cable Corp. 8,150 30,888 Oracle Corp. 676,733 27,664,845 * OSI Systems, Inc. 35,144 1,961,387 #* Overland Storage, Inc. 213 743 #* Pandora Media, Inc. 7,765 181,856 * PAR Technology Corp. 17,200 83,076 # Park Electrochemical Corp. 30,476 812,490 #* Parkervision, Inc. 3,828 17,456 Paychex, Inc. 136,776 5,718,605 PC Connection, Inc. 37,385 748,074 PC-Tel, Inc. 30,780 253,935 #* PCM, Inc. 14,131 147,245 * PDF Solutions, Inc. 41,437 777,772 Pegasystems, Inc. 16,098 266,744 # Perceptron, Inc. 10,412 122,862 * Perficient, Inc. 58,442 1,067,735 * Pericom Semiconductor Corp. 34,672 279,803 * Photronics, Inc. 99,710 865,483 #* Pixelworks, Inc. 17,904 91,848 #* Planar Systems, Inc. 19,314 42,491 Plantronics, Inc. 75,860 3,305,220 * Plexus Corp. 56,530 2,369,738 * PLX Technology, Inc. 60,258 349,496 * PMC-Sierra, Inc. 348,768 2,385,573 * Polycom, Inc. 280,602 3,451,405 Power Integrations, Inc. 42,415 2,003,260 * PRGX Global, Inc. 39,286 252,609 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Information Technology -- (Continued) #* Procera Networks, Inc. 10,759 $ 99,628 * Progress Software Corp. 95,302 2,045,181 * PROS Holdings, Inc. 13,580 372,092 * PTC, Inc. 152,394 5,390,176 * Pulse Electronics Corp. 18 59 QAD, Inc. Class A 13,973 266,186 QAD, Inc. Class B 5,440 84,810 * QLogic Corp. 150,920 1,747,654 QUALCOMM, Inc. 270,476 21,289,166 * Qualstar Corp. 8,094 12,222 #* Quantum Corp. 185,179 199,993 #* QuickLogic Corp. 18,388 86,975 * QuinStreet, Inc. 15,854 96,709 * Qumu Corp. 13,779 185,328 #* Rackspace Hosting, Inc. 20,042 581,619 * Radisys Corp. 40,860 130,752 #* Rambus, Inc. 194,593 2,352,629 #* RealD, Inc. 38,278 419,527 * RealNetworks, Inc. 50,719 382,421 #* RealPage, Inc. 17,625 312,844 * Red Hat, Inc. 54,458 2,649,382 #* Reis, Inc. 16,269 267,788 * Relm Wireless Corp. 4,040 13,009 #* Remark Media, Inc. 1,990 11,462 # RF Industries, Ltd. 10,694 65,340 * RF Micro Devices, Inc. 468,193 3,951,549 # Richardson Electronics, Ltd. 20,031 200,711 * Riverbed Technology, Inc. 145,957 2,838,864 #* Rofin-Sinar Technologies, Inc. 42,160 935,952 * Rogers Corp. 27,969 1,678,699 * Rosetta Stone, Inc. 37,189 442,921 * Rovi Corp. 164,204 3,660,107 #* Rubicon Technology, Inc. 33,298 337,309 #* Rudolph Technologies, Inc. 52,178 475,342 * Saba Software, Inc. 27,173 298,903 * Salesforce.com, Inc. 72,800 3,760,120 SanDisk Corp. 133,559 11,348,508 * Sanmina Corp. 141,050 2,856,262 * Sapient Corp. 226,185 3,680,030 * ScanSource, Inc. 44,393 1,705,135 # Science Applications International Corp. 74,316 2,898,324 * Seachange International, Inc. 54,135 507,245 Seagate Technology P.L.C. 292,776 15,394,162 * Selectica, Inc. 538 3,201 * Semtech Corp. 108,911 2,611,686 #* Sevcon, Inc. 1,585 17,261 * ShoreTel, Inc. 99,589 751,897 * Sigma Designs, Inc. 51,332 193,522 #* Silicon Graphics International Corp. 36,240 437,779 * Silicon Image, Inc. 133,793 750,579 * Silicon Laboratories, Inc. 72,009 3,236,805 * Skyworks Solutions, Inc. 272,631 11,191,503 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Information Technology -- (Continued) * Smith Micro Software, Inc. 43,203 $ 71,717 * SMTC Corp. 1,900 2,907 * SolarWinds, Inc. 28,047 1,130,855 Solera Holdings, Inc. 14,470 937,367 #* Sonic Foundry, Inc. 619 6,351 #* Sonus Networks, Inc. 490,866 1,605,132 * Spansion, Inc. Class A 95,073 1,695,152 #* Spark Networks, Inc. 11,997 54,346 #* Speed Commerce, Inc. 45,303 149,500 * SS&C Technologies Holdings, Inc. 110,081 4,284,353 * Stamps.com, Inc. 26,538 921,134 * StarTek, Inc. 16,081 111,763 #* Stratasys, Ltd. 51,495 4,988,321 #* SunEdison, Inc. 340,293 6,543,834 #* SunPower Corp. 188,978 6,315,645 * Super Micro Computer, Inc. 65,217 1,327,818 #* support.com, Inc. 85,790 211,901 * Sykes Enterprises, Inc. 74,807 1,480,431 Symantec Corp. 504,655 10,234,403 #* Synaptics, Inc. 56,369 3,503,333 #* Synchronoss Technologies, Inc. 64,504 1,963,502 * SYNNEX Corp. 63,020 4,246,288 * Synopsys, Inc. 98,578 3,708,504 #* Syntel, Inc. 20,935 1,681,499 #* Take-Two Interactive Software, Inc. 306,940 6,255,437 TE Connectivity, Ltd. 220,600 13,010,988 * Tech Data Corp. 65,238 4,076,723 * TeleCommunication Systems, Inc. Class A 80,413 205,053 * Telenav, Inc. 57,342 351,506 * TeleTech Holdings, Inc. 88,104 2,125,950 #* Teradata Corp. 30,060 1,366,528 #* Teradyne, Inc. 330,776 5,844,812 # Tessco Technologies, Inc. 14,125 464,571 Tessera Technologies, Inc. 89,148 1,955,016 Texas Instruments, Inc. 170,372 7,743,407 TheStreet, Inc. 30,782 79,110 * TIBCO Software, Inc. 51,980 1,020,367 * TiVo, Inc. 66,288 786,176 Total System Services, Inc. 251,901 8,002,895 Transact Technologies, Inc. 12,325 131,754 * Trimble Navigation, Ltd. 45,590 1,752,024 * Trio Tech International 3,963 12,464 * TriQuint Semiconductor, Inc. 272,056 3,857,754 * TSR, Inc. 751 2,276 * TTM Technologies, Inc. 117,114 924,029 * Tyler Technologies, Inc. 31,179 2,545,765 * Ultimate Software Group, Inc. (The) 6,001 717,900 #* Ultra Clean Holdings, Inc. 33,882 288,675 #* Ultratech, Inc. 45,332 1,206,738 * Unisys Corp. 50,672 1,234,877 United Online, Inc. 22,542 267,123 #* Unwired Planet, Inc. 83,139 189,557 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ --------- -------------- Information Technology -- (Continued) #* USA Technologies, Inc. 16,331 $ 32,989 * UTStarcom Holdings Corp. 23,800 73,542 #* Veeco Instruments, Inc. 62,256 2,301,604 * VeriFone Systems, Inc. 179,648 6,007,429 * Verint Systems, Inc. 61,907 2,709,669 #* VeriSign, Inc. 39,976 1,886,068 #* ViaSat, Inc. 69,289 4,449,047 #* Viasystems Group, Inc. 26,304 316,174 * Vicon Industries, Inc. 3,400 9,928 * Video Display Corp. 10,670 37,025 * Virtusa Corp. 54,146 1,785,194 Visa, Inc. Class A 196,429 39,798,480 # Vishay Intertechnology, Inc. 228,400 3,247,848 * Vishay Precision Group, Inc. 24,604 399,323 #* VistaPrint NV 36,517 1,441,326 #* VMware, Inc. Class A 8,843 818,066 * Wave Systems Corp. Class A 2,000 2,300 Wayside Technology Group, Inc. 5,310 85,810 #* Web.com Group, Inc. 74,635 2,292,041 #* WebMD Health Corp. 71,197 3,139,076 #* Westell Technologies, Inc. Class A 72,666 236,891 Western Digital Corp. 226,163 19,931,745 # Western Union Co. (The) 89,952 1,427,538 * WEX, Inc. 43,750 4,198,687 #* Wireless Telecom Group, Inc. 9,995 23,688 Xerox Corp. 1,425,143 17,229,979 Xilinx, Inc. 142,458 6,722,593 * XO Group, Inc. 44,911 476,955 * Yahoo!, Inc. 235,142 8,453,355 * Zebra Technologies Corp. Class A 86,754 6,024,198 #* Zillow, Inc. Class A 104 11,305 #* Zix Corp. 103,966 341,008 * Zygo Corp. 29,601 569,523 #* Zynga, Inc. Class A 1,067,775 4,324,489 -------------- Total Information Technology 1,757,627,848 -------------- Materials -- (4.7%) A Schulman, Inc. 48,680 1,748,586 * AEP Industries, Inc. 9,259 329,806 Air Products & Chemicals, Inc. 35,450 4,166,084 Airgas, Inc. 60,813 6,461,989 Albemarle Corp. 96,194 6,448,846 Alcoa, Inc. 1,148,859 15,475,131 Allegheny Technologies, Inc. 187,672 7,732,086 #* Allied Nevada Gold Corp. 17,205 58,325 #* AM Castle & Co. 37,054 455,023 AMCOL International Corp. 52,152 2,391,169 * American Biltrite, Inc. 36 15,120 # American Vanguard Corp. 49,377 879,404 Ampco-Pittsburgh Corp. 14,266 285,748 Aptargroup, Inc. 86,811 5,852,798 #* Arabian American Development Co. 13,281 145,161 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Materials -- (Continued) Ashland, Inc. 89,686 $ 8,663,668 Avery Dennison Corp. 187,741 9,135,477 # Axiall Corp. 114,922 5,355,365 Balchem Corp. 28,034 1,736,706 Ball Corp. 57,687 3,241,433 Bemis Co., Inc. 169,804 6,832,913 Cabot Corp. 106,763 6,170,901 * Calgon Carbon Corp. 94,122 1,885,264 # Carpenter Technology Corp. 89,784 5,638,435 Celanese Corp. Series A 41,738 2,563,965 * Century Aluminum Co. 155,129 2,133,024 CF Industries Holdings, Inc. 75,110 18,414,719 Chase Corp. 11,789 367,109 * Chemtura Corp. 165,714 3,695,422 * Clearwater Paper Corp. 35,564 2,183,274 # Cliffs Natural Resources, Inc. 269,008 4,766,822 #* Codexis, Inc. 13,246 22,518 * Coeur Mining, Inc. 145,280 1,258,125 Commercial Metals Co. 196,815 3,778,848 Compass Minerals International, Inc. 17,975 1,646,510 #* Contango ORE, Inc. 1,821 21,670 * Continental Materials Corp. 1,019 18,857 * Core Molding Technologies, Inc. 11,130 133,671 * Crown Holdings, Inc. 37,000 1,745,290 Cytec Industries, Inc. 73,731 7,028,039 # Deltic Timber Corp. 16,051 975,098 Domtar Corp. 59,170 5,524,111 Dow Chemical Co. (The) 627,320 31,303,268 Eagle Materials, Inc. 69,674 5,805,934 Eastman Chemical Co. 150,274 13,099,385 Ecolab, Inc. 61,063 6,389,632 EI du Pont de Nemours & Co. 135,944 9,151,750 * Ferro Corp. 169,520 2,200,370 #* Flotek Industries, Inc. 63,053 1,766,115 FMC Corp. 50,195 3,865,015 Freeport-McMoRan Copper & Gold, Inc. 601,729 20,681,426 Friedman Industries, Inc. 13,567 116,405 # FutureFuel Corp. 53,938 1,082,536 #* General Moly, Inc. 142,545 156,800 Globe Specialty Metals, Inc. 130,087 2,521,086 #* Golden Minerals Co. 19,506 13,654 * Graphic Packaging Holding Co. 540,426 5,544,771 Greif, Inc. Class A 42,501 2,303,129 # Greif, Inc. Class B 28,377 1,668,851 # Hawkins, Inc. 16,367 592,485 Haynes International, Inc. 19,905 1,055,960 HB Fuller Co. 86,344 4,000,318 * Headwaters, Inc. 95,811 1,195,721 # Hecla Mining Co. 451,137 1,384,991 #* Horsehead Holding Corp. 82,151 1,280,734 Huntsman Corp. 405,250 10,151,512 Innophos Holdings, Inc. 37,426 2,112,323 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Materials -- (Continued) # Innospec, Inc. 40,077 $ 1,725,716 International Flavors & Fragrances, Inc. 17,200 1,694,544 International Paper Co. 256,800 11,979,720 #* Intrepid Potash, Inc. 102,060 1,663,578 # Kaiser Aluminum Corp. 29,817 2,099,117 * KapStone Paper and Packaging Corp. 163,988 4,326,003 KMG Chemicals, Inc. 17,877 279,060 Koppers Holdings, Inc. 16,119 688,281 * Kraton Performance Polymers, Inc. 53,243 1,386,980 # Kronos Worldwide, Inc. 84,537 1,323,004 #* Landec Corp. 42,497 504,014 #* Louisiana-Pacific Corp. 217,242 3,560,596 * LSB Industries, Inc. 36,702 1,401,649 LyondellBasell Industries NV Class A 200,783 18,572,427 # Martin Marietta Materials, Inc. 54,831 6,817,138 Materion Corp. 35,128 1,182,057 #* McEwen Mining, Inc. 271,668 652,003 MeadWestvaco Corp. 178,594 6,977,668 #* Mercer International, Inc. 78,277 648,134 #* Metabolix, Inc. 1,182 1,217 Minerals Technologies, Inc. 60,069 3,573,505 #* Mines Management, Inc. 13,118 16,660 #* Molycorp, Inc. 13,274 63,052 Monsanto Co. 74,391 8,235,084 Mosaic Co. (The) 161,767 8,094,821 Myers Industries, Inc. 59,040 1,104,048 Neenah Paper, Inc. 28,153 1,418,067 # NewMarket Corp. 16,011 5,961,216 Newmont Mining Corp. 257,402 6,391,292 Noranda Aluminum Holding Corp. 38,891 138,063 #* Northern Technologies International Corp. 5,900 124,785 Nucor Corp. 193,946 10,036,705 # Olin Corp. 137,079 3,851,920 # Olympic Steel, Inc. 18,610 490,560 # OM Group, Inc. 51,767 1,516,255 #* OMNOVA Solutions, Inc. 74,995 683,954 * Owens-Illinois, Inc. 267,957 8,515,673 Packaging Corp. of America 121,239 8,078,155 #* Penford Corp. 22,102 278,485 PH Glatfelter Co. 63,321 1,615,952 PolyOne Corp. 153,124 5,737,556 PPG Industries, Inc. 23,299 4,511,152 Praxair, Inc. 66,243 8,648,024 Quaker Chemical Corp. 22,856 1,701,172 Reliance Steel & Aluminum Co. 116,824 8,273,476 * Resolute Forest Products, Inc. 5,403 96,390 Rock-Tenn Co. Class A 71,019 6,790,127 Rockwood Holdings, Inc. 108,630 7,718,161 # Royal Gold, Inc. 72,115 4,774,013 RPM International, Inc. 169,023 7,210,521 * RTI International Metals, Inc. 49,088 1,382,318 # Schnitzer Steel Industries, Inc. Class A 45,602 1,280,048 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ --------- ------------ Materials -- (Continued) Schweitzer-Mauduit International, Inc. 54,167 $ 2,363,848 Scotts Miracle-Gro Co. (The) Class A 37,733 2,309,637 Sealed Air Corp. 292,855 10,047,855 #* Senomyx, Inc. 26,984 220,999 Sensient Technologies Corp. 86,790 4,690,999 Sherwin-Williams Co. (The) 19,100 3,816,944 Sigma-Aldrich Corp. 22,268 2,142,404 Silgan Holdings, Inc. 38,508 1,915,773 #* Silver Bull Resources, Inc. 8,400 2,772 #* Solitario Exploration & Royalty Corp. 2,615 2,772 Sonoco Products Co. 134,425 5,656,604 # Southern Copper Corp. 25,873 779,812 Steel Dynamics, Inc. 387,917 7,087,244 Stepan Co. 36,797 2,127,971 #* Stillwater Mining Co. 199,600 3,149,688 * SunCoke Energy, Inc. 110,706 2,310,434 Synalloy Corp. 11,060 171,430 #* Texas Industries, Inc. 46,329 4,016,724 Tredegar Corp. 33,747 702,275 Tronox, Ltd. Class A 88,061 2,157,494 United States Lime & Minerals, Inc. 8,386 453,347 # United States Steel Corp. 253,794 6,603,720 * Universal Stainless & Alloy Products, Inc. 10,522 377,635 # US Silica Holdings, Inc. 47,828 2,160,391 # Valhi, Inc. 115,784 877,643 Valspar Corp. (The) 86,283 6,302,110 #* Verso Paper Corp. 33,897 92,200 Vulcan Materials Co. 138,741 8,952,957 # Walter Energy, Inc. 58,723 422,806 # Wausau Paper Corp. 84,948 1,015,978 Westlake Chemical Corp. 178,816 12,731,699 Worthington Industries, Inc. 116,045 4,270,456 * WR Grace & Co. 39,559 3,643,384 Zep, Inc. 32,478 561,545 ------------ Total Materials 586,760,347 ------------ Other -- (0.0%) (o)* Brooklyn Federal Bancorp, Inc. Escrow Shares 7,873 -- (o)* Concord Camera Corp. Escrow Shares 2,339 -- (o)* FRD Acquisition Co. Escrow Shares 4,235 -- (o)* Gerber Scientific, Inc. Escrow Shares 30,731 -- (o)* Softbrands, Inc. Escrow Shares 14,700 -- ------------ Total Other -- ------------ Real Estate Investment Trusts -- (0.0%) Parkway Properties, Inc. 29,031 547,524 ------------ Telecommunication Services -- (2.2%) #* 8x8, Inc. 64,500 625,650 #* Alaska Communications Systems Group, Inc. 1,200 2,268 # Alteva 9,033 54,650 AT&T, Inc. 3,399,091 121,347,549 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ --------- ------------ Telecommunication Services -- (Continued) # Atlantic Tele-Network, Inc. 23,407 $ 1,384,992 #* Boingo Wireless, Inc. 16,070 106,062 * Cbeyond, Inc. 45,512 450,114 # CenturyLink, Inc. 303,450 10,593,439 * Cincinnati Bell, Inc. 262,392 879,013 # Consolidated Communications Holdings, Inc. 67,471 1,344,022 # Frontier Communications Corp. 1,735,609 10,326,874 * General Communication, Inc. Class A 64,916 677,723 #* Hawaiian Telcom Holdco, Inc. 367 9,770 # HC2 Holdings, Inc. 10,474 41,163 # HickoryTech Corp. 18,507 219,678 IDT Corp. Class B 37,561 594,966 Inteliquent, Inc. 56,276 767,605 #* Iridium Communications, Inc. 104,650 698,015 * Level 3 Communications, Inc. 96,256 4,141,896 Lumos Networks Corp. 33,623 444,160 #* NII Holdings, Inc. 116,994 100,603 # NTELOS Holdings Corp. 36,307 500,674 * ORBCOMM, Inc. 70,340 441,032 #* Premiere Global Services, Inc. 87,044 1,107,200 * SBA Communications Corp. Class A 47,294 4,245,109 # Shenandoah Telecommunications Co. 38,717 1,085,237 #* Sprint Corp. 674,445 5,732,782 #* Straight Path Communications, Inc. Class B 17,280 120,960 * T-Mobile US, Inc. 148,152 4,339,372 Telephone & Data Systems, Inc. 175,505 4,771,981 * tw telecom, Inc. 122,407 3,756,671 United States Cellular Corp. 49,354 2,050,165 USA Mobility, Inc. 36,003 616,731 Verizon Communications, Inc. 1,787,444 83,527,258 * Vonage Holdings Corp. 355,357 1,364,571 # Windstream Holdings, Inc. 1,040,716 9,439,294 ------------ Total Telecommunication Services 277,909,249 ------------ Utilities -- (1.8%) AES Corp. 469,870 6,789,621 AGL Resources, Inc. 71,523 3,862,242 # ALLETE, Inc. 47,317 2,449,128 Alliant Energy Corp. 36,568 2,138,497 Ameren Corp. 65,294 2,697,295 American Electric Power Co., Inc. 70,433 3,790,000 American States Water Co. 45,570 1,383,505 American Water Works Co., Inc. 47,969 2,184,029 # Aqua America, Inc. 105,311 2,642,253 # Artesian Resources Corp. Class A 5,997 132,054 Atmos Energy Corp. 64,249 3,279,269 # Avista Corp. 69,082 2,220,986 Black Hills Corp. 52,278 3,019,054 #* Cadiz, Inc. 5,844 37,577 California Water Service Group 56,064 1,261,440 * Calpine Corp. 370,649 8,498,982 CenterPoint Energy, Inc. 99,496 2,463,521 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Utilities -- (Continued) Chesapeake Utilities Corp. 12,198 $ 771,645 Cleco Corp. 40,347 2,120,235 CMS Energy Corp. 72,197 2,188,291 Connecticut Water Service, Inc. 12,482 405,665 Consolidated Edison, Inc. 35,814 2,078,286 Consolidated Water Co., Ltd. 20,526 238,512 # Delta Natural Gas Co., Inc. 5,328 101,605 Dominion Resources, Inc. 88,695 6,433,935 DTE Energy Co. 43,043 3,363,380 Duke Energy Corp. 104,881 7,812,586 #* Dynegy, Inc. 23,958 681,605 Edison International 56,831 3,214,361 El Paso Electric Co. 45,984 1,739,115 Empire District Electric Co. (The) 50,226 1,221,496 Entergy Corp. 37,773 2,738,542 Exelon Corp. 115,961 4,062,114 FirstEnergy Corp. 51,922 1,752,368 # Gas Natural, Inc. 5,156 56,200 * Genie Energy, Ltd. Class B 32,165 260,537 Great Plains Energy, Inc. 111,190 2,983,228 # Hawaiian Electric Industries, Inc. 104,140 2,498,319 IDACORP, Inc. 59,474 3,338,870 Integrys Energy Group, Inc. 52,641 3,225,840 ITC Holdings Corp. 105,471 3,899,263 # Laclede Group, Inc. (The) 38,309 1,816,230 MDU Resources Group, Inc. 97,688 3,460,109 # MGE Energy, Inc. 39,189 1,497,804 # Middlesex Water Co. 19,687 400,237 # National Fuel Gas Co. 22,560 1,661,318 # New Jersey Resources Corp. 48,373 2,405,589 NextEra Energy, Inc. 64,931 6,483,360 NiSource, Inc. 85,928 3,120,905 Northeast Utilities 86,388 4,082,697 # Northwest Natural Gas Co. 28,392 1,256,914 # NorthWestern Corp. 45,053 2,179,664 NRG Energy, Inc. 366,437 11,989,819 OGE Energy Corp. 67,992 2,538,141 ONE Gas, Inc. 38,636 1,413,305 # Ormat Technologies, Inc. 65,592 1,749,995 # Otter Tail Corp. 41,004 1,201,417 # Pepco Holdings, Inc. 118,685 3,176,011 PG&E Corp. 57,765 2,632,929 Piedmont Natural Gas Co., Inc. 54,488 1,950,126 Pinnacle West Capital Corp. 23,500 1,314,825 # PNM Resources, Inc. 93,370 2,584,482 # Portland General Electric Co. 75,239 2,518,249 PPL Corp. 90,828 3,028,206 Public Service Enterprise Group, Inc. 207,024 8,481,773 Questar Corp. 212,969 5,170,887 # RGC Resources, Inc. 2,942 56,192 # SCANA Corp. 25,601 1,374,262 Sempra Energy 35,520 3,502,627 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ---------- --------------- Utilities -- (Continued) SJW Corp. 26,109 $ 710,948 # South Jersey Industries, Inc. 35,886 2,061,651 Southern Co. (The) 118,259 5,419,810 Southwest Gas Corp. 54,224 2,982,862 # TECO Energy, Inc. 125,629 2,256,297 UGI Corp. 200,351 9,354,388 # UIL Holdings Corp. 56,770 2,085,162 # Unitil Corp. 17,154 569,513 # UNS Energy Corp. 46,490 2,792,189 Vectren Corp. 50,387 2,044,201 # Westar Energy, Inc. 83,807 3,006,995 WGL Holdings, Inc. 58,787 2,339,135 # Wisconsin Energy Corp. 50,830 2,464,238 Xcel Energy, Inc. 113,995 3,633,021 # York Water Co. 14,530 290,745 --------------- Total Utilities 231,094,679 --------------- TOTAL COMMON STOCKS 11,441,267,998 --------------- PREFERRED STOCKS -- (0.0%) Other -- (0.0%) (o)* Enron TOPRS Escrow Shares 1,977 -- --------------- RIGHTS/WARRANTS -- (0.0%) (o)* Capital Bank Corp. Contingent Value Rights 7,309 -- (o)* Community Health Systems, Inc. Rights 01/04/16 396,076 23,804 (o)* Leap Wireless International, Inc. Contingent Value Rights 89,942 226,654 (o)* LGL Group, Inc. (The) Warrants 08/06/18 13,165 790 (o)#* Magnum Hunter Resources Corp. Warrants 04/15/16 22,231 -- (o)* PhotoMedex, Inc. Contingent Value Warrants 12/13/14 888 -- (o)* Tejon Ranch Co. Warrants 08/31/16 4,892 16,633 (o)* U.S. Concrete, Inc. Warrants Class A 08/31/17 813 4,918 (o)* U.S. Concrete, Inc. Warrants Class B 08/31/17 813 3,252 --------------- TOTAL RIGHTS/WARRANTS 276,051 --------------- TEMPORARY CASH INVESTMENTS -- (0.5%) State Street Institutional Liquid Reserves, 0.074% 60,382,618 60,382,618 --------------- SHARES/ FACE AMOUNT (000) ---------- SECURITIES LENDING COLLATERAL -- (8.5%) (S)@ DFA Short Term Investment Fund 92,686,728 1,072,385,449 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $8,675,132,024) $12,574,312,116 =============== U.S. CORE EQUITY 2 PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, 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 $ 1,498,711,426 $ 53,238 -- $ 1,498,764,664 Consumer Staples 711,365,785 -- -- 711,365,785 Energy 1,412,995,993 -- -- 1,412,995,993 Financials 2,123,698,674 6,464 -- 2,123,705,138 Health Care 1,229,592,912 53,986 -- 1,229,646,898 Industrials 1,610,849,230 643 -- 1,610,849,873 Information Technology 1,757,627,848 -- -- 1,757,627,848 Materials 586,760,347 -- -- 586,760,347 Other -- -- -- -- Real Estate Investment Trusts 547,524 -- -- 547,524 Telecommunication Services 277,909,249 -- -- 277,909,249 Utilities 231,094,679 -- -- 231,094,679 Preferred Stocks Other -- -- -- -- Rights/Warrants -- 276,051 -- 276,051 Temporary Cash Investments 60,382,618 -- -- 60,382,618 Securities Lending Collateral -- 1,072,385,449 -- 1,072,385,449 --------------- -------------- -- --------------- TOTAL $11,501,536,285 $1,072,775,831 -- $12,574,312,116 =============== ============== == =============== U.S. VECTOR EQUITY PORTFOLIO SCHEDULE OF INVESTMENTS APRIL 30, 2014 (UNAUDITED) SHARES VALUE+ ------ ---------- COMMON STOCKS -- (88.2%) Consumer Discretionary -- (11.9%) * 1-800-Flowers.com, Inc. Class A 33,345 $ 181,730 # Aaron's, Inc. 84,876 2,501,296 # Abercrombie & Fitch Co. Class A 10,224 375,834 Advance Auto Parts, Inc. 5,300 642,837 #* Aeropostale, Inc. 25,947 128,957 AH Belo Corp. Class A 21,443 246,809 * Ambassadors Group, Inc. 17,553 74,425 #* AMC Networks, Inc. Class A 5,402 354,749 AMCON Distributing Co. 438 35,241 #* America's Car-Mart, Inc. 10,824 391,179 * American Axle & Manufacturing Holdings, Inc. 7,577 133,734 # American Eagle Outfitters, Inc. 65,699 759,480 #* American Public Education, Inc. 12,481 431,843 * ANN, Inc. 22,590 885,302 * Apollo Education Group, Inc. Class A 38,160 1,101,298 # Arctic Cat, Inc. 12,690 518,894 Ark Restaurants Corp. 3,403 72,246 * Asbury Automotive Group, Inc. 29,653 1,830,776 * Ascena Retail Group, Inc. 74,986 1,289,759 #* Ascent Capital Group, Inc. Class A 13,641 938,092 # Autoliv, Inc. 982 100,144 * AutoNation, Inc. 18,588 984,978 * Ballantyne Strong, Inc. 13,009 58,801 #* Bally Technologies, Inc. 16,084 1,047,229 #* Barnes & Noble, Inc. 68,629 1,125,516 Bassett Furniture Industries, Inc. 10,687 147,374 Beasley Broadcasting Group, Inc. Class A 6,377 49,103 * Beazer Homes USA, Inc. 16,707 316,765 # bebe stores, Inc. 87,536 442,057 * Bed Bath & Beyond, Inc. 4,900 304,437 Best Buy Co., Inc. 25,712 666,712 # Big 5 Sporting Goods Corp. 26,198 319,878 #* Big Lots, Inc. 16,633 657,003 * Biglari Holdings, Inc. 2,128 912,955 #* BJ's Restaurants, Inc. 23,434 669,041 #* Blue Nile, Inc. 1,857 64,494 # Blyth, Inc. 16,340 153,106 Bob Evans Farms, Inc. 29,333 1,374,838 #* Body Central Corp. 7,403 7,699 # Bon-Ton Stores, Inc. (The) 16,943 186,373 * Books-A-Million, Inc. 13,630 32,167 BorgWarner, Inc. 14,886 925,016 # Bowl America, Inc. Class A 2,839 41,804 #* Boyd Gaming Corp. 88,809 1,049,722 * Bravo Brio Restaurant Group, Inc. 8,708 130,359 #* Bridgepoint Education, Inc. 32,150 509,577 Brinker International, Inc. 13,098 643,636 Brown Shoe Co., Inc. 47,280 1,115,335 Brunswick Corp. 58,855 2,365,382 # Buckle, Inc. (The) 9,525 447,580 * Buffalo Wild Wings, Inc. 7,290 1,065,215 U.S. VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Consumer Discretionary -- (Continued) * Build-A-Bear Workshop, Inc. 18,741 $ 210,274 #* Cabela's, Inc. 76,421 5,013,982 # Cablevision Systems Corp. Class A 16,209 270,690 #* Cache, Inc. 17,203 45,760 #* Caesars Acquisition Co. Class A 27,226 343,048 #* Caesars Entertainment Corp. 27,226 502,864 # Callaway Golf Co. 80,530 701,416 * Cambium Learning Group, Inc. 42,184 94,492 * Canterbury Park Holding Corp. 4,963 55,834 Capella Education Co. 13,153 767,609 * Career Education Corp. 81,077 585,376 #* CarMax, Inc. 26,062 1,140,994 * Carmike Cinemas, Inc. 22,939 680,371 Carnival Corp. 54,494 2,142,159 Carriage Services, Inc. 20,707 333,176 #* Carrols Restaurant Group, Inc. 21,299 142,916 Carter's, Inc. 28,571 2,104,540 Cato Corp. (The) Class A 22,224 633,162 * Cavco Industries, Inc. 8,129 633,656 CBS Corp. Class A 5,310 308,776 CBS Corp. Class B 99,468 5,745,272 #* Central European Media Enterprises, Ltd. Class A 32,474 88,979 #* Charles & Colvard, Ltd. 21,647 46,974 * Charter Communications, Inc. Class A 317 42,963 Cheesecake Factory, Inc. (The) 37,361 1,677,135 Cherokee, Inc. 3,009 41,735 Chico's FAS, Inc. 29,992 476,273 # Children's Place Retail Stores, Inc. (The) 22,989 1,103,472 * Chipotle Mexican Grill, Inc. 3,000 1,495,500 # Choice Hotels International, Inc. 6,967 307,802 * Christopher & Banks Corp. 33,498 209,028 Churchill Downs, Inc. 17,733 1,557,489 Cinemark Holdings, Inc. 48,992 1,451,143 * Citi Trends, Inc. 16,558 281,320 Clear Channel Outdoor Holdings, Inc. Class A 32,196 258,212 * Coast Distribution System, Inc. (The) 1,632 5,222 * Cobra Electronics Corp. 7,586 25,034 # Collectors Universe, Inc. 4,583 107,609 # Columbia Sportswear Co. 27,910 2,399,702 Comcast Corp. Class A 336,814 17,433,493 Comcast Corp. Special Class A 83,059 4,238,501 #* Conn's, Inc. 35,937 1,589,493 # Cooper Tire & Rubber Co. 53,922 1,356,138 Core-Mark Holding Co., Inc. 12,663 1,019,878 #* Corinthian Colleges, Inc. 96,264 110,704 Cracker Barrel Old Country Store, Inc. 11,055 1,047,351 * Crocs, Inc. 61,619 932,295 #* Crown Media Holdings, Inc. Class A 18,563 66,456 CSS Industries, Inc. 4,800 115,056 # CST Brands, Inc. 23,919 780,477 CTC Media, Inc. 102,480 888,502 Culp, Inc. 12,017 216,907 U.S. VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Consumer Discretionary -- (Continued) * Cumulus Media, Inc. Class A 90,920 $ 582,797 # Dana Holding Corp. 67,200 1,422,624 # Darden Restaurants, Inc. 5,017 249,395 #* Deckers Outdoor Corp. 9,729 768,105 #* dELiA*s, Inc. 18,616 15,731 * Delta Apparel, Inc. 11,681 177,902 Destination Maternity Corp. 13,230 326,252 #* Destination XL Group, Inc. 61,304 331,042 DeVry Education Group, Inc. 59,686 2,687,661 * DGSE Cos., Inc. 3,503 9,388 Dick's Sporting Goods, Inc. 8,194 431,496 Dillard's, Inc. Class A 46,706 4,573,919 DineEquity, Inc. 20,183 1,530,073 * DIRECTV 22,304 1,730,790 * Discovery Communications, Inc. Class A 5,091 386,407 * Discovery Communications, Inc. Class B 1,000 75,120 * Discovery Communications, Inc. Class C 4,083 286,341 * Dixie Group, Inc. (The) 9,314 140,362 * Dollar General Corp. 680 38,379 * Dollar Tree, Inc. 13,600 708,152 Domino's Pizza, Inc. 14,558 1,082,824 #* Dorman Products, Inc. 32,268 1,857,023 * Dover Downs Gaming & Entertainment, Inc. 15,417 22,355 # DR Horton, Inc. 155,647 3,467,815 #* DreamWorks Animation SKG, Inc. Class A 73,137 1,757,482 Drew Industries, Inc. 19,924 1,002,576 DSW, Inc. Class A 22,976 767,169 #* Education Management Corp. 47,218 187,455 # Educational Development Corp. 3,287 12,754 Einstein Noah Restaurant Group, Inc. 13,719 210,724 * Emerson Radio Corp. 22,180 45,025 * Emmis Communications Corp. Class A 5,300 17,119 #* Empire Resorts, Inc. 3,284 22,233 #* Entercom Communications Corp. Class A 34,348 370,958 Entravision Communications Corp. Class A 40,982 217,614 Escalade, Inc. 12,512 184,177 # Ethan Allen Interiors, Inc. 27,900 677,412 #* Ever-Glory International Group, Inc. 2,000 14,800 #* EW Scripps Co. Class A 51,043 874,367 Expedia, Inc. 14,450 1,025,805 * Express, Inc. 8,782 127,954 (o)#* FAB Universal Corp. 6,407 14,755 Family Dollar Stores, Inc. 8,607 505,661 * Famous Dave's Of America, Inc. 6,706 177,642 #* Federal-Mogul Holdings Corp. 72,049 1,240,684 * Fiesta Restaurant Group, Inc. 12,924 473,148 Finish Line, Inc. (The) Class A 52,001 1,431,588 * Flanigan's Enterprises, Inc. 300 4,185 Flexsteel Industries, Inc. 5,993 205,680 Foot Locker, Inc. 105,891 4,927,108 Ford Motor Co. 103,911 1,678,163 * Fossil Group, Inc. 12,801 1,365,227 U.S. VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Consumer Discretionary -- (Continued) # Fred's, Inc. Class A 41,518 $ 756,458 Frisch's Restaurants, Inc. 5,689 134,716 #* FTD Cos., Inc. 21,397 649,185 #* Fuel Systems Solutions, Inc. 22,489 235,685 * Full House Resorts, Inc. 15,960 31,840 #* G-III Apparel Group, Ltd. 19,582 1,405,400 * Gaiam, Inc. Class A 17,607 129,940 # GameStop Corp. Class A 124,160 4,926,669 * Gaming Partners International Corp. 9,358 79,075 Gannett Co., Inc. 166,926 4,535,379 Gap, Inc. (The) 23,608 927,794 # Garmin, Ltd. 10,038 573,170 #* Geeknet, Inc. 1,892 28,002 General Motors Co. 105,392 3,633,916 #* Genesco, Inc. 24,296 1,855,485 Gentex Corp. 14,364 411,816 * Gentherm, Inc. 32,496 1,181,230 # Genuine Parts Co. 10,032 873,988 GNC Holdings, Inc. Class A 1,500 67,500 Goodyear Tire & Rubber Co. (The) 21,200 534,240 # Gordmans Stores, Inc. 4,385 19,689 Graham Holdings Co. Class B 6,442 4,324,064 * Grand Canyon Education, Inc. 8,168 352,204 #* Gray Television, Inc. 61,266 689,242 #* Gray Television, Inc. Class A 2,300 21,286 # Group 1 Automotive, Inc. 28,788 2,076,478 Guess?, Inc. 17,071 459,381 H&R Block, Inc. 12,252 348,202 * Hallwood Group, Inc. (The) 880 10,789 Hanesbrands, Inc. 7,900 648,511 Harley-Davidson, Inc. 25,800 1,907,652 Harman International Industries, Inc. 12,590 1,379,990 # Harte-Hanks, Inc. 64,054 514,994 # Hasbro, Inc. 9,200 508,392 * Hastings Entertainment, Inc. 1,695 5,000 Haverty Furniture Cos., Inc. 24,284 620,213 Haverty Furniture Cos., Inc. Class A 1,796 45,942 * Helen of Troy, Ltd. 36,024 2,258,705 #* hhgregg, Inc. 34,055 293,554 #* Hibbett Sports, Inc. 10,010 539,038 Hillenbrand, Inc. 32,488 987,635 * Hollywood Media Corp. 11,210 14,012 Home Depot, Inc. (The) 14,454 1,149,238 * HomeAway, Inc. 6,300 205,506 # Hooker Furniture Corp. 10,935 151,450 HSN, Inc. 9,953 577,672 * Hyatt Hotels Corp. Class A 6,444 362,668 #* Iconix Brand Group, Inc. 78,132 3,320,610 International Game Technology 1,600 20,080 International Speedway Corp. Class A 33,740 1,060,786 Interpublic Group of Cos., Inc. (The) 44,149 769,076 Interval Leisure Group, Inc. 27,192 700,738 U.S. VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Consumer Discretionary -- (Continued) #* iRobot Corp. 11,711 $ 392,318 * Isle of Capri Casinos, Inc. 36,851 250,587 #* ITT Educational Services, Inc. 2,258 60,966 * Jack in the Box, Inc. 28,568 1,529,531 * Jaclyn, Inc. 400 2,400 # JAKKS Pacific, Inc. 5,955 52,166 * Jarden Corp. 117,655 6,723,983 #* JC Penney Co., Inc. 93,481 796,458 John Wiley & Sons, Inc. Class A 8,584 493,237 John Wiley & Sons, Inc. Class B 2,087 122,684 Johnson Controls, Inc. 40,164 1,813,003 Johnson Outdoors, Inc. Class A 14,083 294,757 * Jos A Bank Clothiers, Inc. 24,664 1,592,061 * Journal Communications, Inc. Class A 51,347 411,803 #* K12, Inc. 17,693 418,970 * Kate Spade & Co. 10,975 381,601 # KB Home 74,081 1,223,077 * Kirkland's, Inc. 18,225 311,830 Kohl's Corp. 28,272 1,549,023 * Kona Grill, Inc. 7,282 170,763 Koss Corp. 4,404 20,346 #* Krispy Kreme Doughnuts, Inc. 59,310 1,040,297 L Brands, Inc. 6,200 336,040 La-Z-Boy, Inc. 53,633 1,299,528 * Lakeland Industries, Inc. 5,597 39,739 * Lamar Advertising Co. Class A 10,244 511,380 #* Lands' End, Inc. 12,242 338,491 Las Vegas Sands Corp. 19,359 1,531,878 #* LeapFrog Enterprises, Inc. 47,530 325,580 Lear Corp. 7,593 630,675 * Learning Tree International, Inc. 10,875 33,169 # Leggett & Platt, Inc. 32,695 1,074,358 # Lennar Corp. Class A 48,243 1,861,697 Lennar Corp. Class B 17,015 553,328 * Libbey, Inc. 8,069 215,200 * Liberty Global P.L.C. Class A 4,816 191,773 * Liberty Global P.L.C. Class B 104 4,155 * Liberty Global P.L.C. Class C 27,268 1,047,909 * Liberty Interactive Corp. Class A 139,222 4,045,791 * Liberty Interactive Corp. Class B 4,371 131,676 * Liberty Media Corp. Class A 35,948 4,662,815 * Liberty Media Corp. Class B 936 117,417 * Liberty Ventures Series A 34,616 2,009,113 * Liberty Ventures Series B 436 25,983 #* Life Time Fitness, Inc. 43,936 2,108,928 Lifetime Brands, Inc. 14,009 267,572 * LIN Media LLC Class A 27,561 645,754 # Lincoln Educational Services Corp. 21,067 85,953 Lithia Motors, Inc. Class A 23,275 1,728,867 * Live Nation Entertainment, Inc. 208,833 4,360,433 * LKQ Corp. 62,498 1,819,942 * Loral Space & Communications, Inc. 11,149 802,616 U.S. VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Consumer Discretionary -- (Continued) Lowe's Cos., Inc. 66,542 $3,054,943 * Luby's, Inc. 28,310 153,440 #* Lumber Liquidators Holdings, Inc. 5,098 444,342 * M/I Homes, Inc. 22,045 490,942 Macy's, Inc. 51,241 2,942,771 * Madison Square Garden Co. (The) Class A 43,717 2,386,948 Marcus Corp. (The) 21,011 351,514 Marine Products Corp. 30,157 214,115 * MarineMax, Inc. 27,409 440,189 * Marriott Vacations Worldwide Corp. 16,391 892,982 * Martha Stewart Living Omnimedia, Inc. Class A 40,187 157,131 Mattel, Inc. 19,217 753,595 # Matthews International Corp. Class A 24,250 978,487 #* McClatchy Co. (The) Class A 64,577 353,882 McDonald's Corp. 2,590 262,574 # MDC Holdings, Inc. 47,401 1,308,268 #* Media General, Inc. Class A 21,300 326,316 Men's Wearhouse, Inc. (The) 55,918 2,649,395 Meredith Corp. 34,849 1,535,795 * Meritage Homes Corp. 35,271 1,360,755 * MGM Resorts International 270,134 6,815,481 * Modine Manufacturing Co. 56,739 935,059 * Mohawk Industries, Inc. 18,647 2,469,049 * Monarch Casino & Resort, Inc. 18,597 298,296 # Monro Muffler Brake, Inc. 20,712 1,168,157 # Morningstar, Inc. 3,175 232,823 * Motorcar Parts of America, Inc. 15,959 437,915 Movado Group, Inc. 20,105 789,724 * MTR Gaming Group, Inc. 24,911 126,050 * Multimedia Games Holding Co., Inc. 19,081 557,165 * Murphy USA, Inc. 26,834 1,140,445 NACCO Industries, Inc. Class A 7,518 402,890 #* Nathan's Famous, Inc. 5,206 256,552 National American University Holdings, Inc. 579 2,073 # National CineMedia, Inc. 15,788 239,820 * Nautilus, Inc. 29,587 246,460 * Netflix, Inc. 2,866 922,967 #* Nevada Gold & Casinos, Inc. 1,000 1,150 * New York & Co., Inc. 62,415 261,519 # New York Times Co. (The) Class A 122,664 1,972,437 Newell Rubbermaid, Inc. 18,588 559,685 * News Corp. Class A 91,336 1,554,539 #* News Corp. Class B 7,250 119,915 # Nexstar Broadcasting Group, Inc. Class A 9,086 362,077 NIKE, Inc. Class B 2,400 175,080 * Nobility Homes, Inc. 2,463 27,093 Nordstrom, Inc. 700 42,896 Nutrisystem, Inc. 15,281 229,215 * NVR, Inc. 1,000 1,077,000 * O'Reilly Automotive, Inc. 18,013 2,680,154 * Office Depot, Inc. 550,852 2,252,985 Omnicom Group, Inc. 6,244 422,594 U.S. VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Consumer Discretionary -- (Continued) #* Orbitz Worldwide, Inc. 64,472 $ 473,869 * Orient-Express Hotels, Ltd. Class A 113,496 1,486,798 #* Outerwall, Inc. 13,260 919,581 * Overstock.com, Inc. 8,272 132,517 Oxford Industries, Inc. 14,497 956,947 * P&F Industries, Inc. Class A 2,014 16,515 #* Pacific Sunwear of California, Inc. 60,704 174,828 #* Panera Bread Co. Class A 5,200 795,444 Papa John's International, Inc. 15,276 670,005 * Penn National Gaming, Inc. 89,283 996,398 Penske Automotive Group, Inc. 78,768 3,612,300 * Pep Boys-Manny, Moe & Jack (The) 59,363 606,690 * Perfumania Holdings, Inc. 3,665 24,299 * Perry Ellis International, Inc. 17,492 264,129 # PetMed Express, Inc. 19,102 250,045 # PetSmart, Inc. 13,036 882,276 # Pier 1 Imports, Inc. 68,065 1,242,867 #* Pinnacle Entertainment, Inc. 52,422 1,219,860 * Point.360 2,600 936 Polaris Industries, Inc. 9,939 1,335,106 Pool Corp. 14,058 829,703 * Popeyes Louisiana Kitchen, Inc. 9,550 363,855 * Priceline Group, Inc. (The) 1,900 2,199,725 PulteGroup, Inc. 226,172 4,159,303 PVH Corp. 16,764 2,105,055 * QEP Co., Inc. 1,500 27,675 #* Quiksilver, Inc. 178,954 1,148,885 #* Radio One, Inc. Class D 39,577 178,888 #* RadioShack Corp. 89,952 128,631 Ralph Lauren Corp. 2,157 326,505 #* Reading International, Inc. Class A 11,759 83,254 * Red Lion Hotels Corp. 20,441 117,536 * Red Robin Gourmet Burgers, Inc. 16,700 1,135,266 # Regal Entertainment Group Class A 16,249 305,481 # Regis Corp. 66,496 873,757 # Rent-A-Center, Inc. 63,940 1,867,687 #* Rentrak Corp. 4,777 272,241 RG Barry Corp. 18,234 333,318 #* Rick's Cabaret International, Inc. 11,061 111,716 Rocky Brands, Inc. 7,186 105,203 Ross Stores, Inc. 11,816 804,433 Royal Caribbean Cruises, Ltd. 124,720 6,626,374 #* Ruby Tuesday, Inc. 69,513 535,945 Ruth's Hospitality Group, Inc. 34,543 434,896 # Ryland Group, Inc. (The) 42,610 1,635,798 # Salem Communications Corp. Class A 18,285 161,091 * Sally Beauty Holdings, Inc. 17,750 486,527 # Scholastic Corp. 26,776 881,198 * Scientific Games Corp. Class A 87,041 1,042,751 Scripps Networks Interactive, Inc. Class A 5,300 397,871 #* Sears Holdings Corp. 40,701 1,783,111 #* Select Comfort Corp. 14,500 266,800 U.S. VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Consumer Discretionary -- (Continued) Service Corp. International 200,775 $3,768,547 * Shiloh Industries, Inc. 19,732 389,510 Shoe Carnival, Inc. 23,096 527,513 #* Shutterfly, Inc. 29,705 1,215,826 Signet Jewelers, Ltd. 14,985 1,518,280 # Sinclair Broadcast Group, Inc. Class A 30,200 807,246 #* Sirius XM Holdings, Inc. 124,278 396,447 Six Flags Entertainment Corp. 23,098 927,154 * Sizmek, Inc. 29,997 287,371 * Skechers U.S.A., Inc. Class A 43,294 1,774,621 * Skullcandy, Inc. 8,064 62,093 * Skyline Corp. 8,700 44,370 Sonic Automotive, Inc. Class A 43,000 1,046,620 #* Sonic Corp. 20,443 389,235 # Sotheby's 14,866 625,264 #* Spanish Broadcasting System, Inc. Class A 1,489 9,440 Spartan Motors, Inc. 36,992 196,428 # Speedway Motorsports, Inc. 47,584 865,553 * Sport Chalet, Inc. Class A 5,873 6,636 # Stage Stores, Inc. 35,337 677,764 Standard Motor Products, Inc. 26,988 1,025,274 * Standard Pacific Corp. 118,490 946,735 * Stanley Furniture Co., Inc. 13,731 40,095 # Staples, Inc. 71,189 889,862 Starwood Hotels & Resorts Worldwide, Inc. 12,073 925,395 * Starz 35,948 1,160,042 * Starz Class B 936 30,242 # Stein Mart, Inc. 46,595 582,437 * Steiner Leisure, Ltd. 11,014 475,474 * Steven Madden, Ltd. 27,921 994,267 * Stoneridge, Inc. 34,684 370,772 Strattec Security Corp. 4,591 306,725 * Strayer Education, Inc. 2,934 125,076 # Sturm Ruger & Co., Inc. 16,895 1,087,193 Superior Industries International, Inc. 29,581 625,342 Superior Uniform Group, Inc. 9,577 155,722 * Systemax, Inc. 34,554 597,439 * Tandy Leather Factory, Inc. 6,870 67,257 Target Corp. 20,714 1,279,089 #* Tempur Sealy International, Inc. 7,978 400,336 * Tenneco, Inc. 11,900 712,453 #* Tesla Motors, Inc. 402 83,572 Texas Roadhouse, Inc. 52,649 1,302,536 # Thor Industries, Inc. 22,804 1,388,079 Tiffany & Co. 8,300 726,167 Time Warner Cable, Inc. 29,552 4,180,426 Time Warner, Inc. 97,900 6,506,434 TJX Cos., Inc. (The) 10,244 595,996 * Toll Brothers, Inc. 120,676 4,131,946 * Tower International, Inc. 1,597 44,413 Town Sports International Holdings, Inc. 11,460 80,335 Tractor Supply Co. 40,000 2,689,600 U.S. VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ------------ Consumer Discretionary -- (Continued) # Trans World Entertainment Corp. 1,500 $ 4,905 #* Trinity Place Holdings, Inc. 9,588 60,884 #* TripAdvisor, Inc. 14,450 1,166,693 * TRW Automotive Holdings Corp. 14,500 1,165,075 #* Tuesday Morning Corp. 44,074 616,154 # Tupperware Brands Corp. 5,800 492,478 Twenty-First Century Fox, Inc. Class A 118,700 3,800,774 Twenty-First Century Fox, Inc. Class B 29,000 908,280 * Ulta Salon Cosmetics & Fragrance, Inc. 13,373 1,172,946 #* Under Armour, Inc. Class A 11,332 554,021 * Unifi, Inc. 20,364 450,859 * Universal Electronics, Inc. 18,037 673,682 Universal Technical Institute, Inc. 22,150 266,021 #* UQM Technologies, Inc. 24,036 53,120 * Urban Outfitters, Inc. 5,900 210,364 * US Auto Parts Network, Inc. 26,854 83,784 Vail Resorts, Inc. 34,827 2,411,073 # Value Line, Inc. 3,839 55,973 * Valuevision Media, Inc. Class A 44,612 208,784 VF Corp. 13,052 797,347 Viacom, Inc. Class A 1,129 95,931 Viacom, Inc. Class B 15,300 1,300,194 * Visteon Corp. 10,121 878,604 #* Vitacost.com, Inc. 2,367 15,788 #* Vitamin Shoppe, Inc. 14,085 674,390 * VOXX International Corp. 21,635 254,211 Walking Co. Holdings, Inc. (The) 272 1,870 Walt Disney Co. (The) 118,253 9,382,193 # Weight Watchers International, Inc. 6,975 138,105 * Wells-Gardner Electronics Corp. 5,523 9,444 # Wendy's Co. (The) 432,368 3,592,978 * West Marine, Inc. 26,719 285,893 #* Wet Seal, Inc. (The) Class A 97,453 110,122 Weyco Group, Inc. 9,446 237,000 Whirlpool Corp. 18,667 2,863,144 Williams-Sonoma, Inc. 10,506 659,987 Winmark Corp. 2,876 218,173 #* Winnebago Industries, Inc. 27,360 653,904 # Wolverine World Wide, Inc. 33,060 928,986 # World Wrestling Entertainment, Inc. Class A 12,783 249,268 Wyndham Worldwide Corp. 32,378 2,309,846 Wynn Resorts, Ltd. 2,100 428,169 * Zagg, Inc. 13,860 60,291 #* Zale Corp. 41,647 890,829 #* Zumiez, Inc. 20,966 512,619 ------------ Total Consumer Discretionary 428,448,654 ------------ Consumer Staples -- (4.3%) # Alico, Inc. 7,844 273,912 * Alliance One International, Inc. 93,600 240,552 Altria Group, Inc. 13,203 529,572 Andersons, Inc. (The) 31,248 1,946,438 U.S. VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Consumer Staples -- (Continued) Archer-Daniels-Midland Co. 107,064 $4,681,909 B&G Foods, Inc. 41,320 1,355,296 Beam, Inc. 76,533 6,388,209 #* Boston Beer Co., Inc. (The) Class A 1,222 300,661 #* Boulder Brands, Inc. 66,282 978,322 * Bridgford Foods Corp. 3,414 33,816 Brown-Forman Corp. Class A 3,808 339,407 Brown-Forman Corp. Class B 2,461 220,801 Bunge, Ltd. 80,340 6,399,081 # Cal-Maine Foods, Inc. 20,124 1,199,994 Calavo Growers, Inc. 10,058 312,703 # Casey's General Stores, Inc. 26,648 1,829,652 CCA Industries, Inc. 4,700 14,241 * Central Garden and Pet Co. 20,939 170,234 * Central Garden and Pet Co. Class A 39,325 325,218 * Chiquita Brands International, Inc. 66,569 764,212 Church & Dwight Co., Inc. 10,015 691,135 # Coca-Cola Bottling Co. Consolidated 7,453 612,860 Coca-Cola Enterprises, Inc. 26,960 1,225,062 #* Coffee Holding Co., Inc. 1,900 13,604 ConAgra Foods, Inc. 21,650 660,541 * Constellation Brands, Inc. Class A 47,901 3,824,416 * Constellation Brands, Inc. Class B 2,058 162,397 Costco Wholesale Corp. 12,989 1,502,568 #* Craft Brew Alliance, Inc. 19,964 298,861 #* Crimson Wine Group, Ltd. 10,667 94,830 CVS Caremark Corp. 113,204 8,232,195 * Darling International, Inc. 117,227 2,345,712 # Dean Foods Co. 78,357 1,241,175 #* Diamond Foods, Inc. 13,157 402,209 Dr Pepper Snapple Group, Inc. 11,225 622,089 * Elizabeth Arden, Inc. 22,890 840,979 Energizer Holdings, Inc. 6,756 754,578 #* Farmer Bros. Co. 17,123 337,494 Flowers Foods, Inc. 36,564 750,293 # Fresh Del Monte Produce, Inc. 66,154 1,911,189 #* Fresh Market, Inc. (The) 1,900 70,490 General Mills, Inc. 16,200 858,924 Golden Enterprises, Inc. 5,537 24,363 Griffin Land & Nurseries, Inc. 4,473 130,612 #* Hain Celestial Group, Inc. (The) 44,460 3,824,449 #* Harbinger Group, Inc. 8,293 96,696 # Herbalife, Ltd. 7,400 443,852 Hillshire Brands Co. (The) 7,100 253,115 Hormel Foods Corp. 18,128 864,524 * IGI Laboratories, Inc. 1,128 5,674 Ingles Markets, Inc. Class A 14,627 336,275 Ingredion, Inc. 22,605 1,592,522 Inter Parfums, Inc. 31,754 1,161,879 * Inventure Foods, Inc. 771 9,267 J&J Snack Foods Corp. 14,421 1,349,806 JM Smucker Co. (The) 27,782 2,685,964 U.S. VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Consumer Staples -- (Continued) John B. Sanfilippo & Son, Inc. 8,141 $ 187,650 # Keurig Green Mountain, Inc. 9,300 871,224 Kraft Foods Group, Inc. 39,110 2,223,795 Kroger Co. (The) 17,415 801,787 # Lancaster Colony Corp. 10,395 986,278 # Lifeway Foods, Inc. 4,839 72,633 # Limoneira Co. 88 2,021 * Mannatech, Inc. 2,569 41,798 McCormick & Co., Inc.(579780107) 1,064 75,927 McCormick & Co., Inc.(579780206) 8,162 581,134 #* Medifast, Inc. 15,157 479,719 MGP Ingredients, Inc. 17,301 101,038 Molson Coors Brewing Co. Class A 534 31,987 Molson Coors Brewing Co. Class B 86,345 5,178,110 Mondelez International, Inc. Class A 234,487 8,359,462 * Monster Beverage Corp. 2,400 160,704 #* National Beverage Corp. 27,000 520,560 * Natural Alternatives International, Inc. 4,748 27,064 Nu Skin Enterprises, Inc. Class A 18,507 1,610,109 * Nutraceutical International Corp. 11,692 291,365 # Oil-Dri Corp. of America 6,773 226,963 * Omega Protein Corp. 22,324 253,601 # Orchids Paper Products Co. 6,226 167,293 * Pantry, Inc. (The) 30,244 454,870 PepsiCo, Inc. 9,195 789,759 Philip Morris International, Inc. 36,900 3,152,367 * Pilgrim's Pride Corp. 98,915 2,162,282 * Post Holdings, Inc. 38,552 2,014,727 # Pricesmart, Inc. 8,282 795,403 Procter & Gamble Co. (The) 105,525 8,711,089 Reliv International, Inc. 4,579 10,120 #* Revlon, Inc. Class A 13,564 408,819 Reynolds American, Inc. 11,374 641,835 * Rite Aid Corp. 87,461 638,465 Rocky Mountain Chocolate Factory, Inc. 5,450 65,127 Safeway, Inc. 51,128 1,741,420 # Sanderson Farms, Inc. 26,032 2,141,653 * Seaboard Corp. 535 1,304,330 #* Seneca Foods Corp. Class A 9,936 282,182 * Seneca Foods Corp. Class B 1,251 38,206 # Snyder's-Lance, Inc. 66,434 1,764,487 Spartan Stores, Inc. 41,800 900,372 Spectrum Brands Holdings, Inc. 52,744 4,052,321 #* Susser Holdings Corp. 22,694 1,756,062 #* Tofutti Brands, Inc. 799 3,188 # Tootsie Roll Industries, Inc. 24,597 693,389 * TreeHouse Foods, Inc. 32,732 2,449,663 Tyson Foods, Inc. Class A 164,162 6,889,879 #* United Natural Foods, Inc. 13,114 905,259 United-Guardian, Inc. 1,872 58,032 # Universal Corp. 26,112 1,424,932 * USANA Health Sciences, Inc. 9,355 634,830 U.S. VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ------------ Consumer Staples -- (Continued) # Vector Group, Ltd. 20,714 $ 441,208 Village Super Market, Inc. Class A 7,226 174,797 Wal-Mart Stores, Inc. 102,008 8,131,058 Walgreen Co. 34,175 2,320,482 WD-40 Co. 7,242 527,507 # Weis Markets, Inc. 25,516 1,176,032 * WhiteWave Foods Co. (The) Class A 72,636 2,011,291 Whole Foods Market, Inc. 9,338 464,099 ------------ Total Consumer Staples 153,920,593 ------------ Energy -- (11.3%) * Abraxas Petroleum Corp. 18,724 102,233 Adams Resources & Energy, Inc. 4,701 338,754 Alon USA Energy, Inc. 61,615 1,003,708 #* Alpha Natural Resources, Inc. 255,873 1,100,254 Anadarko Petroleum Corp. 78,236 7,746,929 Apache Corp. 63,288 5,493,398 #* Approach Resources, Inc. 28,368 588,636 # Arch Coal, Inc. 229,682 1,051,944 * Atwood Oceanics, Inc. 37,029 1,835,157 Baker Hughes, Inc. 68,271 4,772,143 * Barnwell Industries, Inc. 7,497 23,053 #* Basic Energy Services, Inc. 48,400 1,278,728 #* Bill Barrett Corp. 51,800 1,226,624 * BioFuel Energy Corp. 1,761 13,084 * Black Ridge Oil and Gas, Inc. 4,665 4,012 Bolt Technology Corp. 8,848 149,354 * Bonanza Creek Energy, Inc. 34,088 1,657,359 #* BPZ Resources, Inc. 129,134 348,662 Bristow Group, Inc. 41,007 3,149,338 #* C&J Energy Services, Inc. 52,408 1,575,384 Cabot Oil & Gas Corp. 38,200 1,500,496 #* Cal Dive International, Inc. 100,880 149,302 * Callon Petroleum Co. 45,713 419,645 * Cameron International Corp. 15,338 996,356 # CARBO Ceramics, Inc. 4,831 675,905 #* Carrizo Oil & Gas, Inc. 47,162 2,594,853 * Cheniere Energy, Inc. 7,686 433,875 Chesapeake Energy Corp. 411,342 11,826,082 Chevron Corp. 304,598 38,233,141 Cimarex Energy Co. 40,562 4,831,745 * Clayton Williams Energy, Inc. 11,087 1,601,850 #* Clean Energy Fuels Corp. 52,155 461,572 * Cloud Peak Energy, Inc. 66,892 1,317,103 * Cobalt International Energy, Inc. 10,413 187,434 # Comstock Resources, Inc. 53,195 1,478,821 * Concho Resources, Inc. 9,700 1,265,365 ConocoPhillips 202,245 15,028,826 CONSOL Energy, Inc. 8,571 381,495 * Contango Oil & Gas Co. 18,704 898,540 #* Continental Resources, Inc. 545 75,493 # Dawson Geophysical Co. 8,719 246,399 U.S. VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Energy -- (Continued) Delek US Holdings, Inc. 69,766 $ 2,231,814 # Denbury Resources, Inc. 215,040 3,616,973 Devon Energy Corp. 60,023 4,201,610 DHT Holdings, Inc. 10,435 81,497 # Diamond Offshore Drilling, Inc. 10,044 548,503 #* Dresser-Rand Group, Inc. 9,100 550,004 * Dril-Quip, Inc. 7,700 871,024 #* Emerald Oil, Inc. 64,405 455,343 #* Endeavour International Corp. 48,225 165,894 Energen Corp. 6,952 541,630 # Energy XXI Bermuda, Ltd. 35,447 848,247 * ENGlobal Corp. 25,261 54,059 EnLink Midstream LLC 49,305 1,741,946 EOG Resources, Inc. 40,408 3,959,984 #* EPL Oil & Gas, Inc. 41,163 1,611,120 * Era Group, Inc. 23,893 682,145 * Escalera Resources Co. 10,474 28,594 Evolution Petroleum Corp. 11,083 130,779 Exterran Holdings, Inc. 74,370 3,199,397 Exxon Mobil Corp. 436,562 44,708,314 #* FieldPoint Petroleum Corp. 3,945 21,776 * FMC Technologies, Inc. 3,200 181,440 * Gastar Exploration, Inc. 45,965 304,748 #* Geospace Technologies Corp. 7,312 425,047 #* Gevo, Inc. 8,936 9,204 # Green Plains Renewable Energy, Inc. 36,643 1,095,626 * Gulf Coast Ultra Deep Royalty Trust 36,391 106,990 Gulf Island Fabrication, Inc. 16,224 325,453 Gulfmark Offshore, Inc. Class A 31,656 1,424,837 * Gulfport Energy Corp. 20,422 1,504,489 #* Halcon Resources Corp. 45,581 251,607 Halliburton Co. 34,942 2,203,792 #* Harvest Natural Resources, Inc. 42,786 192,965 * Helix Energy Solutions Group, Inc. 115,965 2,787,799 Helmerich & Payne, Inc. 58,776 6,386,012 #* Hercules Offshore, Inc. 172,813 772,474 Hess Corp. 50,181 4,474,138 * HKN, Inc. 308 19,252 HollyFrontier Corp. 114,181 6,004,779 #* Hornbeck Offshore Services, Inc. 40,598 1,681,975 #* Houston American Energy Corp. 1,980 931 #* Infinity Energy Resources, Inc. 4,626 5,783 * ION Geophysical Corp. 105,637 464,803 * Key Energy Services, Inc. 157,915 1,585,467 Kinder Morgan, Inc. 37,422 1,222,203 Knightsbridge Tankers, Ltd. 27,880 333,166 * Kodiak Oil & Gas Corp. 85,777 1,090,226 # LinnCo LLC 55,945 1,541,844 * Lucas Energy, Inc. 15,775 9,894 #* Magnum Hunter Resources Corp. 155,038 1,317,823 Marathon Oil Corp. 117,422 4,244,805 Marathon Petroleum Corp. 38,015 3,533,494 U.S. VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Energy -- (Continued) #* Matador Resources Co. 49,806 $ 1,430,428 * Matrix Service Co. 31,307 969,578 #* McDermott International, Inc. 154,605 1,117,794 #* Mexco Energy Corp. 1,236 8,961 #* Miller Energy Resources, Inc. 736 3,548 * Mitcham Industries, Inc. 13,274 183,181 Murphy Oil Corp. 107,339 6,808,513 Nabors Industries, Ltd. 272,425 6,952,286 National Oilwell Varco, Inc. 72,627 5,703,398 * Natural Gas Services Group, Inc. 14,681 450,560 * Newfield Exploration Co. 122,198 4,136,402 #* Newpark Resources, Inc. 96,777 1,165,195 Noble Corp. P.L.C. 138,773 4,275,596 Noble Energy, Inc. 24,666 1,770,525 # Nordic American Tankers, Ltd. 27,665 238,749 #* Northern Oil and Gas, Inc. 67,032 1,034,304 #* Nuverra Environmental Solutions, Inc. 18,072 307,405 #* Oasis Petroleum, Inc. 17,007 790,996 Occidental Petroleum Corp. 138,481 13,259,556 Oceaneering International, Inc. 7,200 527,616 * Oil States International, Inc. 15,825 1,537,241 ONEOK, Inc. 3,014 190,545 #* Overseas Shipholding Group, Inc. 31,761 181,038 * Pacific Drilling SA 8,521 84,443 # Panhandle Oil and Gas, Inc. Class A 8,087 354,615 * Parker Drilling Co. 144,626 958,870 Patterson-UTI Energy, Inc. 146,603 4,768,996 * PDC Energy, Inc. 33,769 2,150,072 Peabody Energy Corp. 176,843 3,361,785 * Penn Virginia Corp. 76,615 1,274,874 * PetroQuest Energy, Inc. 68,290 411,106 #* PHI, Inc. Non-Voting 13,372 599,066 #* PHI, Inc. Voting 1,053 44,542 Phillips 66 91,273 7,595,739 * Pioneer Energy Services Corp. 74,145 1,109,951 Pioneer Natural Resources Co. 8,362 1,616,124 #* PostRock Energy Corp. 1,100 1,507 #* Pyramid Oil Co. 3,478 17,946 QEP Resources, Inc. 128,516 3,944,156 Range Resources Corp. 10,900 985,905 * Renewable Energy Group, Inc. 30,961 364,411 #* Rentech, Inc. 182,957 387,869 * REX American Resources Corp. 10,393 679,286 * Rex Energy Corp. 52,614 1,108,051 * RigNet, Inc. 576 26,934 #* Rosetta Resources, Inc. 23,527 1,113,768 * Rowan Cos. P.L.C. Class A 116,577 3,604,561 #* Royale Energy, Inc. 3,000 8,100 RPC, Inc. 72,669 1,615,432 #* Sanchez Energy Corp. 8,150 230,482 #* SandRidge Energy, Inc. 394,394 2,705,543 Schlumberger, Ltd. 53,868 5,470,295 U.S. VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ------------ Energy -- (Continued) # Scorpio Tankers, Inc. 122,252 $ 1,101,491 #* SEACOR Holdings, Inc. 24,331 2,028,962 SemGroup Corp. Class A 39,273 2,508,759 # Ship Finance International, Ltd. 80,785 1,424,240 SM Energy Co. 22,054 1,634,863 * Southwestern Energy Co. 24,519 1,173,970 Spectra Energy Corp. 1,600 63,536 #* Steel Excel, Inc. 11,536 373,766 * Stone Energy Corp. 59,788 2,932,601 Superior Energy Services, Inc. 151,906 5,000,746 #* Swift Energy Co. 45,809 564,825 #* Synergy Resources Corp. 38,656 449,956 #* Synthesis Energy Systems, Inc. 44,676 77,289 #* Syntroleum Corp. 82 308 Targa Resources Corp. 2,115 228,399 Teekay Corp. 61,537 3,452,841 #* Tesco Corp. 42,945 858,900 Tesoro Corp. 131,157 7,382,828 * TETRA Technologies, Inc. 90,540 1,131,750 * TGC Industries, Inc. 20,067 101,539 Tidewater, Inc. 49,266 2,509,117 # Transocean, Ltd. 56,289 2,424,367 #* Triangle Petroleum Corp. 84,851 816,267 #* Ultra Petroleum Corp. 9,559 284,858 * Unit Corp. 62,010 4,089,560 #* Uranium Energy Corp. 22,116 23,664 #* Vaalco Energy, Inc. 65,411 603,089 Valero Energy Corp. 104,220 5,958,257 # W&T Offshore, Inc. 74,389 1,428,269 * Warren Resources, Inc. 82,565 418,605 * Weatherford International, Ltd. 429,641 9,022,461 # Western Refining, Inc. 94,206 4,097,961 * Westmoreland Coal Co. 2,630 77,874 * Whiting Petroleum Corp. 65,049 4,795,412 * Willbros Group, Inc. 57,282 636,403 Williams Cos., Inc. (The) 21,384 901,763 # World Fuel Services Corp. 27,654 1,259,363 * WPX Energy, Inc. 174,221 3,707,423 ------------ Total Energy 409,000,897 ------------ Financials -- (20.5%) * 1st Constitution Bancorp 2,517 26,227 1st Source Corp. 28,570 842,529 1st United Bancorp, Inc. 25,437 186,199 # Access National Corp. 8,706 128,414 ACE, Ltd. 45,435 4,648,909 * Affiliated Managers Group, Inc. 3,792 751,574 Aflac, Inc. 22,307 1,399,095 Alexander & Baldwin, Inc. 62,451 2,330,047 * Alleghany Corp. 8,498 3,467,014 Alliance Bancorp, Inc. of Pennsylvania 3,932 61,359 Allied World Assurance Co. Holdings AG 34,136 3,676,106 U.S. VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Financials -- (Continued) Allstate Corp. (The) 86,740 $ 4,939,843 * Altisource Asset Management Corp. 1,120 1,095,640 #* Altisource Portfolio Solutions SA 11,202 1,161,759 * American Capital, Ltd. 305,835 4,584,467 # American Equity Investment Life Holding Co. 90,553 2,111,696 American Express Co. 9,290 812,225 American Financial Group, Inc. 125,705 7,344,943 * American Independence Corp. 610 6,667 American International Group, Inc. 128,798 6,843,038 # American National Bankshares, Inc. 5,991 127,668 American National Insurance Co. 21,779 2,448,177 * American River Bankshares 4,649 44,444 (o)* American Spectrum Realty, Inc. 400 672 Ameriprise Financial, Inc. 68,100 7,602,003 * Ameris Bancorp 25,079 533,430 AMERISAFE, Inc. 20,567 877,183 AmeriServ Financial, Inc. 17,822 62,021 # Amtrust Financial Services, Inc. 62,289 2,408,716 Aon P.L.C. 21,179 1,797,674 #* Arch Capital Group, Ltd. 68,095 3,903,205 Argo Group International Holdings, Ltd. 34,824 1,546,882 # Arrow Financial Corp. 13,107 328,068 Arthur J Gallagher & Co. 8,866 399,147 Aspen Insurance Holdings, Ltd. 75,921 3,475,663 Associated Banc-Corp 158,492 2,781,535 Assurant, Inc. 86,200 5,810,742 Assured Guaranty, Ltd. 170,412 4,074,551 * Asta Funding, Inc. 12,881 105,238 Astoria Financial Corp. 109,382 1,450,405 Atlantic American Corp. 5,179 18,127 #* Atlantic Coast Financial Corp. 1,357 5,835 #* Atlanticus Holdings Corp. 19,831 48,189 Auburn National Bancorp., Inc. 1,260 30,007 #* AV Homes, Inc. 11,482 196,687 Axis Capital Holdings, Ltd. 72,054 3,296,470 Baldwin & Lyons, Inc. Class A 1,285 30,365 Baldwin & Lyons, Inc. Class B 10,961 285,096 # Banc of California, Inc. 10,072 126,605 Bancfirst Corp. 14,665 853,650 * Bancorp, Inc. 40,873 646,611 # BancorpSouth, Inc. 128,057 2,991,412 Bank Mutual Corp. 48,209 290,218 Bank of America Corp. 1,375,380 20,823,253 Bank of Commerce Holdings 5,615 35,655 Bank of Hawaii Corp. 25,641 1,414,614 Bank of Kentucky Financial Corp. 4,629 159,747 Bank of New York Mellon Corp. (The) 163,628 5,542,080 Bank of the Ozarks, Inc. 28,120 1,684,388 BankFinancial Corp. 23,259 228,869 BankUnited, Inc. 10,498 346,329 Banner Corp. 25,867 1,022,781 # Bar Harbor Bankshares 3,701 139,084 U.S. VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Financials -- (Continued) BB&T Corp. 102,589 $ 3,829,647 BBCN Bancorp, Inc. 90,761 1,398,627 #* BBX Capital Corp. Class A 6,124 114,703 BCB Bancorp, Inc. 7,110 94,563 * Beneficial Mutual Bancorp, Inc. 70,097 914,065 Berkshire Bancorp, Inc. 2,025 14,884 Berkshire Hills Bancorp, Inc. 24,970 585,047 BGC Partners, Inc. Class A 65,012 466,136 BlackRock, Inc. 14,303 4,305,203 * BofI Holding, Inc. 11,939 962,403 # BOK Financial Corp. 24,262 1,587,220 Boston Private Financial Holdings, Inc. 89,201 1,115,905 # Bridge Bancorp, Inc. 3,763 91,516 #* Bridge Capital Holdings 6,459 144,682 Brookline Bancorp, Inc. 80,500 730,940 Brown & Brown, Inc. 38,662 1,151,354 Bryn Mawr Bank Corp. 12,410 338,545 C&F Financial Corp. 1,936 60,500 Calamos Asset Management, Inc. Class A 22,334 272,028 # California First National Bancorp 6,388 94,734 # Camden National Corp. 8,426 321,620 Cape Bancorp, Inc. 4,109 43,761 * Capital Bank Financial Corp. Class A 1,791 42,715 # Capital City Bank Group, Inc. 16,811 233,673 Capital One Financial Corp. 70,527 5,211,945 (o) Capital Properties, Inc., 5.000% 277 277 * Capital Properties, Inc. Class A 308 3,063 Capital Southwest Corp. 14,168 497,297 # Capitol Federal Financial, Inc. 175,628 2,114,561 Cardinal Financial Corp. 34,619 581,599 * Carolina Bank Holdings, Inc. 1,000 9,620 # Cash America International, Inc. 32,211 1,402,789 Cathay General Bancorp 107,244 2,530,958 * CBRE Group, Inc. Class A 8,345 222,311 Center Bancorp, Inc. 16,007 296,290 Centerstate Banks, Inc. 25,680 281,710 Central Pacific Financial Corp. 6,503 122,061 Century Bancorp, Inc. Class A 2,971 99,529 Charles Schwab Corp. (The) 17,612 467,599 Charter Financial Corp. 303 3,333 Chemical Financial Corp. 30,485 855,714 Chicopee Bancorp, Inc. 5,278 91,468 Chubb Corp. (The) 37,508 3,453,737 Cincinnati Financial Corp. 97,478 4,751,078 CIT Group, Inc. 107,054 4,608,675 Citigroup, Inc. 394,453 18,898,243 Citizens Community Bancorp, Inc. 3,663 29,414 * Citizens First Corp. 1,000 10,780 Citizens Holding Co. 2,106 39,530 #* Citizens, Inc. 49,580 325,741 # City Holding Co. 16,506 709,593 City National Corp. 43,894 3,185,388 U.S. VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Financials -- (Continued) CKX Lands, Inc. 1,400 $ 21,385 Clifton Bancorp, Inc. 25,480 295,313 CME Group, Inc. 45,660 3,214,007 CNA Financial Corp. 65,054 2,663,961 CNB Financial Corp. 8,460 139,759 CNO Financial Group, Inc. 264,496 4,562,556 CoBiz Financial, Inc. 39,595 397,534 Codorus Valley Bancorp, Inc. 2,024 43,212 # Cohen & Steers, Inc. 5,916 239,657 * Colonial Financial Services, Inc. 2,714 31,645 * Colony Bankcorp, Inc. 3,099 19,121 Columbia Banking System, Inc. 53,832 1,336,110 Comerica, Inc. 102,535 4,946,288 Commerce Bancshares, Inc. 24,751 1,076,173 Commercial National Financial Corp. 1,413 29,390 # Community Bank System, Inc. 43,567 1,620,257 * Community Bankers Trust Corp. 1,472 6,065 Community Trust Bancorp, Inc. 19,300 711,591 #* Community West Bancshares 2,000 13,860 #* CommunityOne Bancorp 1 10 # Consolidated-Tomoka Land Co. 5,746 227,139 * Consumer Portfolio Services, Inc. 12,192 85,100 * Cowen Group, Inc. Class A 109,650 450,661 Crawford & Co. Class A 28,328 273,365 # Crawford & Co. Class B 14,955 170,786 * Credit Acceptance Corp. 8,643 1,136,727 # Cullen/Frost Bankers, Inc. 29,396 2,246,148 # CVB Financial Corp. 99,463 1,438,235 #* DFC Global Corp. 40,321 375,792 # Diamond Hill Investment Group, Inc. 900 106,848 Dime Community Bancshares, Inc. 41,448 675,602 Discover Financial Services 20,550 1,148,745 Donegal Group, Inc. Class A 21,391 315,731 Donegal Group, Inc. Class B 3,821 82,457 #* Doral Financial Corp. 782 7,476 * E*TRADE Financial Corp. 258,384 5,800,721 Eagle Bancorp Montana, Inc. 514 5,587 East West Bancorp, Inc. 119,880 4,137,059 * Eastern Virginia Bankshares, Inc. 3,468 23,409 # Eaton Vance Corp. 1,500 54,105 * eHealth, Inc. 19,926 834,700 EMC Insurance Group, Inc. 12,475 411,550 Employers Holdings, Inc. 37,573 764,611 #* Encore Capital Group, Inc. 26,420 1,141,872 Endurance Specialty Holdings, Ltd. 54,918 2,790,933 * Enstar Group, Ltd. 13,908 1,795,523 # Enterprise Bancorp, Inc. 5,554 101,416 Enterprise Financial Services Corp. 19,242 343,855 Erie Indemnity Co. Class A 8,246 590,826 # ESB Financial Corp. 15,721 198,399 ESSA Bancorp, Inc. 16,415 170,552 Evans Bancorp, Inc. 2,412 54,451 U.S. VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Financials -- (Continued) Evercore Partners, Inc. Class A 15,287 $ 816,784 Everest Re Group, Ltd. 26,993 4,265,704 * Ezcorp, Inc. Class A 52,447 547,022 #* Farmers Capital Bank Corp. 5,212 108,879 FBL Financial Group, Inc. Class A 32,494 1,452,807 # Federal Agricultural Mortgage Corp. Class A 987 27,167 Federal Agricultural Mortgage Corp. Class C 9,712 345,553 Federated National Holding Co. 7,042 136,826 Fidelity National Financial, Inc. Class A 190,265 6,122,728 # Fidelity Southern Corp. 9,677 127,833 Fifth Third Bancorp 239,838 4,943,061 Financial Institutions, Inc. 13,920 322,248 * First Acceptance Corp. 27,407 65,503 # First American Financial Corp. 102,745 2,733,017 First Bancorp 15,597 268,424 First Bancorp, Inc. 9,162 145,951 #* First BanCorp. 52,321 268,930 * First Bancshares, Inc. 700 5,775 First Bancshares, Inc. (The) 222 3,217 First Busey Corp. 87,687 482,278 First Business Financial Services, Inc. 2,134 96,478 * First Cash Financial Services, Inc. 10,205 497,698 First Citizens BancShares, Inc. Class A 8,661 1,947,772 # First Commonwealth Financial Corp. 113,642 976,185 First Community Bancshares, Inc. 16,247 240,618 First Defiance Financial Corp. 10,454 282,467 #* First Federal Bancshares of Arkansas, Inc. 5,224 46,337 First Federal of Northern Michigan Bancorp, Inc. 800 3,976 First Financial Bancorp 60,800 984,352 # First Financial Bankshares, Inc. 17,754 1,048,374 First Financial Corp. 13,376 428,166 First Financial Holdings, Inc. 20,055 1,152,561 # First Financial Northwest, Inc. 16,619 169,514 #* First Financial Service Corp. 1,670 6,096 First Horizon National Corp. 246,889 2,836,755 First Interstate Bancsystem, Inc. 13,747 342,163 #* First Marblehead Corp. (The) 1,466 7,711 First Merchants Corp. 30,989 657,587 First Midwest Bancorp, Inc. 87,060 1,425,172 First Niagara Financial Group, Inc. 308,360 2,750,571 * First Place Financial Corp. 10,608 16 First South Bancorp, Inc. 7,807 62,690 * First United Corp. 3,697 30,537 First West Virginia Bancorp 796 14,352 Firstbank Corp. 5,196 91,605 FirstMerit Corp. 134,186 2,601,867 * Flagstar Bancorp, Inc. 6,371 112,130 Flushing Financial Corp. 34,843 669,682 FNB Corp. 173,327 2,156,188 * Forest City Enterprises, Inc. Class A 57,405 1,085,529 #* Forest City Enterprises, Inc. Class B 8,417 159,081 * Forestar Group, Inc. 36,513 622,547 U.S. VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Financials -- (Continued) # Fox Chase Bancorp, Inc. 19,210 $ 320,423 Franklin Resources, Inc. 10,401 544,492 Fulton Financial Corp. 218,935 2,668,818 # FXCM, Inc. Class A 26,996 417,898 # Gain Capital Holdings, Inc. 9,041 91,314 * GAINSCO, Inc. 1,497 13,009 GAMCO Investors, Inc. Class A 3,733 283,447 * Genworth Financial, Inc. Class A 237,177 4,233,609 # German American Bancorp, Inc. 12,054 313,886 GFI Group, Inc. 131,667 489,801 # Glacier Bancorp, Inc. 71,411 1,832,406 #* Gleacher & Co., Inc. 2,784 32,016 * Global Indemnity P.L.C. 16,912 453,242 Goldman Sachs Group, Inc. (The) 52,050 8,318,631 Great Southern Bancorp, Inc. 13,373 383,404 #* Green Dot Corp. Class A 19,477 338,315 # Greenhill & Co., Inc. 9,266 464,690 * Greenlight Capital Re, Ltd. Class A 31,735 1,010,125 Guaranty Bancorp 2,967 37,355 * Guaranty Federal Bancshares, Inc. 1,886 23,839 * Hallmark Financial Services, Inc. 22,381 188,000 # Hampden Bancorp, Inc. 4,725 76,781 * Hampton Roads Bankshares, Inc. 520 863 Hancock Holding Co. 79,288 2,674,384 Hanmi Financial Corp. 38,130 811,025 Hanover Insurance Group, Inc. (The) 58,185 3,400,913 Harleysville Savings Financial Corp. 2,920 49,348 * Harris & Harris Group, Inc. 29,482 105,840 Hartford Financial Services Group, Inc. (The) 282,497 10,133,167 Hawthorn Bancshares, Inc. 2,117 28,071 HCC Insurance Holdings, Inc. 99,330 4,563,220 # HCI Group, Inc. 11,259 435,498 Heartland Financial USA, Inc. 16,865 409,819 Heritage Commerce Corp. 21,259 172,623 # Heritage Financial Corp. 11,632 187,973 Heritage Financial Group, Inc. 5,663 109,013 HF Financial Corp. 4,200 57,540 HFF, Inc. Class A 7,959 270,606 * Hilltop Holdings, Inc. 86,881 1,940,922 # Hingham Institution for Savings 872 60,613 * HMN Financial, Inc. 1,450 16,153 #* Home Bancorp, Inc. 7,010 141,953 Home BancShares, Inc. 50,522 1,602,053 Home Federal Bancorp, Inc. 17,529 263,811 HopFed Bancorp, Inc. 2,207 25,116 Horace Mann Educators Corp. 49,358 1,484,195 # Horizon Bancorp 5,260 105,147 * Howard Hughes Corp. (The) 9,574 1,366,784 Hudson City Bancorp, Inc. 253,527 2,525,129 Hudson Valley Holding Corp. 17,275 317,169 Huntington Bancshares, Inc. 427,558 3,916,435 # Iberiabank Corp. 32,432 2,039,973 U.S. VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Financials -- (Continued) * ICG Group, Inc. 39,694 $ 808,964 Independence Holding Co. 15,010 196,031 # Independent Bank Corp.(453836108) 23,623 876,886 Independent Bank Corp.(453838609) 7,338 95,541 Infinity Property & Casualty Corp. 12,729 816,820 Interactive Brokers Group, Inc. Class A 68,159 1,629,000 IntercontinentalExchange Group, Inc. 16,742 3,422,734 * InterGroup Corp. (The) 235 4,110 International Bancshares Corp. 74,428 1,708,867 #* Intervest Bancshares Corp. Class A 18,510 140,121 #* INTL. FCStone, Inc. 20,609 389,922 Invesco, Ltd. 109,337 3,849,756 * Investment Technology Group, Inc. 38,795 800,729 # Investors Bancorp, Inc. 129,542 3,462,658 #* Investors Capital Holdings, Ltd. 4,038 28,730 Investors Title Co. 1,606 113,641 # Janus Capital Group, Inc. 87,711 1,063,934 * Jefferson Bancshares, Inc. 2,270 17,820 JMP Group, Inc. 22,346 154,411 Jones Lang LaSalle, Inc. 6,735 780,519 JPMorgan Chase & Co. 570,669 31,946,051 * KCG Holdings, Inc. Class A 19,090 189,946 #* Kearny Financial Corp. 57,758 842,112 Kemper Corp. 68,298 2,691,624 Kennedy-Wilson Holdings, Inc. 24,955 545,017 Kentucky First Federal Bancorp 2,320 19,929 KeyCorp 499,016 6,806,578 Lake Shore Bancorp, Inc. 339 4,199 Lakeland Bancorp, Inc. 31,536 329,236 Lakeland Financial Corp. 17,992 658,507 Landmark Bancorp, Inc. 2,006 38,756 # Legg Mason, Inc. 124,614 5,843,150 Leucadia National Corp. 164,977 4,210,213 Life Partners Holdings, Inc. 8,447 23,060 Lincoln National Corp. 152,570 7,401,171 LNB Bancorp, Inc. 9,079 103,319 Loews Corp. 44,237 1,945,101 # Louisiana Bancorp, Inc. 3,003 58,559 LSB Financial Corp. 426 12,554 # M&T Bank Corp. 62,325 7,604,273 # Macatawa Bank Corp. 31,196 151,925 * Magyar Bancorp, Inc. 1,971 16,300 # Maiden Holdings, Ltd. 81,079 956,732 MainSource Financial Group, Inc. 19,995 330,517 #* Malvern Bancorp, Inc. 241 2,482 Manning & Napier, Inc. 847 14,077 * Markel Corp. 8,486 5,311,557 MarketAxess Holdings, Inc. 31,222 1,682,241 Marlin Business Services Corp. 13,162 225,992 Marsh & McLennan Cos., Inc. 17,700 872,787 #* Maui Land & Pineapple Co., Inc. 4,186 32,776 MB Financial, Inc. 79,295 2,128,278 U.S. VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Financials -- (Continued) * MBIA, Inc. 235,843 $2,858,417 * MBT Financial Corp. 10,154 50,059 MCG Capital Corp. 94,877 318,787 # Meadowbrook Insurance Group, Inc. 73,213 409,993 # Medallion Financial Corp. 24,664 335,430 Mercantile Bank Corp. 7,390 144,179 Merchants Bancshares, Inc. 7,187 208,926 Mercury General Corp. 41,714 1,996,432 #* Meridian Interstate Bancorp, Inc. 17,765 448,922 Meta Financial Group, Inc. 2,141 89,729 MetLife, Inc. 134,576 7,045,054 * Metro Bancorp, Inc. 15,320 312,834 #* MGIC Investment Corp. 158,315 1,361,509 MicroFinancial, Inc. 9,680 76,182 Mid Penn Bancorp, Inc. 778 11,670 # MidSouth Bancorp, Inc. 8,676 145,063 MidWestOne Financial Group, Inc. 6,846 168,617 # Montpelier Re Holdings, Ltd. 61,112 1,868,805 Morgan Stanley 189,332 5,856,039 * MSB Financial Corp. 600 4,893 * MSCI, Inc. 652 26,432 MutualFirst Financial, Inc. 5,151 96,839 NASDAQ OMX Group, Inc. (The) 91,090 3,361,221 # National Interstate Corp. 18,783 526,300 National Penn Bancshares, Inc. 172,864 1,688,881 # National Security Group, Inc. 419 4,349 National Western Life Insurance Co. Class A 2,337 545,105 #* Naugatuck Valley Financial Corp. 989 7,660 * Navigators Group, Inc. (The) 17,111 974,814 # NBT Bancorp, Inc. 42,931 972,387 Nelnet, Inc. Class A 40,051 1,692,555 * New Century Bancorp, Inc. 2,187 16,206 # New Hampshire Thrift Bancshares, Inc. 4,833 71,287 # New York Community Bancorp, Inc. 217,731 3,355,235 * NewBridge Bancorp 12,686 97,555 * NewStar Financial, Inc. 49,671 567,243 Nicholas Financial, Inc. 3,515 55,256 * North Valley Bancorp 460 10,396 Northeast Bancorp 118 1,147 Northeast Community Bancorp, Inc. 9,104 66,277 Northern Trust Corp. 14,311 862,238 Northfield Bancorp, Inc. 57,520 746,034 Northrim BanCorp, Inc. 5,792 138,950 Northwest Bancshares, Inc. 110,107 1,463,322 # Norwood Financial Corp. 1,641 47,326 # Ocean Shore Holding Co. 6,104 91,499 OceanFirst Financial Corp. 19,770 320,669 * Ocwen Financial Corp. 70,987 2,690,407 OFG Bancorp 53,163 906,961 Ohio Valley Banc Corp. 2,002 43,544 # Old Line Bancshares, Inc. 1,957 33,210 # Old National Bancorp 118,619 1,674,895 U.S. VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Financials -- (Continued) Old Republic International Corp. 242,918 $4,022,722 * Old Second Bancorp, Inc. 11,059 52,641 OmniAmerican Bancorp, Inc. 12,533 311,570 OneBeacon Insurance Group, Ltd. Class A 26,235 405,068 Oppenheimer Holdings, Inc. Class A 7,865 200,243 Oritani Financial Corp. 55,847 828,211 Pacific Continental Corp. 17,807 234,696 * Pacific Mercantile Bancorp 9,408 61,622 #* Pacific Premier Bancorp, Inc. 4,508 61,534 PacWest Bancorp 125,913 4,957,195 Park National Corp. 14,100 1,022,532 Park Sterling Corp. 21,825 142,517 PartnerRe, Ltd. 44,131 4,651,407 * Patriot National Bancorp, Inc. 1,500 1,935 # Peapack Gladstone Financial Corp. 10,517 199,928 # Penns Woods Bancorp, Inc. 4,255 187,220 # People's United Financial, Inc. 269,812 3,852,915 Peoples Bancorp 1,337 33,425 Peoples Bancorp of North Carolina, Inc. 3,297 56,708 Peoples Bancorp, Inc. 10,126 263,985 #* PHH Corp. 58,457 1,389,523 * Phoenix Cos., Inc. (The) 6,427 282,917 * PICO Holdings, Inc. 25,746 598,594 Pinnacle Financial Partners, Inc. 39,217 1,355,732 * Piper Jaffray Cos. 20,441 896,542 Platinum Underwriters Holdings, Ltd. 39,027 2,447,383 PNC Financial Services Group, Inc. (The) 76,226 6,406,033 * Popular, Inc. 80,934 2,500,861 * Porter Bancorp, Inc. 6,860 7,409 #* Portfolio Recovery Associates, Inc. 49,239 2,814,009 * Preferred Bank 2,694 57,786 Premier Financial Bancorp, Inc. 6,434 92,006 Primerica, Inc. 65,081 2,986,567 * Primus Guaranty, Ltd. 5,092 40,940 Principal Financial Group, Inc. 157,281 7,367,042 PrivateBancorp, Inc. 84,580 2,331,871 ProAssurance Corp. 63,600 2,888,712 Progressive Corp. (The) 20,068 486,649 Prosperity Bancshares, Inc. 42,708 2,519,772 Protective Life Corp. 77,513 3,964,790 Provident Financial Holdings, Inc. 9,638 135,607 Provident Financial Services, Inc. 64,885 1,127,701 #* Prudential Bancorp, Inc. 5,096 55,088 Prudential Financial, Inc. 64,572 5,209,669 * PSB Holdings, Inc. 3,252 21,268 # Pulaski Financial Corp. 10,937 112,979 # Pzena Investment Management, Inc. Class A 5,045 54,839 QC Holdings, Inc. 12,392 25,651 QCR Holdings, Inc. 309 5,343 Radian Group, Inc. 128,091 1,790,712 Raymond James Financial, Inc. 19,745 981,326 Regions Financial Corp. 681,506 6,910,471 U.S. VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Financials -- (Continued) Reinsurance Group of America, Inc. 60,282 $4,624,232 # RenaissanceRe Holdings, Ltd. 45,780 4,633,394 # Renasant Corp. 31,809 865,841 Republic Bancorp, Inc. Class A 20,236 485,866 #* Republic First Bancorp, Inc. 20,713 91,551 Resource America, Inc. Class A 18,325 155,946 * Riverview Bancorp, Inc. 13,240 46,075 # RLI Corp. 40,270 1,734,026 * Royal Bancshares of Pennsylvania, Inc. Class A 6,447 16,827 # S&T Bancorp, Inc. 29,768 692,404 #* Safeguard Scientifics, Inc. 23,253 488,546 Safety Insurance Group, Inc. 17,028 914,574 Salisbury Bancorp, Inc. 856 25,813 Sandy Spring Bancorp, Inc. 27,445 660,052 # SB Financial Group, Inc. 3,194 25,233 * Seacoast Banking Corp. of Florida 11,299 119,769 #* Security National Financial Corp. Class A 2,246 8,737 SEI Investments Co. 12,500 404,750 Selective Insurance Group, Inc. 62,650 1,437,191 * Shore Bancshares, Inc. 4,929 46,776 SI Financial Group, Inc. 6,709 79,166 #* Siebert Financial Corp. 9,393 27,475 Sierra Bancorp 11,952 186,571 * Signature Bank 12,100 1,437,722 Simmons First National Corp. Class A 20,247 732,132 Simplicity Bancorp, Inc. 9,310 161,435 SLM Corp. 30,766 792,224 * South Street Financial Corp. 400 3,838 * Southcoast Financial Corp. 5,735 41,235 (o) Southern Community Financial Corp. 7,908 1,740 * Southern First Bancshares, Inc. 2,825 38,590 Southern Missouri Bancorp, Inc. 1,465 51,715 # Southern National Bancorp of Virginia, Inc. 712 7,355 # Southside Bancshares, Inc. 20,995 579,035 Southwest Bancorp, Inc. 21,460 358,382 Southwest Georgia Financial Corp. 1,854 26,596 #* St Joe Co. (The) 39,684 708,359 StanCorp Financial Group, Inc. 48,027 2,934,450 State Auto Financial Corp. 40,019 818,789 State Street Corp. 61,074 3,942,937 Sterling Bancorp 81,392 973,448 # Stewart Information Services Corp. 27,030 824,415 * Stifel Financial Corp. 68,092 3,184,663 Stock Yards Bancorp Inc 15,245 449,423 * Stratus Properties, Inc. 6,580 109,228 * Suffolk Bancorp 12,947 283,928 Summit State Bank 1,156 13,410 #* Sun Bancorp, Inc. 32,827 124,743 SunTrust Banks, Inc. 70,003 2,678,315 Susquehanna Bancshares, Inc. 225,086 2,331,891 #* Sussex Bancorp 2,146 19,314 * SVB Financial Group 21,341 2,276,871 U.S. VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE+ --------- ---------- Financials -- (Continued) * SWS Group, Inc. 23,777 $ 176,188 Symetra Financial Corp. 70,506 1,456,654 Synovus Financial Corp. 1,037,837 3,331,457 T Rowe Price Group, Inc. 3,600 295,668 * Taylor Capital Group, Inc. 22,039 469,210 TCF Financial Corp. 141,405 2,220,058 TD Ameritrade Holding Corp. 12,649 403,503 Teche Holding Co. 1,486 108,329 * Tejon Ranch Co. 17,861 553,870 # Territorial Bancorp, Inc. 12,058 246,707 # Teton Advisors, Inc. Class A 39 1,783 * Texas Capital Bancshares, Inc. 31,625 1,777,009 TF Financial Corp. 2,289 71,783 * TFS Financial Corp. 40,111 537,086 Timberland Bancorp, Inc. 3,941 41,972 Tompkins Financial Corp. 14,846 699,840 Torchmark Corp. 29,787 2,374,024 Tower Group International, Ltd. 49,204 121,042 # TowneBank 25,265 389,839 Travelers Cos., Inc. (The) 66,684 6,040,237 #* Tree.com, Inc. 11,503 334,507 # Trico Bancshares 15,980 387,515 # TrustCo Bank Corp. 103,531 684,340 # Trustmark Corp. 80,836 1,848,719 U.S. Bancorp 105,010 4,282,308 # UMB Financial Corp. 38,493 2,259,924 Umpqua Holdings Corp. 128,692 2,140,148 Union Bankshares Corp. 44,058 1,127,444 # Union Bankshares, Inc. 2,000 47,100 United Bancshares, Inc. 2,040 31,232 United Bankshares, Inc. 70,145 2,051,741 United Community Bancorp 993 11,320 * United Community Banks, Inc. 47,615 768,982 #* United Community Financial Corp. 7,576 25,228 United Financial Bancorp, Inc.(91030T109) 22,166 391,008 United Financial Bancorp, Inc.(910304104) 28,505 375,126 United Fire Group, Inc. 29,011 807,086 * United Security Bancshares 10,778 60,786 #* United Security Bancshares, Inc. 600 4,608 Unity Bancorp, Inc. 5,781 49,428 # Universal Insurance Holdings, Inc. 49,764 728,047 Univest Corp. of Pennsylvania 17,118 337,396 Unum Group 152,511 5,066,415 Validus Holdings, Ltd. 105,899 3,925,676 # Valley National Bancorp 69,582 697,212 * Vantagesouth Bancshares, Inc. 4,153 25,499 ViewPoint Financial Group, Inc. 40,834 1,064,542 #* Viewtran Group, Inc. 3,130 6,636 * Virtus Investment Partners, Inc. 1,767 326,877 # VSB Bancorp, Inc. 170 1,918 Waddell & Reed Financial, Inc. Class A 5,916 399,034 * Walker & Dunlop, Inc. 1,380 21,638 U.S. VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ------------ Financials -- (Continued) Washington Banking Co. 16,508 $ 283,938 Washington Federal, Inc. 119,487 2,578,529 # Washington Trust Bancorp, Inc. 16,883 577,399 Waterstone Financial, Inc. 26,335 274,147 Wayne Savings Bancshares, Inc. 1,684 19,568 Webster Financial Corp. 114,201 3,442,018 Wells Fargo & Co. 664,411 32,981,362 WesBanco, Inc. 30,727 929,184 # West Bancorporation, Inc. 17,389 252,314 # Westamerica Bancorporation 14,718 747,969 * Western Alliance Bancorp 81,523 1,880,736 # Westfield Financial, Inc. 28,843 197,575 Westwood Holdings Group, Inc. 2,463 143,273 Willis Group Holdings P.L.C. 6,697 274,510 Wilshire Bancorp, Inc. 80,506 805,060 Wintrust Financial Corp. 64,526 2,892,055 #* WisdomTree Investments, Inc. 47,274 533,723 #* World Acceptance Corp. 13,047 947,212 WR Berkley Corp. 69,300 3,065,832 WSFS Financial Corp. 4,003 270,683 WVS Financial Corp. 1,627 19,402 XL Group P.L.C. 162,997 5,109,956 * Yadkin Financial Corp. 3,676 70,395 Zions Bancorp. 166,601 4,818,101 #* ZipRealty, Inc. 17,864 59,308 ------------ Total Financials 742,004,402 ------------ Health Care -- (7.1%) #* Abaxis, Inc. 3,959 160,775 Abbott Laboratories 52,410 2,030,363 #* Acadia Healthcare Co., Inc. 9,946 417,931 #* Accelerate Diagnostics, Inc. 2,491 45,909 #* Accuray, Inc. 67,370 565,908 * Acorda Therapeutics, Inc. 8,725 309,301 * Actavis P.L.C. 11,200 2,288,496 #* Adcare Health Systems, Inc. 3,049 12,501 * Addus HomeCare Corp. 10,890 235,442 Aetna, Inc. 67,560 4,827,162 #* Affymax, Inc. 36,132 19,511 #* Affymetrix, Inc. 87,147 647,502 Agilent Technologies, Inc. 15,200 821,408 #* Air Methods Corp. 30,597 1,703,335 #* Akorn, Inc. 28,582 720,838 #* Albany Molecular Research, Inc. 35,314 567,143 #* Alere, Inc. 90,727 3,030,282 * Alexion Pharmaceuticals, Inc. 10,000 1,582,000 #* Align Technology, Inc. 17,155 864,440 * Alkermes P.L.C. 29,486 1,364,022 * Alliance HealthCare Services, Inc. 5,402 153,741 * Allied Healthcare Products, Inc. 4,920 10,627 * Allscripts Healthcare Solutions, Inc. 111,821 1,701,916 #* Almost Family, Inc. 10,097 216,783 U.S. VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Health Care -- (Continued) #* Alnylam Pharmaceuticals, Inc. 12,235 $ 606,000 #* Alphatec Holdings, Inc. 91,449 123,456 #* AMAG Pharmaceuticals, Inc. 15,657 285,897 #* Amedisys, Inc. 37,736 514,342 * American Shared Hospital Services 900 2,511 AmerisourceBergen Corp. 16,800 1,095,024 Amgen, Inc. 26,155 2,922,821 * AMN Healthcare Services, Inc. 43,245 539,698 * Amsurg Corp. 38,852 1,682,680 Analogic Corp. 11,775 884,067 * AngioDynamics, Inc. 36,687 493,073 * Anika Therapeutics, Inc. 15,395 657,982 #* Arqule, Inc. 26,950 43,659 * Arrhythmia Research Technology, Inc. 1,153 5,592 #* ArthroCare Corp. 10,908 529,365 * AtriCure, Inc. 3,062 47,155 # Atrion Corp. 2,187 630,578 #* Authentidate Holding Corp. 2,236 2,325 #* Auxilium Pharmaceuticals, Inc. 6,278 141,318 #* AVEO Pharmaceuticals, Inc. 2,329 2,865 #* Baxano Surgical, Inc. 24,169 20,544 * Bio-Rad Laboratories, Inc. Class A 14,067 1,733,195 * Bio-Rad Laboratories, Inc. Class B 1,277 164,305 #* Bio-Reference Labs, Inc. 10,468 265,887 #* Bioanalytical Systems, Inc. 1,915 5,324 #* Biodel, Inc. 4,308 10,124 * Biogen Idec, Inc. 6,870 1,972,514 * BioMarin Pharmaceutical, Inc. 7,300 425,079 #* BioScrip, Inc. 62,349 431,455 #* Biospecifics Technologies Corp. 1,342 31,846 #* Biota Pharmaceuticals, Inc. 6,230 22,989 * BioTelemetry, Inc. 26,941 213,912 * Boston Scientific Corp. 256,154 3,230,102 #* Bovie Medical Corp. 13,510 53,365 Bristol-Myers Squibb Co. 49,289 2,468,886 #* Brookdale Senior Living, Inc. 39,923 1,271,148 * Bruker Corp. 13,400 276,844 #* BSD Medical Corp. 4,900 5,439 * Cambrex Corp. 34,747 711,966 Cantel Medical Corp. 32,610 1,081,348 * Capital Senior Living Corp. 30,675 758,593 Cardinal Health, Inc. 11,763 817,646 * CareFusion Corp. 117,444 4,587,363 #* Celldex Therapeutics, Inc. 44,462 666,930 #* Celsion Corp. 422 1,401 * Centene Corp. 38,472 2,554,541 #* Cepheid, Inc. 4,496 195,486 * Cerner Corp. 8,000 410,400 * Charles River Laboratories International, Inc. 19,619 1,053,933 # Chemed Corp. 12,392 1,031,882 #* Chindex International, Inc. 7,192 171,385 Cigna Corp. 18,390 1,471,936 U.S. VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Health Care -- (Continued) * Community Health Systems, Inc. 94,067 $3,564,199 # Computer Programs & Systems, Inc. 4,533 286,168 CONMED Corp. 29,451 1,364,465 Cooper Cos., Inc. (The) 24,927 3,288,121 * Corvel Corp. 11,386 518,518 * Covance, Inc. 7,051 622,462 Covidien P.L.C. 15,563 1,108,864 CR Bard, Inc. 4,262 585,300 * Cross Country Healthcare, Inc. 35,532 251,922 CryoLife, Inc. 30,220 274,398 * Cubist Pharmaceuticals, Inc. 21,233 1,487,584 #* Cumberland Pharmaceuticals, Inc. 23,868 106,213 * Cutera, Inc. 16,517 170,290 #* Cyberonics, Inc. 7,429 439,500 * Cynosure, Inc. Class A 23,396 574,138 #* Cytokinetics, Inc. 9,109 41,446 * DaVita HealthCare Partners, Inc. 18,989 1,315,938 Daxor Corp. 4,092 34,005 DENTSPLY International, Inc. 10,234 456,743 * Depomed, Inc. 7,884 110,455 Digirad Corp. 16,700 53,106 #* Durect Corp. 23,066 29,986 #* Dyax Corp. 30,347 200,594 * Edwards Lifesciences Corp. 7,400 602,878 * Emergent Biosolutions, Inc. 39,693 1,046,307 * Emeritus Corp. 25,114 749,151 * Endo International P.L.C. 24,327 1,531,263 Ensign Group, Inc. (The) 21,332 906,610 #* Entremed, Inc. 63 113 #* Enzo Biochem, Inc. 39,085 164,157 # Enzon Pharmaceuticals, Inc. 52,724 46,930 #* Exact Sciences Corp. 3,900 46,800 * Exactech, Inc. 14,011 311,324 * ExamWorks Group, Inc. 23,719 872,859 * Express Scripts Holding Co. 40,752 2,713,268 * Five Star Quality Care, Inc. 55,215 266,688 * Forest Laboratories, Inc. 24,200 2,224,222 * Furiex Pharmaceuticals, Inc. 8,317 859,728 * Gentiva Health Services, Inc. 33,864 254,996 * Greatbatch, Inc. 25,442 1,171,095 #* GTx, Inc. 8,715 13,421 * Haemonetics Corp. 29,388 892,220 * Hanger, Inc. 33,076 1,146,745 #* Harvard Apparatus Regenerative Technology, Inc. 8,831 76,388 #* Harvard Bioscience, Inc. 35,325 149,072 * Health Net, Inc. 77,846 2,672,453 HealthSouth Corp. 20,397 706,552 * HealthStream, Inc. 17,545 397,394 #* Healthways, Inc. 41,838 753,084 #* Hemispherx Biopharma, Inc. 3,300 1,089 * Henry Schein, Inc. 8,644 987,404 # Hill-Rom Holdings, Inc. 32,333 1,207,961 U.S. VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Health Care -- (Continued) #* HMS Holdings Corp. 5,453 $ 88,175 #* Hologic, Inc. 145,374 3,050,673 * Hooper Holmes, Inc. 6,931 4,228 * Hospira, Inc. 11,600 531,280 Humana, Inc. 32,479 3,564,570 * ICU Medical, Inc. 13,600 758,608 #* Idera Pharmaceuticals, Inc. 20,811 59,103 * IDEXX Laboratories, Inc. 400 50,576 #* Illumina, Inc. 9,020 1,225,367 * Impax Laboratories, Inc. 67,957 1,777,076 #* Incyte Corp., Ltd. 9,122 442,964 #* Infinity Pharmaceuticals, Inc. 22,264 217,519 #* InfuSystems Holdings, Inc. 6,961 19,630 #* Insys Therapeutics, Inc. 619 25,416 #* Integra LifeSciences Holdings Corp. 19,299 879,648 * Intuitive Surgical, Inc. 1,500 542,550 Invacare Corp. 39,730 627,734 #* IPC The Hospitalist Co., Inc. 7,907 320,233 #* Iridex Corp. 1,950 16,244 #* IsoRay, Inc. 6,500 15,665 * Jazz Pharmaceuticals P.L.C. 4,993 673,556 Johnson & Johnson 90,092 9,125,419 Kewaunee Scientific Corp. 2,037 34,120 # Kindred Healthcare, Inc. 63,035 1,582,178 * Laboratory Corp. of America Holdings 4,480 442,176 Landauer, Inc. 2,932 126,780 * Lannett Co., Inc. 29,173 1,007,344 * LCA-Vision, Inc. 17,229 92,347 LeMaitre Vascular, Inc. 15,418 126,582 * LHC Group, Inc. 19,752 410,447 * LifePoint Hospitals, Inc. 53,422 2,987,358 #* Ligand Pharmaceuticals, Inc. Class B 1,376 86,922 #* Luminex Corp. 17,105 328,587 * Magellan Health Services, Inc. 32,916 1,899,912 #* Mallinckrodt P.L.C. 7,434 529,524 #* Masimo Corp. 21,257 568,837 #* Mast Therapeutics, Inc. 19,471 11,178 (o)#* Maxygen, Inc. 41,232 1,237 McKesson Corp. 8,300 1,404,277 * MedAssets, Inc. 60,312 1,376,923 (o)* MedCath Corp. 19,024 38,048 * Medical Action Industries, Inc. 17,432 111,739 #* Medicines Co. (The) 39,914 1,061,712 #* MediciNova, Inc. 12,083 22,716 * Medidata Solutions, Inc. 10,060 365,279 * Medivation, Inc. 606 36,487 * MEDNAX, Inc. 30,786 1,824,070 Medtronic, Inc. 35,647 2,096,757 Merck & Co., Inc. 149,737 8,768,599 # Meridian Bioscience, Inc. 992 19,810 * Merit Medical Systems, Inc. 51,073 657,310 * Misonix, Inc. 3,363 20,178 U.S. VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Health Care -- (Continued) #* Molina Healthcare, Inc. 46,900 $ 1,754,060 * Momenta Pharmaceuticals, Inc. 28,579 326,372 * MWI Veterinary Supply, Inc. 5,280 827,059 * Mylan, Inc. 25,528 1,296,312 #* Myriad Genetics, Inc. 24,779 1,045,922 #* Nanosphere, Inc. 19,664 33,625 # National Healthcare Corp. 14,415 788,933 #* National Research Corp. Class A 14,574 229,686 #* National Research Corp. Class B 2,429 106,585 * Natus Medical, Inc. 36,069 895,593 * Neogen Corp. 12,034 502,720 * NuVasive, Inc. 42,936 1,447,373 Omnicare, Inc. 109,511 6,490,717 * Omnicell, Inc. 38,503 1,019,559 #* OncoGenex Pharmaceutical, Inc. 350 1,358 * OraSure Technologies, Inc. 31,916 209,050 * Orthofix International NV 13,976 422,075 #* Osiris Therapeutics, Inc. 348 4,952 # Owens & Minor, Inc. 64,899 2,176,712 #* Pacific Biosciences of California, Inc. 6,720 29,702 #* Pain Therapeutics, Inc. 34,082 193,927 * PAREXEL International Corp. 35,821 1,624,482 Patterson Cos., Inc. 10,176 414,163 * PDI, Inc. 16,959 80,046 # PDL BioPharma, Inc. 34,563 293,440 PerkinElmer, Inc. 73,180 3,071,365 #* Pernix Therapeutics Holdings 4,944 23,781 Perrigo Co. P.L.C. 5,808 841,347 Pfizer, Inc. 459,005 14,357,676 * PharMerica Corp. 36,160 983,190 #* PhotoMedex, Inc. 9,512 143,726 #* Pozen, Inc. 31,193 260,773 * Prestige Brands Holdings, Inc. 65,760 2,204,275 #* Progenics Pharmaceuticals, Inc. 26,897 94,946 #* ProPhase Labs, Inc. 6,052 11,983 * Providence Service Corp. (The) 14,336 582,185 #* pSivida Corp. 13,195 48,030 Quality Systems, Inc. 16,681 246,378 # Quest Diagnostics, Inc. 11,000 615,230 # Questcor Pharmaceuticals, Inc. 7,700 632,786 * Quidel Corp. 26,335 564,886 * RadNet, Inc. 10,874 54,044 * Regeneron Pharmaceuticals, Inc. 6,200 1,840,718 #* Repligen Corp. 30,484 483,171 #* Repros Therapeutics, Inc. 186 3,138 # ResMed, Inc. 9,600 478,560 #* Rigel Pharmaceuticals, Inc. 50,219 160,701 #* RTI Surgical, Inc. 60,665 260,859 #* Sagent Pharmaceuticals, Inc. 5,507 113,940 * Salix Pharmaceuticals, Ltd. 3,676 404,360 #* Sangamo Biosciences, Inc. 8,008 110,831 * Sciclone Pharmaceuticals, Inc. 63,164 301,924 U.S. VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ------------ Health Care -- (Continued) #* Seattle Genetics, Inc. 7,900 $ 303,992 Select Medical Holdings Corp. 135,195 1,887,322 Simulations Plus, Inc. 1,800 10,890 #* Sirona Dental Systems, Inc. 15,186 1,142,291 #* Skilled Healthcare Group, Inc. Class A 19,937 102,875 Span-America Medical Systems, Inc. 3,229 67,325 * Special Diversified Opportunities, Inc. 12,404 14,637 * Spectranetics Corp. 25,926 551,187 #* Spectrum Pharmaceuticals, Inc. 26,500 182,055 St Jude Medical, Inc. 13,900 882,233 #* Staar Surgical Co. 12,085 205,566 #* StemCells, Inc. 1,150 1,438 #* Stereotaxis, Inc. 1,337 5,174 STERIS Corp. 28,908 1,389,029 Stryker Corp. 9,409 731,550 #* Sucampo Pharmaceuticals, Inc. Class A 13,917 96,166 * SunLink Health Systems, Inc. 1,702 2,570 * SurModics, Inc. 18,031 392,355 * Symmetry Medical, Inc. 42,308 349,464 #* Targacept, Inc. 21,573 95,784 * Team Health Holdings, Inc. 13,423 650,747 Techne Corp. 3,336 297,938 # Teleflex, Inc. 40,088 4,092,584 #* Tenet Healthcare Corp. 31,779 1,432,597 #* Theravance, Inc. 3,874 104,288 Thermo Fisher Scientific, Inc. 56,727 6,466,878 * Thoratec Corp. 19,834 650,159 * Tornier NV 19,621 332,968 * Transcept Pharmaceuticals, Inc. 14,106 41,613 * Triple-S Management Corp. Class B 26,978 404,130 #* United Therapeutics Corp. 5,700 570,057 UnitedHealth Group, Inc. 60,801 4,562,507 Universal American Corp. 94,960 680,863 Universal Health Services, Inc. Class B 12,318 1,007,489 US Physical Therapy, Inc. 11,641 359,125 # Utah Medical Products, Inc. 3,789 192,443 * Varian Medical Systems, Inc. 2,074 164,987 * Vascular Solutions, Inc. 15,185 332,703 * VCA Antech, Inc. 91,528 2,803,503 #* Vical, Inc. 6,156 6,956 * WellCare Health Plans, Inc. 35,383 2,387,291 WellPoint, Inc. 49,131 4,946,509 West Pharmaceutical Services, Inc. 44,666 1,937,611 * Wright Medical Group, Inc. 46,466 1,270,845 #* XenoPort, Inc. 6,596 26,780 #* Zalicus, Inc. 1,954 2,091 Zimmer Holdings, Inc. 12,595 1,219,196 Zoetis, Inc. 134,752 4,077,596 ------------ Total Health Care 255,883,350 ------------ Industrials -- (12.6%) AAON, Inc. 22,666 642,581 U.S. VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Industrials -- (Continued) # AAR Corp. 44,341 $1,148,432 ABM Industries, Inc. 56,530 1,531,398 # Acacia Research Corp. 23,571 378,079 #* ACCO Brands Corp. 96,407 590,975 #* Accuride Corp. 24,116 136,014 Aceto Corp. 30,976 677,755 Acme United Corp. 1,921 32,330 #* Acorn Energy, Inc. 16,783 38,937 * Active Power, Inc. 960 2,707 Actuant Corp. Class A 63,614 2,153,970 Acuity Brands, Inc. 7,429 925,431 * Adept Technology, Inc. 10,771 128,821 # ADT Corp. (The) 16,852 509,604 #* Advisory Board Co. (The) 12,196 698,343 * AECOM Technology Corp. 110,026 3,567,043 #* Aegion Corp. 45,505 1,159,922 #* AeroCentury Corp. 1,149 20,625 * Aerovironment, Inc. 27,276 921,111 AGCO Corp. 52,343 2,915,505 * Air Transport Services Group, Inc. 73,400 574,722 Aircastle, Ltd. 58,977 1,036,226 Alamo Group, Inc. 13,919 739,377 Alaska Air Group, Inc. 48,307 4,544,723 Albany International Corp. Class A 27,301 982,290 Allegiant Travel Co. 11,441 1,343,745 Allegion P.L.C. 7,433 366,819 # Alliant Techsystems, Inc. 14,804 2,135,033 (o) Allied Defense Group, Inc. 6,064 485 Allied Motion Technologies, Inc. 7,832 88,815 Altra Industrial Motion Corp. 30,432 1,039,557 AMERCO 19,302 4,827,623 #* Ameresco, Inc. Class A 15,221 97,567 * American Airlines Group, Inc. 40,944 1,435,906 American Railcar Industries, Inc. 23,316 1,619,063 American Science & Engineering, Inc. 7,892 530,342 #* American Superconductor Corp. 12,387 15,855 * American Woodmark Corp. 14,123 423,831 AMETEK, Inc. 14,445 761,540 * AMREP Corp. 6,528 35,578 AO Smith Corp. 40,588 1,897,895 Apogee Enterprises, Inc. 30,486 968,540 Applied Industrial Technologies, Inc. 32,827 1,573,070 * ARC Document Solutions, Inc. 56,879 364,026 ArcBest Corp. 28,900 1,139,238 Argan, Inc. 13,114 351,062 * Armstrong World Industries, Inc. 20,139 1,058,506 #* Arotech Corp. 3,519 12,211 #* Ascent Solar Technologies, Inc. 31,175 15,746 Astec Industries, Inc. 26,155 1,044,892 * Astronics Corp. 8,740 499,229 * Astronics Corp. Class B 1,748 99,461 #* Atlas Air Worldwide Holdings, Inc. 30,680 1,073,493 U.S. VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Industrials -- (Continued) * Avalon Holdings Corp. Class A 700 $ 3,136 * Avis Budget Group, Inc. 124,765 6,561,391 # AZZ, Inc. 25,170 1,092,881 * B/E Aerospace, Inc. 17,682 1,551,949 Babcock & Wilcox Co. (The) 4,536 157,807 Baltic Trading, Ltd. 11,628 69,652 Barnes Group, Inc. 54,174 2,086,782 Barrett Business Services, Inc. 10,851 546,999 * Beacon Roofing Supply, Inc. 41,720 1,484,398 * Blount International, Inc. 84,922 948,579 #* BlueLinx Holdings, Inc. 61,893 81,080 Brady Corp. Class A 47,254 1,218,681 * Breeze-Eastern Corp. 7,923 78,438 # Briggs & Stratton Corp. 54,853 1,172,209 Brink's Co. (The) 36,941 939,779 * Broadwind Energy, Inc. 70 944 #* Builders FirstSource, Inc. 52,668 413,444 * CAI International, Inc. 23,007 500,402 Carlisle Cos., Inc. 30,362 2,497,274 * Casella Waste Systems, Inc. Class A 26,530 135,303 Caterpillar, Inc. 20,219 2,131,083 #* CBIZ, Inc. 57,012 488,593 CDI Corp. 20,602 315,623 # Ceco Environmental Corp. 16,485 261,947 Celadon Group, Inc. 26,924 619,521 #* Chart Industries, Inc. 23,323 1,591,095 Chicago Bridge & Iron Co. NV 4,295 343,901 Chicago Rivet & Machine Co. 508 19,685 Cintas Corp. 14,003 825,197 CIRCOR International, Inc. 18,896 1,534,544 # CLARCOR, Inc. 7,342 424,074 #* Clean Harbors, Inc. 5,654 339,240 #* Colfax Corp. 16,318 1,174,570 * Columbus McKinnon Corp. 22,359 592,290 Comfort Systems USA, Inc. 43,599 653,985 * Command Security Corp. 5,329 10,525 #* Commercial Vehicle Group, Inc. 7,587 73,670 # Compx International, Inc. 2,522 23,202 Con-way, Inc. 56,562 2,402,754 Copa Holdings SA Class A 68 9,199 * Copart, Inc. 11,279 409,089 Corporate Executive Board Co. (The) 13,717 946,747 Courier Corp. 16,697 242,607 Covanta Holding Corp. 114,797 2,118,005 * Covenant Transportation Group, Inc. Class A 11,052 113,283 #* CPI Aerostructures, Inc. 8,398 113,121 * CRA International, Inc. 11,485 250,028 Crane Co. 10,086 733,555 CSX Corp. 165,538 4,671,482 Cubic Corp. 24,919 1,181,908 Cummins, Inc. 5,600 844,760 Curtiss-Wright Corp. 52,171 3,335,814 U.S. VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Industrials -- (Continued) Danaher Corp. 23,600 $1,731,768 Deere & Co. 12,588 1,174,964 Delta Air Lines, Inc. 51,800 1,907,794 Deluxe Corp. 27,837 1,529,643 #* DigitalGlobe, Inc. 81,027 2,412,984 Donaldson Co., Inc. 2,300 96,807 Douglas Dynamics, Inc. 25,084 423,167 Dover Corp. 12,776 1,103,846 * Ducommun, Inc. 11,679 283,449 Dun & Bradstreet Corp. (The) 4,626 512,376 * DXP Enterprises, Inc. 10,820 1,224,932 * Dycom Industries, Inc. 35,016 1,099,502 Dynamic Materials Corp. 14,706 297,061 #* Eagle Bulk Shipping, Inc. 14,547 42,477 Eastern Co. (The) 5,585 94,331 Eaton Corp. P.L.C. 29,601 2,150,217 #* Echo Global Logistics, Inc. 24,181 472,980 Ecology and Environment, Inc. Class A 2,769 26,555 EMCOR Group, Inc. 62,324 2,866,281 Encore Wire Corp. 22,353 1,089,262 #* Energy Recovery, Inc. 44,908 229,480 #* EnerNOC, Inc. 33,287 785,573 # EnerSys, Inc. 46,160 3,119,493 #* Engility Holdings, Inc. 16,919 738,345 # Ennis, Inc. 32,470 485,751 #* EnPro Industries, Inc. 21,572 1,536,142 EnviroStar, Inc. 1,100 3,443 Equifax, Inc. 11,845 838,744 ESCO Technologies, Inc. 29,284 978,671 # Espey Manufacturing & Electronics Corp. 3,027 80,518 * Esterline Technologies Corp. 33,462 3,648,027 Exelis, Inc. 102,197 1,894,732 Expeditors International of Washington, Inc. 10,482 432,278 Exponent, Inc. 10,060 708,425 * Federal Signal Corp. 64,194 974,465 FedEx Corp. 21,397 2,915,341 Flowserve Corp. 10,200 745,110 Fluor Corp. 8,135 615,819 Fortune Brands Home & Security, Inc. 32,275 1,286,159 Forward Air Corp. 15,502 685,653 * Franklin Covey Co. 20,197 409,393 Franklin Electric Co., Inc. 37,287 1,441,888 # FreightCar America, Inc. 13,564 356,191 * FTI Consulting, Inc. 47,609 1,632,989 #* Fuel Tech, Inc. 26,879 163,693 * Furmanite Corp. 39,958 418,760 G&K Services, Inc. Class A 20,819 1,102,158 GATX Corp. 50,833 3,336,170 #* Genco Shipping & Trading, Ltd. 42,355 69,886 * Gencor Industries, Inc. 4,926 51,674 #* GenCorp, Inc. 18,966 333,043 Generac Holdings, Inc. 6,138 361,405 U.S. VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Industrials -- (Continued) General Cable Corp. 56,963 $ 1,459,392 General Dynamics Corp. 22,257 2,436,029 General Electric Co. 773,205 20,791,482 * Genesee & Wyoming, Inc. Class A 19,426 1,923,368 * Gibraltar Industries, Inc. 33,716 575,869 Global Power Equipment Group, Inc. 15,083 264,405 #* Goldfield Corp. (The) 9,421 19,407 Gorman-Rupp Co. (The) 19,231 597,123 * GP Strategies Corp. 18,640 489,859 Graco, Inc. 4,338 314,505 #* GrafTech International, Ltd. 127,697 1,431,483 Graham Corp. 10,133 302,369 # Granite Construction, Inc. 43,963 1,643,337 * Great Lakes Dredge & Dock Corp. 67,714 584,372 #* Greenbrier Cos., Inc. (The) 32,885 1,724,489 Griffon Corp. 69,548 739,991 * H&E Equipment Services, Inc. 37,311 1,438,339 Hardinge, Inc. 13,131 175,430 Harsco Corp. 76,570 1,832,320 #* Hawaiian Holdings, Inc. 57,468 830,413 # Healthcare Services Group, Inc. 6,032 175,531 # Heartland Express, Inc. 40,487 880,997 # HEICO Corp. 11,777 651,504 HEICO Corp. Class A 25,945 1,057,259 Heidrick & Struggles International, Inc. 19,740 372,099 #* Heritage-Crystal Clean, Inc. 1,954 31,264 Herman Miller, Inc. 14,872 458,504 * Hertz Global Holdings, Inc. 70,637 2,011,035 * Hexcel Corp. 22,061 919,723 * Hill International, Inc. 42,457 285,311 HNI Corp. 26,562 935,779 Honeywell International, Inc. 1,900 176,510 Houston Wire & Cable Co. 21,411 266,781 * Hub Group, Inc. Class A 31,352 1,399,867 Hubbell, Inc. Class A 1,952 218,819 Hubbell, Inc. Class B 6,877 809,560 * Hudson Global, Inc. 34,265 121,641 Huntington Ingalls Industries, Inc. 14,948 1,539,644 Hurco Cos., Inc. 6,280 167,425 * Huron Consulting Group, Inc. 19,115 1,360,988 Hyster-Yale Materials Handling, Inc. 13,948 1,344,448 * ICF International, Inc. 22,530 877,994 IDEX Corp. 20,283 1,512,503 * IHS, Inc. Class A 4,370 527,153 Illinois Tool Works, Inc. 13,917 1,186,146 Ingersoll-Rand P.L.C. 22,300 1,333,540 #* InnerWorkings, Inc. 36,891 265,615 #* Innovative Solutions & Support, Inc. 16,826 113,239 Insperity, Inc. 15,017 481,445 Insteel Industries, Inc. 19,007 391,164 * Integrated Electrical Services, Inc. 12,442 77,265 Interface, Inc. 29,517 531,011 U.S. VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Industrials -- (Continued) # International Shipholding Corp. 1,100 $ 29,634 # Intersections, Inc. 18,573 104,380 Iron Mountain, Inc. 22,012 626,021 ITT Corp. 29,937 1,291,482 * Jacobs Engineering Group, Inc. 12,712 733,482 JB Hunt Transport Services, Inc. 6,000 456,600 #* JetBlue Airways Corp. 331,433 2,619,978 John Bean Technologies Corp. 16,543 479,582 # Joy Global, Inc. 31,973 1,930,530 Kadant, Inc. 1,953 67,867 Kaman Corp. 30,968 1,299,727 Kansas City Southern 13,629 1,374,894 KAR Auction Services, Inc. 58,679 1,747,461 KBR, Inc. 45,455 1,153,193 Kelly Services, Inc. Class A 41,979 884,078 Kelly Services, Inc. Class B 700 15,897 # Kennametal, Inc. 22,939 1,071,939 * Key Technology, Inc. 5,258 64,831 Kforce, Inc. 37,672 870,977 Kimball International, Inc. Class B 35,471 594,494 * Kirby Corp. 23,203 2,334,686 # Knight Transportation, Inc. 81,536 1,934,849 Knoll, Inc. 16,163 294,005 * Korn/Ferry International 54,689 1,588,715 #* Kratos Defense & Security Solutions, Inc. 64,583 466,289 L-3 Communications Holdings, Inc. 51,364 5,925,865 # Landstar System, Inc. 12,965 816,665 #* Lawson Products, Inc. 8,745 146,479 #* Layne Christensen Co. 23,728 413,342 LB Foster Co. Class A 11,249 532,640 Lennox International, Inc. 6,221 521,506 Lincoln Electric Holdings, Inc. 19,400 1,296,114 # Lindsay Corp. 6,903 608,361 #* LMI Aerospace, Inc. 13,707 186,963 LS Starrett Co. (The) Class A 6,944 108,465 LSI Industries, Inc. 32,842 249,928 #* Luna Innovations, Inc. 3,800 5,472 * Lydall, Inc. 17,009 398,181 #* Magnetek, Inc. 1,197 26,394 #* Manitex International, Inc. 3,300 54,318 # Manitowoc Co., Inc. (The) 58,740 1,866,757 Manpowergroup, Inc. 58,135 4,728,701 Marten Transport, Ltd. 38,690 907,667 Masco Corp. 60,333 1,212,090 #* MasTec, Inc. 76,702 3,035,865 Mastech Holdings, Inc. 991 17,124 Matson, Inc. 40,660 963,235 McGrath RentCorp 25,820 815,396 * Meritor, Inc. 42,906 509,294 * Metalico, Inc. 43,586 67,122 * Mfri, Inc. 5,730 62,400 #* Middleby Corp. (The) 6,296 1,589,614 U.S. VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Industrials -- (Continued) Miller Industries, Inc. 13,234 $ 256,343 * Mistras Group, Inc. 17,791 404,034 Mobile Mini, Inc. 51,626 2,280,837 * Moog, Inc. Class A 39,159 2,562,957 * Moog, Inc. Class B 2,977 194,934 * MRC Global, Inc. 2,898 84,593 MSA Safety, Inc. 21,994 1,160,183 MSC Industrial Direct Co., Inc. Class A 2,891 263,254 Mueller Industries, Inc. 71,272 2,062,612 Mueller Water Products, Inc. Class A 171,486 1,563,952 # Multi-Color Corp. 17,115 596,458 * MYR Group, Inc. 24,059 564,424 # National Presto Industries, Inc. 7,418 536,025 * Navigant Consulting, Inc. 56,735 953,148 #* NCI Building Systems, Inc. 1,411 22,068 Nielsen Holdings NV 22,800 1,070,460 # NL Industries, Inc. 44,564 446,977 NN, Inc. 18,861 369,110 Nordson Corp. 8,370 622,309 Norfolk Southern Corp. 48,705 4,604,084 Northrop Grumman Corp. 17,610 2,139,791 * Northwest Pipe Co. 11,888 425,234 #* Ocean Power Technologies, Inc. 8,120 21,924 * Old Dominion Freight Line, Inc. 44,451 2,695,064 # Omega Flex, Inc. 4,638 93,548 * On Assignment, Inc. 40,261 1,409,135 * Orbital Sciences Corp. 65,692 1,931,345 * Orion Energy Systems, Inc. 22,165 117,475 * Orion Marine Group, Inc. 21,687 254,389 Oshkosh Corp. 76,569 4,250,345 Owens Corning 115,475 4,717,154 PACCAR, Inc. 6,817 436,152 Pall Corp. 7,100 597,465 * PAM Transportation Services, Inc. 8,221 204,621 * Park-Ohio Holdings Corp. 12,584 734,780 Parker Hannifin Corp. 10,214 1,295,952 * Patrick Industries, Inc. 9,134 365,999 #* Patriot Transportation Holding, Inc. 7,423 258,914 #* Pendrell Corp. 45,689 75,387 Pentair, Ltd. 38,232 2,840,255 * PGT, Inc. 41,352 411,452 * Pike Corp. 40,043 384,413 # Pitney Bowes, Inc. 4,400 117,920 #* PMFG, Inc. 8,778 49,771 #* Polypore International, Inc. 11,353 393,722 Powell Industries, Inc. 13,187 835,001 * PowerSecure International, Inc. 22,223 494,017 Precision Castparts Corp. 2,800 708,652 Preformed Line Products Co. 5,844 349,237 Primoris Services Corp. 23,485 657,110 * Proto Labs, Inc. 1,387 83,969 Providence and Worcester Railroad Co. 2,562 44,681 U.S. VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Industrials -- (Continued) Quad/Graphics, Inc. 12,464 $ 269,846 * Quality Distribution, Inc. 11,361 142,808 Quanex Building Products Corp. 43,028 810,648 * Quanta Services, Inc. 99,324 3,504,151 # Raven Industries, Inc. 23,262 718,796 Raytheon Co. 11,993 1,145,092 * RBC Bearings, Inc. 13,626 848,355 * RCM Technologies, Inc. 10,468 70,973 #* Real Goods Solar, Inc. Class A 3,465 10,152 Regal-Beloit Corp. 34,752 2,597,017 * Republic Airways Holdings, Inc. 54,181 450,244 Republic Services, Inc. 118,036 4,141,883 Resources Connection, Inc. 47,834 651,021 * Rexnord Corp. 655 17,515 #* Roadrunner Transportation Systems, Inc. 34,018 837,863 Robert Half International, Inc. 1,000 44,800 Rockwell Automation, Inc. 9,200 1,096,456 Rollins, Inc. 11,475 345,168 Roper Industries, Inc. 9,010 1,251,939 * RPX Corp. 48,509 794,577 RR Donnelley & Sons Co. 84,111 1,480,354 #* Rush Enterprises, Inc. Class A 33,563 1,077,372 * Rush Enterprises, Inc. Class B 4,506 127,430 Ryder System, Inc. 74,355 6,110,494 * Saia, Inc. 31,322 1,289,527 # Schawk, Inc. 26,443 528,860 * Sensata Technologies Holding NV 5,165 219,358 Servotronics, Inc. 1,499 11,610 SIFCO Industries, Inc. 4,888 160,571 Simpson Manufacturing Co., Inc. 48,444 1,588,479 SkyWest, Inc. 65,489 759,672 * SL Industries, Inc. 9,000 247,410 # SmartPros, Ltd. 1,700 5,831 Snap-on, Inc. 22,655 2,627,980 Southwest Airlines Co. 457,205 11,050,645 #* SP Plus Corp. 10,006 244,347 * Sparton Corp. 10,134 275,239 * Spirit Aerosystems Holdings, Inc. Class A 41,712 1,252,611 * Spirit Airlines, Inc. 1,658 94,241 SPX Corp. 17,868 1,819,677 #* Standard Register Co. (The) 5,242 38,057 Standex International Corp. 14,134 839,136 Stanley Black & Decker, Inc. 47,494 4,079,260 Steelcase, Inc. Class A 69,400 1,143,712 * Stericycle, Inc. 2,600 302,744 #* Sterling Construction Co., Inc. 16,504 126,751 # Sun Hydraulics Corp. 12,252 500,862 * Supreme Industries, Inc. Class A 9,289 52,669 #* Swift Transportation Co. 18,434 443,338 Sypris Solutions, Inc. 17,625 53,404 #* TAL International Group, Inc. 36,804 1,552,393 #* Taser International, Inc. 53,936 871,066 U.S. VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Industrials -- (Continued) * Team, Inc. 17,397 $ 746,157 #* Tecumseh Products Co. Class A 13,430 80,714 * Tecumseh Products Co. Class B 2,690 15,710 * Teledyne Technologies, Inc. 20,382 1,892,673 # Tennant Co. 8,685 554,016 Terex Corp. 100,493 4,350,342 * Tetra Tech, Inc. 62,024 1,778,228 # Textainer Group Holdings, Ltd. 51,126 2,009,252 Textron, Inc. 27,184 1,111,826 * Thermon Group Holdings, Inc. 1,817 43,281 Timken Co. (The) 16,002 1,009,406 # Titan International, Inc. 38,557 675,133 #* Titan Machinery, Inc. 23,132 408,048 Toro Co. (The) 7,800 495,612 Towers Watson & Co. Class A 5,900 662,098 TransDigm Group, Inc. 4,939 878,500 #* TRC Cos., Inc. 18,568 110,108 #* Trex Co., Inc. 5,842 458,714 * Trimas Corp. 27,964 1,002,789 Trinity Industries, Inc. 77,500 5,817,150 Triumph Group, Inc. 28,344 1,836,975 * TrueBlue, Inc. 43,153 1,154,343 * Tutor Perini Corp. 58,607 1,734,767 # Twin Disc, Inc. 16,100 465,773 Tyco International, Ltd. 33,704 1,378,494 * Ultralife Corp. 16,511 59,440 UniFirst Corp. 14,759 1,420,406 Union Pacific Corp. 38,051 7,246,052 * United Continental Holdings, Inc. 31,535 1,288,835 #* United Rentals, Inc. 42,810 4,016,862 # United Stationers, Inc. 41,796 1,568,604 United Technologies Corp. 29,904 3,538,540 * UniTek Global Services, Inc. 2,748 3,353 Universal Forest Products, Inc. 23,626 1,192,877 * Universal Security Instruments, Inc. 1,213 5,095 # Universal Truckload Services, Inc. 16,084 396,631 URS Corp. 78,824 3,714,187 US Ecology, Inc. 16,963 757,398 #* USA Truck, Inc. 12,082 201,286 #* USG Corp. 53,224 1,589,269 # UTi Worldwide, Inc. 108,331 1,060,560 # Valmont Industries, Inc. 6,280 935,155 * Versar, Inc. 7,645 29,510 Viad Corp. 28,407 654,781 * Vicor Corp. 23,646 197,681 * Virco Manufacturing Corp. 21,636 47,491 #* Volt Information Sciences, Inc. 24,400 194,712 VSE Corp. 5,353 334,402 #* Wabash National Corp. 46,166 616,778 * WABCO Holdings, Inc. 8,200 877,482 Wabtec Corp. 11,888 886,250 Waste Connections, Inc. 35,952 1,605,616 U.S. VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ------------ Industrials -- (Continued) Waste Management, Inc. 23,011 $ 1,022,839 Watsco, Inc. 5,991 616,534 Watsco, Inc. Class B 1,205 122,030 # Watts Water Technologies, Inc. Class A 30,800 1,638,560 # Werner Enterprises, Inc. 79,270 2,029,312 * Wesco Aircraft Holdings, Inc. 47,647 965,328 #* WESCO International, Inc. 26,617 2,336,440 * Willdan Group, Inc. 5,554 25,937 * Willis Lease Finance Corp. 8,183 164,969 Woodward, Inc. 8,559 383,700 WW Grainger, Inc. 3,802 967,229 #* XPO Logistics, Inc. 21,438 581,827 Xylem, Inc. 16,981 638,316 #* YRC Worldwide, Inc. 1,704 38,221 ------------ Total Industrials 454,668,028 ------------ Information Technology -- (12.2%) #* 3D Systems Corp. 49,813 2,358,147 * ACI Worldwide, Inc. 15,954 911,771 Activision Blizzard, Inc. 298,945 5,981,889 * Actuate Corp. 49,474 278,539 * Acxiom Corp. 75,579 2,134,351 #* ADDvantage Technologies Group, Inc. 7,160 24,058 * Adobe Systems, Inc. 18,269 1,127,015 # ADTRAN, Inc. 26,259 588,989 * Advanced Energy Industries, Inc. 42,574 931,519 #* Advanced Micro Devices, Inc. 34,281 140,209 * Advanced Photonix, Inc. Class A 3,200 1,760 # Advent Software, Inc. 14,240 410,397 * Aehr Test Systems 2,692 6,892 * Aeroflex Holding Corp. 3,675 28,114 #* Aetrium, Inc. 650 3,283 * Agilysys, Inc. 23,700 297,198 * Akamai Technologies, Inc. 8,346 442,922 * Alliance Data Systems Corp. 2,000 483,800 #* Alpha & Omega Semiconductor, Ltd. 5,202 37,454 Altera Corp. 14,759 479,963 Amdocs, Ltd. 14,311 665,891 American Software, Inc. Class A 24,803 239,101 #* Amkor Technology, Inc. 170,484 1,355,348 Amphenol Corp. Class A 8,719 831,357 * Amtech Systems, Inc. 8,142 69,614 #* ANADIGICS, Inc. 86,065 107,581 Analog Devices, Inc. 16,533 847,978 Anixter International, Inc. 15,883 1,556,216 * ANSYS, Inc. 6,005 458,242 * AOL, Inc. 91,685 3,925,035 Apple, Inc. 44,049 25,992,874 Applied Materials, Inc. 70,077 1,335,668 * Applied Micro Circuits Corp. 36,653 355,901 * ARRIS Group, Inc. 131,862 3,440,280 * Arrow Electronics, Inc. 112,721 6,396,917 U.S. VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Information Technology -- (Continued) * Aspen Technology, Inc. 7,189 $ 309,055 Astro-Med, Inc. 7,311 91,899 * Atmel Corp. 54,133 420,613 * Autobytel, Inc. 2,224 27,667 * Autodesk, Inc. 10,099 484,954 Avago Technologies, Ltd. 14,754 936,879 #* AVG Technologies NV 1,849 34,632 #* Aviat Networks, Inc. 63,193 95,421 #* Avid Technology, Inc. 43,600 329,180 Avnet, Inc. 101,470 4,376,401 AVX Corp. 120,148 1,603,976 * Aware, Inc. 18,447 102,196 * Axcelis Technologies, Inc. 101,937 182,467 * AXT, Inc. 32,748 70,736 Badger Meter, Inc. 9,967 493,865 * Bankrate, Inc. 67,288 1,178,886 Bel Fuse, Inc. Class A 3,300 67,188 Bel Fuse, Inc. Class B 9,614 209,201 Belden, Inc. 23,622 1,743,540 * Benchmark Electronics, Inc. 77,718 1,801,503 Black Box Corp. 25,515 542,449 Blackbaud, Inc. 15,029 457,633 #* Blackhawk Network Holdings, Inc. Class B 8,399 193,429 #* Blucora, Inc. 44,670 859,897 Booz Allen Hamilton Holding Corp. 3,162 73,485 #* Bottomline Technologies de, Inc. 22,107 699,465 Broadcom Corp. Class A 3,000 92,430 Broadridge Financial Solutions, Inc. 8,165 313,046 #* BroadVision, Inc. 4,752 47,140 * Brocade Communications Systems, Inc. 447,964 4,170,545 Brooks Automation, Inc. 92,157 942,766 * Bsquare Corp. 8,148 26,074 * BTU International, Inc. 6,833 20,021 CA, Inc. 29,228 880,932 * Cabot Microelectronics Corp. 21,805 945,683 #* CACI International, Inc. Class A 29,488 2,053,839 * Cadence Design Systems, Inc. 24,600 382,776 * CalAmp Corp. 10,864 192,836 * Calix, Inc. 57,181 503,765 * Cardtronics, Inc. 16,311 546,092 * Cascade Microtech, Inc. 12,931 138,103 # Cass Information Systems, Inc. 10,842 547,629 * Ceva, Inc. 21,943 356,135 * Checkpoint Systems, Inc. 47,745 609,704 #* China Information Technology, Inc. 2,969 12,054 #* ChyronHego Corp. 2,300 5,497 * CIBER, Inc. 92,440 399,341 #* Ciena Corp. 19,380 383,143 * Cinedigm Corp. 29,141 72,853 #* Cirrus Logic, Inc. 24,009 535,401 Cisco Systems, Inc. 254,295 5,876,757 #* Citrix Systems, Inc. 8,516 505,084 U.S. VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Information Technology -- (Continued) #* Clearfield, Inc. 8,316 $ 131,060 * Cognex Corp. 62,694 2,158,554 * Coherent, Inc. 22,667 1,353,447 Cohu, Inc. 26,029 268,099 Communications Systems, Inc. 13,122 158,645 #* CommVault Systems, Inc. 5,207 252,019 Computer Sciences Corp. 24,516 1,450,857 # Computer Task Group, Inc. 16,515 261,102 Compuware Corp. 118,797 1,230,737 * comScore, Inc. 7,079 221,785 # Comtech Telecommunications Corp. 24,798 787,336 * Comverse, Inc. 989 24,666 #* Concur Technologies, Inc. 4,757 382,796 Concurrent Computer Corp. 7,430 62,338 * Constant Contact, Inc. 11,895 307,605 # Convergys Corp. 126,940 2,734,288 #* Conversant, Inc. 48,403 1,182,969 * CoreLogic, Inc. 102,327 2,868,226 Corning, Inc. 237,366 4,963,323 * CoStar Group, Inc. 8,795 1,415,028 #* Cray, Inc. 39,804 1,142,773 #* Cree, Inc. 36,353 1,714,771 * Crexendo, Inc. 6,718 21,363 CSG Systems International, Inc. 36,325 957,527 CSP, Inc. 2,269 17,199 CTS Corp. 39,077 695,180 * CyberOptics Corp. 7,973 59,957 Daktronics, Inc. 41,222 536,710 * Datalink Corp. 17,293 222,042 #* Dataram Corp. 1,316 3,527 * Dealertrack Technologies, Inc. 38,086 1,740,149 #* Demand Media, Inc. 24,294 101,063 * Dice Holdings, Inc. 63,896 488,804 # Diebold, Inc. 48,740 1,833,111 * Digi International, Inc. 27,924 247,407 Digimarc Corp. 5,363 177,086 * Digital River, Inc. 39,992 611,478 * Diodes, Inc. 42,436 1,119,037 * Dot Hill Systems Corp. 51,635 213,253 * DSP Group, Inc. 22,785 181,369 DST Systems, Inc. 11,104 1,023,678 * DTS, Inc. 17,423 324,242 EarthLink Holdings Corp. 116,896 398,615 * eBay, Inc. 38,237 1,981,824 # Ebix, Inc. 29,521 465,841 #* Echelon Corp. 10,191 26,395 * EchoStar Corp. Class A 39,899 1,793,859 * Edgewater Technology, Inc. 8,479 60,031 #* Elecsys Corp. 1,496 20,286 Electro Rent Corp. 26,078 421,160 Electro Scientific Industries, Inc. 33,107 280,747 * Electronic Arts, Inc. 19,023 538,351 U.S. VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Information Technology -- (Continued) * Electronics for Imaging, Inc. 45,192 $1,707,806 #* Ellie Mae, Inc. 2,429 59,243 #* eMagin Corp. 11,664 28,110 EMC Corp. 65,000 1,677,000 #* Emcore Corp. 26,656 128,748 * Emulex Corp. 108,735 777,455 * Entegris, Inc. 161,194 1,787,641 * Entropic Communications, Inc. 96,873 357,461 * Envestnet, Inc. 3,782 139,367 * EPAM Systems, Inc. 10,625 330,756 EPIQ Systems, Inc. 40,402 516,742 * ePlus, Inc. 8,798 440,252 #* Equinix, Inc. 3,982 747,859 * Euronet Worldwide, Inc. 48,710 2,240,173 * Exar Corp. 52,119 563,928 * ExlService Holdings, Inc. 22,179 627,555 * Extreme Networks, Inc. 102,706 587,478 * F5 Networks, Inc. 3,400 357,578 * Fabrinet 31,467 679,687 # FactSet Research Systems, Inc. 1,700 181,050 Fair Isaac Corp. 37,239 2,130,071 * Fairchild Semiconductor International, Inc. 184,949 2,354,401 * FalconStor Software, Inc. 29,232 44,433 * FARO Technologies, Inc. 15,152 604,565 FEI Co. 30,474 2,423,292 Fidelity National Information Services, Inc. 135,134 7,220,210 #* Finisar Corp. 71,998 1,882,748 * First Solar, Inc. 96,345 6,502,324 * Fiserv, Inc. 24,452 1,486,193 FLIR Systems, Inc. 15,627 531,943 * FormFactor, Inc. 63,834 367,045 Forrester Research, Inc. 16,811 595,614 #* Freescale Semiconductor, Ltd. 8,279 181,890 * Frequency Electronics, Inc. 8,185 87,211 * Gartner, Inc. 8,459 583,163 * Genpact, Ltd. 6,410 108,073 * GigOptix, Inc. 3,278 5,212 * Global Cash Access Holdings, Inc. 68,823 454,232 Global Payments, Inc. 6,639 443,684 # Globalscape, Inc. 2,198 5,429 * GSE Systems, Inc. 26,843 46,975 * GSI Group, Inc. 36,710 445,659 #* GSI Technology, Inc. 27,206 172,758 #* GT Advanced Technologies, Inc. 24,000 398,640 #* Guidance Software, Inc. 9,803 90,286 * Guidewire Software, Inc. 500 18,880 Hackett Group, Inc. (The) 41,738 250,428 * Harmonic, Inc. 120,507 847,164 Harris Corp. 9,532 700,793 # Heartland Payment Systems, Inc. 8,335 341,235 Hewlett-Packard Co. 265,841 8,788,703 Hittite Microwave Corp. 13,900 825,104 U.S. VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Information Technology -- (Continued) #* Hutchinson Technology, Inc. 29,439 $ 81,840 IAC/InterActiveCorp 115,491 7,654,743 #* ID Systems, Inc. 11,992 67,515 #* Identive Group, Inc. 42,924 36,485 #* IEC Electronics Corp. 7,468 33,233 * iGATE Corp. 23,968 877,229 * II-VI, Inc. 47,224 680,026 * Ikanos Communications, Inc. 8,330 4,956 #* Imation Corp. 39,287 169,720 #* Immersion Corp. 21,510 243,923 #* Infinera Corp. 82,316 737,551 * Informatica Corp. 6,484 229,858 * Ingram Micro, Inc. Class A 149,359 4,026,719 * Innodata, Inc. 21,458 72,313 * Inphi Corp. 23,122 341,974 * Insight Enterprises, Inc. 64,391 1,681,893 * Integrated Device Technology, Inc. 187,332 2,186,164 * Integrated Silicon Solution, Inc. 31,768 459,365 Intel Corp. 534,019 14,252,967 * Intellicheck Mobilisa, Inc. 2,300 1,564 * Interactive Intelligence Group, Inc. 7,937 496,618 # InterDigital, Inc. 3,715 128,985 #* Internap Network Services Corp. 55,781 374,848 * International Rectifier Corp. 83,537 2,175,303 * Interphase Corp. 4,200 22,890 Intersil Corp. Class A 147,971 1,825,962 #* inTEST Corp. 2,202 9,094 * Intevac, Inc. 24,856 200,091 * IntraLinks Holdings, Inc. 26,655 243,893 * IntriCon Corp. 6,777 44,796 Intuit, Inc. 5,892 446,319 #* Inuvo, Inc. 3,127 2,408 #* IPG Photonics Corp. 9,261 598,538 * Iteris, Inc. 13,000 25,220 #* Itron, Inc. 36,993 1,405,734 * Ixia 55,569 690,167 IXYS Corp. 35,507 383,121 # j2 Global, Inc. 25,662 1,189,690 Jabil Circuit, Inc. 51,771 893,567 Jack Henry & Associates, Inc. 10,749 592,915 * JDS Uniphase Corp. 26,000 329,420 * Juniper Networks, Inc. 218,330 5,390,568 #* Kemet Corp. 49,217 246,577 * Key Tronic Corp. 11,045 115,752 KLA-Tencor Corp. 11,000 703,890 * Knowles Corp. 6,388 178,417 #* Kopin Corp. 75,094 244,806 * Kulicke & Soffa Industries, Inc. 88,369 1,299,908 * KVH Industries, Inc. 18,537 250,435 * Lam Research Corp. 47,402 2,730,829 * Lattice Semiconductor Corp. 128,936 1,085,641 # Leidos Holdings, Inc. 33,039 1,230,372 U.S. VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Information Technology -- (Continued) Lexmark International, Inc. Class A 66,659 $ 2,866,337 * LGL Group, Inc. (The) 1,300 6,370 * Limelight Networks, Inc. 99,614 206,201 Linear Technology Corp. 3,740 166,430 * Lionbridge Technologies, Inc. 26,308 154,691 #* Liquidity Services, Inc. 1,243 21,442 Littelfuse, Inc. 14,744 1,335,069 * LoJack Corp. 26,126 148,134 LSI Corp. 52,348 583,157 * LTX-Credence Corp. 54,157 521,532 * M/A-COM Technology Solutions Holdings, Inc. 2,801 49,046 * Magnachip Semiconductor Corp. 41,376 579,264 #* Management Network Group, Inc. 1,166 4,769 * Manhattan Associates, Inc. 35,640 1,123,729 # ManTech International Corp. Class A 26,394 787,333 Marchex, Inc. Class B 28,607 264,615 Marvell Technology Group, Ltd. 258,459 4,099,160 * Mattersight Corp. 2,773 17,498 * Mattson Technology, Inc. 37,406 74,438 Maxim Integrated Products, Inc. 16,551 536,914 MAXIMUS, Inc. 36,062 1,535,159 #* MaxLinear, Inc. Class A 7,390 58,159 #* Maxwell Technologies, Inc. 31,255 470,700 #* Measurement Specialties, Inc. 15,274 982,882 Mentor Graphics Corp. 115,618 2,393,293 * Mercury Systems, Inc. 36,698 512,304 # Mesa Laboratories, Inc. 2,992 256,414 Methode Electronics, Inc. 42,014 1,165,468 Micrel, Inc. 58,395 581,614 # Microchip Technology, Inc. 12,600 599,004 * Micron Technology, Inc. 569,578 14,877,377 * MICROS Systems, Inc. 12,220 629,330 * Microsemi Corp. 91,858 2,160,500 MKS Instruments, Inc. 62,355 1,755,293 # MOCON, Inc. 7,200 115,056 #* ModusLink Global Solutions, Inc. 41,970 169,559 * MoneyGram International, Inc. 3,779 49,883 * Monolithic Power Systems, Inc. 31,902 1,183,564 Monotype Imaging Holdings, Inc. 34,236 904,173 * Monster Worldwide, Inc. 130,542 899,434 #* MoSys, Inc. 34,527 135,001 Motorola Solutions, Inc. 6,581 418,420 * Move, Inc. 21,403 228,798 # MTS Systems Corp. 11,683 753,203 * Multi-Fineline Electronix, Inc. 22,775 281,955 * Nanometrics, Inc. 24,084 391,606 * NAPCO Security Technologies, Inc. 11,790 68,854 National Instruments Corp. 11,250 307,238 * NCI, Inc. Class A 7,471 74,486 * NCR Corp. 22,900 698,679 #* NeoPhotonics Corp. 3,057 17,639 NetApp, Inc. 24,000 854,640 U.S. VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Information Technology -- (Continued) * NETGEAR, Inc. 33,758 $1,090,383 #* Netlist, Inc. 10,407 16,859 * Netscout Systems, Inc. 26,955 1,050,167 * NetSuite, Inc. 4,884 377,582 #* NeuStar, Inc. Class A 7,297 187,679 * Newport Corp. 44,777 836,434 NIC, Inc. 17,644 323,591 #* Novatel Wireless, Inc. 39,494 71,484 #* Nuance Communications, Inc. 22,798 366,820 #* Numerex Corp. Class A 5,996 61,459 NVIDIA Corp. 38,551 712,037 * Oclaro, Inc. 74,291 252,589 * OmniVision Technologies, Inc. 64,775 1,265,056 * ON Semiconductor Corp. 56,713 533,669 * Onvia, Inc. 700 3,651 * OpenTable, Inc. 736 49,430 * Oplink Communications, Inc. 26,521 454,570 Optical Cable Corp. 6,626 25,113 * OSI Systems, Inc. 15,752 879,119 * Pandora Media, Inc. 1,300 30,446 #* PAR Technology Corp. 12,088 58,385 Park Electrochemical Corp. 23,058 614,726 #* Parkervision, Inc. 2,838 12,941 PC Connection, Inc. 27,310 546,473 PC-Tel, Inc. 23,419 193,207 * PCM, Inc. 12,900 134,418 * PDF Solutions, Inc. 21,746 408,172 Pegasystems, Inc. 2,546 42,187 Perceptron, Inc. 9,285 109,563 * Perficient, Inc. 34,541 631,064 * Pericom Semiconductor Corp. 26,855 216,720 * Photronics, Inc. 68,273 592,610 #* Pixelworks, Inc. 8,299 42,574 * Planar Systems, Inc. 16,655 36,641 Plantronics, Inc. 28,049 1,222,095 * Plexus Corp. 33,917 1,421,801 * PLX Technology, Inc. 37,157 215,511 * PMC-Sierra, Inc. 217,500 1,487,700 * Polycom, Inc. 117,441 1,444,524 # Power Integrations, Inc. 14,548 687,102 #* PRGX Global, Inc. 27,966 179,821 #* Procera Networks, Inc. 17,779 164,634 * Progress Software Corp. 45,735 981,473 * PROS Holdings, Inc. 3,540 96,996 * PTC, Inc. 13,187 466,424 * Pulse Electronics Corp. 600 1,980 QAD, Inc. Class A 8,223 156,648 QAD, Inc. Class B 2,342 36,512 * QLogic Corp. 99,091 1,147,474 QUALCOMM, Inc. 23,426 1,843,860 * Qualstar Corp. 6,493 9,804 #* Quantum Corp. 51,697 55,833 U.S. VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Information Technology -- (Continued) #* QuickLogic Corp. 10,134 $ 47,934 * QuinStreet, Inc. 2,000 12,200 * Qumu Corp. 10,312 138,696 #* Rackspace Hosting, Inc. 600 17,412 #* Radisys Corp. 29,188 93,402 #* Rambus, Inc. 64,753 782,864 * RealNetworks, Inc. 37,272 281,031 * Red Hat, Inc. 6,300 306,495 #* Reis, Inc. 11,179 184,006 * Relm Wireless Corp. 7,900 25,438 #* Remark Media, Inc. 844 4,861 RF Industries, Ltd. 7,730 47,230 * RF Micro Devices, Inc. 250,701 2,115,916 # Richardson Electronics, Ltd. 15,984 160,160 * Riverbed Technology, Inc. 14,550 282,998 * Rofin-Sinar Technologies, Inc. 28,773 638,761 * Rogers Corp. 15,224 913,744 * Rosetta Stone, Inc. 23,564 280,647 * Rovi Corp. 24,996 557,161 #* Rubicon Technology, Inc. 18,870 191,153 * Rudolph Technologies, Inc. 43,348 394,900 * Saba Software, Inc. 13,285 146,135 SanDisk Corp. 34,190 2,905,124 * Sanmina Corp. 98,198 1,988,509 * Sapient Corp. 53,171 865,092 * ScanSource, Inc. 28,724 1,103,289 Science Applications International Corp. 11,420 445,380 * Seachange International, Inc. 38,662 362,263 Seagate Technology P.L.C. 23,709 1,246,619 * Selectica, Inc. 628 3,737 * Semtech Corp. 41,469 994,427 * ServiceSource International, Inc. 3,531 22,033 #* Sevcon, Inc. 1,971 21,464 * ShoreTel, Inc. 50,584 381,909 * Sigma Designs, Inc. 38,527 145,247 #* Silicon Graphics International Corp. 14,772 178,446 * Silicon Image, Inc. 80,653 452,463 * Silicon Laboratories, Inc. 20,030 900,348 * Skyworks Solutions, Inc. 27,122 1,113,358 #* Smith Micro Software, Inc. 38,073 63,201 * SMTC Corp. 4,872 7,454 * SolarWinds, Inc. 12,382 499,242 Solera Holdings, Inc. 6,600 427,548 * Sonus Networks, Inc. 319,853 1,045,919 * Spansion, Inc. Class A 62,265 1,110,185 #* Spark Networks, Inc. 6,034 27,334 #* Speed Commerce, Inc. 27,494 90,730 * SS&C Technologies Holdings, Inc. 71,765 2,793,094 * Stamps.com, Inc. 12,830 445,329 * StarTek, Inc. 15,566 108,184 #* Stratasys, Ltd. 14,377 1,392,700 #* SunEdison, Inc. 173,676 3,339,789 U.S. VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Information Technology -- (Continued) #* SunPower Corp. 136,646 $4,566,709 * Super Micro Computer, Inc. 48,163 980,599 #* support.com, Inc. 50,034 123,584 * Sykes Enterprises, Inc. 51,451 1,018,215 Symantec Corp. 22,610 458,531 #* Synaptics, Inc. 17,883 1,111,428 * Synchronoss Technologies, Inc. 2,248 68,429 * SYNNEX Corp. 42,692 2,876,587 * Synopsys, Inc. 31,373 1,180,252 #* Syntel, Inc. 4,100 329,312 #* Take-Two Interactive Software, Inc. 89,608 1,826,211 TE Connectivity, Ltd. 20,820 1,227,964 * Tech Data Corp. 51,682 3,229,608 * TeleCommunication Systems, Inc. Class A 58,380 148,869 * Telenav, Inc. 46,415 284,524 * TeleTech Holdings, Inc. 34,566 834,078 #* Teradata Corp. 2,900 131,834 #* Teradyne, Inc. 73,504 1,298,816 # Tessco Technologies, Inc. 10,869 357,481 Tessera Technologies, Inc. 58,211 1,276,567 TheStreet, Inc. 29,582 76,026 #* TIBCO Software, Inc. 10,754 211,101 Total System Services, Inc. 26,395 838,569 # Transact Technologies, Inc. 7,182 76,776 * Trimble Navigation, Ltd. 14,440 554,929 * Trio Tech International 2,616 8,227 * TriQuint Semiconductor, Inc. 184,523 2,616,536 * TSR, Inc. 722 2,188 #* TTM Technologies, Inc. 89,284 704,451 * Tyler Technologies, Inc. 14,547 1,187,763 * Ultimate Software Group, Inc. (The) 2,149 257,085 * Ultra Clean Holdings, Inc. 25,665 218,666 #* Ultratech, Inc. 21,900 582,978 * Unisys Corp. 11,891 289,784 United Online, Inc. 15,283 181,104 #* Unwired Planet, Inc. 66,037 150,564 #* USA Technologies, Inc. 1,583 3,198 #* UTStarcom Holdings Corp. 13,432 41,505 #* Veeco Instruments, Inc. 37,673 1,392,771 * VeriFone Systems, Inc. 25,658 858,004 * Verint Systems, Inc. 11,484 502,655 #* VeriSign, Inc. 7,900 372,722 #* ViaSat, Inc. 24,715 1,586,950 #* Viasystems Group, Inc. 17,945 215,699 * Vicon Industries, Inc. 1,600 4,672 * Video Display Corp. 6,495 22,538 * Virtusa Corp. 30,447 1,003,838 Visa, Inc. Class A 37,703 7,639,005 # Vishay Intertechnology, Inc. 169,836 2,415,068 * Vishay Precision Group, Inc. 17,886 290,290 #* VistaPrint NV 7,396 291,920 #* Vocus, Inc. 2,100 37,758 U.S. VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ------------ Information Technology -- (Continued) #* Vringo, Inc. 900 $ 3,681 # Wayside Technology Group, Inc. 4,672 75,500 #* Web.com Group, Inc. 29,853 916,786 #* WebMD Health Corp. 9,690 427,232 * Westell Technologies, Inc. Class A 54,239 176,819 Western Digital Corp. 122,881 10,829,503 * WEX, Inc. 15,860 1,522,084 Xerox Corp. 731,469 8,843,460 Xilinx, Inc. 17,283 815,585 * XO Group, Inc. 33,845 359,434 * Yahoo!, Inc. 38,013 1,366,567 * Zebra Technologies Corp. Class A 25,464 1,768,220 * Zix Corp. 31,988 104,921 * Zygo Corp. 22,493 432,765 #* Zynga, Inc. Class A 243,950 987,997 ------------ Total Information Technology 439,720,188 ------------ Materials -- (5.3%) A Schulman, Inc. 32,206 1,156,840 * AEP Industries, Inc. 4,480 159,578 Air Products & Chemicals, Inc. 6,000 705,120 Airgas, Inc. 7,100 754,446 Albemarle Corp. 13,868 929,711 Alcoa, Inc. 555,703 7,485,319 Allegheny Technologies, Inc. 102,067 4,205,160 #* Allied Nevada Gold Corp. 2,500 8,475 #* AM Castle & Co. 25,873 317,720 AMCOL International Corp. 22,034 1,010,259 * American Biltrite, Inc. 22 9,240 # American Vanguard Corp. 28,100 500,461 Ampco-Pittsburgh Corp. 10,468 209,674 Aptargroup, Inc. 14,163 954,869 * Arabian American Development Co. 17,071 186,586 Ashland, Inc. 54,786 5,292,328 Avery Dennison Corp. 17,343 843,910 # Axiall Corp. 65,673 3,060,362 Balchem Corp. 8,962 555,196 Ball Corp. 12,700 713,613 Bemis Co., Inc. 49,227 1,980,894 Cabot Corp. 61,093 3,531,175 * Calgon Carbon Corp. 37,204 745,196 # Carpenter Technology Corp. 14,069 883,533 Celanese Corp. Series A 7,096 435,907 * Century Aluminum Co. 107,942 1,484,203 CF Industries Holdings, Inc. 8,212 2,013,336 Chase Corp. 8,818 274,593 #* Chemtura Corp. 103,367 2,305,084 * Clearwater Paper Corp. 22,678 1,392,202 # Cliffs Natural Resources, Inc. 139,862 2,478,355 #* Codexis, Inc. 15,600 26,520 * Coeur Mining, Inc. 100,299 868,589 Commercial Metals Co. 134,148 2,575,642 U.S. VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Materials -- (Continued) Compass Minerals International, Inc. 4,351 $ 398,552 * Contango ORE, Inc. 1,008 11,995 * Continental Materials Corp. 73 1,351 * Core Molding Technologies, Inc. 8,483 101,881 * Crown Holdings, Inc. 6,500 306,605 # Cytec Industries, Inc. 44,664 4,257,372 # Deltic Timber Corp. 6,776 411,642 Domtar Corp. 36,566 3,413,802 Dow Chemical Co. (The) 88,875 4,434,863 Eagle Materials, Inc. 35,734 2,977,714 Eastman Chemical Co. 18,043 1,572,808 Ecolab, Inc. 9,795 1,024,949 EI du Pont de Nemours & Co. 1,400 94,248 * Ferro Corp. 93,371 1,211,956 #* Flotek Industries, Inc. 3,249 91,004 FMC Corp. 10,200 785,400 Freeport-McMoRan Copper & Gold, Inc. 127,190 4,371,520 Friedman Industries, Inc. 10,403 89,258 # FutureFuel Corp. 47,119 945,678 #* General Moly, Inc. 85,417 93,959 Globe Specialty Metals, Inc. 24,125 467,543 #* Golden Minerals Co. 12,619 8,833 * Graphic Packaging Holding Co. 340,196 3,490,411 Greif, Inc. Class A 12,716 689,080 Greif, Inc. Class B 8,346 490,828 # Hawkins, Inc. 10,342 374,380 Haynes International, Inc. 13,044 691,984 HB Fuller Co. 44,500 2,061,685 * Headwaters, Inc. 58,852 734,473 # Hecla Mining Co. 310,378 952,860 #* Horsehead Holding Corp. 53,831 839,225 Huntsman Corp. 115,617 2,896,206 Innophos Holdings, Inc. 20,019 1,129,872 Innospec, Inc. 18,013 775,640 International Flavors & Fragrances, Inc. 1,827 179,996 International Paper Co. 67,274 3,138,332 #* Intrepid Potash, Inc. 27,179 443,018 # Kaiser Aluminum Corp. 21,204 1,492,762 * KapStone Paper and Packaging Corp. 96,958 2,557,752 # KMG Chemicals, Inc. 12,211 190,614 Koppers Holdings, Inc. 8,102 345,955 * Kraton Performance Polymers, Inc. 36,759 957,572 Kronos Worldwide, Inc. 23,380 365,897 * Landec Corp. 29,248 346,881 #* Louisiana-Pacific Corp. 148,940 2,441,127 #* LSB Industries, Inc. 18,927 722,822 LyondellBasell Industries NV Class A 11,014 1,018,795 # Martin Marietta Materials, Inc. 5,997 745,607 Materion Corp. 23,985 807,095 #* McEwen Mining, Inc. 189,521 454,850 MeadWestvaco Corp. 99,011 3,868,360 * Mercer International, Inc. 55,537 459,846 U.S. VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Materials -- (Continued) #* Metabolix, Inc. 1,126 $ 1,160 Minerals Technologies, Inc. 34,080 2,027,419 #* Mines Management, Inc. 9,985 12,681 Mosaic Co. (The) 22,581 1,129,953 Myers Industries, Inc. 38,255 715,369 Neenah Paper, Inc. 16,629 837,603 # NewMarket Corp. 1,500 558,480 Newmont Mining Corp. 15,800 392,314 Noranda Aluminum Holding Corp. 30,896 109,681 * Northern Technologies International Corp. 3,755 79,418 Nucor Corp. 23,318 1,206,707 # Olin Corp. 87,092 2,447,285 Olympic Steel, Inc. 12,310 324,492 # OM Group, Inc. 36,502 1,069,144 * OMNOVA Solutions, Inc. 50,419 459,821 * Owens-Illinois, Inc. 26,063 828,282 Packaging Corp. of America 21,228 1,414,422 #* Penford Corp. 11,940 150,444 PH Glatfelter Co. 47,126 1,202,656 PolyOne Corp. 78,982 2,959,456 PPG Industries, Inc. 3,826 740,790 Quaker Chemical Corp. 13,900 1,034,577 Reliance Steel & Aluminum Co. 75,731 5,363,269 * Resolute Forest Products, Inc. 25,207 449,693 Rock-Tenn Co. Class A 43,474 4,156,549 Rockwood Holdings, Inc. 16,722 1,188,098 # Royal Gold, Inc. 11,268 745,942 RPM International, Inc. 30,156 1,286,455 * RTI International Metals, Inc. 33,542 944,543 # Schnitzer Steel Industries, Inc. Class A 30,078 844,289 Schweitzer-Mauduit International, Inc. 31,776 1,386,705 Scotts Miracle-Gro Co. (The) Class A 5,700 348,897 Sealed Air Corp. 172,201 5,908,216 #* Senomyx, Inc. 18,977 155,422 Sensient Technologies Corp. 49,181 2,658,233 Sherwin-Williams Co. (The) 1,508 301,359 Sigma-Aldrich Corp. 6,719 646,435 Silgan Holdings, Inc. 8,035 399,741 #* Silver Bull Resources, Inc. 3,700 1,221 #* Solitario Exploration & Royalty Corp. 1,300 1,378 Sonoco Products Co. 21,507 905,015 Steel Dynamics, Inc. 215,289 3,933,330 Stepan Co. 14,000 809,620 #* Stillwater Mining Co. 135,749 2,142,119 * SunCoke Energy, Inc. 74,371 1,552,123 Synalloy Corp. 8,022 124,341 #* Texas Industries, Inc. 25,441 2,205,735 Tredegar Corp. 22,267 463,376 Tronox, Ltd. Class A 15,816 387,492 United States Lime & Minerals, Inc. 5,495 297,060 # United States Steel Corp. 141,607 3,684,614 * Universal Stainless & Alloy Products, Inc. 8,014 287,622 U.S. VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE+ --------- ------------ Materials -- (Continued) # Valhi, Inc. 24,600 $ 186,468 Valspar Corp. (The) 25,504 1,862,812 #* Verso Paper Corp. 1,365 3,713 Vulcan Materials Co. 40,012 2,581,974 # Walter Energy, Inc. 61,308 441,418 # Wausau Paper Corp. 55,527 664,103 Westlake Chemical Corp. 93,376 6,648,371 Worthington Industries, Inc. 59,393 2,185,662 * WR Grace & Co. 7,182 661,462 Zep, Inc. 22,827 394,679 ------------ Total Materials 191,702,662 ------------ Other -- (0.0%) (o)* Brooklyn Federal Bancorp, Inc. Escrow Shares 6,039 -- (o)* FRD Acquisition Co. Escrow Shares 14,091 -- (o)* Gerber Scientific, Inc. Escrow Shares 24,204 -- (o)* Softbrands, Inc. Escrow Shares 5,800 -- ------------ Total Other -- ------------ Real Estate Investment Trusts -- (0.0%) Parkway Properties, Inc. 18,482 348,570 ------------ Telecommunication Services -- (1.9%) #* Alaska Communications Systems Group, Inc. 5,797 10,956 # Alteva 5,727 34,648 AT&T, Inc. 796,344 28,429,481 Atlantic Tele-Network, Inc. 16,302 964,589 #* Boingo Wireless, Inc. 3,589 23,687 * Cbeyond, Inc. 31,959 316,075 # CenturyLink, Inc. 95,717 3,341,481 * Cincinnati Bell, Inc. 48,400 162,140 Cogent Communications Group, Inc. 10,739 370,173 # Consolidated Communications Holdings, Inc. 34,955 696,304 # Frontier Communications Corp. 1,416,600 8,428,770 * General Communication, Inc. Class A 47,166 492,413 #* Hawaiian Telcom Holdco, Inc. 2,120 56,434 # HC2 Holdings, Inc. 3,645 14,325 # HickoryTech Corp. 12,468 147,995 IDT Corp. Class B 19,006 301,055 Inteliquent, Inc. 35,628 485,966 #* Iridium Communications, Inc. 78,908 526,316 * Level 3 Communications, Inc. 11,404 490,714 Lumos Networks Corp. 18,560 245,178 #* NII Holdings, Inc. 10,211 8,780 # NTELOS Holdings Corp. 10,981 151,428 * ORBCOMM, Inc. 49,673 311,450 * Premiere Global Services, Inc. 55,230 702,526 #* SBA Communications Corp. Class A 3,000 269,280 Shenandoah Telecommunications Co. 26,464 741,786 #* Sprint Corp. 172,026 1,462,221 #* Straight Path Communications, Inc. Class B 9,503 66,521 * T-Mobile US, Inc. 37,030 1,084,609 U.S. VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Telecommunication Services -- (Continued) Telephone & Data Systems, Inc. 98,813 $ 2,686,725 * tw telecom, Inc. 6,182 189,726 United States Cellular Corp. 27,886 1,158,384 USA Mobility, Inc. 25,579 438,168 Verizon Communications, Inc. 259,639 12,132,931 * Vonage Holdings Corp. 241,650 927,936 # Windstream Holdings, Inc. 296,547 2,689,681 ----------- Total Telecommunication Services 70,560,852 ----------- Utilities -- (1.1%) AES Corp. 172,199 2,488,276 AGL Resources, Inc. 10,844 585,576 # ALLETE, Inc. 16,295 843,429 Alliant Energy Corp. 53 3,099 American States Water Co. 10,468 317,809 # Aqua America, Inc. 15,907 399,107 Artesian Resources Corp. Class A 2,239 49,303 Atmos Energy Corp. 8,582 438,025 # Avista Corp. 16,380 526,617 Black Hills Corp. 14,764 852,621 #* Cadiz, Inc. 2,750 17,683 California Water Service Group 13,678 307,755 * Calpine Corp. 62,871 1,441,632 Chesapeake Utilities Corp. 4,546 287,580 Cleco Corp. 6,815 358,128 CMS Energy Corp. 17,300 524,363 Connecticut Water Service, Inc. 3,934 127,855 Consolidated Water Co., Ltd. 17,333 201,409 # Delta Natural Gas Co., Inc. 1,858 35,432 #* Dynegy, Inc. 8,448 240,346 El Paso Electric Co. 10,875 411,293 Empire District Electric Co. (The) 11,620 282,598 # Gas Natural, Inc. 1,949 21,244 * Genie Energy, Ltd. Class B 22,104 179,042 Great Plains Energy, Inc. 13,461 361,159 # Hawaiian Electric Industries, Inc. 23,207 556,736 IDACORP, Inc. 19,560 1,098,098 Integrys Energy Group, Inc. 7,049 431,963 ITC Holdings Corp. 14,352 530,593 # Laclede Group, Inc. (The) 8,861 420,100 MDU Resources Group, Inc. 6,672 236,322 # MGE Energy, Inc. 9,478 362,249 Middlesex Water Co. 7,850 159,591 National Fuel Gas Co. 2,800 206,192 # New Jersey Resources Corp. 11,097 551,854 Northeast Utilities 15,733 743,542 # Northwest Natural Gas Co. 6,831 302,408 NorthWestern Corp. 10,200 493,476 NRG Energy, Inc. 195,195 6,386,780 OGE Energy Corp. 10,600 395,698 ONE Gas, Inc. 14,185 518,887 # Ormat Technologies, Inc. 37,313 995,511 U.S. VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ---------- -------------- Utilities -- (Continued) # Otter Tail Corp. 9,700 $ 284,210 Pepco Holdings, Inc. 1,371 36,688 Piedmont Natural Gas Co., Inc. 8,312 297,486 Pinnacle West Capital Corp. 7,400 414,030 PNM Resources, Inc. 26,395 730,614 Portland General Electric Co. 16,628 556,539 Questar Corp. 39,630 962,216 RGC Resources, Inc. 400 7,640 SJW Corp. 18,956 516,172 South Jersey Industries, Inc. 8,799 505,503 Southwest Gas Corp. 15,438 849,244 # TECO Energy, Inc. 20,582 369,653 UGI Corp. 144,633 6,752,915 # UIL Holdings Corp. 14,372 527,884 Unitil Corp. 5,773 191,664 # UNS Energy Corp. 11,471 688,948 Vectren Corp. 7,293 295,877 # Westar Energy, Inc. 11,100 398,268 # WGL Holdings, Inc. 7,585 301,807 # York Water Co. 4,020 80,440 -------------- Total Utilities 40,459,179 -------------- TOTAL COMMON STOCKS 3,186,717,375 -------------- RIGHTS/WARRANTS -- (0.0%) (o)* Capital Bank Corp. Contingent Value Rights 2,758 -- (o)* Community Health Systems, Inc. Rights 01/04/16 21,176 1,273 (o)* Leap Wireless International, Inc. Contingent Value Rights 39,583 99,749 (o)* LGL Group, Inc. (The) Warrants 08/06/18 6,500 390 (o)#* Magnum Hunter Resources Corp. Warrants 04/15/16 15,504 -- (o)#* PhotoMedex, Inc. Contingent Value Warrants 12/13/14 339 -- (o)* Tejon Ranch Co. Warrants 08/31/16 2,579 8,769 (o)* U.S. Concrete, Inc. Warrants Class A 08/31/17 567 3,430 (o)* U.S. Concrete, Inc. Warrants Class B 08/31/17 567 2,268 -------------- TOTAL RIGHTS/WARRANTS 115,879 -------------- TEMPORARY CASH INVESTMENTS -- (0.1%) State Street Institutional Liquid Reserves, 0.074% 4,430,137 4,430,137 -------------- SHARES/ FACE AMOUNT (000) ---------- SECURITIES LENDING COLLATERAL -- (11.7%) (S)@ DFA Short Term Investment Fund 36,602,480 423,490,694 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $2,520,716,777) $3,614,754,085 ============== U.S. VECTOR EQUITY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, 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 $ 428,433,899 $ 14,755 -- $ 428,448,654 Consumer Staples 153,920,593 -- -- 153,920,593 Energy 409,000,897 -- -- 409,000,897 Financials 742,001,713 2,689 -- 742,004,402 Health Care 255,844,065 39,285 -- 255,883,350 Industrials 454,667,543 485 -- 454,668,028 Information Technology 439,720,188 -- -- 439,720,188 Materials 191,702,662 -- -- 191,702,662 Other -- -- -- -- Real Estate Investment Trusts 348,570 -- -- 348,570 Telecommunication Services 70,560,852 -- -- 70,560,852 Utilities 40,459,179 -- -- 40,459,179 Rights/Warrants -- 115,879 -- 115,879 Temporary Cash Investments 4,430,137 -- -- 4,430,137 Securities Lending Collateral -- 423,490,694 -- 423,490,694 -------------- ------------ -- -------------- TOTAL $3,191,090,298 $423,663,787 -- $3,614,754,085 ============== ============ == ============== U.S. SMALL CAP PORTFOLIO SCHEDULE OF INVESTMENTS APRIL 30, 2014 (UNAUDITED) SHARES VALUE+ ------- ----------- COMMON STOCKS -- (79.8%) Consumer Discretionary -- (13.9%) * 1-800-Flowers.com, Inc. Class A 183,902 $ 1,002,266 # Aaron's, Inc. 430,990 12,701,275 #* Aeropostale, Inc. 446,342 2,218,320 # AH Belo Corp. Class A 86,105 991,069 #* ALCO Stores, Inc. 5,784 58,361 * Ambassadors Group, Inc. 59,882 253,900 # AMCON Distributing Co. 2,169 174,518 #* America's Car-Mart, Inc. 45,130 1,630,998 * American Axle & Manufacturing Holdings, Inc. 490,258 8,653,054 # American Eagle Outfitters, Inc. 55,488 641,441 #* American Public Education, Inc. 113,027 3,910,734 * ANN, Inc. 355,995 13,951,444 * Apollo Education Group, Inc. Class A 291,949 8,425,648 # Arctic Cat, Inc. 86,433 3,534,245 Ark Restaurants Corp. 17,030 361,547 * Asbury Automotive Group, Inc. 206,580 12,754,249 * Ascena Retail Group, Inc. 8,885 152,822 #* Ascent Capital Group, Inc. Class A 65,446 4,500,721 * Ballantyne Strong, Inc. 61,400 277,528 #* Bally Technologies, Inc. 256,668 16,711,653 #* Barnes & Noble, Inc. 355,623 5,832,217 # Bassett Furniture Industries, Inc. 149,390 2,060,088 # Beasley Broadcasting Group, Inc. Class A 68,353 526,318 * Beazer Homes USA, Inc. 58,798 1,114,810 # bebe stores, Inc. 466,681 2,356,739 # Big 5 Sporting Goods Corp. 143,194 1,748,399 * Big Lots, Inc. 386,181 15,254,149 * Biglari Holdings, Inc. 8,597 3,688,285 #* BJ's Restaurants, Inc. 188,529 5,382,503 #* Black Diamond, Inc. 30,200 336,730 * Bloomin' Brands, Inc. 10,798 230,213 #* Blue Nile, Inc. 74,035 2,571,236 # Blyth, Inc. 86,532 810,805 # Bob Evans Farms, Inc. 178,305 8,357,155 #* Body Central Corp. 66,031 68,672 # Bon-Ton Stores, Inc. (The) 121,759 1,339,349 * Books-A-Million, Inc. 45,236 106,757 # Bowl America, Inc. Class A 10,705 157,631 #* Boyd Gaming Corp. 216,777 2,562,304 * Bravo Brio Restaurant Group, Inc. 72,066 1,078,828 #* Bridgepoint Education, Inc. 254,484 4,033,571 * Bright Horizons Family Solutions, Inc. 8,648 352,665 Brinker International, Inc. 322,412 15,843,326 Brown Shoe Co., Inc. 287,650 6,785,663 # Buckle, Inc. (The) 256,014 12,030,098 * Buffalo Wild Wings, Inc. 154,231 22,536,234 * Build-A-Bear Workshop, Inc. 70,475 790,730 #* Cabela's, Inc. 61,585 4,040,592 #* Cache, Inc. 60,569 161,114 #* Caesars Entertainment Corp. 46,479 858,467 # Callaway Golf Co. 485,186 4,225,970 U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Consumer Discretionary -- (Continued) #* Cambium Learning Group, Inc. 118,479 $ 265,393 #* Canterbury Park Holding Corp. 12,913 145,271 # Capella Education Co. 78,512 4,581,960 * Career Education Corp. 432,807 3,124,867 * Carmike Cinemas, Inc. 145,076 4,302,954 # Carriage Services, Inc. 141,558 2,277,668 #* Carrols Restaurant Group, Inc. 144,612 970,347 # Cato Corp. (The) Class A 172,910 4,926,206 #* Cavco Industries, Inc. 34,673 2,702,760 #* Central European Media Enterprises, Ltd. Class A 62,031 169,965 #* Charles & Colvard, Ltd. 89,032 193,199 # Cheesecake Factory, Inc. (The) 395,850 17,769,706 Cherokee, Inc. 37,689 522,746 Chico's FAS, Inc. 560,485 8,900,502 # Children's Place Retail Stores, Inc. (The) 148,988 7,151,424 # Choice Hotels International, Inc. 103,625 4,578,153 #* Christopher & Banks Corp. 156,177 974,544 # Churchill Downs, Inc. 91,905 8,072,016 #* Chuy's Holdings, Inc. 35,596 1,279,676 #* Citi Trends, Inc. 69,414 1,179,344 #* Coast Distribution System, Inc. (The) 43,930 140,576 #* Cobra Electronics Corp. 27,771 91,644 # Collectors Universe, Inc. 56,999 1,338,337 # Columbia Sportswear Co. 156,459 13,452,345 #* Comstock Holding Cos., Inc. 3,000 4,140 #* Conn's, Inc. 244,145 10,798,533 Cooper Tire & Rubber Co. 328,229 8,254,959 #* Cooper-Standard Holding, Inc. 1,350 91,463 Core-Mark Holding Co., Inc. 68,295 5,500,479 #* Corinthian Colleges, Inc. 258,182 296,909 # Cracker Barrel Old Country Store, Inc. 151,281 14,332,362 * Crocs, Inc. 589,527 8,919,544 #* Crown Media Holdings, Inc. Class A 59,117 211,639 CSS Industries, Inc. 26,600 637,602 # CST Brands, Inc. 441,955 14,420,992 CTC Media, Inc. 728,469 6,315,826 Culp, Inc. 44,649 805,914 #* Cumulus Media, Inc. Class A 973,596 6,240,750 #* Daily Journal Corp. 200 35,260 # Dana Holding Corp. 384,862 8,147,529 #* Deckers Outdoor Corp. 252,472 19,932,664 * Del Frisco's Restaurant Group, Inc. 75,442 1,962,246 #* dELiA*s, Inc. 26,901 22,731 #* Delta Apparel, Inc. 15,317 233,278 Destination Maternity Corp. 74,808 1,844,765 #* Destination XL Group, Inc. 280,623 1,515,364 # DeVry Education Group, Inc. 283,190 12,752,046 * DGSE Cos., Inc. 5,479 14,684 DineEquity, Inc. 123,065 9,329,558 * Dixie Group, Inc. (The) 107,711 1,623,205 #* Dorman Products, Inc. 246,157 14,166,335 * Dover Downs Gaming & Entertainment, Inc. 44,469 64,480 U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Consumer Discretionary -- (Continued) Dover Motorsports, Inc. 56,312 $ 131,770 #* DreamWorks Animation SKG, Inc. Class A 438,096 10,527,447 Drew Industries, Inc. 151,073 7,601,993 Educational Development Corp. 15,090 58,549 # Einstein Noah Restaurant Group, Inc. 83,966 1,289,718 #* ELXSI Corp. 1,800 17,505 * Emerson Radio Corp. 197,300 400,519 * Emmis Communications Corp. Class A 91,498 295,539 #* Empire Resorts, Inc. 30,572 206,972 #* Entercom Communications Corp. Class A 107,730 1,163,484 #* Entertainment Gaming Asia, Inc. 4,182 3,559 # Entravision Communications Corp. Class A 431,012 2,288,674 # Escalade, Inc. 39,965 588,285 # Ethan Allen Interiors, Inc. 177,771 4,316,280 #* Ever-Glory International Group, Inc. 1,580 11,692 #* EW Scripps Co. Class A 269,888 4,623,181 * Express, Inc. 544,739 7,936,847 (o)#* FAB Universal Corp. 7,689 17,708 #* Famous Dave's Of America, Inc. 31,693 839,548 #* Federal-Mogul Holdings Corp. 210,250 3,620,505 * Fiesta Restaurant Group, Inc. 180,159 6,595,621 Finish Line, Inc. (The) Class A 361,946 9,964,373 #* Five Below, Inc. 110,580 4,457,480 #* Flanigan's Enterprises, Inc. 5,380 75,051 # Flexsteel Industries, Inc. 27,143 931,548 # Fred's, Inc. Class A 194,439 3,542,679 Frisch's Restaurants, Inc. 20,810 492,781 #* FTD Cos., Inc. 118,745 3,602,723 #* Fuel Systems Solutions, Inc. 79,811 836,419 #* Full House Resorts, Inc. 61,041 121,777 #* G-III Apparel Group, Ltd. 139,428 10,006,748 * Gaiam, Inc. Class A 57,070 421,177 * Gaming Partners International Corp. 8,434 71,267 * Geeknet, Inc. 12,204 180,619 #* Genesco, Inc. 167,278 12,775,021 #* Gentherm, Inc. 240,795 8,752,898 # Gordmans Stores, Inc. 40,554 182,087 #* Grand Canyon Education, Inc. 322,348 13,899,646 #* Gray Television, Inc. 340,458 3,830,153 * Gray Television, Inc. Class A 25,939 240,065 # Group 1 Automotive, Inc. 162,590 11,727,617 # Guess?, Inc. 430,660 11,589,061 #* Hampshire Group, Ltd. 8,000 30,800 # Harte-Hanks, Inc. 292,641 2,352,834 * Hastings Entertainment, Inc. 42,003 123,909 Haverty Furniture Cos., Inc. 126,301 3,225,728 Haverty Furniture Cos., Inc. Class A 3,785 96,820 * Helen of Troy, Ltd. 208,183 13,053,074 * Here Media, Inc. 22,918 2 * Here Media, Inc. Special Shares 22,918 2 #* hhgregg, Inc. 155,532 1,340,686 #* Hibbett Sports, Inc. 180,807 9,736,457 U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Consumer Discretionary -- (Continued) # Hillenbrand, Inc. 414,145 $12,590,008 * HomeAway, Inc. 60,730 1,981,013 # Hooker Furniture Corp. 43,791 606,505 #* Hovnanian Enterprises, Inc. Class A 98,754 440,443 HSN, Inc. 164,521 9,548,799 #* Iconix Brand Group, Inc. 343,594 14,602,745 * Insignia Systems, Inc. 15,351 44,978 International Speedway Corp. Class A 154,308 4,851,444 # Interval Leisure Group, Inc. 361,390 9,313,020 #* iRobot Corp. 217,884 7,299,114 #* Isle of Capri Casinos, Inc. 80,059 544,401 #* ITT Educational Services, Inc. 105,162 2,839,374 * Jack in the Box, Inc. 306,030 16,384,846 * Jaclyn, Inc. 2,235 13,410 # JAKKS Pacific, Inc. 62,792 550,058 #* Jamba, Inc. 3,232 35,746 John Wiley & Sons, Inc. Class A 13,586 780,652 # Johnson Outdoors, Inc. Class A 26,933 563,708 * Jos A Bank Clothiers, Inc. 148,016 9,554,433 * Journal Communications, Inc. Class A 283,844 2,276,429 #* K12, Inc. 151,086 3,577,716 * Kate Spade & Co. 128,234 4,458,696 # KB Home 693,233 11,445,277 #* Kirkland's, Inc. 113,206 1,936,955 * Kona Grill, Inc. 48,135 1,128,766 Koss Corp. 25,262 116,710 #* Krispy Kreme Doughnuts, Inc. 444,806 7,801,897 La-Z-Boy, Inc. 342,262 8,293,008 * Lakeland Industries, Inc. 21,528 152,849 * Lazare Kaplan International, Inc. 9,600 18,960 #* LeapFrog Enterprises, Inc. 267,867 1,834,889 #* Learning Tree International, Inc. 40,081 122,247 #* Libbey, Inc. 87,962 2,345,947 * Liberty Media Corp. Class B 683 85,679 #* Life Time Fitness, Inc. 280,749 13,475,952 # Lifetime Brands, Inc. 53,758 1,026,778 * LIN Media LLC Class A 218,736 5,124,984 # Lincoln Educational Services Corp. 75,737 309,007 Lithia Motors, Inc. Class A 161,280 11,979,878 * Live Nation Entertainment, Inc. 568,208 11,864,183 * Loral Space & Communications, Inc. 109,787 7,903,566 #* Luby's, Inc. 245,262 1,329,320 #* Lumber Liquidators Holdings, Inc. 185,168 16,139,243 #* M/I Homes, Inc. 134,030 2,984,848 Marcus Corp. (The) 86,567 1,448,266 # Marine Products Corp. 125,265 889,382 #* MarineMax, Inc. 137,265 2,204,476 * Marriott Vacations Worldwide Corp. 131,404 7,158,890 #* Martha Stewart Living Omnimedia, Inc. Class A 163,820 640,536 # Matthews International Corp. Class A 155,074 6,257,236 #* Mattress Firm Holding Corp. 2,624 118,579 #* McClatchy Co. (The) Class A 218,726 1,198,618 U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Consumer Discretionary -- (Continued) McRae Industries, Inc. Class A 2,500 $ 73,250 # MDC Holdings, Inc. 293,543 8,101,787 #* Media General, Inc. Class A 100,663 1,542,157 Men's Wearhouse, Inc. (The) 366,998 17,388,365 # Meredith Corp. 218,670 9,636,787 * Meritage Homes Corp. 262,567 10,129,835 #* Modine Manufacturing Co. 296,343 4,883,733 * Monarch Casino & Resort, Inc. 77,833 1,248,441 # Monro Muffler Brake, Inc. 212,677 11,994,983 * Motorcar Parts of America, Inc. 72,447 1,987,946 Movado Group, Inc. 117,876 4,630,169 #* MTR Gaming Group, Inc. 59,127 299,183 * Multimedia Games Holding Co., Inc. 97,834 2,856,753 * Murphy USA, Inc. 86,648 3,682,540 NACCO Industries, Inc. Class A 31,780 1,703,090 #* Nathan's Famous, Inc. 20,650 1,017,632 National CineMedia, Inc. 373,808 5,678,144 #* Nautilus, Inc. 220,160 1,833,933 #* New York & Co., Inc. 380,682 1,595,058 # New York Times Co. (The) Class A 1,038,847 16,704,660 # Nexstar Broadcasting Group, Inc. Class A 198,694 7,917,956 #* Nobility Homes, Inc. 13,083 143,913 # Nutrisystem, Inc. 196,384 2,945,760 #* Office Depot, Inc. 3,335,116 13,640,624 #* Orbitz Worldwide, Inc. 345,109 2,536,551 * Orient-Express Hotels, Ltd. Class A 545,847 7,150,596 #* Outerwall, Inc. 159,211 11,041,283 * Overstock.com, Inc. 103,482 1,657,782 # Oxford Industries, Inc. 100,401 6,627,470 * P&F Industries, Inc. Class A 10,000 82,000 #* Pacific Sunwear of California, Inc. 226,616 652,654 Papa John's International, Inc. 286,060 12,546,592 #* Penn National Gaming, Inc. 293,844 3,279,299 Penske Automotive Group, Inc. 337,541 15,479,630 #* Pep Boys-Manny, Moe & Jack (The) 297,834 3,043,863 * Perfumania Holdings, Inc. 15,984 105,974 #* Perry Ellis International, Inc. 75,860 1,145,486 # PetMed Express, Inc. 98,009 1,282,938 # Pier 1 Imports, Inc. 722,662 13,195,808 #* Pinnacle Entertainment, Inc. 220,582 5,132,943 #* Pizza Inn Holdings, Inc. 8,932 53,056 * Point.360 4,284 1,542 # Pool Corp. 297,781 17,575,035 * Popeyes Louisiana Kitchen, Inc. 155,072 5,908,243 * QEP Co., Inc. 9,614 177,378 * Quantum Fuel Systems Technologies Worldwide, Inc. 1,524 10,074 #* Quiksilver, Inc. 959,608 6,160,683 #* Radio One, Inc. Class D 1,003,142 4,534,202 #* RadioShack Corp. 398,598 569,995 #* ReachLocal, Inc. 6,488 64,880 #* Reading International, Inc. Class A 22,403 158,613 * Reading International, Inc. Class B 2,710 27,791 U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Consumer Discretionary -- (Continued) * Red Lion Hotels Corp. 71,498 $ 411,114 #* Red Robin Gourmet Burgers, Inc. 95,766 6,510,173 # Regal Entertainment Group Class A 578,754 10,880,575 # Regis Corp. 307,272 4,037,554 # Rent-A-Center, Inc. 342,889 10,015,788 #* Rentrak Corp. 27,336 1,557,879 RG Barry Corp. 43,359 792,603 #* Rick's Cabaret International, Inc. 52,521 530,462 Rocky Brands, Inc. 94,670 1,385,969 #* Ruby Tuesday, Inc. 336,380 2,593,490 Ruth's Hospitality Group, Inc. 236,711 2,980,191 # Ryland Group, Inc. (The) 361,834 13,890,807 # Saga Communications, Inc. Class A 18,609 824,379 # Salem Communications Corp. Class A 132,841 1,170,329 # Scholastic Corp. 108,213 3,561,290 #* Scientific Games Corp. Class A 530,070 6,350,239 #* Select Comfort Corp. 406,414 7,478,018 #* Shiloh Industries, Inc. 208,939 4,124,456 # Shoe Carnival, Inc. 112,698 2,574,022 #* Shutterfly, Inc. 257,016 10,519,665 # Sinclair Broadcast Group, Inc. Class A 470,204 12,568,553 * Sizmek, Inc. 165,200 1,582,616 * Skechers U.S.A., Inc. Class A 286,603 11,747,857 * Skullcandy, Inc. 128,125 986,563 * Skyline Corp. 45,820 233,682 #* Smith & Wesson Holding Corp. 5,755 88,339 # Sonic Automotive, Inc. Class A 252,403 6,143,489 #* Sonic Corp. 397,058 7,559,984 # Sotheby's 74,214 3,121,441 #* Spanish Broadcasting System, Inc. Class A 43,707 277,102 Spartan Motors, Inc. 134,385 713,584 * Spectrum Group International, Inc. 85,617 52,226 # Speedway Motorsports, Inc. 122,833 2,234,332 #* Sport Chalet, Inc. Class A 28,319 32,000 * Sport Chalet, Inc. Class B 4,108 5,217 # Stage Stores, Inc. 184,550 3,539,669 Standard Motor Products, Inc. 153,047 5,814,256 * Stanley Furniture Co., Inc. 35,155 102,653 * Starz Class B 1,444 46,656 # Stein Mart, Inc. 198,234 2,477,925 * Steiner Leisure, Ltd. 70,087 3,025,656 * Steven Madden, Ltd. 466,740 16,620,611 * Stoneridge, Inc. 164,583 1,759,392 Strattec Security Corp. 12,558 839,000 * Strayer Education, Inc. 15,683 668,566 # Sturm Ruger & Co., Inc. 96,306 6,197,291 # Superior Industries International, Inc. 145,676 3,079,591 # Superior Uniform Group, Inc. 13,385 217,640 #* Systemax, Inc. 125,922 2,177,191 #* Tandy Leather Factory, Inc. 41,183 403,182 #* Tempur Sealy International, Inc. 271,532 13,625,476 * Tenneco, Inc. 225,716 13,513,617 U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- -------------- Consumer Discretionary -- (Continued) Texas Roadhouse, Inc. 494,026 $ 12,222,203 # Thor Industries, Inc. 280,232 17,057,722 #* Tile Shop Holdings, Inc. 23,410 329,964 * Tower International, Inc. 95,477 2,655,215 Town Sports International Holdings, Inc. 119,284 836,181 # Trans World Entertainment Corp. 452,232 1,478,799 #* Trinity Place Holdings, Inc. 34,797 220,961 #* Tuesday Morning Corp. 159,005 2,222,890 #* Tumi Holdings, Inc. 15,583 318,205 * Unifi, Inc. 122,873 2,720,408 * Universal Electronics, Inc. 82,174 3,069,199 Universal Technical Institute, Inc. 104,935 1,260,269 #* UQM Technologies, Inc. 119,010 263,012 * US Auto Parts Network, Inc. 97,364 303,776 Vail Resorts, Inc. 238,471 16,509,347 # Value Line, Inc. 26,515 386,589 #* Valuevision Media, Inc. Class A 301,375 1,410,435 #* Vera Bradley, Inc. 68,169 1,929,183 #* Vitacost.com, Inc. 18,064 120,487 #* Vitamin Shoppe, Inc. 194,926 9,333,057 #* VOXX International Corp. 137,551 1,616,224 Walking Co. Holdings, Inc. (The) 214 1,471 * Wells-Gardner Electronics Corp. 33,182 56,741 # Wendy's Co. (The) 834,136 6,931,670 #* West Marine, Inc. 140,892 1,507,544 #* Wet Seal, Inc. (The) Class A 557,417 629,881 # Weyco Group, Inc. 50,427 1,265,213 * William Lyon Homes Class A 15,289 399,043 # Winmark Corp. 29,601 2,245,532 #* Winnebago Industries, Inc. 182,610 4,364,379 # Wolverine World Wide, Inc. 591,225 16,613,422 # World Wrestling Entertainment, Inc. Class A 161,093 3,141,314 #* Xanadoo Co. Class A 170 178,330 * Zagg, Inc. 87,927 382,482 #* Zale Corp. 179,552 3,840,617 #* Zumiez, Inc. 200,346 4,898,460 -------------- Total Consumer Discretionary 1,456,329,278 -------------- Consumer Staples -- (3.1%) # Alico, Inc. 27,106 946,542 * Alliance One International, Inc. 373,610 960,178 # Andersons, Inc. (The) 195,048 12,149,540 #* Annie's, Inc. 45,969 1,494,452 # B&G Foods, Inc. 341,844 11,212,483 #* Boston Beer Co., Inc. (The) Class A 2,323 571,551 #* Boulder Brands, Inc. 377,611 5,573,538 * Bridgford Foods Corp. 17,169 170,059 # Cal-Maine Foods, Inc. 119,416 7,120,776 # Calavo Growers, Inc. 74,074 2,302,961 # Casey's General Stores, Inc. 242,995 16,684,037 CCA Industries, Inc. 16,064 48,674 #* Central Garden and Pet Co. 66,566 541,182 U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Consumer Staples -- (Continued) #* Central Garden and Pet Co. Class A 172,086 $ 1,423,151 #* Chefs' Warehouse, Inc. (The) 56,461 1,134,301 #* Chiquita Brands International, Inc. 263,784 3,028,240 # Coca-Cola Bottling Co. Consolidated 34,596 2,844,829 #* Coffee Holding Co., Inc. 11,600 83,056 #* Craft Brew Alliance, Inc. 76,962 1,152,121 * Darling International, Inc. 768,402 15,375,724 # Dean Foods Co. 604,057 9,568,263 #* Diamond Foods, Inc. 79,218 2,421,694 #* Elizabeth Arden, Inc. 146,763 5,392,073 * Farmer Bros. Co. 54,366 1,071,554 # Fresh Del Monte Produce, Inc. 321,249 9,280,884 #* Fresh Market, Inc. (The) 216,897 8,046,879 * Glacier Water Services, Inc. 3,200 64,480 Golden Enterprises, Inc. 32,785 144,254 # Griffin Land & Nurseries, Inc. 20,710 604,732 #* Harbinger Group, Inc. 22,947 267,562 Ingles Markets, Inc. Class A 67,577 1,553,595 Inter Parfums, Inc. 189,172 6,921,803 #* Inventure Foods, Inc. 16,375 196,827 J&J Snack Foods Corp. 102,609 9,604,202 # John B. Sanfilippo & Son, Inc. 61,007 1,406,211 # Lancaster Colony Corp. 158,860 15,072,637 # Liberator Medical Holdings, Inc. 26,723 103,418 # Lifeway Foods, Inc. 50,414 756,714 # Limoneira Co. 2,592 59,538 #* Mannatech, Inc. 5,854 95,245 #* Medifast, Inc. 97,068 3,072,202 # MGP Ingredients, Inc. 63,782 372,487 #* National Beverage Corp. 139,362 2,686,899 * Natural Alternatives International, Inc. 20,426 116,428 #* Natural Grocers by Vitamin Cottage, Inc. 11,321 403,028 # Nature's Sunshine Products, Inc. 33,684 450,018 #* Nutraceutical International Corp. 41,211 1,026,978 # Oil-Dri Corp. of America 23,455 785,977 * Omega Protein Corp. 105,833 1,202,263 # Orchids Paper Products Co. 40,639 1,091,970 * Pantry, Inc. (The) 117,261 1,763,605 * Pilgrim's Pride Corp. 556,837 12,172,457 #* Post Holdings, Inc. 210,151 10,982,491 # Pricesmart, Inc. 130,845 12,566,354 Reliv International, Inc. 28,122 62,150 #* Revlon, Inc. Class A 226,577 6,829,031 * Rite Aid Corp. 644,383 4,703,996 Rocky Mountain Chocolate Factory, Inc. 29,081 347,518 # Roundy's, Inc. 19,106 129,348 # Sanderson Farms, Inc. 159,277 13,103,719 * Scheid Vineyards, Inc. Class A 440 14,740 #* Seaboard Corp. 1,738 4,237,244 #* Seneca Foods Corp. Class A 33,027 937,967 * Seneca Foods Corp. Class B 2,794 85,329 # Snyder's-Lance, Inc. 356,144 9,459,185 U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ --------- ------------ Consumer Staples -- (Continued) Spartan Stores, Inc. 180,406 $ 3,885,945 Spectrum Brands Holdings, Inc. 104,239 8,008,682 #* Susser Holdings Corp. 150,280 11,628,666 #* Tofutti Brands, Inc. 19,440 77,566 # Tootsie Roll Industries, Inc. 146,043 4,116,952 * TreeHouse Foods, Inc. 221,559 16,581,476 #* United Natural Foods, Inc. 128,003 8,836,047 United-Guardian, Inc. 19,179 594,549 # Universal Corp. 113,899 6,215,468 #* USANA Health Sciences, Inc. 67,939 4,610,341 # Vector Group, Ltd. 70,198 1,495,217 Village Super Market, Inc. Class A 34,683 838,982 WD-40 Co. 84,592 6,161,681 # Weis Markets, Inc. 107,733 4,965,414 ------------ Total Consumer Staples 324,070,330 ------------ Energy -- (5.0%) * Abraxas Petroleum Corp. 111,700 609,882 # Adams Resources & Energy, Inc. 19,183 1,382,327 # Alon USA Energy, Inc. 345,200 5,623,308 #* Alpha Natural Resources, Inc. 1,422,376 6,116,217 AMEN Properties, Inc. 19 11,020 #* Approach Resources, Inc. 138,132 2,866,239 #* Barnwell Industries, Inc. 32,713 100,592 #* Basic Energy Services, Inc. 271,441 7,171,471 * Bill Barrett Corp. 243,681 5,770,366 * Black Ridge Oil and Gas, Inc. 8,404 7,227 Bolt Technology Corp. 39,030 658,826 * Bonanza Creek Energy, Inc. 274,824 13,361,943 #* BPZ Resources, Inc. 533,942 1,441,643 Bristow Group, Inc. 240,116 18,440,909 #* C&J Energy Services, Inc. 175,372 5,271,682 #* Cal Dive International, Inc. 364,422 539,345 * Callon Petroleum Co. 236,704 2,172,943 # CARBO Ceramics, Inc. 116,026 16,233,198 #* Carrizo Oil & Gas, Inc. 362,513 19,945,465 #* Clayton Williams Energy, Inc. 58,020 8,382,730 #* Clean Energy Fuels Corp. 409,703 3,625,872 * Cloud Peak Energy, Inc. 330,209 6,501,815 # Comstock Resources, Inc. 292,327 8,126,691 * Contango Oil & Gas Co. 83,617 4,016,961 # Dawson Geophysical Co. 42,474 1,200,315 Delek US Holdings, Inc. 376,549 12,045,802 # DHT Holdings, Inc. 42,024 328,207 * Diamondback Energy, Inc. 23,627 1,699,726 #* Emerald Oil, Inc. 258,523 1,827,758 #* Endeavour International Corp. 121,748 418,813 # Energy XXI Bermuda, Ltd. 255,804 6,121,390 * ENGlobal Corp. 92,274 197,466 EnLink Midstream LLC 300,719 10,624,402 #* EPL Oil & Gas, Inc. 257,783 10,089,627 * Era Group, Inc. 75,161 2,145,847 U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Energy -- (Continued) #* Escalera Resources Co. 38,812 $ 105,957 * Evolution Petroleum Corp. 35,648 420,646 # Exterran Holdings, Inc. 427,513 18,391,609 #* FieldPoint Petroleum Corp. 31,986 176,563 #* Forest Oil Corp. 185,781 345,553 * Forum Energy Technologies, Inc. 32,299 964,448 GasLog, Ltd. 58,529 1,567,407 #* Gastar Exploration, Inc. 388,203 2,573,786 #* Geospace Technologies Corp. 78,516 4,564,135 #* Gevo, Inc. 16,201 16,687 #* Goodrich Petroleum Corp. 201,167 5,059,350 # Green Plains Renewable Energy, Inc. 209,732 6,270,987 * Gulf Coast Ultra Deep Royalty Trust 339,862 999,194 # Gulf Island Fabrication, Inc. 58,117 1,165,827 Gulfmark Offshore, Inc. Class A 168,349 7,577,388 #* Halcon Resources Corp. 248,594 1,372,239 #* Harvest Natural Resources, Inc. 170,665 769,699 #* Helix Energy Solutions Group, Inc. 611,798 14,707,624 #* Hercules Offshore, Inc. 777,124 3,473,744 * HKN, Inc. 2,360 147,512 #* Hornbeck Offshore Services, Inc. 201,744 8,358,254 #* Houston American Energy Corp. 59,887 28,147 #* ION Geophysical Corp. 972,766 4,280,170 #* Key Energy Services, Inc. 799,942 8,031,418 #* Kodiak Oil & Gas Corp. 265,138 3,369,904 #* Lucas Energy, Inc. 78,003 48,923 #* Magnum Hunter Resources Corp. 322,707 2,743,009 #* Matador Resources Co. 435,042 12,494,406 * Matrix Service Co. 178,836 5,538,551 #* McDermott International, Inc. 753,449 5,447,436 #* Mexco Energy Corp. 6,572 47,647 #* Midstates Petroleum Co., Inc. 12,793 75,479 #* Miller Energy Resources, Inc. 789 3,803 * Mitcham Industries, Inc. 56,352 777,658 * Natural Gas Services Group, Inc. 59,996 1,841,277 #* Newpark Resources, Inc. 556,140 6,695,926 # Nordic American Tankers, Ltd. 3,153 27,210 #* Northern Oil and Gas, Inc. 288,868 4,457,233 #* Nuverra Environmental Solutions, Inc. 99,029 1,684,483 #* Overseas Shipholding Group, Inc. 100,481 572,742 #* Pacific Drilling SA 57,800 572,798 # Panhandle Oil and Gas, Inc. Class A 25,975 1,139,004 * Parker Drilling Co. 746,608 4,950,011 PBF Energy, Inc. Class A 64,516 1,985,802 * PDC Energy, Inc. 243,568 15,507,975 #* Penn Virginia Corp. 400,329 6,661,475 * PetroQuest Energy, Inc. 405,735 2,442,525 #* PHI, Inc. Non-Voting 46,824 2,097,715 #* PHI, Inc. Voting 4,419 186,924 * Pioneer Energy Services Corp. 331,584 4,963,812 #* PostRock Energy Corp. 23,314 31,940 #* Pyramid Oil Co. 17,796 91,827 U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ --------- ------------ Energy -- (Continued) * Renewable Energy Group, Inc. 118,440 $ 1,394,039 #* Rentech, Inc. 913,205 1,935,995 #* REX American Resources Corp. 21,400 1,398,704 * Rex Energy Corp. 399,433 8,412,059 * RigNet, Inc. 19,067 891,573 * Ring Energy, Inc. 2,516 46,294 * Rosetta Resources, Inc. 90,335 4,276,459 * Royale Energy, Inc. 10,018 27,049 #* Saratoga Resources, Inc. 548 680 Scorpio Tankers, Inc. 1,098,787 9,900,071 #* SEACOR Holdings, Inc. 122,510 10,216,109 # SemGroup Corp. Class A 262,775 16,786,067 # Ship Finance International, Ltd. 454,764 8,017,489 * Steel Excel, Inc. 32,698 1,059,415 * Stone Energy Corp. 306,853 15,051,140 #* Swift Energy Co. 151,326 1,865,850 #* Synergy Resources Corp. 460,641 5,361,861 #* Synthesis Energy Systems, Inc. 48,546 83,985 #* Syntroleum Corp. 12,079 45,296 Targa Resources Corp. 63,806 6,890,410 # Teekay Corp. 85,326 4,787,642 #* Tesco Corp. 142,150 2,843,000 #* TETRA Technologies, Inc. 471,485 5,893,562 #* TGC Industries, Inc. 95,637 483,923 # Tidewater, Inc. 200 10,186 #* Triangle Petroleum Corp. 496,442 4,775,772 * Unit Corp. 97,162 6,407,834 #* Uranium Energy Corp. 38,948 41,674 #* US Energy Corp. Wyoming 10,000 42,500 #* USEC, Inc. 3,899 13,179 #* Vaalco Energy, Inc. 338,205 3,118,250 # W&T Offshore, Inc. 454,935 8,734,752 * Warren Resources, Inc. 318,481 1,614,699 # Western Refining, Inc. 474,279 20,631,136 #* Westmoreland Coal Co. 27,360 810,130 * Willbros Group, Inc. 308,997 3,432,957 #* Zion Oil & Gas, Inc. 9,773 21,794 ------------ Total Energy 520,227,399 ------------ Financials -- (13.2%) * 1st Constitution Bancorp 1,951 20,329 1st Source Corp. 142,111 4,190,853 # 1st United Bancorp, Inc. 50,975 373,137 * A-Mark Precious Metals, Inc. 21,404 254,387 # Access National Corp. 31,583 465,849 # Alexander & Baldwin, Inc. 266,980 9,961,024 Alliance Bancorp, Inc. of Pennsylvania 3,510 54,774 #* Altisource Asset Management Corp. 10,675 10,442,819 #* Altisource Portfolio Solutions SA 121,858 12,637,893 #* Ambac Financial Group, Inc. 145,771 4,399,369 # Ameriana Bancorp 2,912 40,200 # American Equity Investment Life Holding Co. 452,253 10,546,540 U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Financials -- (Continued) * American Independence Corp. 1,537 $ 16,799 # American National Bankshares, Inc. 23,894 509,181 American National Insurance Co. 5 562 * American River Bankshares 7,326 70,037 (o)* American Spectrum Realty, Inc. 3,652 6,135 * Ameris Bancorp 126,360 2,687,677 AMERISAFE, Inc. 111,449 4,753,300 # AmeriServ Financial, Inc. 278,158 967,990 # Amtrust Financial Services, Inc. 355,389 13,742,893 Argo Group International Holdings, Ltd. 135,966 6,039,610 # Arrow Financial Corp. 45,359 1,135,336 ASB Financial Corp. 900 12,263 Aspen Insurance Holdings, Ltd. 393,938 18,034,482 # Associated Banc-Corp 547,673 9,611,661 * Asta Funding, Inc. 48,129 393,214 Astoria Financial Corp. 591,736 7,846,419 # Atlantic American Corp. 20,640 72,240 #* Atlantic Coast Financial Corp. 143 615 #* Atlanticus Holdings Corp. 73,372 178,294 Auburn National Bancorp., Inc. 2,786 66,349 #* AV Homes, Inc. 46,957 804,373 Baldwin & Lyons, Inc. Class A 1,471 34,760 # Baldwin & Lyons, Inc. Class B 32,939 856,743 # Banc of California, Inc. 42,192 530,353 # Bancfirst Corp. 51,649 3,006,488 * Bancorp, Inc. 220,768 3,492,550 # BancorpSouth, Inc. 648,701 15,153,655 Bank Mutual Corp. 135,527 815,873 Bank of Commerce Holdings 4,992 31,699 # Bank of Hawaii Corp. 311,016 17,158,753 # Bank of Kentucky Financial Corp. 3,833 132,277 # Bank of the Ozarks, Inc. 233,788 14,003,901 # BankFinancial Corp. 75,127 739,250 BankUnited, Inc. 26,800 884,132 Banner Corp. 121,293 4,795,925 # Bar Harbor Bankshares 12,753 479,258 BBCN Bancorp, Inc. 554,382 8,543,027 #* BBX Capital Corp. Class A 60,353 1,130,412 # BCB Bancorp, Inc. 18,073 240,371 #* Beneficial Mutual Bancorp, Inc. 290,796 3,791,980 # Berkshire Bancorp, Inc. 10,144 74,558 Berkshire Hills Bancorp, Inc. 110,084 2,579,268 #* BFC Financial Corp. Class A 48,033 172,919 BGC Partners, Inc. Class A 1,041,854 7,470,093 * BNCCORP, Inc. 3,900 60,450 #* BofI Holding, Inc. 107,728 8,683,954 # Boston Private Financial Holdings, Inc. 530,589 6,637,668 # Bridge Bancorp, Inc. 9,830 239,066 #* Bridge Capital Holdings 3,703 82,947 # Brookline Bancorp, Inc. 420,555 3,818,639 Bryn Mawr Bank Corp. 56,695 1,546,640 C&F Financial Corp. 1,705 53,281 U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Financials -- (Continued) # Calamos Asset Management, Inc. Class A 129,084 $ 1,572,243 # California First National Bancorp 14,701 218,016 # Camden National Corp. 33,314 1,271,595 Cape Bancorp, Inc. 6,168 65,689 * Capital Bank Financial Corp. Class A 12,938 308,571 # Capital City Bank Group, Inc. 49,366 686,187 (o) Capital Properties, Inc., 5.000% 2,340 2,340 #* Capital Properties, Inc. Class A 2,600 25,857 Capital Southwest Corp. 26,460 928,746 # Capitol Federal Financial, Inc. 892,065 10,740,463 # Cardinal Financial Corp. 179,912 3,022,522 # Cash America International, Inc. 156,694 6,824,024 # Cathay General Bancorp 504,366 11,903,038 Center Bancorp, Inc. 50,343 931,849 # Centerstate Banks, Inc. 72,541 795,775 Central Pacific Financial Corp. 62,942 1,181,421 # Century Bancorp, Inc. Class A 5,255 176,043 # Charter Financial Corp. 27,896 306,856 Chemical Financial Corp. 133,536 3,748,356 # Chicopee Bancorp, Inc. 9,906 171,671 Citizens Community Bancorp, Inc. 1,592 12,784 * Citizens First Corp. 400 4,312 # Citizens Holding Co. 2,717 50,998 #* Citizens, Inc. 195,193 1,282,418 # City Holding Co. 68,666 2,951,951 CKX Lands, Inc. 5,107 78,009 Clifton Bancorp, Inc. 47,980 556,088 CNB Financial Corp. 20,597 340,262 CNO Financial Group, Inc. 978,475 16,878,694 # CoBiz Financial, Inc. 156,126 1,567,505 Codorus Valley Bancorp, Inc. 2,377 50,749 # Cohen & Steers, Inc. 14,801 599,589 * Colonial Financial Services, Inc. 728 8,488 #* Colony Bankcorp, Inc. 10,672 65,846 Columbia Banking System, Inc. 308,748 7,663,125 # Commercial National Financial Corp. 3,979 82,763 # Community Bank System, Inc. 244,114 9,078,600 # Community Trust Bancorp, Inc. 72,790 2,683,767 #* Community West Bancshares 6,650 46,085 #* CommunityOne Bancorp 214 2,087 # Consolidated-Tomoka Land Co. 13,049 515,827 * Consumer Portfolio Services, Inc. 58,220 406,376 #* Cowen Group, Inc. Class A 459,717 1,889,437 # Crawford & Co. Class A 95,513 921,700 # Crawford & Co. Class B 64,819 740,233 * Credit Acceptance Corp. 59,060 7,767,571 #* Customers Bancorp, Inc. 16,819 370,523 # CVB Financial Corp. 688,515 9,955,927 #* DFC Global Corp. 205,008 1,910,675 # Diamond Hill Investment Group, Inc. 985 116,939 Dime Community Bancshares, Inc. 227,457 3,707,549 # Donegal Group, Inc. Class A 65,623 968,595 U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Financials -- (Continued) # Donegal Group, Inc. Class B 5,267 $ 113,662 #* Doral Financial Corp. 6,346 60,668 Eagle Bancorp Montana, Inc. 225 2,446 #* Eastern Virginia Bankshares, Inc. 590 3,983 #* eHealth, Inc. 98,447 4,123,945 # EMC Insurance Group, Inc. 37,461 1,235,838 Employers Holdings, Inc. 191,538 3,897,798 #* Encore Capital Group, Inc. 176,973 7,648,773 Endurance Specialty Holdings, Ltd. 280,694 14,264,869 #* Enstar Group, Ltd. 41,959 5,416,907 # Enterprise Bancorp, Inc. 10,055 183,604 Enterprise Financial Services Corp. 62,297 1,113,247 # ESB Financial Corp. 62,464 788,296 # ESSA Bancorp, Inc. 44,575 463,134 Evans Bancorp, Inc. 3,162 71,382 # EverBank Financial Corp. 130,703 2,446,760 # Evercore Partners, Inc. Class A 236,895 12,657,300 #* Ezcorp, Inc. Class A 199,375 2,079,481 #* Farmers Capital Bank Corp. 9,226 192,731 # FBL Financial Group, Inc. Class A 112,288 5,020,396 Federal Agricultural Mortgage Corp. Class A 2,089 57,500 Federal Agricultural Mortgage Corp. Class C 55,873 1,987,961 # Federated Investors, Inc. Class B 85,763 2,447,676 Federated National Holding Co. 44,528 865,179 Fidelity National Financial, Inc. Class A 64,014 2,059,971 # Fidelity Southern Corp. 23,882 315,481 # Financial Engines, Inc. 38,319 1,695,616 Financial Institutions, Inc. 53,628 1,241,488 * First Acceptance Corp. 13,967 33,381 # First American Financial Corp. 387,430 10,305,638 # First Bancorp 54,036 929,960 # First Bancorp, Inc. 32,161 512,325 #* First BanCorp. 210,004 1,079,421 * First Bancshares, Inc. 1,345 11,096 First Bancshares, Inc. (The) 921 13,345 First Busey Corp. 334,686 1,840,773 First Business Financial Services, Inc. 2,089 94,444 * First Cash Financial Services, Inc. 180,810 8,818,104 First Citizens BancShares, Inc. Class A 12,599 2,833,389 # First Commonwealth Financial Corp. 571,160 4,906,264 First Community Bancshares, Inc. 62,923 931,890 # First Connecticut Bancorp, Inc. 1,200 19,020 First Defiance Financial Corp. 42,781 1,155,943 #* First Federal Bancshares of Arkansas, Inc. 11,406 101,171 # First Federal of Northern Michigan Bancorp, Inc. 32,874 163,384 First Financial Bancorp 365,149 5,911,762 # First Financial Bankshares, Inc. 133,168 7,863,570 # First Financial Corp. 56,698 1,814,903 First Financial Holdings, Inc. 149,308 8,580,731 # First Financial Northwest, Inc. 49,804 508,001 * First Financial Service Corp. 5,202 18,987 # First Horizon National Corp. 439,260 5,047,097 U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Financials -- (Continued) First Interstate Bancsystem, Inc. 80,186 $ 1,995,830 #* First Marblehead Corp. (The) 12,935 68,038 First Merchants Corp. 242,276 5,141,097 First Midwest Bancorp, Inc. 461,897 7,561,254 * First Place Financial Corp. 151,301 235 # First South Bancorp, Inc. 20,886 167,715 * First United Corp. 9,289 76,727 # First West Virginia Bancorp 63 1,136 Firstbank Corp. 10,400 183,352 FirstMerit Corp. 289,834 5,619,881 #* Flagstar Bancorp, Inc. 161,567 2,843,579 Flushing Financial Corp. 163,777 3,147,794 # FNB Corp. 1,007,507 12,533,387 #* Forestar Group, Inc. 210,329 3,586,109 #* Fortegra Financial Corp. 1,191 8,599 Fox Chase Bancorp, Inc. 44,680 745,262 #* Franklin Financial Corp. 701 13,992 Fulton Financial Corp. 1,206,258 14,704,285 # FXCM, Inc. Class A 159,416 2,467,760 # Gain Capital Holdings, Inc. 92,168 930,897 * GAINSCO, Inc. 220 1,912 # GAMCO Investors, Inc. Class A 23,386 1,775,699 # German American Bancorp, Inc. 31,150 811,146 # GFI Group, Inc. 503,138 1,871,673 # Glacier Bancorp, Inc. 474,804 12,183,471 #* Gleacher & Co., Inc. 13,341 153,422 #* Global Indemnity P.L.C. 60,537 1,622,392 Gouverneur Bancorp, Inc. 1,695 17,628 Great Southern Bancorp, Inc. 47,807 1,370,627 #* Green Dot Corp. Class A 227,018 3,943,303 # Greenhill & Co., Inc. 197,036 9,881,355 * Greenlight Capital Re, Ltd. Class A 163,769 5,212,767 # Guaranty Bancorp 37,821 476,166 #* Guaranty Federal Bancshares, Inc. 2,800 35,392 * Hallmark Financial Services, Inc. 70,722 594,065 # Hampden Bancorp, Inc. 2,924 47,515 #* Hampton Roads Bankshares, Inc. 3,123 5,184 Hancock Holding Co. 47,993 1,618,804 Hanmi Financial Corp. 202,711 4,311,663 Hanover Insurance Group, Inc. (The) 266,298 15,565,118 Harleysville Savings Financial Corp. 1,615 27,294 #* Harris & Harris Group, Inc. 113,497 407,454 # Hawthorn Bancshares, Inc. 726 9,627 # HCI Group, Inc. 72,621 2,808,980 # Heartland Financial USA, Inc. 54,381 1,321,458 # Heritage Commerce Corp. 47,858 388,607 # Heritage Financial Corp. 43,477 702,588 # Heritage Financial Group, Inc. 7,167 137,965 HF Financial Corp. 8,198 112,313 HFF, Inc. Class A 236,033 8,025,122 * Hilltop Holdings, Inc. 526,077 11,752,560 # Hingham Institution for Savings 4,073 283,114 U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Financials -- (Continued) * HMN Financial, Inc. 31,110 $ 346,565 #* Home Bancorp, Inc. 921 18,650 # Home BancShares, Inc. 390,474 12,381,931 Home Federal Bancorp, Inc. 47,752 718,668 HopFed Bancorp, Inc. 7,872 89,583 Horace Mann Educators Corp. 238,216 7,163,155 # Horizon Bancorp 5,483 109,605 # Hudson Valley Holding Corp. 31,974 587,043 Huntington Bancshares, Inc. 21 192 # Iberiabank Corp. 184,619 11,612,535 * ICG Group, Inc. 197,759 4,030,328 # Independence Holding Co. 76,440 998,306 # Independent Bank Corp.(453836108) 128,270 4,761,382 Independent Bank Corp.(453838609) 28,411 369,911 Infinity Property & Casualty Corp. 47,846 3,070,278 Interactive Brokers Group, Inc. Class A 356,963 8,531,416 #* InterGroup Corp. (The) 1,860 32,531 International Bancshares Corp. 322,374 7,401,707 #* Intervest Bancshares Corp. Class A 14,332 108,493 #* INTL. FCStone, Inc. 71,042 1,344,115 * Investment Technology Group, Inc. 141,126 2,912,841 # Investors Bancorp, Inc. 597,246 15,964,386 #* Investors Capital Holdings, Ltd. 615 4,376 # Investors Title Co. 5,690 402,624 #* Jacksonville Bancorp, Inc. 80 834 # Janus Capital Group, Inc. 404,789 4,910,091 * Jefferson Bancshares, Inc. 427 3,352 # JMP Group, Inc. 77,654 536,589 #* JW Mays, Inc. 200 10,363 * KCG Holdings, Inc. Class A 56,408 561,260 #* Kearny Financial Corp. 160,807 2,344,566 Kemper Corp. 322,598 12,713,587 Kennedy-Wilson Holdings, Inc. 407,792 8,906,177 # Kentucky First Federal Bancorp 11,174 95,985 #* Ladenburg Thalmann Financial Services, Inc. 96,908 264,559 Lake Shore Bancorp, Inc. 537 6,651 Lakeland Bancorp, Inc. 137,608 1,436,628 # Lakeland Financial Corp. 76,605 2,803,743 # Landmark Bancorp, Inc. 4,441 85,800 # Life Partners Holdings, Inc. 59,461 162,329 # LNB Bancorp, Inc. 32,149 365,856 # Louisiana Bancorp, Inc. 1,387 27,047 LSB Financial Corp. 291 8,576 # Macatawa Bank Corp. 113,670 553,573 * Magyar Bancorp, Inc. 1,800 14,886 # Maiden Holdings, Ltd. 342,651 4,043,282 # MainSource Financial Group, Inc. 72,019 1,190,474 * Malvern Bancorp, Inc. 2,604 26,821 Manning & Napier, Inc. 18,893 314,002 MarketAxess Holdings, Inc. 241,594 13,017,085 Marlin Business Services Corp. 48,793 837,776 #* Maui Land & Pineapple Co., Inc. 16,899 132,319 U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Financials -- (Continued) # MB Financial, Inc. 344,197 $ 9,238,247 #* MBIA, Inc. 1,205,200 14,607,024 * MBT Financial Corp. 13,337 65,751 # MCG Capital Corp. 336,744 1,131,460 # Meadowbrook Insurance Group, Inc. 183,701 1,028,726 # Medallion Financial Corp. 134,395 1,827,772 # Mercantile Bank Corp. 19,258 375,724 Merchants Bancshares, Inc. 30,722 893,089 # Mercury General Corp. 214,490 10,265,491 #* Meridian Interstate Bancorp, Inc. 33,502 846,596 # Meta Financial Group, Inc. 10,434 437,289 * Metro Bancorp, Inc. 84,977 1,735,230 #* MGIC Investment Corp. 675,535 5,809,601 MicroFinancial, Inc. 40,915 322,001 Mid Penn Bancorp, Inc. 2,649 39,735 # MidSouth Bancorp, Inc. 17,719 296,262 # MidWestOne Financial Group, Inc. 741 18,251 # Montpelier Re Holdings, Ltd. 263,090 8,045,292 * MSB Financial Corp. 1,000 8,155 MutualFirst Financial, Inc. 10,911 205,127 # National Bank Holdings Corp. Class A 3,051 58,457 # National Interstate Corp. 50,651 1,419,241 National Penn Bancshares, Inc. 897,989 8,773,353 National Western Life Insurance Co. Class A 4,334 1,010,905 #* Naugatuck Valley Financial Corp. 1,596 12,361 * Navigators Group, Inc. (The) 69,306 3,948,363 # NBT Bancorp, Inc. 215,334 4,877,315 Nelnet, Inc. Class A 190,976 8,070,646 * New Century Bancorp, Inc. 2,400 17,784 # New Hampshire Thrift Bancshares, Inc. 8,785 129,579 #* NewBridge Bancorp 69,953 537,939 #* NewStar Financial, Inc. 183,769 2,098,642 Nicholas Financial, Inc. 4,051 63,682 * North Valley Bancorp 377 8,520 Northeast Bancorp 493 4,792 Northeast Community Bancorp, Inc. 11,679 85,023 # Northfield Bancorp, Inc. 262,925 3,410,137 # Northrim BanCorp, Inc. 15,577 373,692 Northway Financial, Inc. 5,279 99,509 # Northwest Bancshares, Inc. 567,650 7,544,068 # Norwood Financial Corp. 1,963 56,613 # Ocean Shore Holding Co. 3,443 51,611 OceanFirst Financial Corp. 82,631 1,340,275 # OFG Bancorp 291,529 4,973,485 Ohio Valley Banc Corp. 6,595 143,441 # Old Line Bancshares, Inc. 4,075 69,153 # Old National Bancorp 622,789 8,793,775 * Old Second Bancorp, Inc. 46,326 220,512 OmniAmerican Bancorp, Inc. 56,434 1,402,949 OneBeacon Insurance Group, Ltd. Class A 134,901 2,082,871 Oppenheimer Holdings, Inc. Class A 26,504 674,792 Oritani Financial Corp. 283,575 4,205,417 U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Financials -- (Continued) Pacific Continental Corp. 75,009 $ 988,619 * Pacific Mercantile Bancorp 8,605 56,363 #* Pacific Premier Bancorp, Inc. 19,765 269,792 PacWest Bancorp 529,478 20,845,549 # Park National Corp. 66,464 4,819,969 Park Sterling Corp. 127,478 832,431 * Patriot National Bancorp, Inc. 3,100 3,999 # Peapack Gladstone Financial Corp. 43,658 829,939 # Penns Woods Bancorp, Inc. 16,245 714,780 Peoples Bancorp 555 13,875 # Peoples Bancorp of North Carolina, Inc. 3,975 68,370 Peoples Bancorp, Inc. 35,423 923,478 #* PHH Corp. 320,747 7,624,156 #* Phoenix Cos., Inc. (The) 17,230 758,465 * PICO Holdings, Inc. 115,549 2,686,514 # Pinnacle Financial Partners, Inc. 219,181 7,577,087 * Piper Jaffray Cos. 66,404 2,912,479 Platinum Underwriters Holdings, Ltd. 185,551 11,635,903 * Popular, Inc. 22,673 700,596 #* Porter Bancorp, Inc. 9,708 10,485 #* Portfolio Recovery Associates, Inc. 311,847 17,822,056 * Preferred Bank 18,638 399,785 Premier Financial Bancorp, Inc. 30,814 440,640 Primerica, Inc. 366,878 16,836,031 * Primus Guaranty, Ltd. 52,225 419,889 PrivateBancorp, Inc. 501,630 13,829,939 ProAssurance Corp. 2,656 120,636 Protective Life Corp. 2,742 140,253 # Provident Financial Holdings, Inc. 44,302 623,329 # Provident Financial Services, Inc. 291,466 5,065,679 #* Prudential Bancorp, Inc. 7,693 83,161 Pulaski Financial Corp. 39,714 410,246 # Pzena Investment Management, Inc. Class A 57,403 623,971 QC Holdings, Inc. 67,835 140,418 Radian Group, Inc. 466,486 6,521,474 * Regional Management Corp. 13,621 208,946 # Renasant Corp. 125,752 3,422,969 # Republic Bancorp, Inc. Class A 75,690 1,817,317 #* Republic First Bancorp, Inc. 21,386 94,526 # Resource America, Inc. Class A 68,866 586,050 #* Riverview Bancorp, Inc. 37,965 132,118 # RLI Corp. 251,044 10,809,955 * Royal Bancshares of Pennsylvania, Inc. Class A 8,295 21,650 # S&T Bancorp, Inc. 141,362 3,288,080 #* Safeguard Scientifics, Inc. 111,217 2,336,669 Safety Insurance Group, Inc. 75,992 4,081,530 Salisbury Bancorp, Inc. 2,458 74,121 Sandy Spring Bancorp, Inc. 126,287 3,037,202 # SB Financial Group, Inc. 790 6,241 #* Seacoast Banking Corp. of Florida 30,538 323,703 Selective Insurance Group, Inc. 310,727 7,128,077 #* Shore Bancshares, Inc. 16,489 156,481 U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Financials -- (Continued) SI Financial Group, Inc. 6,862 $ 80,972 Sierra Bancorp 35,875 560,009 # Simmons First National Corp. Class A 78,177 2,826,880 Simplicity Bancorp, Inc. 17,616 305,461 * South Street Financial Corp. 400 3,838 #* Southcoast Financial Corp. 13 93 (o) Southern Community Financial Corp. 57,808 12,718 #* Southern First Bancshares, Inc. 3,037 41,485 Southern Missouri Bancorp, Inc. 1,107 39,077 # Southern National Bancorp of Virginia, Inc. 493 5,093 # Southside Bancshares, Inc. 84,173 2,321,498 Southwest Bancorp, Inc. 80,476 1,343,949 Southwest Georgia Financial Corp. 1,844 26,452 #* St Joe Co. (The) 285,095 5,088,946 StanCorp Financial Group, Inc. 195,471 11,943,278 # State Auto Financial Corp. 126,808 2,594,492 Sterling Bancorp 403,334 4,823,875 # Stewart Information Services Corp. 131,308 4,004,894 * Stifel Financial Corp. 367,302 17,178,715 Stock Yards Bancorp Inc 54,778 1,614,855 * Stratus Properties, Inc. 26,622 441,925 #* Suffolk Bancorp 78,876 1,729,751 Summit State Bank 195 2,262 #* Sun Bancorp, Inc. 242,822 922,724 Susquehanna Bancshares, Inc. 1,111,964 11,519,947 * Sussex Bancorp 10,149 91,341 * SWS Group, Inc. 72,807 539,500 # Symetra Financial Corp. 551,276 11,389,362 Synovus Financial Corp. 3,440,963 11,045,491 #* Taylor Capital Group, Inc. 73,897 1,573,267 # TCF Financial Corp. 1,122,858 17,628,871 Teche Holding Co. 5,917 431,349 * Tejon Ranch Co. 130,526 4,047,611 Territorial Bancorp, Inc. 40,293 824,395 # Teton Advisors, Inc. Class A 311 14,220 #* Texas Capital Bancshares, Inc. 288,842 16,230,032 TF Financial Corp. 7,379 231,405 Timberland Bancorp, Inc. 76,238 811,935 Tompkins Financial Corp. 44,212 2,084,154 # Tower Group International, Ltd. 219,718 540,506 # TowneBank 92,522 1,427,614 #* Tree.com, Inc. 56,523 1,643,689 # Trico Bancshares 76,235 1,848,699 # TrustCo Bank Corp. 565,739 3,739,535 # Trustmark Corp. 408,931 9,352,252 # UMB Financial Corp. 261,380 15,345,620 # Umpqua Holdings Corp. 641,190 10,662,994 #* Unico American Corp. 11,600 153,236 Union Bankshares Corp. 175,460 4,490,021 # Union Bankshares, Inc. 2,252 53,035 United Bancshares, Inc. 900 13,779 # United Bankshares, Inc. 304,725 8,913,206 U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- -------------- Financials -- (Continued) * United Community Banks, Inc. 309,848 $ 5,004,045 #* United Community Financial Corp. 503,382 1,676,262 # United Financial Bancorp, Inc.(91030T109) 71,500 1,261,260 United Financial Bancorp, Inc.(910304104) 120,919 1,591,294 United Fire Group, Inc. 108,670 3,023,199 * United Security Bancshares 28,300 159,613 Unity Bancorp, Inc. 8,514 72,795 # Universal Insurance Holdings, Inc. 248,715 3,638,700 # Univest Corp. of Pennsylvania 64,916 1,279,494 # Valley National Bancorp 164,843 1,651,727 * Vantagesouth Bancshares, Inc. 4,600 28,244 ViewPoint Financial Group, Inc. 252,778 6,589,922 * Virtus Investment Partners, Inc. 40,872 7,560,911 VSB Bancorp, Inc. 1,037 11,697 * Walker & Dunlop, Inc. 62,463 979,420 Washington Banking Co. 59,986 1,031,759 Washington Federal, Inc. 627,349 13,538,191 # Washington Trust Bancorp, Inc. 72,450 2,477,790 # Waterstone Financial, Inc. 62,768 653,415 Wayne Savings Bancshares, Inc. 2,043 23,740 Webster Financial Corp. 593,754 17,895,746 # WesBanco, Inc. 123,926 3,747,522 # West Bancorporation, Inc. 61,843 897,342 # Westamerica Bancorporation 160,156 8,139,128 * Western Alliance Bancorp 578,481 13,345,557 # Westfield Financial, Inc. 111,892 766,460 # Westwood Holdings Group, Inc. 27,573 1,603,921 Wilshire Bancorp, Inc. 515,558 5,155,580 Wintrust Financial Corp. 265,300 11,890,746 #* WisdomTree Investments, Inc. 904,098 10,207,266 #* World Acceptance Corp. 62,914 4,567,556 * Wright Investors' Service Holdings, Inc. 13,860 24,116 WSFS Financial Corp. 5,962 403,150 # WVS Financial Corp. 4,423 52,744 * Yadkin Financial Corp. 15,046 288,131 #* ZipRealty, Inc. 103,092 342,265 -------------- Total Financials 1,384,465,796 -------------- Health Care -- (7.5%) #* Abaxis, Inc. 48,759 1,980,103 #* Acadia Healthcare Co., Inc. 214,827 9,027,031 #* Accelerate Diagnostics, Inc. 10,203 188,041 #* Accretive Health, Inc. 5,000 40,250 #* Accuray, Inc. 350,040 2,940,336 #* Achillion Pharmaceuticals, Inc. 13,511 38,506 * Acorda Therapeutics, Inc. 211,500 7,497,675 #* Adcare Health Systems, Inc. 9,770 40,057 #* Addus HomeCare Corp. 61,453 1,328,614 #* Affymax, Inc. 141,242 76,271 #* Affymetrix, Inc. 427,269 3,174,609 #* Air Methods Corp. 257,582 14,339,590 #* Akorn, Inc. 613,574 15,474,336 U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Health Care -- (Continued) #* Albany Molecular Research, Inc. 231,465 $ 3,717,328 #* Alere, Inc. 149,729 5,000,949 #* Alexza Pharmaceuticals, Inc. 2,100 8,967 * Align Technology, Inc. 109,301 5,507,677 #* Alliance HealthCare Services, Inc. 39,560 1,125,878 * Allied Healthcare Products, Inc. 13,770 29,743 #* Allscripts Healthcare Solutions, Inc. 1,079,756 16,433,886 * Almost Family, Inc. 34,835 747,907 #* Alnylam Pharmaceuticals, Inc. 47,543 2,354,805 #* Alphatec Holdings, Inc. 255,458 344,868 #* AMAG Pharmaceuticals, Inc. 76,254 1,392,398 #* Amedisys, Inc. 181,376 2,472,155 * American Shared Hospital Services 10,189 28,427 * AMN Healthcare Services, Inc. 281,017 3,507,092 * Amsurg Corp. 191,154 8,278,880 * Anacor Pharmaceuticals, Inc. 49,410 813,783 Analogic Corp. 73,804 5,541,204 * AngioDynamics, Inc. 158,063 2,124,367 * ANI Pharmaceuticals, Inc. 1,341 41,719 #* Anika Therapeutics, Inc. 104,772 4,477,955 #* Arqule, Inc. 93,636 151,690 * Arrhythmia Research Technology, Inc. 6,674 32,369 #* ArthroCare Corp. 152,471 7,399,418 * AtriCure, Inc. 9,221 142,003 # Atrion Corp. 10,342 2,981,909 #* Authentidate Holding Corp. 41,534 43,195 #* Auxilium Pharmaceuticals, Inc. 339,753 7,647,840 #* AVEO Pharmaceuticals, Inc. 126,042 155,032 #* Baxano Surgical, Inc. 107,994 91,795 #* Bio-Reference Labs, Inc. 129,207 3,281,858 #* Bioanalytical Systems, Inc. 5,617 15,615 #* BioScrip, Inc. 443,786 3,070,999 #* Biospecifics Technologies Corp. 11,621 275,766 * Biota Pharmaceuticals, Inc. 24,681 91,073 * BioTelemetry, Inc. 160,926 1,277,752 * Bovie Medical Corp. 54,539 215,429 #* BSD Medical Corp. 56,629 62,858 * Cambrex Corp. 195,064 3,996,861 # Cantel Medical Corp. 242,692 8,047,667 #* Capital Senior Living Corp. 153,163 3,787,721 #* Cardica, Inc. 7,642 8,177 #* Catalyst Pharmaceutical Partners, Inc. 6,701 13,938 #* Celldex Therapeutics, Inc. 264,300 3,964,500 #* Celsion Corp. 8,283 27,500 * Centene Corp. 176,317 11,707,449 #* Cepheid, Inc. 45,121 1,961,861 * Charles River Laboratories International, Inc. 349,228 18,760,528 # Chemed Corp. 102,071 8,499,452 * Chindex International, Inc. 10,584 252,217 #* Cleveland Biolabs, Inc. 7,404 4,590 # Computer Programs & Systems, Inc. 71,735 4,528,631 CONMED Corp. 121,090 5,610,100 U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Health Care -- (Continued) #* Corcept Therapeutics, Inc. 59,506 $ 263,017 * Corvel Corp. 107,706 4,904,931 * Cross Country Healthcare, Inc. 185,503 1,315,216 CryoLife, Inc. 158,279 1,437,173 #* Cumberland Pharmaceuticals, Inc. 140,275 624,224 #* Cutera, Inc. 78,503 809,366 #* Cyberonics, Inc. 185,096 10,950,279 * Cynosure, Inc. Class A 197,990 4,858,675 #* Cytokinetics, Inc. 29,220 132,951 #* Cytori Therapeutics, Inc. 15,315 34,612 Daxor Corp. 14,561 121,002 #* Depomed, Inc. 15,354 215,110 # Digirad Corp. 120,709 383,855 #* Discovery Laboratories, Inc. 1,415 2,519 #* Durect Corp. 120,100 156,130 #* Dyax Corp. 150,379 994,005 #* Emergent Biosolutions, Inc. 241,068 6,354,553 * Emeritus Corp. 96,915 2,890,974 * Encision, Inc. 2,013 2,094 Ensign Group, Inc. (The) 126,076 5,358,230 #* EnteroMedics, Inc. 3,200 5,824 #* Entremed, Inc. 9,289 16,720 * Enzo Biochem, Inc. 184,277 773,963 # Enzon Pharmaceuticals, Inc. 213,649 190,169 #* Exact Sciences Corp. 80,468 965,616 #* Exactech, Inc. 48,042 1,067,493 * ExamWorks Group, Inc. 148,041 5,447,909 #* Fibrocell Science, Inc. 3,711 14,102 * Five Star Quality Care, Inc. 203,756 984,142 #* Furiex Pharmaceuticals, Inc. 22,027 2,276,931 #* Galena Biopharma, Inc. 84 206 #* Gentiva Health Services, Inc. 173,978 1,310,054 * Globus Medical, Inc. Class A 278,477 6,800,408 * Greatbatch, Inc. 152,024 6,997,665 * Haemonetics Corp. 311,038 9,443,114 * Hanger, Inc. 213,405 7,398,751 #* Harvard Apparatus Regenerative Technology, Inc. 33,977 293,901 #* Harvard Bioscience, Inc. 138,109 582,820 * Health Net, Inc. 485,957 16,682,904 # HealthSouth Corp. 436,208 15,110,245 #* HealthStream, Inc. 99,925 2,263,301 #* Healthways, Inc. 227,350 4,092,300 # Hill-Rom Holdings, Inc. 385,775 14,412,554 #* HMS Holdings Corp. 77,271 1,249,472 * Hooper Holmes, Inc. 1,113,795 679,415 #* Horizon Pharma, Inc. 28,436 403,223 #* iBio, Inc. 20,300 9,135 * ICU Medical, Inc. 93,948 5,240,419 #* Idera Pharmaceuticals, Inc. 146,982 417,429 * Impax Laboratories, Inc. 478,548 12,514,030 * Incyte Corp., Ltd. 113,589 5,515,882 #* Infinity Pharmaceuticals, Inc. 123,598 1,207,552 U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Health Care -- (Continued) #* Insys Therapeutics, Inc. 131,801 $ 5,411,749 #* Integra LifeSciences Holdings Corp. 200,132 9,122,017 Invacare Corp. 184,158 2,909,696 #* IPC The Hospitalist Co., Inc. 102,148 4,136,994 * Iridex Corp. 4,691 39,076 #* Isis Pharmaceuticals, Inc. 69,742 1,855,835 Kewaunee Scientific Corp. 10,935 183,161 Kindred Healthcare, Inc. 350,470 8,796,797 # Landauer, Inc. 45,158 1,952,632 * Lannett Co., Inc. 160,463 5,540,787 * LCA-Vision, Inc. 68,039 364,689 # LeMaitre Vascular, Inc. 94,561 776,346 #* LHC Group, Inc. 78,998 1,641,578 #* LifePoint Hospitals, Inc. 236,483 13,224,129 #* Ligand Pharmaceuticals, Inc. Class B 133,024 8,403,126 #* Luminex Corp. 125,405 2,409,030 * Magellan Health Services, Inc. 160,929 9,288,822 #* Mallinckrodt P.L.C. 7,989 569,056 #* Masimo Corp. 366,491 9,807,299 #* Mast Therapeutics, Inc. 76,900 44,148 (o)#* Maxygen, Inc. 155,971 4,679 * MedAssets, Inc. 408,043 9,315,622 (o)* MedCath Corp. 65,962 131,924 #* Medical Action Industries, Inc. 80,891 518,511 #* Medicines Co. (The) 408,746 10,872,644 #* MediciNova, Inc. 25,896 48,685 * Medidata Solutions, Inc. 247,524 8,987,596 # Meridian Bioscience, Inc. 196,403 3,922,168 #* Merit Medical Systems, Inc. 231,774 2,982,931 #* MGC Diagnostics Corp. 215 2,365 #* Misonix, Inc. 86,409 518,454 #* Molina Healthcare, Inc. 306,468 11,461,903 #* Momenta Pharmaceuticals, Inc. 303,356 3,464,326 #* MWI Veterinary Supply, Inc. 44,034 6,897,486 #* Myriad Genetics, Inc. 502,527 21,211,665 #* Nanosphere, Inc. 44,639 76,333 # National Healthcare Corp. 42,718 2,337,956 #* National Research Corp. Class A 88,416 1,393,436 #* National Research Corp. Class B 14,736 646,616 * Natus Medical, Inc. 214,908 5,336,166 #* Neogen Corp. 99,867 4,171,944 * NuVasive, Inc. 314,426 10,599,300 * Omnicell, Inc. 218,373 5,782,517 #* OncoGenex Pharmaceutical, Inc. 11,746 45,574 #* Oncothyreon, Inc. 7,277 20,812 #* Opko Health, Inc. 125,475 1,037,678 * OraSure Technologies, Inc. 85,378 559,226 * Orthofix International NV 87,373 2,638,665 * Osiris Therapeutics, Inc. 1,025 14,586 # Owens & Minor, Inc. 442,164 14,830,181 #* Pacific Biosciences of California, Inc. 123,400 545,428 #* Pain Therapeutics, Inc. 166,263 946,036 U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Health Care -- (Continued) * PAREXEL International Corp. 336,385 $15,255,060 * PDI, Inc. 127,587 602,211 # PDL BioPharma, Inc. 697,874 5,924,950 #* Pernix Therapeutics Holdings 24,884 119,692 * PharMerica Corp. 167,911 4,565,500 #* PhotoMedex, Inc. 17,948 271,194 #* Pozen, Inc. 168,990 1,412,756 #* Prestige Brands Holdings, Inc. 319,182 10,698,981 #* Progenics Pharmaceuticals, Inc. 149,791 528,762 #* ProPhase Labs, Inc. 15,982 31,644 #* Providence Service Corp. (The) 81,612 3,314,263 #* pSivida Corp. 39,770 144,763 Psychemedics Corp. 6,901 108,760 # Quality Systems, Inc. 359,758 5,313,626 #* Quidel Corp. 145,341 3,117,564 * RadNet, Inc. 144,576 718,543 #* Repligen Corp. 232,579 3,686,377 #* Repros Therapeutics, Inc. 6,764 114,109 #* Rigel Pharmaceuticals, Inc. 231,144 739,661 #* RTI Surgical, Inc. 252,618 1,086,257 #* RXi Pharmaceuticals Corp. 2 7 #* Sagent Pharmaceuticals, Inc. 68,626 1,419,872 #* Sangamo Biosciences, Inc. 22,102 305,892 #* Sciclone Pharmaceuticals, Inc. 323,201 1,544,901 Select Medical Holdings Corp. 616,795 8,610,458 Simulations Plus, Inc. 35,178 212,827 #* Skilled Healthcare Group, Inc. Class A 106,235 548,173 Span-America Medical Systems, Inc. 12,193 254,224 * Special Diversified Opportunities, Inc. 1,950 2,301 #* Spectranetics Corp. 109,297 2,323,654 #* Spectrum Pharmaceuticals, Inc. 280,684 1,928,299 #* Staar Surgical Co. 79,542 1,353,009 #* StemCells, Inc. 10,349 12,936 #* Stereotaxis, Inc. 8,630 33,398 STERIS Corp. 351,014 16,866,223 #* Sucampo Pharmaceuticals, Inc. Class A 109,310 755,332 #* SurModics, Inc. 80,734 1,756,772 * Symmetry Medical, Inc. 195,408 1,614,070 #* Targacept, Inc. 42,184 187,297 * Team Health Holdings, Inc. 317,151 15,375,481 * Thoratec Corp. 389,378 12,763,811 #* Threshold Pharmaceuticals, Inc. 10,400 42,640 * Tornier NV 103,592 1,757,956 #* Transcept Pharmaceuticals, Inc. 73,786 217,669 * Triple-S Management Corp. Class B 98,230 1,471,485 # Universal American Corp. 348,712 2,500,265 * Uroplasty, Inc. 12,442 43,298 US Physical Therapy, Inc. 56,850 1,753,823 # Utah Medical Products, Inc. 17,665 897,205 #* Vascular Solutions, Inc. 88,257 1,933,711 * VCA Antech, Inc. 590,362 18,082,788 #* Verastem, Inc. 1,138 9,502 U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ------------ Health Care -- (Continued) #* Vical, Inc. 12,783 $ 14,445 #* Vision Sciences, Inc. 4,525 4,706 #* Volcano Corp. 16,523 290,144 * WellCare Health Plans, Inc. 67,677 4,566,167 West Pharmaceutical Services, Inc. 351,188 15,234,535 * Wright Medical Group, Inc. 255,723 6,994,024 #* XenoPort, Inc. 3,997 16,228 Xstelos Holdings, Inc. 22,800 15,960 #* Zalicus, Inc. 3,542 3,790 #* Zeltiq Aesthetics, Inc. 1,900 34,751 ------------ Total Health Care 783,688,847 ------------ Industrials -- (14.7%) # AAON, Inc. 220,925 6,263,224 # AAR Corp. 231,840 6,004,656 ABM Industries, Inc. 348,473 9,440,134 # Acacia Research Corp. 215,375 3,454,615 #* ACCO Brands Corp. 267,986 1,642,754 #* Accuride Corp. 36,019 203,147 Aceto Corp. 189,119 4,137,924 # Acme United Corp. 7,500 126,225 #* Acorn Energy, Inc. 81,749 189,658 * Active Power, Inc. 77,492 218,527 Actuant Corp. Class A 463,172 15,683,004 * Adept Technology, Inc. 63,689 761,720 #* Advisory Board Co. (The) 230,061 13,173,293 #* Aegion Corp. 237,200 6,046,228 #* AeroCentury Corp. 2,989 53,653 * Aerovironment, Inc. 151,205 5,106,193 * Air Transport Services Group, Inc. 271,530 2,126,080 Aircastle, Ltd. 213,426 3,749,895 Alamo Group, Inc. 62,127 3,300,186 # Albany International Corp. Class A 175,209 6,304,020 # Allegiant Travel Co. 113,283 13,305,088 # Alliant Techsystems, Inc. 169,067 24,382,843 (o) Allied Defense Group, Inc. 59,074 4,726 Allied Motion Technologies, Inc. 12,558 142,408 # Altra Industrial Motion Corp. 184,279 6,294,971 AMERCO 73,355 18,346,819 #* Ameresco, Inc. Class A 79,276 508,159 * American Airlines Group, Inc. 3,927 137,720 # American Railcar Industries, Inc. 113,169 7,858,455 # American Science & Engineering, Inc. 43,542 2,926,022 #* American Superconductor Corp. 57,131 73,128 #* American Woodmark Corp. 63,735 1,912,687 * AMREP Corp. 8,340 45,453 # Apogee Enterprises, Inc. 190,279 6,045,164 Applied Industrial Technologies, Inc. 273,081 13,086,042 * ARC Document Solutions, Inc. 263,836 1,688,550 ArcBest Corp. 149,929 5,910,201 Argan, Inc. 63,748 1,706,534 #* Arotech Corp. 82,319 285,647 U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Industrials -- (Continued) Art's-Way Manufacturing Co., Inc. 400 $ 2,424 #* Ascent Solar Technologies, Inc. 100,796 50,912 # Astec Industries, Inc. 109,860 4,388,907 * Astronics Corp. 80,462 4,595,989 #* Astronics Corp. Class B 13,683 778,563 #* Atlas Air Worldwide Holdings, Inc. 140,555 4,918,019 * Avalon Holdings Corp. Class A 41,336 185,185 #* Avis Budget Group, Inc. 435,404 22,897,896 # AZZ, Inc. 158,947 6,901,479 # Baltic Trading, Ltd. 149,223 893,846 Barnes Group, Inc. 345,925 13,325,031 Barrett Business Services, Inc. 47,056 2,372,093 * Beacon Roofing Supply, Inc. 325,802 11,592,035 * Blount International, Inc. 411,902 4,600,945 #* BlueLinx Holdings, Inc. 119,501 156,546 Brady Corp. Class A 251,875 6,495,856 * Breeze-Eastern Corp. 41,547 411,315 # Briggs & Stratton Corp. 283,858 6,066,045 # Brink's Co. (The) 302,654 7,699,518 #* Builders FirstSource, Inc. 137,362 1,078,292 #* CAI International, Inc. 97,624 2,123,322 #* Casella Waste Systems, Inc. Class A 143,782 733,288 #* CBIZ, Inc. 263,876 2,261,417 # CDI Corp. 72,141 1,105,200 Ceco Environmental Corp. 108,762 1,728,228 Celadon Group, Inc. 128,083 2,947,190 #* Cenveo, Inc. 24,095 74,454 #* Chart Industries, Inc. 150,375 10,258,582 Chicago Rivet & Machine Co. 4,123 159,766 CIRCOR International, Inc. 109,716 8,910,036 # CLARCOR, Inc. 100,631 5,812,447 * Columbus McKinnon Corp. 108,042 2,862,033 Comfort Systems USA, Inc. 224,053 3,360,795 #* Commercial Vehicle Group, Inc. 168,409 1,635,251 # Compx International, Inc. 9,814 90,289 Con-way, Inc. 382,310 16,240,529 Conrad Industries, Inc. 6,600 262,020 # Corporate Executive Board Co. (The) 214,350 14,794,437 # Courier Corp. 46,226 671,664 Covanta Holding Corp. 54,469 1,004,953 * Covenant Transportation Group, Inc. Class A 158,118 1,620,709 #* CPI Aerostructures, Inc. 28,946 389,903 #* CRA International, Inc. 38,940 847,724 # Cubic Corp. 153,956 7,302,133 Curtiss-Wright Corp. 258,251 16,512,569 Deluxe Corp. 335,346 18,427,263 * DigitalGlobe, Inc. 493,658 14,701,135 Douglas Dynamics, Inc. 114,263 1,927,617 #* Ducommun, Inc. 62,194 1,509,448 * DXP Enterprises, Inc. 90,148 10,205,655 * Dycom Industries, Inc. 206,530 6,485,042 Dynamic Materials Corp. 62,959 1,271,772 U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Industrials -- (Continued) #* Eagle Bulk Shipping, Inc. 59,714 $ 174,365 Eastern Co. (The) 20,021 338,155 #* Echo Global Logistics, Inc. 121,410 2,374,780 # Ecology and Environment, Inc. Class A 10,494 100,637 EMCOR Group, Inc. 328,095 15,089,089 # Encore Wire Corp. 122,912 5,989,502 #* Energy Recovery, Inc. 163,092 833,400 * EnerNOC, Inc. 191,533 4,520,179 # EnerSys, Inc. 269,950 18,243,221 * Engility Holdings, Inc. 41,645 1,817,388 # Ennis, Inc. 118,645 1,774,929 #* EnPro Industries, Inc. 144,718 10,305,369 * Environmental Tectonics Corp. 7,400 15,503 EnviroStar, Inc. 7,443 23,297 #* Erickson, Inc. 953 15,067 # ESCO Technologies, Inc. 134,961 4,510,397 # Espey Manufacturing & Electronics Corp. 13,081 347,955 * Esterline Technologies Corp. 177,418 19,342,110 Exelis, Inc. 780,550 14,471,397 # Exponent, Inc. 71,661 5,046,368 * Federal Signal Corp. 394,865 5,994,051 Forward Air Corp. 192,252 8,503,306 * Franklin Covey Co. 114,217 2,315,179 Franklin Electric Co., Inc. 306,287 11,844,118 # FreightCar America, Inc. 63,935 1,678,933 #* FTI Consulting, Inc. 243,292 8,344,916 #* Fuel Tech, Inc. 141,056 859,031 #* Furmanite Corp. 224,055 2,348,096 G&K Services, Inc. Class A 110,021 5,824,512 GATX Corp. 253,276 16,622,504 #* Genco Shipping & Trading, Ltd. 144,051 237,684 #* Gencor Industries, Inc. 5,287 55,461 #* GenCorp, Inc. 228,340 4,009,650 # Generac Holdings, Inc. 240,144 14,139,679 # General Cable Corp. 296,590 7,598,636 * Gibraltar Industries, Inc. 158,672 2,710,118 # Global Power Equipment Group, Inc. 44,936 787,728 #* Goldfield Corp. (The) 77,899 160,472 # Gorman-Rupp Co. (The) 121,148 3,761,645 * GP Strategies Corp. 103,259 2,713,647 #* GrafTech International, Ltd. 226,826 2,542,719 # Graham Corp. 52,065 1,553,620 # Granite Construction, Inc. 236,684 8,847,248 * Great Lakes Dredge & Dock Corp. 347,022 2,994,800 #* Greenbrier Cos., Inc. (The) 196,893 10,325,069 # Griffon Corp. 269,390 2,866,310 * H&E Equipment Services, Inc. 232,953 8,980,338 Hardinge, Inc. 53,864 719,623 Harsco Corp. 537,907 12,872,115 #* Hawaiian Holdings, Inc. 319,774 4,620,734 # Healthcare Services Group, Inc. 238,701 6,946,199 # Heartland Express, Inc. 578,154 12,580,631 U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Industrials -- (Continued) # HEICO Corp. 139,212 $ 7,701,208 HEICO Corp. Class A 152,556 6,216,657 Heidrick & Struggles International, Inc. 82,658 1,558,103 #* Heritage-Crystal Clean, Inc. 4,651 74,416 Herman Miller, Inc. 291,790 8,995,886 * Hill International, Inc. 151,249 1,016,393 # HNI Corp. 281,689 9,923,903 * Horizon Lines, Inc. Class A 4,998 3,474 # Houston Wire & Cable Co. 134,612 1,677,266 * Hub Group, Inc. Class A 247,221 11,038,418 #* Hudson Global, Inc. 123,326 437,807 #* Hudson Technologies, Inc. 3,900 12,733 Huntington Ingalls Industries, Inc. 227,971 23,481,013 Hurco Cos., Inc. 24,776 660,528 * Huron Consulting Group, Inc. 154,732 11,016,918 #* Huttig Building Products, Inc. 100,706 445,121 Hyster-Yale Materials Handling, Inc. 75,663 7,293,157 * ICF International, Inc. 92,042 3,586,877 #* InnerWorkings, Inc. 132,365 953,028 #* Innovative Solutions & Support, Inc. 46,017 309,694 # Insperity, Inc. 149,285 4,786,077 Insteel Industries, Inc. 82,551 1,698,900 #* Integrated Electrical Services, Inc. 30,483 189,299 * Intelligent Systems Corp. 32,937 51,382 # Interface, Inc. 415,386 7,472,794 # International Shipholding Corp. 18,655 502,566 # Intersections, Inc. 90,158 506,688 ITT Corp. 71,744 3,095,036 #* JetBlue Airways Corp. 2,028,954 16,038,881 # John Bean Technologies Corp. 184,462 5,347,553 * JPS Industries, Inc. 8,700 59,812 Kadant, Inc. 37,897 1,316,921 # Kaman Corp. 170,240 7,144,973 # Kelly Services, Inc. Class A 199,424 4,199,869 Kelly Services, Inc. Class B 350 7,948 * Key Technology, Inc. 20,756 255,921 #* KEYW Holding Corp. (The) 16,970 218,064 # Kforce, Inc. 208,370 4,817,514 Kimball International, Inc. Class B 161,329 2,703,874 # Knight Transportation, Inc. 557,780 13,236,119 Knoll, Inc. 278,778 5,070,972 * Korn/Ferry International 333,783 9,696,396 #* Kratos Defense & Security Solutions, Inc. 297,210 2,145,856 # Landstar System, Inc. 277,211 17,461,521 * Lawson Products, Inc. 35,060 587,255 #* Layne Christensen Co. 88,751 1,546,042 # LB Foster Co. Class A 46,887 2,220,099 # Lindsay Corp. 78,825 6,946,847 #* LMI Aerospace, Inc. 57,677 786,714 LS Starrett Co. (The) Class A 31,156 486,657 # LSI Industries, Inc. 97,700 743,497 #* Luna Innovations, Inc. 6,456 9,297 U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Industrials -- (Continued) * Lydall, Inc. 63,864 $ 1,495,056 #* Magnetek, Inc. 38,959 859,046 #* Manitex International, Inc. 6,890 113,409 # Manitowoc Co., Inc. (The) 789,124 25,078,361 # Marten Transport, Ltd. 166,452 3,904,964 #* MasTec, Inc. 498,398 19,726,593 Mastech Holdings, Inc. 2,073 35,821 # Matson, Inc. 253,982 6,016,834 # McGrath RentCorp 105,270 3,324,427 * Meritor, Inc. 645,489 7,661,954 #* Metalico, Inc. 168,185 259,005 * Mfri, Inc. 39,691 432,235 * Middleby Corp. (The) 73,604 18,583,538 # Miller Industries, Inc. 57,987 1,123,208 * Mistras Group, Inc. 130,617 2,966,312 Mobile Mini, Inc. 296,841 13,114,435 * Moog, Inc. Class A 208,320 13,634,544 #* Moog, Inc. Class B 10,012 655,586 * MRC Global, Inc. 8,352 243,795 MSA Safety, Inc. 232,046 12,240,426 Mueller Industries, Inc. 380,415 11,009,210 Mueller Water Products, Inc. Class A 1,074,015 9,795,017 # Multi-Color Corp. 69,901 2,436,050 #* MYR Group, Inc. 123,350 2,893,791 # National Presto Industries, Inc. 27,933 2,018,439 * Navigant Consulting, Inc. 272,205 4,573,044 #* NCI Building Systems, Inc. 22,318 349,054 # NL Industries, Inc. 150,263 1,507,138 NN, Inc. 101,042 1,977,392 * Nortek, Inc. 2,405 197,595 #* Northwest Pipe Co. 47,175 1,687,450 #* Ocean Power Technologies, Inc. 34,916 94,273 #* Odyssey Marine Exploration, Inc. 125,767 275,430 # Omega Flex, Inc. 25,792 520,225 * On Assignment, Inc. 364,553 12,759,355 * Orbit International Corp. 1,977 5,615 * Orbital Sciences Corp. 397,021 11,672,417 #* Orion Energy Systems, Inc. 87,738 465,011 #* Orion Marine Group, Inc. 90,939 1,066,714 * PAM Transportation Services, Inc. 33,728 839,490 * Park-Ohio Holdings Corp. 64,137 3,744,959 * Patrick Industries, Inc. 65,645 2,630,395 #* Patriot Transportation Holding, Inc. 38,246 1,334,020 #* Pendrell Corp. 161,066 265,759 * Performant Financial Corp. 2,700 23,517 * PGT, Inc. 305,876 3,043,466 #* Pike Corp. 166,625 1,599,600 #* Plug Power, Inc. 66,963 311,378 #* PMFG, Inc. 35,785 202,901 #* Polypore International, Inc. 218,658 7,583,059 # Powell Industries, Inc. 63,522 4,022,213 #* PowerSecure International, Inc. 152,483 3,389,697 U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Industrials -- (Continued) # Preformed Line Products Co. 22,931 $ 1,370,357 Primoris Services Corp. 312,996 8,757,628 #* Proto Labs, Inc. 163,870 9,920,690 # Providence and Worcester Railroad Co. 5,591 97,507 Quad/Graphics, Inc. 9,461 204,831 * Quality Distribution, Inc. 167,962 2,111,282 Quanex Building Products Corp. 225,534 4,249,061 # Raven Industries, Inc. 304,911 9,421,750 * RBC Bearings, Inc. 131,881 8,210,911 #* RCM Technologies, Inc. 146,273 991,731 #* Real Goods Solar, Inc. Class A 2,817 8,254 * Republic Airways Holdings, Inc. 242,919 2,018,657 Resources Connection, Inc. 220,603 3,002,407 * Rexnord Corp. 66,567 1,780,002 #* Roadrunner Transportation Systems, Inc. 203,636 5,015,555 #* RPX Corp. 322,878 5,288,742 RR Donnelley & Sons Co. 481,550 8,475,280 #* Rush Enterprises, Inc. Class A 148,820 4,777,122 #* Rush Enterprises, Inc. Class B 37,831 1,069,861 * Saia, Inc. 155,893 6,418,115 # Schawk, Inc. 84,726 1,694,520 * Schuff International, Inc. 6,400 174,208 Servotronics, Inc. 1,500 11,617 SIFCO Industries, Inc. 18,366 603,323 Simpson Manufacturing Co., Inc. 302,029 9,903,531 SkyWest, Inc. 255,006 2,958,070 * SL Industries, Inc. 20,885 574,129 # SmartPros, Ltd. 10,300 35,329 #* SP Plus Corp. 76,636 1,871,451 * Sparton Corp. 40,544 1,101,175 * Spirit Airlines, Inc. 478,914 27,221,472 #* Standard Register Co. (The) 29,933 217,314 Standex International Corp. 65,746 3,903,340 Steelcase, Inc. Class A 597,872 9,852,931 #* Sterling Construction Co., Inc. 57,288 439,972 # Sun Hydraulics Corp. 131,551 5,377,805 * Supreme Industries, Inc. Class A 113,237 642,054 #* Swift Transportation Co. 506,395 12,178,800 Sypris Solutions, Inc. 285,243 864,286 #* TAL International Group, Inc. 213,266 8,995,560 #* Taser International, Inc. 372,885 6,022,093 #* Team, Inc. 109,613 4,701,302 #* Tecumseh Products Co. Class A 47,621 286,202 * Tecumseh Products Co. Class B 4,097 23,926 * Tel-Instrument Electronics Corp. 8,400 42,000 * Teledyne Technologies, Inc. 65,814 6,111,488 # Tennant Co. 104,927 6,693,293 * Tetra Tech, Inc. 415,846 11,922,305 # Textainer Group Holdings, Ltd. 238,948 9,390,656 #* Thermon Group Holdings, Inc. 74,818 1,782,165 # Titan International, Inc. 303,032 5,306,090 #* Titan Machinery, Inc. 99,135 1,748,741 U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- -------------- Industrials -- (Continued) Toro Co. (The) 149,478 $ 9,497,832 #* Transcat, Inc. 5,600 55,104 #* TRC Cos., Inc. 357,086 2,117,520 #* Trex Co., Inc. 111,791 8,777,829 * Trimas Corp. 271,155 9,723,618 Trinity Industries, Inc. 34,441 2,585,141 * TrueBlue, Inc. 261,989 7,008,206 * Tutor Perini Corp. 292,935 8,670,876 # Twin Disc, Inc. 43,371 1,254,723 * Ultralife Corp. 60,836 219,010 UniFirst Corp. 85,126 8,192,526 # United Stationers, Inc. 250,486 9,400,740 # Universal Forest Products, Inc. 108,003 5,453,071 * Universal Security Instruments, Inc. 1,595 6,699 # Universal Truckload Services, Inc. 54,778 1,350,825 US Ecology, Inc. 133,467 5,959,302 #* USA Truck, Inc. 29,426 490,237 #* USG Corp. 46,747 1,395,865 # UTi Worldwide, Inc. 635,299 6,219,577 * Versar, Inc. 27,782 107,239 Viad Corp. 109,876 2,532,642 * Vicor Corp. 107,188 896,092 * Virco Manufacturing Corp. 30,131 66,138 #* Volt Information Sciences, Inc. 119,747 955,581 # VSE Corp. 11,278 704,537 #* Wabash National Corp. 478,974 6,399,093 # Watsco, Inc. Class B 12,022 1,217,468 Watts Water Technologies, Inc. Class A 190,171 10,117,097 # Werner Enterprises, Inc. 472,694 12,100,966 #* Wesco Aircraft Holdings, Inc. 282,685 5,727,198 * Willdan Group, Inc. 9,040 42,217 * Willis Lease Finance Corp. 26,350 531,216 Woodward, Inc. 50,427 2,260,642 # WSI Industries, Inc. 1,900 13,072 #* Xerium Technologies, Inc. 12,517 168,979 #* XPO Logistics, Inc. 94,284 2,558,868 #* YRC Worldwide, Inc. 8,808 197,563 -------------- Total Industrials 1,536,318,767 -------------- Information Technology -- (14.7%) #* 3D Systems Corp. 93,081 4,406,455 #* ACI Worldwide, Inc. 252,838 14,449,692 * Actuate Corp. 286,143 1,610,985 * Acxiom Corp. 519,292 14,664,806 #* ADDvantage Technologies Group, Inc. 6,085 20,446 # ADTRAN, Inc. 366,449 8,219,451 * Advanced Energy Industries, Inc. 285,651 6,250,044 #* Advanced Micro Devices, Inc. 574,507 2,349,734 * Advanced Photonix, Inc. Class A 3,313 1,822 # Advent Software, Inc. 334,765 9,647,927 * Aehr Test Systems 11,205 28,685 #* Aeroflex Holding Corp. 105,483 806,945 U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Information Technology -- (Continued) #* Aetrium, Inc. 721 $ 3,641 * Agilysys, Inc. 111,714 1,400,894 #* Alpha & Omega Semiconductor, Ltd. 15,353 110,542 American Software, Inc. Class A 140,720 1,356,541 #* Amkor Technology, Inc. 684,883 5,444,820 #* Amtech Systems, Inc. 38,250 327,037 #* ANADIGICS, Inc. 265,907 332,384 Anixter International, Inc. 180,205 17,656,486 * AOL, Inc. 45,260 1,937,581 #* Applied Micro Circuits Corp. 117,874 1,144,557 * ARRIS Group, Inc. 747,557 19,503,762 * Aspen Technology, Inc. 140,271 6,030,250 * Astea International, Inc. 2,800 4,872 Astro-Med, Inc. 30,318 381,097 #* Audience, Inc. 3,310 38,065 * Autobytel, Inc. 141,737 1,763,208 #* AVG Technologies NV 184,843 3,462,109 #* Aviat Networks, Inc. 234,019 353,369 * Avid Technology, Inc. 147,790 1,115,814 AVX Corp. 52,332 698,632 #* Aware, Inc. 85,348 472,828 * Axcelis Technologies, Inc. 422,206 755,749 * AXT, Inc. 182,535 394,276 # Badger Meter, Inc. 83,398 4,132,371 * Bankrate, Inc. 481,052 8,428,031 * Bazaarvoice, Inc. 87,690 589,277 # Bel Fuse, Inc. Class A 8,954 182,303 Bel Fuse, Inc. Class B 35,045 762,579 Belden, Inc. 250,180 18,465,786 * Benchmark Electronics, Inc. 243,068 5,634,316 Black Box Corp. 68,151 1,448,890 # Blackbaud, Inc. 212,635 6,474,736 * Blonder Tongue Laboratories 22,536 20,282 #* Blucora, Inc. 272,708 5,249,629 * Bogen Communications International 11,900 12,257 (o)* Bogen Corp. 11,900 -- Booz Allen Hamilton Holding Corp. 237,615 5,522,173 #* Bottomline Technologies de, Inc. 210,336 6,655,031 * BroadVision, Inc. 18,154 180,088 # Brooks Automation, Inc. 380,956 3,897,180 * Bsquare Corp. 35,768 114,458 * BTU International, Inc. 20,326 59,555 * Cabot Microelectronics Corp. 152,234 6,602,389 #* CACI International, Inc. Class A 157,474 10,968,064 #* CalAmp Corp. 425,510 7,552,802 #* Calix, Inc. 299,932 2,642,401 * Cardtronics, Inc. 298,323 9,987,854 * Cascade Microtech, Inc. 65,869 703,481 # Cass Information Systems, Inc. 41,888 2,115,763 #* Ceva, Inc. 124,005 2,012,601 * Checkpoint Systems, Inc. 217,058 2,771,831 #* China Information Technology, Inc. 33,799 137,224 U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Information Technology -- (Continued) #* ChyronHego Corp. 1,822 $ 4,355 #* CIBER, Inc. 389,591 1,683,033 #* Ciena Corp. 719,870 14,231,830 #* Cinedigm Corp. 543,743 1,359,357 #* Cirrus Logic, Inc. 379,791 8,469,339 #* Clearfield, Inc. 89,369 1,408,455 * Cognex Corp. 465,402 16,023,791 * Coherent, Inc. 145,050 8,660,935 # Cohu, Inc. 98,230 1,011,769 (o)#* Commerce One, LLC 45,000 -- Communications Systems, Inc. 32,263 390,060 # Computer Task Group, Inc. 88,873 1,405,082 Compuware Corp. 1,115,575 11,557,357 * comScore, Inc. 36,030 1,128,820 # Comtech Telecommunications Corp. 99,951 3,173,444 * Comverse, Inc. 50,973 1,271,267 Concurrent Computer Corp. 42,599 357,406 * Constant Contact, Inc. 198,734 5,139,261 # Convergys Corp. 527,042 11,352,485 #* Conversant, Inc. 477,347 11,666,361 * CoreLogic, Inc. 386,088 10,822,047 * CoStar Group, Inc. 42,650 6,861,958 #* Cray, Inc. 232,917 6,687,047 * Crexendo, Inc. 23,717 75,420 CSG Systems International, Inc. 226,451 5,969,248 # CSP, Inc. 8,385 63,558 CTS Corp. 203,510 3,620,443 #* CVD Equipment Corp. 10,329 137,892 #* CyberOptics Corp. 28,233 212,312 Daktronics, Inc. 257,978 3,358,874 * Data I/O Corp. 7,300 18,980 * Datalink Corp. 121,143 1,555,476 #* Dataram Corp. 4,244 11,374 #* Datawatch Corp. 3,832 51,847 * Dealertrack Technologies, Inc. 281,997 12,884,443 #* Demand Media, Inc. 95,340 396,614 #* Dice Holdings, Inc. 318,764 2,438,545 # Diebold, Inc. 375,881 14,136,884 #* Digi International, Inc. 121,445 1,076,003 # Digimarc Corp. 27,972 923,635 * Digital River, Inc. 192,338 2,940,848 * Diodes, Inc. 285,011 7,515,740 #* Dot Hill Systems Corp. 691,220 2,854,739 * DSP Group, Inc. 117,752 937,306 #* DTS, Inc. 86,466 1,609,132 # EarthLink Holdings Corp. 503,424 1,716,676 #* Eastman Kodak Co. 400 11,948 # Ebix, Inc. 169,396 2,673,069 #* Echelon Corp. 65,523 169,705 * Edgewater Technology, Inc. 43,768 309,877 #* Elecsys Corp. 10,067 136,508 # Electro Rent Corp. 103,612 1,673,334 U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Information Technology -- (Continued) Electro Scientific Industries, Inc. 126,816 $ 1,075,400 * Electronics for Imaging, Inc. 330,706 12,497,380 #* Ellie Mae, Inc. 159,514 3,890,546 #* eMagin Corp. 63,552 153,160 #* Emcore Corp. 97,022 468,616 #* Emulex Corp. 519,035 3,711,100 * Entegris, Inc. 915,000 10,147,350 #* Entropic Communications, Inc. 482,137 1,779,086 * Envestnet, Inc. 15,866 584,662 #* Envivio, Inc. 3,100 8,246 * EPAM Systems, Inc. 214,856 6,688,467 EPIQ Systems, Inc. 152,320 1,948,173 * ePlus, Inc. 24,069 1,204,413 #* Euronet Worldwide, Inc. 330,877 15,217,033 # Evolving Systems, Inc. 5,500 47,960 #* Exar Corp. 233,992 2,531,793 * ExlService Holdings, Inc. 188,151 5,323,733 #* Extreme Networks, Inc. 495,993 2,837,080 * Fabrinet 137,705 2,974,428 Fair Isaac Corp. 224,288 12,829,274 #* Fairchild Semiconductor International, Inc. 801,061 10,197,507 * FalconStor Software, Inc. 137,274 208,656 * FARO Technologies, Inc. 106,030 4,230,597 FEI Co. 46,314 3,682,889 #* Finisar Corp. 716,199 18,728,604 * FormFactor, Inc. 289,895 1,666,896 # Forrester Research, Inc. 114,177 4,045,291 * Frequency Electronics, Inc. 47,309 504,077 #* Fusion-io, Inc. 54,440 469,817 * Giga-tronics, Inc. 3,942 4,730 #* GigOptix, Inc. 17,782 28,273 * Global Cash Access Holdings, Inc. 409,215 2,700,819 # Globalscape, Inc. 27,873 68,846 * GSE Systems, Inc. 72,970 127,697 * GSI Group, Inc. 71,422 867,063 #* GSI Technology, Inc. 103,839 659,378 #* GT Advanced Technologies, Inc. 495,965 8,237,979 #* Guidance Software, Inc. 43,323 399,005 * Guidewire Software, Inc. 129,624 4,894,602 Hackett Group, Inc. (The) 185,183 1,111,098 * Harmonic, Inc. 596,564 4,193,845 # Heartland Payment Systems, Inc. 266,204 10,898,392 * Higher One Holdings, Inc. 99,674 597,047 Hittite Microwave Corp. 156,088 9,265,384 #* Hutchinson Technology, Inc. 120,133 333,970 #* ID Systems, Inc. 38,571 217,155 #* Identive Group, Inc. 128,478 109,206 #* IEC Electronics Corp. 33,539 149,249 * iGATE Corp. 374,842 13,719,217 * II-VI, Inc. 318,419 4,585,234 * Ikanos Communications, Inc. 218,977 130,291 #* Imation Corp. 171,509 740,919 U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Information Technology -- (Continued) #* Immersion Corp. 91,211 $ 1,034,333 #* Infinera Corp. 729,108 6,532,808 * Innodata, Inc. 80,576 271,541 * Inphi Corp. 100,004 1,479,059 * Insight Enterprises, Inc. 242,705 6,339,455 * Integrated Device Technology, Inc. 945,336 11,032,071 * Integrated Silicon Solution, Inc. 159,398 2,304,895 * Interactive Intelligence Group, Inc. 70,851 4,433,147 # InterDigital, Inc. 133,784 4,644,980 #* Internap Network Services Corp. 325,308 2,186,070 #* International Rectifier Corp. 436,056 11,354,898 * Internet Patents Corp. 1,533 4,921 #* Interphase Corp. 23,732 129,339 Intersil Corp. Class A 797,857 9,845,555 #* inTEST Corp. 43,077 177,908 #* Intevac, Inc. 95,179 766,191 * IntraLinks Holdings, Inc. 163,278 1,493,994 #* IntriCon Corp. 23,513 155,421 #* InvenSense, Inc. 48,147 1,036,605 #* iPass, Inc. 479,670 777,065 * Iteris, Inc. 19,424 37,683 #* Itron, Inc. 217,424 8,262,112 * Ixia 434,499 5,396,478 # IXYS Corp. 138,843 1,498,116 # j2 Global, Inc. 311,127 14,423,848 #* Kemet Corp. 195,547 979,690 * Key Tronic Corp. 50,515 529,397 * Kofax, Ltd. 24,206 183,481 #* Kopin Corp. 293,167 955,724 * Kulicke & Soffa Industries, Inc. 457,456 6,729,178 #* KVH Industries, Inc. 112,894 1,525,198 * Lantronix, Inc. 2,333 4,969 * Lattice Semiconductor Corp. 774,567 6,521,854 # Lexmark International, Inc. Class A 437,283 18,803,169 #* LGL Group, Inc. (The) 7,103 34,805 #* Lightpath Technologies, Inc. Class A 1,850 2,701 #* Limelight Networks, Inc. 400,054 828,112 * Lionbridge Technologies, Inc. 364,884 2,145,518 * Liquidity Services, Inc. 2,870 49,507 Littelfuse, Inc. 145,447 13,170,226 * LogMeIn, Inc. 593 26,952 * LoJack Corp. 88,416 501,319 * LTX-Credence Corp. 325,206 3,131,734 #* M/A-COM Technology Solutions Holdings, Inc. 3,096 54,211 * Magnachip Semiconductor Corp. 221,315 3,098,410 * Management Network Group, Inc. 42,154 172,410 * Manhattan Associates, Inc. 513,330 16,185,295 # ManTech International Corp. Class A 111,216 3,317,573 # Marchex, Inc. Class B 103,240 954,970 #* Mattersight Corp. 26,897 169,720 #* Mattson Technology, Inc. 80,426 160,048 MAXIMUS, Inc. 316,337 13,466,466 U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Information Technology -- (Continued) * MaxLinear, Inc. Class A 40,536 $ 319,018 #* Maxwell Technologies, Inc. 156,204 2,352,432 #* Measurement Specialties, Inc. 81,373 5,236,353 #* Mediabistro, Inc. 14,428 16,448 #* MeetMe, Inc. 16,285 45,272 Mentor Graphics Corp. 736,296 15,241,327 * Mercury Systems, Inc. 230,497 3,217,738 # Mesa Laboratories, Inc. 22,048 1,889,514 Methode Electronics, Inc. 272,582 7,561,425 Micrel, Inc. 338,413 3,370,593 * Microsemi Corp. 574,353 13,508,783 * MicroStrategy, Inc. Class A 1,105 134,180 MKS Instruments, Inc. 324,988 9,148,412 MOCON, Inc. 23,794 380,228 #* ModusLink Global Solutions, Inc. 156,445 632,038 * MoneyGram International, Inc. 42,545 561,594 * Monolithic Power Systems, Inc. 203,499 7,549,813 # Monotype Imaging Holdings, Inc. 243,587 6,433,133 #* Monster Worldwide, Inc. 579,727 3,994,319 #* MoSys, Inc. 167,152 653,564 #* Move, Inc. 233,364 2,494,661 #* MRV Communications, Inc. 34,710 416,867 # MTS Systems Corp. 86,757 5,593,224 * Multi-Fineline Electronix, Inc. 97,676 1,209,229 #* Nanometrics, Inc. 175,610 2,855,419 * NAPCO Security Technologies, Inc. 40,054 233,915 * NCI, Inc. Class A 32,877 327,784 #* NeoPhotonics Corp. 9,702 55,981 #* NETGEAR, Inc. 200,561 6,478,120 #* Netlist, Inc. 78,133 126,575 * Netscout Systems, Inc. 271,824 10,590,263 * Newport Corp. 232,695 4,346,743 #* Newtek Business Services, Inc. 148,095 408,742 NIC, Inc. 334,430 6,133,446 #* Novatel Wireless, Inc. 157,129 284,403 #* Numerex Corp. Class A 47,759 489,530 * Oclaro, Inc. 263,176 894,798 #* OmniVision Technologies, Inc. 366,899 7,165,537 * Omtool, Ltd. 3,470 8,692 #* Onvia, Inc. 2,306 12,026 * OpenTable, Inc. 157,809 10,598,452 #* Oplink Communications, Inc. 96,857 1,660,129 # Optical Cable Corp. 26,264 99,541 * OSI Systems, Inc. 118,233 6,598,584 #* Overland Storage, Inc. 12,477 43,545 #* Pandora Media, Inc. 445,509 10,433,821 #* PAR Technology Corp. 35,625 172,069 # Park Electrochemical Corp. 93,269 2,486,552 #* Parkervision, Inc. 71,039 323,938 # PC Connection, Inc. 50,404 1,008,584 PC-Tel, Inc. 58,100 479,325 #* PCM, Inc. 42,066 438,328 U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Information Technology -- (Continued) * PDF Solutions, Inc. 148,973 $ 2,796,223 # Pegasystems, Inc. 274,756 4,552,707 # Perceptron, Inc. 53,596 632,433 * Perficient, Inc. 207,126 3,784,192 * Pericom Semiconductor Corp. 94,217 760,331 #* Pfsweb, Inc. 6,817 54,809 #* Photronics, Inc. 352,472 3,059,457 #* Pixelworks, Inc. 30,753 157,763 #* Planar Systems, Inc. 280,770 617,694 Plantronics, Inc. 277,502 12,090,762 * Plexus Corp. 205,941 8,633,047 * PLX Technology, Inc. 124,657 723,011 * PMC-Sierra, Inc. 1,309,986 8,960,304 * Polycom, Inc. 858,420 10,558,566 Power Integrations, Inc. 167,816 7,925,950 #* PRGX Global, Inc. 123,320 792,948 #* Procera Networks, Inc. 65,049 602,354 * Progress Software Corp. 342,471 7,349,428 #* PROS Holdings, Inc. 6,237 170,894 * Pulse Electronics Corp. 1,907 6,293 # QAD, Inc. Class A 47,305 901,160 QAD, Inc. Class B 13,168 205,289 * QLogic Corp. 473,691 5,485,342 #* Qualstar Corp. 25,800 38,958 #* Quantum Corp. 327,237 353,416 #* QuickLogic Corp. 31,488 148,938 #* QuinStreet, Inc. 68,843 419,942 * Qumu Corp. 35,065 471,624 #* Radisys Corp. 125,621 401,987 #* Rambus, Inc. 671,980 8,124,238 #* RealD, Inc. 49,584 543,441 #* RealNetworks, Inc. 143,978 1,085,594 #* RealPage, Inc. 110,885 1,968,209 #* Reis, Inc. 52,397 862,455 * Relm Wireless Corp. 30,643 98,670 #* Remark Media, Inc. 436 2,511 #* Research Frontiers, Inc. 4,300 19,565 # RF Industries, Ltd. 35,415 216,386 * RF Micro Devices, Inc. 2,305,447 19,457,973 # Richardson Electronics, Ltd. 58,120 582,362 * Riverbed Technology, Inc. 532,598 10,359,031 #* Rofin-Sinar Technologies, Inc. 129,665 2,878,563 * Rogers Corp. 96,536 5,794,091 * Rosetta Stone, Inc. 125,848 1,498,850 * Rovi Corp. 578,413 12,892,826 * Rubicon Technology, Inc. 85,425 865,355 #* Rudolph Technologies, Inc. 311,455 2,837,355 * Saba Software, Inc. 30,405 334,455 * Sanmina Corp. 508,184 10,290,726 * Sapient Corp. 962,197 15,654,945 * ScanSource, Inc. 157,503 6,049,690 Science Applications International Corp. 31,468 1,227,252 U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Information Technology -- (Continued) * Seachange International, Inc. 199,400 $ 1,868,378 * Selectica, Inc. 10,332 61,475 * Semtech Corp. 412,408 9,889,544 #* ServiceSource International, Inc. 41,537 259,191 #* Sevcon, Inc. 7,783 84,757 * ShoreTel, Inc. 286,288 2,161,474 #* Shutterstock, Inc. 45,615 3,307,544 * Sigma Designs, Inc. 144,196 543,619 #* Sigmatron International, Inc. 2,200 22,704 #* Silicon Graphics International Corp. 97,637 1,179,455 * Silicon Image, Inc. 506,646 2,842,284 * Silicon Laboratories, Inc. 284,262 12,777,577 * Smith Micro Software, Inc. 119,075 197,664 * SMTC Corp. 18,570 28,412 #* Sonic Foundry, Inc. 10,310 105,781 #* Sonus Networks, Inc. 1,655,524 5,413,563 * Spansion, Inc. Class A 376,323 6,709,839 #* Spark Networks, Inc. 5,191 23,515 #* Speed Commerce, Inc. 144,714 477,556 * SS&C Technologies Holdings, Inc. 115,859 4,509,232 #* Stamps.com, Inc. 97,162 3,372,493 #* StarTek, Inc. 50,089 348,119 #* SunEdison, Inc. 1,202,919 23,132,132 #* SunPower Corp. 263,159 8,794,774 * Super Micro Computer, Inc. 259,917 5,291,910 #* support.com, Inc. 286,487 707,623 * Sykes Enterprises, Inc. 234,590 4,642,536 #* Synaptics, Inc. 276,279 17,170,740 #* Synchronoss Technologies, Inc. 231,255 7,039,402 * SYNNEX Corp. 231,151 15,574,954 #* Syntel, Inc. 107,776 8,656,568 #* Take-Two Interactive Software, Inc. 709,194 14,453,374 * Tech Data Corp. 162,978 10,184,495 #* TechTarget, Inc. 3,400 21,828 #* TeleCommunication Systems, Inc. Class A 215,454 549,408 * Telenav, Inc. 94,366 578,464 * TeleTech Holdings, Inc. 289,616 6,988,434 # Tessco Technologies, Inc. 44,160 1,452,422 Tessera Technologies, Inc. 334,012 7,324,883 TheStreet, Inc. 105,930 272,240 * TiVo, Inc. 103,689 1,229,752 # Transact Technologies, Inc. 31,591 337,708 #* Travelzoo, Inc. 24,863 446,042 * Trio Tech International 3,256 10,240 * TriQuint Semiconductor, Inc. 972,167 13,785,328 * TSR, Inc. 5,056 15,320 #* TTM Technologies, Inc. 341,338 2,693,157 #* Tyler Technologies, Inc. 173,896 14,198,608 #* Ubiquiti Networks, Inc. 28,724 1,112,480 #* Ultra Clean Holdings, Inc. 145,984 1,243,784 #* Ultratech, Inc. 154,993 4,125,914 * Unisys Corp. 344,928 8,405,895 U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- -------------- Information Technology -- (Continued) United Online, Inc. 90,496 $ 1,072,378 #* Universal Display Corp. 32,931 857,853 #* Unwired Planet, Inc. 223,988 510,693 #* USA Technologies, Inc. 16,830 33,997 #* UTStarcom Holdings Corp. 57,450 177,520 #* Veeco Instruments, Inc. 271,959 10,054,324 * VeriFone Systems, Inc. 372,456 12,454,929 * Verint Systems, Inc. 357,998 15,669,572 #* ViaSat, Inc. 208,040 13,358,248 #* Viasystems Group, Inc. 110,637 1,329,857 * Vicon Industries, Inc. 14,689 42,892 * Video Display Corp. 21,287 73,866 * Virtusa Corp. 174,021 5,737,472 # Vishay Intertechnology, Inc. 815,702 11,599,282 #* Vishay Precision Group, Inc. 82,360 1,336,703 #* VistaPrint NV 174,293 6,879,345 #* Vocus, Inc. 47,779 859,066 #* Vringo, Inc. 19,360 79,182 # Wayside Technology Group, Inc. 6,327 102,244 #* Web.com Group, Inc. 345,058 10,596,731 #* WebMD Health Corp. 284,495 12,543,385 * Westell Technologies, Inc. Class A 301,809 983,897 * Wireless Telecom Group, Inc. 64,760 153,481 * XO Group, Inc. 134,808 1,431,661 * Zebra Technologies Corp. Class A 306,956 21,315,025 #* Zhone Technologies, Inc. 49,121 136,065 #* Zix Corp. 332,475 1,090,518 #* Zygo Corp. 109,860 2,113,706 #* Zynga, Inc. Class A 764,591 3,096,594 -------------- Total Information Technology 1,542,957,959 -------------- Materials -- (4.4%) A Schulman, Inc. 169,428 6,085,854 * AEP Industries, Inc. 30,266 1,078,075 #* AK Steel Holding Corp. 159,445 1,116,115 #* AM Castle & Co. 94,594 1,161,614 AMCOL International Corp. 166,931 7,653,786 * American Biltrite, Inc. 62 26,040 # American Vanguard Corp. 164,556 2,930,742 # Ampco-Pittsburgh Corp. 37,840 757,935 #* Arabian American Development Co. 37,244 407,077 Axiall Corp. 181,547 8,460,090 # Balchem Corp. 150,532 9,325,457 * Berry Plastics Group, Inc. 93,209 2,096,270 * Boise Cascade Co. 46,906 1,173,588 Cabot Corp. 3,579 206,866 #* Calgon Carbon Corp. 361,285 7,236,539 #* Century Aluminum Co. 562,065 7,728,394 # Chase Corp. 30,615 953,351 #* Chemtura Corp. 717,046 15,990,126 * Clearwater Paper Corp. 131,646 8,081,748 #* Codexis, Inc. 41,835 71,120 U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Materials -- (Continued) * Coeur Mining, Inc. 230,078 $ 1,992,475 Commercial Metals Co. 787,006 15,110,515 Compass Minerals International, Inc. 115,896 10,616,074 #* Contango ORE, Inc. 4,405 52,420 * Continental Materials Corp. 397 7,346 * Core Molding Technologies, Inc. 46,828 562,404 # Deltic Timber Corp. 44,317 2,692,258 # Detrex Corp. 500 17,000 * Ferro Corp. 554,321 7,195,087 # Flamemaster Corp. 189 2,107 #* Flotek Industries, Inc. 351,611 9,848,624 Friedman Industries, Inc. 27,735 237,966 # FutureFuel Corp. 205,239 4,119,147 #* General Moly, Inc. 262,950 289,245 Globe Specialty Metals, Inc. 454,872 8,815,419 # Gold Resource Corp. 2,596 11,968 #* Golden Minerals Co. 51,086 35,760 * Graphic Packaging Holding Co. 1,295,284 13,289,614 Greif, Inc. Class A 39,518 2,141,480 # Greif, Inc. Class B 258 15,173 # Hawkins, Inc. 42,779 1,548,600 # Haynes International, Inc. 61,821 3,279,604 HB Fuller Co. 330,517 15,312,853 * Headwaters, Inc. 312,729 3,902,858 # Hecla Mining Co. 1,313,198 4,031,518 #* Horsehead Holding Corp. 307,552 4,794,736 Innophos Holdings, Inc. 134,686 7,601,678 # Innospec, Inc. 148,367 6,388,683 #* Intrepid Potash, Inc. 186,728 3,043,666 # Kaiser Aluminum Corp. 97,607 6,871,533 * KapStone Paper and Packaging Corp. 665,719 17,561,667 # KMG Chemicals, Inc. 42,573 664,565 Koppers Holdings, Inc. 129,290 5,520,683 * Kraton Performance Polymers, Inc. 165,253 4,304,841 # Kronos Worldwide, Inc. 69,572 1,088,802 * Landec Corp. 144,432 1,712,964 #* Louisiana-Pacific Corp. 883,577 14,481,827 #* LSB Industries, Inc. 124,651 4,760,422 Materion Corp. 95,333 3,207,955 #* McEwen Mining, Inc. 226,238 542,971 #* Mercer International, Inc. 166,460 1,378,289 #* Metabolix, Inc. 2,612 2,690 Minerals Technologies, Inc. 218,743 13,013,021 #* Mines Management, Inc. 58,244 73,970 Myers Industries, Inc. 200,649 3,752,136 Neenah Paper, Inc. 102,755 5,175,769 Noranda Aluminum Holding Corp. 116,650 414,108 * Northern Technologies International Corp. 17,945 379,537 # Olin Corp. 507,031 14,247,571 # Olympic Steel, Inc. 52,690 1,388,908 # OM Group, Inc. 168,470 4,934,486 #* OMNOVA Solutions, Inc. 235,846 2,150,916 U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ------------ Materials -- (Continued) #* Penford Corp. 52,852 $ 665,935 PH Glatfelter Co. 212,804 5,430,758 # PolyOne Corp. 529,913 19,855,840 # Quaker Chemical Corp. 74,842 5,570,490 * Resolute Forest Products, Inc. 106,313 1,896,624 #* RevettMining Co., Inc. 7,937 6,508 #* RTI International Metals, Inc. 173,155 4,876,045 # Schnitzer Steel Industries, Inc. Class A 156,002 4,378,976 Schweitzer-Mauduit International, Inc. 191,122 8,340,564 #* Senomyx, Inc. 60,712 497,231 Sensient Technologies Corp. 327,419 17,696,997 # Stepan Co. 114,485 6,620,668 #* Stillwater Mining Co. 830,459 13,104,643 * SunCoke Energy, Inc. 384,506 8,024,640 # Synalloy Corp. 16,003 248,047 #* Texas Industries, Inc. 134,779 11,685,339 Tredegar Corp. 83,281 1,733,078 # Tronox, Ltd. Class A 118,491 2,903,030 * UFP Technologies, Inc. 3,300 83,688 # United States Lime & Minerals, Inc. 24,502 1,324,578 #* Universal Stainless & Alloy Products, Inc. 28,848 1,035,355 # US Silica Holdings, Inc. 198,633 8,972,253 # Valhi, Inc. 83,366 631,914 #* Verso Paper Corp. 9,552 25,981 Vulcan International Corp. 700 29,120 # Walter Energy, Inc. 823 5,926 # Wausau Paper Corp. 329,594 3,941,944 * Webco Industries, Inc. 600 63,000 Worthington Industries, Inc. 463,710 17,064,528 # Zep, Inc. 94,666 1,636,775 ------------ Total Materials 465,477,171 ------------ Other -- (0.0%) (o)* Allen Organ Co. Escrow Shares 800 -- (o) Big 4 Ranch, Inc. 3,200 -- (o)* Brooklyn Federal Bancorp, Inc. Escrow Shares 5,100 -- (o)* Concord Camera Corp. Escrow Shares 113,476 -- (o)* DLB Oil & Gas, Inc. Escrow Shares 1,300 -- (o)* First Commerce Bancorp Escrow Shares 6,667 -- (o)* FRD Acquisition Co. Escrow Shares 106,674 -- (o)#* Gerber Scientific, Inc. Escrow Shares 166,622 -- (o)* Petrocorp, Inc. Escrow Shares 6,900 -- ------------ Total Other -- ------------ Real Estate Investment Trusts -- (0.1%) # Altisource Residential Corp. 20,476 575,785 Geo Group, Inc. (The) 175,945 5,899,436 ------------ Total Real Estate Investment Trusts 6,475,221 ------------ Telecommunication Services -- (0.5%) #* 8x8, Inc. 87,658 850,283 U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Telecommunication Services -- (Continued) #* Alaska Communications Systems Group, Inc. 82,844 $ 156,575 # Alteva 24,398 147,608 Atlantic Tele-Network, Inc. 74,137 4,386,686 #* Boingo Wireless, Inc. 3,137 20,704 * Cbeyond, Inc. 102,864 1,017,325 #* Cincinnati Bell, Inc. 1,236,816 4,143,334 # Cogent Communications Group, Inc. 203,007 6,997,651 # Consolidated Communications Holdings, Inc. 201,053 4,004,976 #* General Communication, Inc. Class A 273,539 2,855,747 #* Hawaiian Telcom Holdco, Inc. 5,757 153,251 # HC2 Holdings, Inc. 18,211 71,569 # HickoryTech Corp. 57,268 679,771 IDT Corp. Class B 127,901 2,025,952 # Inteliquent, Inc. 227,334 3,100,836 #* Iridium Communications, Inc. 190,546 1,270,942 # Lumos Networks Corp. 133,024 1,757,247 #* NII Holdings, Inc. 1,574 1,353 # NTELOS Holdings Corp. 130,131 1,794,507 * ORBCOMM, Inc. 200,980 1,260,145 #* Premiere Global Services, Inc. 253,986 3,230,702 # Shenandoah Telecommunications Co. 90,548 2,538,060 #* Straight Path Communications, Inc. Class B 56,353 394,471 Telephone & Data Systems, Inc. 42,020 1,142,524 USA Mobility, Inc. 95,327 1,632,952 * Vonage Holdings Corp. 1,395,961 5,360,490 ----------- Total Telecommunication Services 50,995,661 ----------- Utilities -- (2.7%) # ALLETE, Inc. 279,251 14,454,032 # American States Water Co. 253,043 7,682,385 # Artesian Resources Corp. Class A 18,254 401,953 # Atlantic Power Corp. 261,139 775,583 # Avista Corp. 406,161 13,058,076 Black Hills Corp. 299,559 17,299,532 #* Cadiz, Inc. 8,135 52,308 California Water Service Group 297,447 6,692,558 Chesapeake Utilities Corp. 52,396 3,314,571 Cleco Corp. 125,783 6,609,897 # Connecticut Water Service, Inc. 48,522 1,576,965 # Consolidated Water Co., Ltd. 45,451 528,141 # Delta Natural Gas Co., Inc. 16,144 307,866 #* Dynegy, Inc. 63,457 1,805,352 El Paso Electric Co. 247,110 9,345,700 Empire District Electric Co. (The) 281,726 6,851,576 # Gas Natural, Inc. 18,389 200,440 #* Genie Energy, Ltd. Class B 89,624 725,954 # Hawaiian Electric Industries, Inc. 296,622 7,115,962 # IDACORP, Inc. 331,395 18,604,515 # Laclede Group, Inc. (The) 202,787 9,614,132 # MGE Energy, Inc. 175,456 6,705,928 # Middlesex Water Co. 79,364 1,613,470 # New Jersey Resources Corp. 271,139 13,483,742 U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ----------- --------------- Utilities -- (Continued) # Northwest Natural Gas Co. 163,710 $ 7,247,442 # NorthWestern Corp. 249,234 12,057,941 ONE Gas, Inc. 22,505 823,233 # Ormat Technologies, Inc. 75,691 2,019,436 # Otter Tail Corp. 193,888 5,680,918 Piedmont Natural Gas Co., Inc. 202,824 7,259,071 PNM Resources, Inc. 516,881 14,307,266 # Portland General Electric Co. 503,278 16,844,715 # RGC Resources, Inc. 6,328 120,865 # SJW Corp. 83,781 2,281,357 # South Jersey Industries, Inc. 205,646 11,814,363 Southwest Gas Corp. 304,225 16,735,417 * Two Rivers Water & Farming Co. 247 173 # UIL Holdings Corp. 359,148 13,191,506 # Unitil Corp. 76,381 2,535,849 # UNS Energy Corp. 240,918 14,469,535 WGL Holdings, Inc. 306,483 12,194,959 # York Water Co. 54,437 1,089,284 --------------- Total Utilities 289,493,968 --------------- TOTAL COMMON STOCKS 8,360,500,397 --------------- PREFERRED STOCKS -- (0.0%) Other -- (0.0%) (o)* Enron TOPRS Escrow Shares 10,595 -- --------------- RIGHTS/WARRANTS -- (0.0%) (o)* Capital Bank Corp. Contingent Value Rights 2,560 -- (o)* Community Health Systems, Inc. Rights 01/04/16 832,810 50,052 (o)* CSF Holding, Inc. Litigation Rights 3,250 -- (o)#* Leap Wireless International, Inc. Contingent Value Rights 246,684 621,644 (o)* LGL Group, Inc. (The) Warrants 08/06/18 35,515 2,131 (o)#* Magnum Hunter Resources Corp. Warrants 04/15/16 32,271 -- (o)* PhotoMedex, Inc. Contingent Value Warrants 12/13/14 1,607 -- (o)* Tejon Ranch Co. Warrants 08/31/16 11,426 38,848 (o)* U.S. Concrete, Inc. Warrants Class A 08/31/17 9,325 56,416 (o)#* U.S. Concrete, Inc. Warrants Class B 08/31/17 9,325 37,300 --------------- TOTAL RIGHTS/WARRANTS 806,391 --------------- SHARES/ FACE AMOUNT (000) ----------- SECURITIES LENDING COLLATERAL -- (20.2%) (S)@ DFA Short Term Investment Fund 182,508,338 2,111,621,465 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $8,157,126,718) $10,472,928,253 =============== U.S. SMALL CAP PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, 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 $1,456,311,570 $ 17,708 -- $ 1,456,329,278 Consumer Staples 324,070,330 -- -- 324,070,330 Energy 520,227,399 -- -- 520,227,399 Financials 1,384,444,603 21,193 -- 1,384,465,796 Health Care 783,552,244 136,603 -- 783,688,847 Industrials 1,536,314,041 4,726 -- 1,536,318,767 Information Technology 1,542,957,959 -- -- 1,542,957,959 Materials 465,477,171 -- -- 465,477,171 Other -- -- -- -- Real Estate Investment Trusts 6,475,221 -- -- 6,475,221 Telecommunication Services 50,995,661 -- -- 50,995,661 Utilities 289,493,968 -- -- 289,493,968 Preferred Stocks Other -- -- -- -- Rights/Warrants -- 806,391 -- 806,391 Securities Lending Collateral -- 2,111,621,465 -- 2,111,621,465 -------------- -------------- -- --------------- TOTAL $8,360,320,167 $2,112,608,086 -- $10,472,928,253 ============== ============== == =============== U.S. MICRO CAP PORTFOLIO SCHEDULE OF INVESTMENTS APRIL 30, 2014 (UNAUDITED) SHARES VALUE+ ------- ----------- COMMON STOCKS -- (83.4%) Consumer Discretionary -- (14.7%) * 1-800-Flowers.com, Inc. Class A 180,256 $ 982,395 #* Aeropostale, Inc. 422,052 2,097,598 # AH Belo Corp. Class A 239,810 2,760,213 #* ALCO Stores, Inc. 52,342 528,131 #* Ambassadors Group, Inc. 141,374 599,426 AMCON Distributing Co. 5,690 457,817 #* America's Car-Mart, Inc. 103,490 3,740,129 * American Axle & Manufacturing Holdings, Inc. 159,625 2,817,381 #* American Public Education, Inc. 130,766 4,524,504 # Arctic Cat, Inc. 125,454 5,129,814 Ark Restaurants Corp. 36,613 777,294 * Asbury Automotive Group, Inc. 272,113 16,800,257 #* Ascent Capital Group, Inc. Class A 57,742 3,970,917 * Ballantyne Strong, Inc. 76,188 344,370 #* Barnes & Noble, Inc. 500,004 8,200,066 # Bassett Furniture Industries, Inc. 89,635 1,236,067 # Beasley Broadcasting Group, Inc. Class A 65,543 504,681 * Beazer Homes USA, Inc. 119,800 2,271,408 # bebe stores, Inc. 612,011 3,090,656 # Big 5 Sporting Goods Corp. 204,171 2,492,928 * Biglari Holdings, Inc. 15,107 6,481,205 #* BJ's Restaurants, Inc. 70,710 2,018,771 #* Black Diamond, Inc. 137,350 1,531,453 #* Blue Nile, Inc. 38,882 1,350,372 # Blyth, Inc. 111,212 1,042,056 # Bob Evans Farms, Inc. 111,767 5,238,519 #* Body Central Corp. 75,570 78,593 # Bon-Ton Stores, Inc. (The) 113,614 1,249,754 * Books-A-Million, Inc. 60,674 143,191 # Bowl America, Inc. Class A 55,406 815,853 * Boyd Gaming Corp. 37,444 442,588 * Bravo Brio Restaurant Group, Inc. 73,464 1,099,756 #* Bridgepoint Education, Inc. 63,411 1,005,064 Brown Shoe Co., Inc. 402,970 9,506,062 * Build-A-Bear Workshop, Inc. 97,194 1,090,517 #* Cache, Inc. 145,861 387,990 # Callaway Golf Co. 624,086 5,435,789 * Cambium Learning Group, Inc. 93,736 209,969 * Canterbury Park Holding Corp. 26,287 295,729 # Capella Education Co. 69,161 4,036,236 * Career Education Corp. 215,237 1,554,011 * Carmike Cinemas, Inc. 172,234 5,108,460 # Carriage Services, Inc. 179,091 2,881,574 #* Carrols Restaurant Group, Inc. 235,146 1,577,830 # Cato Corp. (The) Class A 260,470 7,420,790 #* Cavco Industries, Inc. 56,481 4,402,694 #* Central European Media Enterprises, Ltd. Class A 27,438 75,180 #* Charles & Colvard, Ltd. 71,131 154,354 Cherokee, Inc. 83,413 1,156,938 # Children's Place Retail Stores, Inc. (The) 182,199 8,745,552 * Christopher & Banks Corp. 196,192 1,224,238 U.S. MICRO CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Consumer Discretionary -- (Continued) # Churchill Downs, Inc. 114,647 $10,069,446 #* Chuy's Holdings, Inc. 20,284 729,210 * Citi Trends, Inc. 126,213 2,144,359 #* Coast Distribution System, Inc. (The) 41,382 132,422 * Cobra Electronics Corp. 47,132 155,536 # Collectors Universe, Inc. 57,953 1,360,736 #* Conn's, Inc. 297,054 13,138,698 Cooper Tire & Rubber Co. 282,260 7,098,839 Core-Mark Holding Co., Inc. 70,452 5,674,204 #* Corinthian Colleges, Inc. 284,971 327,717 * Crocs, Inc. 338,004 5,114,001 #* Crown Media Holdings, Inc. Class A 170,294 609,653 # CSS Industries, Inc. 52,055 1,247,758 Culp, Inc. 186,578 3,367,733 * Cumulus Media, Inc. Class A 474,367 3,040,692 #* Daily Journal Corp. 200 35,260 #* Del Frisco's Restaurant Group, Inc. 38,374 998,108 #* dELiA*s, Inc. 7,960 6,726 #* Delta Apparel, Inc. 77,201 1,175,771 Destination Maternity Corp. 100,320 2,473,891 #* Destination XL Group, Inc. 349,894 1,889,428 #* Dex Media, Inc. 3,500 25,655 * DGSE Cos., Inc. 8,313 22,279 DineEquity, Inc. 112,728 8,545,910 * Dixie Group, Inc. (The) 104,300 1,571,801 #* Dorman Products, Inc. 126,256 7,266,033 * Dover Downs Gaming & Entertainment, Inc. 142,541 206,684 Dover Motorsports, Inc. 168,371 393,988 Drew Industries, Inc. 208,051 10,469,126 #* Education Management Corp. 2,999 11,906 Educational Development Corp. 36,900 143,172 # Einstein Noah Restaurant Group, Inc. 79,547 1,221,842 #* ELXSI Corp. 7,100 69,048 * Emerson Radio Corp. 243,478 494,260 * Emmis Communications Corp. Class A 300,222 969,717 #* Empire Resorts, Inc. 37,140 251,438 #* Entercom Communications Corp. Class A 354,244 3,825,835 #* Entertainment Gaming Asia, Inc. 5,434 4,624 # Entravision Communications Corp. Class A 971,879 5,160,677 # Escalade, Inc. 62,320 917,350 # Ethan Allen Interiors, Inc. 256,804 6,235,201 #* Ever-Glory International Group, Inc. 1,379 10,205 #* EW Scripps Co. Class A 345,866 5,924,685 (o)#* FAB Universal Corp. 1,618 3,726 #* Famous Dave's Of America, Inc. 49,507 1,311,440 * Fiesta Restaurant Group, Inc. 272,767 9,986,000 Finish Line, Inc. (The) Class A 566,582 15,598,002 #* Flanigan's Enterprises, Inc. 20,756 289,546 Flexsteel Industries, Inc. 55,129 1,892,027 * Francesca's Holdings Corp. 40,836 668,077 # Fred's, Inc. Class A 295,418 5,382,516 # Frisch's Restaurants, Inc. 63,337 1,499,820 U.S. MICRO CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Consumer Discretionary -- (Continued) #* FTD Cos., Inc. 150,082 $ 4,553,488 #* Fuel Systems Solutions, Inc. 133,734 1,401,532 #* Full House Resorts, Inc. 66,136 131,941 #* G-III Apparel Group, Ltd. 192,344 13,804,529 * Gaiam, Inc. Class A 66,689 492,165 #* Gaming Partners International Corp. 14,659 123,869 #* Geeknet, Inc. 3,079 45,569 * Gentherm, Inc. 248,461 9,031,557 # Gordmans Stores, Inc. 22,024 98,888 #* Grand Canyon Education, Inc. 367,324 15,839,011 #* Gray Television, Inc. 438,274 4,930,583 * Gray Television, Inc. Class A 41,200 381,306 * Hallwood Group, Inc. (The) 2,653 32,526 #* Hampshire Group, Ltd. 25,800 99,330 # Harte-Hanks, Inc. 371,499 2,986,852 * Hastings Entertainment, Inc. 92,939 274,170 Haverty Furniture Cos., Inc. 155,977 3,983,653 # Haverty Furniture Cos., Inc. Class A 18,855 482,311 * Helen of Troy, Ltd. 194,371 12,187,062 * Here Media, Inc. 9,920 1 * Here Media, Inc. Special Shares 9,920 1 #* hhgregg, Inc. 146,876 1,266,071 #* Hibbett Sports, Inc. 12,958 697,788 * Hollywood Media Corp. 1,798 2,248 # Hooker Furniture Corp. 87,784 1,215,808 #* Hovnanian Enterprises, Inc. Class A 32,591 145,356 * Insignia Systems, Inc. 51,150 149,870 # Interval Leisure Group, Inc. 333,113 8,584,322 #* iRobot Corp. 329,881 11,051,014 #* Isle of Capri Casinos, Inc. 128,440 873,392 #* ITT Educational Services, Inc. 10,887 293,949 * Jaclyn, Inc. 20,127 120,762 # JAKKS Pacific, Inc. 186,066 1,629,938 #* Jamba, Inc. 20,788 229,915 # Johnson Outdoors, Inc. Class A 65,549 1,371,941 * Jos A Bank Clothiers, Inc. 20,408 1,317,336 * Journal Communications, Inc. Class A 480,802 3,856,032 #* K12, Inc. 107,306 2,541,006 # KB Home 300,212 4,956,500 * Kirkland's, Inc. 170,168 2,911,574 * Kona Grill, Inc. 65,170 1,528,237 # Koss Corp. 115,135 531,924 #* Krispy Kreme Doughnuts, Inc. 649,775 11,397,053 La-Z-Boy, Inc. 560,610 13,583,580 * Lakeland Industries, Inc. 40,544 287,862 * Lazare Kaplan International, Inc. 81,643 161,245 #* LeapFrog Enterprises, Inc. 359,231 2,460,732 #* Learning Tree International, Inc. 162,830 496,632 #* Libbey, Inc. 115,452 3,079,105 Lifetime Brands, Inc. 111,220 2,124,302 * LIN Media LLC Class A 297,952 6,981,015 # Lincoln Educational Services Corp. 114,994 469,176 U.S. MICRO CAP PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Consumer Discretionary -- (Continued) Lithia Motors, Inc. Class A 84,518 $ 6,277,997 * Loral Space & Communications, Inc. 60,015 4,320,480 #* Luby's, Inc. 249,870 1,354,295 * M/I Homes, Inc. 160,732 3,579,502 Marcus Corp. (The) 200,698 3,357,678 # Marine Products Corp. 335,362 2,381,070 #* MarineMax, Inc. 181,732 2,918,616 * Martha Stewart Living Omnimedia, Inc. Class A 174,678 682,991 # Matthews International Corp. Class A 88,685 3,578,440 #* McClatchy Co. (The) Class A 329,779 1,807,189 McRae Industries, Inc. Class A 8,800 257,840 # MDC Holdings, Inc. 58,591 1,617,112 #* Media General, Inc. Class A 162,689 2,492,395 #* Modine Manufacturing Co. 330,139 5,440,691 * Monarch Casino & Resort, Inc. 145,340 2,331,254 # Monro Muffler Brake, Inc. 150,284 8,476,018 * Motorcar Parts of America, Inc. 79,263 2,174,977 # Movado Group, Inc. 170,951 6,714,955 * MTR Gaming Group, Inc. 19,183 97,066 * Multimedia Games Holding Co., Inc. 190,131 5,551,825 NACCO Industries, Inc. Class A 37,647 2,017,503 #* Nathan's Famous, Inc. 56,675 2,792,944 National American University Holdings, Inc. 584 2,091 National CineMedia, Inc. 413,349 6,278,771 #* Nautilus, Inc. 314,116 2,616,586 #* Nevada Gold & Casinos, Inc. 352 405 * New York & Co., Inc. 633,817 2,655,693 # Nexstar Broadcasting Group, Inc. Class A 249,892 9,958,196 #* Nobility Homes, Inc. 43,800 481,800 * NTN Buzztime, Inc. 55,566 35,007 # Nutrisystem, Inc. 247,019 3,705,285 #* Office Depot, Inc. 578,404 2,365,672 * Orbitz Worldwide, Inc. 454,346 3,339,443 * Overstock.com, Inc. 55,440 888,149 # Oxford Industries, Inc. 152,943 10,095,767 * P&F Industries, Inc. Class A 6,745 55,309 #* Pacific Sunwear of California, Inc. 306,922 883,935 Papa John's International, Inc. 398,990 17,499,701 #* Penn National Gaming, Inc. 193,648 2,161,112 #* Pep Boys-Manny, Moe & Jack (The) 413,626 4,227,258 * Perfumania Holdings, Inc. 56,683 375,808 #* Perry Ellis International, Inc. 113,586 1,715,149 # PetMed Express, Inc. 213,062 2,788,982 #* Pinnacle Entertainment, Inc. 540,950 12,587,906 #* Pizza Inn Holdings, Inc. 39,700 235,818 * Point.360 37,974 13,671 * Popeyes Louisiana Kitchen, Inc. 229,408 8,740,445 #* Premier Exhibitions, Inc. 2,033 1,775 * QEP Co., Inc. 33,487 617,835 * Quantum Fuel Systems Technologies Worldwide, Inc. 5,656 37,386 #* Quiksilver, Inc. 1,403,205 9,008,576 #* Radio One, Inc. Class D 320,517 1,448,737 U.S. MICRO CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Consumer Discretionary -- (Continued) #* RadioShack Corp. 92,927 $ 132,886 #* ReachLocal, Inc. 4,933 49,330 #* Reading International, Inc. Class A 134,925 955,269 #* Reading International, Inc. Class B 11,620 119,163 * Red Lion Hotels Corp. 167,008 960,296 #* Red Robin Gourmet Burgers, Inc. 164,782 11,201,880 # Regis Corp. 349,812 4,596,530 #* Rentrak Corp. 68,923 3,927,922 RG Barry Corp. 127,405 2,328,963 #* Rick's Cabaret International, Inc. 54,661 552,076 # Rocky Brands, Inc. 50,860 744,590 #* Ruby Tuesday, Inc. 446,559 3,442,970 Ruth's Hospitality Group, Inc. 300,909 3,788,444 # Saga Communications, Inc. Class A 51,988 2,303,068 # Salem Communications Corp. Class A 170,151 1,499,030 # Scholastic Corp. 1,078 35,477 * Scientific Games Corp. Class A 688,770 8,251,465 * Select Comfort Corp. 79,483 1,462,487 #* Shiloh Industries, Inc. 149,662 2,954,328 # Shoe Carnival, Inc. 155,905 3,560,870 # Sinclair Broadcast Group, Inc. Class A 401,740 10,738,510 #* Sizmek, Inc. 152,809 1,463,910 * Skechers U.S.A., Inc. Class A 270,836 11,101,568 #* Skullcandy, Inc. 82,037 631,685 * Skyline Corp. 74,294 378,899 #* Smith & Wesson Holding Corp. 4,614 70,825 # Sonic Automotive, Inc. Class A 346,771 8,440,406 #* Sonic Corp. 614,578 11,701,565 * Spanish Broadcasting System, Inc. Class A 36,748 232,982 Spartan Motors, Inc. 162,763 864,272 * Spectrum Group International, Inc. 278,633 169,966 # Speedway Motorsports, Inc. 222,650 4,050,004 #* Sport Chalet, Inc. Class A 108,430 122,526 * Sport Chalet, Inc. Class B 15,525 19,717 * Spy, Inc. 13,301 14,631 # Stage Stores, Inc. 314,047 6,023,421 # Standard Motor Products, Inc. 248,241 9,430,676 * Stanley Furniture Co., Inc. 43,669 127,513 # Stein Mart, Inc. 266,396 3,329,950 * Steiner Leisure, Ltd. 99,037 4,275,427 * Stoneridge, Inc. 221,295 2,365,644 Strattec Security Corp. 30,152 2,014,455 #* Strayer Education, Inc. 6,946 296,108 # Sturm Ruger & Co., Inc. 185,803 11,956,423 # Superior Industries International, Inc. 234,410 4,955,427 Superior Uniform Group, Inc. 55,873 908,495 #* Systemax, Inc. 342,269 5,917,831 #* Tandy Leather Factory, Inc. 72,155 706,397 #* Tile Shop Holdings, Inc. 40,563 571,735 * Tower International, Inc. 37,336 1,038,314 # Town Sports International Holdings, Inc. 186,382 1,306,538 # Trans World Entertainment Corp. 218,126 713,272 U.S. MICRO CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ------------ Consumer Discretionary -- (Continued) * Trinity Place Holdings, Inc. 143,600 $ 911,860 #* Tuesday Morning Corp. 372,296 5,204,698 #* Tumi Holdings, Inc. 8,256 168,588 #* Unifi, Inc. 163,468 3,619,182 * Universal Electronics, Inc. 139,250 5,200,988 # Universal Technical Institute, Inc. 223,452 2,683,659 #* UQM Technologies, Inc. 123,866 273,744 * US Auto Parts Network, Inc. 62,898 196,242 # Value Line, Inc. 80,059 1,167,260 #* Valuevision Media, Inc. Class A 393,486 1,841,514 #* Vera Bradley, Inc. 142,536 4,033,769 #* Vitacost.com, Inc. 21,671 144,546 #* Vitamin Shoppe, Inc. 84,045 4,024,075 #* VOXX International Corp. 166,452 1,955,811 #* Wells-Gardner Electronics Corp. 104,895 179,370 #* West Marine, Inc. 177,750 1,901,925 #* Wet Seal, Inc. (The) Class A 741,786 838,218 # Weyco Group, Inc. 115,036 2,886,253 * William Lyon Homes Class A 5,329 139,087 # Winmark Corp. 54,688 4,148,632 * Winnebago Industries, Inc. 151,310 3,616,309 # World Wrestling Entertainment, Inc. Class A 130,966 2,553,837 #* Xanadoo Co. Class A 566 593,734 * Zagg, Inc. 76,698 333,636 #* Zale Corp. 251,292 5,375,136 #* Zumiez, Inc. 247,711 6,056,534 ------------ Total Consumer Discretionary 843,345,796 ------------ Consumer Staples -- (3.5%) # Alico, Inc. 68,700 2,399,004 * Alliance One International, Inc. 868,655 2,232,443 Andersons, Inc. (The) 247,908 15,442,189 #* Annie's, Inc. 16,968 551,630 #* Boulder Brands, Inc. 495,274 7,310,244 * Bridgford Foods Corp. 72,953 722,599 # Cal-Maine Foods, Inc. 201,183 11,996,542 # Calavo Growers, Inc. 117,606 3,656,371 CCA Industries, Inc. 35,363 107,150 #* Central Garden and Pet Co. 75,174 611,165 #* Central Garden and Pet Co. Class A 310,224 2,565,552 #* Chefs' Warehouse, Inc. (The) 33,741 677,857 #* Chiquita Brands International, Inc. 322,337 3,700,429 Coca-Cola Bottling Co. Consolidated 71,524 5,881,418 #* Coffee Holding Co., Inc. 14,908 106,741 #* Craft Brew Alliance, Inc. 82,682 1,237,750 Dean Foods Co. 4,632 73,371 * Elizabeth Arden, Inc. 238,821 8,774,284 #* Farmer Bros. Co. 88,007 1,734,618 * Glacier Water Services, Inc. 23,971 483,016 Golden Enterprises, Inc. 99,219 436,564 # Griffin Land & Nurseries, Inc. 48,979 1,430,187 #* Harbinger Group, Inc. 12,777 148,980 U.S. MICRO CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ------------ Consumer Staples -- (Continued) * IGI Laboratories, Inc. 30,339 $ 152,605 # Ingles Markets, Inc. Class A 100,711 2,315,346 # Inter Parfums, Inc. 277,182 10,142,089 #* Inventure Foods, Inc. 25,311 304,238 J&J Snack Foods Corp. 162,568 15,216,365 # John B. Sanfilippo & Son, Inc. 72,033 1,660,361 # Liberator Medical Holdings, Inc. 6,507 25,182 # Lifeway Foods, Inc. 152,175 2,284,147 # Limoneira Co. 413 9,487 #* Mannatech, Inc. 10,017 162,977 #* Medifast, Inc. 117,378 3,715,014 # MGP Ingredients, Inc. 107,447 627,490 #* National Beverage Corp. 399,613 7,704,539 #* Natural Alternatives International, Inc. 70,731 403,167 #* Natural Grocers by Vitamin Cottage, Inc. 13,355 475,438 # Nature's Sunshine Products, Inc. 153,100 2,045,416 * Nutraceutical International Corp. 59,666 1,486,877 # Oil-Dri Corp. of America 58,075 1,946,093 * Omega Protein Corp. 133,926 1,521,399 # Orchids Paper Products Co. 56,870 1,528,097 * Pantry, Inc. (The) 124,775 1,876,616 * Post Holdings, Inc. 21,541 1,125,733 Reliv International, Inc. 102,054 225,539 #* Revlon, Inc. Class A 379,324 11,432,825 Rocky Mountain Chocolate Factory, Inc. 71,953 859,838 # Roundy's, Inc. 30,739 208,103 #* Scheid Vineyards, Inc. Class A 2,900 97,150 Scope Industries 8,083 2,331,945 #* Seneca Foods Corp. Class A 33,144 941,290 #* Seneca Foods Corp. Class B 11,120 339,605 Spartan Stores, Inc. 362,131 7,800,302 #* Susser Holdings Corp. 245,851 19,023,950 #* Tofutti Brands, Inc. 53,404 213,082 United-Guardian, Inc. 40,096 1,242,976 # Universal Corp. 83,485 4,555,776 #* USANA Health Sciences, Inc. 141,615 9,609,994 # Village Super Market, Inc. Class A 69,464 1,680,334 # WD-40 Co. 150,379 10,953,606 # Weis Markets, Inc. 249 11,476 ------------ Total Consumer Staples 200,536,571 ------------ Energy -- (5.2%) * Abraxas Petroleum Corp. 486,100 2,654,106 Adams Resources & Energy, Inc. 38,954 2,807,025 Alon USA Energy, Inc. 311,975 5,082,073 #* Alpha Natural Resources, Inc. 823,253 3,539,988 AMEN Properties, Inc. 123 71,340 * American Eagle Energy Corp. 12,112 83,573 #* Amyris, Inc. 2,110 7,427 #* Approach Resources, Inc. 202,666 4,205,319 * Barnwell Industries, Inc. 68,834 211,664 #* Basic Energy Services, Inc. 344,613 9,104,675 U.S. MICRO CAP PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Energy -- (Continued) #* Bill Barrett Corp. 162,220 $ 3,841,370 * Black Ridge Oil and Gas, Inc. 73,707 63,388 Bolt Technology Corp. 77,310 1,304,993 #* BPZ Resources, Inc. 784,603 2,118,428 #* C&J Energy Services, Inc. 161,946 4,868,097 #* Cal Dive International, Inc. 192,137 284,363 * Callon Petroleum Co. 291,992 2,680,486 * Carrizo Oil & Gas, Inc. 216,987 11,938,625 #* Cheniere Energy, Inc. 39,020 2,202,679 * Clayton Williams Energy, Inc. 109,912 15,880,086 #* Clean Energy Fuels Corp. 305,021 2,699,436 * Cloud Peak Energy, Inc. 225,338 4,436,905 # Comstock Resources, Inc. 330,845 9,197,491 * Contango Oil & Gas Co. 105,613 5,073,648 # Dawson Geophysical Co. 64,595 1,825,455 DHT Holdings, Inc. 42,208 329,644 #* Earthstone Energy, Inc. 1,000 22,430 #* Emerald Oil, Inc. 274,122 1,938,042 #* Endeavour International Corp. 208,012 715,561 * ENGlobal Corp. 238,421 510,221 EnLink Midstream LLC 460,526 16,270,384 #* EPL Oil & Gas, Inc. 309,088 12,097,704 * Era Group, Inc. 10,125 289,069 * Escalera Resources Co. 58,194 158,870 * Evolution Petroleum Corp. 27,969 330,034 #* FieldPoint Petroleum Corp. 49,014 270,557 #* Forest Oil Corp. 231,103 429,852 GasLog, Ltd. 2,800 74,984 * Gastar Exploration, Inc. 181,306 1,202,059 #* Geospace Technologies Corp. 69,429 4,035,908 #* Gevo, Inc. 24,840 25,585 #* Goodrich Petroleum Corp. 71,912 1,808,587 # Green Plains Renewable Energy, Inc. 217,786 6,511,801 # Gulf Island Fabrication, Inc. 110,881 2,224,273 # Gulfmark Offshore, Inc. Class A 99,393 4,473,679 #* Harvest Natural Resources, Inc. 283,514 1,278,648 #* Hercules Offshore, Inc. 1,160,760 5,188,597 #* HKN, Inc. 1,132 70,756 #* Houston American Energy Corp. 108,288 50,895 #* ION Geophysical Corp. 1,007,659 4,433,700 * Key Energy Services, Inc. 617,145 6,196,136 #* Lucas Energy, Inc. 87,333 54,775 #* Magnum Hunter Resources Corp. 710,951 6,043,083 #* Matador Resources Co. 162,397 4,664,042 * Matrix Service Co. 228,239 7,068,562 #* Mexco Energy Corp. 7,388 53,563 #* Miller Energy Resources, Inc. 32,669 157,465 * Mitcham Industries, Inc. 79,611 1,098,632 * Natural Gas Services Group, Inc. 59,553 1,827,682 #* Newpark Resources, Inc. 847,552 10,204,526 # Nordic American Tankers, Ltd. 66,007 569,640 #* Northern Oil and Gas, Inc. 179,241 2,765,689 U.S. MICRO CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ------------ Energy -- (Continued) #* Nuverra Environmental Solutions, Inc. 136,121 $ 2,315,418 #* Overseas Shipholding Group, Inc. 18,861 107,508 * Pacific Ethanol, Inc. 31 484 # Panhandle Oil and Gas, Inc. Class A 55,720 2,443,322 * Parker Drilling Co. 868,844 5,760,436 #* Penn Virginia Corp. 506,757 8,432,436 * PetroQuest Energy, Inc. 429,837 2,587,619 #* PHI, Inc. Non-Voting 113,759 5,096,403 #* PHI, Inc. Voting 9,745 412,213 * Pioneer Energy Services Corp. 427,910 6,405,813 #* PostRock Energy Corp. 23,194 31,776 #* Pyramid Oil Co. 22,699 117,127 * Renewable Energy Group, Inc. 79,775 938,952 #* Rentech, Inc. 919,580 1,949,510 * REX American Resources Corp. 149,235 9,754,000 * Rex Energy Corp. 567,510 11,951,761 * RigNet, Inc. 9,329 436,224 * Ring Energy, Inc. 1,485 27,324 #* Royale Energy, Inc. 45,629 123,198 #* Sanchez Energy Corp. 1,127 31,872 #* Saratoga Resources, Inc. 2,046 2,537 * Steel Excel, Inc. 73,655 2,386,422 #* Swift Energy Co. 55,787 687,854 #* Synergy Resources Corp. 366,971 4,271,542 #* Synthesis Energy Systems, Inc. 17,851 30,882 #* Syntroleum Corp. 44,574 167,152 #* Tesco Corp. 134,623 2,692,460 #* TETRA Technologies, Inc. 553,474 6,918,425 #* TGC Industries, Inc. 110,887 561,088 #* Triangle Petroleum Corp. 530,705 5,105,382 #* Uranium Energy Corp. 123,123 131,742 #* US Energy Corp. Wyoming 71,870 305,447 #* USEC, Inc. 6,226 21,044 #* Vaalco Energy, Inc. 501,549 4,624,282 # W&T Offshore, Inc. 91,557 1,757,894 * Warren Resources, Inc. 404,655 2,051,601 * Westmoreland Coal Co. 28,675 849,067 * Willbros Group, Inc. 337,267 3,747,036 #* Zion Oil & Gas, Inc. 5,765 12,856 ------------ Total Energy 296,876,384 ------------ Financials -- (14.3%) * 1st Constitution Bancorp 16,306 169,909 # 1st Source Corp. 194,458 5,734,566 # 1st United Bancorp, Inc. 35,937 263,059 * A-Mark Precious Metals, Inc. 69,658 827,885 # Access National Corp. 59,660 879,985 Alliance Bancorp, Inc. of Pennsylvania 13,199 205,970 * Altisource Asset Management Corp. 9,319 9,116,312 #* Ambac Financial Group, Inc. 69,667 2,102,550 # Ameriana Bancorp 20,650 285,073 # American Equity Investment Life Holding Co. 464,295 10,827,359 U.S. MICRO CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Financials -- (Continued) * American Independence Corp. 3,596 $ 39,304 # American National Bankshares, Inc. 54,265 1,156,387 * American River Bankshares 17,421 166,545 (o)* American Spectrum Realty, Inc. 12,048 20,241 * Ameris Bancorp 135,510 2,882,298 AMERISAFE, Inc. 137,869 5,880,113 # AmeriServ Financial, Inc. 189,054 657,908 Argo Group International Holdings, Ltd. 52,793 2,345,065 # Arrow Financial Corp. 120,836 3,024,525 ASB Financial Corp. 4,400 59,950 * Asta Funding, Inc. 24,698 201,783 Astoria Financial Corp. 427,185 5,664,473 Atlantic American Corp. 7,131 24,959 #* Atlantic Coast Financial Corp. 738 3,173 #* Atlanticus Holdings Corp. 140,864 342,300 Auburn National Bancorp., Inc. 11,571 275,563 #* AV Homes, Inc. 80,688 1,382,185 # Baldwin & Lyons, Inc. Class A 3,548 83,839 # Baldwin & Lyons, Inc. Class B 91,316 2,375,129 # Banc of California, Inc. 32,229 405,119 # Bancfirst Corp. 119,581 6,960,810 # Bancorp of New Jersey, Inc. 1,246 16,958 * Bancorp, Inc. 216,902 3,431,390 Bank Mutual Corp. 166,106 999,958 Bank of Commerce Holdings 19,956 126,721 # Bank of Kentucky Financial Corp. 28,520 984,225 # Bank of the Ozarks, Inc. 104,441 6,256,016 # BankFinancial Corp. 211,876 2,084,860 Banner Corp. 163,939 6,482,148 # Bar Harbor Bankshares 27,028 1,015,712 BBCN Bancorp, Inc. 668,687 10,304,467 #* BBX Capital Corp. Class A 43,192 808,986 # BCB Bancorp, Inc. 54,608 726,286 #* Beneficial Mutual Bancorp, Inc. 109,235 1,424,424 # Berkshire Bancorp, Inc. 10,471 76,962 Berkshire Hills Bancorp, Inc. 145,280 3,403,910 * BFC Financial Corp. Class A 75,991 273,568 BGC Partners, Inc. Class A 342,652 2,456,815 #* BNCCORP, Inc. 12,585 195,068 #* BofI Holding, Inc. 132,204 10,656,964 # Boston Private Financial Holdings, Inc. 678,533 8,488,448 # Bridge Bancorp, Inc. 41,930 1,019,738 #* Bridge Capital Holdings 47,800 1,070,720 # Brookline Bancorp, Inc. 595,355 5,405,823 * Brunswick Bancorp 120 582 Bryn Mawr Bank Corp. 100,636 2,745,350 C&F Financial Corp. 14,164 442,625 # Calamos Asset Management, Inc. Class A 149,909 1,825,892 # California First National Bancorp 81,133 1,203,202 # Camden National Corp. 77,063 2,941,495 Cape Bancorp, Inc. 4,774 50,843 * Capital Bank Financial Corp. Class A 14,493 345,658 U.S. MICRO CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Financials -- (Continued) # Capital City Bank Group, Inc. 150,073 $2,086,015 (o) Capital Properties, Inc., 5.000% 9,939 9,939 * Capital Properties, Inc. Class A 11,044 109,833 Capital Southwest Corp. 65,090 2,284,659 # Cardinal Financial Corp. 268,236 4,506,365 #* Carolina Bank Holdings, Inc. 4,335 41,703 #* Carver Bancorp, Inc. 300 3,294 # Cash America International, Inc. 19,566 852,099 Center Bancorp, Inc. 138,607 2,565,616 # Centerstate Banks, Inc. 48,602 533,164 Central Pacific Financial Corp. 80,244 1,506,180 # Century Bancorp, Inc. Class A 18,900 633,150 Charter Financial Corp. 935 10,285 Chemical Financial Corp. 229,185 6,433,223 Chicopee Bancorp, Inc. 26,112 452,521 # Citizens Community Bancorp, Inc. 4,432 35,589 * Citizens First Corp. 1,442 15,545 Citizens Holding Co. 9,925 186,292 #* Citizens, Inc. 389,673 2,560,152 # City Holding Co. 161,264 6,932,739 # CKX Lands, Inc. 14,943 228,254 Clifton Bancorp, Inc. 54,171 627,842 # CNB Financial Corp. 53,880 890,098 # CoBiz Financial, Inc. 215,386 2,162,475 Codorus Valley Bancorp, Inc. 10,901 232,736 * Colonial Financial Services, Inc. 7,831 91,309 #* Colony Bankcorp, Inc. 37,943 234,108 Columbia Banking System, Inc. 316,033 7,843,939 Commercial National Financial Corp. 10,640 221,312 # Community Bank System, Inc. 264,717 9,844,825 #* Community Bankers Trust Corp. 2,000 8,240 # Community Trust Bancorp, Inc. 136,514 5,033,271 * Community West Bancshares 12,713 88,101 #* CommunityOne Bancorp 216 2,106 # Consolidated-Tomoka Land Co. 52,947 2,092,995 * Consumer Portfolio Services, Inc. 54,198 378,302 * Cowen Group, Inc. Class A 350,148 1,439,108 Crawford & Co. Class A 282,945 2,730,419 # Crawford & Co. Class B 145,019 1,656,117 #* Customers Bancorp, Inc. 5,484 120,813 # CVB Financial Corp. 272,789 3,944,529 #* DFC Global Corp. 289,969 2,702,511 * DGT Holdings Corp. 12,563 198,495 # Diamond Hill Investment Group, Inc. 710 84,291 Dime Community Bancshares, Inc. 344,219 5,610,770 Donegal Group, Inc. Class A 169,997 2,509,156 # Donegal Group, Inc. Class B 34,951 754,243 #* Doral Financial Corp. 4,060 38,814 Eagle Bancorp Montana, Inc. 578 6,283 * Eastern Virginia Bankshares, Inc. 8,084 54,567 #* eHealth, Inc. 138,920 5,819,359 # EMC Insurance Group, Inc. 116,209 3,833,735 U.S. MICRO CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Financials -- (Continued) Employers Holdings, Inc. 255,600 $ 5,201,460 #* Encore Capital Group, Inc. 293,377 12,679,754 # Enterprise Bancorp, Inc. 36,296 662,765 # Enterprise Financial Services Corp. 59,874 1,069,948 # ESB Financial Corp. 161,234 2,034,773 # ESSA Bancorp, Inc. 63,434 659,079 Evans Bancorp, Inc. 11,667 263,383 * Ezcorp, Inc. Class A 17,470 182,212 #* Farmers Capital Bank Corp. 22,878 477,921 # FBL Financial Group, Inc. Class A 271,426 12,135,456 # Federal Agricultural Mortgage Corp. Class A 4,200 115,605 # Federal Agricultural Mortgage Corp. Class C 78,623 2,797,406 Federated National Holding Co. 75,070 1,458,610 # Fidelity Southern Corp. 99,250 1,311,092 Financial Institutions, Inc. 71,919 1,664,925 #* First Acceptance Corp. 59,247 141,600 # First Bancorp 142,584 2,453,871 First Bancorp of Indiana, Inc. 1,400 20,825 # First Bancorp, Inc. 74,352 1,184,427 #* First BanCorp. 198,345 1,019,493 * First Bancshares, Inc. 5,228 43,131 First Bancshares, Inc. (The) 4,544 65,843 First Busey Corp. 491,595 2,703,772 First Business Financial Services, Inc. 7,922 358,154 * First Cash Financial Services, Inc. 4,710 229,707 # First Commonwealth Financial Corp. 715,416 6,145,423 # First Community Bancshares, Inc. 109,324 1,619,088 # First Connecticut Bancorp, Inc. 14,915 236,403 First Defiance Financial Corp. 69,440 1,876,269 #* First Federal Bancshares of Arkansas, Inc. 45,474 403,354 First Federal of Northern Michigan Bancorp, Inc. 13,700 68,089 First Financial Bancorp 326,534 5,286,585 # First Financial Corp. 122,228 3,912,518 First Financial Holdings, Inc. 135,085 7,763,335 # First Financial Northwest, Inc. 43,474 443,435 * First Financial Service Corp. 18,814 68,671 First Interstate Bancsystem, Inc. 91,463 2,276,514 #* First Marblehead Corp. (The) 4,947 26,021 First Merchants Corp. 251,287 5,332,310 First Midwest Bancorp, Inc. 503,110 8,235,911 * First Place Financial Corp. 153,683 238 # First South Bancorp, Inc. 59,381 476,829 * First United Corp. 31,308 258,604 # First West Virginia Bancorp 1,187 21,402 Firstbank Corp. 35,127 619,289 * Flagstar Bancorp, Inc. 147,401 2,594,258 Flushing Financial Corp. 220,671 4,241,297 #* Forestar Group, Inc. 273,022 4,655,025 #* Fortegra Financial Corp. 705 5,090 # Fox Chase Bancorp, Inc. 59,633 994,678 #* Franklin Financial Corp. 5,320 106,187 # FXCM, Inc. Class A 192,458 2,979,250 U.S. MICRO CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Financials -- (Continued) # Gain Capital Holdings, Inc. 58,555 $ 591,406 # German American Bancorp, Inc. 65,691 1,710,594 GFI Group, Inc. 527,874 1,963,691 # Glacier Bancorp, Inc. 291,356 7,476,195 #* Gleacher & Co., Inc. 9,104 104,696 * Global Indemnity P.L.C. 56,451 1,512,887 Gouverneur Bancorp, Inc. 4,366 45,406 # Great Southern Bancorp, Inc. 82,319 2,360,086 #* Green Dot Corp. Class A 200,020 3,474,347 # Greenhill & Co., Inc. 69,840 3,502,476 * Greenlight Capital Re, Ltd. Class A 208,915 6,649,764 # Guaranty Bancorp 44,041 554,476 * Guaranty Federal Bancshares, Inc. 17,335 219,114 * Hallmark Financial Services, Inc. 105,299 884,512 # Hampden Bancorp, Inc. 3,433 55,786 * Hampton Roads Bankshares, Inc. 8,405 13,952 Hanmi Financial Corp. 217,939 4,635,563 Harleysville Savings Financial Corp. 12,400 209,560 * Harris & Harris Group, Inc. 153,619 551,492 Hawthorn Bancshares, Inc. 5,957 78,990 # HCI Group, Inc. 97,252 3,761,707 # Heartland Financial USA, Inc. 133,135 3,235,180 Heritage Commerce Corp. 94,328 765,943 # Heritage Financial Corp. 70,828 1,144,580 Heritage Financial Group, Inc. 16,112 310,156 HF Financial Corp. 34,791 476,637 HFF, Inc. Class A 231,737 7,879,058 * Hilltop Holdings, Inc. 411,361 9,189,805 # Hingham Institution for Savings 14,511 1,008,660 * HMN Financial, Inc. 37,346 416,034 #* Home Bancorp, Inc. 4,852 98,253 Home BancShares, Inc. 257,657 8,170,303 # Home Federal Bancorp, Inc. 64,285 967,489 HopFed Bancorp, Inc. 18,198 207,093 Horace Mann Educators Corp. 426,348 12,820,284 # Horizon Bancorp 36,023 720,100 # Hudson Valley Holding Corp. 20,209 371,037 Huntington Bancshares, Inc. 56 513 #* ICG Group, Inc. 365,117 7,441,084 # Independence Holding Co. 69,208 903,856 # Independent Bank Corp.(453836108) 171,763 6,375,843 Independent Bank Corp.(453838609) 34,130 444,373 Infinity Property & Casualty Corp. 134,471 8,629,004 Interactive Brokers Group, Inc. Class A 462,958 11,064,696 * InterGroup Corp. (The) 6,500 113,685 #* Intervest Bancshares Corp. Class A 7,618 57,668 #* INTL. FCStone, Inc. 89,303 1,689,613 #* Investment Technology Group, Inc. 179,808 3,711,237 Investors Bancorp, Inc. 73,605 1,967,462 #* Investors Capital Holdings, Ltd. 4,238 30,153 # Investors Title Co. 21,301 1,507,259 #* Jacksonville Bancorp, Inc. 259 2,701 U.S. MICRO CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Financials -- (Continued) #* Jefferson Bancshares, Inc. 6,356 $ 49,895 # JMP Group, Inc. 79,135 546,823 #* JW Mays, Inc. 2,700 139,901 * KCG Holdings, Inc. Class A 19,401 193,040 #* Kearny Financial Corp. 32,232 469,943 Kennedy-Wilson Holdings, Inc. 254,898 5,566,972 # Kentucky First Federal Bancorp 38,012 326,523 #* Ladenburg Thalmann Financial Services, Inc. 18,865 51,501 Lake Shore Bancorp, Inc. 3,521 43,608 Lakeland Bancorp, Inc. 213,720 2,231,237 # Lakeland Financial Corp. 105,446 3,859,324 Landmark Bancorp, Inc. 14,114 272,682 Life Partners Holdings, Inc. 108,784 296,980 LNB Bancorp, Inc. 58,795 669,087 # Louisiana Bancorp, Inc. 1,237 24,122 # LSB Financial Corp. 2,914 85,876 # Macatawa Bank Corp. 202,123 984,339 * Magyar Bancorp, Inc. 15,818 130,815 # Maiden Holdings, Ltd. 278,837 3,290,277 # MainSource Financial Group, Inc. 133,770 2,211,218 * Malvern Bancorp, Inc. 8,513 87,684 Manning & Napier, Inc. 5,237 87,039 # Marlin Business Services Corp. 68,365 1,173,827 #* Maui Land & Pineapple Co., Inc. 49,270 385,784 MB Financial, Inc. 7,339 196,979 * MBT Financial Corp. 1,880 9,268 # MCG Capital Corp. 578,441 1,943,562 # Meadowbrook Insurance Group, Inc. 449,907 2,519,479 # Medallion Financial Corp. 166,999 2,271,186 # Mercantile Bank Corp. 13,591 265,160 Merchants Bancshares, Inc. 61,287 1,781,613 #* Meridian Interstate Bancorp, Inc. 49,451 1,249,627 # Meta Financial Group, Inc. 27,483 1,151,813 * Metro Bancorp, Inc. 126,758 2,588,398 #* MGIC Investment Corp. 316,519 2,722,063 MicroFinancial, Inc. 84,643 666,140 Mid Penn Bancorp, Inc. 7,759 116,385 # MidSouth Bancorp, Inc. 58,231 973,622 # MidWestOne Financial Group, Inc. 16,539 407,356 * MSB Financial Corp. 2,696 21,986 MutualFirst Financial, Inc. 39,230 737,524 National Bank Holdings Corp. Class A 5,636 107,986 # National Interstate Corp. 59,495 1,667,050 National Penn Bancshares, Inc. 1,366 13,346 National Security Group, Inc. 12,602 130,809 National Western Life Insurance Co. Class A 12,021 2,803,898 #* Naugatuck Valley Financial Corp. 7,309 56,608 * Navigators Group, Inc. (The) 82,235 4,684,928 # NBT Bancorp, Inc. 291,237 6,596,518 Nelnet, Inc. Class A 17,230 728,140 #* New Century Bancorp, Inc. 9,127 67,631 # New Hampshire Thrift Bancshares, Inc. 21,740 320,665 U.S. MICRO CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Financials -- (Continued) #* NewBridge Bancorp 136,882 $1,052,623 #* NewStar Financial, Inc. 193,058 2,204,722 Nicholas Financial, Inc. 41,301 649,252 * North Valley Bancorp 5,817 131,464 Northeast Bancorp 4,362 42,399 Northeast Community Bancorp, Inc. 24,952 181,651 Northfield Bancorp, Inc. 248,035 3,217,014 # Northrim BanCorp, Inc. 44,423 1,065,708 Northway Financial, Inc. 1,076 20,283 Northwest Bancshares, Inc. 310,590 4,127,741 # Norwood Financial Corp. 10,591 305,444 # Ocean Shore Holding Co. 20,561 308,209 OceanFirst Financial Corp. 117,015 1,897,983 OFG Bancorp 299,345 5,106,826 Ohio Valley Banc Corp. 16,910 367,793 # Old Line Bancshares, Inc. 22,285 378,176 # Old National Bancorp 215,527 3,043,244 * Old Second Bancorp, Inc. 120,505 573,604 OmniAmerican Bancorp, Inc. 88,259 2,194,119 # OneBeacon Insurance Group, Ltd. Class A 700 10,808 # Oppenheimer Holdings, Inc. Class A 17,944 456,854 Oritani Financial Corp. 367,200 5,445,576 Pacific Continental Corp. 90,978 1,199,090 * Pacific Mercantile Bancorp 6,384 41,815 #* Pacific Premier Bancorp, Inc. 77,600 1,059,240 PacWest Bancorp 58,690 2,310,625 Park National Corp. 35,882 2,602,163 Park Sterling Corp. 250,018 1,632,618 #* Patriot National Bancorp, Inc. 2,900 3,741 # Peapack Gladstone Financial Corp. 107,510 2,043,765 # Penns Woods Bancorp, Inc. 36,321 1,598,124 Peoples Bancorp 3,331 83,275 # Peoples Bancorp of North Carolina, Inc. 15,956 274,443 # Peoples Bancorp, Inc. 94,701 2,468,855 #* PHH Corp. 178,773 4,249,434 #* Phoenix Cos., Inc. (The) 48,205 2,121,984 #* PICO Holdings, Inc. 176,957 4,114,250 Pinnacle Financial Partners, Inc. 277,938 9,608,317 #* Piper Jaffray Cos. 4,037 177,063 #* Porter Bancorp, Inc. 16,256 17,556 * Preferred Bank 59,308 1,272,157 Premier Financial Bancorp, Inc. 47,695 682,039 * Primus Guaranty, Ltd. 23,720 190,709 PrivateBancorp, Inc. 46,664 1,286,526 # Provident Financial Holdings, Inc. 69,795 982,016 # Provident Financial Services, Inc. 116,926 2,032,174 * Prudential Bancorp, Inc. 27,615 298,518 * PSB Holdings, Inc. 1,113 7,279 Pulaski Financial Corp. 85,066 878,732 # Pzena Investment Management, Inc. Class A 51,750 562,523 QC Holdings, Inc. 171,139 354,258 QCR Holdings, Inc. 100 1,729 U.S. MICRO CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Financials -- (Continued) Radian Group, Inc. 11,235 $ 157,065 #* Regional Management Corp. 7,296 111,921 # Renasant Corp. 167,489 4,559,051 Republic Bancorp, Inc. Class A 199,097 4,780,319 #* Republic First Bancorp, Inc. 74,245 328,163 # Resource America, Inc. Class A 169,832 1,445,270 * Riverview Bancorp, Inc. 102,676 357,312 * Royal Bancshares of Pennsylvania, Inc. Class A 13,305 34,726 # S&T Bancorp, Inc. 211,609 4,922,025 #* Safeguard Scientifics, Inc. 203,072 4,266,543 Safety Insurance Group, Inc. 84,755 4,552,191 # Salisbury Bancorp, Inc. 7,752 233,762 # Sandy Spring Bancorp, Inc. 183,222 4,406,489 # SB Financial Group, Inc. 2,810 22,199 #* Seacoast Banking Corp. of Florida 27,863 295,348 #* Security National Financial Corp. Class A 23,202 90,255 Selective Insurance Group, Inc. 146,637 3,363,853 * Shore Bancshares, Inc. 35,120 333,289 SI Financial Group, Inc. 18,941 223,504 #* Siebert Financial Corp. 13,141 38,437 Sierra Bancorp 88,637 1,383,624 # Simmons First National Corp. Class A 138,927 5,023,600 Simplicity Bancorp, Inc. 21,206 367,712 * South Street Financial Corp. 2,945 28,254 * Southcoast Financial Corp. 4,265 30,665 (o) Southern Community Financial Corp. 45,616 10,036 * Southern First Bancshares, Inc. 30,135 411,644 Southern Missouri Bancorp, Inc. 7,832 276,470 # Southern National Bancorp of Virginia, Inc. 1,014 10,475 # Southside Bancshares, Inc. 121,448 3,349,543 Southwest Bancorp, Inc. 130,906 2,186,130 Southwest Georgia Financial Corp. 12,047 172,814 # State Auto Financial Corp. 41,897 857,213 Sterling Bancorp 751,079 8,982,905 # Stewart Information Services Corp. 162,074 4,943,257 # Stock Yards Bancorp Inc 129,832 3,827,447 #* Stratus Properties, Inc. 70,975 1,178,185 #* Suffolk Bancorp 116,114 2,546,380 Summit State Bank 1,118 12,969 #* Sun Bancorp, Inc. 276,153 1,049,381 #* Sussex Bancorp 8,000 72,000 * SWS Group, Inc. 265,182 1,964,999 * Taylor Capital Group, Inc. 170,775 3,635,800 Teche Holding Co. 16,649 1,213,712 * Tejon Ranch Co. 214,847 6,662,405 # Territorial Bancorp, Inc. 41,856 856,374 TF Financial Corp. 21,681 679,916 Timberland Bancorp, Inc. 70,526 751,102 Tompkins Financial Corp. 91,183 4,298,367 # Tower Group International, Ltd. 225,469 554,654 # TowneBank 118,029 1,821,187 #* Tree.com, Inc. 37,401 1,087,621 U.S. MICRO CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ------------ Financials -- (Continued) # Trico Bancshares 151,188 $ 3,666,309 # TrustCo Bank Corp. 683,274 4,516,441 #* Unico American Corp. 113,843 1,503,866 Union Bankshares Corp. 243,194 6,223,334 # Union Bankshares, Inc. 14,917 351,295 United Bancshares, Inc. 6,297 96,407 United Community Bancorp 1,415 16,131 * United Community Banks, Inc. 253,975 4,101,696 #* United Community Financial Corp. 287,624 957,788 # United Financial Bancorp, Inc.(91030T109) 94,025 1,658,601 United Financial Bancorp, Inc.(910304104) 144,896 1,906,831 United Fire Group, Inc. 191,195 5,319,045 * United Security Bancshares 111,368 628,114 Unity Bancorp, Inc. 32,785 280,312 # Universal Insurance Holdings, Inc. 298,279 4,363,822 Univest Corp. of Pennsylvania 102,999 2,030,110 * Vantagesouth Bancshares, Inc. 14,803 90,890 # ViewPoint Financial Group, Inc. 324,743 8,466,050 * Viewtran Group, Inc. 914 1,938 * Virtus Investment Partners, Inc. 25,506 4,718,355 # VSB Bancorp, Inc. 2,848 32,125 * Walker & Dunlop, Inc. 158,614 2,487,068 Washington Banking Co. 85,818 1,476,070 # Washington Trust Bancorp, Inc. 129,604 4,432,457 Waterstone Financial, Inc. 55,188 574,507 # Wayne Savings Bancshares, Inc. 3,361 39,055 # WesBanco, Inc. 247,422 7,482,041 # West Bancorporation, Inc. 89,233 1,294,771 # Westamerica Bancorporation 9,995 507,946 * Western Alliance Bancorp 615,654 14,203,138 Westfield Financial, Inc. 149,090 1,021,267 # Westwood Holdings Group, Inc. 66,804 3,885,989 Wilshire Bancorp, Inc. 621,193 6,211,930 #* World Acceptance Corp. 147,186 10,685,704 * Wright Investors' Service Holdings, Inc. 109,400 190,356 WSFS Financial Corp. 18,738 1,267,064 WVS Financial Corp. 12,479 148,812 * Yadkin Financial Corp. 9,572 183,304 * ZipRealty, Inc. 200,583 665,936 ------------ Total Financials 817,899,567 ------------ Health Care -- (8.1%) #* Abaxis, Inc. 55,647 2,259,825 #* Accelerate Diagnostics, Inc. 40,089 738,840 #* Accretive Health, Inc. 11,937 96,093 #* Accuray, Inc. 409,856 3,442,790 #* Achillion Pharmaceuticals, Inc. 114,813 327,217 * Acorda Therapeutics, Inc. 196,779 6,975,815 #* Adcare Health Systems, Inc. 5,542 22,722 #* Addus HomeCare Corp. 21,364 461,890 #* Affymax, Inc. 129,072 69,699 #* Affymetrix, Inc. 537,490 3,993,551 U.S. MICRO CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Health Care -- (Continued) #* Albany Molecular Research, Inc. 330,646 $ 5,310,175 #* Alexza Pharmaceuticals, Inc. 2,750 11,742 #* Alliance HealthCare Services, Inc. 90,318 2,570,450 * Allied Healthcare Products, Inc. 22,068 47,667 * Almost Family, Inc. 47,397 1,017,614 #* Alnylam Pharmaceuticals, Inc. 19,466 964,151 #* Alphatec Holdings, Inc. 248,211 335,085 #* AMAG Pharmaceuticals, Inc. 130,184 2,377,160 #* Amedisys, Inc. 170,728 2,327,023 #* American Shared Hospital Services 35,563 99,221 #* Amicus Therapeutics, Inc. 1,613 3,581 * AMN Healthcare Services, Inc. 371,437 4,635,534 * Amsurg Corp. 290,077 12,563,235 # Analogic Corp. 125,348 9,411,128 * AngioDynamics, Inc. 206,515 2,775,562 * ANI Pharmaceuticals, Inc. 3,966 123,382 #* Anika Therapeutics, Inc. 160,298 6,851,136 #* Arqule, Inc. 71,682 116,125 * Arrhythmia Research Technology, Inc. 16,626 80,636 #* ArthroCare Corp. 201,154 9,762,004 * AtriCure, Inc. 6,378 98,221 # Atrion Corp. 19,961 5,755,355 #* Authentidate Holding Corp. 7,129 7,414 #* Auxilium Pharmaceuticals, Inc. 150,515 3,388,093 #* AVEO Pharmaceuticals, Inc. 75,858 93,305 #* Baxano Surgical, Inc. 171,862 146,083 #* Bio-Reference Labs, Inc. 189,729 4,819,117 #* Bioanalytical Systems, Inc. 7,157 19,896 * BioCryst Pharmaceuticals, Inc. 300 2,577 #* Biodel, Inc. 39,257 92,254 #* Biolase, Inc. 2,035 3,927 #* BioScrip, Inc. 609,097 4,214,951 #* Biospecifics Technologies Corp. 31,013 735,938 * Biota Pharmaceuticals, Inc. 76,328 281,650 * BioTelemetry, Inc. 118,414 940,207 #* Bovie Medical Corp. 158,699 626,861 #* BSD Medical Corp. 161,152 178,879 * Cambrex Corp. 291,227 5,967,241 Cantel Medical Corp. 285,804 9,477,261 #* Capital Senior Living Corp. 238,554 5,899,440 #* Cardica, Inc. 5,744 6,146 #* Catalyst Pharmaceutical Partners, Inc. 25,086 52,179 #* Celldex Therapeutics, Inc. 165,544 2,483,160 #* Celsion Corp. 18,314 60,802 #* ChemoCentryx, Inc. 3,800 20,824 * Chindex International, Inc. 9,314 221,953 #* Cleveland Biolabs, Inc. 2,513 1,558 #* Columbia Laboratories, Inc. 3,466 23,222 # Computer Programs & Systems, Inc. 82,645 5,217,379 CONMED Corp. 254,463 11,789,271 #* Corcept Therapeutics, Inc. 199,501 881,794 * Corvel Corp. 270,276 12,308,369 U.S. MICRO CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Health Care -- (Continued) * Cross Country Healthcare, Inc. 251,001 $ 1,779,597 # CryoLife, Inc. 251,408 2,282,785 #* Cumberland Pharmaceuticals, Inc. 169,380 753,741 * Cutera, Inc. 114,495 1,180,443 #* Cyberonics, Inc. 109,916 6,502,630 #* Cyclacel Pharmaceuticals, Inc. 4,300 14,276 * Cynosure, Inc. Class A 229,238 5,625,500 #* Cytokinetics, Inc. 32,099 146,050 Daxor Corp. 43,502 361,502 * Depomed, Inc. 11,885 166,509 # Digirad Corp. 104,281 331,614 #* Discovery Laboratories, Inc. 16,454 29,288 #* Durect Corp. 283,106 368,038 #* Dyax Corp. 243,083 1,606,779 #* Dynavax Technologies Corp. 2,993 4,879 #* Emergent Biosolutions, Inc. 261,339 6,888,896 * Emeritus Corp. 67,563 2,015,404 * Encision, Inc. 3,700 3,848 # Ensign Group, Inc. (The) 170,762 7,257,385 #* EnteroMedics, Inc. 633 1,152 #* Entremed, Inc. 1,607 2,893 * Enzo Biochem, Inc. 274,574 1,153,211 # Enzon Pharmaceuticals, Inc. 301,457 268,327 * ERBA Diagnostics, Inc. 119 167 #* Exact Sciences Corp. 171,878 2,062,536 #* Exactech, Inc. 101,444 2,254,086 * ExamWorks Group, Inc. 118,575 4,363,560 * Fibrocell Science, Inc. 3,400 12,920 * Five Star Quality Care, Inc. 224,393 1,083,818 #* Furiex Pharmaceuticals, Inc. 16,188 1,673,354 #* Galena Biopharma, Inc. 319 781 * Gentiva Health Services, Inc. 184,104 1,386,303 * Greatbatch, Inc. 241,609 11,121,262 #* GTx, Inc. 1,815 2,795 #* Hanger, Inc. 323,908 11,229,890 #* Harvard Apparatus Regenerative Technology, Inc. 78,007 674,760 #* Harvard Bioscience, Inc. 304,952 1,286,897 * HealthStream, Inc. 130,831 2,963,322 #* Healthways, Inc. 233,925 4,210,650 #* Hemispherx Biopharma, Inc. 93,100 30,723 * Hooper Holmes, Inc. 672,769 410,389 #* Horizon Pharma, Inc. 25,074 355,549 #* iBio, Inc. 75,428 33,943 * Icad, Inc. 7,500 65,100 #* ICU Medical, Inc. 149,241 8,324,663 #* Idera Pharmaceuticals, Inc. 288,928 820,555 #* Infinity Pharmaceuticals, Inc. 77,952 761,591 #* Inovio Pharmaceuticals, Inc. 10,400 24,648 #* Insys Therapeutics, Inc. 30,593 1,256,149 #* Integra LifeSciences Holdings Corp. 67,960 3,097,617 Invacare Corp. 256,716 4,056,113 #* IPC The Hospitalist Co., Inc. 116,990 4,738,095 U.S. MICRO CAP PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Health Care -- (Continued) #* Iridex Corp. 27,607 $ 229,966 * IsoRay, Inc. 20 48 #* Keryx Biopharmaceuticals, Inc. 45,500 672,035 Kewaunee Scientific Corp. 25,060 419,755 # Kindred Healthcare, Inc. 366,239 9,192,599 # Landauer, Inc. 87,455 3,781,554 * Lannett Co., Inc. 98,164 3,389,603 * LCA-Vision, Inc. 171,633 919,953 # LeMaitre Vascular, Inc. 170,177 1,397,153 #* LHC Group, Inc. 120,347 2,500,811 #* Ligand Pharmaceuticals, Inc. Class B 29,597 1,869,642 #* Luminex Corp. 61,677 1,184,815 #* Masimo Corp. 3,159 84,535 #* Mast Therapeutics, Inc. 72,438 41,587 (o)* Maxygen, Inc. 319,639 9,589 * MedAssets, Inc. 409,312 9,344,593 (o)* MedCath Corp. 92,602 185,204 * Medical Action Industries, Inc. 156,089 1,000,530 #* MediciNova, Inc. 75,542 142,019 * Medidata Solutions, Inc. 233,366 8,473,519 #* Merge Healthcare, Inc. 7,400 16,872 # Meridian Bioscience, Inc. 100,837 2,013,715 #* Merit Medical Systems, Inc. 439,212 5,652,658 #* MGC Diagnostics Corp. 1,294 14,234 #* Misonix, Inc. 62,750 376,500 * Momenta Pharmaceuticals, Inc. 327,726 3,742,631 #* Nanosphere, Inc. 33,860 57,901 # National Healthcare Corp. 104,718 5,731,216 #* National Research Corp. Class A 201,717 3,179,060 #* National Research Corp. Class B 33,719 1,479,590 * Natus Medical, Inc. 276,755 6,871,827 * Neogen Corp. 53,290 2,226,190 * NuVasive, Inc. 346,328 11,674,717 #* Oculus Innovative Sciences, Inc. 30 90 * Omnicell, Inc. 271,516 7,189,744 #* OncoGenex Pharmaceutical, Inc. 16,093 62,441 * OraSure Technologies, Inc. 67,823 444,241 * Orthofix International NV 106,849 3,226,840 * Osiris Therapeutics, Inc. 129 1,836 #* Pacific Biosciences of California, Inc. 53,955 238,481 #* Pain Therapeutics, Inc. 176,216 1,002,669 * PDI, Inc. 162,636 767,642 # PDL BioPharma, Inc. 1,010,688 8,580,741 #* Pernix Therapeutics Holdings 36,732 176,681 #* PharMerica Corp. 276,103 7,507,241 #* PhotoMedex, Inc. 27,458 414,890 #* Pozen, Inc. 294,588 2,462,756 * Prestige Brands Holdings, Inc. 349,826 11,726,167 #* Progenics Pharmaceuticals, Inc. 162,555 573,819 * ProPhase Labs, Inc. 56,585 112,038 * Providence Service Corp. (The) 122,862 4,989,426 #* pSivida Corp. 25,431 92,569 U.S. MICRO CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ------------ Health Care -- (Continued) Psychemedics Corp. 1,558 $ 24,554 # Quality Systems, Inc. 141,867 2,095,376 #* Quidel Corp. 229,795 4,929,103 * RadNet, Inc. 102,903 511,428 #* Repligen Corp. 367,742 5,828,711 #* Repros Therapeutics, Inc. 10,473 176,679 #* Retractable Technologies, Inc. 4,372 16,133 #* Rigel Pharmaceuticals, Inc. 205,001 656,003 #* RTI Surgical, Inc. 372,645 1,602,373 #* RXi Pharmaceuticals Corp. 10 33 #* Sagent Pharmaceuticals, Inc. 18,525 383,282 #* Sangamo Biosciences, Inc. 13,804 191,047 #* Sciclone Pharmaceuticals, Inc. 466,041 2,227,676 Select Medical Holdings Corp. 21,611 301,690 Simulations Plus, Inc. 123,672 748,216 #* Skilled Healthcare Group, Inc. Class A 123,337 636,419 Span-America Medical Systems, Inc. 32,884 685,631 #* Special Diversified Opportunities, Inc. 4,062 4,793 * Spectranetics Corp. 89,428 1,901,239 #* Spectrum Pharmaceuticals, Inc. 458,220 3,147,971 #* Staar Surgical Co. 105,430 1,793,364 #* StemCells, Inc. 11,628 14,535 #* Stereotaxis, Inc. 10,471 40,523 #* Sucampo Pharmaceuticals, Inc. Class A 124,337 859,169 #* SurModics, Inc. 173,655 3,778,733 * Symmetry Medical, Inc. 276,969 2,287,764 #* Targacept, Inc. 63,260 280,874 #* Threshold Pharmaceuticals, Inc. 17,876 73,292 * Tornier NV 82,900 1,406,813 #* Transcept Pharmaceuticals, Inc. 111,214 328,081 #* Triple-S Management Corp. Class B 115,116 1,724,438 # Universal American Corp. 537,047 3,850,627 * Uroplasty, Inc. 12,179 42,383 US Physical Therapy, Inc. 115,372 3,559,226 # Utah Medical Products, Inc. 48,415 2,458,998 #* Vascular Solutions, Inc. 158,467 3,472,012 #* Vical, Inc. 9,524 10,762 #* Vision Sciences, Inc. 23,250 24,180 #* Volcano Corp. 38,355 673,514 * Wright Medical Group, Inc. 317,305 8,678,292 #* XenoPort, Inc. 10,093 40,978 Xstelos Holdings, Inc. 81,000 56,700 #* Zalicus, Inc. 6,868 7,349 ------------ Total Health Care 461,611,260 ------------ Industrials -- (15.5%) # AAON, Inc. 412,028 11,680,994 # AAR Corp. 297,057 7,693,776 ABM Industries, Inc. 38,069 1,031,289 # Acacia Research Corp. 44,214 709,193 #* ACCO Brands Corp. 299,308 1,834,758 #* Accuride Corp. 29,777 167,942 U.S. MICRO CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Industrials -- (Continued) Aceto Corp. 251,385 $ 5,500,304 Acme United Corp. 30,407 511,750 #* Acorn Energy, Inc. 80,179 186,015 * Active Power, Inc. 65,376 184,360 * Adept Technology, Inc. 106,218 1,270,367 #* Aegion Corp. 289,287 7,373,926 #* AeroCentury Corp. 9,017 161,855 #* Aerovironment, Inc. 219,379 7,408,429 * Air Transport Services Group, Inc. 332,623 2,604,438 Aircastle, Ltd. 224,541 3,945,185 Alamo Group, Inc. 90,998 4,833,814 # Albany International Corp. Class A 220,529 7,934,633 (o) Allied Defense Group, Inc. 51,940 4,155 Allied Motion Technologies, Inc. 35,896 407,061 # Altra Industrial Motion Corp. 223,487 7,634,316 #* Ameresco, Inc. Class A 104,747 671,428 # American Railcar Industries, Inc. 183,840 12,765,850 # American Science & Engineering, Inc. 82,790 5,563,488 #* American Superconductor Corp. 58,302 74,627 * American Woodmark Corp. 131,586 3,948,896 * AMREP Corp. 66,450 362,152 # Apogee Enterprises, Inc. 304,635 9,678,254 * ARC Document Solutions, Inc. 250,940 1,606,016 ArcBest Corp. 174,561 6,881,195 Argan, Inc. 56,732 1,518,716 #* Arotech Corp. 120,037 416,528 Art's-Way Manufacturing Co., Inc. 200 1,212 #* Ascent Solar Technologies, Inc. 74,256 37,507 # Astec Industries, Inc. 179,234 7,160,398 * Astronics Corp. 122,425 6,992,916 #* Astronics Corp. Class B 23,092 1,313,935 #* Atlas Air Worldwide Holdings, Inc. 34,307 1,200,402 * Avalon Holdings Corp. Class A 20,575 92,176 # AZZ, Inc. 239,081 10,380,897 # Baltic Trading, Ltd. 142,473 853,413 Barrett Business Services, Inc. 84,535 4,261,409 * Blount International, Inc. 487,601 5,446,503 #* BlueLinx Holdings, Inc. 184,488 241,679 Brady Corp. Class A 3,248 83,766 * Breeze-Eastern Corp. 98,241 972,586 # Briggs & Stratton Corp. 375,638 8,027,384 Brink's Co. (The) 26,011 661,720 * Broadwind Energy, Inc. 890 12,006 #* Builders FirstSource, Inc. 85,907 674,370 #* CAI International, Inc. 131,255 2,854,796 #* Casella Waste Systems, Inc. Class A 90,524 461,672 #* CBIZ, Inc. 617,182 5,289,250 CDI Corp. 99,514 1,524,554 Ceco Environmental Corp. 151,453 2,406,588 Celadon Group, Inc. 222,298 5,115,077 #* Cenveo, Inc. 35,336 109,188 # Chicago Rivet & Machine Co. 17,700 685,875 U.S. MICRO CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Industrials -- (Continued) CIRCOR International, Inc. 125,623 $10,201,844 #* Columbus McKinnon Corp. 168,931 4,474,982 Comfort Systems USA, Inc. 350,058 5,250,870 * Command Security Corp. 17,842 35,238 #* Commercial Vehicle Group, Inc. 116,802 1,134,147 # Compx International, Inc. 18,270 168,084 Conrad Industries, Inc. 18,700 742,390 # Courier Corp. 120,220 1,746,797 * Covenant Transportation Group, Inc. Class A 91,000 932,750 #* CPI Aerostructures, Inc. 48,356 651,355 #* CRA International, Inc. 101,190 2,202,906 * CTPartners Executive Search, Inc. 2,800 26,880 Cubic Corp. 6,564 311,331 Douglas Dynamics, Inc. 162,374 2,739,249 #* Ducommun, Inc. 96,765 2,348,487 * DXP Enterprises, Inc. 89,795 10,165,692 * Dycom Industries, Inc. 281,104 8,826,666 # Dynamic Materials Corp. 77,963 1,574,853 #* Eagle Bulk Shipping, Inc. 75,276 219,806 Eastern Co. (The) 56,509 954,437 #* Echo Global Logistics, Inc. 64,619 1,263,948 # Ecology and Environment, Inc. Class A 19,292 185,010 Encore Wire Corp. 214,854 10,469,835 #* Energy Recovery, Inc. 244,812 1,250,989 #* EnerNOC, Inc. 183,738 4,336,217 #* Engility Holdings, Inc. 56,986 2,486,869 # Ennis, Inc. 222,936 3,335,123 #* EnPro Industries, Inc. 205,444 14,629,667 * Environmental Tectonics Corp. 60,400 126,538 EnviroStar, Inc. 33,694 105,462 ESCO Technologies, Inc. 154,937 5,177,995 # Espey Manufacturing & Electronics Corp. 35,587 946,614 Exponent, Inc. 135,915 9,571,134 * Federal Signal Corp. 531,756 8,072,056 Forward Air Corp. 234,377 10,366,495 * Franklin Covey Co. 169,691 3,439,637 # FreightCar America, Inc. 66,862 1,755,796 * FTI Consulting, Inc. 9,883 338,987 #* Fuel Tech, Inc. 131,146 798,679 * Furmanite Corp. 352,694 3,696,233 G&K Services, Inc. Class A 150,956 7,991,611 #* Genco Shipping & Trading, Ltd. 19,916 32,861 * Gencor Industries, Inc. 12,836 134,650 #* GenCorp, Inc. 240,744 4,227,465 # General Cable Corp. 49,348 1,264,296 #* Gibraltar Industries, Inc. 273,574 4,672,644 # Global Power Equipment Group, Inc. 38,805 680,252 #* Goldfield Corp. (The) 44,025 90,691 # Gorman-Rupp Co. (The) 246,693 7,659,818 #* GP Strategies Corp. 153,147 4,024,703 #* GrafTech International, Ltd. 189,567 2,125,046 # Graham Corp. 69,416 2,071,373 U.S. MICRO CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Industrials -- (Continued) # Granite Construction, Inc. 136,242 $ 5,092,726 * Great Lakes Dredge & Dock Corp. 437,870 3,778,818 #* Greenbrier Cos., Inc. (The) 233,628 12,251,452 # Griffon Corp. 480,405 5,111,509 * H&E Equipment Services, Inc. 315,381 12,157,938 Hardinge, Inc. 96,286 1,286,381 #* Hawaiian Holdings, Inc. 491,286 7,099,083 # Heartland Express, Inc. 192,910 4,197,722 # Heidrick & Struggles International, Inc. 159,200 3,000,920 #* Heritage-Crystal Clean, Inc. 18,365 293,840 * Hill International, Inc. 317,051 2,130,583 * Horizon Lines, Inc. Class A 12,140 8,438 # Houston Wire & Cable Co. 188,718 2,351,426 * Hudson Global, Inc. 131,868 468,131 #* Hudson Technologies, Inc. 20,484 66,880 # Hurco Cos., Inc. 54,870 1,462,834 * Huron Consulting Group, Inc. 164,171 11,688,975 #* Huttig Building Products, Inc. 161,870 715,465 # Hyster-Yale Materials Handling, Inc. 65,138 6,278,652 * ICF International, Inc. 113,924 4,439,618 #* InnerWorkings, Inc. 134,708 969,898 #* Innovative Solutions & Support, Inc. 139,210 936,883 Insperity, Inc. 195,519 6,268,339 Insteel Industries, Inc. 103,432 2,128,631 * Integrated Electrical Services, Inc. 118,179 733,892 * Intelligent Systems Corp. 4,600 7,176 # Interface, Inc. 511,409 9,200,248 # International Shipholding Corp. 58,108 1,565,430 # Intersections, Inc. 155,119 871,769 John Bean Technologies Corp. 229,624 6,656,800 * JPS Industries, Inc. 24,500 168,437 Kadant, Inc. 98,109 3,409,288 # Kaman Corp. 236,333 9,918,896 # Kelly Services, Inc. Class A 269,000 5,665,140 Kelly Services, Inc. Class B 635 14,421 * Key Technology, Inc. 49,705 612,863 #* KEYW Holding Corp. (The) 1,585 20,367 # Kforce, Inc. 394,049 9,110,413 Kimball International, Inc. Class B 232,423 3,895,409 # Knight Transportation, Inc. 30,987 735,322 Knoll, Inc. 371,899 6,764,843 * Korn/Ferry International 373,673 10,855,201 #* Kratos Defense & Security Solutions, Inc. 272,616 1,968,288 * Lawson Products, Inc. 82,104 1,375,242 #* Layne Christensen Co. 138,686 2,415,910 LB Foster Co. Class A 102,403 4,848,782 # Lindsay Corp. 114,725 10,110,714 #* LMI Aerospace, Inc. 89,747 1,224,149 LS Starrett Co. (The) Class A 51,344 801,993 # LSI Industries, Inc. 202,268 1,539,259 #* Luna Innovations, Inc. 17,526 25,237 * Lydall, Inc. 140,104 3,279,835 U.S. MICRO CAP PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Industrials -- (Continued) #* Magnetek, Inc. 30,711 $ 677,178 #* Manitex International, Inc. 6,450 106,167 Marten Transport, Ltd. 305,134 7,158,444 Mastech Holdings, Inc. 14,852 256,643 # Matson, Inc. 146,373 3,467,576 # McGrath RentCorp 229,906 7,260,431 * Meritor, Inc. 436,308 5,178,976 #* Metalico, Inc. 356,973 549,738 * Mfri, Inc. 57,134 622,189 Miller Industries, Inc. 79,825 1,546,210 * Mistras Group, Inc. 115,597 2,625,208 Mobile Mini, Inc. 6,128 270,735 Mueller Water Products, Inc. Class A 1,433,001 13,068,969 # Multi-Color Corp. 105,053 3,661,097 #* MYR Group, Inc. 175,437 4,115,752 # National Presto Industries, Inc. 40,703 2,941,199 * Navigant Consulting, Inc. 262,056 4,402,541 * NCI Building Systems, Inc. 39,552 618,593 # NL Industries, Inc. 236,934 2,376,448 # NN, Inc. 162,206 3,174,371 * Nortek, Inc. 5,881 483,183 * Northwest Pipe Co. 88,313 3,158,956 #* Ocean Power Technologies, Inc. 35,797 96,652 #* Odyssey Marine Exploration, Inc. 428,042 937,412 # Omega Flex, Inc. 100,238 2,021,800 #* Orbit International Corp. 2,185 6,205 * Orbital Sciences Corp. 297,645 8,750,763 #* Orion Energy Systems, Inc. 43,964 233,009 #* Orion Marine Group, Inc. 94,985 1,114,174 * PAM Transportation Services, Inc. 86,903 2,163,016 * Park-Ohio Holdings Corp. 99,486 5,808,988 * Patrick Industries, Inc. 80,051 3,207,644 #* Patriot Transportation Holding, Inc. 92,577 3,229,086 * Paul Mueller Co. 10,813 481,178 #* Pendrell Corp. 126,908 209,398 * Performant Financial Corp. 5,671 49,394 * PGT, Inc. 206,105 2,050,745 #* Pike Corp. 190,171 1,825,642 #* Plug Power, Inc. 881 4,097 #* PMFG, Inc. 94,438 535,463 Powell Industries, Inc. 109,528 6,935,313 #* PowerSecure International, Inc. 213,282 4,741,259 Preformed Line Products Co. 51,643 3,086,186 Primoris Services Corp. 306,313 8,570,638 Providence and Worcester Railroad Co. 18,747 326,948 Quad/Graphics, Inc. 21,729 470,433 #* Quality Distribution, Inc. 216,711 2,724,057 # Quanex Building Products Corp. 290,563 5,474,207 # Raven Industries, Inc. 372,560 11,512,104 #* RBC Bearings, Inc. 147,224 9,166,166 * RCM Technologies, Inc. 112,838 765,042 #* Real Goods Solar, Inc. Class A 1,796 5,262 U.S. MICRO CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Industrials -- (Continued) * Republic Airways Holdings, Inc. 316,346 $ 2,628,835 Resources Connection, Inc. 242,823 3,304,821 #* Roadrunner Transportation Systems, Inc. 177,743 4,377,810 * RPX Corp. 199,696 3,271,020 #* Rush Enterprises, Inc. Class A 235,211 7,550,273 * Rush Enterprises, Inc. Class B 115,888 3,277,313 #* Saia, Inc. 194,263 7,997,808 # Schawk, Inc. 243,811 4,876,220 * Schuff International, Inc. 53,200 1,448,104 Servotronics, Inc. 24,804 192,107 SIFCO Industries, Inc. 45,830 1,505,515 SkyWest, Inc. 354,853 4,116,295 * SL Industries, Inc. 54,267 1,491,800 # SmartPros, Ltd. 38,973 133,677 #* SP Plus Corp. 169,280 4,133,818 * Sparton Corp. 47,951 1,302,349 #* Standard Register Co. (The) 46,975 341,038 Standex International Corp. 104,245 6,189,026 #* Sterling Construction Co., Inc. 89,784 689,541 # Sun Hydraulics Corp. 227,730 9,309,602 * Supreme Industries, Inc. Class A 106,580 604,309 Sypris Solutions, Inc. 166,119 503,341 #* TAL International Group, Inc. 6,708 282,943 #* Taser International, Inc. 542,529 8,761,843 #* Team, Inc. 165,516 7,098,981 #* Tecumseh Products Co. Class A 118,547 712,467 * Tecumseh Products Co. Class B 10,870 63,481 * Tel-Instrument Electronics Corp. 18,440 92,200 # Tennant Co. 162,899 10,391,327 * Thermon Group Holdings, Inc. 79,356 1,890,260 # Titan International, Inc. 387,570 6,786,351 #* Titan Machinery, Inc. 153,783 2,712,732 #* Transcat, Inc. 42,500 418,200 #* TRC Cos., Inc. 200,030 1,186,178 #* Trex Co., Inc. 68,334 5,365,586 * Trimas Corp. 195,468 7,009,482 * TrueBlue, Inc. 373,947 10,003,082 * Tutor Perini Corp. 200,485 5,934,356 # Twin Disc, Inc. 90,134 2,607,577 * Ultralife Corp. 84,195 303,102 #* Ultrapetrol Bahamas, Ltd. 6,299 17,826 UniFirst Corp. 46,249 4,451,004 #* UniTek Global Services, Inc. 400 488 # Universal Forest Products, Inc. 156,828 7,918,246 * Universal Security Instruments, Inc. 2,177 9,143 # Universal Truckload Services, Inc. 77,353 1,907,525 US Ecology, Inc. 190,423 8,502,387 #* USA Truck, Inc. 66,021 1,099,910 * Versar, Inc. 37,056 143,036 Viad Corp. 188,199 4,337,987 * Vicor Corp. 259,789 2,171,836 #* Virco Manufacturing Corp. 133,476 292,980 U.S. MICRO CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ------------ Industrials -- (Continued) #* Volt Information Sciences, Inc. 188,964 $ 1,507,933 # VSE Corp. 33,676 2,103,740 #* Wabash National Corp. 566,205 7,564,499 * Willdan Group, Inc. 6,636 30,990 * Willis Lease Finance Corp. 76,817 1,548,631 #* Xerium Technologies, Inc. 3,951 53,339 #* XPO Logistics, Inc. 120,984 3,283,506 #* YRC Worldwide, Inc. 5,947 133,391 ------------ Total Industrials 889,610,965 ------------ Information Technology -- (14.7%) #* 3D Systems Corp. 255 12,072 * Actuate Corp. 519,122 2,922,657 #* ADDvantage Technologies Group, Inc. 84,703 284,602 ADTRAN, Inc. 47,463 1,064,595 * Advanced Energy Industries, Inc. 424,603 9,290,314 * Advanced Photonix, Inc. Class A 65,272 35,900 Advent Software, Inc. 11,200 322,784 #* Aehr Test Systems 42,505 108,813 * Aeroflex Holding Corp. 266,049 2,035,275 #* Aetrium, Inc. 261 1,318 * Agilysys, Inc. 176,406 2,212,131 #* Alpha & Omega Semiconductor, Ltd. 74,081 533,383 # American Software, Inc. Class A 222,349 2,143,444 #* Amkor Technology, Inc. 385,318 3,063,278 #* Amtech Systems, Inc. 73,481 628,263 #* ANADIGICS, Inc. 402,444 503,055 * Applied Micro Circuits Corp. 71,328 692,595 #* Astea International, Inc. 11,800 20,532 Astro-Med, Inc. 58,981 741,391 #* Audience, Inc. 5,765 66,298 * Autobytel, Inc. 78,058 971,042 #* AVG Technologies NV 69,717 1,305,799 #* Aviat Networks, Inc. 333,538 503,642 #* Avid Technology, Inc. 199,073 1,503,001 #* Aware, Inc. 140,464 778,171 * Axcelis Technologies, Inc. 914,667 1,637,254 * AXT, Inc. 285,411 616,488 # Badger Meter, Inc. 150,266 7,445,680 * Bazaarvoice, Inc. 24,967 167,778 # Bel Fuse, Inc. Class A 33,988 691,996 Bel Fuse, Inc. Class B 92,406 2,010,755 * Benchmark Electronics, Inc. 15,515 359,638 # Black Box Corp. 143,976 3,060,930 * Blonder Tongue Laboratories 61,201 55,081 #* Blucora, Inc. 403,077 7,759,232 * Bogen Communications International 33,103 34,096 (o) Bogen Corp. 33,103 -- #* Bottomline Technologies de, Inc. 239,784 7,586,766 #* BroadVision, Inc. 16,737 166,031 Brooks Automation, Inc. 460,907 4,715,079 * Bsquare Corp. 86,633 277,226 U.S. MICRO CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Information Technology -- (Continued) * BTU International, Inc. 74,894 $ 219,439 * Cabot Microelectronics Corp. 220,433 9,560,179 #* CalAmp Corp. 397,960 7,063,790 * Calix, Inc. 284,877 2,509,766 * Cascade Microtech, Inc. 104,184 1,112,685 # Cass Information Systems, Inc. 57,671 2,912,962 #* Ceva, Inc. 132,406 2,148,949 * Checkpoint Systems, Inc. 212,963 2,719,538 #* China Information Technology, Inc. 21,602 87,704 #* ChyronHego Corp. 315 753 * CIBER, Inc. 425,483 1,838,087 #* Cinedigm Corp. 698,916 1,747,290 #* Cirrus Logic, Inc. 6,589 146,935 #* Clearfield, Inc. 97,450 1,535,812 #* Coherent, Inc. 5,570 332,585 # Cohu, Inc. 158,816 1,635,805 (o)# Commerce One, LLC 4,800 -- # Communications Systems, Inc. 79,847 965,350 # Computer Task Group, Inc. 178,201 2,817,358 * comScore, Inc. 26,879 842,119 Comtech Telecommunications Corp. 137,502 4,365,688 * Comverse, Inc. 29,262 729,794 Concurrent Computer Corp. 30,451 255,484 * Constant Contact, Inc. 188,357 4,870,912 #* Cray, Inc. 298,165 8,560,317 #* Crexendo, Inc. 104,126 331,121 # CSG Systems International, Inc. 274,028 7,223,378 CSP, Inc. 49,891 378,174 # CTS Corp. 265,469 4,722,694 #* CVD Equipment Corp. 31,867 425,424 #* CyberOptics Corp. 56,931 428,121 Daktronics, Inc. 282,334 3,675,989 * Data I/O Corp. 77,000 200,200 #* Datalink Corp. 125,850 1,615,914 #* Dataram Corp. 4,543 12,175 #* Datawatch Corp. 18,488 250,143 * Dealertrack Technologies, Inc. 5,231 239,004 #* Demand Media, Inc. 205,732 855,845 #* Dice Holdings, Inc. 450,302 3,444,810 * Digi International, Inc. 235,310 2,084,847 # Digimarc Corp. 59,341 1,959,440 * Digital River, Inc. 81,630 1,248,123 * Diodes, Inc. 165,068 4,352,843 #* Document Security Systems, Inc. 4,100 5,207 * Dot Hill Systems Corp. 557,426 2,302,169 * DSP Group, Inc. 236,464 1,882,253 #* DTS, Inc. 171,789 3,196,993 # EarthLink Holdings Corp. 625,929 2,134,418 #* Eastman Kodak Co. 400 11,948 # Ebix, Inc. 244,088 3,851,709 #* Echelon Corp. 177,346 459,326 * Edgewater Technology, Inc. 87,868 622,105 U.S. MICRO CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Information Technology -- (Continued) #* Elecsys Corp. 31,697 $ 429,811 # Electro Rent Corp. 237,405 3,834,091 # Electro Scientific Industries, Inc. 117,051 992,592 # Electro-Sensors, Inc. 3,450 13,610 * Electronics for Imaging, Inc. 378,928 14,319,689 #* Ellie Mae, Inc. 73,163 1,784,446 #* eMagin Corp. 52,807 127,265 #* Emcore Corp. 149,543 722,293 * Emulex Corp. 476,795 3,409,084 * Entegris, Inc. 764,909 8,482,841 #* Entropic Communications, Inc. 544,365 2,008,707 * Envestnet, Inc. 123,001 4,532,587 #* Envivio, Inc. 10,076 26,802 * EPAM Systems, Inc. 4,448 138,466 EPIQ Systems, Inc. 280,862 3,592,225 * ePlus, Inc. 55,397 2,772,066 #* Euronet Worldwide, Inc. 121,975 5,609,630 # Evolving Systems, Inc. 35,800 312,176 #* Exar Corp. 412,401 4,462,179 * ExlService Holdings, Inc. 253,675 7,177,734 * Extreme Networks, Inc. 666,754 3,813,833 * Fabrinet 163,828 3,538,685 * FalconStor Software, Inc. 374,959 569,938 * FARO Technologies, Inc. 129,203 5,155,200 * FormFactor, Inc. 203,197 1,168,383 # Forrester Research, Inc. 255,158 9,040,248 * Frequency Electronics, Inc. 74,860 797,633 #* Giga-tronics, Inc. 27,752 33,302 #* GigOptix, Inc. 17,808 28,315 * Global Cash Access Holdings, Inc. 560,779 3,701,141 # Globalscape, Inc. 10,430 25,762 #* GSE Systems, Inc. 127,249 222,686 * GSI Group, Inc. 88,271 1,071,610 #* GSI Technology, Inc. 126,100 800,735 #* GT Advanced Technologies, Inc. 337,635 5,608,117 * GTT Communications, Inc. 900 10,890 #* Guidance Software, Inc. 27,483 253,118 Hackett Group, Inc. (The) 397,920 2,387,520 #* Harmonic, Inc. 852,548 5,993,412 # Heartland Payment Systems, Inc. 339,474 13,898,066 * Higher One Holdings, Inc. 210,493 1,260,853 #* Hutchinson Technology, Inc. 231,183 642,689 #* ID Systems, Inc. 55,135 310,410 * Identive Group, Inc. 195,156 165,883 #* IEC Electronics Corp. 39,059 173,813 * iGATE Corp. 444,069 16,252,925 * II-VI, Inc. 68,529 986,818 * Ikanos Communications, Inc. 64,641 38,461 #* Imation Corp. 190,372 822,407 #* Immersion Corp. 74,543 845,318 #* Infinera Corp. 832,336 7,457,731 * Innodata, Inc. 217,125 731,711 U.S. MICRO CAP PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Information Technology -- (Continued) * Inphi Corp. 88,825 $ 1,313,722 * Insight Enterprises, Inc. 373,551 9,757,152 * Integrated Device Technology, Inc. 1,086,430 12,678,638 * Integrated Silicon Solution, Inc. 223,348 3,229,612 * Interactive Intelligence Group, Inc. 87,187 5,455,291 # InterDigital, Inc. 26,184 909,108 #* Internap Network Services Corp. 559,685 3,761,083 #* Internet Patents Corp. 12,966 41,621 * Interphase Corp. 29,534 160,960 Intersil Corp. Class A 96,769 1,194,129 #* inTEST Corp. 84,141 347,502 #* Intevac, Inc. 169,582 1,365,135 * IntraLinks Holdings, Inc. 107,364 982,381 * IntriCon Corp. 53,872 356,094 #* Inuvo, Inc. 1,309 1,008 #* iPass, Inc. 366,725 594,094 * Iteris, Inc. 52,380 101,617 #* Itron, Inc. 3,430 130,340 * Ixia 501,523 6,228,916 # IXYS Corp. 310,460 3,349,863 #* Kemet Corp. 234,957 1,177,135 * Key Tronic Corp. 21,206 222,239 #* Kofax, Ltd. 27,836 210,997 #* Kopin Corp. 668,444 2,179,127 * Kulicke & Soffa Industries, Inc. 559,160 8,225,244 #* KVH Industries, Inc. 157,667 2,130,081 * Lantronix, Inc. 45 96 * Lattice Semiconductor Corp. 1,148,075 9,666,791 * LGL Group, Inc. (The) 29,250 143,325 #* Lightpath Technologies, Inc. Class A 8,650 12,629 #* Limelight Networks, Inc. 662,009 1,370,359 * Lionbridge Technologies, Inc. 320,580 1,885,010 * LogMeIn, Inc. 4,631 210,479 #* LoJack Corp. 174,726 990,696 * LTX-Credence Corp. 422,276 4,066,518 #* M/A-COM Technology Solutions Holdings, Inc. 3,445 60,322 * Magnachip Semiconductor Corp. 312,109 4,369,526 * Management Network Group, Inc. 24,412 99,845 * Manhattan Associates, Inc. 797,364 25,140,887 # ManTech International Corp. Class A 42,211 1,259,154 # Marchex, Inc. Class B 148,124 1,370,147 #* Mattersight Corp. 99,108 625,371 * Mattson Technology, Inc. 51,313 102,113 * MaxLinear, Inc. Class A 23,256 183,025 #* Maxwell Technologies, Inc. 154,174 2,321,860 * Measurement Specialties, Inc. 108,342 6,971,808 #* Mediabistro, Inc. 12,821 14,616 #* MeetMe, Inc. 6,965 19,363 * Mercury Systems, Inc. 210,955 2,944,932 # Mesa Laboratories, Inc. 31,800 2,725,260 Methode Electronics, Inc. 439,533 12,192,645 Micrel, Inc. 539,999 5,378,390 U.S. MICRO CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Information Technology -- (Continued) MOCON, Inc. 63,175 $ 1,009,536 #* ModusLink Global Solutions, Inc. 200,546 810,206 * MoneyGram International, Inc. 38,355 506,286 * Monolithic Power Systems, Inc. 264,838 9,825,490 # Monotype Imaging Holdings, Inc. 280,133 7,398,313 * Monster Worldwide, Inc. 550,908 3,795,756 #* MoSys, Inc. 156,341 611,293 * Move, Inc. 363,701 3,887,964 * MRV Communications, Inc. 60,544 727,133 # MTS Systems Corp. 166,467 10,732,127 * Multi-Fineline Electronix, Inc. 172,743 2,138,558 #* Nanometrics, Inc. 176,927 2,876,833 * NAPCO Security Technologies, Inc. 307,597 1,796,366 * NCI, Inc. Class A 49,172 490,245 #* NeoPhotonics Corp. 7,784 44,914 #* NETGEAR, Inc. 46,005 1,485,961 #* Netlist, Inc. 75,583 122,444 * Netscout Systems, Inc. 328,700 12,806,152 * Newport Corp. 335,744 6,271,698 #* Newtek Business Services, Inc. 238,782 659,038 NIC, Inc. 476,066 8,731,050 #* Novatel Wireless, Inc. 192,218 347,915 #* Numerex Corp. Class A 72,177 739,814 #* Oclaro, Inc. 349,960 1,189,864 * OmniVision Technologies, Inc. 451,533 8,818,439 #* Omtool, Ltd. 30,770 77,079 #* Onvia, Inc. 6,308 32,896 * Oplink Communications, Inc. 116,068 1,989,406 # Optical Cable Corp. 55,836 211,618 * OSI Systems, Inc. 114,986 6,417,369 #* Overland Storage, Inc. 8,146 28,430 * PAR Technology Corp. 131,950 637,318 Park Electrochemical Corp. 188,454 5,024,184 #* Parkervision, Inc. 162,757 742,172 PC Connection, Inc. 102,863 2,058,289 PC-Tel, Inc. 183,140 1,510,905 #* PCM, Inc. 115,111 1,199,457 #* PDF Solutions, Inc. 148,438 2,786,181 Pegasystems, Inc. 15,988 264,921 # Perceptron, Inc. 58,089 685,450 * Perficient, Inc. 243,044 4,440,414 * Pericom Semiconductor Corp. 223,214 1,801,337 #* Pfsweb, Inc. 24,219 194,721 #* Photronics, Inc. 436,425 3,788,169 #* Pixelworks, Inc. 20,382 104,560 #* Planar Systems, Inc. 162,065 356,543 * Plexus Corp. 143,673 6,022,772 #* PLX Technology, Inc. 90,891 527,168 * PMC-Sierra, Inc. 304,131 2,080,256 * PRGX Global, Inc. 126,075 810,662 #* Procera Networks, Inc. 30,506 282,486 * Progress Software Corp. 86,515 1,856,612 U.S. MICRO CAP PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Information Technology -- (Continued) * PROS Holdings, Inc. 5,410 $ 148,234 #* Pulse Electronics Corp. 1,330 4,389 QAD, Inc. Class A 126,079 2,401,805 QAD, Inc. Class B 31,205 486,486 * QLogic Corp. 223,286 2,585,652 #* Qualstar Corp. 90,434 136,555 #* Quantum Corp. 197,314 213,099 #* QuickLogic Corp. 22,913 108,378 * QuinStreet, Inc. 48,923 298,430 * Qumu Corp. 85,784 1,153,795 #* Radisys Corp. 200,806 642,579 #* Rambus, Inc. 501,755 6,066,218 #* RealD, Inc. 168,429 1,845,982 #* RealNetworks, Inc. 303,361 2,287,342 #* Reis, Inc. 85,111 1,400,927 * Relm Wireless Corp. 37,546 120,898 #* Remark Media, Inc. 1,102 6,348 #* Research Frontiers, Inc. 6,000 27,300 # RF Industries, Ltd. 56,930 347,842 * RF Micro Devices, Inc. 143,500 1,211,140 # Richardson Electronics, Ltd. 130,504 1,307,650 #* Rofin-Sinar Technologies, Inc. 157,809 3,503,360 * Rogers Corp. 119,131 7,150,243 * Rosetta Stone, Inc. 106,885 1,273,000 * Rubicon Technology, Inc. 107,403 1,087,992 #* Rudolph Technologies, Inc. 272,566 2,483,076 * Saba Software, Inc. 22,758 250,338 * Sanmina Corp. 310,993 6,297,608 * ScanSource, Inc. 234,286 8,998,925 * Seachange International, Inc. 278,047 2,605,300 * Selectica, Inc. 26,569 158,086 * ServiceSource International, Inc. 11,263 70,281 #* Sevcon, Inc. 56,400 614,196 * ShoreTel, Inc. 313,168 2,364,418 * Sigma Designs, Inc. 215,289 811,640 #* Sigmatron International, Inc. 18,200 187,824 #* Silicon Graphics International Corp. 94,627 1,143,094 * Silicon Image, Inc. 575,402 3,228,005 #* Smith Micro Software, Inc. 149,113 247,528 * SMTC Corp. 16,231 24,833 #* Sonic Foundry, Inc. 23,066 236,657 #* Sonus Networks, Inc. 1,960,671 6,411,394 * Spansion, Inc. Class A 320,288 5,710,735 #* Spark Networks, Inc. 8,362 37,880 #* Speed Commerce, Inc. 242,969 801,798 #* Stamps.com, Inc. 103,218 3,582,697 * StarTek, Inc. 131,000 910,450 #* SunEdison, Inc. 1,431,312 27,524,130 #* SunPower Corp. 24,615 822,633 #* Super Micro Computer, Inc. 285,572 5,814,246 #* support.com, Inc. 313,284 773,811 * Sykes Enterprises, Inc. 292,911 5,796,709 U.S. MICRO CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ------------ Information Technology -- (Continued) #* Synaptics, Inc. 99,153 $ 6,162,359 #* Synchronoss Technologies, Inc. 129,082 3,929,256 #* Technical Communications Corp. 7,300 43,143 #* TeleCommunication Systems, Inc. Class A 348,122 887,711 * Telenav, Inc. 137,634 843,696 * TeleTech Holdings, Inc. 126,513 3,052,759 # Tessco Technologies, Inc. 64,382 2,117,524 Tessera Technologies, Inc. 408,021 8,947,901 TheStreet, Inc. 233,363 599,743 # Transact Technologies, Inc. 90,009 962,196 #* Travelzoo, Inc. 38,032 682,294 * Trio Tech International 3,392 10,668 #* TriQuint Semiconductor, Inc. 757,922 10,747,334 * TSR, Inc. 60,552 183,473 #* TTM Technologies, Inc. 248,913 1,963,924 #* Tyler Technologies, Inc. 200,480 16,369,192 #* Ultra Clean Holdings, Inc. 137,203 1,168,970 #* Ultratech, Inc. 231,677 6,167,242 #* Unisys Corp. 458,158 11,165,310 United Online, Inc. 126,670 1,501,039 #* Universal Display Corp. 4,733 123,295 #* Unwired Planet, Inc. 137,239 312,905 #* USA Technologies, Inc. 7,207 14,558 #* UTStarcom Holdings Corp. 51,647 159,589 #* Veeco Instruments, Inc. 29,532 1,091,798 #* Viasystems Group, Inc. 150,028 1,803,337 * Vicon Industries, Inc. 45,650 133,298 * Video Display Corp. 85,637 297,160 #* Virtusa Corp. 234,601 7,734,795 #* Vishay Precision Group, Inc. 107,071 1,737,762 #* Vocus, Inc. 22,742 408,901 #* Vringo, Inc. 65,154 266,480 Wayside Technology Group, Inc. 30,941 500,007 * Web.com Group, Inc. 130,398 4,004,523 #* WebMD Health Corp. 26,040 1,148,104 #* Westell Technologies, Inc. Class A 434,491 1,416,441 #* Wireless Telecom Group, Inc. 225,386 534,165 * XO Group, Inc. 204,725 2,174,179 #* Zhone Technologies, Inc. 74,478 206,304 #* Zix Corp. 375,767 1,232,516 * Zygo Corp. 155,178 2,985,625 ------------ Total Information Technology 841,276,404 ------------ Materials -- (5.0%) A Schulman, Inc. 284,712 10,226,855 * AEP Industries, Inc. 60,994 2,172,606 #* AK Steel Holding Corp. 116,134 812,938 #* AM Castle & Co. 140,254 1,722,319 AMCOL International Corp. 270,805 12,416,409 * American Biltrite, Inc. 868 364,560 # American Vanguard Corp. 229,229 4,082,568 # Ampco-Pittsburgh Corp. 85,409 1,710,742 U.S. MICRO CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Materials -- (Continued) #* Arabian American Development Co. 108,773 $ 1,188,889 Balchem Corp. 156,477 9,693,750 * Boise Cascade Co. 23,064 577,061 * Calgon Carbon Corp. 504,688 10,108,901 #* Century Aluminum Co. 471,800 6,487,250 # Chase Corp. 76,372 2,378,224 * Clearwater Paper Corp. 188,063 11,545,188 #* Codexis, Inc. 46,517 79,079 #* Coeur Mining, Inc. 15,429 133,615 #* Contango ORE, Inc. 1,592 18,945 * Continental Materials Corp. 14,518 268,656 #* Core Molding Technologies, Inc. 59,433 713,790 # Deltic Timber Corp. 75,765 4,602,724 # Detrex Corp. 10,200 346,800 #* Ferro Corp. 350,663 4,551,606 Flamemaster Corp. 189 2,107 #* Flotek Industries, Inc. 458,236 12,835,190 Friedman Industries, Inc. 60,300 517,374 # FutureFuel Corp. 173,086 3,473,836 #* General Moly, Inc. 418,681 460,549 Globe Specialty Metals, Inc. 216,483 4,195,441 #* Golden Minerals Co. 64,771 45,340 # Hawkins, Inc. 101,706 3,681,757 # Haynes International, Inc. 82,737 4,389,198 * Headwaters, Inc. 363,871 4,541,110 #* Horsehead Holding Corp. 271,138 4,227,041 Innophos Holdings, Inc. 163,127 9,206,888 Innospec, Inc. 176,716 7,609,391 # Kaiser Aluminum Corp. 112,530 7,922,112 * KapStone Paper and Packaging Corp. 640,153 16,887,236 # KMG Chemicals, Inc. 59,564 929,794 Koppers Holdings, Inc. 160,122 6,837,209 * Kraton Performance Polymers, Inc. 175,021 4,559,297 #* Landec Corp. 252,517 2,994,852 #* LSB Industries, Inc. 164,452 6,280,422 Materion Corp. 126,397 4,253,259 #* McEwen Mining, Inc. 249,572 598,973 #* Mercer International, Inc. 222,551 1,842,722 #* Mines Management, Inc. 33,421 42,445 Myers Industries, Inc. 295,298 5,522,073 Neenah Paper, Inc. 118,761 5,981,992 Noranda Aluminum Holding Corp. 189,386 672,320 * Northern Technologies International Corp. 38,414 812,456 # Olympic Steel, Inc. 78,436 2,067,573 # OM Group, Inc. 155,757 4,562,122 #* OMNOVA Solutions, Inc. 259,957 2,370,808 #* Penford Corp. 111,720 1,407,672 PH Glatfelter Co. 390,769 9,972,425 # Quaker Chemical Corp. 108,491 8,074,985 * Resolute Forest Products, Inc. 4,200 74,928 #* RevettMining Co., Inc. 2,968 2,434 * RTI International Metals, Inc. 207,357 5,839,173 U.S. MICRO CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ------------ Materials -- (Continued) # Schnitzer Steel Industries, Inc. Class A 91,996 $ 2,582,328 Schweitzer-Mauduit International, Inc. 34,666 1,512,824 #* Senomyx, Inc. 241,135 1,974,896 #* Solitario Exploration & Royalty Corp. 2,939 3,115 Stepan Co. 164,813 9,531,136 #* Stillwater Mining Co. 31,090 490,600 * SunCoke Energy, Inc. 8,040 167,795 # Synalloy Corp. 57,753 895,171 #* Texas Industries, Inc. 33,475 2,902,282 Tredegar Corp. 327,679 6,819,000 * UFP Technologies, Inc. 11,800 299,248 # United States Lime & Minerals, Inc. 61,245 3,310,905 #* Universal Stainless & Alloy Products, Inc. 54,274 1,947,894 # US Silica Holdings, Inc. 2,439 110,170 #* Verso Paper Corp. 6,475 17,612 Vulcan International Corp. 8,251 343,242 # Wausau Paper Corp. 508,218 6,078,287 * Webco Industries, Inc. 3,750 393,750 # Zep, Inc. 127,813 2,209,887 ------------ Total Materials 283,488,121 ------------ Other -- (0.0%) (o)* Allen Organ Co. Escrow Shares 4,700 -- (o) Big 4 Ranch, Inc. 35,000 -- (o)* Brooklyn Federal Bancorp, Inc. Escrow Shares 37,150 -- (o)* Concord Camera Corp. Escrow Shares 49,560 -- (o)* DLB Oil & Gas, Inc. Escrow Shares 7,600 -- (o)* EquiMed, Inc 132 -- (o)* First Commerce Bancorp Escrow Shares 50,014 -- (o)* FRD Acquisition Co. Escrow Shares 294,513 -- (o)#* Gerber Scientific, Inc. Escrow Shares 214,642 -- (o)* Petrocorp, Inc. Escrow Shares 37,100 -- ------------ Total Other -- ------------ Telecommunication Services -- (1.0%) #* 8x8, Inc. 34,948 338,996 #* Alaska Communications Systems Group, Inc. 38,055 71,924 # Alteva 35,460 214,533 Atlantic Tele-Network, Inc. 90,410 5,349,560 #* Boingo Wireless, Inc. 23,503 155,120 * Cbeyond, Inc. 163,307 1,615,106 * Cincinnati Bell, Inc. 901,983 3,021,643 # Consolidated Communications Holdings, Inc. 262,510 5,229,199 #* General Communication, Inc. Class A 450,409 4,702,270 #* Hawaiian Telcom Holdco, Inc. 6,759 179,924 # HC2 Holdings, Inc. 87,300 343,089 # HickoryTech Corp. 135,774 1,611,637 IDT Corp. Class B 201,550 3,192,552 Inteliquent, Inc. 295,615 4,032,189 #* Iridium Communications, Inc. 286,734 1,912,516 * LICT Corp. 1 2,021 # Lumos Networks Corp. 127,816 1,688,449 U.S. MICRO CAP PORTFOLIO CONTINUED SHARES VALUE+ --------- -------------- Telecommunication Services -- (Continued) # NTELOS Holdings Corp. 91,497 $ 1,261,744 #* ORBCOMM, Inc. 241,599 1,514,826 #* Premiere Global Services, Inc. 603,877 7,681,315 # Shenandoah Telecommunications Co. 95,287 2,670,895 #* Straight Path Communications, Inc. Class B 89,547 626,829 USA Mobility, Inc. 127,525 2,184,503 * Vonage Holdings Corp. 1,329,911 5,106,858 -------------- Total Telecommunication Services 54,707,698 -------------- Utilities -- (1.4%) # American States Water Co. 357,090 10,841,252 # Artesian Resources Corp. Class A 21,573 475,037 #* Cadiz, Inc. 5,888 37,860 California Water Service Group 381,833 8,591,242 Chesapeake Utilities Corp. 78,992 4,997,034 # Connecticut Water Service, Inc. 83,481 2,713,132 # Consolidated Water Co., Ltd. 35,087 407,711 # Delta Natural Gas Co., Inc. 40,000 762,800 El Paso Electric Co. 14,896 563,367 Empire District Electric Co. (The) 348,823 8,483,375 # Gas Natural, Inc. 23,382 254,864 * Genie Energy, Ltd. Class B 200,893 1,627,233 Laclede Group, Inc. (The) 156,635 7,426,065 # MGE Energy, Inc. 290,655 11,108,834 # Middlesex Water Co. 113,157 2,300,482 # Northwest Natural Gas Co. 65,744 2,910,487 # Ormat Technologies, Inc. 49,789 1,328,371 # Otter Tail Corp. 253,809 7,436,604 RGC Resources, Inc. 9,396 179,464 # SJW Corp. 176,960 4,818,621 # Unitil Corp. 92,471 3,070,037 # York Water Co. 68,182 1,364,322 -------------- Total Utilities 81,698,194 -------------- TOTAL COMMON STOCKS 4,771,050,960 -------------- PREFERRED STOCKS -- (0.0%) Other -- (0.0%) (o)* Enron TOPRS Escrow Shares 37,101 -- -------------- RIGHTS/WARRANTS -- (0.0%) (o)* Capital Bank Corp. Contingent Value Rights 12,543 -- (o)#* Dynegy, Inc. Warrants 10/02/17 23,626 51,977 (o)* Leap Wireless International, Inc. Contingent Value Rights 104,000 262,080 (o)* LGL Group, Inc. (The) Warrants 08/06/18 146,250 8,775 (o)#* Magnum Hunter Resources Corp. Warrants 04/15/16 82,112 -- (o)#* PhotoMedex, Inc. Contingent Value Warrants 12/13/14 957 -- (o)* Tejon Ranch Co. Warrants 08/31/16 10,231 34,786 (o)* U.S. Concrete, Inc. Warrants Class A 08/31/17 9,505 57,505 U.S. MICRO CAP PORTFOLIO CONTINUED SHARES VALUE+ ---------- -------------- (o)* U.S. Concrete, Inc. Warrants Class B 08/31/17 6,954 $ 27,816 -------------- TOTAL RIGHTS/WARRANTS 442,939 -------------- TEMPORARY CASH INVESTMENTS -- (0.2%) State Street Institutional Liquid Reserves, 0.074% 13,684,516 13,684,516 -------------- SHARES/ FACE AMOUNT (000) ---------- SECURITIES LENDING COLLATERAL -- (16.4%) (S)@ DFA Short Term Investment Fund 80,788,021 934,717,403 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $4,074,714,677) $5,719,895,818 ============== U.S. MICRO CAP PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, 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 $ 843,342,070 $ 3,726 -- $ 843,345,796 Consumer Staples 200,536,571 -- -- 200,536,571 Energy 296,876,384 -- -- 296,876,384 Financials 817,859,351 40,216 -- 817,899,567 Health Care 461,416,467 194,793 -- 461,611,260 Industrials 889,606,810 4,155 -- 889,610,965 Information Technology 841,276,404 -- -- 841,276,404 Materials 283,488,121 -- -- 283,488,121 Other -- -- -- -- Telecommunication Services 54,707,698 -- -- 54,707,698 Utilities 81,698,194 -- -- 81,698,194 Preferred Stocks Other -- -- -- -- Rights/Warrants -- 442,939 -- 442,939 Temporary Cash Investments 13,684,516 -- -- 13,684,516 Securities Lending Collateral -- 934,717,403 -- 934,717,403 -------------- ------------ -- -------------- TOTAL $4,784,492,586 $935,403,232 -- $5,719,895,818 ============== ============ == ============== DFA REAL ESTATE SECURITIES PORTFOLIO SCHEDULE OF INVESTMENTS APRIL 30, 2014 (UNAUDITED) SHARES VALUE+ --------- ------------ COMMON STOCKS -- (90.4%) Real Estate Investment Trusts -- (90.4%) # Acadia Realty Trust 580,580 $ 15,751,135 # Agree Realty Corp. 114,650 3,424,595 # Alexander's, Inc. 48,381 16,728,215 Alexandria Real Estate Equities, Inc. 752,209 55,528,068 # American Assets Trust, Inc. 106,284 3,608,342 American Campus Communities, Inc. 1,102,469 42,114,316 # American Realty Capital Properties, Inc. 2,343,374 30,674,766 Apartment Investment & Management Co. Class A 1,543,197 47,576,763 # Ashford Hospitality Prime, Inc. 149,219 2,289,019 Ashford Hospitality Trust, Inc. 798,868 8,196,386 # Associated Estates Realty Corp. 540,218 9,064,858 AvalonBay Communities, Inc. 1,289,209 176,041,489 BioMed Realty Trust, Inc. 2,007,467 41,956,060 Boston Properties, Inc. 1,593,847 186,703,238 # Brandywine Realty Trust 1,639,566 23,855,685 Camden Property Trust 899,150 61,582,783 # Campus Crest Communities, Inc. 603,159 5,193,199 # CBL & Associates Properties, Inc. 1,712,564 31,117,288 # Cedar Realty Trust, Inc. 598,629 3,705,514 # Chatham Lodging Trust 43,035 874,902 Chesapeake Lodging Trust 199,225 5,377,083 # CommonWealth REIT 856,678 21,768,188 # Corporate Office Properties Trust 909,510 24,329,392 Cousins Properties, Inc. 1,693,154 19,691,381 # CubeSmart 1,390,743 25,867,820 DCT Industrial Trust, Inc. 3,434,704 26,859,385 # DDR Corp. 3,171,416 54,453,213 DiamondRock Hospitality Co. 2,048,505 25,135,156 # Digital Realty Trust, Inc. 1,335,363 71,308,384 Douglas Emmett, Inc. 1,411,552 38,958,835 Duke Realty Corp. 3,429,756 60,089,325 # DuPont Fabros Technology, Inc. 690,548 16,731,978 # EastGroup Properties, Inc. 317,164 20,060,623 Education Realty Trust, Inc. 1,208,288 12,324,538 # EPR Properties 539,553 28,925,436 Equity Lifestyle Properties, Inc. 825,232 34,552,464 Equity One, Inc. 679,835 15,316,683 Equity Residential 3,570,728 212,244,072 # Essex Property Trust, Inc. 623,473 108,022,932 # Excel Trust, Inc. 323,423 4,081,598 Extra Space Storage, Inc. 1,144,911 59,913,193 # Federal Realty Investment Trust 698,327 82,081,356 # FelCor Lodging Trust, Inc. 1,165,240 10,755,165 # First Industrial Realty Trust, Inc. 1,090,956 20,040,862 # First Potomac Realty Trust 577,108 7,519,717 # Franklin Street Properties Corp. 799,269 9,735,096 # Gaming and Leisure Properties, Inc. 658,531 24,201,014 # General Growth Properties, Inc. 5,007,143 115,014,075 # Getty Realty Corp. 185,937 3,517,928 # Gladstone Commercial Corp. 48,500 855,540 # Glimcher Realty Trust 1,515,087 15,438,737 DFA REAL ESTATE SECURITIES PORTFOLIO CONTINUED SHARES VALUE+ --------- ------------ Real Estate Investment Trusts -- (Continued) # Government Properties Income Trust 566,971 $ 14,429,412 HCP, Inc. 4,900,540 205,136,604 Health Care REIT, Inc. 3,036,531 191,574,741 Healthcare Realty Trust, Inc. 997,791 25,094,444 # Healthcare Trust of America, Inc. Class A 162,856 1,903,787 Hersha Hospitality Trust 1,896,119 11,016,451 # Highwoods Properties, Inc. 948,863 38,286,622 # HMG Courtland Properties 2,500 42,200 # Home Properties, Inc. 592,941 36,525,166 Hospitality Properties Trust 1,567,938 47,116,537 Host Hotels & Resorts, Inc. 8,001,851 171,639,704 Hudson Pacific Properties, Inc. 198,756 4,680,704 # Inland Real Estate Corp. 942,078 9,844,715 Investors Real Estate Trust 570,879 4,978,065 # Kilroy Realty Corp. 856,391 51,015,212 # Kimco Realty Corp. 4,266,286 97,783,275 Kite Realty Group Trust 1,041,141 6,455,074 LaSalle Hotel Properties 1,085,950 35,923,226 Lexington Realty Trust 2,151,473 23,149,849 Liberty Property Trust 1,534,176 57,531,600 # LTC Properties, Inc. 311,657 12,039,310 # Macerich Co. (The) 1,466,758 95,207,262 Mack-Cali Realty Corp. 876,585 17,856,036 # Medical Properties Trust, Inc. 1,743,559 23,538,046 # Mid-America Apartment Communities, Inc. 771,284 53,719,931 Monmouth Real Estate Investment Corp. Class A 313,254 2,941,455 # National Health Investors, Inc. 191,086 11,788,095 # National Retail Properties, Inc. 1,280,917 43,717,697 # Omega Healthcare Investors, Inc. 1,298,132 45,149,031 One Liberty Properties, Inc. 109,478 2,422,748 Parkway Properties, Inc. 482,993 9,109,248 # Pebblebrook Hotel Trust 273,275 9,411,591 Pennsylvania REIT 722,834 11,962,903 # Piedmont Office Realty Trust, Inc. Class A 1,644,951 28,967,587 Post Properties, Inc. 560,041 28,119,659 Prologis, Inc. 5,219,304 212,060,322 PS Business Parks, Inc. 198,668 17,039,754 Public Storage 1,516,772 266,208,654 Ramco-Gershenson Properties Trust 624,361 10,289,469 # Realty Income Corp. 2,287,827 99,406,083 # Regency Centers Corp. 962,678 50,473,208 # Retail Opportunity Investments Corp. 552,684 8,643,978 # Retail Properties of America, Inc. Class A 1,050,393 15,041,628 RLJ Lodging Trust 753,355 20,091,978 * Roberts Realty Investors, Inc. 47,739 41,056 # Rouse Properties, Inc. 168,193 2,823,960 # Ryman Hospitality Properties, Inc. 428,216 19,505,239 # Sabra Health Care REIT, Inc. 405,252 12,145,402 # Saul Centers, Inc. 141,146 6,477,190 Select Income REIT 17,141 527,600 Senior Housing Properties Trust 1,963,761 46,089,471 Simon Property Group, Inc. 3,160,039 547,318,755 DFA REAL ESTATE SECURITIES PORTFOLIO CONTINUED SHARES VALUE+ ---------- -------------- Real Estate Investment Trusts -- (Continued) # SL Green Realty Corp. 990,296 $ 103,693,894 # Sotherly Hotels, Inc. 78,466 550,831 Sovran Self Storage, Inc. 330,191 25,061,497 Spirit Realty Capital, Inc. 446,642 4,810,334 # STAG Industrial, Inc. 14,991 352,738 #* Strategic Hotels & Resorts, Inc. 1,704,878 18,395,634 # Summit Hotel Properties, Inc. 412,550 3,737,703 # Sun Communities, Inc. 342,107 15,589,816 Sunstone Hotel Investors, Inc. 1,933,826 27,673,050 * Supertel Hospitality, Inc. 15,000 26,250 # Tanger Factory Outlet Centers, Inc. 995,423 35,516,693 Taubman Centers, Inc. 660,158 48,085,909 UDR, Inc. 2,621,647 67,795,791 # UMH Properties, Inc. 118,353 1,165,777 Universal Health Realty Income Trust 112,306 4,765,144 # Urstadt Biddle Properties, Inc. 76,760 1,346,370 # Urstadt Biddle Properties, Inc. Class A 195,546 3,991,094 Ventas, Inc. 3,063,137 202,412,093 Vornado Realty Trust 1,757,940 180,364,644 # Washington REIT 694,961 16,998,746 # Weingarten Realty Investors 1,209,563 37,738,366 # Whitestone REIT 55,681 781,204 Winthrop Realty Trust 295,809 4,111,745 # WP Carey, Inc. 222,605 13,685,755 -------------- TOTAL COMMON STOCKS 5,524,070,602 -------------- TEMPORARY CASH INVESTMENTS -- (0.5%) State Street Institutional Liquid Reserves, 0.074% 29,680,720 29,680,720 -------------- SHARES/ FACE AMOUNT (000) ---------- SECURITIES LENDING COLLATERAL -- (9.1%) (S)@ DFA Short Term Investment Fund 48,147,372 557,065,090 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $4,448,507,178) $6,110,816,412 ============== DFA REAL ESTATE SECURITIES PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, 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 Investment Trusts $5,524,070,602 -- -- $5,524,070,602 Temporary Cash Investments 29,680,720 -- -- 29,680,720 Securities Lending Collateral -- $557,065,090 -- 557,065,090 -------------- ------------ -- -------------- TOTAL $5,553,751,322 $557,065,090 -- $6,110,816,412 ============== ============ == ============== LARGE CAP INTERNATIONAL PORTFOLIO SCHEDULE OF INVESTMENTS APRIL 30, 2014 (UNAUDITED) SHARES VALUE++ ------- ----------- COMMON STOCKS -- (87.1%) AUSTRALIA -- (6.0%) Adelaide Brighton, Ltd. 115,791 $ 422,060 AGL Energy, Ltd. 84,371 1,238,564 # ALS, Ltd. 112,885 789,518 * Alumina, Ltd. 539,758 678,014 Amcor, Ltd. 215,725 2,070,305 Amcor, Ltd. Sponsored ADR 1,068 41,022 AMP, Ltd. 711,898 3,350,304 # Ansell, Ltd. 28,035 472,139 # APA Group 163,922 1,016,043 #* Aquarius Platinum, Ltd. 71,827 25,741 #* Aquila Resources, Ltd. 15,814 36,889 Aristocrat Leisure, Ltd. 72,046 338,009 Asciano, Ltd. 234,440 1,183,074 ASX, Ltd. 42,112 1,393,569 # Atlas Iron, Ltd. 180,615 153,184 Aurizon Holdings, Ltd. 279,533 1,349,647 Australia & New Zealand Banking Group, Ltd. 498,606 16,034,058 Australian Infrastructure Fund, Ltd. 15,128 63 Bank of Queensland, Ltd. 91,154 1,042,121 Beach Energy, Ltd. 143,697 229,967 Bendigo and Adelaide Bank, Ltd. 106,052 1,136,625 BHP Billiton, Ltd. 485,719 17,105,369 # BHP Billiton, Ltd. Sponsored ADR 65,589 4,626,648 * BlueScope Steel, Ltd. 142,412 860,993 #* Boart Longyear, Ltd. 68,717 18,279 Boral, Ltd. 212,927 1,130,040 Brambles, Ltd. 310,591 2,731,111 Caltex Australia, Ltd. 34,651 719,298 carsales.com, Ltd. 29,538 299,137 Challenger, Ltd. 79,173 520,902 Coca-Cola Amatil, Ltd. 108,337 935,245 # Cochlear, Ltd. 10,877 594,570 Commonwealth Bank of Australia 300,939 22,137,341 # Computershare, Ltd. 89,091 1,026,926 Crown Resorts, Ltd. 72,744 1,088,522 CSL, Ltd. 94,873 6,048,183 # David Jones, Ltd. 24,134 88,411 Downer EDI, Ltd. 33,901 158,260 # DUET Group 237,006 478,590 Echo Entertainment Group, Ltd. 175,552 461,735 Fairfax Media, Ltd. 420,361 384,073 # Flight Centre Travel Group, Ltd. 13,937 698,999 # Fortescue Metals Group, Ltd. 320,733 1,517,046 GrainCorp, Ltd. Class A 49,956 412,010 # Harvey Norman Holdings, Ltd. 136,776 418,596 # Iluka Resources, Ltd. 101,138 840,235 Incitec Pivot, Ltd. 346,614 930,405 Insurance Australia Group, Ltd. 651,993 3,484,744 James Hardie Industries P.L.C. 77,447 994,280 James Hardie Industries P.L.C. Sponsored ADR 500 32,070 # JB Hi-Fi, Ltd. 7,970 143,221 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED SHARES VALUE++ ------- ----------- AUSTRALIA -- (Continued) # Leighton Holdings, Ltd. 32,923 $ 585,443 Lend Lease Group 127,069 1,535,755 Macquarie Group, Ltd. 66,344 3,574,364 # Metcash, Ltd. 151,507 391,391 Mineral Resources, Ltd. 17,001 184,591 # Monadelphous Group, Ltd. 14,061 229,254 National Australia Bank, Ltd. 421,443 13,877,011 # New Hope Corp., Ltd. 25,495 74,098 * Newcrest Mining, Ltd. 175,045 1,707,245 Oil Search, Ltd. 184,832 1,531,336 Orica, Ltd. 84,942 1,733,539 Origin Energy, Ltd. 246,628 3,426,130 Orora, Ltd. 215,725 279,719 OZ Minerals, Ltd. 90,750 312,320 PanAust, Ltd. 76,201 114,594 Platinum Asset Management, Ltd. 18,543 113,921 Primary Health Care, Ltd. 136,072 594,734 #* Qantas Airways, Ltd. 257,003 292,350 QBE Insurance Group, Ltd. 270,962 2,924,394 Ramsay Health Care, Ltd. 24,094 1,006,743 REA Group, Ltd. 12,767 556,801 * Recall Holdings, Ltd. 56,599 239,123 Reece Australia, Ltd. 7,839 222,075 # Regis Resources, Ltd. 78,025 176,944 Rio Tinto, Ltd. 87,850 5,066,237 Santos, Ltd. 255,764 3,279,242 Seek, Ltd. 55,981 876,764 Seven Group Holdings, Ltd. 18,118 138,784 Seven West Media, Ltd. 115,125 200,035 * Sims Metal Management, Ltd. 40,715 372,367 Sonic Healthcare, Ltd. 65,650 1,082,908 # SP AusNet 226,926 295,720 Spark Infrastructure Group 197,592 324,701 Suncorp Group, Ltd. 292,246 3,549,089 Super Retail Group, Ltd. 23,773 225,019 # Sydney Airport 192,507 756,452 Tabcorp Holdings, Ltd. 263,708 913,922 Tatts Group, Ltd. 366,851 1,031,796 # Telstra Corp., Ltd. 831,064 4,040,721 Toll Holdings, Ltd. 189,262 933,553 TPG Telecom, Ltd. 56,141 311,304 Transurban Group 237,312 1,602,765 Treasury Wine Estates, Ltd. 149,076 530,909 # UGL, Ltd. 27,924 175,615 # Washington H Soul Pattinson & Co., Ltd. 13,478 185,629 Wesfarmers, Ltd. 205,089 8,162,341 Westpac Banking Corp. 485,651 15,907,261 # Westpac Banking Corp. Sponsored ADR 86,981 2,843,409 #* Whitehaven Coal, Ltd. 44,805 61,056 # Woodside Petroleum, Ltd. 137,083 5,210,678 Woolworths, Ltd. 239,115 8,309,717 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED SHARES VALUE++ ------- ------------ AUSTRALIA -- (Continued) WorleyParsons, Ltd. 56,232 $ 881,805 ------------ TOTAL AUSTRALIA 206,839,829 ------------ AUSTRIA -- (0.3%) Andritz AG 12,287 763,258 * BUWOG AG 7,724 141,825 Erste Group Bank AG 58,876 1,979,667 EVN AG 626 8,724 IMMOFINANZ AG 154,486 573,695 OMV AG 61,561 2,878,249 Raiffeisen Bank International AG 26,917 850,861 Strabag SE 3,236 90,458 Telekom Austria AG 40,443 401,360 # Telekom Austria AG ADR 2,400 47,256 # Verbund AG 10,202 197,802 Vienna Insurance Group AG Wiener Versicherung Gruppe 6,221 332,712 Voestalpine AG 26,623 1,216,122 ------------ TOTAL AUSTRIA 9,481,989 ------------ BELGIUM -- (1.0%) Ackermans & van Haaren NV 220 28,449 Ageas 55,738 2,398,708 Anheuser-Busch InBev NV 129,307 14,093,925 Anheuser-Busch InBev NV Sponsored ADR 26,194 2,771,849 # Belgacom SA 56,091 1,716,807 Colruyt SA 14,358 811,881 Delhaize Group SA 13,452 1,001,680 Delhaize Group SA Sponsored ADR 49,084 916,889 KBC Groep NV 66,262 4,043,497 Mobistar SA 3,728 72,751 Solvay SA 19,409 3,145,326 Telenet Group Holding NV 9,265 543,355 # UCB SA 24,455 2,005,960 # Umicore SA 29,230 1,432,816 ------------ TOTAL BELGIUM 34,983,893 ------------ CANADA -- (8.1%) Agnico Eagle Mines, Ltd.(008474108) 8,852 261,665 Agnico Eagle Mines, Ltd.(2009823) 29,005 856,614 Agrium, Inc.(008916108) 5,503 528,673 Agrium, Inc.(2213538) 25,300 2,429,936 Aimia, Inc. 36,747 591,747 Alamos Gold, Inc. 18,300 171,137 Alimentation Couche Tard, Inc. Class B 74,550 2,101,044 # AltaGas, Ltd. 22,210 946,314 * Alvopetro Energy, Ltd. 2,609 2,261 # ARC Resources, Ltd. 64,885 1,925,150 Atco, Ltd. Class I 12,104 590,927 * Athabasca Oil Corp. 50,600 375,789 # AuRico Gold, Inc. 69,992 291,194 Bank of Montreal(063671101) 29,657 2,044,554 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED SHARES VALUE++ ------- ----------- CANADA -- (Continued) # Bank of Montreal(2076009) 103,390 $ 7,126,604 Bank of Nova Scotia(064149107) 32,463 1,973,101 Bank of Nova Scotia(2076281) 196,436 11,936,169 Barrick Gold Corp.(067901108) 46,703 815,901 Barrick Gold Corp.(2024644) 222,396 3,881,607 # Baytex Energy Corp. 26,653 1,109,356 BCE, Inc.(05534B760) 5,004 222,878 # BCE, Inc.(B188TH2) 41,373 1,842,071 # Bell Aliant, Inc. 14,509 357,413 #* BlackBerry, Ltd.(09228F103) 27,932 213,959 #* BlackBerry, Ltd.(BCBHZ31) 88,001 672,021 # Bombardier, Inc. Class A 15,935 64,260 # Bombardier, Inc. Class B 287,800 1,157,975 # Bonavista Energy Corp. 40,759 640,363 Brookfield Asset Management, Inc. Class A 93,495 3,924,734 * Brookfield Residential Properties, Inc. 5,760 112,954 CAE, Inc. 77,338 1,021,013 Cameco Corp.(13321L108) 11,225 238,980 Cameco Corp.(2166160) 74,660 1,589,177 Canadian Imperial Bank of Commerce(136069101) 9,630 859,477 # Canadian Imperial Bank of Commerce(2170525) 68,338 6,092,778 Canadian National Railway Co.(136375102) 18,831 1,102,932 Canadian National Railway Co.(2180632) 146,060 8,555,314 Canadian Natural Resources, Ltd.(136385101) 30,916 1,260,445 Canadian Natural Resources, Ltd.(2171573) 201,409 8,206,675 Canadian Oil Sands, Ltd. 130,112 2,820,548 Canadian Pacific Railway, Ltd.(2793115) 31,800 4,965,332 Canadian Pacific Railway, Ltd.(13645T100) 2,081 324,574 Canadian Tire Corp., Ltd. Class A 24,499 2,406,202 Canadian Utilities, Ltd. Class A 18,040 666,429 Canadian Western Bank 20,014 678,181 * Canfor Corp. 17,600 399,193 # Capital Power Corp. 5,746 129,069 * Catamaran Corp 16,416 619,704 * Catamaran Corp. 23,600 896,587 CCL Industries, Inc. Class B 2,000 181,853 Cenovus Energy, Inc.(15135U109) 23,353 695,219 Cenovus Energy, Inc.(B57FG04) 118,282 3,523,477 Centerra Gold, Inc. 25,000 128,188 * CGI Group, Inc. Class A(39945C109) 18,371 662,642 #* CGI Group, Inc. Class A(2159740) 32,000 1,153,816 CI Financial Corp. 29,605 961,578 # Cineplex, Inc. 2,533 95,468 Cogeco Cable, Inc. 1,900 104,010 Constellation Software, Inc. 2,700 597,988 # Corus Entertainment, Inc. Class B 6,346 142,547 # Crescent Point Energy Corp. 75,017 3,051,875 Dollarama, Inc. 10,900 906,568 E-L Financial Corp., Ltd. 157 105,487 Eldorado Gold Corp.(284902103) 27,183 165,816 Eldorado Gold Corp.(2307873) 124,500 758,779 # Emera, Inc. 4,347 134,449 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- CANADA -- (Continued) Empire Co., Ltd. 14,070 $ 889,990 # Enbridge, Inc.(2466149) 119,907 5,786,124 Enbridge, Inc.(29250N105) 6,731 325,040 Encana Corp.(292505104) 38,694 898,088 Encana Corp.(2793193) 100,752 2,333,920 # Enerplus Corp.(B584T89) 40,566 899,739 Enerplus Corp.(292766102) 13,912 308,985 Ensign Energy Services, Inc. 34,131 537,165 Fairfax Financial Holdings, Ltd. 4,456 1,942,906 Finning International, Inc. 45,000 1,215,273 First Capital Realty, Inc. 15,250 249,749 * First Majestic Silver Corp. 14,200 134,738 # First Quantum Minerals, Ltd. 139,981 2,787,994 # Fortis, Inc. 29,107 855,112 # Franco-Nevada Corp. 13,725 661,550 # Genworth MI Canada, Inc. 9,000 315,725 George Weston, Ltd. 16,553 1,247,157 Gibson Energy, Inc. 28,033 748,365 Gildan Activewear, Inc.(375916103) 3,000 153,450 Gildan Activewear, Inc.(2254645) 18,100 925,271 Goldcorp, Inc.(380956409) 22,904 566,187 Goldcorp, Inc.(2676302) 145,746 3,599,602 Great-West Lifeco, Inc. 54,000 1,519,420 # Husky Energy, Inc. 69,728 2,278,780 IAMGOLD Corp.(450913108) 18,510 64,600 IAMGOLD Corp.(2446646) 78,400 273,243 # IGM Financial, Inc. 21,900 1,090,754 Imperial Oil, Ltd.(453038408) 9,400 458,720 Imperial Oil, Ltd.(2454241) 48,227 2,354,919 Industrial Alliance Insurance & Financial Services, Inc. 25,869 1,067,992 Intact Financial Corp. 26,700 1,753,204 Inter Pipeline, Ltd. 4,600 125,067 Jean Coutu Group PJC, Inc. (The) Class A 16,500 332,544 * Katanga Mining, Ltd. 8,600 3,649 * Kelt Exploration, Ltd. 6,850 86,059 # Keyera Corp. 13,100 871,301 Kinross Gold Corp.(496902404) 22,897 92,962 Kinross Gold Corp.(B03Z841) 304,213 1,235,115 # Lightstream Resources, Ltd. 21,001 126,268 Linamar Corp. 10,791 540,215 Loblaw Cos., Ltd. 31,360 1,363,364 #* Lundin Mining Corp. 110,040 562,223 MacDonald Dettwiler & Associates, Ltd. 4,900 380,001 Magna International, Inc.(559222401) 10,503 1,029,189 Magna International, Inc.(2554475) 40,160 3,934,474 Manitoba Telecom Services, Inc. 4,500 124,360 Manulife Financial Corp.(56501R106) 63,866 1,197,487 Manulife Financial Corp.(2492519) 322,943 6,063,744 * MEG Energy Corp. 31,005 1,116,242 # Methanex Corp. 18,580 1,150,856 # Metro, Inc. 20,764 1,279,883 # Mullen Group, Ltd. 10,500 284,713 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED SHARES VALUE++ ------- ----------- CANADA -- (Continued) National Bank of Canada 65,280 $ 2,709,354 * New Gold, Inc. 82,300 415,986 #* Niko Resources, Ltd. 8,000 15,036 Onex Corp. 16,704 954,035 Open Text Corp.(683715106) 3,516 173,479 # Open Text Corp.(2260824) 18,200 897,505 * Osisko Mining Corp. 78,002 558,657 Pacific Rubiales Energy Corp. 146,237 2,386,917 Pan American Silver Corp.(697900108) 12,528 162,363 Pan American Silver Corp.(2669272) 33,400 432,717 * Paramount Resources, Ltd. Class A 8,900 484,281 * Pembina Pipeline Corp.(B4PPQG5) 9,034 355,217 # Pembina Pipeline Corp.(B4PT2P8) 45,132 1,773,498 # Pengrowth Energy Corp. 115,076 747,540 # Penn West Petroleum, Ltd. 95,909 867,167 # Peyto Exploration & Development Corp. 24,300 895,911 Potash Corp. of Saskatchewan, Inc.(73755L107) 31,604 1,142,801 Potash Corp. of Saskatchewan, Inc.(2696980) 136,400 4,930,585 Precision Drilling Corp. 72,095 937,324 Progressive Waste Solutions, Ltd. 31,442 765,360 Quebecor, Inc. Class B 22,000 518,863 # Ritchie Bros Auctioneers, Inc. 16,700 417,329 # Rogers Communications, Inc. Class B(2169051) 58,900 2,339,234 Rogers Communications, Inc. Class B(775109200) 10,393 412,810 Royal Bank of Canada(780087102) 24,348 1,626,446 # Royal Bank of Canada(2754383) 239,589 15,990,087 Saputo, Inc. 23,200 1,240,593 SEMAFO, Inc. 48,000 179,554 Shaw Communications, Inc. Class B(82028K200) 40,730 986,888 # Shaw Communications, Inc. Class B(2801836) 52,434 1,270,127 ShawCor, Ltd. 9,400 418,693 Silver Wheaton Corp.(828336107) 6,218 138,040 Silver Wheaton Corp.(B058ZX6) 54,277 1,203,845 SNC-Lavalin Group, Inc. 29,200 1,324,596 Stantec, Inc.(85472N109) 1,000 59,270 Stantec, Inc.(2854238) 2,400 142,242 Sun Life Financial, Inc.(866796105) 26,327 890,906 # Sun Life Financial, Inc.(2566124) 101,431 3,433,320 Suncor Energy, Inc.(867224107) 54,052 2,086,407 Suncor Energy, Inc.(B3NB1P2) 279,079 10,765,440 Talisman Energy, Inc.(87425E103) 109,712 1,133,325 Talisman Energy, Inc.(2068299) 212,140 2,192,917 Teck Resources, Ltd. Class B(878742204) 11,214 255,343 # Teck Resources, Ltd. Class B(2879327) 106,334 2,423,451 # TELUS Corp. 39,380 1,387,579 # Thomson Reuters Corp.(2889371) 59,250 2,144,471 Thomson Reuters Corp.(884903105) 18,394 665,495 Tim Hortons, Inc.(B4R2V25) 25,200 1,382,258 Tim Hortons, Inc.(88706M103) 3,807 208,966 TMX Group, Ltd. 400 21,072 Toronto-Dominion Bank (The)(891160509) 27,618 1,328,150 # Toronto-Dominion Bank (The)(2897222) 301,119 14,486,570 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED SHARES VALUE++ ------- ------------ CANADA -- (Continued) * Tourmaline Oil Corp. 25,046 $ 1,296,803 # TransAlta Corp.(2901628) 75,200 918,688 TransAlta Corp.(89346D107) 15,840 193,565 TransCanada Corp.(89353D107) 14,710 685,927 TransCanada Corp.(2665184) 116,088 5,410,132 Trican Well Service, Ltd. 25,700 368,131 # Trilogy Energy Corp. 10,639 291,200 * Turquoise Hill Resources, Ltd.(900435108) 68,462 267,002 #* Turquoise Hill Resources, Ltd.(B7WJ1F5) 93,837 364,715 * Valeant Pharmaceuticals International, Inc.(91911K102) 11,297 1,510,522 * Valeant Pharmaceuticals International, Inc.(B3XSX46) 47,572 6,361,597 # Veresen, Inc. 37,288 551,470 # Vermilion Energy, Inc. 15,127 1,006,534 West Fraser Timber Co., Ltd. 20,384 911,287 # Westshore Terminals Investment Corp. 6,600 214,490 Yamana Gold, Inc.(98462Y100) 41,099 307,420 Yamana Gold, Inc.(2219279) 135,044 1,011,552 ------------ TOTAL CANADA 281,865,274 ------------ DENMARK -- (1.3%) AP Moeller - Maersk A.S. Class A 540 1,226,808 AP Moeller - Maersk A.S. Class B 1,305 3,115,372 Carlsberg A.S. Class B 22,525 2,253,229 Chr Hansen Holding A.S. 20,163 909,044 Coloplast A.S. Class B 20,400 1,713,456 Danske Bank A.S. 139,218 3,938,925 DSV A.S. 41,383 1,382,158 # FLSmidth & Co. A.S. 12,362 661,832 GN Store Nord A.S. 39,910 964,173 H Lundbeck A.S. 13,909 405,377 * Jyske Bank A.S. 1,122 61,687 Novo Nordisk A.S. Class B 283,026 12,845,413 Novo Nordisk A.S. Sponsored ADR 116,555 5,290,431 Novozymes A.S. Class B 46,638 2,236,063 Pandora A.S. 17,639 1,189,054 Rockwool International A.S. Class B 1,012 195,208 TDC A.S. 194,786 1,829,212 * Topdanmark A.S. 21,510 629,376 Tryg A.S. 4,170 396,040 * Vestas Wind Systems A.S. 45,251 2,009,646 * William Demant Holding A.S. 4,846 434,260 ------------ TOTAL DENMARK 43,686,764 ------------ FINLAND -- (0.8%) # Elisa Oyj 27,937 834,903 # Fortum Oyj 196,426 4,437,672 Kesko Oyj Class B 16,039 656,519 # Kone Oyj Class B 62,697 2,687,534 # Metso Oyj 27,047 1,088,635 # Neste Oil Oyj 25,438 523,151 #* Nokia Oyj 566,548 4,242,068 * Nokia Oyj Sponsored ADR 184,400 1,383,000 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED SHARES VALUE++ ------- ----------- FINLAND -- (Continued) # Nokian Renkaat Oyj 27,548 $ 1,096,242 Orion Oyj Class A 2,568 78,752 Orion Oyj Class B 11,844 361,510 Sampo Class A 84,216 4,185,498 # Stora Enso Oyj Class R 240,622 2,457,138 Stora Enso Oyj Sponsored ADR 12,000 121,200 UPM-Kymmene Oyj 126,244 2,211,012 UPM-Kymmene Oyj Sponsored ADR 13,000 225,940 # Valmet Corp. 27,047 316,027 Wartsila Oyj Abp 34,681 1,936,066 ----------- TOTAL FINLAND 28,842,867 ----------- FRANCE -- (8.2%) # Accor SA 31,259 1,530,427 Aeroports de Paris 5,523 686,817 Air Liquide SA 60,557 8,663,734 Airbus Group NV 112,994 7,767,220 * Alcatel-Lucent 469,735 1,862,838 Alcatel-Lucent Sponsored ADR 128,100 499,590 Alstom SA 46,699 1,929,789 Arkema SA 20,521 2,292,035 AtoS 23,538 2,033,495 AXA SA 311,949 8,140,624 # AXA SA Sponsored ADR 66,900 1,679,190 BioMerieux 1,600 174,776 BNP Paribas SA 209,632 15,752,684 Bollore SA(4572709) 1,187 756,546 * Bollore SA(BDGTH22) 6 3,704 # Bouygues SA 76,737 3,456,304 # Bureau Veritas SA 39,991 1,225,512 Cap Gemini SA 35,266 2,491,673 # Carrefour SA 160,724 6,265,189 Casino Guichard Perrachon SA 19,431 2,475,960 * CGG SA 20,644 357,178 * CGG SA Sponsored ADR 16,707 287,360 Christian Dior SA 10,457 2,151,588 Cie de St-Gobain 91,554 5,609,096 Cie Generale des Etablissements Michelin 43,802 5,371,471 Ciments Francais SA 1,006 108,186 CNP Assurances 47,465 1,094,996 * Credit Agricole SA 218,148 3,442,036 Danone SA 103,354 7,631,559 Danone SA Sponsored ADR 12,058 178,941 Dassault Systemes 11,170 1,374,557 Edenred 42,601 1,439,863 Eiffage SA 9,190 694,691 Electricite de France SA 46,141 1,771,856 # Eramet 1,441 187,963 Essilor International SA 38,357 4,107,549 Euler Hermes SA 2,795 337,228 Eutelsat Communications SA 34,414 1,183,792 * Faurecia 7,078 318,599 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED SHARES VALUE++ ------- ----------- FRANCE -- (Continued) * GDF Suez(B3B9KQ2) 11,445 $ 16 # GDF Suez(B0C2CQ3) 279,969 7,056,177 Groupe Eurotunnel SA 114,615 1,538,685 * Groupe Fnac 1,746 83,506 Iliad SA 4,457 1,201,552 Imerys SA 8,341 732,482 Ipsen SA 2,070 91,908 JCDecaux SA 15,277 627,122 Kering 14,471 3,200,571 # L'Oreal SA 44,850 7,729,678 Lafarge SA 47,837 4,377,030 Lafarge SA Sponsored ADR 1,800 41,130 Lagardere SCA 26,506 1,110,880 Legrand SA 47,765 3,086,386 LVMH Moet Hennessy Louis Vuitton SA 48,617 9,577,268 Metropole Television SA 7,985 171,132 Natixis 227,898 1,617,769 # Neopost SA 3,126 256,685 Orange SA 369,966 5,993,919 # Orange SA Sponsored ADR 46,387 746,831 Pernod Ricard SA 39,241 4,709,250 #* Peugeot SA 66,118 1,169,823 Publicis Groupe SA 34,533 2,954,273 Publicis Groupe SA ADR 4,537 96,184 Remy Cointreau SA 5,224 459,192 Renault SA 64,124 6,269,394 Rexel SA 48,275 1,218,793 Safran SA 51,113 3,440,015 Sanofi 180,968 19,530,038 Sanofi ADR 36,868 1,983,498 Schneider Electric SA(B11BPS1) 935 87,814 Schneider Electric SA(4834108) 100,220 9,407,744 SCOR SE 41,542 1,520,136 SEB SA 3,563 328,655 # SES SA 58,639 2,209,293 Societe BIC SA 5,723 759,287 Societe Generale SA 150,386 9,365,616 Sodexo() 16,625 1,792,126 Sodexo(7062713) 15,800 1,703,474 STMicroelectronics NV 160,669 1,532,170 Suez Environnement Co. 59,634 1,171,779 Technip SA 15,655 1,762,105 Technip SA ADR 14,400 403,920 Thales SA 22,848 1,454,852 Total SA 294,621 21,078,411 # Total SA Sponsored ADR 157,489 11,219,516 Valeo SA 15,581 2,139,726 Vallourec SA 31,102 1,837,988 # Veolia Environnement SA 53,432 996,822 # Veolia Environnement SA ADR 17,086 320,875 Vicat 1,981 171,919 Vinci SA 92,546 6,987,808 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED SHARES VALUE++ ------- ------------ FRANCE -- (Continued) Vivendi SA 247,477 $ 6,648,892 Zodiac Aerospace 29,545 982,302 ------------ TOTAL FRANCE 284,291,033 ------------ GERMANY -- (7.1%) Adidas AG 39,942 4,269,867 # Allianz SE 68,800 11,973,254 Allianz SE ADR 250,286 4,367,491 Axel Springer SE 10,034 612,695 # BASF SE 164,609 19,095,584 BASF SE Sponsored ADR 8,200 924,550 # Bayer AG 134,071 18,641,456 Bayer AG Sponsored ADR 33,435 4,654,821 Bayerische Motoren Werke AG 78,275 9,839,554 Beiersdorf AG 18,004 1,807,324 Bilfinger SE 8,723 1,040,003 Brenntag AG 11,198 2,028,522 Celesio AG 17,682 614,526 * Commerzbank AG 254,603 4,539,867 # Continental AG 21,475 5,053,165 Daimler AG 188,841 17,580,932 # Deutsche Bank AG(D18190898) 179,270 7,893,258 Deutsche Bank AG(5750355) 34,358 1,513,314 Deutsche Boerse AG 33,348 2,445,504 # Deutsche Lufthansa AG 101,352 2,545,235 Deutsche Post AG 175,330 6,615,718 Deutsche Telekom AG 524,242 8,807,820 # Deutsche Telekom AG Sponsored ADR 95,900 1,606,325 Deutsche Wohnen AG 43,881 942,011 # E.ON SE 328,427 6,290,969 E.ON SE Sponsored ADR 53,950 987,285 Fielmann AG 1,995 269,896 Fraport AG Frankfurt Airport Services Worldwide 6,778 501,281 Fresenius Medical Care AG & Co. KGaA 42,102 2,900,725 Fresenius Medical Care AG & Co. KGaA ADR 14,200 487,770 Fresenius SE & Co. KGaA 43,695 6,648,311 # Fuchs Petrolub SE 3,132 288,754 GEA Group AG 40,070 1,794,669 # Hannover Rueck SE 14,759 1,375,272 # HeidelbergCement AG 34,737 3,018,232 Henkel AG & Co. KGaA 25,587 2,630,811 # Hochtief AG 10,911 1,017,292 Hugo Boss AG 5,182 719,924 Infineon Technologies AG 229,662 2,670,345 # K+S AG 40,760 1,428,235 Lanxess AG 29,168 2,221,185 Linde AG 36,255 7,529,612 MAN SE 7,842 1,005,585 Merck KGaA 12,895 2,179,819 * Metro AG 47,126 1,888,044 MTU Aero Engines AG 9,659 910,713 # Muenchener Rueckversicherungs AG 36,954 8,542,246 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED SHARES VALUE++ --------- ------------ GERMANY -- (Continued) * Osram Licht AG 19,058 $ 1,000,506 # Puma SE 790 233,384 * QIAGEN NV 51,277 1,125,719 Rhoen Klinikum AG 14,963 483,144 RWE AG 184,126 7,026,446 Salzgitter AG 8,602 365,377 SAP AG 139,819 11,301,152 # SAP AG Sponsored ADR 32,719 2,649,912 # SGL Carbon SE 7,413 246,863 Siemens AG 114,499 15,104,734 * Sky Deutschland AG 77,105 661,720 Software AG 13,612 512,710 Suedzucker AG 17,838 381,181 Symrise AG 17,091 863,379 * Talanx AG 4,985 190,755 Telefonica Deutschland Holding AG 36,875 306,779 * ThyssenKrupp AG 79,912 2,280,862 United Internet AG 19,203 824,944 Volkswagen AG 6,201 1,662,789 # Wacker Chemie AG 4,260 500,765 ------------ TOTAL GERMANY 244,442,892 ------------ HONG KONG -- (2.4%) # AAC Technologies Holdings, Inc. 118,001 660,724 AIA Group, Ltd. 2,235,600 10,873,050 # ASM Pacific Technology, Ltd. 39,900 443,372 Bank of East Asia, Ltd. 264,801 1,093,860 BOC Hong Kong Holdings, Ltd. 725,000 2,146,017 * Brightoil Petroleum Holdings, Ltd. 333,000 103,430 Cafe de Coral Holdings, Ltd. 20,000 63,023 Cathay Pacific Airways, Ltd. 282,000 533,677 Cheung Kong Holdings, Ltd. 281,600 4,801,700 Cheung Kong Infrastructure Holdings, Ltd. 140,000 914,003 Chow Sang Sang Holdings International, Ltd. 56,000 137,850 # Chow Tai Fook Jewellery Group, Ltd. 137,000 193,450 CLP Holdings, Ltd. 283,900 2,269,621 Dah Sing Financial Holdings, Ltd. 19,436 86,138 Esprit Holdings, Ltd. 486,920 813,199 * FIH Mobile, Ltd. 318,000 171,764 First Pacific Co., Ltd. 734,400 816,665 * G-Resources Group, Ltd. 1,558,200 42,966 * Galaxy Entertainment Group, Ltd. 400,000 3,160,263 * Genting Hong Kong, Ltd. 83,000 33,005 Giordano International, Ltd. 204,000 136,940 Hang Lung Group, Ltd. 221,000 1,200,198 Hang Lung Properties, Ltd. 523,000 1,566,692 Hang Seng Bank, Ltd. 146,600 2,397,187 Henderson Land Development Co., Ltd. 272,188 1,634,036 Hong Kong & China Gas Co., Ltd. 1,104,683 2,548,954 # Hong Kong Exchanges and Clearing, Ltd. 224,316 4,033,947 Hongkong & Shanghai Hotels (The) 103,525 151,399 Hopewell Holdings, Ltd. 144,500 497,405 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- HONG KONG -- (Continued) Hutchison Telecommunications Hong Kong Holdings, Ltd. 306,000 $ 100,290 Hutchison Whampoa, Ltd. 413,500 5,673,011 Hysan Development Co., Ltd. 99,638 429,912 Johnson Electric Holdings, Ltd. 308,500 295,477 * Kerry Logistics Network, Ltd. 69,696 102,555 Kerry Properties, Ltd. 156,393 517,027 Kingston Financial Group, Ltd. 822,000 89,172 # L'Occitane International SA 44,000 108,289 Li & Fung, Ltd. 1,312,000 1,909,716 Lifestyle International Holdings, Ltd. 80,500 157,368 Luk Fook Holdings International, Ltd. 50,000 141,973 # Melco Crown Entertainment, Ltd. ADR 30,195 1,032,065 Melco International Development, Ltd. 179,000 549,718 MGM China Holdings, Ltd. 151,200 527,342 #* Mongolian Mining Corp. 199,500 16,503 MTR Corp., Ltd. 319,040 1,209,733 New World Development Co., Ltd. 1,724,571 1,786,474 NWS Holdings, Ltd. 309,443 527,486 Orient Overseas International, Ltd. 50,000 239,184 Pacific Basin Shipping, Ltd. 172,000 101,039 PCCW, Ltd. 945,265 504,010 Power Assets Holdings, Ltd. 210,207 1,817,105 Prada SpA 88,600 710,574 # SA SA International Holdings, Ltd. 98,000 82,217 Samsonite International SA 361,500 1,150,964 Sands China, Ltd. 450,000 3,303,792 Shangri-La Asia, Ltd. 285,655 468,721 Sino Land Co., Ltd. 603,568 905,043 SJM Holdings, Ltd. 356,000 992,671 # SmarTone Telecommunications Holdings, Ltd. 23,000 23,738 Stella International Holdings, Ltd. 44,500 109,704 Sun Hung Kai Properties, Ltd. 328,108 4,150,679 Swire Pacific, Ltd. Class A 158,000 1,823,801 Swire Pacific, Ltd. Class B 102,500 227,582 Swire Properties, Ltd. 165,000 499,040 Techtronic Industries Co. 329,500 1,052,792 Television Broadcasts, Ltd. 52,000 325,189 Texwinca Holdings, Ltd. 30,000 32,351 Trinity, Ltd. 192,000 49,387 #* United Laboratories International Holdings, Ltd. (The) 115,000 74,434 # VTech Holdings, Ltd. 23,900 331,013 Wharf Holdings, Ltd. 311,609 2,193,579 Wheelock & Co., Ltd. 261,000 1,080,688 Wing Hang Bank, Ltd. 32,811 528,990 Wynn Macau, Ltd. 252,800 998,836 Xinyi Glass Holdings, Ltd. 396,000 312,454 * Xinyi Solar Holdings, Ltd. 396,000 107,399 Yue Yuen Industrial Holdings, Ltd. 137,500 425,090 ----------- TOTAL HONG KONG 83,320,712 ----------- IRELAND -- (0.3%) * Bank of Ireland 4,287,531 1,674,073 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- IRELAND -- (Continued) * Bank of Ireland Sponsored ADR 17,922 $ 308,617 CRH P.L.C.(0182704) 58,738 1,712,378 CRH P.L.C.(4182249) 11,311 329,303 CRH P.L.C. Sponsored ADR 70,791 2,072,760 Dragon Oil P.L.C. 43,868 466,740 Glanbia P.L.C. 2,435 36,366 Kerry Group P.L.C. Class A(0490656) 18,318 1,436,760 Kerry Group P.L.C. Class A(4519579) 10,841 855,600 Paddy Power P.L.C. 5,796 447,201 * Ryanair Holdings P.L.C. 33,520 317,799 Smurfit Kappa Group P.L.C. 50,695 1,129,367 ----------- TOTAL IRELAND 10,786,964 ----------- ISRAEL -- (0.4%) Azrieli Group 6,311 213,634 Bank Hapoalim BM 246,126 1,390,364 * Bank Leumi Le-Israel BM 271,142 1,060,917 # Bezeq The Israeli Telecommunication Corp., Ltd. 353,348 640,347 Cellcom Israel, Ltd. 6,551 83,055 Delek Group, Ltd. 992 402,048 Elbit Systems, Ltd.(6308913) 5,850 345,328 Elbit Systems, Ltd.(M3760D101) 193 11,428 Israel Chemicals, Ltd. 77,657 689,226 * Israel Discount Bank, Ltd. Class A 232,291 415,324 Migdal Insurance & Financial Holding, Ltd. 29,968 49,088 Mizrahi Tefahot Bank, Ltd. 22,752 304,145 NICE Systems, Ltd. Sponsored ADR 10,826 467,683 Osem Investments, Ltd. 9,419 223,685 * Partner Communications Co., Ltd. 8,183 73,274 * Partner Communications Co., Ltd. ADR 3,525 31,302 Paz Oil Co., Ltd. 85 13,281 Strauss Group, Ltd. 2,977 53,880 Teva Pharmaceutical Industries, Ltd. 6,037 295,933 Teva Pharmaceutical Industries, Ltd. Sponsored ADR 140,641 6,871,719 ----------- TOTAL ISRAEL 13,635,661 ----------- ITALY -- (2.0%) A2A SpA 161,586 197,733 Assicurazioni Generali SpA 222,046 5,191,721 Atlantia SpA 71,934 1,873,804 * Autogrill SpA 14,553 139,698 #* Banca Carige SpA 113,241 83,708 #* Banca Monte dei Paschi di Siena SpA 1,177,714 393,616 * Banca Popolare dell'Emilia Romagna SC 5,071 58,457 * Banco Popolare SC 41,633 860,413 CNH Industrial NV 161,596 1,887,630 Davide Campari-Milano SpA 51,808 450,348 Enel Green Power SpA 323,246 925,131 Enel SpA 1,063,175 6,021,749 Eni SpA 338,596 8,769,405 # Eni SpA Sponsored ADR 69,229 3,574,986 #* Fiat SpA 193,882 2,340,685 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- ITALY -- (Continued) * Fiat SpA Sponsored ADR 7,000 $ 84,700 * Finmeccanica SpA 102,014 944,082 Gtech Spa 9,353 274,531 Intesa Sanpaolo SpA 2,388,529 8,173,615 Intesa Sanpaolo SpA Sponsored ADR 9,000 183,825 Luxottica Group SpA 29,479 1,690,812 Luxottica Group SpA Sponsored ADR 875 50,085 * Mediaset SpA 115,612 639,816 * Mediobanca SpA 117,569 1,304,906 Mediolanum SpA 41,608 374,497 Parmalat SpA 80,329 279,080 Pirelli & C. SpA 45,094 759,209 Prysmian SpA 33,580 874,581 Saipem SpA 44,656 1,197,804 Salvatore Ferragamo SpA 9,142 289,747 Snam SpA 304,584 1,832,055 #* Telecom Italia SpA 2,580,718 3,316,295 Telecom Italia SpA Sponsored ADR 80,065 1,028,035 Tenaris SA 2,151 47,550 # Tenaris SA ADR 37,841 1,666,896 Terna Rete Elettrica Nazionale SpA 318,764 1,726,963 # Tod's SpA 2,308 323,425 UniCredit SpA 917,593 8,221,306 Unione di Banche Italiane SCPA 199,929 1,908,421 #* UnipolSai SpA 108,274 398,401 * World Duty Free SpA 14,553 195,511 ----------- TOTAL ITALY 70,555,232 ----------- JAPAN -- (15.2%) 77 Bank, Ltd. (The) 81,000 365,677 # ABC-Mart, Inc. 4,700 211,060 # Advantest Corp. 9,840 108,473 # Advantest Corp. ADR 10,000 110,200 Aeon Co., Ltd. 295,600 3,414,068 Aeon Mall Co., Ltd. 9,548 227,642 # Air Water, Inc. 35,000 491,097 Aisin Seiki Co., Ltd. 58,200 2,056,751 # Ajinomoto Co., Inc. 118,000 1,736,705 Alfresa Holdings Corp. 8,700 541,634 Alps Electric Co., Ltd. 37,900 428,553 Amada Co., Ltd. 84,000 607,504 ANA Holdings, Inc. 172,000 375,606 Anritsu Corp. 24,000 268,766 Aoyama Trading Co., Ltd. 6,300 156,334 # Aozora Bank, Ltd. 212,000 630,658 Asahi Glass Co., Ltd. 302,000 1,712,153 # Asahi Group Holdings, Ltd. 72,600 2,006,139 Asahi Kasei Corp. 390,000 2,651,531 # Asatsu-DK, Inc. 2,700 61,078 Asics Corp. 28,300 550,812 Astellas Pharma, Inc. 405,275 4,518,607 Autobacs Seven Co., Ltd. 9,900 153,164 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- JAPAN -- (Continued) Awa Bank, Ltd. (The) 45,000 $ 240,968 Azbil Corp. 10,400 236,004 Bank of Kyoto, Ltd. (The) 76,000 619,251 Bank of Yokohama, Ltd. (The) 281,000 1,412,333 # Benesse Holdings, Inc. 13,100 498,432 Bridgestone Corp. 125,000 4,475,687 # Brother Industries, Ltd. 47,800 668,601 # Calbee, Inc. 8,000 196,191 Calsonic Kansei Corp. 34,000 167,489 # Canon Marketing Japan, Inc. 11,100 178,772 Canon, Inc. 154,000 4,825,583 # Canon, Inc. Sponsored ADR 68,804 2,152,189 Casio Computer Co., Ltd. 46,400 529,481 Central Japan Railway Co. 23,400 2,874,123 Century Tokyo Leasing Corp. 6,100 176,532 Chiba Bank, Ltd. (The) 180,000 1,144,154 Chiyoda Corp. 28,000 375,472 * Chubu Electric Power Co., Inc. 103,200 1,175,507 # Chugai Pharmaceutical Co., Ltd. 43,400 1,095,367 Chugoku Bank, Ltd. (The) 45,000 596,536 # Chugoku Electric Power Co., Inc. (The) 44,100 577,838 Citizen Holdings Co., Ltd. 64,900 476,620 Coca-Cola East Japan Co., Ltd. 15,500 349,316 Coca-Cola West Co., Ltd. 14,900 259,321 COMSYS Holdings Corp. 24,700 404,933 Cosmo Oil Co., Ltd. 128,000 239,452 # Cosmos Pharmaceutical Corp. 1,700 181,839 Credit Saison Co., Ltd. 32,000 681,703 Dai Nippon Printing Co., Ltd. 139,000 1,252,022 Dai-ichi Life Insurance Co., Ltd. (The) 177,200 2,455,415 Daicel Corp. 78,000 653,233 Daido Steel Co., Ltd. 66,000 322,699 Daihatsu Motor Co., Ltd. 56,700 939,174 Daiichi Sankyo Co., Ltd. 125,646 2,107,623 Daiichikosho Co., Ltd. 8,200 236,289 Daikin Industries, Ltd. 43,800 2,533,572 Dainippon Sumitomo Pharma Co., Ltd. 32,200 488,340 Daito Trust Construction Co., Ltd. 14,000 1,424,651 Daiwa House Industry Co., Ltd. 119,000 2,010,590 Daiwa Securities Group, Inc. 326,000 2,444,490 # Dena Co., Ltd. 15,000 253,509 Denki Kagaku Kogyo K.K. 113,000 374,769 Denso Corp. 88,800 4,045,088 Dentsu, Inc. 40,100 1,644,608 DIC Corp. 212,000 562,611 Disco Corp. 5,700 346,386 DMG Mori Seiki Co., Ltd. 11,600 144,710 # Don Quijote Holdings Co., Ltd. 9,700 511,598 Dowa Holdings Co., Ltd. 61,200 513,088 East Japan Railway Co. 53,600 3,910,938 Ebara Corp. 84,000 499,645 # Eisai Co., Ltd. 48,900 1,888,472 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- JAPAN -- (Continued) Electric Power Development Co., Ltd. 16,900 $ 448,158 Exedy Corp. 5,600 149,826 Ezaki Glico Co., Ltd. 2,000 26,341 FamilyMart Co., Ltd. 10,800 448,471 FANUC Corp. 35,700 6,441,562 Fast Retailing Co., Ltd. 10,100 3,138,465 # FP Corp. 3,400 105,744 Fuji Electric Co., Ltd. 123,000 558,208 Fuji Heavy Industries, Ltd. 111,386 2,928,858 Fuji Media Holdings, Inc. 9,200 154,997 FUJIFILM Holdings Corp. 96,300 2,487,629 Fujitsu, Ltd. 385,440 2,266,475 Fukuoka Financial Group, Inc. 146,000 596,265 # Fukuyama Transporting Co., Ltd. 29,000 169,713 Furukawa Electric Co., Ltd. 127,000 285,935 Glory, Ltd. 14,900 385,484 # Gree, Inc. 15,400 150,593 # GS Yuasa Corp. 47,000 265,954 # GungHo Online Entertainment, Inc. 59,000 335,623 Gunma Bank, Ltd. (The) 90,000 478,375 H2O Retailing Corp. 33,000 249,036 Hachijuni Bank, Ltd. (The) 103,000 563,094 Hakuhodo DY Holdings, Inc. 47,200 366,138 Hamamatsu Photonics K.K. 16,700 752,466 Hankyu Hanshin Holdings, Inc. 344,000 1,885,317 Haseko Corp. 44,300 280,540 Heiwa Corp. 6,700 111,488 Higo Bank, Ltd. (The) 2,000 10,280 # Hikari Tsushin, Inc. 3,800 320,347 Hino Motors, Ltd. 52,000 685,055 Hiroshima Bank, Ltd. (The) 132,000 543,079 # Hisamitsu Pharmaceutical Co., Inc. 11,500 481,298 Hitachi Capital Corp. 12,600 310,558 Hitachi Chemical Co., Ltd. 25,900 381,031 # Hitachi Construction Machinery Co., Ltd. 21,700 402,677 Hitachi High-Technologies Corp. 10,665 243,973 # Hitachi Metals, Ltd. 39,000 529,591 Hitachi Transport System, Ltd. 8,415 129,127 Hitachi, Ltd. 614,000 4,377,168 Hitachi, Ltd. ADR 34,892 2,483,961 #* Hokkaido Electric Power Co., Inc. 31,500 192,701 Hokuhoku Financial Group, Inc. 250,000 482,435 Hokuriku Electric Power Co. 25,800 320,405 Honda Motor Co., Ltd. 190,377 6,317,597 # Honda Motor Co., Ltd. Sponsored ADR 132,783 4,421,674 Horiba, Ltd. 3,800 131,352 # Hoshizaki Electric Co., Ltd. 6,500 263,012 # House Foods Group, Inc. 16,300 271,235 Hoya Corp. 83,200 2,460,833 Ibiden Co., Ltd. 34,800 628,144 # Ichigo Group Holdings Co., Ltd. 1,800 5,337 Idemitsu Kosan Co., Ltd. 35,600 787,241 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED SHARES VALUE++ --------- ---------- JAPAN -- (Continued) IHI Corp. 274,000 $1,092,503 Inpex Corp. 160,800 2,345,011 # Isetan Mitsukoshi Holdings, Ltd. 71,880 894,479 # Isuzu Motors, Ltd. 291,000 1,689,997 # Ito En, Ltd. 10,400 222,352 ITOCHU Corp. 307,500 3,447,010 Itochu Techno-Solutions Corp. 5,900 246,556 Iyo Bank, Ltd. (The) 61,000 548,453 Izumi Co., Ltd. 12,800 374,563 J Front Retailing Co., Ltd. 119,800 761,514 Japan Airlines Co., Ltd. 7,100 367,563 Japan Airport Terminal Co., Ltd. 5,800 133,830 Japan Exchange Group, Inc. 37,000 732,078 # Japan Steel Works, Ltd. (The) 76,000 321,110 Japan Tobacco, Inc. 216,900 7,129,188 JFE Holdings, Inc. 106,400 1,966,406 JGC Corp. 36,000 1,165,731 Joyo Bank, Ltd. (The) 147,000 715,463 # JSR Corp. 36,100 591,565 JTEKT Corp. 54,760 798,975 JX Holdings, Inc. 471,870 2,451,742 # K's Holdings Corp. 10,139 294,237 # Kagome Co., Ltd. 17,600 297,834 Kagoshima Bank, Ltd. (The) 13,000 81,199 # Kajima Corp. 173,000 658,698 Kakaku.com, Inc. 19,200 273,920 Kaken Pharmaceutical Co., Ltd. 13,000 224,020 Kamigumi Co., Ltd. 67,000 638,665 Kaneka Corp. 74,000 434,033 * Kansai Electric Power Co., Inc. (The) 113,400 950,875 # Kansai Paint Co., Ltd. 40,000 559,234 Kao Corp. 94,500 3,557,679 # Kawasaki Heavy Industries, Ltd. 319,000 1,183,987 Kawasaki Kisen Kaisha, Ltd. 288,000 578,288 KDDI Corp. 106,200 5,663,822 # Keihan Electric Railway Co., Ltd. 126,000 519,426 # Keikyu Corp. 80,000 664,042 # Keio Corp. 97,000 686,527 # Keisei Electric Railway Co., Ltd. 50,000 435,151 Keiyo Bank, Ltd. (The) 43,000 189,268 Kewpie Corp. 16,300 234,468 Keyence Corp. 8,651 3,337,218 Kikkoman Corp. 32,000 650,185 Kinden Corp. 35,000 322,221 # Kintetsu Corp. 291,280 1,023,637 Kirin Holdings Co., Ltd. 171,000 2,368,353 Kobayashi Pharmaceutical Co., Ltd. 5,300 321,821 Kobe Steel, Ltd. 1,229,000 1,613,259 Koito Manufacturing Co., Ltd. 20,000 434,991 Komatsu, Ltd. 185,300 4,079,615 Komeri Co., Ltd. 5,000 135,391 # Konami Corp. 20,500 467,492 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED SHARES VALUE++ --------- ---------- JAPAN -- (Continued) Konami Corp. ADR 3,500 $ 79,275 Konica Minolta, Inc. 137,000 1,276,583 Kose Corp. 3,690 122,644 # Kubota Corp. 168,000 2,165,272 Kubota Corp. Sponsored ADR 8,151 521,501 Kuraray Co., Ltd. 71,200 800,556 # Kurita Water Industries, Ltd. 27,000 568,623 KYB Co., Ltd. 14,000 57,029 Kyocera Corp. 42,800 2,012,879 # Kyocera Corp. Sponsored ADR 21,658 1,020,958 KYORIN Holdings, Inc. 5,400 104,085 Kyowa Hakko Kirin Co., Ltd. 53,000 603,549 * Kyushu Electric Power Co., Inc. 63,200 637,661 # Lawson, Inc. 13,200 916,759 Lintec Corp. 7,200 133,878 Lion Corp. 47,000 257,476 LIXIL Group Corp. 54,140 1,434,706 M3, Inc. 15,600 214,009 Maeda Road Construction Co., Ltd. 9,000 139,550 Makita Corp. 20,200 1,074,405 Makita Corp. Sponsored ADR 1,630 87,042 Marubeni Corp. 332,000 2,218,561 Marui Group Co., Ltd. 58,400 518,745 # Matsui Securities Co., Ltd. 34,300 315,789 Matsumotokiyoshi Holdings Co., Ltd. 3,400 100,332 Mazda Motor Corp. 491,000 2,195,380 # McDonald's Holdings Co. Japan, Ltd. 12,400 343,087 # Medipal Holdings Corp. 26,100 367,108 MEIJI Holdings Co., Ltd. 15,356 942,348 Minebea Co., Ltd. 74,000 599,694 Miraca Holdings, Inc. 14,400 624,201 # MISUMI Group, Inc. 17,100 416,115 Mitsubishi Chemical Holdings Corp. 668,990 2,677,316 Mitsubishi Corp. 290,000 5,193,117 Mitsubishi Electric Corp. 361,000 4,110,646 Mitsubishi Estate Co., Ltd. 237,000 5,377,624 Mitsubishi Gas Chemical Co., Inc. 71,000 409,918 Mitsubishi Heavy Industries, Ltd. 591,000 3,111,581 # Mitsubishi Logistics Corp. 26,000 373,021 Mitsubishi Materials Corp. 469,000 1,360,350 Mitsubishi Motors Corp. 118,399 1,283,244 Mitsubishi Shokuhin Co., Ltd. 1,100 24,631 Mitsubishi Tanabe Pharma Corp. 40,400 553,976 Mitsubishi UFJ Financial Group, Inc. 1,164,572 6,194,934 Mitsubishi UFJ Financial Group, Inc. ADR 1,455,897 7,789,049 Mitsui & Co., Ltd. 310,100 4,397,953 Mitsui & Co., Ltd. Sponsored ADR 2,559 723,173 # Mitsui Chemicals, Inc. 185,000 450,803 Mitsui Engineering & Shipbuilding Co., Ltd. 114,000 221,186 Mitsui Fudosan Co., Ltd. 157,000 4,647,470 Mitsui Mining & Smelting Co., Ltd. 148,000 366,988 Mitsui OSK Lines, Ltd. 307,000 1,024,172 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED SHARES VALUE++ --------- ---------- JAPAN -- (Continued) Mizuho Financial Group, Inc. 4,096,505 $8,023,444 Mizuho Financial Group, Inc. ADR 312,894 1,223,416 Mochida Pharmaceutical Co., Ltd. 1,600 112,741 MS&AD Insurance Group Holdings 98,095 2,200,481 Murata Manufacturing Co., Ltd. 39,600 3,301,209 # Nabtesco Corp. 15,000 323,825 Nagase & Co., Ltd. 27,100 332,059 # Nagoya Railroad Co., Ltd. 121,000 383,921 Namco Bandai Holdings, Inc. 35,300 762,661 # Nankai Electric Railway Co., Ltd. 92,000 356,861 Nanto Bank, Ltd. (The) 41,000 153,889 NEC Corp. 775,546 2,181,608 # NET One Systems Co., Ltd. 8,800 71,596 Nexon Co., Ltd. 9,800 76,329 NGK Insulators, Ltd. 55,000 1,040,102 NGK Spark Plug Co., Ltd. 34,000 778,417 NHK Spring Co., Ltd. 41,400 374,748 Nichirei Corp. 34,000 165,103 # Nidec Corp. 23,200 1,311,623 # Nidec Corp. ADR 53,108 749,354 Nifco, Inc. 2,700 75,414 Nihon Kohden Corp. 3,800 155,623 # Nikon Corp. 71,900 1,127,282 # Nintendo Co., Ltd. 17,600 1,847,303 Nippo Corp. 15,000 229,192 Nippon Electric Glass Co., Ltd. 71,500 349,772 Nippon Express Co., Ltd. 174,000 822,553 Nippon Kayaku Co., Ltd. 33,000 392,701 Nippon Meat Packers, Inc. 32,000 554,604 Nippon Paint Co., Ltd. 28,000 433,198 # Nippon Paper Industries Co., Ltd. 23,100 422,169 # Nippon Shokubai Co., Ltd. 38,000 438,454 Nippon Steel & Sumitomo Metal Corp. 1,455,420 3,818,494 Nippon Telegraph & Telephone Corp. 60,400 3,351,762 # Nippon Telegraph & Telephone Corp. ADR 12,525 348,696 Nippon Television Holdings, Inc. 12,900 192,307 # Nippon Yusen K.K. 476,000 1,290,209 # Nipro Corp. 26,900 232,879 Nishi-Nippon City Bank, Ltd. (The) 179,000 407,153 Nishi-Nippon Railroad Co., Ltd. 41,000 157,682 Nissan Chemical Industries, Ltd. 26,900 400,900 Nissan Motor Co., Ltd. 572,100 4,936,420 Nissan Shatai Co., Ltd. 17,000 258,989 # Nisshin Seifun Group, Inc. 62,700 729,488 Nisshin Steel Co., Ltd. 11,700 120,164 Nisshinbo Holdings, Inc. 29,000 248,451 Nissin Foods Holdings Co., Ltd. 10,000 478,668 Nitori Holdings Co., Ltd. 10,700 490,794 # Nitto Denko Corp. 37,500 1,623,603 NKSJ Holdings, Inc. 71,150 1,775,110 # NOK Corp. 20,980 342,998 Nomura Holdings, Inc. 378,900 2,194,160 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- JAPAN -- (Continued) # Nomura Holdings, Inc. ADR 348,997 $2,045,122 Nomura Real Estate Holdings, Inc. 26,700 498,869 Nomura Research Institute, Ltd. 19,400 562,548 NSK, Ltd. 89,000 935,634 * NTN Corp. 140,000 479,139 NTT Data Corp. 25,500 985,207 # NTT DOCOMO, Inc. 268,328 4,279,977 # NTT DOCOMO, Inc. Sponsored ADR 51,866 828,819 NTT Urban Development Corp. 16,300 143,366 # Obayashi Corp. 121,000 781,284 Obic Co., Ltd. 14,300 429,096 Odakyu Electric Railway Co., Ltd. 107,000 939,383 Oji Holdings Corp. 330,000 1,386,491 # OKUMA Corp. 27,000 231,103 #* Olympus Corp. 46,200 1,411,155 Omron Corp. 39,400 1,395,326 Onward Holdings Co., Ltd. 18,000 121,069 Oracle Corp. Japan 7,100 327,208 Oriental Land Co., Ltd. 8,900 1,333,339 Osaka Gas Co., Ltd. 256,000 964,941 # OSAKA Titanium Technologies Co., Ltd. 2,500 51,348 OSG Corp. 9,900 159,572 Otsuka Corp. 2,900 343,301 Otsuka Holdings Co., Ltd. 48,800 1,405,819 #* Pacific Metals Co., Ltd. 19,000 88,377 Panasonic Corp. 323,589 3,527,139 Panasonic Corp. Sponsored ADR 108,991 1,192,362 Park24 Co., Ltd. 18,900 345,475 Pigeon Corp. 6,000 268,626 #* Pioneer Corp. 43,200 93,342 Pola Orbis Holdings, Inc. 5,200 203,505 # Rakuten, Inc. 143,300 1,859,406 Rengo Co., Ltd. 44,000 196,624 Resona Holdings, Inc. 409,400 2,093,263 Resorttrust, Inc. 7,600 119,243 Ricoh Co., Ltd. 214,500 2,471,698 Rinnai Corp. 5,500 458,363 Rohm Co., Ltd. 17,900 856,012 Rohto Pharmaceutical Co., Ltd. 11,000 194,057 # Ryohin Keikaku Co., Ltd. 3,400 382,104 Sankyo Co., Ltd. 10,000 399,910 Sankyu, Inc. 7,000 26,683 # Sanrio Co., Ltd. 5,500 174,371 # Santen Pharmaceutical Co., Ltd. 10,100 450,154 Sapporo Holdings, Ltd. 31,000 131,440 Sawai Pharmaceutical Co., Ltd. 4,400 272,309 SBI Holdings, Inc. 52,950 605,533 SCSK Corp. 7,500 198,387 Secom Co., Ltd. 39,000 2,239,111 # Sega Sammy Holdings, Inc. 36,348 732,675 Seiko Epson Corp. 26,700 728,643 Seino Holdings Co., Ltd. 35,000 345,931 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED SHARES VALUE++ ------- ----------- JAPAN -- (Continued) Sekisui Chemical Co., Ltd. 127,000 $ 1,287,043 Sekisui House, Ltd. 124,560 1,495,168 Senshu Ikeda Holdings, Inc. 34,820 159,875 Seven & I Holdings Co., Ltd. 139,676 5,511,091 Seven Bank, Ltd. 48,500 183,874 #* Sharp Corp. 385,000 965,105 Shiga Bank, Ltd. (The) 47,000 257,008 #* Shikoku Electric Power Co., Inc. 24,200 283,262 Shimadzu Corp. 55,000 469,837 # Shimamura Co., Ltd. 3,600 335,370 Shimano, Inc. 12,800 1,279,510 Shimizu Corp. 118,000 668,899 # Shin-Etsu Chemical Co., Ltd. 80,800 4,739,895 # Shinsei Bank, Ltd. 392,000 764,252 Shionogi & Co., Ltd. 51,800 907,972 Shiseido Co., Ltd. 62,900 1,123,764 Shizuoka Bank, Ltd. (The) 130,000 1,242,151 # Showa Denko K.K. 310,000 413,061 Showa Shell Sekiyu K.K. 40,400 409,834 SKY Perfect JSAT Holdings, Inc. 29,300 157,550 SMC Corp. 9,900 2,356,752 Softbank Corp. 194,300 14,471,074 Sohgo Security Services Co., Ltd. 10,300 218,370 Sojitz Corp. 317,800 501,113 # Sony Corp. 148,800 2,612,271 Sony Corp. Sponsored ADR 74,848 1,320,319 Sony Financial Holdings, Inc. 29,400 471,433 Sotetsu Holdings, Inc. 73,000 260,892 Square Enix Holdings Co., Ltd. 9,700 156,021 Stanley Electric Co., Ltd. 25,000 554,099 Start Today Co., Ltd. 10,500 220,043 # Sugi Holdings Co., Ltd. 7,100 319,354 # Sumco Corp. 16,700 128,164 Sumitomo Bakelite Co., Ltd. 33,000 125,679 Sumitomo Chemical Co., Ltd. 498,000 1,868,318 Sumitomo Corp. 235,900 3,062,096 Sumitomo Electric Industries, Ltd. 152,400 2,109,395 Sumitomo Forestry Co., Ltd. 21,600 219,689 # Sumitomo Heavy Industries, Ltd. 115,000 489,313 Sumitomo Metal Mining Co., Ltd. 124,000 1,872,960 Sumitomo Mitsui Financial Group, Inc. 261,540 10,338,756 Sumitomo Mitsui Trust Holdings, Inc. 684,210 2,819,423 Sumitomo Osaka Cement Co., Ltd. 51,000 202,833 Sumitomo Realty & Development Co., Ltd. 64,000 2,483,159 Sumitomo Rubber Industries, Ltd. 48,900 679,605 Sundrug Co., Ltd. 3,600 147,285 Suruga Bank, Ltd. 32,000 548,927 Suzuken Co., Ltd. 13,980 503,911 Suzuki Motor Corp. 68,700 1,772,464 Sysmex Corp. 21,800 691,102 T&D Holdings, Inc. 176,300 2,104,368 Tadano, Ltd. 14,000 197,957 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED SHARES VALUE++ ------- ----------- JAPAN -- (Continued) Taiheiyo Cement Corp. 258,000 $ 905,035 # Taisei Corp. 183,000 848,381 Taiyo Nippon Sanso Corp. 50,000 398,538 # Taiyo Yuden Co., Ltd. 6,500 80,369 # Takara Holdings, Inc. 23,000 176,089 Takashimaya Co., Ltd. 60,000 568,452 # Takata Corp. 6,800 160,222 Takeda Pharmaceutical Co., Ltd. 148,000 6,657,059 TDK Corp. 34,800 1,483,923 TDK Corp. Sponsored ADR 1,900 81,016 Teijin, Ltd. 223,000 548,146 Terumo Corp. 53,600 1,063,725 THK Co., Ltd. 20,000 422,730 # Tobu Railway Co., Ltd. 131,000 640,719 Toho Co., Ltd. 18,200 350,391 Toho Gas Co., Ltd. 63,000 309,113 Toho Holdings Co., Ltd. 7,100 143,124 Tohoku Electric Power Co., Inc. 58,700 558,634 Tokai Rika Co., Ltd. 9,200 159,889 Tokai Tokyo Financial Holdings, Inc. 42,100 282,849 Tokio Marine Holdings, Inc. 138,400 4,078,083 Tokio Marine Holdings, Inc. ADR 4,182 123,202 Tokyo Broadcasting System Holdings, Inc. 8,300 90,163 * Tokyo Electric Power Co., Inc. 194,600 736,026 Tokyo Electron, Ltd. 32,800 1,865,527 Tokyo Gas Co., Ltd. 376,000 1,970,018 Tokyo Tatemono Co., Ltd. 88,039 702,093 Tokyu Corp. 165,000 1,039,208 # Tokyu Fudosan Holdings Corp. 80,000 581,596 # TonenGeneral Sekiyu K.K. 42,000 396,725 # Toppan Printing Co., Ltd. 113,000 776,067 # Toray Industries, Inc. 278,000 1,814,441 Toshiba Corp. 764,000 2,992,483 Toshiba TEC Corp. 25,000 162,866 Tosoh Corp. 163,000 621,992 TOTO, Ltd. 46,000 650,686 Toyo Seikan Group Holdings, Ltd. 34,700 516,054 # Toyo Suisan Kaisha, Ltd. 16,000 512,500 Toyo Tire & Rubber Co., Ltd. 34,000 253,533 Toyobo Co., Ltd. 192,000 310,052 Toyoda Gosei Co., Ltd. 19,800 364,831 # Toyota Boshoku Corp. 9,300 96,137 Toyota Motor Corp. 343,900 18,580,281 Toyota Motor Corp. Sponsored ADR 103,254 11,194,799 # Toyota Tsusho Corp. 76,181 2,006,547 Trend Micro, Inc. 19,100 617,828 Trend Micro, Inc. Sponsored ADR 777 25,089 TS Tech Co., Ltd. 8,200 218,692 # Tsumura & Co. 9,000 213,921 Tsuruha Holdings, Inc. 2,200 221,422 # Ube Industries, Ltd. 374,000 633,637 # Unicharm Corp. 20,400 1,106,251 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED SHARES VALUE++ --------- ------------ JAPAN -- (Continued) United Arrows, Ltd. 800 $ 30,942 UNY Group Holdings Co., Ltd. 44,100 284,602 Ushio, Inc. 17,100 223,354 USS Co., Ltd. 43,100 628,232 Wacoal Holdings Corp. 27,000 266,335 West Japan Railway Co. 23,200 940,827 # Yahoo Japan Corp. 278,300 1,215,748 Yakult Honsha Co., Ltd. 17,200 929,661 # Yamada Denki Co., Ltd. 236,800 874,851 # Yamaguchi Financial Group, Inc. 48,000 442,647 Yamaha Corp. 30,200 404,640 Yamaha Motor Co., Ltd. 50,100 773,384 Yamato Holdings Co., Ltd. 60,900 1,253,211 Yamato Kogyo Co., Ltd. 7,600 219,170 Yamazaki Baking Co., Ltd. 24,000 293,240 # Yaskawa Electric Corp. 34,000 383,372 Yokogawa Electric Corp. 36,100 493,550 Yokohama Rubber Co., Ltd. (The) 64,000 571,649 # Zensho Holdings Co., Ltd. 6,000 60,655 Zeon Corp. 52,000 483,514 ------------ TOTAL JAPAN 526,435,731 ------------ NETHERLANDS -- (2.3%) Aegon NV(5927375) 445,663 4,085,130 Aegon NV(007924103) 22,558 207,985 Akzo Nobel NV 58,141 4,480,466 Akzo Nobel NV Sponsored ADR 5,988 153,113 # ArcelorMittal(B295F26) 107,323 1,743,999 ArcelorMittal(B03XPL1) 153,265 2,492,278 # ASML Holding NV(B929F46) 49,663 4,053,181 ASML Holding NV(B908F01) 16,254 1,322,913 Delta Lloyd NV 21,049 553,967 Fugro NV 15,891 1,053,011 # Gemalto NV 15,215 1,701,120 # Heineken NV 40,415 2,807,122 * ING Groep NV 437,455 6,253,356 #* ING Groep NV Sponsored ADR 345,739 4,944,068 Koninklijke Ahold NV 264,055 5,104,677 Koninklijke Ahold NV Sponsored ADR 7,679 148,128 Koninklijke Boskalis Westminster NV 24,151 1,368,799 Koninklijke DSM NV 32,455 2,330,521 * Koninklijke KPN NV 1,055,767 3,751,000 Koninklijke Philips NV(500472303) 11,413 364,759 Koninklijke Philips NV(5986622) 173,954 5,568,815 # Koninklijke Vopak NV 17,996 897,300 Randstad Holding NV 26,352 1,540,002 # Reed Elsevier NV 104,979 2,142,710 # Reed Elsevier NV Sponsored ADR 22,835 959,983 #* Royal Imtech NV 10,738 20,935 * SBM Offshore NV 31,251 572,027 TNT Express NV 56,732 511,243 # Unilever NV(B12T3J1) 242,733 10,408,659 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED SHARES VALUE++ ------- ----------- NETHERLANDS -- (Continued) # Unilever NV(904784709) 84,106 $ 3,601,419 # Wolters Kluwer NV 83,559 2,329,282 # Ziggo NV 28,044 1,217,750 ----------- TOTAL NETHERLANDS 78,689,718 ----------- NEW ZEALAND -- (0.1%) Auckland International Airport, Ltd. 182,313 624,407 Chorus, Ltd. 57,576 87,969 Contact Energy, Ltd. 65,243 320,471 Fletcher Building, Ltd. 120,029 1,020,646 Ryman Healthcare, Ltd. 27,430 204,906 Sky Network Television, Ltd. 23,000 132,751 SKYCITY Entertainment Group, Ltd. 28,225 103,066 Telecom Corp. of New Zealand, Ltd. 439,104 1,049,002 TrustPower, Ltd. 8,019 46,321 #* Xero, Ltd. 1,961 53,952 ----------- TOTAL NEW ZEALAND 3,643,491 ----------- NORWAY -- (0.8%) # Aker ASA Class A 4,790 162,250 Aker Solutions ASA 24,377 390,581 * Archer, Ltd. 31,266 42,646 Cermaq ASA 3,001 35,471 #* Det Norske Oljeselskap ASA 9,362 102,380 # DNB ASA 199,568 3,537,446 * DNO International ASA 83,791 291,005 Fred Olsen Energy ASA 7,661 244,377 # Gjensidige Forsikring ASA 34,121 629,691 Golar LNG, Ltd. 6,906 305,245 # Kongsberg Gruppen A.S. 6,143 144,199 Marine Harvest ASA 60,248 738,943 # Norsk Hydro ASA 312,394 1,675,429 # Norsk Hydro ASA Sponsored ADR 11,200 60,256 # Orkla ASA 149,735 1,238,396 # Petroleum Geo-Services ASA 77,048 930,254 Prosafe SE 36,219 319,233 # Schibsted ASA 14,887 856,606 Seadrill, Ltd.(B09RMQ1) 53,292 1,864,725 Seadrill, Ltd.(B0HWHV8) 19,180 675,520 # SpareBank 1 SR Bank ASA 10,477 101,617 Statoil ASA 182,602 5,566,694 Statoil ASA Sponsored ADR 38,709 1,179,463 Stolt-Nielsen, Ltd. 900 24,334 * Storebrand ASA 101,739 571,098 Subsea 7 SA 60,758 1,216,634 Telenor ASA 131,589 3,091,948 # TGS Nopec Geophysical Co. ASA 16,183 558,222 # Yara International ASA 38,653 1,827,183 ----------- TOTAL NORWAY 28,381,846 ----------- LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED SHARES VALUE++ --------- ---------- PORTUGAL -- (0.1%) * Banco Comercial Portugues SA 66,208 $ 20,120 #* Banco Espirito Santo SA 513,592 910,359 EDP - Energias de Portugal SA 355,905 1,728,865 * EDP Renovaveis SA 35,708 244,873 Galp Energia SGPS SA 54,721 948,425 Jeronimo Martins SGPS SA 35,510 621,048 Portugal Telecom SGPS SA 103,660 430,673 # Portugal Telecom SGPS SA Sponsored ADR 20,300 84,245 ---------- TOTAL PORTUGAL 4,988,608 ---------- SINGAPORE -- (1.2%) # Biosensors International Group, Ltd. 152,000 115,442 CapitaLand, Ltd. 593,750 1,519,569 City Developments, Ltd. 108,000 935,713 ComfortDelGro Corp., Ltd. 395,000 669,849 # Cosco Corp. Singapore, Ltd. 132,000 76,018 DBS Group Holdings, Ltd. 358,204 4,852,648 # Ezion Holdings, Ltd. 111,000 201,781 First Resources, Ltd. 91,000 186,888 Genting Singapore P.L.C. 1,300,000 1,377,485 Global Logistic Properties, Ltd. 500,000 1,139,544 Golden Agri-Resources, Ltd. 1,571,000 766,388 Great Eastern Holdings, Ltd. 6,000 91,037 GuocoLand, Ltd. 58,000 98,681 Hongkong Land Holdings, Ltd. 189,000 1,324,610 Hutchison Port Holdings Trust 937,000 637,682 Indofood Agri Resources, Ltd. 84,000 71,538 Jardine Cycle & Carriage, Ltd. 26,339 987,605 Keppel Corp., Ltd. 278,600 2,344,149 Keppel Land, Ltd. 141,000 390,069 M1, Ltd. 88,000 236,447 * Neptune Orient Lines, Ltd. 153,000 124,094 Noble Group, Ltd. 1,108,000 1,140,885 # Olam International, Ltd. 415,054 740,630 OUE Hospitality Trust 7,333 5,090 OUE, Ltd. 44,000 79,776 # Oversea-Chinese Banking Corp., Ltd. 502,380 3,874,445 SATS, Ltd. 150,736 381,594 SembCorp Industries, Ltd. 208,320 894,347 # SembCorp Marine, Ltd. 165,000 536,617 # SIA Engineering Co., Ltd. 32,000 122,370 Singapore Airlines, Ltd. 149,400 1,238,590 Singapore Exchange, Ltd. 166,000 918,025 Singapore Post, Ltd. 199,000 224,823 # Singapore Press Holdings, Ltd. 320,000 1,070,074 # Singapore Technologies Engineering, Ltd. 282,000 861,326 Singapore Telecommunications, Ltd. 1,527,650 4,679,370 # SMRT Corp., Ltd. 59,000 57,444 StarHub, Ltd. 110,000 364,900 Super Group, Ltd. 11,000 30,775 United Industrial Corp., Ltd. 96,000 256,730 United Overseas Bank, Ltd. 247,941 4,315,442 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- SINGAPORE -- (Continued) UOL Group, Ltd. 124,000 $ 636,646 Venture Corp., Ltd. 48,000 294,007 Wilmar International, Ltd. 382,000 1,038,205 ----------- TOTAL SINGAPORE 41,909,348 ----------- SPAIN -- (2.8%) Abertis Infraestructuras SA 97,296 2,190,098 # Acciona SA 7,527 612,290 # Acerinox SA 23,737 415,087 ACS Actividades de Construccion y Servicios SA 28,154 1,208,492 Amadeus IT Holding SA Class A 80,627 3,353,318 Banco Bilbao Vizcaya Argentaria SA 476,692 5,871,760 Banco Bilbao Vizcaya Argentaria SA Sponsored ADR 540,911 6,680,251 Banco de Sabadell SA 873,956 2,973,444 Banco Popular Espanol SA 379,301 2,795,041 Banco Santander SA 1,336,231 13,289,713 # Banco Santander SA Sponsored ADR 724,954 7,220,543 * Bankia SA 675,226 1,379,230 Bankinter SA 124,007 949,455 # CaixaBank SA 380,043 2,316,258 Distribuidora Internacional de Alimentacion SA 95,502 854,311 Ebro Foods SA 16,941 390,370 Enagas SA 43,114 1,328,289 Ferrovial SA 73,461 1,632,916 * Fomento de Construcciones y Contratas SA 7,734 170,604 Gas Natural SDG SA 74,037 2,123,012 Grifols SA 26,263 1,403,953 # Iberdrola SA 1,032,598 7,213,248 # Inditex SA 41,373 6,216,167 Indra Sistemas SA 13,729 257,858 Mapfre SA 209,020 881,542 * Mediaset Espana Comunicacion SA 31,341 347,775 Obrascon Huarte Lain SA 5,256 243,674 Prosegur Cia de Seguridad SA 26,700 178,783 Red Electrica Corp. SA 22,297 1,835,402 Repsol SA 106,439 2,865,802 Repsol SA Sponsored ADR 81,084 2,184,403 * Sacyr SA 32,707 215,420 Telefonica SA 433,045 7,267,408 # Telefonica SA Sponsored ADR 370,982 6,213,949 Zardoya Otis SA 30,859 541,355 ----------- TOTAL SPAIN 95,621,221 ----------- SWEDEN -- (2.6%) # Alfa Laval AB 60,909 1,622,821 Assa Abloy AB Class B 67,110 3,561,834 # Atlas Copco AB Class A 125,438 3,648,089 # Atlas Copco AB Class B 71,432 1,948,328 # Boliden AB 75,845 1,158,327 Electrolux AB Series B 51,867 1,441,683 # Elekta AB Class B 68,768 959,704 Getinge AB Class B 41,184 1,207,051 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED SHARES VALUE++ ------- ----------- SWEDEN -- (Continued) # Hennes & Mauritz AB Class B 188,698 $ 7,723,957 Hexagon AB Class B 49,033 1,569,822 Husqvarna AB Class A 12,600 104,285 Husqvarna AB Class B 78,695 657,071 ICA Gruppen AB 16,276 547,462 * Lundin Petroleum AB 36,534 784,247 Meda AB Class A 49,832 895,727 # Millicom International Cellular SA 11,771 1,166,681 Modern Times Group AB Class B 6,579 293,537 NCC AB Class B 2,952 103,425 Nordea Bank AB 636,373 9,221,425 # Ratos AB Class B 34,998 357,034 Sandvik AB 285,577 4,058,598 Scania AB Class B 60,716 1,849,795 Securitas AB Class B 90,897 1,098,821 Skandinaviska Enskilda Banken AB Class A 321,475 4,440,508 Skanska AB Class B 82,736 1,899,560 SKF AB Class B 86,473 2,245,539 #* SSAB AB Class A 34,790 303,744 #* SSAB AB Class B 10,905 82,501 Svenska Cellulosa AB Class A 5,862 163,934 Svenska Cellulosa AB Class B 116,858 3,285,232 Svenska Handelsbanken AB Class A 105,273 5,295,226 Swedbank AB Class A 188,752 5,051,365 Swedish Match AB 42,076 1,443,494 Tele2 AB Class B 126,848 1,621,004 Telefonaktiebolaget LM Ericsson Class A 14,581 168,076 Telefonaktiebolaget LM Ericsson Class B 568,712 6,857,790 Telefonaktiebolaget LM Ericsson Sponsored ADR 44,578 534,490 TeliaSonera AB 493,711 3,593,749 # Trelleborg AB Class B 54,944 1,175,610 Volvo AB Class A 79,048 1,272,676 Volvo AB Class B 268,370 4,249,408 Volvo AB Sponsored ADR 14,500 228,230 ----------- TOTAL SWEDEN 89,891,860 ----------- SWITZERLAND -- (7.0%) ABB, Ltd. 268,780 6,471,170 # ABB, Ltd. Sponsored ADR 175,582 4,199,921 Actelion, Ltd. 20,646 2,032,673 Adecco SA 30,064 2,523,934 Alpiq Holding AG 365 44,791 Aryzta AG 27,575 2,548,908 Baloise Holding AG 12,700 1,546,524 Banque Cantonale Vaudoise 538 319,350 Barry Callebaut AG 586 796,402 # Basler Kantonalbank 1,000 86,444 Cie Financiere Richemont SA 99,748 10,148,362 Clariant AG 105,305 2,076,605 Credit Suisse Group AG 232,335 7,365,631 Credit Suisse Group AG Sponsored ADR 71,274 2,257,248 # DKSH Holding AG 4,835 399,010 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED SHARES VALUE++ ------- ------------ SWITZERLAND -- (Continued) * Dufry AG 6,099 $ 1,009,364 EMS-Chemie Holding AG 1,411 550,569 # Galenica AG 1,155 1,176,113 Geberit AG 7,527 2,513,943 Givaudan SA 1,757 2,772,853 Holcim, Ltd. 60,010 5,503,900 Julius Baer Group, Ltd. 55,844 2,615,755 Kuehne + Nagel International AG 10,272 1,404,601 Lindt & Spruengli AG 22 1,283,443 Lonza Group AG 12,094 1,265,765 Nestle SA 588,034 45,445,776 Novartis AG 286,619 24,916,505 Novartis AG ADR 87,725 7,626,811 OC Oerlikon Corp. AG 47,466 756,119 Partners Group Holding AG 3,063 838,702 PSP Swiss Property AG 2,517 241,922 Roche Holding AG(7108918) 4,778 1,394,786 Roche Holding AG(7110388) 142,306 41,744,908 Schindler Holding AG 2,881 439,756 SGS SA 1,117 2,790,375 Sika AG 457 1,849,112 Sonova Holding AG 9,165 1,324,019 Sulzer AG 6,198 956,366 Swatch Group AG (The)(7184725) 6,509 4,185,547 Swatch Group AG (The)(7184736) 7,914 954,902 Swiss Life Holding AG 7,845 1,932,817 Swiss Re AG 80,180 7,011,026 Swisscom AG 4,751 2,890,409 Syngenta AG 9,824 3,890,217 # Syngenta AG ADR 37,300 2,929,915 UBS AG(B18YFJ4) 640,816 13,401,938 UBS AG(H89231338) 124,245 2,597,963 Zurich Insurance Group AG 32,332 9,271,481 ------------ TOTAL SWITZERLAND 242,304,651 ------------ UNITED KINGDOM -- (17.1%) Aberdeen Asset Management P.L.C. 262,576 1,942,126 Admiral Group P.L.C. 30,710 725,233 Aggreko P.L.C. 87,752 2,342,041 AMEC P.L.C. 70,608 1,474,660 Anglo American P.L.C. 488,404 13,056,552 Antofagasta P.L.C. 117,605 1,567,346 ARM Holdings P.L.C. 157,970 2,390,907 ARM Holdings P.L.C. Sponsored ADR 34,545 1,572,488 Ashmore Group P.L.C. 41,357 245,655 Ashtead Group P.L.C. 102,705 1,521,696 Associated British Foods P.L.C. 74,044 3,717,782 AstraZeneca P.L.C. 135,231 10,674,404 AstraZeneca P.L.C. Sponsored ADR 119,803 9,470,427 Aviva P.L.C. 949,163 8,458,741 # Aviva P.L.C. Sponsored ADR 15,032 269,524 Babcock International Group P.L.C. 75,422 1,522,315 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- UNITED KINGDOM -- (Continued) BAE Systems P.L.C. 858,034 $ 5,805,003 Balfour Beatty P.L.C. 42,765 203,094 Barclays P.L.C. 937,372 4,002,618 Barclays P.L.C. Sponsored ADR 551,129 9,429,817 Barratt Developments P.L.C. 205,217 1,283,460 Berkeley Group Holdings P.L.C. 16,316 633,088 BG Group P.L.C. 637,847 12,903,202 BG Group P.L.C. Sponsored ADR 56,914 1,158,769 BHP Billiton P.L.C. 127,971 4,154,498 # BHP Billiton P.L.C. ADR 135,409 8,760,962 BP P.L.C. 480,199 4,054,374 BP P.L.C. Sponsored ADR 567,667 28,735,304 British American Tobacco P.L.C. 285,586 16,491,143 # British American Tobacco P.L.C. Sponsored ADR 43,359 4,987,152 British Sky Broadcasting Group P.L.C. 209,622 3,119,753 British Sky Broadcasting Group P.L.C. Sponsored ADR 647 38,891 BT Group P.L.C. 1,129,438 7,050,678 BT Group P.L.C. Sponsored ADR 35,602 2,231,177 Bunzl P.L.C. 61,814 1,761,188 Burberry Group P.L.C. 87,452 2,196,291 * Cairn Energy P.L.C. 99,844 310,992 Capita P.L.C. 138,585 2,541,293 Carnival P.L.C. 33,012 1,319,780 # Carnival P.L.C. ADR 19,088 761,802 Centrica P.L.C. 1,313,344 7,324,569 Cobham P.L.C. 148,789 776,212 Coca-Cola HBC AG 8,073 204,590 Coca-Cola HBC AG ADR 27,952 704,111 Compass Group P.L.C. 387,372 6,170,426 Croda International P.L.C. 24,141 1,051,449 Daily Mail & General Trust P.L.C. 23,494 323,844 Diageo P.L.C. 160,103 4,905,523 # Diageo P.L.C. Sponsored ADR 84,093 10,324,939 easyJet P.L.C. 43,766 1,210,989 * Essar Energy P.L.C. 36,918 41,893 * Evraz P.L.C. 51,040 83,245 Experian P.L.C. 209,203 4,022,341 Ferrexpo P.L.C. 3,692 9,107 Fresnillo P.L.C. 42,695 615,660 G4S P.L.C. 499,532 1,994,367 GKN P.L.C. 532,652 3,462,769 GlaxoSmithKline P.L.C. 528,451 14,601,382 GlaxoSmithKline P.L.C. Sponsored ADR 229,916 12,730,449 Glencore Xstrata P.L.C. 1,700,077 9,173,213 Hargreaves Lansdown P.L.C. 36,360 719,771 HSBC Holdings P.L.C. 1,640,666 16,763,687 HSBC Holdings P.L.C. Sponsored ADR 376,440 19,318,900 ICAP P.L.C. 101,460 710,715 IMI P.L.C. 50,232 1,274,012 Imperial Tobacco Group P.L.C. 154,581 6,680,121 # Imperial Tobacco Group P.L.C. ADR 19,700 1,717,643 Informa P.L.C. 111,055 906,912 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- UNITED KINGDOM -- (Continued) Inmarsat P.L.C. 36,824 $ 453,098 InterContinental Hotels Group P.L.C. 56,353 1,925,964 * International Consolidated Airlines Group SA 242,113 1,655,817 Intertek Group P.L.C. 32,100 1,581,216 Investec P.L.C. 143,706 1,268,028 ITV P.L.C. 778,718 2,395,414 J Sainsbury P.L.C. 334,995 1,900,360 John Wood Group P.L.C. 72,050 955,363 Johnson Matthey P.L.C. 59,496 3,291,329 #* Kazakhmys P.L.C. 51,525 207,619 Kingfisher P.L.C. 529,673 3,748,166 Legal & General Group P.L.C. 1,200,837 4,298,685 * Lloyds Banking Group P.L.C. 6,055,390 7,721,909 * Lloyds Banking Group P.L.C. ADR 819,492 4,236,774 London Stock Exchange Group P.L.C. 49,992 1,532,077 * Lonmin P.L.C. 41,655 199,851 Man Group P.L.C. 323,056 539,132 Marks & Spencer Group P.L.C. 378,026 2,826,240 Meggitt P.L.C. 188,405 1,519,696 Melrose Industries P.L.C. 226,842 1,095,436 Mondi P.L.C. 113,521 1,887,162 National Grid P.L.C. 298,564 4,243,563 # National Grid P.L.C. Sponsored ADR 64,610 4,591,186 Next P.L.C. 33,367 3,681,109 Old Mutual P.L.C. 1,377,819 4,657,143 Pearson P.L.C. 111,757 2,095,663 # Pearson P.L.C. Sponsored ADR 47,347 888,703 Pennon Group P.L.C. 63,747 816,067 * Persimmon P.L.C. 71,301 1,582,310 Petrofac, Ltd. 81,927 2,010,687 Prudential P.L.C. 357,167 8,210,950 # Prudential P.L.C. ADR 67,278 3,107,571 Randgold Resources, Ltd. 15,527 1,248,108 Reckitt Benckiser Group P.L.C. 127,159 10,265,031 Reed Elsevier P.L.C. 130,874 1,930,080 # Reed Elsevier P.L.C. Sponsored ADR 25,323 1,497,602 Resolution, Ltd. 369,072 1,861,911 Rexam P.L.C. 268,581 2,251,763 Rio Tinto P.L.C. 150,148 8,163,199 # Rio Tinto P.L.C. Sponsored ADR 106,931 5,805,284 Rolls-Royce Holdings P.L.C. 442,168 7,853,999 * Royal Bank of Scotland Group P.L.C. 390,043 1,976,132 * Royal Bank of Scotland Group P.L.C. Sponsored ADR 25,196 255,991 # Royal Dutch Shell P.L.C. ADR(780259107) 258,685 21,897,685 Royal Dutch Shell P.L.C. ADR(780259206) 195,713 15,410,442 Royal Dutch Shell P.L.C. Class A(B09CBL4) 45,507 1,800,155 Royal Dutch Shell P.L.C. Class A(B03MLX2) 11,408 451,006 Royal Dutch Shell P.L.C. Class B 2,917 123,859 RSA Insurance Group P.L.C. 1,162,374 1,930,024 SABMiller P.L.C. 177,232 9,650,453 Sage Group P.L.C. (The) 322,404 2,325,655 Schroders P.L.C.(0239581) 10,724 353,323 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED SHARES VALUE++ ---------- -------------- UNITED KINGDOM -- (Continued) Schroders P.L.C.(0240549) 23,137 $ 1,000,581 Serco Group P.L.C. 86,339 492,107 Severn Trent P.L.C. 50,696 1,580,270 Shire P.L.C. 58,511 3,346,357 Shire P.L.C. ADR 18,687 3,209,492 Smith & Nephew P.L.C. 138,654 2,162,051 Smith & Nephew P.L.C. Sponsored ADR 12,975 1,011,272 Smiths Group P.L.C. 110,522 2,494,889 * Sports Direct International P.L.C. 45,572 604,269 SSE P.L.C. 188,729 4,866,661 St James's Place P.L.C. 117,933 1,536,982 Standard Chartered P.L.C. 439,931 9,527,690 Standard Life P.L.C. 469,495 3,035,281 Tate & Lyle P.L.C. 102,619 1,216,510 Taylor Wimpey P.L.C. 797,030 1,417,474 Tesco P.L.C. 1,584,008 7,847,057 Travis Perkins P.L.C. 59,354 1,713,570 TUI Travel P.L.C. 125,087 904,785 Tullow Oil P.L.C. 145,530 2,164,802 Unilever P.L.C. 86,045 3,849,056 # Unilever P.L.C. Sponsored ADR 170,265 7,617,656 United Utilities Group P.L.C. 143,990 1,936,811 United Utilities Group P.L.C. ADR 5,177 138,899 # Vedanta Resources P.L.C. 26,516 424,607 Vodafone Group P.L.C. 1,865,884 7,084,028 Vodafone Group P.L.C. Sponsored ADR 316,816 12,026,349 Weir Group P.L.C. (The) 62,209 2,829,705 Whitbread P.L.C. 41,006 2,828,428 William Hill P.L.C. 177,809 1,065,438 WM Morrison Supermarkets P.L.C. 507,052 1,721,273 Wolseley P.L.C. 59,308 3,436,562 # Wolseley P.L.C. ADR 17,864 104,329 WPP P.L.C. 230,706 4,974,389 # WPP P.L.C. Sponsored ADR 15,674 1,691,695 -------------- TOTAL UNITED KINGDOM 592,746,380 -------------- TOTAL COMMON STOCKS 3,017,345,964 -------------- PREFERRED STOCKS -- (0.1%) GERMANY -- (0.1%) Porsche Automobil Holding SE 19,267 2,130,834 -------------- UNITED KINGDOM -- (0.0%) Rolls-Royce Holdings P.L.C. 55,465,682 93,648 -------------- TOTAL PREFERRED STOCKS 2,224,482 -------------- RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) #* Aquarius Platinum, Ltd. Rights 05/14/14 143,654 15,347 * Bank of Queensland, Ltd. Rights 05/09/14 9,430 -- -------------- TOTAL AUSTRALIA 15,347 -------------- LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED SHARES VALUE++ ---------- -------------- FRANCE -- (0.0%) * Groupe Fnac 3 $ 15 * Peugeot SA Warrants 04/29/17 66,118 126,494 -------------- TOTAL FRANCE 126,509 -------------- HONG KONG -- (0.0%) * Sun Hung Kai Properties 04/22/16 27,062 18,500 -------------- SPAIN -- (0.0%) * Banco Santander SA 1,336,231 282,687 -------------- UNITED KINGDOM -- (0.0%) * Babcock International Group P.L.C. Rights 05/06/14 29,008 195,911 -------------- TOTAL RIGHTS/WARRANTS 638,954 -------------- SHARES/ FACE AMOUNT (000) VALUE+ ---------- -------------- SECURITIES LENDING COLLATERAL -- (12.8%) (S)@ DFA Short Term Investment Fund 38,225,151 442,265,001 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $2,739,201,752) $3,462,474,401 ============== LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, 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 $ 7,543,149 $ 199,296,680 -- $ 206,839,829 Austria 189,081 9,292,908 -- 9,481,989 Belgium 3,688,738 31,295,155 -- 34,983,893 Canada 281,865,274 -- -- 281,865,274 Denmark 5,290,431 38,396,333 -- 43,686,764 Finland 1,730,140 27,112,727 -- 28,842,867 France 19,252,865 265,038,168 -- 284,291,033 Germany 23,571,412 220,871,480 -- 244,442,892 Hong Kong 1,032,065 82,288,647 -- 83,320,712 Ireland 2,381,377 8,405,587 -- 10,786,964 Israel 7,382,132 6,253,529 -- 13,635,661 Italy 6,588,527 63,966,705 -- 70,555,232 Japan 38,521,216 487,914,515 -- 526,435,731 Netherlands 13,446,367 65,243,351 -- 78,689,718 New Zealand -- 3,643,491 -- 3,643,491 Norway 2,220,484 26,161,362 -- 28,381,846 Portugal 84,245 4,904,363 -- 4,988,608 Singapore -- 41,909,348 -- 41,909,348 Spain 22,299,146 73,322,075 -- 95,621,221 Sweden 762,720 89,129,140 -- 89,891,860 Switzerland 19,611,858 222,692,793 -- 242,304,651 United Kingdom 195,703,285 397,043,095 -- 592,746,380 Preferred Stocks Germany -- 2,130,834 -- 2,130,834 United Kingdom -- 93,648 -- 93,648 Rights/Warrants Australia -- 15,347 -- 15,347 France -- 126,509 -- 126,509 Hong Kong -- 18,500 -- 18,500 Spain -- 282,687 -- 282,687 United Kingdom -- 195,911 -- 195,911 Securities Lending Collateral -- 442,265,001 -- 442,265,001 ------------ -------------- -- -------------- TOTAL $653,164,512 $2,809,309,889 -- $3,462,474,401 ============ ============== == ============== INTERNATIONAL CORE EQUITY PORTFOLIO SCHEDULE OF INVESTMENTS APRIL 30, 2014 (UNAUDITED) SHARES VALUE++ --------- ----------- COMMON STOCKS -- (87.6%) AUSTRALIA -- (5.4%) # Acrux, Ltd. 51,372 $ 49,626 Adelaide Brighton, Ltd. 742,307 2,705,722 * Aditya Birla Minerals, Ltd. 222,001 48,466 * AED Oil, Ltd. 237,059 -- AGL Energy, Ltd. 187,353 2,750,336 Ainsworth Game Technology, Ltd. 98,501 381,011 #* AJ Lucas Group, Ltd. 37,498 32,010 * Alcyone Resources, Ltd. 103,559 96 * Alkane Resources, Ltd. 94,116 26,752 # ALS, Ltd. 384,648 2,690,230 # Altium, Ltd. 4,383 9,141 * Alumina, Ltd. 3,014,907 3,787,160 * Alumina, Ltd. Sponsored ADR 468,068 2,321,617 Amalgamated Holdings, Ltd. 156,536 1,279,921 # Amcom Telecommunications, Ltd. 298,939 584,856 Amcor, Ltd. 593,038 5,691,363 Amcor, Ltd. Sponsored ADR 30,507 1,171,774 AMP, Ltd. 2,348,547 11,052,634 # Ansell, Ltd. 134,973 2,273,090 #* Antares Energy, Ltd. 238,797 88,937 AP Eagers, Ltd. 58,625 275,538 # APA Group 603,243 3,739,101 * APN News & Media, Ltd. 1,204,518 794,399 #* Aquarius Platinum, Ltd. 299,539 107,349 #* Aquila Resources, Ltd. 139,638 325,730 # ARB Corp., Ltd. 59,106 671,274 Aristocrat Leisure, Ltd. 440,512 2,066,696 Arrium, Ltd. 3,030,916 3,377,821 Asciano, Ltd. 1,131,961 5,712,308 * ASG Group, Ltd. 144,688 48,425 ASX, Ltd. 161,346 5,339,258 * Atlantic, Ltd. 34,067 5,538 # Atlas Iron, Ltd. 1,941,212 1,646,387 Aurizon Holdings, Ltd. 646,911 3,123,429 * Aurora Oil & Gas, Ltd. 412,950 1,569,060 # Ausdrill, Ltd. 512,471 444,609 Ausenco, Ltd. 234,794 121,269 * Austal, Ltd. 196,775 192,129 # Austbrokers Holdings, Ltd. 33,730 318,835 # Austin Engineering, Ltd. 51,043 97,852 Australia & New Zealand Banking Group, Ltd. 1,174,816 37,779,466 #* Australian Agricultural Co., Ltd. 615,088 731,888 Australian Infrastructure Fund, Ltd. 602,974 2,525 Australian Pharmaceutical Industries, Ltd. 476,014 256,797 Automotive Holdings Group, Ltd. 416,225 1,551,643 Aveo Group 400,583 757,857 * AVJennings, Ltd. 200,265 107,524 * AWE, Ltd. 1,077,681 1,574,329 Bank of Queensland, Ltd. 648,887 7,418,418 BC Iron, Ltd. 148,020 603,064 Beach Energy, Ltd. 2,798,898 4,479,252 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- AUSTRALIA -- (Continued) * Beadell Resources, Ltd. 150,942 $ 92,928 Bega Cheese, Ltd. 32,042 153,519 Bendigo and Adelaide Bank, Ltd. 777,142 8,329,113 BHP Billiton, Ltd. 463,667 16,328,773 # BHP Billiton, Ltd. Sponsored ADR 195,277 13,774,840 * Billabong International, Ltd. 721,634 319,161 * Bionomics, Ltd. 19,472 8,537 # Blackmores, Ltd. 4,058 101,369 #* Blackthorn Resources, Ltd. 59,877 9,203 * BlueScope Steel, Ltd. 1,080,710 6,533,741 #* Boart Longyear, Ltd. 770,525 204,958 * Boom Logistics, Ltd. 320,214 47,873 # Boral, Ltd. 1,463,386 7,766,440 # Bradken, Ltd. 345,929 1,365,234 Brambles, Ltd. 698,936 6,145,933 Breville Group, Ltd. 102,737 877,318 Brickworks, Ltd. 47,792 595,765 BT Investment Management, Ltd. 71,588 446,824 # Cabcharge Australia, Ltd. 212,282 766,265 Caltex Australia, Ltd. 198,456 4,119,623 # Cardno, Ltd. 217,435 1,416,073 * Carnarvon Petroleum, Ltd. 856,412 69,380 carsales.com, Ltd. 204,781 2,073,860 # Cash Converters International, Ltd. 482,381 489,602 Cedar Woods Properties, Ltd. 9,876 66,516 * Centrebet International, Ltd. Claim Units 22,005 -- Challenger, Ltd. 491,725 3,235,198 * ChemGenex Pharmaceuticals, Ltd. 6,842 -- * Citigold Corp., Ltd. 806,483 30,012 * Clinuvel Pharmaceuticals, Ltd. 13,426 18,330 #* Coal of Africa, Ltd. 400,214 27,656 Coca-Cola Amatil, Ltd. 239,638 2,068,732 # Cochlear, Ltd. 47,775 2,611,527 * Cockatoo Coal, Ltd. 2,245,523 72,815 # Codan, Ltd. 44,929 28,010 * Coffey International, Ltd. 136,278 28,632 Commonwealth Bank of Australia 384,649 28,295,122 * Compass Resources, Ltd. 18,720 -- Computershare, Ltd. 183,052 2,109,987 Corporate Travel Management, Ltd. 4,453 25,611 Coventry Group, Ltd. 13,156 31,292 # Credit Corp. Group, Ltd. 45,692 382,823 Crowe Horwath Australasia, Ltd. 240,888 82,818 # Crown Resorts, Ltd. 214,027 3,202,643 CSG, Ltd. 86,778 70,617 CSL, Ltd. 95,558 6,091,852 CSR, Ltd. 984,393 3,352,459 * Cue Energy Resources, Ltd. 287,579 32,145 # Data#3, Ltd. 39,367 21,252 # David Jones, Ltd. 1,063,961 3,897,654 # Decmil Group, Ltd. 232,257 440,145 * Deep Yellow, Ltd. 403,728 9,752 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- AUSTRALIA -- (Continued) * Devine, Ltd. 109,847 $ 72,405 # Domino's Pizza Enterprises, Ltd. 44,070 812,911 Downer EDI, Ltd. 937,553 4,376,791 #* Drillsearch Energy, Ltd. 893,842 1,338,481 DuluxGroup, Ltd. 595,596 3,181,204 DWS, Ltd. 57,318 57,554 # Echo Entertainment Group, Ltd. 1,373,810 3,613,379 #* Elders, Ltd. 974,226 99,731 #* Emeco Holdings, Ltd. 1,092,630 266,132 #* Energy Resources of Australia, Ltd. 240,348 296,119 #* Energy World Corp., Ltd. 1,142,002 303,260 Envestra, Ltd. 1,308,457 1,420,027 Equity Trustees, Ltd. 2,395 39,677 * Eservglobal, Ltd. 76,359 56,924 Euroz, Ltd. 64,770 75,884 # Evolution Mining, Ltd. 370,498 295,600 Fairfax Media, Ltd. 3,270,063 2,987,770 Fantastic Holdings, Ltd. 975 1,696 #* FAR, Ltd. 2,438,534 104,367 Finbar Group, Ltd. 2,330 3,588 # Fleetwood Corp., Ltd. 83,044 178,606 # Flight Centre Travel Group, Ltd. 50,197 2,517,589 * Flinders Mines, Ltd. 166,568 3,260 * Focus Minerals, Ltd. 5,795,439 65,141 # Forge Group, Ltd. 76,644 -- # Fortescue Metals Group, Ltd. 1,075,637 5,087,693 Funtastic, Ltd. 204,519 22,844 # G8 Education, Ltd. 48,040 209,523 * Geodynamics, Ltd. 62,596 3,488 Goodman Fielder, Ltd. 3,476,238 2,181,632 GrainCorp, Ltd. Class A 332,877 2,745,387 # Grange Resources, Ltd. 460,396 111,898 * Gryphon Minerals, Ltd. 427,238 54,117 # GUD Holdings, Ltd. 149,375 743,943 #* Gunns, Ltd. 1,359,648 -- # GWA Group, Ltd. 483,681 1,213,566 # Harvey Norman Holdings, Ltd. 1,057,594 3,236,712 HFA Holdings, Ltd. 133,879 124,797 Hills, Ltd. 320,028 503,595 #* Horizon Oil, Ltd. 1,463,538 518,337 * Icon Energy, Ltd. 357,233 44,822 iiNET, Ltd. 227,480 1,518,653 # Iluka Resources, Ltd. 517,817 4,301,922 # Imdex, Ltd. 336,336 230,495 # IMF Australia, Ltd. 74,143 127,981 # Incitec Pivot, Ltd. 2,835,458 7,611,132 Independence Group NL 401,748 1,628,691 * Indophil Resources NL 172,218 22,464 #* Infigen Energy 693,403 119,339 Infomedia, Ltd. 80,383 50,906 Insurance Australia Group, Ltd. 2,238,221 11,962,749 Integrated Research, Ltd. 42,144 41,972 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- AUSTRALIA -- (Continued) Invocare, Ltd. 133,752 $ 1,326,014 IOOF Holdings, Ltd. 339,090 2,681,027 Iress, Ltd. 135,090 1,042,249 James Hardie Industries P.L.C. 246,484 3,164,411 # James Hardie Industries P.L.C. Sponsored ADR 8,092 519,021 # JB Hi-Fi, Ltd. 169,582 3,047,381 * Kagara, Ltd. 743,096 15,878 * Kangaroo Resources, Ltd. 157,028 1,601 #* Kingsgate Consolidated, Ltd. 276,517 231,167 * Kingsrose Mining, Ltd. 76,233 28,704 * Lednium, Ltd. 21,998 -- # Leighton Holdings, Ltd. 122,331 2,175,313 Lend Lease Group 582,260 7,037,188 * Lonestar Resources, Ltd. 234,309 62,272 Lycopodium, Ltd. 6,626 20,084 # M2 Group, Ltd. 191,828 1,007,955 MACA, Ltd. 93,066 185,974 * Macmahon Holdings, Ltd. 1,841,800 180,593 Macquarie Atlas Roads Group 168,964 490,207 Macquarie Group, Ltd. 259,895 14,002,073 Magellan Financial Group, Ltd. 34,030 397,688 * Marion Energy, Ltd. 119,950 111 * Matrix Composites & Engineering, Ltd. 24,634 28,326 MaxiTRANS Industries, Ltd. 182,505 162,841 * Mayne Pharma Group, Ltd. 247,527 196,128 McMillan Shakespeare, Ltd. 51,729 468,562 McPherson's, Ltd. 69,593 75,640 #* Medusa Mining, Ltd. 128,654 216,175 # Melbourne IT, Ltd. 123,857 166,342 Mermaid Marine Australia, Ltd. 533,018 1,061,817 * Metals X, Ltd. 522,805 100,054 # Metcash, Ltd. 1,464,202 3,782,507 Mincor Resources NL 344,392 258,145 * Mineral Deposits, Ltd. 137,059 254,962 Mineral Resources, Ltd. 311,393 3,380,992 # Monadelphous Group, Ltd. 118,125 1,925,942 Mortgage Choice, Ltd. 98,654 243,545 # Mount Gibson Iron, Ltd. 1,679,865 1,147,225 # Myer Holdings, Ltd. 1,306,761 2,707,149 * Nanosonics, Ltd. 11,184 8,437 National Australia Bank, Ltd. 1,331,618 43,846,685 * Navigator Resources, Ltd. 296 52 Navitas, Ltd. 186,606 1,279,639 * Nearmap, Ltd. 90,193 33,767 * Neon Energy, Ltd. 639,154 7,746 # New Hope Corp., Ltd. 345,869 1,005,220 * Newcrest Mining, Ltd. 577,907 5,636,431 #* Newsat, Ltd. 27,533 9,728 * Nexus Energy, Ltd. 1,749,892 32,513 NIB Holdings, Ltd. 586,730 1,502,047 Nick Scali, Ltd. 25,854 65,144 * Nido Petroleum, Ltd. 1,055,002 37,308 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- AUSTRALIA -- (Continued) * Northern Iron, Ltd. 51,752 $ 9,128 Northern Star Resources, Ltd. 552,544 604,414 # NRW Holdings, Ltd. 550,358 575,760 # Nufarm, Ltd. 343,216 1,327,728 Oakton, Ltd. 50,767 68,500 Oil Search, Ltd. 319,924 2,650,576 * OM Holdings, Ltd. 26,600 8,282 Orica, Ltd. 265,372 5,415,844 Origin Energy, Ltd. 1,193,907 16,585,628 #* Orocobre, Ltd. 10,062 20,895 Orora, Ltd. 593,038 768,960 OrotonGroup, Ltd. 19,916 76,093 * Otto Energy, Ltd. 168,000 13,605 OZ Minerals, Ltd. 520,427 1,791,074 Pacific Brands, Ltd. 1,803,791 849,274 #* Paladin Energy, Ltd. 1,440,568 585,881 PanAust, Ltd. 1,033,594 1,554,355 Panoramic Resources, Ltd. 404,278 237,158 * PaperlinX, Ltd. 745,156 24,917 Patties Foods, Ltd. 5,122 5,480 * Peet, Ltd. 222,729 266,939 Perpetual, Ltd. 55,415 2,425,880 * Perseus Mining, Ltd. 264,706 86,662 * Petsec Energy, Ltd. 48,701 3,721 * Pharmaxis, Ltd. 167,818 12,352 Platinum Asset Management, Ltd. 209,724 1,288,467 #* Platinum Australia, Ltd. 400,751 2,234 * PMP, Ltd. 379,844 150,527 Premier Investments, Ltd. 171,725 1,586,067 Primary Health Care, Ltd. 932,185 4,074,326 * Prime AET&D Holdings No.1, Ltd 26 -- Prime Media Group, Ltd. 153,855 141,540 Programmed Maintenance Services, Ltd. 229,865 608,648 #* Qantas Airways, Ltd. 2,208,543 2,512,292 QBE Insurance Group, Ltd. 830,760 8,966,089 Qube Holdings, Ltd. 87,525 181,241 #* Ramelius Resources, Ltd. 400,885 39,220 # Ramsay Health Care, Ltd. 54,413 2,273,592 RCR Tomlinson, Ltd. 265,819 676,913 REA Group, Ltd. 31,504 1,373,969 * Recall Holdings, Ltd. 70,681 298,618 # Reckon, Ltd. 43,643 79,934 #* Red Fork Energy, Ltd. 581,251 56,749 Redflex Holdings, Ltd. 49,622 47,323 Reece Australia, Ltd. 10,902 308,849 * Regional Express Holdings, Ltd. 17,416 12,459 # Regis Resources, Ltd. 262,244 594,713 # Reject Shop, Ltd. (The) 37,514 349,430 * Resolute Mining, Ltd. 1,063,716 601,262 Retail Food Group, Ltd. 53,303 207,303 Ridley Corp., Ltd. 386,533 303,460 Rio Tinto, Ltd. 218,169 12,581,630 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- AUSTRALIA -- (Continued) * RiverCity Motorway Group 133,238 $ -- * Roc Oil Co., Ltd. 1,316,484 587,979 # SAI Global, Ltd. 562,758 2,236,027 # Salmat, Ltd. 68,805 122,358 #* Samson Oil & Gas, Ltd. 456,014 7,882 #* Samson Oil & Gas, Ltd. Sponsored ADR 64,300 23,161 * Sandfire Resources NL 135,067 717,517 Santos, Ltd. 958,617 12,290,779 #* Saracen Mineral Holdings, Ltd. 1,362,506 419,478 Sedgman, Ltd. 85,757 35,864 # Seek, Ltd. 230,989 3,617,705 Select Harvests, Ltd. 19,859 116,472 #* Senex Energy, Ltd. 1,651,700 1,025,938 Servcorp, Ltd. 32,462 140,037 Seven Group Holdings, Ltd. 195,745 1,499,413 Seven West Media, Ltd. 561,460 975,561 Sigma Pharmaceuticals, Ltd. 2,050,712 1,383,982 #* Silex Systems, Ltd. 70,513 118,896 # Silver Chef, Ltd. 3,658 17,398 #* Silver Lake Resources, Ltd. 283,424 108,457 #* Sims Metal Management, Ltd. 364,879 3,337,070 * Sims Metal Management, Ltd. Sponsored ADR 3,500 31,570 * Sino Strategic International, Ltd. 9,056 -- Sirtex Medical, Ltd. 51,532 756,364 Skilled Group, Ltd. 365,271 934,161 # Slater & Gordon, Ltd. 88,031 386,238 # SMS Management & Technology, Ltd. 132,106 461,451 Sonic Healthcare, Ltd. 253,472 4,181,063 # Southern Cross Media Group, Ltd. 1,049,519 1,256,830 # SP AusNet 1,383,037 1,802,310 Spark Infrastructure Group 1,817,569 2,986,794 Specialty Fashion Group, Ltd. 67,582 58,214 #* St Barbara, Ltd. 851,056 171,070 * Starpharma Holdings, Ltd. 96,088 63,487 #* Straits Resources, Ltd. 233,593 1,090 STW Communications Group, Ltd. 734,567 964,902 Suncorp Group, Ltd. 1,366,963 16,600,648 * Sundance Energy Australia, Ltd. 372,784 361,428 Sunland Group, Ltd. 162,346 252,307 # Super Retail Group, Ltd. 198,265 1,876,639 Swick Mining Services, Ltd. 139,495 33,091 # Sydney Airport 407,900 1,602,833 Tabcorp Holdings, Ltd. 1,637,869 5,676,298 * Tap Oil, Ltd. 383,218 147,973 Tassal Group, Ltd. 137,287 529,731 Tatts Group, Ltd. 2,717,064 7,641,944 Technology One, Ltd. 219,129 514,416 # Telstra Corp., Ltd. 655,851 3,188,817 Telstra Corp., Ltd. ADR 36,500 884,760 #* Ten Network Holdings, Ltd. 3,210,250 808,642 # TFS Corp., Ltd. 179,862 284,876 Thorn Group, Ltd. 47,433 94,443 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ------------ AUSTRALIA -- (Continued) * Tiger Resources, Ltd. 815,185 $ 271,127 Toll Holdings, Ltd. 1,413,381 6,971,635 # Tox Free Solutions, Ltd. 227,002 731,019 TPG Telecom, Ltd. 426,055 2,362,495 * Transfield Services, Ltd. 832,254 745,263 * Transpacific Industries Group, Ltd. 2,625,827 2,730,626 Transurban Group 440,945 2,978,068 Treasury Group, Ltd. 367 3,341 Treasury Wine Estates, Ltd. 1,246,420 4,438,916 #* Troy Resources, Ltd. 96,607 88,164 # UGL, Ltd. 320,522 2,015,771 * Unity Mining, Ltd. 255,688 3,802 # UXC, Ltd. 456,869 358,968 Village Roadshow, Ltd. 126,515 830,614 #* Virgin Australia Holdings, Ltd. 3,442,482 1,184,797 * Virgin Australia Holdings, Ltd. (ACI01NXR8) 3,195,173 3 * Vision Eye Institute, Ltd. 4,567 2,620 # Vocus Communications, Ltd. 81,000 339,603 # Washington H Soul Pattinson & Co., Ltd. 143,653 1,978,490 Watpac, Ltd. 141,372 105,908 WDS, Ltd. 74,726 75,911 # Webjet, Ltd. 41,661 106,524 Webster, Ltd. 17,208 17,099 Wesfarmers, Ltd. 565,149 22,492,425 # Western Areas, Ltd. 323,289 1,247,904 Westpac Banking Corp. 1,072,084 35,115,589 # Westpac Banking Corp. Sponsored ADR 262,300 8,574,587 #* Whitehaven Coal, Ltd. 269,150 366,770 # Wide Bay Australia, Ltd. 23,110 128,426 * Windimurra Vanadium, Ltd. 7,797 -- * Wollongong Coal, Ltd. 46,225 3,435 Woodside Petroleum, Ltd. 364,804 13,866,608 Woolworths, Ltd. 231,441 8,043,031 WorleyParsons, Ltd. 111,766 1,752,664 # Wotif.com Holdings, Ltd. 87,115 216,791 ------------ TOTAL AUSTRALIA 703,070,497 ------------ AUSTRIA -- (0.5%) * A-TEC Industries AG 19,046 -- Agrana Beteiligungs AG 3,302 382,205 Andritz AG 45,433 2,822,258 Atrium European Real Estate, Ltd. 123,891 713,584 Austria Technologie & Systemtechnik AG 22,767 265,832 * BUWOG AG 30,009 551,012 CA Immobilien Anlagen AG 47,864 912,395 Conwert Immobilien Invest SE 40,767 587,366 DO & CO AG 45 2,631 Erste Group Bank AG 285,882 9,612,596 EVN AG 44,366 618,281 # Flughafen Wien AG 16,240 1,594,408 Frauenthal Holding AG 70 887 IMMOFINANZ AG 600,182 2,228,821 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ----------- AUSTRIA -- (Continued) # Kapsch TrafficCom AG 3,172 $ 176,061 # Lenzing AG 8,735 557,614 # Mayr Melnhof Karton AG 12,860 1,637,367 Oberbank AG 2,295 159,042 # Oesterreichische Post AG 34,892 1,783,241 OMV AG 193,153 9,030,756 Palfinger AG 7,182 265,774 POLYTEC Holding AG 16,082 161,637 Raiffeisen Bank International AG 114,467 3,618,365 # RHI AG 27,460 961,205 Rosenbauer International AG 1,710 161,301 S IMMO AG 39,182 309,695 # Schoeller-Bleckmann Oilfield Equipment AG 11,256 1,430,850 Semperit AG Holding 11,576 646,290 Strabag SE 38,914 1,087,793 Telekom Austria AG 219,271 2,176,063 Telekom Austria AG ADR 4,200 82,698 UNIQA Insurance Group AG 70,216 896,936 # Verbund AG 41,250 799,779 Vienna Insurance Group AG Wiener Versicherung Gruppe 45,696 2,443,918 Voestalpine AG 129,286 5,905,706 Wienerberger AG 213,320 3,959,519 * Wolford AG 1,281 33,804 Zumtobel AG 54,462 1,132,405 ----------- TOTAL AUSTRIA 59,710,095 ----------- BELGIUM -- (1.2%) * Ablynx NV 34,801 415,504 Ackermans & van Haaren NV 47,953 6,200,939 Ageas 379,920 16,350,131 * AGFA-Gevaert NV 376,955 1,444,229 Anheuser-Busch InBev NV 228,944 24,953,943 Anheuser-Busch InBev NV Sponsored ADR 77,446 8,195,336 Arseus NV 41,030 2,324,111 Atenor Group 43 2,381 Banque Nationale de Belgique 290 1,399,888 Barco NV 24,361 1,815,535 # Belgacom SA 309,374 9,469,173 Cie d'Entreprises CFE 15,519 1,710,018 Cie Immobiliere de Belgique SA 2,277 130,198 Cie Maritime Belge SA 21,686 644,422 Colruyt SA 37,247 2,106,152 D'ieteren SA 32,829 1,518,773 * Deceuninck NV 114,292 392,593 # Delhaize Group SA 128,316 9,554,828 Delhaize Group SA Sponsored ADR 252,036 4,708,032 # Econocom Group 75,545 810,173 Elia System Operator SA 35,872 1,902,688 #* Euronav NV 53,268 644,596 EVS Broadcast Equipment SA 11,327 717,265 Exmar NV 55,459 925,645 * Hamon & CIE SA 743 16,377 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ------------ BELGIUM -- (Continued) * Ion Beam Applications 33,269 $ 460,166 Jensen-Group NV 2,121 41,177 KBC Groep NV 268,692 16,396,355 Kinepolis Group NV 11,337 2,219,480 Lotus Bakeries 88 97,750 * MDxHealth 4,082 24,854 Melexis NV 19,896 800,056 Mobistar SA 39,320 767,324 # NV Bekaert SA 75,797 3,084,786 # Nyrstar NV 259,682 1,033,955 * Picanol 688 27,334 * RealDolmen NV/SA 1,807 51,219 Recticel SA 40,704 366,542 Resilux 424 62,858 * Roularta Media Group NV 4,380 78,123 * Sapec 190 12,065 Sioen Industries NV 8,635 105,997 Sipef SA 10,251 895,417 Solvay SA 51,204 8,297,867 Telenet Group Holding NV 40,998 2,404,367 Tessenderlo Chemie NV 41,666 1,275,990 * ThromboGenics NV 14,254 454,138 # UCB SA 91,641 7,516,999 # Umicore SA 176,847 8,668,810 Van de Velde NV 8,710 463,607 * Viohalco SA 176,559 1,106,226 ------------ TOTAL BELGIUM 155,066,392 ------------ BRAZIL -- (0.0%) #* MBAC Fertilizer Corp. 12,700 6,373 ------------ CANADA -- (7.7%) * 5N Plus, Inc. 76,342 336,419 Absolute Software Corp. 57,068 357,700 # Acadian Timber Corp. 400 4,598 * Advantage Oil & Gas, Ltd. 380,818 2,411,274 Aecon Group, Inc. 132,836 2,231,204 # AG Growth International, Inc. 21,978 869,856 AGF Management, Ltd. Class B 162,356 1,808,646 * AgJunction, Inc. 46,880 43,627 Agnico Eagle Mines, Ltd.(2009823) 83,839 2,476,044 Agnico Eagle Mines, Ltd.(008474108) 39,852 1,178,025 Agrium, Inc.(2213538) 90,792 8,720,108 Agrium, Inc.(008916108) 520 49,956 Aimia, Inc. 220,272 3,547,102 * Ainsworth Lumber Co., Ltd. 134,429 461,159 #* Air Canada Class A 69,620 485,920 Akita Drilling, Ltd. Class A 11,400 182,849 Alacer Gold Corp. 379,614 907,430 Alamos Gold, Inc.(2411707) 135,042 1,262,881 * Alamos Gold, Inc.(011527108) 39,671 369,734 #* Alexco Resource Corp. 70,276 92,329 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- CANADA -- (Continued) Algoma Central Corp. 11,860 $ 169,344 # Algonquin Power & Utilities Corp. 323,344 2,324,666 Alimentation Couche Tard, Inc. Class B 133,500 3,762,433 Alliance Grain Traders, Inc. 33,751 564,441 # AltaGas, Ltd. 83,577 3,561,011 #* Alterra Power Corp. 170,495 49,777 Altus Group, Ltd. 31,026 550,573 #* Alvopetro Energy, Ltd. 182,934 158,558 * Amerigo Resources, Ltd. 153,100 68,445 Amica Mature Lifestyles, Inc. 2,500 17,905 * Anderson Energy, Ltd. 116,562 24,460 Andrew Peller, Ltd. Class A 2,000 24,634 * Antrim Energy, Inc. 134,688 7,988 # ARC Resources, Ltd. 158,761 4,710,467 #* Argonaut Gold, Inc. 286,755 1,059,585 Arsenal Energy, Inc. 13,035 79,679 #* Artek Exploration, Ltd. 83,515 325,358 Atco, Ltd. Class I 49,068 2,395,537 #* Athabasca Oil Corp. 448,007 3,327,199 * ATS Automation Tooling Systems, Inc. 121,349 1,572,151 AuRico Gold, Inc.(05155C105) 18,902 78,632 # AuRico Gold, Inc.(2287317) 570,571 2,373,800 AutoCanada, Inc. 23,942 1,529,073 * Avigilon Corp. 72,942 1,717,653 Axia NetMedia Corp. 50,400 118,637 #* B2Gold Corp. 1,227,876 3,528,863 Badger Daylighting, Ltd. 53,250 1,855,892 #* Ballard Power Systems, Inc. 162,070 591,469 # Bank of Montreal 291,100 20,065,330 Bank of Nova Scotia(064149107) 216,703 13,171,208 Bank of Nova Scotia(2076281) 270,575 16,441,123 * Bankers Petroleum, Ltd. 777,078 4,232,613 Barrick Gold Corp.(067901108) 523,924 9,152,952 Barrick Gold Corp.(2024644) 334,594 5,839,864 * Bauer Performance Sports, Ltd. 21,674 300,179 Baytex Energy Corp.(07317Q105) 20,400 848,640 # Baytex Energy Corp.(B4VGVM3) 34,411 1,432,261 BCE, Inc.(05534B760) 5,832 259,757 # BCE, Inc.(B188TH2) 39,916 1,777,201 # Bell Aliant, Inc. 72,619 1,788,890 * Bellatrix Exploration, Ltd. 278,108 2,704,832 * Birch Mountain Resources, Ltd. 1,200 -- #* Birchcliff Energy, Ltd. 214,428 2,486,547 # Bird Construction, Inc. 33,293 428,294 # Black Diamond Group, Ltd. 57,465 1,806,709 #* BlackBerry, Ltd.(09228F103) 276,347 2,116,818 #* BlackBerry, Ltd.(BCBHZ31) 251,190 1,918,216 * BlackPearl Resources, Inc. 464,636 1,305,669 # BMTC Group, Inc. Class A 1,600 22,992 * BNK Petroleum, Inc. 127,322 242,784 # Bombardier, Inc. Class A 25,790 104,002 # Bombardier, Inc. Class B 566,600 2,279,737 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ----------- CANADA -- (Continued) # Bonavista Energy Corp. 349,659 $ 5,493,479 # Bonterra Energy Corp. 26,871 1,401,592 Boralex, Inc. Class A 54,265 631,743 Brookfield Asset Management, Inc. Class A 93,860 3,940,056 * Brookfield Residential Properties, Inc.(B4NHCK9) 23,528 461,384 * Brookfield Residential Properties, Inc.(B54FPW2) 3,827 75,280 CAE, Inc. 198,315 2,618,145 Caledonia Mining Corp. 8,300 5,982 Calfrac Well Services, Ltd. 69,824 2,417,609 Calian Technologies, Ltd. 3,277 56,657 * Calvalley Petroleums, Inc. Class A 59,022 85,083 Cameco Corp.(13321L108) 98,075 2,088,017 Cameco Corp.(2166160) 205,682 4,378,049 # Canaccord Genuity Group, Inc. 192,845 1,666,201 * Canacol Energy, Ltd. 53,284 401,558 Canada Bread Co., Ltd. 7,700 507,502 # Canadian Energy Services & Technology Corp. 46,110 1,359,678 # Canadian Imperial Bank of Commerce(2170525) 97,155 8,662,001 Canadian Imperial Bank of Commerce(136069101) 200 17,850 Canadian National Railway Co.(2180632) 108,800 6,372,848 Canadian National Railway Co.(136375102) 40,313 2,361,132 Canadian Natural Resources, Ltd.(136385101) 249,054 10,153,932 Canadian Natural Resources, Ltd.(2171573) 498,445 20,309,798 Canadian Oil Sands, Ltd. 278,546 6,038,276 Canadian Pacific Railway, Ltd. 38,902 6,074,256 Canadian Tire Corp., Ltd. Class A 84,010 8,251,153 Canadian Utilities, Ltd. Class A 64,764 2,392,495 # Canadian Western Bank 104,478 3,540,270 Canam Group, Inc. Class A 75,700 968,308 CanElson Drilling, Inc. 129,738 972,991 # Canexus Corp. 93,549 411,392 * Canfor Corp. 142,939 3,242,063 Canfor Pulp Products, Inc. 62,159 690,750 # CanWel Building Materials Group, Ltd. 46,300 111,098 # Canyon Services Group, Inc. 89,058 1,225,304 # Capital Power Corp. 126,824 2,848,781 # Capstone Infrastructure Corp. 163,392 603,748 * Capstone Mining Corp. 432,652 1,140,791 Cascades, Inc. 155,679 911,874 * Cash Store Financial Services, Inc. (The) 1,620 171 * Catamaran Corp 74,677 2,819,057 * Catamaran Corp. 38,400 1,458,853 Cathedral Energy Services, Ltd. 45,147 176,296 CCL Industries, Inc. Class B 42,600 3,873,469 * Celestica, Inc. 381,450 4,231,953 Cenovus Energy, Inc.(B57FG04) 160,717 4,787,564 Cenovus Energy, Inc.(15135U109) 32,504 967,644 Centerra Gold, Inc. 271,837 1,393,845 * Cequence Energy, Ltd. 343,170 945,553 Cervus Equipment Corp. 2,531 49,671 #* CGI Group, Inc. Class A 131,886 4,755,380 #* China Gold International Resources Corp., Ltd. 209,200 538,246 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- CANADA -- (Continued) * Chinook Energy, Inc. 26,878 $ 47,083 Churchill Corp. Class A 21,376 215,896 CI Financial Corp. 69,400 2,254,131 # Cineplex, Inc. 65,667 2,474,982 Clairvest Group, Inc. 1,000 21,669 # Clarke, Inc. 13,900 110,079 * Claude Resources, Inc. 262,411 43,095 Clearwater Seafoods, Inc. 5,400 37,444 Cogeco Cable, Inc. 43,101 2,359,436 Cogeco, Inc. 1,730 90,663 Colabor Group, Inc. 27,021 85,793 * COM DEV International, Ltd. 130,319 433,981 Computer Modelling Group, Ltd. 21,773 593,565 #* Connacher Oil and Gas, Ltd. 783,434 232,303 Constellation Software, Inc. 7,662 1,696,958 Contrans Group, Inc. Class A 38,442 504,353 #* Copper Mountain Mining Corp. 277,592 590,109 Corby Spirit and Wine, Ltd. 11,550 230,463 #* Corridor Resources, Inc. 89,500 182,095 # Corus Entertainment, Inc. Class B 154,707 3,475,103 Cott Corp.(22163N106) 14,547 118,122 Cott Corp.(2228952) 163,584 1,328,313 # Crescent Point Energy Corp. 168,038 6,836,198 * Crew Energy, Inc. 267,516 3,031,384 * Crocotta Energy, Inc. 158,241 542,846 * CVTech Group, Inc. 9,700 7,965 # Davis + Henderson Corp. 120,970 3,503,114 * DeeThree Exploration, Ltd. 197,012 2,110,233 * Delphi Energy Corp. 273,629 836,328 #* Denison Mines Corp. 952,928 1,304,130 * Descartes Systems Group, Inc. (The) 61,729 836,345 DHX Media, Ltd. 53,331 239,881 # DirectCash Payments, Inc. 11,947 160,885 Dollarama, Inc. 30,462 2,533,567 * Dominion Diamond Corp.(257287102) 67,685 852,154 * Dominion Diamond Corp.(B95LX89) 110,079 1,382,955 Dorel Industries, Inc. Class B 54,506 1,953,374 #* DragonWave, Inc. 43,606 60,473 #* Dundee Precious Metals, Inc. 208,507 692,455 E-L Financial Corp., Ltd. 88 59,126 * Eastern Platinum, Ltd. 859,522 50,973 easyhome, Ltd. 500 8,006 EGI Financial Holdings, Inc. 900 10,835 Eldorado Gold Corp.(284902103) 98,650 601,765 Eldorado Gold Corp.(2307873) 787,129 4,797,246 # Emera, Inc. 28,782 890,206 Empire Co., Ltd. 47,838 3,025,965 # Enbridge Income Fund Holdings, Inc. 67,912 1,650,632 # Enbridge, Inc.(2466149) 111,774 5,393,665 Enbridge, Inc.(29250N105) 10,910 526,844 Encana Corp. 219,990 5,096,069 * Endeavour Mining Corp. 154,841 121,494 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ----------- CANADA -- (Continued) * Endeavour Silver Corp. 151,843 $ 694,068 Enerflex, Ltd. 43,900 698,523 * Energy Fuels, Inc. 8,656 67,288 Enerplus Corp.(292766102) 240,910 5,350,611 # Enerplus Corp.(B584T89) 177,287 3,932,163 # Enghouse Systems, Ltd. 19,591 558,568 Ensign Energy Services, Inc. 253,315 3,986,756 #* Epsilon Energy, Ltd. 83,020 302,979 Equal Energy, Ltd. 5,100 23,079 Equitable Group, Inc. 13,470 740,140 * Equity Financial Holdings, Inc. 100 858 * Essential Energy Services Trust 235,656 614,914 Evertz Technologies, Ltd. 17,774 264,328 * Excellon Resources, Inc. 16,100 21,299 # Exchange Income Corp. 11,088 187,860 Exco Technologies, Ltd. 7,600 64,139 #* EXFO, Inc. 31,042 140,192 # Extendicare, Inc. 127,966 786,908 Fairfax Financial Holdings, Ltd. 23,015 10,035,006 Fiera Capital Corp. 900 11,660 Finning International, Inc. 292,882 7,909,591 First Capital Realty, Inc. 76,415 1,251,448 #* First Majestic Silver Corp.(2833583) 114,673 1,088,088 * First Majestic Silver Corp.(32076V103) 17,750 168,625 First National Financial Corp. 278 6,039 # First Quantum Minerals, Ltd. 539,408 10,743,377 FirstService Corp.(2350231) 13,406 661,708 FirstService Corp.(33761N109) 1,400 69,482 # Fortis, Inc. 69,228 2,033,796 #* Fortress Paper, Ltd. Class A 20,464 58,813 * Fortuna Silver Mines, Inc. 234,774 972,468 #* Fortune Bay Corp. 26,662 7,298 * Fraser Papers, Inc. 6,400 -- Gamehost, Inc. 1,178 16,089 * GBS Gold International, Inc. 42,400 -- # Genworth MI Canada, Inc. 117,847 4,134,134 George Weston, Ltd. 57,293 4,316,642 # Gibson Energy, Inc. 121,222 3,236,126 Gildan Activewear, Inc. 95,000 4,856,393 Glacier Media, Inc. 22,700 29,616 Glentel, Inc. 9,100 95,064 * GLG Life Tech Corp. 2,810 1,679 Gluskin Sheff + Associates, Inc. 33,093 994,556 * GLV, Inc. Class A 12,023 43,987 GMP Capital, Inc. 92,600 702,072 Goldcorp, Inc.(380956409) 232,636 5,750,762 Goldcorp, Inc.(2676302) 173,996 4,297,314 #* Golden Star Resources, Ltd. 423,301 258,758 * Gran Tierra Energy, Inc.(38500T101) 55,835 399,220 * Gran Tierra Energy, Inc.(B2PPCS5) 606,923 4,313,608 * Great Canadian Gaming Corp. 89,263 1,233,826 #* Great Panther Silver, Ltd. 89,666 98,170 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ---------- CANADA -- (Continued) # Great-West Lifeco, Inc. 117,900 $3,317,400 * Heroux-Devtek, Inc. 37,512 392,215 High Liner Foods, Inc. 4,038 163,207 # HNZ Group, Inc. 6,940 142,593 # Home Capital Group, Inc. 55,600 2,349,196 Horizon North Logistics, Inc. 190,274 1,387,062 HudBay Minerals, Inc.(443628102) 11,699 102,483 HudBay Minerals, Inc.(B05BDX1) 329,210 2,808,370 # Hudson's Bay Co. 21,800 344,687 # Husky Energy, Inc. 222,947 7,286,129 IAMGOLD Corp.(450913108) 214,417 748,315 IAMGOLD Corp.(2446646) 792,408 2,761,734 # IGM Financial, Inc. 32,200 1,603,757 #* Imax Corp.(2014258) 45,620 1,169,167 * Imax Corp.(45245E109) 31,337 803,481 * Imperial Metals Corp. 69,400 883,290 Imperial Oil, Ltd.(2454241) 39,803 1,943,576 Imperial Oil, Ltd.(453038408) 1,449 70,711 * Imris, Inc. 14,500 17,330 Indigo Books & Music, Inc. 5,523 49,382 Industrial Alliance Insurance & Financial Services, Inc. 184,166 7,603,222 # Innergex Renewable Energy, Inc. 137,170 1,326,584 Intact Financial Corp. 94,112 6,179,682 # Inter Pipeline, Ltd. 67,748 1,841,969 * International Forest Products, Ltd. Class A 133,806 2,028,973 # Intertape Polymer Group, Inc. 97,684 1,146,130 #* Ithaca Energy, Inc. 558,078 1,466,415 #* Ivanhoe Energy, Inc. 59,863 30,039 * Ivernia, Inc. 156,000 18,503 #* Jaguar Mining, Inc. 132,369 6,642 Jean Coutu Group PJC, Inc. (The) Class A 86,000 1,733,260 Just Energy Group, Inc.(B693818) 6,432 51,134 # Just Energy Group, Inc.(B63MCN1) 191,645 1,522,949 # K-Bro Linen, Inc. 2,242 81,821 * Katanga Mining, Ltd. 525,231 222,830 * Kelt Exploration, Ltd. 31,250 392,603 # Keyera Corp. 67,641 4,498,909 # Killam Properties, Inc. 79,977 762,520 * Kingsway Financial Services, Inc. 15,975 94,301 Kinross Gold Corp.(496902404) 52,598 213,548 Kinross Gold Corp.(B03Z841) 1,428,538 5,799,912 * Kirkland Lake Gold, Inc. 29,812 84,046 * Knight Therapeutics, Inc. 11,933 63,255 #* Lake Shore Gold Corp. 557,939 447,960 * Laramide Resources, Ltd. 39,889 19,289 Laurentian Bank of Canada 75,209 3,230,546 * Le Chateau, Inc. Class A 15,700 39,105 * Legacy Oil + Gas, Inc. 415,174 3,231,088 # Leisureworld Senior Care Corp. 65,673 732,197 # Leon's Furniture, Ltd. 36,579 502,605 # Lightstream Resources, Ltd. 353,184 2,123,516 Linamar Corp. 96,772 4,844,560 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ----------- CANADA -- (Continued) # Liquor Stores N.A., Ltd. 41,250 $ 447,106 Loblaw Cos., Ltd. 128,038 5,566,346 # Long Run Exploration, Ltd. 218,487 1,104,347 * Lucara Diamond Corp. 218,000 379,891 * Lundin Mining Corp. 43,882 224,204 MacDonald Dettwiler & Associates, Ltd. 31,419 2,436,581 # Magellan Aerospace Corp. 3,400 26,926 Magna International, Inc. 160,425 15,716,835 * Mainstreet Equity Corp. 5,682 188,182 Major Drilling Group International, Inc. 152,836 1,201,995 # Manitoba Telecom Services, Inc. 66,055 1,825,470 Manulife Financial Corp.(56501R106) 307,970 5,774,437 Manulife Financial Corp.(2492519) 613,190 11,513,572 Maple Leaf Foods, Inc. 163,558 2,702,464 Martinrea International, Inc. 167,850 1,690,675 #* Maxim Power Corp. 24,537 67,272 McCoy Corp. 1,600 9,197 Mediagrif Interactive Technologies, Inc. 1,100 18,115 # Medical Facilities Corp. 20,138 350,010 * MEG Energy Corp. 135,427 4,875,644 #* MEGA Brands, Inc. 10,948 177,198 Melcor Developments, Ltd. 100 2,089 * Mercator Minerals, Ltd. 131,933 12,639 # Methanex Corp. 127,300 7,885,039 # Metro, Inc. 97,663 6,019,901 * MGM Energy Corp. 248 44 #* Migao Corp. 61,406 81,236 * Mitel Networks Corp. 69,164 633,550 #* Mood Media Corp. 78,868 43,174 # Morneau Shepell, Inc. 69,414 1,015,830 MTY Food Group, Inc. 2,100 58,054 # Mullen Group, Ltd. 185,121 5,019,658 National Bank of Canada 212,596 8,823,495 Nevsun Resources, Ltd. 430,672 1,559,936 # New Flyer Industries, Inc. 23,112 245,027 * New Gold, Inc. 703,697 3,556,846 * New Millennium Iron Corp. 65,755 24,597 Newalta Corp. 101,636 1,863,860 #* Niko Resources, Ltd. 68,415 128,584 Norbord, Inc. 63,866 1,564,529 * Nordion, Inc. 145,226 1,678,768 North American Energy Partners, Inc. 17,176 134,926 #* North American Palladium, Ltd. 239,959 69,511 North West Co., Inc. (The) 55,708 1,232,026 # Northland Power, Inc. 132,405 2,069,338 #* Novagold Resources, Inc. 145,071 510,902 * NuVista Energy, Ltd. 236,456 2,360,137 * OceanaGold Corp. 568,140 1,441,019 Onex Corp. 76,987 4,397,050 # Open Text Corp. 98,000 4,832,717 * Orvana Minerals Corp. 85,324 49,822 * Osisko Mining Corp. 858,509 6,148,712 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- CANADA -- (Continued) Pacific Rubiales Energy Corp. 435,871 $ 7,114,395 * Painted Pony Petroleum, Ltd. 8,866 91,568 Pan American Silver Corp.(2669272) 274,903 3,561,541 Pan American Silver Corp.(697900108) 12,193 158,021 * Paramount Resources, Ltd. Class A 37,465 2,038,604 * Parex Resources, Inc. 221,263 2,212,529 # Parkland Fuel Corp. 111,424 2,063,690 # Pason Systems, Inc. 75,183 2,088,017 * Pembina Pipeline Corp.(B4PPQG5) 13,562 533,258 # Pembina Pipeline Corp.(B4PT2P8) 82,399 3,237,924 # Pengrowth Energy Corp. 1,024,788 6,657,078 # Penn West Petroleum, Ltd.(B63FY34) 644,148 5,824,102 Penn West Petroleum, Ltd.(707887105) 43,101 390,495 #* Perpetual Energy, Inc. 136,429 224,052 * Petaquilla Minerals, Ltd. 99,811 19,124 * Petrobank Energy & Resources, Ltd. 50,103 21,942 # Peyto Exploration & Development Corp. 108,390 3,996,195 # PHX Energy Services Corp. 38,787 534,712 #* Pilot Gold, Inc. 10,300 13,626 #* Points International, Ltd. 6,420 146,962 * Polaris Minerals Corp. 7,200 17,408 #* Poseidon Concepts Corp. 64,303 154 Potash Corp. of Saskatchewan, Inc.(2696980) 77,200 2,790,625 Potash Corp. of Saskatchewan, Inc.(73755L107) 69,823 2,524,800 Precision Drilling Corp.(74022D308) 76,433 993,629 Precision Drilling Corp.(B5YPLH9) 419,154 5,449,518 # Premium Brands Holdings Corp. 38,989 752,354 * Primero Mining Corp.(74164W106) 101,889 644,957 #* Primero Mining Corp.(B4Z8FV2) 121,855 770,452 Progressive Waste Solutions, Ltd.(B3DJGB7) 160,566 3,908,490 Progressive Waste Solutions, Ltd.(74339G101) 4,682 114,100 Pulse Seismic, Inc. 82,887 276,782 Pure Technologies, Ltd. 6,396 41,257 QLT, Inc. 64,002 370,214 Quebecor, Inc. Class B 119,800 2,825,446 #* Questerre Energy Corp. Class A 81,025 93,145 Reitmans Canada, Ltd. 1,347 8,032 Reitmans Canada, Ltd. Class A 93,037 564,478 Richelieu Hardware, Ltd. 16,706 748,230 * Richmont Mines, Inc. 29,228 37,600 # Ritchie Bros Auctioneers, Inc.(2345390) 62,100 1,551,863 Ritchie Bros Auctioneers, Inc.(767744105) 18,169 454,225 * RMP Energy, Inc. 225,577 1,718,506 * Rock Energy, Inc. 67,100 400,990 # Rocky Mountain Dealerships, Inc. 25,442 245,820 # Rogers Communications, Inc. Class B(2169051) 37,700 1,497,268 Rogers Communications, Inc. Class B(775109200) 10,296 408,957 # Rogers Sugar, Inc. 120,623 539,257 RONA, Inc. 238,289 2,402,348 # Royal Bank of Canada(2754383) 313,665 20,933,894 Royal Bank of Canada(780087102) 19,177 1,281,024 # Russel Metals, Inc. 91,371 2,688,486 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ----------- CANADA -- (Continued) #* San Gold Corp. 182,431 $ 27,463 #* Sandstorm Gold, Ltd. 93,213 516,220 * Sandvine Corp. 343,887 1,223,630 Saputo, Inc. 59,492 3,181,266 Savanna Energy Services Corp. 184,301 1,494,855 #* Scorpio Mining Corp. 182,679 43,334 Sears Canada, Inc. 13,882 203,281 Secure Energy Services, Inc. 103,542 1,857,247 # SEMAFO, Inc. 545,786 2,041,625 * Serinus Energy, Inc. 346 900 # Shaw Communications, Inc. Class B(2801836) 77,902 1,887,047 Shaw Communications, Inc. Class B(82028K200) 17,390 421,360 ShawCor, Ltd. 91,458 4,073,701 Sherritt International Corp. 523,547 2,216,375 * Shore Gold, Inc. 124,052 26,598 #* Sierra Wireless, Inc.(2418968) 51,526 1,112,271 * Sierra Wireless, Inc.(826516106) 17,546 378,292 * Silver Standard Resources, Inc.(82823L106) 29,820 295,516 * Silver Standard Resources, Inc.(2218458) 142,787 1,413,475 Silver Wheaton Corp.(B058ZX6) 72,680 1,612,017 Silver Wheaton Corp.(828336107) 24,811 550,804 SNC-Lavalin Group, Inc. 27,600 1,252,016 * Solium Capital, Inc. 15,306 92,446 * Sonde Resources Corp. 7,968 3,635 #* Southern Pacific Resource Corp. 665,787 194,382 #* SouthGobi Resources, Ltd. 103,376 66,022 Sprott Resource Corp. 82,821 191,175 # Sprott, Inc. 172,237 510,716 # Spyglass Resources Corp. 194,991 322,006 #* St Andrew Goldfields, Ltd. 98,808 29,298 Stantec, Inc. 57,965 3,435,433 Stella-Jones, Inc. 31,907 872,163 Strad Energy Services, Ltd. 1,000 4,097 # Student Transportation, Inc. 77,645 479,592 # Sun Life Financial, Inc.(2566124) 291,226 9,857,657 Sun Life Financial, Inc.(866796105) 8,848 299,416 Suncor Energy, Inc.(867224107) 411,875 15,898,375 Suncor Energy, Inc.(B3NB1P2) 729,529 28,141,494 * SunOpta, Inc.(8676EP108) 35,649 416,024 * SunOpta, Inc.(2817510) 73,009 847,958 # Superior Plus Corp. 270,609 3,261,480 # Surge Energy, Inc. 303,797 1,920,819 #* TAG Oil, Ltd. 65,570 190,838 Talisman Energy, Inc.(87425E103) 322,068 3,326,962 Talisman Energy, Inc.(2068299) 813,852 8,412,886 * Taseko Mines, Ltd. 392,619 848,964 Teck Resources, Ltd. Class A 1,294 30,920 Teck Resources, Ltd. Class B(878742204) 49,729 1,132,329 # Teck Resources, Ltd. Class B(2879327) 228,673 5,211,671 # TELUS Corp. 89,740 3,162,044 #* Tembec, Inc. 111,910 247,089 #* Teranga Gold Corp.(B5TDK82) 25,597 16,815 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ----------- CANADA -- (Continued) #* Teranga Gold Corp.(B4L8QT1) 41,624 $ 28,770 #* Tethys Petroleum, Ltd. 35,628 16,253 * Theratechnologies, Inc. 35,700 18,566 #* Thompson Creek Metals Co., Inc. 378,170 1,014,388 # Thomson Reuters Corp. 155,678 5,634,548 Tim Hortons, Inc.(B4R2V25) 42,900 2,353,130 Tim Hortons, Inc.(88706M103) 7,969 437,418 * Timminco, Ltd. 17,306 17 * Timmins Gold Corp. 225,299 316,555 TMX Group, Ltd. 9,846 518,688 # TORC Oil & Gas, Ltd. 146,053 1,782,940 Toromont Industries, Ltd. 102,260 2,529,327 Toronto-Dominion Bank (The)(891160509) 49,622 2,386,322 # Toronto-Dominion Bank (The)(2897222) 701,544 33,750,664 Torstar Corp. Class B 102,200 608,883 Total Energy Services, Inc. 48,505 955,894 * Tourmaline Oil Corp. 93,623 4,847,521 TransAlta Corp.(89346D107) 59,878 731,709 # TransAlta Corp.(2901628) 329,650 4,027,201 TransCanada Corp. 232,070 10,815,324 Transcontinental, Inc. Class A 149,054 2,171,792 TransForce, Inc. 185,142 4,042,195 * TransGlobe Energy Corp.(893662106) 30,106 234,827 * TransGlobe Energy Corp.(2470548) 90,117 702,157 Trican Well Service, Ltd. 298,227 4,271,852 # Trilogy Energy Corp. 61,793 1,691,337 Trinidad Drilling, Ltd. 309,786 3,465,149 * TSO3, Inc. 5,400 2,291 #* Turquoise Hill Resources, Ltd.(900435108) 270,904 1,056,526 #* Turquoise Hill Resources, Ltd.(B7WJ1F5) 507,436 1,972,243 * TVA Group, Inc. Class B 4,447 35,501 # Twin Butte Energy, Ltd. 770,926 1,659,947 Uni-Select, Inc. 19,868 544,351 * US Silver & Gold, Inc. 9,300 4,497 * Valeant Pharmaceuticals International, Inc.(B3XSX46) 42,811 5,724,929 * Valeant Pharmaceuticals International, Inc.(91911K102) 8,401 1,123,298 Valener, Inc. 43,825 624,158 # Veresen, Inc. 196,759 2,909,962 # Vermilion Energy, Inc.(B607XS1) 25,561 1,700,802 * Vermilion Energy, Inc.(923725105) 2,575 171,907 # Vicwest, Inc. 8,008 69,701 # Wajax Corp. 45,842 1,482,687 WaterFurnace Renewable Energy, Inc. 2,056 43,050 * Wesdome Gold Mines, Ltd. 85,051 64,406 West Fraser Timber Co., Ltd. 104,028 4,650,675 Western Energy Services Corp. 16,329 167,752 Western Forest Products, Inc. 693,474 1,385,619 WesternOne, Inc. 10,900 74,586 Westjet Airlines, Ltd. 10,148 231,097 # Westshore Terminals Investment Corp. 46,839 1,522,198 Whistler Blackcomb Holdings, Inc. 20,342 304,374 # Whitecap Resources, Inc. 367,191 4,844,291 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ------------ CANADA -- (Continued) # Wi-Lan, Inc. 224,861 $ 691,375 Winpak, Ltd. 34,800 876,945 WSP Global, Inc. 72,142 2,468,908 Yamana Gold, Inc.(98462Y100) 139,131 1,040,700 Yamana Gold, Inc.(2219279) 521,835 3,908,823 * Yellow Media, Ltd. 4,700 98,670 # Zargon Oil & Gas, Ltd. 58,615 516,601 ZCL Composites, Inc. 10,000 57,570 ------------ TOTAL CANADA 995,495,065 ------------ CHINA -- (0.0%) * Hanfeng Evergreen, Inc. 42,625 26,834 * Superb Summit International Group, Ltd. 5,896,000 784,156 ------------ TOTAL CHINA 810,990 ------------ DENMARK -- (1.4%) ALK-Abello A.S. 13,417 1,861,654 * Alm Brand A.S. 195,986 951,932 # Ambu A.S. Class B 8,636 577,459 AP Moeller - Maersk A.S. Class A 1,615 3,669,065 AP Moeller - Maersk A.S. Class B 3,890 9,286,433 * Auriga Industries A.S. Class B 33,593 1,244,128 * Bang & Olufsen A.S. 77,240 797,788 * Bavarian Nordic A.S. 54,790 1,163,077 * BoConcept Holding A.S. Class B 450 8,117 Brodrene Hartmann A.S. 2,300 81,634 Carlsberg A.S. Class B 63,656 6,367,659 Chr Hansen Holding A.S. 125,808 5,672,024 Coloplast A.S. Class B 40,566 3,407,258 D/S Norden A.S. 58,059 2,322,206 Danske Bank A.S. 334,137 9,453,811 Dfds A.S. 8,224 650,303 Djurslands Bank A.S. 1,040 38,573 DSV A.S. 360,332 12,034,793 East Asiatic Co., Ltd. A.S. 21,026 279,527 # FLSmidth & Co. A.S. 77,959 4,173,736 Fluegger A.S. Class B 350 22,125 * Genmab A.S. 52,417 1,952,720 GN Store Nord A.S. 310,073 7,490,953 Gronlandsbanken AB 290 33,926 H Lundbeck A.S. 97,249 2,834,317 * H+H International A.S. Class B 5,798 50,331 Harboes Bryggeri A.S. Class B 2,462 42,806 IC Companys A.S. 14,652 437,460 Jeudan A.S. 1,880 211,944 * Jyske Bank A.S. 133,502 7,339,922 NKT Holding A.S. 51,956 3,277,959 Nordjyske Bank A.S. 3,195 69,045 Norresundby Bank A.S. 880 43,420 Novo Nordisk A.S. Class B 391,894 17,786,494 Novo Nordisk A.S. Sponsored ADR 168,923 7,667,415 Novozymes A.S. Class B 82,541 3,957,435 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ------------ DENMARK -- (Continued) Pandora A.S. 109,149 $ 7,357,792 * Parken Sport & Entertainment A.S. 5,510 73,230 PER Aarsleff A.S. Class B 2,795 506,736 Ringkjoebing Landbobank A.S. 4,432 1,014,082 Rockwool International A.S. Class A 55 10,644 Rockwool International A.S. Class B 13,486 2,601,360 * Royal UNIBREW 17,900 2,786,343 Schouw & Co. 28,984 1,617,887 SimCorp A.S. 50,618 1,943,414 Solar A.S. Class B 7,792 538,940 Spar Nord Bank A.S. 92,291 1,039,019 * Sydbank A.S. 153,702 4,099,523 TDC A.S. 959,812 9,013,478 Tivoli A.S. 90 50,846 * TK Development A.S. 161,531 278,185 * Topdanmark A.S. 176,081 5,152,077 * TopoTarget A.S. 133,513 89,294 * Topsil Semiconductor Matls 345,651 46,269 #* Torm A.S. 17,487 4,430 Tryg A.S. 30,644 2,910,372 United International Enterprises 2,531 505,997 * Vestas Wind Systems A.S. 324,959 14,431,778 * Vestjysk Bank A.S. 23,224 38,870 * William Demant Holding A.S. 34,074 3,053,444 * Zealand Pharma A.S. 1,949 24,095 ------------ TOTAL DENMARK 176,447,554 ------------ FINLAND -- (1.5%) Afarak Group Oyj 207,434 109,066 # Ahlstrom Oyj 23,261 247,877 Aktia Bank Oyj 713 8,929 Alma Media Oyj 25,653 94,014 Amer Sports Oyj 247,327 5,113,652 Apetit Oyj 1,800 48,216 Aspo Oyj 8,353 69,246 Atria P.L.C. 20,310 200,532 Bank of Aland P.L.C. Class B 1,250 15,286 BasWare Oyj 4,955 234,788 * Biotie Therapies Oyj 226,186 72,535 # Cargotec Oyj 75,010 3,353,145 Caverion Corp. 154,484 1,716,299 Citycon Oyj 459,373 1,723,650 Comptel Oyj 51,194 41,169 Cramo Oyj 25,439 568,408 Digia P.L.C. 10,944 61,631 * Efore Oyj 7,109 7,007 Elektrobit Oyj 432,247 1,579,617 # Elisa Oyj 196,896 5,884,275 Etteplan Oyj 7,036 31,392 F-Secure Oyj 66,479 224,378 * Finnair Oyj 116,996 488,163 * Finnlines Oyj 17,325 187,852 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- FINLAND -- (Continued) Fiskars Oyj Abp 34,792 $ 944,020 # Fortum Oyj 602,345 13,608,228 HKScan Oyj Class A 30,767 163,234 Huhtamaki Oyj 168,527 4,431,277 Ilkka-Yhtyma Oyj 29,672 102,947 Kemira Oyj 203,331 3,108,085 Kesko Oyj Class A 2,893 115,562 Kesko Oyj Class B 129,832 5,314,367 # Kone Oyj Class B 133,751 5,733,294 Konecranes Oyj 72,674 2,345,648 Lassila & Tikanoja Oyj 42,622 829,938 * Lemminkainen Oyj 20,150 390,412 Metsa Board Oyj 368,948 1,727,083 # Metso Oyj 194,218 7,817,226 Metso Oyj Sponsored ADR 10,246 411,377 # Munksjo Oyj 11,852 95,865 # Neste Oil Oyj 256,526 5,275,643 #* Nokia Oyj 3,651,928 27,344,067 * Nokia Oyj Sponsored ADR 159,500 1,196,250 # Nokian Renkaat Oyj 137,569 5,474,405 Okmetic Oyj 21,251 136,027 Olvi Oyj Class A 9,211 310,609 * Oriola-KD Oyj Class A 1,000 3,342 * Oriola-KD Oyj Class B 161,750 536,249 Orion Oyj Class A 22,234 681,846 Orion Oyj Class B 105,205 3,211,138 #* Outokumpu Oyj 7,004,770 2,143,222 # Outotec Oyj 114,539 1,283,686 PKC Group Oyj 26,501 879,090 Ponsse Oy 49,960 765,242 * Poyry Oyj 26,849 148,497 Raisio P.L.C. Class V 231,148 1,511,876 Ramirent Oyj 129,657 1,453,332 Rapala VMC Oyj 14,912 106,554 * Rautaruukki Oyj 192,721 2,400,946 Saga Furs Oyj 3,026 119,406 Sampo Class A 348,674 17,328,944 # Sanoma Oyj 152,085 1,024,087 Sievi Capital P.L.C. 17,754 35,435 Stockmann Oyj Abp(5462371) 8,998 128,697 # Stockmann Oyj Abp(5462393) 43,589 619,050 Stora Enso Oyj Class R 1,020,207 10,417,957 Stora Enso Oyj Sponsored ADR 105,178 1,062,298 * Talvivaara Mining Co. P.L.C. 676,382 79,369 Technopolis Oyj 114,890 699,386 Teleste Oyj 6,970 42,701 Tieto Oyj 127,992 3,502,534 Tikkurila Oyj 42,739 1,060,704 UPM-Kymmene Oyj 984,451 17,241,474 UPM-Kymmene Oyj Sponsored ADR 78,154 1,358,317 Uponor Oyj 73,281 1,451,633 Vacon P.L.C. 7,644 317,153 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ------------ FINLAND -- (Continued) # Vaisala Oyj Class A 6,201 $ 201,803 # Valmet Corp. 163,519 1,910,616 Wartsila Oyj Abp 94,296 5,264,071 # YIT Oyj 164,005 1,686,956 ------------ TOTAL FINLAND 189,634,302 ------------ FRANCE -- (7.1%) Accor SA 89,727 4,392,995 Actia Group 9,454 72,078 Aeroports de Paris 17,033 2,118,153 #* Air France-KLM 280,775 4,039,238 Air Liquide SA 57,622 8,243,803 Airbus Group NV 110,478 7,594,270 Akka Technologies SA 5,876 212,888 Albioma 38,680 1,080,080 * Alcatel-Lucent 2,216,400 8,789,625 Alcatel-Lucent Sponsored ADR 1,602,594 6,250,117 Alstom SA 121,978 5,040,619 Altamir 24,933 377,783 Alten SA 40,703 2,079,586 # Altran Technologies SA 229,907 2,506,514 April 24,454 584,539 #* Archos 27,729 127,068 Arkema SA 88,341 9,866,997 Assystem 21,508 693,288 AtoS 121,236 10,473,819 Aubay 3,818 61,960 * Audika Groupe 1,627 29,845 Aurea SA 515 3,743 AXA SA 470,028 12,265,855 # AXA SA Sponsored ADR 417,343 10,475,309 Axway Software SA 6,701 231,053 #* Beneteau SA 51,664 894,996 * Bigben Interactive 9,396 97,513 BioMerieux 16,349 1,785,884 BNP Paribas SA 468,229 35,184,814 Boiron SA 11,256 949,486 Bollore SA(4572709) 6,283 4,004,532 * Bollore SA(BDGTH22) 36 22,226 Bonduelle SCA 27,250 790,328 Bongrain SA 8,617 753,445 Bourbon SA 94,795 3,128,110 * Boursorama 38,531 645,442 # Bouygues SA 272,745 12,284,681 * Bull 116,750 619,609 # Bureau Veritas SA 66,538 2,039,036 Burelle SA 76 81,820 Cap Gemini SA 200,971 14,199,342 # Carrefour SA 372,693 14,527,961 Casino Guichard Perrachon SA 95,939 12,224,855 * Cegedim SA 3,651 133,978 Cegid Group 11,599 485,930 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- FRANCE -- (Continued) * CGG SA 80,827 $ 1,398,452 #* CGG SA Sponsored ADR 123,954 2,132,009 #* Chargeurs SA 22,786 178,204 Christian Dior SA 16,194 3,332,008 Cie de St-Gobain 420,301 25,749,926 * Cie des Alpes 237 5,321 Cie Generale des Etablissements Michelin 152,205 18,665,015 Ciments Francais SA 9,409 1,011,848 * Club Mediterranee SA 40,276 1,050,086 CNP Assurances 204,756 4,723,627 * Credit Agricole SA 1,083,987 17,103,630 Danone SA 65,565 4,841,256 Danone SA Sponsored ADR 35,600 528,304 Dassault Systemes 7,830 963,543 Dassault Systemes ADR 5,637 692,224 Derichebourg SA 197,955 771,736 # Devoteam SA 2,950 75,208 Edenred 167,117 5,648,355 Eiffage SA 67,178 5,078,120 Electricite de France SA 172,391 6,619,971 Electricite de Strasbourg 606 95,536 # Eramet 8,868 1,156,733 Essilor International SA 41,528 4,447,123 Esso SA Francaise 3,968 217,437 Etablissements Maurel et Prom 176,136 3,142,669 Euler Hermes SA 23,551 2,841,520 * Euro Disney SCA 19,225 111,877 Eurofins Scientific SE 8,193 2,275,168 Eutelsat Communications SA 133,999 4,609,372 Exel Industries Class A 1,907 167,560 Faiveley Transport SA 9,557 787,237 * Faurecia 124,516 5,604,791 # Fimalac 9,228 786,149 Fleury Michon SA 761 65,476 * GameLoft SE 56,327 559,706 Gaumont SA 768 42,361 # GDF Suez 784,571 19,773,875 # GEA 98 12,170 * GECI International 20,581 -- GL Events 15,834 398,827 Groupe Crit 5,355 357,203 Groupe Eurotunnel SA 855,615 11,486,469 # Groupe Flo 10,366 46,945 * Groupe Fnac 8,708 416,479 # Groupe Gorge 3,479 105,572 Groupe Open 2,036 29,376 Groupe Steria SCA 67,370 1,897,560 Guerbet 6,501 308,529 * Haulotte Group SA 26,567 507,425 Havas SA 423,456 3,370,375 * Hi-Media SA 58,222 168,948 Iliad SA 11,100 2,992,423 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- FRANCE -- (Continued) Imerys SA 50,719 $ 4,453,995 # Ingenico 48,438 4,226,764 Interparfums SA 8,835 403,961 Ipsen SA 25,917 1,150,716 IPSOS 62,709 2,435,653 Jacquet Metal Service 22,869 490,270 JCDecaux SA 86,162 3,536,957 Kering 51,515 11,393,642 Korian-Medica 68,766 2,581,198 # L'Oreal SA 24,370 4,200,050 L.D.C. SA 178 32,844 Lafarge SA 186,003 17,019,057 Lafarge SA Sponsored ADR 82,410 1,883,069 Lagardere SCA 192,169 8,053,904 Laurent-Perrier 2,478 248,014 Lectra 34,613 364,747 Legrand SA 86,505 5,589,612 LISI 6,520 1,057,491 LVMH Moet Hennessy Louis Vuitton SA 60,116 11,842,505 Maisons France Confort 3,179 155,289 Manitou BF SA 18,376 347,648 Manutan International 1,789 136,240 Mersen 24,275 777,295 #* METabolic EXplorer SA 41,028 153,418 Metropole Television SA 72,242 1,548,271 MGI Coutier 487 94,255 Montupet 24,322 2,013,199 Mr Bricolage 8,989 179,371 Natixis 991,830 7,040,658 # Naturex 10,039 881,149 # Neopost SA 61,351 5,037,720 # Nexans SA 57,577 3,241,681 Nexity SA 54,139 2,428,542 Norbert Dentressangle SA 6,169 1,057,589 * NRJ Group 63,138 780,300 Orange SA 1,386,877 22,469,170 # Orange SA Sponsored ADR 212,700 3,424,470 #* Orco Property Group 3,090 2,667 Orpea 54,426 3,959,216 * Parrot SA 8,588 262,664 Pernod Ricard SA 54,292 6,515,495 #* Peugeot SA 486,891 8,614,538 * Pierre & Vacances SA 7,592 320,099 Plastic Omnium SA 91,242 3,104,540 Publicis Groupe SA 72,981 6,243,472 Publicis Groupe SA ADR 100,092 2,121,950 Rallye SA 50,325 2,559,692 #* Recylex SA 32,570 122,508 Remy Cointreau SA 20,829 1,830,879 Renault SA 214,369 20,958,825 Rexel SA 371,863 9,388,380 Robertet SA 752 173,261 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ----------- FRANCE -- (Continued) Rubis SCA 41,911 $ 2,984,216 Safran SA 101,479 6,829,755 Saft Groupe SA 52,376 1,862,677 Samse SA 546 70,212 Sanofi 201,598 21,756,424 # Sanofi ADR 522,052 28,086,398 Sartorius Stedim Biotech 4,870 925,694 Schneider Electric SA(4834108) 166,453 15,625,096 Schneider Electric SA(B11BPS1) 20,392 1,915,003 SCOR SE 306,426 11,212,972 SEB SA 37,241 3,435,150 Seche Environnement SA 3,292 145,161 #* Sequana SA 20,074 148,133 # SES SA 123,170 4,640,573 Societe BIC SA 24,301 3,224,083 Societe d'Edition de Canal + 89,949 791,546 Societe des Bains de Mer et du Cercle des Etrangers a Monaco 1,430 80,164 Societe Generale SA 346,387 21,572,007 Societe Internationale de Plantations d'Heveas SA 2,402 155,106 Societe Marseillaise du Tunnel Prado-Carenage SA 7,833 319,391 # Societe Television Francaise 1 216,091 3,679,597 Sodexo(7062713) 28,355 3,057,089 * Sodexo() 8,908 960,256 Sodexo Sponsored ADR 3,800 407,968 #* SOITEC 298,008 900,234 #* Solocal Group 248,711 567,842 Somfy SA 1,225 425,475 # Sopra Group SA 6,139 706,717 #* Spir Communication SA 2,571 50,506 #* Ste Industrielle d'Aviation Latecoere SA 15,550 287,311 Stef SA 3,877 306,615 # STMicroelectronics NV(861012102) 359,279 3,409,558 STMicroelectronics NV(5962332) 981,270 9,357,578 * Store Electronic 16 355 Suez Environnement Co. 220,681 4,336,276 Sword Group 9,306 244,369 Synergie SA 4,516 130,713 * Technicolor SA 270,405 2,021,728 * Technicolor SA Sponsored ADR 4,360 31,959 Technip SA 13,148 1,479,920 Technip SA ADR 104,395 2,928,280 Teleperformance 115,116 6,602,171 Tessi SA 1,767 221,255 Thales SA 77,339 4,924,579 * Theolia SA 100,126 169,322 Thermador Groupe 431 47,583 Total Gabon 203 123,684 Total SA 800,396 57,263,657 # Total SA Sponsored ADR 595,142 42,397,916 Touax SA 718 19,822 #* Transgene SA 15,746 203,570 * Trigano SA 15,560 431,098 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ------------ FRANCE -- (Continued) * UBISOFT Entertainment 232,613 $ 4,340,956 Union Financiere de France BQE SA 1,141 32,885 Valeo SA 92,629 12,720,667 Vallourec SA 206,406 12,197,663 * Valneva SE 13,249 112,082 # Veolia Environnement SA 247,141 4,610,636 # Veolia Environnement SA ADR 47,101 884,557 Vetoquinol SA 65 3,546 # Vicat 16,658 1,445,646 VIEL & Cie SA 48,096 158,590 # Vilmorin & Cie SA 8,806 1,162,493 Vinci SA 183,152 13,829,133 Virbac SA 3,725 893,056 Vivendi SA 771,084 20,716,527 * VM Materiaux SA 811 40,343 Vranken-Pommery Monopole SA 3,897 137,518 Zodiac Aerospace 212,215 7,055,649 ------------ TOTAL FRANCE 924,542,558 ------------ GERMANY -- (6.1%) * Aareal Bank AG 102,530 4,660,467 Adidas AG 74,088 7,920,132 Adler Modemaerkte AG 13,471 219,954 * ADVA Optical Networking SE 90,910 407,857 #* Air Berlin P.L.C. 74,923 180,440 * Aixtron SE 114,799 1,827,796 # Allgeier SE 1,954 46,793 # Allianz SE 150,380 26,170,608 Allianz SE ADR 982,629 17,146,876 Amadeus Fire AG 5,331 463,744 Analytik Jena AG 4,322 85,655 * AS Creation Tapeten 906 41,158 Aurubis AG 63,355 3,384,706 # Axel Springer SE 64,551 3,941,605 # BASF SE 164,638 19,098,948 BASF SE Sponsored ADR 58,000 6,539,500 Bauer AG 22,932 595,759 # Bayer AG 150,072 20,866,262 Bayer AG Sponsored ADR 10,700 1,489,654 Bayerische Motoren Werke AG 248,108 31,188,401 BayWa AG 25,903 1,469,376 Bechtle AG 25,832 2,298,719 Beiersdorf AG 36,787 3,692,848 Bertrandt AG 6,184 936,782 Bijou Brigitte AG 4,195 408,409 Bilfinger SE 78,958 9,413,793 # Biotest AG 4,237 522,754 Borussia Dortmund GmbH & Co. KGaA 112,141 584,829 Brenntag AG 44,737 8,104,126 # CANCOM SE 20,695 912,526 Carl Zeiss Meditec AG 26,996 821,933 CAT Oil AG 44,373 930,980 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- GERMANY -- (Continued) Celesio AG 168,158 $ 5,844,222 CENIT AG 11,286 186,302 CENTROTEC Sustainable AG 19,354 495,390 Cewe Stiftung & Co. KGAA 9,486 747,409 * Colonia Real Estate AG 2,454 15,151 Comdirect Bank AG 63,110 727,519 * Commerzbank AG 979,264 17,461,413 CompuGroup Medical AG 16,201 432,127 * Constantin Medien AG 53,339 110,200 # Continental AG 68,112 16,027,064 CropEnergies AG 41,670 273,346 CTS Eventim AG 18,594 1,184,402 DAB Bank AG 13,385 72,473 Daimler AG 531,976 49,526,500 Data Modul AG 2,305 62,837 DEAG Deutsche Entertainment AG 1,086 8,568 # Delticom AG 3,099 147,566 #* Deufol SE 10,845 13,617 Deutsche Bank AG(5750355) 239,968 10,569,503 # Deutsche Bank AG(D18190898) 258,743 11,392,454 Deutsche Boerse AG 57,987 4,252,353 # Deutsche Lufthansa AG 410,154 10,300,125 Deutsche Post AG 579,026 21,848,358 Deutsche Telekom AG 1,506,152 25,304,945 # Deutsche Telekom AG Sponsored ADR 528,190 8,847,183 Deutsche Wohnen AG(B0YZ0Z5) 208,906 4,484,669 * Deutsche Wohnen AG(BFLR888) 97,777 2,048,337 * Deutz AG 175,567 1,468,089 * Dialog Semiconductor P.L.C. 94,611 2,396,719 DIC Asset AG 7,350 72,445 DMG MORI SEIKI AG 112,230 3,536,529 Dr Hoenle AG 7,908 154,370 Draegerwerk AG & Co. KGaA 3,042 312,402 Drillisch AG 52,789 1,971,047 # Duerr AG 37,630 2,977,502 # E.ON SE 691,346 13,242,626 E.ON SE Sponsored ADR 218,470 3,998,001 Eckert & Ziegler AG 7,086 246,237 Elmos Semiconductor AG 22,658 456,451 ElringKlinger AG 51,912 2,095,848 # Euromicron AG 12,437 227,991 #* Evotec AG 154,547 772,850 Fielmann AG 8,903 1,204,451 * First Sensor AG 8,351 124,719 #* Francotyp-Postalia Holding AG Class A 5,068 33,744 Fraport AG Frankfurt Airport Services Worldwide 64,940 4,802,773 Freenet AG 199,431 6,906,915 Fresenius Medical Care AG & Co. KGaA 151,766 10,456,306 # Fresenius Medical Care AG & Co. KGaA ADR 53,000 1,820,550 Fresenius SE & Co. KGaA 161,560 24,581,785 # Fuchs Petrolub SE 7,145 658,731 * GAGFAH SA 57,918 916,039 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ----------- GERMANY -- (Continued) GEA Group AG 170,872 $ 7,653,076 # Gerresheimer AG 73,043 4,958,654 # Gerry Weber International AG 22,056 1,164,900 Gesco AG 5,066 527,251 GFK SE 19,674 1,015,442 GFT Technologies AG 27,506 328,495 Grammer AG 30,187 1,668,267 Grenkeleasing AG 8,480 888,475 * H&R AG 15,018 149,040 # Hamburger Hafen und Logistik AG 38,577 935,553 # Hannover Rueck SE 90,591 8,441,443 # Hawesko Holding AG 1,492 82,846 # HeidelbergCement AG 135,336 11,759,086 #* Heidelberger Druckmaschinen AG 611,168 1,938,454 Henkel AG & Co. KGaA 25,378 2,609,322 Highlight Communications AG 31,488 163,912 # Hochtief AG 67,727 6,314,559 Homag Group AG 1,531 44,733 # Hugo Boss AG 28,904 4,015,568 Indus Holding AG 39,121 1,836,030 Infineon Technologies AG 360,198 4,188,125 Infineon Technologies AG ADR 489,836 5,691,894 #* Intershop Communications AG 3,523 8,469 Isra Vision AG 5,417 402,209 Jenoptik AG 100,557 1,678,513 * Joyou AG 10 172 # K+S AG 221,539 7,762,749 * Kloeckner & Co. SE 197,617 2,995,106 Koenig & Bauer AG 3,131 52,218 Kontron AG 116,694 814,702 Krones AG 27,033 2,588,033 KSB AG 214 143,276 # KUKA AG 42,432 2,175,432 KWS Saat AG 2,695 963,229 Lanxess AG 157,653 12,005,501 Leifheit AG 3,113 167,655 # Leoni AG 77,993 5,813,560 Linde AG 112,611 23,387,591 LPKF Laser & Electronics AG 35,937 808,272 MAN SE 32,663 4,188,399 #* Manz AG 5,738 515,421 * MasterFlex SE 338 3,108 * Mediclin AG 13,261 79,025 #* Medigene AG 12,146 81,172 Merck KGaA 35,249 5,958,624 * Metro AG 163,525 6,551,423 MLP AG 85,528 581,748 Mobotix AG 2,823 55,629 * Morphosys AG 7,385 633,441 MTU Aero Engines AG 71,418 6,733,751 Muehlbauer Holding AG & Co. KGaA 1,858 48,838 # Muenchener Rueckversicherungs AG 88,029 20,348,688 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ----------- GERMANY -- (Continued) # MVV Energie AG 12,918 $ 412,655 Nemetschek AG 5,982 520,783 Nexus AG 2,391 37,177 * Nordex SE 103,557 1,658,020 Norma Group SE 36,875 1,935,211 OHB AG 13,143 370,952 * Osram Licht AG 128,914 6,767,897 * Patrizia Immobilien AG 72,418 856,332 Pfeiffer Vacuum Technology AG 9,302 1,106,475 # PNE Wind AG 110,191 424,083 Progress-Werk Oberkirch AG 1,999 158,382 PSI AG Gesellschaft Fuer Produkte und Systeme der Informationstechnologie 1,221 22,135 * Puma Brandenburg, Ltd. 9,000 -- * Puma Brandenburg, Ltd. A Shares 9,000 -- # Puma SE 4,176 1,233,686 PVA TePla AG 8,269 35,967 * QIAGEN NV 305,708 6,711,415 QSC AG 182,420 938,724 # R Stahl AG 3,704 219,901 # Rational AG 2,150 686,697 # Rheinmetall AG 83,548 5,565,937 Rhoen Klinikum AG 181,202 5,850,874 RIB Software AG 509 7,947 RWE AG 673,370 25,696,523 SAF-Holland SA 101,041 1,511,799 Salzgitter AG 72,170 3,065,480 SAP AG 96,019 7,760,929 # SAP AG Sponsored ADR 54,592 4,421,406 # Schaltbau Holding AG 4,234 300,978 # SGL Carbon SE 52,919 1,762,277 SHW AG 6,213 372,874 # Siemens AG Sponsored ADR 195,766 25,807,832 * Singulus Technologies AG 93,150 304,450 Sixt SE 28,390 1,147,952 SKW Stahl-Metallurgie Holding AG 10,141 152,085 * Sky Deutschland AG 339,681 2,915,164 # SMA Solar Technology AG 18,668 781,692 # SMT Scharf AG 4,136 101,968 Softing AG 858 17,280 Software AG 105,980 3,991,848 #* Solarworld AG 882 39,051 Stada Arzneimittel AG 118,558 5,169,792 * Stroeer Media AG 36,053 621,202 # Suedzucker AG 133,714 2,857,339 #* Suss Microtec AG 38,692 375,999 Symrise AG 80,734 4,078,408 TAG Immobilien AG 180,562 2,295,659 # Takkt AG 43,301 878,333 * Talanx AG 14,819 567,060 Technotrans AG 4,636 52,180 Telefonica Deutschland Holding AG 232,742 1,936,283 # Telegate AG 6,801 52,948 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ------------ GERMANY -- (Continued) * ThyssenKrupp AG 241,872 $ 6,903,552 # Tipp24 SE 10,935 788,969 #* Tom Tailor Holding AG 33,815 657,747 # Tomorrow Focus AG 7,335 42,304 # TUI AG 313,922 5,227,169 United Internet AG 101,495 4,360,138 Volkswagen AG 17,372 4,658,276 Vossloh AG 8,010 791,699 VTG AG 20,718 457,995 # Wacker Chemie AG 31,372 3,687,795 Wacker Neuson SE 36,603 695,830 Washtec AG 51,952 891,178 Wincor Nixdorf AG 43,591 2,855,570 Wirecard AG 12,715 535,644 XING AG 3,037 389,111 ------------ TOTAL GERMANY 795,614,640 ------------ GREECE -- (0.0%) * Alapis Holding Industrial and Commercial SA of Pharmaceutical Chemical Products 69,510 -- * Bank of Cyprus PCL 1,186,157 9 * Euromedica SA 4,548 2,092 * Halcor SA 55,380 50,115 * T Bank SA 46,506 -- Thessaloniki Port Authority SA 563 19,708 ------------ TOTAL GREECE 71,924 ------------ HONG KONG -- (2.3%) # AAC Technologies Holdings, Inc. 348,500 1,951,366 Aeon Stores Hong Kong Co., Ltd. 32,000 40,812 AIA Group, Ltd. 3,441,200 16,736,598 Alco Holdings, Ltd. 356,000 62,101 Allied Group, Ltd. 72,000 312,761 Allied Properties HK, Ltd. 2,868,393 504,216 * Anxian Yuan China Holdings, Ltd. 1,560,000 29,987 * Apac Resources, Ltd. 4,320,000 93,597 APT Satellite Holdings, Ltd. 615,500 772,599 Arts Optical International Hldgs 70,000 19,046 # Asia Financial Holdings, Ltd. 270,000 109,067 Asia Satellite Telecommunications Holdings, Ltd. 148,000 591,222 Asia Standard International Group, Ltd. 544,745 137,224 # ASM Pacific Technology, Ltd. 154,800 1,720,148 Associated International Hotels, Ltd. 79,000 219,455 Aupu Group Holding Co., Ltd. 400,000 46,985 Bank of East Asia, Ltd. 1,204,746 4,976,658 BOC Hong Kong Holdings, Ltd. 2,216,000 6,559,412 Bonjour Holdings, Ltd. 2,010,000 345,689 Bossini International Hldg 1,204,000 101,117 #* Brightoil Petroleum Holdings, Ltd. 2,751,000 854,464 * Brockman Mining, Ltd. 2,850,520 145,069 * Burwill Holdings, Ltd. 6,423,600 245,485 Cafe de Coral Holdings, Ltd. 278,000 876,026 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ---------- ----------- HONG KONG -- (Continued) Cathay Pacific Airways, Ltd. 1,466,000 $ 2,774,364 Chen Hsong Holdings 360,000 107,816 Cheuk Nang Holdings, Ltd. 97,261 89,574 Cheung Kong Holdings, Ltd. 650,000 11,083,469 Cheung Kong Infrastructure Holdings, Ltd. 516,045 3,369,048 * Cheung Wo International Holdings, Ltd. 90,000 7,214 Chevalier International Holdings, Ltd. 107,913 175,523 * China Billion Resources, Ltd. 5,752,080 -- * China Daye Non-Ferrous Metals Mining, Ltd. 1,934,000 30,752 China Electronics Corp. Holdings Co., Ltd. 1,344,000 269,542 * China Energy Development Holdings, Ltd. 7,748,000 104,797 * China Environmental Investment Holdings, Ltd. 1,845,000 40,746 China Financial Services Holdings, Ltd. 304,000 25,166 * China Flavors & Fragrances Co., Ltd. 24,890 4,043 * China Infrastructure Investment, Ltd. 2,032,000 29,015 China Metal International Holdings, Inc. 540,000 182,856 * China Nuclear Industry 23 International Corp., Ltd. 274,000 46,444 * China Renji Medical Group, Ltd. 11,550,000 49,353 * China Solar Energy Holdings, Ltd. 1,033,500 8,998 China Star Entertainment, Ltd. 5,550,000 91,620 China Ting Group Holdings, Ltd. 692,000 47,338 * China Tycoon Beverage Holdings, Ltd. 60,000 124 Chong Hing Bank, Ltd. 85,329 298,263 Chow Sang Sang Holdings International, Ltd. 640,000 1,575,434 # Chow Tai Fook Jewellery Group, Ltd. 741,000 1,046,323 Chu Kong Shipping Enterprise Group Co., Ltd. 774,000 180,089 Chuang's China Investments, Ltd. 642,813 41,102 Chuang's Consortium International, Ltd. 1,599,553 194,031 Chun Wo Development Holdings, Ltd. 348,000 20,467 CITIC Telecom International Holdings, Ltd. 2,830,000 988,064 CK Life Sciences International Holdings, Inc. 5,070,000 510,844 CLP Holdings, Ltd. 281,500 2,250,434 * CP Lotus Corp. 1,420,000 34,944 # Cross-Harbour Holdings, Ltd. (The) 102,000 84,973 CSI Properties, Ltd. 5,784,200 201,945 * CST Mining Group, Ltd. 4,008,000 26,369 * Culturecom Holdings, Ltd. 255,000 35,059 * Cw Group Holdings, Ltd. 412,000 101,038 # Dah Sing Banking Group, Ltd. 894,904 1,337,623 Dah Sing Financial Holdings, Ltd. 371,244 1,645,317 Dan Form Holdings Co., Ltd. 1,227,900 111,144 Dickson Concepts International, Ltd. 429,000 258,768 * Digital Domain Holdings, Ltd. 660,000 8,872 Dorsett Hospitality International, Ltd. 1,077,000 191,964 Eagle Nice International Holdings, Ltd. 534,000 84,058 EcoGreen Fine Chemicals Group, Ltd. 132,000 30,532 * EganaGoldpfeil Holdings, Ltd. 209,588 -- Emperor Capital Group, Ltd. 204,000 10,402 # Emperor Entertainment Hotel, Ltd. 1,395,000 607,858 Emperor International Holdings 2,488,416 555,938 Emperor Watch & Jewellery, Ltd. 7,730,000 569,666 * Enviro Energy International Holdings, Ltd. 408,000 7,520 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ---------- ----------- HONG KONG -- (Continued) * EPI Holdings, Ltd. 6,758,000 $ 168,669 # Esprit Holdings, Ltd. 3,386,413 5,655,610 * eSun Holdings, Ltd. 1,199,000 139,117 Fairwood Holdings, Ltd. 80,000 163,530 # Far East Consortium International, Ltd. 1,965,866 713,874 * FIH Mobile, Ltd. 4,191,000 2,263,715 First Pacific Co., Ltd. 4,561,756 5,072,751 * Fountain SET Holdings, Ltd. 1,150,000 138,209 Four Seas Mercantile Holdings, Ltd. 36,000 23,717 Fujikon Industrial Holdings, Ltd. 132,000 30,426 Future Bright Holdings, Ltd. 582,000 279,408 * G-Resources Group, Ltd. 48,670,200 1,342,039 * Galaxy Entertainment Group, Ltd. 449,000 3,547,395 #* Genting Hong Kong, Ltd. 678,000 269,603 Get Nice Holdings, Ltd. 6,384,000 284,882 # Giordano International, Ltd. 2,694,000 1,808,415 Glorious Sun Enterprises, Ltd. 796,000 174,644 Gold Peak Industries Holding, Ltd. 453,000 39,207 Golden Resources Development International, Ltd. 676,000 36,617 Guangnan Holdings, Ltd. 756,000 98,658 # Haitong International Securities Group, Ltd. 786,192 395,256 Hang Lung Group, Ltd. 719,000 3,904,717 Hang Lung Properties, Ltd. 1,881,000 5,634,699 Hang Seng Bank, Ltd. 216,100 3,533,644 * Hao Tian Development Group, Ltd. 780,000 12,140 Harbour Centre Development, Ltd. 158,000 276,285 Henderson Land Development Co., Ltd. 1,131,906 6,795,212 * Heng Fai Enterprises, Ltd. 100,000 5,476 HKR International, Ltd. 895,962 367,639 Hon Kwok Land Investment Co., Ltd. 234,000 77,961 Hong Kong & China Gas Co., Ltd. 1,388,970 3,204,919 # Hong Kong Aircraft Engineering Co., Ltd. 28,000 325,690 # Hong Kong Exchanges and Clearing, Ltd. 391,458 7,039,716 #* Hong Kong Television Network, Ltd. ADR 19,127 107,685 Hongkong & Shanghai Hotels (The) 880,924 1,288,302 Hongkong Chinese, Ltd. 1,625,143 394,810 Hop Hing Group Holdings, Ltd. 252,000 7,378 Hopewell Holdings, Ltd. 1,120,500 3,857,039 # Hsin Chong Construction Group, Ltd. 1,682,000 232,536 Hung Hing Printing Group, Ltd. 528,524 83,758 Hutchison Telecommunications Hong Kong Holdings, Ltd. 3,300,000 1,081,557 Hutchison Whampoa, Ltd. 1,012,000 13,884,128 # Hysan Development Co., Ltd. 538,215 2,322,259 * I-CABLE Communications, Ltd. 1,657,000 167,046 * Imagi International Holdings, Ltd. 11,808,000 132,763 * Integrated Waste Solutions Group Holdings, Ltd. 2,222,000 135,043 * International Standard Resources Holdings, Ltd. 4,042,500 65,881 IPE Group, Ltd. 1,225,000 73,515 * IRC, Ltd. 1,958,000 189,821 # IT, Ltd. 1,133,087 307,320 * Jinhui Holdings Co., Ltd. 167,000 36,667 * JLF Investment Co., Ltd. 250,000 11,560 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ---------- ---------- HONG KONG -- (Continued) Johnson Electric Holdings, Ltd. 2,769,500 $2,652,586 # K Wah International Holdings, Ltd. 2,458,506 1,642,046 Ka Shui International Holdings, Ltd. 134,000 22,688 Kam Hing International Holdings, Ltd. 74,000 5,276 Kantone Holdings, Ltd. 2,444,360 32,553 * Kerry Logistics Network, Ltd. 390,791 575,032 Kerry Properties, Ltd. 1,031,583 3,410,358 * King Stone Energy Group, Ltd. 1,196,000 39,585 Kingmaker Footwear Holdings, Ltd. 754,000 147,038 # Kingston Financial Group, Ltd. 3,751,000 406,913 * Ko Yo Chemical Group, Ltd. 5,180,000 54,340 Kowloon Development Co., Ltd. 758,000 927,195 # L'Occitane International SA 655,000 1,612,028 * Lai Sun Development 21,978,666 514,352 Lam Soon Hong Kong, Ltd. 12,000 12,362 Lee's Pharmaceutical Holdings, Ltd. 100,000 112,362 Lerado Group Holding Co., Ltd. 672,000 86,964 Li & Fung, Ltd. 3,397,250 4,944,956 # Lifestyle International Holdings, Ltd. 726,000 1,419,241 Lippo China Resources, Ltd. 5,036,000 250,256 Lippo, Ltd. 174,000 93,440 Liu Chong Hing Investment, Ltd. 276,000 530,261 Luen Thai Holdings, Ltd. 336,000 100,891 # Luk Fook Holdings International, Ltd. 1,060,000 3,009,827 Luks Group Vietnam Holdings Co., Ltd. 130,000 38,731 Lung Kee Bermuda Holdings 280,000 102,327 Magnificent Estates 4,256,000 206,101 # Man Wah Holdings, Ltd. 928,000 1,524,063 Man Yue Technology Holdings, Ltd. 254,000 78,335 * Mei Ah Entertainment Group, Ltd. 3,200,000 60,622 Melco Crown Entertainment, Ltd. 4,500 51,309 Melco Crown Entertainment, Ltd. ADR 14,259 487,373 Melco International Development, Ltd. 1,129,000 3,467,217 MGM China Holdings, Ltd. 430,000 1,499,717 # Midland Holdings, Ltd. 1,674,000 703,510 Ming Fai International Holdings, Ltd. 453,000 43,936 * Ming Fung Jewellery Group, Ltd. 6,556,000 80,506 Miramar Hotel & Investment 241,000 298,037 #* Mongolian Mining Corp. 2,378,500 196,749 MTR Corp., Ltd. 565,214 2,143,174 NagaCorp, Ltd. 1,740,000 1,587,757 Natural Beauty Bio-Technology, Ltd. 70,000 3,620 #* Neo-Neon Holdings, Ltd. 1,247,000 223,631 * Neptune Group, Ltd. 5,920,000 159,987 New World Development Co., Ltd. 5,966,434 6,180,599 # Newocean Energy Holdings, Ltd. 2,220,000 1,468,971 * Next Media, Ltd. 1,192,000 122,148 * North Asia Resources Holdings, Ltd. 615,000 10,609 NWS Holdings, Ltd. 1,427,080 2,432,642 * Orange Sky Golden Harvest Entertainment Holdings, Ltd. 2,130,000 139,811 # Orient Overseas International, Ltd. 485,500 2,322,478 # Oriental Watch Holdings 1,152,240 260,521 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- HONG KONG -- (Continued) Pacific Andes International Holdings, Ltd. 2,950,274 $ 120,201 Pacific Basin Shipping, Ltd. 3,398,000 1,996,115 Pacific Textiles Holdings, Ltd. 1,015,000 1,288,828 Paliburg Holdings, Ltd. 662,790 211,452 * Paradise Entertainment, Ltd. 584,000 435,889 PCCW, Ltd. 6,407,000 3,416,175 PCCW, Ltd. ADR 7,400 39,146 #* Peace Mark Holdings, Ltd. 308,000 -- * Pearl Oriental Oil, Ltd. 2,842,627 78,174 Pegasus International Holdings, Ltd. 82,000 11,524 Pico Far East Holdings, Ltd. 1,042,000 278,897 Playmates Holdings, Ltd. 87,400 118,456 * Playmates Toys, Ltd. 892,000 376,542 PNG Resources Holdings, Ltd. 7,904,000 71,601 Polytec Asset Holdings, Ltd. 3,275,000 477,745 Power Assets Holdings, Ltd. 442,500 3,825,130 Prada SpA 113,600 911,075 Public Financial Holdings, Ltd. 464,000 220,016 PYI Corp., Ltd. 5,416,552 118,174 Regal Hotels International Holdings, Ltd. 903,400 524,023 * Richfield Group Holdings, Ltd. 2,392,000 67,724 * Rising Development Holdings, Ltd. 278,000 150,558 # SA SA International Holdings, Ltd. 1,698,000 1,424,528 Samsonite International SA 1,231,800 3,921,876 * Sandmartin International Holdings, Ltd. 270,000 14,604 Sands China, Ltd. 416,000 3,054,172 SAS Dragon Hldg, Ltd. 140,000 92,667 SCMP Group, Ltd. 10,000 2,431 SEA Holdings, Ltd. 246,000 138,224 Shangri-La Asia, Ltd. 1,718,166 2,819,274 Shenyin Wanguo HK, Ltd. 470,000 169,845 * Shougang Concord Technology Holdings 1,600,000 67,375 Shun Tak Holdings, Ltd. 3,918,250 1,924,896 #* Silver base Group Holdings, Ltd. 470,000 61,587 * Simsen International Corp., Ltd. 60,000 19,262 Sing Tao News Corp., Ltd. 490,000 66,960 Singamas Container Holdings, Ltd. 2,834,000 614,798 Sino Land Co., Ltd. 3,491,265 5,235,113 * Sino-Tech International Holdings, Ltd. 7,000,000 36,191 Sitoy Group Holdings, Ltd. 235,000 141,479 SJM Holdings, Ltd. 905,699 2,525,452 # SmarTone Telecommunications Holdings, Ltd. 988,803 1,020,522 SOCAM Development, Ltd. 432,488 524,718 * Solomon Systech International, Ltd. 984,000 48,379 Soundwill Holdings, Ltd. 36,000 62,323 * South China China, Ltd. 1,088,000 88,252 # Stella International Holdings, Ltd. 344,000 848,051 Stelux Holdings International, Ltd. 637,600 196,862 * Success Universe Group, Ltd. 2,804,000 130,641 Sun Hing Vision Group Holdings, Ltd. 122,000 37,011 Sun Hung Kai & Co., Ltd. 1,315,787 919,166 Sun Hung Kai Properties, Ltd. 855,511 10,822,509 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ------------ HONG KONG -- (Continued) Swire Pacific, Ltd. Class A 212,000 $ 2,447,126 Swire Pacific, Ltd. Class B 182,500 405,207 Swire Properties, Ltd. 393,050 1,188,773 * Symphony Holdings, Ltd. 511,500 36,927 TAI Cheung Holdings 578,000 399,557 Tai Sang Land Development, Ltd. 145,523 67,170 * Talent Property Group, Ltd. 1,245,000 16,796 # Tan Chong International, Ltd. 372,000 153,292 Tao Heung Holdings, Ltd. 36,000 23,225 #* Taung Gold International, Ltd. 3,200,000 12,382 * Technovator International, Ltd. 422,000 223,840 Techtronic Industries Co. 1,934,000 6,179,362 Television Broadcasts, Ltd. 356,600 2,230,044 * Termbray Industries International Holdings, Ltd. 112,000 11,274 Texwinca Holdings, Ltd. 988,000 1,065,429 #* Titan Petrochemicals Group, Ltd. 3,200,000 1,032 Tradelink Electronic Commerce, Ltd. 1,382,000 338,935 Transport International Holdings, Ltd. 291,800 538,694 # Trinity, Ltd. 2,582,000 664,157 * TSC Group Holdings, Ltd. 1,018,000 578,831 Tse Sui Luen Jewellery International, Ltd. 60,000 23,957 #* United Laboratories International Holdings, Ltd. (The) 1,187,500 768,617 * Universe International Holdings, Ltd. 2,910,000 54,128 # Value Partners Group, Ltd. 1,392,000 897,549 # Varitronix International, Ltd. 623,000 690,825 Vedan International Holdings, Ltd. 1,192,000 64,605 Victory City International Holdings, Ltd. 1,715,486 250,034 # Vitasoy International Holdings, Ltd. 724,000 989,775 VST Holdings, Ltd. 1,491,200 380,131 # VTech Holdings, Ltd. 174,700 2,419,582 Wai Kee Holdings, Ltd. 222,000 63,094 Wang On Group, Ltd. 8,400,000 198,046 Wharf Holdings, Ltd. 784,750 5,524,266 Wheelock & Co., Ltd. 1,072,000 4,438,687 Win Hanverky Holdings, Ltd. 356,000 47,269 Wing Hang Bank, Ltd. 324,894 5,238,046 Wing On Co. International, Ltd. 123,137 343,521 Wing Tai Properties, Ltd. 374,000 232,154 Wong's Kong King International 110,000 9,301 Wynn Macau, Ltd. 389,200 1,537,765 Xinyi Glass Holdings, Ltd. 4,428,000 3,493,798 * Xinyi Solar Holdings, Ltd. 3,204,000 868,953 Yau Lee Holdings, Ltd. 218,000 47,274 Yeebo International Hldg 26,000 4,163 YGM Trading, Ltd. 103,000 225,973 Yue Yuen Industrial Holdings, Ltd. 1,138,500 3,519,748 * Zhuhai Holdings Investment Group, Ltd. 294,000 49,471 ------------ TOTAL HONG KONG 296,427,284 ------------ IRELAND -- (0.4%) * Anglo Irish Bank Corp. P.L.C. 457,521 -- * Anglo Irish Bank Corp. P.L.C. (B06H8J9) 165,847 -- INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- IRELAND -- (Continued) * Bank of Ireland 8,068,859 $ 3,150,498 #* Bank of Ireland Sponsored ADR 126,573 2,179,586 C&C Group P.L.C.(B011Y09) 487,259 2,899,056 C&C Group P.L.C.(B010DT8) 24,767 147,336 CRH P.L.C.(0182704) 71,685 2,089,820 CRH P.L.C.(4182249) 161,099 4,690,165 CRH P.L.C. Sponsored ADR 424,196 12,420,459 Dragon Oil P.L.C. 313,971 3,340,537 FBD Holdings P.L.C.(4330231) 25,738 621,012 FBD Holdings P.L.C.(0329028) 18,709 451,085 Glanbia P.L.C.(4058629) 66,485 992,924 Glanbia P.L.C.(0066950) 74,909 1,117,670 IFG Group P.L.C. 45,155 107,280 Irish Continental Group P.L.C. 7,974 319,910 * Kenmare Resources P.L.C. 357,459 73,534 Kerry Group P.L.C. Class A(0490656) 76,886 6,030,500 Kerry Group P.L.C. Class A(4519579) 17,572 1,386,829 Kingspan Group P.L.C.(0492793) 19,320 363,712 Kingspan Group P.L.C.(4491235) 192,404 3,625,902 Paddy Power P.L.C.(0258810) 7,672 593,879 Paddy Power P.L.C.(4828974) 27,080 2,089,405 Smurfit Kappa Group P.L.C. 207,582 4,624,448 ----------- TOTAL IRELAND 53,315,547 ----------- ISRAEL -- (0.6%) #* Africa Israel Investments, Ltd. 225,108 494,378 * Africa Israel Properties, Ltd. 18,481 329,224 * Airport City, Ltd. 40,117 410,026 * AL-ROV Israel, Ltd. 7,750 327,650 * Allot Communications, Ltd. 5,559 72,022 #* Alon Blue Square Israel, Ltd. 25,445 95,440 * Alrov Properties and Lodgings, Ltd. 1,870 56,214 Amot Investments, Ltd. 107,225 351,427 #* AudioCodes, Ltd. 29,705 162,419 Avgol Industries 1953, Ltd. 30,929 33,767 * Azorim-Investment Development & Construction Co., Ltd. 20,709 20,403 Azrieli Group 68,456 2,317,303 # Babylon, Ltd. 23,921 33,926 Bank Hapoalim BM 1,197,099 6,762,403 * Bank Leumi Le-Israel BM 1,378,632 5,394,273 Bayside Land Corp. 972 260,016 # Bezeq The Israeli Telecommunication Corp., Ltd. 1,070,955 1,940,813 * Bio-cell, Ltd. 937 6,674 Cellcom Israel, Ltd.(B23WQK8) 27,249 345,467 Cellcom Israel, Ltd.(M2196U109) 20,870 264,632 * Ceragon Networks, Ltd. 14,237 37,843 * Clal Biotechnology Industries, Ltd. 95,872 281,873 Clal Insurance Enterprises Holdings, Ltd. 40,949 800,363 * Compugen, Ltd. 1,314 12,090 Delek Automotive Systems, Ltd. 30,910 312,776 Delek Group, Ltd. 4,240 1,718,431 Delta-Galil Industries, Ltd. 7,563 231,801 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ---------- ISRAEL -- (Continued) * El Al Israel Airlines 152,065 $ 32,342 Elbit Systems, Ltd. 31,517 1,860,461 Electra, Ltd. 2,349 339,875 #* Elron Electronic Industries, Ltd. 20,508 201,628 * Evogene, Ltd. 16,344 287,443 #* EZchip Semiconductor, Ltd.(M4146Y108) 24,727 592,212 * EZchip Semiconductor, Ltd.(6554998) 2,588 62,033 First International Bank Of Israel, Ltd. 55,016 887,329 FMS Enterprises Migun, Ltd. 3,360 40,688 # Formula Systems 1985, Ltd. 11,080 335,615 Fox Wizel, Ltd. 5,532 152,242 Frutarom Industries, Ltd. 54,460 1,307,780 #* Gilat Satellite Networks, Ltd.(B01BZ39) 28,182 135,160 * Gilat Satellite Networks, Ltd.(M51474118) 4,324 20,539 Golf & Co., Ltd. 12,895 46,797 * Hadera Paper, Ltd. 3,551 177,319 Harel Insurance Investments & Financial Services, Ltd. 225,250 1,285,783 # Industrial Buildings Corp. 69,029 144,628 Israel Chemicals, Ltd. 125,465 1,113,534 * Israel Discount Bank, Ltd. Class A 1,511,176 2,701,904 Israel Land Development Co., Ltd. (The) 7,214 33,802 # Ituran Location and Control, Ltd.(B0LDC23) 17,900 431,828 Ituran Location and Control, Ltd.(M6158M104) 2,473 59,401 * Jerusalem Oil Exploration 20,423 879,754 #* Kamada, Ltd. 23,951 347,892 Magic Software Enterprises, Ltd. 10,713 86,297 Matrix IT, Ltd. 63,836 393,323 #* Mazor Robotics, Ltd. 29,389 266,862 Meitav DS Investments, Ltd. 17,159 61,555 Melisron, Ltd. 19,899 530,419 Menorah Mivtachim Holdings, Ltd. 55,800 670,282 Migdal Insurance & Financial Holding, Ltd. 501,658 821,728 Mivtach Shamir Holdings, Ltd. 8,248 272,082 Mizrahi Tefahot Bank, Ltd. 273,371 3,654,384 * Naphtha Israel Petroleum Corp., Ltd. 44,309 332,027 Neto ME Holdings, Ltd. 1,394 77,850 NICE Systems, Ltd. Sponsored ADR 52,871 2,284,027 * Nitsba Holdings 1995, Ltd. 39,918 612,415 * Nova Measuring Instruments, Ltd. 13,791 142,189 #* Oil Refineries, Ltd. 2,434,889 678,637 Ormat Industries 127,178 947,950 Osem Investments, Ltd. 29,582 702,522 #* Partner Communications Co., Ltd. 86,407 773,722 #* Partner Communications Co., Ltd. ADR 11,519 102,289 Paz Oil Co., Ltd. 6,280 981,242 Phoenix Holdings, Ltd. (The) 126,617 470,480 Plasson Industries, Ltd. 1,880 79,669 Rami Levi Chain Stores Hashikma Marketing 2006, Ltd. 7,428 384,708 # Shikun & Binui, Ltd. 195,324 508,776 Shufersal, Ltd. 71,447 267,000 Strauss Group, Ltd. 43,223 782,290 Teva Pharmaceutical Industries, Ltd. 264 12,941 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- ISRAEL -- (Continued) Teva Pharmaceutical Industries, Ltd. Sponsored ADR 440,737 $21,534,410 #* Tower Semiconductor, Ltd. 22,626 176,074 * Union Bank of Israel 38,349 179,713 ----------- TOTAL ISRAEL 75,339,506 ----------- ITALY -- (2.5%) A2A SpA 1,671,529 2,045,453 ACEA SpA 68,749 986,578 #* Acotel Group SpA 164 4,660 Aeroporto di Venezia Marco Polo SpA - SAVE 28,144 532,306 Alerion Cleanpower SpA 26,596 136,957 Amplifon SpA 88,268 576,424 Ansaldo STS SpA 109,734 1,219,908 * Arnoldo Mondadori Editore SpA 275,035 508,888 Ascopiave SpA 75,357 241,678 Assicurazioni Generali SpA 462,502 10,813,891 Astaldi SpA 134,968 1,462,636 Atlantia SpA 182,201 4,746,141 * Autogrill SpA 181,008 1,737,546 Azimut Holding SpA 154,421 4,820,676 #* Banca Carige SpA 1,148,187 848,737 # Banca Finnat Euramerica SpA 107,318 77,565 Banca Generali SpA 90,274 2,841,578 # Banca IFIS SpA 30,778 664,575 #* Banca Monte dei Paschi di Siena SpA 8,896,834 2,973,507 * Banca Popolare dell'Emilia Romagna SC 648,337 7,473,308 #* Banca Popolare dell'Etruria e del Lazio 133,483 155,303 #* Banca Popolare di Milano SCRL 5,266,744 5,326,273 # Banca Popolare di Sondrio SCRL 440,623 3,164,481 Banca Profilo SpA 191,941 113,379 Banco di Desio e della Brianza SpA 33,659 152,581 #* Banco Popolare SC 693,951 14,341,490 * BasicNet SpA 47,125 157,070 #* Beghelli SpA 52,121 35,244 * Biesse SpA 24,808 222,297 Brembo SpA 42,237 1,561,040 #* Brioschi Sviluppo Immobiliare SpA 218,173 35,840 Brunello Cucinelli SpA 14,284 411,079 # Buzzi Unicem SpA 145,043 2,573,108 Cairo Communication SpA 13,925 120,896 * Carraro SpA 24,693 107,115 Cembre SpA 4,534 72,229 Cementir Holding SpA 117,265 1,117,271 * CIR-Compagnie Industriali Riunite SpA 830,509 1,280,548 CNH Industrial NV 279,915 3,269,734 Credito Bergamasco SpA 7,858 224,653 Credito Emiliano SpA 163,249 1,673,493 #* Credito Valtellinese SCRL 825,887 1,971,691 # d'Amico International Shipping SA 149,651 136,507 Danieli & C Officine Meccaniche SpA 22,187 796,850 Datalogic SpA 14,701 195,197 Davide Campari-Milano SpA 173,024 1,504,035 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- ITALY -- (Continued) De'Longhi SpA 54,146 $ 1,176,868 * Delclima 35,945 76,676 # DiaSorin SpA 16,898 697,243 Ei Towers SpA 13,744 781,947 El.En. SpA 1,580 50,536 Elica SpA 6,214 16,815 Enel Green Power SpA 1,159,587 3,318,742 Enel SpA 1,066,729 6,041,878 Engineering SpA 9,921 691,393 Eni SpA 801,563 20,759,933 # Eni SpA Sponsored ADR 221,992 11,463,667 ERG SpA 115,023 1,986,514 Esprinet SpA 66,385 725,800 * Eurotech SpA 83,201 281,336 * Falck Renewables SpA 309,609 590,955 #* Fiat SpA 1,242,405 14,999,221 * Fiat SpA Sponsored ADR 8,900 107,690 * Finmeccanica SpA 834,762 7,725,249 FNM SpA 81,756 74,786 Gas Plus SpA 5,879 39,125 # Geox SpA 139,690 607,946 * Gruppo Editoriale L'Espresso SpA 350,809 809,990 Gruppo MutuiOnline SpA 659 4,758 Gtech Spa 87,842 2,578,351 Hera SpA 769,502 2,267,609 * IMMSI SpA 433,985 463,314 Indesit Co. SpA 66,609 951,225 Industria Macchine Automatiche SpA 12,384 608,988 * Intek Group SpA 379,214 245,536 Interpump Group SpA 112,611 1,596,587 Intesa Sanpaolo SpA 6,678,667 22,854,591 Iren SpA 693,187 1,177,884 Italcementi SpA 181,525 2,205,366 * Italmobiliare SpA 13,001 591,094 #* Juventus Football Club SpA 838,886 286,611 La Doria SpA 11,649 99,327 * Landi Renzo SpA 62,245 118,912 Luxottica Group SpA 24,807 1,422,843 Luxottica Group SpA Sponsored ADR 13,400 767,016 #* Maire Tecnimont SpA 188,284 686,788 MARR SpA 39,574 766,458 * Mediaset SpA 1,010,621 5,592,947 * Mediobanca SpA 892,462 9,905,496 Mediolanum SpA 254,668 2,292,167 Nice SpA 16,046 71,071 Parmalat SpA 940,095 3,266,094 # Piaggio & C SpA 285,621 1,181,749 * Pininfarina SpA 12,270 72,519 Pirelli & C. SpA 254,580 4,286,144 * Poltrona Frau SpA 72,321 296,879 #* Prelios SpA 172,870 153,332 * Prima Industrie SpA 5,004 96,975 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ------------ ITALY -- (Continued) Prysmian SpA 175,137 $ 4,561,392 #* RCS MediaGroup SpA 106,352 244,502 # Recordati SpA 125,546 2,197,705 * Reno de Medici SpA 220,924 95,138 Reply SpA 4,667 421,718 #* Retelit SpA 272,733 264,518 Sabaf SpA 3,423 73,391 SAES Getters SpA 4,958 57,328 * Safilo Group SpA 75,665 1,727,953 Saipem SpA 118,965 3,190,988 # Salini Impregilo SpA 97,361 621,960 Salvatore Ferragamo SpA 19,755 626,116 #* Saras SpA 348,236 604,205 Servizi Italia SpA 3,824 28,303 #* Snai SpA 49,234 150,439 Snam SpA 696,092 4,186,954 Societa Cattolica di Assicurazioni SCRL 72,533 1,793,962 Societa Iniziative Autostradali e Servizi SpA 121,600 1,446,008 * Societa Partecipazioni Finanziarie SpA 271,551 -- # Societa per la Bonifica dei Terreni Ferraresi e Imprese Agricole SpA 954 39,286 * Sogefi SpA 79,982 508,338 SOL SpA 28,261 236,697 * Sorin SpA 411,834 1,257,070 #* Telecom Italia Media SpA 79,885 14,591 * Telecom Italia SpA 9,597,386 12,332,911 # Telecom Italia SpA Sponsored ADR 342,088 4,392,410 Tenaris SA 4,201 92,867 Tenaris SA ADR 49,796 2,193,514 Terna Rete Elettrica Nazionale SpA 1,292,955 7,004,823 * Tiscali SpA 2,362,462 241,854 # Tod's SpA 9,000 1,261,190 Trevi Finanziaria Industriale SpA 83,631 964,516 * Uni Land SpA 58,555 -- UniCredit SpA 2,459,029 22,032,023 Unione di Banche Italiane SCPA 1,609,345 15,361,990 Unipol Gruppo Finanziario SpA 507,922 3,679,343 #* UnipolSai SpA 1,042,121 3,834,546 Vianini Lavori SpA 26,898 231,310 Vittoria Assicurazioni SpA 46,670 685,650 * World Duty Free SpA 76,248 1,024,346 * Yoox SpA 48,421 1,738,785 Zignago Vetro SpA 26,998 222,281 ------------ TOTAL ITALY 327,008,278 ------------ JAPAN -- (16.8%) 77 Bank, Ltd. (The) 631,000 2,848,666 #* A&A Material Corp. 42,000 46,806 # A&D Co., Ltd. 34,700 148,199 # ABC-Mart, Inc. 24,200 1,086,735 # Accordia Golf Co., Ltd. 254,700 3,267,352 Achilles Corp. 348,000 461,010 Adastria Holdings Co., Ltd. 36,450 793,231 ADEKA Corp. 184,800 2,030,408 Aderans Co., Ltd. 22,100 314,394 Advan Co., Ltd. 21,700 230,325 # Advantest Corp. 111,000 1,223,632 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- JAPAN -- (Continued) # Advantest Corp. ADR 15,767 $ 173,752 # Aeon Co., Ltd. 639,200 7,382,518 Aeon Delight Co., Ltd. 35,200 776,458 # Aeon Fantasy Co., Ltd. 24,100 299,069 Aeon Mall Co., Ltd. 13,420 319,957 * Agora Hospitality Group Co., Ltd. 41,000 18,095 Agrex, Inc. 4,200 43,193 Ahresty Corp. 42,200 359,220 Ai Holdings Corp. 60,100 958,798 Aica Kogyo Co., Ltd. 51,600 1,079,075 Aichi Bank, Ltd. (The) 16,100 785,406 Aichi Corp. 52,100 221,882 Aichi Steel Corp. 247,000 910,895 Aichi Tokei Denki Co., Ltd. 70,000 195,954 Aida Engineering, Ltd. 94,900 905,893 * Aigan Co., Ltd. 26,900 70,054 # Ain Pharmaciez, Inc. 24,500 1,077,381 Aiphone Co., Ltd. 16,900 276,278 Air Water, Inc. 272,000 3,816,523 Airport Facilities Co., Ltd. 35,100 243,116 Aisan Industry Co., Ltd. 61,000 485,374 Aisin Seiki Co., Ltd. 198,700 7,021,933 Aizawa Securities Co., Ltd. 67,800 374,655 # Ajinomoto Co., Inc. 442,000 6,505,284 # Akebono Brake Industry Co., Ltd. 144,000 732,503 Akita Bank, Ltd. (The) 343,000 953,940 Alconix Corp. 7,800 156,884 Alfresa Holdings Corp. 40,900 2,546,304 Alinco, Inc. 9,900 112,832 Allied Telesis Holdings K.K. 125,800 101,277 Alpen Co., Ltd. 40,400 744,317 Alpha Corp. 3,500 33,791 Alpha Systems, Inc. 10,720 156,628 Alpine Electronics, Inc. 106,600 1,270,934 Alps Electric Co., Ltd. 289,300 3,271,249 Alps Logistics Co., Ltd. 10,900 112,569 Altech Corp. 12,600 122,447 Amada Co., Ltd. 616,000 4,455,033 # Amano Corp. 125,600 1,209,374 Amiyaki Tei Co., Ltd. 8,800 247,221 ANA Holdings, Inc. 372,000 812,356 Anest Iwata Corp. 48,000 290,289 Anritsu Corp. 167,800 1,879,126 AOI Electronic Co., Ltd. 5,000 97,488 AOI Pro, Inc. 5,500 34,210 AOKI Holdings, Inc. 66,200 901,987 # Aomori Bank, Ltd. (The) 368,000 1,012,136 Aoyama Trading Co., Ltd. 88,400 2,193,640 # Aozora Bank, Ltd. 796,000 2,367,942 Arakawa Chemical Industries, Ltd. 22,600 190,352 Arata Corp. 4,000 12,790 Araya Industrial Co., Ltd. 59,000 94,892 Arcland Sakamoto Co., Ltd. 33,600 665,280 Arcs Co., Ltd. 65,273 1,309,511 Argo Graphics, Inc. 500 7,905 Ariake Japan Co., Ltd. 25,900 625,610 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ---------- JAPAN -- (Continued) Arisawa Manufacturing Co., Ltd. 80,600 $ 376,848 * Arrk Corp. 84,600 194,935 Artnature, Inc. 10,700 306,036 As One Corp. 22,890 601,374 Asahi Broadcasting Corp. 6,500 38,036 Asahi Co., Ltd. 32,700 435,033 Asahi Diamond Industrial Co., Ltd. 95,700 1,295,137 Asahi Glass Co., Ltd. 1,114,000 6,315,690 # Asahi Group Holdings, Ltd. 101,100 2,793,673 Asahi Holdings, Inc. 58,000 915,929 # Asahi Intecc Co., Ltd. 21,600 790,549 Asahi Kasei Corp. 1,367,000 9,293,956 Asahi Kogyosha Co., Ltd. 31,000 113,287 Asahi Net, Inc. 7,000 32,097 Asahi Organic Chemicals Industry Co., Ltd. 104,000 225,960 #* Asanuma Corp. 138,000 185,267 # Asatsu-DK, Inc. 68,600 1,551,834 Asax Co., Ltd. 2,200 25,664 * Ashimori Industry Co., Ltd. 100,000 121,181 Asics Corp. 42,700 831,084 ASKA Pharmaceutical Co., Ltd. 47,300 423,190 # ASKUL Corp. 23,500 586,419 Astellas Pharma, Inc. 223,000 2,486,335 Asunaro Aoki Construction Co., Ltd. 40,500 232,425 # Atom Corp. 29,300 149,146 Autobacs Seven Co., Ltd. 122,800 1,899,855 Avex Group Holdings, Inc. 84,500 1,565,098 Awa Bank, Ltd. (The) 348,000 1,863,485 Axell Corp. 10,800 167,722 Axial Retailing, Inc. 9,200 142,480 Azbil Corp. 116,800 2,650,506 Bando Chemical Industries, Ltd. 150,000 577,162 Bank of Iwate, Ltd. (The) 29,900 1,327,905 Bank of Kochi, Ltd. (The) 12,000 17,286 Bank of Kyoto, Ltd. (The) 457,000 3,723,655 Bank of Nagoya, Ltd. (The) 318,000 1,194,963 # Bank of Okinawa, Ltd. (The) 33,050 1,385,709 Bank of Saga, Ltd. (The) 230,000 479,904 # Bank of the Ryukyus, Ltd. 90,800 1,201,918 Bank of Yokohama, Ltd. (The) 1,185,000 5,955,923 Belc Co., Ltd. 16,138 318,899 Belluna Co., Ltd. 92,500 449,038 Benefit One, Inc. 10,300 89,896 # Benesse Holdings, Inc. 35,000 1,331,688 Best Bridal, Inc. 8,400 49,997 Best Denki Co., Ltd. 110,800 150,747 # Bic Camera, Inc. 150,600 1,098,445 # Bit-isle, Inc. 52,800 344,116 BML, Inc. 28,900 1,104,040 # Bookoff Corp. 18,300 152,068 Bridgestone Corp. 183,700 6,577,469 # Brother Industries, Ltd. 307,200 4,296,952 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- JAPAN -- (Continued) Bunka Shutter Co., Ltd. 96,000 $ 560,283 C Uyemura & Co., Ltd. 3,300 152,683 CAC Holdings Corp. 600 5,859 # Calbee, Inc. 53,600 1,314,477 Calsonic Kansei Corp. 381,000 1,876,859 # Can Do Co., Ltd. 13,500 207,185 Canon Electronics, Inc. 46,100 779,174 Canon Marketing Japan, Inc. 100,100 1,612,169 Canon, Inc. 298,034 9,338,881 # Canon, Inc. Sponsored ADR 59,377 1,857,313 # Capcom Co., Ltd. 62,300 1,085,093 Carlit Holdings Co., Ltd. 22,000 101,161 Casio Computer Co., Ltd. 241,500 2,755,813 Cawachi, Ltd. 34,300 625,374 Central Glass Co., Ltd. 460,000 1,508,487 Central Japan Railway Co. 22,800 2,800,427 # Central Sports Co., Ltd. 1,100 16,551 # Century Tokyo Leasing Corp. 86,530 2,504,154 Chiba Bank, Ltd. (The) 756,000 4,805,446 * Chiba Kogyo Bank, Ltd. (The) 94,500 613,896 Chino Corp. 57,000 120,679 # Chiyoda Co., Ltd. 50,300 1,194,240 Chiyoda Integre Co., Ltd. 31,800 438,475 Chori Co., Ltd. 24,400 269,361 * Chubu Electric Power Co., Inc. 205,000 2,335,068 Chubu Shiryo Co., Ltd. 29,700 171,950 Chuetsu Pulp & Paper Co., Ltd. 134,000 252,294 #* Chugai Mining Co., Ltd. 259,700 83,830 # Chugai Pharmaceutical Co., Ltd. 21,300 537,588 Chugai Ro Co., Ltd. 116,000 249,495 Chugoku Bank, Ltd. (The) 286,300 3,795,294 # Chugoku Electric Power Co., Inc. (The) 94,500 1,238,225 Chugoku Marine Paints, Ltd. 112,000 714,465 Chukyo Bank, Ltd. (The) 192,000 326,887 # Chuo Denki Kogyo Co., Ltd. 31,000 98,881 Chuo Gyorui Co., Ltd. 38,000 87,921 Chuo Spring Co., Ltd. 60,000 181,389 Citizen Holdings Co., Ltd. 428,750 3,148,702 CKD Corp. 110,500 1,006,614 #* Clarion Co., Ltd. 472,000 888,082 Cleanup Corp. 43,100 392,712 # CMIC Holdings Co., Ltd. 25,200 403,508 #* CMK Corp. 71,400 177,769 * Co-Op Chemical Co., Ltd. 26,000 30,803 Coca-Cola East Japan Co., Ltd. 83,067 1,872,041 Coca-Cola West Co., Ltd. 116,402 2,025,873 # Cocokara fine, Inc. 28,820 817,107 # Colowide Co., Ltd. 57,100 572,915 Computer Engineering & Consulting, Ltd. 17,600 103,957 COMSYS Holdings Corp. 184,200 3,019,783 CONEXIO Corp. 17,100 131,932 #* COOKPAD, Inc. 23,400 468,863 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ---------- JAPAN -- (Continued) Core Corp. 4,800 $ 33,487 Corona Corp. 21,700 219,255 Cosel Co., Ltd. 28,800 328,325 Cosmo Oil Co., Ltd. 1,179,000 2,205,579 * Cosmos Initia Co., Ltd. 17,500 86,321 # Cosmos Pharmaceutical Corp. 9,100 973,372 Create Medic Co., Ltd. 3,500 32,866 CREATE SD HOLDINGS Co., Ltd. 7,100 234,386 Credit Saison Co., Ltd. 156,300 3,329,694 Cresco, Ltd. 36,000 362,548 CROOZ, Inc. 11,000 441,778 Cross Plus, Inc. 2,000 15,052 CTI Engineering Co., Ltd. 12,800 136,276 Cybernet Systems Co., Ltd. 10,400 36,012 Cybozu, Inc. 13,000 44,741 DA Consortium, Inc. 62,600 252,072 # Dai Nippon Printing Co., Ltd. 553,000 4,981,067 Dai Nippon Toryo Co., Ltd. 236,000 351,201 Dai-Dan Co., Ltd. 42,000 222,009 Dai-ichi Life Insurance Co., Ltd. (The) 424,300 5,879,416 Dai-ichi Seiko Co., Ltd. 17,400 221,216 Daibiru Corp. 96,100 958,987 Daicel Corp. 568,000 4,756,875 Daido Kogyo Co., Ltd. 76,000 228,440 Daido Metal Co., Ltd. 82,000 871,379 # Daido Steel Co., Ltd. 475,000 2,322,455 Daidoh, Ltd. 34,800 212,412 #* Daiei, Inc. (The) 288,300 809,311 Daifuku Co., Ltd. 173,000 1,994,625 Daihatsu Diesel Manufacturing Co., Ltd. 10,000 65,760 # Daihatsu Motor Co., Ltd. 227,800 3,773,259 Daihen Corp. 205,000 776,915 # Daiho Corp. 99,000 386,091 Daiichi Jitsugyo Co., Ltd. 82,000 345,202 Daiichi Kigenso Kagaku-Kogyo Co., Ltd. 3,400 82,568 Daiichi Sankyo Co., Ltd. 281,800 4,726,997 Daiichikosho Co., Ltd. 45,900 1,322,640 Daiken Corp. 111,000 271,529 # Daiken Medical Co., Ltd. 5,800 91,085 Daiki Aluminium Industry Co., Ltd. 46,000 108,089 Daikin Industries, Ltd. 53,000 3,065,738 Daiko Clearing Services Corp. 23,500 122,720 Daikoku Denki Co., Ltd. 20,900 373,561 Daikokutenbussan Co., Ltd. 12,100 314,162 # Daikyo, Inc. 825,392 1,609,242 Dainichi Co., Ltd. 12,700 91,402 Dainichiseika Color & Chemicals Manufacturing Co., Ltd. 126,000 532,518 # Dainippon Screen Manufacturing Co., Ltd. 241,000 1,051,154 # Dainippon Sumitomo Pharma Co., Ltd. 121,900 1,848,717 # Daio Paper Corp. 229,000 2,402,466 Daisan Bank, Ltd. (The) 262,000 438,716 Daiseki Co., Ltd. 62,325 992,986 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ---------- JAPAN -- (Continued) Daishi Bank, Ltd. (The) 629,000 $2,271,759 Daishinku Corp. 87,000 336,849 Daiso Co., Ltd. 127,000 421,510 # Daisyo Corp. 23,700 278,781 Daito Bank, Ltd. (The) 261,000 278,023 Daito Electron Co., Ltd. 1,000 3,809 Daito Pharmaceutical Co., Ltd. 12,700 184,563 Daito Trust Construction Co., Ltd. 32,200 3,276,698 Daiwa House Industry Co., Ltd. 300,000 5,068,714 Daiwa Industries, Ltd. 30,000 185,040 Daiwa Securities Group, Inc. 1,270,000 9,523,015 Daiwabo Holdings Co., Ltd. 430,000 740,414 DC Co., Ltd. 29,000 152,842 # DCM Holdings Co., Ltd. 186,380 1,260,912 # Dena Co., Ltd. 135,900 2,296,789 Denki Kagaku Kogyo K.K. 1,135,000 3,764,269 Denso Corp. 118,700 5,407,116 Dentsu, Inc. 101,000 4,142,281 Denyo Co., Ltd. 27,300 406,829 Descente, Ltd. 74,000 560,890 DIC Corp. 1,560,000 4,139,971 Disco Corp. 19,600 1,191,083 DKS Co., Ltd. 35,000 106,229 DMG Mori Seiki Co., Ltd. 153,600 1,916,161 DMW Corp. 900 15,987 # Don Quijote Holdings Co., Ltd. 24,500 1,292,180 Doshisha Co., Ltd. 38,600 578,747 Doutor Nichires Holdings Co., Ltd. 55,923 1,002,325 Dowa Holdings Co., Ltd. 381,500 3,198,414 # Dr Ci:Labo Co., Ltd. 20,400 652,955 * Dream Incubator, Inc. 6,200 85,195 DTS Corp. 46,000 762,806 # Dunlop Sports Co., Ltd. 21,200 258,253 Duskin Co., Ltd. 79,100 1,462,187 # Dwango Co., Ltd. 32,500 906,636 Dynic Corp. 14,000 22,312 Eagle Industry Co., Ltd. 49,400 781,892 # Earth Chemical Co., Ltd. 11,700 418,552 East Japan Railway Co. 55,500 4,049,572 Ebara Corp. 611,000 3,634,326 Ebara Jitsugyo Co., Ltd. 11,000 153,352 Echo Trading Co., Ltd. 2,600 17,871 # EDION Corp. 193,200 1,125,858 Ehime Bank, Ltd. (The) 236,000 517,068 Eidai Co., Ltd. 28,000 151,398 Eighteenth Bank, Ltd. (The) 300,000 670,103 Eiken Chemical Co., Ltd. 36,000 583,625 # Eisai Co., Ltd. 32,300 1,247,396 Eizo Corp. 41,100 1,114,328 Elecom Co., Ltd. 23,200 419,019 Electric Power Development Co., Ltd. 37,900 1,005,040 Elematec Corp. 11,103 189,766 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- JAPAN -- (Continued) EM Systems Co., Ltd. 5,400 $ 110,104 Emori Group Holdings Co., Ltd. 19,000 283,061 en-japan, Inc. 16,600 292,595 Endo Lighting Corp. 26,800 426,008 # Enplas Corp. 15,500 890,598 * Enshu, Ltd. 79,000 99,075 # EPS Corp. 21,700 207,328 ESPEC Corp. 37,900 289,565 Excel Co., Ltd. 7,600 80,484 Exedy Corp. 70,800 1,894,233 Ezaki Glico Co., Ltd. 111,000 1,461,910 F-Tech, Inc. 15,900 187,878 # F@N Communications, Inc. 26,100 439,109 Faith, Inc. 9,480 93,297 FALCO SD HOLDINGS Co., Ltd. 8,600 97,331 FamilyMart Co., Ltd. 40,500 1,681,768 # Fancl Corp. 85,400 947,097 FANUC Corp. 18,900 3,410,239 Fast Retailing Co., Ltd. 10,000 3,107,391 FCC Co., Ltd. 64,800 1,107,665 #* FDK Corp. 149,000 173,988 Felissimo Corp. 1,200 11,808 Ferrotec Corp. 73,100 394,255 # FIDEA Holdings Co., Ltd. 161,500 301,933 Fields Corp. 26,500 356,155 # Financial Products Group Co., Ltd. 17,500 169,437 * First Baking Co., Ltd. 12,000 14,309 Foster Electric Co., Ltd. 44,800 542,649 # FP Corp. 53,500 1,663,912 France Bed Holdings Co., Ltd. 193,000 347,793 # Freund Corp. 5,000 66,668 # Fudo Tetra Corp. 265,500 592,930 # Fuji Co., Ltd. 27,200 514,830 Fuji Corp., Ltd. 44,700 262,257 Fuji Electric Co., Ltd. 829,000 3,762,229 Fuji Electronics Co., Ltd. 16,400 195,628 Fuji Furukawa Engineering & Construction Co., Ltd. 10,000 25,102 Fuji Heavy Industries, Ltd. 366,300 9,631,737 Fuji Kiko Co., Ltd. 17,000 66,937 Fuji Kosan Co., Ltd. 11,000 68,336 # Fuji Kyuko Co., Ltd. 79,000 790,750 Fuji Media Holdings, Inc. 56,100 945,146 Fuji Oil Co., Ltd.(6581361) 85,000 263,289 Fuji Oil Co., Ltd.(6356848) 130,100 1,757,758 Fuji Oozx, Inc. 6,000 25,339 Fuji Pharma Co., Ltd. 13,800 269,059 # Fuji Seal International, Inc. 52,500 1,708,141 Fuji Soft, Inc. 44,600 932,966 # Fujibo Holdings, Inc. 239,000 550,202 Fujicco Co., Ltd. 32,600 381,081 FUJIFILM Holdings Corp. 247,675 6,397,960 Fujikura Kasei Co., Ltd. 51,200 279,825 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ---------- JAPAN -- (Continued) # Fujikura Rubber, Ltd. 18,900 $ 163,736 Fujikura, Ltd. 799,000 3,440,470 Fujimi, Inc. 32,400 374,655 Fujimori Kogyo Co., Ltd. 25,700 721,512 * Fujisash Co., Ltd. 104,400 159,721 Fujita Kanko, Inc. 14,000 45,980 Fujitec Co., Ltd. 102,000 1,176,102 Fujitsu Frontech, Ltd. 27,600 307,872 Fujitsu General, Ltd. 84,000 969,353 Fujitsu, Ltd. 1,379,292 8,110,553 # Fujiya Co., Ltd. 116,000 212,256 FuKoKu Co., Ltd. 8,400 76,391 Fukuda Corp. 40,000 185,750 Fukui Bank, Ltd. (The) 407,000 966,128 Fukuoka Financial Group, Inc. 786,600 3,212,479 Fukushima Bank, Ltd. (The) 475,000 390,534 Fukushima Industries Corp. 27,400 389,614 # Fukuyama Transporting Co., Ltd. 215,000 1,258,219 Fumakilla, Ltd. 15,000 43,183 Funai Consulting, Inc. 31,800 247,989 # Furukawa Battery Co., Ltd. (The) 30,000 206,375 Furukawa Co., Ltd. 530,000 961,360 # Furukawa Electric Co., Ltd. 1,537,067 3,460,645 Furuno Electric Co., Ltd. 44,400 299,604 Furusato Industries, Ltd. 14,900 151,675 Furuya Metal Co., Ltd. 1,400 36,293 Fuso Chemical Co., Ltd. 200 5,419 Fuso Pharmaceutical Industries, Ltd. 108,000 347,307 # Futaba Industrial Co., Ltd. 124,000 555,489 Future Architect, Inc. 6,900 40,815 # Fuyo General Lease Co., Ltd. 24,400 839,620 G-7 Holdings, Inc. 6,500 47,404 G-Tekt Corp. 39,200 438,769 Gakken Holdings Co., Ltd. 98,000 265,712 # GCA Savvian Corp. 14,700 113,527 Gecoss Corp. 23,500 220,231 Geo Holdings Corp. 78,400 718,297 GLOBERIDE, Inc. 187,000 237,778 Glory, Ltd. 110,300 2,853,615 GMO internet, Inc. 110,900 979,763 # GMO Payment Gateway, Inc. 9,400 294,656 Godo Steel, Ltd. 304,000 428,059 Goldcrest Co., Ltd. 43,430 909,163 Goldwin, Inc. 66,000 340,791 # Gourmet Kineya Co., Ltd. 28,000 202,425 # Gree, Inc. 100,200 979,832 # GS Yuasa Corp. 499,000 2,823,635 GSI Creos Corp. 122,000 162,578 Gulliver International Co., Ltd. 114,600 937,925 # Gun-Ei Chemical Industry Co., Ltd. 110,000 397,102 # GungHo Online Entertainment, Inc. 153,700 874,327 Gunma Bank, Ltd. (The) 696,000 3,699,432 # Gunze, Ltd. 372,000 1,015,808 # Gurunavi, Inc. 49,300 642,576 H-One Co., Ltd. 20,800 161,162 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ---------- JAPAN -- (Continued) H2O Retailing Corp. 244,000 $1,841,356 Hachijuni Bank, Ltd. (The) 698,000 3,815,918 Hagihara Industries, Inc. 6,000 79,424 Hagoromo Foods Corp. 3,000 30,908 Hakudo Co., Ltd. 5,600 48,936 Hakuhodo DY Holdings, Inc. 328,000 2,544,348 Hakuto Co., Ltd. 28,700 264,964 Hamakyorex Co., Ltd. 13,400 371,147 Hamamatsu Photonics K.K. 44,400 2,000,567 Hankyu Hanshin Holdings, Inc. 1,283,000 7,031,574 Hanwa Co., Ltd. 402,000 1,572,321 Happinet Corp. 25,400 257,856 Hard Off Corp. Co., Ltd. 16,700 128,941 Harima Chemicals Group, Inc. 22,000 94,665 Harmonic Drive Systems, Inc. 5,000 141,978 Haruyama Trading Co., Ltd. 6,500 45,478 Haseko Corp. 368,100 2,331,082 Hazama Ando Corp. 299,280 1,320,847 Heiwa Corp. 100,200 1,667,323 Heiwa Real Estate Co., Ltd. 87,000 1,365,824 Heiwado Co., Ltd. 68,900 975,375 HI-LEX Corp. 16,500 407,993 Hibiya Engineering, Ltd. 28,300 364,936 Hiday Hidaka Corp. 19,164 441,293 Higashi Nihon House Co., Ltd. 72,000 345,127 # Higashi-Nippon Bank, Ltd. (The) 256,000 642,012 Higo Bank, Ltd. (The) 332,000 1,706,423 # Hikari Tsushin, Inc. 22,700 1,913,651 Himaraya Co., Ltd. 6,000 63,885 Hino Motors, Ltd. 121,400 1,599,340 Hioki EE Corp. 5,800 91,289 Hiramatsu, Inc. 26,400 175,625 Hiroshima Bank, Ltd. (The) 907,000 3,731,613 Hisaka Works, Ltd. 13,000 115,419 Hisamitsu Pharmaceutical Co., Inc. 15,400 644,521 Hitachi Capital Corp. 104,900 2,585,515 Hitachi Chemical Co., Ltd. 177,100 2,605,432 # Hitachi Construction Machinery Co., Ltd. 132,800 2,464,310 Hitachi High-Technologies Corp. 96,400 2,205,254 # Hitachi Koki Co., Ltd. 128,000 953,505 Hitachi Kokusai Electric, Inc. 72,000 823,075 Hitachi Metals Techno, Ltd. 3,500 42,178 # Hitachi Metals, Ltd. 152,730 2,073,961 Hitachi Transport System, Ltd. 99,300 1,523,744 Hitachi Zosen Corp. 303,700 1,490,126 Hitachi, Ltd. 1,226,000 8,740,078 # Hitachi, Ltd. ADR 89,223 6,351,785 Hochiki Corp. 15,000 80,156 # Hodogaya Chemical Co., Ltd. 91,000 178,808 # Hogy Medical Co., Ltd. 25,100 1,294,560 #* Hokkaido Electric Power Co., Inc. 135,200 827,084 Hokkaido Gas Co., Ltd. 75,000 199,772 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- JAPAN -- (Continued) Hokkan Holdings, Ltd. 70,000 $ 182,408 Hokko Chemical Industry Co., Ltd. 27,000 91,125 Hokkoku Bank, Ltd. (The) 508,000 1,701,082 Hokuetsu Bank, Ltd. (The) 393,000 803,854 Hokuetsu Industries Co., Ltd. 34,000 184,589 # Hokuetsu Kishu Paper Co., Ltd. 257,095 1,222,744 Hokuhoku Financial Group, Inc. 2,150,000 4,148,938 Hokuriku Electric Industry Co., Ltd. 92,000 122,383 Hokuriku Electric Power Co. 130,600 1,621,893 Hokuriku Electrical Construction Co., Ltd. 9,000 39,559 Hokuto Corp. 44,200 887,915 Honda Motor Co., Ltd. 693,700 23,020,204 # Honda Motor Co., Ltd. Sponsored ADR 417,161 13,891,461 # Honeys Co., Ltd. 34,830 326,083 # Hoosiers Holdings Co., Ltd. 61,800 338,865 # Horiba, Ltd. 75,500 2,609,759 Hoshizaki Electric Co., Ltd. 30,100 1,217,949 Hosokawa Micron Corp. 57,000 344,056 # House Foods Group, Inc. 120,700 2,008,472 Howa Machinery, Ltd. 23,300 165,442 Hoya Corp. 121,200 3,584,772 Hurxley Corp. 2,200 16,119 Hyakugo Bank, Ltd. (The) 504,000 1,952,790 Hyakujushi Bank, Ltd. (The) 439,000 1,470,479 I-Net Corp. 8,800 62,123 Ibiden Co., Ltd. 200,900 3,626,269 IBJ Leasing Co., Ltd. 19,200 439,360 # Ichibanya Co., Ltd. 12,100 489,516 # Ichigo Group Holdings Co., Ltd. 270,400 801,813 Ichiken Co., Ltd. 22,000 36,460 * Ichikoh Industries, Ltd. 65,000 86,866 ICHINEN HOLDINGS Co., Ltd. 25,072 184,538 Ichiyoshi Securities Co., Ltd. 53,300 635,739 Idec Corp. 40,500 355,956 Idemitsu Kosan Co., Ltd. 148,900 3,292,702 # Ihara Chemical Industry Co., Ltd. 59,000 461,065 IHI Corp. 838,000 3,341,306 Iida Group Holdings Co., Ltd. 119,396 1,781,786 Iino Kaiun Kaisha, Ltd. 165,200 812,637 * IJT Technology Holdings Co., Ltd. 22,760 92,891 * Ikegami Tsushinki Co., Ltd. 58,000 57,319 # Ikyu Corp. 2,400 26,072 Imagica Robot Holdings, Inc. 14,800 60,720 # Imasen Electric Industrial 29,100 364,965 Imperial Hotel, Ltd. 15,100 327,100 Inaba Denki Sangyo Co., Ltd. 48,700 1,495,604 Inaba Seisakusho Co., Ltd. 5,800 73,190 Inabata & Co., Ltd. 101,000 950,490 Inageya Co., Ltd. 24,600 240,519 Ines Corp. 61,900 406,708 Infocom Corp. 26,700 224,537 # Infomart Corp. 5,600 88,708 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- JAPAN -- (Continued) Information Services International-Dentsu, Ltd. 24,000 $ 300,220 Innotech Corp. 29,600 125,698 Intage Holdings, Inc. 8,600 107,607 # Internet Initiative Japan, Inc. 78,400 1,819,015 Inui Warehouse Co., Ltd. 11,400 104,724 Iriso Electronics Co., Ltd. 12,800 644,262 Ise Chemical Corp. 18,000 120,373 # Iseki & Co., Ltd. 448,000 1,157,750 # Isetan Mitsukoshi Holdings, Ltd. 335,040 4,169,259 * Ishihara Sangyo Kaisha, Ltd. 761,000 723,908 Ishii Iron Works Co., Ltd. 29,000 69,824 # Ishizuka Glass Co., Ltd. 12,000 23,268 # Isuzu Motors, Ltd. 679,000 3,943,325 IT Holdings Corp. 185,100 2,869,418 Itfor, Inc. 21,800 87,948 # Ito En, Ltd. 45,700 977,064 ITOCHU Corp. 857,000 9,606,790 Itochu Enex Co., Ltd. 98,400 552,495 # Itochu Techno-Solutions Corp. 38,600 1,613,060 Itochu-Shokuhin Co., Ltd. 10,400 350,274 Itoham Foods, Inc. 305,000 1,382,334 Itoki Corp. 75,600 567,649 Iwai Cosmo Holdings, Inc. 28,200 274,676 Iwaki & Co., Ltd. 19,000 37,027 Iwasaki Electric Co., Ltd. 144,000 348,222 # Iwatani Corp. 523,000 3,069,113 Iwatsu Electric Co., Ltd. 153,000 134,669 Iyo Bank, Ltd. (The) 433,957 3,901,719 Izumi Co., Ltd. 58,200 1,703,091 Izumiya Co., Ltd. 104,000 493,386 #* Izutsuya Co., Ltd. 162,000 111,202 J Front Retailing Co., Ltd. 536,600 3,410,920 # J-Oil Mills, Inc. 218,000 582,818 Jalux, Inc. 2,900 30,464 Jamco Corp. 14,900 266,698 #* Janome Sewing Machine Co., Ltd. 418,000 335,532 Japan Airport Terminal Co., Ltd. 66,800 1,541,349 Japan Aviation Electronics Industry, Ltd. 136,000 2,314,984 # Japan Cash Machine Co., Ltd. 6,215 106,010 #* Japan Communications, Inc. 143,100 617,890 Japan Digital Laboratory Co., Ltd. 22,500 327,822 # Japan Drilling Co., Ltd. 13,800 541,165 Japan Electronic Materials Corp. 900 3,744 Japan Exchange Group, Inc. 89,100 1,762,923 Japan Medical Dynamic Marketing, Inc. 2,600 7,447 Japan Oil Transportation Co., Ltd. 2,000 4,446 Japan Pulp & Paper Co., Ltd. 133,000 453,029 * Japan Radio Co., Ltd. 115,000 447,699 # Japan Steel Works, Ltd. (The) 647,000 2,733,661 Japan Tobacco, Inc. 209,200 6,876,100 Japan Transcity Corp. 74,000 225,315 Japan Vilene Co., Ltd. 58,000 319,542 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ---------- JAPAN -- (Continued) Japan Wool Textile Co., Ltd. (The) 104,000 $ 772,385 JBCC Holdings, Inc. 28,900 219,268 JCU Corp. 3,700 213,329 # Jeol, Ltd. 154,000 571,924 JFE Holdings, Inc. 301,008 5,563,006 JGC Corp. 49,000 1,586,689 Jimoto Holdings, Inc. 11,100 21,965 # Jin Co., Ltd. 21,600 629,711 JK Holdings Co., Ltd. 10,900 56,448 JMS Co., Ltd. 40,000 114,290 Joban Kosan Co., Ltd. 53,000 71,534 Joshin Denki Co., Ltd. 65,000 526,760 Jowa Holdings Co., Ltd. 17,100 594,117 Joyo Bank, Ltd. (The) 700,000 3,406,966 # JP-Holdings, Inc. 105,700 466,851 # JSP Corp. 37,400 561,606 # JSR Corp. 139,000 2,277,770 # JTEKT Corp. 237,400 3,463,781 * Juki Corp. 187,000 384,614 Juroku Bank, Ltd. (The) 551,000 1,924,766 * Justsystems Corp. 43,500 285,096 #* JVC Kenwood Corp. 320,270 677,019 JX Holdings, Inc. 1,721,070 8,942,334 * K&O Energy Group, Inc. 21,000 291,491 # K's Holdings Corp. 84,620 2,455,703 # kabu.com Securities Co., Ltd. 198,200 879,374 Kabuki-Za Co., Ltd. 1,000 46,592 # Kadokawa Corp. 39,600 1,300,266 Kaga Electronics Co., Ltd. 43,000 514,932 # Kagome Co., Ltd. 52,800 893,501 Kagoshima Bank, Ltd. (The) 328,000 2,048,720 # Kajima Corp. 693,000 2,638,601 # Kakaku.com, Inc. 121,900 1,739,104 # Kaken Pharmaceutical Co., Ltd. 109,000 1,878,321 Kakiyasu Honten Co., Ltd. 200 2,937 Kameda Seika Co., Ltd. 21,600 614,174 Kamei Corp. 44,500 327,679 # Kamigumi Co., Ltd. 423,000 4,032,167 Kanaden Corp. 27,000 189,896 Kanagawa Chuo Kotsu Co., Ltd. 24,000 117,185 # Kanamoto Co., Ltd. 58,100 1,825,141 Kandenko Co., Ltd. 224,000 1,201,601 Kaneka Corp. 495,000 2,903,332 # Kanematsu Corp. 966,000 1,486,559 Kanematsu Electronics, Ltd. 11,700 156,248 * Kansai Electric Power Co., Inc. (The) 222,800 1,868,209 # Kansai Paint Co., Ltd. 167,000 2,334,801 Kansai Super Market, Ltd. 1,500 11,800 Kansai Urban Banking Corp. 501,000 628,370 #* Kanto Denka Kogyo Co., Ltd. 100,000 239,316 Kao Corp. 98,000 3,689,444 Kasai Kogyo Co., Ltd. 53,000 347,343 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ---------- JAPAN -- (Continued) Kasumi Co., Ltd. 76,000 $ 536,205 Katakura Chikkarin Co., Ltd. 20,000 51,101 Katakura Industries Co., Ltd. 45,200 581,118 Kato Sangyo Co., Ltd. 46,800 973,379 Kato Works Co., Ltd. 121,128 698,623 KAWADA TECHNOLOGIES, Inc. 6,800 201,590 Kawai Musical Instruments Manufacturing Co., Ltd. 162,000 288,697 Kawakin Holdings Co., Ltd. 10,000 25,763 # Kawasaki Heavy Industries, Ltd. 959,000 3,559,383 Kawasaki Kasei Chemicals, Ltd. 23,000 31,582 Kawasaki Kinkai Kisen Kaisha, Ltd. 28,000 82,536 Kawasaki Kisen Kaisha, Ltd. 1,520,000 3,052,077 Kawasumi Laboratories, Inc. 24,200 144,451 KDDI Corp. 116,100 6,191,805 # Keihan Electric Railway Co., Ltd. 664,000 2,737,292 Keihanshin Building Co., Ltd. 62,800 318,506 Keihin Co., Ltd. 87,000 124,631 Keihin Corp. 103,900 1,507,838 # Keikyu Corp. 150,000 1,245,079 # Keio Corp. 186,000 1,316,434 Keisei Electric Railway Co., Ltd. 220,000 1,914,664 Keiyo Bank, Ltd. (The) 366,000 1,610,980 # Keiyo Co., Ltd. 54,800 252,618 Kenko Mayonnaise Co., Ltd. 11,400 97,988 Kewpie Corp. 148,400 2,134,662 KEY Coffee, Inc. 34,500 531,859 Keyence Corp. 3,405 1,313,517 KFC Holdings Japan, Ltd. 5,000 103,139 # Kikkoman Corp. 134,050 2,723,665 Kimoto Co., Ltd. 100,700 317,237 # Kimura Chemical Plants Co., Ltd. 21,300 97,150 King Jim Co., Ltd. 3,500 25,099 # Kintetsu Corp. 580,000 2,038,277 #* Kintetsu Department Store Co., Ltd. 38,000 135,103 Kintetsu World Express, Inc. 21,000 833,428 Kinugawa Rubber Industrial Co., Ltd. 116,000 484,251 # Kirin Holdings Co., Ltd. 550,180 7,620,003 Kirindo Co., Ltd. 2,700 17,178 Kisoji Co., Ltd. 15,300 275,982 Kita-Nippon Bank, Ltd. (The) 11,300 296,334 Kitagawa Iron Works Co., Ltd. 190,000 309,438 Kitamura Co., Ltd. 900 5,637 Kitano Construction Corp. 89,000 219,956 Kito Corp. 20,700 379,550 Kitz Corp. 207,700 980,774 Kiyo Bank, Ltd. (The) 105,900 1,246,126 #* KLab, Inc. 10,800 57,160 * KNT-CT Holdings Co., Ltd. 253,000 416,252 Koa Corp. 72,300 694,892 Koatsu Gas Kogyo Co., Ltd. 38,000 195,788 # Kobayashi Pharmaceutical Co., Ltd. 20,600 1,250,850 Kobe Steel, Ltd. 4,589,000 6,023,797 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- JAPAN -- (Continued) Kobelco Eco-Solutions Co., Ltd. 3,000 $ 10,634 # Kohnan Shoji Co., Ltd. 69,900 707,612 Kohsoku Corp. 9,300 82,080 Koike Sanso Kogyo Co., Ltd. 40,000 83,943 Koito Manufacturing Co., Ltd. 156,000 3,392,928 #* Kojima Co., Ltd. 77,800 249,131 Kokusai Co., Ltd. 1,000 11,086 Kokuyo Co., Ltd. 168,064 1,285,205 # KOMAIHALTEC, Inc. 65,000 181,861 Komatsu Seiren Co., Ltd. 45,000 226,775 Komatsu, Ltd. 356,100 7,839,994 # Komeri Co., Ltd. 69,300 1,876,524 # Konaka Co., Ltd. 43,580 306,228 # Konami Corp. 98,862 2,254,499 Konami Corp. ADR 19,770 447,790 Kondotec, Inc. 26,400 180,394 Konica Minolta, Inc. 572,000 5,329,967 Konishi Co., Ltd. 35,800 640,493 Kosaido Co., Ltd. 600 2,726 Kose Corp. 51,300 1,705,054 # Kosei Securities Co., Ltd. 115,000 214,196 # Koshidaka Holdings Co., Ltd. 2,900 85,967 Kotobuki Spirits Co., Ltd. 2,900 59,871 Krosaki Harima Corp. 103,000 215,163 KRS Corp. 11,500 113,822 KU Holdings Co., Ltd. 7,800 86,381 # Kubota Corp. 45,000 579,984 Kubota Corp. Sponsored ADR 44,682 2,858,754 #* Kumagai Gumi Co., Ltd. 285,000 737,086 Kumiai Chemical Industry Co., Ltd. 79,000 537,167 Kura Corp. 30,000 603,391 Kurabo Industries, Ltd. 382,000 650,688 Kuraray Co., Ltd. 278,500 3,131,388 Kuraudia Co., Ltd. 1,200 13,322 Kureha Corp. 293,000 1,385,567 Kurimoto, Ltd. 249,000 519,423 # Kurita Water Industries, Ltd. 158,000 3,327,495 # Kuroda Electric Co., Ltd. 63,600 1,021,801 Kusuri No Aoki Co., Ltd. 6,000 401,515 KYB Co., Ltd. 414,000 1,686,437 Kyocera Corp. 75,730 3,561,574 # Kyocera Corp. Sponsored ADR 57,800 2,724,692 Kyodo Printing Co., Ltd. 144,000 387,946 Kyodo Shiryo Co., Ltd. 129,000 136,323 Kyoei Sangyo Co., Ltd. 21,000 36,154 # Kyoei Steel, Ltd. 41,300 715,906 # Kyoei Tanker Co., Ltd. 35,000 70,237 Kyokuto Boeki Kaisha, Ltd. 16,000 31,505 Kyokuto Kaihatsu Kogyo Co., Ltd. 49,700 653,392 # Kyokuto Securities Co., Ltd. 51,300 804,610 Kyokuyo Co., Ltd. 224,000 578,954 KYORIN Holdings, Inc. 92,900 1,790,650 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- JAPAN -- (Continued) Kyoritsu Maintenance Co., Ltd. 24,540 $ 838,143 Kyosan Electric Manufacturing Co., Ltd. 91,000 314,747 Kyoto Kimono Yuzen Co., Ltd. 12,900 127,736 Kyowa Exeo Corp. 166,300 2,151,207 Kyowa Hakko Kirin Co., Ltd. 235,000 2,676,114 Kyudenko Corp. 81,000 698,472 #* Kyushu Electric Power Co., Inc. 137,300 1,385,298 LAC Co., Ltd. 7,400 38,787 # Land Business Co., Ltd. 17,200 68,587 Lasertec Corp. 27,500 273,612 # Lawson, Inc. 27,900 1,937,696 LEC, Inc. 7,400 75,754 #* Leopalace21 Corp. 558,600 2,888,908 Life Corp. 21,400 327,080 Lintec Corp. 92,600 1,721,822 # Lion Corp. 324,000 1,774,939 #* Livesense, Inc. 24,000 222,745 # LIXIL Group Corp. 182,319 4,831,439 #* Lonseal Corp. 23,000 34,674 Look, Inc. 55,000 142,827 M3, Inc. 57,800 792,932 Macnica, Inc. 23,300 690,868 # Maeda Corp. 223,000 1,659,490 # Maeda Kosen Co., Ltd. 14,300 212,917 Maeda Road Construction Co., Ltd. 126,000 1,953,703 Maezawa Kasei Industries Co., Ltd. 11,000 114,671 Maezawa Kyuso Industries Co., Ltd. 16,100 211,072 # Makino Milling Machine Co., Ltd. 239,000 1,779,336 # Makita Corp. 26,200 1,393,535 Makita Corp. Sponsored ADR 12,696 677,966 Mamiya-Op Co., Ltd. 148,000 286,914 Mandom Corp. 32,600 1,144,895 Mani, Inc. 5,200 232,616 # Marche Corp. 2,000 16,123 # Mars Engineering Corp. 21,600 403,414 Marubeni Corp. 786,359 5,254,775 Marubun Corp. 27,100 149,591 Marudai Food Co., Ltd. 199,000 592,321 * Maruei Department Store Co., Ltd. 27,000 37,104 Maruetsu, Inc. (The) 60,000 199,621 * Maruha Nichiro Corp. 64,282 1,018,595 Marui Group Co., Ltd. 365,600 3,247,486 Maruka Machinery Co., Ltd. 7,200 93,809 Marusan Securities Co., Ltd. 137,400 961,611 # Maruwa Co., Ltd. 18,700 663,497 Maruyama Manufacturing Co., Inc. 70,000 148,600 * Maruzen CHI Holdings Co., Ltd. 6,400 19,743 # Maruzen Showa Unyu Co., Ltd. 116,000 363,901 # Marvelous AQL, Inc. 59,200 394,381 Matsuda Sangyo Co., Ltd. 25,662 285,223 Matsui Construction Co., Ltd. 27,000 114,601 # Matsui Securities Co., Ltd. 85,100 783,487 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- JAPAN -- (Continued) Matsumotokiyoshi Holdings Co., Ltd. 63,600 $ 1,876,803 Matsuya Foods Co., Ltd. 16,500 296,432 Max Co., Ltd. 64,000 702,138 Maxvalu Tokai Co., Ltd. 10,100 132,747 Mazda Motor Corp. 1,894,000 8,468,533 # McDonald's Holdings Co. Japan, Ltd. 14,900 412,257 MEC Co., Ltd. 30,100 254,845 Medical System Network Co., Ltd. 11,900 50,999 Medipal Holdings Corp. 235,500 3,312,414 # Megachips Corp. 43,400 511,540 Megmilk Snow Brand Co., Ltd. 103,100 1,368,035 # Meidensha Corp. 513,000 2,123,742 MEIJI Holdings Co., Ltd. 64,310 3,946,500 Meiji Shipping Co., Ltd. 9,800 38,064 Meiko Electronics Co., Ltd. 23,800 140,146 Meiko Network Japan Co., Ltd. 21,200 229,162 Meisei Industrial Co., Ltd. 88,000 417,952 Meitec Corp. 27,200 724,155 Meito Sangyo Co., Ltd. 12,900 136,477 Meito Transportation Co., Ltd. 1,300 8,415 Meiwa Corp. 33,500 133,232 Meiwa Estate Co., Ltd. 26,500 104,646 # Melco Holdings, Inc. 30,600 465,308 Mesco, Inc. 6,000 40,675 Message Co., Ltd. 19,100 612,989 # Michinoku Bank, Ltd. (The) 179,000 376,969 # Micronics Japan Co., Ltd. 24,900 685,276 Mie Bank, Ltd. (The) 167,000 359,564 Mikuni Corp. 9,000 33,703 Milbon Co., Ltd. 9,836 324,477 Mimasu Semiconductor Industry Co., Ltd. 40,300 365,846 Minato Bank, Ltd. (The) 335,000 570,142 Minebea Co., Ltd. 486,000 3,938,533 # Ministop Co., Ltd. 33,400 505,842 Miraca Holdings, Inc. 79,800 3,459,116 Miraial Co., Ltd. 5,000 77,995 Mirait Holdings Corp. 144,530 1,271,295 Miroku Jyoho Service Co., Ltd. 23,000 89,989 Misawa Homes Co., Ltd. 73,800 905,823 # MISUMI Group, Inc. 69,000 1,679,060 Mitani Corp. 14,900 335,669 Mito Securities Co., Ltd. 131,000 457,634 Mitsuba Corp. 86,400 1,268,378 Mitsubishi Chemical Holdings Corp. 2,295,500 9,186,653 Mitsubishi Corp. 741,700 13,281,846 Mitsubishi Electric Corp. 439,000 4,998,819 Mitsubishi Estate Co., Ltd. 109,073 2,474,909 Mitsubishi Gas Chemical Co., Inc. 427,000 2,465,279 Mitsubishi Heavy Industries, Ltd. 1,737,000 9,145,206 #* Mitsubishi Kakoki Kaisha, Ltd. 110,000 166,966 # Mitsubishi Logistics Corp. 197,000 2,826,353 Mitsubishi Materials Corp. 1,613,200 4,679,141 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ---------- ----------- JAPAN -- (Continued) Mitsubishi Motors Corp. 341,500 $ 3,701,280 # Mitsubishi Nichiyu Forklift Co., Ltd. 49,000 341,438 #* Mitsubishi Paper Mills, Ltd. 678,000 583,267 Mitsubishi Pencil Co., Ltd. 34,600 1,028,321 Mitsubishi Research Institute, Inc. 600 12,736 # Mitsubishi Shokuhin Co., Ltd. 24,800 555,311 Mitsubishi Steel Manufacturing Co., Ltd. 329,000 659,465 # Mitsubishi Tanabe Pharma Corp. 217,300 2,979,678 Mitsubishi UFJ Financial Group, Inc. 4,619,100 24,571,275 Mitsubishi UFJ Financial Group, Inc. ADR 1,847,677 9,885,072 Mitsuboshi Belting Co., Ltd. 88,000 459,754 Mitsui & Co., Ltd. 605,000 8,580,334 Mitsui & Co., Ltd. Sponsored ADR 15,592 4,406,299 # Mitsui Chemicals, Inc. 1,441,065 3,511,552 Mitsui Engineering & Shipbuilding Co., Ltd. 1,752,000 3,399,282 Mitsui Fudosan Co., Ltd. 163,000 4,825,081 Mitsui High-Tec, Inc. 49,400 311,576 Mitsui Home Co., Ltd. 50,000 230,456 Mitsui Knowledge Industry Co., Ltd. 88,700 130,243 Mitsui Matsushima Co., Ltd. 323,000 468,192 Mitsui Mining & Smelting Co., Ltd. 1,422,000 3,526,059 Mitsui OSK Lines, Ltd. 1,171,000 3,906,534 # Mitsui Sugar Co., Ltd. 160,000 663,868 Mitsui-Soko Co., Ltd. 163,000 646,703 Mitsumura Printing Co., Ltd. 15,000 38,723 Mitsuuroko Group Holdings Co., Ltd. 27,600 150,300 # Miura Co., Ltd. 48,500 1,377,695 # Miyaji Engineering Group, Inc. 88,000 196,430 Miyazaki Bank, Ltd. (The) 309,000 944,056 Miyoshi Oil & Fat Co., Ltd. 119,000 159,716 Mizuho Financial Group, Inc. 13,495,060 26,431,521 # Mizuno Corp. 219,605 1,198,343 Mochida Pharmaceutical Co., Ltd. 20,499 1,444,419 Modec, Inc. 20,700 458,698 # Monex Group, Inc. 308,300 1,033,579 # Money Partners Group Co., Ltd. 23,100 52,749 Monogatari Corp. (The) 3,500 126,198 # MonotaRO Co., Ltd. 49,800 1,004,856 MORESCO Corp. 8,000 131,903 Morinaga & Co., Ltd. 369,000 813,345 Morinaga Milk Industry Co., Ltd. 452,000 1,687,228 Morita Holdings Corp. 62,000 516,381 Morozoff, Ltd. 48,000 152,120 Mory Industries, Inc. 45,000 169,723 MOS Food Services, Inc. 28,200 562,018 # Moshi Moshi Hotline, Inc. 70,500 713,669 Mr Max Corp. 35,900 115,011 MS&AD Insurance Group Holdings 256,874 5,762,235 MTI, Ltd. 29,100 161,884 # Murata Manufacturing Co., Ltd. 40,100 3,342,890 # Musashi Seimitsu Industry Co., Ltd. 52,000 1,147,481 Musashino Bank, Ltd. (The) 60,700 1,945,130 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ---------- JAPAN -- (Continued) # Mutoh Holdings Co., Ltd. 67,000 $ 292,319 # Nabtesco Corp. 75,900 1,638,555 NAC Co., Ltd. 16,300 240,468 # Nachi-Fujikoshi Corp. 302,000 1,867,783 Nafco Co., Ltd. 200 2,975 Nagaileben Co., Ltd. 17,200 331,046 Nagano Bank, Ltd. (The) 89,000 156,032 Nagano Keiki Co., Ltd. 1,700 11,171 Nagase & Co., Ltd. 196,100 2,402,831 Nagatanien Co., Ltd. 10,000 96,449 # Nagoya Railroad Co., Ltd. 696,000 2,208,338 #* Naigai Co., Ltd. 132,000 98,303 Nakabayashi Co., Ltd. 59,000 115,974 Nakamuraya Co., Ltd. 41,000 159,434 Nakanishi, Inc. 6,100 208,970 Nakano Corp. 1,000 2,263 * Nakayama Steel Works, Ltd. 278,000 206,862 Namco Bandai Holdings, Inc. 123,200 2,661,752 Namura Shipbuilding Co., Ltd. 7,200 54,215 # Nankai Electric Railway Co., Ltd. 401,000 1,555,451 Nanto Bank, Ltd. (The) 371,000 1,392,504 Natori Co., Ltd. 7,200 77,858 NDS Co., Ltd. 58,000 161,290 # NEC Capital Solutions, Ltd. 18,800 325,355 NEC Corp. 2,994,800 8,424,360 NEC Networks & System Integration Corp. 47,400 1,001,388 # NET One Systems Co., Ltd. 178,400 1,451,452 Neturen Co., Ltd. 67,500 463,104 #* New Japan Chemical Co., Ltd. 56,000 116,777 Nexon Co., Ltd. 129,200 1,006,295 Next Co., Ltd. 38,000 330,313 # NGK Insulators, Ltd. 160,000 3,025,753 NGK Spark Plug Co., Ltd. 175,000 4,006,556 NHK Spring Co., Ltd. 329,100 2,978,976 Nice Holdings, Inc. 106,000 214,237 Nichi-iko Pharmaceutical Co., Ltd. 93,850 1,455,691 Nichia Steel Works, Ltd. 44,000 114,047 # Nichias Corp. 195,000 1,320,856 Nichiban Co., Ltd. 38,000 128,238 Nichicon Corp. 132,200 980,590 Nichiden Corp. 7,100 169,986 Nichiha Corp. 44,000 506,931 # Nichii Gakkan Co. 100,200 883,806 Nichimo Co., Ltd. 48,000 85,566 Nichirei Corp. 520,000 2,525,103 Nichireki Co., Ltd. 65,000 635,639 Nidec Copal Electronics Corp. 7,100 56,251 # Nidec Corp. 29,898 1,690,298 # Nidec Corp. ADR 19,800 279,378 Nifco, Inc. 96,000 2,681,379 NIFTY Corp. 16,300 231,213 # Nihon Chouzai Co., Ltd. 4,580 127,188 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ---------- JAPAN -- (Continued) # Nihon Dempa Kogyo Co., Ltd. 39,900 $ 320,625 Nihon Eslead Corp. 1,200 12,203 Nihon Kagaku Sangyo Co., Ltd. 11,000 74,496 Nihon Kohden Corp. 51,100 2,092,721 # Nihon M&A Center, Inc. 49,700 1,161,947 # Nihon Nohyaku Co., Ltd. 79,000 984,395 Nihon Parkerizing Co., Ltd. 70,000 1,525,732 # Nihon Plast Co., Ltd. 2,900 17,074 Nihon Shokuhin Kako Co., Ltd. 7,000 23,484 Nihon Tokushu Toryo Co., Ltd. 2,500 13,912 # Nihon Trim Co., Ltd. 6,600 229,262 # Nihon Unisys, Ltd. 119,500 1,213,526 Nihon Yamamura Glass Co., Ltd. 145,000 241,362 Nikkiso Co., Ltd. 107,900 1,209,359 # Nikko Co., Ltd. 33,000 141,948 # Nikon Corp. 275,700 4,322,553 Nippo Corp. 128,000 1,955,776 Nippon Beet Sugar Manufacturing Co., Ltd. 165,000 310,469 Nippon Carbide Industries Co., Inc. 33,000 68,633 # Nippon Carbon Co., Ltd. 230,000 405,699 #* Nippon Chemi-Con Corp. 344,000 1,099,613 * Nippon Chemical Industrial Co., Ltd. 205,000 267,045 Nippon Chemiphar Co., Ltd. 39,000 187,714 Nippon Chutetsukan K.K. 46,000 99,035 Nippon Coke & Engineering Co., Ltd. 375,000 437,132 Nippon Concrete Industries Co., Ltd. 98,000 400,274 Nippon Denko Co., Ltd. 227,000 631,549 Nippon Densetsu Kogyo Co., Ltd. 78,700 1,167,953 # Nippon Electric Glass Co., Ltd. 690,000 3,375,423 Nippon Express Co., Ltd. 855,000 4,041,854 Nippon Felt Co., Ltd. 15,100 65,525 Nippon Filcon Co., Ltd. 16,300 67,324 Nippon Fine Chemical Co., Ltd. 23,700 145,482 Nippon Flour Mills Co., Ltd. 269,000 1,500,852 # Nippon Formula Feed Manufacturing Co., Ltd. 128,000 155,413 Nippon Gas Co., Ltd. 37,600 622,741 Nippon Hume Corp. 41,000 298,693 # Nippon Jogesuido Sekkei Co., Ltd. 8,200 99,605 Nippon Kanzai Co., Ltd. 8,000 162,161 Nippon Kasei Chemical Co., Ltd. 26,000 32,803 Nippon Kayaku Co., Ltd. 253,000 3,010,708 #* Nippon Kinzoku Co., Ltd. 87,000 109,882 Nippon Koei Co., Ltd. 142,000 680,353 Nippon Konpo Unyu Soko Co., Ltd. 108,500 1,833,334 #* Nippon Koshuha Steel Co., Ltd. 153,000 136,534 Nippon Light Metal Holdings Co., Ltd. 1,155,500 1,629,341 # Nippon Meat Packers, Inc. 190,000 3,292,961 # Nippon Paint Co., Ltd. 140,000 2,165,990 # Nippon Paper Industries Co., Ltd. 171,202 3,128,837 Nippon Parking Development Co., Ltd. 214,300 227,950 Nippon Pillar Packing Co., Ltd. 36,900 264,888 # Nippon Piston Ring Co., Ltd. 203,000 354,672 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- JAPAN -- (Continued) Nippon Rietec Co., Ltd. 3,000 $ 22,026 Nippon Road Co., Ltd. (The) 155,000 789,059 Nippon Seiki Co., Ltd. 63,000 1,101,572 Nippon Seisen Co., Ltd. 36,000 142,314 # Nippon Sharyo, Ltd. 120,000 430,433 * Nippon Sheet Glass Co., Ltd. 1,879,000 2,410,081 Nippon Shinyaku Co., Ltd. 83,000 1,462,121 # Nippon Shokubai Co., Ltd. 234,000 2,699,956 Nippon Signal Co., Ltd. (The) 110,800 918,766 Nippon Soda Co., Ltd. 206,000 1,144,527 Nippon Steel & Sumikin Bussan Corp. 341,000 1,204,715 Nippon Steel & Sumikin Texeng Co., Ltd. 74,000 286,391 Nippon Steel & Sumitomo Metal Corp. 4,792,540 12,573,885 * Nippon Suisan Kaisha, Ltd. 653,500 1,503,816 Nippon Synthetic Chemical Industry Co., Ltd. (The) 109,000 726,251 Nippon Telegraph & Telephone Corp. 27,500 1,526,051 # Nippon Telegraph & Telephone Corp. ADR 71,400 1,987,776 Nippon Television Holdings, Inc. 26,300 392,067 Nippon Thompson Co., Ltd. 171,000 779,317 Nippon Tungsten Co., Ltd. 31,000 51,072 Nippon Valqua Industries, Ltd. 135,000 359,369 #* Nippon Yakin Kogyo Co., Ltd. 285,000 792,745 # Nippon Yusen K.K. 1,730,904 4,691,654 # Nipro Corp. 309,700 2,681,137 Nishi-Nippon City Bank, Ltd. (The) 1,215,000 2,763,634 Nishi-Nippon Railroad Co., Ltd. 387,000 1,488,361 Nishimatsu Construction Co., Ltd. 361,000 1,299,002 # Nishimatsuya Chain Co., Ltd. 91,900 658,750 Nishio Rent All Co., Ltd. 25,100 923,516 Nissan Chemical Industries, Ltd. 157,300 2,344,297 Nissan Motor Co., Ltd. 1,691,100 14,591,818 Nissan Shatai Co., Ltd. 130,300 1,985,072 Nissan Tokyo Sales Holdings Co., Ltd. 36,000 116,868 # Nissei ASB Machine Co., Ltd. 11,700 186,176 Nissei Build Kogyo Co., Ltd. 24,000 54,134 Nissei Plastic Industrial Co., Ltd. 20,700 116,659 #* Nissha Printing Co., Ltd. 50,200 654,341 Nisshin Fudosan Co. 56,200 197,012 # Nisshin Oillio Group, Ltd. (The) 261,000 873,881 # Nisshin Seifun Group, Inc. 397,769 4,627,875 Nisshin Steel Co., Ltd. 152,974 1,571,104 Nisshinbo Holdings, Inc. 215,000 1,841,963 Nissin Corp. 100,000 281,974 # Nissin Electric Co., Ltd. 99,000 550,582 Nissin Foods Holdings Co., Ltd. 27,775 1,329,499 Nissin Kogyo Co., Ltd. 89,500 1,651,904 Nissin Sugar Co., Ltd. 4,900 104,266 Nissui Pharmaceutical Co., Ltd. 18,200 187,909 Nitori Holdings Co., Ltd. 33,400 1,532,013 Nitta Corp. 38,100 782,681 # Nitta Gelatin, Inc. 6,000 60,805 Nittan Valve Co., Ltd. 27,500 82,442 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- JAPAN -- (Continued) Nittetsu Mining Co., Ltd. 136,000 $ 507,644 Nitto Boseki Co., Ltd. 286,000 1,193,381 # Nitto Denko Corp. 134,300 5,814,663 Nitto FC Co., Ltd. 5,100 30,691 Nitto Kogyo Corp. 51,200 1,061,554 # Nitto Kohki Co., Ltd. 19,300 351,397 Nitto Seiko Co., Ltd. 39,000 112,555 Nittoc Construction Co., Ltd. 77,149 276,140 Nittoku Engineering Co., Ltd. 29,800 256,728 NKSJ Holdings, Inc. 293,300 7,317,493 Noevir Holdings Co., Ltd. 9,600 182,558 # NOF Corp. 283,000 1,962,713 Nohmi Bosai, Ltd. 38,000 435,539 # NOK Corp. 174,300 2,849,593 # Nomura Co., Ltd. 67,800 481,934 Nomura Holdings, Inc. 1,860,800 10,775,650 # Nomura Holdings, Inc. ADR 402,117 2,356,406 Nomura Real Estate Holdings, Inc. 149,800 2,798,900 Nomura Research Institute, Ltd. 44,700 1,296,179 Noritake Co., Ltd. 225,000 550,582 Noritz Corp. 60,100 1,067,733 North Pacific Bank, Ltd. 661,200 2,678,307 # NS Solutions Corp. 36,300 908,205 # NS United Kaiun Kaisha, Ltd. 237,000 532,557 NSD Co., Ltd. 64,100 792,474 # NSK, Ltd. 316,000 3,322,026 #* NTN Corp. 1,098,000 3,757,818 NTT Data Corp. 76,500 2,955,620 NTT DOCOMO, Inc. 1,019,000 16,253,602 # NTT DOCOMO, Inc. Sponsored ADR 44,600 712,708 NTT Urban Development Corp. 96,400 847,884 # Nuflare Technology, Inc. 4,300 267,504 Obara Group, Inc. 19,400 728,795 # Obayashi Corp. 564,000 3,641,687 Obayashi Road Corp. 61,000 338,437 OBIC Business Consultants, Ltd. 11,000 356,432 # Obic Co., Ltd. 66,400 1,992,446 # Odakyu Electric Railway Co., Ltd. 200,000 1,755,856 Odelic Co., Ltd. 3,900 105,972 Oenon Holdings, Inc. 107,000 270,986 Ogaki Kyoritsu Bank, Ltd. (The) 628,000 1,696,256 Ohara, Inc. 15,100 88,756 Ohashi Technica, Inc. 4,700 37,923 # Ohsho Food Service Corp. 24,700 912,885 OIE Sangyo Co., Ltd. 1,200 9,763 # Oiles Corp. 42,168 949,713 Oita Bank, Ltd. (The) 313,000 1,139,604 Oji Holdings Corp. 1,081,000 4,541,810 Okabe Co., Ltd. 60,500 831,880 Okamoto Industries, Inc. 111,000 364,874 * Okamoto Machine Tool Works, Ltd. 47,000 45,627 Okamura Corp. 122,000 1,043,603 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ---------- JAPAN -- (Continued) Okaya Electric Industries Co., Ltd. 6,700 $ 24,548 OKI Electric Cable Co., Ltd. 12,000 19,648 Oki Electric Industry Co., Ltd. 1,247,000 2,441,095 Okinawa Cellular Telephone Co. 2,200 56,184 Okinawa Electric Power Co., Inc. (The) 23,780 777,214 OKK Corp. 153,000 196,573 OKUMA Corp. 245,000 2,097,045 Okumura Corp. 375,000 1,713,298 Okura Industrial Co., Ltd. 71,000 203,470 Okuwa Co., Ltd. 30,000 273,850 Olympic Group Corp. 18,200 164,045 #* Olympus Corp. 102,400 3,127,754 Omron Corp. 82,500 2,921,686 ONO Sokki Co., Ltd. 27,000 122,730 Onoken Co., Ltd. 22,000 231,654 # Onward Holdings Co., Ltd. 279,000 1,876,575 # OPT, Inc. 9,400 71,664 Optex Co., Ltd. 18,300 298,291 Oracle Corp. Japan 16,900 778,846 Organo Corp. 70,000 333,061 Oriental Land Co., Ltd. 8,600 1,288,395 # Origin Electric Co., Ltd. 47,000 131,017 Osaka Gas Co., Ltd. 606,000 2,284,197 Osaka Organic Chemical Industry, Ltd. 16,800 71,772 Osaka Steel Co., Ltd. 20,100 317,770 # OSAKA Titanium Technologies Co., Ltd. 35,000 718,866 # Osaki Electric Co., Ltd. 74,000 447,941 OSG Corp. 83,800 1,350,717 Otsuka Corp. 7,400 876,009 Otsuka Holdings Co., Ltd. 125,700 3,621,138 # Outsourcing, Inc. 12,200 152,904 Oyo Corp. 23,600 327,372 Pacific Industrial Co., Ltd. 84,500 591,054 #* Pacific Metals Co., Ltd. 118,000 548,867 Pack Corp. (The) 24,400 460,530 Pal Co., Ltd. 21,300 406,470 Paltac Corp. 80,958 1,000,033 PanaHome Corp. 192,000 1,276,690 Panasonic Corp. 817,400 8,909,707 Panasonic Corp. Sponsored ADR 204,353 2,235,622 Panasonic Industrial Devices SUNX Co., Ltd. 39,400 178,397 Panasonic Information Systems 900 23,643 # Paramount Bed Holdings Co., Ltd. 28,300 854,126 Parco Co., Ltd. 51,100 409,225 Paris Miki Holdings, Inc. 44,400 220,951 Park24 Co., Ltd. 92,600 1,692,646 #* Pasco Corp. 29,000 111,652 Pasona Group, Inc. 40,200 205,081 Penta-Ocean Construction Co., Ltd. 547,700 1,791,341 PIA Corp. 1,500 25,360 Pigeon Corp. 32,500 1,455,059 Pilot Corp. 25,400 1,067,629 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ---------- JAPAN -- (Continued) Piolax, Inc. 19,600 $ 678,452 * Pioneer Corp. 754,300 1,629,808 Plenus Co., Ltd. 44,900 1,024,685 # Pola Orbis Holdings, Inc. 32,800 1,283,649 Press Kogyo Co., Ltd. 229,000 839,852 Pressance Corp. 17,900 444,019 Prestige International, Inc. 13,200 123,879 Prima Meat Packers, Ltd. 369,000 813,970 Pronexus, Inc. 30,900 210,540 Proto Corp. 15,600 215,397 # PS Mitsubishi Construction Co., Ltd. 41,600 185,362 Psc, Inc. 2,600 76,177 Qol Co., Ltd. 21,200 131,531 Raito Kogyo Co., Ltd. 96,800 833,546 # Rakuten, Inc. 136,700 1,773,767 #* Rasa Industries, Ltd. 143,000 175,105 Relo Holdings, Inc. 13,400 734,799 Renaissance, Inc. 6,600 52,434 #* Renesas Electronics Corp. 48,500 354,160 Rengo Co., Ltd. 477,710 2,134,751 * Renown, Inc. 86,300 99,826 Resona Holdings, Inc. 1,295,200 6,622,359 Resorttrust, Inc. 124,900 1,959,662 Rheon Automatic Machinery Co., Ltd. 18,000 100,350 Rhythm Watch Co., Ltd. 146,000 215,855 # Riberesute Corp. 8,100 52,557 Ricoh Co., Ltd. 730,819 8,421,277 Ricoh Leasing Co., Ltd. 31,800 830,042 # Right On Co., Ltd. 24,400 172,820 Riken Corp. 189,000 773,278 Riken Keiki Co., Ltd. 11,700 113,365 Riken Technos Corp. 62,000 321,013 Riken Vitamin Co., Ltd. 12,600 298,761 Ringer Hut Co., Ltd. 10,800 160,511 Rinnai Corp. 11,800 983,396 # Rion Co., Ltd. 10,600 152,723 Riso Kagaku Corp. 36,979 912,205 # Riso Kyoiku Co., Ltd. 25,550 55,666 # Rock Field Co., Ltd. 19,000 339,516 Rohm Co., Ltd. 2,600 124,337 Rohto Pharmaceutical Co., Ltd. 112,200 1,979,378 # Rokko Butter Co., Ltd. 6,000 50,908 Roland Corp. 25,300 359,628 Roland DG Corp. 13,300 449,541 # Round One Corp. 192,400 1,381,973 Royal Holdings Co., Ltd. 53,100 774,510 Ryobi, Ltd. 309,000 915,399 Ryoden Trading Co., Ltd. 56,000 377,760 # Ryohin Keikaku Co., Ltd. 16,075 1,806,563 Ryosan Co., Ltd. 68,300 1,443,677 S Foods, Inc. 26,500 353,691 Sagami Chain Co., Ltd. 20,000 181,349 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- JAPAN -- (Continued) Saibu Gas Co., Ltd. 336,000 $ 842,438 # Saizeriya Co., Ltd. 63,600 728,713 Sakai Chemical Industry Co., Ltd. 198,000 558,077 Sakai Heavy Industries, Ltd. 88,000 312,580 Sakai Moving Service Co., Ltd. 2,800 94,650 # Sakai Ovex Co., Ltd. 112,000 193,354 Sakata INX Corp. 77,000 679,152 Sakata Seed Corp. 70,400 983,456 Sala Corp. 56,500 287,803 SAMTY Co., Ltd. 4,400 29,567 San Holdings, Inc. 1,800 23,915 # San-A Co., Ltd. 35,800 1,031,769 San-Ai Oil Co., Ltd. 113,000 752,165 San-In Godo Bank, Ltd. (The) 324,000 2,138,451 Sanden Corp. 238,000 1,136,835 Sanei Architecture Planning Co., Ltd. 5,900 46,455 Sangetsu Co., Ltd. 49,900 1,285,774 #* Sanix, Inc. 43,900 519,703 # Sanken Electric Co., Ltd. 305,000 2,124,761 Sanki Engineering Co., Ltd. 105,000 644,420 # Sanko Marketing Foods Co., Ltd. 10,800 96,806 Sanko Metal Industrial Co., Ltd. 38,000 86,789 Sankyo Co., Ltd. 45,600 1,823,590 Sankyo Seiko Co., Ltd. 54,900 189,622 Sankyo Tateyama, Inc. 56,400 1,116,268 Sankyu, Inc. 559,000 2,130,807 Sanoh Industrial Co., Ltd. 47,100 290,785 # Sanrio Co., Ltd. 57,100 1,810,286 Sanshin Electronics Co., Ltd. 51,500 323,242 # Santen Pharmaceutical Co., Ltd. 19,500 869,109 Sanwa Holdings Corp. 476,000 2,907,997 Sanyo Chemical Industries, Ltd. 141,000 863,698 Sanyo Denki Co., Ltd. 75,000 505,167 Sanyo Electric Railway Co., Ltd. 36,000 166,021 Sanyo Housing Nagoya Co., Ltd. 14,000 132,451 Sanyo Industries, Ltd. 15,000 27,494 Sanyo Shokai, Ltd. 254,000 693,096 Sanyo Special Steel Co., Ltd. 245,000 955,575 Sapporo Holdings, Ltd. 909,000 3,854,175 * Sasebo Heavy Industries Co., Ltd. 91,000 101,663 Sata Construction Co., Ltd. 109,000 125,077 # Sato Holdings Corp. 46,900 1,017,927 Sato Shoji Corp. 19,700 124,909 Satori Electric Co., Ltd. 20,500 129,739 # Sawada Holdings Co., Ltd. 39,700 336,728 Sawai Pharmaceutical Co., Ltd. 33,700 2,085,640 Saxa Holdings, Inc. 86,000 128,637 SBI Holdings, Inc. 369,280 4,223,064 SBS Holdings, Inc. 1,100 18,625 Scroll Corp. 41,800 112,239 # SCSK Corp. 50,959 1,347,947 Secom Co., Ltd. 52,600 3,019,929 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ---------- JAPAN -- (Continued) Secom Joshinetsu Co., Ltd. 1,500 $ 36,717 Sega Sammy Holdings, Inc. 100,012 2,015,965 Seibu Electric Industry Co., Ltd. 16,000 72,822 Seika Corp. 84,000 195,767 #* Seikitokyu Kogyo Co., Ltd. 275,000 337,723 # Seiko Epson Corp. 192,600 5,256,052 # Seiko Holdings Corp. 400,000 1,461,667 Seino Holdings Co., Ltd. 268,000 2,648,841 Seiren Co., Ltd. 95,300 800,722 Sekisui Chemical Co., Ltd. 536,000 5,431,931 Sekisui House, Ltd. 543,400 6,522,755 Sekisui Jushi Corp. 56,200 748,266 Sekisui Plastics Co., Ltd. 76,000 202,864 # Senko Co., Ltd. 176,000 804,428 Senshu Electric Co., Ltd. 9,500 121,723 Senshu Ikeda Holdings, Inc. 346,460 1,590,761 Senshukai Co., Ltd. 67,600 575,170 # Seria Co., Ltd. 21,600 844,756 Seven & I Holdings Co., Ltd. 204,352 8,062,963 Seven Bank, Ltd. 217,500 824,589 #* Sharp Corp. 917,000 2,298,705 Shibaura Mechatronics Corp. 55,000 138,168 Shibusawa Warehouse Co., Ltd. (The) 80,000 265,662 # Shibuya Kogyo Co., Ltd. 21,000 567,532 # Shidax Corp. 17,900 86,909 Shiga Bank, Ltd. (The) 421,000 2,302,139 Shikibo, Ltd. 256,000 280,444 Shikoku Bank, Ltd. (The) 268,000 540,547 Shikoku Chemicals Corp. 72,000 493,492 #* Shikoku Electric Power Co., Inc. 133,600 1,563,795 # Shima Seiki Manufacturing, Ltd. 60,400 1,007,983 Shimachu Co., Ltd. 100,200 2,201,654 Shimadzu Corp. 323,000 2,759,227 Shimamura Co., Ltd. 27,300 2,543,221 # Shimano, Inc. 16,700 1,669,360 Shimizu Bank, Ltd. (The) 11,900 290,799 Shimizu Corp. 594,000 3,367,171 Shimojima Co., Ltd. 1,500 15,285 Shin Nippon Air Technologies Co., Ltd. 22,400 137,104 # Shin-Etsu Chemical Co., Ltd. 156,600 9,186,479 Shin-Etsu Polymer Co., Ltd. 64,600 241,864 Shin-Keisei Electric Railway Co., Ltd. 26,000 96,130 Shinagawa Refractories Co., Ltd. 88,000 175,023 Shindengen Electric Manufacturing Co., Ltd. 240,000 980,502 Shinko Electric Industries Co., Ltd. 166,800 1,098,493 # Shinko Plantech Co., Ltd. 87,600 659,470 Shinko Shoji Co., Ltd. 36,200 333,524 Shinko Wire Co., Ltd. 47,000 77,450 Shinmaywa Industries, Ltd. 179,000 1,580,739 Shinnihon Corp. 42,600 125,186 # Shinsei Bank, Ltd. 1,694,000 3,302,659 Shinsho Corp. 94,000 211,739 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- JAPAN -- (Continued) Shinwa Co., Ltd. 5,000 $ 57,814 Shionogi & Co., Ltd. 223,900 3,924,612 Ship Healthcare Holdings, Inc. 54,900 1,872,224 Shiroki Corp. 85,000 163,121 Shiseido Co., Ltd. 156,800 2,801,371 Shizuki Electric Co., Inc. 24,000 94,257 Shizuoka Bank, Ltd. (The) 566,000 5,408,133 Shizuoka Gas Co., Ltd. 106,600 641,439 Shobunsha Publications, Inc. 15,400 95,132 Shoko Co., Ltd. 139,000 185,249 # Showa Aircraft Industry Co., Ltd. 10,553 123,306 Showa Corp. 122,400 1,346,023 # Showa Denko K.K. 3,160,000 4,210,555 Showa Sangyo Co., Ltd. 112,000 361,554 # Showa Shell Sekiyu K.K. 319,600 3,242,154 Siix Corp. 40,700 597,646 # Sinanen Co., Ltd. 93,000 353,102 Sinfonia Technology Co., Ltd. 161,000 247,657 # Sinko Industries, Ltd. 24,200 230,068 Sintokogio, Ltd. 98,600 708,543 SKY Perfect JSAT Holdings, Inc. 362,200 1,947,596 SMC Corp. 5,100 1,214,084 # SMK Corp. 130,000 484,973 SMS Co., Ltd. 16,600 353,734 Soda Nikka Co., Ltd. 13,000 55,752 Sodick Co., Ltd. 116,000 430,725 Soft99 Corp. 10,600 68,813 # Softbank Corp. 185,332 13,803,127 # Softbank Technology Corp. 8,700 129,538 Sogo Medical Co., Ltd. 9,100 376,462 Sohgo Security Services Co., Ltd. 100,300 2,126,462 Sojitz Corp. 2,235,000 3,524,190 # Sony Corp. 439,000 7,706,903 # Sony Corp. Sponsored ADR 355,389 6,269,062 # Sony Financial Holdings, Inc. 114,400 1,834,419 Soshin Electric Co., Ltd. 7,200 25,157 Sotetsu Holdings, Inc. 328,000 1,172,228 Sotoh Co., Ltd. 6,300 57,582 Space Co., Ltd. 10,300 95,881 SPK Corp. 5,700 104,882 # Square Enix Holdings Co., Ltd. 80,100 1,288,378 Srg Takamiya Co., Ltd. 4,500 62,824 ST Corp. 14,600 141,555 St Marc Holdings Co., Ltd. 19,500 924,183 Stanley Electric Co., Ltd. 122,300 2,710,652 Star Micronics Co., Ltd. 62,000 765,446 Starbucks Coffee Japan, Ltd. 46,700 496,658 Start Today Co., Ltd. 52,200 1,093,928 Starts Corp., Inc. 28,600 361,700 Starzen Co., Ltd. 95,000 252,361 Stella Chemifa Corp. 22,000 279,180 Step Co., Ltd. 5,400 39,939 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- JAPAN -- (Continued) Studio Alice Co., Ltd. 21,900 $ 304,537 # Sugi Holdings Co., Ltd. 27,100 1,218,944 Sugimoto & Co., Ltd. 10,300 101,617 # Sumco Corp. 170,160 1,305,895 Sumida Corp. 30,600 184,538 Suminoe Textile Co., Ltd. 104,000 314,855 Sumitomo Bakelite Co., Ltd. 456,000 1,736,658 Sumitomo Chemical Co., Ltd. 2,034,000 7,630,842 Sumitomo Corp. 596,100 7,737,666 Sumitomo Densetsu Co., Ltd. 35,500 437,770 Sumitomo Electric Industries, Ltd. 534,800 7,402,260 # Sumitomo Forestry Co., Ltd. 216,400 2,200,955 # Sumitomo Heavy Industries, Ltd. 978,480 4,163,333 Sumitomo Metal Mining Co., Ltd. 472,000 7,129,330 #* Sumitomo Mitsui Construction Co., Ltd. 1,274,600 1,312,984 Sumitomo Mitsui Financial Group, Inc. 754,470 29,824,427 Sumitomo Mitsui Trust Holdings, Inc. 1,636,730 6,744,470 Sumitomo Osaka Cement Co., Ltd. 999,000 3,973,147 Sumitomo Precision Products Co., Ltd. 85,000 311,919 Sumitomo Real Estate Sales Co., Ltd. 15,680 470,312 Sumitomo Realty & Development Co., Ltd. 60,000 2,327,962 Sumitomo Rubber Industries, Ltd. 257,700 3,581,478 # Sumitomo Seika Chemicals Co., Ltd. 124,000 780,123 Sumitomo Warehouse Co., Ltd. (The) 274,000 1,328,573 # Sun Frontier Fudousan Co., Ltd. 20,500 205,278 Sun-Wa Technos Corp. 8,100 69,903 Suncall Corp. 6,000 34,541 Sundrug Co., Ltd. 34,600 1,415,576 Suruga Bank, Ltd. 177,000 3,036,253 Suzuken Co., Ltd. 112,600 4,058,679 # Suzuki Motor Corp. 219,700 5,668,273 #* SWCC Showa Holdings Co., Ltd. 575,000 551,819 Sysmex Corp. 61,800 1,959,179 Systena Corp. 32,800 227,572 T Hasegawa Co., Ltd. 24,700 366,444 T RAD Co., Ltd. 129,000 336,843 T&D Holdings, Inc. 629,310 7,511,628 T&K Toka Co., Ltd. 14,700 304,898 T-Gaia Corp. 32,300 284,435 # Tabuchi Electric Co., Ltd. 39,000 257,549 # Tachi-S Co., Ltd. 58,300 911,980 Tachibana Eletech Co., Ltd. 23,400 312,303 Tadano, Ltd. 159,421 2,254,181 Taihei Dengyo Kaisha, Ltd. 24,000 157,579 Taiheiyo Cement Corp. 672,000 2,357,301 Taiheiyo Kouhatsu, Inc. 125,000 116,174 Taiho Kogyo Co., Ltd. 32,500 307,296 # Taikisha, Ltd. 50,300 1,088,330 Taiko Bank, Ltd. (The) 27,000 55,755 # Taiko Pharmaceutical Co., Ltd. 22,500 327,647 # Taisei Corp. 950,399 4,406,016 # Taisei Lamick Co., Ltd. 5,700 138,883 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ---------- JAPAN -- (Continued) Taiyo Holdings Co., Ltd. 16,600 $ 501,726 # Taiyo Nippon Sanso Corp. 431,000 3,435,400 # Taiyo Yuden Co., Ltd. 274,700 3,396,505 Taka-Q, Ltd. 13,500 29,495 Takagi Securities Co., Ltd. 93,000 223,781 Takamatsu Construction Group Co., Ltd. 23,600 404,621 Takano Co., Ltd. 7,900 39,381 # Takaoka Toko Co., Ltd. 17,174 245,195 Takara Holdings, Inc. 212,000 1,623,084 # Takara Leben Co., Ltd. 110,300 302,528 Takara Standard Co., Ltd. 193,895 1,384,927 Takasago International Corp. 137,000 669,737 Takasago Thermal Engineering Co., Ltd. 137,200 1,341,409 # Takashima & Co., Ltd. 67,000 146,601 Takashimaya Co., Ltd. 497,000 4,708,675 Takata Corp. 70,200 1,654,052 # Take And Give Needs Co., Ltd. 20,440 385,917 Takeda Pharmaceutical Co., Ltd. 133,600 6,009,345 # Takeei Corp. 37,200 364,156 Takeuchi Manufacturing Co., Ltd. 20,800 604,200 Takihyo Co., Ltd. 5,000 19,857 Takiron Co., Ltd. 72,000 291,964 Takisawa Machine Tool Co., Ltd. 108,000 151,267 Takuma Co., Ltd. 163,000 1,318,740 # Tamron Co., Ltd. 37,400 935,493 # Tamura Corp. 168,000 400,681 Tanseisha Co., Ltd. 66,500 252,015 Tatsuta Electric Wire and Cable Co., Ltd. 72,700 363,782 Tayca Corp. 39,000 107,322 TBK Co., Ltd. 37,000 180,886 TDK Corp. 87,400 3,726,864 TDK Corp. Sponsored ADR 48,131 2,052,306 #* Teac Corp. 26,000 17,305 TECHNO ASSOCIE Co., Ltd. 3,000 30,623 Techno Ryowa, Ltd. 8,870 40,493 # Teijin, Ltd. 1,744,750 4,288,686 # Teikoku Electric Manufacturing Co., Ltd. 10,000 284,869 Teikoku Sen-I Co., Ltd. 19,700 282,093 Teikoku Tsushin Kogyo Co., Ltd. 70,000 115,196 # Tekken Corp. 189,000 553,127 #* tella, Inc. 5,800 62,706 Terumo Corp. 101,900 2,022,269 THK Co., Ltd. 162,600 3,436,793 Tigers Polymer Corp. 6,700 27,199 # Titan Kogyo K.K. 8,000 17,507 TKC Corp. 21,600 436,826 Toa Corp.(6894508) 470,000 884,151 # Toa Corp.(6894434) 33,000 332,163 Toa Oil Co., Ltd. 146,000 224,120 TOA ROAD Corp. 108,000 492,946 # Toabo Corp. 164,000 112,430 Toagosei Co., Ltd. 441,500 1,847,445 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- JAPAN -- (Continued) #* Tobishima Corp. 267,600 $ 390,928 # Tobu Railway Co., Ltd. 327,000 1,599,351 Tobu Store Co., Ltd. 30,000 77,154 TOC Co., Ltd. 101,800 692,448 Tocalo Co., Ltd. 27,500 429,933 Tochigi Bank, Ltd. (The) 198,000 771,851 Toda Corp. 455,000 1,594,588 # Toda Kogyo Corp. 105,000 283,883 Toei Animation Co., Ltd. 4,100 107,113 Toei Co., Ltd. 163,000 912,545 Toenec Corp. 62,000 300,144 Toho Bank, Ltd. (The) 343,000 1,148,793 # Toho Co., Ltd.(6895200) 44,900 864,425 Toho Co., Ltd.(6895211) 45,000 161,971 # Toho Gas Co., Ltd. 337,000 1,653,509 Toho Holdings Co., Ltd. 98,500 1,985,587 #* Toho Titanium Co., Ltd. 59,300 369,947 Toho Zinc Co., Ltd. 308,000 979,955 Tohoku Bank, Ltd. (The) 161,000 230,164 Tohoku Electric Power Co., Inc. 143,200 1,362,801 Tohto Suisan Co., Ltd. 61,000 118,994 # Tokai Carbon Co., Ltd. 474,000 1,520,718 Tokai Corp/Gifu 12,500 317,783 TOKAI Holdings Corp. 139,400 483,281 Tokai Lease Co., Ltd. 40,000 71,698 Tokai Rika Co., Ltd. 112,300 1,951,685 # Tokai Rubber Industries, Ltd. 87,100 900,942 Tokai Tokyo Financial Holdings, Inc. 177,300 1,191,191 # Token Corp. 14,970 664,525 Tokio Marine Holdings, Inc. 293,812 8,657,441 # Tokio Marine Holdings, Inc. ADR 63,004 1,856,098 Tokushu Tokai Paper Co., Ltd. 148,380 327,118 Tokuyama Corp. 748,000 2,169,339 Tokyo Broadcasting System Holdings, Inc. 23,000 249,850 Tokyo Derica Co., Ltd. 15,100 219,865 Tokyo Dome Corp. 395,000 1,768,946 * Tokyo Electric Power Co., Inc. 457,612 1,730,802 # Tokyo Electron Device, Ltd. 9,600 126,505 Tokyo Electron, Ltd. 129,800 7,382,481 Tokyo Energy & Systems, Inc. 39,000 203,349 Tokyo Gas Co., Ltd. 376,000 1,970,018 # Tokyo Keiki, Inc. 104,000 290,757 #* Tokyo Kikai Seisakusho, Ltd. 103,000 84,821 # Tokyo Rakutenchi Co., Ltd. 38,000 174,748 #* Tokyo Rope Manufacturing Co., Ltd. 304,000 443,826 Tokyo Sangyo Co., Ltd. 24,500 96,245 Tokyo Seimitsu Co., Ltd. 77,700 1,309,393 # Tokyo Steel Manufacturing Co., Ltd. 191,900 938,225 Tokyo Tatemono Co., Ltd. 380,000 3,030,422 Tokyo Tekko Co., Ltd. 95,000 356,809 # Tokyo Theatres Co., Inc. 130,000 176,910 # Tokyo Tomin Bank, Ltd. (The) 82,600 856,983 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ---------- JAPAN -- (Continued) # Tokyu Construction Co., Ltd. 116,680 $ 516,627 # Tokyu Corp. 364,000 2,292,556 Tokyu Fudosan Holdings Corp. 586,294 4,262,330 # Tokyu Recreation Co., Ltd. 22,819 133,653 Toli Corp. 66,000 127,382 Tomato Bank, Ltd. 126,000 208,228 Tomen Devices Corp. 3,000 49,844 Tomen Electronics Corp. 18,200 291,632 Tomoe Corp. 48,600 210,553 Tomoe Engineering Co., Ltd. 10,000 157,725 Tomoegawa Co., Ltd. 17,000 32,437 Tomoku Co., Ltd. 94,000 252,472 TOMONY Holdings, Inc. 248,700 1,057,522 # Tomy Co., Ltd. 154,500 733,156 Tonami Holdings Co., Ltd. 88,000 160,306 # TonenGeneral Sekiyu K.K. 91,000 859,571 # Topcon Corp. 55,600 969,646 Toppan Forms Co., Ltd. 105,700 971,200 # Toppan Printing Co., Ltd. 547,000 3,756,714 Topre Corp. 83,000 839,862 Topy Industries, Ltd. 415,000 702,698 # Toray Industries, Inc. 526,000 3,433,080 # Toridoll.corp 22,300 220,493 Torigoe Co., Ltd. (The) 11,000 74,566 # Torishima Pump Manufacturing Co., Ltd. 44,800 549,318 Tose Co., Ltd. 3,800 26,107 Tosei Corp. 58,300 352,722 Toshiba Corp. 1,186,000 4,645,398 # Toshiba Machine Co., Ltd. 219,000 983,557 Toshiba Plant Systems & Services Corp. 68,000 1,000,464 Toshiba TEC Corp. 333,000 2,169,379 Tosho Co., Ltd. 8,500 142,953 Tosho Printing Co., Ltd. 75,000 287,647 Tosoh Corp. 1,104,000 4,212,758 # Totetsu Kogyo Co., Ltd. 45,400 921,848 TOTO, Ltd. 133,000 1,881,332 Tottori Bank, Ltd. (The) 69,000 122,832 Toukei Computer Co., Ltd. 3,200 43,178 Towa Bank, Ltd. (The) 638,000 605,953 # Towa Corp. 45,700 232,188 # Towa Pharmaceutical Co., Ltd. 26,300 1,123,674 # Toyo Construction Co., Ltd. 137,300 486,681 # Toyo Denki Seizo - Toyo Electric Manufacturing Co., Ltd. 74,000 266,296 # Toyo Engineering Corp. 215,000 948,679 Toyo Ink SC Holdings Co., Ltd. 443,000 1,807,153 # Toyo Kanetsu K.K. 271,000 645,099 Toyo Kohan Co., Ltd. 94,000 455,313 Toyo Machinery & Metal Co., Ltd. 6,300 33,171 Toyo Securities Co., Ltd. 184,000 506,884 Toyo Seikan Group Holdings, Ltd. 238,900 3,552,891 Toyo Sugar Refining Co., Ltd. 29,000 27,526 Toyo Suisan Kaisha, Ltd. 59,000 1,889,844 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- JAPAN -- (Continued) # Toyo Tanso Co., Ltd. 18,800 $ 452,628 Toyo Tire & Rubber Co., Ltd. 410,000 3,057,310 Toyo Wharf & Warehouse Co., Ltd. 118,000 236,575 Toyobo Co., Ltd. 1,923,000 3,105,360 Toyoda Gosei Co., Ltd. 138,500 2,551,977 # Toyota Boshoku Corp. 142,800 1,476,173 Toyota Motor Corp. 437,186 23,620,350 Toyota Motor Corp. Sponsored ADR 373,184 40,460,609 Toyota Tsusho Corp. 238,525 6,282,559 TPR Co., Ltd. 47,300 697,879 Trancom Co., Ltd. 13,900 488,781 Transcosmos, Inc. 40,000 745,728 Trend Micro, Inc. 46,700 1,510,605 Trend Micro, Inc. Sponsored ADR 3,540 114,307 Trinity Industrial Corp. 3,000 12,890 Trusco Nakayama Corp. 40,461 911,874 TS Tech Co., Ltd. 101,400 2,704,320 TSI Holdings Co., Ltd. 162,590 1,096,446 Tsubakimoto Chain Co. 341,000 2,433,668 Tsubakimoto Kogyo Co., Ltd. 24,000 65,435 Tsuchiya Holdings Co., Ltd. 1,200 3,516 #* Tsudakoma Corp. 78,000 103,633 # Tsugami Corp. 105,000 596,580 Tsukamoto Corp. Co., Ltd. 37,000 48,216 Tsukishima Kikai Co., Ltd. 50,000 532,100 Tsukuba Bank, Ltd. 173,300 625,322 Tsukui Corp. 46,800 525,491 # Tsumura & Co. 100,000 2,376,901 Tsuruha Holdings, Inc. 18,100 1,821,703 Tsurumi Manufacturing Co., Ltd. 25,000 305,361 TYK Corp. 34,000 66,717 Tyo, Inc. 95,600 152,090 UACJ Corp. 475,144 1,879,474 # Ube Industries, Ltd. 2,271,200 3,847,902 Uchida Yoko Co., Ltd. 85,000 237,698 UKC Holdings Corp. 22,600 363,604 * Ulvac, Inc. 113,600 2,152,965 # Unicharm Corp. 17,000 921,876 * Uniden Corp. 42,000 97,398 Union Tool Co. 18,400 431,349 # Unipres Corp. 79,800 1,541,821 United Arrows, Ltd. 39,900 1,543,248 * Unitika, Ltd. 1,183,000 671,098 Universal Entertainment Corp. 35,600 632,711 UNY Group Holdings Co., Ltd. 484,400 3,126,104 #* Usen Corp. 161,600 596,238 Ushio, Inc. 194,700 2,543,098 USS Co., Ltd. 95,700 1,394,938 UT Holdings Co., Ltd. 34,100 207,427 Utoc Corp. 18,700 65,145 # V Technology Co., Ltd. 7,500 220,515 Valor Co., Ltd. 77,700 1,007,074 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- JAPAN -- (Continued) # Village Vanguard Co., Ltd. 8,500 $ 99,889 Vital KSK Holdings, Inc. 54,585 386,516 Vitec Co., Ltd. 2,000 15,357 # VT Holdings Co., Ltd. 91,500 524,568 Wacoal Holdings Corp. 249,000 2,456,197 # Wacom Co., Ltd. 231,900 1,516,600 Wakachiku Construction Co., Ltd. 198,000 302,172 Wakamoto Pharmaceutical Co., Ltd. 9,000 23,781 Wakita & Co., Ltd. 89,800 1,019,278 Warabeya Nichiyo Co., Ltd. 29,600 552,614 Watabe Wedding Corp. 9,400 62,643 # WATAMI Co., Ltd. 47,900 697,600 Weathernews, Inc. 11,100 291,206 # Welcia Holdings Co., Ltd. 15,500 937,639 Wellnet Corp. 6,900 110,348 # West Holdings Corp. 22,800 306,925 West Japan Railway Co. 52,700 2,137,137 Wood One Co., Ltd. 40,000 111,944 Wowow, Inc. 6,100 204,950 Xebio Co., Ltd. 53,900 996,832 Y A C Co., Ltd. 13,500 77,388 Yachiyo Bank, Ltd. (The) 32,400 875,814 Yachiyo Industry Co., Ltd. 1,100 7,589 Yahagi Construction Co., Ltd. 50,800 499,101 # Yahoo Japan Corp. 258,100 1,127,505 Yaizu Suisankagaku Industry Co., Ltd. 9,800 91,467 # Yakult Honsha Co., Ltd. 21,400 1,156,671 YAMABIKO Corp. 14,335 533,811 # Yamada Denki Co., Ltd. 901,100 3,329,088 Yamagata Bank, Ltd. (The) 269,000 1,151,379 Yamaguchi Financial Group, Inc. 386,000 3,559,617 Yamaha Corp. 229,600 3,076,334 # Yamaha Motor Co., Ltd. 279,000 4,306,867 # Yamaichi Electronics Co., Ltd. 61,900 248,840 Yamanashi Chuo Bank, Ltd. (The) 300,000 1,299,873 Yamatane Corp. 271,000 399,288 Yamato Corp. 26,000 86,504 Yamato Holdings Co., Ltd. 191,600 3,942,779 Yamato Kogyo Co., Ltd. 57,700 1,663,965 Yamaya Corp. 6,110 111,593 Yamazaki Baking Co., Ltd. 214,000 2,614,719 # Yamazen Corp. 90,100 582,075 # Yaoko Co., Ltd. 15,300 693,539 # Yaskawa Electric Corp. 158,000 1,781,554 Yasuda Warehouse Co., Ltd. (The) 26,200 271,006 Yellow Hat, Ltd. 29,300 561,733 Yodogawa Steel Works, Ltd. 121,000 477,023 Yokogawa Bridge Holdings Corp. 55,600 737,262 Yokogawa Electric Corp. 167,700 2,292,753 Yokohama Reito Co., Ltd. 88,700 718,009 Yokohama Rubber Co., Ltd. (The) 433,000 3,867,562 Yokowo Co., Ltd. 22,200 110,455 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- -------------- JAPAN -- (Continued) Yomeishu Seizo Co., Ltd. 2,000 $ 18,655 Yomiuri Land Co., Ltd. 98,000 378,506 Yondenko Corp. 23,000 81,712 Yondoshi Holdings, Inc. 35,700 635,646 Yonekyu Corp. 900 7,260 Yonex Co., Ltd. 9,400 55,514 Yorozu Corp. 28,100 525,230 Yuasa Funashoku Co., Ltd. 14,000 33,337 # Yuasa Trading Co., Ltd. 356,000 677,366 Yuken Kogyo Co., Ltd. 80,000 163,459 Yuki Gosei Kogyo Co., Ltd. 11,000 27,504 # Yumeshin Holdings Co., Ltd. 32,700 280,675 Yurtec Corp. 67,000 312,705 Yusen Logistics Co., Ltd. 37,400 430,709 Yushin Precision Equipment Co., Ltd. 5,226 150,845 Yushiro Chemical Industry Co., Ltd. 15,100 152,299 Yutaka Foods Corp. 4,000 72,374 Yutaka Giken Co., Ltd. 200 4,386 # Zappallas, Inc. 11,600 76,381 # Zenrin Co., Ltd. 53,900 549,782 # Zensho Holdings Co., Ltd. 176,600 1,785,279 Zeon Corp. 411,000 3,821,622 # ZERIA Pharmaceutical Co., Ltd. 33,399 700,231 # Zuiko Corp. 4,200 233,860 -------------- TOTAL JAPAN 2,181,677,456 -------------- NETHERLANDS -- (2.4%) Aalberts Industries NV 171,947 5,727,860 # Accell Group 30,140 598,992 Aegon NV(007924103) 106,518 982,096 Aegon NV(5927375) 1,651,997 15,142,882 Akzo Nobel NV 181,929 14,019,826 Akzo Nobel NV Sponsored ADR 70,415 1,800,512 * AMG Advanced Metallurgical Group NV 58,382 587,254 Amsterdam Commodities NV 24,112 599,275 * APERAM 86,093 2,240,017 Arcadis NV 107,528 3,821,770 # ArcelorMittal(B295F26) 456,502 7,418,158 ArcelorMittal(B03XPL1) 540,606 8,790,921 ASM International NV(N07045102) 343 14,931 ASM International NV(5165294) 101,566 4,444,872 # ASML Holding NV(B929F46) 58,212 4,750,921 ASML Holding NV(B908F01) 40,988 3,336,013 # BE Semiconductor Industries NV 107,056 1,826,830 Beter Bed Holding NV 13,418 317,108 BinckBank NV 119,568 1,350,991 Brunel International NV 16,906 1,145,237 Corbion NV 61,462 1,425,466 Delta Lloyd NV 390,319 10,272,398 Exact Holding NV 14,475 510,501 Fugro NV 119,667 7,929,689 * Galapagos NV 31,337 678,216 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ------------ NETHERLANDS -- (Continued) # Gemalto NV 71,209 $ 7,961,557 #* Grontmij 99,056 530,022 # Heijmans NV 40,472 726,064 # Heineken NV 62,584 4,346,924 Hunter Douglas NV 1,366 68,606 * ING Groep NV 704,447 10,069,968 #* ING Groep NV Sponsored ADR 1,520,098 21,737,401 KAS Bank NV 13,763 203,337 Kendrion NV 11,258 383,463 Koninklijke Ahold NV 950,325 18,371,585 Koninklijke Ahold NV Sponsored ADR 20,012 386,037 # Koninklijke BAM Groep NV 472,043 2,559,522 Koninklijke Boskalis Westminster NV 142,881 8,098,021 Koninklijke DSM NV 158,584 11,387,563 * Koninklijke KPN NV 4,010,074 14,247,260 Koninklijke Philips NV(500472303) 328,014 10,483,327 Koninklijke Philips NV(5986622) 527,325 16,881,334 Koninklijke Ten Cate NV 56,742 1,690,571 # Koninklijke Vopak NV 88,611 4,418,242 Koninklijke Wessanen NV 167,287 988,342 #* Macintosh Retail Group NV 49,262 535,387 # Nederland Apparatenfabriek 3,562 158,345 Nutreco NV 128,018 5,959,640 * Ordina NV 184,943 534,675 * PostNL NV 573,150 2,519,175 Randstad Holding NV 172,282 10,068,099 # Reed Elsevier NV 206,813 4,221,228 # Reed Elsevier NV Sponsored ADR 45,688 1,920,723 #* Royal Imtech NV 359,606 701,102 * SBM Offshore NV 340,469 6,232,042 Sligro Food Group NV 24,312 1,017,544 #* SNS Reaal NV 262,485 -- Telegraaf Media Groep NV 22,328 209,736 TKH Group NV 68,852 2,399,563 TNT Express NV 690,079 6,218,675 * TomTom NV 278,537 1,974,999 # Unilever NV(B12T3J1) 240,364 10,307,074 # Unilever NV(904784709) 41,500 1,777,030 USG People NV 126,286 2,184,934 * Van Lanschot NV 214 5,591 # Wolters Kluwer NV 369,563 10,301,900 # Ziggo NV 120,289 5,223,291 ------------ TOTAL NETHERLANDS 309,742,635 ------------ NEW ZEALAND -- (0.2%) * a2 Milk Co., Ltd. 39,073 27,349 # Abano Healthcare Group, Ltd. 13,023 74,101 Air New Zealand, Ltd. 855,521 1,550,261 Auckland International Airport, Ltd. 1,435,206 4,915,467 #* Bathurst Resources, Ltd. 558,054 32,276 Chorus, Ltd. 127,580 194,927 Chorus, Ltd. ADR 10,487 78,338 Contact Energy, Ltd. 509,537 2,502,822 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- NEW ZEALAND -- (Continued) #* Diligent Board Member Services, Inc. 5,821 $ 22,857 Ebos Group, Ltd. 36,626 296,907 # Fisher & Paykel Healthcare Corp., Ltd. 579,157 2,041,478 Fletcher Building, Ltd.(6341606) 455,425 3,872,629 # Fletcher Building, Ltd.(6341617) 96,640 817,320 Freightways, Ltd. 100,933 435,444 Hallenstein Glasson Holdings, Ltd. 16,145 48,356 Heartland New Zealand, Ltd. 12,825 9,732 Infratil, Ltd. 550,951 1,093,455 Kathmandu Holdings, Ltd. 12,855 40,422 Mainfreight, Ltd. 54,911 634,588 Metlifecare, Ltd. 4,324 15,347 Michael Hill International, Ltd. 72,300 82,431 New Zealand Oil & Gas, Ltd. 416,158 278,312 New Zealand Refining Co., Ltd. (The) 66,827 108,301 Nuplex Industries, Ltd. 262,429 793,029 NZX, Ltd. 71,242 76,949 * Pacific Edge, Ltd. 20,054 18,922 PGG Wrightson, Ltd. 151,904 53,197 * Pike River Coal, Ltd. 224,242 -- Port of Tauranga, Ltd. 76,138 945,478 * Pumpkin Patch, Ltd. 37,217 17,342 Restaurant Brands New Zealand, Ltd. 145,276 394,750 * Rubicon, Ltd. 64,229 20,019 Ryman Healthcare, Ltd. 224,882 1,679,899 Sanford, Ltd. 31,342 112,766 Skellerup Holdings, Ltd. 20,500 31,450 Sky Network Television, Ltd. 326,242 1,882,994 SKYCITY Entertainment Group, Ltd. 588,818 2,150,117 Steel & Tube Holdings, Ltd. 25,952 68,767 Telecom Corp. of New Zealand, Ltd. 1,604,822 3,833,856 Tourism Holdings, Ltd. 23,932 23,808 Tower, Ltd. 175,303 245,339 Trade Me Group, Ltd. 82,956 283,087 # TrustPower, Ltd. 75,810 437,910 Vector, Ltd. 261,830 578,813 Warehouse Group, Ltd. (The) 80,449 235,316 #* Xero, Ltd. 16,851 463,609 ----------- TOTAL NEW ZEALAND 33,520,537 ----------- NORWAY -- (0.9%) # ABG Sundal Collier Holding ASA 454,248 421,622 #* Agasti Holding ASA 49,859 11,152 # Aker ASA Class A 39,331 1,332,242 Aker Solutions ASA 91,971 1,473,606 #* American Shipping ASA 31,847 239,843 * Archer, Ltd. 686,488 936,357 # Atea ASA 126,818 1,457,662 Austevoll Seafood ASA 164,517 1,065,685 Bakkafrost P/F 28,641 448,514 #* Bionor Pharma ASA 71,347 23,799 Bonheur ASA 16,775 326,164 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- NORWAY -- (Continued) BW Offshore, Ltd. 878,110 $ 1,148,363 * BWG Homes ASA 107,699 212,151 Cermaq ASA 96,146 1,136,432 * Deep Sea Supply P.L.C. 153,765 229,380 #* Det Norske Oljeselskap ASA 41,571 454,607 # DNB ASA 567,746 10,063,592 * DNO International ASA 662,209 2,299,844 * DOF ASA 67,981 312,690 * Dolphin Group A.S. 80,452 78,443 # Ekornes ASA 24,912 394,184 #* Electromagnetic GeoServices A.S. 146,987 175,997 # Eltek ASA 321,422 441,047 Evry ASA 62,231 107,540 Farstad Shipping ASA 7,858 161,871 Fred Olsen Energy ASA 30,682 978,722 #* Frontline, Ltd. 145,390 474,504 Ganger Rolf ASA 23,563 440,115 # Gjensidige Forsikring ASA 120,786 2,229,063 Golar LNG, Ltd. 19,800 875,160 Golden Ocean Group, Ltd. 752,672 1,334,783 * Grieg Seafood ASA 62,647 255,510 * Havila Shipping ASA 3,252 18,886 # Hexagon Composites ASA 75,590 469,260 * Hoegh LNG Holdings, Ltd. 35,700 348,680 * Hurtigruten ASA 446,405 330,078 #* InterOil Exploration and Production ASA 307,648 53,938 * Kongsberg Automotive Holding ASA 1,241,040 1,247,624 # Kongsberg Gruppen A.S. 29,458 691,489 Kvaerner ASA 404,398 810,037 Leroy Seafood Group ASA 27,472 973,005 # Marine Harvest ASA 345,182 4,233,655 #* Nordic Semiconductor ASA 281,940 1,581,813 # Norsk Hydro ASA 1,292,989 6,934,549 # Norsk Hydro ASA Sponsored ADR 50,900 273,842 #* Norske Skogindustrier ASA 324,882 246,313 Northern Offshore, Ltd. 34,847 53,688 #* Norwegian Air Shuttle A.S. 50,957 2,028,679 #* Norwegian Energy Co. ASA 2,548,866 72,936 #* Odfjell SE Class A 41,255 206,224 Olav Thon Eiendomsselskap ASA 436 80,551 Opera Software ASA 94,210 1,217,759 # Orkla ASA 590,895 4,887,048 * Panoro Energy ASA 810,844 453,294 # Petroleum Geo-Services ASA 447,482 5,402,760 * PhotoCure ASA 4,035 17,082 Prosafe SE 219,616 1,935,685 * Q-Free ASA 66,600 165,187 #* REC Silicon ASA 3,667,227 2,051,240 * REC Solar ASA 47,098 711,288 * Salmar ASA 50,928 737,201 # Schibsted ASA 25,749 1,481,611 Seadrill, Ltd. 75,524 2,642,639 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ---------- ------------ NORWAY -- (Continued) #* Sevan Drilling A.S. 460,763 $ 243,896 #* Sevan Marine ASA 66,506 266,396 * Siem Offshore, Inc. 222,158 336,259 Solstad Offshore ASA 7,538 138,775 #* Songa Offshore 267,146 109,863 SpareBank 1 SMN 71,311 633,302 # SpareBank 1 SR Bank ASA 114,927 1,114,687 Statoil ASA 131,815 4,018,432 # Statoil ASA Sponsored ADR 405,259 12,348,242 Stolt-Nielsen, Ltd. 32,237 871,605 * Storebrand ASA 717,679 4,028,593 # Subsea 7 SA 284,104 5,688,972 Telenor ASA 145,545 3,419,872 # TGS Nopec Geophysical Co. ASA 61,850 2,133,477 # Tomra Systems ASA 162,726 1,514,141 TTS Group ASA 11,319 12,389 # Veidekke ASA 60,301 646,945 # Wilh Wilhelmsen ASA 51,629 499,728 # Wilh Wilhelmsen Holding ASA Class A 19,944 632,762 # Yara International ASA 147,299 6,963,036 ------------ TOTAL NORWAY 119,520,057 ------------ PORTUGAL -- (0.3%) Altri SGPS SA 292,443 993,826 #* Banco BPI SA 769,751 1,975,758 #* Banco Comercial Portugues SA 18,258,175 5,548,563 #* Banco Espirito Santo SA 3,375,184 5,982,625 # Corticeira Amorim SGPS SA 169,781 726,272 EDP - Energias de Portugal SA 659,365 3,202,970 EDP - Energias de Portugal SA Sponsored ADR 7,202 348,577 * EDP Renovaveis SA 417,394 2,862,337 Galp Energia SGPS SA 133,651 2,316,442 #* Impresa SGPS SA 49,210 123,960 Jeronimo Martins SGPS SA 62,423 1,091,739 Mota-Engil SGPS SA 163,357 1,250,517 # Novabase SGPS SA 12,258 67,512 Portucel SA 365,473 1,732,915 Portugal Telecom SGPS SA 953,354 3,960,874 # REN - Redes Energeticas Nacionais SGPS SA 249,044 936,627 Semapa-Sociedade de Investimento e Gestao 112,900 1,692,448 Sonae 2,169,007 4,080,453 * Sonae Industria SGPS SA 132,969 112,785 # Teixeira Duarte SA 172,937 266,050 ZON Optimus SGPS SA 276,769 2,002,251 ------------ TOTAL PORTUGAL 41,275,501 ------------ SINGAPORE -- (1.2%) * Abterra, Ltd. 189,000 88,816 * Acma, Ltd. 22,000 439 Amara Holdings, Ltd. 248,000 106,094 Amtek Engineering, Ltd. 626,000 310,060 ASL Marine Holdings, Ltd. 282,800 162,913 #* Ausgroup, Ltd. 1,048,939 382,529 Banyan Tree Holdings, Ltd. 409,000 205,909 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- SINGAPORE -- (Continued) # Biosensors International Group, Ltd. 2,109,901 $ 1,602,449 Bonvests Holdings, Ltd. 51,600 55,634 Boustead Singapore, Ltd. 455,000 688,251 Breadtalk Group, Ltd. 160,000 178,978 * Broadway Industrial Group, Ltd. 520,000 114,347 Bukit Sembawang Estates, Ltd. 125,000 582,881 Bund Center Investment, Ltd. 1,264,000 206,965 CapitaLand, Ltd. 2,760,500 7,064,879 Centurion Corp., Ltd. 321,000 183,676 CH Offshore, Ltd. 330,000 110,700 China Aviation Oil Singapore Corp., Ltd. 334,800 232,763 # China Merchants Holdings Pacific, Ltd. 148,000 113,951 Chip Eng Seng Corp., Ltd. 1,209,000 738,899 City Developments, Ltd. 401,000 3,474,267 Cityspring Infrastructure Trust 124,000 47,064 ComfortDelGro Corp., Ltd. 1,857,169 3,149,425 # Cosco Corp. Singapore, Ltd. 2,268,000 1,306,131 CSC Holdings, Ltd. 396,000 26,891 CSE Global, Ltd. 748,000 355,218 CWT, Ltd. 501,000 582,298 DBS Group Holdings, Ltd. 869,655 11,781,357 # Del Monte Pacific, Ltd. 292,000 143,551 * Delong Holdings, Ltd. 207,200 63,414 DMX Technologies Group, Ltd. 256,000 40,925 # Dyna-Mac Holdings, Ltd. 415,000 135,964 # Elec & Eltek International Co., Ltd. 20,000 31,714 Eu Yan Sang International, Ltd. 44,400 29,246 * euNetworks Group, Ltd. 41,380 21,019 # Ezion Holdings, Ltd. 898,800 1,633,884 Ezra Holdings, Ltd. 1,638,000 1,375,817 Falcon Energy Group, Ltd. 572,000 160,219 Far East Orchard, Ltd. 255,401 381,467 # First Resources, Ltd. 659,000 1,353,400 FJ Benjamin Holdings, Ltd. 527,000 90,711 Food Empire Holdings, Ltd. 144,800 45,548 Fragrance Group, Ltd. 1,448,000 288,987 * Gallant Venture, Ltd. 1,140,000 273,365 Genting Singapore P.L.C. 1,183,000 1,253,511 Global Logistic Properties, Ltd. 693,000 1,579,408 * Global Yellow Pages, Ltd. 29,000 1,786 GMG Global, Ltd. 5,413,000 388,780 Golden Agri-Resources, Ltd. 6,820,569 3,327,308 Goodpack, Ltd. 487,000 932,939 GP Industries, Ltd. 174,000 65,184 Great Eastern Holdings, Ltd. 19,000 288,283 # GuocoLand, Ltd. 425,221 723,468 # GuocoLeisure, Ltd. 982,000 757,244 * Healthway Medical Corp., Ltd. 2,362,133 120,560 HG Metal Manufacturing, Ltd. 300,000 22,493 Hi-P International, Ltd. 525,000 243,315 Hiap Hoe, Ltd. 128,000 93,128 Hiap Seng Engineering, Ltd. 120,000 20,599 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ---------- SINGAPORE -- (Continued) Ho Bee Land, Ltd. 466,000 $ 852,860 Hong Fok Corp., Ltd. 581,080 376,045 Hong Leong Asia, Ltd. 216,000 275,132 Hongkong Land Holdings, Ltd. 197,000 1,380,678 Hotel Grand Central, Ltd. 133,492 127,511 Hotel Properties, Ltd. 381,000 1,130,083 Hour Glass, Ltd. (The) 50,000 67,894 HTL International Holdings, Ltd. 328,000 77,348 HupSteel, Ltd. 145,000 24,246 Hutchison Port Holdings Trust 3,342,000 2,274,422 Hwa Hong Corp., Ltd. 280,000 68,168 # Hyflux, Ltd. 785,000 751,619 Indofood Agri Resources, Ltd. 1,075,000 915,511 InnoTek, Ltd. 87,000 22,205 * International Healthway Corp., Ltd. 47,620 11,574 #* Interra Resources, Ltd. 365,000 112,321 IPC Corp., Ltd. 974,000 116,676 ISDN Holdings, Ltd. 39,000 13,445 Jardine Cycle & Carriage, Ltd. 38,838 1,456,267 Jaya Holdings, Ltd. 526,000 334,546 * Jiutian Chemical Group, Ltd. 2,526,000 147,335 * Jurong Technologies Industrial Corp., Ltd. 213,200 -- K1 Ventures, Ltd. 1,011,000 159,201 Keppel Corp., Ltd. 378,200 3,182,186 Keppel Infrastructure Trust 170,400 142,738 Keppel Land, Ltd. 680,000 1,881,183 Keppel Telecommunications & Transportation, Ltd. 139,000 198,150 Koh Brothers Group, Ltd. 193,000 47,762 LCD Global Investments, Ltd. 719,400 104,520 Lee Kim Tah Holdings, Ltd. 60,000 44,382 * Li Heng Chemical Fibre Technologies, Ltd. 1,245,000 89,230 Lian Beng Group, Ltd. 1,030,000 576,159 * Linc Energy, Ltd. 526,535 495,561 * LionGold Corp., Ltd. 1,707,000 133,777 Low Keng Huat Singapore, Ltd. 293,000 162,597 Lum Chang Holdings, Ltd. 160,000 44,707 M1, Ltd. 338,000 908,171 * Manhattan Resources, Ltd. 178,000 88,222 Marco Polo Marine, Ltd. 269,000 80,610 # Memstar Technology, Ltd. 1,337,000 17,106 * Mercator Lines Singapore, Ltd. 12,000 969 Mermaid Maritime PCL 404,000 156,642 Mewah International, Inc. 604,000 226,799 # Midas Holdings, Ltd. 1,981,000 744,704 Nam Cheong Ltd 2,302,000 653,139 #* Neptune Orient Lines, Ltd. 2,086,000 1,691,898 # Noble Group, Ltd. 4,423,000 4,554,272 NSL, Ltd. 75,000 94,293 * Oceanus Group, Ltd. 4,001,000 54,285 # Olam International, Ltd. 2,839,809 5,067,404 # OSIM International, Ltd. 370,000 857,251 # OUE Hospitality Trust 81,999 56,917 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ---------- SINGAPORE -- (Continued) OUE, Ltd. 492,000 $ 892,040 # Oversea-Chinese Banking Corp., Ltd. 993,084 7,658,842 Oxley Holdings, Ltd. 53,000 32,888 Pan-United Corp., Ltd. 268,000 221,648 Petra Foods, Ltd. 141,000 399,437 Popular Holdings, Ltd. 590,000 127,072 QAF, Ltd. 298,092 214,178 * Raffles Education Corp., Ltd. 1,070,667 252,428 Raffles Medical Group, Ltd. 243,590 705,815 Rotary Engineering, Ltd. 444,000 252,138 * S I2I, Ltd. 4,170,000 26,679 San Teh, Ltd. 140,400 35,774 * Sapphire Corp., Ltd. 460,000 29,388 # SATS, Ltd. 874,392 2,213,556 SBS Transit, Ltd. 54,000 53,881 # See Hup Seng, Ltd. 655,000 160,059 SembCorp Industries, Ltd. 678,000 2,910,748 # SembCorp Marine, Ltd. 362,800 1,179,908 Sheng Siong Group, Ltd. 260,000 131,869 # SIA Engineering Co., Ltd. 97,000 370,933 Sim Lian Group, Ltd. 206,794 144,900 Sinarmas Land, Ltd. 2,704,000 1,147,478 Sing Holdings, Ltd. 263,000 79,848 Singapore Airlines, Ltd. 567,400 4,703,989 Singapore Exchange, Ltd. 406,000 2,245,290 Singapore Post, Ltd. 1,457,216 1,646,310 # Singapore Press Holdings, Ltd. 611,000 2,043,173 Singapore Reinsurance Corp., Ltd. 55,000 12,086 Singapore Shipping Corp., Ltd. 137,000 25,740 Singapore Technologies Engineering, Ltd. 771,000 2,354,902 Singapore Telecommunications, Ltd. 1,728,350 5,294,137 * Sino Grandness Food Industry Group, Ltd. 1,090,000 601,334 # SMRT Corp., Ltd. 766,000 745,804 Stamford Land Corp., Ltd. 864,000 410,453 StarHub, Ltd. 237,710 788,550 Sunningdale Tech, Ltd. 1,184,000 154,111 #* SunVic Chemical Holdings, Ltd. 734,000 281,684 # Super Group, Ltd. 405,000 1,133,069 Swiber Holdings, Ltd. 1,045,000 534,720 Swissco Holdings, Ltd. 686,000 233,149 Tat Hong Holdings, Ltd. 574,000 371,392 Thakral Corp., Ltd. 793,000 17,712 Tiong Woon Corp. Holding, Ltd. 465,750 120,964 Triyards holdings, Ltd. 113,399 57,557 * TT International, Ltd. 330,000 44,545 Tuan Sing Holdings, Ltd. 1,382,318 386,512 UMS Holdings, Ltd. 653,000 448,257 United Engineers, Ltd. 810,304 1,396,825 United Envirotech, Ltd. 766,275 798,554 United Industrial Corp., Ltd. 704,000 1,882,686 United Overseas Bank, Ltd. 496,655 8,644,339 UOB-Kay Hian Holdings, Ltd. 489,000 657,275 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ------------ SINGAPORE -- (Continued) UOL Group, Ltd. 858,000 $ 4,405,181 # UPP Holdings, Ltd. 610,000 121,993 * Vard Holdings, Ltd. 1,595,000 1,232,277 Venture Corp., Ltd. 505,000 3,093,202 Vibrant Group, Ltd. 2,818,510 229,438 # Wee Hur Holdings, Ltd. 549,000 157,698 Wheelock Properties Singapore, Ltd. 280,347 420,385 Wilmar International, Ltd. 1,119,000 3,041,234 Wing Tai Holdings, Ltd. 937,124 1,498,854 Xpress Holdings, Ltd. 474,000 8,180 Yeo Hiap Seng, Ltd. 63,135 117,943 YHI International, Ltd. 96,000 17,997 Yongnam Holdings, Ltd. 2,233,000 428,828 ------------ TOTAL SINGAPORE 154,841,578 ------------ SPAIN -- (2.5%) Abengoa SA(7174823) 81,851 455,410 * Abengoa SA(BLM7FQ6) 1,795 9,991 * Abengoa SA(BLM7FS8) 12,777 56,919 # Abengoa SA Class B 553,747 2,465,419 Abertis Infraestructuras SA 221,279 4,980,893 # Acciona SA 49,262 4,007,256 # Acerinox SA 155,377 2,717,028 ACS Actividades de Construccion y Servicios SA 115,141 4,942,349 Adveo Group International SA 11,120 264,725 Almirall SA 99,782 1,671,233 Amadeus IT Holding SA Class A 163,913 6,817,224 * Atresmedia Corp de Medios de Comunicaion SA 80,233 1,154,478 * Azkoyen SA 14,561 51,730 Banco Bilbao Vizcaya Argentaria SA 1,400,971 17,256,784 # Banco Bilbao Vizcaya Argentaria SA Sponsored ADR 936,495 11,565,713 Banco de Sabadell SA 4,092,051 13,922,309 Banco Popular Espanol SA 1,772,349 13,060,300 Banco Santander SA 4,226,645 42,036,805 # Banco Santander SA Sponsored ADR 2,179,403 21,706,854 * Bankia SA 1,342,714 2,742,654 Bankinter SA 798,868 6,116,505 * Baron de Ley 2,832 297,952 Bolsas y Mercados Espanoles SA 101,049 4,402,237 # CaixaBank SA 1,430,469 8,718,318 * Caja de Ahorros del Mediterraneo 21,176 -- * Campofrio Food Group SA 33,213 317,869 #* Cementos Portland Valderrivas SA 27,419 280,538 Cie Automotive SA 47,433 604,086 Construcciones y Auxiliar de Ferrocarriles SA 3,405 1,630,927 * Deoleo SA 1,150,419 630,848 Distribuidora Internacional de Alimentacion SA 326,769 2,923,103 * Dogi International Fabrics SA 13,276 -- Duro Felguera SA 64,800 442,120 Ebro Foods SA 152,700 3,518,569 Elecnor SA 10,259 147,466 Enagas SA 247,597 7,628,157 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ------------ SPAIN -- (Continued) Ence Energia y Celulosa SA 257,736 $ 759,129 #* Ercros SA 127,395 84,996 Faes Farma SA 215,423 667,496 Ferrovial SA 237,937 5,288,943 Fluidra SA 12,607 57,292 #* Fomento de Construcciones y Contratas SA 96,457 2,127,737 * Gamesa Corp. Tecnologica SA 471,169 4,683,336 Gas Natural SDG SA 229,272 6,574,379 Grifols SA 59,742 3,193,654 # Grupo Catalana Occidente SA 68,490 2,679,881 #* Grupo Ezentis SA 216,929 355,337 Iberdrola SA 2,979,680 20,814,653 Iberpapel Gestion SA 4,081 80,208 # Inditex SA 34,955 5,251,882 # Indra Sistemas SA 228,013 4,282,544 * Inmobiliaria Colonial SA 1,392 1,296 * Jazztel P.L.C. 344,802 5,295,469 Mapfre SA 822,580 3,469,233 #* Mediaset Espana Comunicacion SA 255,714 2,837,530 # Melia Hotels International SA 96,078 1,215,391 # Miquel y Costas & Miquel SA 13,101 546,232 * Natra SA 13,117 34,586 * NH Hoteles SA 229,178 1,464,184 Obrascon Huarte Lain SA 99,248 4,601,239 Papeles y Cartones de Europa SA 75,517 417,788 * Pescanova SA 22,953 -- Prim SA 5,102 42,579 #* Promotora de Informaciones SA Class A 905,874 505,923 # Prosegur Cia de Seguridad SA 205,529 1,376,218 #* Quabit Inmobiliaria SA 284,665 50,605 #* Realia Business SA 191,857 354,693 Red Electrica Corp. SA 96,741 7,963,340 Repsol SA 356,952 9,610,730 Repsol SA Sponsored ADR 274,321 7,390,208 #* Sacyr SA 481,719 3,172,795 * Sociedad Nacional de Industrias Apicaciones Celulosa Espanola SA 56,486 5,799 #* Solaria Energia y Medio Ambiente SA 34,875 60,208 # Tecnicas Reunidas SA 34,664 2,087,942 * Telecomunicaciones y Energia 27,058 64,966 Telefonica SA 867,444 14,557,542 # Telefonica SA Sponsored ADR 229,616 3,846,068 Tubacex SA 236,224 1,158,459 Tubos Reunidos SA 209,005 647,543 Vidrala SA 20,337 1,076,432 # Viscofan SA 36,464 1,900,157 * Vocento SA 45,399 146,259 Zardoya Otis SA 106,221 1,863,436 * Zeltia SA 259,328 978,317 ------------ TOTAL SPAIN 325,189,403 ------------ SWEDEN -- (2.9%) AarhusKarlshamn AB 45,876 3,072,005 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- SWEDEN -- (Continued) Acando AB 79,449 $ 183,683 AddTech AB Class B 11,184 171,454 # AF AB Class B 59,388 2,156,771 # Alfa Laval AB 129,394 3,447,493 #* Arise AB 1,101 4,436 Assa Abloy AB Class B 177,402 9,415,535 # Atlas Copco AB Class A 123,378 3,588,179 # Atlas Copco AB Class B 70,609 1,925,880 Atrium Ljungberg AB Class B 5,390 85,467 # Avanza Bank Holding AB 14,471 543,282 Axfood AB 20,342 1,083,973 # Axis Communications AB 70,834 2,112,153 B&B Tools AB Class B 34,320 629,767 * BE Group AB 67,268 131,041 # Beijer AB G&L Class B 6,430 130,794 Beijer Alma AB 12,450 352,109 Beijer Electronics AB 2,424 23,648 Betsson AB 52,588 1,922,521 Bilia AB Class A 43,645 1,449,161 BillerudKorsnas AB 314,229 4,592,242 BioGaia AB Class B 8,331 250,355 # Biotage AB 44,000 78,827 # Bjoern Borg AB(BLP5VH0) 24,143 93,517 #* Bjoern Borg AB(B8ZRVS6) 24,143 5,532 Boliden AB 519,312 7,931,083 # Bure Equity AB 113,957 503,272 # Byggmax Group AB 93,349 782,107 Castellum AB 210,009 3,581,223 Catena AB 500 8,266 #* CDON Group AB 31,115 127,230 # Clas Ohlson AB Class B 64,843 1,438,215 * Cloetta AB Class B 73,226 241,895 # Concentric AB 86,653 1,226,013 * Concordia Maritime AB Class B 30,791 63,190 # Connecta AB 3,879 22,962 * CyberCom Group AB 79,025 32,855 # Dios Fastigheter AB 45,450 369,192 Doro AB 45,747 299,104 Duni AB 47,920 800,451 Electrolux AB Series B 256,930 7,141,564 # Elekta AB Class B 199,406 2,782,847 Enea AB 26,784 258,219 * Eniro AB 231,820 1,854,904 Fabege AB 164,726 2,314,054 # Fagerhult AB 2,674 132,640 * Fastighets AB Balder 64,093 822,260 Fenix Outdoor AB 890 50,474 # FinnvedenBulten AB 4,762 55,208 Getinge AB Class B 178,781 5,239,844 Gunnebo AB 97,433 556,083 # Haldex AB 135,680 1,740,379 # Hennes & Mauritz AB Class B 183,663 7,517,860 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- SWEDEN -- (Continued) Hexagon AB Class B 244,533 $ 7,828,876 Hexpol AB 38,222 3,621,487 # HIQ International AB(BLNMLM8) 100,513 610,647 #* HIQ International AB(B97F1H4) 100,513 40,037 Holmen AB Class B 106,671 3,770,075 Hufvudstaden AB Class A 70,229 1,029,601 Husqvarna AB Class A 107,719 891,550 Husqvarna AB Class B 711,699 5,942,392 ICA Gruppen AB 131,974 4,439,095 Industrial & Financial Systems Class B 34,602 992,606 # Indutrade AB 17,206 748,748 # Intrum Justitia AB 110,448 3,202,038 # JM AB 156,168 5,306,571 * KappAhl AB 142,661 875,437 #* Karolinska Development AB Class B 2,619 10,017 Klovern AB 91,294 502,056 # KNOW IT AB 27,286 289,659 # Kungsleden AB 200,709 1,639,398 Lagercrantz AB Class B 28,386 571,744 * Lindab International AB 132,838 1,656,070 Loomis AB Class B 107,082 2,920,906 * Lundin Petroleum AB 164,873 3,539,201 Meda AB Class A 466,508 8,385,454 #* Medivir AB Class B 45,238 803,025 Mekonomen AB 15,098 405,129 * Micronic Mydata AB 127,911 363,610 # Millicom International Cellular SA 27,616 2,737,156 # Modern Times Group AB Class B 90,579 4,041,382 MQ Holding AB 5,078 20,991 NCC AB Class A 7,059 251,322 NCC AB Class B 194,338 6,808,729 Nederman Holding AB 402 10,369 * Net Entertainment AB 40,751 18,802 * Net Entertainment AB B Shares 40,751 980,827 * Net Insight AB Class B 379,646 105,120 # New Wave Group AB Class B 111,042 755,272 Nibe Industrier AB Class B 125,577 3,525,983 Nobia AB 255,602 2,326,679 # Nolato AB Class B 55,032 1,256,586 Nordea Bank AB 1,644,450 23,829,063 # Nordnet AB Class B 146,854 722,762 # OEM International AB Class B 9,558 173,938 #* Orexo AB 15,326 248,828 # Oriflame Cosmetics SA 8,262 211,565 #* PA Resources AB 10,516 11,029 Peab AB 370,578 2,869,308 #* Pricer AB Class B 171,573 155,316 Proact IT Group AB 5,666 76,230 Proffice AB Class B 108,976 397,308 # Ratos AB Class B 271,961 2,774,428 #* RaySearch Laboratories AB 20,642 121,737 # ReadSoft AB Class B 26,206 70,559 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ------------ SWEDEN -- (Continued) * Rezidor Hotel Group AB 120,982 $ 749,749 #* rnb Retail and Brands AB 18,260 36,841 Saab AB Class B 116,753 3,587,579 Sagax AB Class B 3,620 17,298 Sandvik AB 644,213 9,155,505 #* SAS AB 301,642 648,686 Scania AB Class B 120,542 3,672,474 Securitas AB Class B 484,543 5,857,465 # Semcon AB 26,134 282,254 # Sintercast AB 1,351 16,345 Skandinaviska Enskilda Banken AB Class A 874,066 12,073,401 # Skandinaviska Enskilda Banken AB Class C 9,106 123,858 Skanska AB Class B 463,205 10,634,857 SKF AB Class A 5,419 139,586 SKF AB Class B 194,185 5,042,614 SkiStar AB 32,266 425,988 #* SSAB AB Class A 290,496 2,536,262 #* SSAB AB Class B 160,182 1,211,841 Svenska Cellulosa AB Class A 18,540 518,481 Svenska Cellulosa AB Class B 518,180 14,567,609 Svenska Handelsbanken AB Class A 285,381 14,354,648 Svenska Handelsbanken AB Class B 7,412 361,876 Sweco AB Class B 24,249 378,357 Swedbank AB Class A 531,591 14,226,392 Swedish Match AB 154,529 5,301,400 * Swedish Orphan Biovitrum AB 228,166 2,509,010 Systemair AB 3,166 51,595 Tele2 AB Class B 691,822 8,840,866 Telefonaktiebolaget LM Ericsson Class A 50,430 581,310 Telefonaktiebolaget LM Ericsson Class B 831,891 10,031,323 Telefonaktiebolaget LM Ericsson Sponsored ADR 641,201 7,688,000 TeliaSonera AB 1,437,972 10,467,077 #* TradeDoubler AB 63,660 142,047 #* Transcom WorldWide SA 275,873 61,268 Transmode AB 1,153 15,388 # Trelleborg AB Class B 411,478 8,804,198 Unibet Group P.L.C. 42,036 2,264,498 Vitrolife AB 15,218 268,044 Volvo AB Class A 171,557 2,762,074 # Volvo AB Class B 439,474 6,958,692 Volvo AB Sponsored ADR 70,300 1,106,522 # Wallenstam AB Class B 111,458 1,829,566 # Wihlborgs Fastigheter AB 83,778 1,615,238 ------------ TOTAL SWEDEN 372,148,019 ------------ SWITZERLAND -- (6.2%) ABB, Ltd. 1,199,336 28,875,314 # ABB, Ltd. Sponsored ADR 444,892 10,641,817 Actelion, Ltd. 100,770 9,921,169 Adecco SA 163,020 13,685,863 * Advanced Digital Broadcast Holdings SA 3,871 61,130 AFG Arbonia-Forster Holding AG 34,631 1,154,470 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- SWITZERLAND -- (Continued) Allreal Holding AG 23,983 $ 3,382,092 Alpiq Holding AG 2,734 335,501 ALSO Holding AG 635 36,281 ams AG 18,955 2,857,892 APG SGA SA 1,273 437,603 Aryzta AG 156,431 14,459,773 Ascom Holding AG 89,636 1,667,515 Autoneum Holding AG 7,840 1,663,262 # Bachem Holding AG Class B 6,084 343,540 Baloise Holding AG 85,731 10,439,769 Bank Coop AG 6,201 303,241 Banque Cantonale de Geneve 1,136 290,216 Banque Cantonale Vaudoise 4,850 2,878,895 Banque Privee Edmond de Rothschild SA 10 184,256 Barry Callebaut AG 2,834 3,851,542 * Basilea Pharmaceutica 383 40,130 # Basler Kantonalbank 6,579 568,716 Belimo Holding AG 278 783,023 Bell AG 110 302,360 Bellevue Group AG 11,759 178,597 # Berner Kantonalbank AG 6,254 1,534,310 BKW AG 9,504 349,155 * Bobst Group SA 16,441 836,830 Bossard Holding AG Class A 11,864 1,634,209 Bucher Industries AG 13,019 4,240,619 Burckhardt Compression Holding AG 3,428 1,776,793 Burkhalter Holding AG 1,964 185,306 Carlo Gavazzi Holding AG 221 57,499 Cham Paper Holding AG 5 1,407 * Charles Voegele Holding AG 10,609 174,673 Cie Financiere Richemont SA 156,608 15,933,298 Cie Financiere Tradition SA 1,907 103,813 Clariant AG 565,553 11,152,651 Coltene Holding AG 5,988 386,516 Conzzeta AG 163 644,920 Credit Suisse Group AG 1,122,531 35,587,188 Credit Suisse Group AG Sponsored ADR 451,407 14,296,060 Daetwyler Holding AG 11,185 1,768,514 # DKSH Holding AG 18,846 1,555,273 Dottikon Es Holding AG 89 22,237 * Dufry AG 42,471 7,028,807 # EFG International AG 102,665 1,300,873 Emmi AG 3,772 1,384,043 EMS-Chemie Holding AG 9,244 3,606,986 Energiedienst Holding AG 8,178 296,340 * Evolva Holding SA 28,548 43,235 Flughafen Zuerich AG 7,989 5,040,110 Forbo Holding AG 2,884 2,985,226 # Galenica AG 6,928 7,054,639 GAM Holding AG 367,328 6,690,186 Gategroup Holding AG 48,981 1,526,193 Geberit AG 27,547 9,200,425 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- SWITZERLAND -- (Continued) Georg Fischer AG 9,682 $ 7,680,779 Givaudan SA 5,722 9,030,315 Gurit Holding AG 977 510,454 Helvetia Holding AG 11,761 5,862,250 Holcim, Ltd. 204,267 18,734,634 Huber & Suhner AG 16,799 924,075 Implenia AG 24,649 1,807,433 Inficon Holding AG 2,935 1,051,214 Interroll Holding AG 669 416,241 Intershop Holdings AG 2,007 775,738 Julius Baer Group, Ltd. 408,945 19,155,146 Kaba Holding AG Class B 5,778 2,783,318 Kardex AG 11,478 587,978 Komax Holding AG 7,396 1,144,799 Kudelski SA 102,343 1,765,019 Kuehne + Nagel International AG 25,192 3,444,774 Kuoni Reisen Holding AG 7,152 3,158,414 LEM Holding SA 2,623 2,166,662 Liechtensteinische Landesbank AG 3,057 151,327 * LifeWatch AG 11,217 135,793 Lindt & Spruengli AG 35 2,041,841 Logitech International SA 212,966 2,888,391 Lonza Group AG 106,225 11,117,566 Luzerner Kantonalbank AG 5,024 2,067,488 * MCH Group AG 56 4,045 Metall Zug AG 186 560,882 #* Meyer Burger Technology AG 167,948 2,076,442 Micronas Semiconductor Holding AG 59,268 527,633 Mikron Holding AG 48,480 378,971 * Mobilezone Holding AG 30,492 347,060 Mobimo Holding AG 11,138 2,393,845 * Myriad Group AG 16,690 25,032 Nestle SA 1,067,180 82,476,222 # Nobel Biocare Holding AG 93,363 1,302,330 Novartis AG 215,739 18,754,730 # Novartis AG ADR 818,651 71,173,518 OC Oerlikon Corp. AG 373,605 5,951,414 * Orascom Development Holding AG 6,066 94,487 * Orell Fuessli Holding AG 435 50,325 Orior AG 6,012 388,479 Panalpina Welttransport Holding AG 12,418 1,950,062 Partners Group Holding AG 15,175 4,155,178 Phoenix Mecano AG 1,043 671,117 PSP Swiss Property AG 24,449 2,349,919 PubliGroupe AG 2,923 585,600 Rieter Holding AG 7,131 1,612,471 Roche Holding AG(7108918) 4,465 1,303,415 Roche Holding AG(7110388) 128,140 37,589,368 Romande Energie Holding SA 367 479,265 Schaffner Holding AG 474 139,084 Schindler Holding AG 7,719 1,178,230 * Schmolz + Bickenbach AG 1,100,748 1,579,259 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ------------ SWITZERLAND -- (Continued) Schweiter Technologies AG 1,743 $ 1,317,258 Schweizerische National-Versicherungs-Gesellschaft AG 25,791 1,787,339 SGS SA 2,580 6,445,092 Siegfried Holding AG 8,463 1,585,886 Sika AG 2,986 12,081,941 Sonova Holding AG 28,346 4,094,996 St Galler Kantonalbank AG 4,439 1,906,620 Straumann Holding AG 5,773 1,281,091 Sulzer AG 37,714 5,819,357 Swatch Group AG (The)(7184725) 22,619 14,544,921 Swatch Group AG (The)(7184736) 32,092 3,872,215 Swiss Life Holding AG 56,574 13,938,455 Swiss Re AG 365,604 31,968,810 Swisscom AG 10,032 6,103,259 Swisscom AG Sponsored ADR 5,100 309,366 * Swisslog Holding AG 471,656 542,230 Swissquote Group Holding SA 21,296 839,467 Syngenta AG 2,559 1,013,342 # Syngenta AG ADR 121,993 9,582,550 Tamedia AG 2,226 293,335 Tecan Group AG 6,693 837,067 Temenos Group AG 110,166 3,950,005 * Tornos Holding AG 12,446 88,412 U-Blox AG 10,864 1,330,092 UBS AG(B18YFJ4) 1,549,112 32,397,918 UBS AG(H89231338) 285,193 5,963,386 Valartis Group AG 9,003 219,880 Valiant Holding AG 20,846 2,308,031 Valora Holding AG 6,190 1,750,325 Vaudoise Assurances Holding SA Class B 1,262 576,604 Verwaltungs- und Privat-Bank AG 4,933 491,814 Vetropack Holding AG 374 720,470 #* Von Roll Holding AG 80,625 156,677 # Vontobel Holding AG 50,840 1,992,687 Walliser Kantonalbank 173 146,671 * Walter Meier AG 3,375 182,319 * WM Technologie, Ltd. 3,375 80,531 # Ypsomed Holding AG 3,145 336,358 # Zehnder Group AG 14,698 640,946 * Zueblin Immobilien Holding AG 38,248 74,728 Zug Estates Holding AG 189 254,399 Zuger Kantonalbank AG 134 724,798 Zurich Insurance Group AG 144,746 41,507,170 ------------ TOTAL SWITZERLAND 803,301,151 ------------ UNITED KINGDOM -- (17.5%) 4imprint Group P.L.C. 1,908 21,778 888 Holdings P.L.C. 270,123 670,993 A.G. Barr P.L.C. 90,278 943,294 Aberdeen Asset Management P.L.C. 1,415,689 10,471,048 Acal P.L.C. 26,297 158,717 Admiral Group P.L.C. 203,123 4,796,857 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ------------ UNITED KINGDOM -- (Continued) * Afren P.L.C. 2,505,755 $ 6,655,836 African Barrick Gold P.L.C. 176,298 739,574 * Aga Rangemaster Group P.L.C. 77,421 227,594 Aggreko P.L.C. 333,386 8,897,845 Air Partner P.L.C. 2,004 16,798 Alent P.L.C. 463,856 2,495,878 * Alizyme P.L.C. 42,517 -- Alumasc Group P.L.C. (The) 8,807 17,915 AMEC P.L.C. 560,314 11,702,256 Amlin P.L.C. 1,090,018 8,241,276 Anglo American P.L.C. 1,385,123 37,028,629 Anglo Pacific Group P.L.C. 48,683 156,742 Anglo-Eastern Plantations 8,036 96,545 Anite P.L.C. 269,961 375,143 Antofagasta P.L.C. 383,396 5,109,597 ARM Holdings P.L.C. 12,223 184,997 # ARM Holdings P.L.C. Sponsored ADR 122,079 5,557,036 # Ashmore Group P.L.C. 495,289 2,941,949 Ashtead Group P.L.C. 731,377 10,836,214 Associated British Foods P.L.C. 254,917 12,799,496 AstraZeneca P.L.C. 5,655 446,375 AstraZeneca P.L.C. Sponsored ADR 426,473 33,712,691 Aveva Group P.L.C. 29,509 1,052,145 Aviva P.L.C. 3,728,348 33,226,253 Aviva P.L.C. Sponsored ADR 20,300 363,979 Avon Rubber P.L.C. 10,350 109,608 AZ Electronic Materials SA 55,116 375,175 Babcock International Group P.L.C. 388,234 7,836,099 BAE Systems P.L.C. 2,202,239 14,899,181 Balfour Beatty P.L.C. 1,341,843 6,372,513 Bank of Georgia Holdings P.L.C. 26,511 1,166,030 Barclays P.L.C. 237,662 1,014,827 Barclays P.L.C. Sponsored ADR 2,177,140 37,250,873 Barratt Developments P.L.C. 1,974,521 12,348,973 BBA Aviation P.L.C. 836,341 4,387,765 Beazley P.L.C. 973,645 4,039,044 Bellway P.L.C. 258,645 6,298,710 Berendsen P.L.C. 377,607 6,599,039 Berkeley Group Holdings P.L.C. 210,114 8,152,774 Betfair Group P.L.C. 32,614 532,688 BG Group P.L.C. 1,868,453 37,797,509 BG Group P.L.C. Sponsored ADR 136,000 2,768,960 BHP Billiton P.L.C. 44,418 1,442,002 # BHP Billiton P.L.C. ADR 327,140 21,165,958 Bloomsbury Publishing P.L.C. 58,768 159,360 Bodycote P.L.C. 446,788 5,513,142 Booker Group P.L.C. 1,700,661 4,230,529 Boot Henry P.L.C. 54,535 200,964 Bovis Homes Group P.L.C. 275,400 3,682,904 BP P.L.C. 82,890 699,850 BP P.L.C. Sponsored ADR 2,000,170 101,248,602 Braemar Shipping Services P.L.C. 13,650 120,521 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- UNITED KINGDOM -- (Continued) Brammer P.L.C. 37,542 $ 296,828 Brewin Dolphin Holdings P.L.C. 447,399 2,440,513 British American Tobacco P.L.C. 134,043 7,740,303 # British American Tobacco P.L.C. Sponsored ADR 63,900 7,349,778 British Polythene Industries P.L.C. 30,441 324,455 British Sky Broadcasting Group P.L.C. 390,460 5,811,120 British Sky Broadcasting Group P.L.C. Sponsored ADR 24,700 1,484,717 # Britvic P.L.C. 354,587 4,342,817 BT Group P.L.C. 468,605 2,925,334 # BT Group P.L.C. Sponsored ADR 140,608 8,811,903 * BTG P.L.C. 399,154 3,589,183 Bunzl P.L.C. 262,131 7,468,569 Burberry Group P.L.C. 337,426 8,474,200 # Bwin.Party Digital Entertainment P.L.C. 1,076,346 2,317,000 Cable & Wireless Communications P.L.C. 2,794,933 2,495,940 * Cairn Energy P.L.C. 523,783 1,631,464 Cape P.L.C. 210,191 1,065,794 Capita P.L.C. 303,471 5,564,879 Capital & Counties Properties P.L.C. 218,370 1,231,800 Capital & Regional P.L.C. 398,343 309,274 Carclo P.L.C. 21,100 64,147 Carillion P.L.C. 978,458 6,120,647 Carnival P.L.C. 44,660 1,785,453 # Carnival P.L.C. ADR 152,043 6,068,036 Carr's Milling Industries P.L.C. 2,672 83,531 Castings P.L.C. 59,187 460,905 Catlin Group, Ltd. 804,777 7,187,640 * Centamin P.L.C. 1,535,032 1,677,656 # Centaur Media P.L.C. 79,311 92,132 Centrica P.L.C. 2,203,065 12,286,576 Charles Stanley Group P.L.C. 6,583 52,790 Charles Taylor P.L.C. 11,746 51,788 Chemring Group P.L.C. 348,125 1,317,577 Chesnara P.L.C. 196,664 1,092,584 Chime Communications P.L.C. 37,972 223,845 Cineworld Group P.L.C. 245,475 1,338,709 Clarkson P.L.C. 3,333 150,186 Close Brothers Group P.L.C. 271,032 6,402,114 Cobham P.L.C. 2,021,053 10,543,553 Coca-Cola HBC AG 35,574 901,534 Coca-Cola HBC AG ADR 143,627 3,617,964 * Colt Group SA 554,205 1,226,473 Communisis P.L.C. 156,412 172,260 Compass Group P.L.C. 855,980 13,634,856 Computacenter P.L.C. 150,441 1,656,192 Connect Group P.L.C. 235,609 717,370 Consort Medical P.L.C. 36,100 537,933 # Costain Group P.L.C. 24,382 110,824 Cranswick P.L.C. 83,852 1,693,481 Creston P.L.C. 18,283 35,475 Croda International P.L.C. 125,990 5,487,430 CSR P.L.C. 342,231 3,325,264 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- UNITED KINGDOM -- (Continued) Daily Mail & General Trust P.L.C. 371,534 $ 5,121,275 Dairy Crest Group P.L.C. 291,672 2,275,649 Darty P.L.C. 303,760 526,470 DCC P.L.C. 140,224 7,189,864 De La Rue P.L.C. 60,300 835,587 Debenhams P.L.C. 2,491,908 3,384,351 Dechra Pharmaceuticals P.L.C. 114,216 1,330,463 Development Securities P.L.C. 218,396 897,419 Devro P.L.C. 272,035 971,187 Diageo P.L.C. 42,081 1,289,353 # Diageo P.L.C. Sponsored ADR 93,526 11,483,122 Dignity P.L.C. 55,443 1,340,441 Diploma P.L.C. 193,441 2,158,847 Direct Line Insurance Group P.L.C. 206,778 874,790 * Dixons Retail P.L.C. 7,254,393 5,517,521 Domino Printing Sciences P.L.C. 185,106 2,424,578 Domino's Pizza Group P.L.C. 74,644 648,573 Drax Group P.L.C. 806,170 9,024,267 DS Smith P.L.C. 2,078,017 11,073,857 Dunelm Group P.L.C. 40,829 646,447 * Dyson Group P.L.C 3,999 473 E2V Technologies P.L.C. 78,426 220,874 easyJet P.L.C. 256,886 7,107,951 Electrocomponents P.L.C. 910,615 4,488,796 Elementis P.L.C. 1,099,661 5,162,241 * EnQuest P.L.C. 1,462,026 3,393,335 * Enterprise Inns P.L.C. 1,102,465 2,544,934 * Essar Energy P.L.C. 320,877 364,121 Essentra P.L.C. 308,484 4,184,287 Euromoney Institutional Investor P.L.C. 37,095 669,497 * Evraz P.L.C. 514,781 839,598 * Exillon Energy P.L.C. 53,186 127,088 Experian P.L.C. 426,662 8,203,420 F&C Asset Management P.L.C. 733,050 1,479,301 Fenner P.L.C. 374,154 2,617,769 Ferrexpo P.L.C. 372,338 918,399 Fidessa Group P.L.C. 34,216 1,296,624 * Findel P.L.C. 63,044 287,788 * Firstgroup P.L.C. 2,075,777 4,535,929 Fortune Oil P.L.C. 691,662 151,814 Fresnillo P.L.C. 187,621 2,705,488 Fuller, Smith & Turner P.L.C. 42,043 684,300 Future P.L.C. 361,156 50,352 G4S P.L.C. 2,671,043 10,664,063 Galliford Try P.L.C. 148,655 2,992,331 Games Workshop Group P.L.C. 7,668 74,125 * Gem Diamonds, Ltd. 175,063 491,176 Genus P.L.C. 81,527 1,394,206 GKN P.L.C. 2,872,285 18,672,716 GlaxoSmithKline P.L.C. 107,443 2,968,707 GlaxoSmithKline P.L.C. Sponsored ADR 418,179 23,154,571 Glencore Xstrata P.L.C. 4,179,068 22,549,267 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- UNITED KINGDOM -- (Continued) Go-Ahead Group P.L.C. 48,446 $ 1,615,635 Goodwin P.L.C. 40 2,776 Grafton Group P.L.C. 385,217 3,788,970 Greencore Group P.L.C. 986,509 4,357,168 Greene King P.L.C. 434,623 6,543,325 Greggs P.L.C. 216,744 1,960,491 * Guinness Peat Group P.L.C. 52,296 30,654 Halfords Group P.L.C. 450,816 3,382,802 Halma P.L.C. 526,507 5,002,218 Hargreaves Lansdown P.L.C. 223,485 4,424,041 Harvey Nash Group P.L.C. 28,747 58,790 Hays P.L.C. 1,985,516 5,065,445 Headlam Group P.L.C. 103,583 844,892 Helical Bar P.L.C. 191,850 1,177,153 Henderson Group P.L.C. 1,695,109 7,201,791 * Heritage Oil P.L.C. 285,734 1,525,308 Hikma Pharmaceuticals P.L.C. 239,679 6,289,619 Hill & Smith Holdings P.L.C. 131,606 1,243,126 Hilton Food Group P.L.C. 1,517 13,673 Hiscox, Ltd. 532,885 6,357,587 # Hochschild Mining P.L.C. 255,610 713,395 Hogg Robinson Group P.L.C. 124,869 156,460 Home Retail Group P.L.C. 1,870,668 6,463,739 Homeserve P.L.C. 447,550 2,553,141 * Hornby P.L.C. 20,303 27,556 Howden Joinery Group P.L.C. 1,023,196 5,633,199 HSBC Holdings P.L.C. 485,595 4,961,621 HSBC Holdings P.L.C. Sponsored ADR 1,787,953 91,757,748 Hunting P.L.C. 219,801 3,146,758 Huntsworth P.L.C. 265,818 269,505 Hyder Consulting P.L.C. 18,277 145,654 ICAP P.L.C. 1,191,073 8,343,325 IG Group Holdings P.L.C. 697,468 7,500,288 #* Imagination Technologies Group P.L.C. 15,749 52,406 IMI P.L.C. 256,262 6,499,454 Imperial Tobacco Group P.L.C. 342,695 14,809,349 # Imperial Tobacco Group P.L.C. ADR 12,922 1,126,669 Inchcape P.L.C. 882,195 9,583,461 Informa P.L.C. 1,212,268 9,899,784 Inmarsat P.L.C. 818,048 10,065,612 * Innovation Group P.L.C. 1,493,121 800,254 InterContinental Hotels Group P.L.C. 136,151 4,653,173 # InterContinental Hotels Group P.L.C. ADR 84,744 2,916,888 * International Consolidated Airlines Group SA(B5282K0) 282,178 1,930,953 * International Consolidated Airlines Group SA(B5M6XQ7) 1,489,683 10,187,979 * International Consolidated Airlines Group SA Sponsored ADR 12,200 415,898 * International Ferro Metals, Ltd. 20,587 3,248 Interserve P.L.C. 252,457 2,829,317 Intertek Group P.L.C. 135,566 6,677,856 Investec P.L.C. 986,296 8,702,841 * IP Group P.L.C. 161,888 469,746 ITE Group P.L.C. 153,728 597,844 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ---------- ----------- UNITED KINGDOM -- (Continued) ITV P.L.C. 3,035,252 $ 9,336,737 J Sainsbury P.L.C. 1,467,997 8,327,656 James Fisher & Sons P.L.C. 67,694 1,476,235 Jardine Lloyd Thompson Group P.L.C. 108,838 1,942,152 JD Sports Fashion P.L.C. 19,555 580,304 JD Wetherspoon P.L.C. 188,347 2,683,372 #* JKX Oil & Gas P.L.C. 132,334 122,015 John Menzies P.L.C. 50,387 548,429 John Wood Group P.L.C. 665,290 8,821,559 Johnson Matthey P.L.C. 263,919 14,599,992 * Johnston Press P.L.C. 1,456,828 621,725 Jupiter Fund Management P.L.C. 572,776 3,763,827 #* Kazakhmys P.L.C. 418,613 1,686,788 Kcom Group P.L.C. 627,750 998,614 Keller Group P.L.C. 136,145 2,296,913 Kentz Corp., Ltd. 108,181 1,318,149 Kier Group P.L.C. 67,871 1,907,618 Kingfisher P.L.C. 2,100,891 14,866,699 Ladbrokes P.L.C. 1,137,072 2,948,619 Laird P.L.C. 503,701 2,367,280 * Lamprell P.L.C. 475,139 1,232,129 Lancashire Holdings, Ltd. 384,921 4,551,267 Latchways P.L.C. 2,464 41,981 Laura Ashley Holdings P.L.C. 224,765 97,627 Lavendon Group P.L.C. 170,866 654,767 Legal & General Group P.L.C. 4,993,978 17,877,146 Liontrust Asset Management P.L.C. 4,633 20,486 * Lloyds Banking Group P.L.C. 23,313,762 29,729,999 #* Lloyds Banking Group P.L.C. ADR 777,341 4,018,853 London Stock Exchange Group P.L.C. 255,993 7,845,275 #* Lonmin P.L.C. 1,034,088 4,961,304 Lookers P.L.C. 310,655 733,320 Low & Bonar P.L.C. 135,064 189,719 LSL Property Services P.L.C. 14,831 100,418 Man Group P.L.C. 3,826,729 6,386,234 Management Consulting Group P.L.C. 265,588 111,485 Marks & Spencer Group P.L.C. 1,181,027 8,829,727 Marshalls P.L.C. 111,901 335,007 Marston's P.L.C. 1,238,708 3,080,002 McBride P.L.C. 279,529 464,265 Mears Group P.L.C. 99,838 846,200 Mecom Group P.L.C. 190,155 423,259 Meggitt P.L.C. 1,366,564 11,022,857 Melrose Industries P.L.C. 1,661,929 8,025,572 Michael Page International P.L.C. 288,010 2,287,617 Micro Focus International P.L.C. 125,862 1,650,610 Millennium & Copthorne Hotels P.L.C. 289,907 2,721,521 * Mitchells & Butlers P.L.C. 406,097 3,025,626 Mitie Group P.L.C. 816,414 4,397,738 MJ Gleeson Group P.L.C. 19,478 129,929 Mondi P.L.C. 581,433 9,665,686 Moneysupermarket.com Group P.L.C. 487,251 1,503,116 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- UNITED KINGDOM -- (Continued) Morgan Advanced Materials P.L.C. 546,763 $ 3,094,588 Morgan Sindall Group P.L.C. 54,591 729,786 #* Mothercare P.L.C. 132,987 420,149 N Brown Group P.L.C. 277,163 2,402,187 National Express Group P.L.C. 948,998 4,476,822 National Grid P.L.C. 14,459 205,509 # National Grid P.L.C. Sponsored ADR 167,138 11,876,825 NCC Group P.L.C. 65,521 209,100 #* New World Resources P.L.C. Class A 46,188 30,190 Next P.L.C. 74,350 8,202,429 Northgate P.L.C. 228,541 2,000,560 Novae Group P.L.C. 81,626 747,194 * Ocado Group P.L.C. 245,959 1,400,086 Old Mutual P.L.C. 4,725,443 15,972,393 * Optos P.L.C. 8,716 23,590 * Oxford Biomedica P.L.C. 264,084 9,917 Oxford Instruments P.L.C. 30,807 671,312 Pace P.L.C. 785,298 4,838,996 PayPoint P.L.C. 26,103 502,134 Pearson P.L.C. 73,757 1,383,089 # Pearson P.L.C. Sponsored ADR 611,621 11,480,126 Pendragon P.L.C. 525,892 276,154 Pennon Group P.L.C. 535,917 6,860,627 * Persimmon P.L.C. 538,273 11,945,343 * Petra Diamonds, Ltd. 210,675 581,155 Petrofac, Ltd. 306,676 7,526,572 # Petropavlovsk P.L.C. 288,430 331,970 Phoenix Group Holdings 193,634 2,232,933 Phoenix IT Group, Ltd. 33,310 62,038 Photo-Me International P.L.C. 817,692 1,863,725 Playtech P.L.C. 58,142 656,224 Premier Farnell P.L.C. 420,499 1,581,941 * Premier Foods P.L.C. 1,363,466 1,325,185 Premier Oil P.L.C. 853,159 4,885,232 Prudential P.L.C. 27,049 621,832 # Prudential P.L.C. ADR 635,609 29,358,780 * Punch Taverns P.L.C. 883,786 209,370 PV Crystalox Solar P.L.C. 60,126 22,136 PZ Cussons P.L.C. 294,346 1,722,721 QinetiQ Group P.L.C. 1,355,821 4,830,422 * Quintain Estates & Development P.L.C. 809,541 1,386,803 Randgold Resources, Ltd. 41,213 3,312,827 Rank Group P.L.C. 20,290 55,193 * Raven Russia, Ltd. 79,408 87,251 REA Holdings P.L.C. 11,361 87,523 Reckitt Benckiser Group P.L.C. 111,886 9,032,103 Redrow P.L.C. 486,755 2,355,768 Reed Elsevier P.L.C. 353,780 5,217,412 # Reed Elsevier P.L.C. Sponsored ADR 45,139 2,669,520 Regus P.L.C. 1,351,424 4,778,867 Renishaw P.L.C. 36,787 1,131,439 * Renovo Group P.L.C. 92,500 24,984 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ------------ UNITED KINGDOM -- (Continued) Rentokil Initial P.L.C. 1,678,344 $ 3,381,789 Resolution, Ltd. 2,756,911 13,908,186 Restaurant Group P.L.C. (The) 290,445 3,066,784 Rexam P.L.C. 1,597,760 13,395,497 Ricardo P.L.C. 41,691 477,377 Rightmove P.L.C. 123,175 5,018,062 Rio Tinto P.L.C. 113,242 6,156,705 # Rio Tinto P.L.C. Sponsored ADR 656,443 35,638,290 RM P.L.C. 27,965 65,425 Robert Walters P.L.C. 96,470 520,689 Rolls-Royce Holdings P.L.C. 938,225 16,665,201 Rotork P.L.C. 111,151 4,874,678 * Royal Bank of Scotland Group P.L.C. 84,053 425,850 #* Royal Bank of Scotland Group P.L.C. Sponsored ADR 548,987 5,577,708 # Royal Dutch Shell P.L.C. ADR(780259107) 1,398,074 118,346,964 Royal Dutch Shell P.L.C. ADR(780259206) 443,387 34,912,292 Royal Dutch Shell P.L.C. Class A 11,505 454,841 Royal Dutch Shell P.L.C. Class B 64,523 2,739,710 RPC Group P.L.C. 305,042 3,091,522 RPS Group P.L.C. 391,137 1,956,228 RSA Insurance Group P.L.C. 8,189,690 13,598,289 S&U P.L.C. 2,614 83,047 SABMiller P.L.C. 194,928 10,614,018 Sage Group P.L.C. (The) 1,478,332 10,663,918 * Salamander Energy P.L.C. 370,000 838,224 Savills P.L.C. 195,197 1,978,040 Schroders P.L.C.(0239581) 55,850 1,840,085 Schroders P.L.C.(0240549) 123,781 5,353,025 SDL P.L.C. 137,368 699,925 Senior P.L.C. 796,990 3,851,811 Sepura P.L.C. 12,081 27,106 Serco Group P.L.C. 328,894 1,874,601 * Severfield-Rowen P.L.C. 407,213 420,909 Severn Trent P.L.C. 206,989 6,452,156 Shanks Group P.L.C. 1,005,618 1,736,034 Shire P.L.C. 147,265 8,422,371 Shire P.L.C. ADR 28,741 4,936,267 SIG P.L.C. 1,278,341 4,142,976 * Skyepharma P.L.C. Sponsored ADR 80 320 Smith & Nephew P.L.C. 234,264 3,652,911 Smith & Nephew P.L.C. Sponsored ADR 45,931 3,579,862 Smiths Group P.L.C. 470,190 10,613,924 Soco International P.L.C. 408,442 2,985,164 Spectris P.L.C. 261,686 9,846,367 Speedy Hire P.L.C. 686,583 653,725 Spirax-Sarco Engineering P.L.C. 121,402 5,951,275 Spirent Communications P.L.C. 1,958,383 3,152,636 Spirent Communications P.L.C. ADR 25,100 161,895 Spirit Pub Co. P.L.C. 1,176,647 1,559,925 * Sportech P.L.C. 87,812 128,956 * Sports Direct International P.L.C. 186,261 2,469,756 SSE P.L.C. 458,227 11,816,072 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- UNITED KINGDOM -- (Continued) St Ives P.L.C. 67,950 $ 227,667 St James's Place P.L.C. 714,789 9,315,607 ST Modwen Properties P.L.C. 303,979 1,908,755 Stagecoach Group P.L.C. 647,736 4,061,843 Standard Chartered P.L.C. 1,074,332 23,267,064 Standard Life P.L.C. 1,997,988 12,916,976 Sthree P.L.C. 82,072 560,686 # Stobart Group, Ltd. 80,464 186,320 STV Group P.L.C. 56,141 345,381 * SuperGroup P.L.C. 47,847 1,075,565 Synergy Health P.L.C. 97,814 2,049,911 Synthomer P.L.C. 399,252 1,779,700 T Clarke P.L.C. 26,802 36,853 TalkTalk Telecom Group P.L.C. 781,833 3,788,981 Tarsus Group P.L.C. 4,986 19,018 Tate & Lyle P.L.C. 635,489 7,533,485 Taylor Wimpey P.L.C. 5,745,876 10,218,724 Ted Baker P.L.C. 17,072 533,560 Telecity Group P.L.C. 178,205 2,161,341 Telecom Plus P.L.C. 34,242 896,419 Tesco P.L.C. 5,068,750 25,110,209 * Thomas Cook Group P.L.C. 3,409,859 10,079,878 #* Thorntons P.L.C. 61,885 126,984 Topps Tiles P.L.C. 96,161 209,229 Travis Perkins P.L.C. 456,761 13,186,846 Tribal Group P.L.C. 44,362 150,322 Trifast P.L.C. 36,432 56,874 * Trinity Mirror P.L.C. 578,208 1,694,514 TT electronics P.L.C. 324,357 1,146,853 TUI Travel P.L.C. 779,341 5,637,162 Tullett Prebon P.L.C. 438,186 2,355,299 Tullow Oil P.L.C. 229,756 3,417,689 UBM P.L.C. 261,224 2,905,818 UDG Healthcare P.L.C. 343,307 2,081,386 UK Mail Group P.L.C. 12,676 124,068 Ultra Electronics Holdings P.L.C. 110,145 3,158,332 Unilever P.L.C. 64,971 2,906,351 Unilever P.L.C. Sponsored ADR 153,358 6,861,237 Unite Group P.L.C. (The) 277,907 1,984,497 United Utilities Group P.L.C. 567,597 7,634,755 # United Utilities Group P.L.C. ADR 10,818 290,247 UTV Media P.L.C. 124,840 505,614 * Vectura Group P.L.C. 515,308 1,225,963 # Vedanta Resources P.L.C. 183,060 2,931,381 * Vernalis P.L.C. 11,473 6,541 Vesuvius P.L.C. 596,184 4,205,222 Victrex P.L.C. 89,803 2,827,466 Vislink P.L.C. 11,896 9,468 Vitec Group P.L.C. (The) 22,541 234,458 Vodafone Group P.L.C. 339,571 1,289,216 Vodafone Group P.L.C. Sponsored ADR 1,234,928 46,877,857 # Volex P.L.C. 18,246 31,878 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ----------- --------------- UNITED KINGDOM -- (Continued) Vp P.L.C. 13,881 $ 150,364 Weir Group P.L.C. (The) 307,927 14,006,695 WH Smith P.L.C. 192,501 3,570,046 Whitbread P.L.C. 188,208 12,981,827 William Hill P.L.C. 1,260,604 7,553,589 Wilmington Group P.L.C. 141,363 542,649 * Wincanton P.L.C. 58,198 116,465 WM Morrison Supermarkets P.L.C. 2,871,934 9,749,259 * Wolfson Microelectronics P.L.C. 192,246 763,279 Wolseley P.L.C. 258,786 14,995,183 # Wolseley P.L.C. ADR 53,693 313,570 WPP P.L.C. 443,647 9,565,736 # WPP P.L.C. Sponsored ADR 134,635 14,531,156 WS Atkins P.L.C. 122,959 2,666,775 Xaar P.L.C. 48,462 645,610 Xchanging P.L.C. 448,427 1,206,191 # XP Power, Ltd. 4,208 116,532 --------------- TOTAL UNITED KINGDOM 2,273,230,274 --------------- UNITED STATES -- (0.0%) * Endo International P.L.C. 19,488 1,221,678 * Kofax, Ltd. 74,171 557,193 * McEwen Mining - Minera Andes Acquisition Corp. 112,338 267,508 --------------- TOTAL UNITED STATES 2,046,379 --------------- TOTAL COMMON STOCKS 11,369,053,995 --------------- PREFERRED STOCKS -- (0.1%) FRANCE -- (0.0%) * Valneva SE 9,569 7,584 --------------- GERMANY -- (0.1%) Porsche Automobil Holding SE 55,763 6,167,108 --------------- UNITED KINGDOM -- (0.0%) * McBride P.L.C. 4,751,993 8,023 * Rolls-Royce Holdings P.L.C. 125,722,150 212,269 --------------- TOTAL UNITED KINGDOM 220,292 --------------- TOTAL PREFERRED STOCKS 6,394,984 --------------- RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) #* Aquarius Platinum, Ltd. Rights 05/14/14 599,078 64,003 * Bank of Queensland, Ltd. Rights 05/09/14 67,126 -- * Centrebet International, Ltd. Litigation Rights 22,005 -- * Equity Trustees, Ltd. Rights 05/07/14 899 -- --------------- TOTAL AUSTRALIA 64,003 --------------- AUSTRIA -- (0.0%) * Intercell AG 29,444 -- --------------- FRANCE -- (0.0%) * Groupe Fnac 4 19 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ----------- --------------- FRANCE -- (Continued) * Peugeot SA Warrants 04/29/17 486,891 $ 931,498 --------------- TOTAL FRANCE 931,517 --------------- HONG KONG -- (0.0%) * Haitong International Securities Group, Ltd. Rights 05/23/14 393,096 4,563 * Sun Hung Kai Properties 04/22/16 78,253 53,495 * Sustainable Forest Holdings Rights 05/05/14 56,954 1,175 --------------- TOTAL HONG KONG 59,233 --------------- ISRAEL -- (0.0%) #* Africa Israel Investments, Ltd. Rights 05/01/14 4,863 4,188 --------------- ITALY -- (0.0%) * Seat Pagine Gialle SpA Warrants 08/31/14 1,199,818 -- --------------- PORTUGAL -- (0.0%) * Mota-Engil SGPS SA Rights 12/31/49 149,762 118,196 --------------- SINGAPORE -- (0.0%) * Falcon Energy Group, Ltd. Rights 06/18/16 57,200 1,460 --------------- SPAIN -- (0.0%) * Banco Santander SA 4,226,645 894,170 * Inmobiliaria Colonial SA 1,392 6,026 --------------- TOTAL SPAIN 900,196 --------------- SWEDEN -- (0.0%) * Rezidor Hotel Group Rights 05/21/14 118,363 54,914 --------------- UNITED KINGDOM -- (0.0%) * Babcock International Group P.L.C. Rights 05/06/14 149,321 1,008,452 --------------- TOTAL RIGHTS/WARRANTS 3,142,159 --------------- SHARES/ FACE AMOUNT (000) VALUE+ ----------- --------------- SECURITIES LENDING COLLATERAL -- (12.3%) (S)@ DFA Short Term Investment Fund 138,213,468 1,599,129,820 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $10,943,662,398) $12,977,720,958 =============== INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, 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 $ 27,349,796 $ 675,720,701 -- $ 703,070,497 Austria 633,710 59,076,385 -- 59,710,095 Belgium 12,903,368 142,163,024 -- 155,066,392 Brazil 6,373 -- -- 6,373 Canada 995,459,311 35,754 -- 995,495,065 China -- 810,990 -- 810,990 Denmark 7,667,415 168,780,139 -- 176,447,554 Finland 4,107,611 185,526,691 -- 189,634,302 France 106,636,570 817,905,988 -- 924,542,558 Germany 89,203,687 706,410,953 -- 795,614,640 Greece -- 71,924 -- 71,924 Hong Kong 634,204 295,793,080 -- 296,427,284 Ireland 14,600,045 38,715,502 -- 53,315,547 Israel 24,857,510 50,481,996 -- 75,339,506 Italy 18,924,297 308,083,981 -- 327,008,278 Japan 103,863,877 2,077,813,579 -- 2,181,677,456 Netherlands 50,534,444 259,208,191 -- 309,742,635 New Zealand 78,338 33,442,199 -- 33,520,537 Norway 13,497,244 106,022,813 -- 119,520,057 Portugal 348,577 40,926,924 -- 41,275,501 Singapore -- 154,841,578 -- 154,841,578 Spain 44,575,753 280,613,650 -- 325,189,403 Sweden 9,839,720 362,308,299 -- 372,148,019 Switzerland 111,966,697 691,334,454 -- 803,301,151 United Kingdom 691,897,766 1,581,332,508 -- 2,273,230,274 United States 1,489,186 557,193 -- 2,046,379 Preferred Stocks France -- 7,584 -- 7,584 Germany -- 6,167,108 -- 6,167,108 United Kingdom -- 220,292 -- 220,292 Rights/Warrants Australia -- 64,003 -- 64,003 Austria -- -- -- -- France -- 931,517 -- 931,517 Hong Kong -- 59,233 -- 59,233 Israel -- 4,188 -- 4,188 Italy -- -- -- -- Portugal -- 118,196 -- 118,196 Singapore -- 1,460 -- 1,460 Spain -- 900,196 -- 900,196 Sweden -- 54,914 -- 54,914 United Kingdom -- 1,008,452 -- 1,008,452 Securities Lending Collateral -- 1,599,129,820 -- 1,599,129,820 -------------- --------------- -- --------------- TOTAL $2,331,075,499 $10,646,645,459 -- $12,977,720,958 ============== =============== == =============== DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO SCHEDULE OF INVESTMENTS APRIL 30, 2014 (UNAUDITED) SHARES VALUE++ ---------- ------------ COMMON STOCKS -- (93.4%) AUSTRALIA -- (20.4%) # Abacus Property Group 2,138,752 $ 4,856,038 # ALE Property Group 1,074,756 2,886,740 # Aspen Group 713,024 891,617 # Astro Japan Property Group 324,811 1,147,815 Australian Education Trust 776,469 1,248,178 # BWP Trust 3,783,145 8,797,276 # Carindale Property Trust 99,428 529,062 # CFS Retail Property Trust Group 15,732,519 29,454,557 # Challenger Diversified Property Group 676,721 1,722,185 # Charter Hall Group 1,872,266 7,327,029 * Charter Hall Office 2,059,687 2,009 # Charter Hall Retail REIT 2,428,948 8,731,516 Cromwell Property Group 8,457,133 7,791,657 # Dexus Property Group 39,586,350 41,879,353 Federation Centres, Ltd. 10,569,645 24,535,114 Galileo Japan Trust 81,767 119,118 Generation Healthcare REIT 9,491 11,117 Goodman Group 12,869,784 59,779,493 GPT Group(6365866) 12,514,991 45,671,312 * GPT Group(B3WX9L1) 38,018,670 -- Growthpoint Properties Australia, Ltd. 332,545 751,296 # Ingenia Communities Group 3,668,928 1,691,419 Investa Office Fund 4,767,134 14,841,377 * Prime Retirement & Aged Care Property Trust 116,309 -- # Shopping Centres Australasia Property Group 5,022,541 8,111,119 Stockland 17,051,348 61,813,398 Westfield Group 15,048,469 153,558,494 Westfield Retail Trust 22,117,295 65,709,998 ------------ TOTAL AUSTRALIA 553,858,287 ------------ BELGIUM -- (1.5%) Aedifica SA 55,792 3,892,223 # Befimmo SA 129,947 9,472,522 # Cofinimmo 133,272 16,330,923 Intervest Offices & Warehouses 46,569 1,454,485 Leasinvest Real Estate SCA 12,877 1,464,217 Montea SCA 654 29,627 # Retail Estates NV 16,756 1,325,521 Warehouses De Pauw SCA 81,751 6,308,902 Wereldhave Belgium NV 11,296 1,443,650 ------------ TOTAL BELGIUM 41,722,070 ------------ CANADA -- (5.8%) # Allied Properties REIT 267,235 8,340,960 Artis REIT 495,440 7,218,810 # Boardwalk REIT 179,800 10,134,614 Brookfield Canada Office Properties 59,150 1,449,541 BTB REIT 2,567 10,891 # Calloway REIT 464,642 11,352,687 Canadian Apartment Properties REIT 427,256 8,197,795 DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO CONTINUED SHARES VALUE++ --------- ------------ CANADA -- (Continued) # Canadian REIT 273,172 $ 11,260,354 # Chartwell Retirement Residences 664,387 6,322,300 Cominar REIT 428,931 7,435,508 # Crombie REIT 263,180 3,229,571 Dundee International REIT 19,900 169,941 Dundee REIT Class A 408,363 10,760,023 # Granite REIT 184,153 7,093,599 H&R REIT 1,036,249 21,820,749 Huntingdon Capital Corp. 2,597 28,551 # InnVest REIT 367,823 1,778,625 InterRent REIT 125,890 639,759 Morguard North American Residential REIT 10,333 96,915 Morguard REIT 205,123 3,145,949 Northern Property REIT 124,929 3,189,192 # NorthWest Healthcare Properties REIT 144,545 1,321,419 # Partners REIT 104,000 424,141 Plaza Retail REIT 17,696 67,002 Pure Industrial Real Estate Trust 579,183 2,599,863 Retrocom REIT 217,731 953,523 # RioCan REIT 1,208,099 30,013,718 ------------ TOTAL CANADA 159,056,000 ------------ CHINA -- (0.2%) * RREEF China Commercial Trust 1,392,000 3,232 # Yuexiu REIT 9,640,000 4,568,759 ------------ TOTAL CHINA 4,571,991 ------------ FRANCE -- (4.4%) # Acanthe Developpement SA 193,988 131,387 Affine SA 41,782 873,153 Altarea 147 27,533 ANF Immobilier 38,332 1,286,119 Argan 7,595 168,696 Cegereal 15,742 515,115 Fonciere Des Regions 216,638 22,004,934 Gecina SA 170,260 22,917,358 ICADE 263,943 26,929,628 Klepierre 736,242 33,779,445 Mercialys SA 284,393 6,538,107 Societe de la Tour Eiffel 44,244 3,191,887 # Terreis 1,329 44,966 ------------ TOTAL FRANCE 118,408,328 ------------ GERMANY -- (0.4%) Alstria Office REIT-AG 491,393 6,781,394 # Hamborner REIT AG 325,493 3,569,328 * Prime Office AG 114,387 469,602 ------------ TOTAL GERMANY 10,820,324 ------------ GREECE -- (0.0%) Eurobank Properties Real Estate Investment Co. 96,660 1,118,030 ------------ DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO CONTINUED SHARES VALUE++ ---------- ------------ HONG KONG -- (4.1%) Champion REIT 19,292,012 $ 9,118,860 # Fortune REIT 5,508,000 4,333,500 Link REIT (The) 18,378,305 91,500,709 # Prosperity REIT 9,570,000 2,827,182 # Regal REIT 6,889,000 1,919,755 # Sunlight REIT 7,892,000 3,108,207 ------------ TOTAL HONG KONG 112,808,213 ------------ ISRAEL -- (0.2%) Alony Hetz Properties & Investments, Ltd. 479,758 3,439,859 # Reit 1, Ltd. 723,974 1,898,901 Sella Capital Real Estate, Ltd. 201,583 338,461 ------------ TOTAL ISRAEL 5,677,221 ------------ ITALY -- (0.3%) # Beni Stabili SpA 7,790,569 6,964,246 Immobiliare Grande Distribuzione 1,204,507 2,237,863 ------------ TOTAL ITALY 9,202,109 ------------ JAPAN -- (15.9%) Advance Residence Investment Corp. 9,531 21,564,256 Comforia Residential REIT, Inc. 51 360,457 Daiwa House REIT Investment Corp. 58 236,357 # Daiwa House Residential Investment Corp. 2,506 10,392,036 # Daiwa Office Investment Corp. 1,651 8,452,373 Frontier Real Estate Investment Corp. 3,541 18,373,028 Fukuoka REIT Co. 4,328 6,964,952 # Global One Real Estate Investment Corp. 1,388 4,342,822 Hankyu Reit, Inc. 719 3,864,565 # Heiwa Real Estate REIT, Inc. 5,104 4,160,393 Ichigo Real Estate Investment Corp. 4,698 2,828,020 Industrial & Infrastructure Fund Investment Corp. 1,026 8,598,121 Invincible Investment Corp. 5,808 1,018,194 # Japan Excellent, Inc. 7,793 10,349,088 Japan Hotel REIT Investment Corp. 17,717 8,149,636 # Japan Logistics Fund, Inc. 5,690 12,841,538 # Japan Prime Realty Investment Corp. 5,974 21,022,232 # Japan Real Estate Investment Corp. 9,096 48,222,766 Japan Rental Housing Investments, Inc. 7,754 4,797,086 Japan Retail Fund Investment Corp. 17,708 35,616,260 # Kenedix Office Investment Corp. 2,400 11,989,118 Kenedix Residential Investment Corp. 1,405 3,083,722 MID Reit, Inc. 1,306 2,954,954 # Mori Hills REIT Investment Corp. 8,282 11,052,041 # Mori Trust Sogo Reit, Inc. 8,135 12,209,297 # Nippon Accommodations Fund, Inc. 3,405 12,009,375 # Nippon Building Fund, Inc. 10,488 58,150,335 # Nomura Real Estate Office Fund, Inc. 2,663 11,524,505 # Nomura Real Estate Residential Fund, Inc. 1,098 6,075,190 # Orix JREIT, Inc. 13,599 17,299,637 Premier Investment Corp. 1,659 6,409,052 DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO CONTINUED SHARES VALUE++ --------- ------------ JAPAN -- (Continued) # Sekisui House SI Investment Co. 5,745 $ 5,427,759 Starts Proceed Investment Corp. 401 662,090 # Tokyu REIT, Inc. 6,423 8,206,499 Top REIT, Inc. 1,205 5,230,726 # United Urban Investment Corp. 18,210 27,483,355 ------------ TOTAL JAPAN 431,921,835 ------------ MALAYSIA -- (0.7%) Amanahraya REIT 609,800 173,713 AmFirst REIT 1,694,840 503,712 # Axis REIT 2,424,027 2,599,302 CapitaMalls Malaysia Trust 7,935,700 3,670,767 Hektar REIT 125,525 57,708 IGB REIT 4,586,100 1,629,722 KLCC Property Holdings Bhd 2,287,100 4,660,463 Quill Capita Trust 733,100 253,532 Sunway REIT 9,301,200 3,877,534 Tower REIT 434,900 190,535 YTL Hospitality REIT 2,791,500 778,273 ------------ TOTAL MALAYSIA 18,395,261 ------------ MEXICO -- (1.3%) Asesor de Activos Prisma SAPI de C.V. 27,464 35,687 # Concentradora Fibra Hotelera Mexicana S.A. de C.V. 292,942 483,880 # Fibra Uno Administracion S.A. de C.V. 9,758,445 31,991,722 # Mexico Real Estate Management S.A. de C.V. 1,518,397 2,902,686 TF Administradora Industrial S de RL de C.V. 83,547 167,889 ------------ TOTAL MEXICO 35,581,864 ------------ NETHERLANDS -- (9.3%) Corio NV 517,775 24,261,738 Eurocommercial Properties NV 286,433 13,149,996 Nieuwe Steen Investments NV 463,323 2,803,445 Unibail-Rodamco SE 708,508 191,470,269 Vastned Retail NV 154,939 7,972,643 # Wereldhave NV 167,438 14,080,055 ------------ TOTAL NETHERLANDS 253,738,146 ------------ NEW ZEALAND -- (0.7%) Argosy Property, Ltd. 4,078,311 3,236,913 # DNZ Property Fund, Ltd. 603,875 812,339 Goodman Property Trust 5,573,119 4,784,532 # Kiwi Income Property Trust 6,005,611 5,956,269 NPT, Ltd. 45,944 24,531 # Precinct Properties New Zealand, Ltd. 1,415,872 1,245,568 # Property for Industry, Ltd. 895,888 996,757 # Vital Healthcare Property Trust 1,337,250 1,545,004 ------------ TOTAL NEW ZEALAND 18,601,913 ------------ SINGAPORE -- (7.9%) # AIMS AMP Capital Industrial REIT 3,452,191 3,903,608 DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO CONTINUED SHARES VALUE++ ---------- ------------ SINGAPORE -- (Continued) Ascendas Hospitality Trust 141,000 $ 81,025 # Ascendas India Trust 2,943,000 1,797,420 Ascendas REIT 16,266,000 29,772,683 Ascott Residence Trust 6,491,400 6,222,227 # Cache Logistics Trust 5,773,000 5,303,166 # Cambridge Industrial Trust 9,454,231 5,589,421 # CapitaCommercial Trust 16,050,000 20,539,942 CapitaMall Trust 19,365,300 30,869,017 # CapitaRetail China Trust 4,424,980 5,231,903 # CDL Hospitality Trusts 5,128,000 7,355,091 # Far East Hospitality Trust 836,000 591,068 First REIT 3,640,000 3,374,434 # Frasers Centrepoint Trust 4,117,000 5,903,953 Frasers Commercial Trust 3,815,200 3,871,364 # Keppel REIT 10,912,526 10,547,800 # Lippo Malls Indonesia Retail Trust 10,413,000 3,367,784 Mapletree Commercial Trust 9,918,000 10,032,045 # Mapletree Industrial Trust 8,678,000 9,985,937 Mapletree Logistics Trust 11,707,430 10,282,321 # Parkway Life REIT 2,522,000 5,048,713 # Sabana Shari'ah Compliant Industrial REIT 2,716,000 2,221,741 Saizen REIT 1,591,600 1,137,050 Starhill Global REIT 10,703,000 6,926,097 Suntec REIT 17,180,000 23,547,892 ------------ TOTAL SINGAPORE 213,503,702 ------------ SOUTH AFRICA -- (2.9%) # Acucap Properties, Ltd. 853,990 3,847,966 Capital Property Fund 11,430,703 11,524,993 Emira Property Fund 3,664,365 5,034,261 Fountainhead Property Trust 7,183,721 5,435,952 Growthpoint Properties, Ltd. 8,720,596 20,159,101 Hyprop Investments, Ltd. 650,294 4,863,059 * Investec Property Fund, Ltd. 125,747 176,859 Rebosis Property Fund, Ltd. 771,194 851,116 Redefine Properties, Ltd. 11,637,459 11,001,133 Resilient Property Income Fund, Ltd. 1,140,818 6,249,220 SA Corporate Real Estate Fund Nominees Pty, Ltd. 11,237,560 4,411,983 Sycom Property Fund 1,085,713 2,756,841 Vividend Income Fund, Ltd. 811,175 394,843 # Vukile Property Fund, Ltd. 1,509,356 2,407,757 ------------ TOTAL SOUTH AFRICA 79,115,084 ------------ TAIWAN -- (0.5%) Cathay No. 1 REIT 9,408,000 5,444,542 Cathay No. 2 REIT 3,796,000 1,759,758 Fubon No. 1 REIT 1,049,000 492,873 Fubon No. 2 REIT 3,822,000 1,497,359 Gallop No. 1 REIT 2,511,000 1,501,742 Shin Kong No.1 REIT 4,652,000 1,964,740 ------------ TOTAL TAIWAN 12,661,014 ------------ DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO CONTINUED SHARES VALUE++ ---------- -------------- TURKEY -- (1.2%) * Akfen Gayrimenkul Yatirim Ortakligi A.S. 339,253 $ 215,801 Akmerkez Gayrimenkul Yatirim Ortakligi A.S. 110,306 899,770 Alarko Gayrimenkul Yatirim Ortakligi A.S. 50,495 496,557 #* Dogus Gayrimenkul Yatirim Ortakligi A.S. 584,195 1,385,070 Emlak Konut Gayrimenkul Yatirim Ortakligi A.S. 18,208,982 23,910,479 Is Gayrimenkul Yatirim Ortakligi A.S. 2,785,125 1,825,347 #* Nurol Gayrimenkul Yatirim Ortakligi A.S. 74,764 159,210 * Ozak Gayrimenkul Yatirim Ortakligi 115,286 112,070 * Saf Gayrimenkul Yatirim Ortakligi A.S. 1,719,173 758,944 Sinpas Gayrimenkul Yatirim Ortakligi A.S. 1,210,163 483,370 Torunlar Gayrimenkul Yatirim Ortakligi A.S. 1,345,323 2,292,489 #* Vakif Gayrimenkul Yatirim Ortakligi A.S. 294,818 1,006,240 -------------- TOTAL TURKEY 33,545,347 -------------- UNITED KINGDOM -- (15.7%) Assura Group, Ltd. 349,570 259,583 Big Yellow Group P.L.C. 924,104 8,032,565 British Land Co. P.L.C. 7,167,344 83,735,630 Derwent London P.L.C. 688,726 31,683,138 Great Portland Estates P.L.C. 2,582,483 27,381,627 Hammerson P.L.C. 5,226,737 50,443,712 Hansteen Holdings P.L.C. 4,379,322 7,625,108 Intu Properties P.L.C. 6,250,871 30,880,534 Land Securities Group P.L.C. 5,795,651 104,114,043 Londonmetric Property P.L.C. 3,984,678 9,306,768 McKay Securities P.L.C. 291,404 1,069,473 Mucklow A & J Group P.L.C. 300,164 2,283,556 Primary Health Properties P.L.C. 515,278 3,116,191 Redefine International P.L.C. 822,063 770,773 Safestore Holdings P.L.C. 1,218,107 4,737,705 Segro P.L.C. 5,504,210 32,576,737 Shaftesbury P.L.C. 1,925,660 21,530,655 Town Centre Securities P.L.C. 15,932 66,784 Workspace Group P.L.C. 798,531 7,738,868 -------------- TOTAL UNITED KINGDOM 427,353,450 -------------- TOTAL COMMON STOCKS 2,541,660,189 -------------- RIGHTS/WARRANTS -- (0.0%) SOUTH AFRICA -- (0.0%) * Resilient Property Income Fund Rights 05/16/14 74,331 34,267 -------------- SHARES/ FACE AMOUNT (000) VALUE+ ---------- -------------- SECURITIES LENDING COLLATERAL -- (6.6%) (S)@ DFA Short Term Investment Fund 15,503,469 179,375,134 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $2,383,949,446) $2,721,069,590 ============== DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, 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 -- $ 553,858,287 -- $ 553,858,287 Belgium -- 41,722,070 -- 41,722,070 Canada $159,056,000 -- -- 159,056,000 China -- 4,571,991 -- 4,571,991 France -- 118,408,328 -- 118,408,328 Germany -- 10,820,324 -- 10,820,324 Greece -- 1,118,030 -- 1,118,030 Hong Kong -- 112,808,213 -- 112,808,213 Israel -- 5,677,221 -- 5,677,221 Italy -- 9,202,109 -- 9,202,109 Japan -- 431,921,835 -- 431,921,835 Malaysia -- 18,395,261 -- 18,395,261 Mexico 35,581,864 -- -- 35,581,864 Netherlands -- 253,738,146 -- 253,738,146 New Zealand -- 18,601,913 -- 18,601,913 Singapore -- 213,503,702 -- 213,503,702 South Africa -- 79,115,084 -- 79,115,084 Taiwan -- 12,661,014 -- 12,661,014 Turkey -- 33,545,347 -- 33,545,347 United Kingdom -- 427,353,450 -- 427,353,450 Rights/Warrants South Africa -- 34,267 -- 34,267 Securities Lending Collateral -- 179,375,134 -- 179,375,134 ------------ -------------- -- -------------- TOTAL $194,637,864 $2,526,431,726 -- $2,721,069,590 ============ ============== == ============== DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO SCHEDULE OF INVESTMENTS APRIL 30, 2014 (UNAUDITED) SHARES VALUE++ ---------- ----------- COMMON STOCKS -- (89.3%) AUSTRALIA -- (4.8%) #* Aditya Birla Minerals, Ltd. 3,394,541 $ 741,079 #* AED Oil, Ltd. 992,337 -- * AJ Lucas Group, Ltd. 584,687 499,114 Amalgamated Holdings, Ltd. 1,795,855 14,683,854 Amcom Telecommunications, Ltd. 254,262 497,448 AP Eagers, Ltd. 421,401 1,980,590 #* APN News & Media, Ltd. 13,260,467 8,745,488 #* Aquarius Platinum, Ltd. 910,133 326,175 Arrium, Ltd. 25,130,963 28,007,343 * ASG Group, Ltd. 311,883 104,383 # Atlas Iron, Ltd. 16,142,601 13,690,916 # Ausdrill, Ltd. 2,131,848 1,849,547 Ausenco, Ltd. 66,477 34,335 * Austal, Ltd. 510,603 498,547 #* Australian Agricultural Co., Ltd. 10,083,640 11,998,436 # Australian Pharmaceutical Industries, Ltd. 6,609,381 3,565,590 Australian Vintage, Ltd. 29,777 9,410 Aveo Group 2,586,909 4,894,136 * AVJennings, Ltd. 40,111 21,536 * AWE, Ltd. 9,864,655 14,410,773 Beach Energy, Ltd. 23,860,593 38,185,603 #* Billabong International, Ltd. 9,560,468 4,228,362 * BlueScope Steel, Ltd. 6,779,993 40,990,398 #* Boart Longyear, Ltd. 3,242,099 862,391 * Boom Logistics, Ltd. 4,390,311 656,369 # Bradken, Ltd. 598,994 2,363,973 Breville Group, Ltd. 1,257,518 10,738,524 Brickworks, Ltd. 454,518 5,665,926 Calliden Group, Ltd. 1,458,137 515,646 * Cape Lambert Resources, Ltd. 7,444,989 692,719 * Carnarvon Petroleum, Ltd. 329,559 26,698 CDS Technologies, Ltd. 15,209 -- * Citigold Corp., Ltd. 11,406,919 424,496 #* Coal of Africa, Ltd. 926,247 64,007 #* Cockatoo Coal, Ltd. 2,898,176 93,978 * Coffey International, Ltd. 1,029,250 216,247 Collection House, Ltd. 25,620 42,799 * Cooper Energy, Ltd. 2,468,890 1,150,137 Coventry Group, Ltd. 578,498 1,375,998 # Crowe Horwath Australasia, Ltd. 3,169,818 1,089,791 # CSG, Ltd. 323,344 263,127 # CSR, Ltd. 9,522,216 32,428,962 * Deep Yellow, Ltd. 1,226,568 29,629 #* Devine, Ltd. 1,483,785 978,023 Downer EDI, Ltd. 5,154,982 24,065,072 Echo Entertainment Group, Ltd. 2,517,159 6,620,602 #* Elders, Ltd. 9,301,839 952,223 #* Emeco Holdings, Ltd. 11,367,540 2,768,791 #* Energy Resources of Australia, Ltd. 2,814,641 3,467,761 * Energy World Corp., Ltd. 156,969 41,683 #* Eservglobal, Ltd. 205,010 152,829 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE++ ---------- ----------- AUSTRALIA -- (Continued) # Evolution Mining, Ltd. 1,400,602 $ 1,117,463 Fairfax Media, Ltd. 30,848,875 28,185,802 # Fleetwood Corp., Ltd. 68,768 147,902 #* Focus Minerals, Ltd. 3,332,343 37,455 Gazal Corp., Ltd. 12,797 34,303 * Geodynamics, Ltd. 780,673 43,506 # Goodman Fielder, Ltd. 37,803,693 23,725,002 GrainCorp, Ltd. Class A 2,085,914 17,203,478 # Grange Resources, Ltd. 2,757,876 670,296 #* Gunns, Ltd. 15,479,938 -- HFA Holdings, Ltd. 153,930 143,488 * Hillgrove Resources, Ltd. 10,395,514 658,743 Hills, Ltd. 2,700,501 4,249,496 # Imdex, Ltd. 490,771 336,331 * Indophil Resources NL 1,863,584 243,081 * Infigen Energy 5,225,320 899,312 K&S Corp., Ltd. 159,942 199,580 #* Kagara, Ltd. 11,222,734 239,796 #* Kingsgate Consolidated, Ltd. 1,333,978 1,115,198 Lednium, Ltd. 438,495 -- * Lemarne Corp., Ltd. 5,585 2,309 #* Lonestar Resources, Ltd. 1,221,060 324,519 #* Macmahon Holdings, Ltd. 12,017,712 1,178,364 Macquarie Telecom Group, Ltd. 4,996 37,182 MaxiTRANS Industries, Ltd. 4,380,537 3,908,554 # McPherson's, Ltd. 1,553,082 1,688,028 * Medusa Mining, Ltd. 793,349 1,333,051 Melbourne IT, Ltd. 8,439 11,334 * MEO Australia, Ltd. 1,258,809 30,499 * Metals X, Ltd. 820,020 156,934 * Metgasco, Ltd. 646,617 52,321 # Mincor Resources NL 2,370,883 1,777,137 #* Mineral Deposits, Ltd. 701,865 1,305,633 #* Mirabela Nickel, Ltd. 3,588,940 360 #* Molopo Energy, Ltd. 1,648,921 253,487 # Mount Gibson Iron, Ltd. 12,143,631 8,293,209 #* Nexus Energy, Ltd. 22,310,822 414,535 * Northern Iron, Ltd. 115,112 20,304 NRW Holdings, Ltd. 1,149,447 1,202,499 # Nufarm, Ltd. 2,987,945 11,558,835 Oakton, Ltd. 9,304 12,554 * OM Holdings, Ltd. 323,217 100,631 * Otto Energy, Ltd. 1,354,768 109,713 OZ Minerals, Ltd. 2,460,417 8,467,641 Pacific Brands, Ltd. 25,649,033 12,076,271 #* Paladin Energy, Ltd. 12,753,197 5,186,744 * Pan Pacific Petroleum NL 453,105 44,681 PanAust, Ltd. 483,863 727,650 Panoramic Resources, Ltd. 3,985,319 2,337,871 * PaperlinX, Ltd. 9,868,101 329,974 #* Perseus Mining, Ltd. 328,525 107,556 * Petsec Energy, Ltd. 62,934 4,808 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE++ ---------- ------------ AUSTRALIA -- (Continued) #* Platinum Australia, Ltd. 1,963,690 $ 10,946 * PMP, Ltd. 6,456,626 2,558,667 Premier Investments, Ltd. 1,553,481 14,348,082 Primary Health Care, Ltd. 10,254,873 44,821,248 Prime Media Group, Ltd. 1,693,313 1,557,773 Programmed Maintenance Services, Ltd. 1,923,696 5,093,657 #* Qantas Airways, Ltd. 113,549 129,166 #* Ramelius Resources, Ltd. 2,068,208 202,341 RCR Tomlinson, Ltd. 121,556 309,545 * Regional Express Holdings, Ltd. 21,861 15,638 * Resolute Mining, Ltd. 4,293,156 2,426,691 #* Resource Generation, Ltd. 607,387 93,205 # Ridley Corp., Ltd. 8,052,689 6,322,016 * Roc Oil Co., Ltd. 1,762,175 787,037 * Saracen Mineral Holdings, Ltd. 1,649,569 507,857 Sedgman, Ltd. 23,374 9,775 Select Harvests, Ltd. 272,502 1,598,204 Service Stream, Ltd. 3,365,093 643,254 Seven Group Holdings, Ltd. 637,212 4,881,066 Seven West Media, Ltd. 5,226,090 9,080,559 Sigma Pharmaceuticals, Ltd. 13,570,604 9,158,512 #* Silver Lake Resources, Ltd. 2,743,490 1,049,844 * Sims Metal Management, Ltd. 57,360 524,597 # Southern Cross Media Group, Ltd. 10,034,456 12,016,558 #* St Barbara, Ltd. 389,470 78,287 #* Straits Resources, Ltd. 418,006 1,951 STW Communications Group, Ltd. 3,491,470 4,586,278 # Sunland Group, Ltd. 5,108,129 7,938,692 Swick Mining Services, Ltd. 440,732 104,549 #* Tap Oil, Ltd. 5,076,579 1,960,232 Tassal Group, Ltd. 1,574,040 6,073,543 #* Ten Network Holdings, Ltd. 18,058,379 4,548,793 TFS Corp., Ltd. 453,260 717,900 * Toro Energy, Ltd. 2,101,506 132,786 #* Transfield Services, Ltd. 7,167,831 6,418,616 * Transpacific Industries Group, Ltd. 16,723,581 17,391,032 # Treasury Wine Estates, Ltd. 769,187 2,739,331 #* Troy Resources, Ltd. 157,565 143,795 # UGL, Ltd. 658,344 4,140,341 * Unity Mining, Ltd. 6,935,577 103,129 UXC, Ltd. 4,632,797 3,640,053 Village Roadshow, Ltd. 3,079,379 20,217,171 #* Virgin Australia Holdings, Ltd. 53,497,722 18,412,284 Virgin Australia Holdings, Ltd. (ACI01NXR8) 39,419,376 37 Watpac, Ltd. 1,729,476 1,295,633 WDS, Ltd. 374,097 380,032 * WestSide Corp., Ltd. 3,381 1,177 #* Whitehaven Coal, Ltd. 2,908,816 3,963,828 ------------ TOTAL AUSTRALIA 653,152,592 ------------ AUSTRIA -- (0.8%) #* A-TEC Industries AG 202,339 -- DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE++ --------- ------------ AUSTRIA -- (Continued) Agrana Beteiligungs AG 90,580 $ 10,484,588 AMAG Austria Metall AG 739 25,428 Austria Technologie & Systemtechnik AG 184,449 2,153,660 # Flughafen Wien AG 201,386 19,771,642 Frauenthal Holding AG 4,402 55,781 Linz Textil Holding AG 212 140,567 # Mayr Melnhof Karton AG 50,971 6,489,754 Oberbank AG 38,337 2,656,737 POLYTEC Holding AG 33,445 336,149 Strabag SE 313,193 8,754,926 UNIQA Insurance Group AG 193,408 2,470,585 # Wienerberger AG 2,849,957 52,899,209 * Wolford AG 2,273 59,982 Zumtobel AG 26,519 551,398 ------------ TOTAL AUSTRIA 106,850,406 ------------ BELGIUM -- (0.8%) Ackermans & van Haaren NV 33,385 4,317,110 * AGFA-Gevaert NV 4,240,699 16,247,406 # Banque Nationale de Belgique 4,413 21,302,431 Barco NV 7,485 557,829 Cie d'Entreprises CFE 8,697 958,311 Cie Immobiliere de Belgique SA 45,569 2,605,625 Cie Maritime Belge SA 112,692 3,348,758 D'ieteren SA 226,806 10,492,760 * Deceuninck NV 1,268,792 4,358,301 * Euronav NV 379,478 4,592,066 * Floridienne SA 706 68,771 Gimv NV 11,403 591,167 Jensen-Group NV 38,726 751,829 # NV Bekaert SA 296,226 12,055,804 # Nyrstar NV 2,045,802 8,145,604 * Papeteries Catala SA 188 577 * RealDolmen NV/SA 19,420 550,451 Recticel SA 496,033 4,466,809 * RHJ International 178,366 872,916 * Roularta Media Group NV 26,889 479,598 * Sapec 4,163 264,346 Sioen Industries NV 108,546 1,332,428 Sipef SA 2,141 187,015 # Tessenderlo Chemie NV 448,156 13,724,445 * Viohalco SA 150,624 943,731 ------------ TOTAL BELGIUM 113,216,088 ------------ CANADA -- (8.3%) #* 5N Plus, Inc. 364,982 1,608,378 # Acadian Timber Corp. 2,826 32,487 * Advantage Oil & Gas, Ltd. 4,610,588 29,193,450 Aecon Group, Inc. 907,835 15,248,613 AGF Management, Ltd. Class B 1,073,061 11,953,903 * AgJunction, Inc. 913,927 850,514 Aimia, Inc. 994,257 16,010,799 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE++ ---------- ----------- CANADA -- (Continued) * Ainsworth Lumber Co., Ltd. 639,841 $ 2,194,975 #* Air Canada Class A 391,135 2,729,969 Akita Drilling, Ltd. Class A 10,400 166,810 Alacer Gold Corp. 1,473,096 3,521,291 #* Alexco Resource Corp. 17,104 22,471 Algoma Central Corp. 245,010 3,498,386 Alliance Grain Traders, Inc. 153,192 2,561,935 #* Altius Minerals Corp. 85,248 1,119,996 #* Alvopetro Energy, Ltd. 717,408 621,813 * Amerigo Resources, Ltd. 2,524,794 1,128,734 * Anderson Energy, Ltd. 2,721,025 570,992 Andrew Peller, Ltd. Class A 12,423 153,014 * Antrim Energy, Inc. 1,610,797 95,527 #* Argonaut Gold, Inc. 480,722 1,776,310 #* Athabasca Oil Corp. 207,381 1,540,150 * ATS Automation Tooling Systems, Inc. 1,771,184 22,946,775 # AuRico Gold, Inc. 1,594,950 6,635,621 Axia NetMedia Corp. 37,065 87,248 #* B2Gold Corp. 4,675,578 13,437,408 #* Ballard Power Systems, Inc. 1,923,695 7,020,464 #* Banro Corp. 595,453 255,338 * Bellatrix Exploration, Ltd. 1,920,585 18,679,290 #* BlackPearl Resources, Inc. 491,987 1,382,528 #* BNK Petroleum, Inc. 69,627 132,768 Boralex, Inc. Class A 653,728 7,610,574 * Calvalley Petroleums, Inc. Class A 175,110 252,428 # Canaccord Genuity Group, Inc. 1,626,325 14,051,638 * Canacol Energy, Ltd. 127,879 963,716 Canam Group, Inc. Class A 918,446 11,748,198 * Canfor Corp. 1,759,847 39,915,877 # CanWel Building Materials Group, Ltd. 43,098 103,415 # Capstone Infrastructure Corp. 1,572,654 5,811,093 * Capstone Mining Corp. 5,814,783 15,332,077 Cascades, Inc. 2,141,123 12,541,407 Cathedral Energy Services, Ltd. 22,529 87,974 CCL Industries, Inc. Class B 212,448 19,317,155 * Celestica, Inc. 4,266,945 47,339,128 Centerra Gold, Inc. 620,011 3,179,108 * Cequence Energy, Ltd. 3,573,066 9,845,043 #* China Gold International Resources Corp., Ltd. 1,272,717 3,274,542 * Chinook Energy, Inc. 200,417 351,079 Churchill Corp. Class A 135,223 1,365,739 # Clarke, Inc. 211,616 1,675,860 * Claude Resources, Inc. 713,457 117,168 # Colabor Group, Inc. 258,613 821,106 * COM DEV International, Ltd. 403,101 1,342,383 #* Connacher Oil and Gas, Ltd. 11,010,228 3,264,745 * Copper Mountain Mining Corp. 1,029,401 2,188,317 #* Corridor Resources, Inc. 138,585 281,962 Corus Entertainment, Inc. Class B 23,300 523,376 Cott Corp. 1,450,919 11,781,560 * Crew Energy, Inc. 2,200,437 24,934,472 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- CANADA -- (Continued) * Crocotta Energy, Inc. 79,900 $ 274,097 #* Delphi Energy Corp. 3,575,002 10,926,743 #* Denison Mines Corp. 5,002,185 6,845,744 * Dominion Diamond Corp. 668,647 8,400,410 Dorel Industries, Inc. Class B 842,000 30,175,412 #* DragonWave, Inc. 65,610 90,988 #* Dundee Precious Metals, Inc. 613,523 2,037,520 * Dynasty Metals & Mining, Inc. 4,528 5,577 E-L Financial Corp., Ltd. 1,362 915,114 #* Eastern Platinum, Ltd. 3,820,171 226,551 * Endeavour Mining Corp. 1,323,491 1,038,458 * Endeavour Silver Corp. 136,734 625,006 * Energy Fuels, Inc. 152,196 1,183,079 Ensign Energy Services, Inc. 203,931 3,209,534 #* Epsilon Energy, Ltd. 52,300 190,867 Equal Energy, Ltd. 365,960 1,656,094 Equitable Group, Inc. 42,766 2,349,877 * Equity Financial Holdings, Inc. 2,100 18,010 #* Essential Energy Services Trust 2,155,499 5,624,494 Exchange Income Corp. 11,061 187,403 #* EXFO, Inc. 8,639 39,016 #* Fortress Paper, Ltd. Class A 12,405 35,651 #* Fortune Bay Corp. 156,476 42,829 #* Gasfrac Energy Services, Inc. 81,989 149,608 * Genesis Land Development Corp. 12,254 45,280 # Genworth MI Canada, Inc. 218,403 7,661,690 Glacier Media, Inc. 26,100 34,052 #* GLG Life Tech Corp. 24,267 14,502 * GLV, Inc. Class A 161,845 592,125 #* Golden Star Resources, Ltd. 1,786,705 1,092,188 * Gran Tierra Energy, Inc. 968,409 6,882,812 Guardian Capital Group, Ltd. Class A 15,961 247,559 * Heroux-Devtek, Inc. 405,277 4,237,466 # HNZ Group, Inc. 4,998 102,691 # HudBay Minerals, Inc. 4,366,521 37,249,187 IAMGOLD Corp. 22,573 78,672 Indigo Books & Music, Inc. 6,242 55,811 * International Forest Products, Ltd. Class A 940,372 14,259,370 Intertape Polymer Group, Inc. 718,242 8,427,163 * Ithaca Energy, Inc. 3,542,450 9,308,203 #* Ivanhoe Energy, Inc. 244,061 122,470 #* Jaguar Mining, Inc. 1,317,566 66,116 #* Katanga Mining, Ltd. 363,169 154,075 * Kingsway Financial Services, Inc. 303,286 1,790,302 #* Kirkland Lake Gold, Inc. 366,742 1,033,924 #* Lake Shore Gold Corp. 5,483,214 4,402,380 * Laramide Resources, Ltd. 159,848 77,295 # Laurentian Bank of Canada 740,008 31,786,485 * Le Chateau, Inc. Class A 8,700 21,670 * Legacy Oil + Gas, Inc. 3,687,118 28,694,965 # Lightstream Resources, Ltd. 3,568,360 21,454,764 Linamar Corp. 667,704 33,426,320 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- CANADA -- (Continued) # Liquor Stores N.A., Ltd. 100,328 $ 1,087,447 # Long Run Exploration, Ltd. 2,023,325 10,226,927 # Magellan Aerospace Corp. 10,014 79,304 Major Drilling Group International, Inc. 193,420 1,521,172 #* Marquee Energy, Ltd. 174,950 158,022 Martinrea International, Inc. 506,717 5,103,924 #* Maxim Power Corp. 3,832 10,506 #* Mega Uranium, Ltd. 1,474,501 295,963 Melcor Developments, Ltd. 16,044 335,211 * Mercator Minerals, Ltd. 2,135,959 204,622 * MGM Energy Corp. 118,477 21,078 #* Migao Corp. 882,655 1,167,693 * Mitel Networks Corp. 263,614 2,414,744 Nevsun Resources, Ltd. 741,788 2,686,828 # New Flyer Industries, Inc. 57,172 606,121 * New Gold, Inc. 339,479 1,715,901 * New Millennium Iron Corp. 7,500 2,806 Newalta Corp. 923,756 16,940,373 #* Niko Resources, Ltd. 214,057 402,315 #* Nordion, Inc. 714,904 8,264,070 North American Energy Partners, Inc. 4,900 38,492 #* North American Palladium, Ltd. 247,616 71,729 * NuVista Energy, Ltd. 2,335,772 23,314,033 #* OceanaGold Corp. 4,919,527 12,477,793 * Orvana Minerals Corp. 58,211 33,990 * Osisko Mining Corp. 476,785 3,414,773 Pan American Silver Corp. 1,245,886 16,141,217 * Parex Resources, Inc. 99,495 994,905 * Perpetual Energy, Inc. 53,800 88,354 * Petaquilla Minerals, Ltd. 28,500 5,461 #* Petrobank Energy & Resources, Ltd. 2,486,847 1,089,080 * Phoscan Chemical Corp. 3,014,654 825,141 #* Polaris Minerals Corp. 19,500 47,147 #* Poseidon Concepts Corp. 581,697 1,396 Precision Drilling Corp. 14,400 187,218 Primary Energy Recycling Corp. 600 2,951 #* Primero Mining Corp. 2,264,940 14,320,546 Pulse Seismic, Inc. 709,863 2,370,420 # QLT, Inc. 1,077,170 6,230,790 #* Questerre Energy Corp. Class A 738,449 848,908 #* RB Energy, Inc. 238,050 149,860 Reitmans Canada, Ltd. Class A 138,077 837,747 * Richmont Mines, Inc. 13,234 17,025 * RMP Energy, Inc. 2,151,608 16,391,521 * Rock Energy, Inc. 166,861 997,162 # Rocky Mountain Dealerships, Inc. 7,957 76,880 # RONA, Inc. 3,166,544 31,924,010 #* San Gold Corp. 536,425 80,754 # Savanna Energy Services Corp. 2,271,463 18,423,709 * Scorpio Mining Corp. 65,907 15,634 Sears Canada, Inc. 8,415 123,225 SEMAFO, Inc. 41,400 154,865 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE++ ---------- -------------- CANADA -- (Continued) Sherritt International Corp. 7,620,281 $ 32,259,572 * Shore Gold, Inc. 2,606,889 558,933 #* Sierra Wireless, Inc. 846,527 18,273,645 #* Silver Standard Resources, Inc. 1,280,634 12,677,231 #* Sonde Resources Corp. 463,104 211,260 #* Southern Pacific Resource Corp. 156,000 45,545 # Sprott Resource Corp. 2,192,013 5,059,799 # Sprott, Inc. 1,578,971 4,681,954 # Spyglass Resources Corp. 2,404,034 3,969,985 * St Andrew Goldfields, Ltd. 764,897 226,807 #* Stornoway Diamond Corp. 208,713 171,381 Strad Energy Services, Ltd. 14,864 60,891 # Superior Plus Corp. 401,852 4,843,269 # Surge Energy, Inc. 272,799 1,724,827 #* TAG Oil, Ltd. 102,241 297,567 * Taseko Mines, Ltd. 392,128 847,902 #* Tembec, Inc. 545,653 1,204,763 #* Teranga Gold Corp.(B4L8QT1) 832,294 575,280 #* Teranga Gold Corp.(B5TDK82) 912,323 599,309 #* Tethys Petroleum, Ltd. 313,719 143,113 #* Thompson Creek Metals Co., Inc. 4,407,549 11,822,630 #* Timmins Gold Corp. 132,073 185,569 * TLC Vision Corp. 829,259 -- TMX Group, Ltd. 300 15,804 TORC Oil & Gas, Ltd. 491,047 5,994,443 # Torstar Corp. Class B 565,745 3,370,571 * Tourmaline Oil Corp. 68,679 3,555,986 Transcontinental, Inc. Class A 1,629,923 23,748,798 * TransGlobe Energy Corp. 124,872 972,955 Trinidad Drilling, Ltd. 2,991,070 33,456,976 * Tuscany International Drilling, Inc. 155,582 -- # Twin Butte Energy, Ltd. 47,300 101,846 #* Uex Corp. 569,815 226,148 Uni-Select, Inc. 21,518 589,558 * US Silver & Gold, Inc. 5,500 2,660 Valener, Inc. 228,820 3,258,866 * Wesdome Gold Mines, Ltd. 23,000 17,417 West Fraser Timber Co., Ltd. 1,144,822 51,180,401 Western Energy Services Corp. 323,469 3,323,079 Westjet Airlines, Ltd. 77,543 1,765,862 Whistler Blackcomb Holdings, Inc. 39,397 589,490 # Whitecap Resources, Inc. 19,097 251,943 * Xtreme Drilling and Coil Services Corp. 200,304 915,581 * Yellow Media, Ltd. 4,760 99,929 # Zargon Oil & Gas, Ltd. 76,563 674,785 -------------- TOTAL CANADA 1,136,262,809 -------------- CHINA -- (0.1%) * Hanfeng Evergreen, Inc. 707,267 445,248 * Superb Summit International Group, Ltd. 52,075,000 6,925,872 -------------- TOTAL CHINA 7,371,120 -------------- DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE++ --------- ------------ DENMARK -- (1.8%) * Alm Brand A.S. 2,279,674 $ 11,072,700 * Auriga Industries A.S. Class B 7,773 287,876 BankNordik P/F 616 13,433 Brodrene Hartmann A.S. 49,034 1,740,373 D/S Norden A.S. 659,664 26,384,814 Dfds A.S. 97,717 7,726,852 Djurslands Bank A.S. 6,785 251,651 East Asiatic Co., Ltd. A.S. 122,518 1,628,799 GPV Industri A.S. Series B 6,000 -- #* Greentech Energy Systems A.S. 17,296 39,238 * H+H International A.S. Class B 58,677 509,358 Harboes Bryggeri A.S. Class B 20,575 357,734 * Jyske Bank A.S. 208,681 11,473,253 Lan & Spar Bank 5,706 391,292 NKT Holding A.S. 24,685 1,557,403 Nordjyske Bank A.S. 13,580 293,469 Norresundby Bank A.S. 5,455 269,154 * Parken Sport & Entertainment A.S. 1,495 19,869 PER Aarsleff A.S. Class B 40,267 7,300,443 Schouw & Co. 309,653 17,284,836 Spar Nord Bank A.S. 511,391 5,757,276 * Sydbank A.S. 341,971 9,121,014 * TK Development A.S. 1,047,298 1,803,635 * TopoTarget A.S. 238,856 159,748 * Topsil Semiconductor Matls 491,072 65,735 #* Torm A.S. 867,179 219,701 * Vestas Wind Systems A.S. 3,314,030 147,179,632 #* Vestjysk Bank A.S. 135,239 226,346 ------------ TOTAL DENMARK 253,135,634 ------------ FINLAND -- (2.1%) Afarak Group Oyj 996 524 # Ahlstrom Oyj 50,307 536,088 # Aktia Bank Oyj 47,750 597,993 Amer Sports Oyj 112,446 2,324,897 Apetit Oyj 64,219 1,720,208 Aspo Oyj 3,039 25,193 Atria P.L.C. 129,160 1,275,270 Bank of Aland P.L.C. Class A 5,030 76,684 # Cargotec Oyj 107,060 4,785,864 Cramo Oyj 204,757 4,575,081 Digia P.L.C. 27,963 157,473 * Efore Oyj 54,004 53,228 * Finnair Oyj 1,281,521 5,347,115 * Finnlines Oyj 614,000 6,657,513 Fiskars Oyj Abp 90,926 2,467,117 Glaston Oyj Abp 32,935 17,379 # HKScan Oyj Class A 414,517 2,199,215 Huhtamaki Oyj 1,803,288 47,415,958 # Kemira Oyj 1,958,402 29,935,819 Kesko Oyj Class A 5,741 229,327 Kesko Oyj Class B 678,062 27,754,870 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE++ ----------- ------------ FINLAND -- (Continued) * Lemminkainen Oyj 88,042 $ 1,705,838 Metsa Board Oyj 4,530,939 21,209,790 # Munksjo Oyj 27,842 225,200 # Neste Oil Oyj 1,818,033 37,389,167 Okmetic Oyj 297,467 1,904,073 * Oriola-KD Oyj Class A 2,365 7,905 * Oriola-KD Oyj Class B 615,698 2,041,219 #* Outokumpu Oyj 127,456,900 38,997,480 Raisio P.L.C. Class V 1,404,262 9,184,893 * Rautaruukki Oyj 2,004,369 24,970,721 Saga Furs Oyj 18,354 724,246 # Sanoma Oyj 1,309,120 8,815,155 Sievi Capital P.L.C. 11,900 23,751 SRV Group P.L.C. 4,046 21,408 # Stockmann Oyj Abp 52,830 750,290 * Talvivaara Mining Co. P.L.C. 21,385 2,509 Tikkurila Oyj 227,083 5,635,788 Viking Line Abp 16,240 376,144 ------------ TOTAL FINLAND 292,138,393 ------------ FRANCE -- (3.9%) Actia Group 3,889 29,650 #* Air France-KLM 3,419,028 49,186,239 #* Alcatel-Lucent 4,729,386 18,755,427 Altamir 68,975 1,045,103 April 7,583 181,261 Aubay 68,462 1,111,025 * Audika Groupe 390 7,154 * Bigben Interactive 7,602 78,895 Bonduelle SCA 186,074 5,396,676 Bongrain SA 139,659 12,211,377 Bourbon SA 147,955 4,882,319 * Boursorama 162,370 2,719,898 Burelle SA 11,385 12,256,879 * Cegedim SA 21,267 780,422 Cegid Group 51,309 2,149,544 #* CGG SA 865,937 14,982,261 #* Chargeurs SA 100,534 786,253 * Cie des Alpes 55,072 1,236,452 Ciments Francais SA 58,495 6,290,578 * Club Mediterranee SA 401,470 10,467,228 Derichebourg SA 561,266 2,188,120 # Devoteam SA 7,268 185,293 # Eramet 9,184 1,197,951 Esso SA Francaise 35,995 1,972,440 Faiveley Transport SA 1,127 92,834 # Fleury Michon SA 17,597 1,514,041 Gaumont SA 22,166 1,222,617 Gevelot SA 4,329 624,008 GL Events 31,148 784,556 Groupe Crit 5,037 335,990 Groupe Flo 50,246 227,551 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- FRANCE -- (Continued) * Groupe Fnac 58,606 $ 2,802,959 Groupe Open 863 12,452 Groupe Steria SCA 576,567 16,239,726 Guerbet 46,140 2,189,746 Havas SA 5,003,559 39,824,373 #* Hi-Media SA 472,395 1,370,791 * Immobiliere Hoteliere SA 27,700 -- Jacquet Metal Service 229,009 4,909,536 Korian-Medica 76,313 2,864,486 Lagardere SCA 456,344 19,125,618 Lanson-BCC 303 17,775 * Le Noble Age 1,305 30,818 LISI 50,893 8,254,427 Manitou BF SA 5,976 113,058 Manutan International 24,485 1,864,637 Mersen 179,229 5,738,982 MGI Coutier 10,254 1,984,588 Montupet 153,485 12,704,377 Mr Bricolage 114,065 2,276,108 # Nexans SA 580,149 32,663,351 Nexity SA 508,938 22,829,706 * NRJ Group 8,556 105,741 #* Orco Property Group 133,988 115,641 # Paris Orleans SA 269 6,689 * Parrot SA 4,729 144,637 #* Peugeot SA 2,302,997 40,746,812 #* Pierre & Vacances SA 101,743 4,289,752 Plastic Omnium SA 936,208 31,854,796 PSB Industries SA 14,426 850,663 Rallye SA 498,438 25,352,167 #* Recylex SA 88,353 332,329 Robertet SA 409 94,234 Saft Groupe SA 17,930 637,655 Samse SA 243 31,248 Seche Environnement SA 24,883 1,097,222 Securidev SA 16,908 983,171 #* Sequana SA 247,977 1,829,857 Societe des Bains de Mer et du Cercle des Etrangers a Monaco 70,232 3,937,105 # Societe Television Francaise 1 37,037 630,666 #* SOITEC 3,532,844 10,672,154 #* Spir Communication SA 26,393 518,479 #* Ste Industrielle d'Aviation Latecoere SA 157,962 2,918,601 Sword Group 53,014 1,392,112 * Technicolor SA 773,473 5,783,001 Teleperformance 588,082 33,727,876 TFF Group 5,276 424,455 * Theolia SA 1,162,773 1,966,356 Total Gabon 441 268,693 Touax SA 6,140 169,505 * Trigano SA 171,116 4,740,855 * UBISOFT Entertainment 1,026,651 19,159,061 * Valneva SE 18,863 159,571 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE++ --------- ------------ FRANCE -- (Continued) Vicat 26,316 $ 2,283,805 # Vilmorin & Cie SA 12,585 1,661,290 Vranken-Pommery Monopole SA 89,380 3,154,058 ------------ TOTAL FRANCE 534,757,813 ------------ GERMANY -- (4.9%) #* AAP Implantate AG 14,247 60,884 * Aareal Bank AG 1,133,243 51,511,183 #* ADVA Optical Networking SE 217,766 976,981 #* Air Berlin P.L.C. 145,784 351,098 # Allgeier SE 23,056 552,127 Analytik Jena AG 114,784 2,274,842 * AS Creation Tapeten 22,155 1,006,467 Aurubis AG 1,045,010 55,829,083 # Balda AG 642,720 2,994,303 # Bauer AG 201,880 5,244,718 # BayWa AG 59,597 3,380,704 Bechtle AG 61,508 5,473,428 # Bilfinger SE 536,449 63,958,308 # Biotest AG 48,894 6,032,460 Borussia Dortmund GmbH & Co. KGaA 208,038 1,084,943 CAT Oil AG 12,918 271,030 Celesio AG 795,201 27,636,693 CENTROTEC Sustainable AG 11,651 298,222 # Comdirect Bank AG 216,031 2,490,361 * Constantin Medien AG 2,007 4,146 # CropEnergies AG 72,886 478,116 # DAB Bank AG 14,585 78,970 Data Modul AG 21,919 597,541 # DEAG Deutsche Entertainment AG 180,940 1,427,528 * Deufol SE 196,029 246,132 Deutsche Beteiligungs AG 6,406 172,593 * Deutz AG 1,372,968 11,480,743 DMG MORI SEIKI AG 1,100,194 34,668,696 Dr Hoenle AG 6,176 120,560 Draegerwerk AG & Co. KGaA 3,349 343,930 # Duerr AG 136,037 10,764,031 Eckert & Ziegler AG 44,085 1,531,946 Elmos Semiconductor AG 168,097 3,386,356 # Euromicron AG 40,297 738,713 #* First Sensor AG 7,797 116,445 Freenet AG 528,207 18,293,450 Gesco AG 1,526 158,821 GFK SE 209 10,787 # GFT Technologies AG 331,463 3,958,557 Grammer AG 273,850 15,134,163 * H&R AG 3,524 34,972 * Hansa Group AG 482 890 #* Heidelberger Druckmaschinen AG 5,333,749 16,917,161 Homag Group AG 10,371 303,025 Hornbach Baumarkt AG 1,208 50,556 Indus Holding AG 81,161 3,809,054 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- GERMANY -- (Continued) Isra Vision AG 58,096 $ 4,313,592 Jenoptik AG 960,335 16,030,058 * Joyou AG 33,176 571,965 * Kampa AG 31,214 953 * Kloeckner & Co. SE 2,633,338 39,911,179 Koenig & Bauer AG 40,393 673,661 Kontron AG 1,044,101 7,289,418 Krones AG 10,590 1,013,845 KSB AG 6,000 4,017,097 KWS Saat AG 16,688 5,964,513 # Leifheit AG 53,391 2,875,444 # Leoni AG 62,822 4,682,721 #* Manz AG 45,610 4,096,962 * Mediclin AG 845,838 5,040,534 * Medigene AG 7,994 53,426 MLP AG 57,575 391,616 * Mosaic Software AG 12,800 -- Nexus AG 191,033 2,970,323 #* Nordex SE 1,167,235 18,688,247 * Osram Licht AG 384 20,160 * Patrizia Immobilien AG 247,578 2,927,584 # PNE Wind AG 163,995 631,154 Progress-Werk Oberkirch AG 1,912 151,489 # Puma SE 686 202,660 PVA TePla AG 3,047 13,253 * QIAGEN NV 177,042 3,886,723 # Rheinmetall AG 647,831 43,158,259 RIB Software AG 5,678 88,654 * Rohwedder AG 44,910 -- SAF-Holland SA 565,795 8,465,558 # Salzgitter AG 525,501 22,321,085 #* Singulus Technologies AG 1,258,255 4,112,466 Sixt SE 295,833 11,962,030 # SKW Stahl-Metallurgie Holding AG 59,357 890,180 # SMA Solar Technology AG 87,296 3,655,378 #* Solarworld AG 8,138 360,391 * Stroeer Media AG 3,943 67,939 Surteco SE 11,085 436,671 #* Suss Microtec AG 328,534 3,192,610 # Syzygy AG 160,274 1,317,736 # TAG Immobilien AG 733,863 9,330,307 Technotrans AG 49,074 552,348 #* Tom Tailor Holding AG 22,853 444,521 # Tomorrow Focus AG 10,515 60,645 # TUI AG 3,423,151 56,999,471 UMS United Medical Systems International AG 61,225 998,354 * Vereinigte BioEnergie AG 71,199 194,220 Vossloh AG 8,372 827,479 VTG AG 81,183 1,794,642 # Wacker Chemie AG 33,217 3,904,676 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE++ ----------- ------------ GERMANY -- (Continued) Wacker Neuson SE 428,773 $ 8,151,059 ------------ TOTAL GERMANY 665,960,973 ------------ GREECE -- (0.0%) Alapis Holding Industrial and Commercial SA of Pharmaceutical Chemical Products 173,961 -- Atlantic Supermarkets SA 129,593 -- * Bank of Cyprus PCL 3,206,782 -- * Ergas SA 104,948 -- Etma Rayon SA 39,176 -- * Halcor SA 55,761 50,460 * Michaniki SA 986,718 52,019 * National Bank of Greece SA 114,060 445,912 * T Bank SA 1,210,617 -- Themeliodomi SA 140,360 -- * Tropea Holding SA 4,581 2,383 ------------ TOTAL GREECE 550,774 ------------ HONG KONG -- (2.0%) Alco Holdings, Ltd. 88,000 15,351 Allan International Holdings 10,000 2,850 # Allied Group, Ltd. 2,157,000 9,369,807 Allied Properties HK, Ltd. 40,152,372 7,058,116 * Apac Resources, Ltd. 14,000,000 303,325 APT Satellite Holdings, Ltd. 638,250 801,156 Asia Financial Holdings, Ltd. 4,238,106 1,711,987 Asia Standard Hotel Group, Ltd. 2,275,800 244,083 Asia Standard International Group, Ltd. 4,381,756 1,103,785 Associated International Hotels, Ltd. 1,683,000 4,675,229 * Bel Global Resources Holdings, Ltd. 16,756,000 -- Century City International Holdings, Ltd. 31,035,300 2,280,026 Champion Technology Holdings, Ltd. 121,067,373 2,818,313 Chen Hsong Holdings 2,048,000 613,356 Cheuk Nang Holdings, Ltd. 4,210,869 3,878,071 * Cheung Wo International Holdings, Ltd. 168,000 13,466 # Chevalier International Holdings, Ltd. 2,603,418 4,234,517 * China Billion Resources, Ltd. 64,707,136 -- #* China Daye Non-Ferrous Metals Mining, Ltd. 1,862,000 29,607 * China Energy Development Holdings, Ltd. 24,244,000 327,917 China Motor Bus Co., Ltd. 37,800 299,704 * China Renji Medical Group, Ltd. 157,788,000 674,221 China Star Entertainment, Ltd. 19,000,000 313,655 Chinney Investment, Ltd. 1,924,000 299,143 Chong Hing Bank, Ltd. 315,599 1,103,158 Chu Kong Shipping Enterprise Group Co., Ltd. 518,000 120,525 Chuang's China Investments, Ltd. 20,949,610 1,339,535 Chuang's Consortium International, Ltd. 24,971,155 3,029,089 Chun Wo Development Holdings, Ltd. 6,817,143 400,939 * Cosmos Machinery Enterprises, Ltd. 79,400 5,237 CSI Properties, Ltd. 106,625,476 3,722,646 * CST Mining Group, Ltd. 71,120,000 467,902 # Dah Sing Banking Group, Ltd. 493,088 737,024 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE++ ----------- ----------- HONG KONG -- (Continued) # Dah Sing Financial Holdings, Ltd. 1,207,756 $ 5,352,655 Dan Form Holdings Co., Ltd. 19,223,896 1,740,063 Dickson Concepts International, Ltd. 336,500 202,973 Dorsett Hospitality International, Ltd. 558,000 99,458 EcoGreen Fine Chemicals Group, Ltd. 952,000 220,202 # Emperor International Holdings 33,754,333 7,541,075 # Emperor Watch & Jewellery, Ltd. 2,540,000 187,186 * EPI Holdings, Ltd. 66,346,388 1,655,898 * eSun Holdings, Ltd. 18,512,400 2,147,949 Ezcom Holdings, Ltd. 67,280 -- Far East Consortium International, Ltd. 14,980,904 5,440,084 * Fountain SET Holdings, Ltd. 17,876,000 2,148,366 * Frontier Services Group, Ltd. 3,729,609 343,417 * G-Resources Group, Ltd. 43,485,000 1,199,062 Get Nice Holdings, Ltd. 86,182,000 3,845,812 Gold Peak Industries Holding, Ltd. 7,170,907 620,639 Golden Resources Development International, Ltd. 11,811,000 639,769 * Grande Holdings, Ltd. (The) 3,082,000 30,609 Great Eagle Holdings, Ltd. 3,044,159 10,872,166 Guangnan Holdings, Ltd. 896,000 116,928 * Hao Tian Development Group, Ltd. 16,932,000 263,521 Harbour Centre Development, Ltd. 2,295,000 4,013,123 High Fashion International, Ltd. 996,000 394,489 HKR International, Ltd. 17,343,998 7,116,736 Hon Kwok Land Investment Co., Ltd. 7,798,935 2,598,342 Hong Fok Land, Ltd. 4,248,000 -- Hong Kong Ferry Holdings Co., Ltd. 1,791,000 1,755,709 * Hong Kong Television Network, Ltd. 802,000 230,190 Hongkong & Shanghai Hotels (The) 786,431 1,150,111 Hongkong Chinese, Ltd. 23,995,100 5,829,337 Hopewell Holdings, Ltd. 2,069,500 7,123,732 Hsin Chong Construction Group, Ltd. 2,610,000 360,832 Hung Hing Printing Group, Ltd. 1,053,275 166,918 * International Standard Resources Holdings, Ltd. 45,952,500 748,889 IPE Group, Ltd. 1,080,000 64,813 * IRC, Ltd. 11,786,000 1,142,612 ITC Corp., Ltd. 944,655 68,394 ITC Properties Group, Ltd. 962,009 430,328 * Jinchang Pharmaceutical Holdings, Ltd. 507,600 -- * Jinhui Holdings Co., Ltd. 1,108,000 243,279 # K Wah International Holdings, Ltd. 13,301,898 8,884,389 Kantone Holdings, Ltd. 33,383,975 444,596 Keck Seng Investments 2,936,000 2,386,019 * King Stone Energy Group, Ltd. 4,855,000 160,692 # Kingston Financial Group, Ltd. 9,293,424 1,008,163 Kowloon Development Co., Ltd. 9,589,277 11,729,727 Kwoon Chung Bus Holdings, Ltd. 150,000 44,725 * Lai Sun Development 346,092,666 8,099,371 * Lai Sun Garment International, Ltd. 40,954,960 5,775,363 Lam Soon Hong Kong, Ltd. 139,250 143,447 * Landsea Green Properties Co., Ltd. 500,000 40,809 Lerado Group Holding Co., Ltd. 204,000 26,400 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE++ ----------- ----------- HONG KONG -- (Continued) Lippo China Resources, Ltd. 15,564,000 $ 773,429 Lippo, Ltd. 4,694,500 2,520,998 # Liu Chong Hing Investment, Ltd. 3,156,000 6,063,415 Luen Thai Holdings, Ltd. 594,000 178,361 Luks Group Vietnam Holdings Co., Ltd. 1,002,642 298,715 Magnificent Estates 39,120,600 1,894,452 Man Yue Technology Holdings, Ltd. 412,000 127,063 Ming Fai International Holdings, Ltd. 338,000 32,782 * Ming Fung Jewellery Group, Ltd. 2,970,000 36,471 Miramar Hotel & Investment 1,714,000 2,119,650 * Mongolia Energy Corp., Ltd. 1,043,000 21,942 Nanyang Holdings, Ltd. 101,350 444,803 National Electronic Hldgs 5,126,408 575,307 #* Neo-Neon Holdings, Ltd. 8,239,500 1,477,631 * Neptune Group, Ltd. 46,540,000 1,257,735 New Century Group Hong Kong, Ltd. 648,000 12,431 * New Times Energy Corp., Ltd. 6,684,300 340,776 * Next Media, Ltd. 376,000 38,530 * North Asia Resources Holdings, Ltd. 6,421,400 110,776 * Orange Sky Golden Harvest Entertainment Holdings, Ltd. 625,000 41,024 Orient Overseas International, Ltd. 745,000 3,563,844 Orient Power Holdings, Ltd. 2,182,573 -- Oriental Watch Holdings 1,594,000 360,403 Pacific Andes International Holdings, Ltd. 50,561,927 2,060,009 Pacific Basin Shipping, Ltd. 3,418,000 2,007,863 Paliburg Holdings, Ltd. 11,753,041 3,749,602 * Ping Shan Tea Group, Ltd. 17,972,000 264,864 Playmates Holdings, Ltd. 3,153,700 4,274,320 Pokfulam Development Co. 268,000 408,229 Polytec Asset Holdings, Ltd. 45,099,190 6,578,899 Public Financial Holdings, Ltd. 858,444 407,051 PYI Corp., Ltd. 102,188,086 2,229,449 Regal Hotels International Holdings, Ltd. 9,200,623 5,336,885 * Richfield Group Holdings, Ltd. 304,000 8,607 Rivera Holdings, Ltd. 4,405,468 189,508 SEA Holdings, Ltd. 2,019,000 1,134,446 * Shun Ho Resources Holdings, Ltd. 114,000 23,644 Shun Tak Holdings, Ltd. 47,834,546 23,499,401 * Simsen International Corp., Ltd. 90,000 28,893 Sing Tao News Corp., Ltd. 334,000 45,642 Singamas Container Holdings, Ltd. 734,000 159,231 SOCAM Development, Ltd. 4,380,120 5,314,204 Soundwill Holdings, Ltd. 872,000 1,509,592 * South China China, Ltd. 10,649,216 863,805 * South China Land, Ltd. 13,991,066 238,835 Sun Hung Kai & Co., Ltd. 2,517,688 1,758,774 * Sunway International Holdings, Ltd. 26,000 824 * Symphony Holdings, Ltd. 2,902,250 209,525 # TAI Cheung Holdings 4,638,000 3,206,137 Tai Sang Land Development, Ltd. 299,741 138,353 * Talent Property Group, Ltd. 1,665,000 22,463 # Tan Chong International, Ltd. 3,984,000 1,641,711 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE++ ---------- ------------ HONG KONG -- (Continued) * Taung Gold International, Ltd. 3,750,000 $ 14,511 Tern Properties Co., Ltd. 168,000 105,040 Tian Teck Land 786,000 841,946 * Up Energy Development Group, Ltd. 1,236,000 120,322 Upbest Group, Ltd. 2,534,000 294,208 Vedan International Holdings, Ltd. 4,352,000 235,872 Victory City International Holdings, Ltd. 24,988,319 3,642,072 VST Holdings, Ltd. 422,000 107,575 Wang On Group, Ltd. 97,837,064 2,306,701 Win Hanverky Holdings, Ltd. 84,000 11,153 # Wing On Co. International, Ltd. 2,756,500 7,689,930 # Wing Tai Properties, Ltd. 1,570,749 975,016 Wong's International Hldgs 41,000 12,598 Yau Lee Holdings, Ltd. 1,409,750 305,706 YT Realty Group, Ltd. 44,000 13,954 * Yugang International, Ltd. 18,896,000 176,173 * Zhuhai Holdings Investment Group, Ltd. 13,270,000 2,232,946 ------------ TOTAL HONG KONG 277,530,134 ------------ IRELAND -- (0.4%) Aer Lingus Group P.L.C. 1,504,991 3,172,122 Anglo Irish Bank Corp. P.L.C. 708,018 -- C&C Group P.L.C. 236,209 1,405,378 Dragon Oil P.L.C. 36,521 388,570 FBD Holdings P.L.C. 43,375 1,046,562 IFG Group P.L.C. 7,990 18,983 Smurfit Kappa Group P.L.C. 2,066,589 46,038,830 ------------ TOTAL IRELAND 52,070,445 ------------ ISRAEL -- (0.7%) #* Africa Israel Investments, Ltd. 2,368,784 5,202,276 * AL-ROV Israel, Ltd. 101,663 4,298,054 Albaad Massuot Yitzhak, Ltd. 4 73 * Alon Blue Square Israel, Ltd. 167,270 627,400 * AudioCodes, Ltd. 9,886 54,054 * Azorim-Investment Development & Construction Co., Ltd. 138,177 136,136 * Bio-cell, Ltd. 32,380 230,624 #* Clal Biotechnology Industries, Ltd. 62,476 183,686 Clal Insurance Enterprises Holdings, Ltd. 324,917 6,350,620 # Delta-Galil Industries, Ltd. 65,620 2,011,213 Direct Insurance Financial Investments, Ltd. 81,801 499,033 * El Al Israel Airlines 1,640,647 348,946 * Elron Electronic Industries, Ltd. 227,875 2,240,395 * Equital, Ltd. 3,735 62,474 First International Bank Of Israel, Ltd. 569,287 9,181,787 Formula Systems 1985, Ltd. 140,526 4,256,557 * Gilat Satellite Networks, Ltd. 485,775 2,329,753 * Hadera Paper, Ltd. 6,498 324,477 Harel Insurance Investments & Financial Services, Ltd. 2,117,590 12,087,734 * Israel Discount Bank, Ltd. Class A 12,124,424 21,677,836 Israel Land Development Co., Ltd. (The) 39,194 183,648 * Jerusalem Oil Exploration 203,647 8,772,285 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE++ ---------- ------------ ISRAEL -- (Continued) Meitav DS Investments, Ltd. 10,434 $ 37,430 Menorah Mivtachim Holdings, Ltd. 208,813 2,508,308 Mivtach Shamir Holdings, Ltd. 6,438 212,374 Neto ME Holdings, Ltd. 1,339 74,779 * Oil Refineries, Ltd. 2,522,238 702,983 Ormat Industries 384,800 2,868,195 Paz Oil Co., Ltd. 226 35,312 Phoenix Holdings, Ltd. (The) 549,360 2,041,296 Scope Metals Group, Ltd. 743 9,938 * Summit Real Estate Holdings, Ltd. 10,778 41,235 #* Tower Semiconductor, Ltd. 31,287 243,477 * Union Bank of Israel 600,641 2,814,755 ------------ TOTAL ISRAEL 92,649,143 ------------ ITALY -- (3.8%) Alerion Cleanpower SpA 3,902 20,094 * Arnoldo Mondadori Editore SpA 61,329 113,475 #* Banca Carige SpA 897,957 663,779 # Banca Finnat Euramerica SpA 171,603 124,028 #* Banca Monte dei Paschi di Siena SpA 16,864,953 5,636,618 * Banca Popolare dell'Emilia Romagna SC 3,193,713 36,813,575 #* Banca Popolare dell'Etruria e del Lazio 344,368 400,660 #* Banca Popolare di Milano SCRL 77,876,899 78,757,121 # Banca Popolare di Sondrio SCRL 85,288 612,524 Banco di Desio e della Brianza SpA 61,498 278,780 * Banco Popolare SC 8,136,202 168,146,133 #* Brioschi Sviluppo Immobiliare SpA 321,080 52,744 Buzzi Unicem SpA 497,168 8,819,917 * Caltagirone Editore SpA 713,490 1,320,702 Cementir Holding SpA 2,010,356 19,154,154 * CIR-Compagnie Industriali Riunite SpA 4,602,236 7,096,111 Credito Emiliano SpA 27,288 279,734 #* Credito Valtellinese SCRL 4,827,402 11,524,755 # d'Amico International Shipping SA 146,042 133,215 Danieli & C Officine Meccaniche SpA 3,941 141,542 De'Longhi SpA 836,682 18,185,362 #* DeA Capital SpA 333,959 621,193 * Delclima 846,828 1,806,417 El.En. SpA 3,644 116,554 Elica SpA 11,560 31,281 ERG SpA 68,340 1,180,272 * Eurotech SpA 458,849 1,551,554 * Falck Renewables SpA 266,343 508,373 * Finmeccanica SpA 342,640 3,170,939 FNM SpA 367,297 335,982 * Gruppo Editoriale L'Espresso SpA 161,006 371,750 * IMMSI SpA 2,497,728 2,666,526 #* Intek Group SpA 5,359,454 3,470,170 Irce SpA 7,197 21,004 # Italcementi SpA 1,829,367 22,225,167 * Italmobiliare SpA 167,766 7,627,522 Pirelli & C. SpA 176,572 2,972,790 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE++ ---------- ------------ ITALY -- (Continued) #* Prelios SpA 651,261 $ 577,655 #* Reno de Medici SpA 1,260,297 542,729 * Retelit SpA 300,750 291,691 * Safilo Group SpA 369,452 8,437,133 * Snia SpA 271,793 -- Societa Cattolica di Assicurazioni SCRL 11,298 279,432 Societa Iniziative Autostradali e Servizi SpA 26,623 316,588 SOL SpA 73,545 615,969 Uni Land SpA 37,715 -- Unione di Banche Italiane SCPA 1,652,022 15,769,363 Unipol Gruppo Finanziario SpA 5,874,555 42,554,771 * UnipolSai SpA 12,757,315 46,941,304 Vianini Lavori SpA 344,977 2,966,639 ------------ TOTAL ITALY 526,245,791 ------------ JAPAN -- (19.0%) 77 Bank, Ltd. (The) 58,000 261,843 # A&D Co., Ltd. 73,900 315,617 Achilles Corp. 2,201,000 2,915,754 ADEKA Corp. 782,000 8,591,877 # Agro-Kanesho Co., Ltd. 36,000 246,306 # Ahresty Corp. 532,100 4,529,408 Aichi Bank, Ltd. (The) 210,400 10,263,934 Aichi Corp. 92,800 395,214 Aichi Steel Corp. 1,555,000 5,734,582 Aichi Tokei Denki Co., Ltd. 8,000 22,395 Aida Engineering, Ltd. 319,007 3,045,165 * Aigan Co., Ltd. 371,500 967,475 Airport Facilities Co., Ltd. 519,900 3,601,030 Aisan Industry Co., Ltd. 223,730 1,780,207 Aizawa Securities Co., Ltd. 63,574 351,302 Akita Bank, Ltd. (The) 4,558,000 12,676,557 Alconix Corp. 27,800 559,152 # Alpen Co., Ltd. 318,800 5,873,472 Alpha Corp. 32,600 314,743 Alpha Systems, Inc. 45,960 671,512 Alpine Electronics, Inc. 395,200 4,711,756 Alps Logistics Co., Ltd. 37,600 388,313 AOI Electronic Co., Ltd. 46,200 900,793 AOKI Holdings, Inc. 224,422 3,057,792 Aomori Bank, Ltd. (The) 824,000 2,266,305 Aoyama Trading Co., Ltd. 1,425,299 35,368,697 Arakawa Chemical Industries, Ltd. 363,700 3,063,314 Arata Corp. 27,000 86,334 Araya Industrial Co., Ltd. 1,085,000 1,745,039 Arcland Sakamoto Co., Ltd. 33,700 667,260 Arisawa Manufacturing Co., Ltd. 805,382 3,765,594 Asahi Broadcasting Corp. 42,600 249,281 # Asahi Kogyosha Co., Ltd. 508,000 1,856,452 Asahi Organic Chemicals Industry Co., Ltd. 1,654,000 3,593,633 * Asanuma Corp. 849,000 1,139,792 * Ashimori Industry Co., Ltd. 1,044,000 1,265,125 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- JAPAN -- (Continued) Asia Air Survey Co., Ltd. 37,000 $ 126,353 ASKA Pharmaceutical Co., Ltd. 535,200 4,788,400 Asunaro Aoki Construction Co., Ltd. 725,000 4,160,698 # Atsugi Co., Ltd. 5,237,000 5,800,062 Awa Bank, Ltd. (The) 528,000 2,827,357 Bando Chemical Industries, Ltd. 256,000 985,023 # Bank of Iwate, Ltd. (The) 356,300 15,823,835 Bank of Kochi, Ltd. (The) 335,000 482,559 Bank of Nagoya, Ltd. (The) 3,692,706 13,876,252 Bank of Okinawa, Ltd. (The) 143,750 6,027,101 Bank of Saga, Ltd. (The) 3,002,000 6,263,785 # Bank of the Ryukyus, Ltd. 936,200 12,392,464 Belluna Co., Ltd. 1,242,824 6,033,250 Best Denki Co., Ltd. 1,778,000 2,419,028 Bunka Shutter Co., Ltd. 243,016 1,418,310 Carlit Holdings Co., Ltd. 97,400 447,869 Cawachi, Ltd. 376,500 6,864,532 Central Glass Co., Ltd. 3,540,000 11,608,793 Central Security Patrols Co., Ltd. 34,000 345,615 #* Chiba Kogyo Bank, Ltd. (The) 289,000 1,877,418 Chino Corp. 5,000 10,586 Chiyoda Integre Co., Ltd. 26,800 369,533 Chofu Seisakusho Co., Ltd. 251,000 6,302,298 Chubu Shiryo Co., Ltd. 352,700 2,041,978 # Chudenko Corp. 579,760 8,293,707 Chuetsu Pulp & Paper Co., Ltd. 2,276,000 4,285,227 # Chugoku Marine Paints, Ltd. 652,000 4,159,206 Chukyo Bank, Ltd. (The) 1,802,000 3,067,974 # Chuo Denki Kogyo Co., Ltd. 366,400 1,168,712 # Chuo Gyorui Co., Ltd. 627,000 1,450,697 Chuo Spring Co., Ltd. 945,000 2,856,871 Cleanup Corp. 613,200 5,587,259 * CMK Corp. 1,193,100 2,970,543 # Coca-Cola East Japan Co., Ltd. 879,004 19,809,688 Cocokara fine, Inc. 2,800 79,386 Computer Engineering & Consulting, Ltd. 239,900 1,417,004 Corona Corp. 401,400 4,055,713 # Cosmo Oil Co., Ltd. 4,001,000 7,484,751 Cresco, Ltd. 35,100 353,485 # Cross Plus, Inc. 75,900 571,206 CTI Engineering Co., Ltd. 286,600 3,051,311 Dai-Dan Co., Ltd. 620,000 3,277,281 # Dai-ichi Seiko Co., Ltd. 171,000 2,174,018 Daido Kogyo Co., Ltd. 686,447 2,063,317 #* Daiei, Inc. (The) 2,724,700 7,648,729 # Daihatsu Diesel Manufacturing Co., Ltd. 138,000 907,490 # Daiho Corp. 1,735,000 6,766,340 Daiichi Jitsugyo Co., Ltd. 89,000 374,670 # Daiki Aluminium Industry Co., Ltd. 420,000 986,899 Daiko Clearing Services Corp. 53,300 278,341 # Daimaruenawin Co., Ltd. 10,600 75,399 # Dainichi Co., Ltd. 273,500 1,968,387 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- JAPAN -- (Continued) Dainichiseika Color & Chemicals Manufacturing Co., Ltd. 165,000 $ 697,345 Daisan Bank, Ltd. (The) 1,140,000 1,908,917 Daishi Bank, Ltd. (The) 4,520,932 16,328,246 # Daishinku Corp. 618,000 2,392,793 Daito Bank, Ltd. (The) 3,704,000 3,945,587 Daiwa Industries, Ltd. 296,000 1,825,726 Daiwabo Holdings Co., Ltd. 931,000 1,603,082 # DC Co., Ltd. 456,400 2,405,411 DCM Holdings Co., Ltd. 1,357,000 9,180,482 Denyo Co., Ltd. 118,800 1,770,378 # DKS Co., Ltd. 1,079,000 3,274,884 DMW Corp. 58,800 1,044,478 Doutor Nichires Holdings Co., Ltd. 42,500 761,741 # Duskin Co., Ltd. 5,800 107,215 Dydo Drinco, Inc. 41,000 1,665,923 Dynic Corp. 186,000 296,427 # EDION Corp. 2,571,700 14,986,378 # Ehime Bank, Ltd. (The) 2,634,000 5,771,007 Eidai Co., Ltd. 394,000 2,130,393 Eighteenth Bank, Ltd. (The) 3,963,000 8,852,055 Eizo Corp. 72,500 1,965,664 ESPEC Corp. 510,400 3,899,574 Excel Co., Ltd. 89,100 943,574 Faith, Inc. 50,160 493,648 Felissimo Corp. 6,800 66,914 Ferrotec Corp. 772,100 4,164,213 # FIDEA Holdings Co., Ltd. 1,005,300 1,879,463 * Fine Sinter Co., Ltd. 84,000 261,806 #* First Baking Co., Ltd. 82,000 97,781 Foster Electric Co., Ltd. 42,400 513,579 Fuji Kiko Co., Ltd. 3,000 11,812 Fuji Oil Co., Ltd. 987,100 3,057,554 Fuji Soft, Inc. 21,400 447,657 Fujicco Co., Ltd. 319,600 3,735,993 Fujikura Kasei Co., Ltd. 276,400 1,510,620 # Fujikura Rubber, Ltd. 43,100 373,387 Fujikura, Ltd. 9,669,000 41,634,427 Fujimi, Inc. 13,700 158,419 Fujishoji Co., Ltd. 32,300 349,515 Fujitsu Frontech, Ltd. 392,600 4,379,368 FuKoKu Co., Ltd. 74,700 679,331 Fukuda Corp. 518,000 2,405,467 Fukui Bank, Ltd. (The) 1,274,000 3,024,193 Fukushima Bank, Ltd. (The) 767,000 630,610 # Fukuyama Transporting Co., Ltd. 2,107,000 12,330,547 * Funai Electric Co., Ltd. 4,300 46,176 Furuno Electric Co., Ltd. 91,900 620,126 Furusato Industries, Ltd. 80,000 814,362 Fuso Chemical Co., Ltd. 1,600 43,350 Futaba Corp. 850,800 13,371,626 Futaba Industrial Co., Ltd. 350,800 1,571,498 G-Tekt Corp. 64,000 716,357 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- JAPAN -- (Continued) # Gakken Holdings Co., Ltd. 930,000 $ 2,521,554 Gecoss Corp. 388,200 3,638,036 Geo Holdings Corp. 19,600 179,574 Godo Steel, Ltd. 3,930,000 5,533,788 Goldcrest Co., Ltd. 425,850 8,914,741 # Gourmet Kineya Co., Ltd. 58,000 419,308 Grandy House Corp. 3,200 10,011 # GSI Creos Corp. 1,196,000 1,593,795 # Gun-Ei Chemical Industry Co., Ltd. 1,212,000 4,375,337 Gunze, Ltd. 5,180,000 14,144,850 H-One Co., Ltd. 84,300 653,173 H2O Retailing Corp. 655,000 4,942,983 # Hagihara Industries, Inc. 9,600 127,079 Hakuto Co., Ltd. 363,800 3,358,671 Hamakyorex Co., Ltd. 3,700 102,481 Hanwa Co., Ltd. 1,533,000 5,995,940 Happinet Corp. 19,100 193,899 Harima Chemicals Group, Inc. 399,200 1,717,739 Haruyama Trading Co., Ltd. 279,600 1,956,242 Heiwa Real Estate Co., Ltd. 447,900 7,031,640 Heiwado Co., Ltd. 319,424 4,521,889 HI-LEX Corp. 5,700 140,943 # Hibiya Engineering, Ltd. 711,000 9,168,523 Higashi-Nippon Bank, Ltd. (The) 3,083,000 7,731,728 Higo Bank, Ltd. (The) 2,815,000 14,468,618 Hisaka Works, Ltd. 101,000 896,719 Hitachi Metals Techno, Ltd. 44,100 531,442 Hitachi Zosen Corp. 14,519 71,239 # Hodogaya Chemical Co., Ltd. 844,000 1,658,391 # Hokkaido Coca-Cola Bottling Co., Ltd. 466,000 2,301,204 Hokkan Holdings, Ltd. 1,001,000 2,608,441 Hokko Chemical Industry Co., Ltd. 429,000 1,447,879 Hokkoku Bank, Ltd. (The) 4,525,159 15,152,884 Hokuetsu Bank, Ltd. (The) 3,579,000 7,320,594 # Hokuetsu Kishu Paper Co., Ltd. 3,546,774 16,868,465 Hokuriku Electrical Construction Co., Ltd. 209,000 918,645 # Honeys Co., Ltd. 58,700 549,557 # Hosiden Corp. 1,428,300 6,497,637 House Foods Group, Inc. 38,400 638,984 Howa Machinery, Ltd. 23,100 164,022 # Hurxley Corp. 18,600 136,281 Hyakugo Bank, Ltd. (The) 4,311,855 16,706,641 Hyakujushi Bank, Ltd. (The) 2,913,000 9,757,413 Ichikawa Co., Ltd. 205,000 555,993 * Ichikoh Industries, Ltd. 43,000 57,465 Ihara Chemical Industry Co., Ltd. 827,900 6,469,752 * IJT Technology Holdings Co., Ltd. 218,460 891,609 #* Ikegami Tsushinki Co., Ltd. 227,000 224,335 # Imasen Electric Industrial 202,599 2,540,945 Inaba Seisakusho Co., Ltd. 108,700 1,371,679 Inabata & Co., Ltd. 1,276,300 12,011,000 Ines Corp. 1,161,300 7,630,219 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- JAPAN -- (Continued) Information Services International-Dentsu, Ltd. 81,200 $ 1,015,745 Innotech Corp. 374,600 1,590,763 # Inui Steamship Co., Ltd. 743,100 2,286,912 Ise Chemical Corp. 4,000 26,750 * Ishihara Sangyo Kaisha, Ltd. 3,257,000 3,098,249 # Ishizuka Glass Co., Ltd. 670,000 1,299,122 IT Holdings Corp. 629,700 9,761,604 Itochu Enex Co., Ltd. 915,800 5,142,019 Itochu-Shokuhin Co., Ltd. 16,200 545,619 Itoham Foods, Inc. 1,793,369 8,127,982 Itoki Corp. 650,447 4,883,939 # Iwai Cosmo Holdings, Inc. 154,800 1,507,795 Iwaki & Co., Ltd. 814,000 1,586,309 # Iwasaki Electric Co., Ltd. 961,000 2,323,900 Iwatsu Electric Co., Ltd. 2,258,000 1,987,461 Iwatsuka Confectionery Co., Ltd. 100 5,474 Izumiya Co., Ltd. 1,756,000 8,330,639 * Izutsuya Co., Ltd. 440,000 302,030 # J-Oil Mills, Inc. 1,443,000 3,857,828 * Japan Asia Group, Ltd. 26,500 126,632 # Japan Digital Laboratory Co., Ltd. 597,100 8,699,671 # Japan Foundation Engineering Co., Ltd. 523,700 1,703,650 # Japan Medical Dynamic Marketing, Inc. 447,400 1,281,450 Japan Oil Transportation Co., Ltd. 576,000 1,280,421 Japan Pulp & Paper Co., Ltd. 1,519,000 5,174,064 Japan Transcity Corp. 1,011,000 3,078,293 Japan Vilene Co., Ltd. 30,000 165,280 Japan Wool Textile Co., Ltd. (The) 4,000 29,707 Jimoto Holdings, Inc. 158,500 313,638 JK Holdings Co., Ltd. 24,300 125,843 JMS Co., Ltd. 779,000 2,225,800 Joshin Denki Co., Ltd. 5,000 40,520 JSP Corp. 10,100 151,664 Juroku Bank, Ltd. (The) 3,202,000 11,185,298 #* JVC Kenwood Corp. 2,768,900 5,853,181 #* K&O Energy Group, Inc. 300,500 4,171,094 Kaga Electronics Co., Ltd. 278,200 3,331,490 Kagoshima Bank, Ltd. (The) 3,154,500 19,703,313 Kamei Corp. 785,700 5,785,567 Kanaden Corp. 476,000 3,347,795 # Kandenko Co., Ltd. 2,434,000 13,056,680 * Kanto Denka Kogyo Co., Ltd. 50,000 119,658 Katakura Chikkarin Co., Ltd. 250,000 638,766 Katakura Industries Co., Ltd. 41,800 537,406 Kato Sangyo Co., Ltd. 17,700 368,137 Kato Works Co., Ltd. 1,559,872 8,996,788 # KAWADA TECHNOLOGIES, Inc. 43,900 1,301,445 Kawasaki Kasei Chemicals, Ltd. 336,000 461,372 Kawasaki Kisen Kaisha, Ltd. 279,194 560,606 Kawasumi Laboratories, Inc. 297,900 1,778,184 Keihanshin Building Co., Ltd. 274,900 1,394,225 Keihin Co., Ltd. 24,000 34,381 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- JAPAN -- (Continued) # Keihin Corp. 245,400 $ 3,561,342 Keiyo Bank, Ltd. (The) 1,553,000 6,835,660 Keiyo Co., Ltd. 2,800 12,908 * KI Holdings Co., Ltd. 122,000 330,594 Kimura Unity Co., Ltd. 3,300 29,922 #* Kinki Sharyo Co., Ltd. (The) 429,000 1,372,419 Kita-Nippon Bank, Ltd. (The) 176,100 4,618,087 Kitagawa Iron Works Co., Ltd. 827,000 1,346,870 Kitano Construction Corp. 731,000 1,806,606 Kitazawa Sangyo Co., Ltd. 54,100 94,363 Kito Corp. 6,900 126,517 Kiyo Bank, Ltd. (The) 62,700 737,791 Koa Corp. 253,589 2,437,302 Koatsu Gas Kogyo Co., Ltd. 6,000 30,914 # Kohnan Shoji Co., Ltd. 962,100 9,739,531 Koike Sanso Kogyo Co., Ltd. 8,000 16,789 #* Kojima Co., Ltd. 698,500 2,236,740 # Kokuyo Co., Ltd. 2,007,411 15,350,905 KOMAIHALTEC, Inc. 1,206,000 3,374,219 Komatsu Seiren Co., Ltd. 780,000 3,930,770 Komatsu Wall Industry Co., Ltd. 147,900 3,172,435 Komori Corp. 1,463,200 18,610,208 # Konaka Co., Ltd. 519,849 3,652,877 Konishi Co., Ltd. 241,800 4,326,012 Krosaki Harima Corp. 788,000 1,646,104 KRS Corp. 168,400 1,666,757 KU Holdings Co., Ltd. 182,200 2,017,781 #* Kumagai Gumi Co., Ltd. 1,356,000 3,506,976 Kumiai Chemical Industry Co., Ltd. 268,519 1,825,816 # Kurabo Industries, Ltd. 6,071,000 10,341,172 Kureha Corp. 724,000 3,423,722 Kurimoto, Ltd. 715,000 1,491,517 Kuroda Electric Co., Ltd. 66,400 1,066,786 # KYB Co., Ltd. 462,000 1,881,966 Kyodo Printing Co., Ltd. 2,065,000 5,563,259 Kyoei Sangyo Co., Ltd. 335,000 576,741 # Kyoei Steel, Ltd. 447,200 7,751,892 Kyokuto Boeki Kaisha, Ltd. 468,000 921,525 Kyokuto Kaihatsu Kogyo Co., Ltd. 858,150 11,281,866 Kyosan Electric Manufacturing Co., Ltd. 473,000 1,635,992 Kyowa Leather Cloth Co., Ltd. 375,300 1,624,468 Kyudenko Corp. 1,152,000 9,933,818 # Land Business Co., Ltd. 15,000 59,815 LEC, Inc. 164,100 1,679,896 #* Lonseal Corp. 306,000 461,310 # Look, Inc. 482,000 1,251,684 Macnica, Inc. 264,500 7,842,691 Maeda Corp. 3,972,000 29,558,269 Maeda Road Construction Co., Ltd. 827,000 12,823,115 Maezawa Industries, Inc. 208,300 631,519 Maezawa Kasei Industries Co., Ltd. 227,500 2,371,602 Maezawa Kyuso Industries Co., Ltd. 153,700 2,015,018 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- JAPAN -- (Continued) Mars Engineering Corp. 1,000 $ 18,677 Marubun Corp. 449,300 2,480,116 Marudai Food Co., Ltd. 3,126,000 9,304,493 #* Maruei Department Store Co., Ltd. 324,400 445,800 # Maruetsu, Inc. (The) 136,000 452,474 # Marufuji Sheet Piling Co., Ltd. 80,000 274,277 Maruka Machinery Co., Ltd. 1,500 19,544 Maruzen Co., Ltd. 20,000 181,612 # Maruzen Showa Unyu Co., Ltd. 1,491,000 4,677,387 Matsuda Sangyo Co., Ltd. 17,400 193,394 Matsui Construction Co., Ltd. 418,700 1,777,171 # Maxvalu Tokai Co., Ltd. 63,800 838,543 # Megmilk Snow Brand Co., Ltd. 185,300 2,458,748 Meiko Electronics Co., Ltd. 179,600 1,057,575 Meisei Industrial Co., Ltd. 84,000 398,954 Meito Transportation Co., Ltd. 300 1,942 Meiwa Corp. 216,500 861,038 Meiwa Estate Co., Ltd. 396,600 1,566,137 Melco Holdings, Inc. 28,300 430,334 Mesco, Inc. 22,000 149,142 # Michinoku Bank, Ltd. (The) 2,789,000 5,873,561 Mie Bank, Ltd. (The) 1,000,000 2,153,076 Mikuni Corp. 215,000 805,124 Mimasu Semiconductor Industry Co., Ltd. 310,900 2,822,369 Minato Bank, Ltd. (The) 996,000 1,695,109 Ministop Co., Ltd. 34,100 516,443 Mirait Holdings Corp. 802,940 7,062,709 Mitani Corp. 64,800 1,459,821 Mito Securities Co., Ltd. 514,000 1,795,602 Mitsuba Corp. 220,600 3,238,474 #* Mitsubishi Kakoki Kaisha, Ltd. 179,000 271,699 #* Mitsubishi Paper Mills, Ltd. 4,383,000 3,770,592 Mitsubishi Steel Manufacturing Co., Ltd. 2,342,000 4,694,426 Mitsuboshi Belting Co., Ltd. 10,000 52,245 Mitsui Engineering & Shipbuilding Co., Ltd. 8,287,000 16,078,682 Mitsui High-Tec, Inc. 620,100 3,911,103 Mitsui Home Co., Ltd. 8,000 36,873 Mitsui Knowledge Industry Co., Ltd. 483,200 709,507 Mitsui Matsushima Co., Ltd. 1,396,000 2,023,516 Mitsui Mining & Smelting Co., Ltd. 590,000 1,462,992 Mitsui-Soko Co., Ltd. 241,000 956,168 Mitsumi Electric Co., Ltd. 2,692,900 17,255,705 Mitsumura Printing Co., Ltd. 111,000 286,552 # Mitsuuroko Group Holdings Co., Ltd. 798,600 4,348,896 Miyazaki Bank, Ltd. (The) 3,616,260 11,048,391 # Miyoshi Oil & Fat Co., Ltd. 1,187,000 1,593,132 # Mizuno Corp. 734,395 4,007,456 Morinaga Milk Industry Co., Ltd. 1,670,000 6,233,784 Morozoff, Ltd. 103,000 326,423 Mory Industries, Inc. 672,000 2,534,532 Mr Max Corp. 635,600 2,036,236 Murakami Corp. 22,000 317,847 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- JAPAN -- (Continued) Musashino Bank, Ltd. (The) 540,700 $17,326,719 # Mutoh Holdings Co., Ltd. 129,000 562,824 Nafco Co., Ltd. 27,000 401,600 # Nagano Bank, Ltd. (The) 1,747,000 3,062,780 Nagase & Co., Ltd. 339,400 4,158,699 Nakabayashi Co., Ltd. 972,000 1,910,627 * Nakayama Steel Works, Ltd. 1,986,000 1,477,801 # Namura Shipbuilding Co., Ltd. 186,200 1,402,069 Nanto Bank, Ltd. (The) 1,006,000 3,775,902 NDS Co., Ltd. 872,000 2,424,911 # NEC Capital Solutions, Ltd. 189,500 3,279,508 Neturen Co., Ltd. 536,500 3,680,816 * New Japan Chemical Co., Ltd. 36,200 75,488 Nice Holdings, Inc. 1,731,000 3,498,528 Nichia Steel Works, Ltd. 882,200 2,286,642 Nichiban Co., Ltd. 627,000 2,115,928 Nichicon Corp. 385,200 2,857,210 Nichiden Corp. 7,700 184,351 Nichiha Corp. 16,700 192,403 Nichimo Co., Ltd. 869,000 1,549,096 Nichireki Co., Ltd. 581,000 5,681,634 # Nihon Dempa Kogyo Co., Ltd. 115,300 926,517 Nihon Eslead Corp. 58,800 597,958 Nihon Kagaku Sangyo Co., Ltd. 21,000 142,220 Nihon Tokushu Toryo Co., Ltd. 82,400 458,526 Nihon Yamamura Glass Co., Ltd. 2,523,000 4,199,706 # Nikko Co., Ltd. 586,000 2,520,658 Nippo Corp. 1,059,000 16,180,986 Nippon Beet Sugar Manufacturing Co., Ltd. 3,280,000 6,171,740 # Nippon Carbon Co., Ltd. 1,133,000 1,998,508 #* Nippon Chemi-Con Corp. 1,885,000 6,025,498 * Nippon Chemical Industrial Co., Ltd. 2,525,000 3,289,216 Nippon Chutetsukan K.K. 481,000 1,035,564 # Nippon Concrete Industries Co., Ltd. 1,084,000 4,427,518 # Nippon Denko Co., Ltd. 2,321,000 6,457,376 # Nippon Densetsu Kogyo Co., Ltd. 293,000 4,348,289 Nippon Felt Co., Ltd. 73,100 317,208 Nippon Fine Chemical Co., Ltd. 216,100 1,326,528 Nippon Flour Mills Co., Ltd. 1,521,000 8,486,232 Nippon Hume Corp. 582,000 4,239,988 #* Nippon Kinzoku Co., Ltd. 636,000 803,273 Nippon Kodoshi Corp. 700 7,075 Nippon Koei Co., Ltd. 1,424,000 6,822,692 Nippon Konpo Unyu Soko Co., Ltd. 1,198,000 20,242,710 #* Nippon Koshuha Steel Co., Ltd. 350,000 312,332 Nippon Light Metal Holdings Co., Ltd. 6,443,900 9,086,380 # Nippon Paper Industries Co., Ltd. 81,900 1,496,780 Nippon Pillar Packing Co., Ltd. 289,400 2,077,465 # Nippon Piston Ring Co., Ltd. 718,000 1,254,454 # Nippon Rietec Co., Ltd. 47,000 345,079 Nippon Road Co., Ltd. (The) 2,090,000 10,639,563 Nippon Seiki Co., Ltd. 57,000 996,660 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE++ ---------- ----------- JAPAN -- (Continued) Nippon Seisen Co., Ltd. 155,000 $ 612,741 #* Nippon Sheet Glass Co., Ltd. 18,574,000 23,823,762 Nippon Signal Co., Ltd. (The) 2,100 17,413 # Nippon Soda Co., Ltd. 2,000,000 11,111,910 Nippon Steel & Sumikin Bussan Corp. 1,339,800 4,733,363 # Nippon Steel & Sumikin Texeng Co., Ltd. 827,000 3,200,617 Nippon Systemware Co., Ltd. 198,500 909,459 # Nippon Thompson Co., Ltd. 1,046,000 4,767,048 Nippon Tungsten Co., Ltd. 172,000 283,369 #* Nippon Yakin Kogyo Co., Ltd. 4,763,500 13,249,963 Nishikawa Rubber Co., Ltd. 4,800 79,155 Nishimatsu Construction Co., Ltd. 8,367,073 30,107,612 Nissei Corp. 1,300 12,284 Nissei Plastic Industrial Co., Ltd. 150,100 845,917 Nisshin Fudosan Co. 1,034,200 3,625,443 # Nisshin Oillio Group, Ltd. (The) 2,288,000 7,660,692 Nisshin Steel Co., Ltd. 335,000 3,440,584 Nisshinbo Holdings, Inc. 1,449,000 12,413,976 Nissin Corp. 665,000 1,875,124 # Nissin Electric Co., Ltd. 179,000 995,498 Nissin Sugar Co., Ltd. 127,500 2,713,047 # Nissui Pharmaceutical Co., Ltd. 180,500 1,863,602 Nittan Valve Co., Ltd. 177,800 533,028 Nittetsu Mining Co., Ltd. 1,951,000 7,282,448 Nitto FC Co., Ltd. 243,100 1,462,915 Nitto Fuji Flour Milling Co., Ltd. 370,000 1,144,730 Nitto Seiko Co., Ltd. 149,000 430,017 Nohmi Bosai, Ltd. 147,000 1,684,850 Nojima Corp. 124,500 887,556 Noritake Co., Ltd. 1,141,000 2,792,063 Noritsu Koki Co., Ltd. 518,300 3,714,329 North Pacific Bank, Ltd. 3,778,400 15,305,075 # NS United Kaiun Kaisha, Ltd. 2,386,000 5,361,524 * NTN Corp. 605,000 2,070,564 Obayashi Road Corp. 815,000 4,521,740 Oenon Holdings, Inc. 13,000 32,924 # Ogaki Kyoritsu Bank, Ltd. (The) 4,217,000 11,390,306 # Ohara, Inc. 121,500 714,165 Ohashi Technica, Inc. 1,700 13,717 OIE Sangyo Co., Ltd. 6,213 50,547 Oita Bank, Ltd. (The) 3,980,000 14,490,806 Okabe Co., Ltd. 12,200 167,751 Okamoto Industries, Inc. 14,000 46,020 # OKK Corp. 2,480,000 3,186,280 Okumura Corp. 3,082,000 14,081,021 Okura Industrial Co., Ltd. 1,155,000 3,309,976 Okuwa Co., Ltd. 214,000 1,953,463 Olympic Group Corp. 372,700 3,359,310 # Onoken Co., Ltd. 332,000 3,495,867 Onward Holdings Co., Ltd. 476,000 3,201,612 # Organo Corp. 314,000 1,494,016 Origin Electric Co., Ltd. 34,000 94,778 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- JAPAN -- (Continued) Osaka Organic Chemical Industry, Ltd. 140,700 $ 601,088 # Osaka Steel Co., Ltd. 594,600 9,400,311 # Osaki Electric Co., Ltd. 251,000 1,519,366 Otsuka Kagu, Ltd. 75,900 740,578 OUG Holdings, Inc. 28,000 57,002 Oyo Corp. 415,300 5,760,917 # Pacific Industrial Co., Ltd. 1,172,400 8,200,619 #* Pacific Metals Co., Ltd. 2,317,000 10,777,335 Paltac Corp. 380,700 4,702,593 Parco Co., Ltd. 32,600 261,071 Paris Miki Holdings, Inc. 15,300 76,139 Piolax, Inc. 280,200 9,699,091 * Pioneer Corp. 79,400 171,559 # Press Kogyo Co., Ltd. 501,000 1,837,405 #* Renesas Electronics Corp. 20,200 147,506 Rengo Co., Ltd. 1,294,000 5,782,519 #* Renown, Inc. 1,474,860 1,706,025 # Rheon Automatic Machinery Co., Ltd. 301,000 1,678,068 Rhythm Watch Co., Ltd. 3,021,000 4,466,433 # Ricoh Leasing Co., Ltd. 253,000 6,603,795 # Right On Co., Ltd. 188,700 1,336,526 Riken Corp. 47,000 192,297 Riken Keiki Co., Ltd. 158,900 1,539,626 Riken Technos Corp. 940,000 4,866,966 # Riken Vitamin Co., Ltd. 9,700 229,999 Riso Kagaku Corp. 277,182 6,837,576 Roland Corp. 206,400 2,933,879 # Round One Corp. 1,875,400 13,470,646 Ryobi, Ltd. 1,596,000 4,728,081 Ryoden Trading Co., Ltd. 858,000 5,787,829 Ryosan Co., Ltd. 790,500 16,709,030 Ryoyo Electro Corp. 778,100 9,348,315 Sakai Chemical Industry Co., Ltd. 2,362,000 6,657,460 # Sakai Heavy Industries, Ltd. 291,000 1,033,647 Sakai Moving Service Co., Ltd. 3,300 111,552 Sakata INX Corp. 42,900 378,385 Sakata Seed Corp. 23,100 322,697 Sala Corp. 240,200 1,223,545 SAMTY Co., Ltd. 22,500 151,197 San Holdings, Inc. 75,000 996,471 San-Ai Oil Co., Ltd. 1,333,000 8,872,880 San-In Godo Bank, Ltd. (The) 4,385,900 28,947,627 Sangetsu Co., Ltd. 24,500 631,292 Sanki Engineering Co., Ltd. 1,642,000 10,077,495 # Sankyo Seiko Co., Ltd. 505,700 1,746,668 Sankyo Tateyama, Inc. 500 9,896 Sanoh Industrial Co., Ltd. 275,200 1,699,023 Sanritsu Corp. 28,000 145,123 Sansha Electric Manufacturing Co., Ltd. 15,000 90,178 Sanshin Electronics Co., Ltd. 820,200 5,148,028 Sanyo Chemical Industries, Ltd. 258,000 1,580,384 Sanyo Engineering & Construction, Inc. 195,000 958,914 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- JAPAN -- (Continued) # Sanyo Industries, Ltd. 707,000 $ 1,295,868 Sanyo Shokai, Ltd. 1,070,628 2,921,447 Sanyo Special Steel Co., Ltd. 1,535,000 5,986,971 #* Sasebo Heavy Industries Co., Ltd. 1,609,000 1,797,528 Sato Shoji Corp. 179,200 1,136,225 Satori Electric Co., Ltd. 304,060 1,924,307 # Saxa Holdings, Inc. 1,310,000 1,959,466 SBS Holdings, Inc. 37,200 629,875 # Scroll Corp. 719,000 1,930,614 SEC Carbon, Ltd. 1,000 3,131 Seibu Electric Industry Co., Ltd. 322,000 1,465,551 Seika Corp. 48,000 111,867 # Seiko PMC Corp. 3,700 44,417 Seino Holdings Co., Ltd. 2,432,119 24,038,417 Seiren Co., Ltd. 1,600 13,443 Sekisui Jushi Corp. 515,800 6,867,538 Sekisui Plastics Co., Ltd. 1,319,000 3,520,762 # Senko Co., Ltd. 898,680 4,107,521 # Senshu Electric Co., Ltd. 66,000 845,653 # Senshu Ikeda Holdings, Inc. 356,200 1,635,482 # Senshukai Co., Ltd. 327,700 2,788,212 Shibaura Electronics Co., Ltd. 900 16,076 Shibaura Mechatronics Corp. 267,000 670,742 Shibusawa Warehouse Co., Ltd. (The) 143,000 474,871 # Shibuya Kogyo Co., Ltd. 47,400 1,281,000 Shiga Bank, Ltd. (The) 474,000 2,591,957 # Shikibo, Ltd. 3,799,000 4,161,750 Shikoku Bank, Ltd. (The) 1,995,000 4,023,848 # Shima Seiki Manufacturing, Ltd. 53,900 899,508 Shimachu Co., Ltd. 956,500 21,016,790 SHIMANE BANK, Ltd. (The) 8,900 112,699 Shimizu Bank, Ltd. (The) 198,200 4,843,386 Shin Nippon Air Technologies Co., Ltd. 340,920 2,086,673 # Shin-Etsu Polymer Co., Ltd. 668,400 2,502,504 Shinagawa Refractories Co., Ltd. 1,192,000 2,370,766 #* Shinkawa, Ltd. 208,700 1,147,221 # Shinko Electric Industries Co., Ltd. 501,400 3,302,066 Shinko Shoji Co., Ltd. 523,100 4,819,518 Shinko Wire Co., Ltd. 543,000 894,794 Shinmaywa Industries, Ltd. 2,777,000 24,523,534 # Shinnihon Corp. 579,200 1,702,064 Shinsho Corp. 467,000 1,051,938 Shiroki Corp. 543,000 1,042,056 Shizuoka Gas Co., Ltd. 64,800 389,918 Shobunsha Publications, Inc. 100,000 617,740 # Shoei Foods Corp. 185,400 1,442,300 Shofu, Inc. 1,100 9,260 Showa Corp. 338,300 3,720,257 # Sinanen Co., Ltd. 922,000 3,500,645 Sintokogio, Ltd. 786,562 5,652,262 SKY Perfect JSAT Holdings, Inc. 475,600 2,557,362 SNT Corp. 635,600 2,555,582 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- JAPAN -- (Continued) Soda Nikka Co., Ltd. 328,000 $ 1,406,661 # Sodick Co., Ltd. 326,500 1,212,343 # Soft99 Corp. 52,300 339,522 SPK Corp. 1,418 26,092 Stella Chemifa Corp. 4,200 53,298 Subaru Enterprise Co., Ltd. 247,000 811,902 Sugimoto & Co., Ltd. 114,700 1,131,597 Suminoe Textile Co., Ltd. 1,443,000 4,368,611 Sumitomo Bakelite Co., Ltd. 846,000 3,221,957 Sumitomo Densetsu Co., Ltd. 198,400 2,446,581 Sumitomo Precision Products Co., Ltd. 269,000 987,132 Sumitomo Seika Chemicals Co., Ltd. 71,000 446,684 Sumitomo Warehouse Co., Ltd. (The) 606,000 2,938,377 Sun-Wa Technos Corp. 13,400 115,641 Suncall Corp. 9,000 51,811 Suzuden Corp. 2,100 12,563 #* SWCC Showa Holdings Co., Ltd. 6,821,000 6,546,017 # T RAD Co., Ltd. 774,000 2,021,060 T&K Toka Co., Ltd. 10,800 224,006 Tachi-S Co., Ltd. 123,400 1,930,331 # Tachibana Eletech Co., Ltd. 270,600 3,611,502 # Tachikawa Corp. 188,400 936,119 Taihei Dengyo Kaisha, Ltd. 881,000 5,784,444 # Taiheiyo Kouhatsu, Inc. 2,081,000 1,934,068 Taiho Kogyo Co., Ltd. 465,900 4,405,211 Taiko Bank, Ltd. (The) 249,000 514,182 Takachiho Koheki Co., Ltd. 400 3,949 # Takagi Securities Co., Ltd. 470,000 1,130,938 Takamatsu Construction Group Co., Ltd. 37,900 649,794 Takano Co., Ltd. 290,900 1,450,132 # Takaoka Toko Co., Ltd. 37,244 531,737 Takara Standard Co., Ltd. 926,105 6,614,860 # Takasago International Corp. 20,000 97,772 # Takasago Thermal Engineering Co., Ltd. 465,800 4,554,142 Take And Give Needs Co., Ltd. 136,490 2,577,000 Takigami Steel Construction Co., Ltd. (The) 194,000 922,394 Takihyo Co., Ltd. 17,000 67,514 Takiron Co., Ltd. 1,128,000 4,574,101 Takisawa Machine Tool Co., Ltd. 108,000 151,267 # Tamura Corp. 1,317,948 3,143,317 # Tayca Corp. 831,000 2,286,777 TBK Co., Ltd. 575,000 2,811,066 TECHNO ASSOCIE Co., Ltd. 171,900 1,754,677 # Techno Ryowa, Ltd. 229,770 1,048,930 Teikoku Tsushin Kogyo Co., Ltd. 807,000 1,328,047 Tekken Corp. 3,133,000 9,169,037 #* Ten Allied Co., Ltd. 119,800 353,991 Tenma Corp. 573,900 7,501,964 Teraoka Seisakusho Co., Ltd. 169,100 654,699 Tigers Polymer Corp. 311,600 1,264,979 # Toa Corp. 6,003,000 11,292,674 # Toa Oil Co., Ltd. 772,000 1,185,075 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE++ ---------- ----------- JAPAN -- (Continued) TOA ROAD Corp. 742,000 $ 3,386,719 # Toabo Corp. 1,272,000 872,019 Toagosei Co., Ltd. 344,000 1,439,459 Tochigi Bank, Ltd. (The) 2,896,000 11,289,290 Toda Corp. 5,130,000 17,978,547 # Toda Kogyo Corp. 378,000 1,021,980 Toei Co., Ltd. 301,000 1,685,128 Toenec Corp. 1,102,000 5,334,821 Toho Bank, Ltd. (The) 4,567,000 15,296,032 Toho Zinc Co., Ltd. 867,000 2,758,509 Tohoku Bank, Ltd. (The) 1,543,000 2,205,858 Tohokushinsha Film Corp. 6,400 49,576 # Tohto Suisan Co., Ltd. 837,000 1,632,749 Tokai Carbon Co., Ltd. 2,233,000 7,164,057 # Tokai Lease Co., Ltd. 672,000 1,204,530 # Tokai Rubber Industries, Ltd. 190,400 1,969,453 Tokushu Tokai Paper Co., Ltd. 1,631,220 3,596,183 # Tokuyama Corp. 10,164,000 29,477,493 # Tokyo Electron Device, Ltd. 9,300 122,551 Tokyo Energy & Systems, Inc. 639,000 3,331,799 # Tokyo Keiki, Inc. 169,000 472,480 #* Tokyo Kikai Seisakusho, Ltd. 192,000 158,112 Tokyo Ohka Kogyo Co., Ltd. 253,900 5,806,723 * Tokyo Rope Manufacturing Co., Ltd. 423,000 617,560 Tokyo Sangyo Co., Ltd. 535,900 2,105,205 Tokyo Soir Co., Ltd. 67,000 161,937 # Tokyo Steel Manufacturing Co., Ltd. 3,265,100 15,963,518 Tokyo Tekko Co., Ltd. 1,215,000 4,563,394 # Tokyo Tomin Bank, Ltd. (The) 725,900 7,531,279 # Tokyu Recreation Co., Ltd. 256,328 1,501,340 Toli Corp. 1,034,000 1,995,657 Tomato Bank, Ltd. 1,324,000 2,188,048 Tomen Devices Corp. 500 8,307 Tomen Electronics Corp. 276,500 4,430,569 # Tomoe Corp. 895,900 3,881,362 Tomoe Engineering Co., Ltd. 11,100 175,075 Tomoku Co., Ltd. 1,412,000 3,792,445 # TOMONY Holdings, Inc. 3,318,900 14,112,620 Tomy Co., Ltd. 119,800 568,492 Tonami Holdings Co., Ltd. 1,540,000 2,805,364 Toppan Forms Co., Ltd. 704,700 6,474,973 Topre Corp. 330,500 3,344,271 Topy Industries, Ltd. 4,167,000 7,055,763 Torii Pharmaceutical Co., Ltd. 299,900 8,519,476 # Tosho Printing Co., Ltd. 1,091,000 4,184,308 Totetsu Kogyo Co., Ltd. 76,130 1,545,822 Tottori Bank, Ltd. (The) 1,075,000 1,913,682 Towa Bank, Ltd. (The) 2,873,000 2,728,686 # Towa Corp. 10,700 54,364 Toyo Denki Seizo - Toyo Electric Manufacturing Co., Ltd. 25,000 89,965 Toyo Ink SC Holdings Co., Ltd. 1,437,000 5,862,029 Toyo Kohan Co., Ltd. 2,110,000 10,220,327 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- JAPAN -- (Continued) Toyo Machinery & Metal Co., Ltd. 10,900 $ 57,390 # Toyo Securities Co., Ltd. 602,000 1,658,392 # Toyo Tanso Co., Ltd. 50,600 1,218,243 Toyo Wharf & Warehouse Co., Ltd. 1,006,000 2,016,904 Trusco Nakayama Corp. 174,339 3,929,099 TSI Holdings Co., Ltd. 2,359,820 15,913,747 Tsubakimoto Kogyo Co., Ltd. 50,000 136,323 #* Tsudakoma Corp. 1,182,000 1,570,438 Tsukishima Kikai Co., Ltd. 391,000 4,161,019 Tsukuba Bank, Ltd. 1,141,067 4,117,333 Tsurumi Manufacturing Co., Ltd. 314,000 3,835,329 Tsutsumi Jewelry Co., Ltd. 264,300 5,991,727 # TTK Co., Ltd. 136,000 597,262 Tv Tokyo Holdings Corp. 110,100 1,754,725 TYK Corp. 690,000 1,353,958 # U-Shin, Ltd. 655,400 3,924,278 Ube Industries, Ltd. 151,200 256,165 Uchida Yoko Co., Ltd. 1,419,000 3,968,150 Ueki Corp. 146,000 285,939 UKC Holdings Corp. 120,900 1,945,120 * Ulvac, Inc. 459,500 8,708,517 * Uniden Corp. 1,581,000 3,666,350 Unipres Corp. 98,600 1,905,057 * Universal Entertainment Corp. 25,800 458,538 # UNY Group Holdings Co., Ltd. 1,686,200 10,881,991 Utoc Corp. 3,200 11,148 Valor Co., Ltd. 37,800 489,928 # Village Vanguard Co., Ltd. 20,200 237,384 Vital KSK Holdings, Inc. 225,715 1,598,285 Wacoal Holdings Corp. 359,000 3,541,264 Wakita & Co., Ltd. 297,000 3,371,108 Warabeya Nichiyo Co., Ltd. 174,100 3,250,340 # Watabe Wedding Corp. 53,100 353,867 Wood One Co., Ltd. 602,000 1,684,763 Xebio Co., Ltd. 54,200 1,002,381 Y A C Co., Ltd. 80,500 461,461 Yachiyo Bank, Ltd. (The) 184,975 5,000,113 Yachiyo Industry Co., Ltd. 14,900 102,802 Yahagi Construction Co., Ltd. 20,200 198,461 Yaizu Suisankagaku Industry Co., Ltd. 21,500 200,668 YAMABIKO Corp. 133,974 4,988,960 # Yamagata Bank, Ltd. (The) 2,012,000 8,611,801 # Yamaichi Electronics Co., Ltd. 155,200 623,910 Yamanashi Chuo Bank, Ltd. (The) 3,321,000 14,389,599 Yamatane Corp. 483,000 711,646 Yamato Corp. 336,000 1,117,904 Yamato International, Inc. 13,800 57,907 Yamaura Corp. 32,000 91,415 Yamazawa Co., Ltd. 2,200 32,939 Yashima Denki Co., Ltd. 9,200 40,174 Yasuda Warehouse Co., Ltd. (The) 193,900 2,005,651 Yellow Hat, Ltd. 205,800 3,945,549 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE++ --------- -------------- JAPAN -- (Continued) # Yodogawa Steel Works, Ltd. 3,721,000 $ 14,669,450 Yokogawa Bridge Holdings Corp. 667,000 8,844,488 # Yokohama Reito Co., Ltd. 1,179,900 9,551,059 Yokowo Co., Ltd. 35,300 175,634 Yondenko Corp. 443,650 1,576,153 Yonekyu Corp. 2,000 16,134 Yonex Co., Ltd. 149,000 879,958 Yorozu Corp. 70,400 1,315,878 Yuasa Funashoku Co., Ltd. 581,000 1,383,482 Yuken Kogyo Co., Ltd. 62,000 126,681 Yurtec Corp. 1,162,000 5,423,330 Yusen Logistics Co., Ltd. 110,900 1,277,156 Yushiro Chemical Industry Co., Ltd. 10,700 107,920 Yutaka Giken Co., Ltd. 1,700 37,285 # Zojirushi Corp. 68,000 243,143 # Zuken, Inc. 37,800 296,001 -------------- TOTAL JAPAN 2,611,882,082 -------------- LUXEMBOURG -- (0.0%) * Transcom WorldWide SA 591,524 122,353 -------------- NETHERLANDS -- (2.1%) # Accell Group 11,883 236,159 * AMG Advanced Metallurgical Group NV 4,448 44,742 #* APERAM 1,753,419 45,621,474 ASM International NV 465,118 20,355,138 #* Ballast Nedam NV 11,679 150,056 # BE Semiconductor Industries NV 821,028 14,010,221 BinckBank NV 523,547 5,915,525 Corbion NV 416,828 9,667,345 Delta Lloyd NV 2,392,235 62,958,731 #* Grontmij 118,051 631,659 # Heijmans NV 510,079 9,150,773 Hunter Douglas NV 248 12,456 KAS Bank NV 298,496 4,410,034 # Koninklijke BAM Groep NV 6,983,328 37,865,162 Koninklijke Ten Cate NV 194,564 5,796,841 Koninklijke Wessanen NV 542,912 3,207,559 #* Macintosh Retail Group NV 7,600 82,598 #* Ordina NV 2,211,228 6,392,719 # SNS Reaal NV 4,344,025 -- Telegraaf Media Groep NV 93,393 877,279 TNT Express NV 294,173 2,650,952 #* TomTom NV 2,919,396 20,700,316 USG People NV 1,928,586 33,367,380 -------------- TOTAL NETHERLANDS 284,105,119 -------------- NEW ZEALAND -- (0.3%) # Abano Healthcare Group, Ltd. 754 4,290 Air New Zealand, Ltd. 9,271,570 16,800,705 Auckland International Airport, Ltd. 521,948 1,787,629 Cavalier Corp., Ltd. 3,143 4,212 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE++ ---------- ----------- NEW ZEALAND -- (Continued) CDL Investments New Zealand, Ltd. 257,726 $ 119,302 Chorus, Ltd. 166,769 254,804 Colonial Motor Co., Ltd. (The) 243,551 1,134,676 Contact Energy, Ltd. 59,772 293,597 Heartland New Zealand, Ltd. 600,701 455,847 # Metlifecare, Ltd. 57,449 203,905 Millennium & Copthorne Hotels New Zealand, Ltd. 2,998,736 1,687,249 New Zealand Oil & Gas, Ltd. 2,095,399 1,401,330 New Zealand Refining Co., Ltd. (The) 20,756 33,638 # Nuplex Industries, Ltd. 2,847,439 8,604,619 # PGG Wrightson, Ltd. 2,111,833 739,567 Richina Pacific, Ltd. 832,183 48,437 #* Rubicon, Ltd. 3,767,301 1,174,180 # Sanford, Ltd. 1,099,644 3,956,414 Sky Network Television, Ltd. 383,000 2,210,588 Steel & Tube Holdings, Ltd. 158,934 421,137 * Tenon, Ltd. 137,210 177,391 Tourism Holdings, Ltd. 870,292 865,792 Tower, Ltd. 2,457,096 3,438,749 ----------- TOTAL NEW ZEALAND 45,818,058 ----------- NORWAY -- (0.9%) # Aker ASA Class A 46,281 1,567,657 * Archer, Ltd. 3,195,711 4,358,891 Austevoll Seafood ASA 707,480 4,582,813 Bonheur ASA 221,052 4,298,015 BW Offshore, Ltd. 5,728,740 7,491,856 * BWG Homes ASA 996,334 1,962,627 Cermaq ASA 72,561 857,660 * Deep Sea Supply P.L.C. 264,196 394,117 * DOF ASA 563,923 2,593,855 * Dolphin Group A.S. 794,866 775,021 # Eltek ASA 1,433,745 1,967,350 Evry ASA 239,145 413,262 Farstad Shipping ASA 207,709 4,278,695 #* Frontline, Ltd. 537,534 1,754,328 Ganger Rolf ASA 402,700 7,521,714 # Golden Ocean Group, Ltd. 5,843,464 10,362,760 * Grieg Seafood ASA 103,905 423,783 * Havila Shipping ASA 38,346 222,698 * Kongsberg Automotive Holding ASA 10,167,813 10,221,754 Kvaerner ASA 262,582 525,970 * Norske Skogindustrier ASA 4,239,299 3,214,071 Northern Offshore, Ltd. 33,813 52,095 * Norwegian Energy Co. ASA 323 9 * Odfjell SE Class A 249,938 1,249,383 * Panoro Energy ASA 3,781,731 2,114,138 #* REC Silicon ASA 27,551,701 15,410,872 * REC Solar ASA 288,683 4,359,778 #* Sevan Drilling A.S. 3,511,174 1,858,572 * Sevan Marine ASA 531,955 2,130,793 * Siem Offshore, Inc. 580,412 878,512 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE++ ----------- ------------ NORWAY -- (Continued) Solstad Offshore ASA 359,951 $ 6,626,695 #* Songa Offshore 3,681,507 1,514,011 SpareBank 1 SMN 919,673 8,167,473 Stolt-Nielsen, Ltd. 38,913 1,052,107 * Storebrand ASA 689,852 3,872,390 TTS Group ASA 74,071 81,074 # Wilh Wilhelmsen ASA 4,973 48,135 # Wilh Wilhelmsen Holding ASA Class A 253,267 8,035,386 ------------ TOTAL NORWAY 127,240,320 ------------ PORTUGAL -- (0.6%) #* Banco BPI SA 2,006,239 5,149,514 #* Banco Comercial Portugues SA 187,787,505 57,067,629 # Corticeira Amorim SGPS SA 2,076,904 8,884,367 * EDP Renovaveis SA 204,040 1,399,232 # Novabase SGPS SA 10,085 55,544 * Papelaria Fernandes-Industria e Comercia SA 2,000 -- #* Sonae Capital SGPS SA 270,725 175,030 #* Sonae Industria SGPS SA 1,382,848 1,172,936 * Sumol + Compal SA 53,800 85,367 ZON Optimus SGPS SA 814,775 5,894,383 ------------ TOTAL PORTUGAL 79,884,002 ------------ SINGAPORE -- (1.4%) * Abterra, Ltd. 52,000 24,436 # ASL Marine Holdings, Ltd. 1,254,800 722,855 #* Ausgroup, Ltd. 1,742,000 635,275 Banyan Tree Holdings, Ltd. 39,000 19,634 # Biosensors International Group, Ltd. 281,000 213,417 Bonvests Holdings, Ltd. 1,338,280 1,442,903 * Broadway Industrial Group, Ltd. 3,557,000 782,174 # China Merchants Holdings Pacific, Ltd. 1,238,000 953,187 # Chip Eng Seng Corp., Ltd. 8,982,198 5,489,608 Chuan Hup Holdings, Ltd. 7,757,000 1,674,044 Creative Technology, Ltd. 820,850 1,584,854 CSC Holdings, Ltd. 348,000 23,632 * Delong Holdings, Ltd. 679,000 207,809 DMX Technologies Group, Ltd. 3,585,000 573,105 EnGro Corp., Ltd. 115,500 113,426 * Excel Machine Tools, Ltd. 473,000 -- # Ezra Holdings, Ltd. 15,946,000 13,393,635 Falcon Energy Group, Ltd. 173,000 48,458 Far East Orchard, Ltd. 5,199,720 7,766,300 GK Goh Holdings, Ltd. 2,295,000 1,550,155 GMG Global, Ltd. 2,105,000 151,188 GP Batteries International, Ltd. 170,000 75,282 GP Industries, Ltd. 2,169,808 812,860 * Hanwell Holdings, Ltd. 6,729,043 1,395,940 * Healthway Medical Corp., Ltd. 3,776,000 192,721 HG Metal Manufacturing, Ltd. 1,230,000 92,222 Hi-P International, Ltd. 66,000 30,588 Hiap Hoe, Ltd. 47,000 34,195 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE++ ---------- ----------- SINGAPORE -- (Continued) Ho Bee Land, Ltd. 6,991,000 $12,794,729 Hong Fok Corp., Ltd. 7,753,000 5,017,336 Hong Leong Asia, Ltd. 928,000 1,182,049 # Hotel Grand Central, Ltd. 2,640,058 2,521,770 Hotel Properties, Ltd. 2,511,500 7,449,355 Hour Glass, Ltd. (The) 402,320 546,306 HupSteel, Ltd. 29,000 4,849 Hwa Hong Corp., Ltd. 1,014,000 246,865 Indofood Agri Resources, Ltd. 3,160,000 2,691,177 InnoTek, Ltd. 4,171,000 1,064,581 * International Healthway Corp., Ltd. 95,048 23,101 # IPC Corp., Ltd. 16,472,000 1,973,185 Isetan Singapore, Ltd. 171,000 640,718 # Jaya Holdings, Ltd. 5,120,000 3,256,421 Jurong Technologies Industrial Corp., Ltd. 3,391,000 -- K1 Ventures, Ltd. 14,032,000 2,209,606 Koh Brothers Group, Ltd. 1,464,000 362,302 * KS Energy, Ltd. 16,000 5,758 LCD Global Investments, Ltd. 6,875,960 998,997 Lee Kim Tah Holdings, Ltd. 2,313,000 1,710,934 * Li Heng Chemical Fibre Technologies, Ltd. 11,463,000 821,565 Lian Beng Group, Ltd. 1,317,000 736,701 #* Linc Energy, Ltd. 1,747,514 1,644,714 Low Keng Huat Singapore, Ltd. 85,000 47,170 Lum Chang Holdings, Ltd. 1,311,000 366,315 Marco Polo Marine, Ltd. 129,000 38,657 * Mercator Lines Singapore, Ltd. 777,000 62,725 Mermaid Maritime PCL 1,134,000 439,684 # Metro Holdings, Ltd. 10,849,960 7,972,769 Mewah International, Inc. 56,000 21,028 # Midas Holdings, Ltd. 22,610,000 8,499,625 NSL, Ltd. 655,000 823,496 #* Oceanus Group, Ltd. 11,176,000 151,634 #* Otto Marine, Ltd. 19,127,500 1,226,391 OUE Hospitality Trust 163,333 113,373 # OUE, Ltd. 1,412,000 2,560,083 #* Penguin International, Ltd. 988,250 153,191 Popular Holdings, Ltd. 8,482,250 1,826,881 QAF, Ltd. 3,747,103 2,692,274 * Raffles Education Corp., Ltd. 15,504,200 3,655,378 Rickmers Maritime 148,000 34,306 * S I2I, Ltd. 22,499,000 143,945 San Teh, Ltd. 952,800 242,777 * Sapphire Corp., Ltd. 512,000 32,710 Sinarmas Land, Ltd. 511,000 216,850 Sing Holdings, Ltd. 399,000 121,138 Sing Investments & Finance, Ltd. 84,000 89,894 Singapore Reinsurance Corp., Ltd. 3,080,110 676,836 Singapore Shipping Corp., Ltd. 1,078,000 202,535 Singapura Finance, Ltd. 105,000 125,209 Stamford Land Corp., Ltd. 4,041,000 1,919,725 Sunningdale Tech, Ltd. 9,957,000 1,296,014 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE++ ---------- ------------ SINGAPORE -- (Continued) #* SunVic Chemical Holdings, Ltd. 7,560,000 $ 2,901,268 # Swiber Holdings, Ltd. 15,419,000 7,889,813 # Tat Hong Holdings, Ltd. 944,000 610,791 Tiong Woon Corp. Holding, Ltd. 8,059,500 2,093,207 Tuan Sing Holdings, Ltd. 17,646,263 4,934,099 UMS Holdings, Ltd. 2,959,000 2,031,228 # United Engineers, Ltd. 9,399,332 16,202,838 # United Industrial Corp., Ltd. 4,159,946 11,124,821 Vibrant Group, Ltd. 152,079 12,380 Wheelock Properties Singapore, Ltd. 2,365,000 3,546,355 Wing Tai Holdings, Ltd. 9,494,054 15,184,973 Yeo Hiap Seng, Ltd. 924,457 1,726,990 YHI International, Ltd. 31,000 5,812 Yongnam Holdings, Ltd. 822,000 157,858 ------------ TOTAL SINGAPORE 192,081,968 ------------ SPAIN -- (2.4%) Abengoa SA(7174823) 679,263 3,779,341 Abengoa SA(BLM7FQ6) 17,417 96,944 Abengoa SA(BLM7FS8) 64,680 288,135 Abengoa SA Class B 2,134,454 9,503,119 # Acciona SA 113,921 9,266,994 # Acerinox SA 217,272 3,799,362 Adveo Group International SA 174,804 4,161,413 * Azkoyen SA 2,580 9,166 Bankinter SA 9,498,044 72,721,437 * Baron de Ley 22,116 2,326,805 #* Caja de Ahorros del Mediterraneo 298,813 -- * Campofrio Food Group SA 110,070 1,053,437 #* Cementos Portland Valderrivas SA 217,063 2,220,884 Construcciones y Auxiliar de Ferrocarriles SA 639 306,068 * Deoleo SA 8,782,900 4,816,223 Dinamia Capital Privado Sociedad de Capital Riesgo SA 44,356 487,041 Dogi International Fabrics SA 191,727 -- Ebro Foods SA 50,273 1,158,410 Elecnor SA 784 11,269 Ence Energia y Celulosa SA 4,041,949 11,905,053 #* Ercros SA 1,781,735 1,188,749 * Espanola del Zinc SA 53,703 -- # Fluidra SA 116,554 529,677 #* Fomento de Construcciones y Contratas SA 769,152 16,966,660 * Gamesa Corp. Tecnologica SA 7,418,085 73,734,457 Grupo Catalana Occidente SA 20,223 791,287 #* Grupo Ezentis SA 183,642 300,812 Iberpapel Gestion SA 107,514 2,113,076 # Melia Hotels International SA 1,283,223 16,232,822 Miquel y Costas & Miquel SA 20,922 872,343 #* Natra SA 31,077 81,942 * NH Hoteles SA 3,144,348 20,088,773 Obrascon Huarte Lain SA 47,879 2,219,720 Papeles y Cartones de Europa SA 853,066 4,719,479 * Pescanova SA 338,483 -- DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE++ --------- ------------ SPAIN -- (Continued) #* Promotora de Informaciones SA Class A 7,387,899 $ 4,126,078 * Realia Business SA 1,042,210 1,926,772 #* Sacyr SA 7,565,697 49,830,722 * Sociedad Nacional de Industrias Apicaciones Celulosa Espanola SA 370,644 38,052 #* Solaria Energia y Medio Ambiente SA 876,126 1,512,533 Tubacex SA 122,079 598,684 Tubos Reunidos SA 23,536 72,920 * Vocento SA 14,029 45,196 ------------ TOTAL SPAIN 325,901,855 ------------ SWEDEN -- (3.5%) Acando AB 891,878 2,061,992 AddNode Group AB 37,990 259,807 AF AB Class B 14,825 538,394 #* Arise AB 77,815 313,516 B&B Tools AB Class B 198,828 3,648,464 #* BE Group AB 187,731 365,709 # Beijer AB G&L Class B 185,323 3,769,688 Beijer Alma AB 21,810 616,826 Bilia AB Class A 442,474 14,691,632 BillerudKorsnas AB 3,506,767 51,248,998 # Biotage AB 895,743 1,604,735 # Bure Equity AB 1,257,039 5,551,501 Catena AB 97,210 1,607,143 # Cavotec SA 8,670 41,278 #* Cloetta AB Class B 625,605 2,066,624 # Concentric AB 637,497 9,019,648 * Concordia Maritime AB Class B 400,102 821,092 * CyberCom Group AB 1,069,727 444,748 Duni AB 135,716 2,266,986 * East Capital Explorer AB 91,353 733,679 Enea AB 2,135 20,583 #* Eniro AB 2,458,895 19,674,808 # FinnvedenBulten AB 43,894 508,886 Gunnebo AB 277,314 1,582,725 # Haldex AB 1,227,419 15,744,212 Holmen AB Class B 1,385,639 48,972,666 Industrial & Financial Systems Class B 50,839 1,458,386 * KappAhl AB 182,200 1,118,067 #* Karolinska Development AB Class B 92,462 353,653 # KNOW IT AB 158,917 1,687,012 Lagercrantz AB Class B 201,826 4,065,131 * Lindab International AB 409,169 5,101,044 Meda AB Class A 1,651,937 29,693,469 * Micronic Mydata AB 1,711,038 4,863,931 MQ Holding AB 202,328 836,352 NCC AB Class A 990 35,247 NCC AB Class B 7,995 280,109 * Net Insight AB Class B 1,340,969 371,302 # New Wave Group AB Class B 1,081,617 7,356,815 Nobia AB 534,220 4,862,867 # Nolato AB Class B 152,587 3,484,132 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE++ --------- ------------ SWEDEN -- (Continued) #* PA Resources AB 216,361 $ 226,922 Peab AB 1,355,095 10,492,217 #* Pricer AB Class B 428,333 387,747 Proact IT Group AB 50,418 678,316 # Ratos AB Class B 905,421 9,236,713 ReadSoft AB Class B 5,267 14,181 #* rnb Retail and Brands AB 106,053 213,971 Saab AB Class B 716,322 22,011,096 #* SAS AB 4,129,940 8,881,499 # Semcon AB 21,986 237,455 SkiStar AB 2,540 33,534 #* SSAB AB Class A 4,143,538 36,176,393 #* SSAB AB Class B 1,214,763 9,190,167 * Swedish Orphan Biovitrum AB 1,069,624 11,762,041 #* TradeDoubler AB 170,239 379,860 #* Transcom WorldWide SA 3,742,073 831,067 # Trelleborg AB Class B 5,405,103 115,650,402 ------------ TOTAL SWEDEN 480,147,438 ------------ SWITZERLAND -- (3.9%) AFG Arbonia-Forster Holding AG 278,888 9,297,101 Allreal Holding AG 141,765 19,991,754 # Alpiq Holding AG 21,151 2,595,528 ALSO Holding AG 9,215 526,503 Autoneum Holding AG 15,174 3,219,177 Baloise Holding AG 216,720 26,390,766 Bank Coop AG 18,665 912,755 Banque Cantonale de Geneve 13,130 3,354,344 Banque Cantonale du Jura 7,948 591,326 Banque Cantonale Vaudoise 5,162 3,064,094 # Basler Kantonalbank 2,136 184,645 Bell AG 15 41,231 Bellevue Group AG 54,925 834,206 * Bobst Group SA 191,684 9,756,518 Bossard Holding AG Class A 2,284 314,610 Carlo Gavazzi Holding AG 7,688 2,000,236 Cham Paper Holding AG 11,660 3,280,907 #* Charles Voegele Holding AG 161,832 2,664,495 Cicor Technologies 12,055 489,854 Cie Financiere Tradition SA 1,051 57,214 Clariant AG 1,344,747 26,518,282 Coltene Holding AG 57,514 3,712,438 Conzzeta AG 3,818 15,106,154 Daetwyler Holding AG 134,888 21,327,782 # EFG International AG 709,753 8,993,310 Emmi AG 39,124 14,355,590 # Energiedienst Holding AG 318 11,523 Flughafen Zuerich AG 49,184 31,029,264 Forbo Holding AG 8,945 9,258,962 GAM Holding AG 1,855,692 33,797,927 Georg Fischer AG 30,382 24,102,191 Gurit Holding AG 8,656 4,522,509 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE++ ---------- ------------ SWITZERLAND -- (Continued) Helvetia Holding AG 121,594 $ 60,608,318 HOCHDORF Holding AG 43 6,125 Implenia AG 263,875 19,349,122 Intershop Holdings AG 7,875 3,043,816 Jungfraubahn Holding AG 3,905 322,175 Kardex AG 57,075 2,923,754 Komax Holding AG 17,326 2,681,827 Kudelski SA 173,873 2,998,633 Liechtensteinische Landesbank AG 38,015 1,881,816 Lonza Group AG 19,057 1,994,516 MCH Group AG 5,445 393,280 #* Meyer Burger Technology AG 1,090,737 13,485,436 Micronas Semiconductor Holding AG 100,278 892,724 Mikron Holding AG 38,875 303,888 Mobimo Holding AG 23,689 5,091,381 * Orascom Development Holding AG 109,261 1,701,904 Orior AG 960 62,033 PubliGroupe AG 3,216 644,300 Romande Energie Holding SA 4,003 5,227,513 * Schmolz + Bickenbach AG 7,264,075 10,421,872 Schweiter Technologies AG 1,136 858,744 Schweizerische National-Versicherungs-Gesellschaft AG 382,940 26,538,072 Siegfried Holding AG 28,553 5,350,563 St Galler Kantonalbank AG 10,870 4,668,834 Swiss Life Holding AG 180,130 44,379,643 * Swisslog Holding AG 286,563 329,441 Tamedia AG 398 52,447 * Tornos Holding AG 42,112 299,148 Valartis Group AG 4,409 107,681 Valiant Holding AG 82,547 9,139,455 Valora Holding AG 40,173 11,359,579 Vaudoise Assurances Holding SA Class B 21,719 9,923,354 Verwaltungs- und Privat-Bank AG 37,874 3,775,992 Vetropack Holding AG 330 635,709 # Vontobel Holding AG 90,892 3,562,536 # Zehnder Group AG 366 15,960 Zug Estates Holding AG 129 173,637 Zuger Kantonalbank AG 26 140,632 ------------ TOTAL SWITZERLAND 537,649,056 ------------ UNITED KINGDOM -- (20.8%) Acal P.L.C. 327,161 1,974,601 African Barrick Gold P.L.C. 593,435 2,489,474 * Aga Rangemaster Group P.L.C. 1,951,519 5,736,862 Alent P.L.C. 5,694,760 30,641,893 Alumasc Group P.L.C. (The) 575,307 1,170,258 * Amberley Group P.L.C. 71,000 -- Amlin P.L.C. 11,024,189 83,350,349 Anglo Pacific Group P.L.C. 1,259,912 4,056,481 Anglo-Eastern Plantations 241,403 2,900,223 Ashtead Group P.L.C. 9,060,925 134,248,301 Avesco Group P.L.C. 84,124 150,710 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE++ ---------- ------------ UNITED KINGDOM -- (Continued) Barratt Developments P.L.C. 23,304,329 $145,749,037 BBA Aviation P.L.C. 1,446,324 7,587,970 Beazley P.L.C. 12,470,827 51,733,665 Bellway P.L.C. 3,448,205 83,973,177 Berendsen P.L.C. 722,757 12,630,861 Bloomsbury Publishing P.L.C. 81,160 220,079 Bodycote P.L.C. 5,021,077 61,957,596 Boot Henry P.L.C. 1,143,997 4,215,686 Bovis Homes Group P.L.C. 3,820,358 51,089,368 Braemar Shipping Services P.L.C. 1,546 13,650 British Polythene Industries P.L.C. 319,936 3,410,037 # Bwin.Party Digital Entertainment P.L.C. 1,058,674 2,278,958 * Cairn Energy P.L.C. 1,365,015 4,251,709 Camellia P.L.C. 2,629 441,100 Cape P.L.C. 205,431 1,041,658 Capital & Regional P.L.C. 5,344,220 4,149,254 Carclo P.L.C. 14,769 44,900 Carillion P.L.C. 3,315,763 20,741,426 Carr's Milling Industries P.L.C. 45,502 1,422,459 Castings P.L.C. 435,213 3,389,122 Catlin Group, Ltd. 9,072,341 81,027,071 # Centaur Media P.L.C. 131,854 153,168 Chemring Group P.L.C. 99,744 377,509 Chesnara P.L.C. 217,902 1,210,573 Chime Communications P.L.C. 186,985 1,102,275 Close Brothers Group P.L.C. 1,724,250 40,728,934 * Coalfield Resources P.L.C. 911,673 96,220 * Colt Group SA 5,697,536 12,608,820 # Communisis P.L.C. 2,806,381 3,090,731 Computacenter P.L.C. 1,910,955 21,037,466 Creston P.L.C. 187,426 363,667 CSR P.L.C. 4,886,688 47,481,162 Daejan Holdings P.L.C. 79,363 6,261,764 Dairy Crest Group P.L.C. 661,765 5,163,146 Debenhams P.L.C. 2,582,723 3,507,690 Development Securities P.L.C. 2,538,046 10,429,177 * Dixons Retail P.L.C. 74,506,019 56,667,531 Drax Group P.L.C. 269,252 3,014,007 DS Smith P.L.C. 15,172,280 80,853,845 easyJet P.L.C. 1,792,771 49,605,324 Elementis P.L.C. 3,824,022 17,951,462 * EnQuest P.L.C. 231,181 536,567 * Enterprise Inns P.L.C. 11,707,291 27,025,146 #* Essar Energy P.L.C. 2,019,787 2,291,990 * Exillon Energy P.L.C. 564,716 1,349,390 F&C Asset Management P.L.C. 11,435,011 23,075,949 Ferrexpo P.L.C. 21,253 52,422 * Findel P.L.C. 3,863 17,633 * Firstgroup P.L.C. 1,181,667 2,582,145 Fortune Oil P.L.C. 30,128 6,613 Future P.L.C. 1,768,908 246,617 Galliford Try P.L.C. 779,555 15,691,950 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE++ ---------- ------------ UNITED KINGDOM -- (Continued) * Gem Diamonds, Ltd. 1,991,383 $ 5,587,242 Grafton Group P.L.C. 1,749,481 17,207,784 Greene King P.L.C. 4,908,532 73,898,809 * Hardy Oil & Gas P.L.C. 78,909 90,599 Harvey Nash Group P.L.C. 660,735 1,351,252 Helical Bar P.L.C. 2,462,462 15,109,165 * Heritage Oil P.L.C. 2,612,012 13,943,464 Hiscox, Ltd. 8,547,223 101,972,677 Home Retail Group P.L.C. 17,508,245 60,496,425 Hunting P.L.C. 31,124 445,583 Huntsworth P.L.C. 3,242,574 3,287,544 Inchcape P.L.C. 8,776,728 95,343,359 Intermediate Capital Group P.L.C. 2,324,248 17,445,365 * International Ferro Metals, Ltd. 1,960,461 309,267 Interserve P.L.C. 499,652 5,599,662 * IP Group P.L.C. 217,238 630,353 #* JKX Oil & Gas P.L.C. 391,101 360,604 #* Johnston Press P.L.C. 9,581,891 4,089,230 Keller Group P.L.C. 553,628 9,340,302 Laird P.L.C. 3,501,358 16,455,585 * Lamprell P.L.C. 432,693 1,122,058 Lancashire Holdings, Ltd. 1,128,650 13,345,045 Lavendon Group P.L.C. 1,928,013 7,388,245 #* Lonmin P.L.C. 3,762,001 18,049,172 Lookers P.L.C. 257,901 608,791 Low & Bonar P.L.C. 3,354,294 4,711,632 Man Group P.L.C. 10,173,324 16,977,744 Management Consulting Group P.L.C. 3,190,021 1,339,064 Marshalls P.L.C. 1,529,098 4,577,786 Marston's P.L.C. 13,861,464 34,466,021 Mecom Group P.L.C. 284,847 634,031 Meggitt P.L.C. 4,813,743 38,828,185 Millennium & Copthorne Hotels P.L.C. 4,813,561 45,187,618 * Mitchells & Butlers P.L.C. 5,754,583 42,874,532 MJ Gleeson Group P.L.C. 647,169 4,316,968 Mondi P.L.C. 4,406,737 73,257,173 Morgan Sindall Group P.L.C. 97,878 1,308,458 * Mothercare P.L.C. 176,010 556,073 MS International P.L.C. 30,000 105,115 National Express Group P.L.C. 3,523,732 16,622,922 #* New World Resources P.L.C. Class A 32,193 21,042 Northgate P.L.C. 2,583,495 22,614,917 Novae Group P.L.C. 616,957 5,647,549 Pace P.L.C. 1,127,260 6,946,161 Panther Securities P.L.C. 24,430 129,928 Pendragon P.L.C. 6,015,813 3,158,998 * Persimmon P.L.C. 7,739,467 171,754,093 * Petra Diamonds, Ltd. 21,276 58,691 # Petropavlovsk P.L.C. 898,784 1,034,460 Phoenix Group Holdings 914,410 10,544,719 Phoenix IT Group, Ltd. 16,230 30,228 * Premier Foods P.L.C. 14,447,341 14,041,712 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE++ ---------- --------------- UNITED KINGDOM -- (Continued) * Punch Taverns P.L.C. 9,491,987 $ 2,248,661 PV Crystalox Solar P.L.C. 131,337 48,354 * Quintain Estates & Development P.L.C. 7,566,122 12,961,323 REA Holdings P.L.C. 1,354 10,431 Redrow P.L.C. 5,600,709 27,105,978 * Renold P.L.C. 1,175,797 1,030,960 RPS Group P.L.C. 510,201 2,551,713 S&U P.L.C. 4,296 136,485 * Salamander Energy P.L.C. 1,363,504 3,088,978 * Severfield-Rowen P.L.C. 287,223 296,884 Shanks Group P.L.C. 5,901,551 10,188,059 SIG P.L.C. 14,208,459 46,048,206 Soco International P.L.C. 4,271 31,215 Speedy Hire P.L.C. 2,736,196 2,605,248 Spirit Pub Co. P.L.C. 11,153,659 14,786,827 * Sportech P.L.C. 132,623 194,763 St Ives P.L.C. 2,304,784 7,722,198 ST Modwen Properties P.L.C. 3,924,446 24,642,509 Taylor Wimpey P.L.C. 76,091,760 135,325,001 * Thomas Cook Group P.L.C. 26,803,185 79,232,848 Travis Perkins P.L.C. 4,514,252 130,328,001 Treatt P.L.C. 23,754 285,348 Trifast P.L.C. 888,900 1,387,668 * Trinity Mirror P.L.C. 7,644,285 22,402,574 TT electronics P.L.C. 2,534,061 8,959,864 TUI Travel P.L.C. 2,837,592 20,524,990 Tullett Prebon P.L.C. 12,661 68,054 UTV Media P.L.C. 1,877 7,602 # Vedanta Resources P.L.C. 12,652 202,599 Vesuvius P.L.C. 5,951,466 41,979,049 Vislink P.L.C. 338,887 269,707 Vp P.L.C. 315,426 3,416,798 * William Ransom & Son Holding P.L.C. 65,000 -- Xchanging P.L.C. 1,136,112 3,055,943 --------------- TOTAL UNITED KINGDOM 2,851,037,068 --------------- TOTAL COMMON STOCKS 12,247,761,434 --------------- PREFERRED STOCKS -- (0.0%) FRANCE -- (0.0%) * Valneva SE 13,627 10,799 --------------- RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) #* Aquarius Platinum, Ltd. Rights 05/14/14 1,820,266 194,468 --------------- AUSTRIA -- (0.0%) * Intercell AG 41,929 -- --------------- FRANCE -- (0.0%) * Peugeot SA Warrants 04/29/17 2,302,997 4,405,989 --------------- DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED SHARES VALUE++ ----------- --------------- HONG KONG -- (0.0%) * Sustainable Forest Holdings Rights 05/05/14 -- $ -- --------------- ISRAEL -- (0.0%) #* Africa Israel Investments, Ltd. Rights 05/01/14 65,805 56,668 --------------- SINGAPORE -- (0.0%) * Falcon Energy Group, Ltd. Rights 06/18/16 17,300 442 --------------- SWEDEN -- (0.0%) * East Capital Explorer Rights 06/04/14 91,353 21,426 --------------- TOTAL RIGHTS/WARRANTS 4,678,993 --------------- SHARES/ FACE AMOUNT (000) VALUE+ ----------- --------------- SECURITIES LENDING COLLATERAL -- (10.7%) (S)@ DFA Short Term Investment Fund 126,129,433 1,459,317,538 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $10,916,859,971) $13,711,768,764 =============== DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, 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 $ 741,079 $ 652,411,513 -- $ 653,152,592 Austria -- 106,850,406 -- 106,850,406 Belgium -- 113,216,088 -- 113,216,088 Canada 1,135,620,017 642,792 -- 1,136,262,809 China -- 7,371,120 -- 7,371,120 Denmark -- 253,135,634 -- 253,135,634 Finland 2,509 292,135,884 -- 292,138,393 France -- 534,757,813 -- 534,757,813 Germany 953 665,960,020 -- 665,960,973 Greece -- 550,774 -- 550,774 Hong Kong -- 277,530,134 -- 277,530,134 Ireland -- 52,070,445 -- 52,070,445 Israel -- 92,649,143 -- 92,649,143 Italy -- 526,245,791 -- 526,245,791 Japan 737,791 2,611,144,291 -- 2,611,882,082 Luxembourg -- 122,353 -- 122,353 Netherlands -- 284,105,119 -- 284,105,119 New Zealand -- 45,818,058 -- 45,818,058 Norway -- 127,240,320 -- 127,240,320 Portugal -- 79,884,002 -- 79,884,002 Singapore -- 192,081,968 -- 192,081,968 Spain 385,079 325,516,776 -- 325,901,855 Sweden -- 480,147,438 -- 480,147,438 Switzerland -- 537,649,056 -- 537,649,056 United Kingdom 1,357,865 2,849,679,203 -- 2,851,037,068 Preferred Stocks France -- 10,799 -- 10,799 Rights/Warrants Australia -- 194,468 -- 194,468 Austria -- -- -- -- France -- 4,405,989 -- 4,405,989 Hong Kong -- -- -- -- Israel -- 56,668 -- 56,668 Singapore -- 442 -- 442 Sweden -- 21,426 -- 21,426 Securities Lending Collateral -- 1,459,317,538 -- 1,459,317,538 -------------- --------------- -- --------------- TOTAL $1,138,845,293 $12,572,923,471 -- $13,711,768,764 ============== =============== == =============== INTERNATIONAL VECTOR EQUITY PORTFOLIO SCHEDULE OF INVESTMENTS APRIL 30, 2014 (UNAUDITED) SHARES VALUE++ ------- ---------- COMMON STOCKS -- (89.0%) AUSTRALIA -- (5.9%) Adelaide Brighton, Ltd. 154,024 $ 561,420 * Aditya Birla Minerals, Ltd. 33,991 7,421 * AED Oil, Ltd. 28,704 -- Ainsworth Game Technology, Ltd. 15,801 61,120 * AJ Lucas Group, Ltd. 9,790 8,357 * Alkane Resources, Ltd. 6,922 1,968 # ALS, Ltd. 49,670 347,392 * Alumina, Ltd. 879,559 1,104,854 * Alumina, Ltd. Sponsored ADR 900 4,464 Amalgamated Holdings, Ltd. 29,399 240,382 # Amcom Telecommunications, Ltd. 38,228 74,791 Amcor, Ltd. 47,016 451,211 AMP, Ltd. 209,126 984,180 # Ansell, Ltd. 12,381 208,509 * Antares Energy, Ltd. 43,975 16,378 AP Eagers, Ltd. 23,424 110,093 APA Group 39,105 242,386 * APN News & Media, Ltd. 152,148 100,344 #* Aquarius Platinum, Ltd. 33,735 12,090 #* Aquila Resources, Ltd. 29,686 69,248 ARB Corp., Ltd. 7,143 81,124 Aristocrat Leisure, Ltd. 45,027 211,248 Arrium, Ltd. 598,463 666,960 Asciano, Ltd. 270,029 1,362,668 * ASG Group, Ltd. 29,214 9,778 ASX, Ltd. 6,621 219,102 # Atlas Iron, Ltd. 352,706 299,138 * Aurora Oil & Gas, Ltd. 75,014 285,026 # Ausdrill, Ltd. 89,820 77,926 Ausenco, Ltd. 42,031 21,709 #* Austal, Ltd. 31,664 30,916 Austbrokers Holdings, Ltd. 8,522 80,555 # Austin Engineering, Ltd. 3,342 6,407 Australia & New Zealand Banking Group, Ltd. 122,194 3,929,487 * Australian Agricultural Co., Ltd. 157,340 187,218 Australian Infrastructure Fund, Ltd. 27,847 117 Australian Pharmaceutical Industries, Ltd. 53,097 28,644 Automotive Holdings Group, Ltd. 60,339 224,938 # Aveo Group 43,975 83,196 * AWE, Ltd. 237,537 347,006 Bank of Queensland, Ltd. 112,973 1,291,567 BC Iron, Ltd. 28,373 115,597 Beach Energy, Ltd. 597,115 955,601 * Beadell Resources, Ltd. 111,673 68,752 Bega Cheese, Ltd. 6,775 32,460 Bendigo and Adelaide Bank, Ltd. 131,710 1,411,618 BHP Billiton, Ltd. 47,918 1,687,509 BHP Billiton, Ltd. Sponsored ADR 10,469 738,483 * Billabong International, Ltd. 184,005 81,381 Blackmores, Ltd. 1,533 38,294 * BlueScope Steel, Ltd. 136,925 827,822 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ---------- AUSTRALIA -- (Continued) #* Boart Longyear, Ltd. 161,114 $ 42,856 Boral, Ltd. 262,721 1,394,305 # Bradken, Ltd. 97,128 383,323 Brambles, Ltd. 64,904 570,718 Breville Group, Ltd. 16,821 143,642 Brickworks, Ltd. 13,908 173,374 BT Investment Management, Ltd. 22,273 139,019 # Cabcharge Australia, Ltd. 56,351 203,408 Caltex Australia, Ltd. 20,543 426,439 # Cardno, Ltd. 57,211 372,594 * Carnarvon Petroleum, Ltd. 105,419 8,540 carsales.com, Ltd. 30,330 307,158 # Cash Converters International, Ltd. 113,888 115,593 # Cedar Woods Properties, Ltd. 6,427 43,286 * Centrebet International, Ltd. Claim Units 6,648 -- Challenger, Ltd. 61,701 405,948 * Citigold Corp., Ltd. 194,096 7,223 * Coal of Africa, Ltd. 24,372 1,684 Coca-Cola Amatil, Ltd. 19,595 169,159 # Cochlear, Ltd. 2,537 138,680 #* Cockatoo Coal, Ltd. 343,367 11,134 * Coffey International, Ltd. 53,206 11,179 Commonwealth Bank of Australia 24,869 1,829,386 Computershare, Ltd. 17,185 198,087 Crowe Horwath Australasia, Ltd. 29,289 10,070 Crown Resorts, Ltd. 17,087 255,685 # CSG, Ltd. 35,839 29,165 CSR, Ltd. 212,812 724,755 * Cue Energy Resources, Ltd. 31,448 3,515 # David Jones, Ltd. 188,572 690,804 Decmil Group, Ltd. 44,845 84,985 * Devine, Ltd. 2,971 1,958 # Domino's Pizza Enterprises, Ltd. 9,540 175,974 Downer EDI, Ltd. 200,211 934,648 #* Drillsearch Energy, Ltd. 117,789 176,383 DuluxGroup, Ltd. 74,977 400,468 Echo Entertainment Group, Ltd. 437,339 1,150,284 #* Elders, Ltd. 130,080 13,316 * Emeco Holdings, Ltd. 218,506 53,221 * Energy Resources of Australia, Ltd. 65,369 80,537 #* Energy World Corp., Ltd. 238,480 63,329 Envestra, Ltd. 84,700 91,922 ERM Power, Ltd. 6,408 10,923 Euroz, Ltd. 1,190 1,394 # Evolution Mining, Ltd. 113,903 90,877 Fairfax Media, Ltd. 927,563 847,490 * FAR, Ltd. 557,529 23,862 Finbar Group, Ltd. 18,455 28,419 # Fleetwood Corp., Ltd. 10,971 23,596 # Flight Centre Travel Group, Ltd. 3,479 174,486 #* Focus Minerals, Ltd. 1,266,046 14,230 #* Forge Group, Ltd. 32,407 -- INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- AUSTRALIA -- (Continued) # Fortescue Metals Group, Ltd. 56,742 $ 268,386 Funtastic, Ltd. 27,420 3,063 Goodman Fielder, Ltd. 762,944 478,812 # GrainCorp, Ltd. Class A 62,777 517,750 # Grange Resources, Ltd. 122,656 29,811 * Gryphon Minerals, Ltd. 9,576 1,213 # GUD Holdings, Ltd. 31,454 156,653 #* Gunns, Ltd. 75,334 -- GWA Group, Ltd. 90,077 226,005 # Harvey Norman Holdings, Ltd. 176,908 541,418 Helloworld, Ltd. 13,926 4,019 HFA Holdings, Ltd. 18,498 17,243 * Hillgrove Resources, Ltd. 159,287 10,094 Hills, Ltd. 81,191 127,762 #* Horizon Oil, Ltd. 329,531 116,709 iiNET, Ltd. 39,024 260,524 # Iluka Resources, Ltd. 38,230 317,607 # Imdex, Ltd. 49,768 34,107 # IMF Australia, Ltd. 9,076 15,666 Incitec Pivot, Ltd. 545,498 1,464,263 Independence Group NL 118,603 480,818 #* Infigen Energy 164,162 28,253 Insurance Australia Group, Ltd. 150,408 803,894 Invocare, Ltd. 16,232 160,924 IOOF Holdings, Ltd. 43,255 341,997 Iress, Ltd. 18,554 143,148 James Hardie Industries P.L.C. 25,155 322,945 James Hardie Industries P.L.C. Sponsored ADR 100 6,414 # JB Hi-Fi, Ltd. 21,943 394,315 * Kagara, Ltd. 52,508 1,122 #* Kingsgate Consolidated, Ltd. 46,190 38,615 # Leighton Holdings, Ltd. 8,095 143,947 Lend Lease Group 154,288 1,864,723 * Lynas Corp., Ltd. 90,195 13,826 # M2 Group, Ltd. 25,737 135,234 MACA, Ltd. 1,247 2,492 * Macmahon Holdings, Ltd. 239,512 23,485 Macquarie Atlas Roads Group 27,728 80,446 Macquarie Group, Ltd. 32,703 1,761,907 # Magellan Financial Group, Ltd. 10,100 118,032 * Matrix Composites & Engineering, Ltd. 4,880 5,611 MaxiTRANS Industries, Ltd. 31,085 27,736 * Mayne Pharma Group, Ltd. 78,756 62,402 # McMillan Shakespeare, Ltd. 3,935 35,643 McPherson's, Ltd. 18,083 19,654 * Medusa Mining, Ltd. 18,870 31,707 Melbourne IT, Ltd. 24,889 33,426 * MEO Australia, Ltd. 3,261 79 Mermaid Marine Australia, Ltd. 80,322 160,008 Metcash, Ltd. 84,038 217,097 Mincor Resources NL 50,636 37,955 * Mineral Deposits, Ltd. 28,317 52,676 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- AUSTRALIA -- (Continued) Mineral Resources, Ltd. 50,768 $ 551,220 # Monadelphous Group, Ltd. 17,744 289,303 Mortgage Choice, Ltd. 37,287 92,050 # Mount Gibson Iron, Ltd. 292,783 199,949 # Myer Holdings, Ltd. 258,248 534,999 National Australia Bank, Ltd. 100,779 3,318,388 Navitas, Ltd. 27,790 190,568 * Neon Energy, Ltd. 216,621 2,625 * Newcrest Mining, Ltd. 83,034 809,846 * Newsat, Ltd. 43,072 15,219 * Nexus Energy, Ltd. 247,654 4,601 NIB Holdings, Ltd. 72,257 184,980 Nick Scali, Ltd. 5,910 14,891 Northern Star Resources, Ltd. 128,136 140,165 # NRW Holdings, Ltd. 133,122 139,266 # Nufarm, Ltd. 87,859 339,882 Oakton, Ltd. 52,096 70,293 Oil Search, Ltd. 26,128 216,471 Orica, Ltd. 17,610 359,394 Origin Energy, Ltd. 187,380 2,603,063 Orora, Ltd. 35,397 45,897 OrotonGroup, Ltd. 3,801 14,522 * Otto Energy, Ltd. 72,021 5,832 OZ Minerals, Ltd. 139,318 479,470 Pacific Brands, Ltd. 392,183 184,651 #* Paladin Energy, Ltd. 206,356 83,925 PanAust, Ltd. 233,335 350,897 Panoramic Resources, Ltd. 77,236 45,308 Patties Foods, Ltd. 17,109 18,305 * Peet, Ltd. 39,333 47,140 Perpetual, Ltd. 7,438 325,610 * Pharmaxis, Ltd. 16,670 1,227 * Phosphagenics, Ltd. 15,812 1,355 Platinum Asset Management, Ltd. 12,467 76,593 * Platinum Australia, Ltd. 59,641 332 * PMP, Ltd. 31,929 12,653 Premier Investments, Ltd. 47,499 438,705 * Prima Biomed, Ltd. 75,579 2,564 Primary Health Care, Ltd. 221,489 968,068 Prime Media Group, Ltd. 26,352 24,243 Programmed Maintenance Services, Ltd. 53,595 141,912 #* Qantas Airways, Ltd. 387,643 440,957 QBE Insurance Group, Ltd. 103,881 1,121,150 Qube Holdings, Ltd. 94,316 195,303 #* Ramelius Resources, Ltd. 55,377 5,418 Ramsay Health Care, Ltd. 5,051 211,051 RCR Tomlinson, Ltd. 49,242 125,396 REA Group, Ltd. 2,598 113,305 * Recall Holdings, Ltd. 5,686 24,023 # Reckon, Ltd. 9,140 16,740 #* Red Fork Energy, Ltd. 57,145 5,579 Redflex Holdings, Ltd. 15,216 14,511 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- AUSTRALIA -- (Continued) Reece Australia, Ltd. 839 $ 23,768 * Regional Express Holdings, Ltd. 3,539 2,532 # Regis Resources, Ltd. 45,208 102,522 # Reject Shop, Ltd. (The) 5,498 51,212 * Resolute Mining, Ltd. 367,866 207,935 Retail Food Group, Ltd. 37,584 146,170 Ridley Corp., Ltd. 96,363 75,653 Rio Tinto, Ltd. 11,548 665,964 * Roc Oil Co., Ltd. 324,074 144,741 Ruralco Holdings, Ltd. 6,256 19,480 # SAI Global, Ltd. 58,423 232,134 Salmat, Ltd. 16,043 28,530 #* Samson Oil & Gas, Ltd. Sponsored ADR 10,577 3,810 * Sandfire Resources NL 14,961 79,477 Santos, Ltd. 156,393 2,005,171 * Saracen Mineral Holdings, Ltd. 224,944 69,254 Sedgman, Ltd. 31,588 13,210 Seek, Ltd. 14,293 223,854 Select Harvests, Ltd. 11,988 70,309 * Senex Energy, Ltd. 326,748 202,956 Servcorp, Ltd. 6,641 28,648 Service Stream, Ltd. 8,008 1,531 Seven Group Holdings, Ltd. 54,038 413,933 Seven West Media, Ltd. 261,604 454,548 Sigma Pharmaceuticals, Ltd. 469,203 316,655 * Silex Systems, Ltd. 12,982 21,890 * Silver Lake Resources, Ltd. 31,055 11,884 * Sims Metal Management, Ltd. 90,029 823,377 Sirtex Medical, Ltd. 7,001 102,758 Skilled Group, Ltd. 74,976 191,747 Slater & Gordon, Ltd. 19,395 85,096 # SMS Management & Technology, Ltd. 27,206 95,032 Sonic Healthcare, Ltd. 29,276 482,912 Southern Cross Media Group, Ltd. 228,397 273,512 # SP AusNet 75,503 98,392 Spark Infrastructure Group 139,752 229,653 Specialty Fashion Group, Ltd. 16,869 14,531 #* St Barbara, Ltd. 148,747 29,900 * Starpharma Holdings, Ltd. 7,460 4,929 * Strike Energy, Ltd. 53,210 5,945 STW Communications Group, Ltd. 144,818 190,228 Suncorp Group, Ltd. 164,691 2,000,038 * Sundance Energy Australia, Ltd. 36,246 35,141 Sunland Group, Ltd. 26,250 40,796 Super Retail Group, Ltd. 27,059 256,122 # Sydney Airport 37,045 145,567 Tabcorp Holdings, Ltd. 284,074 984,504 #* Tap Oil, Ltd. 84,108 32,477 Tassal Group, Ltd. 51,867 200,132 Tatts Group, Ltd. 470,472 1,323,237 Technology One, Ltd. 29,429 69,086 #* Ten Network Holdings, Ltd. 802,994 202,269 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ----------- AUSTRALIA -- (Continued) TFS Corp., Ltd. 42,008 $ 66,535 Thorn Group, Ltd. 3,330 6,630 * Tiger Resources, Ltd. 216,980 72,167 # Toll Holdings, Ltd. 240,423 1,185,909 Tox Free Solutions, Ltd. 41,221 132,745 TPG Telecom, Ltd. 31,955 177,192 #* Transfield Services, Ltd. 152,795 136,824 * Transpacific Industries Group, Ltd. 606,915 631,137 Treasury Wine Estates, Ltd. 233,547 831,739 #* Troy Resources, Ltd. 19,973 18,227 # UGL, Ltd. 71,764 451,326 * Unity Mining, Ltd. 19,146 285 # UXC, Ltd. 121,625 95,562 Village Roadshow, Ltd. 26,871 176,417 #* Virgin Australia Holdings, Ltd. 513,895 176,867 * Virgin Australia Holdings, Ltd. (ACI01NXR8) 272,729 -- * Vision Eye Institute, Ltd. 16,846 9,664 # Vocus Communications, Ltd. 12,384 51,921 # Washington H Soul Pattinson & Co., Ltd. 11,782 162,270 Watpac, Ltd. 27,998 20,975 # Webjet, Ltd. 10,348 26,459 Wesfarmers, Ltd. 46,850 1,864,597 # Western Areas, Ltd. 67,891 262,061 Westpac Banking Corp. 59,493 1,948,664 Westpac Banking Corp. Sponsored ADR 12,390 405,029 #* Whitehaven Coal, Ltd. 116,793 159,153 Wide Bay Australia, Ltd. 3,475 19,311 Woodside Petroleum, Ltd. 31,810 1,209,134 WorleyParsons, Ltd. 23,712 371,841 # Wotif.com Holdings, Ltd. 16,657 41,452 ----------- TOTAL AUSTRALIA 85,270,582 ----------- AUSTRIA -- (0.5%) * A-TEC Industries AG 1,773 -- Agrana Beteiligungs AG 505 58,454 Andritz AG 3,940 244,749 Atrium European Real Estate, Ltd. 5,591 32,203 Austria Technologie & Systemtechnik AG 6,876 80,285 * BUWOG AG 2,364 43,407 CA Immobilien Anlagen AG 920 17,537 Conwert Immobilien Invest SE 5,845 84,214 DO & CO AG 201 11,750 Erste Group Bank AG 24,020 807,657 EVN AG 3,508 48,887 # Flughafen Wien AG 3,555 349,022 IMMOFINANZ AG 47,292 175,623 # Kapsch TrafficCom AG 698 38,742 # Lenzing AG 716 45,707 # Mayr Melnhof Karton AG 1,419 180,671 Oberbank AG 693 48,025 # Oesterreichische Post AG 6,903 352,795 OMV AG 18,099 846,208 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- AUSTRIA -- (Continued) Palfinger AG 1,797 $ 66,499 Raiffeisen Bank International AG 19,884 628,544 RHI AG 6,707 234,771 Rosenbauer International AG 230 21,696 S IMMO AG 8,070 63,785 # Schoeller-Bleckmann Oilfield Equipment AG 2,311 293,772 Semperit AG Holding 2,201 122,882 Strabag SE 7,391 206,606 Telekom Austria AG 42,925 425,991 UNIQA Insurance Group AG 2,561 32,714 # Verbund AG 3,850 74,646 Vienna Insurance Group AG Wiener Versicherung Gruppe 3,618 193,498 Voestalpine AG 8,480 387,361 Wienerberger AG 53,576 994,446 * Wolford AG 299 7,890 Zumtobel AG 9,563 198,839 ---------- TOTAL AUSTRIA 7,419,876 ---------- BELGIUM -- (1.4%) * Ablynx NV 6,175 73,726 Ackermans & van Haaren NV 10,812 1,398,131 Ageas 48,413 2,083,480 * AGFA-Gevaert NV 75,049 287,535 Anheuser-Busch InBev NV 11,977 1,305,443 Anheuser-Busch InBev NV Sponsored ADR 3,863 408,783 Arseus NV 11,223 635,718 Atenor Group 168 9,304 Banque Nationale de Belgique 67 323,422 Barco NV 5,707 425,322 # Belgacom SA 32,120 983,114 Cie d'Entreprises CFE 3,168 349,078 Cie Immobiliere de Belgique SA 301 17,211 Cie Maritime Belge SA 4,562 135,564 Colruyt SA 2,575 145,605 D'ieteren SA 8,597 397,724 * Deceuninck NV 27,141 93,229 # Delhaize Group SA 24,963 1,858,826 Delhaize Group SA Sponsored ADR 29,692 554,647 # Econocom Group 16,217 173,917 Elia System Operator SA 3,018 160,078 * Euronav NV 14,364 173,819 EVS Broadcast Equipment SA 1,968 124,621 Exmar NV 12,278 204,927 * Ion Beam Applications 5,092 70,431 KBC Groep NV 32,265 1,968,903 Kinepolis Group NV 1,125 220,245 # Lotus Bakeries 28 31,102 Melexis NV 3,652 146,854 Mobistar SA 11,078 216,186 NV Bekaert SA 19,497 793,489 # Nyrstar NV 61,549 245,065 * Picanol 658 26,142 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ ----------- BELGIUM -- (Continued) Recticel SA 9,718 $ 87,511 * Rentabiliweb Group 846 12,653 Resilux 516 76,496 * Roularta Media Group NV 199 3,549 Sioen Industries NV 3,689 45,283 Sipef SA 1,388 121,241 Solvay SA 8,184 1,326,258 Telenet Group Holding NV 2,095 122,863 Tessenderlo Chemie NV 8,387 256,846 #* ThromboGenics NV 4,993 159,079 # UCB SA 4,943 405,457 # Umicore SA 18,515 907,581 Van de Velde NV 2,695 143,447 * Viohalco SA 25,814 161,737 ----------- TOTAL BELGIUM 19,871,642 ----------- BRAZIL -- (0.0%) * MBAC Fertilizer Corp. 4,200 2,108 ----------- CANADA -- (8.0%) * 5N Plus, Inc. 17,615 77,625 Absolute Software Corp. 7,651 47,956 # Acadian Timber Corp. 1,693 19,462 * Advantage Oil & Gas, Ltd. 74,652 472,684 Aecon Group, Inc. 30,473 511,845 # AG Growth International, Inc. 2,860 113,194 AGF Management, Ltd. Class B 27,267 303,754 Agnico Eagle Mines, Ltd.(008474108) 22,069 652,360 Agnico Eagle Mines, Ltd.(2009823) 5,661 167,188 Agrium, Inc. 5,000 480,224 Aimia, Inc. 28,372 456,882 * Ainsworth Lumber Co., Ltd. 24,449 83,872 * Air Canada Class A 4,300 30,012 Akita Drilling, Ltd. Class A 900 14,435 Alacer Gold Corp. 97,987 234,228 * Alamos Gold, Inc.(011527108) 12,700 118,364 Alamos Gold, Inc.(2411707) 4,796 44,851 #* Alexco Resource Corp. 12,984 17,058 Algoma Central Corp. 1,740 24,845 # Algonquin Power & Utilities Corp. 56,401 405,492 Alliance Grain Traders, Inc. 8,412 140,680 AltaGas, Ltd. 8,600 366,425 #* Alterra Power Corp. 14,500 4,233 Altus Group, Ltd. 10,000 177,455 * Alvopetro Energy, Ltd. 34,034 29,499 * Amerigo Resources, Ltd. 23,684 10,588 Amica Mature Lifestyles, Inc. 5,700 40,824 # ARC Resources, Ltd. 13,717 406,986 #* Argonaut Gold, Inc. 65,566 242,272 Arsenal Energy, Inc. 1,950 11,920 #* Artek Exploration, Ltd. 14,249 55,511 Atco, Ltd. Class I 2,500 122,052 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- CANADA -- (Continued) #* Athabasca Oil Corp. 125,900 $ 935,018 * ATS Automation Tooling Systems, Inc. 19,824 256,832 # AuRico Gold, Inc. 111,567 464,163 AutoCanada, Inc. 2,600 166,051 * Avigilon Corp. 5,801 136,603 Axia NetMedia Corp. 6,400 15,065 * B2Gold Corp. 323,700 930,300 Badger Daylighting, Ltd. 7,626 265,785 #* Ballard Power Systems, Inc. 16,800 61,311 Bank of Montreal(063671101) 5,272 363,452 # Bank of Montreal(2076009) 15,794 1,088,670 Bank of Nova Scotia(064149107) 19,649 1,194,266 Bank of Nova Scotia(2076281) 6,849 416,170 * Bankers Petroleum, Ltd. 128,781 701,448 Barrick Gold Corp.(067901108) 43,692 763,299 Barrick Gold Corp.(2024644) 9,774 170,591 * Bauer Performance Sports, Ltd. 6,734 93,264 # Baytex Energy Corp.(B4VGVM3) 900 37,460 Baytex Energy Corp.(07317Q105) 3,602 149,843 # Bell Aliant, Inc. 3,427 84,420 * Bellatrix Exploration, Ltd. 48,102 467,832 * Birchcliff Energy, Ltd. 45,947 532,810 # Bird Construction, Inc. 4,259 54,789 Black Diamond Group, Ltd. 8,141 255,954 #* BlackBerry, Ltd.(09228F103) 14,200 108,772 #* BlackBerry, Ltd.(BCBHZ31) 71,549 546,385 * BlackPearl Resources, Inc. 94,016 264,193 * BNK Petroleum, Inc. 36,542 69,680 # Bombardier, Inc. Class B 44,360 178,484 # Bonavista Energy Corp. 54,911 862,705 # Bonterra Energy Corp. 3,497 182,404 Boralex, Inc. Class A 9,900 115,254 * Brookfield Residential Properties, Inc. 4,535 88,931 CAE, Inc. 16,827 222,149 Calfrac Well Services, Ltd. 10,064 348,459 Calian Technologies, Ltd. 1,000 17,289 * Calvalley Petroleums, Inc. Class A 9,805 14,134 Cameco Corp. 26,849 571,495 Canaccord Genuity Group, Inc. 34,830 300,932 * Canacol Energy, Ltd. 29,015 218,659 Canada Bread Co., Ltd. 1,900 125,228 # Canadian Energy Services & Technology Corp. 6,044 178,224 Canadian Imperial Bank of Commerce(2170525) 4,351 387,920 # Canadian Imperial Bank of Commerce(136069101) 2,103 187,693 Canadian Natural Resources, Ltd.(136385101) 42,168 1,719,189 Canadian Natural Resources, Ltd.(2171573) 17,000 692,687 Canadian Oil Sands, Ltd. 26,860 582,267 Canadian Tire Corp., Ltd. Class A 12,116 1,189,989 Canadian Western Bank 19,600 664,152 Canam Group, Inc. Class A 14,000 179,079 CanElson Drilling, Inc. 24,445 183,329 # Canexus Corp. 6,800 29,904 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- CANADA -- (Continued) * Canfor Corp. 24,916 $565,131 Canfor Pulp Products, Inc. 12,418 137,997 CanWel Building Materials Group, Ltd. 11,100 26,635 # Canyon Services Group, Inc. 13,638 187,638 # Capital Power Corp. 8,949 201,017 Capstone Infrastructure Corp. 42,347 156,476 * Capstone Mining Corp. 136,689 360,413 Cascades, Inc. 31,391 183,870 * Cash Store Financial Services, Inc. (The) 400 42 * Catamaran Corp 1,904 71,876 * Catamaran Corp. 4,000 151,964 Cathedral Energy Services, Ltd. 19,963 77,954 CCL Industries, Inc. Class B 6,734 612,299 * Celestica, Inc.(2263362) 70,411 781,167 * Celestica, Inc.(15101Q108) 3,032 33,655 Cenovus Energy, Inc.(B57FG04) 6,900 205,543 Cenovus Energy, Inc.(15135U109) 2,807 83,564 Centerra Gold, Inc. 52,007 266,666 * Cequence Energy, Ltd. 54,192 149,318 Cervus Equipment Corp. 600 11,775 #* CGI Group, Inc. Class A(2159740) 7,471 269,380 * CGI Group, Inc. Class A(39945C109) 3,809 137,391 #* China Gold International Resources Corp., Ltd. 65,111 167,522 * Chinook Energy, Inc. 15,622 27,366 Churchill Corp. Class A 6,050 61,104 CI Financial Corp. 5,639 183,156 # Cineplex, Inc. 10,457 394,123 Clairvest Group, Inc. 100 2,167 * Claude Resources, Inc. 31,500 5,173 Clearwater Seafoods, Inc. 2,000 13,868 Cogeco Cable, Inc. 5,406 295,935 Cogeco, Inc. 971 50,887 Colabor Group, Inc. 7,067 22,438 * COM DEV International, Ltd. 30,513 101,613 Computer Modelling Group, Ltd. 4,907 133,772 * Connacher Oil and Gas, Ltd. 159,621 47,331 Constellation Software, Inc. 549 121,591 Contrans Group, Inc. Class A 7,389 96,942 #* Copper Mountain Mining Corp. 36,819 78,270 Corby Spirit and Wine, Ltd. 2,450 48,886 #* Corridor Resources, Inc. 12,900 26,246 # Corus Entertainment, Inc. Class B 26,100 586,271 Cott Corp.(2228952) 38,160 309,862 Cott Corp.(22163N106) 4,928 40,015 # Crescent Point Energy Corp. 8,000 325,460 * Crew Energy, Inc. 66,491 753,449 * Crocotta Energy, Inc. 25,080 86,037 # Davis + Henderson Corp. 16,978 491,658 * DeeThree Exploration, Ltd. 19,816 212,253 * Delphi Energy Corp. 70,437 215,286 #* Denison Mines Corp. 118,547 162,238 * Descartes Systems Group, Inc. (The) 9,080 123,022 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- CANADA -- (Continued) DHX Media, Ltd. 11,800 $ 53,076 # DirectCash Payments, Inc. 1,200 16,160 Dollarama, Inc. 2,433 202,356 * Dominion Diamond Corp.(B95LX89) 18,256 229,356 * Dominion Diamond Corp.(257287102) 15,209 191,481 Dorel Industries, Inc. Class B 13,011 466,285 #* DragonWave, Inc. 6,969 9,665 * Dundee Precious Metals, Inc. 29,945 99,448 * Dynasty Metals & Mining, Inc. 1,882 2,318 E-L Financial Corp., Ltd. 111 74,580 Eldorado Gold Corp. 104,110 634,510 # Emera, Inc. 2,100 64,951 Empire Co., Ltd. 6,100 385,852 # Enbridge Income Fund Holdings, Inc. 4,401 106,968 Encana Corp. 13,705 317,476 * Endeavour Mining Corp. 66,043 51,820 * Endeavour Silver Corp. 34,121 155,966 Enerflex, Ltd. 2,500 39,779 #* Energy Fuels, Inc. 5,605 43,573 Enerplus Corp.(292766102) 39,171 869,988 # Enerplus Corp.(B584T89) 20,675 458,564 Enghouse Systems, Ltd. 2,527 72,048 Ensign Energy Services, Inc. 47,503 747,618 #* Epsilon Energy, Ltd. 14,550 53,100 Equal Energy, Ltd. 9,801 44,353 Equitable Group, Inc. 2,250 123,631 * Equity Financial Holdings, Inc. 800 6,861 * Essential Energy Services Trust 59,621 155,573 Evertz Technologies, Ltd. 2,800 41,640 * Excellon Resources, Inc. 5,300 7,012 # Exchange Income Corp. 1,600 27,108 Exco Technologies, Ltd. 5,657 47,742 #* EXFO, Inc. 7,513 33,930 # Extendicare, Inc. 23,204 142,690 Fairfax Financial Holdings, Ltd. 3,937 1,716,612 Finning International, Inc. 19,310 521,487 First Capital Realty, Inc. 6,035 98,835 * First Majestic Silver Corp.(32076V103) 15,396 146,262 * First Majestic Silver Corp.(2833583) 12,400 117,659 First National Financial Corp. 600 13,034 # First Quantum Minerals, Ltd. 93,427 1,860,784 FirstService Corp. 4,219 208,246 #* Fortress Paper, Ltd. Class A 2,299 6,607 * Fortuna Silver Mines, Inc. 55,988 231,911 #* Fortune Bay Corp. 6,059 1,658 Gamehost, Inc. 1,632 22,290 #* Gasfrac Energy Services, Inc. 5,600 10,219 * Genesis Land Development Corp. 8,400 31,039 # Genworth MI Canada, Inc. 17,365 609,173 George Weston, Ltd. 3,972 299,264 Gibson Energy, Inc. 11,200 298,994 Gildan Activewear, Inc. 6,523 333,455 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- CANADA -- (Continued) Glacier Media, Inc. 3,000 $ 3,914 Glentel, Inc. 400 4,179 Gluskin Sheff + Associates, Inc. 5,579 167,668 * GLV, Inc. Class A 8,028 29,371 GMP Capital, Inc. 20,353 154,312 Goldcorp, Inc.(380956409) 23,766 587,496 Goldcorp, Inc.(2676302) 14,911 368,269 #* Golden Star Resources, Ltd. 73,980 45,223 * Gran Tierra Energy, Inc.(38500T101) 1,100 7,865 * Gran Tierra Energy, Inc.(B2PPCS5) 125,255 890,230 * Great Canadian Gaming Corp. 14,900 205,953 Great-West Lifeco, Inc. 6,100 171,638 * Heroux-Devtek, Inc. 5,375 56,200 High Liner Foods, Inc. 1,612 65,154 # HNZ Group, Inc. 2,200 45,202 # Home Capital Group, Inc. 5,000 211,259 Horizon North Logistics, Inc. 36,855 268,666 HudBay Minerals, Inc.(443628102) 3,790 33,200 HudBay Minerals, Inc.(B05BDX1) 70,509 601,486 Husky Energy, Inc. 15,439 504,562 IAMGOLD Corp.(450913108) 23,010 80,305 IAMGOLD Corp.(2446646) 157,060 547,392 # IGM Financial, Inc. 1,700 84,670 * Imax Corp.(45245E109) 3,828 98,150 #* Imax Corp.(2014258) 5,400 138,393 * Imperial Metals Corp. 5,424 69,034 Imperial Oil, Ltd.(453038408) 3,008 146,790 Imperial Oil, Ltd.(2454241) 776 37,892 * Imris, Inc. 4,300 5,139 Indigo Books & Music, Inc. 1,600 14,306 Industrial Alliance Insurance & Financial Services, Inc. 24,398 1,007,262 # Innergex Renewable Energy, Inc. 28,613 276,719 Intact Financial Corp. 5,604 367,976 # Inter Pipeline, Ltd. 5,271 143,311 * International Forest Products, Ltd. Class A 24,885 377,345 Intertape Polymer Group, Inc. 14,069 165,072 * Ithaca Energy, Inc. 118,434 311,199 #* Ivanhoe Energy, Inc. 19,212 9,641 #* Jaguar Mining, Inc. 16,500 828 Jean Coutu Group PJC, Inc. (The) Class A 4,900 98,756 Just Energy Group, Inc.(B693818) 2,300 18,285 # Just Energy Group, Inc.(B63MCN1) 12,408 98,603 # K-Bro Linen, Inc. 900 32,845 * Katanga Mining, Ltd. 83,398 35,382 * Kelt Exploration, Ltd. 3,000 37,690 # Keyera Corp. 3,900 259,395 # Killam Properties, Inc. 9,800 93,436 Kinross Gold Corp.(496902404) 4,318 17,531 # Kinross Gold Corp.(B03Z841) 151,404 614,705 #* Kirkland Lake Gold, Inc. 9,588 27,031 * Knight Therapeutics, Inc. 1,963 10,406 #* Lake Shore Gold Corp. 169,698 136,248 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- CANADA -- (Continued) Laurentian Bank of Canada 11,297 $ 485,254 * Le Chateau, Inc. Class A 500 1,245 * Legacy Oil + Gas, Inc. 97,329 757,462 # Leisureworld Senior Care Corp. 12,345 137,636 # Leon's Furniture, Ltd. 5,538 76,094 # Lightstream Resources, Ltd. 83,605 502,673 Linamar Corp. 16,431 822,562 # Liquor Stores N.A., Ltd. 11,917 129,167 Loblaw Cos., Ltd. 10,961 476,505 # Long Run Exploration, Ltd. 41,239 208,441 * Lucara Diamond Corp. 57,464 100,138 * Lundin Mining Corp. 4,118 21,040 MacDonald Dettwiler & Associates, Ltd. 2,340 181,470 Magna International, Inc. 19,042 1,865,544 Major Drilling Group International, Inc. 37,744 296,842 Manitoba Telecom Services, Inc. 5,268 145,584 Manulife Financial Corp.(56501R106) 44,465 833,719 Manulife Financial Corp.(2492519) 40,805 766,176 Maple Leaf Foods, Inc. 35,259 582,583 Martinrea International, Inc. 22,401 225,635 #* Maxim Power Corp. 2,200 6,032 McCoy Corp. 2,300 13,220 Medical Facilities Corp. 6,292 109,359 * MEG Energy Corp. 21,895 788,264 #* MEGA Brands, Inc. 3,400 55,030 Melcor Developments, Ltd. 3,353 70,055 * Mercator Minerals, Ltd. 30,547 2,926 # Methanex Corp. 11,900 737,093 # Metro, Inc. 8,669 534,353 #* Migao Corp. 6,589 8,717 * Mitel Networks Corp. 12,678 116,133 #* Mood Media Corp. 19,033 10,419 # Morneau Shepell, Inc. 13,596 198,969 MTY Food Group, Inc. 200 5,529 # Mullen Group, Ltd. 19,567 530,570 National Bank of Canada 10,200 423,337 Nevsun Resources, Ltd. 96,896 350,967 # New Flyer Industries, Inc. 15,160 160,722 * New Gold, Inc. 116,688 589,801 Newalta Corp. 22,183 406,805 #* Niko Resources, Ltd. 27,147 51,022 Norbord, Inc. 7,302 178,878 * Nordion, Inc.(65563C105) 5,694 65,937 * Nordion, Inc.(2559696) 12,800 147,964 North American Energy Partners, Inc. 5,546 43,567 #* North American Palladium, Ltd. 37,050 10,733 North West Co., Inc. (The) 9,475 209,547 # Northland Power, Inc. 22,966 358,932 #* Novagold Resources, Inc. 42,029 148,015 * NuVista Energy, Ltd. 50,127 500,332 * OceanaGold Corp. 156,100 395,929 Onex Corp. 6,200 354,108 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- CANADA -- (Continued) # Open Text Corp. 6,200 $ 305,743 * Orvana Minerals Corp. 13,000 7,591 * Osisko Mining Corp. 190,528 1,364,577 Pacific Rubiales Energy Corp. 94,674 1,545,293 * Painted Pony Petroleum, Ltd. 16,737 172,860 Pan American Silver Corp.(697900108) 41,821 542,000 Pan American Silver Corp.(2669272) 30,737 398,214 * Paramount Resources, Ltd. Class A 3,054 166,179 * Parex Resources, Inc. 42,578 425,761 # Parkland Fuel Corp. 16,302 301,930 Pason Systems, Inc. 12,407 344,573 * Pembina Pipeline Corp.(B4PPQG5) 3,496 137,463 # Pembina Pipeline Corp.(B4PT2P8) 4,324 169,895 # Pengrowth Energy Corp. 158,350 1,028,650 # Penn West Petroleum, Ltd.(B63FY34) 55,555 502,304 Penn West Petroleum, Ltd.(707887105) 79,923 724,102 * Perpetual Energy, Inc. 17,275 28,370 # Peyto Exploration & Development Corp. 4,810 177,339 # PHX Energy Services Corp. 5,772 79,572 #* Poseidon Concepts Corp. 6,541 16 Potash Corp. of Saskatchewan, Inc. 10,712 387,346 Precision Drilling Corp. 83,917 1,091,024 Premium Brands Holdings Corp. 4,923 94,997 * Primero Mining Corp.(74164W106) 6,304 39,904 * Primero Mining Corp.(B4Z8FV2) 32,167 203,382 Progressive Waste Solutions, Ltd. 16,623 404,636 Pulse Seismic, Inc. 14,104 47,097 Pure Technologies, Ltd. 5,100 32,897 QLT, Inc. 3,731 21,582 Quebecor, Inc. Class B 16,000 377,355 #* Questerre Energy Corp. Class A 16,560 19,037 Reitmans Canada, Ltd. 700 4,177 Reitmans Canada, Ltd. Class A 20,260 122,922 Richelieu Hardware, Ltd. 2,000 89,576 * Richmont Mines, Inc. 10,500 13,508 Ritchie Bros Auctioneers, Inc.(767744105) 11,313 282,825 # Ritchie Bros Auctioneers, Inc.(2345390) 3,200 79,967 * RMP Energy, Inc. 33,092 252,104 * Rock Energy, Inc. 10,029 59,933 Rocky Mountain Dealerships, Inc. 5,500 53,141 # Rogers Sugar, Inc. 22,850 102,153 # RONA, Inc. 55,802 562,577 Royal Bank of Canada(780087102) 6,471 432,263 # Royal Bank of Canada(2754383) 14,000 934,355 # Russel Metals, Inc. 19,062 560,877 #* San Gold Corp. 1,146 173 #* Sandstorm Gold, Ltd. 22,721 125,830 * Sandvine Corp. 26,856 95,560 Saputo, Inc. 5,511 294,694 Savanna Energy Services Corp. 38,360 311,136 * Scorpio Mining Corp. 31,700 7,520 Sears Canada, Inc. 5,764 84,405 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- CANADA -- (Continued) Secure Energy Services, Inc. 13,800 $ 247,533 SEMAFO, Inc. 113,095 423,055 Shaw Communications, Inc. Class B(82028K200) 1,000 24,230 # Shaw Communications, Inc. Class B(2801836) 4,800 116,272 ShawCor, Ltd. 13,467 599,844 Sherritt International Corp. 104,009 440,310 * Sierra Wireless, Inc.(826516106) 2,633 56,767 #* Sierra Wireless, Inc.(2418968) 11,300 243,929 * Silver Standard Resources, Inc.(82823L106) 7,595 75,266 * Silver Standard Resources, Inc.(2218458) 28,273 279,880 Silver Wheaton Corp. 9,100 201,835 SNC-Lavalin Group, Inc. 2,900 131,552 * Solium Capital, Inc. 3,494 21,103 * Sonde Resources Corp. 9,810 4,475 #* Southern Pacific Resource Corp. 90,301 26,364 #* SouthGobi Resources, Ltd. 14,057 8,978 Sprott Resource Corp. 7,585 17,508 # Sprott, Inc. 35,946 106,585 # Spyglass Resources Corp. 49,869 82,352 * St Andrew Goldfields, Ltd. 48,000 14,233 Stantec, Inc. 6,512 385,949 Stella-Jones, Inc. 6,100 166,741 Strad Energy Services, Ltd. 4,059 16,628 # Student Transportation, Inc. 11,777 72,743 Sun Life Financial, Inc.(866796105) 2,998 101,452 # Sun Life Financial, Inc.(2566124) 24,578 831,936 Suncor Energy, Inc.(867224107) 58,349 2,252,271 Suncor Energy, Inc.(B3NB1P2) 44,972 1,734,790 * SunOpta, Inc.(8676EP108) 8,718 101,739 * SunOpta, Inc.(2817510) 14,332 166,458 # Superior Plus Corp. 27,593 332,561 # Surge Energy, Inc. 58,099 367,343 #* TAG Oil, Ltd. 23,355 67,974 Talisman Energy, Inc.(87425E103) 9,212 95,160 Talisman Energy, Inc.(2068299) 143,579 1,484,193 * Taseko Mines, Ltd. 74,175 160,389 Teck Resources, Ltd. Class B(878742204) 9,096 207,116 Teck Resources, Ltd. Class B(2879327) 17,000 387,446 # TELUS Corp. 10,600 373,498 #* Tembec, Inc. 20,232 44,671 #* Teranga Gold Corp.(B5TDK82) 40,596 26,668 #* Teranga Gold Corp.(B4L8QT1) 11,133 7,695 * Theratechnologies, Inc. 2,900 1,508 * Thompson Creek Metals Co., Inc.(884768102) 9,468 25,374 #* Thompson Creek Metals Co., Inc.(2439806) 60,900 163,356 # Thomson Reuters Corp. 10,416 376,993 Tim Hortons, Inc.(88706M103) 2,204 120,978 Tim Hortons, Inc.(B4R2V25) 3,300 181,010 * Timmins Gold Corp. 46,531 65,378 TMX Group, Ltd. 4,643 244,594 TORC Oil & Gas, Ltd. 26,977 329,319 Toromont Industries, Ltd. 16,084 397,826 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ------------ CANADA -- (Continued) Toronto-Dominion Bank (The)(891160509) 2,598 $ 124,938 Toronto-Dominion Bank (The)(2897222) 42,258 2,032,995 Torstar Corp. Class B 30,474 181,557 Total Energy Services, Inc. 10,884 214,492 * Tourmaline Oil Corp. 6,205 321,276 TransAlta Corp.(89346D107) 22,317 272,714 # TransAlta Corp.(2901628) 21,557 263,353 TransCanada Corp. 12,267 571,688 Transcontinental, Inc. Class A 29,500 429,830 TransForce, Inc. 19,881 434,061 * TransGlobe Energy Corp. 35,703 278,184 Trican Well Service, Ltd. 66,545 953,201 # Trilogy Energy Corp. 3,243 88,764 Trinidad Drilling, Ltd. 66,169 740,141 * Turquoise Hill Resources, Ltd.(900435108) 17,904 69,826 * Turquoise Hill Resources, Ltd.(B7WJ1F5) 75,598 293,826 * TVA Group, Inc. Class B 653 5,213 # Twin Butte Energy, Ltd. 115,616 248,943 Uni-Select, Inc. 2,800 76,715 Valener, Inc. 5,089 72,478 # Veresen, Inc. 18,800 278,042 * Vermilion Energy, Inc.(923725105) 1,400 93,464 # Vermilion Energy, Inc.(B607XS1) 900 59,885 # Wajax Corp. 7,009 226,695 WaterFurnace Renewable Energy, Inc. 913 19,117 * Wesdome Gold Mines, Ltd. 14,500 10,980 West Fraser Timber Co., Ltd. 12,562 561,597 Western Energy Services Corp. 19,695 202,332 Western Forest Products, Inc. 70,743 141,350 WesternOne, Inc. 1,600 10,948 Westjet Airlines, Ltd. 700 15,941 Westshore Terminals Investment Corp. 9,428 306,396 Whistler Blackcomb Holdings, Inc. 8,400 125,688 # Whitecap Resources, Inc. 48,547 640,472 Wi-Lan, Inc. 35,216 108,278 Winpak, Ltd. 3,603 90,794 WSP Global, Inc. 13,243 453,214 * Xtreme Drilling and Coil Services Corp. 17,787 81,304 Yamana Gold, Inc.(2219279) 98,105 734,859 Yamana Gold, Inc.(98462Y100) 6,868 51,373 * Yellow Media, Ltd. 800 16,795 # Zargon Oil & Gas, Ltd. 10,757 94,806 ------------ TOTAL CANADA 116,086,834 ------------ CHINA -- (0.0%) * Hanfeng Evergreen, Inc. 5,700 3,588 * Superb Summit International Group, Ltd. 1,053,000 140,047 ------------ TOTAL CHINA 143,635 ------------ DENMARK -- (1.5%) ALK-Abello A.S. 2,748 381,294 * Alm Brand A.S. 40,716 197,763 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- DENMARK -- (Continued) # Ambu A.S. Class B 2,040 $ 136,408 AP Moeller - Maersk A.S. Class A 140 318,061 AP Moeller - Maersk A.S. Class B 325 775,859 * Auriga Industries A.S. Class B 5,968 221,027 * Bang & Olufsen A.S. 17,643 182,229 * Bavarian Nordic A.S. 11,500 244,121 Carlsberg A.S. Class B 4,198 419,936 Chr Hansen Holding A.S. 10,567 476,411 Coloplast A.S. Class B 3,661 307,498 D/S Norden A.S. 12,539 501,527 Danske Bank A.S. 32,955 932,403 Dfds A.S. 1,993 157,594 DSV A.S. 31,347 1,046,964 East Asiatic Co., Ltd. A.S. 3,691 49,070 # FLSmidth & Co. A.S. 12,002 642,558 * Genmab A.S. 6,263 233,319 GN Store Nord A.S. 39,518 954,703 H Lundbeck A.S. 9,527 277,664 * H+H International A.S. Class B 1,940 16,841 Harboes Bryggeri A.S. Class B 511 8,885 IC Companys A.S. 2,785 83,151 Jeudan A.S. 667 75,195 * Jyske Bank A.S. 30,655 1,685,408 NKT Holding A.S. 10,884 686,683 Nordjyske Bank A.S. 140 3,025 Norresundby Bank A.S. 195 9,621 Novo Nordisk A.S. Class B 31,576 1,433,108 Novozymes A.S. Class B 7,154 342,999 Pandora A.S. 12,272 827,262 * Parken Sport & Entertainment A.S. 848 11,270 PER Aarsleff A.S. Class B 608 110,231 Ringkjoebing Landbobank A.S. 1,459 333,832 Rockwool International A.S. Class B 2,073 399,868 * Royal UNIBREW 3,788 589,646 Schouw & Co. 6,091 340,000 SimCorp A.S. 8,217 315,481 Solar A.S. Class B 2,269 156,937 Spar Nord Bank A.S. 35,518 399,864 * Sydbank A.S. 32,488 866,516 TDC A.S. 61,815 580,497 Tivoli A.S. 1 565 * TK Development A.S. 10,510 18,100 * Topdanmark A.S. 30,020 878,376 #* TopoTarget A.S. 61,560 41,172 #* Torm A.S. 166,552 42,196 Tryg A.S. 2,508 238,194 United International Enterprises 798 159,536 * Vestas Wind Systems A.S. 37,011 1,643,698 * Vestjysk Bank A.S. 1,419 2,375 * William Demant Holding A.S. 2,926 262,205 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- DENMARK -- (Continued) #* Zealand Pharma A.S. 157 $ 1,941 ----------- TOTAL DENMARK 21,021,087 ----------- FINLAND -- (1.9%) Afarak Group Oyj 27,643 14,534 Ahlstrom Oyj 6,489 69,149 Aktia Bank Oyj 2,082 26,074 Alma Media Oyj 6,053 22,183 Amer Sports Oyj 43,980 909,316 Apetit Oyj 276 7,393 Aspo Oyj 2,729 22,623 Atria P.L.C. 3,573 35,278 Bank of Aland P.L.C. Class B 5 61 BasWare Oyj 270 12,794 # Cargotec Oyj 14,768 660,169 Caverion Corp. 17,245 191,590 Citycon Oyj 49,162 184,465 Cramo Oyj 5,196 116,099 Elektrobit Oyj 47,687 174,269 Elisa Oyj 32,731 978,172 F-Secure Oyj 14,826 50,040 * Finnair Oyj 30,953 129,151 * Finnlines Oyj 894 9,693 Fiskars Oyj Abp 5,171 140,306 # Fortum Oyj 101,620 2,295,807 HKScan Oyj Class A 7,992 42,401 Huhtamaki Oyj 29,458 774,574 Ilkka-Yhtyma Oyj 3,592 12,462 Kemira Oyj 39,860 609,294 Kesko Oyj Class A 817 32,635 Kesko Oyj Class B 30,508 1,248,773 # Kone Oyj Class B 13,756 589,657 Konecranes Oyj 8,811 284,387 Lassila & Tikanoja Oyj 9,355 182,161 * Lemminkainen Oyj 2,049 39,700 Metsa Board Oyj 83,757 392,075 # Metso Oyj 21,081 848,505 Munksjo Oyj 3,591 29,044 # Neste Oil Oyj 54,705 1,125,048 #* Nokia Oyj 438,160 3,280,754 # Nokian Renkaat Oyj 13,250 527,269 Okmetic Oyj 2,360 15,106 Olvi Oyj Class A 2,656 89,564 * Oriola-KD Oyj Class B 40,778 135,191 Orion Oyj Class A 3,872 118,742 Orion Oyj Class B 20,499 625,684 #* Outokumpu Oyj 1,501,905 459,532 # Outotec Oyj 15,432 172,953 PKC Group Oyj 7,437 246,700 Ponsse Oy 608 9,313 * Poyry Oyj 6,843 37,847 Raisio P.L.C. Class V 42,361 277,072 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ----------- FINLAND -- (Continued) # Ramirent Oyj 26,412 $ 296,053 * Rautaruukki Oyj 41,660 519,006 Saga Furs Oyj 284 11,207 Sampo Class A 17,165 853,093 Sanoma Oyj 32,889 221,463 Sievi Capital P.L.C. 9,299 18,560 Stockmann Oyj Abp(5462371) 2,666 38,132 # Stockmann Oyj Abp(5462393) 9,801 139,194 Stora Enso Oyj Class R 184,454 1,883,572 * Talvivaara Mining Co. P.L.C. 190,260 22,326 Technopolis Oyj 11,219 68,295 Tieto Oyj 30,114 824,077 Tikkurila Oyj 6,711 166,555 UPM-Kymmene Oyj 170,168 2,980,288 Uponor Oyj 11,072 219,327 Vacon P.L.C. 4,856 201,478 Vaisala Oyj Class A 1,578 51,354 Valmet Corp. 8,626 100,789 Wartsila Oyj Abp 7,861 438,840 # YIT Oyj 29,594 304,404 ----------- TOTAL FINLAND 27,613,622 ----------- FRANCE -- (6.6%) # Accor SA 5,760 282,007 Actia Group 1,492 11,375 Aeroports de Paris 1,173 145,869 #* Air France-KLM 45,894 660,232 Akka Technologies SA 1,139 41,270 Albioma 7,686 214,620 * Alcatel-Lucent 763,771 3,028,903 Alcatel-Lucent Sponsored ADR 32,900 128,310 Alstom SA 8,571 354,188 Altamir 2,833 42,925 Alten SA 8,403 429,324 Altran Technologies SA 39,678 432,581 April 6,744 161,206 #* Archos 3,060 14,022 Arkema SA 7,800 871,199 Assystem 3,682 118,685 AtoS 10,337 893,034 Aubay 672 10,905 * Audika Groupe 1,518 27,846 AXA SA 76,463 1,995,379 AXA SA Sponsored ADR 14,588 366,159 Axway Software SA 1,450 49,996 #* Beneteau SA 8,579 148,617 * Bigben Interactive 1,386 14,384 BioMerieux 2,454 268,063 BNP Paribas SA 41,203 3,096,177 Boiron SA 1,869 157,657 * Bollore SA(BDGTH22) 5 3,087 Bollore SA(4572709) 610 388,790 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- FRANCE -- (Continued) Bonduelle SCA 5,432 $ 157,543 Bongrain SA 1,522 133,079 Bourbon SA 23,435 773,324 * Boursorama 7,609 127,460 # Bouygues SA 42,666 1,921,715 #* Bull 26,345 139,817 Bureau Veritas SA 5,985 183,408 Burelle SA 29 31,221 Cap Gemini SA 13,755 971,841 # Carrefour SA 36,982 1,441,597 Casino Guichard Perrachon SA 17,533 2,234,110 * Cegedim SA 820 30,091 Cegid Group 3,249 136,114 * CGG SA 18,610 321,986 * CGG SA Sponsored ADR 16,300 280,360 #* Chargeurs SA 3,615 28,272 Christian Dior SA 799 164,399 Cie de St-Gobain 42,228 2,587,117 * Cie des Alpes 804 18,051 Cie Generale des Etablissements Michelin 14,641 1,795,437 Ciments Francais SA 2,319 249,386 * Club Mediterranee SA 7,116 185,530 CNP Assurances 27,829 642,002 * Credit Agricole SA 153,510 2,422,149 Dassault Systemes 1,344 165,390 Derichebourg SA 41,333 161,138 Devoteam SA 983 25,061 Edenred 7,935 268,194 Eiffage SA 8,750 661,430 Electricite de France SA 8,529 327,521 Electricite de Strasbourg 88 13,873 # Eramet 1,447 188,745 Essilor International SA 5,185 555,248 Esso SA Francaise 803 44,002 Etablissements Maurel et Prom 17,161 306,192 Euler Hermes SA 3,745 451,849 * Euro Disney SCA 2,997 17,441 Eurofins Scientific SE 1,762 489,301 Eutelsat Communications SA 12,772 439,338 Faiveley Transport SA 2,273 187,234 * Faurecia 16,287 733,121 Fimalac 1,034 88,088 * GameLoft SE 9,353 92,938 # GDF Suez 67,358 1,697,652 GL Events 2,844 71,635 Groupe Crit 1,020 68,039 Groupe Eurotunnel SA 97,858 1,313,725 Groupe Flo 2,320 10,507 * Groupe Fnac 972 46,488 Groupe Gorge 483 14,657 Groupe Steria SCA 13,594 382,892 Guerbet 1,425 67,629 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- FRANCE -- (Continued) * Haulotte Group SA 6,728 $ 128,504 Havas SA 67,887 540,327 #* Hi-Media SA 19,607 56,895 Iliad SA 1,027 276,867 Imerys SA 3,441 302,179 # Ingenico 7,079 617,723 Interparfums SA 2,528 115,586 Ipsen SA 3,857 171,251 IPSOS 9,922 385,376 Jacquet Metal Service 6,357 136,283 JCDecaux SA 6,656 273,229 Kering 2,938 649,801 Korian-Medica 15,828 594,117 L.D.C. SA 210 38,748 Lafarge SA 30,333 2,775,434 Lagardere SCA 45,165 1,892,889 Laurent-Perrier 548 54,847 * Le Noble Age 438 10,343 Lectra 4,783 50,403 Legrand SA 8,812 569,397 Linedata Services 385 11,767 LISI 1,020 165,436 LVMH Moet Hennessy Louis Vuitton SA 4,566 899,476 Maisons France Confort 139 6,790 Manitou BF SA 3,827 72,401 Manutan International 234 17,820 Mersen 5,147 164,809 #* METabolic EXplorer SA 10,722 40,093 Metropole Television SA 10,537 225,826 MGI Coutier 441 85,352 Montupet 2,611 216,120 Natixis 139,423 989,716 # Naturex 2,230 195,733 # Neopost SA 8,307 682,113 Nexans SA 13,317 749,769 Nexity SA 11,789 528,826 Norbert Dentressangle SA 948 162,521 * NRJ Group 3,854 47,630 Orange SA 153,868 2,492,857 Orange SA Sponsored ADR 3,032 48,815 #* Orco Property Group 8,374 7,227 Orpea 8,514 619,350 Paris Orleans SA 507 12,606 * Parrot SA 1,776 54,319 Pernod Ricard SA 2,185 262,218 #* Peugeot SA 92,166 1,630,688 * Pierre & Vacances SA 1,493 62,949 Plastic Omnium SA 10,503 357,368 PSB Industries SA 755 44,520 Publicis Groupe SA 9,468 809,981 Rallye SA 12,283 624,753 #* Recylex SA 7,033 26,454 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- FRANCE -- (Continued) Remy Cointreau SA 864 $ 75,946 Renault SA 30,047 2,937,691 Rexel SA 34,659 875,032 Robertet SA 246 56,679 Rubis SCA 3,855 274,490 Safran SA 9,241 621,939 Saft Groupe SA 9,761 347,136 Samse SA 40 5,144 Sanofi 23,775 2,565,794 Sanofi ADR 880 47,344 Sartorius Stedim Biotech 1,037 197,114 Schneider Electric SA(B11BPS1) 1,883 176,832 Schneider Electric SA(4834108) 6,880 645,832 SCOR SE 46,947 1,717,920 SEB SA 4,422 407,890 Seche Environnement SA 944 41,626 #* Sequana SA 8,060 59,480 # SES SA 11,712 441,263 Societe BIC SA 1,862 247,037 Societe d'Edition de Canal + 12,014 105,723 Societe des Bains de Mer et du Cercle des Etrangers a Monaco 408 22,872 Societe Generale SA 51,102 3,182,488 Societe Internationale de Plantations d'Heveas SA 378 24,409 Societe Marseillaise du Tunnel Prado-Carenage SA 200 8,155 # Societe Television Francaise 1 37,938 646,008 Sodexo 3,155 340,156 #* SOITEC 70,208 212,087 #* Solocal Group 27,928 63,764 Somfy SA 303 105,240 Sopra Group SA 1,433 164,966 * Ste Industrielle d'Aviation Latecoere SA 3,238 59,827 Stef SA 1,194 94,428 STMicroelectronics NV(5962332) 106,648 1,017,016 # STMicroelectronics NV(861012102) 14,700 139,503 * Store Electronic 1,158 25,720 Suez Environnement Co. 10,221 200,838 Sword Group 2,537 66,620 Synergie SA 4,953 143,362 * Technicolor SA 53,535 400,263 Technip SA 3,079 346,568 Teleperformance 17,355 995,350 Thales SA 4,494 286,157 #* Theolia SA 18,387 31,094 Thermador Groupe 269 29,698 Total Gabon 101 61,538 Total SA 63,258 4,525,740 Total SA Sponsored ADR 16,698 1,189,566 Touax SA 388 10,711 #* Transgene SA 1,865 24,111 * Trigano SA 4,151 115,006 * UBISOFT Entertainment 44,978 839,366 Union Financiere de France BQE SA 730 21,040 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ----------- FRANCE -- (Continued) Valeo SA 6,816 $ 936,036 Vallourec SA 30,277 1,789,234 * Valneva SE 568 4,803 # Veolia Environnement SA 13,851 258,403 Vetoquinol SA 151 8,238 Vicat 4,734 410,835 VIEL & Cie SA 10,410 34,325 # Vilmorin & Cie SA 1,037 136,890 Vinci SA 10,070 760,349 Virbac SA 659 157,993 Vivendi SA 49,542 1,331,044 * VM Materiaux SA 25 1,244 Vranken-Pommery Monopole SA 394 13,904 Zodiac Aerospace 12,850 427,232 ----------- TOTAL FRANCE 95,690,758 ----------- GERMANY -- (5.7%) * Aareal Bank AG 21,677 985,321 Adidas AG 6,474 692,082 Adler Modemaerkte AG 2,374 38,763 * ADVA Optical Networking SE 13,638 61,185 #* Air Berlin P.L.C. 2,352 5,664 * Aixtron SE 10,539 167,799 Allgeier SE 1,474 35,298 # Allianz SE 20,504 3,568,308 Allianz SE ADR 11,988 209,191 Amadeus Fire AG 721 62,720 * AS Creation Tapeten 50 2,271 Aurubis AG 12,939 691,259 Axel Springer SE 7,705 470,482 # BASF SE 16,909 1,961,541 Bauer AG 3,785 98,332 Bayer AG 31 4,310 Bayerische Motoren Werke AG 19,013 2,390,028 BayWa AG 4,966 281,702 Bechtle AG 5,830 518,796 Beiersdorf AG 3,397 341,006 Bertrandt AG 896 135,730 Bijou Brigitte AG 1,198 116,633 Bilfinger SE 9,638 1,149,094 # Biotest AG 851 104,995 Borussia Dortmund GmbH & Co. KGaA 24,952 130,128 Brenntag AG 4,149 751,593 # CANCOM SE 3,678 162,178 Carl Zeiss Meditec AG 2,279 69,388 CAT Oil AG 6,392 134,109 Celesio AG 38,400 1,334,567 CENIT AG 1,384 22,846 CENTROTEC Sustainable AG 3,786 96,907 Cewe Stiftung & Co. KGAA 2,595 204,462 Comdirect Bank AG 15,116 174,254 * Commerzbank AG 141,238 2,518,434 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- GERMANY -- (Continued) CompuGroup Medical AG 4,165 $ 111,093 * Constantin Medien AG 11,950 24,689 # Continental AG 2,736 643,793 CropEnergies AG 11,125 72,978 CTS Eventim AG 4,225 269,124 DAB Bank AG 5,739 31,074 Daimler AG 38,229 3,559,086 # Delticom AG 1,376 65,521 Deutsche Bank AG(5750355) 1,126 49,595 Deutsche Bank AG(D18190898) 46,645 2,053,779 Deutsche Boerse AG 4,569 335,058 # Deutsche Lufthansa AG 55,752 1,400,090 Deutsche Post AG 28,268 1,066,635 Deutsche Telekom AG 84,088 1,412,767 Deutsche Telekom AG Sponsored ADR 26,160 438,180 * Deutsche Wohnen AG(BFLR888) 12,266 256,950 # Deutsche Wohnen AG(B0YZ0Z5) 14,990 321,796 * Deutz AG 36,314 303,657 * Dialog Semiconductor P.L.C. 18,013 456,312 DMG MORI SEIKI AG 26,039 820,526 Dr Hoenle AG 1,129 22,039 Draegerwerk AG & Co. KGaA 824 84,622 Drillisch AG 8,176 305,277 # Duerr AG 4,874 385,659 # E.ON SE 86,250 1,652,105 Eckert & Ziegler AG 2,499 86,840 Elmos Semiconductor AG 4,954 99,800 ElringKlinger AG 6,064 244,822 # Euromicron AG 3,318 60,825 #* Evotec AG 29,906 149,552 Fielmann AG 1,348 182,366 #* Francotyp-Postalia Holding AG Class A 1,685 11,219 Fraport AG Frankfurt Airport Services Worldwide 8,141 602,085 Freenet AG 28,731 995,044 Fresenius Medical Care AG & Co. KGaA 9,796 674,920 Fresenius Medical Care AG & Co. KGaA ADR 2,000 68,700 Fresenius SE & Co. KGaA 12,324 1,875,129 # Fuchs Petrolub SE 497 45,821 * GAGFAH SA 4,662 73,735 GEA Group AG 14,891 666,943 # Gerresheimer AG 7,877 534,744 # Gerry Weber International AG 3,862 203,974 Gesco AG 909 94,605 GFK SE 3,505 180,905 GFT Technologies AG 7,299 87,170 Grammer AG 6,524 360,545 Grenkeleasing AG 1,404 147,101 * H&R AG 3,046 30,229 Hamburger Hafen und Logistik AG 7,882 191,151 # Hannover Rueck SE 18,296 1,704,856 * Hansa Group AG 3,842 7,094 # HeidelbergCement AG 21,577 1,874,784 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- GERMANY -- (Continued) #* Heidelberger Druckmaschinen AG 113,461 $ 359,867 Henkel AG & Co. KGaA 1,781 183,119 Highlight Communications AG 7,046 36,678 # Hochtief AG 6,517 607,616 Homag Group AG 1,297 37,896 Hugo Boss AG 1,832 254,516 Indus Holding AG 9,443 443,180 Infineon Technologies AG ADR 51,964 603,822 Isra Vision AG 1,401 104,023 Jenoptik AG 19,839 331,156 * Joyou AG 2,072 35,722 # K+S AG 31,775 1,113,399 * Kloeckner & Co. SE 50,859 770,825 Koenig & Bauer AG 2,079 34,673 Kontron AG 23,063 161,015 Krones AG 4,864 465,660 KSB AG 37 24,772 # KUKA AG 8,561 438,911 KWS Saat AG 469 167,627 Lanxess AG 16,189 1,232,815 Leifheit AG 470 25,312 # Leoni AG 12,675 944,788 Linde AG 6,174 1,282,246 LPKF Laser & Electronics AG 6,156 138,457 MAN SE 1,448 185,678 * Manz AG 828 74,376 * Medigene AG 1,746 11,669 Merck KGaA 2,471 417,707 * Metro AG 20,403 817,421 MLP AG 16,577 112,754 * Morphosys AG 1,874 160,741 MTU Aero Engines AG 12,009 1,132,286 Muehlbauer Holding AG & Co. KGaA 110 2,891 # Muenchener Rueckversicherungs AG 8,536 1,973,173 MVV Energie AG 479 15,301 Nemetschek AG 881 76,698 * Nordex SE 24,602 393,895 Norma Group SE 8,234 432,123 OHB AG 1,084 30,595 * Osram Licht AG 14,483 760,369 * Patrizia Immobilien AG 15,057 178,052 Pfeiffer Vacuum Technology AG 1,650 196,268 # PNE Wind AG 20,016 77,034 Progress-Werk Oberkirch AG 195 15,450 # Puma SE 452 133,531 * QIAGEN NV(2437907) 12,879 282,050 * QIAGEN NV(5732825) 30,939 679,225 QSC AG 43,767 225,223 R Stahl AG 522 30,990 # Rational AG 526 168,001 # Rheinmetall AG 18,021 1,200,552 Rhoen Klinikum AG 32,851 1,060,734 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ----------- GERMANY -- (Continued) RIB Software AG 1,424 $ 22,234 RWE AG 85,573 3,265,558 SAF-Holland SA 21,566 322,676 Salzgitter AG 16,130 685,135 Schaltbau Holding AG 632 44,926 # SGL Carbon SE 5,961 198,510 SHW AG 741 44,471 Siemens AG 5,700 751,945 * Singulus Technologies AG 16,452 53,772 Sixt SE 5,322 215,195 SKW Stahl-Metallurgie Holding AG 1,512 22,676 * Sky Deutschland AG 33,638 288,683 # SMA Solar Technology AG 4,697 196,679 # SMT Scharf AG 508 12,524 Software AG 19,123 720,288 #* Solarworld AG 106 4,698 Stada Arzneimittel AG 17,913 781,107 * Stroeer Media AG 8,990 154,900 Suedzucker AG 15,415 329,404 Surteco SE 393 15,481 * Suss Microtec AG 9,883 96,041 Symrise AG 5,966 301,382 # Syzygy AG 1,491 12,259 TAG Immobilien AG 26,881 341,764 # Takkt AG 6,570 133,268 * Talanx AG 3,191 122,106 Technotrans AG 1,769 19,911 Telefonica Deutschland Holding AG 50,645 421,338 Telegate AG 473 3,682 * ThyssenKrupp AG 31,161 889,403 Tipp24 SE 1,505 108,587 #* Tom Tailor Holding AG 6,569 127,776 Tomorrow Focus AG 6,821 39,340 # TUI AG 62,308 1,037,501 United Internet AG 7,233 310,723 Volkswagen AG 1,501 402,491 Vossloh AG 1,593 157,450 VTG AG 3,591 79,383 # Wacker Chemie AG 3,245 381,451 Wacker Neuson SE 8,764 166,605 # Washtec AG 5,153 88,394 Wincor Nixdorf AG 6,360 416,632 Wirecard AG 2,073 87,329 XING AG 293 37,540 ----------- TOTAL GERMANY 81,644,840 ----------- GREECE -- (0.0%) * Bank of Cyprus PCL 171,745 1 ----------- HONG KONG -- (2.5%) # AAC Technologies Holdings, Inc. 36,500 204,376 Aeon Stores Hong Kong Co., Ltd. 5,501 7,016 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ---------- HONG KONG -- (Continued) AIA Group, Ltd. 219,200 $1,066,100 Alco Holdings, Ltd. 68,000 11,862 Allied Group, Ltd. 6,000 26,063 Allied Properties HK, Ltd. 500,540 87,987 * Anxian Yuan China Holdings, Ltd. 580,000 11,149 * Apac Resources, Ltd. 600,000 13,000 APT Satellite Holdings, Ltd. 114,000 143,097 Asia Financial Holdings, Ltd. 98,000 39,587 Asia Satellite Telecommunications Holdings, Ltd. 27,000 107,858 Asia Standard International Group, Ltd. 74,000 18,641 # ASM Pacific Technology, Ltd. 9,600 106,676 Associated International Hotels, Ltd. 10,000 27,779 Bank of East Asia, Ltd. 68,058 281,139 BOC Hong Kong Holdings, Ltd. 100,500 297,482 Bonjour Holdings, Ltd. 442,000 76,017 Bossini International Hldg 160,000 13,437 * Brightoil Petroleum Holdings, Ltd. 117,000 36,340 * Brockman Mining, Ltd. 873,840 44,471 * Burwill Holdings, Ltd. 194,000 7,414 Cafe de Coral Holdings, Ltd. 40,000 126,047 Cathay Pacific Airways, Ltd. 121,000 228,989 Chen Hsong Holdings 48,000 14,376 Cheuk Nang Holdings, Ltd. 20,212 18,615 Cheung Kong Holdings, Ltd. 54,000 920,780 Cheung Kong Infrastructure Holdings, Ltd. 30,000 195,858 * Cheung Wo International Holdings, Ltd. 348,000 27,895 Chevalier International Holdings, Ltd. 20,000 32,530 * China Billion Resources, Ltd. 198,000 -- * China Daye Non-Ferrous Metals Mining, Ltd. 582,000 9,254 China Electronics Corp. Holdings Co., Ltd. 150,000 30,083 * China Energy Development Holdings, Ltd. 1,246,000 16,853 * China Flavors & Fragrances Co., Ltd. 18,102 2,940 * China Infrastructure Investment, Ltd. 532,000 7,596 China Metal International Holdings, Inc. 162,000 54,857 * China Nuclear Industry 23 International Corp., Ltd. 48,000 8,136 * China Renji Medical Group, Ltd. 7,286,000 31,133 * China Solar Energy Holdings, Ltd. 64,000 557 China Star Entertainment, Ltd. 1,200,000 19,810 Chong Hing Bank, Ltd. 18,958 66,267 # Chow Sang Sang Holdings International, Ltd. 104,000 256,008 # Chow Tai Fook Jewellery Group, Ltd. 69,600 98,278 Chu Kong Shipping Enterprise Group Co., Ltd. 298,000 69,337 Chuang's Consortium International, Ltd. 266,925 32,379 # CITIC Telecom International Holdings, Ltd. 441,000 153,970 CK Life Sciences International Holdings, Inc. 966,000 97,332 CNT Group, Ltd. 406,000 19,647 * CP Lotus Corp. 260,000 6,398 Cross-Harbour Holdings, Ltd. (The) 7,000 5,831 CSI Properties, Ltd. 1,321,515 46,138 * Cw Group Holdings, Ltd. 174,000 42,671 # Dah Sing Banking Group, Ltd. 214,995 321,355 Dah Sing Financial Holdings, Ltd. 77,066 341,549 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ---------- ---------- HONG KONG -- (Continued) Dan Form Holdings Co., Ltd. 191,000 $ 17,288 Dickson Concepts International, Ltd. 34,500 20,810 Dorsett Hospitality International, Ltd. 385,000 68,622 Emperor Capital Group, Ltd. 342,000 17,439 Emperor Entertainment Hotel, Ltd. 310,000 135,080 Emperor International Holdings 497,750 111,203 Emperor Watch & Jewellery, Ltd. 2,080,000 153,286 * EPI Holdings, Ltd. 2,650,000 66,140 Esprit Holdings, Ltd. 674,599 1,126,640 * eSun Holdings, Ltd. 106,000 12,299 Fairwood Holdings, Ltd. 8,000 16,353 # Far East Consortium International, Ltd. 368,930 133,971 * FIH Mobile, Ltd. 474,000 256,025 First Pacific Co., Ltd. 489,200 543,999 * Fountain SET Holdings, Ltd. 436,000 52,399 Fujikon Industrial Holdings, Ltd. 8,000 1,844 Future Bright Holdings, Ltd. 72,000 34,566 * G-Resources Group, Ltd. 11,707,800 322,833 * Genting Hong Kong, Ltd. 400,000 159,058 Get Nice Holdings, Ltd. 896,000 39,983 Giordano International, Ltd. 378,000 253,742 Glorious Sun Enterprises, Ltd. 122,000 26,767 Golden Resources Development International, Ltd. 90,000 4,875 # Haitong International Securities Group, Ltd. 158,405 79,638 Hang Lung Group, Ltd. 122,000 662,553 Hang Lung Properties, Ltd. 186,000 557,179 Hang Seng Bank, Ltd. 10,300 168,424 * Hao Tian Development Group, Ltd. 728,000 11,330 Harbour Centre Development, Ltd. 36,000 62,951 Henderson Land Development Co., Ltd. 180,129 1,081,375 HKR International, Ltd. 235,771 96,744 Hon Kwok Land Investment Co., Ltd. 62,000 20,656 Hong Kong & China Gas Co., Ltd. 97,000 223,818 Hong Kong Aircraft Engineering Co., Ltd. 7,200 83,749 Hong Kong Exchanges and Clearing, Ltd. 41,266 742,100 * Hong Kong Television Network, Ltd. ADR 3,100 17,453 Hongkong & Shanghai Hotels (The) 103,500 151,363 Hongkong Chinese, Ltd. 164,000 39,842 Hopewell Holdings, Ltd. 214,500 738,362 Hsin Chong Construction Group, Ltd. 724,000 100,093 Hung Hing Printing Group, Ltd. 150,000 23,771 Hutchison Telecommunications Hong Kong Holdings, Ltd. 510,000 167,150 Hutchison Whampoa, Ltd. 66,000 905,487 Hysan Development Co., Ltd. 25,000 107,869 * I-CABLE Communications, Ltd. 358,000 36,091 * Imagi International Holdings, Ltd. 3,008,000 33,820 * Integrated Waste Solutions Group Holdings, Ltd. 384,000 23,338 * International Standard Resources Holdings, Ltd. 605,000 9,860 * IRC, Ltd. 664,000 64,373 # IT, Ltd. 298,000 80,825 Johnson Electric Holdings, Ltd. 443,500 424,778 K Wah International Holdings, Ltd. 588,601 393,129 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- -------- HONG KONG -- (Continued) Ka Shui International Holdings, Ltd. 140,000 $ 23,703 * Kerry Logistics Network, Ltd. 52,750 77,619 Kerry Properties, Ltd. 175,500 580,194 * King Stone Energy Group, Ltd. 284,000 9,400 Kingmaker Footwear Holdings, Ltd. 72,000 14,041 Kingston Financial Group, Ltd. 732,000 79,408 Kowloon Development Co., Ltd. 161,000 196,937 # L'Occitane International SA 85,500 210,425 * Lai Sun Development 5,039,666 117,940 Lerado Group Holding Co., Ltd. 138,000 17,859 Li & Fung, Ltd. 284,000 413,384 Lifestyle International Holdings, Ltd. 89,000 173,984 Lippo China Resources, Ltd. 542,000 26,934 Lippo, Ltd. 6,000 3,222 Liu Chong Hing Investment, Ltd. 58,000 111,432 Luen Thai Holdings, Ltd. 87,000 26,124 Luk Fook Holdings International, Ltd. 155,000 440,116 Lung Kee Bermuda Holdings 38,000 13,887 Magnificent Estates 818,000 39,612 # Man Wah Holdings, Ltd. 77,200 126,786 Melco Crown Entertainment, Ltd. ADR 3,915 133,815 Melco International Development, Ltd. 239,000 733,981 MGM China Holdings, Ltd. 32,000 111,607 # Midland Holdings, Ltd. 256,584 107,831 * Ming Fung Jewellery Group, Ltd. 729,000 8,952 Miramar Hotel & Investment 39,000 48,230 #* Mongolian Mining Corp. 887,000 73,372 MTR Corp., Ltd. 28,025 106,265 NagaCorp, Ltd. 284,000 259,151 Natural Beauty Bio-Technology, Ltd. 140,000 7,240 * Neo-Neon Holdings, Ltd. 205,000 36,764 * Neptune Group, Ltd. 890,000 24,052 New World Development Co., Ltd. 945,467 979,405 # Newocean Energy Holdings, Ltd. 366,000 242,182 * Next Media, Ltd. 184,000 18,855 NWS Holdings, Ltd. 176,740 301,276 * Orange Sky Golden Harvest Entertainment Holdings, Ltd. 265,000 17,394 Orient Overseas International, Ltd. 101,500 485,544 Oriental Watch Holdings 198,000 44,768 Pacific Andes International Holdings, Ltd. 812,224 33,092 Pacific Basin Shipping, Ltd. 544,000 319,566 Pacific Textiles Holdings, Ltd. 108,000 137,136 Paliburg Holdings, Ltd. 108,000 34,456 #* Paradise Entertainment, Ltd. 184,000 137,335 PCCW, Ltd. 839,000 447,350 * Pearl Oriental Oil, Ltd. 558,800 15,367 Pico Far East Holdings, Ltd. 158,000 42,290 Playmates Holdings, Ltd. 64,000 86,741 * Playmates Toys, Ltd. 108,000 45,590 PNG Resources Holdings, Ltd. 1,048,000 9,494 Polytec Asset Holdings, Ltd. 810,000 118,160 Public Financial Holdings, Ltd. 48,000 22,760 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- -------- HONG KONG -- (Continued) PYI Corp., Ltd. 992,000 $ 21,643 Regal Hotels International Holdings, Ltd. 296,000 171,697 * Richfield Group Holdings, Ltd. 664,000 18,800 * Rising Development Holdings, Ltd. 74,000 40,076 # SA SA International Holdings, Ltd. 256,000 214,770 Samsonite International SA 125,100 398,301 * Sandmartin International Holdings, Ltd. 6,000 325 SAS Dragon Hldg, Ltd. 56,000 37,067 SEA Holdings, Ltd. 62,000 34,837 Shangri-La Asia, Ltd. 225,666 370,287 Shenyin Wanguo HK, Ltd. 85,000 30,717 * Shougang Concord Technology Holdings 892,000 37,561 Shun Tak Holdings, Ltd. 753,249 370,044 #* Silver base Group Holdings, Ltd. 218,000 28,566 * Simsen International Corp., Ltd. 180,000 57,786 Singamas Container Holdings, Ltd. 636,000 137,972 Sino Land Co., Ltd. 500,963 751,188 Sitoy Group Holdings, Ltd. 42,000 25,286 SJM Holdings, Ltd. 68,000 189,611 # SmarTone Telecommunications Holdings, Ltd. 93,500 96,499 SOCAM Development, Ltd. 93,768 113,765 Soundwill Holdings, Ltd. 16,000 27,699 * South China China, Ltd. 480,000 38,935 Stella International Holdings, Ltd. 111,500 274,877 Stelux Holdings International, Ltd. 162,800 50,265 Sun Hung Kai & Co., Ltd. 294,341 205,617 Sun Hung Kai Properties, Ltd. 78,282 990,294 Swire Pacific, Ltd. Class A 43,000 496,351 Swire Pacific, Ltd. Class B 67,500 149,871 TAI Cheung Holdings 79,000 54,611 Tao Heung Holdings, Ltd. 66,000 42,580 * Taung Gold International, Ltd. 970,000 3,753 * Technovator International, Ltd. 106,000 56,225 Techtronic Industries Co. 137,500 439,329 Television Broadcasts, Ltd. 81,800 511,547 Texwinca Holdings, Ltd. 214,000 230,771 * Titan Petrochemicals Group, Ltd. 620,000 200 Tradelink Electronic Commerce, Ltd. 118,000 28,939 Transport International Holdings, Ltd. 48,800 90,090 Trinity, Ltd. 390,000 100,318 * TSC Group Holdings, Ltd. 197,000 112,014 #* United Laboratories International Holdings, Ltd. (The) 267,000 172,817 Value Partners Group, Ltd. 187,000 120,576 Varitronix International, Ltd. 142,000 157,459 Victory City International Holdings, Ltd. 320,128 46,659 Vitasoy International Holdings, Ltd. 142,000 194,127 VST Holdings, Ltd. 433,200 110,430 # VTech Holdings, Ltd. 32,600 451,508 Wang On Group, Ltd. 1,720,000 40,552 Wharf Holdings, Ltd. 72,000 506,846 Wheelock & Co., Ltd. 146,000 604,523 Wing Hang Bank, Ltd. 26,816 432,336 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- HONG KONG -- (Continued) Wing On Co. International, Ltd. 30,000 $ 83,692 Wing Tai Properties, Ltd. 120,000 74,488 Wynn Macau, Ltd. 35,600 140,659 Xinyi Glass Holdings, Ltd. 408,000 321,922 * Xinyi Solar Holdings, Ltd. 242,000 65,633 YGM Trading, Ltd. 8,000 17,551 Yue Yuen Industrial Holdings, Ltd. 113,000 349,347 ----------- TOTAL HONG KONG 35,449,540 ----------- IRELAND -- (0.5%) * Anglo Irish Bank Corp. P.L.C. 105,210 -- * Bank of Ireland 3,184,554 1,243,414 * Bank of Ireland Sponsored ADR 10,709 184,409 C&C Group P.L.C. 71,103 423,043 CRH P.L.C. 9,182 267,321 CRH P.L.C. Sponsored ADR 59,771 1,750,095 Dragon Oil P.L.C. 39,592 421,244 FBD Holdings P.L.C. 8,425 203,280 Glanbia P.L.C. 25,037 373,917 IFG Group P.L.C. 7,878 18,717 Irish Continental Group P.L.C. 2,558 102,625 * Kenmare Resources P.L.C. 71,237 14,654 Kerry Group P.L.C. Class A 5,788 456,804 Kingspan Group P.L.C. 31,873 600,655 Paddy Power P.L.C. 7,930 611,853 Smurfit Kappa Group P.L.C. 27,696 617,003 ----------- TOTAL IRELAND 7,289,034 ----------- ISRAEL -- (0.6%) #* Africa Israel Investments, Ltd. 61,169 134,339 * Africa Israel Properties, Ltd. 987 17,583 * Airport City, Ltd. 4,711 48,150 * AL-ROV Israel, Ltd. 1,591 67,263 * Allot Communications, Ltd. 957 12,399 * Alon Blue Square Israel, Ltd. 1,554 5,829 * Alrov Properties and Lodgings, Ltd. 710 21,343 * AudioCodes, Ltd. 4,091 22,368 * Azorim-Investment Development & Construction Co., Ltd. 17,486 17,228 Azrieli Group 11,185 378,623 Babylon, Ltd. 6,679 9,472 Bank Hapoalim BM 170,928 965,571 * Bank Leumi Le-Israel BM 181,657 710,782 Bayside Land Corp. 85 22,738 # Bezeq The Israeli Telecommunication Corp., Ltd. 89,665 162,493 Big Shopping Centers 2004, Ltd. 959 40,746 Cellcom Israel, Ltd.(M2196U109) 7,780 98,650 Cellcom Israel, Ltd.(B23WQK8) 833 10,561 * Ceragon Networks, Ltd. 5,455 14,500 #* Clal Biotechnology Industries, Ltd. 22,507 66,173 Clal Insurance Enterprises Holdings, Ltd. 9,219 180,189 * Compugen, Ltd. 2,327 21,410 Delek Automotive Systems, Ltd. 4,482 45,353 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- ISRAEL -- (Continued) Delek Group, Ltd. 354 $143,473 Delta-Galil Industries, Ltd. 3,234 99,120 Elbit Systems, Ltd.(6308913) 2,463 145,392 Elbit Systems, Ltd.(M3760D101) 500 29,605 Electra, Ltd. 641 92,746 * Elron Electronic Industries, Ltd. 5,818 57,201 * Evogene, Ltd. 302 5,311 * EZchip Semiconductor, Ltd.(M4146Y108) 1,922 46,032 * EZchip Semiconductor, Ltd.(6554998) 1,999 47,915 First International Bank Of Israel, Ltd. 10,129 163,360 Formula Systems 1985, Ltd. 2,287 69,274 Fox Wizel, Ltd. 747 20,558 # Frutarom Industries, Ltd. 4,837 116,154 * Gilat Satellite Networks, Ltd.(B01BZ39) 4,767 22,862 * Gilat Satellite Networks, Ltd.(M51474118) 3,025 14,369 Golf & Co., Ltd. 2,258 8,194 * Hadera Paper, Ltd. 615 30,710 Harel Insurance Investments & Financial Services, Ltd. 48,920 279,248 Industrial Buildings Corp. 5,056 10,593 Israel Chemicals, Ltd. 5,296 47,003 * Israel Discount Bank, Ltd. Class A 236,218 422,345 Ituran Location and Control, Ltd. 2,289 55,221 * Jerusalem Oil Exploration 4,925 212,143 #* Kamada, Ltd. 5,535 80,397 Matrix IT, Ltd. 15,587 96,039 * Mazor Robotics, Ltd. 7,056 64,071 Meitav DS Investments, Ltd. 436 1,564 Melisron, Ltd. 1,534 40,891 Menorah Mivtachim Holdings, Ltd. 11,153 133,972 Migdal Insurance & Financial Holding, Ltd. 76,210 124,834 Mivtach Shamir Holdings, Ltd. 1,364 44,995 Mizrahi Tefahot Bank, Ltd. 35,973 480,882 * Naphtha Israel Petroleum Corp., Ltd. 10,581 79,290 NICE Systems, Ltd. Sponsored ADR 4,053 175,090 * Nitsba Holdings 1995, Ltd. 2,921 44,813 * Nova Measuring Instruments, Ltd. 1,566 16,146 * Oil Refineries, Ltd. 444,111 123,780 Ormat Industries 21,053 156,923 Osem Investments, Ltd. 1,973 46,855 * Partner Communications Co., Ltd. 4,381 39,229 #* Partner Communications Co., Ltd. ADR 10,082 89,528 Paz Oil Co., Ltd. 515 80,468 Phoenix Holdings, Ltd. (The) 29,425 109,337 Plasson Industries, Ltd. 1,206 51,107 Rami Levi Chain Stores Hashikma Marketing 2006, Ltd. 1,447 74,942 Shikun & Binui, Ltd. 36,629 95,410 Shufersal, Ltd. 8,735 32,643 Strauss Group, Ltd. 2,188 39,600 Teva Pharmaceutical Industries, Ltd. 395 19,363 Teva Pharmaceutical Industries, Ltd. Sponsored ADR 19,727 963,861 * Tower Semiconductor, Ltd. 4,630 36,031 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ---------- ISRAEL -- (Continued) * Union Bank of Israel 5,193 $ 24,336 ---------- TOTAL ISRAEL 8,578,989 ---------- ITALY -- (2.6%) A2A SpA 119,440 146,159 ACEA SpA 7,397 106,150 Aeroporto di Venezia Marco Polo SpA - SAVE 5,671 107,259 Alerion Cleanpower SpA 2,833 14,589 Amplifon SpA 10,160 66,349 Ansaldo STS SpA 17,257 191,845 * Arnoldo Mondadori Editore SpA 39,267 72,654 Ascopiave SpA 8,381 26,879 Assicurazioni Generali SpA 17,834 416,982 Astaldi SpA 17,181 186,189 Atlantia SpA 19,780 515,251 * Autogrill SpA 20,034 192,312 Azimut Holding SpA 23,059 719,850 #* Banca Carige SpA 229,239 169,453 Banca Generali SpA 12,648 398,124 # Banca IFIS SpA 3,017 65,145 #* Banca Monte dei Paschi di Siena SpA 1,340,570 448,046 * Banca Popolare dell'Emilia Romagna SC 131,490 1,515,673 #* Banca Popolare di Milano SCRL 896,356 906,487 # Banca Popolare di Sondrio SCRL 77,768 558,517 Banca Profilo SpA 35,778 21,134 Banco di Desio e della Brianza SpA 11,325 51,338 #* Banco Popolare SC 143,248 2,960,423 * BasicNet SpA 6,641 22,135 * Biesse SpA 5,834 52,277 Brembo SpA 6,992 258,418 * Brioschi Sviluppo Immobiliare SpA 10,866 1,785 Brunello Cucinelli SpA 2,515 72,379 Buzzi Unicem SpA 19,503 345,989 Cairo Communication SpA 3,024 26,254 Cementir Holding SpA 24,433 232,791 * CIR-Compagnie Industriali Riunite SpA 179,295 276,452 CNH Industrial NV 17,446 203,790 Credito Bergamasco SpA 474 13,551 Credito Emiliano SpA 20,701 212,209 #* Credito Valtellinese SCRL 234,621 560,125 # d'Amico International Shipping SA 22,435 20,465 Danieli & C Officine Meccaniche SpA 2,308 82,892 Datalogic SpA 3,058 40,604 Davide Campari-Milano SpA 23,376 203,199 De'Longhi SpA 5,027 109,262 # DiaSorin SpA 4,156 171,484 Ei Towers SpA 2,079 118,282 El.En. SpA 407 13,018 Enel Green Power SpA 66,775 191,110 Engineering SpA 981 68,366 Eni SpA 47,409 1,227,861 # Eni SpA Sponsored ADR 10,306 532,202 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- ITALY -- (Continued) ERG SpA 21,638 $ 373,701 Esprinet SpA 14,497 158,498 * Eurotech SpA 15,195 51,380 * Falck Renewables SpA 48,405 92,391 #* Fiat SpA 139,681 1,686,331 * Finmeccanica SpA 118,534 1,096,965 # Geox SpA 19,867 86,463 * Gruppo Editoriale L'Espresso SpA 50,190 115,885 Gtech Spa 7,064 207,343 Hera SpA 61,354 180,801 * IMMSI SpA 93,687 100,018 Indesit Co. SpA 16,201 231,362 Industria Macchine Automatiche SpA 1,827 89,843 * Intek Group SpA 36,247 23,469 Interpump Group SpA 14,847 210,499 Intesa Sanpaolo SpA 540,586 1,849,901 Iren SpA 102,452 174,089 Italcementi SpA 38,143 463,403 * Italmobiliare SpA 2,696 122,574 * Juventus Football Club SpA 56,332 19,246 * Landi Renzo SpA 7,410 14,156 Luxottica Group SpA 2,596 148,897 Luxottica Group SpA Sponsored ADR 300 17,172 #* Maire Tecnimont SpA 12,882 46,989 MARR SpA 5,174 100,209 * Mediaset SpA 135,800 751,540 * Mediobanca SpA 90,740 1,007,129 Mediolanum SpA 13,332 119,996 Parmalat SpA 66,960 232,634 # Piaggio & C SpA 49,378 204,300 Pirelli & C. SpA 18,964 319,280 * Poltrona Frau SpA 2,894 11,880 #* Prelios SpA 12,061 10,698 * Prima Industrie SpA 625 12,112 Prysmian SpA 29,226 761,183 #* RCS MediaGroup SpA 2,140 4,919 # Recordati SpA 15,925 278,770 Reply SpA 890 80,422 #* Retelit SpA 33,446 32,439 Sabaf SpA 760 16,295 * Safilo Group SpA 16,356 373,520 Saipem SpA 7,505 201,306 Salvatore Ferragamo SpA 1,171 37,114 #* Saras SpA 80,787 140,169 Servizi Italia SpA 2,006 14,847 #* Snai SpA 24,408 74,581 Societa Cattolica di Assicurazioni SCRL 17,342 428,908 Societa Iniziative Autostradali e Servizi SpA 15,785 187,708 Societa per la Bonifica dei Terreni Ferraresi e Imprese Agricole SpA 214 8,813 * Sogefi SpA 12,821 81,486 SOL SpA 6,059 50,747 * Sorin SpA 79,381 242,300 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ----------- ITALY -- (Continued) * Telecom Italia SpA 683,677 $ 878,544 Telecom Italia SpA Sponsored ADR 32,914 422,616 Tenaris SA ADR 2,700 118,935 Terna Rete Elettrica Nazionale SpA 52,439 284,098 * Tiscali SpA 160,000 16,380 # Tod's SpA 859 120,374 Trevi Finanziaria Industriale SpA 15,741 181,541 UniCredit SpA 202,512 1,814,435 Unione di Banche Italiane SCPA 339,391 3,239,654 Unipol Gruppo Finanziario SpA 95,737 693,511 * UnipolSai SpA 197,970 728,441 Vianini Lavori SpA 1,509 12,977 Vittoria Assicurazioni SpA 9,400 138,100 * World Duty Free SpA 9,277 124,631 * Yoox SpA 7,934 284,908 Zignago Vetro SpA 4,315 35,524 ----------- TOTAL ITALY 37,355,058 ----------- JAPAN -- (17.4%) 77 Bank, Ltd. (The) 125,000 564,316 A&D Co., Ltd. 9,700 41,427 # ABC-Mart, Inc. 1,100 49,397 # Accordia Golf Co., Ltd. 33,000 423,332 Achilles Corp. 49,000 64,912 Adastria Holdings Co., Ltd. 4,480 97,495 ADEKA Corp. 36,300 398,830 Aderans Co., Ltd. 4,800 68,285 Advan Co., Ltd. 2,600 27,597 # Advantest Corp. 11,300 124,568 # Advantest Corp. ADR 1,800 19,836 # Aeon Co., Ltd. 84,900 980,563 # Aeon Fantasy Co., Ltd. 3,600 44,674 * Agora Hospitality Group Co., Ltd. 34,000 15,006 Ahresty Corp. 5,600 47,669 Ai Holdings Corp. 7,700 122,841 Aica Kogyo Co., Ltd. 8,300 173,572 Aichi Bank, Ltd. (The) 3,600 175,619 Aichi Corp. 16,200 68,992 Aichi Steel Corp. 45,000 165,953 Aichi Tokei Denki Co., Ltd. 17,000 47,589 Aida Engineering, Ltd. 19,100 182,324 * Aigan Co., Ltd. 4,200 10,938 Ain Pharmaciez, Inc. 2,300 101,142 Aiphone Co., Ltd. 4,600 75,200 Air Water, Inc. 22,000 308,689 Airport Facilities Co., Ltd. 6,100 42,251 Aisan Industry Co., Ltd. 12,000 95,483 Aisin Seiki Co., Ltd. 5,000 176,697 Aizawa Securities Co., Ltd. 8,100 44,760 Ajinomoto Co., Inc. 26,000 382,664 # Akebono Brake Industry Co., Ltd. 16,200 82,407 Akita Bank, Ltd. (The) 66,000 183,557 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- JAPAN -- (Continued) Alconix Corp. 1,000 $ 20,113 Alfresa Holdings Corp. 12,200 759,533 Alinco, Inc. 2,900 33,052 Allied Telesis Holdings K.K. 20,700 16,665 Alpen Co., Ltd. 7,400 136,335 Alpha Corp. 1,500 14,482 Alpha Systems, Inc. 560 8,182 Alpine Electronics, Inc. 20,100 239,641 Alps Electric Co., Ltd. 50,200 567,635 Alps Logistics Co., Ltd. 2,000 20,655 Altech Corp. 600 5,831 Amada Co., Ltd. 101,000 730,452 Amano Corp. 23,200 223,388 Amiyaki Tei Co., Ltd. 600 16,856 Anest Iwata Corp. 7,000 42,334 # Anritsu Corp. 21,400 239,650 AOKI Holdings, Inc. 10,778 146,852 Aomori Bank, Ltd. (The) 75,000 206,278 Aoyama Trading Co., Ltd. 22,300 553,373 # Aozora Bank, Ltd. 59,000 175,513 Arakawa Chemical Industries, Ltd. 4,000 33,691 Arata Corp. 11,000 35,173 Araya Industrial Co., Ltd. 17,000 27,342 Arcland Sakamoto Co., Ltd. 7,400 146,520 Arcs Co., Ltd. 15,789 316,760 Argo Graphics, Inc. 1,000 15,810 Ariake Japan Co., Ltd. 3,200 77,295 Arisawa Manufacturing Co., Ltd. 11,600 54,236 * Arrk Corp. 16,100 37,098 Artnature, Inc. 2,200 62,923 As One Corp. 4,500 118,226 Asahi Broadcasting Corp. 200 1,170 Asahi Co., Ltd. 4,900 65,188 Asahi Diamond Industrial Co., Ltd. 20,900 282,846 # Asahi Glass Co., Ltd. 162,000 918,440 # Asahi Group Holdings, Ltd. 4,300 118,821 Asahi Holdings, Inc. 10,000 157,919 # Asahi Intecc Co., Ltd. 4,100 150,058 Asahi Kasei Corp. 66,000 448,721 Asahi Kogyosha Co., Ltd. 4,000 14,618 Asahi Organic Chemicals Industry Co., Ltd. 20,000 43,454 #* Asanuma Corp. 30,000 40,275 Asatsu-DK, Inc. 13,200 298,604 * Ashimori Industry Co., Ltd. 19,000 23,024 Asics Corp. 5,000 97,317 ASKA Pharmaceutical Co., Ltd. 8,000 71,575 # ASKUL Corp. 2,300 57,394 Astellas Pharma, Inc. 7,500 83,621 Asunaro Aoki Construction Co., Ltd. 3,500 20,086 Autobacs Seven Co., Ltd. 26,300 406,891 Avex Group Holdings, Inc. 8,900 164,845 Awa Bank, Ltd. (The) 86,000 460,516 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- JAPAN -- (Continued) Axell Corp. 1,500 $ 23,295 Axial Retailing, Inc. 3,000 46,461 Azbil Corp. 17,400 394,853 Bando Chemical Industries, Ltd. 37,000 142,367 # Bank of Iwate, Ltd. (The) 6,900 306,440 Bank of Kochi, Ltd. (The) 23,000 33,131 Bank of Kyoto, Ltd. (The) 97,000 790,360 Bank of Nagoya, Ltd. (The) 57,000 214,192 Bank of Okinawa, Ltd. (The) 7,400 310,265 Bank of Saga, Ltd. (The) 58,000 121,019 # Bank of the Ryukyus, Ltd. 16,000 211,792 Bank of Yokohama, Ltd. (The) 171,000 859,462 Belc Co., Ltd. 3,000 59,282 Belluna Co., Ltd. 22,200 107,769 Benesse Holdings, Inc. 2,700 102,730 Best Bridal, Inc. 2,900 17,261 Best Denki Co., Ltd. 22,500 30,612 # Bic Camera, Inc. 19,100 139,311 # Bit-isle, Inc. 6,300 41,059 BML, Inc. 4,500 171,909 Bookoff Corp. 2,500 20,774 Bridgestone Corp. 12,200 436,827 Brother Industries, Ltd. 23,900 334,301 Bunka Shutter Co., Ltd. 22,000 128,398 C Uyemura & Co., Ltd. 200 9,254 # Calbee, Inc. 3,300 80,929 Calsonic Kansei Corp. 67,000 330,051 # Can Do Co., Ltd. 1,300 19,951 Canon Electronics, Inc. 6,500 109,862 Canon Marketing Japan, Inc. 18,500 297,953 Canon, Inc. 25,000 783,374 # Capcom Co., Ltd. 5,200 90,570 Carlit Holdings Co., Ltd. 3,400 15,634 Casio Computer Co., Ltd. 18,200 207,684 Cawachi, Ltd. 7,000 127,627 Central Glass Co., Ltd. 81,000 265,625 # Central Sports Co., Ltd. 900 13,542 Century Tokyo Leasing Corp. 8,800 254,670 Chiba Bank, Ltd. (The) 114,000 724,631 * Chiba Kogyo Bank, Ltd. (The) 22,100 143,567 Chino Corp. 4,000 8,469 Chiyoda Co., Ltd. 7,000 166,196 Chiyoda Integre Co., Ltd. 5,500 75,837 Chori Co., Ltd. 4,700 51,885 Chubu Shiryo Co., Ltd. 5,000 28,948 Chuetsu Pulp & Paper Co., Ltd. 31,000 58,366 * Chugai Mining Co., Ltd. 36,200 11,685 Chugai Pharmaceutical Co., Ltd. 2,200 55,526 Chugai Ro Co., Ltd. 13,000 27,961 # Chugoku Bank, Ltd. (The) 46,000 609,792 Chugoku Marine Paints, Ltd. 26,000 165,858 Chukyo Bank, Ltd. (The) 29,000 49,374 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- JAPAN -- (Continued) Chuo Denki Kogyo Co., Ltd. 3,100 $ 9,888 Chuo Spring Co., Ltd. 5,000 15,116 Citizen Holdings Co., Ltd. 72,400 531,699 CKD Corp. 22,300 203,145 #* Clarion Co., Ltd. 36,000 67,735 Cleanup Corp. 6,800 61,959 CMIC Holdings Co., Ltd. 3,200 51,239 * CMK Corp. 12,800 31,869 Coca-Cola East Japan Co., Ltd. 12,972 292,344 Coca-Cola West Co., Ltd. 20,300 353,303 Cocokara fine, Inc. 6,500 184,289 # Colowide Co., Ltd. 10,700 107,359 Computer Engineering & Consulting, Ltd. 1,700 10,041 COMSYS Holdings Corp. 23,100 378,702 CONEXIO Corp. 3,700 28,547 #* COOKPAD, Inc. 2,500 50,092 Corona Corp. 5,000 50,520 Cosel Co., Ltd. 3,300 37,621 Cosmo Oil Co., Ltd. 229,000 428,395 * Cosmos Initia Co., Ltd. 6,700 33,049 Cosmos Pharmaceutical Corp. 500 53,482 CREATE SD HOLDINGS Co., Ltd. 1,400 46,217 Credit Saison Co., Ltd. 14,200 302,506 CROOZ, Inc. 1,200 48,194 CTI Engineering Co., Ltd. 5,100 54,298 * DA Consortium, Inc. 2,600 10,469 Dai Nippon Printing Co., Ltd. 80,000 720,588 Dai Nippon Toryo Co., Ltd. 49,000 72,919 Dai-Dan Co., Ltd. 6,000 31,716 Dai-ichi Life Insurance Co., Ltd. (The) 37,600 521,014 # Dai-ichi Seiko Co., Ltd. 5,200 66,111 Daibiru Corp. 21,400 213,552 Daicel Corp. 58,000 485,737 Daido Kogyo Co., Ltd. 22,000 66,127 Daido Metal Co., Ltd. 15,000 159,399 # Daido Steel Co., Ltd. 68,000 332,478 Daidoh, Ltd. 4,600 28,078 * Daiei, Inc. (The) 47,750 134,043 Daifuku Co., Ltd. 28,500 328,594 # Daihatsu Motor Co., Ltd. 14,600 241,833 # Daihen Corp. 34,000 128,854 Daiho Corp. 35,000 136,497 Daiichi Jitsugyo Co., Ltd. 11,000 46,308 Daiichi Kigenso Kagaku-Kogyo Co., Ltd. 700 16,999 Daiichi Sankyo Co., Ltd. 15,800 265,034 Daiichikosho Co., Ltd. 4,900 141,197 Daiken Corp. 20,000 48,924 # Daiken Medical Co., Ltd. 2,000 31,409 Daiki Aluminium Industry Co., Ltd. 10,000 23,498 Daikin Industries, Ltd. 2,000 115,688 Daiko Clearing Services Corp. 4,200 21,933 Daikoku Denki Co., Ltd. 3,300 58,983 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- JAPAN -- (Continued) Daikokutenbussan Co., Ltd. 800 $ 20,771 # Daikyo, Inc. 103,000 200,816 Dainichiseika Color & Chemicals Manufacturing Co., Ltd. 21,000 88,753 Dainippon Screen Manufacturing Co., Ltd. 18,000 78,509 Dainippon Sumitomo Pharma Co., Ltd. 5,700 86,445 # Daio Paper Corp. 39,000 409,154 Daisan Bank, Ltd. (The) 46,000 77,026 Daiseki Co., Ltd. 5,400 86,035 Daishi Bank, Ltd. (The) 122,000 440,627 Daishinku Corp. 20,000 77,437 Daiso Co., Ltd. 25,000 82,975 Daisyo Corp. 2,000 23,526 Daito Bank, Ltd. (The) 39,000 41,544 Daito Electron Co., Ltd. 1,200 4,571 Daito Pharmaceutical Co., Ltd. 2,400 34,878 Daito Trust Construction Co., Ltd. 2,800 284,930 Daiwa House Industry Co., Ltd. 19,000 321,019 Daiwa Securities Group, Inc. 129,447 970,650 Daiwabo Holdings Co., Ltd. 83,000 142,917 DC Co., Ltd. 3,400 17,919 DCM Holdings Co., Ltd. 33,400 225,960 # Dena Co., Ltd. 8,900 150,415 Denki Kagaku Kogyo K.K. 194,000 643,408 Denso Corp. 6,000 273,317 Dentsu, Inc. 3,000 123,038 Denyo Co., Ltd. 5,100 76,001 Descente, Ltd. 14,000 106,114 DIC Corp. 103,000 273,344 Disco Corp. 1,700 103,308 # DKS Co., Ltd. 11,000 33,386 DMG Mori Seiki Co., Ltd. 28,400 354,290 # Don Quijote Holdings Co., Ltd. 1,600 84,387 Doshisha Co., Ltd. 10,000 149,935 Doutor Nichires Holdings Co., Ltd. 12,000 215,080 Dowa Holdings Co., Ltd. 34,000 285,049 # Dr Ci:Labo Co., Ltd. 2,900 92,822 * Dream Incubator, Inc. 2,100 28,857 DTS Corp. 6,800 112,763 Dunlop Sports Co., Ltd. 4,200 51,163 Duskin Co., Ltd. 9,300 171,913 # Dwango Co., Ltd. 4,300 119,955 Dynic Corp. 5,000 7,968 Eagle Industry Co., Ltd. 6,500 102,880 Earth Chemical Co., Ltd. 100 3,577 Ebara Corp. 78,000 463,957 Ebara Jitsugyo Co., Ltd. 2,400 33,459 # EDION Corp. 32,500 189,391 Ehime Bank, Ltd. (The) 47,000 102,975 Eidai Co., Ltd. 8,000 43,257 Eighteenth Bank, Ltd. (The) 55,000 122,852 Eiken Chemical Co., Ltd. 4,400 71,332 Eizo Corp. 8,100 219,612 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- JAPAN -- (Continued) Elecom Co., Ltd. 2,400 $ 43,347 Elematec Corp. 2,574 43,993 Emori Group Holdings Co., Ltd. 2,100 31,286 en-japan, Inc. 1,100 19,389 Endo Lighting Corp. 3,800 60,404 Enplas Corp. 1,700 97,679 * Enshu, Ltd. 12,000 15,049 EPS Corp. 3,000 28,663 Excel Co., Ltd. 1,700 18,003 Exedy Corp. 12,700 339,785 Ezaki Glico Co., Ltd. 19,000 250,237 F-Tech, Inc. 1,200 14,179 # F@N Communications, Inc. 4,600 77,391 Faith, Inc. 1,760 17,321 FamilyMart Co., Ltd. 2,200 91,355 # Fancl Corp. 14,600 161,916 FCC Co., Ltd. 10,400 177,773 Ferrotec Corp. 17,400 93,844 # FIDEA Holdings Co., Ltd. 57,800 108,060 Fields Corp. 5,100 68,543 # Financial Products Group Co., Ltd. 4,700 45,506 * First Baking Co., Ltd. 4,000 4,770 Foster Electric Co., Ltd. 8,900 107,803 # FP Corp. 4,500 139,955 France Bed Holdings Co., Ltd. 30,000 54,061 # Fudo Tetra Corp. 38,700 86,427 Fuji Co., Ltd. 3,700 70,032 Fuji Corp., Ltd. 7,200 42,243 Fuji Electric Co., Ltd. 59,000 267,758 Fuji Electronics Co., Ltd. 4,900 58,450 Fuji Furukawa Engineering & Construction Co., Ltd. 2,000 5,020 Fuji Kiko Co., Ltd. 11,000 43,312 Fuji Kosan Co., Ltd. 100 621 Fuji Kyuko Co., Ltd. 12,000 120,114 Fuji Media Holdings, Inc. 7,300 122,987 Fuji Oil Co., Ltd.(6581361) 16,900 52,348 Fuji Oil Co., Ltd.(6356848) 17,700 239,141 Fuji Pharma Co., Ltd. 1,300 25,346 Fuji Seal International, Inc. 4,800 156,173 Fuji Soft, Inc. 8,200 171,532 # Fujibo Holdings, Inc. 35,000 80,573 Fujicco Co., Ltd. 5,000 58,448 FUJIFILM Holdings Corp. 21,700 560,556 Fujikura Kasei Co., Ltd. 7,100 38,804 # Fujikura Rubber, Ltd. 4,200 36,386 Fujikura, Ltd. 148,000 637,284 Fujimi, Inc. 8,800 101,758 Fujimori Kogyo Co., Ltd. 4,800 134,757 * Fujisash Co., Ltd. 20,100 30,751 Fujishoji Co., Ltd. 2,000 21,642 Fujita Kanko, Inc. 4,000 13,137 Fujitec Co., Ltd. 21,000 242,139 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- JAPAN -- (Continued) Fujitsu Frontech, Ltd. 3,600 $ 40,157 Fujitsu General, Ltd. 11,000 126,939 Fujitsu, Ltd. 118,000 693,867 # Fujiya Co., Ltd. 16,000 29,277 FuKoKu Co., Ltd. 1,100 10,004 Fukuda Corp. 10,000 46,438 Fukui Bank, Ltd. (The) 83,000 197,024 Fukuoka Financial Group, Inc. 132,000 539,089 Fukushima Bank, Ltd. (The) 93,000 76,463 Fukushima Industries Corp. 3,300 46,924 # Fukuyama Transporting Co., Ltd. 57,000 333,574 Funai Consulting, Inc. 3,700 28,854 # Furukawa Battery Co., Ltd. (The) 3,000 20,638 Furukawa Co., Ltd. 102,000 185,016 # Furukawa Electric Co., Ltd. 270,000 607,894 Furuno Electric Co., Ltd. 10,300 69,503 Furusato Industries, Ltd. 600 6,108 Furuya Metal Co., Ltd. 400 10,369 Fuso Pharmaceutical Industries, Ltd. 26,000 83,611 Futaba Industrial Co., Ltd. 28,500 127,673 Fuyo General Lease Co., Ltd. 4,300 147,966 G-Tekt Corp. 8,200 91,783 Gakken Holdings Co., Ltd. 14,000 37,959 GCA Savvian Corp. 1,400 10,812 Gecoss Corp. 5,100 47,795 Geo Holdings Corp. 15,700 143,843 GLOBERIDE, Inc. 43,000 54,676 Glory, Ltd. 19,800 512,254 GMO internet, Inc. 14,800 130,753 # GMO Payment Gateway, Inc. 1,900 59,558 Godo Steel, Ltd. 57,000 80,261 Goldcrest Co., Ltd. 12,990 271,933 Goldwin, Inc. 7,000 36,145 # Gourmet Kineya Co., Ltd. 7,000 50,606 # Gree, Inc. 11,900 116,367 # GS Yuasa Corp. 30,000 169,758 GSI Creos Corp. 26,000 34,648 Gulliver International Co., Ltd. 17,800 145,681 # Gun-Ei Chemical Industry Co., Ltd. 20,000 72,200 # GungHo Online Entertainment, Inc. 14,400 81,915 Gunma Bank, Ltd. (The) 109,000 579,365 Gunze, Ltd. 65,000 177,493 Gurunavi, Inc. 4,400 57,350 H-One Co., Ltd. 3,100 24,019 H2O Retailing Corp. 46,000 347,141 Hachijuni Bank, Ltd. (The) 114,000 623,230 Hagihara Industries, Inc. 700 9,266 Hakudo Co., Ltd. 1,500 13,108 Hakuhodo DY Holdings, Inc. 32,300 250,556 Hakuto Co., Ltd. 4,200 38,775 Hamakyorex Co., Ltd. 2,600 72,014 Hamamatsu Photonics K.K. 5,400 243,312 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- JAPAN -- (Continued) Hankyu Hanshin Holdings, Inc. 80,000 $ 438,446 Hanwa Co., Ltd. 81,000 316,811 Happinet Corp. 2,800 28,425 Hard Off Corp. Co., Ltd. 1,800 13,898 Harima Chemicals Group, Inc. 2,100 9,036 Harmonic Drive Systems, Inc. 500 14,198 Haruyama Trading Co., Ltd. 300 2,099 Haseko Corp. 18,500 117,156 Hazama Ando Corp. 52,350 231,042 Heiwa Corp. 14,400 239,615 Heiwa Real Estate Co., Ltd. 25,400 398,758 Heiwado Co., Ltd. 12,700 179,786 HI-LEX Corp. 6,700 165,670 Hibiya Engineering, Ltd. 3,700 47,712 Hiday Hidaka Corp. 2,736 63,002 Higashi Nihon House Co., Ltd. 12,400 59,439 # Higashi-Nippon Bank, Ltd. (The) 52,000 130,409 Higo Bank, Ltd. (The) 67,000 344,369 Hikari Tsushin, Inc. 1,600 134,883 Himaraya Co., Ltd. 900 9,583 Hino Motors, Ltd. 11,500 151,503 Hioki EE Corp. 3,100 48,793 Hiramatsu, Inc. 6,300 41,911 Hiroshima Bank, Ltd. (The) 150,000 617,136 # Hisamitsu Pharmaceutical Co., Inc. 1,400 58,593 Hitachi Capital Corp. 14,300 352,458 Hitachi Chemical Co., Ltd. 21,500 316,300 # Hitachi Construction Machinery Co., Ltd. 10,300 191,132 Hitachi High-Technologies Corp. 6,900 157,845 # Hitachi Koki Co., Ltd. 21,900 163,139 Hitachi Kokusai Electric, Inc. 2,000 22,863 # Hitachi Metals, Ltd. 16,110 218,762 Hitachi Transport System, Ltd. 19,900 305,363 Hitachi Zosen Corp. 38,640 189,590 Hitachi, Ltd. 49,000 349,318 Hitachi, Ltd. ADR 4,900 348,831 Hodogaya Chemical Co., Ltd. 23,000 45,193 Hogy Medical Co., Ltd. 3,500 180,516 #* Hokkaido Electric Power Co., Inc. 7,700 47,105 Hokkaido Gas Co., Ltd. 1,000 2,664 Hokkan Holdings, Ltd. 8,000 20,847 Hokko Chemical Industry Co., Ltd. 2,000 6,750 Hokkoku Bank, Ltd. (The) 120,000 401,830 Hokuetsu Bank, Ltd. (The) 79,000 161,589 # Hokuetsu Kishu Paper Co., Ltd. 47,500 225,910 Hokuhoku Financial Group, Inc. 328,000 632,954 Hokuriku Electric Industry Co., Ltd. 29,000 38,577 Hokuriku Electric Power Co. 8,500 105,560 Hokuto Corp. 9,000 180,797 Honda Motor Co., Ltd. 43,823 1,454,252 # Honda Motor Co., Ltd. Sponsored ADR 14,859 494,805 # Honeys Co., Ltd. 8,070 75,552 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- JAPAN -- (Continued) # Hoosiers Holdings Co., Ltd. 6,300 $ 34,545 Horiba, Ltd. 11,000 380,230 Hoshizaki Electric Co., Ltd. 2,800 113,298 Hosokawa Micron Corp. 17,000 102,613 # House Foods Group, Inc. 22,500 374,404 Howa Machinery, Ltd. 7,500 53,254 Hoya Corp. 11,500 340,139 Hyakugo Bank, Ltd. (The) 102,000 395,207 Hyakujushi Bank, Ltd. (The) 114,000 381,855 I-Net Corp. 7,000 49,416 Ibiden Co., Ltd. 32,800 592,044 IBJ Leasing Co., Ltd. 5,200 118,993 # Ichibanya Co., Ltd. 1,500 60,684 # Ichigo Group Holdings Co., Ltd. 12,000 35,583 * Ichikoh Industries, Ltd. 11,000 14,700 ICHINEN HOLDINGS Co., Ltd. 6,000 44,162 Ichiyoshi Securities Co., Ltd. 3,900 46,517 Idec Corp. 6,900 60,644 Idemitsu Kosan Co., Ltd. 24,200 535,147 # Ihara Chemical Industry Co., Ltd. 10,000 78,147 IHI Corp. 68,000 271,132 # Iida Group Holdings Co., Ltd. 12,720 189,825 Iino Kaiun Kaisha, Ltd. 33,300 163,806 * IJT Technology Holdings Co., Ltd. 3,000 12,244 * Ikegami Tsushinki Co., Ltd. 10,000 9,883 Imagica Robot Holdings, Inc. 1,400 5,744 # Imasen Electric Industrial 6,500 81,521 Imperial Hotel, Ltd. 400 8,665 Inaba Denki Sangyo Co., Ltd. 9,800 300,963 Inaba Seisakusho Co., Ltd. 400 5,048 Inabata & Co., Ltd. 17,000 159,984 Inageya Co., Ltd. 3,800 37,153 Ines Corp. 16,800 110,383 Infocom Corp. 3,000 25,229 # Infomart Corp. 2,600 41,186 Information Services International-Dentsu, Ltd. 2,900 36,277 Innotech Corp. 4,400 18,685 Intage Holdings, Inc. 1,000 12,512 # Internet Initiative Japan, Inc. 7,200 167,052 Inui Steamship Co., Ltd. 15,700 48,317 Inui Warehouse Co., Ltd. 1,600 14,698 Iriso Electronics Co., Ltd. 1,800 90,599 Ise Chemical Corp. 3,000 20,062 # Iseki & Co., Ltd. 63,000 162,809 # Isetan Mitsukoshi Holdings, Ltd. 23,100 287,458 #* Ishihara Sangyo Kaisha, Ltd. 145,000 137,932 Ishii Iron Works Co., Ltd. 7,000 16,854 # Ishizuka Glass Co., Ltd. 3,000 5,817 # Isuzu Motors, Ltd. 66,000 383,298 IT Holdings Corp. 32,700 506,915 Itfor, Inc. 3,200 12,910 Ito En, Ltd. 3,100 66,278 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- JAPAN -- (Continued) ITOCHU Corp. 66,600 $746,572 Itochu Enex Co., Ltd. 20,800 116,788 # Itochu Techno-Solutions Corp. 3,400 142,083 Itochu-Shokuhin Co., Ltd. 1,600 53,888 Itoham Foods, Inc. 69,000 312,725 Itoki Corp. 13,453 101,013 Iwai Cosmo Holdings, Inc. 6,600 64,286 Iwaki & Co., Ltd. 3,000 5,846 Iwasaki Electric Co., Ltd. 40,000 96,728 # Iwatani Corp. 50,000 293,414 Iyo Bank, Ltd. (The) 58,400 525,076 Izumi Co., Ltd. 2,600 76,083 Izumiya Co., Ltd. 20,000 94,882 #* Izutsuya Co., Ltd. 62,000 42,559 J Front Retailing Co., Ltd. 68,000 432,245 # J-Oil Mills, Inc. 39,000 104,266 Jamco Corp. 600 10,740 #* Janome Sewing Machine Co., Ltd. 66,000 52,979 Japan Airport Terminal Co., Ltd. 11,400 263,045 Japan Aviation Electronics Industry, Ltd. 16,000 272,351 * Japan Communications, Inc. 27,500 118,742 Japan Digital Laboratory Co., Ltd. 2,500 36,425 # Japan Drilling Co., Ltd. 2,300 90,194 Japan Exchange Group, Inc. 8,400 166,202 Japan Pulp & Paper Co., Ltd. 21,000 71,531 * Japan Radio Co., Ltd. 24,000 93,433 # Japan Steel Works, Ltd. (The) 89,000 376,037 Japan Transcity Corp. 11,000 33,493 # Japan Vilene Co., Ltd. 6,000 33,056 Japan Wool Textile Co., Ltd. (The) 17,000 126,255 JBCC Holdings, Inc. 6,000 45,523 Jeol, Ltd. 22,000 81,703 JFE Holdings, Inc. 25,160 464,988 JGC Corp. 4,000 129,526 Jimoto Holdings, Inc. 34,600 68,466 # Jin Co., Ltd. 2,200 64,137 JK Holdings Co., Ltd. 2,200 11,393 JMS Co., Ltd. 7,000 20,001 Joshin Denki Co., Ltd. 10,000 81,040 Jowa Holdings Co., Ltd. 3,700 128,552 Joyo Bank, Ltd. (The) 104,000 506,178 # JP-Holdings, Inc. 10,800 47,701 JSP Corp. 5,900 88,596 # JSR Corp. 6,600 108,153 JTEKT Corp. 22,400 326,827 * Juki Corp. 17,000 34,965 Juroku Bank, Ltd. (The) 136,000 475,078 * Justsystems Corp. 7,800 51,121 #* JVC Kenwood Corp. 57,470 121,486 JX Holdings, Inc. 160,970 836,368 * K&O Energy Group, Inc. 6,000 83,283 K's Holdings Corp. 13,080 379,586 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- JAPAN -- (Continued) kabu.com Securities Co., Ltd. 18,100 $ 80,306 Kadokawa Corp. 7,600 249,546 Kaga Electronics Co., Ltd. 7,500 89,814 # Kagome Co., Ltd. 11,200 189,531 Kagoshima Bank, Ltd. (The) 48,000 299,813 Kajima Corp. 50,843 193,585 Kakaku.com, Inc. 8,000 114,133 Kaken Pharmaceutical Co., Ltd. 14,000 241,252 Kameda Seika Co., Ltd. 1,400 39,808 Kamei Corp. 8,000 58,909 Kamigumi Co., Ltd. 71,000 676,794 Kanagawa Chuo Kotsu Co., Ltd. 7,000 34,179 # Kanamoto Co., Ltd. 8,000 251,310 Kandenko Co., Ltd. 44,000 236,029 Kaneka Corp. 79,000 463,360 # Kanematsu Corp. 157,000 241,604 Kanematsu Electronics, Ltd. 1,400 18,696 # Kansai Paint Co., Ltd. 14,000 195,732 Kansai Super Market, Ltd. 1,900 14,947 Kansai Urban Banking Corp. 103,000 129,186 #* Kanto Denka Kogyo Co., Ltd. 21,000 50,256 * Kappa Create Holdings Co., Ltd. 1,100 10,609 Kasai Kogyo Co., Ltd. 8,000 52,429 Kasumi Co., Ltd. 13,600 95,953 Katakura Industries Co., Ltd. 9,800 125,995 Kato Sangyo Co., Ltd. 9,200 191,348 Kato Works Co., Ltd. 19,000 109,585 # KAWADA TECHNOLOGIES, Inc. 1,000 29,646 Kawai Musical Instruments Manufacturing Co., Ltd. 36,000 64,155 # Kawasaki Heavy Industries, Ltd. 77,000 285,790 Kawasaki Kisen Kaisha, Ltd. 248,000 497,970 Kawasumi Laboratories, Inc. 5,000 29,845 KDDI Corp. 8,100 431,986 # Keihan Electric Railway Co., Ltd. 99,000 408,120 Keihanshin Building Co., Ltd. 23,500 119,186 Keihin Co., Ltd. 17,000 24,353 Keihin Corp. 18,000 261,223 Keisei Electric Railway Co., Ltd. 13,000 113,139 Keiyo Bank, Ltd. (The) 96,000 422,552 # Keiyo Co., Ltd. 10,800 49,786 Kenko Mayonnaise Co., Ltd. 900 7,736 Kewpie Corp. 11,500 165,422 KEY Coffee, Inc. 7,600 117,163 Kikkoman Corp. 10,000 203,183 Kimoto Co., Ltd. 19,800 62,376 # Kimura Chemical Plants Co., Ltd. 800 3,649 #* Kintetsu Department Store Co., Ltd. 11,000 39,109 Kintetsu World Express, Inc. 4,500 178,592 Kinugawa Rubber Industrial Co., Ltd. 23,000 96,015 Kirin Holdings Co., Ltd. 26,680 369,518 Kita-Nippon Bank, Ltd. (The) 2,200 57,693 Kitagawa Iron Works Co., Ltd. 47,000 76,545 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- JAPAN -- (Continued) Kitano Construction Corp. 17,000 $ 42,014 Kito Corp. 1,200 22,003 Kitz Corp. 37,300 176,133 Kiyo Bank, Ltd. (The) 19,500 229,457 * KNT-CT Holdings Co., Ltd. 20,000 32,905 Koa Corp. 12,800 123,024 Koatsu Gas Kogyo Co., Ltd. 8,000 41,218 Kobayashi Pharmaceutical Co., Ltd. 1,700 103,226 Kobe Steel, Ltd. 670,000 879,482 # Kohnan Shoji Co., Ltd. 11,500 116,417 Kohsoku Corp. 200 1,765 Koito Manufacturing Co., Ltd. 12,000 260,994 * Kojima Co., Ltd. 9,400 30,101 Kokusai Co., Ltd. 900 9,978 # Kokuyo Co., Ltd. 34,200 261,531 KOMAIHALTEC, Inc. 12,000 33,574 Komatsu Seiren Co., Ltd. 5,000 25,197 Komatsu, Ltd. 14,100 310,429 Komeri Co., Ltd. 13,300 360,141 Konaka Co., Ltd. 8,700 61,133 # Konami Corp. 10,900 248,569 Konami Corp. ADR 200 4,530 Kondotec, Inc. 3,100 21,183 Konica Minolta, Inc. 70,000 652,269 Konishi Co., Ltd. 7,000 125,236 Kose Corp. 8,900 295,809 # Kosei Securities Co., Ltd. 10,000 18,626 # Koshidaka Holdings Co., Ltd. 1,500 44,466 Kotobuki Spirits Co., Ltd. 600 12,387 Krosaki Harima Corp. 35,000 73,114 KRS Corp. 1,700 16,826 KU Holdings Co., Ltd. 400 4,430 # Kubota Corp. 9,000 115,997 #* Kumagai Gumi Co., Ltd. 81,000 209,487 Kumiai Chemical Industry Co., Ltd. 18,000 122,392 Kura Corp. 4,200 84,475 Kurabo Industries, Ltd. 76,000 129,456 Kuraray Co., Ltd. 13,300 149,542 Kureha Corp. 50,000 236,445 Kurimoto, Ltd. 43,000 89,700 Kurita Water Industries, Ltd. 14,700 309,583 # Kuroda Electric Co., Ltd. 13,300 213,679 Kusuri No Aoki Co., Ltd. 400 26,768 KYB Co., Ltd. 79,000 321,808 Kyocera Corp. 8,400 395,051 # Kyocera Corp. Sponsored ADR 2,504 118,039 Kyodo Printing Co., Ltd. 24,000 64,658 Kyodo Shiryo Co., Ltd. 18,000 19,022 # Kyoei Steel, Ltd. 8,900 154,275 Kyokuto Kaihatsu Kogyo Co., Ltd. 12,500 164,334 # Kyokuto Securities Co., Ltd. 5,200 81,559 Kyokuyo Co., Ltd. 31,000 80,123 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- JAPAN -- (Continued) KYORIN Holdings, Inc. 14,700 $283,343 Kyoritsu Maintenance Co., Ltd. 3,600 122,955 Kyosan Electric Manufacturing Co., Ltd. 20,000 69,175 Kyoto Kimono Yuzen Co., Ltd. 1,000 9,902 Kyowa Electronics Instruments Co., Ltd. 3,000 14,319 Kyowa Exeo Corp. 26,500 342,796 Kyowa Hakko Kirin Co., Ltd. 31,000 353,019 Kyudenko Corp. 15,000 129,347 LAC Co., Ltd. 3,300 17,297 Land Business Co., Ltd. 1,900 7,577 Lasertec Corp. 6,000 59,697 # Lawson, Inc. 2,300 159,738 LEC, Inc. 1,400 14,332 #* Leopalace21 Corp. 55,000 284,443 # Life Corp. 3,600 55,023 Lintec Corp. 19,500 362,587 Lion Corp. 30,000 164,346 #* Livesense, Inc. 2,000 18,562 # LIXIL Group Corp. 10,300 272,949 Look, Inc. 15,000 38,953 M3, Inc. 6,800 93,286 Macnica, Inc. 4,700 139,360 Maeda Corp. 50,000 372,083 Maeda Kosen Co., Ltd. 900 13,400 Maeda Road Construction Co., Ltd. 20,000 310,112 Maezawa Kyuso Industries Co., Ltd. 1,300 17,043 Makino Milling Machine Co., Ltd. 44,000 327,577 # Makita Corp. 900 47,870 Makita Corp. Sponsored ADR 1,988 106,159 Mamiya-Op Co., Ltd. 27,000 52,342 Mandom Corp. 3,600 126,430 Mani, Inc. 700 31,314 # Mars Engineering Corp. 5,000 93,383 Marubeni Corp. 71,000 474,451 Marubun Corp. 2,700 14,904 Marudai Food Co., Ltd. 39,000 116,083 * Maruei Department Store Co., Ltd. 18,000 24,736 Maruetsu, Inc. (The) 9,000 29,943 # Marufuji Sheet Piling Co., Ltd. 3,000 10,285 #* Maruha Nichiro Corp. 10,800 171,135 Marui Group Co., Ltd. 67,800 602,242 Maruka Machinery Co., Ltd. 1,900 24,755 Marusan Securities Co., Ltd. 38,600 270,147 Maruwa Co., Ltd. 3,500 124,184 Maruyama Manufacturing Co., Inc. 28,000 59,440 * Maruzen CHI Holdings Co., Ltd. 700 2,159 # Maruzen Showa Unyu Co., Ltd. 15,000 47,056 # Marvelous AQL, Inc. 4,500 29,978 Matsuda Sangyo Co., Ltd. 6,100 67,799 Matsui Construction Co., Ltd. 7,000 29,711 # Matsui Securities Co., Ltd. 4,400 40,509 Matsumotokiyoshi Holdings Co., Ltd. 10,300 303,948 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- JAPAN -- (Continued) Matsuya Foods Co., Ltd. 2,100 $ 37,728 Max Co., Ltd. 11,000 120,680 Maxvalu Tokai Co., Ltd. 1,500 19,715 MEC Co., Ltd. 6,600 55,880 Medical & Biological Laboratories Co., Ltd. 1,000 3,504 Medipal Holdings Corp. 34,400 483,852 #* Megachips Corp. 5,600 66,005 Megmilk Snow Brand Co., Ltd. 18,100 240,169 Meidensha Corp. 51,000 211,132 MEIJI Holdings Co., Ltd. 5,750 352,859 Meiko Network Japan Co., Ltd. 2,800 30,267 Meisei Industrial Co., Ltd. 13,000 61,743 Meitec Corp. 2,200 58,571 Meito Sangyo Co., Ltd. 1,100 11,638 Meiwa Corp. 9,600 38,180 Meiwa Estate Co., Ltd. 2,000 7,898 Melco Holdings, Inc. 7,300 111,005 Message Co., Ltd. 3,600 115,537 Michinoku Bank, Ltd. (The) 39,000 82,133 # Micronics Japan Co., Ltd. 4,000 110,085 Mie Bank, Ltd. (The) 26,000 55,980 Mikuni Corp. 5,000 18,724 Milbon Co., Ltd. 2,352 77,589 Mimasu Semiconductor Industry Co., Ltd. 4,200 38,128 Minato Bank, Ltd. (The) 75,000 127,644 Minebea Co., Ltd. 81,000 656,422 Ministop Co., Ltd. 7,800 118,131 Miraca Holdings, Inc. 5,500 238,410 Mirait Holdings Corp. 26,510 233,184 Miroku Jyoho Service Co., Ltd. 1,500 5,869 Misawa Homes Co., Ltd. 9,800 120,285 MISUMI Group, Inc. 5,300 128,971 Mitani Corp. 3,400 76,596 Mito Securities Co., Ltd. 26,000 90,828 Mitsuba Corp. 10,100 148,271 Mitsubishi Chemical Holdings Corp. 377,600 1,511,165 Mitsubishi Corp. 62,000 1,110,253 Mitsubishi Electric Corp. 28,000 318,831 Mitsubishi Gas Chemical Co., Inc. 72,789 420,246 Mitsubishi Heavy Industries, Ltd. 96,000 505,435 #* Mitsubishi Kakoki Kaisha, Ltd. 23,000 34,911 # Mitsubishi Logistics Corp. 33,000 473,450 Mitsubishi Materials Corp. 138,800 402,594 Mitsubishi Motors Corp. 24,400 264,455 Mitsubishi Nichiyu Forklift Co., Ltd. 7,000 48,777 #* Mitsubishi Paper Mills, Ltd. 102,000 87,748 Mitsubishi Pencil Co., Ltd. 4,125 122,596 Mitsubishi Research Institute, Inc. 1,200 25,472 Mitsubishi Shokuhin Co., Ltd. 5,700 127,632 Mitsubishi Steel Manufacturing Co., Ltd. 57,000 114,254 Mitsubishi Tanabe Pharma Corp. 26,900 368,860 Mitsubishi UFJ Financial Group, Inc. 543,100 2,889,017 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ---------- JAPAN -- (Continued) Mitsubishi UFJ Financial Group, Inc. ADR 16,850 $ 90,148 Mitsuboshi Belting Co., Ltd. 22,000 114,938 Mitsui & Co., Ltd. 67,500 957,310 Mitsui & Co., Ltd. Sponsored ADR 471 133,105 # Mitsui Chemicals, Inc. 238,000 579,953 Mitsui Engineering & Shipbuilding Co., Ltd. 319,000 618,933 Mitsui High-Tec, Inc. 8,600 54,242 Mitsui Home Co., Ltd. 6,000 27,655 Mitsui Knowledge Industry Co., Ltd. 7,800 11,453 Mitsui Matsushima Co., Ltd. 57,000 82,622 Mitsui Mining & Smelting Co., Ltd. 265,000 657,107 Mitsui OSK Lines, Ltd. 166,000 553,787 Mitsui Sugar Co., Ltd. 36,000 149,370 Mitsui-Soko Co., Ltd. 33,000 130,928 Mitsuuroko Group Holdings Co., Ltd. 11,300 61,536 # Miura Co., Ltd. 7,900 224,408 # Miyaji Engineering Group, Inc. 23,000 51,340 Miyazaki Bank, Ltd. (The) 63,000 192,477 Miyoshi Oil & Fat Co., Ltd. 20,000 26,843 Mizuho Financial Group, Inc. 1,155,460 2,263,092 # Mizuno Corp. 42,000 229,186 Mochida Pharmaceutical Co., Ltd. 2,200 155,018 Modec, Inc. 3,000 66,478 # Monex Group, Inc. 11,100 37,213 # Money Partners Group Co., Ltd. 4,900 11,189 Monogatari Corp. (The) 1,000 36,057 MonotaRO Co., Ltd. 5,400 108,960 Morinaga & Co., Ltd. 66,000 145,476 Morinaga Milk Industry Co., Ltd. 78,000 291,159 Morita Holdings Corp. 13,000 108,273 Mory Industries, Inc. 7,000 26,401 MOS Food Services, Inc. 2,900 57,796 # Moshi Moshi Hotline, Inc. 10,900 110,340 Mr Max Corp. 8,900 28,512 MS&AD Insurance Group Holdings 23,282 522,265 MTI, Ltd. 5,400 30,040 Murakami Corp. 2,000 28,895 # Murata Manufacturing Co., Ltd. 2,100 175,064 # Musashi Seimitsu Industry Co., Ltd. 7,300 161,089 Musashino Bank, Ltd. (The) 11,400 365,313 # Mutoh Holdings Co., Ltd. 15,000 65,445 # Nabtesco Corp. 4,700 101,465 NAC Co., Ltd. 2,800 41,307 Nachi-Fujikoshi Corp. 43,000 265,943 Nagaileben Co., Ltd. 1,800 34,644 Nagano Bank, Ltd. (The) 20,000 35,063 Nagase & Co., Ltd. 29,600 362,692 Nagatanien Co., Ltd. 3,000 28,935 Nagoya Railroad Co., Ltd. 39,000 123,743 Nakabayashi Co., Ltd. 9,000 17,691 Nakamuraya Co., Ltd. 10,083 39,209 Nakanishi, Inc. 2,000 68,515 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- JAPAN -- (Continued) * Nakayama Steel Works, Ltd. 31,000 $ 23,067 Nakayamafuku Co., Ltd. 600 5,083 Namco Bandai Holdings, Inc. 8,000 172,841 Nankai Electric Railway Co., Ltd. 23,000 89,215 Nanto Bank, Ltd. (The) 72,000 270,243 Natori Co., Ltd. 700 7,570 NDS Co., Ltd. 10,000 27,809 # NEC Capital Solutions, Ltd. 1,400 24,229 NEC Corp. 340,000 956,419 NEC Networks & System Integration Corp. 6,900 145,772 NET One Systems Co., Ltd. 36,100 293,707 Neturen Co., Ltd. 12,700 87,132 #* New Japan Chemical Co., Ltd. 6,900 14,389 Nexon Co., Ltd. 8,500 66,204 Next Co., Ltd. 5,400 46,939 NGK Insulators, Ltd. 7,000 132,377 NGK Spark Plug Co., Ltd. 8,000 183,157 NHK Spring Co., Ltd. 33,400 302,333 Nice Holdings, Inc. 15,000 30,317 Nichi-iko Pharmaceutical Co., Ltd. 10,850 168,292 Nichia Steel Works, Ltd. 2,000 5,184 # Nichias Corp. 29,000 196,435 Nichiban Co., Ltd. 9,000 30,372 Nichicon Corp. 23,000 170,602 Nichiden Corp. 200 4,788 Nichiha Corp. 8,900 102,538 Nichii Gakkan Co. 18,500 163,178 Nichimo Co., Ltd. 13,000 23,174 Nichirei Corp. 84,000 407,901 Nichireki Co., Ltd. 7,000 68,453 # Nidec Copal Electronics Corp. 6,700 53,082 # Nidec Corp. 3,794 214,496 Nifco, Inc. 10,700 298,862 NIFTY Corp. 1,700 24,114 # Nihon Chouzai Co., Ltd. 720 19,995 # Nihon Dempa Kogyo Co., Ltd. 10,300 82,768 Nihon Eslead Corp. 1,600 16,271 Nihon Kohden Corp. 5,500 225,244 Nihon M&A Center, Inc. 6,400 149,627 Nihon Nohyaku Co., Ltd. 12,000 149,528 Nihon Parkerizing Co., Ltd. 10,000 217,962 Nihon Tokushu Toryo Co., Ltd. 2,200 12,242 Nihon Trim Co., Ltd. 500 17,368 Nihon Unisys, Ltd. 5,300 53,822 Nihon Yamamura Glass Co., Ltd. 28,000 46,608 Nikkiso Co., Ltd. 13,700 153,552 # Nikko Co., Ltd. 9,000 38,713 # Nikon Corp. 15,300 239,880 Nippo Corp. 22,000 336,149 Nippon Beet Sugar Manufacturing Co., Ltd. 46,000 86,555 # Nippon Carbide Industries Co., Inc. 28,000 58,234 # Nippon Carbon Co., Ltd. 50,000 88,195 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- JAPAN -- (Continued) #* Nippon Chemi-Con Corp. 60,000 $191,793 * Nippon Chemical Industrial Co., Ltd. 45,000 58,620 Nippon Chemiphar Co., Ltd. 5,000 24,066 Nippon Chutetsukan K.K. 12,000 25,835 Nippon Coke & Engineering Co., Ltd. 81,500 95,003 # Nippon Concrete Industries Co., Ltd. 19,000 77,604 Nippon Denko Co., Ltd. 41,000 114,068 Nippon Densetsu Kogyo Co., Ltd. 14,000 207,768 Nippon Electric Glass Co., Ltd. 112,000 547,895 Nippon Express Co., Ltd. 108,000 510,550 Nippon Filcon Co., Ltd. 1,800 7,435 Nippon Fine Chemical Co., Ltd. 4,800 29,465 Nippon Flour Mills Co., Ltd. 47,000 262,231 Nippon Formula Feed Manufacturing Co., Ltd. 18,000 21,855 Nippon Gas Co., Ltd. 5,900 97,717 Nippon Hume Corp. 10,000 72,852 # Nippon Jogesuido Sekkei Co., Ltd. 1,400 17,006 Nippon Kanzai Co., Ltd. 500 10,135 Nippon Kasei Chemical Co., Ltd. 8,000 10,093 Nippon Kayaku Co., Ltd. 20,000 238,001 * Nippon Kinzoku Co., Ltd. 16,000 20,208 Nippon Kodoshi Corp. 1,500 15,160 Nippon Koei Co., Ltd. 29,000 138,945 Nippon Konpo Unyu Soko Co., Ltd. 19,100 322,734 * Nippon Koshuha Steel Co., Ltd. 18,000 16,063 Nippon Light Metal Holdings Co., Ltd. 216,700 305,563 Nippon Meat Packers, Inc. 21,000 363,959 Nippon Paint Co., Ltd. 11,000 170,185 # Nippon Paper Industries Co., Ltd. 39,824 727,812 Nippon Parking Development Co., Ltd. 38,200 40,633 Nippon Pillar Packing Co., Ltd. 6,000 43,071 # Nippon Piston Ring Co., Ltd. 51,000 89,105 Nippon Road Co., Ltd. (The) 22,000 111,995 Nippon Seiki Co., Ltd. 6,000 104,912 Nippon Seisen Co., Ltd. 6,000 23,719 Nippon Sharyo, Ltd. 20,000 71,739 * Nippon Sheet Glass Co., Ltd. 379,000 486,121 Nippon Shinyaku Co., Ltd. 15,000 264,239 Nippon Shokubai Co., Ltd. 38,000 438,454 Nippon Signal Co., Ltd. (The) 23,000 190,718 Nippon Soda Co., Ltd. 59,000 327,801 Nippon Steel & Sumikin Bussan Corp. 59,000 208,440 Nippon Steel & Sumikin Texeng Co., Ltd. 18,000 69,663 Nippon Steel & Sumitomo Metal Corp. 256,562 673,126 * Nippon Suisan Kaisha, Ltd. 100,600 231,498 Nippon Synthetic Chemical Industry Co., Ltd. (The) 15,000 99,943 Nippon Television Holdings, Inc. 3,000 44,723 Nippon Thompson Co., Ltd. 30,000 136,722 Nippon Valqua Industries, Ltd. 21,000 55,902 #* Nippon Yakin Kogyo Co., Ltd. 33,500 93,182 # Nippon Yusen K.K. 246,217 667,377 # Nipro Corp. 41,200 356,677 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- JAPAN -- (Continued) Nishi-Nippon City Bank, Ltd. (The) 212,000 $ 482,214 Nishi-Nippon Railroad Co., Ltd. 29,000 111,531 Nishikawa Rubber Co., Ltd. 1,400 23,087 Nishimatsu Construction Co., Ltd. 76,000 273,474 Nishimatsuya Chain Co., Ltd. 21,000 150,530 Nishio Rent All Co., Ltd. 5,600 206,043 Nissan Chemical Industries, Ltd. 10,400 154,995 Nissan Motor Co., Ltd. 107,200 924,985 Nissan Shatai Co., Ltd. 16,000 243,754 Nissan Tokyo Sales Holdings Co., Ltd. 5,000 16,232 Nissei ASB Machine Co., Ltd. 2,500 39,781 Nissei Build Kogyo Co., Ltd. 22,000 49,623 Nissei Plastic Industrial Co., Ltd. 2,700 15,216 #* Nissha Printing Co., Ltd. 5,200 67,780 # Nisshin Oillio Group, Ltd. (The) 45,000 150,669 # Nisshin Seifun Group, Inc. 59,050 687,022 Nisshin Steel Co., Ltd. 29,440 302,361 Nisshinbo Holdings, Inc. 60,000 514,036 Nissin Corp. 19,000 53,575 # Nissin Electric Co., Ltd. 21,000 116,790 Nissin Foods Holdings Co., Ltd. 2,200 105,307 Nissin Kogyo Co., Ltd. 14,900 275,010 Nissin Sugar Co., Ltd. 700 14,895 Nissui Pharmaceutical Co., Ltd. 3,400 35,104 Nitori Holdings Co., Ltd. 1,700 77,977 Nitta Corp. 7,800 160,234 # Nitta Gelatin, Inc. 1,900 19,255 Nittan Valve Co., Ltd. 4,200 12,591 Nittetsu Mining Co., Ltd. 28,000 104,515 * Nitto Boseki Co., Ltd. 54,000 225,324 # Nitto Denko Corp. 7,800 337,709 Nitto Kogyo Corp. 7,600 157,574 Nitto Kohki Co., Ltd. 4,200 76,470 Nitto Seiko Co., Ltd. 7,000 20,202 Nittoc Construction Co., Ltd. 12,200 43,668 # Nittoku Engineering Co., Ltd. 4,300 37,045 NKSJ Holdings, Inc. 47,550 1,186,317 NOF Corp. 45,000 312,092 Nohmi Bosai, Ltd. 8,000 91,693 NOK Corp. 26,600 434,878 Nomura Co., Ltd. 9,000 63,974 Nomura Holdings, Inc. 115,100 666,529 Nomura Holdings, Inc. ADR 7,820 45,825 Nomura Real Estate Holdings, Inc. 9,600 179,369 Nomura Research Institute, Ltd. 4,800 139,187 Noritake Co., Ltd. 41,000 100,328 Noritz Corp. 12,000 213,191 North Pacific Bank, Ltd. 137,300 556,158 NS Solutions Corp. 4,900 122,595 # NS United Kaiun Kaisha, Ltd. 57,000 128,083 NSD Co., Ltd. 12,400 153,302 NSK, Ltd. 18,000 189,229 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- JAPAN -- (Continued) * NTN Corp. 131,000 $448,337 NTT Data Corp. 5,600 216,359 NTT DOCOMO, Inc. 55,772 889,594 # NTT DOCOMO, Inc. Sponsored ADR 3,100 49,538 NTT Urban Development Corp. 2,400 21,109 Nuflare Technology, Inc. 400 24,884 Obara Group, Inc. 3,300 123,970 # Obayashi Corp. 99,000 639,232 Obayashi Road Corp. 8,000 44,385 OBIC Business Consultants, Ltd. 1,400 45,364 Obic Co., Ltd. 4,000 120,027 Odelic Co., Ltd. 1,100 29,890 Oenon Holdings, Inc. 18,000 45,586 Ogaki Kyoritsu Bank, Ltd. (The) 137,000 370,043 Ohara, Inc. 1,500 8,817 Ohashi Technica, Inc. 2,200 17,751 # Ohsho Food Service Corp. 2,300 85,005 OIE Sangyo Co., Ltd. 1,187 9,657 # Oiles Corp. 7,280 163,961 Oita Bank, Ltd. (The) 65,000 236,659 Oji Holdings Corp. 183,000 768,873 Okabe Co., Ltd. 14,500 199,376 Okamoto Industries, Inc. 26,000 85,466 Okamura Corp. 27,000 230,961 Oki Electric Industry Co., Ltd. 153,000 299,509 Okinawa Cellular Telephone Co. 1,900 48,522 Okinawa Electric Power Co., Inc. (The) 2,100 68,635 OKK Corp. 41,000 52,676 # OKUMA Corp. 41,000 350,934 Okumura Corp. 54,000 246,715 Okura Industrial Co., Ltd. 15,000 42,987 Okuwa Co., Ltd. 5,000 45,642 Olympic Group Corp. 2,300 20,731 #* Olympus Corp. 8,500 259,628 Omron Corp. 6,700 237,276 ONO Sokki Co., Ltd. 8,000 36,365 Onoken Co., Ltd. 4,800 50,543 Onward Holdings Co., Ltd. 54,000 363,208 # OPT, Inc. 5,500 41,931 Optex Co., Ltd. 4,600 74,980 Oracle Corp. Japan 1,000 46,086 Organo Corp. 14,000 66,612 # Origin Electric Co., Ltd. 7,000 19,513 Osaka Organic Chemical Industry, Ltd. 2,300 9,826 Osaka Steel Co., Ltd. 3,900 61,657 # OSAKA Titanium Technologies Co., Ltd. 3,500 71,887 Osaki Electric Co., Ltd. 14,000 84,746 OSG Corp. 8,400 135,394 Otsuka Corp. 500 59,190 Otsuka Holdings Co., Ltd. 8,200 236,224 OUG Holdings, Inc. 15,000 30,537 Outsourcing, Inc. 800 10,026 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- JAPAN -- (Continued) Oyo Corp. 2,800 $ 38,841 Pacific Industrial Co., Ltd. 18,500 129,402 #* Pacific Metals Co., Ltd. 62,000 288,388 Pack Corp. (The) 4,300 81,159 Pal Co., Ltd. 3,100 59,158 # Paltac Corp. 13,350 164,906 PanaHome Corp. 34,000 226,080 Panasonic Corp. 19,899 216,900 Panasonic Corp. Sponsored ADR 27,580 301,725 Panasonic Industrial Devices SUNX Co., Ltd. 9,300 42,109 Paramount Bed Holdings Co., Ltd. 4,200 126,761 Parco Co., Ltd. 8,606 68,920 Paris Miki Holdings, Inc. 7,500 37,323 Park24 Co., Ltd. 6,800 124,298 Pasona Group, Inc. 9,400 47,954 Penta-Ocean Construction Co., Ltd. 104,500 341,784 Pigeon Corp. 2,800 125,359 Pilot Corp. 2,400 100,878 Piolax, Inc. 3,400 117,691 * Pioneer Corp. 130,200 281,322 Plenus Co., Ltd. 6,000 136,929 Pola Orbis Holdings, Inc. 2,700 105,666 Press Kogyo Co., Ltd. 44,000 161,369 Pressance Corp. 3,200 79,378 Prestige International, Inc. 400 3,754 Prima Meat Packers, Ltd. 57,000 125,735 Pronexus, Inc. 6,000 40,882 Proto Corp. 3,200 44,184 # PS Mitsubishi Construction Co., Ltd. 12,500 55,698 Psc, Inc. 800 23,439 Qol Co., Ltd. 6,300 39,087 Raito Kogyo Co., Ltd. 22,900 197,192 * Rasa Industries, Ltd. 9,000 11,021 Relo Holdings, Inc. 2,500 137,089 Rengo Co., Ltd. 91,000 406,653 * Renown, Inc. 44,300 51,243 Resona Holdings, Inc. 102,900 526,128 Resorttrust, Inc. 16,800 263,589 Rhythm Watch Co., Ltd. 9,000 13,306 Riberesute Corp. 1,700 11,031 Ricoh Co., Ltd. 105,000 1,209,922 Ricoh Leasing Co., Ltd. 9,200 240,138 Right On Co., Ltd. 3,000 21,248 Riken Corp. 40,000 163,657 Riken Technos Corp. 16,000 82,842 # Riken Vitamin Co., Ltd. 2,400 56,907 Ringer Hut Co., Ltd. 2,000 29,724 Rinnai Corp. 700 58,337 # Rion Co., Ltd. 3,200 46,105 Riso Kagaku Corp. 6,300 155,410 # Riso Kyoiku Co., Ltd. 5,400 11,765 # Rock Field Co., Ltd. 3,000 53,608 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- JAPAN -- (Continued) Rohm Co., Ltd. 300 $ 14,347 Rohto Pharmaceutical Co., Ltd. 17,000 299,906 # Rokko Butter Co., Ltd. 1,400 11,878 Roland Corp. 6,500 92,394 Roland DG Corp. 1,700 57,460 Round One Corp. 29,100 209,020 Royal Holdings Co., Ltd. 6,300 91,891 Ryobi, Ltd. 56,000 165,898 Ryoden Trading Co., Ltd. 10,000 67,457 # Ryohin Keikaku Co., Ltd. 1,800 202,290 Ryosan Co., Ltd. 13,700 289,581 S Foods, Inc. 4,000 53,387 # S&B Foods, Inc. 200 7,420 Sagami Chain Co., Ltd. 3,000 27,202 Saibu Gas Co., Ltd. 32,000 80,232 # Saizeriya Co., Ltd. 10,300 118,015 Sakai Chemical Industry Co., Ltd. 43,000 121,198 Sakai Heavy Industries, Ltd. 18,000 63,937 Sakai Moving Service Co., Ltd. 700 23,662 # Sakai Ovex Co., Ltd. 45,000 77,687 Sakata INX Corp. 16,000 141,122 Sakata Seed Corp. 15,000 209,543 Sala Corp. 6,500 33,110 San-A Co., Ltd. 5,400 155,630 San-Ai Oil Co., Ltd. 25,000 166,408 San-In Godo Bank, Ltd. (The) 66,000 435,610 Sanden Corp. 39,000 186,288 Sanei Architecture Planning Co., Ltd. 5,400 42,518 Sangetsu Co., Ltd. 9,300 239,633 #* Sanix, Inc. 7,200 85,236 Sanken Electric Co., Ltd. 42,000 292,590 Sanki Engineering Co., Ltd. 13,000 79,785 # Sanko Marketing Foods Co., Ltd. 3,300 29,580 Sanko Metal Industrial Co., Ltd. 4,000 9,136 Sankyo Co., Ltd. 3,400 135,969 Sankyo Seiko Co., Ltd. 7,100 24,523 Sankyo Tateyama, Inc. 9,200 182,086 Sankyu, Inc. 106,000 404,053 Sanoh Industrial Co., Ltd. 8,500 52,477 # Sanrio Co., Ltd. 3,600 114,134 Sanshin Electronics Co., Ltd. 14,000 87,872 Santen Pharmaceutical Co., Ltd. 1,700 75,768 # Sanwa Holdings Corp. 53,000 323,790 Sanyo Chemical Industries, Ltd. 27,000 165,389 Sanyo Denki Co., Ltd. 16,000 107,769 Sanyo Electric Railway Co., Ltd. 10,000 46,117 Sanyo Shokai, Ltd. 51,372 140,180 Sanyo Special Steel Co., Ltd. 46,000 179,414 Sapporo Holdings, Ltd. 120,000 508,802 Sata Construction Co., Ltd. 17,000 19,507 # Sato Holdings Corp. 7,900 171,463 Sato Shoji Corp. 4,500 28,532 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- JAPAN -- (Continued) Satori Electric Co., Ltd. 2,800 $ 17,720 Sawada Holdings Co., Ltd. 8,100 68,703 Sawai Pharmaceutical Co., Ltd. 2,100 129,966 Saxa Holdings, Inc. 10,000 14,958 SBI Holdings, Inc. 57,550 658,138 SBS Holdings, Inc. 1,700 28,785 Scroll Corp. 5,100 13,694 SCSK Corp. 1,655 43,777 Secom Co., Ltd. 2,200 126,309 Secom Joshinetsu Co., Ltd. 200 4,896 Sega Sammy Holdings, Inc. 9,700 195,525 Seibu Electric Industry Co., Ltd. 2,000 9,103 Seika Corp. 18,000 41,950 * Seikitokyu Kogyo Co., Ltd. 12,000 14,737 Seiko Epson Corp. 34,950 953,785 Seiko Holdings Corp. 60,000 219,250 Seiko PMC Corp. 200 2,401 Seino Holdings Co., Ltd. 46,000 454,652 Seiren Co., Ltd. 19,200 161,321 Sekisui Chemical Co., Ltd. 27,000 273,623 Sekisui House, Ltd. 76,140 913,954 Sekisui Jushi Corp. 10,000 133,143 Sekisui Plastics Co., Ltd. 16,000 42,708 # Senko Co., Ltd. 35,000 159,972 Senshu Electric Co., Ltd. 1,400 17,938 Senshu Ikeda Holdings, Inc. 80,640 370,256 Senshukai Co., Ltd. 10,700 91,040 Seria Co., Ltd. 3,800 148,614 Seven & I Holdings Co., Ltd. 13,200 520,822 Seven Bank, Ltd. 25,000 94,780 #* Sharp Corp. 179,000 448,711 Shibaura Electronics Co., Ltd. 700 12,504 Shibaura Mechatronics Corp. 20,000 50,243 Shibusawa Warehouse Co., Ltd. (The) 15,000 49,812 # Shibuya Kogyo Co., Ltd. 4,400 118,911 Shidax Corp. 2,000 9,710 Shiga Bank, Ltd. (The) 80,000 437,461 Shikibo, Ltd. 50,000 54,774 Shikoku Bank, Ltd. (The) 65,000 131,103 Shikoku Chemicals Corp. 14,000 95,957 Shima Seiki Manufacturing, Ltd. 11,500 191,917 Shimachu Co., Ltd. 19,300 424,071 Shimadzu Corp. 27,000 230,647 Shimamura Co., Ltd. 1,200 111,790 SHIMANE BANK, Ltd. (The) 1,300 16,462 Shimano, Inc. 2,500 249,904 Shimizu Bank, Ltd. (The) 1,700 41,543 Shimizu Corp. 137,000 776,603 Shimojima Co., Ltd. 1,600 16,304 Shin Nippon Air Technologies Co., Ltd. 2,500 15,302 Shin-Etsu Chemical Co., Ltd. 8,900 522,092 Shin-Etsu Polymer Co., Ltd. 6,600 24,711 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- JAPAN -- (Continued) Shin-Keisei Electric Railway Co., Ltd. 5,000 $ 18,487 Shinagawa Refractories Co., Ltd. 20,000 39,778 Shindengen Electric Manufacturing Co., Ltd. 38,000 155,246 # Shinko Electric Industries Co., Ltd. 30,600 201,522 Shinko Plantech Co., Ltd. 17,200 129,485 Shinko Shoji Co., Ltd. 6,100 56,202 Shinmaywa Industries, Ltd. 36,000 317,914 Shinnihon Corp. 9,500 27,917 # Shinsei Bank, Ltd. 255,000 497,154 Shinsho Corp. 8,000 18,020 Shionogi & Co., Ltd. 14,200 248,903 # Ship Healthcare Holdings, Inc. 6,700 228,486 Shiroki Corp. 19,000 36,462 Shiseido Co., Ltd. 14,100 251,909 Shizuoka Bank, Ltd. (The) 86,000 821,730 Shizuoka Gas Co., Ltd. 21,500 129,371 Shobunsha Publications, Inc. 1,800 11,119 # Shoei Foods Corp. 2,300 17,893 Shofu, Inc. 1,200 10,102 Shoko Co., Ltd. 19,000 25,322 # Showa Aircraft Industry Co., Ltd. 2,822 32,974 # Showa Corp. 18,000 197,945 # Showa Denko K.K. 508,000 676,887 Showa Sangyo Co., Ltd. 20,000 64,563 Showa Shell Sekiyu K.K. 35,000 355,054 Siix Corp. 6,800 99,852 Sinanen Co., Ltd. 23,000 87,326 Sinfonia Technology Co., Ltd. 38,000 58,453 Sinko Industries, Ltd. 2,900 27,570 Sintokogio, Ltd. 18,400 132,223 SKY Perfect JSAT Holdings, Inc. 56,600 304,345 SMC Corp. 100 23,806 # SMK Corp. 19,000 70,881 SMS Co., Ltd. 2,300 49,011 Sodick Co., Ltd. 20,600 76,491 Soft99 Corp. 4,000 25,967 Sogo Medical Co., Ltd. 2,300 95,150 Sohgo Security Services Co., Ltd. 16,900 358,297 Sojitz Corp. 304,100 479,511 # Sony Corp. 56,900 998,913 Sony Corp. Sponsored ADR 17,008 300,021 Sony Financial Holdings, Inc. 5,300 84,986 Sotetsu Holdings, Inc. 22,000 78,625 Sotoh Co., Ltd. 1,500 13,710 Space Co., Ltd. 4,200 39,097 SPK Corp. 1,082 19,909 # Square Enix Holdings Co., Ltd. 15,800 254,137 ST Corp. 2,200 21,330 St Marc Holdings Co., Ltd. 3,400 161,140 Stanley Electric Co., Ltd. 5,100 113,036 Star Micronics Co., Ltd. 14,200 175,312 Starbucks Coffee Japan, Ltd. 5,800 61,683 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- JAPAN -- (Continued) Start Today Co., Ltd. 3,100 $ 64,965 Starts Corp., Inc. 7,500 94,851 Starzen Co., Ltd. 18,000 47,816 Stella Chemifa Corp. 5,100 64,719 Studio Alice Co., Ltd. 4,700 65,357 # Sugi Holdings Co., Ltd. 1,600 71,967 # Sumco Corp. 13,300 102,071 Sumida Corp. 4,600 27,741 Suminoe Textile Co., Ltd. 13,000 39,357 Sumitomo Bakelite Co., Ltd. 83,000 316,102 Sumitomo Chemical Co., Ltd. 142,000 532,733 Sumitomo Corp. 51,100 663,303 Sumitomo Densetsu Co., Ltd. 7,100 87,554 Sumitomo Electric Industries, Ltd. 114,200 1,580,662 Sumitomo Forestry Co., Ltd. 37,100 377,336 # Sumitomo Heavy Industries, Ltd. 156,000 663,764 Sumitomo Metal Mining Co., Ltd. 55,000 830,748 #* Sumitomo Mitsui Construction Co., Ltd. 161,800 166,673 Sumitomo Mitsui Financial Group, Inc. 63,441 2,507,842 Sumitomo Mitsui Trust Holdings, Inc. 135,000 556,294 Sumitomo Osaka Cement Co., Ltd. 171,000 680,088 Sumitomo Precision Products Co., Ltd. 10,000 36,696 Sumitomo Real Estate Sales Co., Ltd. 1,880 56,389 Sumitomo Rubber Industries, Ltd. 10,100 140,368 # Sumitomo Seika Chemicals Co., Ltd. 22,000 138,409 Sumitomo Warehouse Co., Ltd. (The) 57,000 276,382 Sun Frontier Fudousan Co., Ltd. 4,000 40,054 Sun-Wa Technos Corp. 1,000 8,630 Suncall Corp. 5,000 28,784 Sundrug Co., Ltd. 1,600 65,460 Suruga Bank, Ltd. 13,000 223,002 Suzuken Co., Ltd. 22,400 807,410 Suzuki Motor Corp. 10,600 273,481 * SWCC Showa Holdings Co., Ltd. 134,000 128,598 Sysmex Corp. 4,600 145,829 Systena Corp. 5,500 38,160 T Hasegawa Co., Ltd. 6,600 97,916 T RAD Co., Ltd. 36,000 94,003 T&D Holdings, Inc. 88,700 1,058,749 T&K Toka Co., Ltd. 2,300 47,705 # T-Gaia Corp. 4,100 36,105 # Tabuchi Electric Co., Ltd. 8,000 52,831 # Tachi-S Co., Ltd. 9,700 151,736 Tachibana Eletech Co., Ltd. 1,800 24,023 Tadano, Ltd. 19,000 268,656 Taihei Dengyo Kaisha, Ltd. 4,000 26,263 Taiheiyo Cement Corp. 67,000 235,029 # Taiheiyo Kouhatsu, Inc. 17,000 15,800 Taiho Kogyo Co., Ltd. 7,600 71,860 # Taikisha, Ltd. 8,400 181,749 Taiko Bank, Ltd. (The) 5,000 10,325 # Taiko Pharmaceutical Co., Ltd. 3,000 43,686 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- JAPAN -- (Continued) Taisei Corp. 64,000 $296,702 Taiyo Holdings Co., Ltd. 1,900 57,427 # Taiyo Nippon Sanso Corp. 42,000 334,772 # Taiyo Yuden Co., Ltd. 34,900 431,518 Takagi Securities Co., Ltd. 39,000 93,844 Takamatsu Construction Group Co., Ltd. 2,600 44,577 Takaoka Toko Co., Ltd. 3,664 52,311 # Takara Holdings, Inc. 22,000 168,433 Takara Leben Co., Ltd. 13,200 36,205 Takara Standard Co., Ltd. 36,000 257,136 Takasago International Corp. 28,000 136,881 Takasago Thermal Engineering Co., Ltd. 24,800 242,470 # Takashima & Co., Ltd. 26,000 56,890 # Takashimaya Co., Ltd. 74,000 701,090 Takata Corp. 11,400 268,607 Take And Give Needs Co., Ltd. 4,270 80,620 Takeda Pharmaceutical Co., Ltd. 9,800 440,805 # Takeei Corp. 7,800 76,355 Takeuchi Manufacturing Co., Ltd. 4,800 139,431 Takihyo Co., Ltd. 8,000 31,771 Takiron Co., Ltd. 12,000 48,661 Takisawa Machine Tool Co., Ltd. 23,000 32,214 Takuma Co., Ltd. 15,000 121,356 # Tamron Co., Ltd. 6,700 167,588 Tamura Corp. 20,000 47,700 Tanseisha Co., Ltd. 9,100 34,486 Tatsuta Electric Wire and Cable Co., Ltd. 13,000 65,050 Tayca Corp. 6,000 16,511 TBK Co., Ltd. 9,000 43,999 TDK Corp. 19,700 840,037 #* Teac Corp. 23,000 15,309 Teijin, Ltd. 260,000 639,094 Teikoku Electric Manufacturing Co., Ltd. 2,600 74,066 Teikoku Tsushin Kogyo Co., Ltd. 9,000 14,811 # Tekken Corp. 76,000 222,422 #* tella, Inc. 1,700 18,379 Terumo Corp. 9,300 184,564 THK Co., Ltd. 11,900 251,524 Toa Corp.(6894434) 5,000 50,328 Toa Corp.(6894508) 74,000 139,207 Toa Oil Co., Ltd. 24,000 36,842 TOA ROAD Corp. 13,000 59,336 # Toabo Corp. 38,000 26,051 Toagosei Co., Ltd. 88,000 368,234 * Tobishima Corp. 19,900 29,071 Tobu Store Co., Ltd. 1,000 2,572 TOC Co., Ltd. 19,300 131,279 Tocalo Co., Ltd. 8,100 126,635 Tochigi Bank, Ltd. (The) 40,000 155,929 Toda Corp. 86,000 301,395 # Toda Kogyo Corp. 9,000 24,333 Toei Animation Co., Ltd. 900 23,513 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- JAPAN -- (Continued) Toei Co., Ltd. 31,000 $173,551 Toenec Corp. 13,000 62,933 Toho Bank, Ltd. (The) 66,000 221,051 Toho Co., Ltd.(6895200) 2,800 53,906 Toho Co., Ltd.(6895211) 12,000 43,192 Toho Gas Co., Ltd. 20,000 98,131 Toho Holdings Co., Ltd. 19,900 401,149 #* Toho Titanium Co., Ltd. 13,400 83,597 Toho Zinc Co., Ltd. 62,000 197,264 Tohoku Bank, Ltd. (The) 23,000 32,881 Tohto Suisan Co., Ltd. 16,000 31,211 Tokai Carbon Co., Ltd. 83,000 266,286 Tokai Corp/Gifu 2,400 61,014 TOKAI Holdings Corp. 24,100 83,551 Tokai Lease Co., Ltd. 5,000 8,962 Tokai Rika Co., Ltd. 19,800 344,108 # Tokai Rubber Industries, Ltd. 19,000 196,532 # Token Corp. 2,020 89,669 Tokio Marine Holdings, Inc. 29,816 878,556 Tokushu Tokai Paper Co., Ltd. 25,000 55,115 # Tokuyama Corp. 140,000 406,026 Tokyo Derica Co., Ltd. 1,500 21,841 Tokyo Dome Corp. 51,000 228,396 Tokyo Electron Device, Ltd. 1,300 17,131 Tokyo Electron, Ltd. 6,300 358,318 Tokyo Energy & Systems, Inc. 5,000 26,070 # Tokyo Keiki, Inc. 33,000 92,259 * Tokyo Kikai Seisakusho, Ltd. 20,000 16,470 Tokyo Rakutenchi Co., Ltd. 7,000 32,190 * Tokyo Rope Manufacturing Co., Ltd. 50,000 72,998 Tokyo Seimitsu Co., Ltd. 11,300 190,426 Tokyo Steel Manufacturing Co., Ltd. 44,000 215,122 Tokyo Tatemono Co., Ltd. 61,000 486,463 Tokyo Tekko Co., Ltd. 13,000 48,826 Tokyo Theatres Co., Inc. 43,000 58,516 Tokyo Tomin Bank, Ltd. (The) 11,600 120,351 # Tokyu Construction Co., Ltd. 46,530 206,022 Tokyu Corp. 1,000 6,298 # Tokyu Fudosan Holdings Corp. 54,082 393,174 # Tokyu Recreation Co., Ltd. 3,853 22,567 Toli Corp. 9,000 17,370 Tomato Bank, Ltd. 22,000 36,357 Tomen Electronics Corp. 2,900 46,469 # Tomoe Corp. 12,000 51,988 Tomoe Engineering Co., Ltd. 2,200 34,700 Tomoku Co., Ltd. 22,000 59,089 TOMONY Holdings, Inc. 65,200 277,243 Tomy Co., Ltd. 32,400 153,749 Tonami Holdings Co., Ltd. 11,000 20,038 Topcon Corp. 3,000 52,319 Toppan Forms Co., Ltd. 22,500 206,736 # Toppan Printing Co., Ltd. 86,000 590,635 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- JAPAN -- (Continued) Topre Corp. 14,400 $ 145,711 Topy Industries, Ltd. 72,000 121,914 Toray Industries, Inc. 52,000 339,392 # Toridoll.corp 3,900 38,562 Torigoe Co., Ltd. (The) 300 2,034 # Torishima Pump Manufacturing Co., Ltd. 7,800 95,640 Tosei Corp. 17,500 105,877 Toshiba Corp. 70,000 274,180 Toshiba Machine Co., Ltd. 49,000 220,065 Toshiba Plant Systems & Services Corp. 8,000 117,702 Toshiba TEC Corp. 41,000 267,101 Tosho Co., Ltd. 700 11,773 Tosho Printing Co., Ltd. 11,000 42,188 Tosoh Corp. 144,000 549,490 Totetsu Kogyo Co., Ltd. 6,270 127,313 TOTO, Ltd. 10,000 141,454 Tottori Bank, Ltd. (The) 8,000 14,241 Towa Bank, Ltd. (The) 98,000 93,077 # Towa Corp. 7,700 39,121 # Towa Pharmaceutical Co., Ltd. 3,300 140,993 # Toyo Construction Co., Ltd. 29,900 105,985 # Toyo Denki Seizo - Toyo Electric Manufacturing Co., Ltd. 18,000 64,775 # Toyo Engineering Corp. 36,000 158,849 Toyo Ink SC Holdings Co., Ltd. 82,000 334,507 # Toyo Kanetsu K.K. 55,000 130,924 Toyo Kohan Co., Ltd. 21,000 101,719 Toyo Machinery & Metal Co., Ltd. 7,900 41,595 Toyo Securities Co., Ltd. 64,000 176,307 Toyo Seikan Group Holdings, Ltd. 26,300 391,130 Toyo Sugar Refining Co., Ltd. 8,000 7,593 Toyo Suisan Kaisha, Ltd. 2,000 64,063 # Toyo Tanso Co., Ltd. 5,500 132,418 Toyo Tire & Rubber Co., Ltd. 55,000 410,127 # Toyo Wharf & Warehouse Co., Ltd. 18,000 36,088 Toyobo Co., Ltd. 370,000 597,495 Toyoda Gosei Co., Ltd. 15,600 287,443 # Toyota Boshoku Corp. 9,500 98,205 Toyota Motor Corp. 13,880 749,911 Toyota Motor Corp. Sponsored ADR 19,878 2,155,173 # Toyota Tsusho Corp. 24,700 650,578 TPR Co., Ltd. 9,100 134,264 Trancom Co., Ltd. 1,600 56,263 Transcosmos, Inc. 3,900 72,708 Trend Micro, Inc. 4,200 135,857 Trusco Nakayama Corp. 7,300 164,521 TS Tech Co., Ltd. 9,300 248,029 TSI Holdings Co., Ltd. 21,305 143,673 Tsubakimoto Chain Co. 41,000 292,611 Tsubakimoto Kogyo Co., Ltd. 2,000 5,453 #* Tsudakoma Corp. 40,000 53,145 # Tsugami Corp. 28,000 159,088 Tsukamoto Corp. Co., Ltd. 3,000 3,909 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- JAPAN -- (Continued) Tsukishima Kikai Co., Ltd. 8,000 $ 85,136 Tsukuba Bank, Ltd. 34,600 124,848 Tsukui Corp. 5,200 58,388 # Tsumura & Co. 10,900 259,082 Tsuruha Holdings, Inc. 1,300 130,841 Tsurumi Manufacturing Co., Ltd. 4,000 48,858 UACJ Corp. 61,067 241,556 Ube Industries, Ltd. 400,200 678,025 Uchida Yoko Co., Ltd. 31,000 86,690 Ueki Corp. 3,000 5,875 UKC Holdings Corp. 4,500 72,399 * Ulvac, Inc. 21,300 403,681 * Uniden Corp. 16,000 37,104 Union Tool Co. 4,700 110,182 Unipres Corp. 16,400 316,865 United Arrows, Ltd. 4,500 174,051 * Unitika, Ltd. 72,000 40,844 * Universal Entertainment Corp. 6,600 117,300 UNY Group Holdings Co., Ltd. 93,600 604,053 * Usen Corp. 28,780 106,186 Ushio, Inc. 34,900 455,851 USS Co., Ltd. 4,000 58,305 UT Holdings Co., Ltd. 10,900 66,304 Valor Co., Ltd. 14,500 187,935 # Village Vanguard Co., Ltd. 1,800 21,153 Vital KSK Holdings, Inc. 9,400 66,561 VT Holdings Co., Ltd. 11,700 67,076 Wacoal Holdings Corp. 47,000 463,620 # Wacom Co., Ltd. 30,200 197,505 Wakachiku Construction Co., Ltd. 34,000 51,888 Wakita & Co., Ltd. 16,000 181,608 Warabeya Nichiyo Co., Ltd. 5,100 95,214 Watabe Wedding Corp. 1,400 9,330 # WATAMI Co., Ltd. 7,100 103,402 Weathernews, Inc. 1,700 44,599 # Welcia Holdings Co., Ltd. 2,000 120,986 # West Holdings Corp. 3,000 40,385 Wood One Co., Ltd. 6,000 16,792 Wowow, Inc. 2,200 73,916 Xebio Co., Ltd. 10,200 188,640 Yachiyo Bank, Ltd. (The) 5,100 137,860 Yahagi Construction Co., Ltd. 7,600 74,669 Yaizu Suisankagaku Industry Co., Ltd. 100 933 Yakult Honsha Co., Ltd. 1,700 91,885 YAMABIKO Corp. 2,600 96,820 # Yamada Denki Co., Ltd. 162,800 601,460 # Yamagata Bank, Ltd. (The) 54,000 231,132 Yamaguchi Financial Group, Inc. 61,000 562,530 Yamaha Corp. 26,500 355,065 Yamaha Motor Co., Ltd. 16,700 257,795 Yamaichi Electronics Co., Ltd. 6,700 26,934 Yamanashi Chuo Bank, Ltd. (The) 56,000 242,643 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ------------ JAPAN -- (Continued) Yamatane Corp. 52,000 $ 76,616 Yamato Holdings Co., Ltd. 9,500 195,493 Yamato Kogyo Co., Ltd. 11,100 320,104 Yamaya Corp. 2,000 36,528 # Yamazaki Baking Co., Ltd. 33,000 403,204 Yamazen Corp. 14,100 91,090 Yaoko Co., Ltd. 1,900 86,126 # Yaskawa Electric Corp. 7,000 78,930 Yasuda Warehouse Co., Ltd. (The) 8,900 92,059 Yellow Hat, Ltd. 6,700 128,451 Yodogawa Steel Works, Ltd. 14,000 55,193 Yokogawa Bridge Holdings Corp. 13,000 172,381 Yokogawa Electric Corp. 9,200 125,780 Yokohama Reito Co., Ltd. 17,300 140,040 Yokohama Rubber Co., Ltd. (The) 39,000 348,348 Yokowo Co., Ltd. 5,100 25,375 Yomiuri Land Co., Ltd. 12,000 46,348 Yondenko Corp. 8,000 28,422 Yondoshi Holdings, Inc. 8,800 156,686 Yonex Co., Ltd. 3,600 21,261 Yorozu Corp. 7,900 147,662 Yuasa Trading Co., Ltd. 43,000 81,817 Yuken Kogyo Co., Ltd. 7,000 14,303 # Yumeshin Holdings Co., Ltd. 3,200 27,467 Yurtec Corp. 14,000 65,341 Yusen Logistics Co., Ltd. 9,200 105,950 Yushiro Chemical Industry Co., Ltd. 3,800 38,327 Yutaka Giken Co., Ltd. 600 13,159 # Zappallas, Inc. 5,000 32,923 # Zenrin Co., Ltd. 11,600 118,320 # Zensho Holdings Co., Ltd. 18,900 191,063 Zeon Corp. 35,000 325,442 # ZERIA Pharmaceutical Co., Ltd. 4,000 83,863 # Zojirushi Corp. 4,000 14,303 # Zuiko Corp. 800 44,545 ------------ TOTAL JAPAN 251,135,558 ------------ NETHERLANDS -- (2.4%) Aalberts Industries NV 26,677 888,658 # Accell Group 6,281 124,826 Aegon NV(5927375) 258,749 2,371,799 Aegon NV(007924103) 7,785 71,778 * AFC Ajax NV 70 893 Akzo Nobel NV 21,497 1,656,603 * AMG Advanced Metallurgical Group NV 12,046 121,169 Amsterdam Commodities NV 4,940 122,778 * APERAM 19,727 513,269 Arcadis NV 12,271 436,137 # ArcelorMittal 133,251 2,165,329 ASM International NV 18,605 814,218 # ASML Holding NV 8,314 676,650 #* Ballast Nedam NV 398 5,114 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ----------- NETHERLANDS -- (Continued) # BE Semiconductor Industries NV 16,216 $ 276,714 Beter Bed Holding NV 1,203 28,431 BinckBank NV 25,225 285,016 Brunel International NV 2,992 202,682 Corbion NV 15,358 356,193 Delta Lloyd NV 82,640 2,174,916 Exact Holding NV 2,960 104,393 Fugro NV 14,029 929,626 * Galapagos NV 3,780 81,809 # Gemalto NV 6,446 720,698 * Grontmij 22,160 118,572 # Heijmans NV 8,219 147,448 # Heineken NV 3,311 229,974 Hunter Douglas NV 297 14,917 * ING Groep NV 105,154 1,503,161 * ING Groep NV Sponsored ADR 72,426 1,035,692 KAS Bank NV 6,418 94,821 Kendrion NV 2,098 71,461 Koninklijke Ahold NV 66,901 1,293,321 # Koninklijke BAM Groep NV 112,188 608,308 Koninklijke Boskalis Westminster NV 14,181 803,732 Koninklijke DSM NV 20,456 1,468,900 * Koninklijke KPN NV 273,028 970,032 Koninklijke Philips NV(5986622) 27,796 889,837 Koninklijke Philips NV(500472303) 43,549 1,391,826 Koninklijke Ten Cate NV 11,738 349,722 # Koninklijke Vopak NV 5,973 297,820 Koninklijke Wessanen NV 24,174 142,822 * Macintosh Retail Group NV 5,853 63,611 Nutreco NV 14,165 659,425 #* Ordina NV 41,768 120,752 * PostNL NV 97,636 429,139 Randstad Holding NV 8,733 510,353 # Reed Elsevier NV 25,268 515,741 # Reed Elsevier NV Sponsored ADR 1,500 63,060 #* Royal Imtech NV 68,365 133,287 * SBM Offshore NV 52,547 961,835 Sligro Food Group NV 5,504 230,362 #* SNS Reaal NV 28,066 -- Telegraaf Media Groep NV 7,861 73,842 TKH Group NV 11,883 414,135 TNT Express NV 136,232 1,227,660 #* TomTom NV 74,157 525,819 USG People NV 27,256 471,569 * Van Lanschot NV 1,200 31,353 # Wolters Kluwer NV 34,118 951,070 # Ziggo NV 10,214 443,521 ----------- TOTAL NETHERLANDS 34,388,599 ----------- NEW ZEALAND -- (0.4%) * a2 Milk Co., Ltd. 20,758 14,530 Air New Zealand, Ltd. 202,924 367,712 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- NEW ZEALAND -- (Continued) Auckland International Airport, Ltd. 187,160 $ 641,006 * Bathurst Resources, Ltd. 123,841 7,162 Chorus, Ltd. 79,615 121,643 Chorus, Ltd. ADR 462 3,451 Contact Energy, Ltd. 101,802 500,047 # Ebos Group, Ltd. 14,860 120,462 Fisher & Paykel Healthcare Corp., Ltd. 85,059 299,826 Fletcher Building, Ltd.(6341606) 37,414 318,144 Fletcher Building, Ltd.(6341617) 11,960 101,150 Freightways, Ltd. 23,860 102,937 Hallenstein Glasson Holdings, Ltd. 634 1,899 Heartland New Zealand, Ltd. 106,802 81,048 Infratil, Ltd. 71,133 141,175 Kathmandu Holdings, Ltd. 21,036 66,147 Mainfreight, Ltd. 15,263 176,389 # Metlifecare, Ltd. 22,806 80,946 New Zealand Oil & Gas, Ltd. 31,977 21,385 New Zealand Refining Co., Ltd. (The) 14,184 22,987 Nuplex Industries, Ltd. 46,358 140,088 NZX, Ltd. 27,599 29,810 PGG Wrightson, Ltd. 41,016 14,364 * Pike River Coal, Ltd. 12,312 -- Port of Tauranga, Ltd. 13,291 165,047 Restaurant Brands New Zealand, Ltd. 16,668 45,291 Ryman Healthcare, Ltd. 45,413 339,241 Skellerup Holdings, Ltd. 21,549 33,059 Sky Network Television, Ltd. 87,764 506,554 SKYCITY Entertainment Group, Ltd. 108,571 396,456 Telecom Corp. of New Zealand, Ltd. 157,263 375,695 Tower, Ltd. 35,470 49,640 Trade Me Group, Ltd. 46,940 160,182 TrustPower, Ltd. 8,621 49,798 Vector, Ltd. 27,832 61,527 Warehouse Group, Ltd. (The) 31,440 91,963 #* Xero, Ltd. 5,512 151,647 ---------- TOTAL NEW ZEALAND 5,800,408 ---------- NORWAY -- (1.0%) # ABG Sundal Collier Holding ASA 78,760 73,103 #* Agasti Holding ASA 21,755 4,866 # Aker ASA Class A 4,406 149,243 Aker Solutions ASA 4,011 64,266 * American Shipping ASA 5,056 38,077 * Archer, Ltd. 126,415 172,428 # Atea ASA 18,580 213,561 Austevoll Seafood ASA 37,069 240,120 Bakkafrost P/F 7,008 109,744 Bonheur ASA 2,527 49,134 BW Offshore, Ltd. 193,828 253,482 * BWG Homes ASA 14,417 28,399 Cermaq ASA 16,789 198,444 * Deep Sea Supply P.L.C. 40,789 60,847 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- NORWAY -- (Continued) #* Det Norske Oljeselskap ASA 9,315 $101,866 # DNB ASA 44,349 786,109 #* DNO International ASA 82,820 287,633 * DOF ASA 11,186 51,452 * Dolphin Group A.S. 37,025 36,101 Ekornes ASA 3,570 56,488 #* Electromagnetic GeoServices A.S. 24,789 29,681 # Eltek ASA 78,226 107,340 Evry ASA 20,232 34,963 Farstad Shipping ASA 4,288 88,331 Fred Olsen Energy ASA 2,543 81,119 #* Frontline, Ltd. 10,435 34,056 Ganger Rolf ASA 2,279 42,568 # Gjensidige Forsikring ASA 7,127 131,526 Golar LNG, Ltd. 3,400 150,280 Golden Ocean Group, Ltd. 119,371 211,692 * Grieg Seafood ASA 7,041 28,717 # Hexagon Composites ASA 12,565 78,003 * Hoegh LNG Holdings, Ltd. 6,093 59,510 * Hurtigruten ASA 75,618 55,913 * Kongsberg Automotive Holding ASA 217,847 219,003 # Kongsberg Gruppen A.S. 2,267 53,215 Kvaerner ASA 73,288 146,801 Leroy Seafood Group ASA 5,360 189,841 Marine Harvest ASA 35,598 436,615 #* Nordic Semiconductor ASA 16,465 92,376 # Norsk Hydro ASA 150,073 804,870 #* Norske Skogindustrier ASA 103,385 78,382 Northern Offshore, Ltd. 31,223 48,105 #* Norwegian Air Shuttle A.S. 5,505 219,163 #* Norwegian Energy Co. ASA 405,262 11,597 #* Odfjell SE Class A 5,645 28,218 Opera Software ASA 14,495 187,362 # Orkla ASA 64,372 532,394 * Panoro Energy ASA 147,239 82,312 # Petroleum Geo-Services ASA 81,234 980,794 Prosafe SE 36,284 319,805 * Q-Free ASA 3,734 9,261 * REC Silicon ASA 701,536 392,400 #* REC Solar ASA 14,403 217,518 * Salmar ASA 4,270 61,810 # Schibsted ASA 1,854 106,680 Seadrill, Ltd. 5,409 190,505 #* Sevan Drilling A.S. 134,138 71,003 * Sevan Marine ASA 11,522 46,152 * Siem Offshore, Inc. 39,709 60,104 Solstad Offshore ASA 2,300 42,343 * Songa Offshore 137,830 56,682 SpareBank 1 SMN 24,245 215,316 # SpareBank 1 SR Bank ASA 45,336 439,718 Statoil ASA 19,554 596,111 Statoil ASA Sponsored ADR 12,080 368,078 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- NORWAY -- (Continued) Stolt-Nielsen, Ltd. 10,271 $ 277,701 * Storebrand ASA 118,197 663,483 Subsea 7 SA 38,053 761,983 Telenor ASA 8,010 188,211 # TGS Nopec Geophysical Co. ASA 3,665 126,422 # Tomra Systems ASA 20,771 193,271 TTS Group ASA 6,609 7,234 # Veidekke ASA 12,510 134,215 # Wilh Wilhelmsen ASA 13,021 126,033 # Wilh Wilhelmsen Holding ASA Class A 3,806 120,753 # Yara International ASA 4,898 231,536 ----------- TOTAL NORWAY 14,244,438 ----------- PORTUGAL -- (0.4%) Altri SGPS SA 51,633 175,467 #* Banco BPI SA 132,755 340,749 #* Banco Comercial Portugues SA 4,565,703 1,387,493 #* Banco Espirito Santo SA 712,067 1,262,162 * EDP Renovaveis SA 77,207 529,458 Galp Energia SGPS SA 11,488 199,110 Jeronimo Martins SGPS SA 5,273 92,222 Mota-Engil SGPS SA 22,573 172,799 Portucel SA 51,414 243,783 Portugal Telecom SGPS SA 122,225 507,805 # REN - Redes Energeticas Nacionais SGPS SA 24,874 93,548 Semapa-Sociedade de Investimento e Gestao 25,607 383,866 Sonae 341,032 641,568 #* Sonae Capital SGPS SA 41,822 27,039 #* Sonae Industria SGPS SA 12,295 10,429 Teixeira Duarte SA 10,457 16,087 ZON Optimus SGPS SA 42,227 305,489 ----------- TOTAL PORTUGAL 6,389,074 ----------- SINGAPORE -- (1.3%) * Abterra, Ltd. 40,000 18,797 Amara Holdings, Ltd. 90,000 38,502 Amtek Engineering, Ltd. 16,000 7,925 ASL Marine Holdings, Ltd. 74,200 42,745 #* Ausgroup, Ltd. 171,061 62,383 Banyan Tree Holdings, Ltd. 84,000 42,289 # Biosensors International Group, Ltd. 387,000 293,923 Boustead Singapore, Ltd. 75,000 113,448 Breadtalk Group, Ltd. 23,000 25,728 Bukit Sembawang Estates, Ltd. 29,000 135,228 Bund Center Investment, Ltd. 88,000 14,409 CapitaLand, Ltd. 389,101 995,816 # Centurion Corp., Ltd. 104,000 59,509 CH Offshore, Ltd. 65,000 21,805 China Aviation Oil Singapore Corp., Ltd. 64,800 45,051 Chip Eng Seng Corp., Ltd. 245,000 149,736 City Developments, Ltd. 34,000 294,576 Cityspring Infrastructure Trust 55,000 20,875 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ---------- SINGAPORE -- (Continued) ComfortDelGro Corp., Ltd. 91,000 $ 154,320 # Cosco Corp. Singapore, Ltd. 417,000 240,148 CSE Global, Ltd. 195,000 92,604 CWT, Ltd. 56,000 65,087 DBS Group Holdings, Ltd. 74,889 1,014,533 Del Monte Pacific, Ltd. 64,000 31,463 * Delong Holdings, Ltd. 33,000 10,100 Dyna-Mac Holdings, Ltd. 60,000 19,657 Elec & Eltek International Co., Ltd. 14,000 22,200 Eu Yan Sang International, Ltd. 20,000 13,174 Ezion Holdings, Ltd. 62,400 113,434 Ezra Holdings, Ltd. 335,000 281,379 Falcon Energy Group, Ltd. 203,000 56,861 Far East Orchard, Ltd. 55,984 83,618 First Resources, Ltd. 51,000 104,740 FJ Benjamin Holdings, Ltd. 75,000 12,909 #* Forterra Trust 8,000 11,333 # Fragrance Group, Ltd. 116,000 23,151 * Gallant Venture, Ltd. 51,000 12,229 Genting Singapore P.L.C. 61,000 64,636 GMG Global, Ltd. 1,285,000 92,293 Golden Agri-Resources, Ltd. 1,156,000 563,937 Goodpack, Ltd. 66,000 126,435 Great Eastern Holdings, Ltd. 2,000 30,346 GuocoLand, Ltd. 65,333 111,157 # GuocoLeisure, Ltd. 109,000 84,053 * Healthway Medical Corp., Ltd. 184,125 9,397 HG Metal Manufacturing, Ltd. 123,000 9,222 Hi-P International, Ltd. 76,000 35,223 Hiap Hoe, Ltd. 39,000 28,375 Ho Bee Land, Ltd. 88,000 161,055 Hong Fok Corp., Ltd. 106,800 69,115 Hong Leong Asia, Ltd. 49,000 62,414 Hotel Grand Central, Ltd. 6,335 6,051 Hotel Properties, Ltd. 80,000 237,288 Hour Glass, Ltd. (The) 36,000 48,884 HTL International Holdings, Ltd. 41,000 9,669 Hutchison Port Holdings Trust 442,000 300,806 Hwa Hong Corp., Ltd. 21,000 5,113 Hyflux, Ltd. 149,500 143,143 Indofood Agri Resources, Ltd. 226,000 192,470 InnoTek, Ltd. 37,000 9,444 #* Interra Resources, Ltd. 125,001 38,466 IPC Corp., Ltd. 238,000 28,510 Jardine Cycle & Carriage, Ltd. 4,000 149,984 Jaya Holdings, Ltd. 193,000 122,752 #* Jiutian Chemical Group, Ltd. 980,000 57,161 K1 Ventures, Ltd. 393,000 61,885 Keppel Corp., Ltd. 19,000 159,867 Keppel Infrastructure Trust 22,400 18,764 Keppel Land, Ltd. 221,390 612,463 Keppel Telecommunications & Transportation, Ltd. 42,000 59,873 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ---------- SINGAPORE -- (Continued) Koh Brothers Group, Ltd. 175,000 $ 43,308 KSH Holdings, Ltd. 26,000 10,694 LCD Global Investments, Ltd. 128,000 18,597 * Li Heng Chemical Fibre Technologies, Ltd. 115,000 8,242 Lian Beng Group, Ltd. 173,000 96,772 * Linc Energy, Ltd. 101,583 95,607 * LionGold Corp., Ltd. 258,000 20,219 Low Keng Huat Singapore, Ltd. 78,000 43,285 M1, Ltd. 23,000 61,799 * Manhattan Resources, Ltd. 47,000 23,294 Marco Polo Marine, Ltd. 39,000 11,687 Mermaid Maritime PCL 130,000 50,405 Mewah International, Inc. 83,000 31,166 Midas Holdings, Ltd. 519,000 195,104 Nam Cheong Ltd 316,000 89,658 #* Neptune Orient Lines, Ltd. 253,250 205,404 Noble Group, Ltd. 1,064,000 1,095,579 NSL, Ltd. 16,000 20,116 * Oceanus Group, Ltd. 1,037,000 14,070 # Olam International, Ltd. 442,000 788,712 # OSIM International, Ltd. 44,000 101,943 # OUE Hospitality Trust 21,167 14,692 OUE, Ltd. 127,000 230,262 # Oversea-Chinese Banking Corp., Ltd. 50,269 387,683 Pan-United Corp., Ltd. 47,000 38,871 * Penguin International, Ltd. 78,000 12,091 Petra Foods, Ltd. 15,000 42,493 Popular Holdings, Ltd. 116,000 24,984 QAF, Ltd. 75,821 54,477 * Raffles Education Corp., Ltd. 248,420 58,569 Raffles Medical Group, Ltd. 17,000 49,258 Rotary Engineering, Ltd. 80,000 45,430 * S I2I, Ltd. 356,000 2,278 SATS, Ltd. 56,380 142,728 # See Hup Seng, Ltd. 195,000 47,651 SembCorp Industries, Ltd. 52,000 223,243 # SembCorp Marine, Ltd. 22,000 71,549 Sheng Siong Group, Ltd. 82,000 41,589 # SIA Engineering Co., Ltd. 11,000 42,065 Sim Lian Group, Ltd. 51,000 35,736 Sinarmas Land, Ltd. 547,000 232,127 Singapore Airlines, Ltd. 98,000 812,462 Singapore Exchange, Ltd. 36,000 199,090 Singapore Post, Ltd. 144,000 162,686 # Singapore Press Holdings, Ltd. 58,000 193,951 Singapore Technologies Engineering, Ltd. 46,000 140,500 Singapore Telecommunications, Ltd. 86,000 263,428 * Sino Grandness Food Industry Group, Ltd. 116,000 63,995 SMRT Corp., Ltd. 72,000 70,102 Stamford Land Corp., Ltd. 162,000 76,960 StarHub, Ltd. 20,000 66,346 Sunningdale Tech, Ltd. 143,000 18,613 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ----------- SINGAPORE -- (Continued) * SunVic Chemical Holdings, Ltd. 90,000 $ 34,539 Super Group, Ltd. 49,000 137,087 Swiber Holdings, Ltd. 217,000 111,038 Swissco Holdings, Ltd. 48,000 16,314 Tat Hong Holdings, Ltd. 172,000 111,288 #* Technics Oil & Gas, Ltd. 51,000 31,647 Tiong Woon Corp. Holding, Ltd. 136,000 35,322 Triyards holdings, Ltd. 21,900 11,116 Tuan Sing Holdings, Ltd. 158,453 44,305 UMS Holdings, Ltd. 97,000 66,586 United Engineers, Ltd. 134,000 230,993 United Envirotech, Ltd. 116,000 120,886 United Industrial Corp., Ltd. 103,000 275,450 United Overseas Bank, Ltd. 28,045 488,127 UOB-Kay Hian Holdings, Ltd. 93,000 125,003 UOL Group, Ltd. 124,000 636,646 # UPP Holdings, Ltd. 134,000 26,798 * Vard Holdings, Ltd. 175,000 135,203 Venture Corp., Ltd. 107,000 655,391 Vibrant Group, Ltd. 414,363 33,731 Wee Hur Holdings, Ltd. 112,000 32,172 Wheelock Properties Singapore, Ltd. 24,000 35,988 Wilmar International, Ltd. 93,000 252,757 Wing Tai Holdings, Ltd. 178,768 285,925 Yeo Hiap Seng, Ltd. 10,160 18,979 Yongnam Holdings, Ltd. 458,000 87,955 ----------- TOTAL SINGAPORE 19,388,752 ----------- SPAIN -- (2.4%) Abengoa SA(BLM7FQ6) 241 1,341 Abengoa SA(BLM7FS8) 2,182 9,720 Abengoa SA(7174823) 9,419 52,406 Abengoa SA Class B 81,650 363,526 Abertis Infraestructuras SA 18,703 420,988 Acciona SA 10,665 867,553 # Acerinox SA 23,261 406,752 ACS Actividades de Construccion y Servicios SA 6,735 289,081 Adveo Group International SA 3,288 78,275 Almirall SA 16,370 274,179 Amadeus IT Holding SA Class A 16,494 685,994 * Atresmedia Corp de Medios de Comunicaion SA 8,868 127,602 Banco Bilbao Vizcaya Argentaria SA 108,353 1,334,668 Banco Bilbao Vizcaya Argentaria SA Sponsored ADR 35,639 440,142 Banco de Sabadell SA 737,273 2,508,410 Banco Popular Espanol SA 355,602 2,620,401 Banco Santander SA 494,085 4,914,003 # Banco Santander SA Sponsored ADR 57,548 573,178 * Bankia SA 269,054 549,575 Bankinter SA 157,222 1,203,765 * Baron de Ley 967 101,737 Bolsas y Mercados Espanoles SA 16,343 711,989 # CaixaBank SA 188,167 1,146,827 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- SPAIN -- (Continued) * Caja de Ahorros del Mediterraneo 8,736 $ -- * Campofrio Food Group SA 1,520 14,547 * Cementos Portland Valderrivas SA 4,951 50,656 Cie Automotive SA 11,237 143,110 Construcciones y Auxiliar de Ferrocarriles SA 549 262,960 * Deoleo SA 275,264 150,945 Distribuidora Internacional de Alimentacion SA 30,618 273,893 Duro Felguera SA 10,699 72,998 Ebro Foods SA 17,048 392,835 Elecnor SA 4,468 64,224 Enagas SA 17,211 530,250 Ence Energia y Celulosa SA 61,606 181,451 #* Ercros SA 29,067 19,393 Faes Farma SA 52,419 162,423 Ferrovial SA 15,481 344,117 Fluidra SA 3,923 17,828 * Fomento de Construcciones y Contratas SA 11,817 260,670 * Gamesa Corp. Tecnologica SA 76,785 763,229 Gas Natural SDG SA 18,758 537,886 Grifols SA 5,295 283,057 Grupo Catalana Occidente SA 7,919 309,855 #* Grupo Ezentis SA 19,843 32,503 Iberdrola SA 262,502 1,833,717 Iberpapel Gestion SA 130 2,555 Indra Sistemas SA 28,349 532,451 * Inmobiliaria Colonial SA 1,264 1,177 * Jazztel P.L.C. 51,557 791,812 Mapfre SA 52,309 220,613 * Mediaset Espana Comunicacion SA 26,138 290,040 # Melia Hotels International SA 13,052 165,108 Miquel y Costas & Miquel SA 1,681 70,103 * Natra SA 11,883 31,333 * NH Hoteles SA 37,401 238,949 Obrascon Huarte Lain SA 10,117 469,035 Papeles y Cartones de Europa SA 14,582 80,673 * Pescanova SA 4,776 -- * Promotora de Informaciones SA Class A 160,975 89,903 Prosegur Cia de Seguridad SA 41,115 275,305 * Realia Business SA 14,616 27,021 Red Electrica Corp. SA 7,182 591,194 Repsol SA 55,295 1,488,795 Repsol SA Sponsored ADR 8,778 236,479 #* Sacyr SA 62,084 408,909 * Solaria Energia y Medio Ambiente SA 8,257 14,255 # Tecnicas Reunidas SA 6,160 371,040 * Telecomunicaciones y Energia 7,418 17,811 # Telefonica SA 64,778 1,087,112 Telefonica SA Sponsored ADR 7,184 120,332 Tubacex SA 25,955 127,285 Tubos Reunidos SA 29,237 90,583 Vidrala SA 4,088 216,377 # Viscofan SA 6,763 352,423 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ ----------- SPAIN -- (Continued) * Vocento SA 7,274 $ 23,434 Zardoya Otis SA 8,477 148,712 * Zeltia SA 40,950 154,484 ----------- TOTAL SPAIN 35,119,962 ----------- SWEDEN -- (2.9%) AarhusKarlshamn AB 5,537 370,775 Acando AB 18,648 43,114 AddTech AB Class B 8,782 134,631 AF AB Class B 13,574 492,962 # Alfa Laval AB 9,466 252,206 #* Arise AB 1,403 5,653 Assa Abloy AB Class B 15,042 798,348 Atrium Ljungberg AB Class B 485 7,690 # Avanza Bank Holding AB 1,962 73,659 Axfood AB 3,174 169,134 # Axis Communications AB 8,302 247,552 B&B Tools AB Class B 9,920 182,031 #* BE Group AB 8,493 16,545 # Beijer AB G&L Class B 5,568 113,260 Beijer Alma AB 4,510 127,551 Beijer Electronics AB 728 7,102 Betsson AB 7,738 282,887 Bilia AB Class A 8,205 272,434 # BillerudKorsnas AB 70,705 1,033,305 BioGaia AB Class B 778 23,380 # Biotage AB 10,917 19,558 Bjoern Borg AB(BLP5VH0) 5,637 21,835 * Bjoern Borg AB(B8ZRVS6) 5,637 1,292 # Boliden AB 86,541 1,321,679 # Bure Equity AB 26,556 117,280 Byggmax Group AB 17,010 142,515 Castellum AB 16,789 286,298 # Cavotec SA 1,266 6,027 # Clas Ohlson AB Class B 6,555 145,390 * Cloetta AB Class B 18,396 60,769 # Concentric AB 9,780 138,373 * Concordia Maritime AB Class B 10,317 21,173 * CyberCom Group AB 40,014 16,636 # Dios Fastigheter AB 4,962 40,307 Doro AB 6,042 39,504 Duni AB 14,386 240,302 Electrolux AB Series B 25,236 701,454 # Elekta AB Class B 13,870 193,565 * Eniro AB 47,510 380,150 Fabege AB 14,610 205,240 * Fastighets AB Balder 5,442 69,816 # FinnvedenBulten AB 3,380 39,186 Getinge AB Class B 14,356 420,756 Gunnebo AB 22,223 126,834 # Haldex AB 25,076 321,652 Hexagon AB Class B 15,394 492,848 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- SWEDEN -- (Continued) Hexpol AB 4,667 $ 442,192 HIQ International AB(BLNMLM8) 12,845 78,037 * HIQ International AB(B97F1H4) 12,845 5,117 Holmen AB Class B 23,684 837,064 Hufvudstaden AB Class A 2,399 35,171 Husqvarna AB Class A 16,925 140,082 Husqvarna AB Class B 103,112 860,943 ICA Gruppen AB 14,783 497,243 Industrial & Financial Systems Class B 6,123 175,647 # Indutrade AB 2,347 102,134 # Intrum Justitia AB 17,101 495,781 # JM AB 18,204 618,570 * KappAhl AB 25,937 159,162 #* Karolinska Development AB Class B 1,834 7,015 Klovern AB 4,341 23,873 # KNOW IT AB 5,593 59,373 # Kungsleden AB 21,169 172,909 Lagercrantz AB Class B 3,413 68,744 * Lindab International AB 29,018 361,763 Loomis AB Class B 17,254 470,642 * Lundin Petroleum AB 7,830 168,081 Meda AB Class A 108,053 1,942,246 #* Medivir AB Class B 8,374 148,648 Mekonomen AB 7,067 189,631 * Micronic Mydata AB 35,480 100,858 Millicom International Cellular SA 2,531 250,860 # Modern Times Group AB Class B 11,714 522,646 MQ Holding AB 4,252 17,576 NCC AB Class A 516 18,371 NCC AB Class B 22,066 773,093 Net Entertainment AB 4,619 2,131 Net Entertainment AB B Shares 4,619 111,174 * Net Insight AB Class B 44,491 12,319 New Wave Group AB Class B 15,274 103,889 # Nibe Industrier AB Class B 13,665 383,689 Nobia AB 39,782 362,125 # Nolato AB Class B 10,629 242,700 Nordea Bank AB 139,077 2,015,309 # Nordnet AB Class B 31,007 152,605 # OEM International AB Class B 1,100 20,018 # Oriflame Cosmetics SA 3,042 77,896 #* PA Resources AB 1,706 1,789 Peab AB 80,068 619,950 #* Pricer AB Class B 45,176 40,895 Proact IT Group AB 1,449 19,495 Proffice AB Class B 15,374 56,051 # Ratos AB Class B 75,414 769,341 # ReadSoft AB Class B 7,704 20,743 * Rezidor Hotel Group AB 18,581 115,150 Saab AB Class B 25,822 793,457 Sandvik AB 61,381 872,342 #* SAS AB 66,288 142,553 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ----------- SWEDEN -- (Continued) Scania AB Class B 7,652 $ 233,128 Securitas AB Class B 38,922 470,514 # Semcon AB 5,805 62,696 Skandinaviska Enskilda Banken AB Class A 119,151 1,645,823 Skanska AB Class B 31,536 724,044 SKF AB Class B 19,381 503,288 SkiStar AB 10,926 144,249 #* SSAB AB Class A 68,211 595,536 #* SSAB AB Class B 17,028 128,824 Svenska Cellulosa AB Class A 5,303 148,301 Svenska Cellulosa AB Class B 51,350 1,443,604 Svenska Handelsbanken AB Class A 23,469 1,180,489 Svenska Handelsbanken AB Class B 918 44,820 Sweco AB Class B 4,832 75,394 Swedbank AB Class A 42,611 1,140,352 Swedish Match AB 7,575 259,874 * Swedish Orphan Biovitrum AB 38,402 422,285 Systemair AB 819 13,347 Tele2 AB Class B 109,916 1,404,628 Telefonaktiebolaget LM Ericsson Class A 4,300 49,566 Telefonaktiebolaget LM Ericsson Class B 89,987 1,085,104 Telefonaktiebolaget LM Ericsson Sponsored ADR 900 10,791 TeliaSonera AB 87,294 635,418 * TradeDoubler AB 9,598 21,416 #* Transcom WorldWide SA 106,474 23,647 Transmode AB 1,524 20,340 # Trelleborg AB Class B 60,127 1,286,509 Unibet Group P.L.C. 7,747 417,334 Vitrolife AB 1,755 30,912 Volvo AB Class A 7,822 125,934 Volvo AB Class B 28,957 458,509 # Wallenstam AB Class B 10,848 178,068 # Wihlborgs Fastigheter AB 8,920 171,977 ----------- TOTAL SWEDEN 42,060,472 ----------- SWITZERLAND -- (6.0%) ABB, Ltd. 57,986 1,396,076 # ABB, Ltd. Sponsored ADR 16,820 402,334 Actelion, Ltd. 5,976 588,359 Adecco SA 17,872 1,500,391 AFG Arbonia-Forster Holding AG 6,902 230,087 Allreal Holding AG 5,118 721,742 Alpiq Holding AG 1,050 128,850 ALSO Holding AG 321 18,340 ams AG 4,059 611,985 APG SGA SA 223 76,658 Aryzta AG 25,690 2,374,667 Ascom Holding AG 18,117 337,034 Autoneum Holding AG 1,132 240,155 # Bachem Holding AG Class B 888 50,142 Baloise Holding AG 13,368 1,627,869 Bank Coop AG 1,479 72,326 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- SWITZERLAND -- (Continued) Banque Cantonale de Geneve 163 $ 41,642 Banque Cantonale Vaudoise 1,080 641,073 Banque Privee Edmond de Rothschild SA 1 18,426 Barry Callebaut AG 295 400,919 * Basilea Pharmaceutica 161 16,869 # Basler Kantonalbank 599 51,780 Belimo Holding AG 103 290,113 Bell AG 32 87,959 Bellevue Group AG 1,194 18,135 # Berner Kantonalbank AG 1,342 329,236 BKW AG 1,079 39,640 * Bobst Group SA 3,037 154,580 Bossard Holding AG Class A 1,974 271,909 Bucher Industries AG 2,713 883,693 Burckhardt Compression Holding AG 494 256,049 Burkhalter Holding AG 832 78,500 Calida Holding AG 779 32,750 Cham Paper Holding AG 17 4,783 * Charles Voegele Holding AG 3,608 59,404 Cie Financiere Richemont SA 9,818 998,883 Cie Financiere Tradition SA 319 17,366 Clariant AG 92,321 1,820,561 Coltene Holding AG 1,771 114,315 Conzzeta AG 35 138,480 Credit Suisse Group AG 127,686 4,047,982 Credit Suisse Group AG Sponsored ADR 32,223 1,020,502 Daetwyler Holding AG 1,515 239,544 # DKSH Holding AG 3,232 266,722 * Dufry AG 6,387 1,057,027 # EFG International AG 21,411 271,300 Emmi AG 849 311,520 EMS-Chemie Holding AG 439 171,297 # Energiedienst Holding AG 1,258 45,585 * Evolva Holding SA 4,494 6,806 Flughafen Zuerich AG 1,756 1,107,828 Forbo Holding AG 614 635,551 Galenica AG 975 992,822 GAM Holding AG 82,449 1,501,653 Gategroup Holding AG 8,954 278,997 Geberit AG 2,072 692,027 Georg Fischer AG 1,719 1,363,691 Givaudan SA 332 523,954 Gurit Holding AG 187 97,702 Helvetia Holding AG 2,434 1,213,223 Holcim, Ltd. 28,208 2,587,136 Huber & Suhner AG 5,860 322,345 Implenia AG 5,105 374,334 Inficon Holding AG 488 174,784 Interroll Holding AG 279 173,590 Intershop Holdings AG 128 49,474 Julius Baer Group, Ltd. 64,356 3,014,461 Jungfraubahn Holding AG 27 2,228 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- SWITZERLAND -- (Continued) Kaba Holding AG Class B 1,364 $ 657,052 Kardex AG 2,503 128,220 Komax Holding AG 1,514 234,346 Kudelski SA 18,052 311,327 Kuehne + Nagel International AG 2,059 281,549 Kuoni Reisen Holding AG 1,568 692,449 LEM Holding SA 119 98,297 Liechtensteinische Landesbank AG 2,710 134,150 * LifeWatch AG 2,259 27,347 Lindt & Spruengli AG 3 175,015 # Logitech International SA(H50430232) 13,237 178,038 Logitech International SA(B18ZRK2) 46,055 624,630 Lonza Group AG 19,866 2,079,186 Luzerner Kantonalbank AG 1,340 551,440 MCH Group AG 354 25,569 Metall Zug AG 62 186,961 #* Meyer Burger Technology AG 34,653 428,436 Micronas Semiconductor Holding AG 16,364 145,680 Mikron Holding AG 4,766 37,256 * Mobilezone Holding AG 7,511 85,490 Mobimo Holding AG 2,292 492,610 Nestle SA 64,442 4,980,353 Nobel Biocare Holding AG 16,330 227,789 Novartis AG 53,863 4,682,445 Novartis AG ADR 22,831 1,984,927 OC Oerlikon Corp. AG 70,996 1,130,945 * Orascom Development Holding AG 3,882 60,468 #* Orell Fuessli Holding AG 184 21,287 Orior AG 1,899 122,708 Panalpina Welttransport Holding AG 1,819 285,647 Partners Group Holding AG 1,022 279,841 Phoenix Mecano AG 282 181,452 PSP Swiss Property AG 1,506 144,749 PubliGroupe AG 558 111,791 Rieter Holding AG 1,492 337,373 Romande Energie Holding SA 52 67,907 Schaffner Holding AG 327 95,951 Schindler Holding AG 551 84,105 * Schmolz + Bickenbach AG 259,128 371,775 Schweiter Technologies AG 395 298,970 Schweizerische National-Versicherungs-Gesellschaft AG 5,512 381,986 SGS SA 201 502,118 Siegfried Holding AG 1,567 293,641 Sika AG 203 821,378 Sonova Holding AG 2,091 302,076 St Galler Kantonalbank AG 830 356,498 Straumann Holding AG 679 150,677 Sulzer AG 6,928 1,069,006 Swatch Group AG (The)(7184725) 1,313 844,311 Swatch Group AG (The)(7184736) 1,759 212,241 Swiss Life Holding AG 8,985 2,213,685 Swiss Re AG 55,384 4,842,837 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ----------- SWITZERLAND -- (Continued) Swisscom AG 1,039 $ 632,106 * Swisslog Holding AG 74,559 85,715 Swissquote Group Holding SA 3,840 151,369 Syngenta AG 577 228,487 Syngenta AG ADR 2,693 211,535 Tamedia AG 359 47,308 # Tecan Group AG 1,955 244,504 Temenos Group AG 15,693 562,673 * Tornos Holding AG 2,333 16,573 U-Blox AG 2,408 294,814 UBS AG(B18YFJ4) 68,935 1,441,697 UBS AG(H89231338) 92,566 1,935,555 Valiant Holding AG 5,581 617,918 Valora Holding AG 1,269 358,831 Vaudoise Assurances Holding SA Class B 333 152,147 Verwaltungs- und Privat-Bank AG 1,628 162,310 Vetropack Holding AG 68 130,995 * Von Roll Holding AG 10,590 20,579 # Vontobel Holding AG 10,159 398,185 Walliser Kantonalbank 41 34,760 * Walter Meier AG 525 28,361 WM Technologie, Ltd. 525 12,527 # Ypsomed Holding AG 784 83,849 # Zehnder Group AG 3,936 171,640 Zug Estates Holding AG 50 67,301 Zuger Kantonalbank AG 22 118,997 Zurich Insurance Group AG 15,572 4,465,406 ----------- TOTAL SWITZERLAND 87,400,292 ----------- UNITED KINGDOM -- (17.1%) 4imprint Group P.L.C. 979 11,174 888 Holdings P.L.C. 44,583 110,745 A.G. Barr P.L.C. 15,169 158,497 Aberdeen Asset Management P.L.C. 110,063 814,074 Acal P.L.C. 3,887 23,460 Admiral Group P.L.C. 10,706 252,828 * Afren P.L.C. 449,270 1,193,360 African Barrick Gold P.L.C. 52,441 219,991 * Aga Rangemaster Group P.L.C. 43,446 127,718 Aggreko P.L.C. 30,534 814,932 Alent P.L.C. 97,137 522,667 AMEC P.L.C. 62,426 1,303,778 Amlin P.L.C. 171,655 1,297,828 Anglo American P.L.C. 214,596 5,736,816 Anglo Pacific Group P.L.C. 33,437 107,656 Anglo-Eastern Plantations 19 228 Anite P.L.C. 44,555 61,915 Antofagasta P.L.C. 23,114 308,045 ARM Holdings P.L.C. 29,062 439,859 ARM Holdings P.L.C. Sponsored ADR 2,285 104,013 # Ashmore Group P.L.C. 72,268 429,262 Ashtead Group P.L.C. 99,963 1,481,070 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- UNITED KINGDOM -- (Continued) Associated British Foods P.L.C. 18,738 $ 940,843 AstraZeneca P.L.C. 956 75,461 AstraZeneca P.L.C. Sponsored ADR 22,950 1,814,198 Aveva Group P.L.C. 6,921 246,769 Aviva P.L.C. 255,520 2,277,140 # Aviva P.L.C. Sponsored ADR 10,982 196,907 AZ Electronic Materials SA 29,009 197,465 Babcock International Group P.L.C. 25,241 509,463 BAE Systems P.L.C. 197,334 1,335,057 Balfour Beatty P.L.C. 238,890 1,134,507 Bank of Georgia Holdings P.L.C. 8,929 392,723 Barclays P.L.C. 260,766 1,113,482 Barclays P.L.C. Sponsored ADR 116,241 1,988,884 Barratt Developments P.L.C. 440,009 2,751,887 BBA Aviation P.L.C. 116,457 610,978 Beazley P.L.C. 230,795 957,424 Bellway P.L.C. 41,816 1,018,333 Berendsen P.L.C. 48,436 846,465 Berkeley Group Holdings P.L.C. 41,974 1,628,661 Betfair Group P.L.C. 12,398 202,498 BG Group P.L.C. 105,211 2,128,346 BHP Billiton P.L.C. 3,376 109,600 # BHP Billiton P.L.C. ADR 25,902 1,675,859 Bloomsbury Publishing P.L.C. 1,815 4,922 Bodycote P.L.C. 64,574 796,811 Booker Group P.L.C. 273,141 679,460 Boot Henry P.L.C. 736 2,712 Bovis Homes Group P.L.C. 58,716 785,205 BP P.L.C. 304,568 2,571,502 BP P.L.C. Sponsored ADR 118,597 6,003,380 Braemar Shipping Services P.L.C. 1,625 14,348 Brammer P.L.C. 10,537 83,312 Brewin Dolphin Holdings P.L.C. 77,255 421,418 British Polythene Industries P.L.C. 9,952 106,073 British Sky Broadcasting Group P.L.C. 45,188 672,522 Britvic P.L.C. 60,989 746,965 * BTG P.L.C. 82,669 743,358 Bunzl P.L.C. 18,629 530,773 Burberry Group P.L.C. 27,349 686,850 Bwin.Party Digital Entertainment P.L.C. 239,243 515,007 Cable & Wireless Communications P.L.C. 620,923 554,499 * Cairn Energy P.L.C. 69,734 217,207 Cape P.L.C. 49,508 251,035 Capita P.L.C. 29,905 548,381 Capital & Counties Properties P.L.C. 1,729 9,753 Capital & Regional P.L.C. 34,857 27,063 Carclo P.L.C. 6,128 18,630 Carillion P.L.C. 144,464 903,680 Carnival P.L.C. 18,712 748,083 Carnival P.L.C. ADR 5,314 212,082 Castings P.L.C. 9,986 77,764 Catlin Group, Ltd. 141,941 1,267,706 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- UNITED KINGDOM -- (Continued) * Centamin P.L.C. 470,203 $ 513,891 Centaur Media P.L.C. 3,412 3,964 Centrica P.L.C. 164,860 919,430 Chemring Group P.L.C. 102,517 388,004 Chesnara P.L.C. 47,334 262,968 Chime Communications P.L.C. 14,821 87,370 Cineworld Group P.L.C. 69,947 381,459 Clarkson P.L.C. 1,048 47,223 Close Brothers Group P.L.C. 48,136 1,137,032 Cobham P.L.C. 250,041 1,304,429 Coca-Cola HBC AG 7,546 191,235 Coca-Cola HBC AG ADR 7,574 190,789 * Colt Group SA 164,041 363,028 Communisis P.L.C. 87,833 96,732 Compass Group P.L.C. 81,726 1,301,809 Computacenter P.L.C. 29,773 327,762 Connect Group P.L.C. 33,764 102,803 Consort Medical P.L.C. 8,267 123,188 Costain Group P.L.C. 6,437 29,258 Cranswick P.L.C. 17,194 347,251 Creston P.L.C. 3,606 6,997 Croda International P.L.C. 18,624 811,159 CSR P.L.C. 80,884 785,904 CSR P.L.C. ADR 700 27,097 Daily Mail & General Trust P.L.C. 66,699 919,388 Dairy Crest Group P.L.C. 52,819 412,098 Darty P.L.C. 41,880 72,585 DCC P.L.C. 19,149 981,848 De La Rue P.L.C. 8,843 122,539 Debenhams P.L.C. 497,111 675,145 Dechra Pharmaceuticals P.L.C. 21,606 251,681 Development Securities P.L.C. 37,010 152,079 Devro P.L.C. 49,097 175,280 Dignity P.L.C. 12,038 291,036 Diploma P.L.C. 37,690 420,629 Direct Line Insurance Group P.L.C. 44,417 187,910 * Dixons Retail P.L.C. 854,474 649,893 Domino Printing Sciences P.L.C. 41,445 542,860 Domino's Pizza Group P.L.C. 14,106 122,565 Drax Group P.L.C. 125,752 1,407,668 DS Smith P.L.C. 259,680 1,383,848 Dunelm Group P.L.C. 12,698 201,048 E2V Technologies P.L.C. 29,334 82,614 easyJet P.L.C. 45,711 1,264,807 Electrocomponents P.L.C. 170,028 838,138 Elementis P.L.C. 177,555 833,513 * EnQuest P.L.C. 366,371 850,340 * Enterprise Inns P.L.C. 232,953 537,749 * Essar Energy P.L.C. 78,801 89,421 Essentra P.L.C. 51,033 692,213 Euromoney Institutional Investor P.L.C. 5,912 106,701 * Evraz P.L.C. 33,809 55,142 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- UNITED KINGDOM -- (Continued) * Exillon Energy P.L.C. 17,069 $ 40,786 Experian P.L.C. 44,398 853,639 F&C Asset Management P.L.C. 189,149 381,704 Fenner P.L.C. 76,780 537,191 Ferrexpo P.L.C. 79,470 196,019 Fidessa Group P.L.C. 9,077 343,975 * Findel P.L.C. 17,993 82,137 * Firstgroup P.L.C. 442,136 966,143 Fortune Oil P.L.C. 427,324 93,794 * French Connection Group P.L.C. 9,786 13,190 Fresnillo P.L.C. 219 3,158 Fuller, Smith & Turner P.L.C. 7,612 123,894 G4S P.L.C. 203,272 811,558 Galliford Try P.L.C. 32,473 653,661 * Gem Diamonds, Ltd. 50,403 141,416 Genus P.L.C. 10,956 187,360 GKN P.L.C. 197,612 1,284,675 Glencore Xstrata P.L.C. 235,725 1,271,918 Go-Ahead Group P.L.C. 10,134 337,961 Grafton Group P.L.C. 72,417 712,289 Greencore Group P.L.C. 167,550 740,027 Greene King P.L.C. 77,147 1,161,462 Greggs P.L.C. 46,597 421,479 Halfords Group P.L.C. 77,585 582,177 Halma P.L.C. 84,372 801,598 Hargreaves Lansdown P.L.C. 15,573 308,278 Hays P.L.C. 360,299 919,194 Headlam Group P.L.C. 17,739 144,691 Helical Bar P.L.C. 49,359 302,857 Helphire Group P.L.C. 116,904 12,103 Henderson Group P.L.C. 236,000 1,002,663 * Heritage Oil P.L.C. 86,173 460,009 Hikma Pharmaceuticals P.L.C. 29,842 783,109 Hill & Smith Holdings P.L.C. 22,827 215,620 Hilton Food Group P.L.C. 435 3,921 Hiscox, Ltd. 101,931 1,216,088 Hochschild Mining P.L.C. 40,582 113,262 Hogg Robinson Group P.L.C. 4,980 6,240 Home Retail Group P.L.C. 403,251 1,393,357 Homeserve P.L.C. 93,675 534,388 Howden Joinery Group P.L.C. 166,412 916,180 HSBC Holdings P.L.C. 22,970 234,699 HSBC Holdings P.L.C. Sponsored ADR 175,852 9,024,725 Hunting P.L.C. 39,688 568,189 Huntsworth P.L.C. 36,761 37,271 Hyder Consulting P.L.C. 977 7,786 ICAP P.L.C. 144,220 1,010,244 IG Group Holdings P.L.C. 69,427 746,590 * Imagination Technologies Group P.L.C. 7,952 26,461 IMI P.L.C. 16,892 428,428 Imperial Tobacco Group P.L.C. 24,337 1,051,708 Inchcape P.L.C. 151,175 1,642,244 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ---------- UNITED KINGDOM -- (Continued) Informa P.L.C. 141,948 $1,159,195 Inmarsat P.L.C. 110,029 1,353,844 * Innovation Group P.L.C. 285,545 153,041 InterContinental Hotels Group P.L.C. 10,548 360,478 InterContinental Hotels Group P.L.C. ADR 1,026 35,315 * International Consolidated Airlines Group SA 189,265 1,294,388 * International Ferro Metals, Ltd. 82,212 12,969 Interserve P.L.C. 50,767 568,952 Intertek Group P.L.C. 10,066 495,842 Investec P.L.C. 140,009 1,235,406 * IP Group P.L.C. 33,886 98,326 ITE Group P.L.C. 39,030 151,787 ITV P.L.C. 239,315 736,157 J Sainsbury P.L.C. 253,433 1,437,675 James Fisher & Sons P.L.C. 13,848 301,990 Jardine Lloyd Thompson Group P.L.C. 25,282 451,143 JD Sports Fashion P.L.C. 3,602 106,891 JD Wetherspoon P.L.C. 35,363 503,815 #* JKX Oil & Gas P.L.C. 65,541 60,430 John Menzies P.L.C. 11,036 120,119 John Wood Group P.L.C. 100,381 1,331,024 Johnson Matthey P.L.C. 24,671 1,364,818 * Johnston Press P.L.C. 72,415 30,904 Jupiter Fund Management P.L.C. 67,233 441,802 * Kazakhmys P.L.C. 60,107 242,201 Kcom Group P.L.C. 123,920 197,130 Keller Group P.L.C. 28,641 483,205 Kentz Corp., Ltd. 25,513 310,867 Kier Group P.L.C. 12,370 347,678 Kingfisher P.L.C. 201,535 1,426,138 Ladbrokes P.L.C. 173,654 450,314 Laird P.L.C. 120,705 567,286 * Lamprell P.L.C. 99,644 258,397 Lancashire Holdings, Ltd. 60,286 712,816 Laura Ashley Holdings P.L.C. 22,105 9,601 Lavendon Group P.L.C. 37,311 142,978 Legal & General Group P.L.C. 493,055 1,765,009 * Lloyds Banking Group P.L.C. 2,002,798 2,553,993 #* Lloyds Banking Group P.L.C. ADR 46,132 238,502 London Stock Exchange Group P.L.C. 24,527 751,665 * Lonmin P.L.C. 219,185 1,051,597 Lookers P.L.C. 82,615 195,018 Low & Bonar P.L.C. 33,427 46,953 LSL Property Services P.L.C. 3,008 20,367 Man Group P.L.C. 1,063,704 1,775,162 Management Consulting Group P.L.C. 29,849 12,530 Marks & Spencer Group P.L.C. 81,761 611,271 Marshalls P.L.C. 56,963 170,535 Marston's P.L.C. 284,236 706,742 McBride P.L.C. 40,404 67,106 Mears Group P.L.C. 27,942 236,829 Mecom Group P.L.C. 41,042 91,354 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- UNITED KINGDOM -- (Continued) Meggitt P.L.C. 120,764 $ 974,096 Melrose Industries P.L.C. 162,286 783,692 Michael Page International P.L.C. 48,958 388,865 Micro Focus International P.L.C. 23,302 305,592 Millennium & Copthorne Hotels P.L.C. 60,600 568,886 * Mitchells & Butlers P.L.C. 74,843 557,618 Mitie Group P.L.C. 144,903 780,542 MJ Gleeson Group P.L.C. 400 2,668 Mondi P.L.C. 70,018 1,163,973 Moneysupermarket.com Group P.L.C. 90,202 278,263 Morgan Advanced Materials P.L.C. 102,622 580,824 Morgan Sindall Group P.L.C. 17,627 235,642 * Mothercare P.L.C. 10,976 34,677 N Brown Group P.L.C. 43,294 375,232 National Express Group P.L.C. 170,973 806,551 NCC Group P.L.C. 30,290 96,666 Next P.L.C. 7,103 783,616 Northgate P.L.C. 61,727 540,334 Novae Group P.L.C. 20,960 191,865 * Ocado Group P.L.C. 43,521 247,737 Old Mutual P.L.C. 684,794 2,314,662 * Optos P.L.C. 10,238 27,710 Oxford Instruments P.L.C. 9,987 217,626 Pace P.L.C. 125,678 774,426 PayPoint P.L.C. 8,682 167,013 Pearson P.L.C. 15,716 294,706 Pearson P.L.C. Sponsored ADR 19,843 372,453 Pendragon P.L.C. 194,595 102,185 Pennon Group P.L.C. 40,548 519,082 * Persimmon P.L.C. 72,019 1,598,244 * Petra Diamonds, Ltd. 169,369 467,211 Petrofac, Ltd. 30,926 758,999 Petropavlovsk P.L.C. 80,718 92,903 Phoenix Group Holdings 57,010 657,423 Phoenix IT Group, Ltd. 10,671 19,874 Photo-Me International P.L.C. 29,793 67,906 Playtech P.L.C. 19,271 217,504 Premier Farnell P.L.C. 95,280 358,449 * Premier Foods P.L.C. 252,475 245,387 Premier Oil P.L.C. 114,561 655,982 Prudential P.L.C. 63,229 1,453,578 Prudential P.L.C. ADR 800 36,952 * Punch Taverns P.L.C. 139,592 33,069 PZ Cussons P.L.C. 31,769 185,935 QinetiQ Group P.L.C. 183,372 653,305 * Quintain Estates & Development P.L.C. 234,995 402,564 Randgold Resources, Ltd. 3,395 272,901 * Raven Russia, Ltd. 29,857 32,806 REA Holdings P.L.C. 1,822 14,036 Redrow P.L.C. 100,282 485,339 Reed Elsevier P.L.C. 10,159 149,821 Reed Elsevier P.L.C. Sponsored ADR 4,190 247,797 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ---------- UNITED KINGDOM -- (Continued) Regus P.L.C. 184,170 $ 651,257 Renishaw P.L.C. 6,459 198,656 * Renold P.L.C. 12,120 10,627 Rentokil Initial P.L.C. 188,971 380,768 Resolution, Ltd. 461,924 2,330,334 Restaurant Group P.L.C. (The) 55,385 584,805 Rexam P.L.C. 143,179 1,200,398 Ricardo P.L.C. 15,777 180,652 Rightmove P.L.C. 19,077 777,183 Rio Tinto P.L.C. 5,471 297,446 # Rio Tinto P.L.C. Sponsored ADR 36,731 1,994,126 RM P.L.C. 8,611 20,145 Robert Walters P.L.C. 16,237 87,638 Rolls-Royce Holdings P.L.C. 73,150 1,299,325 Rotork P.L.C. 20,821 913,133 * Royal Bank of Scotland Group P.L.C. 160,444 812,882 * Royal Bank of Scotland Group P.L.C. Sponsored ADR 4,720 47,955 Royal Dutch Shell P.L.C. ADR(780259107) 83,543 7,071,915 Royal Dutch Shell P.L.C. ADR(780259206) 80,746 6,357,940 Royal Dutch Shell P.L.C. Class A 505 19,965 Royal Dutch Shell P.L.C. Class B 6,539 277,652 RPC Group P.L.C. 64,326 651,927 RPS Group P.L.C. 94,111 470,686 RSA Insurance Group P.L.C. 1,349,660 2,240,997 SABMiller P.L.C. 11,226 611,267 Sage Group P.L.C. (The) 122,793 885,765 * Salamander Energy P.L.C. 82,886 187,776 Savills P.L.C. 35,438 359,113 Schroders P.L.C.(0239581) 6,062 199,724 Schroders P.L.C.(0240549) 8,447 365,298 SDL P.L.C. 22,182 113,023 Senior P.L.C. 143,302 692,571 Sepura P.L.C. 6,972 15,643 Serco Group P.L.C. 31,940 182,049 * Severfield-Rowen P.L.C. 76,446 79,017 Severn Trent P.L.C. 9,631 300,213 Shanks Group P.L.C. 208,258 359,523 Shire P.L.C. 15,631 893,967 Shire P.L.C. ADR 1,800 309,150 SIG P.L.C. 254,991 826,401 Smith & Nephew P.L.C. 41,932 653,852 Smith & Nephew P.L.C. Sponsored ADR 1,572 122,522 Smiths Group P.L.C. 44,545 1,005,545 Soco International P.L.C. 79,470 580,819 Spectris P.L.C. 29,360 1,104,718 Speedy Hire P.L.C. 230,561 219,527 Spirax-Sarco Engineering P.L.C. 16,294 798,747 Spirent Communications P.L.C. 122,722 197,560 Spirit Pub Co. P.L.C. 301,511 399,725 * Sportech P.L.C. 2,757 4,049 * Sports Direct International P.L.C. 27,263 361,498 SSE P.L.C. 33,084 853,121 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- UNITED KINGDOM -- (Continued) St Ives P.L.C. 19,787 $ 66,297 St James's Place P.L.C. 59,676 777,737 ST Modwen Properties P.L.C. 79,329 498,125 Stagecoach Group P.L.C. 105,849 663,761 Standard Chartered P.L.C. 70,024 1,516,526 Standard Life P.L.C. 152,747 987,508 Sthree P.L.C. 12,874 87,950 # Stobart Group, Ltd. 24,037 55,659 * SuperGroup P.L.C. 10,041 225,714 Synergy Health P.L.C. 23,539 493,312 Synthomer P.L.C. 85,591 381,529 TalkTalk Telecom Group P.L.C. 124,121 601,525 Tate & Lyle P.L.C. 45,762 542,491 Taylor Wimpey P.L.C. 806,652 1,434,586 Ted Baker P.L.C. 4,965 155,174 Telecity Group P.L.C. 11,035 133,837 Telecom Plus P.L.C. 12,256 320,849 Tesco P.L.C. 212,456 1,052,491 * Thomas Cook Group P.L.C. 408,451 1,207,421 #* Thorntons P.L.C. 16,023 32,878 Topps Tiles P.L.C. 21,138 45,992 Travis Perkins P.L.C. 57,999 1,674,451 Tribal Group P.L.C. 1,288 4,364 Trifast P.L.C. 26,856 41,925 * Trinity Mirror P.L.C. 120,428 352,930 TT electronics P.L.C. 69,537 245,867 TUI Travel P.L.C. 120,717 873,175 Tullett Prebon P.L.C. 90,769 487,894 Tullow Oil P.L.C. 10,521 156,503 UBM P.L.C. 40,745 453,242 UDG Healthcare P.L.C. 96,979 587,960 Ultra Electronics Holdings P.L.C. 20,195 579,078 Unite Group P.L.C. (The) 37,367 266,833 United Utilities Group P.L.C. 28,585 384,497 UTV Media P.L.C. 21,346 86,453 * Vectura Group P.L.C. 96,721 230,108 # Vedanta Resources P.L.C. 54,137 866,908 Vesuvius P.L.C. 119,522 843,056 Victrex P.L.C. 15,963 502,598 Vitec Group P.L.C. (The) 5,880 61,160 Vodafone Group P.L.C. Sponsored ADR 100,243 3,805,231 Volex P.L.C. 1,588 2,774 Weir Group P.L.C. (The) 23,833 1,084,093 WH Smith P.L.C. 33,281 617,216 Whitbread P.L.C. 16,928 1,167,625 William Hill P.L.C. 114,583 686,586 * Wincanton P.L.C. 20,201 40,426 WM Morrison Supermarkets P.L.C. 363,589 1,234,263 * Wolfson Microelectronics P.L.C. 14,929 59,273 Wolseley P.L.C. 14,478 838,918 WPP P.L.C. 53,556 1,154,753 WPP P.L.C. Sponsored ADR 13,042 1,407,623 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- -------------- UNITED KINGDOM -- (Continued) WS Atkins P.L.C. 24,835 $ 538,630 Xaar P.L.C. 13,215 176,050 Xchanging P.L.C. 84,382 226,973 XP Power, Ltd. 621 17,197 -------------- TOTAL UNITED KINGDOM 247,241,735 -------------- UNITED STATES -- (0.0%) * Chaparral Gold Corp. 4,255 2,485 * Endo International P.L.C. 3,206 200,980 * Kofax, Ltd. 24,096 181,016 * McEwen Mining - Minera Andes Acquisition Corp. 24,285 57,829 -------------- TOTAL UNITED STATES 442,310 -------------- TOTAL COMMON STOCKS 1,287,049,206 -------------- PREFERRED STOCKS -- (0.0%) GERMANY -- (0.0%) Porsche Automobil Holding SE 2,021 223,512 -------------- UNITED KINGDOM -- (0.0%) McBride P.L.C. 686,868 1,160 Rolls-Royce Holdings P.L.C. 9,802,100 16,550 -------------- TOTAL UNITED KINGDOM 17,710 -------------- TOTAL PREFERRED STOCKS 241,222 -------------- RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) #* Aquarius Platinum, Ltd. Rights 05/14/14 67,470 7,208 * Bank of Queensland, Ltd. Rights 05/09/14 11,687 -- * Centrebet International, Ltd. Litigation Rights 6,648 -- -------------- TOTAL AUSTRALIA 7,208 -------------- AUSTRIA -- (0.0%) * Intercell AG 1,270 -- -------------- FRANCE -- (0.0%) * Groupe Fnac 5 24 * Peugeot SA Warrants 04/29/17 92,166 176,328 -------------- TOTAL FRANCE 176,352 -------------- HONG KONG -- (0.0%) * Haitong International Securities Group, Ltd. Rights 05/23/14 79,203 919 * Sun Hung Kai Properties 04/22/16 6,457 4,414 -------------- TOTAL HONG KONG 5,333 -------------- ISRAEL -- (0.0%) #* Africa Israel Investments, Ltd. Rights 05/01/14 1,196 1,030 -------------- PORTUGAL -- (0.0%) * Mota-Engil SGPS SA Rights 12/31/49 22,573 17,815 -------------- INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ---------- -------------- SINGAPORE -- (0.0%) * Falcon Energy Group, Ltd. Rights 06/18/16 20,300 $ 518 * Technics Oil & Gas, Ltd. Warrants 12/09/16 31,200 6,595 -------------- TOTAL SINGAPORE 7,113 -------------- SPAIN -- (0.0%) * Banco Santander SA 494,084 104,526 * Inmobiliaria Colonial SA 1,264 5,472 -------------- TOTAL SPAIN 109,998 -------------- SWEDEN -- (0.0%) * Rezidor Hotel Group Rights 05/21/14 18,581 8,621 -------------- UNITED KINGDOM -- (0.0%) * Babcock International Group P.L.C. Rights 05/06/14 9,708 65,564 -------------- TOTAL RIGHTS/WARRANTS 399,034 -------------- SHARES/ FACE AMOUNT (000) VALUE+ ---------- -------------- SECURITIES LENDING COLLATERAL -- (11.0%) (S)@ DFA Short Term Investment Fund 13,700,803 158,518,289 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $1,166,313,446) $1,446,207,751 ============== INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, based on their valuation inputs, is as follows (See Security Valuation Note): INVESTMENTS IN SECURITIES (MARKET VALUE) -------------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL ------------ -------------- ------- -------------- Common Stocks Australia $ 1,165,621 $ 84,104,961 -- $ 85,270,582 Austria 43,407 7,376,469 -- 7,419,876 Belgium 963,430 18,908,212 -- 19,871,642 Brazil 2,108 -- -- 2,108 Canada 116,078,253 8,581 -- 116,086,834 China -- 143,635 -- 143,635 Denmark -- 21,021,087 -- 21,021,087 Finland 22,326 27,591,296 -- 27,613,622 France 2,203,144 93,487,614 -- 95,690,758 Germany 3,912,672 77,732,168 -- 81,644,840 Greece -- 1 -- 1 Hong Kong 151,268 35,298,272 -- 35,449,540 Ireland 1,934,504 5,354,530 -- 7,289,034 Israel 1,417,135 7,161,854 -- 8,578,989 Italy 1,090,925 36,264,133 -- 37,355,058 Japan 4,568,327 246,567,231 -- 251,135,558 Netherlands 5,486,144 28,902,455 -- 34,388,599 New Zealand 3,451 5,796,957 -- 5,800,408 Norway 708,863 13,535,575 -- 14,244,438 Portugal -- 6,389,074 -- 6,389,074 Singapore -- 19,388,752 -- 19,388,752 Spain 1,381,192 33,738,770 -- 35,119,962 Sweden 130,505 41,929,967 -- 42,060,472 Switzerland 5,732,891 81,667,401 -- 87,400,292 United Kingdom 43,379,209 203,862,526 -- 247,241,735 United States 261,294 181,016 -- 442,310 Preferred Stocks Germany -- 223,512 -- 223,512 United Kingdom -- 17,710 -- 17,710 Rights/Warrants Australia -- 7,208 -- 7,208 Austria -- -- -- -- France -- 176,352 -- 176,352 Hong Kong -- 5,333 -- 5,333 Israel -- 1,030 -- 1,030 Portugal -- 17,815 -- 17,815 Singapore -- 7,113 -- 7,113 Spain -- 109,998 -- 109,998 Sweden -- 8,621 -- 8,621 United Kingdom -- 65,564 -- 65,564 Securities Lending Collateral -- 158,518,289 -- 158,518,289 ------------ -------------- -- -------------- TOTAL $190,636,669 $1,255,571,082 -- $1,446,207,751 ============ ============== == ============== EMERGING MARKETS CORE EQUITY PORTFOLIO SCHEDULE OF INVESTMENTS APRIL 30, 2014 (UNAUDITED)
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ----------- --------------- COMMON STOCKS -- (87.6%) BRAZIL -- (6.7%) Abril Educacao SA 134,200 $ 1,715,304 0.0% AES Tiete SA 252,270 1,651,818 0.0% Aliansce Shopping Centers SA 572,940 4,727,927 0.0% ALL - America Latina Logistica SA 2,389,193 9,461,408 0.1% AMBEV SA 1,591,620 11,635,119 0.1% AMBEV SA ADR 6,417,027 46,523,446 0.3% Anhanguera Educacional Participacoes SA 1,385,040 8,572,061 0.1% Arezzo Industria e Comercio SA 180,631 2,021,188 0.0% Autometal SA 218,178 1,810,200 0.0% * B2W Cia Digital 437,740 4,864,759 0.0% Banco Bradesco SA 2,129,629 32,712,095 0.2% Banco do Brasil SA 2,455,639 25,781,594 0.2% Banco Santander Brasil SA 115,800 773,818 0.0% # Banco Santander Brasil SA ADR 3,110,818 20,686,940 0.2% Bematech SA 318,700 1,192,043 0.0% * BHG SA - Brazil Hospitality Group 127,600 795,443 0.0% BM&FBovespa SA 9,686,489 49,523,926 0.4% BR Malls Participacoes SA 1,757,317 15,124,078 0.1% Brasil Brokers Participacoes SA 881,422 1,731,418 0.0% Brasil Insurance Participacoes e Administracao SA 414,534 1,851,669 0.0% BrasilAgro - Co. Brasileira de Propriedades Agricolas 4,700 18,865 0.0% # Braskem SA Sponsored ADR 332,618 4,523,605 0.0% * Brazil Pharma SA 571,726 933,326 0.0% BRF SA 812,706 18,406,392 0.1% # BRF SA ADR 1,233,685 27,881,281 0.2% * Brookfield Incorporacoes SA 2,099,133 1,346,232 0.0% CCR SA 2,092,208 16,373,598 0.1% Centrais Eletricas Brasileiras SA 868,900 3,031,749 0.0% # Centrais Eletricas Brasileiras SA ADR 130,848 727,515 0.0% # Centrais Eletricas Brasileiras SA Sponsored ADR 322,427 1,118,822 0.0% CETIP SA - Mercados Organizados 827,165 10,539,189 0.1% Cia Brasileira de Distribuicao Grupo Pao de Acucar ADR 196,188 9,330,701 0.1% Cia de Locacao das Americas 67,000 87,140 0.0% Cia de Saneamento Basico do Estado de Sao Paulo 578,128 5,475,979 0.0% # Cia de Saneamento Basico do Estado de Sao Paulo ADR 841,986 7,982,027 0.1% Cia de Saneamento de Minas Gerais-COPASA 363,688 5,676,126 0.0% Cia Energetica de Minas Gerais 214,713 1,649,527 0.0% # Cia Energetica de Minas Gerais Sponsored ADR 1,067,860 8,051,661 0.1% Cia Hering 671,452 7,094,701 0.1% Cia Paranaense de Energia 71,100 701,514 0.0% # Cia Paranaense de Energia Sponsored ADR 230,970 3,314,419 0.0% Cia Providencia Industria e Comercio SA 54,100 196,286 0.0% Cia Siderurgica Nacional SA 542,600 2,083,039 0.0% # Cia Siderurgica Nacional SA Sponsored ADR 3,358,178 12,996,149 0.1% Cielo SA 1,311,225 23,228,335 0.2% * Contax Participacoes SA 135,050 1,017,531 0.0% Cosan SA Industria e Comercio 655,006 11,233,290 0.1% CPFL Energia SA 577,500 4,897,645 0.0% CPFL Energia SA ADR 224,362 3,760,307 0.0% * CR2 Empreendimentos Imobiliarios SA 27,200 37,206 0.0% Cremer SA 81,500 610,405 0.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ----------- --------------- BRAZIL -- (Continued) Cyrela Brazil Realty SA Empreendimentos e Participacoes 1,910,317 $11,583,131 0.1% Cyrela Commercial Properties SA Empreendimentos e Participacoes 15,734 126,098 0.0% Dimed SA Distribuidora da Medicamentos 400 26,371 0.0% Direcional Engenharia SA 792,681 3,867,864 0.0% Duratex SA 1,606,361 6,952,072 0.1% EcoRodovias Infraestrutura e Logistica SA 713,328 4,264,452 0.0% EDP - Energias do Brasil SA 1,452,220 6,311,027 0.1% Embraer SA 233,006 2,014,735 0.0% # Embraer SA ADR 700,994 24,114,194 0.2% * Eneva SA 290,434 160,213 0.0% Equatorial Energia SA 967,943 8,838,354 0.1% Estacio Participacoes SA 1,124,000 12,037,726 0.1% Eternit SA 502,010 1,956,483 0.0% Even Construtora e Incorporadora SA 1,484,177 4,779,186 0.0% Ez Tec Empreendimentos e Participacoes SA 257,080 3,155,636 0.0% * Fertilizantes Heringer SA 150,408 356,837 0.0% * Fibria Celulose SA 483,242 4,811,289 0.0% #* Fibria Celulose SA Sponsored ADR 1,146,541 11,385,152 0.1% Fleury SA 356,093 2,389,125 0.0% Forjas Taurus SA 8,653 5,355 0.0% Fras-Le SA 6,000 10,898 0.0% Gafisa SA 714,800 1,163,684 0.0% # Gafisa SA ADR 1,410,877 4,670,003 0.0% * General Shopping Brasil SA 180,100 558,130 0.0% Gerdau SA 611,482 2,964,512 0.0% Gerdau SA Sponsored ADR 3,918,964 23,552,974 0.2% * Gol Linhas Aereas Inteligentes SA ADR 132,200 859,300 0.0% Grendene SA 434,838 2,749,732 0.0% Guararapes Confeccoes SA 31,432 1,466,051 0.0% Helbor Empreendimentos SA 1,009,969 3,442,433 0.0% Hypermarcas SA 1,857,266 13,685,337 0.1% Iguatemi Empresa de Shopping Centers SA 462,244 4,596,008 0.0% Industrias Romi SA 91,108 206,344 0.0% International Meal Co. Holdings SA 369,476 2,924,656 0.0% Iochpe-Maxion SA 441,569 3,994,370 0.0% Itau Unibanco Holding SA 694,214 10,694,585 0.1% JBS SA 3,951,261 13,644,897 0.1% JHSF Participacoes SA 530,529 863,693 0.0% Joao Fortes Engenharia SA 20,369 43,118 0.0% JSL SA 390,118 2,113,522 0.0% Kepler Weber SA 85,004 1,383,853 0.0% Klabin SA 2,474,733 12,985,481 0.1% Kroton Educacional SA 707,636 15,157,168 0.1% Light SA 433,596 3,461,379 0.0% Localiza Rent a Car SA 475,460 7,100,714 0.1% * Log-in Logistica Intermodal SA 396,879 1,422,161 0.0% Lojas Americanas SA 402,310 2,571,106 0.0% Lojas Renner SA 367,032 10,798,206 0.1% LPS Brasil Consultoria de Imoveis SA 385,880 1,929,616 0.0% M Dias Branco SA 141,085 6,098,339 0.0% Magnesita Refratarios SA 755,661 1,606,383 0.0% Mahle-Metal Leve SA Industria e Comercio 247,100 2,439,139 0.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ----------- --------------- BRAZIL -- (Continued) Marcopolo SA 19,600 $ 35,161 0.0% * Marfrig Global Foods SA 1,420,420 2,650,049 0.0% Marisa Lojas SA 200,056 1,352,997 0.0% Mills Estruturas e Servicos de Engenharia SA 462,190 5,828,807 0.0% * Minerva SA 723,685 3,252,079 0.0% * MMX Mineracao e Metalicos SA 290,366 337,279 0.0% MRV Engenharia e Participacoes SA 2,752,487 8,715,129 0.1% Multiplan Empreendimentos Imobiliarios SA 339,560 7,504,661 0.1% Multiplus SA 219,548 2,809,151 0.0% Natura Cosmeticos SA 539,900 9,247,127 0.1% Odontoprev SA 1,158,296 4,649,288 0.0% Oi SA 636,158 641,935 0.0% # Oi SA ADR(670851104) 136,542 135,163 0.0% # Oi SA ADR(670851203) 2,015,083 1,871,408 0.0% * Paranapanema SA 1,513,131 2,490,499 0.0% * PDG Realty SA Empreendimentos e Participacoes 10,042,401 6,170,239 0.1% Petroleo Brasileiro SA 1,061,101 7,438,057 0.1% Petroleo Brasileiro SA ADR 3,836,209 53,246,581 0.4% Porto Seguro SA 607,552 8,855,450 0.1% Portobello SA 113,300 259,146 0.0% Positivo Informatica SA 180,100 188,197 0.0% Profarma Distribuidora de Produtos Farmaceuticos SA 117,800 940,392 0.0% * Prumo Logistica SA 433,350 229,332 0.0% QGEP Participacoes SA 504,900 1,942,838 0.0% * Qualicorp SA 663,563 6,448,889 0.1% Raia Drogasil SA 889,325 7,578,058 0.1% Redentor Energia SA 100 242 0.0% Restoque Comercio e Confeccoes de Roupas SA 415,023 1,152,144 0.0% Rodobens Negocios Imobiliarios SA 140,821 730,078 0.0% * Rossi Residencial SA 2,481,715 1,780,802 0.0% Santos Brasil Participacoes SA 250,222 2,005,367 0.0% Sao Carlos Empreendimentos e Participacoes SA 8,800 138,132 0.0% Sao Martinho SA 328,587 4,921,989 0.0% SLC Agricola SA 371,924 2,835,613 0.0% Sonae Sierra Brasil SA 175,518 1,414,535 0.0% Souza Cruz SA 887,700 8,101,668 0.1% * Springs Global Participacoes SA 238,680 133,804 0.0% Sul America SA 1,337,710 9,808,973 0.1% * T4F Entretenimento SA 93,900 212,667 0.0% Technos SA 101,016 591,667 0.0% Tecnisa SA 808,495 2,512,780 0.0% Tegma Gestao Logistica 138,600 1,159,273 0.0% Telefonica Brasil SA 21,255 383,395 0.0% # Telefonica Brasil SA ADR 401,855 8,519,325 0.1% Tempo Participacoes SA 243,497 472,852 0.0% Tereos Internacional SA 106,388 85,406 0.0% Tim Participacoes SA 847,344 4,598,212 0.0% Tim Participacoes SA ADR 276,754 7,447,450 0.1% Totvs SA 468,049 7,642,859 0.1% TPI - Triunfo Participacoes e Investimentos SA 153,927 600,590 0.0% Tractebel Energia SA 468,939 6,973,884 0.1% Transmissora Alianca de Energia Eletrica SA 1,235,873 11,057,592 0.1% EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ----------- -------------- --------------- BRAZIL -- (Continued) Trisul SA 51,685 $ 93,646 0.0% Ultrapar Participacoes SA 671,968 16,870,397 0.1% Ultrapar Participacoes SA Sponsored ADR 70,925 1,765,323 0.0% UNICASA Industria de Moveis SA 70,800 134,948 0.0% * Usinas Siderurgicas de Minas Gerais SA 258,044 926,979 0.0% Vale SA 659,900 8,701,002 0.1% # Vale SA Sponsored ADR 3,456,710 45,697,706 0.3% Valid Solucoes e Servicos de Seguranca em Meios de Pagamento e Identificacao S.A 315,429 4,887,576 0.0% * Vanguarda Agro SA 1,428,454 2,037,217 0.0% * Viver Incorporadora e Construtora SA 516,825 37,086 0.0% WEG SA 857,911 10,353,800 0.1% -------------- --- TOTAL BRAZIL 1,029,378,799 7.2% -------------- --- CHILE -- (1.4%) AES Gener SA 7,511,797 4,040,426 0.0% Aguas Andinas SA Class A 11,398,986 7,032,259 0.1% Banco de Chile 19,450,669 2,499,178 0.0% # Banco de Chile ADR 59,731 4,621,374 0.0% Banco de Credito e Inversiones 123,646 6,836,880 0.1% Banco Santander Chile 988,793 59,756 0.0% # Banco Santander Chile ADR 387,800 9,411,906 0.1% Banmedica SA 526,111 853,145 0.0% Besalco SA 1,451,429 1,270,713 0.0% CAP SA 343,366 5,148,162 0.0% Cementos BIO BIO SA 180,149 164,423 0.0% Cencosud SA 3,431,199 11,432,161 0.1% Cencosud SA ADR 3,035 30,532 0.0% CFR Pharmaceuticals SA 7,674,470 1,564,123 0.0% Cia Cervecerias Unidas SA 114,732 1,354,202 0.0% Cia Cervecerias Unidas SA ADR 144,222 3,399,313 0.0% Cia General de Electricidad SA 303,329 1,424,572 0.0% * Cia Pesquera Camanchaca SA 220,903 11,310 0.0% * Cia Sud Americana de Vapores SA 14,378,149 682,908 0.0% Cintac SA 161,631 33,773 0.0% Clinica LAS Condes SA 309 23,219 0.0% Colbun SA 22,558,611 5,581,533 0.1% Corpbanca SA 643,442,314 7,412,207 0.1% # Corpbanca SA ADR 42,206 744,936 0.0% Cristalerias de Chile SA 59,157 435,090 0.0% Cruz Blanca Salud SA 329,718 277,563 0.0% E.CL SA 2,234,164 2,837,769 0.0% # Embotelladora Andina SA Class A ADR 2,422 46,793 0.0% # Embotelladora Andina SA Class B ADR 22,399 542,504 0.0% Empresa Electrica Pilmaiquen 30,933 140,342 0.0% Empresa Nacional de Electricidad SA 2,014,317 2,979,949 0.0% # Empresa Nacional de Electricidad SA Sponsored ADR 171,879 7,574,708 0.1% * Empresas AquaChile SA 351,810 240,045 0.0% Empresas CMPC SA 4,477,834 9,967,407 0.1% Empresas COPEC SA 1,524,611 19,670,482 0.2% Empresas Hites SA 1,075,010 600,324 0.0% Empresas Iansa SA 16,058,987 634,669 0.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ------------ --------------- CHILE -- (Continued) * Empresas La Polar SA 1,986,927 $ 197,194 0.0% Enersis SA 9,511,254 3,076,276 0.0% Enersis SA Sponsored ADR 1,182,721 19,041,808 0.1% Enjoy SA 407,211 53,397 0.0% ENTEL Chile SA 588,760 7,227,832 0.1% Forus SA 386,092 1,628,517 0.0% Gasco SA 30,398 266,670 0.0% Grupo Security SA 634,855 221,649 0.0% Inversiones Aguas Metropolitanas SA 2,221,968 3,677,940 0.0% Inversiones La Construccion SA 16,133 212,293 0.0% Invexans SA 20,105,398 360,593 0.0% Latam Airlines Group SA(B8L1G76) 105,702 1,528,821 0.0% Latam Airlines Group SA(2518932) 121,449 1,853,197 0.0% # Latam Airlines Group SA Sponsored ADR 839,537 12,870,102 0.1% * Madeco SA 20,105,398 83,913 0.0% Masisa SA 11,541,658 572,731 0.0% Molibdenos y Metales SA 84,984 1,155,953 0.0% * Multiexport Foods SA 2,734,356 615,388 0.0% Parque Arauco SA 3,945,012 7,060,758 0.1% PAZ Corp. SA 1,350,362 756,244 0.0% Ripley Corp. SA 4,441,735 2,888,972 0.0% SACI Falabella 1,195,324 10,168,373 0.1% Salfacorp SA 621,133 533,889 0.0% Sigdo Koppers SA 1,737,669 2,833,215 0.0% Sociedad Matriz SAAM SA 15,372,982 1,242,360 0.0% Sociedad Quimica y Minera de Chile SA Sponsored ADR 87,991 2,806,913 0.0% Socovesa SA 1,364,609 253,935 0.0% Sonda SA 2,305,566 5,332,276 0.0% Vina Concha y Toro SA 2,182,732 4,564,645 0.0% # Vina Concha y Toro SA Sponsored ADR 26,285 1,101,342 0.0% Vina San Pedro Tarapaca SA 16,383,152 110,333 0.0% ------------ --- TOTAL CHILE 215,878,185 1.5% ------------ --- CHINA -- (13.2%) 361 Degrees International, Ltd. 3,838,000 882,064 0.0% Agile Property Holdings, Ltd. 7,053,525 5,720,181 0.1% Agricultural Bank of China, Ltd. Class H 47,803,460 20,052,876 0.2% Air China, Ltd. Class H 6,816,000 3,885,616 0.0% Ajisen China Holdings, Ltd. 1,979,000 1,671,011 0.0% #* Aluminum Corp. of China, Ltd. ADR 246,740 2,220,660 0.0% #* Aluminum Corp. of China, Ltd. Class H 10,560,000 3,786,052 0.0% AMVIG Holdings, Ltd. 1,582,000 575,908 0.0% #* Angang Steel Co., Ltd. Class H 5,921,160 3,595,780 0.0% # Anhui Conch Cement Co., Ltd. Class H 2,995,500 11,145,611 0.1% Anhui Expressway Co., Ltd. Class H 2,186,000 1,196,766 0.0% Anhui Tianda Oil Pipe Co., Ltd. 589,130 112,742 0.0% Anta Sports Products, Ltd. 3,246,000 4,741,366 0.0% # Anton Oilfield Services Group 3,504,000 2,326,972 0.0% # Anxin-China Holdings, Ltd. 12,905,000 2,033,249 0.0% Asia Cement China Holdings Corp. 2,603,000 1,892,495 0.0% * Asia Energy Logistics Group, Ltd. 17,250,000 164,616 0.0% # Asian Citrus Holdings, Ltd. 3,647,000 758,227 0.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ----------- ------------ --------------- CHINA -- (Continued) * Ausnutria Dairy Corp., Ltd. 67,000 $ 2,368 0.0% * AVIC International Holding HK, Ltd. 5,796,000 191,122 0.0% * AVIC International Holdings, Ltd. 518,000 187,541 0.0% AviChina Industry & Technology Co., Ltd. Class H 7,645,212 4,091,911 0.0% Bank of China, Ltd. Class H 157,471,702 69,585,230 0.5% Bank of Communications Co., Ltd. Class H 19,061,618 11,873,232 0.1% # Baoxin Auto Group, Ltd. 1,011,000 765,785 0.0% Baoye Group Co., Ltd. Class H 1,460,440 867,492 0.0% * BaWang International Group Holding, Ltd. 4,614,000 235,579 0.0% BBMG Corp. Class H 5,567,702 3,904,837 0.0% Beijing Capital International Airport Co., Ltd. Class H 9,528,000 6,656,798 0.1% # Beijing Capital Land, Ltd. Class H 5,746,000 1,935,544 0.0% * Beijing Development HK, Ltd. 437,000 138,660 0.0% Beijing Enterprises Holdings, Ltd. 1,543,528 13,382,044 0.1% Beijing Enterprises Water Group, Ltd. 10,774,469 6,819,873 0.1% Beijing Jingkelong Co., Ltd. Class H 153,512 43,021 0.0% # Beijing Jingneng Clean Energy Co., Ltd. Class H 2,738,000 1,183,778 0.0% Beijing North Star Co., Ltd. Class H 3,824,000 892,788 0.0% * Beijing Properties Holdings, Ltd. 4,378,967 464,291 0.0% Belle International Holdings, Ltd. 10,180,114 10,611,879 0.1% Biostime International Holdings, Ltd. 422,000 2,807,143 0.0% Bloomage Biotechnology Corp., Ltd. 372,500 1,005,015 0.0% # Boer Power Holdings, Ltd. 1,024,000 1,344,141 0.0% # Bosideng International Holdings, Ltd. 15,518,157 2,290,275 0.0% Brilliance China Automotive Holdings, Ltd. 4,384,000 6,718,671 0.1% #* Byd Co., Ltd. Class H 1,329,300 7,193,111 0.1% * BYD Electronic International Co., Ltd. 4,359,222 2,686,966 0.0% C C Land Holdings, Ltd. 7,117,354 1,336,246 0.0% * Carnival Group International Holdings, Ltd. 1,094,000 86,349 0.0% Carrianna Group Holdings Co., Ltd. 1,640,877 328,914 0.0% Cecep Costin New Materials Grp, Ltd. 434,000 207,529 0.0% Central China Real Estate, Ltd. 3,148,074 777,235 0.0% * CGN Mining Co., Ltd. 4,060,000 420,071 0.0% # Changshouhua Food Co., Ltd. 1,500,000 1,523,899 0.0% #* Chaoda Modern Agriculture Holdings, Ltd. 5,616,910 449,353 0.0% # Chaowei Power Holdings, Ltd. 2,728,000 1,404,997 0.0% * Chigo Holding, Ltd. 21,262,000 483,454 0.0% Chiho-Tiande Group, Ltd. 240,000 117,478 0.0% China Aerospace International Holdings, Ltd. 10,672,600 1,077,284 0.0% China Agri-Industries Holdings, Ltd. 11,372,800 4,550,094 0.0% # China All Access Holdings, Ltd. 3,094,000 1,281,907 0.0% * China Animal Healthcare, Ltd. 1,276,000 837,188 0.0% China Aoyuan Property Group, Ltd. 6,342,000 1,080,681 0.0% China Automation Group, Ltd. 3,425,000 609,681 0.0% China BlueChemical, Ltd. 8,045,122 4,318,760 0.0% * China Chengtong Development Group, Ltd. 2,718,000 83,945 0.0% China CITIC Bank Corp., Ltd. Class H 23,858,607 14,252,171 0.1% # China Coal Energy Co., Ltd. Class H 18,516,168 9,984,676 0.1% China Communications Construction Co., Ltd. Class H 16,467,387 10,739,905 0.1% China Communications Services Corp., Ltd. Class H 11,057,327 5,597,100 0.1% China Construction Bank Corp. Class H 158,865,302 109,994,041 0.8% #* China COSCO Holdings Co., Ltd. Class H 11,544,000 4,578,537 0.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ----------- --------------- CHINA -- (Continued) # China Datang Corp. Renewable Power Co., Ltd. Class H 9,935,000 $ 1,311,450 0.0% China Dongxiang Group Co. 12,911,888 2,289,308 0.0% * China Dredging Environment Protection Holdings, Ltd. 1,834,000 631,619 0.0% #* China Eastern Airlines Corp., Ltd. Class H 7,080,000 2,188,010 0.0% * China Energine International Holdings, Ltd. 6,260,000 550,188 0.0% China Everbright International, Ltd. 8,832,000 11,046,087 0.1% China Everbright, Ltd. 4,496,896 6,026,485 0.1% China Fiber Optic Network System Group, Ltd. 2,674,000 626,369 0.0% #* China Foods, Ltd. 4,396,000 1,487,585 0.0% China Gas Holdings, Ltd. 5,958,000 9,667,631 0.1% * China Glass Holdings, Ltd. 4,404,000 529,758 0.0% * China Green Holdings, Ltd. 2,529,000 158,892 0.0% * China Haidian Holdings, Ltd. 10,242,000 1,297,547 0.0% * China High Precision Automation Group, Ltd. 1,360,000 214,009 0.0% * China High Speed Transmission Equipment Group Co., Ltd. 6,094,007 4,260,091 0.0% # China Hongqiao Group, Ltd. 3,892,500 2,669,825 0.0% * China Household Holdings, Ltd. 10,050,000 291,663 0.0% * China Huiyuan Juice Group, Ltd. 3,217,000 2,107,036 0.0% China International Marine Containers Group Co., Ltd. Class H 266,900 531,541 0.0% # China ITS Holdings Co., Ltd. 2,729,000 515,564 0.0% China Lesso Group Holdings, Ltd. 4,382,000 2,334,256 0.0% # China Life Insurance Co., Ltd. ADR 313,416 12,248,297 0.1% # China Life Insurance Co., Ltd. Class H 5,510,000 14,320,208 0.1% # China Lilang, Ltd. 1,872,000 1,208,862 0.0% China Longyuan Power Group Corp. Class H 7,079,000 7,282,218 0.1% # China Lumena New Materials Corp. 15,666,000 2,525,813 0.0% # China Medical System Holdings, Ltd. 2,886,800 3,420,624 0.0% China Mengniu Dairy Co., Ltd. 2,574,000 13,229,522 0.1% China Merchants Bank Co., Ltd. Class H 14,193,146 25,357,496 0.2% China Merchants Holdings International Co., Ltd. 3,810,866 11,908,974 0.1% #* China Metal Recycling Holdings, Ltd. 1,955,133 445,853 0.0% #* China Mining Resources Group, Ltd. 14,560,900 164,348 0.0% # China Minsheng Banking Corp., Ltd. Class H 13,091,500 13,208,168 0.1% China Mobile, Ltd. 3,987,000 37,950,155 0.3% China Mobile, Ltd. Sponsored ADR 1,837,282 87,142,285 0.6% #* China Modern Dairy Holdings, Ltd. 5,582,000 2,410,455 0.0% # China Molybdenum Co., Ltd. Class H 4,585,000 2,045,127 0.0% China National Building Material Co., Ltd. Class H 12,520,000 11,828,259 0.1% China National Materials Co., Ltd. 5,688,000 1,103,258 0.0% #* China New Town Development Co., Ltd. 5,843,677 438,732 0.0% * China Nickel Resources Holdings Co., Ltd. 3,830,000 125,971 0.0% # China Oil & Gas Group, Ltd. 18,160,000 3,005,611 0.0% China Oilfield Services, Ltd. Class H 3,836,000 9,176,632 0.1% China Overseas Grand Oceans Group, Ltd. 3,178,000 1,890,843 0.0% China Overseas Land & Investment, Ltd. 8,650,033 21,271,238 0.2% China Pacific Insurance Group Co., Ltd. Class H 5,611,465 17,570,496 0.1% China Petroleum & Chemical Corp. ADR 246,852 21,937,719 0.2% China Petroleum & Chemical Corp. Class H 31,492,400 27,875,942 0.2% # China Power International Development, Ltd. 10,545,200 3,796,922 0.0% #* China Power New Energy Development Co., Ltd. 21,140,000 1,108,449 0.0% * China Precious Metal Resources Holdings Co., Ltd. 13,235,682 1,316,140 0.0% * China Properties Group, Ltd. 2,449,000 551,114 0.0%
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PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ----------- --------------- CHINA -- (Continued) China Qinfa Group, Ltd. 2,670,000 $ 113,754 0.0% # China Railway Construction Corp., Ltd. Class H 8,466,687 6,971,248 0.1% China Railway Group, Ltd. Class H 9,962,000 4,461,832 0.0% #* China Rare Earth Holdings, Ltd. 7,016,000 896,590 0.0% China Resources Cement Holdings, Ltd. 7,800,946 5,410,585 0.1% China Resources Enterprise, Ltd. 4,418,000 12,551,829 0.1% China Resources Gas Group, Ltd. 1,614,000 4,787,675 0.0% China Resources Land, Ltd. 5,786,681 11,928,015 0.1% China Resources Power Holdings Co., Ltd. 3,410,000 8,570,551 0.1% #* China Rongsheng Heavy Industries Group Holdings, Ltd. 17,560,000 3,023,322 0.0% * China Ruifeng Renewable Energy Holdings, Ltd. 2,796,000 580,808 0.0% # China Sanjiang Fine Chemicals Co., Ltd. 3,282,000 1,437,407 0.0% # China SCE Property Holdings, Ltd. 2,563,400 555,918 0.0% China Shanshui Cement Group, Ltd. 10,203,645 3,960,231 0.0% China Shenhua Energy Co., Ltd. Class H 7,527,000 20,392,565 0.2% China Shineway Pharmaceutical Group, Ltd. 1,611,000 2,814,487 0.0% #* China Shipping Container Lines Co., Ltd. Class H 20,233,300 4,767,323 0.0% * China Shipping Development Co., Ltd. Class H 7,204,000 3,948,974 0.0% # China Singyes Solar Technologies Holdings, Ltd. 1,689,800 2,480,056 0.0% # China South City Holdings, Ltd. 10,122,711 4,251,518 0.0% # China Southern Airlines Co., Ltd. Class H 6,660,000 1,988,817 0.0% # China Southern Airlines Co., Ltd. Sponsored ADR 41,944 631,677 0.0% China Starch Holdings, Ltd. 8,270,000 212,790 0.0% China State Construction International Holdings, Ltd. 3,687,520 6,149,191 0.1% # China Suntien Green Energy Corp., Ltd. Class H 7,193,000 2,436,562 0.0% # China Taifeng Beddings Holdings, Ltd. 1,662,000 184,895 0.0% * China Taiping Insurance Holdings Co., Ltd. 3,714,600 5,903,137 0.1% # China Telecom Corp., Ltd. ADR 137,239 7,029,382 0.1% China Telecom Corp., Ltd. Class H 8,024,000 4,094,677 0.0% #* China Tian Lun Gas Holdings, Ltd. 580,500 535,555 0.0% China Tianyi Holdings, Ltd. 1,996,000 268,631 0.0% * China Tontine Wines Group, Ltd. 3,962,000 171,272 0.0% * China Traditional Chinese Medicine Co., Ltd. 738,000 315,076 0.0% China Travel International Inv HK 13,193,892 2,657,643 0.0% China Unicom Hong Kong, Ltd. 4,324,000 6,617,701 0.1% # China Unicom Hong Kong, Ltd. ADR 1,065,141 16,328,612 0.1% * China Vanadium Titano - Magnetite Mining Co., Ltd. 4,955,000 620,845 0.0% # China Water Affairs Group, Ltd. 4,664,000 1,578,432 0.0% * China Water Industry Group, Ltd. 1,232,000 202,491 0.0% * China WindPower Group, Ltd. 19,845,909 1,287,763 0.0% #* China Yurun Food Group, Ltd. 7,544,000 3,646,507 0.0% #* China ZhengTong Auto Services Holdings, Ltd. 4,646,000 2,532,562 0.0% #* China Zhongwang Holdings, Ltd. 9,010,779 2,816,459 0.0% #* Chinasoft International, Ltd. 4,892,000 1,414,325 0.0% #* ChinaVision Media Group, Ltd. 3,680,000 708,217 0.0% * Chinese People Holdings Co., Ltd. 7,880,000 208,387 0.0% * Chongqing Iron & Steel Co., Ltd. Class H 2,590,000 370,853 0.0% Chongqing Machinery & Electric Co., Ltd. Class H 5,647,962 730,659 0.0% Chongqing Rural Commercial Bank Class H 12,371,000 5,392,393 0.1% Chu Kong Petroleum & Natural Gas Steel Pipe Holdings, Ltd. 1,990,000 604,272 0.0% CIMC Enric Holdings, Ltd. 1,694,000 2,448,725 0.0% * Citic 21CN Co., Ltd. 4,732,000 2,639,274 0.0%
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PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ----------- --------------- CHINA -- (Continued) * CITIC Dameng Holdings, Ltd. 935,000 $ 66,606 0.0% # CITIC Pacific, Ltd. 6,532,567 11,439,486 0.1% * CITIC Resources Holdings, Ltd. 12,768,000 1,864,114 0.0% # CITIC Securities Co., Ltd. Class H 3,063,000 6,132,199 0.1% Clear Media, Ltd. 173,000 173,019 0.0% * CNNC International, Ltd. 414,898 112,642 0.0% CNOOC, Ltd. 21,558,000 35,465,333 0.3% # CNOOC, Ltd. ADR 213,780 35,314,318 0.3% * Coastal Greenland, Ltd. 3,432,000 107,459 0.0% #* Comba Telecom Systems Holdings, Ltd. 4,639,573 1,181,536 0.0% * Comtec Solar Systems Group, Ltd. 4,014,000 639,488 0.0% # Coolpad Group, Ltd. 7,196,000 3,123,819 0.0% Cosco International Holdings, Ltd. 1,328,000 553,839 0.0% COSCO Pacific, Ltd. 8,770,989 11,772,483 0.1% * Coslight Technology International Group, Ltd. 480,000 335,051 0.0% Country Garden Holdings Co., Ltd. 14,674,182 5,883,717 0.1% # CP Pokphand Co., Ltd. 10,895,658 1,206,833 0.0% # CPMC Holdings, Ltd. 1,325,000 1,048,831 0.0% # CSPC Pharmaceutical Group, Ltd. 3,620,000 2,992,740 0.0% CSR Corp., Ltd. 5,535,324 4,072,702 0.0% Da Ming International Holdings, Ltd. 34,000 8,462 0.0% * DaChan Food Asia, Ltd. 1,513,087 179,563 0.0% # Dah Chong Hong Holdings, Ltd. 4,428,000 2,806,971 0.0% # Dalian Port PDA Co., Ltd. Class H 5,986,000 1,415,173 0.0% # Daphne International Holdings, Ltd. 5,196,000 2,086,112 0.0% Datang International Power Generation Co., Ltd. Class H 8,690,000 3,229,614 0.0% Dawnrays Pharmaceutical Holdings, Ltd. 1,369,491 1,030,792 0.0% #* DBA Telecommunication Asia Holdings, Ltd. 1,020,000 50,125 0.0% Digital China Holdings, Ltd. 4,070,000 3,769,653 0.0% # Dongfang Electric Corp., Ltd. Class H 1,165,800 1,817,284 0.0% Dongfeng Motor Group Co., Ltd. Class H 7,834,000 10,452,850 0.1% # Dongjiang Environmental Co., Ltd. Class H 136,599 495,121 0.0% # Dongyue Group, Ltd. 6,374,000 2,557,784 0.0% #* Dynasty Fine Wines Group, Ltd. 1,708,000 59,482 0.0% Embry Holdings, Ltd. 509,000 297,165 0.0% ENN Energy Holdings, Ltd. 2,010,000 14,019,661 0.1% EVA Precision Industrial Holdings, Ltd. 5,630,516 945,546 0.0% * EverChina International Holdings Co., Ltd. 17,127,500 762,790 0.0% # Evergrande Real Estate Group, Ltd. 28,147,000 12,573,208 0.1% Evergreen International Holdings, Ltd. 1,091,000 131,122 0.0% * Extrawell Pharmaceutical Holdings, Ltd. 6,122,079 296,937 0.0% Fantasia Holdings Group Co., Ltd. 9,461,519 1,261,578 0.0% # First Tractor Co., Ltd. Class H 2,154,000 1,261,449 0.0% # Fosun International, Ltd. 6,676,285 8,085,838 0.1% Franshion Properties China, Ltd. 19,164,976 5,994,182 0.1% # Fufeng Group, Ltd. 5,082,800 1,936,685 0.0% #* GCL-Poly Energy Holdings, Ltd. 33,132,320 9,951,974 0.1% # Geely Automobile Holdings, Ltd. 23,760,000 8,259,824 0.1% * Global Bio-Chem Technology Group Co., Ltd. 10,533,600 361,350 0.0% * Global Sweeteners Holdings, Ltd. 1,750,699 97,722 0.0% * Glorious Property Holdings, Ltd. 14,327,712 2,053,801 0.0% Goldbond Group Holdings, Ltd. 650,000 31,519 0.0%
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PERCENTAGE SHARES VALUE++ OF NET ASSETS** ----------- ----------- --------------- CHINA -- (Continued) # Golden Eagle Retail Group, Ltd. 1,887,000 $ 2,440,713 0.0% # Golden Meditech Holdings, Ltd. 7,474,194 646,818 0.0% Goldlion Holdings, Ltd. 852,866 390,561 0.0% GOME Electrical Appliances Holding, Ltd. 56,205,660 10,538,517 0.1% Good Friend International Holdings, Inc. 487,333 151,096 0.0% # Goodbaby International Holdings, Ltd. 2,541,000 1,391,475 0.0% # Great Wall Motor Co., Ltd. Class H 1,636,250 7,433,156 0.1% * Great Wall Technology Co., Ltd. Class H 2,206,000 858,927 0.0% Greatview Aseptic Packaging Co., Ltd. 1,729,000 1,054,994 0.0% Greenland Hong Kong Holdings, Ltd. 1,112,275 508,931 0.0% Greentown China Holdings, Ltd. 3,346,500 3,370,388 0.0% # Guangdong Investment, Ltd. 6,610,000 7,194,965 0.1% Guangdong Land Holdings, Ltd. 2,823,361 557,398 0.0% # Guangshen Railway Co., Ltd. Class H 4,242,000 1,602,573 0.0% Guangshen Railway Co., Ltd. Sponsored ADR 69,174 1,310,156 0.0% Guangzhou Automobile Group Co., Ltd. Class H 8,373,480 8,453,240 0.1% # Guangzhou Baiyunshan Pharmaceutical Holdings Co., Ltd. Class H 504,000 1,514,916 0.0% Guangzhou R&F Properties Co., Ltd. 4,171,932 5,444,012 0.1% Guangzhou Shipyard International Co., Ltd. Class H 530,000 935,180 0.0% # Guodian Technology & Environment Group Co., Ltd. Class H 2,305,000 575,022 0.0% Haier Electronics Group Co., Ltd. 2,277,000 5,589,344 0.1% Hainan Meilan International Airport Co., Ltd. Class H 596,000 565,888 0.0% # Haitian International Holdings, Ltd. 1,424,000 2,865,140 0.0% #* Hanergy Solar Group, Ltd. 48,496,000 7,024,315 0.1% Harbin Electric Co., Ltd. Class H 4,400,587 2,598,003 0.0% Henderson Investment, Ltd. 377,000 29,219 0.0% * Heng Tai Consumables Group, Ltd. 18,666,383 341,833 0.0% Hengan International Group Co., Ltd. 1,019,122 10,730,476 0.1% # Hengdeli Holdings, Ltd. 10,988,800 2,113,716 0.0% * Hi Sun Technology China, Ltd. 3,009,000 646,328 0.0% #* Hidili Industry International Development, Ltd. 5,587,000 645,432 0.0% # Hilong Holding, Ltd. 2,522,000 1,314,487 0.0% * Hisense Kelon Electrical Holdings Co., Ltd. Class H 1,221,000 1,443,132 0.0% #* HKC Holdings, Ltd. 19,752,210 535,705 0.0% # Honghua Group, Ltd. 5,332,000 1,254,761 0.0% Hopefluent Group Holdings, Ltd. 437,973 143,548 0.0% # Hopewell Highway Infrastructure, Ltd. 3,852,528 1,883,905 0.0% #* Hopson Development Holdings, Ltd. 3,442,000 3,382,403 0.0% # Hua Han Bio-Pharmaceutical Holdings, Ltd. 12,005,135 2,508,070 0.0% * Hua Lien International Holding Co., Ltd. 558,000 23,025 0.0% # Huabao International Holdings, Ltd. 10,146,986 4,806,200 0.1% Huadian Power International Corp., Ltd. Class H 5,604,000 3,045,617 0.0% Huaneng Power International, Inc. Class H 1,434,000 1,403,723 0.0% # Huaneng Power International, Inc. Sponsored ADR 106,517 4,183,988 0.0% Huaneng Renewables Corp., Ltd. Class H 11,060,000 3,438,187 0.0% * Huili Resources Group, Ltd. 846,000 166,979 0.0% #* Hunan Nonferrous Metal Corp., Ltd. Class H 8,890,000 2,580,323 0.0% * Huscoke Resources Holdings, Ltd. 381,800 3,412 0.0% Hutchison Harbour Ring, Ltd. 1,932,000 147,138 0.0% Industrial & Commercial Bank of China, Ltd. Class H 158,902,725 94,741,662 0.7% Inspur International, Ltd. 2,180,000 382,740 0.0% Intime Retail Group Co., Ltd. 4,260,500 4,184,089 0.0%
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PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ----------- --------------- CHINA -- (Continued) Jiangsu Expressway Co., Ltd. Class H 3,082,000 $ 3,460,268 0.0% Jiangxi Copper Co., Ltd. Class H 4,924,000 8,133,035 0.1% * Jinchuan Group International Resources Co., Ltd. 1,141,000 131,832 0.0% Jingwei Textile Machinery Class H 1,000,000 877,647 0.0% Ju Teng International Holdings, Ltd. 4,202,090 3,115,725 0.0% Jutal Offshore Oil Services, Ltd. 958,000 178,527 0.0% * Kai Yuan Holdings, Ltd. 16,790,000 311,768 0.0% # Kaisa Group Holdings, Ltd. 9,613,684 3,046,159 0.0% * Kasen International Holdings, Ltd. 314,000 66,984 0.0% Kingboard Chemical Holdings, Ltd. 3,618,166 6,915,011 0.1% Kingboard Laminates Holdings, Ltd. 4,883,984 1,895,045 0.0% #* Kingdee International Software Group Co., Ltd. 5,129,600 1,540,697 0.0% # Kingsoft Corp., Ltd. 2,757,000 8,544,410 0.1% Kunlun Energy Co., Ltd. 7,760,000 12,105,216 0.1% KWG Property Holding, Ltd. 6,613,144 3,677,525 0.0% # Labixiaoxin Snacks Group, Ltd. 1,272,000 492,200 0.0% Lai Fung Holdings, Ltd. 24,807,000 529,055 0.0% Le Saunda Holdings, Ltd. 1,134,000 541,769 0.0% Lee & Man Chemical Co., Ltd. 821,339 392,649 0.0% # Lee & Man Paper Manufacturing, Ltd. 7,007,200 3,800,336 0.0% # Lenovo Group, Ltd. 9,412,000 10,701,162 0.1% * Leoch International Technology, Ltd. 907,000 133,190 0.0% #* Li Ning Co., Ltd. 4,884,500 3,409,891 0.0% # Lianhua Supermarket Holdings Co., Ltd. Class H 2,030,200 1,125,564 0.0% # Lijun International Pharmaceutical Holding Co., Ltd. 7,206,000 2,945,667 0.0% # Lingbao Gold Co., Ltd. Class H 1,494,000 265,225 0.0% * LK Technology Holdings, Ltd. 712,500 85,888 0.0% Longfor Properties Co., Ltd. 4,402,500 5,697,004 0.1% * Lonking Holdings, Ltd. 11,388,000 2,109,283 0.0% * Loudong General Nice Resources China Holdings, Ltd. 5,239,309 371,685 0.0% * Maanshan Iron & Steel Co., Ltd. Class H 9,296,000 1,948,640 0.0% * Madex International Holdings, Ltd. 3,520,000 55,475 0.0% Maoye International Holdings, Ltd. 7,100,000 1,018,558 0.0% #* Metallurgical Corp. of China, Ltd. Class H 12,523,000 2,377,576 0.0% # Microport Scientific Corp. 1,233,000 838,473 0.0% # MIE Holdings Corp. 4,960,000 934,653 0.0% MIN XIN Holdings, Ltd. 596,000 307,671 0.0% #* Mingfa Group International Co., Ltd. 4,982,000 1,247,373 0.0% * Mingyuan Medicare Development Co., Ltd. 4,480,000 94,860 0.0% # Minmetals Land, Ltd. 6,023,644 677,429 0.0% Minth Group, Ltd. 2,171,000 3,421,072 0.0% #* MMG, Ltd. 9,112,000 2,121,840 0.0% * Nan Hai Corp., Ltd. 61,300,000 395,444 0.0% Nanjing Panda Electronics Co., Ltd. Class H 814,000 482,965 0.0% Nature Flooring Holding Co., Ltd. 654,000 122,378 0.0% # NetDragon Websoft, Inc. 495,456 846,990 0.0% * New China Life Insurance Co., Ltd. Class H 1,603,200 4,719,356 0.0% New World China Land, Ltd. 10,199,700 8,454,285 0.1% New World Department Store China, Ltd. 2,186,538 1,023,844 0.0% * Newton Resources, Ltd. 494,000 46,022 0.0% # Nine Dragons Paper Holdings, Ltd. 9,105,000 5,991,062 0.1% * North Mining Shares Co., Ltd. 10,450,000 485,857 0.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ----------- --------------- CHINA -- (Continued) # NVC Lighting Holdings, Ltd. 7,356,000 $ 1,837,393 0.0% O-Net Communications Group, Ltd. 1,503,000 391,162 0.0% Overseas Chinese Town Asia Holdings, Ltd. 357,817 125,307 0.0% # Pacific Online, Ltd. 1,105,195 599,758 0.0% # Parkson Retail Group, Ltd. 6,360,500 1,864,942 0.0% #* PAX Global Technology, Ltd. 577,000 301,995 0.0% Peak Sport Products Co., Ltd. 3,192,000 895,210 0.0% * PetroAsian Energy Holdings, Ltd. 6,124,000 97,103 0.0% # PetroChina Co., Ltd. ADR 229,733 26,492,810 0.2% PetroChina Co., Ltd. Class H 23,340,000 26,869,125 0.2% # Phoenix Satellite Television Holdings, Ltd. 4,116,000 1,473,238 0.0% PICC Property & Casualty Co., Ltd. Class H 6,700,360 8,856,791 0.1% Ping An Insurance Group Co. of China, Ltd. Class H 2,717,000 20,130,758 0.2% Poly Property Group Co., Ltd. 11,116,068 4,826,412 0.1% # Ports Design, Ltd. 1,736,000 826,198 0.0% * Pou Sheng International Holdings, Ltd. 3,881,609 165,326 0.0% Powerlong Real Estate Holdings, Ltd. 5,388,715 814,227 0.0% # Prince Frog International Holdings, Ltd. 2,035,000 583,670 0.0% * Prosperity International Holdings HK, Ltd. 4,900,000 167,523 0.0% Qingling Motors Co., Ltd. Class H 1,688,000 518,195 0.0% Qunxing Paper Holdings Co., Ltd. 854,211 222,341 0.0% * Real Gold Mining, Ltd. 640,000 21,710 0.0% Real Nutriceutical Group, Ltd. 4,279,000 911,185 0.0% Regent Manner International Holdings, Ltd. 2,926,000 513,270 0.0% #* Renhe Commercial Holdings Co., Ltd. 64,491,077 3,700,903 0.0% # REXLot Holdings, Ltd. 41,293,724 4,327,012 0.0% Road King Infrastructure, Ltd. 1,150,000 1,058,187 0.0% Samson Holding, Ltd. 4,377,000 576,395 0.0% # Sany Heavy Equipment International Holdings Co., Ltd. 4,530,500 1,052,794 0.0% Sateri Holdings, Ltd. 23,000 4,270 0.0% #* Semiconductor Manufacturing International Corp. 88,127,955 7,244,078 0.1% * Semiconductor Manufacturing International Corp. ADR 170,083 705,844 0.0% Shandong Chenming Paper Holdings, Ltd. Class H 1,952,022 862,987 0.0% Shandong Molong Petroleum Machinery Co., Ltd. Class H 1,181,728 325,859 0.0% Shandong Weigao Group Medical Polymer Co., Ltd. Class H 3,088,000 3,128,726 0.0% # Shanghai Electric Group Co., Ltd. Class H 10,286,000 3,994,395 0.0% # Shanghai Fosun Pharmaceutical Group Co., Ltd. Class H 618,000 2,101,284 0.0% Shanghai Industrial Holdings, Ltd. 2,523,000 7,781,089 0.1% #* Shanghai Industrial Urban Development Group, Ltd. 8,157,025 1,559,334 0.0% # Shanghai Jin Jiang International Hotels Group Co., Ltd. Class H 6,756,000 1,679,570 0.0% Shanghai Pharmaceuticals Holding Co., Ltd. Class H 1,983,800 3,639,013 0.0% Shanghai Prime Machinery Co., Ltd. Class H 1,820,000 274,399 0.0% * Shanghai Zendai Property, Ltd. 6,120,000 96,444 0.0% Shengli Oil & Gas Pipe Holdings, Ltd. 4,210,500 214,743 0.0% # Shenguan Holdings Group, Ltd. 3,748,000 1,605,311 0.0% Shenzhen Expressway Co., Ltd. Class H 3,204,000 1,453,652 0.0% Shenzhen International Holdings, Ltd. 4,462,195 5,421,198 0.1% # Shenzhen Investment, Ltd. 14,728,455 4,832,760 0.1% Shenzhou International Group Holdings, Ltd. 1,081,000 3,715,643 0.0% Shimao Property Holdings, Ltd. 5,344,683 10,570,323 0.1% #* Shougang Concord International Enterprises Co., Ltd. 24,674,100 1,149,656 0.0% # Shougang Fushan Resources Group, Ltd. 17,696,461 5,257,424 0.1%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ----------- --------------- CHINA -- (Continued) Shui On Land, Ltd. 19,543,776 $ 5,203,596 0.1% #* Shunfeng Photovoltaic International, Ltd. 1,596,000 2,063,341 0.0% Sichuan Expressway Co., Ltd. Class H 3,988,000 1,194,736 0.0% Sihuan Pharmaceutical Holdings Group, Ltd. 6,967,000 7,646,597 0.1% * Sijia Group Co. 893,399 29,615 0.0% Silver Grant International Industries, Ltd. 4,466,000 564,538 0.0% * SIM Technology Group, Ltd. 5,367,000 246,637 0.0% Sino Biopharmaceutical, Ltd. 7,891,999 6,183,262 0.1% * Sino Dragon New Energy Holdings, Ltd. 2,728,000 120,171 0.0% #* Sino Oil And Gas Holdings, Ltd. 53,867,234 1,496,404 0.0% # Sino-Ocean Land Holdings, Ltd. 17,429,720 9,169,695 0.1% # Sinofert Holdings, Ltd. 11,546,673 1,418,390 0.0% * Sinolink Worldwide Holdings, Ltd. 3,813,492 296,096 0.0% # SinoMedia Holding, Ltd. 1,052,258 923,968 0.0% # Sinopec Kantons Holdings, Ltd. 3,422,000 3,193,041 0.0% Sinopec Shanghai Petrochemical Co., Ltd. Class H 4,443,000 1,080,065 0.0% Sinopec Shanghai Petrochemical Co., Ltd. Sponsored ADR 39,923 972,911 0.0% #* Sinopec Yizheng Chemical Fibre Co., Ltd. Class H 5,204,999 1,158,520 0.0% Sinopharm Group Co., Ltd. Class H 2,857,200 7,507,903 0.1% #* Sinopoly Battery, Ltd. 18,880,000 1,172,153 0.0% # Sinotrans Shipping, Ltd. 7,724,500 2,234,775 0.0% Sinotrans, Ltd. Class H 7,912,000 4,356,652 0.0% # Sinotruk Hong Kong, Ltd. 3,827,500 2,036,726 0.0% # SITC International Holdings Co., Ltd. 2,068,000 918,282 0.0% Skyworth Digital Holdings, Ltd. 9,865,839 4,720,196 0.0% * SMI Corp., Ltd. 14,456,000 523,515 0.0% SOHO China, Ltd. 8,469,339 6,715,464 0.1% * Solargiga Energy Holdings, Ltd. 9,232,000 459,870 0.0% * Sparkle Roll Group, Ltd. 6,520,000 445,401 0.0% Springland International Holdings, Ltd. 1,529,000 601,533 0.0% # SPT Energy Group, Inc. 1,854,000 1,013,771 0.0% * SRE Group, Ltd. 14,737,714 428,301 0.0% # Sun Art Retail Group, Ltd. 3,354,000 4,354,489 0.0% * Sun King Power Electronics Group 118,000 9,766 0.0% Sunac China Holdings, Ltd. 8,054,000 4,100,760 0.0% # Sunny Optical Technology Group Co., Ltd. 2,611,000 3,055,656 0.0% * Superb Summit International Group, Ltd. 1,350,000 179,547 0.0% TCC International Holdings, Ltd. 5,291,997 2,595,437 0.0% TCL Communication Technology Holdings, Ltd. 2,429,100 2,600,426 0.0% #* TCL Multimedia Technology Holdings, Ltd. 3,017,200 1,019,900 0.0% * Tech Pro Technology Development, Ltd. 2,962,000 1,471,715 0.0% Tencent Holdings, Ltd. 1,224,700 77,138,952 0.6% Tenfu Cayman Holdings Co., Ltd. 67,000 33,725 0.0% # Texhong Textile Group, Ltd. 1,506,500 1,112,838 0.0% Tian An China Investment 896,357 702,550 0.0% Tian Shan Development Holding, Ltd. 1,238,000 482,767 0.0% # Tiangong International Co., Ltd. 6,274,056 1,092,484 0.0% Tianjin Capital Environmental Protection Group Co., Ltd. Class H 1,310,000 693,763 0.0% #* Tianjin Development Hldgs, Ltd. 1,873,800 1,523,753 0.0% Tianjin Jinran Public Utilities Co., Ltd. Class H 1,890,000 324,372 0.0% Tianjin Port Development Holdings, Ltd. 10,343,200 1,618,622 0.0% # Tianneng Power International, Ltd. 3,795,952 1,326,141 0.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ----------- --------------- CHINA -- (Continued) # Tibet 5100 Water Resources Holdings, Ltd. 2,198,000 $ 871,749 0.0% Tingyi Cayman Islands Holding Corp. 3,020,000 8,407,255 0.1% # Tomson Group, Ltd. 1,005,277 296,644 0.0% # Tong Ren Tang Technologies Co., Ltd. Class H 905,000 2,636,818 0.0% Tongda Group Holdings, Ltd. 9,100,000 1,039,334 0.0% Tonly Electronics Holdings, Ltd. 268,720 204,452 0.0% Towngas China Co., Ltd. 3,853,000 4,389,404 0.0% # TPV Technology, Ltd. 3,716,578 613,792 0.0% Travelsky Technology, Ltd. Class H 3,595,938 2,742,717 0.0% # Trigiant Group, Ltd. 1,958,000 611,868 0.0% * Trony Solar Holdings Co., Ltd. 2,133,000 32,464 0.0% # Truly International Holdings, Ltd. 5,669,000 3,839,288 0.0% Tsingtao Brewery Co., Ltd. Class H 530,000 3,859,659 0.0% # Uni-President China Holdings, Ltd. 3,041,090 2,518,949 0.0% #* United Energy Group, Ltd. 9,287,550 1,413,687 0.0% #* VODone, Ltd. 16,894,600 1,466,007 0.0% Wanguo International Mining Group, Ltd. 26,000 12,041 0.0% # Want Want China Holdings, Ltd. 8,961,000 14,039,684 0.1% # Wasion Group Holdings, Ltd. 2,504,000 1,786,850 0.0% # Weichai Power Co., Ltd. Class H 1,529,280 5,333,073 0.1% Weiqiao Textile Co. Class H 2,338,500 1,306,077 0.0% # Welling Holding, Ltd. 4,766,000 1,495,519 0.0% West China Cement, Ltd. 13,402,000 1,439,740 0.0% * Winsway Coking Coal Holdings, Ltd. 8,131,000 363,356 0.0% World Wide Touch Technology Holdings, Ltd. 4,692,000 239,902 0.0% Wumart Stores, Inc. Class H 1,429,000 1,392,236 0.0% Xiamen International Port Co., Ltd. Class H 5,097,338 757,657 0.0% Xiao Nan Guo Restaurants Holdings, Ltd. 326,000 50,485 0.0% Xingda International Holdings, Ltd. 4,807,000 2,114,821 0.0% Xinhua Winshare Publishing and Media Co., Ltd. Class H 786,000 498,098 0.0% # Xinjiang Goldwind Science & Technology Co., Ltd. Class H 2,238,200 2,435,058 0.0% #* Xinjiang Xinxin Mining Industry Co., Ltd. Class H 3,677,000 667,512 0.0% # Xiwang Property Holdings Co., Ltd. 1,750,005 88,643 0.0% Xiwang Special Steel Co., Ltd. 826,000 100,295 0.0% # XTEP International Holdings, Ltd. 3,155,500 1,275,748 0.0% * Yanchang Petroleum International, Ltd. 18,410,000 917,987 0.0% Yantai North Andre Juice Co. Class H 134,500 33,794 0.0% # Yanzhou Coal Mining Co., Ltd. Class H 6,654,000 4,984,807 0.1% # Yanzhou Coal Mining Co., Ltd. Sponsored ADR 214,102 1,599,342 0.0% Yingde Gases Group Co., Ltd. 3,946,500 3,979,811 0.0% # Yip's Chemical Holdings, Ltd. 1,318,000 934,231 0.0% Youyuan International Holdings, Ltd. 941,600 249,048 0.0% Yuanda China Holdings, Ltd. 4,226,000 387,960 0.0% Yuexiu Property Co., Ltd. 27,578,800 5,353,399 0.1% Yuexiu Transport Infrastructure, Ltd. 2,927,415 1,498,624 0.0% # Yuzhou Properties Co., Ltd. 4,780,800 1,098,592 0.0% Zall Development Group, Ltd. 2,023,000 704,137 0.0% # Zhaojin Mining Industry Co., Ltd. 3,922,166 2,366,040 0.0% Zhejiang Expressway Co., Ltd. Class H 5,928,000 5,129,321 0.1% Zhengzhou Coal Mining Machinery Group Co., Ltd. Class H 555,000 302,522 0.0% * Zhong An Real Estate, Ltd. 4,362,444 1,036,423 0.0% # Zhongsheng Group Holdings, Ltd. 1,896,000 2,290,243 0.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- -------------- --------------- CHINA -- (Continued) Zhuzhou CSR Times Electric Co., Ltd. Class H 1,355,250 $ 3,967,833 0.0% # Zijin Mining Group Co., Ltd. Class H 16,988,000 4,128,470 0.0% # Zoomlion Heavy Industry Science and Technology Co., Ltd. 5,984,400 4,018,583 0.0% #* ZTE Corp. Class H 1,801,460 3,686,512 0.0% -------------- ---- TOTAL CHINA 2,041,452,806 14.3% -------------- ---- COLOMBIA -- (0.5%) Almacenes Exito SA 713,989 10,876,251 0.1% Banco de Bogota SA 41,554 1,499,877 0.0% Bancolombia SA 439,922 6,042,588 0.0% Bancolombia SA Sponsored ADR 280,472 15,967,271 0.1% Cementos Argos SA 1,211,132 6,754,309 0.1% * Cemex Latam Holdings SA 120,366 1,111,315 0.0% Constructora Conconcreto SA 19,345 14,335 0.0% Ecopetrol SA 770,650 1,434,591 0.0% # Ecopetrol SA Sponsored ADR 420,832 15,776,992 0.1% Empresa de Energia de Bogota SA ESP 2,701,396 2,217,946 0.0% Empresa de Telecomunicaciones de Bogota 812,388 182,272 0.0% * Fabricato SA 9,525,507 84,848 0.0% Grupo Aval Acciones y Valores 837,259 568,527 0.0% Grupo de Inversiones Suramericana SA 10,000 195,087 0.0% Grupo Nutresa SA 67,956 953,768 0.0% Grupo Odinsa SA(B06MW70) 10,339 42,443 0.0% * Grupo Odinsa SA(BKKXCQ8) 312 30 0.0% Interconexion Electrica SA ESP 1,285,432 6,026,992 0.0% Isagen SA ESP 3,838,190 6,272,864 0.1% Mineros SA 17,511 26,132 0.0% -------------- ---- TOTAL COLOMBIA 76,048,438 0.5% -------------- ---- CZECH REPUBLIC -- (0.3%) CEZ A.S. 457,141 13,757,506 0.1% Fortuna Entertainment Group NV 33,784 224,626 0.0% Komercni Banka A.S. 68,876 15,881,139 0.1% Pegas Nonwovens SA 52,502 1,579,551 0.0% Philip Morris CR A.S. 1,615 852,485 0.0% Telefonica Czech Republic A.S. 474,284 7,190,274 0.1% * Unipetrol A.S. 201,723 1,405,501 0.0% -------------- ---- TOTAL CZECH REPUBLIC 40,891,082 0.3% -------------- ---- EGYPT -- (0.1%) Commercial International Bank Egypt S.A.E. GDR 911,892 4,597,256 0.1% * Egyptian Financial Group-Hermes Holding GDR 13,261 45,530 0.0% * Global Telecom Holding GDR 1,219,992 4,545,468 0.0% -------------- ---- TOTAL EGYPT 9,188,254 0.1% -------------- ---- GREECE -- (0.5%) * Aegean Airlines SA 20,639 213,390 0.0% * Alpha Bank AE 6,333,475 6,134,912 0.1% * Astir Palace Hotel SA 41,272 223,559 0.0% Athens Water Supply & Sewage Co. SA (The) 36,274 468,329 0.0% * Attica Bank 385,386 73,034 0.0%
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PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ----------- --------------- GREECE -- (Continued) * Corinth Pipeworks SA 20,472 $ 51,184 0.0% * Ellaktor SA 2,621 13,845 0.0% * Elval - Hellenic Aluminium Industry SA 3,461 9,181 0.0% * Folli Follie Group 168,696 5,855,583 0.0% * Fourlis Holdings SA 42,075 339,596 0.0% * Frigoglass SA 76,998 446,311 0.0% * GEK Terna Holding Real Estate Construction SA 55,091 287,974 0.0% Hellenic Exchanges - Athens Stock Exchange SA Holding 200,789 2,367,228 0.0% Hellenic Petroleum SA 521,672 4,478,835 0.0% * Hellenic Telecommunications Organization SA 722,513 11,542,671 0.1% * Intracom Holdings SA 308,860 349,638 0.0% Intralot SA-Integrated Lottery Systems & Services 258,976 752,320 0.0% * JUMBO SA 429,373 6,945,205 0.1% * Marfin Investment Group Holdings SA 4,779,275 3,311,071 0.0% Metka SA 55,270 990,527 0.0% Motor Oil Hellas Corinth Refineries SA 143,425 1,810,487 0.0% * Mytilineos Holdings SA 21,980 196,421 0.0% * National Bank of Greece SA 310,649 1,214,467 0.0% # National Bank of Greece SA ADR 797,946 3,127,948 0.0% OPAP SA 464,532 7,418,595 0.1% * Piraeus Bank SA 1,939,642 4,577,510 0.0% Piraeus Port Authority 4,673 121,404 0.0% Public Power Corp. SA 529,775 8,016,346 0.1% Sarantis SA 5,137 50,664 0.0% * Sidenor Steel Products Manufacturing Co. SA 5,430 13,219 0.0% Terna Energy SA 72,918 435,679 0.0% Thessaloniki Water Supply & Sewage Co. SA 3,856 26,369 0.0% * Titan Cement Co. SA 262,148 8,264,525 0.1% ----------- --- TOTAL GREECE 80,128,027 0.6% ----------- --- HUNGARY -- (0.2%) * CIG Pannonia Life Insurance P.L.C. Class A 5,747 5,639 0.0% * Danubius Hotel and SpA P.L.C. 6,208 157,551 0.0% * FHB Mortgage Bank P.L.C. 98,501 397,720 0.0% Magyar Telekom Telecommunications P.L.C. 1,823,002 2,600,838 0.0% # Magyar Telekom Telecommunications P.L.C. Sponsored ADR 36,206 259,235 0.0% MOL Hungarian Oil and Gas P.L.C. 118,614 6,824,168 0.1% # OTP Bank P.L.C. 1,067,617 20,387,241 0.1% * PannErgy 73,661 106,115 0.0% Richter Gedeon Nyrt 430,441 7,372,348 0.1% ----------- --- TOTAL HUNGARY 38,110,855 0.3% ----------- --- INDIA -- (7.2%) * 3M India, Ltd. 3,252 202,501 0.0% Aban Offshore, Ltd. 129,677 1,117,106 0.0% ABB India, Ltd. 139,711 1,966,910 0.0% * ABG Shipyard, Ltd. 115,483 438,743 0.0% ACC, Ltd. 237,681 5,156,210 0.1% Adani Enterprises, Ltd. 848,716 5,944,254 0.1% Adani Ports and Special Economic Zone, Ltd. 1,705,265 5,376,613 0.1% * Adani Power, Ltd. 3,327,730 2,657,288 0.0% Aditya Birla Nuvo, Ltd. 218,616 4,027,003 0.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ----------- --------------- INDIA -- (Continued) * Advanta, Ltd. 60,475 $ 182,083 0.0% Agro Tech Foods, Ltd. 32,423 262,325 0.0% AIA Engineering, Ltd. 69,973 713,111 0.0% Ajanta Pharma, Ltd. 68,859 1,133,644 0.0% Akzo Nobel India, Ltd. 32,864 473,833 0.0% Alembic Pharmaceuticals, Ltd. 336,138 1,653,346 0.0% Allahabad Bank 915,336 1,521,680 0.0% Allcargo Logistics, Ltd. 4,494 10,736 0.0% Alok Industries, Ltd. 5,583,532 657,950 0.0% Alstom India, Ltd. 89,245 665,941 0.0% Amara Raja Batteries, Ltd. 269,017 1,852,625 0.0% Ambuja Cements, Ltd. 3,102,973 10,247,791 0.1% Amtek Auto, Ltd. 457,285 1,321,235 0.0% Amtek India, Ltd. 45,529 58,364 0.0% * Anant Raj, Ltd. 942,384 867,810 0.0% Andhra Bank 800,327 888,050 0.0% Apollo Hospitals Enterprise, Ltd. 277,636 4,121,986 0.0% Apollo Tyres, Ltd. 1,829,625 4,854,065 0.1% Arvind, Ltd. 1,335,767 4,061,474 0.0% * Asahi India Glass, Ltd. 99,585 89,556 0.0% Ashok Leyland, Ltd. 8,823,200 3,288,516 0.0% Asian Hotels East, Ltd. 2,605 6,703 0.0% Asian Paints, Ltd. 624,364 5,235,249 0.1% Atul, Ltd. 2,501 22,424 0.0% Aurobindo Pharma, Ltd. 686,000 6,551,317 0.1% Automotive Axles, Ltd. 5,791 34,478 0.0% Axis Bank, Ltd. 897,752 22,694,431 0.2% Bajaj Auto, Ltd. 202,248 6,416,361 0.1% Bajaj Corp., Ltd. 73,487 256,137 0.0% Bajaj Electricals, Ltd. 208,168 1,011,278 0.0% Bajaj Finance, Ltd. 28,762 888,100 0.0% Bajaj Finserv, Ltd. 199,581 2,750,801 0.0% * Bajaj Hindusthan, Ltd. 1,058,501 313,897 0.0% Bajaj Holdings and Investment, Ltd. 119,916 2,123,777 0.0% Balkrishna Industries, Ltd. 78,044 685,110 0.0% Ballarpur Industries, Ltd. 987,559 236,743 0.0% Balmer Lawrie & Co., Ltd. 34,281 193,254 0.0% Balrampur Chini Mills, Ltd. 900,409 858,939 0.0% Bank of Baroda 410,912 5,581,114 0.1% Bank of India 925,198 3,604,231 0.0% Bank Of Maharashtra 479,162 305,890 0.0% Bannari Amman Sugars, Ltd. 3,050 46,053 0.0% BASF India, Ltd. 37,733 467,624 0.0% Bata India, Ltd. 51,094 906,767 0.0% BEML, Ltd. 92,191 591,310 0.0% Berger Paints India, Ltd. 450,282 1,818,211 0.0% BGR Energy Systems, Ltd. 98,529 224,329 0.0% Bharat Electronics, Ltd. 57,139 1,146,696 0.0% Bharat Forge, Ltd. 663,273 4,515,336 0.1% Bharat Heavy Electricals, Ltd. 2,440,270 7,341,247 0.1% Bharat Petroleum Corp., Ltd. 725,403 5,476,554 0.1% Bharti Airtel, Ltd. 1,900,244 10,346,407 0.1%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ----------- --------------- INDIA -- (Continued) Bhushan Steel, Ltd. 334,343 $ 2,462,159 0.0% Biocon, Ltd. 442,068 3,458,089 0.0% Birla Corp., Ltd. 48,901 234,813 0.0% Blue Dart Express, Ltd. 11,579 627,308 0.0% Blue Star, Ltd. 97,482 341,044 0.0% Bombay Dyeing & Manufacturing Co., Ltd. 675,229 655,830 0.0% * Bombay Rayon Fashions, Ltd. 14,294 42,401 0.0% Bosch, Ltd. 19,618 3,417,539 0.0% Britannia Industries, Ltd. 149,197 2,143,359 0.0% Cadila Healthcare, Ltd. 147,940 2,396,677 0.0% Cairn India, Ltd. 2,180,042 12,119,714 0.1% Canara Bank 662,147 3,148,554 0.0% Capital First, Ltd. 73,894 211,971 0.0% Carborundum Universal, Ltd. 136,424 319,268 0.0% Central Bank Of India 1,200,049 1,062,021 0.0% Century Plyboards India, Ltd. 38,534 24,537 0.0% Century Textiles & Industries, Ltd. 310,285 1,729,864 0.0% CESC, Ltd. 403,869 3,044,345 0.0% Chambal Fertilizers & Chemicals, Ltd. 805,065 541,103 0.0% * Chennai Petroleum Corp., Ltd. 129,610 172,930 0.0% Cholamandalam Investment and Finance Co., Ltd. 56,126 267,714 0.0% Cipla, Ltd. 1,428,860 9,408,073 0.1% City Union Bank, Ltd. 1,034,709 1,009,624 0.0% Clariant Chemicals India, Ltd. 34,917 395,716 0.0% Claris Lifesciences, Ltd. 2,650 6,758 0.0% CMC, Ltd. 28,513 677,437 0.0% Colgate-Palmolive India, Ltd. 93,648 2,238,079 0.0% Container Corp. Of India 200,268 3,194,471 0.0% Coromandel International, Ltd. 314,379 1,143,332 0.0% Corp. Bank 196,531 954,624 0.0% Cox & Kings, Ltd. 180,465 452,421 0.0% CRISIL, Ltd. 355 7,581 0.0% Crompton Greaves, Ltd. 1,786,062 4,898,585 0.1% Cummins India, Ltd. 240,247 2,184,243 0.0% Dabur India, Ltd. 799,230 2,380,957 0.0% Dalmia Bharat, Ltd. 31,411 124,309 0.0% DB Corp., Ltd. 49,844 242,912 0.0% * DB Realty, Ltd. 595,126 688,276 0.0% * DCB Bank, Ltd. 1,228,069 1,236,579 0.0% DCM Shriram, Ltd. 112,921 179,253 0.0% Deepak Fertilisers & Petrochemicals Corp., Ltd. 115,148 254,290 0.0% Delta Corp., Ltd. 741,177 1,129,849 0.0% * DEN Networks, Ltd. 258,930 752,009 0.0% Dena Bank 296,752 311,506 0.0% Dewan Housing Finance Corp., Ltd. 108,094 406,673 0.0% * Dish TV India, Ltd. 1,887,037 1,472,655 0.0% Divi's Laboratories, Ltd. 158,842 3,634,460 0.0% DLF, Ltd. 2,338,913 5,429,870 0.1% Dr Reddy's Laboratories, Ltd. 137,068 6,144,274 0.1% # Dr Reddy's Laboratories, Ltd. ADR 181,519 8,181,061 0.1% Dredging Corp. Of India, Ltd. 21,104 102,844 0.0% eClerx Services, Ltd. 35,002 706,161 0.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ---------- --------------- INDIA -- (Continued) Edelweiss Financial Services, Ltd. 357,029 $ 203,182 0.0% * Educomp Solutions, Ltd. 248,783 106,027 0.0% Eicher Motors, Ltd. 29,506 3,043,903 0.0% * EID Parry India, Ltd. 215,993 545,526 0.0% EIH, Ltd. 412,222 519,162 0.0% * Elder Pharmaceuticals, Ltd. 35,847 128,027 0.0% Electrosteel Castings, Ltd. 179,918 69,137 0.0% * Electrosteel Steels, Ltd. 48,436 3,461 0.0% Elgi Equipments, Ltd. 52,370 85,975 0.0% Emami, Ltd. 146,952 1,161,692 0.0% Engineers India, Ltd. 419,948 1,590,762 0.0% Entertainment Network India, Ltd. 43,763 264,141 0.0% * Era Infra Engineering, Ltd. 368,450 102,837 0.0% * Eros International Media, Ltd. 154,905 422,851 0.0% Escorts, Ltd. 393,253 827,331 0.0% Ess Dee Aluminium, Ltd. 117,801 1,216,143 0.0% * Essar Oil, Ltd. 1,640,928 1,581,259 0.0% Essar Ports, Ltd. 201,111 198,500 0.0% * Essar Shipping, Ltd. 67,656 17,808 0.0% Essel Propack, Ltd. 79,134 89,578 0.0% Exide Industries, Ltd. 1,017,404 2,031,129 0.0% FAG Bearings India, Ltd. 15,456 541,880 0.0% FDC, Ltd. 315,616 691,645 0.0% Federal Bank, Ltd. 3,547,580 5,322,296 0.1% * Federal-Mogul Goetze India, Ltd. 18,608 56,458 0.0% Financial Technologies India, Ltd. 158,498 830,332 0.0% Finolex Cables, Ltd. 429,637 981,083 0.0% Finolex Industries, Ltd. 248,564 923,155 0.0% * Firstsource Solutions, Ltd. 380,774 202,316 0.0% * Fortis Healthcare, Ltd. 611,197 1,010,573 0.0% * Future Consumer Enterprise, Ltd. 103,296 12,008 0.0% * Future Lifestyle Fashions, Ltd. 6,032 8,186 0.0% Future Retail, Ltd. 8,100 17,770 0.0% GAIL India, Ltd. 1,288,652 7,912,497 0.1% * Gammon India, Ltd. 141,648 40,125 0.0% * Gammon Infrastructure Projects, Ltd. 175,550 24,062 0.0% Gateway Distriparks, Ltd. 229,563 679,358 0.0% Gillette India, Ltd. 12,070 380,006 0.0% * Gitanjali Gems, Ltd. 286,011 296,410 0.0% GlaxoSmithKline Consumer Healthcare, Ltd. 11,235 777,071 0.0% Glenmark Pharmaceuticals, Ltd. 228,198 2,320,434 0.0% GMR Infrastructure, Ltd. 5,748,041 2,365,975 0.0% Godfrey Phillips India, Ltd. 5,046 278,645 0.0% Godrej Consumer Products, Ltd. 218,288 2,894,029 0.0% Godrej Industries, Ltd. 355,326 1,772,801 0.0% Godrej Properties, Ltd. 167,867 616,278 0.0% * Gokul Refoils & Solvent, Ltd. 35,442 8,918 0.0% Graphite India, Ltd. 130,506 182,914 0.0% Grasim Industries, Ltd. 28,007 1,224,397 0.0% Great Eastern Shipping Co., Ltd. (The) 281,696 1,569,967 0.0% Greaves Cotton, Ltd. 348,827 485,019 0.0% Grindwell Norton, Ltd. 11,963 61,530 0.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ----------- --------------- INDIA -- (Continued) Gruh Finance, Ltd. 62,690 $ 345,939 0.0% * GTL Infrastructure, Ltd. 1,083,313 35,920 0.0% Gujarat Alkalies & Chemicals, Ltd. 146,186 427,046 0.0% Gujarat Fluorochemicals, Ltd. 76,058 402,839 0.0% Gujarat Gas Co., Ltd. 28,606 180,076 0.0% Gujarat Industries Power Co., Ltd. 54,408 62,492 0.0% Gujarat Mineral Development Corp., Ltd. 327,259 717,578 0.0% Gujarat Narmada Valley Fertilizers & Chemicals, Ltd. 222,750 299,801 0.0% * Gujarat NRE Coke, Ltd. 1,308,535 230,823 0.0% * Gujarat Pipavav Port, Ltd. 371,062 511,465 0.0% Gujarat State Fertilisers & Chemicals, Ltd. 551,634 507,949 0.0% Gujarat State Petronet, Ltd. 824,451 997,246 0.0% Gulf Oil Corp., Ltd. 62,184 125,492 0.0% * GVK Power & Infrastructure, Ltd. 6,054,079 1,232,252 0.0% * Hathway Cable & Datacom, Ltd. 229,070 926,976 0.0% Havells India, Ltd. 240,980 3,725,771 0.0% HBL Power Systems, Ltd. 125,202 32,085 0.0% * HCL Infosystems, Ltd. 487,859 366,398 0.0% HCL Technologies, Ltd. 670,425 15,635,527 0.1% HDFC Bank, Ltd. 2,994,559 36,021,014 0.3% HEG, Ltd. 32,827 124,812 0.0% * HeidelbergCement India, Ltd. 161,619 112,159 0.0% Hero MotoCorp, Ltd. 138,387 5,095,182 0.1% * Hexa Tradex, Ltd. 69,387 24,485 0.0% Hexaware Technologies, Ltd. 1,419,762 3,607,097 0.0% * Himachal Futuristic Communications, Ltd. 1,689,183 256,397 0.0% Himadri Chemicals & Industries, Ltd. 17,764 6,016 0.0% Hindalco Industries, Ltd. 6,953,424 15,704,112 0.1% Hinduja Global Solutions, Ltd. 10,967 96,200 0.0% Hinduja Ventures, Ltd. 10,967 46,755 0.0% * Hindustan Construction Co., Ltd. 2,773,413 885,606 0.0% * Hindustan Oil Exploration Co., Ltd. 131,920 102,581 0.0% Hindustan Petroleum Corp., Ltd. 409,764 2,195,006 0.0% Hindustan Unilever, Ltd. 81,312 768,434 0.0% Honeywell Automation India, Ltd. 7,379 385,447 0.0% * Hotel Leela Venture, Ltd. 365,088 111,913 0.0% * Housing Development & Infrastructure, Ltd. 2,129,437 2,423,830 0.0% HSIL, Ltd. 81,520 201,725 0.0% HT Media, Ltd. 131,393 200,843 0.0% ICICI Bank, Ltd. 376,231 7,798,294 0.1% ICICI Bank, Ltd. Sponsored ADR 621,150 26,504,471 0.2% ICRA, Ltd. 5,565 172,334 0.0% IDBI Bank, Ltd. 1,806,750 2,051,479 0.0% Idea Cellular, Ltd. 2,715,627 6,131,828 0.1% IDFC, Ltd. 1,943,833 3,616,541 0.0% IFCI, Ltd. 1,168,454 496,469 0.0% IIFL Holdings, Ltd. 801,806 1,067,974 0.0% IL&FS Transportation Networks, Ltd. 9,698 21,252 0.0% India Cements, Ltd. (The) 1,539,475 1,759,001 0.0% Indiabulls Housing Finance, Ltd. 378,779 1,889,760 0.0% * Indiabulls Infrastructure and Power, Ltd. 2,185,548 132,179 0.0% Indiabulls Real Estate, Ltd. 740,864 768,630 0.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ----------- --------------- INDIA -- (Continued) Indian Bank 591,070 $ 1,258,364 0.0% Indian Hotels Co., Ltd. 1,756,086 2,103,937 0.0% Indian Oil Corp., Ltd. 1,181,824 5,190,640 0.1% Indian Overseas Bank 1,144,894 1,183,261 0.0% Indo Rama Synthetics India 25,048 6,745 0.0% Indoco Remedies, Ltd. 107,781 237,812 0.0% Indraprastha Gas, Ltd. 288,028 1,376,233 0.0% IndusInd Bank, Ltd. 878,135 6,992,763 0.1% Info Edge India, Ltd. 84,161 824,955 0.0% Infosys, Ltd. 347,155 18,453,712 0.1% # Infosys, Ltd. Sponsored ADR 875,587 47,027,778 0.3% Infotech Enterprises, Ltd. 104,234 536,458 0.0% ING Vysya Bank, Ltd. 84,082 793,451 0.0% Ingersoll-Rand India, Ltd. 31,787 237,541 0.0% * International Paper APPM, Ltd. 13,196 51,004 0.0% Ipca Laboratories, Ltd. 147,825 2,051,411 0.0% IRB Infrastructure Developers, Ltd. 658,878 1,257,515 0.0% ITC, Ltd. 3,610,076 20,383,633 0.2% Jagran Prakashan, Ltd. 199,844 347,698 0.0% Jai Corp., Ltd. 293,945 340,658 0.0% Jain Irrigation Systems, Ltd. 2,034,662 2,770,561 0.0% Jaiprakash Associates, Ltd. 7,977,554 7,182,489 0.1% * Jaiprakash Power Ventures, Ltd. 3,013,712 738,501 0.0% Jammu & Kashmir Bank, Ltd. (The) 125,032 3,480,129 0.0% Jaypee Infratech, Ltd. 1,119,721 455,708 0.0% JB Chemicals & Pharmaceuticals, Ltd. 70,265 180,558 0.0% JBF Industries, Ltd. 72,755 101,414 0.0% * Jet Airways India, Ltd. 50,424 208,769 0.0% Jindal Drilling & Industries, Ltd. 7,661 24,631 0.0% Jindal Poly Films, Ltd. 71,897 175,856 0.0% * Jindal Poly Investments and Finance Co., Ltd. 17,974 17,821 0.0% Jindal Saw, Ltd. 872,900 820,816 0.0% * Jindal Stainless, Ltd. 175,981 112,670 0.0% Jindal Steel & Power, Ltd. 1,575,890 6,690,238 0.1% JK Cement, Ltd. 33,304 124,392 0.0% JK Lakshmi Cement, Ltd. 218,555 431,671 0.0% JM Financial, Ltd. 1,709,961 797,326 0.0% JSW Energy, Ltd. 2,675,847 2,358,621 0.0% JSW Steel, Ltd. 537,269 9,709,762 0.1% * Jubilant Foodworks, Ltd. 104,875 1,648,830 0.0% Jubilant Life Sciences, Ltd. 236,268 654,755 0.0% Jyothy Laboratories, Ltd. 229,782 725,101 0.0% Kajaria Ceramics, Ltd. 118,076 877,470 0.0% Kakinada Fertilizers, Ltd. 245,677 8,562 0.0% Kalpataru Power Transmission, Ltd. 166,706 319,718 0.0% Kansai Nerolac Paints, Ltd. 1,881 39,556 0.0% Karnataka Bank, Ltd. 831,047 1,696,252 0.0% Karur Vysya Bank, Ltd. 111,785 721,664 0.0% Kaveri Seed Co., Ltd. 103,256 1,081,754 0.0% KEC International, Ltd. 492,597 617,740 0.0% Kesoram Industries, Ltd. 100,387 104,889 0.0% Kewal Kiran Clothing, Ltd. 41 843 0.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ----------- --------------- INDIA -- (Continued) Kirloskar Brothers, Ltd. 2,275 $ 7,057 0.0% Kirloskar Industries, Ltd. 867 4,784 0.0% Kirloskar Oil Engines, Ltd. 83,823 279,076 0.0% Kotak Mahindra Bank, Ltd. 1,299,511 17,369,372 0.1% KPIT Technologies, Ltd. 825,034 2,358,772 0.0% KSB Pumps, Ltd. 13,268 73,465 0.0% * KSK Energy Ventures, Ltd. 42,495 49,383 0.0% Lakshmi Machine Works, Ltd. 15,110 745,354 0.0% Lakshmi Vilas Bank, Ltd. 199,284 278,740 0.0% * Lanco Infratech, Ltd. 3,642,715 454,665 0.0% Larsen & Toubro, Ltd. 1,289,058 27,796,560 0.2% Larsen & Toubro, Ltd. GDR 22,185 480,520 0.0% LIC Housing Finance, Ltd. 531,645 2,317,115 0.0% Lupin, Ltd. 253,549 4,174,535 0.0% * Mahanagar Telephone Nigam 553,447 162,686 0.0% * Mahanagar Telephone Nigam ADR 32,600 18,895 0.0% Maharashtra Seamless, Ltd. 86,693 308,085 0.0% Mahindra & Mahindra Financial Services, Ltd. 423,025 1,733,228 0.0% Mahindra & Mahindra, Ltd. 1,290,492 23,104,818 0.2% Mahindra Holidays & Resorts India, Ltd. 24,885 96,850 0.0% Mahindra Lifespace Developers, Ltd. 34,802 229,778 0.0% Man Infraconstruction, Ltd. 2,502 3,945 0.0% Manaksia, Ltd. 20,016 23,983 0.0% Mandhana Industries, Ltd. 48,996 186,916 0.0% * Mangalore Refinery & Petrochemicals, Ltd. 1,517,638 1,520,292 0.0% * Marico Kaya Enterprises, Ltd. 6,843 13,828 0.0% Marico, Ltd. 364,144 1,243,222 0.0% Maruti Suzuki India, Ltd. 300,297 9,612,811 0.1% MAX India, Ltd. 603,234 2,148,987 0.0% McLeod Russel India, Ltd. 238,161 1,065,327 0.0% * Mercator, Ltd. 500,673 258,913 0.0% Merck, Ltd. 7,397 81,818 0.0% MindTree, Ltd. 90,856 2,146,938 0.0% MOIL, Ltd. 18,361 78,441 0.0% Monnet Ispat & Energy, Ltd. 67,077 93,621 0.0% Monsanto India, Ltd. 18,659 538,600 0.0% Motherson Sumi Systems, Ltd. 929,335 3,933,569 0.0% Motilal Oswal Financial Services, Ltd. 16,385 28,472 0.0% Mphasis, Ltd. 240,527 1,657,337 0.0% MRF, Ltd. 8,254 2,814,891 0.0% * Nagarjuna Oil Refinery, Ltd. 223,343 13,702 0.0% Natco Pharma, Ltd. 83,097 1,118,095 0.0% National Aluminium Co., Ltd. 1,461,456 925,982 0.0% Nava Bharat Ventures, Ltd. 53,812 145,803 0.0% Navneet Education, Ltd. 249,121 248,149 0.0% NCC, Ltd. 1,133,595 951,931 0.0% NESCO, Ltd. 26,756 388,358 0.0% Nestle India, Ltd. 28,878 2,280,005 0.0% NHPC, Ltd. 10,682,783 3,358,681 0.0% NIIT Technologies, Ltd. 286,902 1,944,041 0.0% NIIT, Ltd. 276,144 151,043 0.0% Nitin Fire Protection Industries, Ltd. 432,756 416,862 0.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ---------- --------------- INDIA -- (Continued) Noida Toll Bridge Co., Ltd. 157,570 $ 73,745 0.0% NTPC, Ltd. 2,810,611 5,416,847 0.1% Oberoi Realty, Ltd. 153,097 527,706 0.0% OCL India, Ltd. 23,518 67,914 0.0% Oil & Natural Gas Corp., Ltd. 1,556,628 8,438,925 0.1% Oil India, Ltd. 370,022 2,950,826 0.0% OMAXE, Ltd. 348,065 737,623 0.0% * Opto Circuits India, Ltd. 329,921 182,919 0.0% * Oracle Financial Services Software, Ltd. 66,143 3,291,908 0.0% * Orchid Chemicals & Pharmaceuticals, Ltd. 134,629 120,653 0.0% Orient Cement, Ltd. 199,965 162,009 0.0% Orient Paper & Industries, Ltd. 33,277 12,059 0.0% Oriental Bank of Commerce 502,486 2,068,293 0.0% Orissa Minerals Development Co., Ltd. 6,450 251,660 0.0% * Oswal Chemicals & Fertilizers 175,169 75,562 0.0% Page Industries, Ltd. 8,287 796,312 0.0% * Panacea Biotec, Ltd. 18,815 49,490 0.0% * Pantaloons Fashions and Retail, Ltd. 1,620 3,269 0.0% * Parsvnath Developers, Ltd. 471,869 194,036 0.0% Peninsula Land, Ltd. 248,394 134,590 0.0% Persistent Systems, Ltd. 59,988 997,042 0.0% Petronet LNG, Ltd. 1,013,442 2,425,315 0.0% Pfizer, Ltd. 27,511 580,964 0.0% Phoenix Mills, Ltd. 60,157 250,044 0.0% PI Industries, Ltd. 68,526 283,145 0.0% Pidilite Industries, Ltd. 403,612 2,145,520 0.0% * Pipavav Defence & Offshore Engineering Co., Ltd. 1,150,244 913,978 0.0% Piramal Enterprises, Ltd. 223,156 2,012,593 0.0% * Plethico Pharmaceuticals, Ltd. 66,992 46,490 0.0% Polaris Financial Technology, Ltd. 399,880 1,198,707 0.0% Polyplex Corp., Ltd. 17,984 47,662 0.0% Power Finance Corp., Ltd. 569,675 1,749,755 0.0% Power Grid Corp. of India, Ltd. 2,835,046 4,985,224 0.1% Praj Industries, Ltd. 360,290 316,654 0.0% Prestige Estates Projects, Ltd. 221,524 627,437 0.0% * Prime Focus, Ltd. 141,504 66,407 0.0% * Prism Cement, Ltd. 374,454 287,481 0.0% Procter & Gamble Hygiene & Health Care, Ltd. 5,757 324,236 0.0% PTC India Financial Services, Ltd. 15,688 4,483 0.0% PTC India, Ltd. 1,855,165 2,049,222 0.0% * Punj Lloyd, Ltd. 1,305,665 635,454 0.0% Punjab & Sind Bank 24,739 19,744 0.0% Puravankara Projects, Ltd. 11,425 13,772 0.0% Radico Khaitan, Ltd. 525,244 943,114 0.0% Rain Industries, Ltd. 469,898 308,249 0.0% Rajesh Exports, Ltd. 191,974 365,619 0.0% Rallis India, Ltd. 388,418 1,177,459 0.0% Ramco Cements, Ltd. (The) 351,477 1,259,562 0.0% * Ranbaxy Laboratories, Ltd. 674,941 5,306,455 0.1% Raymond, Ltd. 240,618 1,238,657 0.0% Redington India, Ltd. 444,684 653,766 0.0% REI Agro, Ltd. 2,471,251 188,833 0.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ----------- --------------- INDIA -- (Continued) Reliance Capital, Ltd. 403,679 $ 2,383,000 0.0% Reliance Communications, Ltd. 3,240,262 6,614,371 0.1% Reliance Industries, Ltd. 3,980,031 61,885,899 0.5% Reliance Infrastructure, Ltd. 442,918 3,773,644 0.0% * Reliance Power, Ltd. 3,489,020 3,962,210 0.0% Rolta India, Ltd. 682,809 850,473 0.0% Ruchi Soya Industries, Ltd. 490,199 294,306 0.0% Rural Electrification Corp., Ltd. 600,461 2,364,913 0.0% S Mobility, Ltd. 105,284 48,169 0.0% Sadbhav Engineering, Ltd. 90,249 197,109 0.0% Sanofi India, Ltd. 15,997 787,644 0.0% * Schneider Electric Infrastructure, Ltd. 119,154 181,814 0.0% Sesa Sterlite, Ltd. 3,733,738 11,518,457 0.1% Sesa Sterlite, Ltd. ADR 395,377 4,827,553 0.1% * Shipping Corp. of India, Ltd. 844,676 598,470 0.0% Shoppers Stop, Ltd. 65,709 398,203 0.0% Shree Cement, Ltd. 32,227 3,050,903 0.0% Shree Renuka Sugars, Ltd. 2,779,059 1,010,048 0.0% Shriram Transport Finance Co., Ltd. 207,642 2,507,901 0.0% Siemens, Ltd. 287,077 3,303,737 0.0% Sintex Industries, Ltd. 1,214,259 923,034 0.0% SJVN, Ltd. 718,286 270,930 0.0% SKF India, Ltd. 51,469 694,197 0.0% Sobha Developers, Ltd. 335,276 2,070,789 0.0% Solar Industries India, Ltd. 10,416 185,566 0.0% South Indian Bank, Ltd. 2,491,777 951,775 0.0% SREI Infrastructure Finance, Ltd. 256,428 141,685 0.0% SRF, Ltd. 102,019 654,839 0.0% Star Ferro and Cement, Ltd. 85,287 32,940 0.0% State Bank of Bikaner & Jaipur 47,976 279,495 0.0% State Bank of India 398,582 13,772,837 0.1% State Bank of India GDR 9,000 618,471 0.0% Steel Authority of India, Ltd. 1,660,377 1,874,631 0.0% * Sterling Biotech, Ltd. 260,553 37,224 0.0% Sterlite Technologies, Ltd. 538,765 274,858 0.0% Strides Arcolab, Ltd. 156,194 1,351,926 0.0% Styrolution ABS India, Ltd. 16,430 125,399 0.0% * Sun Pharma Advanced Research Co., Ltd. 344,348 978,623 0.0% Sun Pharmaceutical Industries, Ltd. 981,795 10,366,134 0.1% Sun TV Network, Ltd. 429,306 2,665,817 0.0% Sundaram Finance, Ltd. 10,572 126,817 0.0% Sundaram-Clayton, Ltd. 1,880 22,338 0.0% Sundram Fasteners, Ltd. 122,314 151,070 0.0% Supreme Industries, Ltd. 130,704 987,973 0.0% Supreme Petrochem, Ltd. 3,242 3,334 0.0% * Surana Industries, Ltd. 1,534 1,523 0.0% * Suzlon Energy, Ltd. 5,590,192 1,216,821 0.0% Swaraj Engines, Ltd. 1,260 15,171 0.0% Syndicate Bank 1,041,919 1,787,693 0.0% Tamil Nadu Newsprint & Papers, Ltd. 36,247 78,190 0.0% Tata Chemicals, Ltd. 465,058 2,196,906 0.0% Tata Communications, Ltd. 420,243 1,970,467 0.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ----------- --------------- INDIA -- (Continued) Tata Consultancy Services, Ltd. 749,118 $27,215,611 0.2% Tata Elxsi, Ltd. 113,473 1,040,510 0.0% Tata Global Beverages, Ltd. 1,856,094 4,623,921 0.1% Tata Investment Corp., Ltd. 16,116 126,956 0.0% Tata Motors, Ltd. 1,757,551 12,220,457 0.1% # Tata Motors, Ltd. Sponsored ADR 236,834 8,862,328 0.1% Tata Power Co., Ltd. 4,596,246 5,961,181 0.1% Tata Steel, Ltd. 1,599,791 10,667,013 0.1% * Tata Teleservices Maharashtra, Ltd. 1,811,713 268,499 0.0% Tech Mahindra, Ltd. 339,144 10,271,965 0.1% Techno Electric & Engineering Co., Ltd. 7,483 21,082 0.0% Texmaco Rail & Engineering, Ltd. 100,362 110,592 0.0% Thermax, Ltd. 126,534 1,538,467 0.0% Time Technoplast, Ltd. 152,236 96,101 0.0% Timken India, Ltd. 54,549 185,867 0.0% Titan Co., Ltd. 625,363 2,636,422 0.0% Torrent Pharmaceuticals, Ltd. 223,676 2,129,059 0.0% Torrent Power, Ltd. 413,927 717,661 0.0% Trent, Ltd. 31,736 518,920 0.0% Triveni Turbine, Ltd. 225,096 258,717 0.0% TTK Prestige, Ltd. 10,928 553,445 0.0% Tube Investments of India, Ltd. 201,724 639,694 0.0% * TV18 Broadcast, Ltd. 3,638,549 1,521,711 0.0% TVS Motor Co., Ltd. 1,057,204 1,681,138 0.0% UCO Bank 1,897,998 2,416,283 0.0% Uflex, Ltd. 119,231 169,455 0.0% Ultratech Cement, Ltd. 155,423 5,245,415 0.1% Unichem Laboratories, Ltd. 160,022 578,953 0.0% Union Bank of India 650,500 1,637,741 0.0% * Unitech, Ltd. 8,975,118 2,365,835 0.0% United Bank of India 50,566 26,780 0.0% United Breweries, Ltd. 155,855 2,036,352 0.0% United Spirits, Ltd. 244,586 11,246,299 0.1% UPL, Ltd. 2,211,652 9,823,637 0.1% Usha Martin, Ltd. 571,942 352,725 0.0% * Uttam Galva Steels, Ltd. 60,136 67,729 0.0% * Uttam Value Steels, Ltd. 130,697 15,249 0.0% V-Guard Industries, Ltd. 65,062 515,236 0.0% VA Tech Wabag, Ltd. 6,779 89,427 0.0% Vakrangee, Ltd. 183,474 299,514 0.0% * Vardhman Special Steels, Ltd. 5,275 2,350 0.0% Vardhman Textiles, Ltd. 31,063 170,948 0.0% Videocon Industries, Ltd. 379,056 1,018,657 0.0% Vijaya Bank 1,171,149 801,002 0.0% VIP Industries, Ltd. 416,297 623,603 0.0% Voltamp Transformers, Ltd. 4,010 32,536 0.0% Voltas, Ltd. 1,100,777 2,927,393 0.0% VST Industries, Ltd. 12,340 398,287 0.0% WABCO India, Ltd. 7,089 261,057 0.0% Welspun Corp., Ltd. 637,539 860,758 0.0% Welspun Infra Enterprises, Ltd. 31,877 7,928 0.0% Wipro, Ltd. 1,780,556 15,539,445 0.1%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ----------- -------------- --------------- INDIA -- (Continued) Wockhardt, Ltd. 70,880 $ 904,419 0.0% Wyeth, Ltd. 17,942 253,742 0.0% Yes Bank, Ltd. 768,063 5,660,341 0.1% Zee Entertainment Enterprises, Ltd. 1,402,873 6,120,763 0.1% * Zee Learn, Ltd. 9,488 3,776 0.0% Zensar Technologies, Ltd. 73,021 436,387 0.0% Zuari Agro Chemicals, Ltd. 22,948 50,275 0.0% Zuari Global, Ltd. 22,948 29,615 0.0% Zydus Wellness, Ltd. 53,724 475,345 0.0% -------------- --- TOTAL INDIA 1,113,746,906 7.8% -------------- --- INDONESIA -- (2.9%) Ace Hardware Indonesia Tbk PT 27,324,500 1,762,377 0.0% Adaro Energy Tbk PT 66,098,100 6,800,478 0.1% Adhi Karya Persero Tbk PT 8,487,000 2,197,360 0.0% Agung Podomoro Land Tbk PT 25,728,400 587,257 0.0% AKR Corporindo Tbk PT 7,726,800 3,188,468 0.0% Alam Sutera Realty Tbk PT 75,270,900 3,468,869 0.0% Aneka Tambang Persero Tbk PT 38,774,200 3,953,441 0.0% Arwana Citramulia Tbk PT 9,410,100 802,866 0.0% Asahimas Flat Glass Tbk PT 476,500 288,946 0.0% Astra Agro Lestari Tbk PT 1,805,700 4,597,647 0.0% Astra Graphia Tbk PT 2,554,000 442,294 0.0% Astra International Tbk PT 60,036,200 38,680,848 0.3% * Bakrie and Brothers Tbk PT 249,014,750 1,076,914 0.0% * Bakrie Sumatera Plantations Tbk PT 58,480,500 252,765 0.0% * Bakrie Telecom Tbk PT 62,111,539 268,614 0.0% * Bakrieland Development Tbk PT 157,101,000 217,251 0.0% Bank Bukopin Tbk PT 30,769,300 1,704,973 0.0% Bank Central Asia Tbk PT 25,756,500 24,530,425 0.2% Bank Danamon Indonesia Tbk PT 7,971,554 2,825,936 0.0% Bank Mandiri Persero Tbk PT 27,873,018 23,815,151 0.2% Bank Negara Indonesia Persero Tbk PT 37,510,730 15,677,400 0.1% * Bank Pan Indonesia Tbk PT 30,000,000 2,259,603 0.0% Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk PT 12,070,100 1,007,102 0.0% * Bank Permata Tbk PT 203,500 23,617 0.0% Bank Rakyat Indonesia Persero Tbk PT 35,950,500 30,872,660 0.2% Bank Tabungan Negara Persero Tbk PT 36,659,335 3,667,843 0.0% * Bank Tabungan Pensiunan Nasional Tbk PT 2,253,500 795,409 0.0% * Barito Pacific Tbk PT 8,261,500 225,353 0.0% * Bayan Resources Tbk PT 950,000 657,862 0.0% * Benakat Integra Tbk PT 19,581,000 236,146 0.0% * Berau Coal Energy Tbk PT 25,135,500 267,739 0.0% * Berlian Laju Tanker Tbk PT 26,853,166 -- 0.0% Bisi International PT 10,509,912 561,058 0.0% * Borneo Lumbung Energi & Metal Tbk PT 6,860,500 67,211 0.0% * Budi Starch & Sweetener Tbk PT 2,800,500 27,912 0.0% * Bumi Resources Minerals Tbk PT 392,500 7,428 0.0% * Bumi Resources Tbk PT 43,464,000 769,577 0.0% Bumi Serpong Damai PT 42,750,500 5,791,464 0.1% BW Plantation Tbk PT 16,793,200 2,044,677 0.0% * Central Proteinaprima Tbk PT 22,741,500 98,342 0.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ----------- ----------- --------------- INDONESIA -- (Continued) * Chandra Asri Petrochemical Tbk PT 7,000 $ 1,513 0.0% Charoen Pokphand Indonesia Tbk PT 16,060,760 5,251,521 0.1% Ciputra Development Tbk PT 52,270,219 4,601,650 0.0% Ciputra Property Tbk PT 11,642,800 732,886 0.0% Ciputra Surya Tbk PT 8,098,900 1,598,340 0.0% * Citra Marga Nusaphala Persada Tbk PT 9,083,300 2,726,050 0.0% Clipan Finance Indonesia Tbk PT 2,919,000 102,249 0.0% * Darma Henwa Tbk PT 55,755,500 86,805 0.0% * Davomas Abadi Tbk PT 4,583,000 -- 0.0% * Delta Dunia Makmur Tbk PT 17,739,500 284,925 0.0% Elnusa Tbk PT 18,961,600 837,677 0.0% * Energi Mega Persada Tbk PT 215,986,000 1,761,551 0.0% * Erajaya Swasembada Tbk PT 5,909,600 615,224 0.0% * Exploitasi Energi Indonesia Tbk PT 36,327,500 714,066 0.0% * Fajar Surya Wisesa Tbk PT 823,000 120,758 0.0% Gajah Tunggal Tbk PT 13,434,400 2,231,301 0.0% * Garda Tujuh Buana Tbk PT 470,100 20,307 0.0% * Garuda Indonesia Persero Tbk PT 1,152,853 46,004 0.0% Global Mediacom Tbk PT 37,159,700 7,053,772 0.1% * Golden Eagle Energy Tbk PT 241,800 125,184 0.0% * Gozco Plantations Tbk PT 10,507,300 97,371 0.0% Gudang Garam Tbk PT 1,542,200 7,555,636 0.1% * Hanson International Tbk PT 37,445,800 2,009,906 0.0% Harum Energy Tbk PT 6,525,200 1,336,758 0.0% Hexindo Adiperkasa Tbk PT 1,223,000 401,744 0.0% Holcim Indonesia Tbk PT 10,793,500 2,657,993 0.0% * Indah Kiat Pulp & Paper Corp. Tbk PT 12,144,600 1,422,476 0.0% Indika Energy Tbk PT 18,469,600 993,430 0.0% Indo Tambangraya Megah Tbk PT 1,773,500 3,919,935 0.0% * Indo-Rama Synthetics Tbk PT 12,500 844 0.0% Indocement Tunggal Prakarsa Tbk PT 4,658,600 8,841,517 0.1% Indofood CBP Sukses Makmur Tbk PT 3,610,500 3,126,381 0.0% Indofood Sukses Makmur Tbk PT 19,632,100 12,009,583 0.1% Indosat Tbk PT 4,800,700 1,626,221 0.0% # Indosat Tbk PT ADR 26,890 453,903 0.0% * Inovisi Infracom Tbk PT 2,195,978 270,149 0.0% Intiland Development Tbk PT 31,517,400 1,240,818 0.0% Japfa Comfeed Indonesia Tbk PT 23,071,200 2,530,992 0.0% Jasa Marga Persero Tbk PT 9,009,700 4,603,168 0.0% Jaya Real Property Tbk PT 1,762,500 140,211 0.0% Kalbe Farma Tbk PT 43,904,500 5,880,182 0.1% Kawasan Industri Jababeka Tbk PT 140,032,590 3,099,002 0.0% * Krakatau Steel Persero Tbk PT 285,000 12,290 0.0% * Lippo Cikarang Tbk PT 3,331,000 2,204,949 0.0% Lippo Karawaci Tbk PT 151,654,562 14,065,557 0.1% Malindo Feedmill Tbk PT 6,712,500 1,740,436 0.0% Matahari Putra Prima Tbk PT 11,816,772 2,837,728 0.0% Mayora Indah Tbk PT 1,770,125 4,301,515 0.0% Medco Energi Internasional Tbk PT 7,971,000 1,899,885 0.0% Media Nusantara Citra Tbk PT 20,277,093 4,780,601 0.1% Mitra Adiperkasa Tbk PT 4,352,400 2,404,001 0.0% * Mitra International Resources Tbk PT 5,183,500 22,915 0.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ----------- ----------- --------------- INDONESIA -- (Continued) MNC Investama Tbk PT 100,455,900 $ 2,671,293 0.0% MNC Sky Vision Tbk PT 416,800 80,377 0.0% Modern Internasional Tbk PT 1,883,000 108,340 0.0% * Modernland Realty Tbk PT 5,639,100 214,544 0.0% Multipolar Tbk PT 19,215,000 1,117,128 0.0% * Multistrada Arah Sarana Tbk PT 3,155,000 85,610 0.0% Nippon Indosari Corpindo Tbk PT 1,461,600 138,156 0.0% * Nusantara Infrastructure Tbk PT 60,849,500 1,238,832 0.0% Pabrik Kertas Tjiwi Kimia Tbk PT 1,139,500 157,493 0.0% Pakuwon Jati Tbk PT 61,086,600 1,863,006 0.0% * Panin Financial Tbk PT 131,808,600 2,994,282 0.0% Panin Insurance Tbk PT 5,396,500 325,048 0.0% Pembangunan Perumahan Persero Tbk PT 14,670,800 2,351,963 0.0% Perusahaan Gas Negara Persero Tbk PT 23,787,000 10,986,118 0.1% Perusahaan Perkebunan London Sumatra Indonesia Tbk PT 31,056,900 6,598,991 0.1% Petrosea Tbk PT 3,285,500 391,288 0.0% * Polaris Investama Tbk PT 577,000 68,479 0.0% * Polychem Indonesia Tbk PT 8,339,500 144,670 0.0% Ramayana Lestari Sentosa Tbk PT 22,260,600 2,468,083 0.0% Resource Alam Indonesia Tbk PT 2,183,500 328,184 0.0% Salim Ivomas Pratama Tbk PT 8,384,800 727,021 0.0% * Samindo Resources Tbk PT 348,500 17,485 0.0% Sampoerna Agro PT 4,997,559 1,059,433 0.0% Samudera Indonesia Tbk PT 20,100 5,325 0.0% Selamat Sempurna Tbk PT 3,002,500 939,928 0.0% Semen Indonesia Persero Tbk PT 5,721,500 7,376,110 0.1% * Sentul City Tbk PT 206,717,100 3,087,999 0.0% * Sigmagold Inti Perkasa Tbk PT 13,708,000 536,044 0.0% Sinar Mas Multiartha Tbk PT 278,500 84,365 0.0% * Sugih Energy Tbk PT 67,777,700 2,652,872 0.0% Summarecon Agung Tbk PT 56,912,364 5,485,593 0.1% Surya Citra Media Tbk PT 7,848,700 2,140,825 0.0% Surya Semesta Internusa Tbk PT 23,319,600 1,682,647 0.0% Suryainti Permata Tbk PT 3,098,000 -- 0.0% Tambang Batubara Bukit Asam Persero Tbk PT 4,452,300 3,811,672 0.0% Telekomunikasi Indonesia Persero Tbk PT 31,720,000 6,234,580 0.1% # Telekomunikasi Indonesia Persero Tbk PT Sponsored ADR 326,957 12,980,193 0.1% Tempo Scan Pacific Tbk PT 271,200 68,171 0.0% Tiga Pilar Sejahtera Food Tbk 13,053,339 2,490,489 0.0% Timah Persero Tbk PT 38,349,667 4,988,717 0.1% * Tiphone Mobile Indonesia Tbk PT 6,890,300 516,775 0.0% Total Bangun Persada Tbk PT 7,934,000 638,195 0.0% * Tower Bersama Infrastructure Tbk PT 5,447,800 3,068,723 0.0% * Trada Maritime Tbk PT 23,513,987 3,745,197 0.0% Trias Sentosa Tbk PT 3,690,500 102,312 0.0% * Trimegah Securities Tbk PT 5,343,500 38,797 0.0% * Truba Alam Manunggal Engineering PT 15,388,500 6,655 0.0% Tunas Baru Lampung Tbk PT 7,413,500 327,718 0.0% Tunas Ridean Tbk PT 8,038,500 469,691 0.0% * Ultrajaya Milk Industry & Trading Co. Tbk PT 2,569,000 948,356 0.0% Unilever Indonesia Tbk PT 2,513,900 6,386,743 0.1% United Tractors Tbk PT 6,278,746 11,804,850 0.1%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ------------ --------------- INDONESIA -- (Continued) Vale Indonesia Tbk PT 20,379,750 $ 6,277,518 0.1% * Visi Media Asia Tbk PT 12,126,300 297,808 0.0% Wijaya Karya Persero Tbk PT 14,252,100 2,802,119 0.0% XL Axiata Tbk PT 10,590,800 4,750,421 0.1% ------------ --- TOTAL INDONESIA 446,804,395 3.1% ------------ --- ISRAEL -- (0.0%) Mivtach Shamir Holdings, Ltd. 5,972 197,002 0.0% ------------ --- MALAYSIA -- (4.3%) Aeon Co. M Bhd 501,800 2,263,525 0.0% Aeon Credit Service M Bhd 88,560 393,713 0.0% Affin Holdings Bhd 2,363,000 2,732,529 0.0% # AirAsia Bhd 8,517,800 5,795,558 0.1% Alam Maritim Resources Bhd 2,190,600 995,146 0.0% Alliance Financial Group Bhd 6,239,100 8,569,482 0.1% # AMMB Holdings Bhd 8,008,850 17,626,936 0.1% Amway Malaysia Hldgs Bhd 109,600 399,577 0.0% * Ann Joo Resources Bhd 974,750 358,631 0.0% APM Automotive Holdings Bhd 259,700 482,387 0.0% Astro Malaysia Holdings Bhd 1,942,700 1,982,671 0.0% # Axiata Group Bhd 5,393,325 11,123,900 0.1% Batu Kawan Bhd 368,750 2,211,863 0.0% # Benalec Holdings Bhd 4,394,300 1,212,513 0.0% Berjaya Assets Bhd 156,600 40,799 0.0% # Berjaya Corp. Bhd 15,418,400 2,362,790 0.0% Berjaya Land Bhd 2,769,200 704,181 0.0% Berjaya Sports Toto Bhd 3,280,997 3,908,995 0.0% # BIMB Holdings Bhd 2,227,847 2,904,230 0.0% Bonia Corp. Bhd 130,200 199,325 0.0% * Borneo Aqua Harvest Bhd 98,500 33,192 0.0% * Boustead Heavy Industries Corp. Bhd 226,400 176,075 0.0% Boustead Holdings Bhd 2,386,292 4,057,255 0.0% British American Tobacco Malaysia Bhd 291,000 5,457,289 0.1% * Bumi Armada Bhd 4,506,500 5,526,925 0.1% Bursa Malaysia Bhd 1,570,200 3,651,958 0.0% Cahya Mata Sarawak Bhd 1,414,800 4,138,597 0.0% Can-One Bhd 216,800 203,834 0.0% Carlsberg Brewery Malaysia Bhd Class B 614,800 2,366,473 0.0% Carotech Bhd 44,425 54 0.0% CB Industrial Product Holding Bhd 1,443,860 2,080,381 0.0% # CIMB Group Holdings Bhd 16,181,395 37,275,314 0.3% Coastal Contracts Bhd 1,349,177 2,071,337 0.0% CSC Steel Holdings Bhd 470,500 193,197 0.0% Cypark Resources Bhd 1,283,900 1,141,093 0.0% Daibochi Plastic & Packaging Industry Bhd 31,400 43,264 0.0% Daya Materials Bhd 14,892,600 1,530,766 0.0% # Dayang Enterprise Holdings Bhd 1,251,112 1,422,867 0.0% # Dialog Group Bhd 5,858,673 6,451,606 0.1% DiGi.Com Bhd 6,144,920 10,441,810 0.1% DKSH Holdings Malaysia Bhd 162,100 401,929 0.0% # DRB-Hicom Bhd 8,726,700 6,686,395 0.1%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ----------- --------------- MALAYSIA -- (Continued) Dutch Lady Milk Industries Bhd 61,200 $ 870,058 0.0% # Eastern & Oriental Bhd 7,708,082 5,604,952 0.1% * ECM Libra Financial Group Bhd 318,034 96,593 0.0% Engtex Group Bhd 277,500 163,481 0.0% * Evergreen Fibreboard Bhd 741,700 119,423 0.0% Eversendai Corp. Bhd 183,400 62,354 0.0% Faber Group Bhd 1,659,300 1,512,769 0.0% * Fountain View Development Bhd 31,500 -- 0.0% Fraser & Neave Holdings Bhd 207,500 1,144,607 0.0% # Gamuda Bhd 8,039,200 11,363,546 0.1% Genting Bhd 5,284,400 15,883,429 0.1% # Genting Malaysia Bhd 11,906,800 15,400,924 0.1% # Genting Plantations Bhd 996,700 3,391,195 0.0% Globetronics Technology Bhd 1,036,920 1,145,594 0.0% Glomac Bhd 3,025,800 1,020,037 0.0% * Goldis Bhd 478,372 318,438 0.0% * Green Packet Bhd 2,607,500 324,288 0.0% Guan Chong Bhd 103,300 44,662 0.0% Guinness Anchor Bhd 466,500 2,059,074 0.0% GuocoLand Malaysia Bhd 732,700 258,852 0.0% Hai-O Enterprise Bhd 649,700 497,573 0.0% HAP Seng Consolidated Bhd 6,477,940 6,290,095 0.1% Hap Seng Plantations Holdings Bhd 1,441,000 1,238,020 0.0% # Hartalega Holdings Bhd 903,300 1,754,688 0.0% Hiap Teck Venture Bhd 265,200 64,207 0.0% * Ho Wah Genting Bhd 1,858,500 111,254 0.0% Hock Seng LEE BHD 843,512 493,850 0.0% # Hong Leong Bank Bhd 1,899,160 8,148,044 0.1% Hong Leong Financial Group Bhd 689,900 3,236,539 0.0% Hong Leong Industries Bhd 256,900 522,421 0.0% Hovid Bhd 177,700 19,629 0.0% Hua Yang Bhd 730,333 418,533 0.0% * Hubline Bhd 209,100 2,576 0.0% Hwang Capital Malaysia Bhd 162,500 92,269 0.0% IGB Corp. Bhd 4,907,899 4,161,574 0.1% IGB REIT 68,644 24,393 0.0% # IJM Corp. Bhd 9,299,963 18,197,104 0.1% IJM Land Bhd 2,715,900 2,513,148 0.0% # IJM Plantations Bhd 1,130,100 1,225,751 0.0% * Inch Kenneth Kajang Rubber 113,000 28,756 0.0% Insas Bhd 3,189,702 1,184,788 0.0% Integrated Logistics Bhd 53,821 12,940 0.0% Integrax Bhd 229,000 150,692 0.0% # IOI Corp. Bhd 8,159,777 12,485,783 0.1% * IOI Properties Group Bhd 2,840,688 2,335,499 0.0% Iris Corp. Bhd 7,471,600 1,054,787 0.0% * JAKS Resources Bhd 4,007,500 675,138 0.0% Jaya Tiasa Holdings Bhd 1,513,239 1,261,683 0.0% JCY International Bhd 4,251,000 965,406 0.0% JT International Bhd 141,800 336,862 0.0% * K&N Kenanga Holdings Bhd 1,257,586 300,854 0.0% * Karambunai Corp. Bhd 4,574,700 126,720 0.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ----------- --------------- MALAYSIA -- (Continued) # Keck Seng Malaysia Bhd 316,300 $ 681,734 0.0% Kian JOO CAN Factory Bhd 1,772,080 1,851,862 0.0% Kim Loong Resources Bhd 259,020 223,825 0.0% Kimlun Corp. Bhd 701,700 346,056 0.0% * Kinsteel Bhd 2,317,700 128,299 0.0% KLCC Property Holdings Bhd 1,100,800 2,243,119 0.0% * KNM Group Bhd 10,846,068 2,763,192 0.0% Kossan Rubber Industries 1,853,200 2,327,298 0.0% # KPJ Healthcare Bhd 2,789,775 2,768,449 0.0% * Kretam Holdings Bhd 3,125,300 574,631 0.0% * KSL Holdings Bhd 1,133,566 746,564 0.0% # Kuala Lumpur Kepong Bhd 1,058,522 7,850,726 0.1% * KUB Malaysia Bhd 1,459,400 219,533 0.0% * Kulim Malaysia Bhd 3,059,500 3,310,479 0.0% * Kumpulan Europlus Bhd 1,411,400 567,138 0.0% Kumpulan Fima Bhd 909,400 649,442 0.0% Kumpulan Perangsang Selangor Bhd 2,621,700 1,221,723 0.0% Kwantas Corp. Bhd 23,900 16,466 0.0% Lafarge Malaysia Bhd 1,682,800 4,689,493 0.1% * Land & General Bhd 5,547,900 969,098 0.0% * Landmarks Bhd 1,216,092 414,491 0.0% LBS Bina Group Bhd 1,785,800 974,669 0.0% Lingkaran Trans Kota Holdings Bhd 603,500 720,238 0.0% Lion Diversified Holdings Bhd 445,000 23,179 0.0% Lion Industries Corp. Bhd 3,773,900 758,245 0.0% LPI Capital Bhd 63,100 328,656 0.0% Magnum Bhd 271,300 250,916 0.0% # Mah Sing Group Bhd 5,285,647 3,663,050 0.0% Malayan Banking Bhd 14,680,988 44,564,178 0.3% Malayan Flour Mills Bhd 914,300 442,784 0.0% # Malaysia Airports Holdings Bhd 3,001,613 7,404,687 0.1% # Malaysia Building Society Bhd 1,153,311 798,886 0.0% # Malaysia Marine and Heavy Engineering Holdings Bhd 1,886,100 2,286,299 0.0% #* Malaysian Airline System Bhd 18,989,630 1,343,004 0.0% Malaysian Bulk Carriers Bhd 3,957,923 2,306,670 0.0% Malaysian Pacific Industries Bhd 388,625 498,352 0.0% # Malaysian Resources Corp. Bhd 9,841,400 4,736,436 0.1% # Maxis Bhd 4,005,815 8,530,437 0.1% MBM Resources Bhd 967,410 955,343 0.0% Media Chinese International, Ltd. 905,600 271,054 0.0% Media Prima Bhd 4,260,120 3,249,067 0.0% Mega First Corp. Bhd 167,300 116,974 0.0% #* MISC Bhd 3,046,360 6,086,362 0.1% MK Land Holdings Bhd 1,341,100 209,815 0.0% MKH Bhd 849,856 1,140,404 0.0% # MMC Corp. Bhd 6,239,300 5,349,137 0.1% MNRB Holdings Bhd 807,100 938,193 0.0% Muda Holdings Bhd 292,100 170,101 0.0% Mudajaya Group Bhd 2,521,733 2,001,610 0.0% Muhibbah Engineering M Bhd 3,221,800 2,867,448 0.0% * Mulpha International Bhd 12,681,100 1,673,851 0.0% # My EG Services Bhd 1,343,500 1,135,447 0.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ----------- --------------- MALAYSIA -- (Continued) Naim Holdings Bhd 1,376,200 $ 1,684,760 0.0% NCB Holdings Bhd 149,900 141,096 0.0% Nestle Malaysia Bhd 95,400 2,002,809 0.0% NTPM Holdings Bhd 1,239,500 328,582 0.0% Oldtown Bhd 1,156,825 737,353 0.0% Oriental Holdings Bhd 606,340 1,448,729 0.0% OSK Holdings Bhd 1,925,245 979,109 0.0% Padini Holdings Bhd 2,367,100 1,451,560 0.0% Panasonic Manufacturing Malaysia Bhd 70,200 477,269 0.0% Pantech Group Holdings Bhd 133,700 40,437 0.0% Paramount Corp. Bhd 487,460 249,202 0.0% # Parkson Holdings Bhd 2,748,638 2,473,957 0.0% #* Perdana Petroleum Bhd 3,089,800 1,790,007 0.0% #* Perisai Petroleum Teknologi Bhd 3,915,900 1,884,996 0.0% Petronas Chemicals Group Bhd 6,089,400 12,561,396 0.1% # Petronas Dagangan Bhd 541,000 5,027,328 0.1% Petronas Gas Bhd 1,277,508 9,203,145 0.1% Pharmaniaga Bhd 307,380 442,419 0.0% Pie Industrial Bhd 61,700 155,057 0.0% PJ Development Holdings Bhd 680,400 319,119 0.0% # Pos Malaysia Bhd 1,663,200 2,295,454 0.0% PPB Group Bhd 2,437,500 12,301,577 0.1% Press Metal Bhd 696,500 741,706 0.0% Prestariang Bhd 1,232,000 763,497 0.0% Protasco Bhd 303,300 176,717 0.0% Public Bank Bhd 1,683,556 10,392,775 0.1% # Puncak Niaga Holding Bhd 860,860 771,305 0.0% QL Resources Bhd 2,013,660 1,932,372 0.0% RCE Capital Bhd 840,450 79,966 0.0% RHB Capital Bhd 4,698,672 11,938,728 0.1% Rimbunan Sawit Bhd 832,100 205,284 0.0% Salcon Bhd 4,759,100 1,079,500 0.0% * Sapurakencana Petroleum Bhd 11,581,088 15,309,631 0.1% Sarawak Oil Palms Bhd 453,460 904,704 0.0% Sarawak Plantation Bhd 18,900 15,341 0.0% Scientex Bhd 210,564 374,242 0.0% * Scomi Energy Services Bhd 2,806,100 832,085 0.0% * Scomi Group Bhd 9,803,800 1,280,447 0.0% SEG International Bhd 311,400 142,992 0.0% Selangor Dredging Bhd 366,400 120,041 0.0% Selangor Properties Bhd 63,100 102,492 0.0% Shangri-La Hotels Malaysia Bhd 373,100 756,148 0.0% * Shell Refining Co. Federation of Malaya Bhd 233,300 427,701 0.0% SHL Consolidated Bhd 202,800 139,847 0.0% Sime Darby Bhd 8,658,338 25,046,712 0.2% # SP Setia Bhd 1,530,200 1,414,313 0.0% Star Publications Malaysia Bhd 1,085,200 859,555 0.0% Subur Tiasa Holdings Bhd 118,860 82,176 0.0% Sunway Bhd 4,346,693 4,136,052 0.0% # Supermax Corp. Bhd 3,578,650 2,684,454 0.0% Suria Capital Holdings Bhd 251,450 200,552 0.0% # Syarikat Takaful Malaysia Bhd 274,400 1,057,853 0.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ------------ --------------- MALAYSIA -- (Continued) * Symphony Life Bhd 287,432 $ 90,761 0.0% Ta Ann Holdings Bhd 594,386 764,792 0.0% TA Enterprise Bhd 9,647,300 2,395,810 0.0% TA Global Bhd 1,876,440 178,195 0.0% * Talam Transform Bhd 700,000 21,528 0.0% Tambun Indah Land Bhd 576,000 351,268 0.0% TAN Chong Motor Holdings Bhd 1,216,900 2,122,578 0.0% * Tanjung Offshore Bhd 904,200 163,756 0.0% Tasek Corp. Bhd 38,700 189,176 0.0% TDM Bhd 6,676,100 1,985,097 0.0% * Tebrau Teguh Bhd 3,729,400 1,556,307 0.0% Telekom Malaysia Bhd 2,932,100 5,571,798 0.1% Tenaga Nasional Bhd 6,071,381 22,131,756 0.2% * TH Heavy Engineering Bhd 5,396,534 1,490,397 0.0% TH Plantations Bhd 1,175,640 730,586 0.0% * Time dotCom Bhd 1,420,660 1,737,510 0.0% Tiong NAM Logistics Holdings 1,117,900 459,194 0.0% # Top Glove Corp. Bhd 2,081,980 3,064,534 0.0% TRC Synergy Bhd 384,192 64,786 0.0% Tropicana Corp. Bhd 3,264,300 1,540,632 0.0% TSH Resources Bhd 1,604,900 1,646,943 0.0% Uchi Technologies Bhd 1,048,100 465,948 0.0% UEM Sunrise Bhd 8,119,545 5,733,063 0.1% # UMW Holdings Bhd 2,443,506 8,061,243 0.1% Unisem M Bhd 3,678,620 1,331,443 0.0% United Malacca Bhd 197,950 432,233 0.0% United Plantations Bhd 153,600 1,189,396 0.0% UOA Development Bhd 1,254,000 903,367 0.0% Uzma Bhd 114,600 214,812 0.0% VS Industry Bhd 167,208 83,015 0.0% Wah Seong Corp. Bhd 1,567,419 945,620 0.0% # WCT Holdings Bhd 4,952,785 3,416,589 0.0% Wing Tai Malaysia Bhd 378,400 250,566 0.0% WTK Holdings Bhd 2,969,350 1,211,952 0.0% Yinson Holdings Bhd 298,900 780,778 0.0% YNH Property Bhd 1,394,799 842,329 0.0% YTL Corp. Bhd 25,848,320 12,751,814 0.1% YTL E-Solutions Bhd 747,100 140,904 0.0% * YTL Land & Development Bhd 949,200 273,361 0.0% * YTL Power International Bhd 9,309,566 4,479,836 0.1% Zhulian Corp. Bhd 969,166 861,588 0.0% ------------ --- TOTAL MALAYSIA 667,287,134 4.7% ------------ --- MEXICO -- (5.0%) # Alfa S.A.B. de C.V. Class A 12,848,389 33,940,901 0.2% # Alpek S.A. de C.V. 772,146 1,327,954 0.0% # Alsea S.A.B. de C.V. 2,434,437 8,420,116 0.1% America Movil S.A.B. de C.V. Series L 11,276,987 11,369,434 0.1% America Movil S.A.B. de C.V. Series L ADR 2,771,184 55,645,374 0.4% # Arca Continental S.A.B. de C.V. 1,817,916 11,561,072 0.1% #* Axtel S.A.B. de C.V. 6,197,579 2,060,688 0.0% # Banregio Grupo Financiero S.A.B. de C.V. 993,663 5,756,414 0.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ----------- --------------- MEXICO -- (Continued) #* Bio Pappel S.A.B. de C.V. 197,498 $ 421,935 0.0% # Bolsa Mexicana de Valores S.A.B. de C.V. 2,564,519 5,263,216 0.0% #* Cemex S.A.B. de C.V. 5,969,081 7,582,972 0.1% #* Cemex S.A.B. de C.V. Sponsored ADR 6,545,913 82,740,339 0.6% # Cia Minera Autlan S.A.B. de C.V. Series B 460,180 481,892 0.0% # Coca-Cola Femsa S.A.B. de C.V. Series L 84,415 945,791 0.0% # Coca-Cola Femsa S.A.B. de C.V. Sponsored ADR 97,205 10,883,072 0.1% # Compartamos S.A.B. de C.V. 2,050,744 3,577,075 0.0% #* Consorcio ARA S.A.B. de C.V. Series * 6,975,608 3,071,182 0.0% # Controladora Comercial Mexicana S.A.B. de C.V. 3,767,925 14,109,468 0.1% Corp. Actinver S.A.B. de C.V. 34,049 37,738 0.0% #* Corp. GEO S.A.B. de C.V. Series B 3,284,556 49,268 0.0% # Corp. Inmobiliaria Vesta S.A.B. de C.V. 595,130 1,210,025 0.0% #* Corp. Interamericana de Entretenimiento S.A.B. de C.V. Class B 222,600 158,237 0.0% Corp. Moctezuma S.A.B. de C.V. Series * 392,200 1,199,136 0.0% Cydsa S.A.B. de C.V. 6,129 11,923 0.0% #* Desarrolladora Homex S.A.B. de C.V. 440,873 72,009 0.0% #* Desarrolladora Homex S.A.B. de C.V. ADR 34,140 33,457 0.0% * Dine S.A.B. de C.V. 7,300 3,348 0.0% # El Puerto de Liverpool S.A.B. de C.V. 620,599 6,403,444 0.0% #* Empresas ICA S.A.B. de C.V. 4,837,414 8,659,665 0.1% * Empresas ICA S.A.B. de C.V. Sponsored ADR 585,327 4,220,208 0.0% #* Financiera Independencia S.A.B. de C.V. 246,788 97,336 0.0% Fomento Economico Mexicano S.A.B. de C.V. 357,700 3,249,792 0.0% # Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR 599,632 54,428,597 0.4% #* Genomma Lab Internacional S.A.B. de C.V. Class B 4,491,039 11,407,176 0.1% * Gruma S.A.B. de C.V. Class B 1,688,397 14,931,687 0.1% * Gruma S.A.B. de C.V. Sponsored ADR 6,300 221,886 0.0% #* Grupo Aeromexico S.A.B. de C.V. 337,885 548,819 0.0% # Grupo Aeroportuario del Centro Norte S.A.B. de C.V. 1,015,034 3,719,457 0.0% Grupo Aeroportuario del Centro Norte S.A.B. de C.V. ADR 100 2,944 0.0% Grupo Aeroportuario del Pacifico S.A.B. de C.V. ADR 174,847 10,543,274 0.1% Grupo Aeroportuario del Pacifico S.A.B. de C.V. Class B 1,143,139 6,880,984 0.1% Grupo Aeroportuario del Sureste S.A.B. de C.V. ADR 63,563 7,770,577 0.1% # Grupo Aeroportuario del Sureste S.A.B. de C.V. Class B 945,623 11,572,773 0.1% Grupo Bimbo S.A.B. de C.V. Series A 5,028,732 13,868,388 0.1% # Grupo Carso S.A.B. de C.V. Series A1 2,261,844 11,524,681 0.1% Grupo Cementos de Chihuahua S.A.B. de C.V. 211,154 629,294 0.0% # Grupo Comercial Chedraui S.A. de C.V. 1,671,279 5,134,143 0.0% # Grupo Elektra S.A.B. de C.V. 41,216 1,179,985 0.0% #* Grupo Famsa S.A.B. de C.V. Class A 2,208,886 3,022,228 0.0% # Grupo Financiero Banorte S.A.B. de C.V. 8,827,008 58,625,192 0.4% # Grupo Financiero Inbursa S.A.B. de C.V. 7,546,226 19,328,813 0.1% Grupo Financiero Interacciones S.A. de C.V. 8,688 52,462 0.0% # Grupo Financiero Santander Mexico S.A.B. de C.V. Class B 1,025,339 2,449,167 0.0% Grupo Financiero Santander Mexico S.A.B. de C.V. Class B ADR 675,290 8,035,951 0.1% Grupo Gigante S.A.B. de C.V. Series * 41,000 103,184 0.0% # Grupo Herdez S.A.B. de C.V. Series * 875,666 2,617,745 0.0% Grupo Industrial Maseca S.A.B. de C.V. Class B 60,400 94,136 0.0% Grupo Industrial Saltillo S.A.B. de C.V. 72,099 154,308 0.0% Grupo KUO S.A.B. de C.V. Series B 265,425 531,144 0.0% # Grupo Mexico S.A.B. de C.V. Series B 12,753,153 38,407,386 0.3%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ------------ --------------- MEXICO -- (Continued) #* Grupo Pochteca S.A.B. de C.V. 376,611 $ 469,225 0.0% #* Grupo Simec S.A.B. de C.V. Series B 899,944 3,389,214 0.0% #* Grupo Simec S.A.B. de C.V. Sponsored ADR 6,406 74,566 0.0% * Grupo Sports World S.A.B. de C.V. 147,021 227,003 0.0% Grupo Televisa S.A.B. Series CPO 1,306,744 8,561,969 0.1% Grupo Televisa S.A.B. Sponsored ADR 1,810,392 59,398,962 0.4% #* Impulsora del Desarrollo y El Empleo en America Latina S.A.B. de C.V. 2,091,390 4,813,342 0.0% Industrias Bachoco S.A.B. de C.V. ADR 14,586 643,243 0.0% # Industrias Bachoco S.A.B. de C.V. Series B 65,645 240,848 0.0% #* Industrias CH S.A.B. de C.V. Series B 1,314,361 6,972,284 0.1% # Industrias Penoles S.A.B. de C.V. 359,024 8,358,726 0.1% * Inmuebles Carso S.A.B. de C.V. 2,196,725 2,290,293 0.0% # Kimberly-Clark de Mexico S.A.B. de C.V. Class A 5,198,708 13,566,253 0.1% #* Maxcom Telecomunicaciones S.A.B. de C.V. 1,187,809 295,074 0.0% Megacable Holdings S.A.B. de C.V. 297,608 1,176,760 0.0% # Mexichem S.A.B. de C.V. 5,770,885 21,503,938 0.2% #* Minera Frisco S.A.B. de C.V. 1,073,886 1,963,452 0.0% * OHL Mexico S.A.B. de C.V. 2,472,291 6,576,272 0.0% # Organizacion Cultiba S.A.B. de C.V. 119,393 197,304 0.0% #* Organizacion Soriana S.A.B. de C.V. Class B 3,378,996 9,791,346 0.1% * Promotora y Operadora de Infraestructura S.A.B. de C.V. 1,246,062 17,401,198 0.1% # Qualitas Controladora S.A.B. de C.V. 214,099 622,688 0.0% # TV Azteca S.A.B. de C.V. 4,247,863 2,321,547 0.0% #* Urbi Desarrollos Urbanos S.A.B. de C.V. 1,795,501 718 0.0% Value Grupo Financiero S.A.B. de CV 8,579 50,827 0.0% * Vitro S.A.B. de C.V. Series A 193,764 513,485 0.0% # Wal-Mart de Mexico S.A.B. de C.V. Series V 10,577,218 26,760,881 0.2% ------------ --- TOTAL MEXICO 770,532,280 5.4% ------------ --- PERU -- (0.1%) Cementos Pacasmayo SAA ADR 7,958 72,020 0.0% Cia de Minas Buenaventura SAA ADR 157,651 2,049,463 0.0% Credicorp, Ltd. 124,944 18,647,892 0.1% Grana y Montero SA Sponsored ADR 13,019 226,791 0.0% * Rio Alto Mining, Ltd. 5,318 10,583 0.0% ------------ --- TOTAL PERU 21,006,749 0.1% ------------ --- PHILIPPINES -- (1.3%) A Soriano Corp. 818,000 129,084 0.0% Aboitiz Equity Ventures, Inc. 4,413,650 5,614,692 0.1% Aboitiz Power Corp. 5,208,500 4,264,188 0.0% Alliance Global Group, Inc. 24,695,294 17,295,631 0.1% Alsons Consolidated Resources, Inc. 770,000 30,276 0.0% Atlas Consolidated Mining & Development 2,931,100 976,700 0.0% Ayala Corp. 601,005 8,430,918 0.1% Ayala Land, Inc. 10,616,720 7,194,647 0.1% Bank of the Philippine Islands 2,992,203 6,099,474 0.1% BDO Unibank, Inc. 4,810,419 9,546,870 0.1% * Belle Corp. 19,375,100 2,602,135 0.0% Cebu Air, Inc. 1,166,910 1,374,328 0.0% Cebu Holdings, Inc. 2,065,000 236,760 0.0% Century Properties Group, Inc. 523,000 17,424 0.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ----------- ----------- --------------- PHILIPPINES -- (Continued) China Banking Corp. 653,900 $ 808,873 0.0% COL Financial Group, Inc. 133,700 51,988 0.0% DMCI Holdings, Inc. 4,096,550 6,610,857 0.1% * East West Banking Corp. 19,300 13,224 0.0% EEI Corp. 2,414,300 644,882 0.0% * Empire East Land Holdings, Inc. 22,778,000 511,637 0.0% Energy Development Corp. 40,300,600 5,058,706 0.0% Filinvest Development Corp. 89,300 9,943 0.0% Filinvest Land, Inc. 96,449,687 3,451,081 0.0% First Gen Corp. 7,365,300 3,139,901 0.0% First Philippine Holdings Corp. 1,783,200 2,840,213 0.0% * Global-Estate Resorts, Inc. 10,626,000 470,770 0.0% Globe Telecom, Inc. 131,465 4,887,931 0.0% International Container Terminal Services, Inc. 3,368,262 8,184,280 0.1% JG Summit Holdings, Inc. 1,520,860 1,726,491 0.0% Jollibee Foods Corp. 1,482,607 5,726,317 0.1% Lafarge Republic, Inc. 2,306,888 520,910 0.0% Leisure & Resorts World Corp. 557,020 98,328 0.0% * Lepanto Consolidated Mining Co. 25,593,207 236,308 0.0% Lopez Holdings Corp. 11,976,000 1,225,307 0.0% LT Group, Inc. 3,329,400 1,371,851 0.0% Manila Electric Co. 491,930 3,099,381 0.0% Manila Water Co., Inc. 4,534,500 2,714,280 0.0% * Megawide Construction Corp. 783,770 231,955 0.0% Megaworld Corp. 105,685,600 11,065,325 0.1% * Metro Pacific Corp. Series A 225,000 -- 0.0% Metro Pacific Investments Corp. 51,293,100 5,852,181 0.1% Metropolitan Bank & Trust Co. 3,361,568 6,402,112 0.1% Pepsi-Cola Products Philippines, Inc. 8,001,791 898,635 0.0% Petron Corp. 22,700 6,265 0.0% Philex Mining Corp. 770,250 155,030 0.0% * Philex Petroleum Corp. 75,900 15,633 0.0% Philippine Long Distance Telephone Co. 35,525 2,296,400 0.0% # Philippine Long Distance Telephone Co. Sponsored ADR 66,550 4,292,475 0.0% * Philippine National Bank 1,633,843 3,199,412 0.0% Philippine Stock Exchange, Inc. (The) 84,552 562,930 0.0% Philodrill Corp. (The) 41,330,000 35,245 0.0% Philtown Properties, Inc. 16,675 108 0.0% Philweb Corp. 2,051,840 235,225 0.0% Phoenix Petroleum Philippines, Inc. 986,570 132,929 0.0% RFM Corp. 5,721,300 835,003 0.0% Rizal Commercial Banking Corp. 1,673,995 1,804,092 0.0% Robinsons Land Corp. 10,294,450 5,165,997 0.0% San Miguel Corp. 1,888,050 3,539,157 0.0% San Miguel Pure Foods Co., Inc. 3,980 20,992 0.0% Security Bank Corp. 1,592,348 4,290,748 0.0% Semirara Mining Corp. 381,600 3,521,929 0.0% Shang Properties, Inc. 174,286 12,235 0.0% SM Investments Corp. 756,427 12,330,740 0.1% SM Prime Holdings, Inc. 21,695,490 7,964,479 0.1% * Top Frontier Investment Holdings, Inc. 153,057 321,268 0.0% Trans-Asia Oil & Energy Development Corp. 11,269,000 591,067 0.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ------------ --------------- PHILIPPINES -- (Continued) Union Bank Of Philippines, Inc. 841,410 $ 2,402,986 0.0% Universal Robina Corp. 2,988,800 9,814,508 0.1% Vista Land & Lifescapes, Inc. 27,881,400 3,776,356 0.0% ------------ --- TOTAL PHILIPPINES 208,990,003 1.5% ------------ --- POLAND -- (2.1%) * AB SA 2,455 23,816 0.0% ABC Data SA 43,942 57,294 0.0% Action SA 8,948 140,933 0.0% * Agora SA 189,633 651,752 0.0% * Alchemia SA 225,224 374,339 0.0% * Alior Bank SA 61,587 1,625,711 0.0% Amica Wronki SA 4,764 148,263 0.0% * AmRest Holdings SE 36,778 994,104 0.0% Apator SA 27,085 327,547 0.0% Asseco Poland SA 463,135 6,896,226 0.1% ATM SA 24,831 103,979 0.0% Bank Handlowy w Warszawie SA 189,829 7,063,805 0.1% #* Bank Millennium SA 2,849,668 8,371,689 0.1% Bank Pekao SA 456,302 29,285,650 0.2% # Bank Zachodni WBK SA 59,040 7,259,076 0.1% * Bioton SA 148,030 335,001 0.0% * Boryszew SA 1,339,816 1,951,354 0.0% Budimex SA 38,097 1,771,568 0.0% CCC SA 56,953 2,393,287 0.0% * CD Projekt SA 542,963 2,690,815 0.0% * Ciech SA 274,143 2,937,099 0.0% * Colian SA 52,481 54,898 0.0% ComArch SA 7,881 227,688 0.0% * Cyfrowy Polsat SA 401,902 2,731,275 0.0% Dom Development SA 9,946 152,598 0.0% * Eko Export SA 24,043 310,182 0.0% Elektrobudowa SA 2,716 80,797 0.0% Emperia Holding SA 49,020 1,085,839 0.0% Enea SA 419,390 2,123,407 0.0% Eurocash SA 232,276 3,071,560 0.0% Fabryki Mebli Forte SA 50,179 729,713 0.0% * Famur SA 111,442 161,710 0.0% * Farmacol SA 36,912 616,287 0.0% Firma Oponiarska Debica SA 10,995 328,811 0.0% Getin Holding SA 1,692,597 1,784,342 0.0% * Getin Noble Bank SA 3,844,433 4,679,176 0.0% * Global City Holdings NV 33,245 385,271 0.0% Grupa Azoty SA 127,978 2,538,133 0.0% Grupa Kety SA 25,769 1,856,131 0.0% * Grupa Lotos SA 514,539 6,635,323 0.1% * Hawe SA 825,213 803,164 0.0% * Impexmetal SA 797,201 680,468 0.0% * ING Bank Slaski SA 128,243 5,757,352 0.0% * Integer.pl SA 3,464 304,517 0.0% * Inter Cars SA 4,921 307,079 0.0% # Jastrzebska Spolka Weglowa SA 125,430 1,726,855 0.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ------------ --------------- POLAND -- (Continued) * Kernel Holding SA 261,867 $ 2,433,734 0.0% * KGHM Polska Miedz SA 602,590 21,818,529 0.2% Kopex SA 146,978 629,638 0.0% * KRUK SA 7,913 217,996 0.0% * LC Corp. SA 590,468 378,885 0.0% Lentex SA 51,368 142,385 0.0% LPP SA 1,899 4,920,211 0.0% Lubelski Wegiel Bogdanka SA 169,956 6,957,101 0.1% # mBank 74,252 12,150,400 0.1% * MCI Management SA 140,923 415,231 0.0% * Mercor SA 2,734 14,752 0.0% * Midas SA 542,767 113,081 0.0% * Mostostal Zabrze Holding SA 324,876 197,466 0.0% * Netia SA 1,478,459 2,643,821 0.0% Neuca SA 10,624 830,732 0.0% Orange Polska SA 3,223,659 11,014,626 0.1% Orbis SA 65,350 846,240 0.0% Pelion SA 30,487 775,875 0.0% * Pfleiderer Grajewo SA 60,652 511,254 0.0% PGE SA 3,775,401 26,234,507 0.2% * Polimex-Mostostal SA 2,510,058 74,840 0.0% * Polnord SA 140,035 419,379 0.0% * Polski Koncern Miesny Duda SA 607,153 128,454 0.0% Polski Koncern Naftowy Orlen SA 1,760,986 26,368,809 0.2% Polskie Gornictwo Naftowe i Gazownictwo SA 3,792,578 5,894,806 0.1% Powszechna Kasa Oszczednosci Bank Polski SA 3,042,817 41,757,735 0.3% Powszechny Zaklad Ubezpieczen SA 117,918 16,726,784 0.1% * PZ Cormay SA 66,507 150,509 0.0% * Rafako SA 394,478 707,056 0.0% * Rawlplug SA 14,359 55,028 0.0% * Rovese SA 1,118,697 518,191 0.0% * Stalexport Autostrady SA 312,145 299,086 0.0% Stalprodukt SA 4,961 393,560 0.0% * Sygnity SA 57,819 328,573 0.0% # Synthos SA 1,891,039 2,980,506 0.0% Tauron Polska Energia SA 3,986,648 7,062,452 0.1% #* Trakcja SA 1,423,770 613,142 0.0% TVN SA 713,420 3,887,287 0.0% * Vistula Group SA 214,914 118,717 0.0% # Warsaw Stock Exchange 126,598 1,581,640 0.0% Wawel SA 252 108,166 0.0% Zaklady Chemiczne Police SA 17,834 121,303 0.0% * Zespol Elektrowni Patnow Adamow Konin SA 7,415 56,659 0.0% ------------ --- TOTAL POLAND 318,135,030 2.2% ------------ --- RUSSIA -- (2.4%) * Etalon Group, Ltd. GDR 543,986 1,906,620 0.0% Eurasia Drilling Co., Ltd. GDR 407,698 10,045,514 0.1% Gazprom OAO Sponsored ADR 12,507,217 90,388,857 0.6% Globaltrans Investment P.L.C. GDR 275,063 2,621,527 0.0% * Integra Group Holdings GDR 5,127 98,417 0.0% Lukoil OAO Sponsored ADR 1,314,573 69,592,735 0.5%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ------------ --------------- RUSSIA -- (Continued) * Magnitogorsk Iron & Steel Works GDR 676,687 $ 1,428,195 0.0% * Mail.ru Group, Ltd. GDR 113,602 3,094,134 0.0% #* Mechel Sponsored ADR 993,984 2,007,848 0.0% MegaFon OAO GDR 36,843 960,805 0.0% MMC Norilsk Nickel OJSC ADR 853,310 15,427,134 0.1% Novolipetsk Steel OJSC GDR 378,948 4,418,104 0.0% Novorossiysk Commercial Sea Port PJSC GDR 140,000 698,600 0.0% O'Key Group SA GDR 71,285 629,315 0.0% Phosagro OAO GDR 125,554 1,463,265 0.0% * PIK Group GDR 693,099 1,596,822 0.0% Rosneft OAO GDR 3,498,683 21,996,552 0.2% Rostelecom OJSC Sponsored ADR 139,327 1,814,806 0.0% # RusHydro JSC ADR 4,658,684 7,248,894 0.1% Sberbank of Russia Sponsored ADR 4,255,587 35,849,359 0.3% Severstal OAO GDR 1,005,185 7,105,487 0.1% Tatneft OAO Sponsored ADR 895,322 30,795,961 0.2% TMK OAO GDR 120,705 960,924 0.0% Uralkali OJSC GDR 868,275 19,258,696 0.1% VimpelCom, Ltd. Sponsored ADR 1,847,451 15,518,588 0.1% VTB Bank OJSC GDR(46630Q202) 9,793 20,742 0.0% VTB Bank OJSC GDR(B1W7FX909) 9,024,305 19,197,097 0.1% * X5 Retail Group NV GDR 371,548 6,549,064 0.1% ------------ --- TOTAL RUSSIA 372,694,062 2.6% ------------ --- SOUTH AFRICA -- (7.4%) # Adcock Ingram Holdings, Ltd. 649,823 3,765,289 0.0% Adcorp Holdings, Ltd. 199,235 605,928 0.0% Advtech, Ltd. 1,074,779 881,138 0.0% Aeci, Ltd. 809,288 9,039,114 0.1% # African Bank Investments, Ltd. 4,779,215 5,667,251 0.0% African Oxygen, Ltd. 468,124 920,080 0.0% African Rainbow Minerals, Ltd. 789,120 14,858,437 0.1% Allied Electronics Corp., Ltd. 118,970 275,157 0.0% * Anglo American Platinum, Ltd. 258,524 12,309,630 0.1% * AngloGold Ashanti, Ltd. 6,997 126,486 0.0% * AngloGold Ashanti, Ltd. Sponsored ADR 1,134,722 20,538,468 0.2% * ArcelorMittal South Africa, Ltd. 799,550 2,813,985 0.0% Argent Industrial, Ltd. 146,462 68,238 0.0% Aspen Pharmacare Holdings, Ltd. 784,256 20,903,043 0.2% # Assore, Ltd. 107,237 4,150,639 0.0% # Astral Foods, Ltd. 220,301 2,000,504 0.0% * Aveng, Ltd. 2,635,769 5,663,234 0.0% AVI, Ltd. 2,021,401 11,153,477 0.1% Barclays Africa Group, Ltd. 1,325,863 19,422,655 0.1% Barloworld, Ltd. 1,553,047 16,942,481 0.1% Basil Read Holdings, Ltd. 143,266 125,846 0.0% Bell Equipment, Ltd. 121,325 201,216 0.0% # Bidvest Group, Ltd. 1,371,437 37,656,689 0.3% Blue Label Telecoms, Ltd. 1,408,438 1,220,501 0.0% * Brait SE 718,715 3,872,893 0.0% Business Connexion Group, Ltd. 425,980 228,836 0.0% # Capitec Bank Holdings, Ltd. 239,705 5,187,801 0.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ----------- --------------- SOUTH AFRICA -- (Continued) # Cashbuild, Ltd. 129,464 $ 1,548,260 0.0% Caxton and CTP Publishers and Printers, Ltd. 433,083 657,484 0.0% City Lodge Hotels, Ltd. 173,703 2,036,172 0.0% Clicks Group, Ltd. 1,303,548 7,948,213 0.1% Clover Industries, Ltd. 47,402 87,448 0.0% * Consolidated Infrastructure Group, Ltd. 34,621 94,340 0.0% Coronation Fund Managers, Ltd. 897,809 8,669,708 0.1% Datacentrix Holdings, Ltd. 127,775 51,062 0.0% DataTec, Ltd. 1,078,376 5,419,414 0.0% Discovery, Ltd. 1,165,065 10,114,630 0.1% Distell Group, Ltd. 111,747 1,328,283 0.0% Distribution and Warehousing Network, Ltd. 162,578 157,619 0.0% DRDGOLD, Ltd. 2,032,518 647,216 0.0% # DRDGOLD, Ltd. Sponsored ADR 4,569 14,712 0.0% EOH Holdings, Ltd. 629,340 5,030,723 0.0% Eqstra Holdings, Ltd. 579,633 402,411 0.0% * Evraz Highveld Steel and Vanadium, Ltd. 35,483 30,827 0.0% # Exxaro Resources, Ltd. 585,725 7,994,587 0.1% # Famous Brands, Ltd. 265,298 2,661,193 0.0% FirstRand, Ltd. 10,566,034 38,876,557 0.3% # Foschini Group, Ltd. (The) 1,190,595 12,304,787 0.1% Gold Fields, Ltd. 328,261 1,393,242 0.0% Gold Fields, Ltd. Sponsored ADR 3,451,833 14,601,254 0.1% Grand Parade Investments, Ltd. 171,928 88,275 0.0% Grindrod, Ltd. 2,848,468 6,745,302 0.1% Group Five, Ltd. 627,728 2,582,034 0.0% * Harmony Gold Mining Co., Ltd. 359,784 1,182,421 0.0% * Harmony Gold Mining Co., Ltd. Sponsored ADR 1,785,275 5,873,555 0.0% Holdsport, Ltd. 48,566 180,794 0.0% Hudaco Industries, Ltd. 182,242 1,816,729 0.0% * Hulamin, Ltd. 413,688 287,185 0.0% Iliad Africa, Ltd. 329,671 200,839 0.0% Illovo Sugar, Ltd. 1,217,611 3,357,621 0.0% Impala Platinum Holdings, Ltd. 2,244,994 25,308,452 0.2% Imperial Holdings, Ltd. 1,115,505 20,804,847 0.2% Investec, Ltd. 1,475,056 12,982,592 0.1% Invicta Holdings, Ltd. 21,069 240,232 0.0% # JD Group, Ltd. 864,254 2,258,233 0.0% JSE, Ltd. 554,740 5,089,438 0.0% KAP Industrial Holdings, Ltd. 308,543 120,252 0.0% # Kumba Iron Ore, Ltd. 172,140 6,130,725 0.1% # Lewis Group, Ltd. 786,076 4,666,290 0.0% Liberty Holdings, Ltd. 619,492 7,430,870 0.1% Life Healthcare Group Holdings, Ltd. 3,464,617 13,777,206 0.1% Massmart Holdings, Ltd. 321,225 4,257,660 0.0% Mediclinic International, Ltd. 1,610,820 11,267,419 0.1% * Merafe Resources, Ltd. 4,368,802 461,042 0.0% Metair Investments, Ltd. 850,638 3,438,284 0.0% Metrofile Holdings, Ltd. 877 426 0.0% MMI Holdings, Ltd. 7,092,232 17,831,072 0.1% Mondi, Ltd. 618,326 10,296,121 0.1% Mpact, Ltd. 554,480 1,466,239 0.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ----------- --------------- SOUTH AFRICA -- (Continued) Mr Price Group, Ltd. 884,605 $13,329,281 0.1% MTN Group, Ltd. 4,151,165 83,279,867 0.6% * Murray & Roberts Holdings, Ltd. 2,496,379 5,845,598 0.0% Nampak, Ltd. 3,364,169 12,550,572 0.1% Naspers, Ltd. Class N 654,201 61,821,507 0.4% # Nedbank Group, Ltd. 1,247,813 26,749,242 0.2% Netcare, Ltd. 4,805,613 11,657,631 0.1% * Northam Platinum, Ltd. 1,626,976 6,350,859 0.1% Nu-World Holdings, Ltd. 23,372 43,321 0.0% Oceana Group, Ltd. 131,642 1,127,817 0.0% Octodec Investments, Ltd. 5,586 10,761 0.0% Omnia Holdings, Ltd. 442,039 9,503,496 0.1% Peregrine Holdings, Ltd. 541,562 994,064 0.0% Petmin, Ltd. 187,477 48,422 0.0% # Pick n Pay Stores, Ltd. 902,921 5,159,217 0.0% # Pinnacle Holdings, Ltd. 875,378 1,087,854 0.0% Pioneer Foods, Ltd. 416,559 3,721,489 0.0% PPC, Ltd. 2,457,535 7,150,248 0.1% # PSG Group, Ltd. 588,584 5,829,666 0.0% Raubex Group, Ltd. 298,938 617,936 0.0% * RCL Foods, Ltd. 144,968 212,212 0.0% Resilient Property Income Fund, Ltd. 757,638 4,150,221 0.0% Reunert, Ltd. 863,272 5,673,019 0.0% * Royal Bafokeng Platinum, Ltd. 72,485 468,555 0.0% Sanlam, Ltd. 8,139,212 43,602,905 0.3% Santam, Ltd. 125,139 2,526,607 0.0% * Sappi, Ltd. 3,533,725 11,201,658 0.1% * Sappi, Ltd. Sponsored ADR 399,244 1,253,626 0.0% Sasol, Ltd. 919,023 51,506,006 0.4% Sasol, Ltd. Sponsored ADR 947,919 52,524,192 0.4% Shoprite Holdings, Ltd. 1,205,214 20,161,765 0.1% Sibanye Gold, Ltd. 1,144,361 2,955,921 0.0% # Sibanye Gold, Ltd. Sponsored ADR 833,392 8,608,939 0.1% Spar Group, Ltd. (The) 763,791 8,974,022 0.1% Spur Corp., Ltd. 424,853 1,211,779 0.0% Standard Bank Group, Ltd. 4,181,964 54,946,605 0.4% * Stefanutti Stocks Holdings, Ltd. 186,764 154,316 0.0% Steinhoff International Holdings, Ltd. 8,312,234 43,193,202 0.3% Sun International, Ltd. 553,227 5,468,303 0.0% * Super Group, Ltd. 2,381,661 6,417,198 0.1% * Telkom SA SOC, Ltd. 1,520,940 5,442,101 0.0% * Telkom SA SOC, Ltd. Sponsored ADR 24,334 346,881 0.0% Tiger Brands, Ltd. 477,646 12,778,001 0.1% Times Media Group, Ltd. 74,593 149,696 0.0% Tongaat Hulett, Ltd. 551,239 6,553,728 0.1% Trencor, Ltd. 534,087 3,785,233 0.0% Truworths International, Ltd. 1,547,054 12,429,472 0.1% Tsogo Sun Holdings, Ltd. 767,963 2,007,603 0.0% Value Group, Ltd. 95,008 48,335 0.0% # Vodacom Group, Ltd. 682,239 8,141,944 0.1% * Wesizwe Platinum, Ltd. 19,767 1,970 0.0% Wilson Bayly Holmes-Ovcon, Ltd. 382,913 4,951,713 0.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- -------------- --------------- SOUTH AFRICA -- (Continued) Woolworths Holdings, Ltd. 1,678,777 $ 11,425,278 0.1% Zeder Investments, Ltd. 634,864 264,350 0.0% -------------- --- TOTAL SOUTH AFRICA 1,143,227,517 8.0% -------------- --- SOUTH KOREA -- (13.8%) #* 3S Korea Co., Ltd. 112,580 609,817 0.0% Able C&C Co., Ltd. 30,691 881,265 0.0% #* Actoz Soft Co., Ltd. 17,373 570,127 0.0% #* Advanced Nano Products Co., Ltd. 12,475 263,445 0.0% #* Advanced Process Systems Corp. 76,585 646,634 0.0% Aekyung Petrochemical Co., Ltd. 5,521 365,635 0.0% # AfreecaTV Co., Ltd. 39,980 945,354 0.0% # Agabang&Company 150,357 788,363 0.0% # Ahnlab, Inc. 24,000 1,234,041 0.0% #* AJ Rent A Car Co., Ltd. 40,000 642,499 0.0% # AK Holdings, Inc. 11,739 606,446 0.0% #* Aminologics Co., Ltd. 190,514 275,190 0.0% Amorepacific Corp. 7,202 9,313,089 0.1% # AMOREPACIFIC Group 10,804 5,589,544 0.1% #* Amotech Co., Ltd. 34,211 455,783 0.0% # Anapass, Inc. 40,786 454,920 0.0% # Asia Cement Co., Ltd. 8,165 871,663 0.0% # ASIA Holdings Co., Ltd, 4,741 666,237 0.0% Asia Paper Manufacturing Co., Ltd. 26,380 489,300 0.0% * Asiana Airlines, Inc. 488,540 2,330,862 0.0% AtlasBX Co., Ltd. 35,829 1,456,410 0.0% * AUK Corp. 178,670 393,252 0.0% # Autech Corp. 47,374 337,973 0.0% #* Avaco Co., Ltd. 40,816 197,391 0.0% # Baiksan Co., Ltd. 58,010 289,251 0.0% # Basic House Co., Ltd. (The) 33,820 769,202 0.0% #* BH Co., Ltd. 44,121 427,914 0.0% # BHI Co., Ltd. 23,864 406,287 0.0% #* BI EMT Co., Ltd. 26,767 65,232 0.0% Binggrae Co., Ltd. 18,616 1,695,610 0.0% # Bioland, Ltd. 36,801 530,179 0.0% # Biospace Co., Ltd. 33,151 348,091 0.0% # Bluecom Co., Ltd. 42,806 662,738 0.0% Bookook Securities Co., Ltd. 5,240 62,480 0.0% #* Boryung Medience Co., Ltd. 18,941 114,324 0.0% Boryung Pharmaceutical Co., Ltd. 20,761 774,150 0.0% #* Bosung Power Technology Co., Ltd. 115,748 209,054 0.0% # BS Financial Group, Inc. 815,220 12,481,833 0.1% Bukwang Pharmaceutical Co., Ltd. 58,230 821,436 0.0% BYC Co., Ltd. 190 43,048 0.0% # Byucksan Corp. 159,230 481,865 0.0% # CammSys Corp. 189,095 533,023 0.0% #* Capro Corp. 143,180 645,305 0.0% #* Celltrion Pharm, Inc. 64,970 756,060 0.0% #* Celltrion, Inc. 141,552 6,600,715 0.1% #* Chabio & Diostech Co., Ltd. 107,511 1,685,549 0.0% #* Charm Engineering Co., Ltd. 77,090 152,298 0.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------- ----------- --------------- SOUTH KOREA -- (Continued) Cheil Industries, Inc. 190,931 $12,192,572 0.1% * Cheil Worldwide, Inc. 203,210 4,946,236 0.1% # Chemtronics Co., Ltd. 33,031 508,254 0.0% #* Chin Hung International, Inc. 165,478 241,291 0.0% #* China Great Star International, Ltd. 309,997 943,035 0.0% #* China Ocean Resources Co., Ltd. 398,790 919,808 0.0% * Choa Pharmaceutical Co. 69,616 268,189 0.0% # Chokwang Paint, Ltd. 24,620 231,528 0.0% Chong Kun Dang Pharmaceutical Corp. 28,395 2,021,056 0.0% Chongkundang Holdings Corp. 14,747 712,069 0.0% # Choong Ang Vaccine Laboratory 5,456 61,173 0.0% Chosun Refractories Co., Ltd. 2,127 195,700 0.0% # CJ CGV Co., Ltd. 36,415 1,697,758 0.0% # CJ CheilJedang Corp. 30,386 9,123,148 0.1% CJ Corp. 68,500 8,296,219 0.1% * CJ E&M Corp. 95,548 4,665,442 0.1% * CJ Freshway Corp. 1,140 31,177 0.0% #* CJ Korea Express Co., Ltd. 34,696 3,666,871 0.0% CJ O Shopping Co., Ltd. 7,821 2,764,827 0.0% #* CJ Seafood Corp. 46,990 115,362 0.0% # CKD Bio Corp. 24,780 356,513 0.0% #* CNK International Co., Ltd. 137,923 315,312 0.0% #* Com2uSCorp 24,633 903,279 0.0% Cosmax BTI, Inc. 10,197 417,389 0.0% * Cosmax, Inc. 19,982 1,343,972 0.0% #* CosmoAM&T Co., Ltd. 40,310 244,415 0.0% #* Cosmochemical Co., Ltd. 51,850 354,746 0.0% Coway Co., Ltd. 124,555 9,845,016 0.1% # Credu Corp. 7,828 359,752 0.0% # Crown Confectionery Co., Ltd. 2,637 754,831 0.0% #* CrucialTec Co., Ltd. 7,970 89,294 0.0% #* CTC BIO, Inc. 52,846 923,588 0.0% #* CUROCOM Co., Ltd. 171,694 164,825 0.0% #* D.I Corp. 76,680 849,136 0.0% #* D.ID Corp. 42,436 143,454 0.0% Dae Dong Industrial Co., Ltd. 66,910 601,775 0.0% Dae Han Flour Mills Co., Ltd. 5,109 732,342 0.0% # Dae Hyun Co., Ltd. 132,460 306,965 0.0% Dae Won Kang Up Co., Ltd. 106,380 680,339 0.0% * Dae Young Packaging Co., Ltd. 350,890 266,943 0.0% # Dae-Il Corp. 67,870 295,610 0.0% #* Daea TI Co., Ltd. 226,336 386,343 0.0% #* Daechang Co., Ltd. 301,520 276,514 0.0% # Daeduck Electronics Co. 200,830 1,483,397 0.0% Daeduck GDS Co., Ltd. 114,600 1,898,459 0.0% Daegu Department Store 42,350 961,454 0.0% #* Daehan New Pharm Co., Ltd. 47,112 327,423 0.0% # Daehan Steel Co., Ltd. 70,830 473,973 0.0% # Daehwa Pharmaceutical Co., Ltd. 37,069 248,521 0.0% Daekyo Co., Ltd. 76,070 490,172 0.0% #* Daekyung Machinery & Engineering Co., Ltd. 184,410 361,963 0.0% # Daelim Industrial Co., Ltd. 137,711 11,236,931 0.1%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------- ----------- --------------- SOUTH KOREA -- (Continued) Daelim Trading Co., Ltd. 3,405 $ 13,501 0.0% Daesang Corp. 84,727 3,351,613 0.0% Daesang Holdings Co., Ltd. 75,680 934,343 0.0% Daesung Holdings Co., Ltd. 19,560 199,236 0.0% * Daesung Industrial Co., Ltd. 2,450 11,301 0.0% # Daewon Pharmaceutical Co., Ltd. 89,658 1,070,003 0.0% # Daewon San Up Co., Ltd. 25,953 233,571 0.0% #* Daewoo Engineering & Construction Co., Ltd. 467,145 3,875,285 0.0% Daewoo International Corp. 132,397 4,643,798 0.1% #* Daewoo Securities Co., Ltd. 818,317 6,723,387 0.1% # Daewoo Shipbuilding & Marine Engineering Co., Ltd. 429,780 12,473,403 0.1% Daewoong Co., Ltd. 6,323 239,109 0.0% Daewoong Pharmaceutical Co., Ltd. 20,111 1,365,294 0.0% * Dahaam E-Tec Co., Ltd. 1,420 4,638 0.0% Daishin Securities Co., Ltd. 230,690 2,087,547 0.0% #* Danal Co., Ltd. 53,742 527,529 0.0% Daou Data Corp. 73,862 400,421 0.0% Daou Technology, Inc. 149,630 2,092,528 0.0% #* Dasan Networks, Inc. 77,142 462,979 0.0% # Daum Communications Corp. 36,124 2,622,035 0.0% # Dawonsys Co., Ltd. 13,367 109,866 0.0% # Dayou Automotive Seat Technology Co., Ltd. 230,815 354,920 0.0% # DCM Corp. 16,370 178,250 0.0% #* Deutsch Motors, Inc. 28,027 129,107 0.0% DGB Financial Group, Inc. 803,117 12,183,787 0.1% Digital Chosun Co., Ltd. 20,134 39,206 0.0% # Digital Power Communications Co., Ltd. 30,360 96,631 0.0% #* Digitech Systems Co., Ltd. 69,781 143,168 0.0% * DIO Corp. 44,232 350,944 0.0% Dong Ah Tire & Rubber Co., Ltd. 14,820 275,283 0.0% #* Dong Yang Gang Chul Co., Ltd. 138,330 308,079 0.0% Dong-A Socio Holdings Co., Ltd. 14,565 1,833,890 0.0% # Dong-Ah Geological Engineering Co., Ltd. 30,030 246,444 0.0% Dong-Il Corp. 5,244 381,320 0.0% # Dongaone Co., Ltd. 119,520 329,565 0.0% Dongbang Agro Co. 4,840 29,622 0.0% # Dongbang Transport Logistics Co., Ltd. 78,710 180,529 0.0% * Dongbu CNI Co., Ltd. 15,260 64,713 0.0% #* Dongbu Corp. 35,650 88,174 0.0% #* Dongbu HiTek Co., Ltd. 148,568 1,002,805 0.0% # Dongbu Insurance Co., Ltd. 171,675 9,488,265 0.1% Dongbu Securities Co., Ltd. 129,061 463,151 0.0% #* Dongbu Steel Co., Ltd. 152,615 459,828 0.0% Dongil Industries Co., Ltd. 4,838 242,225 0.0% # Dongjin Semichem Co., Ltd. 117,446 442,097 0.0% #* Dongkook Industrial Co., Ltd. 99,200 308,118 0.0% DongKook Pharmaceutical Co., Ltd. 13,811 453,590 0.0% Dongkuk Industries Co., Ltd. 3,287 11,112 0.0% # Dongkuk Steel Mill Co., Ltd. 231,200 2,224,004 0.0% # DONGKUK STRUCTURES & CONSTRUCTION Co., Ltd. 132,251 714,836 0.0% Dongsuh Co., Inc. 10,008 153,427 0.0% # Dongsung Chemical Co., Ltd. 7,530 131,900 0.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------- ----------- --------------- SOUTH KOREA -- (Continued) # Dongsung Holdings Co., Ltd. 100,540 $ 568,495 0.0% # Dongsung Pharmaceutical Co., Ltd. 81,900 323,476 0.0% # Dongwha Pharm Co., Ltd. 110,465 643,187 0.0% Dongwon F&B Co., Ltd. 7,804 1,522,907 0.0% # Dongwon Industries Co., Ltd. 4,992 1,568,251 0.0% * Dongwon Systems Corp. 15,467 145,028 0.0% Dongyang E&P, Inc. 25,157 486,735 0.0% Dongyang Mechatronics Corp. 132,229 1,275,612 0.0% Doosan Corp. 33,575 4,327,729 0.0% #* Doosan Engine Co., Ltd. 147,980 1,244,940 0.0% #* Doosan Engineering & Construction Co., Ltd. 14,950 216,905 0.0% # Doosan Heavy Industries & Construction Co., Ltd. 239,421 8,092,716 0.1% #* Doosan Infracore Co., Ltd. 446,190 5,395,381 0.1% #* Dragonfly GF Co., Ltd. 25,290 145,684 0.0% DRB Holding Co., Ltd. 55,899 586,616 0.0% #* Duksan Hi-Metal Co., Ltd. 52,962 984,630 0.0% # DuzonBIzon Co., Ltd. 77,900 922,145 0.0% # e-LITECOM Co., Ltd. 36,060 655,881 0.0% # E-Mart Co., Ltd. 70,199 16,052,137 0.1% # E1 Corp. 11,980 814,805 0.0% # Eagon Industries Co., Ltd. 32,830 563,854 0.0% # Easy Bio, Inc. 172,451 949,161 0.0% #* Ecopro Co., Ltd. 57,703 430,407 0.0% # EG Corp. 23,854 551,869 0.0% #* ELK Corp. 82,135 516,763 0.0% #* EMKOREA Co., Ltd. 48,875 320,814 0.0% # ENF Technology Co., Ltd. 44,485 396,158 0.0% Eo Technics Co., Ltd. 29,520 1,975,945 0.0% # Estechpharma Co., Ltd. 37,738 348,116 0.0% * ESTsoft Corp. 4,962 78,911 0.0% Eugene Corp. 205,843 761,573 0.0% * Eugene Investment & Securities Co., Ltd. 248,935 633,387 0.0% # Eugene Technology Co., Ltd. 52,078 1,126,788 0.0% EVERDIGM Corp. 9,264 72,748 0.0% #* Farmsco 2,780 35,053 0.0% # Fila Korea, Ltd. 39,090 3,403,715 0.0% #* Fine Technix Co., Ltd. 22,817 52,095 0.0% #* Finetex EnE, Inc. 100,221 240,219 0.0% # Firstec Co., Ltd. 166,326 368,945 0.0% #* Flexcom, Inc. 53,405 583,385 0.0% #* Foosung Co., Ltd. 170,523 558,843 0.0% Fursys, Inc. 10,916 303,515 0.0% #* Gamevil, Inc. 18,924 1,284,192 0.0% # Gaon Cable Co., Ltd. 15,162 448,061 0.0% #* GemVax & Kael Co., Ltd. 74,940 1,392,497 0.0% #* GeneOneLifeScience, Inc. 104,335 98,839 0.0% #* Genexine Co., Ltd. 2,719 87,575 0.0% #* Genic Co., Ltd. 17,757 319,554 0.0% GIIR, Inc. 16,730 130,234 0.0% Global & Yuasa Battery Co., Ltd. 27,503 1,320,702 0.0% #* GNCO Co., Ltd. 213,311 273,175 0.0% # Golfzon Co., Ltd. 46,941 856,139 0.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ----------- --------------- SOUTH KOREA -- (Continued) # Grand Korea Leisure Co., Ltd. 87,970 $ 3,678,656 0.0% * Green Cross Cell Corp. 4,163 135,800 0.0% Green Cross Corp. 18,105 2,237,617 0.0% Green Cross Holdings Corp. 114,530 1,576,993 0.0% * Green Non-Life Insurance Co., Ltd. 14,915 -- 0.0% #* GS Engineering & Construction Corp. 222,508 7,850,582 0.1% # GS Global Corp. 67,671 631,705 0.0% # GS Holdings 256,119 11,951,544 0.1% GS Home Shopping, Inc. 6,605 1,494,062 0.0% # GS retail Co., Ltd. 89,870 2,502,997 0.0% Gwangju Shinsegae Co., Ltd. 2,914 671,021 0.0% # Haesung Industrial Co., Ltd. 11,094 641,919 0.0% #* Halla Corp. 89,074 624,760 0.0% # Halla Visteon Climate Control Corp. 103,750 4,341,172 0.0% Han Kuk Carbon Co., Ltd. 138,400 992,579 0.0% Hana Financial Group, Inc. 1,140,149 40,231,352 0.3% #* Hana Micron, Inc. 36,178 211,641 0.0% Hana Tour Service, Inc. 17,294 1,109,689 0.0% #* Hanall Biopharma Co., Ltd. 68,750 284,789 0.0% Handok Pharmaceuticals Co., Ltd. 6,692 142,087 0.0% # Handsome Co., Ltd. 76,274 1,931,129 0.0% Hanil Cement Co., Ltd. 18,961 2,189,406 0.0% # Hanil E-Hwa Co., Ltd. 101,330 2,073,259 0.0% #* Hanjin Heavy Industries & Construction Co., Ltd. 280,705 3,315,675 0.0% # Hanjin Heavy Industries & Construction Holdings Co., Ltd. 69,315 705,108 0.0% * Hanjin Kal Corp. 60,075 1,289,817 0.0% #* Hanjin P&C Co., Ltd. 106,545 113,190 0.0% #* Hanjin Shipping Co., Ltd. 489,234 2,868,334 0.0% * Hanjin Shipping Holdings Co., Ltd. 69,934 454,335 0.0% # Hanjin Transportation Co., Ltd. 47,740 1,173,786 0.0% Hankook Shell Oil Co., Ltd. 2,640 1,196,699 0.0% Hankook Tire Co., Ltd. 141,074 8,184,803 0.1% # Hankook Tire Worldwide Co., Ltd. 32,246 654,092 0.0% * Hankuk Glass Industries, Inc. 3,770 73,967 0.0% Hankuk Paper Manufacturing Co., Ltd. 15,900 391,874 0.0% #* Hanmi Pharm Co., Ltd. 25,588 2,888,221 0.0% #* Hanmi Science Co., Ltd. 76,857 1,108,478 0.0% # Hanmi Semiconductor Co., Ltd. 48,770 704,988 0.0% Hansae Co., Ltd. 36,829 765,866 0.0% Hansae Yes24 Holdings Co., Ltd. 66,247 449,668 0.0% # Hanshin Construction 1,850 26,573 0.0% # Hansol Chemical Co., Ltd. 47,490 1,366,344 0.0% # Hansol CSN Co., Ltd. 176,540 503,839 0.0% #* Hansol HomeDeco Co., Ltd. 315,632 717,053 0.0% Hansol Paper Co. 217,520 2,395,807 0.0% #* Hansol Technics Co., Ltd. 65,284 1,390,338 0.0% Hanssem Co., Ltd. 31,400 2,569,042 0.0% # Hanwha Chemical Corp. 418,242 7,411,936 0.1% Hanwha Corp. 223,492 6,514,567 0.1% #* Hanwha General Insurance Co., Ltd. 174,761 863,390 0.0% * Hanwha Investment & Securities Co., Ltd. 303,421 1,097,734 0.0% # Hanwha Life Insurance Co., Ltd. 805,240 5,248,342 0.1%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------- ----------- --------------- SOUTH KOREA -- (Continued) Hanwha Timeworld Co., Ltd. 8,040 $ 249,642 0.0% Hanyang Eng Co., Ltd. 55,253 369,937 0.0% Hanyang Securities Co., Ltd. 18,020 120,025 0.0% #* Harim Holdings Co., Ltd. 108,859 548,969 0.0% # Heung-A Shipping Co., Ltd. 491,863 651,650 0.0% * Heungkuk Fire & Marine Insurance Co., Ltd. 24,279 97,007 0.0% # High Tech Pharm Co., Ltd. 22,952 324,060 0.0% # Hite Jinro Co., Ltd. 174,665 4,235,084 0.0% Hitejinro Holdings Co., Ltd. 41,954 531,120 0.0% # HMC Investment Securities Co., Ltd. 84,600 894,394 0.0% #* HNK Machine Tool Co., Ltd. 18,022 176,434 0.0% # Hotel Shilla Co., Ltd. 94,889 7,990,730 0.1% HS R&A Co., Ltd. 11,450 276,323 0.0% Huchems Fine Chemical Corp. 77,115 1,628,001 0.0% Humax Co., Ltd. 79,355 962,187 0.0% Huons Co., Ltd. 24,280 1,074,314 0.0% Husteel Co., Ltd. 21,660 426,304 0.0% # Huvis Corp. 71,070 792,858 0.0% # Huvitz Co., Ltd. 27,945 337,975 0.0% # Hwa Shin Co., Ltd. 90,040 1,056,561 0.0% Hwacheon Machine Tool Co., Ltd. 4,514 232,592 0.0% HwaSung Industrial Co., Ltd. 4,470 43,572 0.0% Hy-Lok Corp. 38,506 1,122,130 0.0% Hyosung Corp. 140,088 10,008,326 0.1% #* Hyundai BNG Steel Co., Ltd. 51,350 1,078,635 0.0% # Hyundai Corp. 53,610 1,637,152 0.0% Hyundai Department Store Co., Ltd. 62,015 7,996,984 0.1% # Hyundai Development Co. 338,019 9,691,186 0.1% #* Hyundai Elevator Co., Ltd. 41,013 1,587,613 0.0% Hyundai Engineering & Construction Co., Ltd. 239,490 12,965,947 0.1% # Hyundai Engineering Plastics Co., Ltd. 88,540 636,162 0.0% # Hyundai Glovis Co., Ltd. 20,093 4,739,408 0.1% # Hyundai Greenfood Co., Ltd. 215,940 3,631,214 0.0% Hyundai Heavy Industries Co., Ltd. 101,252 19,036,803 0.2% Hyundai Home Shopping Network Corp. 17,726 2,662,118 0.0% Hyundai Hy Communications & Networks Co., Ltd. 164,030 820,908 0.0% Hyundai Livart Co., Ltd. 54,210 930,409 0.0% Hyundai Marine & Fire Insurance Co., Ltd. 252,920 7,420,541 0.1% #* Hyundai Merchant Marine Co., Ltd. 126,713 1,274,215 0.0% # Hyundai Mipo Dockyard 25,099 3,426,627 0.0% Hyundai Mobis 153,167 43,757,279 0.3% # Hyundai Motor Co. 364,834 81,345,741 0.6% #* Hyundai Securities Co., Ltd. 662,773 4,468,453 0.0% # Hyundai Steel Co. 288,254 18,887,647 0.1% # Hyundai Wia Corp. 44,990 7,417,978 0.1% #* Hyunjin Materials Co., Ltd. 70,175 385,093 0.0% # HyVision System, Inc. 43,478 420,477 0.0% #* ICD Co., Ltd. 49,851 554,075 0.0% #* IHQ, Inc. 100,930 286,200 0.0% # Il Dong Pharmaceutical Co., Ltd. 47,700 618,065 0.0% # Iljin Electric Co., Ltd. 91,124 742,992 0.0% # Iljin Holdings Co., Ltd. 79,100 480,119 0.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------- ----------- --------------- SOUTH KOREA -- (Continued) #* Iljin Materials Co., Ltd. 60,430 $ 652,797 0.0% Ilshin Spinning Co., Ltd. 6,733 877,589 0.0% # Ilsung Pharmaceuticals Co., Ltd. 3,008 226,299 0.0% Ilyang Pharmaceutical Co., Ltd. 25,922 631,800 0.0% #* IM Co., Ltd. 67,915 268,566 0.0% iMarketKorea, Inc. 56,730 1,717,318 0.0% # iMBC Co., Ltd. 28,170 151,122 0.0% # Industrial Bank of Korea 742,530 9,145,949 0.1% #* Infinitt Healthcare Co., Ltd. 39,177 300,786 0.0% #* Infopia Co., Ltd. 36,965 489,318 0.0% #* Infraware, Inc. 63,944 562,037 0.0% #* InkTec Co., Ltd. 25,285 505,741 0.0% # Innochips Technology, Inc. 22,086 291,245 0.0% * InnoWireless, Inc. 22,924 299,743 0.0% #* Innox Corp. 37,014 833,089 0.0% #* Insun ENT Co., Ltd. 38,325 143,011 0.0% Intelligent Digital Integrated Securities Co., Ltd. 14,224 262,354 0.0% #* Interflex Co., Ltd. 48,548 1,012,944 0.0% Intergis Co., Ltd. 6,800 57,204 0.0% # Interojo Co., Ltd. 11,512 230,213 0.0% # Interpark Corp. 141,004 1,582,659 0.0% INTOPS Co., Ltd. 34,036 798,581 0.0% Inzi Controls Co., Ltd. 44,490 246,773 0.0% INZI Display Co., Ltd. 124,958 224,249 0.0% #* IS Dongseo Co., Ltd. 49,570 1,123,550 0.0% # ISU Chemical Co., Ltd. 60,870 824,904 0.0% # IsuPetasys Co., Ltd. 173,190 960,567 0.0% # Jahwa Electronics Co., Ltd. 60,390 1,082,472 0.0% JB Financial Group Co., Ltd. 394,761 2,911,613 0.0% * Jcontentree Corp. 83,433 322,165 0.0% Jeil Pharmaceutical Co. 32,320 586,424 0.0% * Jeil Savings Bank 3,200 -- 0.0% #* Jeju Semiconductor Corp. 13,133 47,881 0.0% # Jinsung T.E.C. 44,792 298,969 0.0% JNK Heaters Co., Ltd. 4,807 34,790 0.0% #* JoyCity Corp. 6,790 169,229 0.0% * Joymax Co., Ltd. 15,619 530,274 0.0% #* Jusung Engineering Co., Ltd. 101,143 524,592 0.0% * JVM Co., Ltd. 15,006 791,937 0.0% JW Holdings Co., Ltd. 173,453 493,763 0.0% # JW Pharmaceutical Corp. 52,900 895,070 0.0% * JYP Entertainment Corp. 32,757 163,991 0.0% Kangwon Land, Inc. 166,590 4,818,612 0.1% # KB Capital Co., Ltd. 56,966 1,133,737 0.0% KB Financial Group, Inc. 527,260 18,036,928 0.1% KB Financial Group, Inc. ADR 464,299 15,939,385 0.1% # KC Cottrell Co., Ltd. 23,085 191,762 0.0% # KC Green Holdings Co., Ltd. 63,780 498,575 0.0% # KC Tech Co., Ltd. 107,916 827,346 0.0% KCC Corp. 19,339 9,643,886 0.1% * KCC Engineering & Construction Co., Ltd. 228 4,177 0.0% KCO Energy, Inc. 70 -- 0.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------- ----------- --------------- SOUTH KOREA -- (Continued) # KCP Co., Ltd. 39,473 $ 471,912 0.0% #* Keangnam Enterprises, Ltd. 40,855 134,096 0.0% #* KEC Corp. 359,677 292,828 0.0% # KEPCO Engineering & Construction Co., Inc. 29,007 1,729,562 0.0% KEPCO Plant Service & Engineering Co., Ltd. 29,820 1,937,476 0.0% # Keyang Electric Machinery Co., Ltd. 105,070 405,523 0.0% KG Chemical Corp. 29,760 559,661 0.0% # Kginicis Co., Ltd. 39,046 597,277 0.0% # KGMobilians Co., Ltd. 43,631 676,230 0.0% # KH Vatec Co., Ltd. 52,007 972,144 0.0% Kia Motors Corp. 649,372 36,028,576 0.3% KISCO Corp. 18,248 495,665 0.0% KISCO Holdings Co., Ltd. 2,565 114,390 0.0% Kishin Corp. 42,990 320,316 0.0% KISWIRE, Ltd. 26,962 969,513 0.0% # KIWOOM Securities Co., Ltd. 55,729 2,743,032 0.0% * KMH Co., Ltd. 35,602 309,708 0.0% #* KMW Co., Ltd. 32,124 548,215 0.0% # Koentec Co., Ltd. 192,793 704,827 0.0% # Koh Young Technology, Inc. 45,834 1,093,115 0.0% # Kolao Holdings 66,094 1,646,244 0.0% Kolon Corp. 35,955 754,302 0.0% #* Kolon Global Corp. 185,190 461,496 0.0% Kolon Industries, Inc. 101,473 6,733,151 0.1% # Kolon Life Science, Inc. 12,429 632,692 0.0% #* Komipharm International Co., Ltd. 81,956 699,542 0.0% # KONA I Co., Ltd. 32,182 1,202,024 0.0% # Kook Je Electric Korea Co., Ltd. 17,745 305,462 0.0% # Kook Soon Dang Brewery Co., Ltd. 47,094 289,426 0.0% Korea Aerospace Industries, Ltd. 71,680 2,287,814 0.0% Korea Airport Service Co., Ltd. 3,530 87,483 0.0% # Korea Cast Iron Pipe Industries Co., Ltd. 3,750 14,035 0.0% # Korea Circuit Co., Ltd. 60,735 754,207 0.0% # Korea District Heating Corp. 13,030 911,898 0.0% Korea Electric Power Corp. 169,280 6,472,380 0.1% #* Korea Electric Power Corp. Sponsored ADR 472,044 9,034,922 0.1% Korea Electric Terminal Co., Ltd. 31,550 1,331,004 0.0% # Korea Export Packaging Industrial Co., Ltd. 7,820 164,851 0.0% # Korea Flange Co., Ltd. 16,100 227,422 0.0% * Korea Gas Corp. 90,345 5,410,456 0.1% #* Korea Info & Comm 43,443 282,883 0.0% Korea Investment Holdings Co., Ltd. 217,740 7,997,621 0.1% # Korea Kolmar Co., Ltd. 37,476 1,235,205 0.0% # Korea Kolmar Holdings Co., Ltd. 33,914 599,307 0.0% Korea Petrochemical Ind Co., Ltd. 15,818 955,426 0.0% # Korea United Pharm, Inc. 50,469 592,912 0.0% # Korea Zinc Co., Ltd. 23,914 7,880,232 0.1% * Korean Air Lines Co., Ltd. 174,649 5,615,728 0.1% Korean Reinsurance Co. 536,985 5,307,227 0.1% # Kortek Corp. 43,170 645,332 0.0% KPF 40,895 235,155 0.0% KPX Chemical Co., Ltd. 6,559 406,877 0.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------- ----------- --------------- SOUTH KOREA -- (Continued) #* KR Motors Co., Ltd. 360,460 $ 435,802 0.0% #* KSCB Co., Ltd. 16,107 55,670 0.0% KT Corp. 9,140 291,329 0.0% KT Corp. Sponsored ADR 140,282 2,231,887 0.0% * KT Hitel Co., Ltd. 39,808 305,545 0.0% KT Skylife Co., Ltd. 59,320 1,389,009 0.0% KT&G Corp. 218,578 17,517,286 0.1% * KTB Investment & Securities Co., Ltd. 266,720 665,365 0.0% Kukdo Chemical Co., Ltd. 19,917 979,619 0.0% # Kumho Electric Co., Ltd. 17,168 405,672 0.0% #* Kumho Industrial Co., Ltd. 11,534 132,502 0.0% # Kumho Petro chemical Co., Ltd. 38,059 3,227,189 0.0% #* Kumho Tire Co., Inc. 207,462 2,615,514 0.0% # Kumkang Kind Co., Ltd. 4,570 185,521 0.0% Kunsul Chemical Industrial Co., Ltd. 18,090 770,524 0.0% # Kwang Dong Pharmaceutical Co., Ltd. 204,270 1,826,443 0.0% #* Kwang Myung Electric Engineering Co., Ltd. 213,320 464,445 0.0% #* Kyeryong Construction Industrial Co., Ltd. 16,700 226,090 0.0% * Kyobo Securities Co. 96,830 647,047 0.0% # Kyung Dong Navien Co., Ltd. 28,390 683,387 0.0% # Kyung-In Synthetic Corp. 102,540 517,701 0.0% Kyungbang, Ltd. 3,540 456,593 0.0% # Kyungchang Industrial Co., Ltd. 36,050 403,703 0.0% KyungDong City Gas Co., Ltd. 9,472 1,072,349 0.0% # Kyungdong Pharm Co., Ltd. 27,536 496,114 0.0% Kyungnam Energy Co., Ltd. 3,460 24,866 0.0% # L&F Co., Ltd. 32,322 218,332 0.0% #* LB Semicon, Inc. 171,662 349,285 0.0% LEENO Industrial, Inc. 36,623 1,056,424 0.0% LF Corp. 107,002 2,782,007 0.0% LG Chem, Ltd. 109,847 28,039,394 0.2% LG Corp. 389,097 21,696,689 0.2% #* LG Display Co., Ltd. 547,970 14,594,468 0.1% #* LG Display Co., Ltd. ADR 794,091 10,569,351 0.1% # LG Electronics, Inc. 440,593 29,346,118 0.2% # LG Hausys, Ltd. 31,965 5,643,122 0.1% LG Household & Health Care, Ltd. 13,994 6,407,806 0.1% #* LG Innotek Co., Ltd. 50,731 5,614,356 0.1% LG International Corp. 181,189 5,368,546 0.1% #* LG Life Sciences, Ltd. 33,923 1,175,526 0.0% LG Uplus Corp. 943,000 9,287,456 0.1% LIG Insurance Co., Ltd. 198,380 5,815,425 0.1% # LMS Co., Ltd. 21,203 454,854 0.0% # Lock & Lock Co., Ltd. 78,910 1,197,933 0.0% #* Logistics Energy Korea Co., Ltd. 139,240 296,378 0.0% # Lotte Chemical Corp. 58,209 9,214,618 0.1% Lotte Chilsung Beverage Co., Ltd. 3,758 5,691,925 0.1% Lotte Confectionery Co., Ltd. 3,283 5,628,895 0.1% Lotte Food Co., Ltd. 3,536 2,651,341 0.0% # LOTTE Himart Co., Ltd. 37,300 2,622,405 0.0% * Lotte Non-Life Insurance Co., Ltd. 134,230 493,819 0.0% # Lotte Shopping Co., Ltd. 45,229 14,026,702 0.1%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ----------- --------------- SOUTH KOREA -- (Continued) #* Lotte Tour Development Co., Ltd. 6,830 $ 109,462 0.0% LS Corp. 79,633 6,246,179 0.1% # LS Industrial Systems Co., Ltd. 43,311 2,770,225 0.0% #* Lumens Co., Ltd. 146,715 1,973,465 0.0% Macquarie Korea Infrastructure Fund 1,396,079 8,645,604 0.1% #* Macrogen, Inc. 12,304 502,483 0.0% # Maeil Dairy Industry Co., Ltd. 31,906 1,207,850 0.0% # Mando Corp. 63,887 7,685,463 0.1% #* Medifron DBT Co., Ltd. 81,261 237,670 0.0% #* Medipost Co., Ltd. 13,085 875,926 0.0% Medy-Tox, Inc. 11,133 1,649,336 0.0% # MegaStudy Co., Ltd. 23,518 1,590,025 0.0% #* Melfas, Inc. 84,406 766,870 0.0% Meritz Financial Group, Inc. 156,757 1,127,609 0.0% Meritz Fire & Marine Insurance Co., Ltd. 258,741 3,221,943 0.0% # Meritz Securities Co., Ltd. 1,025,050 2,254,223 0.0% Mi Chang Oil Industrial Co., Ltd. 2,155 149,509 0.0% # Mirae Asset Securities Co., Ltd. 150,541 6,185,327 0.1% #* Mirae Corp. 1,100,963 257,984 0.0% * Miwon Chemicals Co., Ltd. 1,200 41,922 0.0% * Miwon Commercial Co., Ltd. 456 77,010 0.0% * Miwon Specialty Chemical Co., Ltd. 988 303,428 0.0% MK Electron Co., Ltd. 78,648 415,822 0.0% #* MNTech Co., Ltd. 105,014 692,144 0.0% # Modetour Network, Inc. 35,269 786,191 0.0% * Monalisa Co., Ltd. 28,400 69,972 0.0% Moorim P&P Co., Ltd. 134,020 647,578 0.0% # Moorim Paper Co., Ltd. 110,200 297,010 0.0% # Motonic Corp. 49,880 580,045 0.0% #* Muhak Co., Ltd. 10,927 321,074 0.0% # Namhae Chemical Corp. 119,110 1,121,268 0.0% #* Namsun Aluminum Co., Ltd. 138,696 106,243 0.0% Namyang Dairy Products Co., Ltd. 1,115 989,328 0.0% National Plastic Co. 83,760 536,298 0.0% Naver Corp. 41,537 29,911,489 0.2% # NCSoft Corp. 34,637 6,892,041 0.1% #* Neowiz Games Corp. 66,931 1,061,773 0.0% * NEOWIZ HOLDINGS Corp. 29,940 366,104 0.0% #* NEPES Corp. 97,025 886,353 0.0% # Nexen Corp. 21,396 1,597,135 0.0% # Nexen Tire Corp. 121,690 1,670,049 0.0% #* Nexolon Co., Ltd. 319,720 328,509 0.0% #* Nexon GT Co., Ltd. 59,800 472,836 0.0% NH Investment & Securities Co., Ltd. 123,838 803,950 0.0% #* NHN Entertainment Corp. 17,676 1,445,964 0.0% NICE Holdings Co., Ltd. 60,740 821,657 0.0% # NICE Information Service Co., Ltd. 47,209 164,753 0.0% #* NK Co., Ltd. 86,300 341,408 0.0% Nong Shim Holdings Co., Ltd. 9,723 950,451 0.0% # NongShim Co., Ltd. 14,384 4,281,535 0.0% Noroo Holdings Co., Ltd. 7,860 158,771 0.0% #* OCI Co., Ltd. 55,493 9,751,314 0.1%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------- ----------- --------------- SOUTH KOREA -- (Continued) OCI Materials Co., Ltd. 32,495 $ 1,115,287 0.0% #* OPTRON-TEC, Inc. 74,752 550,954 0.0% #* Orientbio, Inc. 265,298 139,099 0.0% # Orion Corp. 7,365 5,627,124 0.1% * OSANGJAIEL Co., Ltd. 35,202 356,388 0.0% * Osstem Implant Co., Ltd. 43,072 1,072,714 0.0% #* Osung LST Co., Ltd. 19,853 80,311 0.0% Ottogi Corp. 5,413 2,147,375 0.0% * Paik Kwang Industrial Co., Ltd. 94,868 236,750 0.0% #* Pan Ocean Co., Ltd. 28,865 96,299 0.0% # Pan-Pacific Co., Ltd. 109,600 376,504 0.0% #* PaperCorea, Inc. 337,740 219,579 0.0% # Paradise Co., Ltd. 88,480 3,296,190 0.0% # Partron Co., Ltd. 127,767 1,734,724 0.0% #* Pharmicell Co., Ltd. 154,381 591,206 0.0% Poongsan Corp. 2,490 61,454 0.0% POSCO 31,634 9,345,577 0.1% # POSCO ADR 511,345 37,634,992 0.3% POSCO Chemtech Co., Ltd. 7,984 1,153,300 0.0% * POSCO Coated & Color Steel Co., Ltd. 6,940 119,743 0.0% # Posco ICT Co., Ltd. 142,938 1,188,762 0.0% # Posco M-Tech Co., Ltd. 78,744 344,694 0.0% #* Posco Plantec Co., Ltd. 73,347 290,183 0.0% #* Power Logics Co., Ltd. 127,617 563,734 0.0% # PSK, Inc. 60,231 800,441 0.0% Pulmuone Co., Ltd. 6,402 583,657 0.0% Pyeong Hwa Automotive Co., Ltd. 60,163 1,228,621 0.0% #* Redrover Co., Ltd. 27,142 185,009 0.0% Reyon Pharmaceutical Co., Ltd. 870 16,057 0.0% # RFsemi Technologies, Inc. 20,093 180,125 0.0% RFTech Co., Ltd. 12,210 129,210 0.0% #* Rocket Electric Co., Ltd. 114,930 28,808 0.0% # Romanson Co., Ltd. 23,134 217,835 0.0% * S&C Engine Group, Ltd. 25,754 65,643 0.0% S&T Corp. 8,318 138,242 0.0% # S&T Dynamics Co., Ltd. 131,556 1,522,990 0.0% S&T Holdings Co., Ltd. 28,657 419,771 0.0% S&T Motiv Co., Ltd. 44,540 1,203,150 0.0% S-1 Corp. 45,985 3,497,748 0.0% # S-Energy Co., Ltd. 33,491 372,463 0.0% # S-MAC Co., Ltd. 59,874 509,378 0.0% # S-Oil Corp. 144,681 8,467,166 0.1% # Saeron Automotive Corp. 3,180 32,523 0.0% #* Sajo Industries Co., Ltd. 11,555 391,646 0.0% Sam Young Electronics Co., Ltd. 52,430 583,500 0.0% # Sam Yung Trading Co., Ltd. 53,574 1,018,192 0.0% * Sambu Construction Co., Ltd. 1,421 7,629 0.0% Samchully Co., Ltd. 12,444 1,869,290 0.0% # Samho Development Co., Ltd. 53,704 164,090 0.0% # SAMHWA Paints Industrial Co., Ltd. 42,710 636,769 0.0% # Samick Musical Instruments Co., Ltd. 283,360 783,068 0.0% Samick THK Co., Ltd. 43,170 327,984 0.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------- ------------ --------------- SOUTH KOREA -- (Continued) Samjin Pharmaceutical Co., Ltd. 51,035 $ 920,370 0.0% # Samkwang Glass 14,864 704,646 0.0% # Samlip General Foods Co., Ltd. 12,050 868,227 0.0% Samsung C&T Corp. 478,605 30,098,383 0.2% Samsung Card Co., Ltd. 43,208 1,569,409 0.0% Samsung Climate Control Co., Ltd. 4,190 38,517 0.0% # Samsung Electro-Mechanics Co., Ltd. 232,926 14,970,466 0.1% # Samsung Electronics Co., Ltd. 266,899 348,025,666 2.5% #* Samsung Engineering Co., Ltd. 67,263 5,049,203 0.1% # Samsung Fine Chemicals Co., Ltd. 98,611 3,939,282 0.0% Samsung Fire & Marine Insurance Co., Ltd. 114,873 27,285,868 0.2% # Samsung Heavy Industries Co., Ltd. 523,090 14,328,718 0.1% Samsung Life Insurance Co., Ltd. 142,020 13,217,849 0.1% Samsung SDI Co., Ltd. 158,177 23,227,729 0.2% # Samsung Securities Co., Ltd. 306,341 11,706,824 0.1% # Samsung Techwin Co., Ltd. 97,200 5,457,279 0.1% #* SAMT Co., Ltd. 91,963 182,432 0.0% # Samwha Capacitor Co., Ltd. 11,760 69,031 0.0% # Samyang Foods Co., Ltd. 23,280 719,941 0.0% Samyang Genex Co., Ltd. 1,871 203,098 0.0% Samyang Holdings Corp. 21,569 1,504,193 0.0% Samyang Tongsang Co., Ltd. 720 23,380 0.0% #* Samyoung Chemical Co., Ltd. 158,910 352,177 0.0% #* Sangbo Corp. 50,896 594,583 0.0% #* Sapphire Technology Co., Ltd. 19,375 780,688 0.0% # Satrec Initiative Co., Ltd. 9,732 187,609 0.0% SAVEZONE I&C Corp. 62,600 376,363 0.0% SBS Contents Hub Co., Ltd. 28,407 514,358 0.0% # SBS Media Holdings Co., Ltd. 205,410 871,257 0.0% #* SBW 311,730 203,307 0.0% # Seah Besteel Corp. 78,060 2,108,817 0.0% # SeAH Holdings Corp. 3,201 337,004 0.0% # SeAH Steel Corp. 13,043 1,554,275 0.0% Sebang Co., Ltd. 50,710 878,700 0.0% #* Seegene, Inc. 17,845 978,553 0.0% # Sejong Industrial Co., Ltd. 52,950 889,638 0.0% Sempio Foods Co. 11,951 305,012 0.0% #* Seobu T&D 55,046 1,048,943 0.0% # Seohan Co., Ltd. 254,191 469,617 0.0% #* Seohee Construction Co., Ltd. 720,013 421,378 0.0% # Seoul Semiconductor Co., Ltd. 72,407 2,914,552 0.0% #* Seowon Co., Ltd. 55,740 84,824 0.0% SEOWONINTECH Co., Ltd. 36,400 548,123 0.0% * Seshin Co., Ltd. 2,000 -- 0.0% #* Sewon Cellontech Co., Ltd. 136,564 371,918 0.0% Sewon Precision Industry Co., Ltd. 2,160 55,537 0.0% # SEWOONMEDICAL Co., Ltd. 64,943 347,920 0.0% SFA Engineering Corp. 28,239 1,220,868 0.0% #* SG Corp. 629,380 374,002 0.0% # SH Energy & Chemical Co., Ltd. 428,820 348,194 0.0% Shin Poong Pharmaceutical Co., Ltd. 160,213 710,533 0.0% #* Shine Co., Ltd. 34,294 331,902 0.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ----------- --------------- SOUTH KOREA -- (Continued) Shinhan Financial Group Co., Ltd. 587,965 $25,663,725 0.2% Shinhan Financial Group Co., Ltd. ADR 387,122 16,878,519 0.1% #* Shinil Industrial Co., Ltd. 123,260 257,425 0.0% Shinsegae Co., Ltd. 42,092 9,138,573 0.1% Shinsegae Information & Communication Co., Ltd. 3,395 250,645 0.0% # Shinsegae International Co., Ltd. 11,730 841,913 0.0% #* Shinsung Solar Energy Co., Ltd. 279,163 401,911 0.0% #* Shinsung Tongsang Co., Ltd. 335,110 416,017 0.0% * Shinwha Intertek Corp. 11,754 35,315 0.0% #* Shinwon Corp. 69,550 120,767 0.0% Shinyoung Securities Co., Ltd. 11,600 454,781 0.0% #* Signetics Corp. 189,980 385,376 0.0% #* SIGONG TECH Co., Ltd. 58,961 184,344 0.0% Silicon Works Co., Ltd. 59,105 1,319,805 0.0% # Silla Co., Ltd. 37,814 909,587 0.0% #* Simm Tech Co., Ltd. 123,246 712,723 0.0% SIMPAC, Inc. 78,380 554,218 0.0% Sindoh Co., Ltd. 8,629 566,393 0.0% SJM Co., Ltd. 42,434 429,858 0.0% * SK Broadband Co., Ltd. 698,707 2,897,968 0.0% # SK C&C Co., Ltd. 50,854 6,980,579 0.1% # SK Chemicals Co., Ltd. 82,415 4,806,656 0.1% #* SK Communications Co., Ltd. 88,183 638,790 0.0% SK Gas, Ltd. 20,873 1,917,784 0.0% SK Holdings Co., Ltd. 108,477 19,241,668 0.2% * SK Hynix, Inc. 747,721 29,156,220 0.2% SK Innovation Co., Ltd. 246,820 28,275,537 0.2% * SK Networks Co., Ltd. 773,442 7,130,850 0.1% * SK Securities Co., Ltd. 1,418,860 1,016,669 0.0% SK Telecom Co., Ltd. 9,434 1,953,356 0.0% # SK Telecom Co., Ltd. ADR 170,500 3,936,845 0.0% # SKC Co., Ltd. 118,030 3,913,676 0.0% # SL Corp. 79,470 1,370,548 0.0% #* SM Culture & Contents Co., Ltd. 48,734 203,795 0.0% #* SM Entertainment Co. 43,519 2,061,485 0.0% #* Solborn, Inc. 21,776 82,002 0.0% * Solco Biomedical Co., Ltd. 276,795 158,237 0.0% Songwon Industrial Co., Ltd. 80,590 793,359 0.0% #* Sonokong Co., Ltd. 58,186 148,665 0.0% #* Soosan Heavy Industries Co., Ltd. 11,350 14,086 0.0% Soulbrain Co., Ltd. 12,368 493,912 0.0% * Ssangyong Cement Industrial Co., Ltd. 114,947 1,051,781 0.0% * Steel Flower Co., Ltd. 18,742 88,426 0.0% #* STS Semiconductor & Telecommunications 124,728 285,153 0.0% #* STX Corp. Co., Ltd. 196,258 239,316 0.0% #* STX Engine Co., Ltd. 113,410 385,241 0.0% # Suheung Co., Ltd. 31,130 1,154,814 0.0% Sun Kwang Co., Ltd. 8,392 148,834 0.0% # Sung Kwang Bend Co., Ltd. 52,093 1,221,695 0.0% #* Sungchang Enterprise Holdings, Ltd. 24,610 487,176 0.0% #* Sungshin Cement Co., Ltd. 99,740 1,103,250 0.0% # Sungwoo Hitech Co., Ltd. 170,618 2,755,989 0.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ----------- --------------- SOUTH KOREA -- (Continued) # Sunjin Co., Ltd. 25,747 $ 762,094 0.0% #* Sunny Electronics Corp. 43,620 130,969 0.0% #* Suprema, Inc. 41,274 1,024,131 0.0% #* Synopex, Inc. 294,929 527,100 0.0% Tae Kyung Industrial Co., Ltd. 73,750 365,923 0.0% Taekwang Industrial Co., Ltd. 2,097 2,702,185 0.0% #* Taewoong Co., Ltd. 43,882 1,060,746 0.0% * Taeyoung Engineering & Construction Co., Ltd. 205,460 1,285,630 0.0% #* Taihan Electric Wire Co., Ltd. 465,434 955,273 0.0% # Tailim Packaging Industrial Co., Ltd. 146,790 284,058 0.0% TCC Steel 43,300 154,425 0.0% TechWing, Inc. 11,780 72,236 0.0% #* Tera Semicon Co., Ltd. 10,794 157,342 0.0% TES Co., Ltd. 20,552 251,522 0.0% #* Theall Medi Bio 49,170 109,905 0.0% #* Theragen Etex Co., Ltd. 30,238 216,869 0.0% #* TK Chemical Corp. 221,149 486,063 0.0% Tong Yang Moolsan Co., Ltd. 20,210 193,731 0.0% Tongyang Life Insurance 195,440 1,902,601 0.0% # TONGYANG Securities, Inc. 193,093 430,313 0.0% * Top Engineering Co., Ltd. 31,343 135,827 0.0% # Toptec Co., Ltd. 28,469 368,915 0.0% #* Toray Chemical Korea, Inc. 119,546 1,678,568 0.0% # Tovis Co., Ltd. 70,788 561,916 0.0% #* Trais Co., Ltd. 52,841 150,668 0.0% TS Corp. 18,260 557,818 0.0% * TSM Tech Co., Ltd. 13,064 91,008 0.0% #* UBCare Co., Ltd. 49,822 152,372 0.0% # Ubiquoss, Inc. 67,761 545,245 0.0% #* Ubivelox, Inc. 14,683 236,218 0.0% # UI Display Co., Ltd. 20,641 214,464 0.0% # Uju Electronics Co., Ltd. 33,977 603,530 0.0% # Unid Co., Ltd. 18,175 1,171,782 0.0% # Union Steel 9,090 123,985 0.0% #* Uniquest Corp. 21,430 289,853 0.0% #* Unison Co., Ltd. 106,124 210,870 0.0% Value Added Technologies Co., Ltd. 26,937 431,168 0.0% # Vieworks Co., Ltd. 25,514 645,910 0.0% # Visang Education, Inc. 29,286 301,873 0.0% #* Webzen, Inc. 50,577 335,661 0.0% #* WeMade Entertainment Co., Ltd. 28,607 1,247,140 0.0% # Whanin Pharmaceutical Co., Ltd. 42,680 610,659 0.0% #* WillBes & Co. (The) 246,890 275,472 0.0% #* WiSoL Co., Ltd. 40,461 526,283 0.0% #* WONIK CUBE Corp. 46,904 104,771 0.0% * Wonik IPS Co., Ltd. 140,197 1,404,086 0.0% # Woojeon & Handan Co., Ltd. 84,748 528,595 0.0% #* Woongjin Energy Co., Ltd. 261,630 592,014 0.0% #* Woongjin Holdings Co., Ltd. 11,107 23,684 0.0% #* Woongjin Thinkbig Co., Ltd. 97,668 762,288 0.0% # Wooree ETI Co., Ltd. 151,114 413,304 0.0% * Woori Finance Holdings Co., Ltd. 1,498,010 16,433,170 0.1%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- -------------- --------------- SOUTH KOREA -- (Continued) #* Woori Finance Holdings Co., Ltd. ADR 1,818 $ 60,003 0.0% Woori Investment & Securities Co., Ltd. 710,355 6,016,266 0.1% #* Woori Investment Bank 984,790 433,046 0.0% # WooSung Feed Co., Ltd. 85,910 252,880 0.0% # Y G-1 Co., Ltd. 60,534 675,406 0.0% YESCO Co., Ltd. 12,670 464,683 0.0% # YG Entertainment, Inc. 23,943 1,434,485 0.0% Yoosung Enterprise Co., Ltd. 113,821 535,420 0.0% YooSung T&S Co., Ltd. 39,699 58,780 0.0% Youlchon Chemical Co., Ltd. 56,010 766,191 0.0% # Young Heung Iron & Steel Co., Ltd. 189,290 408,384 0.0% Young Poong Corp. 2,442 2,812,585 0.0% Young Poong Precision Corp. 50,963 479,647 0.0% # Youngone Corp. 67,250 2,748,743 0.0% # Youngone Holdings Co., Ltd. 22,378 1,595,167 0.0% # Yuhan Corp. 30,599 5,382,461 0.1% YuHwa Securities Co., Ltd. 4,830 56,605 0.0% #* Yungjin Pharmaceutical Co., Ltd. 327,963 584,676 0.0% -------------- ---- TOTAL SOUTH KOREA 2,137,327,697 15.0% -------------- ---- TAIWAN -- (13.4%) # A-DATA Technology Co., Ltd. 1,057,000 2,524,785 0.0% Ability Enterprise Co., Ltd. 2,302,893 1,453,176 0.0% AcBel Polytech, Inc. 1,805,468 2,372,363 0.0% Accton Technology Corp. 3,045,369 1,813,678 0.0% # Ace Pillar Co., Ltd. 259,617 209,754 0.0% #* Acer, Inc. 14,203,127 8,783,164 0.1% # ACES Electronic Co., Ltd. 478,000 552,471 0.0% ACHEM Technology Corp. 1,092,264 790,729 0.0% #* Acme Electronics Corp. 156,481 263,394 0.0% # Acter Co., Ltd. 206,000 792,371 0.0% * Action Electronics Co., Ltd. 920,977 183,811 0.0% # Actron Technology Corp. 240,200 1,016,759 0.0% # Adlink Technology, Inc. 468,295 863,666 0.0% # Advanced Ceramic X Corp. 214,000 1,058,921 0.0% #* Advanced Connectek, Inc. 690,000 290,767 0.0% Advanced International Multitech Co., Ltd. 610,000 624,844 0.0% Advanced Semiconductor Engineering, Inc. 15,664,750 18,241,009 0.2% # Advanced Semiconductor Engineering, Inc. ADR 823,972 4,869,674 0.1% #* Advanced Wireless Semiconductor Co. 128,000 87,605 0.0% # Advancetek Enterprise Co., Ltd. 755,896 826,034 0.0% Advantech Co., Ltd. 693,440 4,491,320 0.1% #* AGV Products Corp. 3,449,407 1,087,510 0.0% # AimCore Technology Co., Ltd. 310,402 338,749 0.0% Airtac International Group 356,490 3,834,240 0.1% Alcor Micro Corp. 463,000 631,240 0.0% # ALI Corp. 1,942,000 2,018,721 0.0% # Allis Electric Co., Ltd. 329,000 103,920 0.0% # Alltop Technology Co., Ltd. 85,000 72,982 0.0% Alpha Networks, Inc. 2,047,000 1,623,916 0.0% # Altek Corp. 2,399,085 2,422,722 0.0% # Ambassador Hotel (The) 1,489,000 1,373,923 0.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ----------- --------------- TAIWAN -- (Continued) # AMPOC Far-East Co., Ltd. 540,567 $ 457,872 0.0% AmTRAN Technology Co., Ltd. 4,866,944 3,370,383 0.0% # Anpec Electronics Corp. 678,000 552,880 0.0% Apacer Technology, Inc. 706,918 700,353 0.0% APCB, Inc. 747,000 512,114 0.0% # Apex Biotechnology Corp. 448,625 969,519 0.0% # Apex International Co., Ltd. 303,000 398,771 0.0% Apex Medical Corp. 332,463 387,177 0.0% # Apex Science & Engineering 591,041 364,432 0.0% # Arcadyan Technology Corp. 570,137 895,038 0.0% # Ardentec Corp. 2,306,646 1,960,414 0.0% * Arima Communications Corp. 1,225,153 723,045 0.0% Asia Cement Corp. 7,632,015 10,040,642 0.1% * Asia Optical Co., Inc. 1,502,000 1,499,158 0.0% # Asia Plastic Recycling Holding, Ltd. 374,056 793,423 0.0% # Asia Polymer Corp. 1,938,200 1,502,902 0.0% Asia Vital Components Co., Ltd. 1,744,864 1,116,387 0.0% # ASROCK, Inc. 176,000 670,719 0.0% # Astro Corp. 76,000 100,745 0.0% # Asustek Computer, Inc. 3,011,861 31,139,727 0.2% # Aten International Co., Ltd. 444,715 1,401,007 0.0% #* AU Optronics Corp. 35,361,497 13,443,255 0.1% * AU Optronics Corp. Sponsored ADR 1,500,152 5,640,571 0.1% Audix Corp. 622,969 601,642 0.0% # AURAS Technology Co., Ltd. 115,822 95,225 0.0% Aurora Corp. 407,226 751,421 0.0% AV Tech Corp. 201,000 543,312 0.0% Avermedia Technologies 1,223,037 504,436 0.0% #* Avision, Inc. 904,263 306,403 0.0% AVY Precision Technology, Inc. 266,000 402,964 0.0% # Awea Mechantronic Co., Ltd. 176,774 322,268 0.0% Bank of Kaohsiung 2,231,495 703,127 0.0% # Basso Industry Corp. 621,427 772,170 0.0% * BenQ Materials Corp. 819,000 1,005,709 0.0% # BES Engineering Corp. 9,084,050 2,386,246 0.0% # Bin Chuan Enterprise Co., Ltd. 263,530 189,925 0.0% # Bionet Corp. 260,000 389,396 0.0% # Biostar Microtech International Corp. 896,712 365,636 0.0% # Bizlink Holding, Inc. 262,000 1,380,473 0.0% # Boardtek Electronics Corp. 801,000 901,429 0.0% * Bright Led Electronics Corp. 657,180 342,982 0.0% C Sun Manufacturing, Ltd. 835,740 797,726 0.0% # Cameo Communications, Inc. 1,245,116 369,424 0.0% # Capella Microsystems Taiwan, Inc. 238,234 910,720 0.0% Capital Securities Corp. 10,995,210 3,771,283 0.0% # Career Technology MFG. Co., Ltd. 1,875,000 2,647,320 0.0% Carnival Industrial Corp. 1,889,000 504,964 0.0% #* Carry Technology Co., Ltd. 342,000 240,292 0.0% # Catcher Technology Co., Ltd. 2,233,872 18,861,858 0.2% Cathay Chemical Works 35,000 19,413 0.0% Cathay Financial Holding Co., Ltd. 17,445,238 24,667,301 0.2% Cathay Real Estate Development Co., Ltd. 4,409,000 2,558,452 0.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ----------- --------------- TAIWAN -- (Continued) Celxpert Energy Corp. 108,000 $ 58,382 0.0% #* Center Laboratories, Inc. 281,840 684,660 0.0% Central Reinsurance Co., Ltd. 583,774 312,141 0.0% ChainQui Construction Development Co., Ltd. 425,464 356,991 0.0% # Chaintech Technology Corp. 177,743 253,318 0.0% * Champion Building Materials Co., Ltd. 2,178,390 772,691 0.0% * Chang Ho Fibre Corp. 49,000 16,727 0.0% Chang Hwa Commercial Bank 20,873,499 12,135,457 0.1% # Chang Wah Electromaterials, Inc. 258,800 679,346 0.0% # Channel Well Technology Co., Ltd. 530,000 283,357 0.0% Charoen Pokphand Enterprise 944,000 834,541 0.0% # Chaun-Choung Technology Corp. 437,000 1,162,426 0.0% # CHC Resources Corp. 287,135 668,676 0.0% Chen Full International Co., Ltd. 603,000 614,155 0.0% # Chenbro Micom Co., Ltd. 237,000 364,233 0.0% Cheng Loong Corp. 5,540,160 2,405,595 0.0% Cheng Shin Rubber Industry Co., Ltd. 4,136,508 11,880,827 0.1% Cheng Uei Precision Industry Co., Ltd. 2,600,630 5,234,644 0.1% #* Chenming Mold Industry Corp. 542,708 673,364 0.0% Chia Chang Co., Ltd. 817,000 969,579 0.0% #* Chia Hsin Cement Corp. 2,422,747 1,271,737 0.0% Chicony Electronics Co., Ltd. 1,705,810 4,442,202 0.1% # Chien Kuo Construction Co., Ltd. 1,808,706 818,793 0.0% * Chien Shing Stainless Steel Co., Ltd. 350,000 48,417 0.0% # Chilisin Electronics Corp. 597,201 458,915 0.0% # Chime Ball Technology Co., Ltd. 174,000 516,599 0.0% Chimei Materials Technology Corp. 999,000 1,163,518 0.0% Chin-Poon Industrial Co., Ltd. 1,975,617 3,708,246 0.0% * China Airlines, Ltd. 14,771,057 4,943,666 0.1% China Chemical & Pharmaceutical Co., Ltd. 1,614,000 1,190,995 0.0% China Development Financial Holding Corp. 58,459,924 16,766,824 0.1% # China Ecotek Corp. 160,000 402,608 0.0% China Electric Manufacturing Corp. 1,525,220 642,351 0.0% # China General Plastics Corp. 1,957,160 989,585 0.0% China Glaze Co., Ltd. 719,162 367,347 0.0% China Life Insurance Co., Ltd. 11,187,695 9,801,276 0.1% #* China Man-Made Fiber Corp. 7,151,662 2,420,555 0.0% # China Metal Products 1,385,476 1,598,111 0.0% # China Motor Corp. 3,476,716 3,149,108 0.0% # China Petrochemical Development Corp. 12,584,325 4,961,874 0.1% China Steel Chemical Corp. 436,998 2,521,404 0.0% # China Steel Corp. 29,374,942 24,684,079 0.2% # China Steel Structure Co., Ltd. 633,000 698,144 0.0% # China Synthetic Rubber Corp. 2,746,818 2,629,332 0.0% * China United Trust & Investment Corp. 50,053 -- 0.0% * China Wire & Cable Co., Ltd. 884,000 348,705 0.0% # Chinese Gamer International Corp. 197,000 402,193 0.0% # Chinese Maritime Transport, Ltd. 665,460 784,252 0.0% # Chipbond Technology Corp. 2,519,000 4,314,413 0.1% # Chong Hong Construction Co. 668,551 1,846,767 0.0% # Chroma ATE, Inc. 1,258,705 3,246,803 0.0% * Chun YU Works & Co., Ltd. 1,095,000 461,795 0.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ----------- --------------- TAIWAN -- (Continued) Chun Yuan Steel 2,202,177 $ 923,272 0.0% # Chung Hsin Electric & Machinery Manufacturing Corp. 2,598,000 1,749,353 0.0% * Chung Hung Steel Corp. 4,887,926 1,261,534 0.0% * Chung Hwa Pulp Corp. 2,760,530 825,284 0.0% # Chunghwa Chemical Synthesis & Biotech Co., Ltd. 272,000 384,807 0.0% * Chunghwa Picture Tubes, Ltd. 15,894,759 987,575 0.0% Chunghwa Telecom Co., Ltd. 2,437,000 7,620,624 0.1% # Chunghwa Telecom Co., Ltd. ADR 407,801 12,800,873 0.1% #* Chyang Sheng Dyeing & Finishing Co., Ltd. 667,000 322,929 0.0% # Cleanaway Co., Ltd. 185,000 1,046,277 0.0% Clevo Co. 2,019,482 3,722,621 0.0% #* CMC Magnetics Corp. 16,265,210 2,508,249 0.0% CoAsia Microelectronics Corp. 533,400 265,740 0.0% # Collins Co., Ltd. 712,078 265,444 0.0% Compal Electronics, Inc. 22,487,560 16,043,333 0.1% Compeq Manufacturing Co., Ltd. 6,243,000 4,093,782 0.1% * Concord Securities Corp. 1,021,000 263,616 0.0% Continental Holdings Corp. 2,545,667 966,109 0.0% Coretronic Corp. 4,529,000 5,408,587 0.1% * Cosmo Electronics Corp. 271,245 336,882 0.0% * Cosmos Bank Taiwan 1,441,164 710,950 0.0% Coxon Precise Industrial Co., Ltd. 641,000 1,085,175 0.0% # Creative Sensor, Inc. 389,000 326,299 0.0% #* Crystalwise Technology, Inc. 727,585 731,531 0.0% CSBC Corp. Taiwan 2,729,150 1,656,723 0.0% # CTBC Financial Holding Co., Ltd. 46,193,191 27,483,542 0.2% # CTCI Corp. 2,467,896 3,941,255 0.1% Cub Elecparts, Inc. 20,000 177,411 0.0% # CviLux Corp. 352,672 485,628 0.0% # Cyberlink Corp. 475,504 1,461,025 0.0% # CyberPower Systems, Inc. 219,000 548,170 0.0% # CyberTAN Technology, Inc. 1,456,873 1,421,062 0.0% D-Link Corp. 4,296,924 2,815,474 0.0% # DA CIN Construction Co., Ltd. 785,809 731,545 0.0% #* Da-Li Construction Co., Ltd. 377,044 420,097 0.0% Dafeng TV, Ltd. 252,320 432,539 0.0% #* Danen Technology Corp. 849,000 430,145 0.0% # Darfon Electronics Corp. 1,537,700 1,070,041 0.0% # Davicom Semiconductor, Inc. 359,392 412,654 0.0% # Daxin Materials Corp. 218,000 390,175 0.0% # De Licacy Industrial Co., Ltd. 139,000 55,040 0.0% # Delpha Construction Co., Ltd. 1,153,754 643,287 0.0% Delta Electronics, Inc. 2,670,163 16,393,932 0.1% Depo Auto Parts Ind Co., Ltd. 567,634 2,286,496 0.0% DFI, Inc. 353,571 440,867 0.0% # Dimerco Express Corp. 454,000 273,943 0.0% # DYNACOLOR, Inc. 209,000 544,298 0.0% * Dynamic Electronics Co., Ltd. 1,717,583 644,882 0.0% # Dynapack International Technology Corp. 696,000 1,815,893 0.0% #* E Ink Holdings, Inc. 5,510,000 3,672,302 0.0% # E-Lead Electronic Co., Ltd. 314,846 753,652 0.0% E-LIFE MALL Corp. 329,000 695,352 0.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ----------- --------------- TAIWAN -- (Continued) #* E-Ton Solar Tech Co., Ltd. 2,310,168 $ 1,428,878 0.0% E.Sun Financial Holding Co., Ltd.() 2,027,421 218,197 0.0% E.Sun Financial Holding Co., Ltd.(6433912) 22,256,756 13,462,225 0.1% * Eastern Media International Corp. 2,511,270 1,093,373 0.0% # Eclat Textile Co., Ltd. 511,745 5,610,880 0.1% Edimax Technology Co., Ltd. 1,081,423 522,367 0.0% # Edison Opto Corp. 549,000 653,849 0.0% Edom Technology Co., Ltd. 295,600 182,785 0.0% # eGalax_eMPIA Technology, Inc. 225,790 639,955 0.0% # Elan Microelectronics Corp. 1,690,323 3,130,626 0.0% # Elite Advanced Laser Corp. 374,000 1,404,231 0.0% Elite Material Co., Ltd. 1,733,839 1,550,593 0.0% # Elite Semiconductor Memory Technology, Inc. 1,364,390 2,488,093 0.0% Elitegroup Computer Systems Co., Ltd. 2,817,487 2,088,120 0.0% # eMemory Technology, Inc. 300,000 2,118,728 0.0% ENG Electric Co., Ltd. 702,247 572,167 0.0% EnTie Commercial Bank 2,149,166 954,201 0.0% * Entire Technology Co., Ltd. 12,000 13,659 0.0% * Episil Technologies, Inc. 1,721,000 671,225 0.0% # Epistar Corp. 4,551,898 9,961,165 0.1% # Eternal Chemical Co., Ltd. 3,582,211 3,740,348 0.0% * Etron Technology, Inc. 2,366,000 1,283,588 0.0% * Eva Airways Corp. 7,257,712 3,681,550 0.0% * Everest Textile Co., Ltd. 1,477,064 546,765 0.0% Evergreen International Storage & Transport Corp. 3,362,000 2,063,361 0.0% * Evergreen Marine Corp. Taiwan, Ltd. 9,340,472 5,310,318 0.1% Everlight Chemical Industrial Corp. 2,004,042 1,840,338 0.0% # Everlight Electronics Co., Ltd. 2,020,570 4,734,965 0.1% #* Everspring Industry Co., Ltd. 963,000 1,375,764 0.0% # Excelsior Medical Co., Ltd. 526,049 982,262 0.0% Far Eastern Department Stores, Ltd. 4,323,530 4,027,607 0.1% Far Eastern International Bank 10,035,301 3,524,636 0.0% Far Eastern New Century Corp. 11,173,304 11,448,777 0.1% Far EasTone Telecommunications Co., Ltd. 4,533,000 9,801,185 0.1% Faraday Technology Corp. 1,454,822 1,983,042 0.0% #* Farglory F T Z Investment Holding Co., Ltd. 529,000 411,355 0.0% Farglory Land Development Co., Ltd. 1,675,105 2,747,402 0.0% Federal Corp. 2,546,227 1,819,179 0.0% # Feedback Technology Corp. 215,000 392,413 0.0% # Feng Hsin Iron & Steel Co. 1,901,131 3,187,550 0.0% # Feng TAY Enterprise Co., Ltd. 1,083,163 2,999,316 0.0% Fine Blanking & Tool Co., Ltd. 23,000 38,613 0.0% #* First Copper Technology Co., Ltd. 1,044,000 365,296 0.0% First Financial Holding Co., Ltd. 30,386,969 17,825,330 0.1% First Hotel 824,274 523,018 0.0% # First Insurance Co., Ltd. 1,501,640 936,222 0.0% First Steamship Co., Ltd. 2,017,838 1,177,716 0.0% # FLEXium Interconnect, Inc. 845,713 2,302,209 0.0% # Flytech Technology Co., Ltd. 357,838 1,376,708 0.0% Forhouse Corp. 2,181,304 886,864 0.0% # Formosa Advanced Technologies Co., Ltd. 901,000 693,528 0.0% Formosa Chemicals & Fibre Corp. 8,061,198 19,520,778 0.2%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ----------- --------------- TAIWAN -- (Continued) #* Formosa Epitaxy, Inc. 2,501,797 $ 1,437,003 0.0% # Formosa International Hotels Corp. 121,180 1,425,236 0.0% #* Formosa Laboratories, Inc. 189,178 477,528 0.0% Formosa Oilseed Processing 421,891 180,449 0.0% # Formosa Optical Technology Co., Ltd. 199,000 679,529 0.0% Formosa Petrochemical Corp. 1,883,000 4,736,100 0.1% Formosa Plastics Corp. 8,406,770 21,692,679 0.2% Formosa Taffeta Co., Ltd. 3,607,460 3,772,735 0.0% Formosan Rubber Group, Inc. 2,766,000 2,590,354 0.0% Formosan Union Chemical 1,444,401 703,521 0.0% # Fortune Electric Co., Ltd. 644,304 350,084 0.0% Founding Construction & Development Co., Ltd. 1,003,636 625,612 0.0% # Foxconn Technology Co., Ltd. 3,677,083 9,149,402 0.1% Foxlink Image Technology Co., Ltd. 711,000 526,342 0.0% * Froch Enterprise Co., Ltd. 818,000 287,807 0.0% FSP Technology, Inc. 1,066,414 1,145,609 0.0% Fubon Financial Holding Co., Ltd. 16,386,387 21,208,595 0.2% # Fullerton Technology Co., Ltd. 551,670 497,498 0.0% #* Fulltech Fiber Glass Corp. 1,680,540 691,375 0.0% Fwusow Industry Co., Ltd. 850,334 428,336 0.0% # G Shank Enterprise Co., Ltd. 1,119,445 843,288 0.0% # G Tech Optoelectronics Corp. 1,004,000 1,149,045 0.0% #* Gallant Precision Machining Co., Ltd. 895,000 369,114 0.0% #* Gamania Digital Entertainment Co., Ltd. 555,000 662,689 0.0% GEM Terminal Industrial Co., Ltd. 313,938 126,305 0.0% # Gemtek Technology Corp. 1,890,574 1,708,908 0.0% General Plastic Industrial Co., Ltd. 220,684 257,179 0.0% #* Genesis Photonics, Inc. 1,584,925 1,072,477 0.0% # Genius Electronic Optical Co., Ltd. 308,810 1,061,500 0.0% # Genmont Biotech, Inc. 232,000 353,488 0.0% # GeoVision, Inc. 166,615 907,655 0.0% Getac Technology Corp. 2,426,281 1,293,339 0.0% Giant Manufacturing Co., Ltd. 619,363 4,849,524 0.1% #* Giantplus Technology Co., Ltd. 1,114,000 476,290 0.0% # Giga Solar Materials Corp. 75,850 1,757,303 0.0% Giga Solution Tech Co., Ltd. 565,044 326,013 0.0% Gigabyte Technology Co., Ltd. 2,801,750 4,376,050 0.1% #* Gigastorage Corp. 1,812,728 2,202,661 0.0% Ginko International Co., Ltd. 39,000 656,284 0.0% #* Gintech Energy Corp. 2,452,784 2,524,552 0.0% * Global Brands Manufacture, Ltd. 1,752,973 589,782 0.0% # Global Lighting Technologies, Inc. 402,000 478,863 0.0% Global Mixed Mode Technology, Inc. 444,000 1,398,959 0.0% # Global Unichip Corp. 443,000 1,234,034 0.0% #* Globe Union Industrial Corp. 1,104,019 729,823 0.0% # Gloria Material Technology Corp. 2,712,851 2,200,595 0.0% #* Glotech Industrial Corp. 62,000 15,427 0.0% * Gold Circuit Electronics, Ltd. 2,552,747 700,736 0.0% Goldsun Development & Construction Co., Ltd. 8,198,672 2,894,660 0.0% Good Will Instrument Co., Ltd. 189,290 125,488 0.0% # Gourmet Master Co., Ltd. 197,000 1,596,948 0.0% # Grand Pacific Petrochemical 6,040,000 3,845,750 0.1%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ----------- --------------- TAIWAN -- (Continued) Grape King Bio, Ltd. 421,000 $ 1,887,770 0.0% Great China Metal Industry 886,000 1,151,566 0.0% Great Taipei Gas Co., Ltd. 1,390,000 1,089,821 0.0% Great Wall Enterprise Co., Ltd. 2,322,921 2,406,671 0.0% #* Green Energy Technology, Inc. 1,553,640 1,292,450 0.0% * GTM Corp. 705,000 451,026 0.0% # Gudeng Precision Industrial Co., Ltd. 136,300 245,455 0.0% Hannstar Board Corp. 1,545,875 559,297 0.0% #* HannStar Display Corp. 17,388,631 6,031,598 0.1% * HannsTouch Solution, Inc. 4,733,262 1,297,718 0.0% * Harvatek Corp. 888,316 530,504 0.0% # Hey Song Corp. 1,564,500 1,643,426 0.0% # Hi-Clearance, Inc. 124,000 383,001 0.0% Highwealth Construction Corp. 1,488,682 3,323,805 0.0% # Hiroca Holdings, Ltd. 240,300 891,387 0.0% #* HiTi Digital, Inc. 666,975 427,759 0.0% # Hitron Technology, Inc. 1,239,300 769,466 0.0% # Hiwin Technologies Corp. 505,238 4,812,162 0.1% * Hiyes International Co., Ltd. 2,260 4,117 0.0% # Ho Tung Chemical Corp. 4,952,545 2,209,971 0.0% * Hocheng Corp. 1,565,300 527,269 0.0% Hold-Key Electric Wire & Cable Co., Ltd. 266,901 84,037 0.0% Holiday Entertainment Co., Ltd. 272,400 345,817 0.0% # Holtek Semiconductor, Inc. 840,000 1,512,538 0.0% # Holy Stone Enterprise Co., Ltd. 1,169,822 1,578,869 0.0% Hon Hai Precision Industry Co., Ltd. 31,724,623 91,111,876 0.7% # Hong Ho Precision Textile Co., Ltd. 247,000 232,809 0.0% # Hong TAI Electric Industrial 1,327,000 457,457 0.0% Hong YI Fiber Industry Co. 55,680 22,255 0.0% # Horizon Securities Co., Ltd. 2,822,000 833,662 0.0% # Hota Industrial Manufacturing Co., Ltd. 751,115 1,204,834 0.0% Hotai Motor Co., Ltd. 465,000 5,456,174 0.1% #* Howarm Construction Co., Ltd. 1,029,310 899,615 0.0% # Hsin Kuang Steel Co., Ltd. 1,504,783 957,242 0.0% # Hsin Yung Chien Co., Ltd. 160,000 493,795 0.0% Hsing TA Cement Co. 335,000 158,995 0.0% # HTC Corp. 3,224,619 16,583,071 0.1% # Hu Lane Associate, Inc. 343,688 1,141,730 0.0% HUA ENG Wire & Cable 2,557,000 991,397 0.0% Hua Nan Financial Holdings Co., Ltd. 23,076,435 13,000,507 0.1% # Huaku Development Co., Ltd. 1,295,400 3,174,392 0.0% Huang Hsiang Construction Co. 450,735 685,758 0.0% # Hung Ching Development & Construction Co., Ltd. 681,000 363,928 0.0% Hung Poo Real Estate Development Corp. 1,651,554 1,478,561 0.0% # Hung Sheng Construction, Ltd. 2,873,900 1,862,932 0.0% # Huxen Corp. 239,072 393,998 0.0% * Hwa Fong Rubber Co., Ltd. 1,439,561 1,000,356 0.0% Hwacom Systems, Inc. 163,000 139,512 0.0% I-Chiun Precision Industry Co., Ltd. 1,091,211 788,378 0.0% I-Sheng Electric Wire & Cable Co., Ltd. 621,000 932,194 0.0% # Ibase Technology, Inc. 488,987 949,648 0.0% # Ichia Technologies, Inc. 1,950,255 2,395,127 0.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ----------- --------------- TAIWAN -- (Continued) # IEI Integration Corp. 986,055 $ 1,417,955 0.0% # ILI Technology Corp. 384,081 755,238 0.0% # Infortrend Technology, Inc. 1,397,866 877,399 0.0% #* Innolux Corp. 38,669,561 13,358,410 0.1% #* Inotera Memories, Inc. 8,868,528 9,109,619 0.1% #* Inpaq Technology Co., Ltd. 217,000 260,800 0.0% # Insyde Software Corp. 118,000 231,022 0.0% # Integrated Memory Logic, Ltd. 352,730 966,207 0.0% # International Games System Co., Ltd. 372,000 1,061,557 0.0% Inventec Corp. 10,795,276 9,954,171 0.1% # ITE Technology, Inc. 787,646 865,938 0.0% ITEQ Corp. 1,310,611 1,513,207 0.0% #* J Touch Corp. 778,000 593,979 0.0% * Janfusun Fancyworld Corp. 1,103,468 191,063 0.0% * Jenn Feng New Energy Co., Ltd. 646,000 215,624 0.0% # Jentech Precision Industrial Co., Ltd. 344,156 1,158,265 0.0% Jess-Link Products Co., Ltd. 921,600 870,270 0.0% Jih Sun Financial Holdings Co., Ltd. 4,107,041 1,110,127 0.0% Johnson Health Tech Co., Ltd. 260,198 633,482 0.0% K Laser Technology, Inc. 883,459 473,392 0.0% Kang Na Hsiung Enterprise Co., Ltd. 719,150 345,622 0.0% Kao Hsing Chang Iron & Steel 354,250 152,874 0.0% # Kaori Heat Treatment Co., Ltd. 319,153 762,358 0.0% # Kaulin Manufacturing Co., Ltd. 834,684 734,942 0.0% # KD Holding Corp. 97,000 565,294 0.0% # KEE TAI Properties Co., Ltd. 1,906,101 1,298,466 0.0% Kenda Rubber Industrial Co., Ltd. 1,889,509 4,394,672 0.1% * Kenmec Mechanical Engineering Co., Ltd. 1,282,000 592,276 0.0% # Kerry TJ Logistics Co., Ltd. 1,275,000 1,532,900 0.0% Keysheen Cayman Holdings Co., Ltd. 14,000 23,821 0.0% King Core Electronics, Inc. 77,065 73,289 0.0% King Slide Works Co., Ltd. 158,450 2,066,317 0.0% King Yuan Electronics Co., Ltd. 8,019,032 6,123,653 0.1% King's Town Bank 4,454,653 4,136,409 0.1% * King's Town Construction Co., Ltd. 869,579 726,049 0.0% # Kingdom Construction Co. 1,913,000 1,977,675 0.0% # Kinik Co. 555,000 1,529,363 0.0% # Kinko Optical Co., Ltd. 938,772 864,837 0.0% Kinpo Electronics 7,601,892 2,836,258 0.0% Kinsus Interconnect Technology Corp. 1,108,476 4,191,215 0.1% # KMC Kuei Meng International, Inc. 87,000 381,256 0.0% # KS Terminals, Inc. 578,290 965,012 0.0% # Kung Long Batteries Industrial Co., Ltd. 321,000 1,053,127 0.0% Kung Sing Engineering Corp. 1,961,000 890,124 0.0% # Kuo Toong International Co., Ltd. 857,000 1,456,233 0.0% # Kuoyang Construction Co., Ltd. 2,360,586 1,200,540 0.0% # Kwong Fong Industries 1,298,000 847,077 0.0% KYE Systems Corp. 1,607,736 694,017 0.0% L&K Engineering Co., Ltd. 686,000 612,086 0.0% LAN FA Textile 900,412 278,500 0.0% Largan Precision Co., Ltd. 209,234 13,099,890 0.1% Laser Tek Taiwan Co., Ltd. 22,144 13,463 0.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ----------- --------------- TAIWAN -- (Continued) # LCY Chemical Corp. 2,595,495 $ 2,671,483 0.0% Leader Electronics, Inc. 746,886 344,442 0.0% Leadtrend Technology Corp. 166,926 250,348 0.0% Lealea Enterprise Co., Ltd. 4,199,570 1,475,460 0.0% # Ledtech Electronics Corp. 573,095 368,844 0.0% LEE CHI Enterprises Co., Ltd. 1,148,000 644,162 0.0% # Lelon Electronics Corp. 518,900 505,057 0.0% * Leofoo Development Co. 1,442,614 545,245 0.0% # LES Enphants Co., Ltd. 1,010,479 681,654 0.0% # Lextar Electronics Corp. 1,726,000 1,689,665 0.0% #* Li Peng Enterprise Co., Ltd. 2,998,525 1,402,792 0.0% # Lian HWA Food Corp. 391,788 507,190 0.0% Lien Hwa Industrial Corp. 3,152,809 1,994,899 0.0% Lingsen Precision Industries, Ltd. 2,230,490 1,471,881 0.0% Lite-On Semiconductor Corp. 1,702,000 1,250,172 0.0% Lite-On Technology Corp. 8,191,123 12,530,544 0.1% Long Bon International Co., Ltd. 1,966,875 1,223,230 0.0% Long Chen Paper Co., Ltd. 2,920,380 1,277,642 0.0% # Longwell Co. 627,000 830,541 0.0% Lotes Co., Ltd. 372,920 1,212,685 0.0% * Lucky Cement Corp. 977,000 281,755 0.0% # Lumax International Corp., Ltd. 493,140 1,167,998 0.0% # Lung Yen Life Service Corp. 421,000 1,146,726 0.0% # Macroblock, Inc. 182,000 477,660 0.0% #* Macronix International 23,266,994 5,487,440 0.1% # MacroWell OMG Digital Entertainment Co., Ltd. 130,000 364,995 0.0% # Mag Layers Scientific-Technics Co., Ltd. 98,413 129,558 0.0% # Makalot Industrial Co., Ltd. 558,430 2,936,534 0.0% # Marketech International Corp. 720,000 522,714 0.0% Masterlink Securities Corp. 6,270,000 2,048,091 0.0% Mayer Steel Pipe Corp. 818,905 371,470 0.0% # Maywufa Co., Ltd. 178,462 87,762 0.0% # MediaTek, Inc. 2,003,823 31,399,874 0.2% #* Medigen Biotechnology Corp. 90,955 1,095,883 0.0% Mega Financial Holding Co., Ltd. 29,350,480 22,470,188 0.2% # Meiloon Industrial Co. 497,721 293,738 0.0% Mercuries & Associates, Ltd. 1,668,125 1,105,155 0.0% #* Mercuries Life Insurance Co., Ltd. 309,000 173,030 0.0% Merida Industry Co., Ltd. 529,513 3,550,065 0.0% # Merry Electronics Co., Ltd. 978,661 5,321,171 0.1% Micro-Star International Co., Ltd. 4,720,465 5,173,291 0.1% #* Microbio Co., Ltd. 1,660,358 1,696,336 0.0% #* Microelectronics Technology, Inc. 1,389,448 740,469 0.0% # Microlife Corp. 238,100 646,363 0.0% # MIN AIK Technology Co., Ltd. 624,562 3,384,830 0.0% Mirle Automation Corp. 921,923 838,136 0.0% #* Mitac Holdings Corp. 2,995,568 2,423,772 0.0% # Mobiletron Electronics Co., Ltd. 326,000 491,054 0.0% * Mosel Vitelic, Inc. 2,204,758 438,933 0.0% #* Motech Industries, Inc. 1,953,000 3,309,872 0.0% # MPI Corp. 423,000 1,040,337 0.0% # Nak Sealing Technologies Corp. 256,549 1,165,576 0.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ----------- --------------- TAIWAN -- (Continued) # Namchow Chemical Industrial Co., Ltd. 712,000 $ 1,372,912 0.0% #* Nan Kang Rubber Tire Co., Ltd. 2,462,197 2,799,171 0.0% * Nan Ren Lake Leisure Amusement Co., Ltd. 1,148,000 462,800 0.0% Nan Ya Plastics Corp. 11,697,584 25,651,056 0.2% #* Nan Ya Printed Circuit Board Corp. 1,571,211 2,218,618 0.0% # Nantex Industry Co., Ltd. 1,355,233 850,841 0.0% * Nanya Technology Corp. 1,756,570 288,210 0.0% # National Petroleum Co., Ltd. 736,000 658,112 0.0% #* Neo Solar Power Corp. 3,490,390 4,144,741 0.1% # Netronix, Inc. 370,000 965,871 0.0% New Asia Construction & Development Corp. 873,423 226,533 0.0% # New Era Electronics Co., Ltd. 418,000 516,743 0.0% #* Newmax Technology Co., Ltd. 319,916 708,841 0.0% # Nexcom International Co., Ltd. 253,265 229,266 0.0% # Nichidenbo Corp. 639,880 637,446 0.0% Nien Hsing Textile Co., Ltd. 1,615,093 1,593,700 0.0% # Nishoku Technology, Inc. 121,000 178,756 0.0% # Novatek Microelectronics Corp. 1,919,000 8,895,399 0.1% Nuvoton Technology Corp. 378,000 394,551 0.0% # O-TA Precision Industry Co., Ltd. 103,000 71,801 0.0% #* Ocean Plastics Co., Ltd. 1,000,000 1,341,893 0.0% * Oneness Biotech Co., Ltd. 168,000 350,346 0.0% * Optimax Technology Corp. 204,366 35,555 0.0% # OptoTech Corp. 3,239,713 1,564,419 0.0% * Orient Semiconductor Electronics, Ltd. 2,955,000 834,592 0.0% # Oriental Union Chemical Corp. 3,254,819 3,236,479 0.0% Orise Technology Co., Ltd. 479,000 864,785 0.0% # P-Two Industries, Inc. 82,000 37,140 0.0% Pacific Construction Co. 704,276 208,447 0.0% # Pacific Hospital Supply Co., Ltd. 125,000 323,137 0.0% * Pan Jit International, Inc. 2,040,860 928,342 0.0% # Pan-International Industrial Corp. 2,194,218 1,617,698 0.0% # Parade Technologies, Ltd. 149,805 1,281,359 0.0% # Paragon Technologies Co., Ltd. 403,626 1,102,740 0.0% # PChome Online, Inc. 233,197 1,603,253 0.0% # Pegatron Corp. 8,792,293 13,342,311 0.1% * PharmaEngine, Inc. 111,438 934,155 0.0% Phihong Technology Co., Ltd. 1,536,048 1,029,308 0.0% # Phison Electronics Corp. 568,000 3,868,031 0.1% # Phoenix Tours International, Inc. 241,000 399,426 0.0% #* Phytohealth Corp. 712,878 869,226 0.0% #* Pihsiang Machinery Manufacturing Co., Ltd. 664,000 672,555 0.0% Pixart Imaging, Inc. 769,000 1,506,997 0.0% Plotech Co., Ltd. 216,000 86,012 0.0% # Polytronics Technology Corp. 252,408 602,263 0.0% # Portwell, Inc. 507,000 545,911 0.0% # Posiflex Technologies, Inc. 158,445 824,730 0.0% Pou Chen Corp. 8,886,005 11,314,425 0.1% # Power Mate Technology Co., Ltd. 43,000 89,565 0.0% #* Power Quotient International Co., Ltd. 1,078,400 500,307 0.0% * Powercom Co., Ltd. 844,730 131,512 0.0% # Powertech Industrial Co., Ltd. 410,000 293,645 0.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ----------- --------------- TAIWAN -- (Continued) # Powertech Technology, Inc. 3,884,580 $ 6,286,921 0.1% # Poya Co., Ltd. 189,690 1,183,744 0.0% President Chain Store Corp. 1,130,728 8,413,876 0.1% President Securities Corp. 4,402,213 2,415,017 0.0% # Prime Electronics Satellitics, Inc. 834,511 597,296 0.0% # Prince Housing & Development Corp. 5,561,156 2,574,179 0.0% Princeton Technology Corp. 164,000 56,883 0.0% Prodisc Technology, Inc. 603,000 -- 0.0% # Promate Electronic Co., Ltd. 855,000 1,003,065 0.0% # Promise Technology, Inc. 699,538 925,879 0.0% Protop Technology Co., Ltd. 148,000 -- 0.0% #* Qisda Corp. 10,855,525 3,528,495 0.0% # Qualipoly Chemical Corp. 429,000 355,623 0.0% # Quanta Computer, Inc. 6,228,436 17,089,451 0.1% Quanta Storage, Inc. 1,294,000 1,617,919 0.0% #* Quintain Steel Co., Ltd. 1,819,059 402,127 0.0% # Radiant Opto-Electronics Corp. 1,654,692 6,671,329 0.1% # Radium Life Tech Co., Ltd. 3,362,755 2,635,557 0.0% Ralec Electronic Corp. 126,914 242,929 0.0% # Realtek Semiconductor Corp. 2,083,861 5,949,555 0.1% # Rechi Precision Co., Ltd. 1,412,905 1,518,739 0.0% #* Rexon Industrial Corp., Ltd. 51,559 19,338 0.0% # Rich Development Co., Ltd. 3,015,769 1,419,148 0.0% Richtek Technology Corp. 651,175 3,741,575 0.0% #* Ritek Corp. 17,563,268 2,751,760 0.0% # Rotam Global Agrosciences, Ltd. 261,000 467,584 0.0% # Roundtop Machinery Industries Co., Ltd. 50,000 37,450 0.0% # Ruentex Development Co., Ltd. 2,161,889 3,831,261 0.1% # Ruentex Engineering & Construction Co. 243,000 563,441 0.0% # Ruentex Industries, Ltd. 1,887,779 4,489,560 0.1% # Run Long Construction Co., Ltd. 419,000 401,274 0.0% Sampo Corp. 3,502,119 1,346,813 0.0% # San Fang Chemical Industry Co., Ltd. 750,678 734,588 0.0% San Shing Fastech Corp. 284,500 831,837 0.0% # Sanyang Industry Co., Ltd. 3,578,802 3,277,196 0.0% # SCI Pharmtech, Inc. 214,583 469,472 0.0% # Scientech Corp. 206,000 384,418 0.0% # ScinoPharm Taiwan, Ltd. 617,760 1,681,710 0.0% SDI Corp. 674,000 999,005 0.0% Sea Sonic Electronics Co., Ltd. 47,000 85,887 0.0% # Senao International Co., Ltd. 327,547 862,768 0.0% # Sercomm Corp. 1,068,000 2,153,705 0.0% # Sesoda Corp. 752,812 784,948 0.0% Shan-Loong Transportation Co., Ltd. 150,247 129,124 0.0% Sheng Yu Steel Co., Ltd. 699,000 523,567 0.0% # ShenMao Technology, Inc. 483,450 646,656 0.0% # Shih Her Technologies, Inc. 254,000 605,928 0.0% Shih Wei Navigation Co., Ltd. 1,235,887 831,803 0.0% Shihlin Electric & Engineering Corp. 1,441,787 1,742,944 0.0% * Shihlin Paper Corp. 456,000 646,011 0.0% Shin Hai Gas Corp. 7,364 10,376 0.0% # Shin Kong Financial Holding Co., Ltd. 35,839,032 10,855,164 0.1%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ----------- --------------- TAIWAN -- (Continued) Shin Shin Natural Gas Co. 9,480 $ 10,446 0.0% Shin Zu Shing Co., Ltd. 714,245 1,938,904 0.0% * Shining Building Business Co., Ltd. 1,218,019 973,552 0.0% Shinkong Insurance Co., Ltd. 1,455,784 1,131,817 0.0% # Shinkong Synthetic Fibers Corp. 9,548,844 3,074,382 0.0% # Shinkong Textile Co., Ltd. 867,169 1,093,377 0.0% # Shiny Chemical Industrial Co., Ltd. 289,000 508,594 0.0% Shuttle, Inc. 1,640,000 642,229 0.0% Sigurd Microelectronics Corp. 2,210,877 2,201,252 0.0% #* Silicon Integrated Systems Corp. 3,257,233 926,027 0.0% Silicon Power Computer & Communications, Inc. 303,000 413,563 0.0% Siliconware Precision Industries Co. 7,566,492 11,211,788 0.1% Siliconware Precision Industries Co. Sponsored ADR 456,091 3,384,195 0.0% # Silitech Technology Corp. 800,742 1,085,350 0.0% Simplo Technology Co., Ltd. 1,027,800 5,354,395 0.1% # Sinbon Electronics Co., Ltd. 1,176,000 1,753,484 0.0% Sincere Navigation Corp. 1,904,370 1,658,492 0.0% Singatron Enterprise Co., Ltd. 373,000 195,560 0.0% * Sinkang Industries Co., Ltd. 177,866 70,208 0.0% Sinmag Equipment Corp. 155,455 866,062 0.0% #* Sino-American Silicon Products, Inc. 3,213,000 5,391,184 0.1% # Sinon Corp. 2,189,740 1,280,071 0.0% SinoPac Financial Holdings Co., Ltd. 29,564,621 13,197,050 0.1% # Sinphar Pharmaceutical Co., Ltd. 631,043 1,069,386 0.0% # Sinyi Realty Co. 716,935 1,278,346 0.0% # Sirtec International Co., Ltd. 691,000 1,257,122 0.0% # Sitronix Technology Corp. 660,774 1,311,833 0.0% * Siward Crystal Technology Co., Ltd. 853,705 496,586 0.0% # Soft-World International Corp. 580,000 2,013,650 0.0% Solar Applied Materials Technology Co. 1,770,084 1,573,662 0.0% #* Solartech Energy Corp. 2,002,062 1,504,504 0.0% Solomon Technology Corp. 253,763 162,304 0.0% #* Solytech Enterprise Corp. 1,152,676 389,639 0.0% Sonix Technology Co., Ltd. 758,000 1,425,712 0.0% Southeast Cement Co., Ltd. 1,110,000 588,920 0.0% Spirox Corp. 225,145 108,060 0.0% # Sporton International, Inc. 265,710 1,169,673 0.0% # St Shine Optical Co., Ltd. 173,000 3,673,006 0.0% # Standard Chemical & Pharmaceutical Co., Ltd. 485,040 657,939 0.0% # Standard Foods Corp. 761,010 2,093,696 0.0% # Stark Technology, Inc. 709,400 682,871 0.0% # Sunonwealth Electric Machine Industry Co., Ltd. 698,001 539,290 0.0% #* Sunplus Technology Co., Ltd. 2,039,153 774,899 0.0% # Sunrex Technology Corp. 933,351 416,647 0.0% # Sunspring Metal Corp. 278,000 563,123 0.0% Super Dragon Technology Co., Ltd. 262,330 179,173 0.0% # Supreme Electronics Co., Ltd. 987,875 541,854 0.0% # Swancor Ind Co., Ltd. 208,000 783,383 0.0% Sweeten Construction Co., Ltd. 810,470 528,130 0.0% Syncmold Enterprise Corp. 673,000 1,170,742 0.0% # Synmosa Biopharma Corp. 247,170 325,706 0.0% Synnex Technology International Corp. 5,661,745 8,811,125 0.1%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ------------ --------------- TAIWAN -- (Continued) Sysage Technology Co., Ltd. 406,350 $ 489,785 0.0% Systex Corp. 87,293 172,852 0.0% T-Mac Techvest PCB Co., Ltd. 115,000 85,680 0.0% TA Chen Stainless Pipe 3,638,805 2,026,471 0.0% * Ta Chong Bank, Ltd. 10,331,990 3,442,731 0.0% #* Ta Chong Securities Co., Ltd. 525,000 176,361 0.0% Ta Ya Electric Wire & Cable 2,775,520 677,112 0.0% # Ta Yih Industrial Co., Ltd. 87,000 245,887 0.0% TA-I Technology Co., Ltd. 876,961 483,901 0.0% Tah Hsin Industrial Co., Ltd. 507,000 482,403 0.0% TAI Roun Products Co., Ltd. 263,000 88,464 0.0% # Tai Tung Communication Co., Ltd. 341,056 579,970 0.0% # Taichung Commercial Bank 11,749,659 3,914,515 0.1% # TaiDoc Technology Corp. 208,000 615,792 0.0% # Taiflex Scientific Co., Ltd. 852,000 1,656,166 0.0% # Taimide Tech, Inc. 402,000 416,966 0.0% # Tainan Enterprises Co., Ltd. 730,289 773,013 0.0% # Tainan Spinning Co., Ltd. 6,247,963 4,203,655 0.1% Taishin Financial Holding Co., Ltd. 35,653,646 16,193,855 0.1% #* Taisun Enterprise Co., Ltd. 1,747,578 740,876 0.0% #* Taita Chemical Co., Ltd. 1,184,609 398,641 0.0% # Taiwan Acceptance Corp. 375,000 950,832 0.0% * Taiwan Business Bank 17,802,363 5,194,365 0.1% Taiwan Calsonic Co., Ltd. 30,000 26,874 0.0% Taiwan Cement Corp. 11,831,350 18,799,271 0.2% # Taiwan Chinsan Electronic Industrial Co., Ltd. 437,000 841,195 0.0% Taiwan Cogeneration Corp. 1,743,657 1,157,909 0.0% Taiwan Cooperative Financial Holding Co., Ltd. 23,983,096 12,758,222 0.1% # Taiwan FamilyMart Co., Ltd. 95,000 661,557 0.0% Taiwan Fertilizer Co., Ltd. 3,492,000 6,948,990 0.1% Taiwan Fire & Marine Insurance Co. 986,880 767,343 0.0% Taiwan Flourescent Lamp Co., Ltd. 119,000 -- 0.0% # Taiwan FU Hsing Industrial Co., Ltd. 761,000 784,004 0.0% Taiwan Glass Industry Corp. 4,073,895 3,729,619 0.0% # Taiwan Hon Chuan Enterprise Co., Ltd. 1,341,359 2,766,980 0.0% # Taiwan Hopax Chemicals Manufacturing Co., Ltd. 945,000 765,950 0.0% Taiwan Kolin Co., Ltd. 508,000 -- 0.0% #* Taiwan Land Development Corp. 4,349,110 1,600,249 0.0% * Taiwan Life Insurance Co., Ltd. 2,226,695 1,713,237 0.0% Taiwan Line Tek Electronic 384,871 365,281 0.0% Taiwan Mask Corp. 1,011,050 345,018 0.0% Taiwan Mobile Co., Ltd. 2,538,900 8,195,221 0.1% Taiwan Navigation Co., Ltd. 989,720 728,185 0.0% # Taiwan Paiho, Ltd. 1,564,152 2,056,290 0.0% # Taiwan PCB Techvest Co., Ltd. 1,321,816 1,881,418 0.0% # Taiwan Prosperity Chemical Corp. 880,000 861,183 0.0% #* Taiwan Pulp & Paper Corp. 2,228,260 838,095 0.0% # Taiwan Sakura Corp. 1,395,304 1,001,645 0.0% # Taiwan Sanyo Electric Co., Ltd. 424,650 483,976 0.0% Taiwan Secom Co., Ltd. 964,932 2,446,280 0.0% # Taiwan Semiconductor Co., Ltd. 1,372,000 1,514,229 0.0% Taiwan Semiconductor Manufacturing Co., Ltd. 40,714,652 159,982,333 1.1%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ----------- --------------- TAIWAN -- (Continued) # Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored ADR 964,975 $19,395,997 0.2% Taiwan Sogo Shin Kong SEC 1,115,407 1,509,201 0.0% #* Taiwan Styrene Monomer 2,640,242 1,485,412 0.0% Taiwan Surface Mounting Technology Co., Ltd. 1,235,162 1,847,153 0.0% #* Taiwan TEA Corp. 3,953,896 2,452,346 0.0% # Taiwan Union Technology Corp. 1,122,000 1,096,485 0.0% Taiyen Biotech Co., Ltd. 1,057,910 900,750 0.0% * Tang Eng Iron Works Co., Ltd. 23,000 20,743 0.0% * Tatung Co., Ltd. 13,444,588 4,260,604 0.1% # Te Chang Construction Co., Ltd. 462,860 466,521 0.0% Teco Electric and Machinery Co., Ltd. 8,707,000 9,468,508 0.1% * Tecom Co., Ltd. 408,000 42,016 0.0% #* Tekcore Co., Ltd. 359,000 169,304 0.0% Ten Ren Tea Co., Ltd. 180,170 289,471 0.0% Test Research, Inc. 944,370 1,585,211 0.0% Test-Rite International Co., Ltd. 1,607,166 1,154,075 0.0% # Tex-Ray Industrial Co., Ltd. 651,000 289,514 0.0% # ThaiLin Semiconductor Corp. 856,000 594,487 0.0% Thinking Electronic Industrial Co., Ltd. 471,058 781,630 0.0% Thye Ming Industrial Co., Ltd. 939,992 1,083,327 0.0% TNC Industrial Corp., Ltd. 71,000 41,179 0.0% # Ton Yi Industrial Corp. 3,340,300 3,559,006 0.0% # Tong Hsing Electronic Industries, Ltd. 607,534 3,266,389 0.0% Tong Yang Industry Co., Ltd. 2,058,341 2,954,208 0.0% Tong-Tai Machine & Tool Co., Ltd. 1,195,210 1,210,553 0.0% Topco Scientific Co., Ltd. 839,010 1,567,182 0.0% # Topco Technologies Corp. 196,000 501,065 0.0% # Topoint Technology Co., Ltd. 882,771 633,949 0.0% # Toung Loong Textile Manufacturing 327,000 936,081 0.0% # Trade-Van Information Services Co. 334,000 287,995 0.0% # Transasia Airways Corp. 791,000 307,818 0.0% # Transcend Information, Inc. 640,870 2,116,934 0.0% Tripod Technology Corp. 2,047,660 4,036,036 0.1% Tsann Kuen Enterprise Co., Ltd. 553,441 782,377 0.0% # TSC Auto ID Technology Co., Ltd. 65,000 528,316 0.0% TSRC Corp. 1,850,147 2,716,829 0.0% # Ttet Union Corp. 221,000 555,798 0.0% # TTFB Co., Ltd. 25,000 246,221 0.0% # TTY Biopharm Co., Ltd. 648,539 2,030,151 0.0% # Tung Ho Steel Enterprise Corp. 5,229,645 4,463,708 0.1% Tung Ho Textile Co., Ltd. 561,000 180,400 0.0% # Tung Thih Electronic Co., Ltd. 268,848 1,099,643 0.0% # TURVO International Co., Ltd. 119,000 543,603 0.0% # TXC Corp. 1,580,762 2,283,995 0.0% * TYC Brother Industrial Co., Ltd. 1,065,333 676,190 0.0% #* Tycoons Group Enterprise 2,870,121 508,812 0.0% * Tyntek Corp. 2,097,419 707,888 0.0% TZE Shin International Co., Ltd. 243,662 90,098 0.0% U-Ming Marine Transport Corp. 1,823,200 3,070,159 0.0% * U-Tech Media Corp. 250,000 58,988 0.0% # Ubright Optronics Corp. 207,000 492,085 0.0% Uni-President Enterprises Corp. 12,746,238 21,579,350 0.2%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ----------- --------------- TAIWAN -- (Continued) Unic Technology Corp. 245,439 $ 99,724 0.0% # Unimicron Technology Corp. 8,495,563 7,231,169 0.1% #* Union Bank Of Taiwan 3,821,592 1,361,430 0.0% #* Union Insurance Co., Ltd. 309,397 200,389 0.0% Unitech Computer Co., Ltd. 390,365 210,312 0.0% * Unitech Printed Circuit Board Corp. 3,194,921 1,246,292 0.0% United Integrated Services Co., Ltd. 1,168,800 1,277,416 0.0% # United Microelectronics Corp. 54,371,441 23,706,769 0.2% # Unity Opto Technology Co., Ltd. 1,734,276 2,144,238 0.0% # Universal Cement Corp. 2,363,773 2,264,551 0.0% #* Unizyx Holding Corp. 2,402,496 1,333,783 0.0% UPC Technology Corp. 4,370,471 1,941,727 0.0% # Userjoy Technology Co., Ltd. 107,000 217,815 0.0% USI Corp. 4,099,557 2,594,745 0.0% Vanguard International Semiconductor Corp. 2,757,000 3,778,163 0.0% # Ve Wong Corp. 692,524 529,855 0.0% #* Via Technologies, Inc. 527,549 379,822 0.0% # Viking Tech Corp. 220,464 195,676 0.0% # Visual Photonics Epitaxy Co., Ltd. 1,220,966 1,300,034 0.0% # Vivotek, Inc. 202,390 974,622 0.0% #* Wafer Works Corp. 2,105,000 1,076,978 0.0% Wah Hong Industrial Corp. 327,280 332,783 0.0% Wah Lee Industrial Corp. 1,067,000 2,042,430 0.0% * Walsin Lihwa Corp. 21,910,307 7,197,539 0.1% * Walsin Technology Corp. 3,520,551 1,051,692 0.0% * Walton Advanced Engineering, Inc. 1,725,662 716,299 0.0% Wan Hai Lines, Ltd. 4,495,026 2,243,024 0.0% WAN HWA Enterprise Co. 451,575 220,137 0.0% Waterland Financial Holdings Co., Ltd. 5,971,594 1,872,120 0.0% Ways Technical Corp., Ltd. 460,000 722,596 0.0% * WEI Chih Steel Industrial Co., Ltd. 383,000 60,947 0.0% # Wei Chuan Foods Corp. 1,529,000 2,275,005 0.0% * Wei Mon Industry Co., Ltd. 2,067,674 654,930 0.0% Weikeng Industrial Co., Ltd. 1,049,450 826,143 0.0% # Well Shin Technology Co., Ltd. 395,443 723,970 0.0% Weltrend Semiconductor 346,848 320,545 0.0% Wha Yu Industrial Co., Ltd. 59,000 31,634 0.0% # Win Semiconductors Corp. 3,201,000 2,861,770 0.0% #* Winbond Electronics Corp. 19,099,000 5,755,506 0.1% #* Wintek Corp. 11,489,754 3,850,851 0.1% # Wisdom Marine Lines Co., Ltd. 1,130,190 1,359,234 0.0% # Wistron Corp. 11,994,746 10,022,856 0.1% Wistron NeWeb Corp. 1,218,194 2,846,364 0.0% WPG Holdings, Ltd. 6,300,041 7,750,485 0.1% # WT Microelectronics Co., Ltd. 1,866,836 2,549,077 0.0% WUS Printed Circuit Co., Ltd. 1,704,000 905,684 0.0% # X-Legend Entertainment Co., Ltd. 87,500 474,801 0.0% # XAC Automation Corp. 371,000 547,944 0.0% # Xxentria Technology Materials Corp. 650,000 1,840,501 0.0% # Yageo Corp. 8,859,800 4,218,743 0.1% * Yang Ming Marine Transport Corp. 9,510,157 3,894,938 0.1% # YC Co., Ltd. 2,097,650 1,525,568 0.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- -------------- --------------- TAIWAN -- (Continued) YC INOX Co., Ltd. 2,002,691 $ 1,859,730 0.0% # YeaShin International Development Co., Ltd. 1,086,282 764,413 0.0% # Yeong Guan Energy Technology Group Co., Ltd. 233,000 1,029,438 0.0% # YFY, Inc. 7,993,997 3,524,352 0.0% #* Yi Jinn Industrial Co., Ltd. 1,304,020 367,484 0.0% * Yieh Phui Enterprise Co., Ltd. 6,076,789 1,878,663 0.0% # Yonyu Plastics Co., Ltd 264,000 332,806 0.0% # Young Fast Optoelectronics Co., Ltd. 836,137 813,757 0.0% # Young Optics, Inc. 375,214 744,820 0.0% # Youngtek Electronics Corp. 589,786 1,252,130 0.0% Yuanta Financial Holding Co., Ltd. 36,467,563 18,204,032 0.2% Yufo Electronics Co., Ltd. 108,000 70,844 0.0% # Yulon Motor Co., Ltd. 4,475,715 6,964,746 0.1% Yung Chi Paint & Varnish Manufacturing Co., Ltd. 356,350 944,980 0.0% # Yungshin Construction & Development Co. 160,000 407,841 0.0% # YungShin Global Holding Corp. 758,000 1,390,137 0.0% # Yungtay Engineering Co., Ltd. 1,524,000 4,496,353 0.1% # Zeng Hsing Industrial Co., Ltd. 272,974 1,539,808 0.0% # Zenitron Corp. 1,098,000 649,359 0.0% # Zhen Ding Technology Holding, Ltd. 907,150 2,634,375 0.0% * Zig Sheng Industrial Co., Ltd. 2,833,638 864,687 0.0% Zinwell Corp. 1,711,979 1,760,807 0.0% # Zippy Technology Corp. 565,028 1,033,584 0.0% # ZongTai Real Estate Development Co., Ltd. 365,150 320,409 0.0% -------------- ---- TOTAL TAIWAN 2,068,871,446 14.5% -------------- ---- THAILAND -- (2.8%) AAPICO Hitech PCL 751,080 341,189 0.0% Advanced Info Service PCL 1,845,809 13,803,640 0.1% Airports of Thailand PCL 1,357,500 8,180,238 0.1% * AJ Plast PCL 1,550,300 476,684 0.0% Amarin Printing & Publishing PCL 46,970 23,949 0.0% Amata Corp. PCL 2,960,700 1,436,434 0.0% AP Thailand PCL 7,499,160 1,320,927 0.0% * Asia Green Energy PCL 2,318,500 176,252 0.0% Asia Plus Securities PCL(B081WP3) 4,269,200 461,749 0.0% Asia Plus Securities PCL(B081Z10) 1,260,100 136,290 0.0% Asian Insulators PCL 1,399,700 532,024 0.0% Bangchak Petroleum PCL (The) 3,745,000 3,703,337 0.0% Bangkok Aviation Fuel Services PCL 1,110,054 1,080,553 0.0% Bangkok Bank PCL(6368360) 1,415,100 8,243,089 0.1% Bangkok Bank PCL(6077019) 1,321,500 7,718,279 0.1% Bangkok Chain Hospital PCL 6,492,050 1,474,554 0.0% Bangkok Dusit Medical Services PCL 16,747,000 7,659,320 0.1% Bangkok Expressway PCL 2,235,400 2,365,960 0.0% Bangkok Insurance PCL 14,840 158,214 0.0% Bangkok Land PCL(6712912) 59,874,100 3,015,908 0.0% Bangkok Land PCL(6712893) 2,802,700 141,174 0.0% Bangkok Life Assurance PCL 1,762,000 3,852,333 0.0% * Bangkok Metro PCL 46,673,408 1,298,086 0.0% Banpu PCL 6,025,740 5,586,286 0.1% BEC World PCL 1,840,100 3,113,272 0.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ----------- ----------- --------------- THAILAND -- (Continued) Berli Jucker PCL 2,153,500 $ 3,177,677 0.0% Big C Supercenter PCL(6763932) 304,900 1,790,204 0.0% Big C Supercenter PCL(6368434) 604,100 3,546,941 0.0% Bumrungrad Hospital PCL 988,000 2,992,089 0.0% Cal-Comp Electronics Thailand PCL 11,187,592 891,965 0.0% Central Pattana PCL 4,269,700 5,970,455 0.1% Central Plaza Hotel PCL 2,601,800 2,492,454 0.0% CH Karnchang PCL 3,834,700 2,192,273 0.0% Charoen Pokphand Foods PCL 11,374,300 9,490,300 0.1% Charoong Thai Wire & Cable PCL 1,034,400 295,680 0.0% Christiani & Nielsen Thai 692,700 110,241 0.0% Country Group Securities PCL 4,415,811 186,949 0.0% CP ALL PCL 5,692,100 7,387,769 0.1% CS Loxinfo PCL 1,201,900 382,558 0.0% Delta Electronics Thailand PCL 2,342,000 4,125,278 0.1% Demco PCL 1,623,800 456,631 0.0% Dhipaya Insurance PCL 250,200 313,137 0.0% Diamond Building Products PCL 1,880,400 351,558 0.0% DSG International Thailand PCL 1,731,900 610,125 0.0% Dynasty Ceramic PCL 568,800 922,806 0.0% Eastern Water Resources Development and Management PCL 2,896,900 984,731 0.0% Electricity Generating PCL(6304643) 565,000 2,295,967 0.0% Electricity Generating PCL(6368553) 161,000 654,249 0.0% Erawan Group PCL (The) 6,605,800 779,795 0.0% * Esso Thailand PCL 9,460,100 1,827,121 0.0% * G J Steel PCL 100,918,450 187,117 0.0% * G Steel PCL 22,734,200 105,381 0.0% GFPT PCL 3,238,222 1,410,968 0.0% Glow Energy PCL 2,009,900 4,829,101 0.1% * GMM Grammy PCL 1,256,460 636,772 0.0% * Golden Land Property Development PCL(6368586) 816,400 180,385 0.0% * Golden Land Property Development PCL(6375296) 664,800 146,889 0.0% Grand Canal Land PCL 3,924,900 422,084 0.0% * Grande Asset Hotels & Property PCL 886,200 44,912 0.0% Gunkul Engineering PCL 1,881,200 784,802 0.0% Hana Microelectronics PCL 2,224,857 2,217,294 0.0% Hemaraj Land and Development PCL(6710046) 374,400 41,189 0.0% Hemaraj Land and Development PCL(6710165) 21,216,200 2,334,044 0.0% Home Product Center PCL 11,862,019 3,280,750 0.0% ICC International PCL 51,000 62,253 0.0% Indorama Ventures PCL 9,285,000 6,828,894 0.1% Intouch Holdings PCL 449,800 1,084,190 0.0% IRPC PCL 46,980,290 5,342,629 0.1% * Italian-Thai Development PCL 11,803,719 1,342,327 0.0% * ITV PCL 183,700 -- 0.0% Jasmine International PCL 9,828,400 2,520,881 0.0% Jay Mart PCL 1,275,375 595,122 0.0% Jubilee Enterprise PCL 71,100 58,774 0.0% Kang Yong Electric PCL 500 4,342 0.0% Kasikornbank PCL(6888794) 1,478,800 8,979,734 0.1% Kasikornbank PCL(6364766) 2,289,500 13,548,803 0.1% KCE Electronics PCL 1,292,282 1,397,709 0.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ----------- --------------- THAILAND -- (Continued) KGI Securities Thailand PCL 5,950,300 $ 533,247 0.0% Khon Kaen Sugar Industry PCL 3,669,100 1,587,373 0.0% Kiatnakin Bank PCL 2,548,607 3,386,591 0.0% Krung Thai Bank PCL 26,958,075 15,078,528 0.1% Krungthai Card PCL 115,200 128,158 0.0% Laguna Resorts & Hotels PCL 10,800 10,346 0.0% Lam Soon Thailand PCL 354,600 45,147 0.0% Land and Houses PCL(6581930) 3,326,700 1,038,309 0.0% Land and Houses PCL(6581941) 11,949,400 3,655,719 0.0% Lanna Resources PCL 1,396,150 556,562 0.0% LH Financial Group PCL 5,240,926 291,522 0.0% Loxley PCL 6,053,168 748,228 0.0% LPN Development PCL(B00PXK5) 301,300 162,009 0.0% LPN Development PCL(B00Q643) 2,768,800 1,488,786 0.0% Major Cineplex Group PCL 2,046,000 1,213,943 0.0% Maybank Kim Eng Securities Thailand PCL 188,700 124,206 0.0% MBK PCL 3,601,000 1,691,446 0.0% MCOT PCL 1,296,800 1,142,114 0.0% Minor International PCL 6,092,561 4,631,551 0.1% Modernform Group PCL 333,600 96,905 0.0% Muang Thai Insurance PCL 1,300 4,339 0.0% Muramoto Electron Thailand PCL 7,400 56,483 0.0% Nation Multimedia Group PCL 8,227,000 350,842 0.0% * Natural Park PCL 38,391,200 71,183 0.0% Nava Nakorn PCL 405,800 27,588 0.0% Noble Development PCL 56,100 20,110 0.0% * Padaeng Industry PCL 192,800 81,624 0.0% Polyplex Thailand PCL 2,084,400 640,908 0.0% Precious Shipping PCL 2,686,400 2,282,942 0.0% Premier Marketing PCL 166,800 47,937 0.0% President Bakery PCL 1,800 2,434 0.0% Property Perfect PCL 16,937,200 491,995 0.0% Pruksa Real Estate PCL 5,612,600 3,885,112 0.1% PTT Exploration & Production PCL 4,504,769 22,203,667 0.2% PTT Global Chemical PCL 6,530,911 14,076,979 0.1% PTT PCL 3,219,880 31,144,080 0.2% Quality Houses PCL 21,293,175 2,145,110 0.0% * Raimon Land PCL 8,668,600 433,966 0.0% Ratchaburi Electricity Generating Holding PCL(6294249) 1,262,300 2,077,178 0.0% Ratchaburi Electricity Generating Holding PCL(6362771) 737,200 1,213,100 0.0% * Regional Container Lines PCL 1,777,100 345,974 0.0% Robinson Department Store PCL 1,541,700 2,405,929 0.0% Rojana Industrial Park PCL 3,591,000 798,986 0.0% RS PCL 2,153,800 562,411 0.0% Saha-Union PCL 630,900 735,985 0.0% * Sahaviriya Steel Industries PCL 56,963,780 633,713 0.0% Samart Corp. PCL 2,335,000 1,486,434 0.0% Samart I-Mobile PCL 8,122,900 853,457 0.0% Samart Telcoms PCL 1,474,400 728,999 0.0% Sansiri PCL 25,513,464 1,505,894 0.0% SC Asset Corp PCL 10,912,037 1,159,994 0.0% Siam Cement PCL (The)(6609906) 129,300 1,742,114 0.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ----------- --------------- THAILAND -- (Continued) Siam Cement PCL (The)(6609928) 526,000 $ 7,054,512 0.1% Siam City Cement PCL(6806387) 324,300 3,868,350 0.0% Siam City Cement PCL(6363194) 19,700 234,988 0.0% Siam Commercial Bank PCL (The) 3,359,869 17,183,508 0.1% * Siam Commercial Samaggi Insurance PCL (The) 38,300 32,252 0.0% Siam Future Development PCL 3,968,588 686,777 0.0% Siam Global House PCL 5,125,905 2,138,434 0.0% Siamgas & Petrochemicals PCL 2,441,200 1,569,127 0.0% Singer Thailand PCL 56,400 29,978 0.0% Sino Thai Engineering & Construction PCL 3,015,571 1,733,301 0.0% SNC Former PCL 472,000 246,502 0.0% Somboon Advance Technology PCL 1,197,625 640,263 0.0% * SPCG PCL 1,621,200 1,062,096 0.0% Sri Ayudhya Capital PCL 193,100 168,575 0.0% Sri Trang Agro-Industry PCL 3,601,400 1,647,117 0.0% Srithai Superware PCL 797,500 622,277 0.0% * Stars Microelectronics Thailand PCL 663,900 145,664 0.0% STP & I PCL 2,912,112 1,916,810 0.0% Supalai PCL 3,937,200 2,372,540 0.0% Susco PCL 2,397,300 228,173 0.0% SVI PCL 4,661,828 633,870 0.0% Symphony Communication PCL 351,700 194,544 0.0% * Tata Steel Thailand PCL 12,546,700 302,424 0.0% * Thai Airways International PCL 6,059,937 2,434,462 0.0% Thai Carbon Black PCL 157,300 130,030 0.0% Thai Central Chemical PCL 192,400 162,018 0.0% Thai Factory Development PCL 1,959,380 414,764 0.0% Thai Metal Trade PCL 396,500 127,429 0.0% Thai Oil PCL 3,835,000 6,192,174 0.1% Thai Rayon PCL 20,400 21,907 0.0% * Thai Reinsurance PCL 1,452,466 145,426 0.0% Thai Rung Union Car PCL 439,000 94,285 0.0% Thai Stanley Electric PCL(B01GKK6) 150,500 990,621 0.0% Thai Stanley Electric PCL(B01GKM8) 5,600 36,860 0.0% Thai Union Frozen Products PCL 2,109,590 4,563,390 0.1% Thai Vegetable Oil PCL 2,047,125 1,511,937 0.0% Thai-German Ceramic Industry PCL 2,362,200 226,292 0.0% Thaicom PCL 2,119,000 2,652,024 0.0% Thanachart Capital PCL 3,772,300 4,050,909 0.1% Thitikorn PCL 738,400 227,042 0.0% * Thoresen Thai Agencies PCL 3,773,000 2,413,507 0.0% Ticon Industrial Connection PCL 2,395,687 1,184,518 0.0% Tipco Asphalt PCL 592,100 1,001,776 0.0% * TIPCO Foods PCL 1,182,000 290,386 0.0% Tisco Financial Group PCL(B3KFW10) 284,790 349,827 0.0% Tisco Financial Group PCL(B3KFW76) 1,942,300 2,385,860 0.0% TMB Bank PCL 84,195,113 5,984,201 0.1% Total Access Communication PCL(B231MK7) 200,000 772,559 0.0% Total Access Communication PCL(B1YWK08) 1,654,500 6,365,428 0.1% Toyo-Thai Corp. PCL(B5ML0B6) 756,468 888,312 0.0% Toyo-Thai Corp. PCL(B5ML0D8) 195,104 229,109 0.0% TPI Polene PCL 5,891,661 2,166,587 0.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ------------ --------------- THAILAND -- (Continued) * True Corp. PCL 18,601,515 $ 3,880,106 0.0% TTW PCL 8,588,300 2,653,986 0.0% Union Mosaic Industry PCL (The) 2,429,150 615,545 0.0% Unique Engineering & Construction PCL 2,201,700 496,675 0.0% Univanich Palm Oil PCL 477,000 153,300 0.0% Univentures PCL 5,435,900 1,318,659 0.0% * Vanachai Group PCL 2,267,900 280,334 0.0% Vibhavadi Medical Center PCL 2,838,480 1,157,847 0.0% Vinythai PCL 2,320,500 767,285 0.0% * Workpoint Entertainment PCL 560,700 463,496 0.0% ------------ --- TOTAL THAILAND 425,257,152 3.0% ------------ --- TURKEY -- (2.0%) Adana Cimento Sanayii TAS Class A 408,542 791,577 0.0% # Adel Kalemcilik Ticaret ve Sanayi A.S. 21,684 552,800 0.0% #* Adese Alisveris Merkezleri Ticaret A.S. 79,664 656,894 0.0% # Akbank TAS 6,121,964 21,492,484 0.2% Akcansa Cimento A.S. 308,866 1,804,638 0.0% #* Akenerji Elektrik Uretim A.S. 2,175,789 1,333,195 0.0% # Akfen Holding A.S. 604,903 1,269,392 0.0% Aksa Akrilik Kimya Sanayii 818,404 2,854,215 0.0% Aksigorta A.S. 858,752 1,184,264 0.0% Alarko Holding A.S. 797,997 1,838,026 0.0% Albaraka Turk Katilim Bankasi A.S. 2,289,489 1,817,752 0.0% # Alkim Alkali Kimya A.S. 35,326 247,634 0.0% * Anadolu Anonim Tuerk Sigorta Sirketi 1,642,312 1,130,112 0.0% # Anadolu Cam Sanayii A.S. 889,846 798,715 0.0% Anadolu Efes Biracilik Ve Malt Sanayii A.S. 689,135 8,265,014 0.1% # Anadolu Hayat Emeklilik A.S. 311,616 654,067 0.0% #* Anadolu Isuzu Otomotiv Sanayi Ve Ticaret A.S. 60,803 682,795 0.0% # Arcelik A.S. 1,047,739 6,476,286 0.1% # Aselsan Elektronik Sanayi Ve Ticaret A.S. 257,286 1,145,613 0.0% #* Asya Katilim Bankasi A.S. 3,714,712 2,867,370 0.0% # Aygaz A.S. 271,764 1,125,116 0.0% #* Bagfas Bandirma Gubre Fabrik 32,894 664,784 0.0% #* Banvit Bandirma Vitaminli Yem Sanayii ASA 217,870 245,766 0.0% * Baticim Bati Anadolu Cimento Sanayii A.S. 195,186 560,102 0.0% #* Besiktas Futbol Yatirimlari Sanayi ve Ticaret A.S. 550,859 541,353 0.0% # BIM Birlesik Magazalar A.S. 471,453 10,913,456 0.1% # Bizim Toptan Satis Magazalari A.S. 143,339 1,360,493 0.0% Bolu Cimento Sanayii A.S. 310,316 375,559 0.0% # Borusan Mannesmann Boru Sanayi ve Ticaret A.S. 532,667 1,739,468 0.0% * Bosch Fren Sistemleri 584 35,792 0.0% * Boyner Buyuk Magazacilik 173,861 483,587 0.0% * Boyner Perakende Ve Tekstil Yatirimlari AS 81,444 2,070,264 0.0% Brisa Bridgestone Sabanci Sanayi ve Ticaret A.S. 264,274 787,992 0.0% Bursa Cimento Fabrikasi A.S. 125,366 250,216 0.0% Celebi Hava Servisi A.S. 24,995 190,227 0.0% Cimsa Cimento Sanayi VE Tica 277,263 1,619,539 0.0% Coca-Cola Icecek A.S. 150,009 3,523,126 0.0% #* Deva Holding A.S. 449,751 378,050 0.0% #* Dogan Sirketler Grubu Holding A.S. 5,628,222 1,926,003 0.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ----------- --------------- TURKEY -- (Continued) #* Dogan Yayin Holding A.S. 3,050,174 $ 739,459 0.0% Dogus Otomotiv Servis ve Ticaret A.S. 501,655 1,906,554 0.0% * Dyo Boya Fabrikalari Sanayi ve Ticaret A.S. 600,932 485,182 0.0% * Eczacibasi Yapi Gerecleri Sanayi ve Ticaret A.S. 150,885 314,270 0.0% # Eczacibasi Yatirim Holding Ortakligi A.S. 329,650 832,154 0.0% EGE Seramik Sanayi ve Ticaret A.S. 748,248 1,023,998 0.0% EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve Ticaret A.S. 1,588,556 1,741,334 0.0% Enka Insaat ve Sanayi A.S. 1,734,517 5,272,511 0.1% # Eregli Demir ve Celik Fabrikalari TAS 9,345,749 13,004,385 0.1% #* Fenerbahce Futbol A.S. 54,267 861,751 0.0% # Ford Otomotiv Sanayi A.S. 241,991 2,738,224 0.0% #* Galatasaray Sportif Sinai ve Ticari Yatirimlar A.S. 66,447 728,151 0.0% Gentas Genel Metal Sanayi ve Ticaret A.S. 373,621 235,819 0.0% Global Yatirim Holding A.S. 1,667,335 980,496 0.0% Goldas Kuyumculuk Sanayi Ithalat ve Ihracat A.S. 61,429 1,135 0.0% Goltas Goller Bolgesi Cimento Sanayi ve Ticaret A.S. 55,701 1,456,223 0.0% Goodyear Lastikleri TAS 40,813 1,295,686 0.0% * Gozde Girisim Sermayesi Yatirim Ortakligi A.S. 423,927 548,325 0.0% #* GSD Holding 1,999,318 1,424,787 0.0% * Gubre Fabrikalari TAS 651,687 1,297,627 0.0% * Gunes Sigorta 249,174 224,792 0.0% * Hurriyet Gazetecilik A.S. 1,093,213 311,627 0.0% * Ihlas EV Aletleri 269,519 46,062 0.0% #* Ihlas Holding A.S. 7,195,890 1,160,799 0.0% #* Ihlas Madencilik A.S. 201,541 201,314 0.0% Indeks Bilgisayar Sistemleri Muhendislik Sanayi ve Ticaret A.S. 88,652 167,310 0.0% #* Ipek Dogal Enerji Kaynaklari Ve Uretim A.S. 753,290 955,862 0.0% Is Finansal Kiralama A.S. 715,178 332,139 0.0% Is Yatirim Menkul Degerler A.S. Class A 176,359 103,602 0.0% #* Izmir Demir Celik Sanayi A.S. 491,666 667,633 0.0% * Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class A 1,057,590 1,197,357 0.0% * Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class B 522,824 807,553 0.0% #* Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class D 5,090,893 3,656,604 0.0% #* Karsan Otomotiv Sanayii Ve Ticaret A.S. 1,790,184 884,383 0.0% # Kartonsan Karton Sanayi ve Ticaret A.S. 9,507 1,083,204 0.0% #* Kerevitas Gida Sanayi ve Ticaret A.S. 6,569 119,970 0.0% # KOC Holding A.S. 2,142,916 9,602,779 0.1% Konya Cimento Sanayii A.S. 9,266 1,177,019 0.0% Kordsa Global Endustriyel Iplik ve Kord Bezi Sanayi ve Ticaret A.S. 53,632 103,044 0.0% # Koza Altin Isletmeleri A.S. 203,663 2,042,281 0.0% #* Koza Anadolu Metal Madencilik Isletmeleri A.S. 1,358,132 1,638,799 0.0% Mardin Cimento Sanayii ve Ticaret A.S. 195,187 429,358 0.0% #* Marshall Boya ve Vernik 37,228 664,985 0.0% * Menderes Tekstil Sanayi ve Ticaret A.S. 187,627 49,947 0.0% * Metro Ticari ve Mali Yatirimlar Holding A.S. 1,513,273 474,465 0.0% #* Migros Ticaret A.S. 168,332 1,521,601 0.0% * Milpa 38,434 18,771 0.0% #* Mondi Tire Kutsan Kagit Ve Ambalaj Sanayii A.S. 192,675 92,381 0.0% # NET Holding A.S. 1,080,794 1,225,056 0.0% # Netas Telekomunikasyon A.S. 132,095 455,227 0.0% Nuh Cimento Sanayi A.S. 187,430 891,033 0.0% # Otokar Otomotiv Ve Savunma Sanayi A.S. 65,873 1,636,140 0.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- --------------- --------------- TURKEY -- (Continued) * Park Elektrik Uretim Madencilik Sanayi ve Ticaret A.S. 438,163 $ 820,829 0.0% #* Petkim Petrokimya Holding A.S. 4,885,242 6,966,355 0.1% Pinar Entegre Et ve Un Sanayi A.S. 84,385 395,899 0.0% Pinar SUT Mamulleri Sanayii A.S. 107,752 932,616 0.0% Sarkuysan Elektrolitik Bakir Sanayi ve Ticaret A.S. 202,915 295,776 0.0% * Sasa Polyester Sanayi A.S. 1,412,522 838,510 0.0% * Sekerbank TAS 2,526,931 2,364,149 0.0% Selcuk Ecza Deposu Ticaret ve Sanayi A.S. 996,327 941,337 0.0% Soda Sanayii A.S. 727,330 1,077,017 0.0% * Tat Gida Sanayi A.S. 761,951 781,851 0.0% TAV Havalimanlari Holding A.S. 608,409 4,885,011 0.1% # Tekfen Holding A.S. 1,337,463 3,386,840 0.0% Teknosa Ic Ve Dis Ticaret A.S. 139,705 796,380 0.0% #* Tekstil Bankasi A.S. 1,044,262 963,096 0.0% Tofas Turk Otomobil Fabrikasi A.S. 472,900 2,902,561 0.0% Trakya Cam Sanayi A.S. 3,121,837 3,560,664 0.0% Tupras Turkiye Petrol Rafinerileri A.S. 408,430 9,239,850 0.1% # Turcas Petrol A.S. 496,674 607,053 0.0% # Turk Hava Yollari 3,339,229 10,721,591 0.1% # Turk Telekomunikasyon A.S. 775,422 2,333,970 0.0% Turk Traktor ve Ziraat Makineleri A.S. 110,580 3,188,012 0.0% #* Turkcell Iletisim Hizmetleri A.S. 1,012,098 5,911,126 0.1% #* Turkcell Iletisim Hizmetleri A.S. ADR 293,927 4,256,063 0.1% Turkiye Garanti Bankasi A.S. 6,772,059 24,946,217 0.2% Turkiye Halk Bankasi A.S. 2,445,699 16,443,936 0.1% Turkiye Is Bankasi 5,365,823 12,690,108 0.1% # Turkiye Sinai Kalkinma Bankasi A.S. 5,589,168 5,077,414 0.1% # Turkiye Sise ve Cam Fabrikalari A.S. 3,268,085 4,102,274 0.1% Turkiye Vakiflar Bankasi Tao 4,199,622 8,819,695 0.1% # Ulker Biskuvi Sanayi A.S. 451,159 3,457,380 0.0% * Vestel Beyaz Esya Sanayi ve Ticaret A.S. 570,353 985,721 0.0% * Vestel Elektronik Sanayi ve Ticaret A.S. 1,147,392 1,032,299 0.0% # Yapi ve Kredi Bankasi A.S. 2,960,083 6,188,696 0.1% #* Zorlu Enerji Elektrik Uretim A.S. 1,701,186 920,343 0.0% --------------- ---- TOTAL TURKEY 310,315,543 2.2% --------------- ---- TOTAL COMMON STOCKS 13,535,469,362 94.9% --------------- ---- PREFERRED STOCKS -- (3.6%) BRAZIL -- (3.5%) AES Tiete SA 433,806 3,406,634 0.0% Alpargatas SA 570,460 2,814,244 0.0% Banco ABC Brasil SA 752,850 4,406,186 0.0% Banco Bradesco SA 1,955,373 29,105,877 0.2% # Banco Bradesco SA ADR 5,097,969 75,806,794 0.5% Banco Daycoval SA 155,194 626,414 0.0% Banco do Estado do Rio Grande do Sul SA Class B 1,077,174 6,043,479 0.1% Banco Industrial e Comercial SA 306,755 1,099,214 0.0% * Banco Panamericano SA 654,500 1,088,999 0.0% Banco Pine SA 160,365 523,581 0.0% Banco Sofisa SA 68,200 89,159 0.0% Braskem SA Class A 185,000 1,262,787 0.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** --------- ------------ --------------- BRAZIL -- (Continued) Centrais Eletricas Brasileiras SA Class B 849,200 $ 4,802,517 0.0% Centrais Eletricas de Santa Catarina SA 60,363 424,754 0.0% Cia Brasileira de Distribuicao Grupo Pao de Acucar 240,420 11,375,405 0.1% Cia de Gas de Sao Paulo Class A 109,995 2,419,668 0.0% Cia de Saneamento do Parana 96,300 249,631 0.0% Cia de Transmissao de Energia Eletrica Paulista 173,800 1,921,368 0.0% Cia Energetica de Minas Gerais 2,512,758 19,146,431 0.2% Cia Energetica de Sao Paulo Class B 774,714 9,182,954 0.1% Cia Energetica do Ceara Class A 61,630 967,396 0.0% Cia Ferro Ligas da Bahia - Ferbasa 192,882 1,098,599 0.0% Cia Paranaense de Energia 185,660 2,660,315 0.0% Eletropaulo Metropolitana Eletricidade de Sao Paulo SA 636,586 2,600,874 0.0% Empresa Metropolitana de Aguas e Energia SA 6,100 15,908 0.0% Eucatex SA Industria e Comercio 87,459 209,847 0.0% Forjas Taurus SA 400,223 186,672 0.0% Gerdau SA 706,915 4,238,795 0.0% * Gol Linhas Aereas Inteligentes SA 390,766 2,504,337 0.0% * Inepar SA Industria e Construcoes 215,950 51,330 0.0% Itau Unibanco Holding SA 2,951,785 48,716,532 0.4% Itau Unibanco Holding SA ADR 5,554,966 90,879,242 0.7% Lojas Americanas SA 1,274,328 9,652,831 0.1% Marcopolo SA 2,270,518 4,164,780 0.0% Oi SA 1,045,379 1,003,301 0.0% Parana Banco SA 45,100 213,389 0.0% Petroleo Brasileiro SA 2,137,472 15,884,252 0.1% # Petroleo Brasileiro SA Sponsored ADR 5,128,535 75,902,318 0.5% Randon Participacoes SA 1,464,695 4,729,590 0.0% Saraiva SA Livreiros Editores 167,864 1,193,248 0.0% Suzano Papel e Celulose SA Class A 1,931,399 6,297,240 0.1% Telefonica Brasil SA 225,198 4,730,698 0.0% Unipar Carbocloro SA Class B 1,538,997 317,497 0.0% * Usinas Siderurgicas de Minas Gerais SA Class A 2,502,158 9,785,320 0.1% Vale SA 1,986,468 23,537,385 0.2% Vale SA Sponsored ADR 4,036,193 47,909,611 0.4% Whirlpool SA 26,086 46,562 0.0% ------------ --- TOTAL BRAZIL 535,293,965 3.8% ------------ --- CHILE -- (0.0%) Coca-Cola Embonor SA Class B 676 1,246 0.0% Embotelladora Andina SA 139,928 448,857 0.0% Embotelladora Andina SA Class B 212,801 856,099 0.0% Sociedad Quimica y Minera de Chile SA Class B 11,313 360,710 0.0% ------------ --- TOTAL CHILE 1,666,912 0.0% ------------ --- COLOMBIA -- (0.1%) Avianca Holdings SA 709,509 1,470,988 0.0% Banco Davivienda SA 409,265 5,828,604 0.1% Grupo Aval Acciones y Valores 2,857,897 1,933,230 0.0% Grupo de Inversiones Suramericana SA 104,665 2,064,574 0.0% ------------ --- TOTAL COLOMBIA 11,297,396 0.1% ------------ ---
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ---------- ------------ --------------- INDIA -- (0.0%) Zee Entertainment Enterprises, Ltd., 6.000% 29,460,333 $ 376,100 0.0% ------------ --- TOTAL PREFERRED STOCKS 548,634,373 3.9% ------------ --- RIGHTS/WARRANTS -- (0.0%) BRAZIL -- (0.0%) * AMBEV SA Rights 05/27/14 2,227 250 0.0% * Cia De Gas De Sao Paulo Comgas Rights 05/28/14 1,880 -- 0.0% * Klabin SA Rights 05/23/14 75,024 3,364 0.0% ------------ --- TOTAL BRAZIL 3,614 0.0% ------------ --- CHILE -- (0.0%) * Invexans SA Rights 06/30/14 40,633,009 -- 0.0% ------------ --- HONG KONG -- (0.0%) #* Fosun International, Ltd. Rights 05/12/14 520,750 2,620 0.0% ------------ --- INDIA -- (0.0%) * IL&FS Transportation Networks, Ltd. Rights 05/12/14 2,618 1,400 0.0% ------------ --- MALAYSIA -- (0.0%) * BIMB Holdings Bhd Warrants 12/04/23 161,147 30,843 0.0% * Malaysian Resources Corp. Bhd Warrants 09/16/18 1 -- 0.0% * Symphony Life Bhd Warrants 11/11/20 16,035 1,964 0.0% ------------ --- TOTAL MALAYSIA 32,807 0.0% ------------ --- PHILIPPINES -- (0.0%) * China Banking Corp. Rights 05/07/14 68,859 8,573 0.0% ------------ --- SOUTH AFRICA -- (0.0%) * Resilient Property Income Fund Rights 05/16/14 49,669 22,898 0.0% ------------ --- SOUTH KOREA -- (0.0%) * GS Engineering & Construction Corp. Rights 06/03/14 71,834 604,812 0.0% #* L&F Co., Ltd. 5,226 6,550 0.0% * STS Semiconductor & Telecommunications Rights 05/23/14 51,132 32,907 0.0% * Sunny Electronics Corp. Rights 06/17/14 12,553 14,213 0.0% ------------ --- TOTAL SOUTH KOREA 658,482 0.0% ------------ --- TAIWAN -- (0.0%) * Mercuries Life Insurance Co. Rights 06/17/14 9,795 32 0.0% * YeaShin International Development Co., Ltd. Rights 05/13/14 44,626 1,035 0.0% ------------ --- TOTAL TAIWAN 1,067 0.0% ------------ --- THAILAND -- (0.0%) * Lanna Resources PCL Rights 06/30/14 279,230 2,589 0.0% * LH Financial Group Rights 05/26/14 174,698 4,319 0.0% * LH W3 R Warrants 04/29/17 2,389,880 472,658 0.0% * LH W3 Warrants 04/29/17 665,340 135,700 0.0% * Samart Corp. PCL Rights 05/31/14 46,406 -- 0.0% * Thoresen Thai Agencies PCL Warrant 02/28/17 290,230 53,813 0.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ----------- --------------- --------------- THAILAND -- (Continued) * Ticon Industrial Connection PCL Rights 04/28/14 479,137 $ 14,806 0.0% --------------- ----- TOTAL THAILAND 683,885 0.0% --------------- ----- TURKEY -- (0.0%) * Gozde Girisim Sermayesi Yatiri Rights 05/12/14 423,927 644,458 0.0% --------------- ----- TOTAL RIGHTS/WARRANTS 2,059,804 0.0% --------------- ----- SHARES/ FACE AMOUNT (000) VALUE+ ----------- --------------- SECURITIES LENDING COLLATERAL -- (8.8%) (S)@ DFA Short Term Investment Fund 117,489,125 1,359,349,182 9.5% --------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $14,362,067,155) $15,445,512,721 108.3% =============== =====
EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, 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 $1,029,378,799 -- -- $ 1,029,378,799 Chile 215,878,185 -- -- 215,878,185 China 218,118,001 $ 1,823,334,805 -- 2,041,452,806 Colombia 76,048,438 -- -- 76,048,438 Czech Republic -- 40,891,082 -- 40,891,082 Egypt -- 9,188,254 -- 9,188,254 Greece 3,127,948 77,000,079 -- 80,128,027 Hungary 259,235 37,851,620 -- 38,110,855 India 96,383,021 1,017,363,885 -- 1,113,746,906 Indonesia 14,873,084 431,931,311 -- 446,804,395 Israel -- 197,002 -- 197,002 Malaysia -- 667,287,134 -- 667,287,134 Mexico 770,410,285 121,995 -- 770,532,280 Peru 21,006,749 -- -- 21,006,749 Philippines 4,292,475 204,697,528 -- 208,990,003 Poland -- 318,135,030 -- 318,135,030 Russia 18,245,778 354,448,284 -- 372,694,062 South Africa 103,835,775 1,039,391,742 -- 1,143,227,517 South Korea 97,629,876 2,039,697,821 -- 2,137,327,697 Taiwan 46,309,507 2,022,561,939 -- 2,068,871,446 Thailand 424,964,654 292,498 -- 425,257,152 Turkey 4,256,063 306,059,480 -- 310,315,543 Preferred Stocks Brazil 535,293,965 -- -- 535,293,965 Chile 1,666,912 -- -- 1,666,912 Colombia 11,297,396 -- -- 11,297,396 India 376,100 -- -- 376,100 Rights/Warrants Brazil -- 3,614 -- 3,614 Chile -- -- -- -- Hong Kong -- 2,620 -- 2,620 India -- 1,400 -- 1,400 Malaysia -- 32,807 -- 32,807 Philippines -- 8,573 -- 8,573 South Africa -- 22,898 -- 22,898 South Korea 14,213 644,269 -- 658,482 Taiwan 1,067 -- -- 1,067 Thailand -- 683,885 -- 683,885 Turkey -- 644,458 -- 644,458 Securities Lending Collateral -- 1,359,349,182 -- 1,359,349,182 -------------- --------------- -- --------------- TOTAL $3,693,667,526 $11,751,845,195 -- $15,445,512,721 ============== =============== == ===============
THE U.S. LARGE CAP VALUE SERIES SCHEDULE OF INVESTMENTS APRIL 30, 2014 (UNAUDITED)
SHARES VALUE+ --------- -------------- COMMON STOCKS -- (97.0%) Consumer Discretionary -- (11.6%) # Autoliv, Inc. 11,372 $ 1,159,717 # Best Buy Co., Inc. 18,980 492,151 Carnival Corp. 2,381,323 93,609,807 CBS Corp. Class A 7,236 420,773 Comcast Corp. Class A 9,873,756 511,065,611 # Comcast Corp. Special Class A 3,813,064 194,580,656 Dillard's, Inc. Class A 112,692 11,035,928 # DR Horton, Inc. 379,593 8,457,332 # GameStop Corp. Class A 598,147 23,734,473 General Motors Co. 3,716,863 128,157,436 Graham Holdings Co. Class B 32,261 21,654,551 * Hyatt Hotels Corp. Class A 26,622 1,498,286 # Kohl's Corp. 679,894 37,251,392 #* Lands' End, Inc. 140,755 3,891,876 Lear Corp. 57,952 4,813,493 # Lennar Corp. Class A 203,031 7,834,966 Lennar Corp. Class B 4,312 140,226 * Liberty Global P.L.C. Class C 5,034 193,457 * Liberty Interactive Corp. Class A 2,560,957 74,421,410 * Liberty Media Corp. Class A 156,789 20,337,101 * Liberty Ventures Series A 244,134 14,169,537 * MGM Resorts International 2,389,018 60,274,924 * Mohawk Industries, Inc. 286,453 37,929,242 * News Corp. Class A 290,667 4,947,152 #* News Corp. Class B 31,823 526,352 PVH Corp. 66,339 8,330,188 Royal Caribbean Cruises, Ltd. 1,051,952 55,890,210 #* Sears Holdings Corp. 530,007 23,219,607 Service Corp. International 219,283 4,115,942 # Staples, Inc. 1,585,772 19,822,150 Target Corp. 41,634 2,570,900 Time Warner Cable, Inc. 1,876,119 265,395,794 Time Warner, Inc. 5,052,904 335,816,000 #* Toll Brothers, Inc. 329,804 11,292,489 * TRW Automotive Holdings Corp. 459 36,881 Whirlpool Corp. 12,924 1,982,283 -------------- Total Consumer Discretionary 1,991,070,293 -------------- Consumer Staples -- (6.9%) Archer-Daniels-Midland Co. 3,151,861 137,830,881 Beam, Inc. 61,513 5,134,490 Bunge, Ltd. 553,069 44,051,946 * Constellation Brands, Inc. Class A 462,850 36,953,944 CVS Caremark Corp. 6,986,047 508,025,338 Ingredion, Inc. 20,328 1,432,108 JM Smucker Co. (The) 538,740 52,085,383 Molson Coors Brewing Co. Class B 763,563 45,790,873 Mondelez International, Inc. Class A 7,976,433 284,359,836 Safeway, Inc. 196,076 6,678,349
THE U.S. LARGE CAP VALUE SERIES CONTINUED
SHARES VALUE+ --------- -------------- Consumer Staples -- (Continued) Tyson Foods, Inc. Class A 1,426,374 $ 59,864,917 -------------- Total Consumer Staples 1,182,208,065 -------------- Energy -- (21.6%) Anadarko Petroleum Corp. 2,644,697 261,877,897 Apache Corp. 1,895,772 164,553,010 Baker Hughes, Inc. 1,938,026 135,468,017 Chesapeake Energy Corp. 3,250,749 93,459,034 Chevron Corp. 4,835,771 606,985,976 Cimarex Energy Co. 44,110 5,254,383 ConocoPhillips 6,993,622 519,696,051 # Denbury Resources, Inc. 1,413,859 23,781,108 Devon Energy Corp. 1,721,246 120,487,220 Exxon Mobil Corp. 1,502,573 153,878,501 # Helmerich & Payne, Inc. 516,470 56,114,465 Hess Corp. 1,628,606 145,206,511 # HollyFrontier Corp. 459,148 24,146,593 Marathon Oil Corp. 3,640,872 131,617,523 Marathon Petroleum Corp. 1,752,484 162,893,388 Murphy Oil Corp. 728,510 46,209,389 Nabors Industries, Ltd. 1,355,841 34,601,062 National Oilwell Varco, Inc. 2,032,845 159,639,318 Noble Corp. P.L.C. 721,779 22,238,011 Occidental Petroleum Corp. 2,152,468 206,098,811 Patterson-UTI Energy, Inc. 732,485 23,827,737 Peabody Energy Corp. 307,711 5,849,586 Phillips 66 2,926,797 243,568,046 QEP Resources, Inc. 458,418 14,068,848 * Rowan Cos. P.L.C. Class A 580,491 17,948,782 Superior Energy Services, Inc. 56,288 1,853,001 Tesoro Corp. 615,285 34,634,393 # Tidewater, Inc. 61,917 3,153,433 # Transocean, Ltd. 1,340,027 57,714,963 Valero Energy Corp. 2,806,975 160,474,761 * Weatherford International, Ltd. 2,173,272 45,638,712 * Whiting Petroleum Corp. 281,425 20,746,651 * WPX Energy, Inc. 50,407 1,072,661 -------------- Total Energy 3,704,757,842 -------------- Financials -- (22.0%) ACE, Ltd. 93,185 9,534,689 Aflac, Inc. 14,310 897,523 * Alleghany Corp. 1,128 460,201 Allied World Assurance Co. Holdings AG 185,434 19,969,387 Allstate Corp. (The) 293,542 16,717,217 * American Capital, Ltd. 802,500 12,029,475 American Financial Group, Inc. 487,279 28,471,712 American International Group, Inc. 6,143,899 326,425,354 American National Insurance Co. 70,112 7,881,290 # Assurant, Inc. 386,198 26,033,607 Assured Guaranty, Ltd. 76,092 1,819,360 Axis Capital Holdings, Ltd. 578,662 26,473,787
THE U.S. LARGE CAP VALUE SERIES CONTINUED
SHARES VALUE+ ---------- -------------- Financials -- (Continued) Bank of America Corp. 26,957,644 $ 408,138,730 Bank of New York Mellon Corp. (The) 3,735,585 126,524,264 BB&T Corp. 325,219 12,140,425 Capital One Financial Corp. 2,096,624 154,940,514 Chubb Corp. (The) 41,343 3,806,863 Cincinnati Financial Corp. 16,670 812,496 CIT Group, Inc. 19,151 824,451 Citigroup, Inc. 7,932,413 380,041,907 CME Group, Inc. 1,612,799 113,524,922 CNA Financial Corp. 498,971 20,432,862 * E*TRADE Financial Corp. 85,792 1,926,030 Everest Re Group, Ltd. 157,323 24,861,754 Fifth Third Bancorp 243,554 5,019,648 * Genworth Financial, Inc. Class A 2,374,310 42,381,433 Goldman Sachs Group, Inc. (The) 569,608 91,034,751 Hartford Financial Services Group, Inc. (The) 2,344,221 84,087,207 HCC Insurance Holdings, Inc. 2,282 104,835 Hudson City Bancorp, Inc. 71,664 713,773 Huntington Bancshares, Inc. 235,814 2,160,056 JPMorgan Chase & Co. 9,265,436 518,679,107 KeyCorp 96,319 1,313,791 # Legg Mason, Inc. 641,854 30,096,534 Leucadia National Corp. 137,025 3,496,878 Lincoln National Corp. 1,407,216 68,264,048 Loews Corp. 2,035,540 89,502,694 # M&T Bank Corp. 7,681 937,159 MetLife, Inc. 4,300,949 225,154,680 Morgan Stanley 6,887,527 213,031,210 # NASDAQ OMX Group, Inc. (The) 801,702 29,582,804 # New York Community Bancorp, Inc. 80,866 1,246,145 Old Republic International Corp. 632,434 10,473,107 PartnerRe, Ltd. 193,939 20,441,171 # People's United Financial, Inc. 138,880 1,983,206 PNC Financial Services Group, Inc. (The) 355,317 29,860,841 Principal Financial Group, Inc. 130,706 6,122,269 Protective Life Corp. 7,158 366,132 Prudential Financial, Inc. 1,944,264 156,863,220 Regions Financial Corp. 5,807,266 58,885,677 Reinsurance Group of America, Inc. 357,106 27,393,601 State Street Corp. 43,801 2,827,793 SunTrust Banks, Inc. 2,600,602 99,499,033 Travelers Cos., Inc. (The) 239,848 21,725,432 Unum Group 1,374,339 45,655,542 Validus Holdings, Ltd. 167,263 6,200,439 Wells Fargo & Co. 1,770,826 87,903,803 XL Group P.L.C. 1,434,888 44,983,739 # Zions Bancorp. 754,482 21,819,619 -------------- Total Financials 3,774,500,197 -------------- Health Care -- (9.3%) Aetna, Inc. 2,009,110 143,550,909 * Bio-Rad Laboratories, Inc. Class A 1,222 150,563
THE U.S. LARGE CAP VALUE SERIES CONTINUED
SHARES VALUE+ ---------- -------------- Health Care -- (Continued) * Boston Scientific Corp. 6,629,529 $ 83,598,361 * CareFusion Corp. 907,569 35,449,645 Cigna Corp. 67,632 5,413,265 * Community Health Systems, Inc. 12,853 487,000 * Express Scripts Holding Co. 3,072,578 204,572,243 * Forest Laboratories, Inc. 383,681 35,264,121 #* Hologic, Inc. 1,211,606 25,425,552 Humana, Inc. 707,042 77,597,860 # Omnicare, Inc. 556,064 32,957,913 Perrigo Co. P.L.C. 13,380 1,938,227 Pfizer, Inc. 16,350,996 511,459,155 # Teleflex, Inc. 91,713 9,362,980 Thermo Fisher Scientific, Inc. 1,947,634 222,030,276 UnitedHealth Group, Inc. 667,282 50,072,841 WellPoint, Inc. 1,674,297 168,568,222 -------------- Total Health Care 1,607,899,133 -------------- Industrials -- (11.1%) # ADT Corp. (The) 686,732 20,766,776 AGCO Corp. 279,803 15,585,027 #* Avis Budget Group, Inc. 78,385 4,122,267 CSX Corp. 5,604,703 158,164,719 Eaton Corp. P.L.C. 2,273,922 165,177,694 #* Engility Holdings, Inc. 31,860 1,390,370 FedEx Corp. 828,737 112,915,416 General Electric Co. 12,431,885 334,293,388 * Genesee & Wyoming, Inc. Class A 9,960 986,140 * Hertz Global Holdings, Inc. 1,345,507 38,306,584 * Jacobs Engineering Group, Inc. 175,921 10,150,642 # Joy Global, Inc. 61,252 3,698,396 KBR, Inc. 76,803 1,948,492 # Kennametal, Inc. 9,984 466,552 L-3 Communications Holdings, Inc. 413,892 47,750,720 Manpowergroup, Inc. 17,135 1,393,761 Norfolk Southern Corp. 1,681,939 158,993,694 Northrop Grumman Corp. 1,364,645 165,818,014 Oshkosh Corp. 36,950 2,051,094 Owens Corning 579,048 23,654,111 Pentair, Ltd. 496,227 36,864,704 * Quanta Services, Inc. 554,686 19,569,322 Regal-Beloit Corp. 6,550 489,482 Republic Services, Inc. 1,137,501 39,914,910 Ryder System, Inc. 10,373 852,453 Southwest Airlines Co. 3,905,821 94,403,694 SPX Corp. 22,870 2,329,081 Stanley Black & Decker, Inc. 596,088 51,197,998 Trinity Industries, Inc. 60,075 4,509,229 # Triumph Group, Inc. 29,704 1,925,116 Union Pacific Corp. 1,891,022 360,107,319 #* United Rentals, Inc. 73,167 6,865,260 # URS Corp. 321,791 15,162,792
THE U.S. LARGE CAP VALUE SERIES CONTINUED
SHARES VALUE+ ---------- -------------- Industrials -- (Continued) #* WESCO International, Inc. 20,953 $ 1,839,254 -------------- Total Industrials 1,903,664,471 -------------- Information Technology -- (7.0%) Activision Blizzard, Inc. 2,620,144 52,429,081 Amdocs, Ltd. 17,878 831,863 * Arrow Electronics, Inc. 568,882 32,284,054 Avnet, Inc. 711,362 30,681,043 #* Blackhawk Network Holdings, Inc. Class B 32,213 741,865 Broadcom Corp. Class A 19,195 591,398 * Brocade Communications Systems, Inc. 35,425 329,807 Cisco Systems, Inc. 750,863 17,352,444 Computer Sciences Corp. 13,000 769,340 Corning, Inc. 5,762,032 120,484,089 Fidelity National Information Services, Inc. 1,308,765 69,927,314 * First Solar, Inc. 154,302 10,413,842 Hewlett-Packard Co. 9,619,949 318,035,514 * Ingram Micro, Inc. Class A 725,997 19,572,879 Intel Corp. 5,871,145 156,700,860 Jabil Circuit, Inc. 21,310 367,811 * Juniper Networks, Inc. 922,663 22,780,549 * Lam Research Corp. 325,184 18,733,850 # Leidos Holdings, Inc. 35,342 1,316,136 Marvell Technology Group, Ltd. 398,733 6,323,905 * Micron Technology, Inc. 3,654,213 95,448,044 # NVIDIA Corp. 629,521 11,627,253 Western Digital Corp. 564,843 49,779,614 Xerox Corp. 5,691,007 68,804,275 * Yahoo!, Inc. 2,644,444 95,067,762 -------------- Total Information Technology 1,201,394,592 -------------- Materials -- (3.2%) Alcoa, Inc. 5,353,379 72,110,015 Ashland, Inc. 388,650 37,543,590 Freeport-McMoRan Copper & Gold, Inc. 4,647,012 159,717,802 International Paper Co. 2,043,676 95,337,485 # MeadWestvaco Corp. 841,379 32,872,678 Mosaic Co. (The) 407,332 20,382,893 Newmont Mining Corp. 381,443 9,471,230 Nucor Corp. 710,746 36,781,106 Reliance Steel & Aluminum Co. 359,269 25,443,431 Rock-Tenn Co. Class A 104,397 9,981,397 Steel Dynamics, Inc. 893,527 16,324,738 # United States Steel Corp. 89,096 2,318,278 Vulcan Materials Co. 576,239 37,184,703 -------------- Total Materials 555,469,346 -------------- Telecommunication Services -- (4.0%) AT&T, Inc. 15,116,213 539,648,804 # CenturyLink, Inc. 2,353,137 82,148,013 # Frontier Communications Corp. 2,036,486 12,117,092
THE U.S. LARGE CAP VALUE SERIES CONTINUED
SHARES VALUE+ ---------- --------------- Telecommunication Services -- (Continued) #* Sprint Corp. 2,491,629 $ 21,178,846 T-Mobile US, Inc. 726,568 21,281,177 Telephone & Data Systems, Inc. 104,633 2,844,971 # United States Cellular Corp. 261,250 10,852,325 # Windstream Holdings, Inc. 331,755 3,009,018 --------------- Total Telecommunication Services 693,080,246 --------------- Utilities -- (0.3%) NRG Energy, Inc. 1,581,268 51,739,089 UGI Corp. 61,277 2,861,023 --------------- Total Utilities 54,600,112 --------------- TOTAL COMMON STOCKS 16,668,644,297 --------------- TEMPORARY CASH INVESTMENTS -- (0.4%) State Street Institutional Liquid Reserves, 0.074% 69,498,079 69,498,079 --------------- SHARES/ FACE AMOUNT (000) ---------- SECURITIES LENDING COLLATERAL -- (2.6%) (S)@ DFA Short Term Investment Fund 38,162,068 441,535,131 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $10,925,873,386) $17,179,677,507 ===============
THE U.S. LARGE CAP VALUE SERIES CONTINUED Summary of the Series' investments as of April 30, 2014, 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 $ 1,991,070,293 -- -- $ 1,991,070,293 Consumer Staples 1,182,208,065 -- -- 1,182,208,065 Energy 3,704,757,842 -- -- 3,704,757,842 Financials 3,774,500,197 -- -- 3,774,500,197 Health Care 1,607,899,133 -- -- 1,607,899,133 Industrials 1,903,664,471 -- -- 1,903,664,471 Information Technology 1,201,394,592 -- -- 1,201,394,592 Materials 555,469,346 -- -- 555,469,346 Telecommunication Services 693,080,246 -- -- 693,080,246 Utilities 54,600,112 -- -- 54,600,112 Temporary Cash Investments 69,498,079 -- -- 69,498,079 Securities Lending Collateral -- $441,535,131 -- 441,535,131 --------------- ------------ -- --------------- TOTAL $16,738,142,376 $441,535,131 -- $17,179,677,507 =============== ============ == ===============
THE DFA INTERNATIONAL VALUE SERIES SCHEDULE OF INVESTMENTS APRIL 30, 2014 (UNAUDITED)
SHARES VALUE++ --------- ------------ COMMON STOCKS -- (90.6%) AUSTRALIA -- (4.6%) #* Alumina, Ltd. 4,595,906 $ 5,773,124 * Alumina, Ltd. Sponsored ADR 172,484 855,521 AMP, Ltd. 290,545 1,367,351 Asciano, Ltd. 3,701,696 18,680,169 # Bank of Queensland, Ltd. 762,068 8,712,363 Bendigo and Adelaide Bank, Ltd. 989,346 10,603,436 * BlueScope Steel, Ltd. 855,334 5,171,168 # Boral, Ltd. 1,960,080 10,402,480 Caltex Australia, Ltd. 18,966 393,703 Downer EDI, Ltd. 337,397 1,575,075 Echo Entertainment Group, Ltd. 1,832,302 4,819,299 GrainCorp, Ltd. Class A 367,914 3,034,353 # Harvey Norman Holdings, Ltd. 1,068,950 3,271,466 Incitec Pivot, Ltd. 4,514,071 12,116,981 # Leighton Holdings, Ltd. 96,754 1,720,498 Lend Lease Group 869,454 10,508,212 Macquarie Group, Ltd. 729,865 39,322,116 # Metcash, Ltd. 579,881 1,498,020 National Australia Bank, Ltd. 178,885 5,890,213 # New Hope Corp., Ltd. 69,375 201,629 #* Newcrest Mining, Ltd. 1,061,347 10,351,508 Origin Energy, Ltd. 2,782,880 38,659,472 Primary Health Care, Ltd. 701,130 3,064,448 #* Qantas Airways, Ltd. 3,295,675 3,748,942 QBE Insurance Group, Ltd. 935,240 10,093,703 # Rio Tinto, Ltd. 120,548 6,951,906 Santos, Ltd. 4,099,271 52,558,232 Seven Group Holdings, Ltd. 361,999 2,772,925 Seven West Media, Ltd. 46,084 80,073 #* Sims Metal Management, Ltd. 209,772 1,918,509 * Sims Metal Management, Ltd. Sponsored ADR 124,013 1,118,597 Suncorp Group, Ltd. 3,736,013 45,370,824 Tabcorp Holdings, Ltd. 2,076,000 7,194,711 Tatts Group, Ltd. 3,911,620 11,001,721 Toll Holdings, Ltd. 2,149,986 10,605,009 # Treasury Wine Estates, Ltd. 1,372,955 4,889,549 Washington H Soul Pattinson & Co., Ltd. 87,756 1,208,637 Wesfarmers, Ltd. 2,586,337 102,933,877 Woodside Petroleum, Ltd. 423,192 16,086,002 # WorleyParsons, Ltd. 38,859 609,369 ------------ TOTAL AUSTRALIA 477,135,191 ------------ AUSTRIA -- (0.1%) Erste Group Bank AG 372,952 12,540,267 OMV AG 28,060 1,311,929 Raiffeisen Bank International AG 57,158 1,806,796 ------------ TOTAL AUSTRIA 15,658,992 ------------ BELGIUM -- (1.2%) Ageas 517,258 22,260,572
THE DFA INTERNATIONAL VALUE SERIES CONTINUED
SHARES VALUE++ --------- ------------ BELGIUM -- (Continued) # Belgacom SA 93,033 $ 2,847,510 # Delhaize Group SA 235,124 17,508,100 Delhaize Group SA Sponsored ADR 211,600 3,952,688 KBC Groep NV 447,959 27,335,740 Solvay SA 187,574 30,397,313 # UCB SA 292,847 24,021,241 ------------ TOTAL BELGIUM 128,323,164 ------------ CANADA -- (8.0%) Bank of Montreal 101,569 7,002,167 Barrick Gold Corp. 2,020,445 35,297,174 # Bell Aliant, Inc. 62,911 1,549,744 #* BlackBerry, Ltd.(09228F103) 477,288 3,656,026 #* BlackBerry, Ltd.(BCBHZ31) 435,600 3,326,465 # Bonavista Energy Corp. 22,016 345,893 Cameco Corp.(13321L108) 112,600 2,397,254 Cameco Corp.(2166160) 506,586 10,782,949 Canadian Natural Resources, Ltd.(136385101) 736,891 30,043,046 # Canadian Natural Resources, Ltd.(2171573) 1,849,320 75,352,978 # Canadian Tire Corp., Ltd. Class A 239,571 23,529,783 # Crescent Point Energy Corp. 362,740 14,757,152 # Eldorado Gold Corp.(284902103) 109,318 666,840 Eldorado Gold Corp.(2307873) 175,726 1,070,982 Empire Co., Ltd. 65,500 4,143,164 # Enerplus Corp. 407,098 9,029,289 Ensign Energy Services, Inc. 452,198 7,116,843 Fairfax Financial Holdings, Ltd. 54,622 23,816,298 # First Quantum Minerals, Ltd. 966,542 19,250,588 # Genworth MI Canada, Inc. 85,424 2,996,718 George Weston, Ltd. 34,410 2,592,562 Goldcorp, Inc.(2676302) 1,686,234 41,646,234 Goldcorp, Inc.(380956409) 23,874 590,165 # Husky Energy, Inc. 846,066 27,650,275 IAMGOLD Corp.(450913108) 573,940 2,003,051 IAMGOLD Corp.(2446646) 231,424 806,569 Industrial Alliance Insurance & Financial Services, Inc. 168,485 6,955,838 Kinross Gold Corp. 3,868,295 15,705,408 # Loblaw Cos., Ltd. 221,495 9,629,339 #* Lundin Mining Corp. 737,610 3,768,638 Magna International, Inc. 295,060 28,907,023 Manulife Financial Corp. 3,287,435 61,726,575 * MEG Energy Corp. 52,780 1,900,186 * New Gold, Inc. 25,030 126,514 * Osisko Mining Corp. 6,000 42,972 # Pacific Rubiales Energy Corp. 425,026 6,937,380 Pan American Silver Corp.(697900108) 118,576 1,536,745 Pan American Silver Corp.(2669272) 131,923 1,709,143 # Pengrowth Energy Corp. 699,668 4,545,081 # Penn West Petroleum, Ltd. 1,034,275 9,351,458 Precision Drilling Corp. 763,106 9,921,318 # Sun Life Financial, Inc. 1,292,577 43,752,207 Suncor Energy, Inc.(B3NB1P2) 3,750,370 144,670,082
THE DFA INTERNATIONAL VALUE SERIES CONTINUED
SHARES VALUE++ --------- ------------ CANADA -- (Continued) Suncor Energy, Inc.(867224107) 51,781 $ 1,998,747 Talisman Energy, Inc. 3,003,838 31,051,033 Teck Resources, Ltd. Class A 4,115 98,327 # Teck Resources, Ltd. Class B 1,483,730 33,815,588 # Thomson Reuters Corp. 1,234,938 44,696,857 # TransAlta Corp. 616,481 7,531,299 Trican Well Service, Ltd. 6,065 86,876 #* Turquoise Hill Resources, Ltd.(900435108) 127,382 496,790 #* Turquoise Hill Resources, Ltd.(B7WJ1F5) 273,114 1,061,508 West Fraser Timber Co., Ltd. 50,666 2,265,074 Westjet Airlines, Ltd. 1,000 22,773 Yamana Gold, Inc. 1,425,140 10,675,060 ------------ TOTAL CANADA 836,406,048 ------------ DENMARK -- (1.6%) AP Moeller - Maersk A.S. Class A 4,500 10,223,400 AP Moeller - Maersk A.S. Class B 19,275 46,014,397 Carlsberg A.S. Class B 334,440 33,454,818 Danske Bank A.S. 1,629,867 46,114,182 # FLSmidth & Co. A.S. 23,118 1,237,682 H Lundbeck A.S. 135,698 3,954,912 Rockwool International A.S. Class B 1,188 229,157 TDC A.S. 1,531,086 14,378,243 * Vestas Wind Systems A.S. 169,081 7,509,069 ------------ TOTAL DENMARK 163,115,860 ------------ FINLAND -- (0.9%) # Fortum Oyj 927,640 20,957,319 Kesko Oyj Class A 662 26,444 Kesko Oyj Class B 138,917 5,686,240 # Neste Oil Oyj 110,779 2,278,251 * Nokia Oyj 3,232,344 24,202,402 Stora Enso Oyj Class R 1,455,180 14,859,732 # Stora Enso Oyj Sponsored ADR 91,500 924,150 UPM-Kymmene Oyj 1,403,467 24,580,035 UPM-Kymmene Oyj Sponsored ADR 69,300 1,204,434 ------------ TOTAL FINLAND 94,719,007 ------------ FRANCE -- (9.5%) AXA SA 4,004,754 104,508,095 AXA SA Sponsored ADR 140,900 3,536,590 BNP Paribas SA 1,975,744 148,466,225 Bollore SA(4572709) 20,798 13,255,812 * Bollore SA(BDGTH22) 99 61,121 # Bouygues SA 397,462 17,902,047 Cap Gemini SA 213,324 15,072,127 Casino Guichard Perrachon SA 143,857 18,330,720 * CGG SA 89,108 1,541,728 #* CGG SA Sponsored ADR 136,689 2,351,051 Cie de St-Gobain 1,078,023 66,045,558 Cie Generale des Etablissements Michelin 166,102 20,369,214
THE DFA INTERNATIONAL VALUE SERIES CONTINUED
SHARES VALUE++ --------- ------------ FRANCE -- (Continued) CNP Assurances 345,489 $ 7,970,273 * Credit Agricole SA 2,838,495 44,787,040 Eiffage SA 25,808 1,950,878 Electricite de France SA 498,285 19,134,596 # GDF Suez 3,247,971 81,859,990 Groupe Eurotunnel SA 627,332 8,421,813 Lafarge SA 505,082 46,214,412 Lagardere SCA 221,491 9,282,805 Natixis 2,034,211 14,440,161 Orange SA 3,875,091 62,781,400 #* Peugeot SA 159,012 2,813,391 Renault SA 740,603 72,408,643 Rexel SA 288,486 7,283,371 SCOR SE 72,412 2,649,755 Societe Generale SA 1,296,228 80,725,428 STMicroelectronics NV 1,542,301 14,707,677 Vallourec SA 119,253 7,047,314 Vivendi SA 3,686,124 99,034,179 ------------ TOTAL FRANCE 994,953,414 ------------ GERMANY -- (7.4%) # Allianz SE 518,031 90,152,856 Allianz SE ADR 2,811,910 49,067,830 Bayerische Motoren Werke AG 683,720 85,946,981 Celesio AG 108,168 3,759,308 * Commerzbank AG 1,293,711 23,068,364 Daimler AG 2,088,586 194,445,529 Deutsche Bank AG(5750355) 1,058,443 46,619,620 # Deutsche Bank AG(D18190898) 464,576 20,455,281 # Deutsche Lufthansa AG 475,764 11,947,777 # Deutsche Telekom AG Sponsored ADR 442,166 7,406,281 # E.ON SE 3,638,090 69,687,054 Fraport AG Frankfurt Airport Services Worldwide 37,336 2,761,261 # HeidelbergCement AG 243,824 21,185,401 # K+S AG 82,279 2,883,065 * Metro AG 47,914 1,919,614 # Muenchener Rueckversicherungs AG 297,828 68,845,597 RWE AG 1,358,567 51,844,377 Volkswagen AG 62,518 16,764,107 ------------ TOTAL GERMANY 768,760,303 ------------ HONG KONG -- (1.9%) Cathay Pacific Airways, Ltd. 2,931,001 5,546,838 Cheung Kong Holdings, Ltd. 750,000 12,788,618 * FIH Mobile, Ltd. 1,931,000 1,043,005 Great Eagle Holdings, Ltd. 794,324 2,836,916 Hang Lung Group, Ltd. 150,000 814,614 Henderson Land Development Co., Ltd. 3,725,616 22,366,123 # Hongkong & Shanghai Hotels (The) 1,903,131 2,783,222 Hopewell Holdings, Ltd. 1,244,169 4,282,738 Hutchison Whampoa, Ltd. 5,076,000 69,640,150 * Kerry Logistics Network, Ltd. 325,000 478,223
THE DFA INTERNATIONAL VALUE SERIES CONTINUED
SHARES VALUE++ ---------- ------------ HONG KONG -- (Continued) Kerry Properties, Ltd. 866,500 $ 2,864,603 MTR Corp., Ltd. 456,500 1,730,953 New World Development Co., Ltd. 14,811,625 15,343,288 NWS Holdings, Ltd. 109,395 186,478 Orient Overseas International, Ltd. 488,000 2,334,437 Shangri-La Asia, Ltd. 454,000 744,952 Sino Land Co., Ltd. 1,597,872 2,395,991 Sun Hung Kai Properties, Ltd. 869,920 11,004,788 Swire Pacific, Ltd. Class A 362,000 4,178,583 Swire Pacific, Ltd. Class B 42,500 94,363 Wharf Holdings, Ltd. 3,665,990 25,806,822 Wheelock & Co., Ltd. 3,493,000 14,462,997 ------------ TOTAL HONG KONG 203,728,702 ------------ IRELAND -- (0.2%) * Bank of Ireland 9,889,009 3,861,178 CRH P.L.C. 295,666 8,607,890 CRH P.L.C. Sponsored ADR 215,216 6,301,524 ------------ TOTAL IRELAND 18,770,592 ------------ ISRAEL -- (0.3%) # Bank Hapoalim BM 3,220,797 18,194,258 * Bank Leumi Le-Israel BM 3,143,915 12,301,422 * Israel Discount Bank, Ltd. Class A 427,704 764,712 Migdal Insurance & Financial Holding, Ltd. 10,788 17,671 Mizrahi Tefahot Bank, Ltd. 99,634 1,331,893 ------------ TOTAL ISRAEL 32,609,956 ------------ ITALY -- (1.6%) #* Banca Monte dei Paschi di Siena SpA 12,934,984 4,323,140 * Banco Popolare SC 570,354 11,787,163 * Finmeccanica SpA 769,930 7,125,266 Intesa Sanpaolo SpA 10,630,153 36,376,691 #* Telecom Italia SpA 9,373,960 12,045,802 Telecom Italia SpA Sponsored ADR 1,874,500 24,068,580 UniCredit SpA 6,290,570 56,361,264 Unione di Banche Italiane SCPA 1,854,721 17,704,224 ------------ TOTAL ITALY 169,792,130 ------------ JAPAN -- (18.3%) 77 Bank, Ltd. (The) 737,372 3,328,885 # Aeon Co., Ltd. 2,444,200 28,229,586 Aisin Seiki Co., Ltd. 421,200 14,884,943 Alfresa Holdings Corp. 89,400 5,565,761 Amada Co., Ltd. 821,000 5,937,633 Aoyama Trading Co., Ltd. 20,400 506,225 Asahi Glass Co., Ltd. 3,971,000 22,513,110 Asahi Kasei Corp. 4,731,000 32,165,111 Asatsu-DK, Inc. 17,500 395,876 Autobacs Seven Co., Ltd. 214,800 3,323,199 Awa Bank, Ltd. (The) 65,600 351,278
THE DFA INTERNATIONAL VALUE SERIES CONTINUED
SHARES VALUE++ --------- ----------- JAPAN -- (Continued) Azbil Corp. 23,600 $ 535,547 Bank of Kyoto, Ltd. (The) 709,400 5,780,221 Bank of Yokohama, Ltd. (The) 1,939,000 9,745,599 # Brother Industries, Ltd. 194,500 2,720,564 # Canon Marketing Japan, Inc. 124,900 2,011,588 Chiba Bank, Ltd. (The) 1,189,000 7,557,772 Chugoku Bank, Ltd. (The) 391,800 5,193,839 Citizen Holdings Co., Ltd. 601,600 4,418,097 Coca-Cola West Co., Ltd. 153,707 2,675,133 COMSYS Holdings Corp. 207,400 3,400,125 Cosmo Oil Co., Ltd. 1,287,364 2,408,298 Dai Nippon Printing Co., Ltd. 1,815,000 16,348,348 Dai-ichi Life Insurance Co., Ltd. (The) 335,200 4,644,780 Daicel Corp. 575,000 4,815,499 # Daido Steel Co., Ltd. 594,000 2,904,292 Denki Kagaku Kogyo K.K. 992,000 3,290,004 Fuji Media Holdings, Inc. 112,800 1,900,400 FUJIFILM Holdings Corp. 1,327,000 34,279,167 Fukuoka Financial Group, Inc. 1,800,000 7,351,211 # Fukuyama Transporting Co., Ltd. 85,000 497,435 # Furukawa Electric Co., Ltd. 633,000 1,425,174 Glory, Ltd. 126,700 3,277,906 Gunma Bank, Ltd. (The) 921,397 4,897,479 H2O Retailing Corp. 269,000 2,030,019 Hachijuni Bank, Ltd. (The) 993,231 5,429,926 Hakuhodo DY Holdings, Inc. 452,000 3,506,236 Hankyu Hanshin Holdings, Inc. 1,858,000 10,182,904 Higo Bank, Ltd. (The) 282,000 1,449,432 Hiroshima Bank, Ltd. (The) 624,000 2,567,284 Hitachi Capital Corp. 47,000 1,158,429 Hitachi Chemical Co., Ltd. 191,100 2,811,395 # Hitachi Construction Machinery Co., Ltd. 155,900 2,892,966 Hitachi High-Technologies Corp. 139,900 3,200,363 Hitachi Transport System, Ltd. 105,000 1,611,210 Hokuhoku Financial Group, Inc. 2,620,000 5,055,915 # House Foods Group, Inc. 148,300 2,467,741 Ibiden Co., Ltd. 344,300 6,214,656 Idemitsu Kosan Co., Ltd. 243,896 5,393,398 Inpex Corp. 1,335,200 19,471,761 # Isetan Mitsukoshi Holdings, Ltd. 884,200 11,003,040 ITOCHU Corp. 3,579,600 40,126,565 Iyo Bank, Ltd. (The) 551,000 4,954,056 J Front Retailing Co., Ltd. 1,455,000 9,248,768 JFE Holdings, Inc. 1,259,700 23,280,837 Joyo Bank, Ltd. (The) 1,376,000 6,697,123 JTEKT Corp. 365,200 5,328,446 JX Holdings, Inc. 6,192,133 32,173,078 # K's Holdings Corp. 41,100 1,192,737 Kagoshima Bank, Ltd. (The) 358,143 2,236,996 # Kajima Corp. 1,900,000 7,234,259 # Kamigumi Co., Ltd. 540,000 5,147,447 Kaneka Corp. 790,542 4,636,779
THE DFA INTERNATIONAL VALUE SERIES CONTINUED
SHARES VALUE++ ---------- ------------ JAPAN -- (Continued) Kawasaki Kisen Kaisha, Ltd. 2,648,000 $ 5,317,039 Keiyo Bank, Ltd. (The) 418,000 1,839,862 Kewpie Corp. 47,400 681,826 Kinden Corp. 207,000 1,905,706 Kobe Steel, Ltd. 9,305,000 12,214,301 Konica Minolta, Inc. 1,634,700 15,232,338 Kuraray Co., Ltd. 1,060,900 11,928,509 # Kurita Water Industries, Ltd. 13,500 284,311 Kyocera Corp. 818,800 38,508,074 Kyocera Corp. Sponsored ADR 27,200 1,282,208 Kyowa Hakko Kirin Co., Ltd. 571,000 6,502,388 Lintec Corp. 5,100 94,830 LIXIL Group Corp. 201,900 5,350,334 Mabuchi Motor Co., Ltd. 20,400 1,396,923 Maeda Road Construction Co., Ltd. 36,000 558,201 # Marubeni Corp. 3,990,000 26,662,826 Marui Group Co., Ltd. 542,642 4,820,083 Maruichi Steel Tube, Ltd. 74,700 1,894,857 Matsumotokiyoshi Holdings Co., Ltd. 5,000 147,547 Medipal Holdings Corp. 339,800 4,779,441 MEIJI Holdings Co., Ltd. 102,195 6,271,383 Mitsubishi Chemical Holdings Corp. 5,501,500 22,017,152 Mitsubishi Corp. 3,482,500 62,362,177 # Mitsubishi Gas Chemical Co., Inc. 948,000 5,473,266 # Mitsubishi Logistics Corp. 220,000 3,156,333 Mitsubishi Materials Corp. 3,761,000 10,908,907 Mitsubishi Tanabe Pharma Corp. 465,600 6,384,436 Mitsubishi UFJ Financial Group, Inc. 24,653,206 131,142,580 # Mitsubishi UFJ Financial Group, Inc. ADR 4,781,372 25,580,340 Mitsui & Co., Ltd. 4,220,700 59,859,529 Mitsui & Co., Ltd. Sponsored ADR 11,723 3,312,920 # Mitsui Chemicals, Inc. 1,861,800 4,536,789 Mitsui Engineering & Shipbuilding Co., Ltd. 651,000 1,263,089 Mitsui Mining & Smelting Co., Ltd. 69,030 171,170 Mitsui OSK Lines, Ltd. 3,290,000 10,975,658 Mizuho Financial Group, Inc. 42,833,200 83,893,411 Mizuho Financial Group, Inc. ADR 205,757 804,510 MS&AD Insurance Group Holdings 915,353 20,533,331 Nagase & Co., Ltd. 235,889 2,890,370 Nanto Bank, Ltd. (The) 319,000 1,197,329 NEC Corp. 10,253,101 28,841,930 NHK Spring Co., Ltd. 66,800 604,666 Nippo Corp. 117,000 1,787,701 Nippon Electric Glass Co., Ltd. 864,000 4,226,617 Nippon Express Co., Ltd. 2,172,238 10,268,853 Nippon Meat Packers, Inc. 429,536 7,444,449 # Nippon Paper Industries Co., Ltd. 287,500 5,254,265 Nippon Shokubai Co., Ltd. 266,000 3,069,181 Nippon Steel & Sumitomo Metal Corp. 19,029,940 49,927,655 Nippon Television Holdings, Inc. 72,400 1,079,304 # Nippon Yusen K.K. 5,752,000 15,590,924 Nishi-Nippon City Bank, Ltd. (The) 1,412,569 3,213,024
THE DFA INTERNATIONAL VALUE SERIES CONTINUED
SHARES VALUE++ --------- ----------- JAPAN -- (Continued) Nissan Motor Co., Ltd. 5,592,800 $48,258,010 Nissan Shatai Co., Ltd. 11,500 175,198 # Nisshin Seifun Group, Inc. 464,199 5,400,761 Nisshin Steel Co., Ltd. 143,100 1,469,694 Nisshinbo Holdings, Inc. 305,000 2,613,018 NKSJ Holdings, Inc. 296,400 7,394,835 NOK Corp. 212,020 3,466,270 * NTN Corp. 1,546,000 5,291,062 # NTT DOCOMO, Inc. 3,091,700 49,314,290 # NTT DOCOMO, Inc. Sponsored ADR 6,118 97,766 # Obayashi Corp. 1,650,682 10,658,275 Oji Holdings Corp. 2,787,000 11,709,551 # Onward Holdings Co., Ltd. 278,000 1,869,849 Otsuka Holdings Co., Ltd. 148,700 4,283,716 # Pola Orbis Holdings, Inc. 49,300 1,929,387 Rengo Co., Ltd. 421,000 1,881,330 Resona Holdings, Inc. 3,227,600 16,502,722 Ricoh Co., Ltd. 2,859,100 32,945,604 Rohm Co., Ltd. 233,700 11,175,972 Sankyo Co., Ltd. 82,500 3,299,258 # SBI Holdings, Inc. 399,300 4,566,370 Seino Holdings Co., Ltd. 315,000 3,113,376 Sekisui Chemical Co., Ltd. 125,000 1,266,775 Sekisui House, Ltd. 1,499,800 18,002,995 Shiga Bank, Ltd. (The) 451,185 2,467,199 Shimizu Corp. 1,371,000 7,771,703 Shizuoka Bank, Ltd. (The) 1,051,000 10,042,310 # Showa Denko K.K. 4,216,000 5,617,627 Showa Shell Sekiyu K.K. 366,900 3,721,985 SKY Perfect JSAT Holdings, Inc. 358,300 1,926,625 Sohgo Security Services Co., Ltd. 101,200 2,145,543 Sojitz Corp. 2,718,800 4,287,055 # Sony Corp. 975,200 17,120,209 # Sony Corp. Sponsored ADR 1,801,665 31,781,371 Sumitomo Bakelite Co., Ltd. 347,000 1,321,536 Sumitomo Chemical Co., Ltd. 6,068,000 22,764,970 Sumitomo Corp. 3,241,900 42,081,429 Sumitomo Electric Industries, Ltd. 2,606,700 36,079,787 # Sumitomo Forestry Co., Ltd. 343,000 3,488,574 # Sumitomo Heavy Industries, Ltd. 1,272,000 5,412,230 Sumitomo Metal Mining Co., Ltd. 1,441,000 21,765,603 Sumitomo Mitsui Financial Group, Inc. 1,688,300 66,739,011 Sumitomo Mitsui Trust Holdings, Inc. 1,987,629 8,190,419 Sumitomo Osaka Cement Co., Ltd. 196,000 779,516 Sumitomo Rubber Industries, Ltd. 162,700 2,261,182 Suzuken Co., Ltd. 149,300 5,381,534 Suzuki Motor Corp. 774,300 19,976,987 T&D Holdings, Inc. 1,060,400 12,657,244 Taisho Pharmaceutical Holdings Co., Ltd. 49,199 3,626,340 Taiyo Nippon Sanso Corp. 28,000 223,181 Takashimaya Co., Ltd. 639,634 6,060,017 Takata Corp. 1,900 44,768
THE DFA INTERNATIONAL VALUE SERIES CONTINUED
SHARES VALUE++ --------- -------------- JAPAN -- (Continued) TDK Corp. 487,600 $ 20,791,981 Teijin, Ltd. 3,063,450 7,530,119 # Toho Holdings Co., Ltd. 12,800 258,026 Tokai Rika Co., Ltd. 97,100 1,687,521 Tokio Marine Holdings, Inc. 15,400 453,775 Tokyo Broadcasting System Holdings, Inc. 85,300 926,617 # Toppan Printing Co., Ltd. 1,344,000 9,230,390 Toshiba TEC Corp. 36,000 234,527 Tosoh Corp. 1,275,000 4,865,278 Toyo Seikan Group Holdings, Ltd. 365,849 5,440,861 Toyobo Co., Ltd. 664,000 1,072,262 Toyoda Gosei Co., Ltd. 95,300 1,755,981 # Toyota Boshoku Corp. 30,300 313,222 # Toyota Tsusho Corp. 675,100 17,781,598 Ube Industries, Ltd. 2,998,000 5,079,258 # UNY Group Holdings Co., Ltd. 393,050 2,536,571 Ushio, Inc. 44,200 577,324 Wacoal Holdings Corp. 179,000 1,765,700 # Yamada Denki Co., Ltd. 1,608,100 5,941,079 # Yamaguchi Financial Group, Inc. 492,148 4,538,493 Yamaha Corp. 355,900 4,768,585 Yamato Kogyo Co., Ltd. 86,600 2,497,389 Yamazaki Baking Co., Ltd. 263,000 3,213,417 -------------- TOTAL JAPAN 1,909,110,717 -------------- NETHERLANDS -- (3.2%) Aegon NV 3,908,207 35,824,227 Akzo Nobel NV 442,754 34,119,542 # ArcelorMittal(B03XPL1) 3,159,312 51,374,315 # ArcelorMittal(B295F26) 553,547 8,995,139 * ING Groep NV 6,479,202 92,619,251 #* ING Groep NV Sponsored ADR 1,297,167 18,549,488 Koninklijke Ahold NV 1,258,998 24,338,805 Koninklijke Boskalis Westminster NV 22,312 1,264,570 Koninklijke DSM NV 466,014 33,463,425 * Koninklijke KPN NV 601,748 2,137,931 Koninklijke Philips NV 1,120,476 35,869,966 TNT Express NV 72,118 649,894 -------------- TOTAL NETHERLANDS 339,206,553 -------------- NEW ZEALAND -- (0.1%) Auckland International Airport, Ltd. 297,563 1,019,131 Contact Energy, Ltd. 1,292,916 6,350,743 Fletcher Building, Ltd. 83,384 709,041 -------------- TOTAL NEW ZEALAND 8,078,915 -------------- NORWAY -- (0.7%) # Aker ASA Class A 68,150 2,308,416 # DNB ASA 1,551,198 27,495,788 # Norsk Hydro ASA 3,357,025 18,004,372 # Norsk Hydro ASA Sponsored ADR 59,900 322,262
THE DFA INTERNATIONAL VALUE SERIES CONTINUED
SHARES VALUE++ ---------- ------------ NORWAY -- (Continued) # Orkla ASA 361,613 $ 2,990,752 Stolt-Nielsen, Ltd. 8,425 227,790 * Storebrand ASA 1,082,306 6,075,377 Subsea 7 SA 590,207 11,818,457 # Wilh Wilhelmsen Holding ASA Class A 212 6,726 # Yara International ASA 19,098 902,790 ------------ TOTAL NORWAY 70,152,730 ------------ PORTUGAL -- (0.1%) #* Banco Espirito Santo SA 2,631,973 4,665,259 * EDP Renovaveis SA 517,656 3,549,897 ------------ TOTAL PORTUGAL 8,215,156 ------------ SINGAPORE -- (1.1%) CapitaLand, Ltd. 9,878,000 25,280,518 # CapitaMalls Asia, Ltd. 1,267,000 2,232,549 City Developments, Ltd. 179,000 1,550,857 DBS Group Holdings, Ltd. 1,172,308 15,881,446 Golden Agri-Resources, Ltd. 13,990,000 6,824,803 Hutchison Port Holdings Trust 4,848,000 3,299,340 Keppel Land, Ltd. 1,214,000 3,358,465 #* Neptune Orient Lines, Ltd. 1,246,004 1,010,600 Noble Group, Ltd. 10,011,000 10,308,120 # Olam International, Ltd. 2,567,000 4,580,599 # OUE Hospitality Trust 67,498 46,852 # OUE, Ltd. 405,000 734,302 Singapore Airlines, Ltd. 1,933,600 16,030,374 United Industrial Corp., Ltd. 2,152,000 5,755,030 UOL Group, Ltd. 1,376,600 7,067,800 Venture Corp., Ltd. 307,000 1,880,422 Wheelock Properties Singapore, Ltd. 861,000 1,291,083 Wilmar International, Ltd. 4,154,000 11,289,798 ------------ TOTAL SINGAPORE 118,422,958 ------------ SPAIN -- (2.6%) # Acciona SA 101,533 8,259,282 # Banco de Sabadell SA 5,355,403 18,220,588 Banco Popular Espanol SA 3,458,143 25,482,786 Banco Santander SA 8,200,002 81,554,496 # Banco Santander SA Sponsored ADR 1,541,029 15,348,649 # CaixaBank SA 3,079,847 18,770,826 Iberdrola SA 9,376,631 65,500,776 Repsol SA 1,248,100 33,604,404 ------------ TOTAL SPAIN 266,741,807 ------------ SWEDEN -- (2.9%) # Boliden AB 612,180 9,349,391 Holmen AB Class A 5,283 186,143 Meda AB Class A 280,396 5,040,101 Nordea Bank AB 5,366,449 77,763,053 Skandinaviska Enskilda Banken AB Class A 3,481,813 48,093,995
THE DFA INTERNATIONAL VALUE SERIES CONTINUED
SHARES VALUE++ --------- ------------ SWEDEN -- (Continued) # Skandinaviska Enskilda Banken AB Class C 16,918 $ 230,116 #* SSAB AB Class A 51,620 450,684 Svenska Cellulosa AB Class A 66,476 1,859,037 Svenska Cellulosa AB Class B 1,348,669 37,915,170 Svenska Handelsbanken AB Class A 32,796 1,649,637 Svenska Handelsbanken AB Class B 252 12,303 Swedbank AB Class A 674,237 18,043,872 Tele2 AB Class B 127,737 1,632,365 Telefonaktiebolaget LM Ericsson Class A 28,098 323,887 Telefonaktiebolaget LM Ericsson Class B 4,713,081 56,832,490 # Telefonaktiebolaget LM Ericsson Sponsored ADR 952,162 11,416,422 TeliaSonera AB 3,717,354 27,058,823 ------------ TOTAL SWEDEN 297,857,489 ------------ SWITZERLAND -- (8.8%) ABB, Ltd. 820,669 19,758,495 Adecco SA 358,259 30,076,577 # Alpiq Holding AG 1,593 195,484 Aryzta AG 189,423 17,509,404 Baloise Holding AG 200,163 24,374,561 Banque Cantonale Vaudoise 468 277,799 Clariant AG 601,589 11,863,278 Credit Suisse Group AG 1,928,358 61,134,025 # Credit Suisse Group AG Sponsored ADR 1,022,581 32,385,140 Givaudan SA 5,469 8,631,037 Holcim, Ltd. 887,877 81,432,888 Lonza Group AG 7,458 780,558 Novartis AG 2,434,443 211,632,207 Novartis AG ADR 681,571 59,255,783 PSP Swiss Property AG 1,959 188,290 Sulzer AG 50,596 7,807,080 Swiss Life Holding AG 123,557 30,441,434 Swiss Re AG 1,412,545 123,514,466 UBS AG(B18YFJ4) 4,344,251 90,855,076 # UBS AG(H89231338) 505,823 10,576,759 Zurich Insurance Group AG 321,452 92,179,146 ------------ TOTAL SWITZERLAND 914,869,487 ------------ UNITED KINGDOM -- (15.5%) Anglo American P.L.C. 2,938,851 78,564,591 Barclays P.L.C. 6,164,510 26,322,720 Barclays P.L.C. Sponsored ADR 5,037,005 86,183,156 Barratt Developments P.L.C. 410,298 2,566,070 BP P.L.C. 1,867,967 15,771,454 BP P.L.C. Sponsored ADR 6,938,726 351,238,309 Carnival P.L.C. 658,867 26,340,713 # Carnival P.L.C. ADR 229,328 9,152,480 Coca-Cola HBC AG ADR 4,761 119,930 Glencore Xstrata P.L.C. 9,442,477 50,949,377 HSBC Holdings P.L.C. 4,447,299 45,440,771 # HSBC Holdings P.L.C. Sponsored ADR 1,892,534 97,124,844 Investec P.L.C. 1,195,168 10,545,881
THE DFA INTERNATIONAL VALUE SERIES CONTINUED
SHARES VALUE++ ---------- --------------- UNITED KINGDOM -- (Continued) # J Sainsbury P.L.C. 5,377,115 $ 30,503,307 Kingfisher P.L.C. 8,040,406 56,896,948 * Lloyds Banking Group P.L.C. 34,635,010 44,166,996 #* Lloyds Banking Group P.L.C. ADR 1,528,251 7,901,058 Mondi P.L.C. 92,520 1,538,044 Old Mutual P.L.C. 12,629,616 42,689,163 # Pearson P.L.C. Sponsored ADR 1,179,255 22,134,616 Resolution, Ltd. 3,422,696 17,266,967 * Royal Bank of Scotland Group P.L.C. 3,847,507 19,493,190 * Royal Bank of Scotland Group P.L.C. Sponsored ADR 400,166 4,065,687 # Royal Dutch Shell P.L.C. ADR(780259107) 3,323,210 281,309,727 Royal Dutch Shell P.L.C. ADR(780259206) 755,142 59,459,881 Royal Dutch Shell P.L.C. Class A 568,985 22,494,366 Royal Dutch Shell P.L.C. Class B 255,146 10,833,751 RSA Insurance Group P.L.C. 6,814,831 11,315,453 # Vedanta Resources P.L.C. 189,404 3,032,969 Vodafone Group P.L.C. 19,078,000 72,431,667 Vodafone Group P.L.C. Sponsored ADR 2,056,797 78,076,025 WM Morrison Supermarkets P.L.C. 8,127,143 27,588,942 --------------- TOTAL UNITED KINGDOM 1,613,519,053 --------------- TOTAL COMMON STOCKS 9,450,148,224 --------------- PREFERRED STOCKS -- (0.3%) GERMANY -- (0.3%) Porsche Automobil Holding SE 254,382 28,133,374 --------------- RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) * Bank of Queensland, Ltd. Rights 05/09/14 78,835 -- --------------- FRANCE -- (0.0%) * Peugeot SA Warrants 04/29/17 159,012 304,214 --------------- HONG KONG -- (0.0%) * Sun Hung Kai Properties 04/22/16 71,750 49,049 --------------- SPAIN -- (0.0%) * Banco Santander SA 8,200,002 1,734,756 --------------- TOTAL RIGHTS/WARRANTS 2,088,019 --------------- SHARES/ FACE AMOUNT (000) VALUE+ ---------- --------------- SECURITIES LENDING COLLATERAL -- (9.1%) (S)@ DFA Short Term Investment Fund 82,550,804 955,112,801 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $8,605,115,658) $10,435,482,418 ===============
THE DFA INTERNATIONAL VALUE SERIES CONTINUED Summary of the Series' investments as of April 30, 2014, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE) ----------------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL -------------- -------------- ------- --------------- Common Stocks Australia $ 1,974,118 $ 475,161,073 -- $ 477,135,191 Austria -- 15,658,992 -- 15,658,992 Belgium 3,952,688 124,370,476 -- 128,323,164 Canada 836,406,048 -- -- 836,406,048 Denmark -- 163,115,860 -- 163,115,860 Finland 2,128,584 92,590,423 -- 94,719,007 France 5,948,762 989,004,652 -- 994,953,414 Germany 76,929,392 691,830,911 -- 768,760,303 Hong Kong -- 203,728,702 -- 203,728,702 Ireland 6,301,524 12,469,068 -- 18,770,592 Israel -- 32,609,956 -- 32,609,956 Italy 24,068,580 145,723,550 -- 169,792,130 Japan 62,859,115 1,846,251,602 -- 1,909,110,717 Netherlands 27,544,627 311,661,926 -- 339,206,553 New Zealand -- 8,078,915 -- 8,078,915 Norway 322,262 69,830,468 -- 70,152,730 Portugal -- 8,215,156 -- 8,215,156 Singapore -- 118,422,958 -- 118,422,958 Spain 15,348,649 251,393,158 -- 266,741,807 Sweden 11,416,422 286,441,067 -- 297,857,489 Switzerland 102,217,682 812,651,805 -- 914,869,487 United Kingdom 996,765,713 616,753,340 -- 1,613,519,053 Preferred Stocks Germany -- 28,133,374 -- 28,133,374 Rights/Warrants Australia -- -- -- -- France -- 304,214 -- 304,214 Hong Kong -- 49,049 -- 49,049 Spain -- 1,734,756 -- 1,734,756 Securities Lending Collateral -- 955,112,801 -- 955,112,801 -------------- -------------- -- --------------- TOTAL $2,174,184,166 $8,261,298,252 -- $10,435,482,418 ============== ============== == ===============
THE JAPANESE SMALL COMPANY SERIES SCHEDULE OF INVESTMENTS APRIL 30, 2014 (UNAUDITED)
SHARES VALUE++ ------- ---------- COMMON STOCKS -- (87.4%) Consumer Discretionary -- (17.8%) # Accordia Golf Co., Ltd. 575,900 $7,387,781 Adastria Holdings Co., Ltd. 93,320 2,030,846 # Aeon Fantasy Co., Ltd. 57,832 717,665 #* Agora Hospitality Group Co., Ltd. 339,000 149,616 # Ahresty Corp. 115,300 981,471 * Aigan Co., Ltd. 96,200 250,528 Aisan Industry Co., Ltd. 170,000 1,352,681 # Akebono Brake Industry Co., Ltd. 142,900 726,907 Alpen Co., Ltd. 98,000 1,805,522 Alpha Corp. 30,400 293,503 Alpine Electronics, Inc. 272,000 3,242,909 Amiyaki Tei Co., Ltd. 23,500 660,193 Amuse, Inc. 34,099 567,162 * Anrakutei Co., Ltd. 22,000 85,063 AOI Pro, Inc. 39,200 243,824 AOKI Holdings, Inc. 194,200 2,646,011 Aoyama Trading Co., Ltd. 315,900 7,839,037 Arata Corp. 91,000 290,979 Arcland Sakamoto Co., Ltd. 80,500 1,593,900 Asahi Broadcasting Corp. 28,200 165,017 Asahi Co., Ltd. 78,200 1,040,353 Asatsu-DK, Inc. 168,000 3,800,411 #* Ashimori Industry Co., Ltd. 319,000 386,566 # ASKUL Corp. 46,600 1,162,856 # Atom Corp. 6,300 32,069 # Atsugi Co., Ltd. 858,000 950,249 Autobacs Seven Co., Ltd. 378,000 5,848,087 Avex Group Holdings, Inc. 191,300 3,543,233 Belluna Co., Ltd. 193,100 937,398 Best Bridal, Inc. 91,100 542,232 Best Denki Co., Ltd. 396,500 539,451 # Bic Camera, Inc. 497,600 3,629,391 # Bookoff Corp. 48,800 405,513 BRONCO BILLY Co., Ltd. 800 17,584 Calsonic Kansei Corp. 903,000 4,448,303 # Can Do Co., Ltd. 64,500 989,885 # Central Sports Co., Ltd. 27,000 406,260 # Chiyoda Co., Ltd. 134,600 3,195,719 Chofu Seisakusho Co., Ltd. 88,800 2,229,658 Chori Co., Ltd. 72,900 804,770 Chuo Spring Co., Ltd. 202,000 610,675 #* Clarion Co., Ltd. 101,000 190,035 Cleanup Corp. 133,500 1,216,404 # Colowide Co., Ltd. 179,500 1,801,020 #* COOKPAD, Inc. 59,200 1,186,182 Corona Corp. 80,400 812,355 # Cross Plus, Inc. 22,000 165,567 * DA Consortium, Inc. 33,700 135,700 Daido Metal Co., Ltd. 172,000 1,827,772 # Daidoh, Ltd. 126,100 769,690 #* Daiei, Inc. (The) 685,650 1,924,744
THE JAPANESE SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ --------- ---------- Consumer Discretionary -- (Continued) Daiichikosho Co., Ltd. 128,900 $3,714,342 Daikoku Denki Co., Ltd. 41,500 741,760 Daimaruenawin Co., Ltd. 400 2,845 Dainichi Co., Ltd. 54,900 395,117 # Daisyo Corp. 54,300 638,727 DCM Holdings Co., Ltd. 491,600 3,325,810 # Descente, Ltd. 240,000 1,819,101 Doshisha Co., Ltd. 126,700 1,899,670 Doutor Nichires Holdings Co., Ltd. 173,686 3,113,028 # Dunlop Sports Co., Ltd. 77,500 944,085 Dynic Corp. 174,000 277,303 Eagle Industry Co., Ltd. 140,000 2,215,887 # EDION Corp. 528,800 3,081,540 # Exedy Corp. 179,600 4,805,145 # F-Tech, Inc. 24,600 290,679 # FCC Co., Ltd. 197,400 3,374,277 Fields Corp. 78,500 1,055,026 * Fine Sinter Co., Ltd. 49,000 152,720 First Juken Co., Ltd. 4,900 68,612 # Foster Electric Co., Ltd. 129,400 1,567,385 # France Bed Holdings Co., Ltd. 672,000 1,210,969 # Fuji Co., Ltd. 105,000 1,987,395 Fuji Corp., Ltd. 127,000 745,114 # Fuji Kiko Co., Ltd. 148,000 582,747 # Fuji Kyuko Co., Ltd. 50,000 500,475 Fuji Oozx, Inc. 6,000 25,339 # Fujibo Holdings, Inc. 732,000 1,685,136 # Fujikura Rubber, Ltd. 36,000 311,878 Fujitsu General, Ltd. 330,000 3,808,173 FuKoKu Co., Ltd. 32,100 291,922 #* Funai Electric Co., Ltd. 84,200 904,190 # Furukawa Battery Co., Ltd. (The) 81,000 557,213 Futaba Industrial Co., Ltd. 315,800 1,414,706 G-7 Holdings, Inc. 29,200 212,953 G-Tekt Corp. 91,600 1,025,286 # Gakken Holdings Co., Ltd. 322,000 873,054 # Genki Sushi Co., Ltd. 21,400 335,554 # Geo Holdings Corp. 184,700 1,692,212 # GLOBERIDE, Inc. 530,000 673,917 Goldwin, Inc. 188,000 970,739 # Gourmet Kineya Co., Ltd. 87,000 628,962 GSI Creos Corp. 289,000 385,123 Gulliver International Co., Ltd. 314,400 2,573,155 Gunze, Ltd. 1,111,000 3,033,770 H-One Co., Ltd. 69,500 538,500 H2O Retailing Corp. 560,000 4,226,062 # Hagihara Industries, Inc. 11,600 153,554 Hakuyosha Co., Ltd. 65,000 153,686 Happinet Corp. 76,400 775,597 Hard Off Corp. Co., Ltd. 49,700 383,734 Haruyama Trading Co., Ltd. 47,900 335,136 Heiwa Corp. 130,500 2,171,514
THE JAPANESE SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ --------- ---------- Consumer Discretionary -- (Continued) HI-LEX Corp. 62,900 $1,555,319 # Hiday Hidaka Corp. 56,664 1,304,812 # Higashi Nihon House Co., Ltd. 206,000 987,447 # Himaraya Co., Ltd. 35,900 382,243 # Hiramatsu, Inc. 138,500 921,368 # HIS Co., Ltd. 203,600 5,646,445 # Honeys Co., Ltd. 92,940 870,117 # Hoosiers Holdings Co., Ltd. 153,500 841,680 # Ichibanya Co., Ltd. 37,500 1,517,095 #* Ichikoh Industries, Ltd. 294,000 392,902 # Iida Group Holdings Co., Ltd. 48,421 722,602 * IJT Technology Holdings Co., Ltd. 128,280 523,554 # Ikyu Corp. 37,500 407,377 # Imasen Electric Industrial 77,900 977,002 Imperial Hotel, Ltd. 14,200 307,604 # Intage Holdings, Inc. 73,400 918,415 * Izuhakone Railway Co., Ltd. 300 -- #* Izutsuya Co., Ltd. 555,000 380,970 #* Janome Sewing Machine Co., Ltd. 822,000 659,825 # Japan Vilene Co., Ltd. 154,000 848,440 Japan Wool Textile Co., Ltd. (The) 336,000 2,495,397 # Jin Co., Ltd. 64,400 1,877,471 # Joban Kosan Co., Ltd. 229,000 309,082 # Joshin Denki Co., Ltd. 209,000 1,693,736 # JP-Holdings, Inc. 66,600 294,156 #* JVC Kenwood Corp. 874,630 1,848,881 K's Holdings Corp. 22,600 655,860 # Kadokawa Corp. 113,300 3,720,204 Kasai Kogyo Co., Ltd. 141,000 924,062 # Kawai Musical Instruments Manufacturing Co., Ltd. 446,000 794,808 Keihin Corp. 260,200 3,776,126 # Keiyo Co., Ltd. 181,300 835,760 KFC Holdings Japan, Ltd. 77,000 1,588,334 #* Kintetsu Department Store Co., Ltd. 45,000 159,991 # Kinugawa Rubber Industrial Co., Ltd. 268,000 1,118,786 Kitamura Co., Ltd. 2,000 12,527 #* KNT-CT Holdings Co., Ltd. 355,000 584,069 # Kohnan Shoji Co., Ltd. 194,000 1,963,901 #* Kojima Co., Ltd. 145,700 466,561 Komatsu Seiren Co., Ltd. 146,000 735,760 Komeri Co., Ltd. 174,100 4,714,326 # Konaka Co., Ltd. 122,960 864,016 # Koshidaka Holdings Co., Ltd. 19,300 572,124 KU Holdings Co., Ltd. 68,200 755,284 Kura Corp. 63,100 1,269,132 Kurabo Industries, Ltd. 1,272,000 2,166,689 Kuraudia Co., Ltd. 5,700 63,279 KYB Co., Ltd. 892,000 3,633,580 Kyoritsu Maintenance Co., Ltd. 55,660 1,901,020 Kyoto Kimono Yuzen Co., Ltd. 59,800 592,141 LEC, Inc. 42,800 438,145 # Look, Inc. 219,000 568,711
THE JAPANESE SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ --------- ---------- Consumer Discretionary -- (Continued) # Mamiya-Op Co., Ltd. 285,000 $ 552,504 # Marche Corp. 23,000 185,410 # Mars Engineering Corp. 48,400 903,946 * Maruzen CHI Holdings Co., Ltd. 29,800 91,928 Maruzen Co., Ltd. 46,000 417,707 # Matsuya Foods Co., Ltd. 48,200 865,941 Meiko Network Japan Co., Ltd. 75,800 819,361 Meiwa Estate Co., Ltd. 56,900 224,693 Mikuni Corp. 108,000 404,434 Misawa Homes Co., Ltd. 150,900 1,852,149 # Mitsuba Corp. 193,990 2,847,831 Mitsui Home Co., Ltd. 170,000 783,550 # Mizuno Corp. 564,000 3,077,643 Monogatari Corp. (The) 17,600 634,596 # MOS Food Services, Inc. 40,100 799,182 Mr Max Corp. 119,000 381,234 Murakami Corp. 11,000 158,923 # Musashi Seimitsu Industry Co., Ltd. 123,200 2,718,648 Nafco Co., Ltd. 32,000 475,971 # Nagawa Co., Ltd. 8,500 178,020 #* Naigai Co., Ltd. 1,450,000 1,079,839 Nakayamafuku Co., Ltd. 9,500 80,477 Nice Holdings, Inc. 460,000 929,707 Nifco, Inc. 277,500 7,750,861 Nihon Eslead Corp. 10,800 109,829 # Nihon Plast Co., Ltd. 1,600 9,420 Nihon Tokushu Toryo Co., Ltd. 56,000 311,620 Nippon Felt Co., Ltd. 67,200 291,606 # Nippon Piston Ring Co., Ltd. 470,000 821,161 Nippon Seiki Co., Ltd. 246,400 4,308,369 Nishikawa Rubber Co., Ltd. 15,000 247,360 Nishimatsuya Chain Co., Ltd. 290,300 2,080,904 Nissan Tokyo Sales Holdings Co., Ltd. 236,000 766,134 # Nissin Kogyo Co., Ltd. 214,800 3,964,570 Nittan Valve Co., Ltd. 82,800 248,227 Ohashi Technica, Inc. 22,000 177,512 # Ohsho Food Service Corp. 58,100 2,147,311 Onward Holdings Co., Ltd. 753,000 5,064,735 # OPT, Inc. 55,600 423,887 Otsuka Kagu, Ltd. 40,700 397,122 Pacific Industrial Co., Ltd. 213,100 1,490,576 # Pal Co., Ltd. 61,100 1,165,977 Paltac Corp. 189,534 2,341,217 PanaHome Corp. 460,200 3,060,065 Parco Co., Ltd. 103,600 829,661 Paris Miki Holdings, Inc. 164,400 818,116 PIA Corp. 100 1,691 Piolax, Inc. 57,900 2,004,202 #* Pioneer Corp. 1,903,400 4,112,657 Plenus Co., Ltd. 120,400 2,747,709 Press Kogyo Co., Ltd. 558,000 2,046,451 # Pressance Corp. 30,800 764,010
THE JAPANESE SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ ------- ---------- Consumer Discretionary -- (Continued) # Proto Corp. 61,600 $ 850,542 Renaissance, Inc. 39,400 313,017 * Renown, Inc. 326,600 377,790 Resort Solution Co., Ltd. 180,000 398,374 Resorttrust, Inc. 401,216 6,295,018 Rhythm Watch Co., Ltd. 658,000 972,828 # Riberesute Corp. 12,700 82,405 # Right On Co., Ltd. 79,525 563,260 Riken Corp. 512,000 2,094,805 # Riso Kyoiku Co., Ltd. 153,610 334,671 Roland Corp. 92,800 1,319,108 # Round One Corp. 424,200 3,046,949 Royal Holdings Co., Ltd. 135,800 1,980,763 Sagami Chain Co., Ltd. 16,000 145,079 # Saizeriya Co., Ltd. 166,500 1,907,716 # Sakai Ovex Co., Ltd. 307,000 529,997 San Holdings, Inc. 14,000 186,008 # Sanden Corp. 623,000 2,975,834 Sanei Architecture Planning Co., Ltd. 43,300 340,934 Sangetsu Co., Ltd. 168,325 4,337,234 # Sanko Marketing Foods Co., Ltd. 30,400 272,491 Sankyo Seiko Co., Ltd. 188,700 651,763 Sanoh Industrial Co., Ltd. 140,500 867,416 Sanyo Electric Railway Co., Ltd. 118,000 544,180 Sanyo Housing Nagoya Co., Ltd. 51,800 490,068 Sanyo Shokai, Ltd. 678,000 1,850,074 Scroll Corp. 152,100 408,410 Seiko Holdings Corp. 861,407 3,147,725 Seiren Co., Ltd. 296,700 2,492,910 Senshukai Co., Ltd. 183,700 1,562,998 # Septeni Holdings Co., Ltd. 78,600 1,005,389 # Seria Co., Ltd. 95,700 3,742,738 # Shidax Corp. 85,200 413,667 # Shikibo, Ltd. 802,000 878,579 # Shimachu Co., Ltd. 273,900 6,018,295 Shimojima Co., Ltd. 23,800 242,528 Shiroki Corp. 285,000 546,936 Shobunsha Publications, Inc. 279,800 1,728,436 # Showa Corp. 320,400 3,523,412 # SKY Perfect JSAT Holdings, Inc. 892,200 4,797,474 SNT Corp. 110,200 443,085 Soft99 Corp. 70,600 458,323 Sotoh Co., Ltd. 49,700 454,254 SPK Corp. 17,200 316,486 # St Marc Holdings Co., Ltd. 45,300 2,146,948 # Starbucks Coffee Japan, Ltd. 134,600 1,431,480 Starts Corp., Inc. 97,000 1,226,746 Step Co., Ltd. 39,200 289,924 Studio Alice Co., Ltd. 53,000 737,007 Suminoe Textile Co., Ltd. 342,000 1,035,388 Sumitomo Forestry Co., Ltd. 268,366 2,729,489 Suncall Corp. 28,000 161,191
THE JAPANESE SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ --------- ---------- Consumer Discretionary -- (Continued) T RAD Co., Ltd. 373,000 $ 973,973 # T-Gaia Corp. 41,000 361,048 # Tachi-S Co., Ltd. 167,540 2,620,807 Tachikawa Corp. 50,800 252,414 Taiho Kogyo Co., Ltd. 98,300 929,453 Taka-Q, Ltd. 22,500 49,159 Takamatsu Construction Group Co., Ltd. 90,500 1,551,619 Take And Give Needs Co., Ltd. 51,070 964,227 Takihyo Co., Ltd. 76,000 301,826 # Tamron Co., Ltd. 95,700 2,393,761 # TBK Co., Ltd. 116,000 567,102 * Ten Allied Co., Ltd. 50,000 147,743 Tigers Polymer Corp. 59,000 239,518 # Toa Corp. 103,000 1,036,752 # Toabo Corp. 529,000 362,656 # Toei Animation Co., Ltd. 22,500 587,815 Toei Co., Ltd. 416,000 2,328,948 Tohokushinsha Film Corp. 24,300 188,232 # Tokai Rika Co., Ltd. 295,500 5,135,557 # Tokai Rubber Industries, Ltd. 225,500 2,332,519 # Token Corp. 43,950 1,950,961 Tokyo Derica Co., Ltd. 29,900 435,361 Tokyo Dome Corp. 1,200,200 5,374,910 Tokyo Soir Co., Ltd. 9,000 21,753 # Tokyu Recreation Co., Ltd. 79,000 462,711 Tomy Co., Ltd. 379,793 1,802,248 Topre Corp. 214,500 2,170,487 # Toridoll.corp 94,600 935,364 # Tosho Co., Ltd. 26,800 450,722 Toyo Tire & Rubber Co., Ltd. 1,040,000 7,755,129 TPR Co., Ltd. 117,900 1,739,533 TSI Holdings Co., Ltd. 516,595 3,483,724 Tsukamoto Corp. Co., Ltd. 190,000 247,596 Tsutsumi Jewelry Co., Ltd. 49,300 1,117,640 Tv Tokyo Holdings Corp. 34,800 554,627 # Tyo, Inc. 218,000 346,816 # U-Shin, Ltd. 148,800 890,956 Unipres Corp. 205,800 3,976,274 United Arrows, Ltd. 103,100 3,987,691 * Unitika, Ltd. 140,000 79,420 #* Universal Entertainment Corp. 66,800 1,187,222 #* Usen Corp. 659,680 2,433,950 # Village Vanguard Co., Ltd. 25,800 303,193 # VT Holdings Co., Ltd. 444,600 2,548,886 Wacoal Holdings Corp. 477,000 4,705,246 # Watabe Wedding Corp. 43,000 286,559 # WATAMI Co., Ltd. 120,300 1,752,009 # West Holdings Corp. 84,400 1,136,160 Wowow, Inc. 28,300 950,835 Xebio Co., Ltd. 145,500 2,690,893 Yachiyo Industry Co., Ltd. 8,800 60,715 Yamato International, Inc. 20,400 85,601
THE JAPANESE SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ ------- ------------ Consumer Discretionary -- (Continued) Yellow Hat, Ltd. 95,400 $ 1,828,986 Yomiuri Land Co., Ltd. 128,000 494,375 Yondoshi Holdings, Inc. 99,820 1,777,317 Yonex Co., Ltd. 40,000 236,230 Yorozu Corp. 92,300 1,725,221 Yutaka Giken Co., Ltd. 1,000 21,932 # Zenrin Co., Ltd. 150,200 1,532,046 # Zensho Holdings Co., Ltd. 342,000 3,457,336 # Zojirushi Corp. 83,000 296,777 ------------ Total Consumer Discretionary 448,046,044 ------------ Consumer Staples -- (8.4%) # Aderans Co., Ltd. 81,700 1,162,264 Aeon Hokkaido Corp. 339,700 2,008,971 # Ain Pharmaciez, Inc. 68,500 3,012,268 Arcs Co., Ltd. 190,900 3,829,849 Ariake Japan Co., Ltd. 102,000 2,463,791 # Artnature, Inc. 36,600 1,046,814 Axial Retailing, Inc. 69,900 1,082,540 Belc Co., Ltd. 40,300 796,357 Cawachi, Ltd. 88,200 1,608,106 Chubu Shiryo Co., Ltd. 110,700 640,904 # Chuo Gyorui Co., Ltd. 93,000 215,175 Coca-Cola East Japan Co., Ltd. 32,864 740,640 # Cocokara fine, Inc. 88,460 2,508,026 CREATE SD HOLDINGS Co., Ltd. 37,700 1,244,558 # Daikokutenbussan Co., Ltd. 32,600 846,420 # Dr Ci:Labo Co., Ltd. 74,100 2,371,765 # Dydo Drinco, Inc. 49,800 2,023,487 Ezaki Glico Co., Ltd. 379,000 4,991,566 # Fancl Corp. 232,200 2,575,127 #* First Baking Co., Ltd. 183,000 218,219 Fuji Oil Co., Ltd. 367,600 4,966,577 Fujicco Co., Ltd. 117,600 1,374,696 # Fujiya Co., Ltd. 240,000 439,150 Hagoromo Foods Corp. 39,000 401,801 Heiwado Co., Ltd. 176,800 2,502,849 Hokkaido Coca-Cola Bottling Co., Ltd. 87,000 429,624 # Hokuto Corp. 130,400 2,619,552 # House Foods Group, Inc. 195,000 3,244,838 Inageya Co., Ltd. 172,800 1,689,497 Itochu-Shokuhin Co., Ltd. 27,400 922,837 Itoham Foods, Inc. 954,800 4,327,384 Iwatsuka Confectionery Co., Ltd. 300 16,422 # Izumiya Co., Ltd. 447,000 2,120,612 # J-Oil Mills, Inc. 512,000 1,368,820 # Kagome Co., Ltd. 122,600 2,074,682 # Kakiyasu Honten Co., Ltd. 16,600 243,792 Kameda Seika Co., Ltd. 70,500 2,004,597 Kansai Super Market, Ltd. 16,700 131,373 Kasumi Co., Ltd. 234,300 1,653,065 Kato Sangyo Co., Ltd. 113,200 2,354,413
THE JAPANESE SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ --------- ---------- Consumer Staples -- (Continued) Kenko Mayonnaise Co., Ltd. 39,800 $ 342,097 KEY Coffee, Inc. 101,600 1,566,286 Kirindo Co., Ltd. 28,300 180,053 Kose Corp. 176,000 5,849,699 Kotobuki Spirits Co., Ltd. 11,400 235,356 # Kusuri No Aoki Co., Ltd. 25,100 1,679,672 Kyodo Shiryo Co., Ltd. 408,000 431,160 # Kyokuyo Co., Ltd. 431,000 1,113,970 # Life Corp. 183,400 2,803,103 Lion Corp. 494,000 2,706,234 # Mandom Corp. 115,400 4,052,786 # Marudai Food Co., Ltd. 534,000 1,589,443 # Maruetsu, Inc. (The) 375,000 1,247,632 #* Maruha Nichiro Corp. 231,507 3,668,423 Matsumotokiyoshi Holdings Co., Ltd. 175,300 5,173,013 # Maxvalu Nishinihon Co., Ltd. 2,400 31,362 # Maxvalu Tokai Co., Ltd. 57,500 755,740 # Medical System Network Co., Ltd. 78,200 335,137 Megmilk Snow Brand Co., Ltd. 259,000 3,436,674 Meito Sangyo Co., Ltd. 57,300 606,212 Milbon Co., Ltd. 60,976 2,011,518 # Ministop Co., Ltd. 86,700 1,313,068 # Mitsubishi Shokuhin Co., Ltd. 87,800 1,965,979 Mitsui Sugar Co., Ltd. 529,850 2,198,442 Miyoshi Oil & Fat Co., Ltd. 375,000 503,306 Morinaga & Co., Ltd. 1,075,000 2,369,500 Morinaga Milk Industry Co., Ltd. 1,066,000 3,979,170 Morozoff, Ltd. 139,000 440,513 Nagatanien Co., Ltd. 125,000 1,205,614 Nakamuraya Co., Ltd. 189,000 734,950 Natori Co., Ltd. 20,300 219,515 Nichimo Co., Ltd. 170,000 303,045 Nichirei Corp. 1,382,000 6,710,948 Nihon Chouzai Co., Ltd. 6,780 188,283 Niitaka Co., Ltd. 7,260 76,374 Nippon Beet Sugar Manufacturing Co., Ltd. 619,000 1,164,728 Nippon Flour Mills Co., Ltd. 668,000 3,727,023 # Nippon Formula Feed Manufacturing Co., Ltd. 477,000 579,155 * Nippon Suisan Kaisha, Ltd. 1,326,000 3,051,355 # Nisshin Oillio Group, Ltd. (The) 639,000 2,139,503 Nissin Sugar Co., Ltd. 20,000 425,576 Nitto Fuji Flour Milling Co., Ltd. 64,000 198,007 Noevir Holdings Co., Ltd. 83,900 1,595,483 Oenon Holdings, Inc. 316,000 800,296 # OIE Sangyo Co., Ltd. 20,900 170,036 Okuwa Co., Ltd. 120,000 1,095,400 Olympic Group Corp. 64,900 584,972 OUG Holdings, Inc. 29,000 59,038 Pigeon Corp. 191,600 8,578,134 Prima Meat Packers, Ltd. 874,000 1,927,939 # Qol Co., Ltd. 52,100 323,243 # Riken Vitamin Co., Ltd. 79,200 1,877,928
THE JAPANESE SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ --------- ------------ Consumer Staples -- (Continued) # Rock Field Co., Ltd. 56,700 $ 1,013,188 # Rokko Butter Co., Ltd. 33,200 281,689 S Foods, Inc. 77,762 1,037,876 # S&B Foods, Inc. 499 18,513 Sakata Seed Corp. 177,600 2,480,992 San-A Co., Ltd. 91,800 2,645,709 Sapporo Holdings, Ltd. 1,874,000 7,945,790 # Shoei Foods Corp. 44,000 342,293 Showa Sangyo Co., Ltd. 524,000 1,691,558 Sogo Medical Co., Ltd. 27,700 1,145,934 ST Corp. 78,900 764,978 # Starzen Co., Ltd. 328,000 871,309 Takara Holdings, Inc. 702,500 5,378,381 # Tobu Store Co., Ltd. 205,000 527,216 Toho Co., Ltd. 194,000 698,276 # Tohto Suisan Co., Ltd. 143,000 278,952 Torigoe Co., Ltd. (The) 86,600 587,034 Toyo Sugar Refining Co., Ltd. 157,000 149,021 # UNY Group Holdings Co., Ltd. 1,183,300 7,636,496 Uoriki Co., Ltd. 2,400 33,433 Valor Co., Ltd. 201,400 2,610,357 Warabeya Nichiyo Co., Ltd. 80,760 1,507,740 # Welcia Holdings Co., Ltd. 50,100 3,030,692 Yaizu Suisankagaku Industry Co., Ltd. 44,800 418,136 # Yamatane Corp. 535,000 788,262 # Yamaya Corp. 22,800 416,419 Yaoko Co., Ltd. 43,500 1,971,827 Yokohama Reito Co., Ltd. 238,400 1,929,801 Yomeishu Seizo Co., Ltd. 100,000 932,763 Yuasa Funashoku Co., Ltd. 112,000 266,695 Yutaka Foods Corp. 6,000 108,560 ------------ Total Consumer Staples 210,105,411 ------------ Energy -- (1.0%) # BP Castrol K.K. 66,500 360,245 Cosmo Oil Co., Ltd. 2,650,000 4,957,408 Fuji Kosan Co., Ltd. 33,100 205,629 # Fuji Oil Co., Ltd. 293,100 907,881 Itochu Enex Co., Ltd. 311,000 1,746,198 # Japan Drilling Co., Ltd. 23,100 905,863 Japan Oil Transportation Co., Ltd. 84,000 186,728 # Kyoei Tanker Co., Ltd. 111,000 222,751 Mitsuuroko Group Holdings Co., Ltd. 195,800 1,066,258 # Modec, Inc. 69,400 1,537,857 Nippon Coke & Engineering Co., Ltd. 1,410,500 1,644,199 # Nippon Gas Co., Ltd. 154,000 2,550,586 Nippon Seiro Co., Ltd. 64,000 155,621 # Sala Corp. 128,500 654,561 San-Ai Oil Co., Ltd. 314,000 2,090,086 # Shinko Plantech Co., Ltd. 227,900 1,715,676 # Sinanen Co., Ltd. 268,000 1,017,541 # Toa Oil Co., Ltd. 427,000 655,475
THE JAPANESE SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ --------- ----------- Energy -- (Continued) # Toyo Kanetsu K.K. 570,000 $ 1,356,851 ----------- Total Energy 23,937,414 ----------- Financials -- (9.8%) 77 Bank, Ltd. (The) 589,000 2,659,056 Aichi Bank, Ltd. (The) 54,200 2,644,036 Airport Facilities Co., Ltd. 136,670 946,630 Aizawa Securities Co., Ltd. 179,600 992,448 Akita Bank, Ltd. (The) 1,120,400 3,116,019 Anabuki Kosan, Inc. 6,000 18,717 # Aomori Bank, Ltd. (The) 1,136,000 3,124,420 Asax Co., Ltd. 1,700 19,832 Awa Bank, Ltd. (The) 1,095,000 5,863,553 # Bank of Iwate, Ltd. (The) 105,100 4,667,654 Bank of Kochi, Ltd. (The) 178,000 256,405 Bank of Nagoya, Ltd. (The) 955,297 3,589,764 # Bank of Okinawa, Ltd. (The) 110,300 4,624,621 Bank of Saga, Ltd. (The) 771,000 1,608,720 # Bank of the Ryukyus, Ltd. 226,180 2,993,941 * Chiba Kogyo Bank, Ltd. (The) 230,600 1,498,037 Chukyo Bank, Ltd. (The) 676,000 1,150,916 Daibiru Corp. 311,100 3,104,482 Daiichi Commodities Co., Ltd. 13,700 51,772 Daiko Clearing Services Corp. 43,000 224,552 Daikyo, Inc. 1,959,000 3,819,405 Daisan Bank, Ltd. (The) 750,000 1,255,867 Daishi Bank, Ltd. (The) 2,006,000 7,245,069 Daito Bank, Ltd. (The) 898,000 956,570 # Ehime Bank, Ltd. (The) 810,000 1,774,683 Eighteenth Bank, Ltd. (The) 1,093,000 2,441,407 # FIDEA Holdings Co., Ltd. 542,500 1,014,233 # Financial Products Group Co., Ltd. 56,800 549,944 Fukui Bank, Ltd. (The) 1,205,000 2,860,402 # Fukushima Bank, Ltd. (The) 1,368,000 1,124,739 Fuyo General Lease Co., Ltd. 84,100 2,893,936 # GCA Savvian Corp. 54,600 421,673 Goldcrest Co., Ltd. 102,890 2,153,899 Grandy House Corp. 4,900 15,330 Heiwa Real Estate Co., Ltd. 252,000 3,956,181 Higashi-Nippon Bank, Ltd. (The) 832,000 2,086,538 Higo Bank, Ltd. (The) 1,057,000 5,432,799 Hokkoku Bank, Ltd. (The) 1,620,000 5,424,709 Hokuetsu Bank, Ltd. (The) 1,206,000 2,466,789 Hyakugo Bank, Ltd. (The) 1,441,609 5,585,634 Hyakujushi Bank, Ltd. (The) 1,507,000 5,047,862 IBJ Leasing Co., Ltd. 64,900 1,485,128 # Ichigo Group Holdings Co., Ltd. 59,100 175,248 # Ichiyoshi Securities Co., Ltd. 52,100 621,425 Iwai Cosmo Holdings, Inc. 112,200 1,092,859 Jimoto Holdings, Inc. 196,700 389,227 Jowa Holdings Co., Ltd. 37,700 1,309,836 Juroku Bank, Ltd. (The) 1,985,000 6,934,046
THE JAPANESE SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ --------- ---------- Financials -- (Continued) kabu.com Securities Co., Ltd. 377,900 $1,676,668 # Kabuki-Za Co., Ltd. 39,000 1,817,099 Kagoshima Bank, Ltd. (The) 910,000 5,683,948 Kansai Urban Banking Corp. 1,090,000 1,367,112 Keihanshin Building Co., Ltd. 165,500 839,375 # Keiyo Bank, Ltd. (The) 1,190,000 5,237,885 Kita-Nippon Bank, Ltd. (The) 50,006 1,311,369 Kiyo Bank, Ltd. (The) 382,290 4,498,409 # Kyokuto Securities Co., Ltd. 47,700 748,147 Land Business Co., Ltd. 59,500 237,264 #* Leopalace21 Corp. 1,247,000 6,449,102 Marusan Securities Co., Ltd. 385,500 2,697,970 # Michinoku Bank, Ltd. (The) 795,000 1,674,249 Mie Bank, Ltd. (The) 440,000 947,353 Minato Bank, Ltd. (The) 1,076,000 1,831,263 # Mito Securities Co., Ltd. 274,000 957,189 Miyazaki Bank, Ltd. (The) 938,000 2,865,776 # Monex Group, Inc. 191,500 642,006 # Money Partners Group Co., Ltd. 52,400 119,656 Musashino Bank, Ltd. (The) 196,000 6,280,815 # Nagano Bank, Ltd. (The) 496,000 869,570 Nanto Bank, Ltd. (The) 934,000 3,505,658 * New Real Property K.K. 43,900 -- # Nisshin Fudosan Co. 211,000 739,672 North Pacific Bank, Ltd. 1,255,400 5,085,219 Ogaki Kyoritsu Bank, Ltd. (The) 2,012,000 5,434,502 Oita Bank, Ltd. (The) 973,900 3,545,878 Okasan Securities Group, Inc. 334,000 2,331,909 Relo Holdings, Inc. 49,200 2,697,918 Ricoh Leasing Co., Ltd. 97,500 2,544,941 SAMTY Co., Ltd. 23,000 154,557 San-In Godo Bank, Ltd. (The) 961,000 6,342,751 Sankyo Frontier Co., Ltd. 2,000 14,452 # Sawada Holdings Co., Ltd. 121,600 1,031,388 # Senshu Ikeda Holdings, Inc. 1,094,800 5,026,742 Shiga Bank, Ltd. (The) 800,000 4,374,611 Shikoku Bank, Ltd. (The) 1,055,000 2,127,900 SHIMANE BANK, Ltd. (The) 15,600 197,540 Shimizu Bank, Ltd. (The) 46,300 1,131,427 Sumitomo Real Estate Sales Co., Ltd. 61,360 1,840,454 # Sun Frontier Fudousan Co., Ltd. 106,700 1,068,446 Taiko Bank, Ltd. (The) 189,000 390,283 Takagi Securities Co., Ltd. 194,000 466,813 Takara Leben Co., Ltd. 21,300 58,421 # TOC Co., Ltd. 435,250 2,960,588 Tochigi Bank, Ltd. (The) 745,000 2,904,185 Toho Bank, Ltd. (The) 1,306,200 4,374,792 Tohoku Bank, Ltd. (The) 541,000 773,408 # Tokyo Rakutenchi Co., Ltd. 218,000 1,002,500 Tokyo Theatres Co., Inc. 391,000 532,090 # Tokyo Tomin Bank, Ltd. (The) 204,700 2,123,781 Tomato Bank, Ltd. 476,000 786,640
THE JAPANESE SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ --------- ------------ Financials -- (Continued) TOMONY Holdings, Inc. 854,850 $ 3,634,992 # Tosei Corp. 167,400 1,012,789 Tottori Bank, Ltd. (The) 332,000 591,016 # Towa Bank, Ltd. (The) 1,623,000 1,541,475 # Toyo Securities Co., Ltd. 431,000 1,187,320 Tsukuba Bank, Ltd. 462,800 1,669,930 Yachiyo Bank, Ltd. (The) 74,500 2,013,831 # Yamagata Bank, Ltd. (The) 805,500 3,447,716 Yamanashi Chuo Bank, Ltd. (The) 938,000 4,064,271 ------------ Total Financials 247,176,044 ------------ Health Care -- (4.5%) As One Corp. 76,368 2,006,366 # Asahi Intecc Co., Ltd. 54,300 1,987,353 ASKA Pharmaceutical Co., Ltd. 131,000 1,172,049 Biofermin Pharmaceutical Co., Ltd. 6,600 168,862 BML, Inc. 63,900 2,441,113 # CMIC Holdings Co., Ltd. 63,300 1,013,573 Create Medic Co., Ltd. 28,000 262,928 # Daiken Medical Co., Ltd. 22,000 345,494 Daito Pharmaceutical Co., Ltd. 44,100 640,883 Eiken Chemical Co., Ltd. 91,000 1,475,274 # EPS Corp. 160,600 1,534,419 FALCO SD HOLDINGS Co., Ltd. 38,700 437,989 Fuji Pharma Co., Ltd. 36,500 711,642 Fuso Pharmaceutical Industries, Ltd. 427,000 1,373,147 Hogy Medical Co., Ltd. 66,800 3,445,283 Iwaki & Co., Ltd. 122,000 237,752 # Japan Medical Dynamic Marketing, Inc. 44,900 128,603 # Jeol, Ltd. 297,000 1,102,997 JMS Co., Ltd. 156,000 445,731 # Kaken Pharmaceutical Co., Ltd. 440,000 7,582,213 Kawasumi Laboratories, Inc. 67,700 404,105 Kissei Pharmaceutical Co., Ltd. 101,400 2,374,692 KYORIN Holdings, Inc. 265,900 5,125,229 Mani, Inc. 16,700 747,056 Message Co., Ltd. 81,400 2,612,423 Mochida Pharmaceutical Co., Ltd. 69,899 4,925,285 Nagaileben Co., Ltd. 58,000 1,116,318 Nakanishi, Inc. 41,000 1,404,555 Nichi-iko Pharmaceutical Co., Ltd. 200,350 3,107,594 Nichii Gakkan Co. 260,500 2,297,719 Nihon Kohden Corp. 179,000 7,330,666 # Nikkiso Co., Ltd. 350,000 3,922,851 Nippon Chemiphar Co., Ltd. 180,000 866,371 Nippon Shinyaku Co., Ltd. 269,000 4,738,680 # Nipro Corp. 469,400 4,063,693 Nissui Pharmaceutical Co., Ltd. 70,500 727,889 # Paramount Bed Holdings Co., Ltd. 89,400 2,698,194 Psc, Inc. 11,100 325,217 # Rion Co., Ltd. 27,700 399,098 Rohto Pharmaceutical Co., Ltd. 382,100 6,740,824
THE JAPANESE SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ --------- ------------ Health Care -- (Continued) Seed Co., Ltd. 200 $ 2,243 Seikagaku Corp. 179,800 2,152,813 # Ship Healthcare Holdings, Inc. 193,400 6,595,411 Shofu, Inc. 24,800 208,779 Software Service, Inc. 11,200 397,227 # Taiko Pharmaceutical Co., Ltd. 50,700 738,299 Techno Medica Co., Ltd. 18,000 354,000 #* tella, Inc. 18,900 204,335 Toho Holdings Co., Ltd. 271,900 5,481,027 Tokai Corp/Gifu 44,500 1,131,308 Torii Pharmaceutical Co., Ltd. 65,200 1,852,184 # Towa Pharmaceutical Co., Ltd. 57,800 2,469,520 Tsukui Corp. 170,000 1,908,835 # Tsumura & Co. 8,700 206,790 Vital KSK Holdings, Inc. 184,400 1,305,734 # Wakamoto Pharmaceutical Co., Ltd. 107,000 282,731 # ZERIA Pharmaceutical Co., Ltd. 105,599 2,213,950 ------------ Total Health Care 111,947,316 ------------ Industrials -- (25.7%) #* A&A Material Corp. 127,000 141,532 Advan Co., Ltd. 96,200 1,021,073 Advanex, Inc. 73,000 100,849 Aeon Delight Co., Ltd. 9,600 211,761 # Aica Kogyo Co., Ltd. 282,300 5,903,544 Aichi Corp. 172,400 734,212 Aida Engineering, Ltd. 302,300 2,885,684 Alinco, Inc. 47,300 539,086 Alps Logistics Co., Ltd. 50,700 523,602 # Altech Corp. 43,850 426,134 Anest Iwata Corp. 169,000 1,022,058 * Arrk Corp. 79,400 182,953 Asahi Diamond Industrial Co., Ltd. 303,800 4,111,416 # Asahi Kogyosha Co., Ltd. 124,000 453,150 #* Asanuma Corp. 501,000 672,598 Asia Air Survey Co., Ltd. 23,000 78,544 # Asunaro Aoki Construction Co., Ltd. 154,000 883,790 Bando Chemical Industries, Ltd. 452,000 1,739,180 Benefit One, Inc. 98,200 857,068 Bunka Shutter Co., Ltd. 284,000 1,657,504 Central Glass Co., Ltd. 1,125,000 3,689,235 Central Security Patrols Co., Ltd. 43,700 444,217 Chiyoda Integre Co., Ltd. 50,800 700,458 Chudenko Corp. 130,500 1,866,857 # Chugai Ro Co., Ltd. 384,000 825,915 CKD Corp. 322,100 2,934,210 # Cosel Co., Ltd. 127,900 1,458,081 CTI Engineering Co., Ltd. 60,700 646,248 Dai-Dan Co., Ltd. 156,000 824,606 Daido Kogyo Co., Ltd. 171,000 513,990 Daifuku Co., Ltd. 505,000 5,822,461 # Daihatsu Diesel Manufacturing Co., Ltd. 74,000 486,625
THE JAPANESE SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ --------- ---------- Industrials -- (Continued) Daihen Corp. 586,000 $2,220,840 # Daiho Corp. 48,000 187,196 Daiichi Jitsugyo Co., Ltd. 238,000 1,001,927 # Daiseki Co., Ltd. 200,163 3,189,073 Daiseki Eco. Solution Co., Ltd. 7,200 106,417 Daiwa Industries, Ltd. 178,000 1,097,903 * Danto Holdings Corp. 165,000 189,028 Denyo Co., Ltd. 85,100 1,268,175 Dijet Industrial Co., Ltd. 80,000 112,656 DMG Mori Seiki Co., Ltd. 504,000 6,287,404 DMW Corp. 4,800 85,264 # Duskin Co., Ltd. 261,900 4,841,300 Ebara Jitsugyo Co., Ltd. 35,500 494,910 Eidai Co., Ltd. 71,000 383,903 Emori Group Holdings Co., Ltd. 30,300 451,407 en-japan, Inc. 49,800 877,784 # Endo Lighting Corp. 54,300 863,142 * Enshu, Ltd. 281,000 352,407 # Freund Corp. 3,500 46,667 # Fudo Tetra Corp. 842,500 1,881,520 Fujikura, Ltd. 2,042,000 8,792,791 #* Fujisash Co., Ltd. 307,800 470,903 Fujitec Co., Ltd. 384,000 4,427,678 Fukuda Corp. 508,000 2,359,029 Fukushima Industries Corp. 66,400 944,174 # Fukuyama Transporting Co., Ltd. 669,400 3,917,450 Funai Consulting, Inc. 112,400 876,540 Furukawa Co., Ltd. 1,300,000 2,358,053 # Furukawa Electric Co., Ltd. 3,973,000 8,945,051 Furusato Industries, Ltd. 50,600 515,084 Futaba Corp. 154,300 2,425,061 Gecoss Corp. 112,400 1,053,362 Glory, Ltd. 305,500 7,903,712 Hamakyorex Co., Ltd. 39,100 1,082,974 Hanwa Co., Ltd. 1,084,000 4,239,791 # Harmonic Drive Systems, Inc. 8,000 227,165 # Hazama Ando Corp. 796,000 3,513,079 # Hibiya Engineering, Ltd. 131,300 1,693,146 Hisaka Works, Ltd. 115,000 1,021,017 # Hitachi Koki Co., Ltd. 291,400 2,170,714 Hitachi Metals Techno, Ltd. 56,500 680,873 Hitachi Transport System, Ltd. 125,100 1,919,641 # Hitachi Zosen Corp. 921,079 4,519,341 Hokuetsu Industries Co., Ltd. 85,000 461,473 Hokuriku Electrical Construction Co., Ltd. 64,000 281,308 Hosokawa Micron Corp. 166,000 1,001,986 Howa Machinery, Ltd. 70,500 500,587 # Ichiken Co., Ltd. 87,000 144,184 ICHINEN HOLDINGS Co., Ltd. 100,300 738,240 Idec Corp. 149,200 1,311,325 Iino Kaiun Kaisha, Ltd. 260,200 1,279,952 # Inaba Denki Sangyo Co., Ltd. 128,500 3,946,306
THE JAPANESE SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ --------- ---------- Industrials -- (Continued) Inaba Seisakusho Co., Ltd. 58,800 $ 741,994 Inabata & Co., Ltd. 317,300 2,986,046 Inui Steamship Co., Ltd. 128,800 396,386 # Inui Warehouse Co., Ltd. 23,600 216,797 # Iseki & Co., Ltd. 1,003,000 2,592,017 Ishii Iron Works Co., Ltd. 57,000 137,240 Itoki Corp. 205,900 1,546,018 Iwasaki Electric Co., Ltd. 367,000 887,483 # Iwatani Corp. 1,022,000 5,997,386 Jalux, Inc. 40,800 428,594 # Jamco Corp. 80,000 1,431,936 Japan Airport Terminal Co., Ltd. 120,400 2,778,120 # Japan Foundation Engineering Co., Ltd. 162,500 528,629 Japan Pulp & Paper Co., Ltd. 469,000 1,597,522 # Japan Steel Works, Ltd. (The) 158,000 667,571 Japan Transcity Corp. 249,000 758,155 # JK Holdings Co., Ltd. 92,540 479,241 #* Juki Corp. 544,000 1,118,876 Kamei Corp. 153,000 1,126,628 Kanaden Corp. 116,000 815,849 Kanagawa Chuo Kotsu Co., Ltd. 192,000 937,476 # Kanamoto Co., Ltd. 135,000 4,240,862 # Kandenko Co., Ltd. 576,000 3,089,831 # Kanematsu Corp. 2,253,625 3,468,061 * Kanematsu-NNK Corp. 125,000 181,215 # Katakura Industries Co., Ltd. 132,100 1,698,356 Kato Works Co., Ltd. 296,000 1,707,223 # KAWADA TECHNOLOGIES, Inc. 60,600 1,796,527 Kawasaki Kinkai Kisen Kaisha, Ltd. 99,000 291,823 Keihin Co., Ltd. 245,000 350,973 * KI Holdings Co., Ltd. 54,000 146,328 King Jim Co., Ltd. 30,400 218,000 * Kinki Sharyo Co., Ltd. (The) 185,000 591,836 Kintetsu World Express, Inc. 84,200 3,341,648 Kitagawa Iron Works Co., Ltd. 502,000 817,568 Kitano Construction Corp. 242,000 598,083 Kitazawa Sangyo Co., Ltd. 19,900 34,710 Kito Corp. 46,900 859,947 Kitz Corp. 508,700 2,402,117 * Kobe Electric Railway Co., Ltd. 6,000 20,147 Kobelco Eco-Solutions Co., Ltd. 3,000 10,634 Koike Sanso Kogyo Co., Ltd. 149,000 312,688 Kokusai Co., Ltd. 23,300 258,313 Kokuyo Co., Ltd. 458,725 3,507,923 KOMAIHALTEC, Inc. 213,000 595,944 Komatsu Wall Industry Co., Ltd. 48,300 1,036,029 Komori Corp. 407,800 5,186,743 Kondotec, Inc. 114,100 779,657 Kosaido Co., Ltd. 275,700 1,252,452 # KRS Corp. 37,200 368,191 # Kuroda Electric Co., Ltd. 174,000 2,795,493 Kyodo Printing Co., Ltd. 540,000 1,454,799
THE JAPANESE SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ --------- ---------- Industrials -- (Continued) Kyokuto Boeki Kaisha, Ltd. 58,000 $ 114,206 Kyokuto Kaihatsu Kogyo Co., Ltd. 210,100 2,762,128 Kyoritsu Printing Co., Ltd. 5,400 13,867 Kyosan Electric Manufacturing Co., Ltd. 278,000 961,535 Kyowa Exeo Corp. 482,300 6,238,888 Kyudenko Corp. 225,000 1,940,199 # Link And Motivation, Inc. 27,300 49,342 #* Lonseal Corp. 116,000 174,876 # Maeda Corp. 845,000 6,288,202 # Maeda Kosen Co., Ltd. 33,400 497,303 Maeda Road Construction Co., Ltd. 360,000 5,582,009 Maezawa Industries, Inc. 35,700 108,234 Maezawa Kasei Industries Co., Ltd. 50,700 528,528 Maezawa Kyuso Industries Co., Ltd. 52,800 692,212 Makino Milling Machine Co., Ltd. 576,000 4,288,275 Marubeni Construction Material Lease Co., Ltd. 75,000 150,714 # Marufuji Sheet Piling Co., Ltd. 7,000 23,999 Maruka Machinery Co., Ltd. 28,100 366,115 Maruyama Manufacturing Co., Inc. 237,000 503,119 # Maruzen Showa Unyu Co., Ltd. 309,000 969,358 Matsuda Sangyo Co., Ltd. 82,582 917,866 Matsui Construction Co., Ltd. 128,600 545,842 Max Co., Ltd. 197,000 2,161,269 # Meidensha Corp. 989,050 4,094,516 # Meiji Shipping Co., Ltd. 114,200 443,565 Meisei Industrial Co., Ltd. 221,000 1,049,629 Meitec Corp. 156,900 4,177,200 Meito Transportation Co., Ltd. 22,000 142,406 # Meiwa Corp. 166,400 661,786 Mesco, Inc. 22,000 149,142 Mirait Holdings Corp. 377,085 3,316,862 Mitani Corp. 64,700 1,457,568 #* Mitsubishi Kakoki Kaisha, Ltd. 369,000 560,095 # Mitsubishi Nichiyu Forklift Co., Ltd. 147,000 1,024,315 Mitsubishi Pencil Co., Ltd. 104,500 3,105,767 Mitsuboshi Belting Co., Ltd. 296,000 1,546,444 Mitsui Engineering & Shipbuilding Co., Ltd. 4,170,000 8,090,757 # Mitsui Matsushima Co., Ltd. 761,000 1,103,077 # Mitsui-Soko Co., Ltd. 453,000 1,797,279 Mitsumura Printing Co., Ltd. 93,000 240,084 # Miura Co., Ltd. 157,300 4,468,277 # Miyaji Engineering Group, Inc. 332,175 741,467 # MonotaRO Co., Ltd. 148,100 2,988,336 Morita Holdings Corp. 239,000 1,990,565 # Moshi Moshi Hotline, Inc. 240,800 2,437,610 NAC Co., Ltd. 50,800 749,434 Nachi-Fujikoshi Corp. 913,000 5,646,641 Nagase & Co., Ltd. 188,800 2,313,384 Nakabayashi Co., Ltd. 217,000 426,549 Nakano Corp. 5,500 12,445 # Namura Shipbuilding Co., Ltd. 182,100 1,371,196 Narasaki Sangyo Co., Ltd. 56,000 148,509
THE JAPANESE SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ --------- ---------- Industrials -- (Continued) NDS Co., Ltd. 231,000 $ 642,379 # NEC Capital Solutions, Ltd. 45,100 780,506 # Nichias Corp. 553,000 3,745,812 Nichiban Co., Ltd. 122,000 411,712 Nichiden Corp. 24,500 586,571 Nichiha Corp. 132,380 1,525,170 Nichireki Co., Ltd. 138,000 1,349,510 Nihon M&A Center, Inc. 57,900 1,353,657 Nikkato Corp. 700 2,725 # Nikko Co., Ltd. 149,000 640,918 Nippo Corp. 315,000 4,813,041 # Nippon Carbon Co., Ltd. 663,000 1,169,471 # Nippon Conveyor Co., Ltd. 170,000 213,743 # Nippon Densetsu Kogyo Co., Ltd. 211,000 3,131,362 Nippon Filcon Co., Ltd. 70,900 292,841 Nippon Hume Corp. 112,000 815,943 # Nippon Jogesuido Sekkei Co., Ltd. 29,500 358,334 Nippon Kanzai Co., Ltd. 43,000 871,614 # Nippon Koei Co., Ltd. 372,000 1,782,332 Nippon Konpo Unyu Soko Co., Ltd. 313,300 5,293,857 # Nippon Parking Development Co., Ltd. 879,100 935,097 Nippon Rietec Co., Ltd. 7,000 51,395 Nippon Road Co., Ltd. (The) 395,000 2,010,827 Nippon Seisen Co., Ltd. 103,000 407,176 # Nippon Sharyo, Ltd. 391,000 1,402,495 #* Nippon Sheet Glass Co., Ltd. 5,424,000 6,957,041 Nippon Steel & Sumikin Bussan Corp. 882,599 3,118,123 # Nippon Steel & Sumikin Texeng Co., Ltd. 274,000 1,060,422 Nippon Thompson Co., Ltd. 375,000 1,709,028 Nippon Tungsten Co., Ltd. 62,000 102,145 Nishi-Nippon Railroad Co., Ltd. 1,036,000 3,984,348 Nishimatsu Construction Co., Ltd. 1,855,000 6,674,929 Nishio Rent All Co., Ltd. 84,700 3,116,406 # Nissei ASB Machine Co., Ltd. 30,600 486,921 Nissei Corp. 37,900 358,125 Nissei Plastic Industrial Co., Ltd. 241,800 1,362,710 Nisshinbo Holdings, Inc. 839,000 7,187,941 Nissin Corp. 377,000 1,063,040 # Nissin Electric Co., Ltd. 284,000 1,579,449 Nitta Corp. 112,800 2,317,229 #* Nitto Boseki Co., Ltd. 838,000 3,496,691 # Nitto Kogyo Corp. 149,000 3,089,287 # Nitto Kohki Co., Ltd. 68,300 1,243,546 Nitto Seiko Co., Ltd. 138,000 398,271 # Nittoc Construction Co., Ltd. 154,100 551,572 # Nittoku Engineering Co., Ltd. 79,500 684,896 Noda Corp. 158,100 649,233 # Nomura Co., Ltd. 220,000 1,563,797 Noritake Co., Ltd. 588,000 1,438,854 Noritz Corp. 164,200 2,917,168 # NS United Kaiun Kaisha, Ltd. 574,000 1,289,822 Obara Group, Inc. 62,600 2,351,678
THE JAPANESE SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ --------- ---------- Industrials -- (Continued) Obayashi Road Corp. 175,000 $ 970,926 Odelic Co., Ltd. 1,400 38,041 # Oiles Corp. 138,142 3,111,251 Okabe Co., Ltd. 217,600 2,992,019 * Okamoto Machine Tool Works, Ltd. 166,000 161,150 Okamura Corp. 364,900 3,121,399 OKI Electric Cable Co., Ltd. 90,000 147,358 # OKK Corp. 419,000 538,327 # OKUMA Corp. 792,000 6,779,020 Okumura Corp. 951,400 4,346,750 Onoken Co., Ltd. 75,600 796,047 Organo Corp. 221,000 1,051,521 OSG Corp. 401,700 6,474,736 # Outsourcing, Inc. 37,400 468,738 Oyo Corp. 109,600 1,520,338 #* Pasco Corp. 101,000 388,859 Pasona Group, Inc. 96,900 494,338 Penta-Ocean Construction Co., Ltd. 1,646,000 5,383,509 Pilot Corp. 81,700 3,434,068 # Prestige International, Inc. 74,100 695,411 Pronexus, Inc. 133,200 907,571 # PS Mitsubishi Construction Co., Ltd. 37,300 166,202 # Raito Kogyo Co., Ltd. 286,500 2,467,055 # Rheon Automatic Machinery Co., Ltd. 64,000 356,799 Ryobi, Ltd. 710,200 2,103,937 Sakai Heavy Industries, Ltd. 224,000 795,659 Sakai Moving Service Co., Ltd. 10,300 348,176 #* Sanix, Inc. 115,800 1,370,878 Sanki Engineering Co., Ltd. 340,000 2,086,692 # Sanko Metal Industrial Co., Ltd. 136,000 310,613 Sankyo Tateyama, Inc. 171,000 3,384,430 Sankyu, Inc. 1,545,000 5,889,261 Sanritsu Corp. 6,300 32,653 Sanwa Holdings Corp. 1,215,000 7,422,723 Sanyo Denki Co., Ltd. 223,000 1,502,028 Sanyo Engineering & Construction, Inc. 48,000 236,040 Sanyo Industries, Ltd. 99,000 181,458 #* Sasebo Heavy Industries Co., Ltd. 701,000 783,137 # Sata Construction Co., Ltd. 384,000 440,640 # Sato Holdings Corp. 115,100 2,498,153 Sato Shoji Corp. 65,300 414,037 SBS Holdings, Inc. 6,000 101,593 Secom Joshinetsu Co., Ltd. 33,900 829,793 Seibu Electric Industry Co., Ltd. 67,000 304,944 # Seika Corp. 322,000 750,439 #* Seikitokyu Kogyo Co., Ltd. 713,000 875,624 Seino Holdings Co., Ltd. 512,000 5,060,472 Sekisui Jushi Corp. 168,000 2,236,810 # Senko Co., Ltd. 497,000 2,271,596 # Senshu Electric Co., Ltd. 37,300 477,922 Shibusawa Warehouse Co., Ltd. (The) 265,000 880,006 # Shibuya Kogyo Co., Ltd. 44,900 1,213,437
THE JAPANESE SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ --------- ---------- Industrials -- (Continued) # Shima Seiki Manufacturing, Ltd. 152,300 $2,541,653 Shin Nippon Air Technologies Co., Ltd. 88,780 543,397 Shin-Keisei Electric Railway Co., Ltd. 182,000 672,913 Shinmaywa Industries, Ltd. 473,000 4,177,037 Shinnihon Corp. 194,800 572,448 Shinsho Corp. 254,000 572,146 Shinwa Co., Ltd. 8,400 97,128 Shoko Co., Ltd. 390,000 519,762 # Showa Aircraft Industry Co., Ltd. 11,237 131,298 # Sinfonia Technology Co., Ltd. 574,000 882,952 # Sinko Industries, Ltd. 87,000 827,105 Sintokogio, Ltd. 259,800 1,866,932 Soda Nikka Co., Ltd. 67,000 287,336 Sodick Co., Ltd. 259,300 962,819 # Sohgo Security Services Co., Ltd. 245,800 5,211,210 Sotetsu Holdings, Inc. 925,000 3,305,825 Space Co., Ltd. 73,420 683,456 # Srg Takamiya Co., Ltd. 16,900 235,941 # Star Micronics Co., Ltd. 221,600 2,735,851 Subaru Enterprise Co., Ltd. 59,000 193,936 Sugimoto & Co., Ltd. 34,100 336,421 Sumitomo Densetsu Co., Ltd. 98,100 1,209,726 #* Sumitomo Mitsui Construction Co., Ltd. 3,611,900 3,720,670 Sumitomo Precision Products Co., Ltd. 180,000 660,535 Sumitomo Warehouse Co., Ltd. (The) 754,000 3,656,000 #* SWCC Showa Holdings Co., Ltd. 1,732,000 1,662,176 Tadano, Ltd. 213,579 3,019,964 Taihei Dengyo Kaisha, Ltd. 193,000 1,267,194 Taiheiyo Kouhatsu, Inc. 353,000 328,076 # Taikisha, Ltd. 162,300 3,511,648 Takada Kiko Co., Ltd. 65,000 126,601 Takano Co., Ltd. 51,100 254,733 # Takaoka Toko Co., Ltd. 44,820 639,900 # Takara Printing Co., Ltd. 38,055 291,944 Takara Standard Co., Ltd. 509,000 3,635,617 # Takasago Thermal Engineering Co., Ltd. 328,800 3,214,688 # Takashima & Co., Ltd. 192,000 420,110 # Takeei Corp. 83,400 816,415 # Takeuchi Manufacturing Co., Ltd. 66,400 1,928,792 Takigami Steel Construction Co., Ltd. (The) 50,000 237,730 Takisawa Machine Tool Co., Ltd. 349,000 488,815 Takuma Co., Ltd. 392,000 3,171,448 Tanseisha Co., Ltd. 137,800 522,221 # Tatsuta Electric Wire and Cable Co., Ltd. 260,200 1,302,009 TECHNO ASSOCIE Co., Ltd. 58,400 596,121 # Techno Ryowa, Ltd. 71,390 325,905 # Teikoku Electric Manufacturing Co., Ltd. 41,500 1,182,207 Teikoku Sen-I Co., Ltd. 119,000 1,704,014 # Tekken Corp. 763,000 2,232,996 Temp Holdings Co., Ltd. 3,400 86,493 Teraoka Seisakusho Co., Ltd. 53,600 207,521 # Toa Corp. 1,060,000 1,994,042
THE JAPANESE SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ --------- ---------- Industrials -- (Continued) TOA ROAD Corp. 246,000 $1,122,821 #* Tobishima Corp. 913,000 1,333,772 Tocalo Co., Ltd. 81,900 1,280,418 Toda Corp. 1,143,000 4,005,747 Toenec Corp. 212,000 1,026,300 TOKAI Holdings Corp. 484,300 1,679,003 Tokai Lease Co., Ltd. 154,000 276,038 Tokyo Energy & Systems, Inc. 143,000 745,614 # Tokyo Keiki, Inc. 319,000 891,841 #* Tokyo Kikai Seisakusho, Ltd. 225,000 185,288 Tokyo Sangyo Co., Ltd. 81,000 318,197 Toli Corp. 252,000 486,369 # Tomoe Corp. 150,100 650,287 Tomoe Engineering Co., Ltd. 36,200 570,965 Tonami Holdings Co., Ltd. 331,000 602,971 Toppan Forms Co., Ltd. 280,000 2,572,715 # Torishima Pump Manufacturing Co., Ltd. 111,200 1,363,485 # Toshiba Machine Co., Ltd. 641,000 2,878,813 # Toshiba Plant Systems & Services Corp. 228,450 3,361,116 # Tosho Printing Co., Ltd. 243,000 931,977 # Totetsu Kogyo Co., Ltd. 140,300 2,848,796 # Toyo Construction Co., Ltd. 340,800 1,208,018 # Toyo Denki Seizo - Toyo Electric Manufacturing Co., Ltd. 213,000 766,502 # Toyo Engineering Corp. 653,400 2,883,101 Toyo Machinery & Metal Co., Ltd. 42,400 223,243 # Toyo Tanso Co., Ltd. 68,900 1,658,832 # Toyo Wharf & Warehouse Co., Ltd. 317,000 635,545 Trancom Co., Ltd. 40,000 1,406,565 Trinity Industrial Corp. 19,000 81,634 Trusco Nakayama Corp. 107,400 2,420,487 Tsubakimoto Chain Co. 779,700 5,564,607 Tsubakimoto Kogyo Co., Ltd. 117,000 318,996 #* Tsudakoma Corp. 272,000 361,387 # Tsugami Corp. 368,000 2,090,870 Tsukishima Kikai Co., Ltd. 127,000 1,351,533 Tsurumi Manufacturing Co., Ltd. 94,000 1,148,156 TTK Co., Ltd. 62,000 272,281 Uchida Yoko Co., Ltd. 331,000 925,622 # Ueki Corp. 364,000 712,890 Union Tool Co. 64,700 1,516,756 Ushio, Inc. 266,700 3,483,535 Utoc Corp. 92,900 323,632 # Wakachiku Construction Co., Ltd. 1,204,000 1,837,449 Wakita & Co., Ltd. 197,000 2,236,055 Weathernews, Inc. 37,900 994,298 # Yahagi Construction Co., Ltd. 147,200 1,446,214 YAMABIKO Corp. 35,182 1,310,117 Yamato Corp. 82,000 272,822 Yamaura Corp. 24,000 68,561 Yamazen Corp. 305,500 1,973,627 Yasuda Warehouse Co., Ltd. (The) 100,100 1,035,408 Yokogawa Bridge Holdings Corp. 170,400 2,259,521
THE JAPANESE SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ --------- ------------ Industrials -- (Continued) Yondenko Corp. 132,800 $ 471,798 # Yuasa Trading Co., Ltd. 996,000 1,895,102 Yuken Kogyo Co., Ltd. 183,000 373,912 # Yumeshin Holdings Co., Ltd. 55,900 479,808 Yurtec Corp. 256,000 1,194,813 Yusen Logistics Co., Ltd. 103,200 1,188,480 # Zuiko Corp. 8,800 489,993 ------------ Total Industrials 646,480,954 ------------ Information Technology -- (9.9%) A&D Co., Ltd. 94,100 401,889 # Ai Holdings Corp. 255,500 4,076,089 Aichi Tokei Denki Co., Ltd. 192,000 537,474 # Aiphone Co., Ltd. 84,900 1,387,928 Allied Telesis Holdings K.K. 470,700 378,943 Alpha Systems, Inc. 35,560 519,560 Amano Corp. 351,700 3,386,439 # Anritsu Corp. 606,100 6,787,474 AOI Electronic Co., Ltd. 35,200 686,318 Argo Graphics, Inc. 25,600 404,746 Arisawa Manufacturing Co., Ltd. 186,600 872,455 Asahi Net, Inc. 74,000 339,315 # Axell Corp. 43,600 677,099 Azbil Corp. 178,400 4,048,375 # Bit-isle, Inc. 112,900 735,810 CAC Holdings Corp. 72,400 707,000 # Canon Electronics, Inc. 127,100 2,148,223 # Capcom Co., Ltd. 189,900 3,307,529 Chino Corp. 165,000 349,335 #* CMK Corp. 263,200 655,307 Computer Engineering & Consulting, Ltd. 69,400 409,921 # CONEXIO Corp. 104,600 807,023 Core Corp. 37,100 258,824 Cresco, Ltd. 23,200 233,642 Cybernet Systems Co., Ltd. 12,000 41,553 Cybozu, Inc. 115,700 398,191 # Dai-ichi Seiko Co., Ltd. 53,200 676,361 # Dainippon Screen Manufacturing Co., Ltd. 398,000 1,735,931 # Daishinku Corp. 193,000 747,264 Daito Electron Co., Ltd. 5,900 22,472 Daiwabo Holdings Co., Ltd. 1,152,000 1,983,620 # Denki Kogyo Co., Ltd. 319,000 1,898,268 DKK-Toa Corp. 38,200 178,359 DTS Corp. 114,800 1,903,700 # Dwango Co., Ltd. 103,400 2,884,496 Eizo Corp. 99,300 2,692,282 Elecom Co., Ltd. 43,500 785,661 Elematec Corp. 39,871 681,452 # EM Systems Co., Ltd. 11,500 234,480 # Enplas Corp. 45,000 2,585,608 # ESPEC Corp. 123,100 940,512 Excel Co., Ltd. 36,400 385,478
THE JAPANESE SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ ------- ---------- Information Technology -- (Continued) Faith, Inc. 27,910 $ 274,675 #* FDK Corp. 246,000 287,255 # Ferrotec Corp. 179,000 965,411 # Fuji Electronics Co., Ltd. 55,100 657,262 Fuji Soft, Inc. 120,000 2,510,224 Fujitsu Frontech, Ltd. 77,500 864,496 # Furuno Electric Co., Ltd. 86,500 583,688 # Furuya Metal Co., Ltd. 10,800 279,975 Future Architect, Inc. 114,800 679,064 GMO internet, Inc. 159,900 1,412,661 # GMO Payment Gateway, Inc. 11,700 366,753 # Gurunavi, Inc. 166,200 2,166,249 Hakuto Co., Ltd. 85,700 791,199 # Hioki EE Corp. 45,400 714,575 Hitachi Kokusai Electric, Inc. 217,500 2,486,373 Hochiki Corp. 97,000 518,343 # Hokuriku Electric Industry Co., Ltd. 398,000 529,442 # Horiba, Ltd. 218,850 7,564,844 # Hosiden Corp. 351,400 1,598,593 I-Net Corp. 47,800 337,441 Icom, Inc. 49,700 1,143,979 * Ikegami Tsushinki Co., Ltd. 268,000 264,854 Imagica Robot Holdings, Inc. 2,200 9,026 Ines Corp. 202,300 1,329,194 # Infocom Corp. 73,800 620,631 # Infomart Corp. 49,800 788,871 Information Services International-Dentsu, Ltd. 76,700 959,454 Innotech Corp. 92,200 391,533 # Internet Initiative Japan, Inc. 167,100 3,877,007 # Iriso Electronics Co., Ltd. 45,400 2,285,115 IT Holdings Corp. 448,301 6,949,558 Itfor, Inc. 99,500 401,413 Iwatsu Electric Co., Ltd. 541,000 476,181 Japan Aviation Electronics Industry, Ltd. 349,600 5,950,871 # Japan Digital Laboratory Co., Ltd. 117,300 1,709,046 * Japan Radio Co., Ltd. 304,000 1,183,483 Jastec Co., Ltd. 61,400 427,708 # JBCC Holdings, Inc. 84,900 644,148 * Justsystems Corp. 165,300 1,083,365 # Kaga Electronics Co., Ltd. 116,400 1,393,909 Kanematsu Electronics, Ltd. 83,100 1,109,764 Koa Corp. 189,200 1,818,444 Kyoden Co., Ltd. 1,300 2,287 Kyowa Electronics Instruments Co., Ltd. 59,000 281,610 # LAC Co., Ltd. 61,400 321,824 Lasertec Corp. 52,400 521,355 #* Livesense, Inc. 38,400 356,392 Macnica, Inc. 57,900 1,716,793 Marubun Corp. 98,500 543,716 Maruwa Co., Ltd. 53,800 1,908,883 # Marvelous AQL, Inc. 163,400 1,088,544 #* Megachips Corp. 104,400 1,230,525
THE JAPANESE SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ --------- ---------- Information Technology -- (Continued) Meiko Electronics Co., Ltd. 70,200 $ 413,373 # Melco Holdings, Inc. 77,000 1,170,874 # Micronics Japan Co., Ltd. 46,700 1,285,237 Mimasu Semiconductor Industry Co., Ltd. 94,181 854,981 # Miraial Co., Ltd. 33,800 527,247 Miroku Jyoho Service Co., Ltd. 99,500 389,299 Mitsubishi Research Institute, Inc. 23,300 494,580 Mitsui High-Tec, Inc. 146,300 922,745 # Mitsui Knowledge Industry Co., Ltd. 364,300 534,920 # Mitsumi Electric Co., Ltd. 560,900 3,594,164 # MTI, Ltd. 73,600 409,438 # Mutoh Holdings Co., Ltd. 101,000 440,661 Nagano Keiki Co., Ltd. 5,500 36,143 Nakayo Telecommunications, Inc. 411,000 1,282,915 NEC Networks & System Integration Corp. 140,600 2,970,363 # NET One Systems Co., Ltd. 493,600 4,015,900 #* New Japan Radio Co., Ltd. 12,000 43,623 Nichicon Corp. 302,300 2,242,302 # Nidec Copal Electronics Corp. 87,400 692,438 NIFTY Corp. 47,400 672,362 # Nihon Dempa Kogyo Co., Ltd. 105,700 849,374 Nihon Unisys, Ltd. 274,175 2,784,255 # Nippon Ceramic Co., Ltd. 88,600 1,389,317 #* Nippon Chemi-Con Corp. 781,000 2,496,506 Nippon Kodoshi Corp. 6,200 62,663 Nippon Signal Co., Ltd. (The) 291,200 2,414,662 Nippon Systemware Co., Ltd. 27,900 127,828 Nohmi Bosai, Ltd. 135,000 1,547,311 Noritsu Koki Co., Ltd. 101,700 728,820 # NS Solutions Corp. 97,800 2,446,901 NSD Co., Ltd. 202,500 2,503,524 # Nuflare Technology, Inc. 15,900 989,142 OBIC Business Consultants, Ltd. 3,200 103,689 Ohara, Inc. 47,600 279,788 # Oizumi Corp. 16,300 137,608 Okaya Electric Industries Co., Ltd. 73,000 267,461 # Oki Electric Industry Co., Ltd. 3,320,000 6,499,146 ONO Sokki Co., Ltd. 114,000 518,195 Optex Co., Ltd. 59,300 966,594 # Origin Electric Co., Ltd. 168,000 468,316 # Osaki Electric Co., Ltd. 173,000 1,047,212 Panasonic Industrial Devices SUNX Co., Ltd. 110,800 501,684 Panasonic Information Systems 15,700 412,442 PCA Corp. 2,500 30,483 Riken Keiki Co., Ltd. 82,300 797,427 Riso Kagaku Corp. 91,800 2,264,539 Roland DG Corp. 3,000 101,400 Ryoden Trading Co., Ltd. 173,000 1,167,010 Ryosan Co., Ltd. 189,600 4,007,631 Ryoyo Electro Corp. 113,200 1,360,017 Sanken Electric Co., Ltd. 610,000 4,249,523 Sanshin Electronics Co., Ltd. 154,200 967,844
THE JAPANESE SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ ------- ------------ Information Technology -- (Continued) Satori Electric Co., Ltd. 79,080 $ 500,474 Saxa Holdings, Inc. 307,000 459,203 Shibaura Electronics Co., Ltd. 15,900 284,013 # Shibaura Mechatronics Corp. 199,000 499,916 # Shindengen Electric Manufacturing Co., Ltd. 410,000 1,675,024 #* Shinkawa, Ltd. 68,300 375,444 # Shinko Electric Industries Co., Ltd. 403,000 2,654,034 Shinko Shoji Co., Ltd. 125,200 1,153,515 Shizuki Electric Co., Inc. 103,000 404,520 Siix Corp. 87,200 1,280,460 # SMK Corp. 347,000 1,294,504 SMS Co., Ltd. 35,200 750,087 # Softbank Technology Corp. 17,900 266,521 * Softbrain Co., Ltd. 7,700 9,553 Soshin Electric Co., Ltd. 4,600 16,073 SRA Holdings 51,300 736,620 Sumida Corp. 86,249 520,138 Sun-Wa Technos Corp. 16,500 142,394 Systena Corp. 117,600 815,931 # Tabuchi Electric Co., Ltd. 102,000 673,591 Tachibana Eletech Co., Ltd. 63,300 844,819 # Taiyo Yuden Co., Ltd. 619,100 7,654,809 Tamura Corp. 422,000 1,006,473 #* Teac Corp. 436,000 290,197 Tecmo Koei Holdings Co., Ltd. 146,230 1,746,871 Teikoku Tsushin Kogyo Co., Ltd. 215,000 353,817 TKC Corp. 110,100 2,226,599 # Tokyo Electron Device, Ltd. 34,200 450,672 Tokyo Seimitsu Co., Ltd. 216,900 3,655,177 Tomen Devices Corp. 2,400 39,875 Tomen Electronics Corp. 61,000 977,449 # Topcon Corp. 202,900 3,538,509 Tose Co., Ltd. 22,100 151,831 Toshiba TEC Corp. 697,000 4,540,712 Toukei Computer Co., Ltd. 26,810 361,748 # Towa Corp. 112,000 569,039 # Toyo Corp. 153,600 1,700,280 # Transcosmos, Inc. 137,700 2,567,167 UKC Holdings Corp. 59,800 962,103 * Ulvac, Inc. 238,300 4,516,299 #* Uniden Corp. 377,000 874,266 # UT Holdings Co., Ltd. 144,600 879,589 Wacom Co., Ltd. 38,600 252,440 Wellnet Corp. 31,500 503,762 Y A C Co., Ltd. 37,700 216,113 # Yamaichi Electronics Co., Ltd. 75,700 304,317 Yashima Denki Co., Ltd. 7,700 33,624 Yokowo Co., Ltd. 84,300 419,431 # Zappallas, Inc. 52,200 343,714 # Zuken, Inc. 94,600 740,786 ------------ Total Information Technology 247,986,792 ------------
THE JAPANESE SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ --------- ---------- Materials -- (9.8%) Achilles Corp. 874,000 $1,157,823 ADEKA Corp. 494,600 5,434,197 Agro-Kanesho Co., Ltd. 14,000 95,786 Aichi Steel Corp. 587,000 2,164,759 Alconix Corp. 25,700 516,914 Arakawa Chemical Industries, Ltd. 79,200 667,073 # Araya Industrial Co., Ltd. 276,000 443,899 # Asahi Holdings, Inc. 139,150 2,197,439 Asahi Organic Chemicals Industry Co., Ltd. 391,000 849,523 Asahi Printing Co., Ltd. 800 17,827 # C Uyemura & Co., Ltd. 17,800 823,565 Carlit Holdings Co., Ltd. 67,500 310,382 Chuetsu Pulp & Paper Co., Ltd. 568,000 1,069,424 #* Chugai Mining Co., Ltd. 1,012,400 326,796 # Chugoku Marine Paints, Ltd. 341,000 2,175,290 Chuo Denki Kogyo Co., Ltd. 100,100 319,291 #* Co-Op Chemical Co., Ltd. 159,000 188,370 Dai Nippon Toryo Co., Ltd. 683,000 1,016,401 Daiichi Kigenso Kagaku-Kogyo Co., Ltd. 8,200 199,135 Daiken Corp. 401,000 980,928 # Daiki Aluminium Industry Co., Ltd. 142,000 333,666 Dainichiseika Color & Chemicals Manufacturing Co., Ltd. 376,000 1,589,102 # Daio Paper Corp. 526,500 5,523,574 Daiso Co., Ltd. 411,000 1,364,101 # DC Co., Ltd. 113,900 600,299 Denki Kagaku Kogyo K.K. 500,000 1,658,268 # DKS Co., Ltd. 197,000 597,917 Dynapac Co., Ltd. 25,000 63,863 Earth Chemical Co., Ltd. 55,400 1,981,861 # FP Corp. 136,000 4,229,759 Fuji Seal International, Inc. 121,900 3,966,141 Fujikura Kasei Co., Ltd. 138,000 754,217 Fujimi, Inc. 108,700 1,256,943 Fujimori Kogyo Co., Ltd. 69,200 1,942,748 Fumakilla, Ltd. 45,000 129,549 Fuso Chemical Co., Ltd. 2,900 78,573 Godo Steel, Ltd. 899,000 1,265,872 # Gun-Ei Chemical Industry Co., Ltd. 276,000 996,364 Harima Chemicals Group, Inc. 73,300 315,406 # Hodogaya Chemical Co., Ltd. 289,000 567,861 Hokkan Holdings, Ltd. 283,000 737,451 Hokko Chemical Industry Co., Ltd. 90,000 303,751 # Hokuetsu Kishu Paper Co., Ltd. 862,199 4,100,620 Honshu Chemical Industry Co., Ltd. 14,000 92,960 # Ihara Chemical Industry Co., Ltd. 211,000 1,648,892 Ise Chemical Corp. 83,000 555,053 * Ishihara Sangyo Kaisha, Ltd. 1,854,500 1,764,109 Ishizuka Glass Co., Ltd. 119,000 230,740 JCU Corp. 11,900 686,112 # JSP Corp. 103,900 1,560,183 #* Kanto Denka Kogyo Co., Ltd. 91,000 217,778 Katakura Chikkarin Co., Ltd. 43,000 109,868
THE JAPANESE SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ --------- ---------- Materials -- (Continued) Kawakin Holdings Co., Ltd. 11,000 $ 28,340 Kawasaki Kasei Chemicals, Ltd. 84,000 115,343 Kimoto Co., Ltd. 204,200 643,295 Koatsu Gas Kogyo Co., Ltd. 163,493 842,367 Kogi Corp. 30,000 54,262 Kohsoku Corp. 61,900 546,317 Konishi Co., Ltd. 87,400 1,563,662 Krosaki Harima Corp. 260,000 543,131 Kumiai Chemical Industry Co., Ltd. 271,000 1,842,686 Kureha Corp. 736,500 3,482,833 Kurimoto, Ltd. 702,000 1,464,398 # Kyoei Steel, Ltd. 95,200 1,650,224 Kyowa Leather Cloth Co., Ltd. 71,700 310,350 Lintec Corp. 264,300 4,914,444 MEC Co., Ltd. 76,500 647,697 Mitani Sekisan Co., Ltd. 17,000 253,685 #* Mitsubishi Paper Mills, Ltd. 1,542,000 1,326,546 Mitsubishi Steel Manufacturing Co., Ltd. 743,000 1,489,308 Mitsui Mining & Smelting Co., Ltd. 3,353,000 8,314,258 # MORESCO Corp. 25,600 422,088 Mory Industries, Inc. 156,000 588,374 * Nakayama Steel Works, Ltd. 422,000 314,014 Neturen Co., Ltd. 154,500 1,059,993 #* New Japan Chemical Co., Ltd. 182,300 380,151 Nichia Steel Works, Ltd. 175,900 455,929 Nihon Kagaku Sangyo Co., Ltd. 78,000 528,245 # Nihon Nohyaku Co., Ltd. 252,000 3,140,095 Nihon Parkerizing Co., Ltd. 271,000 5,906,762 Nihon Yamamura Glass Co., Ltd. 491,000 817,303 # Nippon Carbide Industries Co., Inc. 369,000 767,447 * Nippon Chemical Industrial Co., Ltd. 491,000 639,606 Nippon Chutetsukan K.K. 113,000 243,282 # Nippon Concrete Industries Co., Ltd. 180,000 735,197 # Nippon Denko Co., Ltd. 514,000 1,430,026 Nippon Fine Chemical Co., Ltd. 85,600 525,455 # Nippon Kasei Chemical Co., Ltd. 183,000 230,881 #* Nippon Kinzoku Co., Ltd. 264,000 333,434 * Nippon Koshuha Steel Co., Ltd. 458,000 408,708 # Nippon Light Metal Holdings Co., Ltd. 3,026,200 4,267,168 Nippon Pillar Packing Co., Ltd. 113,000 811,173 Nippon Soda Co., Ltd. 785,000 4,361,425 Nippon Synthetic Chemical Industry Co., Ltd. (The) 289,000 1,925,563 # Nippon Valqua Industries, Ltd. 465,000 1,237,828 Nisshin Steel Co., Ltd. 453,992 4,662,679 # Nitta Gelatin, Inc. 4,800 48,644 Nittetsu Mining Co., Ltd. 375,000 1,399,753 Nitto FC Co., Ltd. 72,000 433,278 # NOF Corp. 833,000 5,777,172 Okamoto Industries, Inc. 414,000 1,360,882 Okura Industrial Co., Ltd. 305,000 874,063 Osaka Organic Chemical Industry, Ltd. 66,000 281,960 Osaka Steel Co., Ltd. 77,700 1,228,396
THE JAPANESE SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ --------- ---------- Materials -- (Continued) # OSAKA Titanium Technologies Co., Ltd. 81,600 $1,675,984 #* Pacific Metals Co., Ltd. 823,000 3,828,117 Pack Corp. (The) 75,200 1,419,337 #* Rasa Industries, Ltd. 430,000 526,539 Rengo Co., Ltd. 1,219,000 5,447,366 Riken Technos Corp. 203,000 1,051,058 Sakai Chemical Industry Co., Ltd. 535,000 1,507,934 Sakata INX Corp. 242,000 2,134,477 Sanyo Chemical Industries, Ltd. 347,000 2,125,555 Sanyo Special Steel Co., Ltd. 592,300 2,310,152 Sekisui Plastics Co., Ltd. 235,000 627,278 Shikoku Chemicals Corp. 239,000 1,638,120 Shin-Etsu Polymer Co., Ltd. 249,100 932,636 Shinagawa Refractories Co., Ltd. 246,000 489,269 Shinko Wire Co., Ltd. 184,000 303,208 Stella Chemifa Corp. 53,600 680,185 Sumitomo Bakelite Co., Ltd. 1,158,000 4,410,196 Sumitomo Osaka Cement Co., Ltd. 2,274,000 9,043,980 # Sumitomo Seika Chemicals Co., Ltd. 259,000 1,629,451 T Hasegawa Co., Ltd. 122,900 1,823,317 T&K Toka Co., Ltd. 34,100 707,279 # Taisei Lamick Co., Ltd. 27,600 672,484 Taiyo Holdings Co., Ltd. 86,400 2,611,395 # Takasago International Corp. 433,000 2,116,762 Takiron Co., Ltd. 304,000 1,232,736 * Tanaka Chemical Corp. 1,100 4,454 Tayca Corp. 159,000 437,542 Tenma Corp. 87,000 1,137,255 Toagosei Co., Ltd. 1,252,000 5,238,961 # Toda Kogyo Corp. 220,000 594,803 #* Toho Titanium Co., Ltd. 132,500 826,611 Toho Zinc Co., Ltd. 741,000 2,357,619 Tokai Carbon Co., Ltd. 1,202,000 3,856,335 Tokushu Tokai Paper Co., Ltd. 551,580 1,216,012 Tokuyama Corp. 1,979,000 5,739,468 Tokyo Ohka Kogyo Co., Ltd. 176,300 4,032,002 #* Tokyo Rope Manufacturing Co., Ltd. 127,000 185,414 Tokyo Steel Manufacturing Co., Ltd. 654,900 3,201,895 Tokyo Tekko Co., Ltd. 232,000 871,364 Tomoegawa Co., Ltd. 125,000 238,504 Tomoku Co., Ltd. 320,000 859,478 Topy Industries, Ltd. 1,102,000 1,865,959 # Toyo Ink SC Holdings Co., Ltd. 1,076,000 4,389,383 Toyo Kohan Co., Ltd. 286,000 1,385,314 Toyobo Co., Ltd. 4,867,000 7,859,484 TYK Corp. 138,000 270,792 # UACJ Corp. 1,263,415 4,997,549 Wood One Co., Ltd. 169,000 472,965 Yodogawa Steel Works, Ltd. 786,500 3,100,651 Yuki Gosei Kogyo Co., Ltd. 64,000 160,025
THE JAPANESE SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ ---------- -------------- Materials -- (Continued) Yushiro Chemical Industry Co., Ltd. 60,000 $ 605,161 -------------- Total Materials 246,658,358 -------------- Telecommunication Services -- (0.0%) #* Japan Communications, Inc. 24,400 105,357 # Okinawa Cellular Telephone Co. 36,400 929,586 -------------- Total Telecommunication Services 1,034,943 -------------- Utilities -- (0.5%) # Hokkaido Gas Co., Ltd. 265,000 705,862 Hokuriku Gas Co., Ltd. 99,000 255,093 * K&O Energy Group, Inc. 77,500 1,075,740 # Kyoei Sangyo Co., Ltd. 97,000 166,997 Okinawa Electric Power Co., Inc. (The) 93,671 3,061,498 Saibu Gas Co., Ltd. 1,668,000 4,182,101 Shizuoka Gas Co., Ltd. 307,000 1,847,295 -------------- Total Utilities 11,294,586 -------------- TOTAL COMMON STOCKS 2,194,667,862 -------------- SHARES/ FACE AMOUNT (000) VALUE+ ---------- -------------- SECURITIES LENDING COLLATERAL -- (12.6%) (S)@ DFA Short Term Investment Fund 27,404,988 317,075,711 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $2,426,853,978) $2,511,743,573 ==============
THE JAPANESE SMALL COMPANY SERIES CONTINUED Summary of the Series' investments as of April 30, 2014, 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 -- $ 448,046,044 -- $ 448,046,044 Consumer Staples $3,668,423 206,436,988 -- 210,105,411 Energy -- 23,937,414 -- 23,937,414 Financials 4,498,409 242,677,635 -- 247,176,044 Health Care -- 111,947,316 -- 111,947,316 Industrials -- 646,480,954 -- 646,480,954 Information Technology -- 247,986,792 -- 247,986,792 Materials -- 246,658,358 -- 246,658,358 Telecommunication Services -- 1,034,943 -- 1,034,943 Utilities -- 11,294,586 -- 11,294,586 Securities Lending Collateral -- 317,075,711 -- 317,075,711 ---------- -------------- -- -------------- TOTAL $8,166,832 $2,503,576,741 -- $2,511,743,573 ========== ============== == ==============
THE ASIA PACIFIC SMALL COMPANY SERIES SCHEDULE OF INVESTMENTS APRIL 30, 2014 (UNAUDITED)
SHARES VALUE++ --------- ----------- COMMON STOCKS -- (82.0%) AUSTRALIA -- (42.3%) * AAT Corp., Ltd. 99 $ -- * ABM Resources NL 4,344,904 92,926 # Acrux, Ltd. 249,513 241,032 Adelaide Brighton, Ltd. 2,293,533 8,359,967 #* Aditya Birla Minerals, Ltd. 884,599 193,121 * AED Oil, Ltd. 363,401 -- Ainsworth Game Technology, Ltd. 501,079 1,938,218 #* AJ Lucas Group, Ltd. 317,969 271,432 * Alchemia, Ltd. 459,735 226,829 #* Alkane Resources, Ltd. 1,255,636 356,914 * Alliance Resources, Ltd. 399,488 85,554 # Altium, Ltd. 40,913 85,326 * Altona Mining, Ltd. 1,108,169 170,353 AMA Group, Ltd. 15,236 3,757 Amalgamated Holdings, Ltd. 465,087 3,802,796 # Amcom Telecommunications, Ltd. 1,447,729 2,832,392 # Ansell, Ltd. 474,660 7,993,784 #* Antares Energy, Ltd. 1,115,748 415,548 AP Eagers, Ltd. 235,789 1,108,211 #* APN News & Media, Ltd. 4,182,754 2,758,593 #* Aquarius Platinum, Ltd. 1,670,858 598,804 #* Aquila Resources, Ltd. 473,521 1,104,571 * Arafura Resources, Ltd. 1,004,551 69,072 # ARB Corp., Ltd. 384,140 4,362,723 Aristocrat Leisure, Ltd. 2,718,335 12,753,277 Arrium, Ltd. 8,470,367 9,439,848 #* ASG Group, Ltd. 642,515 215,041 * Atlantic, Ltd. 21,276 3,459 # Atlas Iron, Ltd. 5,310,349 4,503,831 #* Aurora Oil & Gas, Ltd. 2,641,857 10,038,097 # Ausdrill, Ltd. 1,697,124 1,472,390 # Ausenco, Ltd. 769,338 397,357 #* Austal, Ltd. 1,105,762 1,079,654 # Austbrokers Holdings, Ltd. 195,625 1,849,160 # Austin Engineering, Ltd. 279,815 536,417 * Austpac Resources NL 945,067 17,593 #* Australian Agricultural Co., Ltd. 2,227,049 2,649,946 # Australian Infrastructure Fund, Ltd. 3,606,473 15,100 # Australian Pharmaceutical Industries, Ltd. 2,452,401 1,323,007 Australian Vintage, Ltd. 4,096,187 1,294,438 Automotive Holdings Group, Ltd. 1,213,325 4,523,149 * Avanco Resources, Ltd. 2,444,368 152,826 # Aveo Group 316,190 598,196 * AVJennings, Ltd. 7,259,050 3,897,457 * AWE, Ltd. 3,039,146 4,439,734 #* Bandanna Energy, Ltd. 452,591 42,210 BC Iron, Ltd. 850,990 3,467,107 Beach Energy, Ltd. 7,988,779 12,784,944 # Bega Cheese, Ltd. 234,166 1,121,933 * Berkeley Resources, Ltd. 434,006 115,564 Beyond International, Ltd. 61,256 86,479
THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ --------- ----------- AUSTRALIA -- (Continued) #* Billabong International, Ltd. 3,581,890 $ 1,584,183 #* Bionomics, Ltd. 284,880 124,900 Bisalloy Steel Group, Ltd. 40,518 12,443 # Blackmores, Ltd. 80,675 2,015,264 #* Blackthorn Resources, Ltd. 135,173 20,777 * BlueScope Steel, Ltd. 1,645,807 9,950,203 #* Boart Longyear, Ltd. 2,737,139 728,073 * Boom Logistics, Ltd. 916,361 137,000 * Boulder Steel, Ltd. 165,585 923 # Bradken, Ltd. 1,278,641 5,046,249 # Breville Group, Ltd. 710,059 6,063,520 # Brickworks, Ltd. 154,261 1,922,985 BT Investment Management, Ltd. 439,522 2,743,323 #* Buccaneer Energy, Ltd. 3,283,586 24,404 #* Buru Energy, Ltd. 181,983 198,626 # Cabcharge Australia, Ltd. 802,479 2,896,674 Calliden Group, Ltd. 389,687 137,806 * Cape Lambert Resources, Ltd. 373,413 34,744 * Capral, Ltd. 58,499 7,891 # Cardno, Ltd. 893,029 5,815,966 #* Carnarvon Petroleum, Ltd. 4,944,854 400,595 * Carnegie Wave Energy, Ltd. 563,165 28,313 carsales.com, Ltd. 1,525,864 15,452,742 # Cash Converters International, Ltd. 1,895,463 1,923,838 * CDS Technologies, Ltd. 13,276 -- # Cedar Woods Properties, Ltd. 274,613 1,849,543 * Central Petroleum, Ltd. 8,079 3,778 * Centrebet International, Ltd. Claim Units 81,336 -- #* Ceramic Fuel Cells, Ltd. 2,827,757 42,048 Challenger, Ltd. 129,231 850,247 # Chandler Macleod Group, Ltd. 463,928 178,699 * ChemGenex Pharmaceuticals, Ltd. 115,291 -- * Citigold Corp., Ltd. 3,765,806 140,140 * Clinuvel Pharmaceuticals, Ltd. 60,821 83,038 Clover Corp., Ltd. 434,207 179,641 #* Coal of Africa, Ltd. 668,800 46,217 #* Coalspur Mines, Ltd. 1,239,823 207,840 #* Cockatoo Coal, Ltd. 6,931,645 224,771 # Codan, Ltd. 400,153 249,470 * Coffey International, Ltd. 1,048,636 220,320 # Collection House, Ltd. 1,955,258 3,266,294 Collins Foods, Ltd. 227,248 403,050 * Comet Ridge, Ltd. 15,204 2,405 * Cooper Energy, Ltd. 336,842 156,918 # Corporate Travel Management, Ltd. 64,006 368,125 Coventry Group, Ltd. 144,778 344,365 # Credit Corp. Group, Ltd. 110,382 924,817 # Crowe Horwath Australasia, Ltd. 1,330,506 457,431 # CSG, Ltd. 740,785 602,826 CSR, Ltd. 3,097,442 10,548,682 CTI Logistics, Ltd. 7,200 13,325 #* Cudeco, Ltd. 399,317 700,142
THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ ---------- ----------- AUSTRALIA -- (Continued) * Cue Energy Resources, Ltd. 1,378,665 $ 154,105 # Data#3, Ltd. 455,453 245,878 # David Jones, Ltd. 4,278,429 15,673,354 # Decmil Group, Ltd. 877,187 1,662,338 * Deep Yellow, Ltd. 1,039,981 25,122 * Devine, Ltd. 497,498 327,921 #* Discovery Metals, Ltd. 563,781 13,618 # Domino's Pizza Enterprises, Ltd. 115,458 2,129,728 Downer EDI, Ltd. 2,684,206 12,530,715 * Dragon Mining, Ltd. 76,113 10,280 #* Drillsearch Energy, Ltd. 2,311,289 3,461,033 DUET Group 589,863 1,191,120 DuluxGroup, Ltd. 2,795,953 14,933,774 DWS, Ltd. 382,927 384,503 Echo Entertainment Group, Ltd. 2,941,638 7,737,062 * EHG Corp., Ltd. 482 -- #* Elders, Ltd. 1,419,921 145,356 * Elemental Minerals, Ltd. 388,188 72,023 #* Emeco Holdings, Ltd. 3,530,669 859,965 * Empire Oil & Gas NL 922,161 6,881 #* Energy Resources of Australia, Ltd. 930,709 1,146,674 #* Energy World Corp., Ltd. 4,263,928 1,132,290 Envestra, Ltd. 7,569,682 8,215,136 #* Equatorial Resources, Ltd. 176,571 83,430 ERM Power, Ltd. 160,798 274,095 Ethane Pipeline Income Fund 172,992 152,707 Euroz, Ltd. 90,019 105,465 # Evolution Mining, Ltd. 2,061,496 1,644,754 Fairfax Media, Ltd. 12,512,986 11,432,785 # Fantastic Holdings, Ltd. 335,900 584,322 #* FAR, Ltd. 8,567,778 366,693 Finbar Group, Ltd. 113,833 175,291 # Fleetwood Corp., Ltd. 389,618 837,968 # FlexiGroup, Ltd. 620,491 2,234,082 #* Flinders Mines, Ltd. 7,896,335 154,556 #* Focus Minerals, Ltd. 19,167,915 215,447 # Forge Group, Ltd. 411,374 -- Funtastic, Ltd. 14,936 1,668 # G8 Education, Ltd. 513,557 2,239,845 * Galaxy Resources, Ltd. 760,450 40,975 Gazal Corp., Ltd. 75,960 203,614 #* Geodynamics, Ltd. 876,839 48,865 #* Gindalbie Metals, Ltd. 2,927,610 158,303 Global Construction Services, Ltd. 4,832 2,540 Goodman Fielder, Ltd. 10,646,991 6,681,884 GrainCorp, Ltd. Class A 1,115,664 9,201,387 # Grange Resources, Ltd. 1,485,766 361,112 Greencross, Ltd. 7,711 56,466 #* Greenland Minerals & Energy, Ltd. 796,390 111,141 #* Gryphon Minerals, Ltd. 1,931,531 244,660 # GUD Holdings, Ltd. 574,544 2,861,441 #* Gunns, Ltd. 2,872,620 --
THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ --------- ----------- AUSTRALIA -- (Continued) # GWA Group, Ltd. 1,697,724 $ 4,259,626 Hansen Technologies, Ltd. 5,702 6,331 # HFA Holdings, Ltd. 235,865 219,864 * Highlands Pacific, Ltd. 2,651,500 153,167 * Hillgrove Resources, Ltd. 1,601,169 101,463 Hills, Ltd. 1,228,163 1,932,632 #* Horizon Oil, Ltd. 6,888,387 2,439,642 * Icon Energy, Ltd. 1,135,301 142,447 * IDM International, Ltd. 23,969 -- # iiNET, Ltd. 980,332 6,544,683 # Imdex, Ltd. 1,203,514 824,782 # IMF Australia, Ltd. 489,030 844,131 Independence Group NL 1,588,661 6,440,449 * Indophil Resources NL 3,118,946 406,827 #* Infigen Energy 2,081,316 358,208 # Infomedia, Ltd. 1,477,140 935,462 # Integrated Research, Ltd. 336,657 335,282 #* Intrepid Mines, Ltd. 1,794,707 459,330 # Invocare, Ltd. 761,399 7,548,493 IOOF Holdings, Ltd. 1,448,038 11,448,962 # Iress, Ltd. 953,472 7,356,247 #* Iron Ore Holdings, Ltd. 336,216 294,061 # JB Hi-Fi, Ltd. 856,886 15,398,204 Jumbo Interactive, Ltd. 95,098 110,178 * Jupiter Mines, Ltd. 405,443 30,509 K&S Corp., Ltd. 245,710 306,603 #* Kagara, Ltd. 1,945,393 41,567 * Kangaroo Resources, Ltd. 281,470 2,869 #* Karoon Gas Australia, Ltd. 759,802 1,746,098 #* Kingsgate Consolidated, Ltd. 1,688,470 1,411,551 * Kingsrose Mining, Ltd. 760,046 286,184 * Lednium, Ltd. 195,019 -- #* Liquefied Natural Gas, Ltd. 366,175 224,055 # LogiCamms, Ltd. 38,305 30,496 * Lonestar Resources, Ltd. 819,137 217,701 Lycopodium, Ltd. 80,228 243,182 #* Lynas Corp., Ltd. 2,963,990 454,335 # M2 Group, Ltd. 1,080,866 5,679,381 MACA, Ltd. 481,156 961,497 * Macmahon Holdings, Ltd. 6,319,933 619,684 Macquarie Atlas Roads Group 426,206 1,236,531 Macquarie Telecom Group, Ltd. 35,019 260,626 # Magellan Financial Group, Ltd. 143,746 1,679,871 Mastermyne Group, Ltd. 8,431 4,432 * Matrix Composites & Engineering, Ltd. 167,126 192,176 #* Maverick Drilling & Exploration, Ltd. 591,766 155,013 # MaxiTRANS Industries, Ltd. 942,578 841,020 #* Mayne Pharma Group, Ltd. 1,977,504 1,566,871 # McMillan Shakespeare, Ltd. 265,789 2,407,519 McPherson's, Ltd. 473,986 515,170 #* Medusa Mining, Ltd. 1,182,932 1,987,661 Melbourne IT, Ltd. 454,822 610,833
THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ --------- ----------- AUSTRALIA -- (Continued) * MEO Australia, Ltd. 681,039 $ 16,500 # Mermaid Marine Australia, Ltd. 2,135,296 4,253,689 #* Mesoblast, Ltd. 99,585 432,103 * Metals X, Ltd. 727,869 139,299 # Metcash, Ltd. 131,945 340,857 * Metgasco, Ltd. 641,952 51,944 * Metminco, Ltd. 803,323 14,958 Mincor Resources NL 1,004,969 753,292 #* Mineral Deposits, Ltd. 466,063 866,986 Mineral Resources, Ltd. 1,031,955 11,204,592 #* Mirabela Nickel, Ltd. 2,820,238 283 #* Molopo Energy, Ltd. 1,186,993 182,475 # Monadelphous Group, Ltd. 707,732 11,539,053 * Morning Star Gold NL 332,749 34,004 Mortgage Choice, Ltd. 675,146 1,666,717 Mount Gibson Iron, Ltd. 4,066,762 2,777,300 # Myer Holdings, Ltd. 3,842,110 7,959,500 MyState, Ltd. 157,973 675,710 #* Nanosonics, Ltd. 152,184 114,799 Navitas, Ltd. 1,381,635 9,474,476 #* Neon Energy, Ltd. 637,767 7,729 #* Newsat, Ltd. 1,409,689 498,094 #* Nexus Energy, Ltd. 6,106,883 113,466 # NIB Holdings, Ltd. 2,258,140 5,780,909 Nick Scali, Ltd. 170,701 430,110 #* Nido Petroleum, Ltd. 6,093,154 215,474 #* Noble Mineral Resources, Ltd. 405,717 -- * Northern Iron, Ltd. 692,729 122,185 Northern Star Resources, Ltd. 2,685,676 2,937,795 # NRW Holdings, Ltd. 1,922,096 2,010,810 # Nufarm, Ltd. 1,061,539 4,106,553 # Oakton, Ltd. 394,790 532,693 * OM Holdings, Ltd. 29,193 9,089 #* Orocobre, Ltd. 334,757 695,151 # OrotonGroup, Ltd. 122,389 467,608 * Otto Energy, Ltd. 1,936,175 156,797 # OZ Minerals, Ltd. 1,930,585 6,644,200 Pacific Brands, Ltd. 5,493,700 2,586,585 #* Paladin Energy, Ltd. 5,090,600 2,070,354 * Pan Pacific Petroleum NL 1,094,343 101,927 # PanAust, Ltd. 3,208,104 4,824,459 * Pancontinental Oil & Gas NL 1,006,891 28,114 # Panoramic Resources, Ltd. 1,396,516 819,226 #* PaperlinX, Ltd. 2,360,419 78,929 Patties Foods, Ltd. 42,099 45,041 #* Peet, Ltd. 1,471,836 1,763,982 * Peninsula Energy, Ltd. 5,178,834 154,365 Perpetual, Ltd. 312,245 13,669,025 #* Perseus Mining, Ltd. 3,096,293 1,013,695 #* Pharmaxis, Ltd. 825,833 60,783 * Phosphagenics, Ltd. 1,842,963 157,888 #* Platinum Australia, Ltd. 1,442,661 8,041
THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ --------- ----------- AUSTRALIA -- (Continued) * Pluton Resources, Ltd. 20,710 $ 886 * PMP, Ltd. 2,395,607 949,344 * Poseidon Nickel, Ltd. 436,181 38,619 Premier Investments, Ltd. 529,430 4,889,860 #* Prima Biomed, Ltd. 2,194,242 74,446 Primary Health Care, Ltd. 1,910,970 8,352,328 Prime Media Group, Ltd. 1,777,139 1,634,889 Programmed Maintenance Services, Ltd. 691,902 1,832,052 #* Qantas Airways, Ltd. 2,816,195 3,203,517 * QRxPharma, Ltd. 78,483 6,882 # Qube Holdings, Ltd. 457,890 948,169 * Quickstep Holdings, Ltd. 462,355 84,404 #* Ramelius Resources, Ltd. 1,512,836 148,007 #* Range Resources, Ltd. 1,456,711 16,245 RCG Corp., Ltd. 82,970 57,541 # RCR Tomlinson, Ltd. 1,072,079 2,730,068 REA Group, Ltd. 115,581 5,040,780 # Reckon, Ltd. 319,866 585,852 * Red 5, Ltd. 9,022 588 #* Red Fork Energy, Ltd. 2,658,133 259,520 Redflex Holdings, Ltd. 377,855 360,346 Reece Australia, Ltd. 238,257 6,749,710 # Regis Resources, Ltd. 2,169,151 4,919,167 # Reject Shop, Ltd. (The) 228,019 2,123,921 * Resolute Mining, Ltd. 3,381,576 1,911,424 * Resource Generation, Ltd. 338,381 51,925 # Retail Food Group, Ltd. 580,376 2,257,169 #* Rex Minerals, Ltd. 469,315 146,313 Ridley Corp., Ltd. 1,296,000 1,017,465 * RiverCity Motorway Group 1,563,354 -- #* Roc Oil Co., Ltd. 6,490,268 2,898,735 * RungePincockMinarco, Ltd. 30,702 17,913 # Ruralco Holdings, Ltd. 119,306 371,506 # SAI Global, Ltd. 1,582,713 6,288,650 Salmat, Ltd. 664,807 1,182,242 #* Samson Oil & Gas, Ltd. 7,175,499 124,028 * Sandfire Resources NL 140,426 745,985 * Saracen Mineral Holdings, Ltd. 4,148,405 1,277,180 Schaffer Corp., Ltd. 33,766 188,500 # Sedgman, Ltd. 452,719 189,329 # Select Harvests, Ltd. 330,208 1,936,646 * Senex Energy, Ltd. 5,913,356 3,673,026 Servcorp, Ltd. 301,327 1,299,883 Service Stream, Ltd. 1,693,203 323,664 Seven Group Holdings, Ltd. 219,920 1,684,595 Seven West Media, Ltd. 3,396,453 5,901,485 Sigma Pharmaceuticals, Ltd. 6,888,660 4,649,010 * Sihayo Gold, Ltd. 475,700 11,502 #* Silex Systems, Ltd. 511,695 862,796 # Silver Chef, Ltd. 61,474 292,379 #* Silver Lake Resources, Ltd. 2,339,822 895,373 #* Sims Metal Management, Ltd. 1,094,048 10,005,822
THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ ---------- ----------- AUSTRALIA -- (Continued) # Sirtex Medical, Ltd. 309,228 $ 4,538,713 Skilled Group, Ltd. 1,298,214 3,320,113 # Slater & Gordon, Ltd. 579,133 2,540,961 # SMS Management & Technology, Ltd. 556,717 1,944,632 # Southern Cross Electrical Engineering, Ltd. 21,171 11,114 # Southern Cross Media Group, Ltd. 3,233,213 3,871,868 Spark Infrastructure Group 7,787,168 12,796,582 Specialty Fashion Group, Ltd. 809,557 697,343 #* St Barbara, Ltd. 2,671,044 536,906 #* Starpharma Holdings, Ltd. 352,601 232,970 * Strike Energy, Ltd. 1,471,668 164,433 Structural Systems, Ltd. 29,934 15,612 # STW Communications Group, Ltd. 2,033,418 2,671,030 #* Sundance Energy Australia, Ltd. 1,977,097 1,916,870 #* Sundance Resources, Ltd. 8,756,539 735,811 Sunland Group, Ltd. 741,191 1,151,907 # Super Retail Group, Ltd. 1,291,875 12,227,993 Swick Mining Services, Ltd. 106,166 25,184 Tabcorp Holdings, Ltd. 623,363 2,160,365 * Tap Oil, Ltd. 1,450,696 560,161 Tassal Group, Ltd. 733,552 2,830,462 # Technology One, Ltd. 1,357,489 3,186,775 #* Ten Network Holdings, Ltd. 9,963,454 2,509,732 # TFS Corp., Ltd. 1,477,948 2,340,861 Thorn Group, Ltd. 398,461 793,365 * Tiger Resources, Ltd. 4,840,443 1,609,912 * Toro Energy, Ltd. 70,156 4,433 # Tox Free Solutions, Ltd. 770,429 2,481,028 # TPG Telecom, Ltd. 1,357,245 7,525,986 #* Transfield Services, Ltd. 2,864,375 2,564,977 * Transpacific Industries Group, Ltd. 7,269,623 7,559,759 Treasury Group, Ltd. 21,218 193,168 Treasury Wine Estates, Ltd. 480,217 1,710,212 * Tribune Resources, Ltd. 3,093 8,337 #* Troy Resources, Ltd. 908,565 829,161 # UGL, Ltd. 1,204,535 7,575,350 * Unity Mining, Ltd. 2,433,889 36,191 # UXC, Ltd. 1,611,117 1,265,877 * Venture Minerals, Ltd. 412,390 53,622 Villa World, Ltd. 110,045 204,372 # Village Roadshow, Ltd. 855,994 5,619,892 #* Virgin Australia Holdings, Ltd. 10,380,644 3,572,701 * Virgin Australia Holdings, Ltd. (ACI01NXR8) 7,648,897 7 #* Vision Eye Institute, Ltd. 425,556 244,131 Vocus Communications, Ltd. 348,319 1,460,371 Watpac, Ltd. 738,762 553,442 WDS, Ltd. 375,342 381,296 # Webjet, Ltd. 390,881 999,455 Webster, Ltd. 180,921 179,773 # Western Areas, Ltd. 1,305,899 5,040,802 #* Western Desert Resources, Ltd. 241,493 110,090 #* White Energy Co., Ltd. 643,913 101,739
THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ ---------- ------------ AUSTRALIA -- (Continued) #* Whitehaven Coal, Ltd. 3,426,821 $ 4,669,711 # Wide Bay Australia, Ltd. 86,677 481,676 #* Windimurra Vanadium, Ltd. 67,179 -- * Wollongong Coal, Ltd. 119,865 8,908 # Wotif.com Holdings, Ltd. 756,981 1,883,791 * YTC Resources, Ltd. 104,200 20,802 ------------ TOTAL AUSTRALIA 722,588,024 ------------ CHINA -- (0.1%) Active Group Holdings, Ltd. 184,000 18,112 * Skyfame Realty Holdings, Ltd. 1,925,625 224,392 * Superb Summit International Group, Ltd. 9,072,600 1,206,638 Tongda Group Holdings, Ltd. 5,600,000 639,590 ------------ TOTAL CHINA 2,088,732 ------------ HONG KONG -- (21.2%) Aeon Credit Service Asia Co., Ltd. 580,000 490,796 # Aeon Stores Hong Kong Co., Ltd. 248,000 316,295 Alco Holdings, Ltd. 1,426,000 248,752 Allan International Holdings 720,000 205,218 Allied Group, Ltd. 683,200 2,967,757 # Allied Properties HK, Ltd. 12,297,857 2,161,758 * Anxian Yuan China Holdings, Ltd. 3,100,000 59,590 * Apac Resources, Ltd. 13,300,000 288,159 # APT Satellite Holdings, Ltd. 1,961,500 2,462,150 Arts Optical International Hldgs 730,000 198,620 Asia Financial Holdings, Ltd. 2,474,908 999,742 Asia Satellite Telecommunications Holdings, Ltd. 962,000 3,842,946 Asia Standard Hotel Group, Ltd. 11,777,218 1,263,125 # Asia Standard International Group, Ltd. 13,425,937 3,382,056 # ASM Pacific Technology, Ltd. 5,600 62,228 Associated International Hotels, Ltd. 980,000 2,722,356 Aupu Group Holding Co., Ltd. 2,504,000 294,126 * Bel Global Resources Holdings, Ltd. 2,576,000 -- # Bonjour Holdings, Ltd. 10,366,000 1,782,790 Bossini International Hldg 3,807,500 319,770 #* Brightoil Petroleum Holdings, Ltd. 8,469,000 2,630,483 * Brockman Mining, Ltd. 23,482,814 1,195,087 #* Burwill Holdings, Ltd. 25,014,960 955,976 # Cafe de Coral Holdings, Ltd. 1,670,000 5,262,460 Century City International Holdings, Ltd. 6,419,460 471,609 Champion Technology Holdings, Ltd. 15,011,136 349,442 Chen Hsong Holdings 1,212,000 362,982 Cheuk Nang Holdings, Ltd. 601,503 553,964 * Cheung Wo International Holdings, Ltd. 690,000 55,308 Chevalier International Holdings, Ltd. 786,834 1,279,803 * China Billion Resources, Ltd. 4,876,000 -- #* China Daye Non-Ferrous Metals Mining, Ltd. 9,973,837 158,592 * China Digicontent Co., Ltd. 2,710,000 -- China Electronics Corp. Holdings Co., Ltd. 3,608,250 723,642 * China Energy Development Holdings, Ltd. 24,320,000 328,945 * China Environmental Investment Holdings, Ltd. 7,470,000 164,971
THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ ---------- ----------- HONG KONG -- (Continued) China Financial Services Holdings, Ltd. 954,000 $ 78,974 * China Flavors & Fragrances Co., Ltd. 156,137 25,361 * China Gamma Group, Ltd. 1,675,000 32,235 * China Infrastructure Investment, Ltd. 7,776,000 111,032 China Metal International Holdings, Inc. 2,748,000 930,534 # China Motor Bus Co., Ltd. 50,000 396,433 * China Nuclear Industry 23 International Corp., Ltd. 828,000 140,348 * China Renji Medical Group, Ltd. 30,418,000 129,975 * China Solar Energy Holdings, Ltd. 1,669,500 14,535 China Star Entertainment, Ltd. 35,250,000 581,913 * China Strategic Holdings, Ltd. 12,585,000 266,848 China Ting Group Holdings, Ltd. 2,443,151 167,129 * China Tycoon Beverage Holdings, Ltd. 2,732,000 5,638 China-Hongkong Photo Products Holdings, Ltd. 1,967,000 144,580 Chinney Investment, Ltd. 1,144,000 177,869 Chong Hing Bank, Ltd. 323,600 1,131,126 # Chow Sang Sang Holdings International, Ltd. 2,156,000 5,307,243 Chu Kong Shipping Enterprise Group Co., Ltd. 2,188,000 509,090 Chuang's China Investments, Ltd. 3,700,938 236,641 Chuang's Consortium International, Ltd. 5,686,730 689,820 Chun Wo Development Holdings, Ltd. 1,852,926 108,977 # CITIC Telecom International Holdings, Ltd. 10,730,125 3,746,309 # CK Life Sciences International Holdings, Inc. 20,500,000 2,065,542 CNT Group, Ltd. 8,315,264 402,386 * COL Capital, Ltd. 2,209,840 577,522 Convenience Retail Asia, Ltd. 42,000 28,341 * Cosmos Machinery Enterprises, Ltd. 281,000 18,533 * CP Lotus Corp. 11,420,000 281,028 # Cross-Harbour Holdings, Ltd. (The) 679,520 566,086 CSI Properties, Ltd. 32,156,383 1,122,685 * CST Mining Group, Ltd. 85,632,000 563,377 * Culture Landmark Investment, Ltd. 509,800 30,660 * Culturecom Holdings, Ltd. 1,120,000 153,986 * Cw Group Holdings, Ltd. 1,578,000 386,985 # Dah Sing Banking Group, Ltd. 3,333,116 4,982,044 Dah Sing Financial Holdings, Ltd. 1,059,744 4,696,680 Dan Form Holdings Co., Ltd. 3,668,260 332,035 Dickson Concepts International, Ltd. 1,258,000 758,813 * Digital Domain Holdings, Ltd. 7,865,655 105,739 * Dingyi Group Investment, Ltd. 4,852,500 303,230 Dorsett Hospitality International, Ltd. 4,711,200 839,722 Eagle Nice International Holdings, Ltd. 1,116,000 175,672 EcoGreen Fine Chemicals Group, Ltd. 1,202,000 278,028 * EganaGoldpfeil Holdings, Ltd. 4,121,757 -- Emperor Capital Group, Ltd. 1,962,000 100,043 Emperor Entertainment Hotel, Ltd. 4,075,000 1,775,643 Emperor International Holdings 7,984,753 1,783,878 Emperor Watch & Jewellery, Ltd. 26,410,000 1,946,296 * ENM Holdings, Ltd. 15,112,000 902,356 * Enviro Energy International Holdings, Ltd. 3,906,000 71,994 * EPI Holdings, Ltd. 25,099,927 626,453 Esprit Holdings, Ltd. 12,854,950 21,468,905
THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ ----------- ---------- HONG KONG -- (Continued) * eSun Holdings, Ltd. 4,472,000 $ 518,875 * Ezcom Holdings, Ltd. 72,576 -- Fairwood Holdings, Ltd. 622,100 1,271,646 Far East Consortium International, Ltd. 6,191,772 2,248,446 * FIH Mobile, Ltd. 2,385,000 1,288,227 * Fountain SET Holdings, Ltd. 4,898,000 588,650 Four Seas Mercantile Holdings, Ltd. 628,000 413,724 * Frontier Services Group, Ltd. 823,000 75,781 Fujikon Industrial Holdings, Ltd. 736,000 169,647 Future Bright Holdings, Ltd. 2,286,000 1,097,467 * G-Resources Group, Ltd. 145,569,600 4,013,958 Get Nice Holdings, Ltd. 22,008,000 982,092 # Giordano International, Ltd. 9,084,000 6,097,863 Glorious Sun Enterprises, Ltd. 2,702,000 592,823 Gold Peak Industries Holding, Ltd. 3,118,642 269,917 Golden Resources Development International, Ltd. 3,330,500 180,404 #* Goldin Financial Holdings, Ltd. 480,000 210,641 #* Goldin Properties Holdings, Ltd. 3,044,000 1,378,363 * Grande Holdings, Ltd. (The) 882,000 8,760 Great Eagle Holdings, Ltd. 70,160 250,575 Guangnan Holdings, Ltd. 2,249,600 293,573 # Guotai Junan International Holdings, Ltd. 3,543,000 1,833,587 # Haitong International Securities Group, Ltd. 2,739,968 1,377,513 * Hao Tian Development Group, Ltd. 12,024,000 187,135 Harbour Centre Development, Ltd. 963,500 1,684,812 * Heng Fai Enterprises, Ltd. 440,000 24,095 High Fashion International, Ltd. 268,000 106,148 HKR International, Ltd. 5,934,336 2,435,027 Hon Kwok Land Investment Co., Ltd. 314,800 104,881 * Hong Fok Land, Ltd. 1,210,000 -- # Hong Kong Aircraft Engineering Co., Ltd. 78,800 916,584 Hong Kong Ferry Holdings Co., Ltd. 809,300 793,353 * Hong Kong Television Network, Ltd. 2,401,751 689,350 Hongkong & Shanghai Hotels (The) 1,124,000 1,643,787 Hongkong Chinese, Ltd. 5,138,000 1,248,219 Hop Hing Group Holdings, Ltd. 1,292,000 37,828 Hopewell Holdings, Ltd. 2,385,000 8,209,761 # Hsin Chong Construction Group, Ltd. 5,261,658 727,424 Hung Hing Printing Group, Ltd. 1,412,000 223,767 # Hutchison Telecommunications Hong Kong Holdings, Ltd. 10,664,000 3,495,069 * I-CABLE Communications, Ltd. 1,225,000 123,495 * Imagi International Holdings, Ltd. 50,616,000 569,099 * Integrated Waste Solutions Group Holdings, Ltd. 952,000 57,858 * International Standard Resources Holdings, Ltd. 15,176,250 247,328 IPE Group, Ltd. 2,655,000 159,333 * IRC, Ltd. 7,218,000 699,760 IT, Ltd. 3,920,532 1,063,341 ITC Corp., Ltd. 856,708 62,027 ITC Properties Group, Ltd. 3,590,186 1,605,969 * Jinhui Holdings Co., Ltd. 121,000 26,567 * JLF Investment Co., Ltd. 1,623,500 75,073 Johnson Electric Holdings, Ltd. 6,293,000 6,027,342
THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ ---------- ----------- HONG KONG -- (Continued) # K Wah International Holdings, Ltd. 7,930,545 $ 5,296,841 Ka Shui International Holdings, Ltd. 550,000 93,121 Kam Hing International Holdings, Ltd. 1,830,000 130,463 Kantone Holdings, Ltd. 9,925,145 132,180 Karrie International Hldgs 1,337,200 58,489 Keck Seng Investments 904,600 735,147 * King Pacific International Holdings, Ltd. 1,404,200 -- * King Stone Energy Group, Ltd. 7,296,000 241,485 Kingmaker Footwear Holdings, Ltd. 1,532,955 298,942 Kingston Financial Group, Ltd. 15,719,000 1,705,217 * Ko Yo Chemical Group, Ltd. 15,800,000 165,747 Kowloon Development Co., Ltd. 2,392,000 2,925,925 Kwoon Chung Bus Holdings, Ltd. 260,000 77,523 # L'Occitane International SA 587,750 1,446,518 * Lai Sun Development 74,112,466 1,734,404 * Lai Sun Garment International, Ltd. 3,419,680 482,234 Lam Soon Hong Kong, Ltd. 302,310 311,423 * Landsea Green Properties Co., Ltd. 812,000 66,274 * Leading Spirit High-Tech Holdings Co., Ltd. 2,310,000 -- Lee's Pharmaceutical Holdings, Ltd. 520,000 584,285 Lerado Group Holding Co., Ltd. 1,968,000 254,680 Lifestyle International Holdings, Ltd. 843,000 1,647,961 Lippo China Resources, Ltd. 19,362,000 962,165 Lippo, Ltd. 1,195,700 642,104 * Lisi Group Holdings, Ltd. 3,418,000 220,243 Liu Chong Hing Investment, Ltd. 1,015,200 1,950,437 Luen Thai Holdings, Ltd. 1,159,000 348,015 # Luk Fook Holdings International, Ltd. 2,487,000 7,061,737 Luks Group Vietnam Holdings Co., Ltd. 482,913 143,873 Lung Kee Bermuda Holdings 1,613,875 589,796 Magnificent Estates 13,558,000 656,559 Mainland Headwear Holdings, Ltd. 195,600 17,680 # Man Wah Holdings, Ltd. 2,644,400 4,342,922 Man Yue Technology Holdings, Ltd. 980,000 302,237 Matrix Holdings, Ltd. 1,067,414 252,951 * Mei Ah Entertainment Group, Ltd. 11,040,000 209,146 Melbourne Enterprises, Ltd. 40,500 715,448 Melco International Development, Ltd. 4,358,000 13,383,642 # Midland Holdings, Ltd. 5,334,000 2,241,651 Ming Fai International Holdings, Ltd. 1,765,000 171,186 * Ming Fung Jewellery Group, Ltd. 20,445,000 251,059 # Miramar Hotel & Investment 870,000 1,075,902 * Mongolia Energy Corp., Ltd. 10,603,000 223,064 #* Mongolian Mining Corp. 9,183,500 759,657 NagaCorp, Ltd. 3,252,000 2,967,463 Nanyang Holdings, Ltd. 137,500 603,458 National Electronic Hldgs 2,498,000 280,336 Natural Beauty Bio-Technology, Ltd. 4,040,000 208,939 #* Neo-Neon Holdings, Ltd. 4,144,500 743,254 * Neptune Group, Ltd. 21,690,000 586,168 New Century Group Hong Kong, Ltd. 13,351,464 256,130 #* New Times Energy Corp., Ltd. 1,297,600 66,154
THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ ---------- ---------- HONG KONG -- (Continued) # Newocean Energy Holdings, Ltd. 7,182,000 $4,752,320 * Next Media, Ltd. 4,339,183 444,651 * Orange Sky Golden Harvest Entertainment Holdings, Ltd. 6,729,706 441,731 # Orient Overseas International, Ltd. 951,500 4,551,674 * Orient Power Holdings, Ltd. 804,000 -- # Oriental Watch Holdings 3,160,800 714,656 Pacific Andes International Holdings, Ltd. 11,385,378 463,866 Pacific Basin Shipping, Ltd. 12,828,000 7,535,656 Pacific Textiles Holdings, Ltd. 3,613,000 4,587,718 Paliburg Holdings, Ltd. 3,152,830 1,005,855 * Pan Asia Environmental Protection Group, Ltd. 80,000 14,902 * Paradise Entertainment, Ltd. 2,748,000 2,051,066 PCCW, Ltd. 7,933,000 4,229,830 #* Peace Mark Holdings, Ltd. 2,712,022 -- * Pearl Oriental Oil, Ltd. 11,918,400 327,764 Pegasus International Holdings, Ltd. 226,000 31,762 # Pico Far East Holdings, Ltd. 4,822,000 1,290,636 * Ping Shan Tea Group, Ltd. 2,633,325 38,809 Playmates Holdings, Ltd. 658,000 891,810 * Playmates Toys, Ltd. 3,040,000 1,283,281 PNG Resources Holdings, Ltd. 37,802,362 342,447 Pokfulam Development Co. 234,000 356,439 * Poly Capital Holdings, Ltd. 1,154,000 20,133 Polytec Asset Holdings, Ltd. 10,878,526 1,586,918 Public Financial Holdings, Ltd. 3,194,000 1,514,508 PYI Corp., Ltd. 24,859,973 542,373 * Pyxis Group, Ltd. 1,936,000 7,991 Raymond Industrial, Ltd. 30,400 3,618 # Regal Hotels International Holdings, Ltd. 2,873,800 1,666,967 * Richfield Group Holdings, Ltd. 9,672,000 273,842 * Rising Development Holdings, Ltd. 486,000 263,205 Rivera Holdings, Ltd. 5,710,000 245,625 # SA SA International Holdings, Ltd. 7,820,000 6,560,548 Safety Godown Co., Ltd. 398,000 503,278 * Same Time Holdings, Ltd. 28,000 33,716 * Sandmartin International Holdings, Ltd. 84,000 4,543 SAS Dragon Hldg, Ltd. 484,000 320,362 # SEA Holdings, Ltd. 1,158,000 650,663 # Shenyin Wanguo HK, Ltd. 1,937,500 700,159 * Shougang Concord Technology Holdings 5,733,809 241,446 * Shun Ho Resources Holdings, Ltd. 189,000 39,199 * Shun Ho Technology Holdings, Ltd. 1,037,452 206,525 Shun Tak Holdings, Ltd. 11,413,419 5,607,004 #* Silver base Group Holdings, Ltd. 4,977,677 652,251 * Simsen International Corp., Ltd. 40,000 12,841 * Sing Pao Media Enterprises, Ltd. 250,511 -- Sing Tao News Corp., Ltd. 1,974,000 269,754 Singamas Container Holdings, Ltd. 10,526,000 2,283,474 * Sino-Tech International Holdings, Ltd. 29,380,000 151,899 * Sinocan Holdings, Ltd. 350,000 -- SIS International Holdings 34,000 14,049 Sitoy Group Holdings, Ltd. 500,000 301,019
THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ ---------- ---------- HONG KONG -- (Continued) # SmarTone Telecommunications Holdings, Ltd. 2,626,500 $2,710,753 # SOCAM Development, Ltd. 1,716,771 2,082,882 * Solomon Systech International, Ltd. 8,590,000 422,332 Soundwill Holdings, Ltd. 420,000 727,097 * South China China, Ltd. 6,744,000 547,036 * South China Land, Ltd. 15,207,170 259,595 # Stella International Holdings, Ltd. 567,500 1,399,038 Stelux Holdings International, Ltd. 3,100,400 957,262 * Success Universe Group, Ltd. 5,948,000 277,124 Sun Hing Vision Group Holdings, Ltd. 358,000 108,607 # Sun Hung Kai & Co., Ltd. 3,319,429 2,318,844 * Sunway International Holdings, Ltd. 50,000 1,584 TAI Cheung Holdings 2,019,000 1,395,686 Tai Sang Land Development, Ltd. 804,910 371,525 * Talent Property Group, Ltd. 4,701,420 63,427 # Tan Chong International, Ltd. 1,212,000 499,436 # Tao Heung Holdings, Ltd. 517,000 333,542 #* Taung Gold International, Ltd. 14,590,000 56,456 * Technovator International, Ltd. 784,000 415,854 Television Broadcasts, Ltd. 930,000 5,815,875 * Termbray Industries International Holdings, Ltd. 2,304,900 232,007 Tern Properties Co., Ltd. 51,200 32,012 Texwinca Holdings, Ltd. 3,988,000 4,300,538 Tian Teck Land 1,054,000 1,129,022 * Titan Petrochemicals Group, Ltd. 13,140,000 4,237 * Topsearch International Holdings, Ltd. 186,000 6,134 * Town Health International Investment, Ltd. 211,165 142,448 Tradelink Electronic Commerce, Ltd. 4,622,000 1,133,543 Transport International Holdings, Ltd. 1,001,741 1,849,320 # Trinity, Ltd. 7,266,000 1,869,002 Tristate Holdings, Ltd. 188,000 77,504 * TSC Group Holdings, Ltd. 2,913,000 1,656,322 Tse Sui Luen Jewellery International, Ltd. 256,000 102,216 #* United Laboratories International Holdings, Ltd. (The) 4,142,000 2,680,936 * Universal Technologies Holdings, Ltd. 7,630,000 483,806 * Universe International Holdings, Ltd. 3,475,000 64,637 * Up Energy Development Group, Ltd. 3,205,000 311,999 * Value Convergence Holdings, Ltd. 1,756,000 288,829 # Value Partners Group, Ltd. 5,497,000 3,544,417 Van Shung Chong Holdings, Ltd. 789,335 129,759 Vanke Property Overseas, Ltd. 13,000 14,630 Varitronix International, Ltd. 1,917,293 2,126,025 Vedan International Holdings, Ltd. 3,272,000 177,337 Victory City International Holdings, Ltd. 6,385,993 930,765 # Vitasoy International Holdings, Ltd. 4,365,000 5,967,359 VST Holdings, Ltd. 4,917,600 1,253,575 # VTech Holdings, Ltd. 234,000 3,240,882 Wai Kee Holdings, Ltd. 7,864,738 2,235,229 Wang On Group, Ltd. 29,171,286 687,770 * Willie International Holdings, Ltd. 600,000 112,989 Win Hanverky Holdings, Ltd. 1,812,000 240,593 Wing Hang Bank, Ltd. 280,500 4,522,312
THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ ---------- ------------ HONG KONG -- (Continued) Wing On Co. International, Ltd. 781,000 $ 2,178,790 # Wing Tai Properties, Ltd. 1,957,331 1,214,981 Wong's International Hldgs 737,641 226,659 Wong's Kong King International 120,000 10,147 Xinyi Glass Holdings, Ltd. 13,316,000 10,506,644 * Xinyi Solar Holdings, Ltd. 12,292,000 3,333,700 Yangtzekiang Garment, Ltd. 606,500 216,428 Yau Lee Holdings, Ltd. 534,000 115,799 Yeebo International Hldg 572,000 91,588 YGM Trading, Ltd. 460,000 1,009,201 YT Realty Group, Ltd. 749,000 237,540 * Yugang International, Ltd. 93,492,000 871,653 * Zhuhai Holdings Investment Group, Ltd. 2,558,000 430,435 ------------ TOTAL HONG KONG 362,658,426 ------------ NEW ZEALAND -- (7.3%) #* a2 Milk Co., Ltd. 539,281 377,468 Abano Healthcare Group, Ltd. 29,547 168,122 Air New Zealand, Ltd. 3,299,848 5,979,545 Auckland International Airport, Ltd. 319,815 1,095,341 #* Bathurst Resources, Ltd. 1,666,560 96,387 Briscoe Group, Ltd. 2,235 4,592 Cavalier Corp., Ltd. 283,674 380,155 CDL Investments New Zealand, Ltd. 163,215 75,553 # Chorus, Ltd. 1,514,017 2,313,242 Colonial Motor Co., Ltd. (The) 148,846 693,456 Contact Energy, Ltd. 249,203 1,224,073 #* Diligent Board Member Services, Inc. 82,102 322,390 # Ebos Group, Ltd. 429,471 3,481,484 # Fisher & Paykel Healthcare Corp., Ltd. 3,763,394 13,265,637 # Freightways, Ltd. 872,670 3,764,861 # Hallenstein Glasson Holdings, Ltd. 245,661 735,786 Heartland New Zealand, Ltd. 185,677 140,903 # Hellaby Holdings, Ltd. 380,827 1,000,864 # Infratil, Ltd. 2,999,537 5,953,086 Kathmandu Holdings, Ltd. 351,142 1,104,159 Mainfreight, Ltd. 494,839 5,718,691 Methven, Ltd. 93,877 97,224 # Metlifecare, Ltd. 256,045 908,785 Michael Hill International, Ltd. 1,534,152 1,749,115 Millennium & Copthorne Hotels New Zealand, Ltd. 1,387,344 780,594 New Zealand Oil & Gas, Ltd. 2,036,646 1,362,039 New Zealand Refining Co., Ltd. (The) 591,259 958,206 Northland Port Corp. NZ, Ltd. 151,152 389,872 Nuplex Industries, Ltd. 1,143,593 3,455,801 # NZX, Ltd. 960,063 1,036,979 # Opus International Consultants, Ltd. 12,925 21,793 #* Pacific Edge, Ltd. 350,725 330,929 PGG Wrightson, Ltd. 980,136 343,245 * Pike River Coal, Ltd. 490,805 -- Port of Tauranga, Ltd. 528,322 6,560,678 * Pumpkin Patch, Ltd. 606,913 282,808
THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ --------- ------------ NEW ZEALAND -- (Continued) # Restaurant Brands New Zealand, Ltd. 461,634 $ 1,254,370 * Richina Pacific, Ltd. 274,180 15,959 * Rubicon, Ltd. 1,485,105 462,873 # Ryman Healthcare, Ltd. 2,086,942 15,589,741 Sanford, Ltd. 393,618 1,416,200 Scott Technology, Ltd. 38,136 51,645 # Skellerup Holdings, Ltd. 507,716 778,911 Sky Network Television, Ltd. 1,730,057 9,985,491 SKYCITY Entertainment Group, Ltd. 3,798,254 13,869,634 Steel & Tube Holdings, Ltd. 416,437 1,103,457 Telecom Corp. of New Zealand, Ltd. 440,138 1,051,472 Tourism Holdings, Ltd. 274,867 273,446 Tower, Ltd. 739,546 1,035,008 Trade Me Group, Ltd. 940,020 3,207,808 # TrustPower, Ltd. 68,345 394,789 # Vector, Ltd. 1,217,365 2,691,161 # Warehouse Group, Ltd. (The) 655,357 1,916,939 #* Xero, Ltd. 109,612 3,015,671 ------------ TOTAL NEW ZEALAND 124,288,438 ------------ SINGAPORE -- (11.1%) #* Abterra, Ltd. 531,800 249,907 Amara Holdings, Ltd. 950,000 406,409 # Amtek Engineering, Ltd. 1,297,000 642,408 ASL Marine Holdings, Ltd. 816,600 470,420 Aspial Corp., Ltd. 69,680 26,415 #* Ausgroup, Ltd. 3,653,000 1,332,181 # Baker Technology, Ltd. 1,272,000 330,413 # Banyan Tree Holdings, Ltd. 1,053,000 530,128 # Biosensors International Group, Ltd. 6,197,237 4,706,741 Bonvests Holdings, Ltd. 978,000 1,054,457 Boustead Singapore, Ltd. 1,686,261 2,550,705 Breadtalk Group, Ltd. 850,800 951,715 * Broadway Industrial Group, Ltd. 1,374,000 302,139 Bukit Sembawang Estates, Ltd. 614,003 2,863,125 Bund Center Investment, Ltd. 2,717,000 444,875 # Centurion Corp., Ltd. 132,000 75,530 CH Offshore, Ltd. 1,642,400 550,951 # China Aviation Oil Singapore Corp., Ltd. 1,586,399 1,102,910 # China Merchants Holdings Pacific, Ltd. 813,000 625,962 Chip Eng Seng Corp., Ltd. 3,546,800 2,167,681 Chuan Hup Holdings, Ltd. 3,967,000 856,121 Cityspring Infrastructure Trust 1,268,000 481,270 # Cosco Corp. Singapore, Ltd. 7,006,000 4,034,723 Creative Technology, Ltd. 272,200 525,549 CSC Holdings, Ltd. 2,495,000 169,428 # CSE Global, Ltd. 3,382,000 1,606,079 CWT, Ltd. 1,393,700 1,619,858 Datapulse Technology, Ltd. 89,000 11,854 # Del Monte Pacific, Ltd. 773,000 380,018 * Delong Holdings, Ltd. 1,361,000 416,536 DMX Technologies Group, Ltd. 2,096,000 335,071
THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ ---------- ---------- SINGAPORE -- (Continued) # Dyna-Mac Holdings, Ltd. 2,015,000 $ 660,164 # Elec & Eltek International Co., Ltd. 147,000 233,095 Ellipsiz, Ltd. 123,000 8,724 EnGro Corp., Ltd. 354,000 347,643 Etika International Holdings, Ltd. 575,000 190,807 Eu Yan Sang International, Ltd. 809,800 533,408 * euNetworks Group, Ltd. 8,220 4,175 # Ezion Holdings, Ltd. 1,024,800 1,862,933 # Ezra Holdings, Ltd. 5,619,000 4,719,606 Falcon Energy Group, Ltd. 1,951,000 546,482 Far East Orchard, Ltd. 1,070,598 1,599,045 FJ Benjamin Holdings, Ltd. 1,305,000 224,625 Food Empire Holdings, Ltd. 1,256,400 395,207 #* Forterra Trust 98,000 138,825 Fragrance Group, Ltd. 6,256,000 1,248,550 #* Gallant Venture, Ltd. 5,073,000 1,216,472 GK Goh Holdings, Ltd. 1,458,000 984,804 * Global Yellow Pages, Ltd. 299,000 18,418 # GMG Global, Ltd. 18,238,000 1,309,915 # Goodpack, Ltd. 1,620,000 3,103,412 GP Batteries International, Ltd. 235,000 104,066 GP Industries, Ltd. 2,643,209 990,207 GuocoLand, Ltd. 399,314 679,390 # GuocoLeisure, Ltd. 3,364,000 2,594,063 * Hanwell Holdings, Ltd. 1,823,419 378,268 * Healthway Medical Corp., Ltd. 8,042,776 410,491 HG Metal Manufacturing, Ltd. 1,768,000 132,560 Hi-P International, Ltd. 1,309,000 606,666 Hiap Hoe, Ltd. 353,000 256,829 Hiap Seng Engineering, Ltd. 612,000 105,053 * HLH Group, Ltd. 8,364,000 106,917 Ho Bee Land, Ltd. 1,652,000 3,023,443 Hong Fok Corp., Ltd. 3,323,640 2,150,886 Hong Leong Asia, Ltd. 702,000 894,179 Hotel Grand Central, Ltd. 1,331,073 1,271,434 # Hotel Properties, Ltd. 1,385,400 4,109,232 Hour Glass, Ltd. (The) 622,744 845,618 HTL International Holdings, Ltd. 1,063,843 250,872 HupSteel, Ltd. 1,572,875 263,003 Hwa Hong Corp., Ltd. 2,186,000 532,197 # Hyflux, Ltd. 3,243,500 3,105,574 Indofood Agri Resources, Ltd. 3,468,000 2,953,482 InnoTek, Ltd. 950,000 242,472 * International Healthway Corp., Ltd. 594,656 144,527 #* Interra Resources, Ltd. 235,000 72,316 IPC Corp., Ltd. 4,265,000 510,905 ISDN Holdings, Ltd. 211,000 72,743 Isetan Singapore, Ltd. 122,500 458,994 Jaya Holdings, Ltd. 2,513,000 1,598,318 #* Jiutian Chemical Group, Ltd. 10,128,000 590,739 #* Jurong Technologies Industrial Corp., Ltd. 2,227,680 -- K1 Ventures, Ltd. 4,793,500 754,828
THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ ---------- ---------- SINGAPORE -- (Continued) Keppel Infrastructure Trust 1,330,000 $1,114,094 Keppel Telecommunications & Transportation, Ltd. 1,409,600 2,009,441 Koh Brothers Group, Ltd. 1,432,000 354,383 * Lafe Corp., Ltd. 500,000 23,925 LCD Global Investments, Ltd. 3,569,504 518,607 Lee Kim Tah Holdings, Ltd. 1,600,000 1,183,525 * Li Heng Chemical Fibre Technologies, Ltd. 2,053,000 147,141 # Lian Beng Group, Ltd. 1,945,000 1,087,990 #* Linc Energy, Ltd. 1,982,517 1,865,892 #* LionGold Corp., Ltd. 1,401,000 109,796 Low Keng Huat Singapore, Ltd. 878,000 487,237 Lum Chang Holdings, Ltd. 1,094,030 305,690 M1, Ltd. 1,066,000 2,864,231 * Manhattan Resources, Ltd. 463,000 229,475 Marco Polo Marine, Ltd. 963,000 288,578 mDR, Ltd. 3,997,000 29,098 * Mercator Lines Singapore, Ltd. 555,000 44,803 # Mermaid Maritime PCL 1,212,000 469,927 Metro Holdings, Ltd. 2,085,792 1,532,682 Mewah International, Inc. 1,773,000 665,754 # Midas Holdings, Ltd. 8,177,000 3,073,925 # Nam Cheong Ltd 7,126,740 2,022,046 * Neptune Orient Lines, Ltd. 196,000 158,970 New Toyo International Holdings, Ltd. 1,624,000 407,736 NSL, Ltd. 422,000 530,558 * Oceanus Group, Ltd. 13,109,000 177,861 OKP Holdings, Ltd. 180,000 44,892 # OSIM International, Ltd. 1,689,000 3,913,237 #* Otto Marine, Ltd. 10,983,500 704,225 # OUE Hospitality Trust 310,500 215,525 # OUE, Ltd. 1,863,000 3,377,787 # Oxley Holdings, Ltd. 760,000 471,595 Pan-United Corp., Ltd. 2,006,000 1,659,049 PEC, Ltd. 47,000 20,444 * Penguin International, Ltd. 794,000 123,080 # Petra Foods, Ltd. 804,000 2,277,643 Popular Holdings, Ltd. 2,763,650 595,226 QAF, Ltd. 1,184,483 851,045 #* Raffles Education Corp., Ltd. 4,104,710 967,755 # Raffles Medical Group, Ltd. 579,330 1,678,638 Rickmers Maritime 888,000 205,839 Rotary Engineering, Ltd. 1,463,600 831,148 Roxy-Pacific Holdings, Ltd. 297,500 134,314 * S I2I, Ltd. 17,004,000 108,789 San Teh, Ltd. 999,087 254,571 * Sapphire Corp., Ltd. 493,000 31,497 SBS Transit, Ltd. 953,500 951,405 # See Hup Seng, Ltd. 2,372,000 579,635 # Sheng Siong Group, Ltd. 1,176,000 596,453 Sim Lian Group, Ltd. 2,281,855 1,598,895 # Sinarmas Land, Ltd. 5,739,000 2,435,420 Sing Holdings, Ltd. 1,134,000 344,287
THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ --------- -------------- SINGAPORE -- (Continued) Sing Investments & Finance, Ltd. 297,675 $ 318,562 Singapore Post, Ltd. 8,837,120 9,983,859 Singapore Reinsurance Corp., Ltd. 1,514,530 332,809 Singapore Shipping Corp., Ltd. 1,689,000 317,330 Singapura Finance, Ltd. 174,062 207,563 #* Sino Grandness Food Industry Group, Ltd. 2,157,000 1,189,979 # SMRT Corp., Ltd. 2,379,000 2,316,277 Stamford Land Corp., Ltd. 3,258,000 1,547,751 Straco Corp., Ltd. 130,000 61,986 Sunningdale Tech, Ltd. 2,932,000 381,632 #* SunVic Chemical Holdings, Ltd. 2,038,000 782,114 # Super Group, Ltd. 1,124,000 3,144,617 # Swiber Holdings, Ltd. 3,974,000 2,033,473 Swissco Holdings, Ltd. 1,026,000 348,704 # Tat Hong Holdings, Ltd. 2,072,800 1,341,153 Thakral Corp., Ltd. 5,601,000 125,101 # Tiong Woon Corp. Holding, Ltd. 2,152,250 558,981 # Triyards holdings, Ltd. 348,900 177,090 # Tuan Sing Holdings, Ltd. 4,074,495 1,139,276 UMS Holdings, Ltd. 1,368,000 939,074 # United Engineers, Ltd. 2,756,028 4,750,920 # United Envirotech, Ltd. 2,521,000 2,627,197 United Overseas Insurance, Ltd. 187,250 672,916 # UOB-Kay Hian Holdings, Ltd. 1,798,400 2,417,267 # UPP Holdings, Ltd. 3,060,000 611,966 #* Vard Holdings, Ltd. 4,053,000 3,131,297 Venture Corp., Ltd. 1,650,000 10,106,502 Vibrant Group, Ltd. 9,159,901 745,651 Vicom, Ltd. 120,000 565,906 # Wee Hur Holdings, Ltd. 2,667,000 766,084 Wheelock Properties Singapore, Ltd. 1,210,000 1,814,414 # Wing Tai Holdings, Ltd. 2,843,567 4,548,056 Xpress Holdings, Ltd. 1,281,000 22,107 Yeo Hiap Seng, Ltd. 223,731 417,954 YHI International, Ltd. 1,174,000 220,090 # Yongnam Holdings, Ltd. 8,048,000 1,545,547 -------------- TOTAL SINGAPORE 190,265,125 -------------- TOTAL COMMON STOCKS 1,401,888,745 -------------- RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) #* Aquarius Platinum, Ltd. Rights 05/14/14 3,341,716 357,012 * Centrebet International, Ltd. Litigation Rights 81,336 -- * Pluton Resources, Ltd. Rights 05/14/14 20,710 193 -------------- TOTAL AUSTRALIA 357,205 -------------- HONG KONG -- (0.0%) * Haitong International Securities Group, Ltd. Rights 05/23/14 1,369,984 15,903 * Sustainable Forest Holdings Rights 05/05/14 43,837 905 -------------- TOTAL HONG KONG 16,808 --------------
THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ ---------- -------------- SINGAPORE -- (0.0%) * Falcon Energy Group, Ltd. Rights 06/18/16 195,100 $ 4,980 * Technics Oil & Gas, Ltd. Warrants 12/09/16 16,800 3,551 -------------- TOTAL SINGAPORE 8,531 -------------- TOTAL RIGHTS/WARRANTS 382,544 -------------- SHARES/ FACE AMOUNT (000) VALUE+ ---------- -------------- SECURITIES LENDING COLLATERAL -- (18.0%) (S)@ DFA Short Term Investment Fund 26,673,434 308,611,628 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $1,619,552,911) $1,710,882,917 ==============
THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED Summary of the Series' investments as of April 30, 2014, 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 $234,096 $ 722,353,928 -- $ 722,588,024 China -- 2,088,732 -- 2,088,732 Hong Kong 255,437 362,402,989 -- 362,658,426 New Zealand -- 124,288,438 -- 124,288,438 Singapore -- 190,265,125 -- 190,265,125 Rights/Warrants Australia -- 357,205 -- 357,205 Hong Kong -- 16,808 -- 16,808 Singapore -- 8,531 -- 8,531 Securities Lending Collateral -- 308,611,628 -- 308,611,628 -------- -------------- -- -------------- TOTAL $489,533 $1,710,393,384 -- $1,710,882,917 ======== ============== == ==============
THE UNITED KINGDOM SMALL COMPANY SERIES SCHEDULE OF INVESTMENTS APRIL 30, 2014 (UNAUDITED)
SHARES VALUE++ ---------- ----------- COMMON STOCKS -- (98.2%) Consumer Discretionary -- (25.5%) 4imprint Group P.L.C. 97,560 $ 1,113,543 888 Holdings P.L.C. 936,528 2,326,361 * Aga Rangemaster Group P.L.C. 453,866 1,334,225 Barratt Developments P.L.C. 4,268,971 26,698,834 Bellway P.L.C. 652,849 15,898,650 Berkeley Group Holdings P.L.C. 650,346 25,234,511 Betfair Group P.L.C. 114,500 1,870,142 Bloomsbury Publishing P.L.C. 283,806 769,589 Boot Henry P.L.C. 432,804 1,594,904 Bovis Homes Group P.L.C. 875,787 11,711,836 # Bwin.Party Digital Entertainment P.L.C. 2,880,414 6,200,533 * Carpetright P.L.C. 11,229 111,005 # Centaur Media P.L.C. 556,967 647,001 Chime Communications P.L.C. 327,139 1,928,482 Cineworld Group P.L.C. 988,583 5,391,283 Connect Group P.L.C. 998,228 3,039,354 Creston P.L.C. 22,394 43,452 Daily Mail & General Trust P.L.C. 1,328,069 18,306,282 Darty P.L.C. 1,015,868 1,760,679 Debenhams P.L.C. 6,498,732 8,826,165 Dignity P.L.C. 227,632 5,503,464 * Dixons Retail P.L.C. 18,181,138 13,828,147 Domino's Pizza Group P.L.C. 440,599 3,828,312 Dunelm Group P.L.C. 244,196 3,866,367 * Enterprise Inns P.L.C. 2,687,428 6,203,667 Euromoney Institutional Investor P.L.C. 295,537 5,333,906 * Findel P.L.C. 310,891 1,419,179 * Forminster P.L.C. 43,333 -- Fuller, Smith & Turner P.L.C. 137,316 2,234,981 Future P.L.C. 1,301,863 181,503 Games Workshop Group P.L.C. 101,889 984,947 Greene King P.L.C. 1,421,372 21,399,005 Halfords Group P.L.C. 1,072,399 8,046,993 Headlam Group P.L.C. 337,290 2,751,161 Home Retail Group P.L.C. 4,196,363 14,499,738 * Hornby P.L.C. 154,220 209,317 Howden Joinery Group P.L.C. 3,180,986 17,512,897 Huntsworth P.L.C. 926,689 939,541 Inchcape P.L.C. 2,319,770 25,200,127 Informa P.L.C. 3,121,619 25,492,179 ITE Group P.L.C. 1,144,948 4,452,675 JD Sports Fashion P.L.C. 120,013 3,561,442 JD Wetherspoon P.L.C. 490,410 6,986,851 John Menzies P.L.C. 247,022 2,688,668 * Johnston Press P.L.C. 1,039,980 443,829 Ladbrokes P.L.C. 4,483,503 11,626,478 Laura Ashley Holdings P.L.C. 1,517,420 659,095 Lookers P.L.C. 1,408,832 3,325,634 Marston's P.L.C. 3,122,248 7,763,355 Mecom Group P.L.C. 457,433 1,018,184 Millennium & Copthorne Hotels P.L.C. 1,048,561 9,843,435
THE UNITED KINGDOM SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ ---------- ------------ Consumer Discretionary -- (Continued) * Mitchells & Butlers P.L.C. 1,030,286 $ 7,676,148 MJ Gleeson Group P.L.C. 195,875 1,306,593 #* Mothercare P.L.C. 266,771 842,817 N Brown Group P.L.C. 874,754 7,581,542 * Ocado Group P.L.C. 735,892 4,188,957 Pendragon P.L.C. 4,395,240 2,308,010 * Perform Group P.L.C. 65,502 238,467 * Persimmon P.L.C. 904,357 20,069,472 Photo-Me International P.L.C. 270,353 616,202 * Puma Brandenburg, Ltd. 119,000 -- * Puma Brandenburg, Ltd. A Shares 119,000 -- * Punch Taverns P.L.C. 2,668,837 632,250 Rank Group P.L.C. 99,802 271,484 Redrow P.L.C. 1,505,347 7,285,489 Restaurant Group P.L.C. (The) 967,459 10,215,317 Rightmove P.L.C. 466,340 18,998,360 Spirit Pub Co. P.L.C. 3,103,818 4,114,849 * Sportech P.L.C. 384,214 564,235 * Sports Direct International P.L.C. 301,064 3,992,004 STV Group P.L.C. 4,868 29,948 * SuperGroup P.L.C. 203,095 4,565,426 Taylor Wimpey P.L.C. 15,614,170 27,768,941 Ted Baker P.L.C. 145,679 4,552,983 * Thomas Cook Group P.L.C. 7,517,966 22,223,846 Topps Tiles P.L.C. 829,659 1,805,186 * Torotrak P.L.C. 50,953 23,782 * Trinity Mirror P.L.C. 1,688,565 4,948,560 TUI Travel P.L.C. 394,548 2,853,861 UBM P.L.C. 826,641 9,195,435 UTV Media P.L.C. 444,753 1,801,293 Vitec Group P.L.C. (The) 164,847 1,714,640 WH Smith P.L.C. 711,405 13,193,431 William Hill P.L.C. 3,678,697 22,042,897 Wilmington Group P.L.C. 346,234 1,329,086 ------------ Total Consumer Discretionary 555,563,419 ------------ Consumer Staples -- (4.1%) A.G. Barr P.L.C. 427,802 4,470,006 Anglo-Eastern Plantations 108,153 1,299,353 Booker Group P.L.C. 7,511,637 18,685,793 Britvic P.L.C. 1,240,873 15,197,635 Cranswick P.L.C. 264,392 5,339,679 Dairy Crest Group P.L.C. 747,197 5,829,694 Devro P.L.C. 891,696 3,183,427 Greencore Group P.L.C. 2,335,961 10,317,366 Greggs P.L.C. 541,226 4,895,493 Hilton Food Group P.L.C. 24,794 223,470 McBride P.L.C. 855,515 1,420,909 * Premier Foods P.L.C. 2,951,877 2,868,998 # PZ Cussons P.L.C. 1,325,039 7,755,066 REA Holdings P.L.C. 50,639 390,114 Tate & Lyle P.L.C. 511,405 6,062,516
THE UNITED KINGDOM SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ --------- ------------ Consumer Staples -- (Continued) #* Thorntons P.L.C. 274,658 $ 563,579 ------------ Total Consumer Staples 88,503,098 ------------ Energy -- (5.8%) * Afren P.L.C. 5,639,345 14,979,341 AMEC P.L.C. 1,114,094 23,268,048 Anglo Pacific Group P.L.C. 472,317 1,520,697 * Cairn Energy P.L.C. 2,601,577 8,103,316 * Coalfield Resources P.L.C. 268,451 28,333 * EnQuest P.L.C. 3,568,831 8,283,191 * Essar Energy P.L.C. 1,162,294 1,318,934 * Exillon Energy P.L.C. 289,661 692,145 Fortune Oil P.L.C. 6,238,485 1,369,297 * Hardy Oil & Gas P.L.C. 74,781 85,860 * Heritage Oil P.L.C. 972,858 5,193,319 Hunting P.L.C. 639,376 9,153,559 James Fisher & Sons P.L.C. 216,358 4,718,222 #* JKX Oil & Gas P.L.C. 456,676 421,066 John Wood Group P.L.C. 1,508,579 20,003,334 * Lamprell P.L.C. 967,717 2,509,481 Premier Oil P.L.C. 2,484,308 14,225,273 * Salamander Energy P.L.C. 1,063,663 2,409,697 Soco International P.L.C. 1,018,017 7,440,340 ------------ Total Energy 125,723,453 ------------ Financials -- (14.4%) Amlin P.L.C. 2,613,209 19,757,633 # Ashmore Group P.L.C. 1,839,927 10,928,914 Bank of Georgia Holdings P.L.C. 106,665 4,691,433 Beazley P.L.C. 2,627,389 10,899,394 Brewin Dolphin Holdings P.L.C. 1,320,004 7,200,479 Capital & Counties Properties P.L.C. 474,174 2,674,761 Capital & Regional P.L.C. 1,493,345 1,159,433 Catlin Group, Ltd. 1,812,653 16,189,202 Charles Stanley Group P.L.C. 126,349 1,013,205 Charles Taylor P.L.C. 139,215 613,796 Chesnara P.L.C. 578,859 3,215,901 Close Brothers Group P.L.C. 777,213 18,358,740 Daejan Holdings P.L.C. 32,083 2,531,358 Development Securities P.L.C. 580,091 2,383,673 F&C Asset Management P.L.C. 2,273,162 4,587,260 Hansard Global P.L.C. 16,468 29,335 Helical Bar P.L.C. 668,916 4,104,332 Henderson Group P.L.C. 5,229,541 22,218,077 Hiscox, Ltd. 1,645,320 19,629,497 ICAP P.L.C. 2,874,272 20,133,934 IG Group Holdings P.L.C. 1,796,260 19,316,253 * Industrial & Commercial Holdings P.L.C. 5,000 -- Intermediate Capital Group P.L.C. 572,350 4,295,951 International Personal Finance P.L.C. 690,825 6,533,484 * IP Group P.L.C. 1,306,305 3,790,467 Jardine Lloyd Thompson Group P.L.C. 591,880 10,561,763
THE UNITED KINGDOM SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ --------- ------------ Financials -- (Continued) Jupiter Fund Management P.L.C. 1,343,222 $ 8,826,584 Lancashire Holdings, Ltd. 912,700 10,791,673 Liontrust Asset Management P.L.C. 32,319 142,906 LSL Property Services P.L.C. 173,209 1,172,762 Man Group P.L.C. 9,800,117 16,354,917 Novae Group P.L.C. 276,081 2,527,212 Phoenix Group Holdings 671,770 7,746,662 * Quintain Estates & Development P.L.C. 2,680,731 4,592,289 Rathbone Brothers P.L.C. 165,692 5,420,747 * Raven Russia, Ltd. 878,299 965,045 * Renovo Group P.L.C. 87,461 23,623 S&U P.L.C. 21,140 671,622 Savills P.L.C. 625,702 6,340,586 St James's Place P.L.C. 899,349 11,720,916 ST Modwen Properties P.L.C. 957,652 6,013,320 Tullett Prebon P.L.C. 1,098,479 5,904,447 Unite Group P.L.C. (The) 1,011,180 7,220,703 * Waterloo Investment Holdings, Ltd. 5,979 707 ------------ Total Financials 313,254,996 ------------ Health Care -- (2.9%) #* Alizyme P.L.C. 660,805 -- Bioquell P.L.C. 90,893 191,778 * BTG P.L.C. 1,781,080 16,015,427 Consort Medical P.L.C. 142,611 2,125,074 Dechra Pharmaceuticals P.L.C. 429,068 4,998,068 Genus P.L.C. 281,441 4,812,967 Hikma Pharmaceuticals P.L.C. 713,706 18,728,962 * Optos P.L.C. 109,965 297,627 #* Oxford Biomedica P.L.C. 2,821,652 105,958 * Skyepharma P.L.C. 10,549 43,040 Synergy Health P.L.C. 297,068 6,225,723 UDG Healthcare P.L.C. 973,852 5,904,225 * Vectura Group P.L.C. 1,829,761 4,353,162 * Vernalis P.L.C. 19,974 11,388 ------------ Total Health Care 63,813,399 ------------ Industrials -- (25.2%) Air Partner P.L.C. 39,319 329,586 Alumasc Group P.L.C. (The) 124,366 252,978 Ashtead Group P.L.C. 2,326,314 34,467,088 Avon Rubber P.L.C. 59,735 632,604 Balfour Beatty P.L.C. 3,596,658 17,080,799 BBA Aviation P.L.C. 2,792,163 14,648,757 Berendsen P.L.C. 832,065 14,541,122 Bodycote P.L.C. 1,253,236 15,464,310 Braemar Shipping Services P.L.C. 83,345 735,885 Brammer P.L.C. 409,430 3,237,187 # Camellia P.L.C. 2,481 416,268 Cape P.L.C. 606,299 3,074,299 Carillion P.L.C. 2,233,191 13,969,504 Carr's Milling Industries P.L.C. 35,419 1,107,250
THE UNITED KINGDOM SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ --------- ----------- Industrials -- (Continued) Castings P.L.C. 162,757 $ 1,267,433 Chemring Group P.L.C. 1,217,006 4,606,102 Clarkson P.L.C. 67,965 3,062,532 Cobham P.L.C. 5,618,202 29,309,381 Communisis P.L.C. 1,047,623 1,153,771 # Costain Group P.L.C. 145,311 660,485 DCC P.L.C. 431,941 22,147,399 De La Rue P.L.C. 287,139 3,978,930 Dialight P.L.C. 27,620 446,255 Diploma P.L.C. 574,385 6,410,271 easyJet P.L.C. 316,838 8,766,798 Fenner P.L.C. 944,793 6,610,246 * Firstgroup P.L.C. 5,473,650 11,960,866 Galliford Try P.L.C. 339,416 6,832,230 Go-Ahead Group P.L.C. 211,952 7,068,428 Goodwin P.L.C. 383 26,579 Grafton Group P.L.C. 479,421 4,715,555 Harvey Nash Group P.L.C. 46,693 95,491 Hays P.L.C. 7,041,541 17,964,367 Helphire Group P.L.C. 1,564,658 161,990 Hogg Robinson Group P.L.C. 134,014 167,918 Homeserve P.L.C. 1,341,396 7,652,269 Hyder Consulting P.L.C. 178,009 1,418,594 Interserve P.L.C. 664,484 7,446,955 Keller Group P.L.C. 333,468 5,625,965 Kentz Corp., Ltd. 154,134 1,878,070 Kier Group P.L.C. 208,884 5,871,003 Latchways P.L.C. 36,248 617,586 Lavendon Group P.L.C. 787,112 3,016,254 Management Consulting Group P.L.C. 1,519,596 637,875 Mears Group P.L.C. 476,231 4,036,405 Meggitt P.L.C. 155,329 1,252,901 Melrose Industries P.L.C. 3,712,937 17,930,030 Michael Page International P.L.C. 1,282,180 10,184,147 Mitie Group P.L.C. 1,851,006 9,970,725 Morgan Advanced Materials P.L.C. 1,439,437 8,146,976 Morgan Sindall Group P.L.C. 191,310 2,557,481 National Express Group P.L.C. 2,250,170 10,614,996 Norcros P.L.C. 127,268 45,662 Northgate P.L.C. 752,381 6,586,052 PayPoint P.L.C. 165,538 3,184,396 QinetiQ Group P.L.C. 3,181,899 11,336,241 Regus P.L.C. 3,367,250 11,907,173 * Renold P.L.C. 182,467 159,990 Rentokil Initial P.L.C. 7,336,389 14,782,500 Ricardo P.L.C. 268,884 3,078,817 Robert Walters P.L.C. 387,999 2,094,194 Rotork P.L.C. 339,433 14,886,294 RPS Group P.L.C. 1,266,580 6,334,658 Senior P.L.C. 2,097,931 10,139,192 Serco Group P.L.C. 1,965,238 11,201,290 * Severfield-Rowen P.L.C. 1,275,258 1,318,151
THE UNITED KINGDOM SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ --------- ------------ Industrials -- (Continued) Shanks Group P.L.C. 2,313,344 $ 3,993,609 SIG P.L.C. 3,046,866 9,874,590 Speedy Hire P.L.C. 2,851,875 2,715,391 Spirax-Sarco Engineering P.L.C. 369,703 18,123,272 St Ives P.L.C. 672,895 2,254,540 Stagecoach Group P.L.C. 2,248,039 14,097,073 Sthree P.L.C. 355,059 2,425,633 Stobart Group, Ltd. 339,542 786,232 T Clarke P.L.C. 147,457 202,756 Tarsus Group P.L.C. 208,165 793,993 Tribal Group P.L.C. 156,581 530,580 Trifast P.L.C. 443,600 692,507 UK Mail Group P.L.C. 197,261 1,930,712 Ultra Electronics Holdings P.L.C. 351,758 10,086,417 Vesuvius P.L.C. 1,449,566 10,224,607 # Volex P.L.C. 233,149 407,341 Vp P.L.C. 167,297 1,812,216 * Wincanton P.L.C. 538,066 1,076,771 WS Atkins P.L.C. 523,508 11,354,013 # XP Power, Ltd. 74,294 2,057,429 ------------ Total Industrials 548,723,188 ------------ Information Technology -- (7.7%) Acal P.L.C. 104,729 632,099 Anite P.L.C. 1,253,216 1,741,494 Aveva Group P.L.C. 68,708 2,449,787 Computacenter P.L.C. 422,291 4,648,947 CSR P.L.C. 916,815 8,908,169 Domino Printing Sciences P.L.C. 530,658 6,950,729 E2V Technologies P.L.C. 519,836 1,464,033 Electrocomponents P.L.C. 2,186,053 10,775,955 Fidessa Group P.L.C. 157,497 5,968,387 * Filtronic P.L.C. 4,262 2,821 Halma P.L.C. 1,878,529 17,847,458 #* Imagination Technologies Group P.L.C. 205,118 682,550 * Innovation Group P.L.C. 5,126,744 2,747,732 * Kofax, Ltd. 203,720 1,530,400 Laird P.L.C. 1,362,165 6,401,865 Micro Focus International P.L.C. 705,473 9,251,852 Moneysupermarket.com Group P.L.C. 785,635 2,423,598 NCC Group P.L.C. 276,512 882,443 Oxford Instruments P.L.C. 167,558 3,651,237 Pace P.L.C. 1,487,713 9,167,268 Phoenix IT Group, Ltd. 204,614 381,084 Playtech P.L.C. 488,746 5,516,269 Premier Farnell P.L.C. 1,808,088 6,802,131 PV Crystalox Solar P.L.C. 147,995 54,486 Renishaw P.L.C. 188,423 5,795,232 RM P.L.C. 318,062 744,117 SDL P.L.C. 370,235 1,886,442 Sepura P.L.C. 225,709 506,423 Spectris P.L.C. 601,319 22,625,619
THE UNITED KINGDOM SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ ---------- ------------ Information Technology -- (Continued) Spirent Communications P.L.C. 2,633,737 $ 4,239,832 Telecity Group P.L.C. 656,941 7,967,643 TT electronics P.L.C. 822,074 2,906,667 Vislink P.L.C. 274,226 218,246 * Wolfson Microelectronics P.L.C. 504,759 2,004,058 Xaar P.L.C. 275,443 3,669,448 Xchanging P.L.C. 1,315,024 3,537,186 ------------ Total Information Technology 166,983,707 ------------ Materials -- (7.5%) African Barrick Gold P.L.C. 504,945 2,118,256 Alent P.L.C. 1,359,075 7,312,798 AZ Electronic Materials SA 897,834 6,111,566 British Polythene Industries P.L.C. 137,680 1,467,462 Carclo P.L.C. 200,519 609,610 * Centamin P.L.C. 5,044,171 5,512,838 Croda International P.L.C. 442,133 19,256,876 DS Smith P.L.C. 4,875,734 25,983,032 Elementis P.L.C. 2,403,235 11,281,730 Essentra P.L.C. 951,657 12,908,306 * Evraz P.L.C. 276,673 451,249 Ferrexpo P.L.C. 955,423 2,356,621 * Gem Diamonds, Ltd. 494,440 1,387,255 Hill & Smith Holdings P.L.C. 429,023 4,052,472 # Hochschild Mining P.L.C. 657,160 1,834,102 * International Ferro Metals, Ltd. 447,220 70,550 #* Kazakhmys P.L.C. 370,981 1,494,855 #* Lonmin P.L.C. 2,202,370 10,566,439 Low & Bonar P.L.C. 1,099,209 1,544,012 Marshalls P.L.C. 860,843 2,577,176 Mondi P.L.C. 446,421 7,421,260 * New World Resources P.L.C. Class A 10,343 6,760 * Petra Diamonds, Ltd. 1,201,269 3,313,749 # Petropavlovsk P.L.C. 842,130 969,253 RPC Group P.L.C. 769,308 7,796,737 Synthomer P.L.C. 1,200,019 5,349,189 # Vedanta Resources P.L.C. 480,809 7,699,302 Victrex P.L.C. 380,162 11,969,479 Zotefoams P.L.C. 96,852 465,680 ------------ Total Materials 163,888,614 ------------ Telecommunication Services -- (2.6%) Cable & Wireless Communications P.L.C. 10,300,226 9,198,339 * Colt Group SA 1,437,706 3,181,687 Inmarsat P.L.C. 2,296,017 28,251,173 Kcom Group P.L.C. 3,032,026 4,823,294 TalkTalk Telecom Group P.L.C. 2,542,439 12,321,371 ------------ Total Telecommunication Services 57,775,864 ------------ Utilities -- (2.5%) Dee Valley Group P.L.C. 12,109 326,128
THE UNITED KINGDOM SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ ---------- -------------- Utilities -- (Continued) Drax Group P.L.C. 2,103,725 $ 23,549,099 Pennon Group P.L.C. 2,007,940 25,704,962 Telecom Plus P.L.C. 215,589 5,643,892 -------------- Total Utilities 55,224,081 -------------- TOTAL COMMON STOCKS 2,139,453,819 -------------- PREFERRED STOCKS -- (0.0%) * McBride P.L.C. 14,543,755 24,556 -------------- SHARES/ FACE AMOUNT (000) VALUE+ ---------- -------------- SECURITIES LENDING COLLATERAL -- (1.8%) (S)@ DFA Short Term Investment Fund 3,383,365 39,145,532 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $1,426,290,113) $2,178,623,907 ==============
THE UNITED KINGDOM SMALL COMPANY SERIES CONTINUED Summary of the Series' investments as of April 30, 2014, 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 -- $ 555,563,419 -- $ 555,563,419 Consumer Staples -- 88,503,098 -- 88,503,098 Energy $1,369,297 124,354,156 -- 125,723,453 Financials -- 313,254,996 -- 313,254,996 Health Care -- 63,813,399 -- 63,813,399 Industrials 141,153 548,582,035 -- 548,723,188 Information Technology -- 166,983,707 -- 166,983,707 Materials -- 163,888,614 -- 163,888,614 Telecommunication Services -- 57,775,864 -- 57,775,864 Utilities -- 55,224,081 -- 55,224,081 Preferred Stocks -- 24,556 -- 24,556 Securities Lending Collateral -- 39,145,532 -- 39,145,532 ---------- -------------- -- -------------- TOTAL $1,510,450 $2,177,113,457 -- $2,178,623,907 ========== ============== == ==============
THE CONTINENTAL SMALL COMPANY SERIES SCHEDULE OF INVESTMENTS APRIL 30, 2014 (UNAUDITED)
SHARES VALUE++ ------- ----------- COMMON STOCKS -- (83.4%) AUSTRIA -- (2.1%) * A-TEC Industries AG 21,828 $ -- Agrana Beteiligungs AG 17,354 2,008,716 AMAG Austria Metall AG 2,133 73,393 Atrium European Real Estate, Ltd. 614,001 3,536,507 Austria Technologie & Systemtechnik AG 91,279 1,065,790 BKS Bank AG 3,120 75,755 * BUWOG AG 768 14,102 CA Immobilien Anlagen AG 163,483 3,116,354 Conwert Immobilien Invest SE 96,813 1,394,869 DO & CO AG 18,695 1,092,874 EVN AG 164,083 2,286,649 # Flughafen Wien AG 48,018 4,714,303 Frauenthal Holding AG 4,212 53,374 IMMOFINANZ AG 15,360 57,041 Josef Manner & Co. AG 870 64,827 # Kapsch TrafficCom AG 26,900 1,493,074 # Lenzing AG 51,434 3,283,380 # Mayr Melnhof Karton AG 45,831 5,835,317 Oberbank AG 37,973 2,631,512 # Oesterreichische Post AG 159,507 8,151,995 # Palfinger AG 58,212 2,154,168 POLYTEC Holding AG 83,703 841,282 # RHI AG 113,647 3,978,082 Rosenbauer International AG 17,256 1,627,725 S IMMO AG 276,239 2,183,395 # Schoeller-Bleckmann Oilfield Equipment AG 53,715 6,828,189 Semperit AG Holding 50,274 2,806,807 Strabag SE 102,680 2,870,294 Telekom Austria AG 817,041 8,108,380 UBM Realitaetenentwicklung AG 2,880 69,841 UNIQA Insurance Group AG 361,548 4,618,397 # Wienerberger AG 565,653 10,499,315 * Wolford AG 11,252 296,926 Zumtobel AG 161,140 3,350,515 ----------- TOTAL AUSTRIA 91,183,148 ----------- BELGIUM -- (2.7%) #* Ablynx NV 227,939 2,721,461 Ackermans & van Haaren NV 118,073 15,268,356 * AGFA-Gevaert NV 898,617 3,442,875 Arseus NV 103,764 5,877,628 Atenor Group 6,182 342,354 Banque Nationale de Belgique 970 4,682,383 # Barco NV 60,150 4,482,757 Cie d'Entreprises CFE 41,428 4,564,897 Cie Immobiliere de Belgique SA 12,863 735,503 Cie Maritime Belge SA 66,098 1,964,170 Co.Br.Ha Societe Commerciale de Brasserie SA 115 292,795 D'ieteren SA 129,060 5,970,722 * Deceuninck NV 364,236 1,251,151
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ ------- ------------ BELGIUM -- (Continued) # Econocom Group 304,215 $ 3,262,517 Elia System Operator SA 135,158 7,168,920 #* Euronav NV 113,879 1,378,051 EVS Broadcast Equipment SA 60,843 3,852,791 Exmar NV 132,340 2,208,836 * Floridienne SA 868 84,551 Gimv NV 13,949 723,159 * Hamon & CIE SA 4,508 99,362 * Ion Beam Applications 89,791 1,241,961 Jensen-Group NV 13,482 261,740 Kinepolis Group NV 19,582 3,833,629 Lotus Bakeries 1,361 1,511,785 #* MDxHealth 108,339 659,652 Melexis NV 98,065 3,943,382 Mobistar SA 103,511 2,020,003 # NV Bekaert SA 190,167 7,739,416 # Nyrstar NV 742,718 2,957,220 * Picanol 29,777 1,183,033 * RealDolmen NV 120 18 #* RealDolmen NV/SA 8,137 230,639 Recticel SA 101,580 914,734 * Rentabiliweb Group 16,953 253,558 Resilux 4,724 700,329 * RHJ International 54,210 265,302 * Roularta Media Group NV 10,263 183,053 * Sapec 2,832 179,829 Sioen Industries NV 52,140 640,031 Sipef SA 30,617 2,674,370 TER Beke SA 2,260 184,014 Tessenderlo Chemie NV 132,614 4,061,206 #* ThromboGenics NV 155,245 4,946,168 Van de Velde NV 36,644 1,950,448 * Viohalco SA 603,593 3,781,798 ------------ TOTAL BELGIUM 116,692,557 ------------ DENMARK -- (4.1%) # ALK-Abello A.S. 29,336 4,070,468 * Alm Brand A.S. 484,611 2,353,824 # Ambu A.S. Class B 29,756 1,989,680 Arkil Holding A.S. Class B 504 76,081 * Atlantic Petroleum P/F 4,328 77,171 * Auriga Industries A.S. Class B 96,829 3,586,095 #* Bang & Olufsen A.S. 173,002 1,786,883 BankNordik P/F 1,753 38,227 #* Bavarian Nordic A.S. 115,443 2,450,613 * BoConcept Holding A.S. Class B 5,365 96,772 Brodrene Hartmann A.S. 13,977 496,088 D/S Norden A.S. 110,869 4,434,466 Dfds A.S. 19,411 1,534,901 Djurslands Bank A.S. 8,970 332,692 East Asiatic Co., Ltd. A.S. 55,571 738,781 FE Bording A.S. 426 64,609
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ ------- ------------ DENMARK -- (Continued) # FLSmidth & Co. A.S. 201,458 $ 10,785,573 Fluegger A.S. Class B 4,198 265,368 * Genmab A.S. 186,552 6,949,726 GN Store Nord A.S. 772,340 18,658,711 * GPV Industri A.S. Series B 2,200 -- * Greentech Energy Systems A.S. 12,775 28,982 # Gronlandsbanken AB 1,125 131,610 * H+H International A.S. Class B 31,426 272,800 Harboes Bryggeri A.S. Class B 13,115 228,028 IC Companys A.S. 35,278 1,053,284 # Jeudan A.S. 4,800 541,134 * Jyske Bank A.S. 301,282 16,564,443 Lan & Spar Bank 5,150 353,164 NKT Holding A.S. 110,421 6,966,577 Nordjyske Bank A.S. 17,600 380,342 Norresundby Bank A.S. 7,350 362,655 Pandora A.S. 726 48,940 * Parken Sport & Entertainment A.S. 33,556 445,971 PER Aarsleff A.S. Class B 8,407 1,524,197 # Ringkjoebing Landbobank A.S. 19,475 4,456,056 Roblon A.S. Class B 2,700 137,999 Rockwool International A.S. Class B 30,614 5,905,238 * Royal UNIBREW 45,850 7,137,085 Schouw & Co. 74,017 4,131,630 SimCorp A.S. 194,860 7,481,402 Solar A.S. Class B 26,420 1,827,362 Spar Nord Bank A.S. 347,740 3,914,882 * Sydbank A.S. 317,330 8,463,792 Tivoli A.S. 969 547,447 #* TK Development A.S. 374,839 645,540 * Topdanmark A.S. 507,925 14,861,733 #* TopoTarget A.S. 546,711 365,642 * Topsil Semiconductor Matls 886,257 118,634 #* Torm A.S. 694,424 175,934 # United International Enterprises 9,266 1,852,457 * Vestas Wind Systems A.S. 533,999 23,715,469 * Vestjysk Bank A.S. 35,584 59,556 #* Zealand Pharma A.S. 39,325 486,163 ------------ TOTAL DENMARK 175,972,877 ------------ FINLAND -- (5.7%) Afarak Group Oyj 604,909 318,054 Ahlstrom Oyj 48,381 515,564 Aktia Bank Oyj 43,055 539,196 # Alma Media Oyj 277,852 1,018,277 Amer Sports Oyj 566,687 11,716,635 Apetit Oyj 19,402 519,713 Aspo Oyj 83,365 691,089 Atria P.L.C. 37,273 368,018 Bank of Aland P.L.C. Class B 22,078 269,981 # BasWare Oyj 39,987 1,894,742 * Biotie Therapies Oyj 955,389 306,382
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ ---------- ----------- FINLAND -- (Continued) # Cargotec Oyj 167,673 $ 7,495,426 Caverion Corp. 484,202 5,379,426 Citycon Oyj 1,345,638 5,049,077 Comptel Oyj 337,600 271,491 Cramo Oyj 148,755 3,323,775 Digia P.L.C. 48,912 275,447 * Efore Oyj 49,703 48,989 # Elektrobit Oyj 265,750 971,165 # Elisa Oyj 702,558 20,996,081 F-Secure Oyj 471,472 1,591,296 * Finnair Oyj 427,233 1,782,619 * Finnlines Oyj 124,906 1,354,338 Fiskars Oyj Abp 196,766 5,338,899 * GeoSentric Oyj 244,900 -- HKScan Oyj Class A 120,587 639,773 Huhtamaki Oyj 452,365 11,894,561 Ilkka-Yhtyma Oyj 61,503 213,385 Kemira Oyj 472,368 7,220,542 Kesko Oyj Class B 315,046 12,895,665 Konecranes Oyj 245,559 7,925,737 Lassila & Tikanoja Oyj 152,571 2,970,872 * Lemminkainen Oyj 26,333 510,209 Metsa Board Oyj 1,549,706 7,254,333 # Metso Oyj 499,824 20,117,792 Munksjo Oyj 24,345 196,914 # Neste Oil Oyj 609,759 12,540,136 Okmetic Oyj 61,386 392,929 Olvi Oyj Class A 70,665 2,382,934 * Oriola-KD Oyj Class A 5,045 16,862 * Oriola-KD Oyj Class B 507,715 1,683,224 Orion Oyj Class A 130,940 4,015,514 Orion Oyj Class B 388,956 11,871,978 #* Outokumpu Oyj 21,047,785 6,439,907 # Outotec Oyj 697,608 7,818,384 PKC Group Oyj 109,715 3,639,460 Ponsse Oy 31,710 485,705 #* Poyry Oyj 194,637 1,076,503 Raisio P.L.C. Class V 541,284 3,540,391 Ramirent Oyj 324,161 3,633,537 Rapala VMC Oyj 113,258 809,285 * Rautaruukki Oyj 439,221 5,471,879 Revenio Group Oyj 7,363 163,941 Saga Furs Oyj 11,324 446,843 # Sanoma Oyj 355,701 2,395,166 Sievi Capital P.L.C. 123,479 246,448 SRV Group P.L.C. 9,181 48,577 Stockmann Oyj Abp(5462371) 43,914 628,098 # Stockmann Oyj Abp(5462393) 139,051 1,974,799 Technopolis Oyj 384,441 2,340,260 Teleste Oyj 53,559 328,125 Tieto Oyj 305,721 8,366,134 Tikkurila Oyj 175,018 4,343,629
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ --------- ------------ FINLAND -- (Continued) Uponor Oyj 247,346 $ 4,899,710 Vacon P.L.C. 94,088 3,903,755 Vaisala Oyj Class A 42,946 1,397,621 Viking Line Abp 10,366 240,093 # YIT Oyj 500,865 5,151,899 ------------ TOTAL FINLAND 246,569,189 ------------ FRANCE -- (10.8%) ABC Arbitrage 22,399 159,446 Actia Group 3,198 24,382 #* Air France-KLM 722,730 10,397,215 Akka Technologies SA 21,419 776,083 Albioma 96,570 2,696,570 * Alcatel-Lucent 4,446,911 17,635,210 Altamir 81,618 1,236,669 Alten SA 95,360 4,872,106 Altran Technologies SA 676,432 7,374,660 April 76,998 1,840,531 Assystem 65,144 2,099,849 Aubay 10,285 166,909 * Audika Groupe 22,298 409,027 Aurea SA 2,794 20,306 Axway Software SA 29,721 1,024,790 Bastide le Confort Medical 1,571 33,025 #* Beneteau SA 184,191 3,190,814 #* Bigben Interactive 31,445 326,341 BioMerieux 35,921 3,923,833 Boiron SA 29,832 2,516,442 Bonduelle SCA 77,754 2,255,088 # Bongrain SA 34,266 2,996,119 # Bourbon SA 216,060 7,129,694 * Boursorama 92,227 1,544,916 * Bull 402,126 2,134,139 Burelle SA 3,866 4,162,064 # Catering International Services 1,996 56,690 * Cegedim SA 20,258 743,395 Cegid Group 22,946 961,302 #* CGG SA 455,425 7,879,668 #* Chargeurs SA 67,945 531,382 * Cie des Alpes 22,452 504,082 Cie Industrielle et Financiere D'Entreprises 1,200 109,824 Ciments Francais SA 47,966 5,158,284 #* Club Mediterranee SA 107,104 2,792,443 Derichebourg SA 548,515 2,138,409 # Devoteam SA 27,431 699,334 Eiffage SA 155,651 11,765,972 # Electricite de Strasbourg 21,886 3,450,315 # Eramet 8,545 1,114,601 Esso SA Francaise 11,770 644,968 Etablissements Maurel et Prom 419,398 7,483,020 Euler Hermes SA 49,555 5,979,004 * Euro Disney SCA 61,062 355,341
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ --------- ----------- FRANCE -- (Continued) Eurofins Scientific SE 29,921 $ 8,308,959 Exel Industries Class A 10,680 938,409 Faiveley Transport SA 35,342 2,911,222 * Faurecia 229,733 10,340,884 Fimalac 31,490 2,682,686 # Fleury Michon SA 4,694 403,870 * GameLoft SE 315,552 3,135,555 Gaumont SA 13,980 771,099 GEA 2,433 302,127 #* GECI International 59,392 -- Gevelot SA 3,584 516,619 GL Events 48,302 1,216,631 # Groupe Crit 24,255 1,617,917 Groupe Eurotunnel SA 716,654 9,620,944 # Groupe Flo 35,997 163,021 * Groupe Fnac 12,200 583,492 # Groupe Gorge 12,177 369,519 Groupe Open 27,590 398,077 Groupe Steria SCA 135,577 3,818,694 Guerbet 27,183 1,290,071 * Haulotte Group SA 65,672 1,254,323 Havas SA 1,237,953 9,853,127 #* Hi-Media SA 173,905 504,636 # Ingenico 157,666 13,758,146 Interparfums SA 32,245 1,474,302 Ipsen SA 147,762 6,560,639 IPSOS 159,746 6,204,625 Jacquet Metal Service 55,520 1,190,248 Korian-Medica 180,295 6,767,557 L.D.C. SA 19 3,506 Lagardere SCA 498,840 20,906,648 Lanson-BCC 8,266 484,919 Laurent-Perrier 12,792 1,280,303 * Le Noble Age 1,857 43,853 Lectra 94,714 998,082 LISI 17,353 2,814,514 Maisons France Confort 15,380 751,289 Manitou BF SA 48,911 925,327 Manutan International 14,553 1,108,273 Mersen 72,883 2,333,742 Metropole Television SA 236,930 5,077,819 MGI Coutier 3,915 757,720 Montupet 30,887 2,556,602 Mr Bricolage 30,731 613,221 # Naturex 25,746 2,259,792 # Neopost SA 167,752 13,774,636 Nexans SA 131,823 7,421,853 Nexity SA 111,222 4,989,145 NextRadioTV 12,421 415,188 Norbert Dentressangle SA 20,989 3,598,272 * NRJ Group 72,524 896,298 #* Orco Property Group 167,788 144,813
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ --------- ----------- FRANCE -- (Continued) Orpea 129,821 $ 9,443,820 # Paris Orleans SA 3,127 77,752 * Parrot SA 38,572 1,179,726 #* Peugeot SA 1,076,690 19,049,823 * Pierre & Vacances SA 24,300 1,024,552 Plastic Omnium SA 324,906 11,055,037 PSB Industries SA 8,438 497,567 Rallye SA 106,948 5,439,720 #* Recylex SA 83,164 312,812 Remy Cointreau SA 4,223 371,204 Robertet SA 3,167 729,679 # Rubis SCA 157,540 11,217,427 Saft Groupe SA 126,335 4,492,922 Samse SA 8,342 1,072,720 Sartorius Stedim Biotech 8,849 1,682,026 SEB SA 61,473 5,670,336 Seche Environnement SA 9,167 404,221 Securidev SA 2,500 145,371 #* Sequana SA 44,019 324,825 Societe d'Edition de Canal + 272,836 2,400,941 Societe des Bains de Mer et du Cercle des Etrangers a Monaco 46,150 2,587,103 Societe Internationale de Plantations d'Heveas SA 7,778 502,254 # Societe Marseillaise du Tunnel Prado-Carenage SA 3,148 128,360 Societe pour l'Informatique Industrielle 40,908 435,027 # Societe Television Francaise 1 567,362 9,661,040 #* SOITEC 826,614 2,497,068 #* Solocal Group 630,719 1,440,021 # Somfy SA 21,738 7,550,190 # Sopra Group SA 23,140 2,663,857 #* Spir Communication SA 4,687 92,074 Stallergenes SA 478 37,825 #* Ste Industrielle d'Aviation Latecoere SA 34,502 637,480 Stef SA 29,121 2,303,050 #* Store Electronic 11,723 260,378 Sword Group 30,562 802,538 Synergie SA 71,102 2,058,006 * Technicolor SA 706,408 5,281,578 Teleperformance 275,593 15,805,902 Tessi SA 7,038 881,262 TFF Group 5,013 403,297 #* Theolia SA 281,335 475,763 Thermador Groupe 10,537 1,163,311 Total Gabon 1,324 806,690 Touax SA 4,773 131,767 * Trigano SA 42,749 1,184,383 * UBISOFT Entertainment 459,542 8,575,838 Union Financiere de France BQE SA 16,679 480,710 * Valneva SE(B9B2YX8) 114,605 969,499 #* Valneva SE(B03KGM0) 16,357 136,814 # Vetoquinol SA 10,360 565,209 Vicat 59,033 5,123,114 VIEL & Cie SA 158,130 521,410
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ ------- ------------ FRANCE -- (Continued) # Vilmorin & Cie SA 22,432 $ 2,961,082 Virbac SA 17,539 4,204,915 * VM Materiaux SA 6,914 343,932 Vranken-Pommery Monopole SA 18,881 666,276 ------------ TOTAL FRANCE 465,358,980 ------------ GERMANY -- (12.0%) #* AAP Implantate AG 1,361 5,816 * Aareal Bank AG 423,110 19,232,324 Adler Modemaerkte AG 37,209 607,546 * ADVA Optical Networking SE 189,709 851,106 #* Air Berlin P.L.C. 167,708 403,899 * Aixtron SE 409,853 6,525,557 * Aligna AG 318,087 -- Allgeier SE 26,582 636,565 Amadeus Fire AG 23,218 2,019,736 Analytik Jena AG 5,992 118,752 * AS Creation Tapeten 7,109 322,951 Aurubis AG 153,470 8,199,050 # Balda AG 127,634 594,621 Basler AG 1,420 69,927 Bauer AG 45,945 1,193,623 BayWa AG(5838068) 124 7,032 BayWa AG(5838057) 59,344 3,366,352 Bechtle AG 73,789 6,566,281 Bertrandt AG 24,117 3,653,360 Bijou Brigitte AG 19,079 1,857,460 Bilfinger SE 290 34,575 # Biotest AG 20,784 2,564,295 * BKN International AG 33,408 -- Borussia Dortmund GmbH & Co. KGaA 274,295 1,430,481 # CANCOM SE 63,917 2,818,357 Carl Zeiss Meditec AG 102,720 3,127,461 CAT Oil AG 83,051 1,742,474 Celesio AG 212,397 7,381,720 CENIT AG 37,037 611,384 CENTROTEC Sustainable AG 43,285 1,107,933 Cewe Stiftung & Co. KGAA 22,058 1,737,966 * Colonia Real Estate AG 16,334 100,843 Comdirect Bank AG 179,407 2,068,167 # CompuGroup Medical AG 62,401 1,664,415 * Constantin Medien AG 351,622 726,461 CropEnergies AG 111,540 731,678 # CTS Eventim AG 106,100 6,758,364 DAB Bank AG 130,043 704,113 Data Modul AG 11,455 312,279 DEAG Deutsche Entertainment AG 2,648 20,891 # Delticom AG 25,992 1,237,670 * Deufol SE 76,487 96,036 Deutsche Beteiligungs AG 29,148 785,316 # Deutsche Wohnen AG(B0YZ0Z5) 837,032 17,968,901 * Deutsche Wohnen AG(BFLR888) 436,450 9,143,172
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ --------- ----------- GERMANY -- (Continued) * Deutz AG 440,031 $ 3,679,534 * Dialog Semiconductor P.L.C. 310,004 7,853,131 DIC Asset AG 13,115 129,267 DMG MORI SEIKI AG 308,295 9,714,819 Dr Hoenle AG 21,610 421,843 Draegerwerk AG & Co. KGaA 6,249 641,749 Drillisch AG 228,312 8,524,764 # Duerr AG 116,560 9,222,898 Eckert & Ziegler AG 17,884 621,466 Elmos Semiconductor AG 49,157 990,280 ElringKlinger AG 151,212 6,104,896 Erlus AG 2,970 210,217 # Euromicron AG 33,718 618,109 #* Evotec AG 1,165,338 5,827,558 Fielmann AG 36,883 4,989,754 * First Sensor AG 19,888 297,020 #* Francotyp-Postalia Holding AG Class A 53,729 357,738 Freenet AG 498,012 17,247,703 # Fuchs Petrolub SE 89,610 8,261,563 * GAGFAH SA 281,532 4,452,749 # Gerresheimer AG 151,437 10,280,571 # Gerry Weber International AG 95,222 5,029,201 Gesco AG 14,980 1,559,064 GFK SE 72,504 3,742,179 GFT Technologies AG 79,714 951,999 Grammer AG 59,024 3,261,928 # Grenkeleasing AG 32,703 3,426,391 * H&R AG 50,783 503,974 # Hamburger Hafen und Logistik AG 84,770 2,055,805 #* Hansa Group AG 146,815 271,069 # Hawesko Holding AG 19,711 1,094,494 #* Heidelberger Druckmaschinen AG 1,168,180 3,705,141 # Highlight Communications AG 98,062 510,465 Homag Group AG 25,971 758,833 Hornbach Baumarkt AG 739 30,928 Indus Holding AG 109,925 5,159,009 # Init Innovation In Traffic Systems AG 12,130 370,783 #* Intershop Communications AG 62,598 150,483 Isra Vision AG 15,060 1,118,196 Jenoptik AG 223,167 3,725,138 #* Joyou AG 18,024 310,740 # K+S AG 46,883 1,642,785 * Kampa AG 7,101 217 * Kloeckner & Co. SE 520,355 7,886,561 Koenig & Bauer AG 25,243 420,994 Kontron AG 247,150 1,725,484 # Krones AG 72,618 6,952,162 KSB AG 3,584 2,399,546 # KUKA AG 130,343 6,682,510 # KWS Saat AG 16,490 5,893,746 Leifheit AG 12,500 673,204 # Leoni AG 160,146 11,937,205
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ ------- ----------- GERMANY -- (Continued) LPKF Laser & Electronics AG 108,387 $ 2,437,772 #* Manz AG 11,146 1,001,200 #* MasterFlex SE 19,347 177,876 * Mediclin AG 119,554 712,448 * Medigene AG 23,760 158,787 MLP AG 216,957 1,475,708 # Mobotix AG 13,963 275,147 * Morphosys AG 30,968 2,656,251 # MTU Aero Engines AG 153,372 14,460,904 # Muehlbauer Holding AG & Co. KGaA 14,905 391,784 # MVV Energie AG 114,055 3,643,390 Nemetschek AG 24,668 2,147,555 Nexus AG 42,453 660,091 * Nordex SE 279,193 4,470,075 Norma Group SE 152,537 8,005,185 OHB AG 35,659 1,006,451 * Osram Licht AG 2,228 116,969 P&I Personal & Informatik AG 17,863 1,620,393 #* Paion AG 27,833 124,163 * Patrizia Immobilien AG 160,052 1,892,599 Pfeiffer Vacuum Technology AG 43,249 5,144,478 # PNE Wind AG 276,366 1,063,626 Progress-Werk Oberkirch AG 7,828 620,217 # PSI AG Gesellschaft Fuer Produkte und Systeme der Informationstechnologie 28,155 510,413 # Puma SE 7,647 2,259,098 PVA TePla AG 46,019 200,163 * QIAGEN NV 209,665 4,602,918 QSC AG 484,191 2,491,622 # R Stahl AG 15,459 917,776 # Rational AG 9,600 3,066,181 # Rheinmetall AG 195,657 13,034,596 Rhoen Klinikum AG 500,406 16,157,728 RIB Software AG 85,906 1,341,301 SAF-Holland SA 223,137 3,338,628 # Salzgitter AG 192,504 8,176,765 Schaltbau Holding AG 21,609 1,536,099 # Sektkellerei Schloss Wachenheim AG 7,479 135,545 * SER Systems AG 9,400 -- # SGL Carbon SE 229,387 7,638,911 SHW AG 12,018 721,262 #* Singulus Technologies AG 236,814 774,000 Sinner AG 1,089 20,426 Sixt SE 81,198 3,283,247 # SKW Stahl-Metallurgie Holding AG 28,224 423,277 # SMA Solar Technology AG 51,689 2,164,393 # SMT Scharf AG 18,717 461,446 Softing AG 12,107 243,836 # Software AG 315,948 11,900,513 * Solarworld AG 1,334 59,058 Stada Arzneimittel AG 298,237 13,004,803 # STRATEC Biomedical AG 2,388 109,373 * Stroeer Media AG 114,489 1,972,673
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ --------- ------------ GERMANY -- (Continued) Surteco SE 2,018 $ 79,495 #* Suss Microtec AG 92,598 899,844 Symrise AG 155,836 7,872,306 # Syzygy AG 30,656 252,047 # TAG Immobilien AG 455,809 5,795,139 # Takkt AG 126,507 2,566,114 Technotrans AG 29,535 332,429 # Telegate AG 23,076 179,652 # Tipp24 SE 30,567 2,205,433 #* Tom Tailor Holding AG 93,383 1,816,423 # Tomorrow Focus AG 118,269 682,114 # TUI AG 682,562 11,365,456 UMS United Medical Systems International AG 3,304 53,876 # USU Software AG 3,377 55,504 * VBH Holding AG 9,415 36,616 * Vereinigte BioEnergie AG 796 2,171 Vossloh AG 37,975 3,753,404 VTG AG 49,169 1,086,936 Wacker Chemie AG 12,207 1,434,939 Wacker Neuson SE 85,451 1,624,440 Washtec AG 5,625 96,491 Wincor Nixdorf AG 143,454 9,397,419 Wirecard AG 112,653 4,745,724 XING AG 11,101 1,422,299 ------------ TOTAL GERMANY 518,070,164 ------------ GREECE -- (0.0%) * Alfa Alfa Energy SA 3,810 -- * Alysida SA 2,376 -- * Atlantic Supermarkets SA 34,730 -- Autohellas SA 2,456 34,755 * Babis Vovos International Construction SA 21,073 -- * Balafas SA 15,200 -- * Bank of Cyprus PCL 4,342,301 -- * Elektroniki Athinon SA 7,497 936 * Etma Rayon SA 11,242 -- * Euromedica SA 13,696 6,298 * Informatics SA 3,778 -- * Ipirotiki Software & Publications SA 22,110 -- * Lan-Net SA 12,688 -- * Neorion Holdings SA 14,991 487 * Promota Hellas SA 8,860 -- * T Bank SA 228,007 -- * Themeliodomi SA 37,422 -- Thessaloniki Port Authority SA 2,794 97,970 ------------ TOTAL GREECE 140,446 ------------ IRELAND -- (1.7%) Aer Lingus Group P.L.C. 752,359 1,585,773 C&C Group P.L.C.(B010DT8) 399,607 2,377,218 C&C Group P.L.C.(B011Y09) 1,058,477 6,297,644 Dragon Oil P.L.C. 953,523 10,145,138
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ --------- ----------- IRELAND -- (Continued) FBD Holdings P.L.C. 125,728 $ 3,031,374 Glanbia P.L.C.(0066950) 700,613 10,453,402 Glanbia P.L.C.(4058629) 56,545 844,475 IFG Group P.L.C. 271,865 645,901 * Independent News & Media P.L.C. 456,770 93,788 Irish Continental Group P.L.C.(3333651) 23,420 943,581 Irish Continental Group P.L.C.(3339455) 28,433 1,140,709 * Kenmare Resources P.L.C. 4,546,361 935,241 Kingspan Group P.L.C. 564,338 10,635,091 Paddy Power P.L.C.(4828974) 6,799 524,589 Paddy Power P.L.C.(0258810) 175,221 13,563,627 Smurfit Kappa Group P.L.C. 511,812 11,401,989 ----------- TOTAL IRELAND 74,619,540 ----------- ISRAEL -- (2.1%) * Africa Israel Investments, Ltd. 455,369 1,000,072 * Africa Israel Properties, Ltd. 62,136 1,106,903 Africa Israel Residences, Ltd. 594 8,963 * Airport City, Ltd. 160,481 1,640,236 * AL-ROV Israel, Ltd. 17,858 754,991 Albaad Massuot Yitzhak, Ltd. 370 6,766 * Allot Communications, Ltd. 63,514 822,879 * Alon Blue Square Israel, Ltd. 76,012 285,107 * Alrov Properties and Lodgings, Ltd. 12,098 363,679 Amot Investments, Ltd. 251,786 825,222 #* AudioCodes, Ltd. 169,225 925,278 Avgol Industries 1953, Ltd. 420,938 459,560 #* Azorim-Investment Development & Construction Co., Ltd. 380,820 375,196 # Babylon, Ltd. 134,822 191,211 Bayside Land Corp. 2,734 731,362 # Big Shopping Centers 2004, Ltd. 8,062 342,534 * Bio-cell, Ltd. 15,003 106,858 #* BioLine RX, Ltd. 596,298 121,380 Blue Square Real Estate, Ltd. 5,096 204,957 * Brainsway, Ltd. 18,441 303,956 # Cellcom Israel, Ltd. 246,360 3,123,387 * Ceragon Networks, Ltd. 77,319 205,517 #* Clal Biotechnology Industries, Ltd. 174,162 512,054 Clal Insurance Enterprises Holdings, Ltd. 88,615 1,732,012 * Cohen Development & Industrial Buildings, Ltd. 1,348 46,742 * Compugen, Ltd. 137,385 1,264,038 Delek Automotive Systems, Ltd. 145,079 1,468,044 # Delta-Galil Industries, Ltd. 47,407 1,452,996 Direct Insurance Financial Investments, Ltd. 43,295 264,125 * El Al Israel Airlines 77,144 16,408 Elbit Systems, Ltd. 75,813 4,475,272 * Electra Real Estate, Ltd. 6,881 21,234 Electra, Ltd. 7,447 1,077,501 * Elron Electronic Industries, Ltd. 62,094 610,489 * Equital, Ltd. 3,197 53,475 * Evogene, Ltd. 61,494 1,081,499 #* EZchip Semiconductor, Ltd. 115,238 2,762,173
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ --------- ----------- ISRAEL -- (Continued) First International Bank Of Israel, Ltd. 98,118 $ 1,582,500 FMS Enterprises Migun, Ltd. 10,227 123,843 # Formula Systems 1985, Ltd. 36,549 1,107,075 # Fox Wizel, Ltd. 14,609 402,043 Frutarom Industries, Ltd. 174,875 4,199,376 #* Gilat Satellite Networks, Ltd. 101,405 486,333 Golf & Co., Ltd. 74,605 270,748 * Hadera Paper, Ltd. 10,176 508,138 Harel Insurance Investments & Financial Services, Ltd. 474,019 2,705,819 # Industrial Buildings Corp. 347,656 728,403 * Israel Discount Bank, Ltd. Class A 2,805,708 5,016,459 Israel Land Development Co., Ltd. (The) 22,310 104,536 Ituran Location and Control, Ltd. 87,477 2,110,336 * Jerusalem Oil Exploration 39,888 1,718,209 #* Kamada, Ltd. 123,192 1,789,385 Kerur Holdings, Ltd. 2,133 43,482 Maabarot Products, Ltd. 21,999 281,601 Magic Software Enterprises, Ltd. 78,574 632,942 Matrix IT, Ltd. 182,457 1,124,203 Maytronics, Ltd. 6,672 14,591 #* Mazor Robotics, Ltd. 148,198 1,345,686 Meitav DS Investments, Ltd. 38,130 136,785 Melisron, Ltd. 52,829 1,408,221 Menorah Mivtachim Holdings, Ltd. 120,564 1,448,242 Migdal Insurance & Financial Holding, Ltd. 1,213,664 1,988,012 Mivtach Shamir Holdings, Ltd. 22,367 737,834 * Naphtha Israel Petroleum Corp., Ltd. 162,058 1,214,370 Neto ME Holdings, Ltd. 5,411 302,186 * Nitsba Holdings 1995, Ltd. 129,055 1,979,940 * Nova Measuring Instruments, Ltd. 90,704 935,182 * Oil Refineries, Ltd. 4,941,609 1,377,294 Ormat Industries 293,852 2,190,293 Osem Investments, Ltd. 66,533 1,580,045 #* Partner Communications Co., Ltd. 392,298 3,512,791 Paz Oil Co., Ltd. 20,326 3,175,907 * Perion Network, Ltd. 16,455 174,282 Phoenix Holdings, Ltd. (The) 245,951 913,898 Plasson Industries, Ltd. 13,073 553,993 # Rami Levi Chain Stores Hashikma Marketing 2006, Ltd. 33,735 1,747,188 * Sapiens International Corp. NV 25,045 194,543 Shikun & Binui, Ltd. 929,458 2,421,035 Shufersal, Ltd. 381,641 1,426,208 * Space Communication, Ltd. 17,611 329,038 Strauss Group, Ltd. 128,977 2,334,344 * Summit Real Estate Holdings, Ltd. 6,712 25,679 #* Tower Semiconductor, Ltd. 126,903 987,569 * Union Bank of Israel 130,630 612,165 ----------- TOTAL ISRAEL 90,746,828 ----------- ITALY -- (8.5%) # A2A SpA 4,407,721 5,393,736 ACEA SpA 280,731 4,028,610
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ ---------- ----------- ITALY -- (Continued) #* Acotel Group SpA 3,478 $ 98,819 Aeroporto di Firenze SpA 17,390 322,600 Aeroporto di Venezia Marco Polo SpA - SAVE 75,847 1,434,545 Alerion Cleanpower SpA 92,062 474,078 Amplifon SpA 350,657 2,289,926 Ansaldo STS SpA 481,426 5,351,974 #* Arnoldo Mondadori Editore SpA 521,400 964,730 Ascopiave SpA 194,134 622,609 Astaldi SpA 258,925 2,805,946 Atlantia SpA 99,543 2,593,000 * Autogrill SpA 492,715 4,729,707 Azimut Holding SpA 491,069 15,330,070 #* Banca Carige SpA 3,160,296 2,336,084 # Banca Finnat Euramerica SpA 637,043 460,431 Banca Generali SpA 218,305 6,871,643 Banca IFIS SpA 102,347 2,209,932 #* Banca Monte dei Paschi di Siena SpA 8,733,630 2,918,961 * Banca Popolare dell'Emilia Romagna SC 1,449,109 16,703,718 #* Banca Popolare dell'Etruria e del Lazio 823,916 958,598 #* Banca Popolare di Milano SCRL 13,321,904 13,472,478 # Banca Popolare di Sondrio SCRL 1,200,453 8,621,453 Banca Profilo SpA 964,900 569,965 Banco di Desio e della Brianza SpA 232,296 1,053,034 #* Banco Popolare SC 1,398,450 28,900,941 * BasicNet SpA 128,628 428,724 #* Beghelli SpA 403,187 272,630 * Biesse SpA 54,004 483,913 Brembo SpA 162,145 5,992,728 #* Brioschi Sviluppo Immobiliare SpA 174,780 28,711 # Brunello Cucinelli SpA 68,381 1,967,936 # Buzzi Unicem SpA 320,417 5,684,298 Cairo Communication SpA 113,404 984,564 * Caltagirone Editore SpA 6,277 11,619 #* Carraro SpA 113,633 492,926 Cembre SpA 40,330 642,480 Cementir Holding SpA 336,239 3,203,598 * CIR-Compagnie Industriali Riunite SpA 1,837,842 2,833,738 Credito Bergamasco SpA 129,374 3,698,688 Credito Emiliano SpA 376,390 3,858,438 #* Credito Valtellinese SCRL 2,045,457 4,883,246 # d'Amico International Shipping SA 491,250 448,104 Danieli & C Officine Meccaniche SpA 58,967 2,117,810 Datalogic SpA 65,558 870,467 Davide Campari-Milano SpA 716,437 6,227,729 De'Longhi SpA 275,556 5,989,236 * DeA Capital SpA 241,155 448,570 * Delclima 238,104 507,913 # DiaSorin SpA 92,848 3,831,082 Ei Towers SpA 39,294 2,235,582 El.En. SpA 2,255 72,126 Elica SpA 4,665 12,623 Engineering SpA 20,358 1,418,745
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ --------- ----------- ITALY -- (Continued) ERG SpA 242,145 $ 4,181,986 Esprinet SpA 124,948 1,366,080 #* Eurotech SpA 122,818 415,297 * Falck Renewables SpA 518,528 989,722 * Fiera Milano SpA 2,143 21,904 * Finmeccanica SpA 1,838,316 17,012,572 FNM SpA 344,562 315,186 Gas Plus SpA 14,596 97,137 # Geox SpA 343,770 1,496,125 * Gruppo Editoriale L'Espresso SpA 670,242 1,547,535 Gruppo MutuiOnline SpA 51,809 374,093 Gtech Spa 208,797 6,128,639 Hera SpA 2,996,036 8,828,874 * IMMSI SpA 743,533 793,781 Indesit Co. SpA 185,473 2,648,690 Industria Macchine Automatiche SpA 58,626 2,882,955 * Intek Group SpA 1,654,192 1,071,066 Interpump Group SpA 317,190 4,497,087 Iren SpA 2,070,565 3,518,365 Italcementi SpA 308,441 3,747,281 * Italmobiliare SpA 46,873 2,131,092 * Juventus Football Club SpA 1,587,772 542,473 La Doria SpA 16,790 143,162 * Landi Renzo SpA 203,171 388,134 #* Maire Tecnimont SpA 460,257 1,678,841 MARR SpA 157,876 3,057,696 * Mediaset SpA 2,027,009 11,217,809 Nice SpA 41,141 182,221 # Piaggio & C SpA 736,724 3,048,174 * Pininfarina SpA 32,677 193,129 * Poltrona Frau SpA 238,473 978,935 #* Prelios SpA 686,861 609,232 * Prima Industrie SpA 5,062 98,099 Prysmian SpA 364,872 9,502,985 #* RCS MediaGroup SpA 181,313 416,838 # Recordati SpA 408,182 7,145,299 #* Reno de Medici SpA 230,093 99,086 Reply SpA 18,077 1,633,468 #* Retelit SpA 410,894 398,518 * Richard-Ginori 1735 SpA 8,489 -- Sabaf SpA 24,109 516,913 SAES Getters SpA 30,068 347,668 * Safilo Group SpA 149,871 3,422,587 # Salini Impregilo SpA 98,452 628,929 #* Saras SpA 946,607 1,642,405 Servizi Italia SpA 34,833 257,813 #* Snai SpA 117,457 358,900 Societa Cattolica di Assicurazioni SCRL 197,763 4,891,244 Societa Iniziative Autostradali e Servizi SpA 244,650 2,909,260 # Societa per la Bonifica dei Terreni Ferraresi e Imprese Agricole SpA 10,867 447,504 * Sogefi SpA 220,168 1,399,312 SOL SpA 166,511 1,394,596
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ --------- ------------ ITALY -- (Continued) * Sorin SpA 1,208,532 $ 3,688,888 Tamburi Investment Partners SpA 37,478 141,191 #* Telecom Italia Media SpA 189,370 34,588 * Tiscali SpA 3,467,783 355,011 Tod's SpA 23,353 3,272,507 Trevi Finanziaria Industriale SpA 154,707 1,784,235 TXT e-solutions SpA 15,342 205,197 * Uni Land SpA 51,835 -- Unione di Banche Italiane SCPA 937,261 8,946,617 Unipol Gruppo Finanziario SpA 970,174 7,027,857 * UnipolSai SpA 2,661,624 9,793,604 Vianini Lavori SpA 175,180 1,506,465 Vittoria Assicurazioni SpA 121,346 1,782,749 * World Duty Free SpA 492,715 6,619,330 * Yoox SpA 183,930 6,604,876 Zignago Vetro SpA 132,100 1,087,606 ------------ TOTAL ITALY 367,633,230 ------------ NETHERLANDS -- (5.0%) Aalberts Industries NV 480,720 16,013,637 # Accell Group 104,121 2,069,265 * AFC Ajax NV 18,134 231,468 #* AMG Advanced Metallurgical Group NV 160,659 1,616,041 # Amsterdam Commodities NV 81,787 2,032,719 * APERAM 262,538 6,830,866 # Arcadis NV 301,048 10,699,875 ASM International NV 238,444 10,435,116 * Atag Group NV 4,630 -- #* Ballast Nedam NV 8,076 103,764 # BE Semiconductor Industries NV 164,367 2,804,798 Beter Bed Holding NV 92,587 2,188,112 BinckBank NV 319,629 3,611,468 Brunel International NV 53,003 3,590,501 Corbion NV 197,494 4,580,409 Delta Lloyd NV 982,406 25,854,916 DOCdata NV 22,463 547,520 Exact Holding NV 73,229 2,582,622 Fugro NV 187,058 12,395,329 * Galapagos NV 124,368 2,691,653 #* Grontmij 313,343 1,676,614 # Heijmans NV 107,655 1,931,322 Hunter Douglas NV 8,819 442,927 KAS Bank NV 70,897 1,047,445 Kendrion NV 47,347 1,612,703 # Koninklijke BAM Groep NV 1,376,686 7,464,699 Koninklijke Ten Cate NV 147,968 4,408,559 Koninklijke Wessanen NV 423,423 2,501,610 #* Macintosh Retail Group NV 53,398 580,338 Nederland Apparatenfabriek 28,810 1,280,716 Nutreco NV 359,256 16,724,497 #* Ordina NV 414,015 1,196,928 * PostNL NV 2,402,055 10,557,793
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ --------- ------------ NETHERLANDS -- (Continued) #* Royal Imtech NV 841,253 $ 1,640,141 * SBM Offshore NV 962,257 17,613,428 Sligro Food Group NV 105,780 4,427,272 #* SNS Reaal NV 705,718 -- Telegraaf Media Groep NV 175,800 1,651,363 TKH Group NV 184,381 6,425,866 TNT Express NV 1,068,379 9,627,741 #* TomTom NV 562,433 3,987,996 USG People NV 389,997 6,747,523 * Van Lanschot NV 4,807 125,595 ------------ TOTAL NETHERLANDS 214,553,155 ------------ NORWAY -- (2.7%) # ABG Sundal Collier Holding ASA 1,233,421 1,144,832 # AF Gruppen ASA 2,718 35,089 #* Agasti Holding ASA 154,905 34,648 # Aker ASA Class A 1,221 41,372 #* American Shipping ASA 164,255 1,237,022 * Archer, Ltd. 1,090,830 1,487,872 Arendals Fossekompani A.S. 90 24,679 # Atea ASA 312,408 3,590,857 Austevoll Seafood ASA 364,953 2,364,041 Bakkafrost P/F 143,413 2,245,826 #* Bionor Pharma ASA 529,166 176,516 * Biotec Pharmacon ASA 9,412 27,734 Bonheur ASA 68,100 1,324,099 BW Offshore, Ltd. 1,547,023 2,023,145 * BWG Homes ASA 346,255 682,070 # Cermaq ASA 285,677 3,376,660 * Deep Sea Supply P.L.C. 373,810 557,634 #* Det Norske Oljeselskap ASA 234,729 2,566,921 * DNO International ASA 3,792,519 13,171,371 * DOF ASA 203,869 937,728 * Dolphin Group A.S. 843,650 822,587 Ekornes ASA 112,551 1,780,899 #* Electromagnetic GeoServices A.S. 680,932 815,322 # Eltek ASA 1,292,456 1,773,477 Evry ASA 267,383 462,060 Farstad Shipping ASA 65,666 1,352,685 Fred Olsen Energy ASA 17,797 567,705 #* Frontline, Ltd. 271,149 884,938 Ganger Rolf ASA 58,809 1,098,447 # Golden Ocean Group, Ltd. 1,351,910 2,397,468 * Grieg Seafood ASA 154,146 628,694 * Havila Shipping ASA 22,400 130,090 # Hexagon Composites ASA 219,760 1,364,263 * Hoegh LNG Holdings, Ltd. 151,182 1,476,588 * Hurtigruten ASA 915,208 676,718 #* InterOil Exploration and Production ASA 894,130 156,763 * Kongsberg Automotive Holding ASA 1,953,294 1,963,656 Kvaerner ASA 807,447 1,617,372 Leroy Seafood Group ASA 83,018 2,940,335
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ ---------- ------------ NORWAY -- (Continued) #* Nordic Semiconductor ASA 580,280 $ 3,255,637 * Norske Skogindustrier ASA 660,997 501,142 Northern Offshore, Ltd. 350,656 540,253 #* Norwegian Air Shuttle A.S. 130,053 5,177,617 * Norwegian Energy Co. ASA 264,650 7,573 #* Odfjell SE Class A 138,810 693,879 Olav Thon Eiendomsselskap ASA 12,852 2,374,412 Opera Software ASA 372,883 4,819,888 * Panoro Energy ASA 1,045,821 584,656 # Petroleum Geo-Services ASA 30,641 369,950 * PhotoCure ASA 52,582 222,601 Prosafe SE 795,270 7,009,472 * Q-Free ASA 143,444 355,783 #* REC Silicon ASA 8,331,075 4,659,935 * REC Solar ASA 138,239 2,087,727 * Salmar ASA 92,697 1,341,822 * Sevan Drilling A.S. 1,103,557 584,147 * Sevan Marine ASA 129,032 516,849 * Siem Offshore, Inc. 606,183 917,519 Solstad Offshore ASA 64,644 1,190,096 * Songa Offshore 845,806 347,836 SpareBank 1 SMN 145,274 1,290,156 # SpareBank 1 SR Bank ASA 153,761 1,491,341 Stolt-Nielsen, Ltd. 76,704 2,073,877 * Storebrand ASA 319,415 1,792,992 # Tomra Systems ASA 669,803 6,232,418 TTS Group ASA 180,762 197,852 # Veidekke ASA 336,593 3,611,169 # Wilh Wilhelmsen ASA 138,972 1,345,139 # Wilh Wilhelmsen Holding ASA Class A 65,996 2,093,851 ------------ TOTAL NORWAY 117,647,772 ------------ PORTUGAL -- (1.7%) Altri SGPS SA 597,102 2,029,165 #* Banco BPI SA 2,123,556 5,450,638 #* Banco Comercial Portugues SA 44,641,579 13,566,339 * Banco Espirito Santo SA 4,777,921 8,469,023 # Corticeira Amorim SGPS SA 207,426 887,306 * EDP Renovaveis SA 366,811 2,515,457 Ibersol SGPS SA 20,401 245,491 #* Impresa SGPS SA 187,798 473,065 Mota-Engil SGPS SA 363,210 2,780,414 Novabase SGPS SA 65,729 362,010 Portucel SA 895,166 4,244,491 # Portugal Telecom SGPS SA 1,886,010 7,835,754 # REN - Redes Energeticas Nacionais SGPS SA 914,989 3,441,173 Semapa-Sociedade de Investimento e Gestao 315,847 4,734,761 Sonae 4,329,208 8,144,340 #* Sonae Capital SGPS SA 57,619 37,252 * Sonae Industria SGPS SA 443,755 376,394 * Sumol + Compal SA 67,967 107,846 Teixeira Duarte SA 734,737 1,130,336
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ --------- ----------- PORTUGAL -- (Continued) ZON Optimus SGPS SA 1,060,020 $ 7,668,580 ----------- TOTAL PORTUGAL 74,499,835 ----------- SPAIN -- (5.1%) * Abengoa SA(BLM7FQ6) 5,120 28,498 * Abengoa SA(BLM7FS8) 28,146 125,385 Abengoa SA(7174823) 199,714 1,111,186 # Abengoa SA Class B 930,983 4,144,967 # Acciona SA 104,622 8,510,559 # Acerinox SA 460,110 8,045,805 Adveo Group International SA 53,002 1,261,774 # Almirall SA 253,294 4,242,380 * Atresmedia Corp de Medios de Comunicaion SA 312,481 4,496,312 * Azkoyen SA 64,022 227,446 Bankinter SA 1,451,934 11,116,681 * Baron de Ley 13,910 1,463,459 # Bolsas y Mercados Espanoles SA 342,685 14,929,199 #* Caja de Ahorros del Mediterraneo 116,412 -- * Campofrio Food Group SA 107,600 1,029,798 #* Cementos Portland Valderrivas SA 53,170 544,010 Cie Automotive SA 141,536 1,802,541 Construcciones y Auxiliar de Ferrocarriles SA 7,909 3,788,254 * Deoleo SA 2,677,780 1,468,397 Dinamia Capital Privado Sociedad de Capital Riesgo SA 20,438 224,415 # Duro Felguera SA 251,747 1,717,630 Ebro Foods SA 378,733 8,726,924 # Elecnor SA 198,254 2,849,760 Ence Energia y Celulosa SA 962,189 2,834,007 #* Ercros SA 483,625 322,668 Faes Farma SA 1,245,416 3,858,960 Fluidra SA 160,834 730,906 #* Fomento de Construcciones y Contratas SA 217,082 4,788,594 * Gamesa Corp. Tecnologica SA 1,113,758 11,070,558 # Grupo Catalana Occidente SA 201,217 7,873,230 #* Grupo Ezentis SA 498,747 816,966 Iberpapel Gestion SA 26,401 518,884 # Indra Sistemas SA 488,878 9,182,116 #* Inmobiliaria Colonial SA 108,920 101,423 * Inmobiliaria del Sur SA 2,902 39,997 * Jazztel P.L.C. 1,044,478 16,041,093 Laboratorios Farmaceuticos Rovi SA 70,934 972,003 #* Mediaset Espana Comunicacion SA 794,399 8,815,048 # Melia Hotels International SA 232,123 2,936,365 Miquel y Costas & Miquel SA 37,628 1,568,886 #* Natra SA 160,272 422,598 * NH Hoteles SA 542,107 3,463,441 # Obrascon Huarte Lain SA 193,959 8,992,138 Papeles y Cartones de Europa SA 232,611 1,286,891 * Pescanova SA 68,547 -- Prim SA 39,424 329,011 #* Promotora de Informaciones SA Class A 2,186,328 1,221,045 Prosegur Cia de Seguridad SA 875,740 5,863,936
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ --------- ------------ SPAIN -- (Continued) #* Quabit Inmobiliaria SA 1,005,493 $ 178,747 * Realia Business SA 408,451 755,119 #* Sacyr SA 1,283,635 8,454,534 * Sociedad Nacional de Industrias Apicaciones Celulosa Espanola SA 75,494 7,751 #* Solaria Energia y Medio Ambiente SA 185,092 319,540 # Tecnicas Reunidas SA 140,774 8,479,343 * Telecomunicaciones y Energia 146,125 350,845 # Tubacex SA 520,966 2,554,855 Tubos Reunidos SA 495,225 1,534,314 Vidrala SA 77,869 4,121,587 # Viscofan SA 213,526 11,126,944 * Vocento SA 219,517 707,204 * Zeltia SA 888,495 3,351,856 ------------ TOTAL SPAIN 217,848,783 ------------ SWEDEN -- (8.8%) AarhusKarlshamn AB 115,202 7,714,298 Acando AB 282,290 652,645 AddNode Group AB 22,737 155,494 AddTech AB Class B 263,102 4,033,427 AF AB Class B 138,545 5,031,485 #* Arise AB 36,861 148,513 Atrium Ljungberg AB Class B 31,990 507,252 # Avanza Bank Holding AB 69,072 2,593,155 Axfood AB 94,702 5,046,425 # Axis Communications AB 192,280 5,733,472 B&B Tools AB Class B 107,878 1,979,545 #* BE Group AB 215,340 419,493 # Beijer AB G&L Class B 64,437 1,310,725 Beijer Alma AB 91,817 2,596,751 Beijer Electronics AB 55,826 544,625 Betsson AB 152,884 5,589,159 Bilia AB Class A 113,425 3,766,093 BillerudKorsnas AB 689,767 10,080,472 BioGaia AB Class B 61,692 1,853,906 # Biotage AB 189,388 339,291 # Bjoern Borg AB(BLP5VH0) 86,437 334,810 #* Bjoern Borg AB(B8ZRVS6) 86,437 19,807 # Bure Equity AB 326,825 1,443,368 Byggmax Group AB 157,202 1,317,087 Castellum AB 752,681 12,835,253 Catena AB 55,547 918,341 # Cavotec SA 16,457 78,353 #* CDON Group AB 43,314 177,112 # Clas Ohlson AB Class B 180,273 3,998,447 * Cloetta AB Class B 324,318 1,071,352 # Concentric AB 202,603 2,866,535 * Concordia Maritime AB Class B 78,854 161,825 # Connecta AB 40,724 241,073 Corem Property Group AB Class B 2,226 8,555 * CyberCom Group AB 385,158 160,133 # Dios Fastigheter AB 171,208 1,390,729
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ --------- ----------- SWEDEN -- (Continued) Doro AB 94,731 $ 619,372 Duni AB 174,631 2,917,018 #* East Capital Explorer AB 47,726 383,300 # Enea AB 63,008 607,448 * Eniro AB 447,545 3,581,024 Fabege AB 590,552 8,296,014 # Fagerhult AB 18,323 908,890 * Fastighets AB Balder 279,717 3,588,537 Fenix Outdoor AB 7,406 420,013 # FinnvedenBulten AB 53,182 616,566 Gunnebo AB 206,334 1,177,618 # Haldex AB 226,180 2,901,231 Heba Fastighets AB Class B 43,722 573,101 Hexpol AB 115,947 10,985,833 # HIQ International AB(BLNMLM8) 260,002 1,579,591 #* HIQ International AB(B97F1H4) 260,002 103,566 HMS Networks AB 7,040 154,715 Holmen AB Class B 273,916 9,681,018 Hufvudstaden AB Class A 189,483 2,777,939 Husqvarna AB Class A 37,223 308,081 Husqvarna AB Class B 1,703,432 14,222,953 ICA Gruppen AB 24,928 838,482 Industrial & Financial Systems Class B 89,522 2,568,061 # Indutrade AB 66,548 2,895,946 # Intrum Justitia AB 348,185 10,094,356 # JM AB 372,482 12,656,896 * KappAhl AB 277,470 1,702,690 #* Karolinska Development AB Class B 90,079 344,538 Klovern AB 387,861 2,132,976 # KNOW IT AB 75,523 801,728 # Kungsleden AB 697,243 5,695,104 Lagercrantz AB Class B 79,921 1,609,750 * Lindab International AB 330,563 4,121,076 Loomis AB Class B 318,925 8,699,409 Meda AB Class A 976,572 17,553,824 #* Medivir AB Class B 157,903 2,802,956 # Mekonomen AB 96,226 2,582,063 * Micronic Mydata AB 390,070 1,108,844 # Modern Times Group AB Class B 248,542 11,089,250 MQ Holding AB 90,336 373,417 NCC AB Class A 24,456 870,708 NCC AB Class B 373,389 13,081,870 Nederman Holding AB 3,680 94,917 * Net Entertainment AB 151,050 69,692 * Net Entertainment AB B Shares 151,050 3,635,589 * Net Insight AB Class B 1,189,130 329,259 New Wave Group AB Class B 205,564 1,398,181 # Nibe Industrier AB Class B 362,119 10,167,670 Nobia AB 666,139 6,063,692 # Nolato AB Class B 105,172 2,401,470 # Nordnet AB Class B 401,993 1,978,463 # OEM International AB Class B 45,688 831,440
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ --------- ------------ SWEDEN -- (Continued) * Orexo AB 10,057 $ 163,282 # Oriflame Cosmetics SA 117,418 3,006,723 #* PA Resources AB 35,211 36,930 Peab AB 752,981 5,830,174 #* Pricer AB Class B 452,718 409,821 Proact IT Group AB 41,297 555,604 Proffice AB Class B 262,115 955,626 # Ratos AB Class B 880,217 8,979,592 # ReadSoft AB Class B 87,941 236,780 #* Rezidor Hotel Group AB 355,824 2,205,111 #* rnb Retail and Brands AB 48,828 98,515 Saab AB Class B 256,897 7,893,915 Sagax AB Class B 48,648 232,457 #* SAS AB 643,871 1,384,654 Sectra AB 34,851 417,254 Securitas AB Class B 938,366 11,343,567 # Semcon AB 85,074 918,822 SkiStar AB 104,766 1,383,160 #* SSAB AB Class A 834,811 7,288,566 #* SSAB AB Class B 352,706 2,668,362 # Sweco AB Class B 184,680 2,881,558 * Swedish Orphan Biovitrum AB 612,905 6,739,764 Swedol AB Class B 37,176 125,728 Systemair AB 29,872 486,808 * TradeDoubler AB 202,211 451,200 * Transcom WorldWide SA 1,397,448 310,355 # Transmode AB 76,041 1,014,865 # Trelleborg AB Class B 296,189 6,337,414 # Tribona AB 65,020 370,425 Unibet Group P.L.C. 135,490 7,298,906 Uniflex AB 12,408 54,714 VBG Group AB Class B 137 3,176 Vitrolife AB 60,303 1,062,154 # Wallenstam AB Class B 399,066 6,550,609 # Wihlborgs Fastigheter AB 289,738 5,586,141 ------------ TOTAL SWEDEN 379,399,883 ------------ SWITZERLAND -- (10.4%) * Advanced Digital Broadcast Holdings SA 2,179 34,411 AFG Arbonia-Forster Holding AG 79,104 2,637,037 Allreal Holding AG 52,059 7,341,380 Alpiq Holding AG 4,430 543,624 ALSO Holding AG 16,195 925,308 ams AG 39,077 5,891,736 APG SGA SA 7,504 2,579,556 Ascom Holding AG 183,217 3,408,419 Autoneum Holding AG 16,853 3,575,378 # Bachem Holding AG Class B 24,136 1,362,868 Bank Coop AG 31,671 1,548,775 Banque Cantonale de Geneve 4,098 1,046,923 Banque Cantonale du Jura 4,442 330,482 Banque Cantonale Vaudoise 4,529 2,688,354
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ ------- ----------- SWITZERLAND -- (Continued) Banque Privee Edmond de Rothschild SA 157 $ 2,892,823 * Basilea Pharmaceutica 1,346 141,031 # Basler Kantonalbank 4,757 411,214 # Belimo Holding AG 1,903 5,360,043 Bell AG 363 997,789 # Bellevue Group AG 28,459 432,238 # Berner Kantonalbank AG 23,232 5,699,568 BKW AG 39,384 1,446,878 * Bobst Group SA 45,114 2,296,256 Bossard Holding AG Class A 30,406 4,188,280 Bucher Industries AG 33,342 10,860,337 Burckhardt Compression Holding AG 9,520 4,934,385 Burkhalter Holding AG 16,013 1,510,845 Calida Holding AG 16,387 688,923 Carlo Gavazzi Holding AG 1,334 347,075 Cham Paper Holding AG 1,836 516,616 * Charles Voegele Holding AG 43,316 713,180 Cicor Technologies 5,893 239,462 Cie Financiere Tradition SA 9,139 497,506 Clariant AG 425,521 8,391,234 Coltene Holding AG 16,093 1,038,778 Conzzeta AG 1,345 5,321,576 Cosmo Pharmaceuticals SpA 1,287 174,156 Daetwyler Holding AG 29,754 4,704,546 # DKSH Holding AG 11,453 945,163 * Dufry AG 89,373 14,790,930 # EFG International AG 242,627 3,074,337 * Elma Electronic AG 267 121,660 Emmi AG 13,244 4,859,560 # Energiedienst Holding AG 71,249 2,581,793 * Evolva Holding SA 154,124 233,418 Flughafen Zuerich AG 18,960 11,961,509 Forbo Holding AG 6,983 7,228,097 # Galenica AG 16,866 17,174,300 GAM Holding AG 806,220 14,683,775 Gategroup Holding AG 118,415 3,689,679 Georg Fischer AG 18,366 14,569,839 Gurit Holding AG 1,837 959,779 Helvetia Holding AG 27,336 13,625,582 Huber & Suhner AG 50,241 2,763,643 Implenia AG 65,242 4,783,990 Inficon Holding AG 8,083 2,895,046 Interroll Holding AG 2,559 1,592,170 Intershop Holdings AG 5,592 2,161,400 # Jungfraubahn Holding AG 3,095 255,347 Kaba Holding AG Class B 12,166 5,860,478 Kardex AG 30,563 1,565,636 Komax Holding AG 15,293 2,367,146 Kudelski SA 201,663 3,477,902 Kuoni Reisen Holding AG 15,477 6,834,839 LEM Holding SA 3,667 3,029,031 Liechtensteinische Landesbank AG 19,985 989,296
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ --------- ----------- SWITZERLAND -- (Continued) * LifeWatch AG 27,517 $ 333,120 # Logitech International SA 693,935 9,411,623 Lonza Group AG 255,221 26,711,567 # Luzerner Kantonalbank AG 17,399 7,160,077 MCH Group AG 1,404 101,408 Metall Zug AG 701 2,113,864 #* Meyer Burger Technology AG 408,473 5,050,197 Micronas Semiconductor Holding AG 155,041 1,380,251 * Mobilezone Holding AG 142,129 1,617,714 Mobimo Holding AG 27,212 5,848,565 Nobel Biocare Holding AG 535,961 7,476,176 OC Oerlikon Corp. AG 858,856 13,681,316 * Orascom Development Holding AG 48,908 761,815 #* Orell Fuessli Holding AG 5,198 601,355 Orior AG 22,240 1,437,090 Panalpina Welttransport Holding AG 40,168 6,307,786 * Parco Industriale e Immobiliare SA 600 -- Phoenix Mecano AG 3,100 1,994,690 PSP Swiss Property AG 148,327 14,256,468 PubliGroupe AG 8,975 1,798,070 Rieter Holding AG 16,400 3,708,389 Romande Energie Holding SA 2,714 3,544,209 Schaffner Holding AG 2,624 769,953 * Schmolz + Bickenbach AG 2,540,584 3,645,012 Schweiter Technologies AG 4,466 3,375,901 Schweizerische National-Versicherungs-Gesellschaft AG 59,799 4,144,122 Siegfried Holding AG 16,598 3,110,309 St Galler Kantonalbank AG 10,381 4,458,801 Straumann Holding AG 18,524 4,110,675 Sulzer AG 11,622 1,793,301 Swiss Life Holding AG 36,281 8,938,754 #* Swisslog Holding AG 1,022,294 1,175,259 Swissquote Group Holding SA 47,450 1,870,432 Tamedia AG 14,891 1,962,289 Tecan Group AG 23,852 2,983,076 Temenos Group AG 275,630 9,882,720 #* Tornos Holding AG 38,028 270,136 U-Blox AG 27,034 3,309,804 Valartis Group AG 936 22,860 Valiant Holding AG 64,441 7,134,791 Valora Holding AG 14,281 4,038,189 Vaudoise Assurances Holding SA Class B 4,108 1,876,934 Verwaltungs- und Privat-Bank AG 17,235 1,718,309 Vetropack Holding AG 877 1,689,445 #* Von Roll Holding AG 258,978 503,268 # Vontobel Holding AG 121,104 4,746,703 Walliser Kantonalbank 1,440 1,220,846 * Walter Meier AG 23,690 1,279,742 * WM Technologie, Ltd. 23,690 565,265 # Ypsomed Holding AG 3,079 329,300 # Zehnder Group AG 45,677 1,991,868 * Zueblin Immobilien Holding AG 261,040 510,016
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
SHARES VALUE++ ---------- -------------- SWITZERLAND -- (Continued) Zug Estates Holding AG 505 $ 679,743 Zuger Kantonalbank AG 627 3,391,406 -------------- TOTAL SWITZERLAND 449,589,314 -------------- UNITED KINGDOM -- (0.0%) Grafton Group P.L.C. 38,479 378,477 -------------- TOTAL COMMON STOCKS 3,600,904,178 -------------- RIGHTS/WARRANTS -- (0.1%) AUSTRIA -- (0.0%) * Intercell AG 254,689 -- -------------- FRANCE -- (0.1%) * Peugeot SA Warrants 04/29/17 1,076,690 2,059,874 -------------- ISRAEL -- (0.0%) * Africa Israel Investments, Ltd. Rights 05/01/14 12,649 10,893 -------------- ITALY -- (0.0%) #* Seat Pagine Gialle SpA Warrants 08/31/14 2,988,837 -- -------------- PORTUGAL -- (0.0%) * Mota-Engil SGPS SA Rights 12/31/49 363,210 286,655 -------------- SPAIN -- (0.0%) #* Inmobiliaria Colonial SA 108,920 471,463 -------------- SWEDEN -- (0.0%) #* East Capital Explorer Rights 06/04/14 47,726 11,193 * Rezidor Hotel Group Rights 05/21/14 355,824 165,083 * Tribona Rights 05/22/14 65,020 17,250 -------------- TOTAL SWEDEN 193,526 -------------- TOTAL RIGHTS/WARRANTS 3,022,411 -------------- SHARES/ FACE AMOUNT (000) VALUE+ ---------- -------------- SECURITIES LENDING COLLATERAL -- (16.5%) (S)@ DFA Short Term Investment Fund 61,420,624 710,636,625 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $3,155,257,765) $4,314,563,214 ==============
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED Summary of the Series' investments as of April 30, 2014, 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 $ 14,102 $ 91,169,046 -- $ 91,183,148 Belgium -- 116,692,557 -- 116,692,557 Denmark -- 175,972,877 -- 175,972,877 Finland -- 246,569,189 -- 246,569,189 France -- 465,358,980 -- 465,358,980 Germany 9,143,389 508,926,775 -- 518,070,164 Greece -- 140,446 -- 140,446 Ireland 93,788 74,525,752 -- 74,619,540 Israel -- 90,746,828 -- 90,746,828 Italy -- 367,633,230 -- 367,633,230 Netherlands 2,691,653 211,861,502 -- 214,553,155 Norway -- 117,647,772 -- 117,647,772 Portugal -- 74,499,835 -- 74,499,835 Spain 153,883 217,694,900 -- 217,848,783 Sweden 3,828,654 375,571,229 -- 379,399,883 Switzerland -- 449,589,314 -- 449,589,314 United Kingdom -- 378,477 -- 378,477 Rights/Warrants Austria -- -- -- -- France -- 2,059,874 -- 2,059,874 Israel -- 10,893 -- 10,893 Italy -- -- -- -- Portugal -- 286,655 -- 286,655 Spain -- 471,463 -- 471,463 Sweden -- 193,526 -- 193,526 Securities Lending Collateral -- 710,636,625 -- 710,636,625 ----------- -------------- -- -------------- TOTAL $15,925,469 $4,298,637,745 -- $4,314,563,214 =========== ============== == ==============
THE EMERGING MARKETS SERIES SCHEDULE OF INVESTMENTS APRIL 30, 2014 (UNAUDITED)
SHARES VALUE++ --------- ----------- COMMON STOCKS -- (88.9%) BRAZIL -- (6.7%) AES Tiete SA 76,085 $ 498,185 ALL - America Latina Logistica SA 508,831 2,015,014 AMBEV SA 855,320 6,252,592 AMBEV SA ADR 4,150,723 30,092,742 Banco Bradesco SA 671,682 10,317,349 Banco do Brasil SA 658,292 6,911,365 Banco Santander Brasil SA 431,700 2,884,776 Banco Santander Brasil SA ADR 726,366 4,830,334 BM&FBovespa SA 2,441,108 12,480,606 BR Malls Participacoes SA 552,323 4,753,483 Braskem SA Sponsored ADR 153,394 2,086,158 BRF SA 97,000 2,196,883 BRF SA ADR 539,479 12,192,225 CCR SA 1,069,768 8,371,993 Centrais Eletricas Brasileiras SA 246,900 861,479 # Centrais Eletricas Brasileiras SA ADR 86,923 483,292 # Centrais Eletricas Brasileiras SA Sponsored ADR 100,200 347,694 CETIP SA - Mercados Organizados 325,900 4,152,402 Cia Brasileira de Distribuicao Grupo Pao de Acucar ADR 85,830 4,082,075 Cia de Saneamento Basico do Estado de Sao Paulo 287,000 2,718,439 # Cia de Saneamento Basico do Estado de Sao Paulo ADR 178,668 1,693,773 Cia Energetica de Minas Gerais 68,587 526,918 Cia Hering 108,600 1,147,490 Cia Paranaense de Energia 23,000 226,931 # Cia Paranaense de Energia Sponsored ADR 57,783 829,186 Cia Siderurgica Nacional SA 633,652 2,432,587 # Cia Siderurgica Nacional SA Sponsored ADR 524,621 2,030,283 Cielo SA 743,950 13,179,074 Cosan SA Industria e Comercio 181,069 3,105,316 CPFL Energia SA 83,360 706,957 CPFL Energia SA ADR 63,516 1,064,528 Cyrela Brazil Realty SA Empreendimentos e Participacoes 417,297 2,530,264 Duratex SA 619,565 2,681,378 EcoRodovias Infraestrutura e Logistica SA 221,877 1,326,436 EDP - Energias do Brasil SA 236,900 1,029,515 Embraer SA 140,070 1,211,145 Embraer SA ADR 133,319 4,586,174 Estacio Participacoes SA 279,018 2,988,205 #* Fibria Celulose SA Sponsored ADR 514,098 5,104,993 Gerdau SA 146,632 710,883 Gerdau SA Sponsored ADR 326,326 1,961,219 Grendene SA 91,864 580,909 Guararapes Confeccoes SA 8,056 375,748 Hypermarcas SA 832,924 6,137,433 Itau Unibanco Holding SA 250,536 3,859,586 JBS SA 1,052,281 3,633,844 Klabin SA 744,877 3,908,537 Kroton Educacional SA 206,884 4,431,340 Localiza Rent a Car SA 158,860 2,372,480 Lojas Americanas SA 148,110 946,549 Lojas Renner SA 147,987 4,353,828
THE EMERGING MARKETS SERIES CONTINUED
SHARES VALUE++ ----------- ------------ BRAZIL -- (Continued) M Dias Branco SA 40,000 $ 1,728,983 Multiplan Empreendimentos Imobiliarios SA 89,300 1,973,631 Natura Cosmeticos SA 198,900 3,406,656 Odontoprev SA 7,800 31,308 Oi SA 217,658 219,635 Oi SA ADR(670851104) 7,319 7,245 # Oi SA ADR(670851203) 107,889 100,196 Petroleo Brasileiro SA 598,900 4,198,142 Petroleo Brasileiro SA ADR 1,308,418 18,160,842 Porto Seguro SA 140,099 2,042,030 * Qualicorp SA 162,500 1,579,269 Raia Drogasil SA 229,600 1,956,453 Souza Cruz SA 439,970 4,015,423 Sul America SA 38,200 280,108 Tim Participacoes SA 439,800 2,386,626 Tim Participacoes SA ADR 63,679 1,713,602 Totvs SA 128,775 2,102,791 Tractebel Energia SA 142,100 2,113,258 Transmissora Alianca de Energia Eletrica SA 428,534 3,834,176 Ultrapar Participacoes SA 136,914 3,437,357 # Ultrapar Participacoes SA Sponsored ADR 254,308 6,329,726 * Usinas Siderurgicas de Minas Gerais SA 39,100 140,460 Vale SA 137,800 1,816,939 # Vale SA Sponsored ADR 1,238,400 16,371,648 WEG SA 323,525 3,904,499 ------------ TOTAL BRAZIL 284,053,598 ------------ CHILE -- (1.5%) AES Gener SA 2,215,773 1,191,814 Aguas Andinas SA Class A 2,021,324 1,246,995 # Banco de Chile ADR 36,105 2,793,444 Banco de Credito e Inversiones 35,349 1,954,600 Banco Santander Chile ADR 184,741 4,483,664 CAP SA 122,726 1,840,058 Cencosud SA 1,142,664 3,807,159 Cencosud SA ADR 8,408 84,585 CFR Pharmaceuticals SA 1,737,925 354,204 Cia Cervecerias Unidas SA 23,702 279,759 Cia Cervecerias Unidas SA ADR 54,549 1,285,720 Cia General de Electricidad SA 26,559 124,733 Colbun SA 6,902,135 1,707,751 Corpbanca SA 123,319,143 1,420,589 # Corpbanca SA ADR 26,066 460,065 Embotelladora Andina SA Class A ADR 22,244 429,754 # Embotelladora Andina SA Class B ADR 19,587 474,397 Empresa Nacional de Electricidad SA Sponsored ADR 111,030 4,893,092 Empresas CMPC SA 1,191,114 2,651,353 Empresas COPEC SA 470,401 6,069,099 Enersis SA Sponsored ADR 508,369 8,184,741 ENTEL Chile SA 193,991 2,381,504 Gasco SA 4,891 42,907 Inversiones Aguas Metropolitanas SA 377,408 624,709
THE EMERGING MARKETS SERIES CONTINUED
SHARES VALUE++ ---------- ----------- CHILE -- (Continued) # Latam Airlines Group SA Sponsored ADR 320,098 $ 4,907,102 Molibdenos y Metales SA 21,739 295,694 Ripley Corp. SA 469,387 305,296 SACI Falabella 686,100 5,836,510 Sigdo Koppers SA 338,893 552,554 Sociedad Quimica y Minera de Chile SA Sponsored ADR 91,271 2,911,545 Sonda SA 482,159 1,115,130 ----------- TOTAL CHILE 64,710,527 ----------- CHINA -- (13.1%) Agile Property Holdings, Ltd. 1,754,000 1,422,437 Agricultural Bank of China, Ltd. Class H 18,434,000 7,732,803 Air China, Ltd. Class H 1,866,000 1,063,756 #* Aluminum Corp. of China, Ltd. ADR 112,680 1,014,120 #* Aluminum Corp. of China, Ltd. Class H 1,192,000 427,365 * Angang Steel Co., Ltd. Class H 1,422,000 863,547 # Anhui Conch Cement Co., Ltd. Class H 1,017,500 3,785,898 Bank of China, Ltd. Class H 64,409,100 28,461,762 Bank of Communications Co., Ltd. Class H 7,835,515 4,880,640 BBMG Corp. Class H 987,000 692,220 Beijing Capital International Airport Co., Ltd. Class H 198,000 138,334 Beijing Enterprises Holdings, Ltd. 668,972 5,799,838 # Beijing Enterprises Water Group, Ltd. 716,000 453,204 Beijing Jingneng Clean Energy Co., Ltd. Class H 46,000 19,888 Belle International Holdings, Ltd. 3,431,000 3,576,518 Biostime International Holdings, Ltd. 138,000 917,976 Brilliance China Automotive Holdings, Ltd. 1,934,000 2,963,939 #* Byd Co., Ltd. Class H 381,886 2,066,462 China BlueChemical, Ltd. 238,000 127,763 China CITIC Bank Corp., Ltd. Class H 6,922,928 4,135,478 # China Coal Energy Co., Ltd. Class H 4,318,777 2,328,861 China Communications Construction Co., Ltd. Class H 4,945,000 3,225,091 China Communications Services Corp., Ltd. Class H 2,892,000 1,463,899 China Construction Bank Corp. Class H 58,649,590 40,607,391 #* China COSCO Holdings Co., Ltd. Class H 2,263,000 897,542 * China Eastern Airlines Corp., Ltd. ADR 2,800 43,120 #* China Eastern Airlines Corp., Ltd. Class H 1,510,000 466,652 China Everbright International, Ltd. 1,499,000 1,874,783 China Gas Holdings, Ltd. 2,200,000 3,569,787 China Hongqiao Group, Ltd. 309,000 211,940 China International Marine Containers Group Co., Ltd. Class H 338,700 674,533 # China Life Insurance Co., Ltd. ADR 321,472 12,563,126 China Life Insurance Co., Ltd. Class H 784,000 2,037,576 China Longyuan Power Group Corp. Class H 1,745,000 1,795,094 China Mengniu Dairy Co., Ltd. 920,000 4,728,501 China Merchants Bank Co., Ltd. Class H 3,724,554 6,654,294 China Merchants Holdings International Co., Ltd. 1,023,426 3,198,211 # China Minsheng Banking Corp., Ltd. Class H 4,422,500 4,461,912 China Mobile, Ltd. 179,500 1,708,566 # China Mobile, Ltd. Sponsored ADR 926,803 43,958,266 # China Molybdenum Co., Ltd. Class H 896,322 399,802 China National Building Material Co., Ltd. Class H 2,981,916 2,817,163
THE EMERGING MARKETS SERIES CONTINUED
SHARES VALUE++ --------- ----------- CHINA -- (Continued) China Oilfield Services, Ltd. Class H 1,350,000 $ 3,229,524 China Overseas Land & Investment, Ltd. 3,260,000 8,016,644 China Pacific Insurance Group Co., Ltd. Class H 1,922,000 6,018,124 # China Petroleum & Chemical Corp. ADR 138,191 12,281,008 China Petroleum & Chemical Corp. Class H 8,186,800 7,246,661 China Railway Construction Corp., Ltd. Class H 2,592,500 2,134,597 China Railway Group, Ltd. Class H 3,077,000 1,378,143 China Resources Cement Holdings, Ltd. 1,717,335 1,191,110 # China Resources Enterprise, Ltd. 1,081,000 3,071,192 China Resources Gas Group, Ltd. 640,000 1,898,458 China Resources Land, Ltd. 1,734,000 3,574,273 China Resources Power Holdings Co., Ltd. 1,250,000 3,141,698 China Shenhua Energy Co., Ltd. Class H 2,682,500 7,267,577 #* China Shipping Container Lines Co., Ltd. Class H 4,653,000 1,096,329 China Southern Airlines Co., Ltd. Class H 1,006,000 300,413 # China Southern Airlines Co., Ltd. Sponsored ADR 10,900 164,154 China State Construction International Holdings, Ltd. 1,318,000 2,197,855 * China Taiping Insurance Holdings Co., Ltd. 536,800 853,067 # China Telecom Corp., Ltd. ADR 55,058 2,820,071 China Telecom Corp., Ltd. Class H 3,676,000 1,875,876 China Unicom Hong Kong, Ltd. ADR 483,030 7,404,850 Chongqing Rural Commercial Bank Class H 408,000 177,843 # CITIC Pacific, Ltd. 1,669,000 2,922,665 CITIC Securities Co., Ltd. Class H 896,000 1,793,813 CNOOC, Ltd. 3,105,000 5,108,074 # CNOOC, Ltd. ADR 120,801 19,955,117 COSCO Pacific, Ltd. 2,265,058 3,040,177 Country Garden Holdings Co., Ltd. 5,852,769 2,346,709 CSPC Pharmaceutical Group, Ltd. 276,000 228,176 CSR Corp., Ltd. 1,471,000 1,082,311 Datang International Power Generation Co., Ltd. Class H 2,250,000 836,206 # Dongfang Electric Corp., Ltd. Class H 290,200 452,372 Dongfeng Motor Group Co., Ltd. Class H 2,302,000 3,071,542 ENN Energy Holdings, Ltd. 682,000 4,756,920 # Evergrande Real Estate Group, Ltd. 8,636,000 3,857,684 # Fosun International, Ltd. 1,717,441 2,080,041 #* GCL-Poly Energy Holdings, Ltd. 6,420,814 1,928,624 # Geely Automobile Holdings, Ltd. 3,655,000 1,270,608 # Golden Eagle Retail Group, Ltd. 150,000 194,015 # Great Wall Motor Co., Ltd. Class H 805,500 3,659,225 Greentown China Holdings, Ltd. 419,500 422,494 # Guangdong Investment, Ltd. 2,242,000 2,440,410 Guangshen Railway Co., Ltd. Sponsored ADR 28,517 540,112 Guangzhou Automobile Group Co., Ltd. Class H 1,996,259 2,015,274 # Guangzhou Baiyunshan Pharmaceutical Holdings Co., Ltd. Class H 174,000 523,007 Guangzhou R&F Properties Co., Ltd. 1,799,600 2,348,323 Haier Electronics Group Co., Ltd. 675,000 1,656,920 Haitian International Holdings, Ltd. 79,000 158,951 #* Hanergy Solar Group, Ltd. 7,134,000 1,033,311 Hengan International Group Co., Ltd. 604,000 6,359,599 Huadian Power International Corp., Ltd. Class H 856,000 465,212 Huaneng Power International, Inc. Class H 602,000 589,290
THE EMERGING MARKETS SERIES CONTINUED
SHARES VALUE++ ---------- ------------ CHINA -- (Continued) # Huaneng Power International, Inc. Sponsored ADR 34,452 $ 1,353,275 Industrial & Commercial Bank of China, Ltd. Class H 59,907,185 35,718,118 Jiangsu Expressway Co., Ltd. Class H 1,098,000 1,232,763 Jiangxi Copper Co., Ltd. Class H 1,478,000 2,441,232 # Kingsoft Corp., Ltd. 225,000 697,313 Kunlun Energy Co., Ltd. 2,880,000 4,492,657 # Lenovo Group, Ltd. 5,013,278 5,699,947 Longfor Properties Co., Ltd. 1,367,000 1,768,951 #* Metallurgical Corp. of China, Ltd. Class H 2,646,000 502,361 * New China Life Insurance Co., Ltd. Class H 490,700 1,444,478 New World China Land, Ltd. 2,554,000 2,116,949 # Nine Dragons Paper Holdings, Ltd. 1,905,000 1,253,484 PetroChina Co., Ltd. ADR 143,410 16,538,041 PetroChina Co., Ltd. Class H 2,814,000 3,239,491 PICC Property & Casualty Co., Ltd. Class H 2,357,920 3,116,789 Ping An Insurance Group Co. of China, Ltd. Class H 1,408,000 10,432,134 Shandong Weigao Group Medical Polymer Co., Ltd. Class H 1,204,000 1,219,879 Shanghai Electric Group Co., Ltd. Class H 2,502,000 971,610 # Shanghai Fosun Pharmaceutical Group Co., Ltd. Class H 180,500 613,725 Shanghai Industrial Holdings, Ltd. 701,274 2,162,773 Shanghai Pharmaceuticals Holding Co., Ltd. Class H 569,500 1,044,671 Shenzhou International Group Holdings, Ltd. 534,000 1,835,479 Shimao Property Holdings, Ltd. 1,892,371 3,742,593 Sihuan Pharmaceutical Holdings Group, Ltd. 796,000 873,646 Sino Biopharmaceutical, Ltd. 1,716,000 1,344,460 # Sino-Ocean Land Holdings, Ltd. 2,338,192 1,230,112 Sinopec Shanghai Petrochemical Co., Ltd. Class H 1,693,000 411,557 Sinopec Shanghai Petrochemical Co., Ltd. Sponsored ADR 9,818 239,252 #* Sinopec Yizheng Chemical Fibre Co., Ltd. Class H 671,999 149,572 Sinopharm Group Co., Ltd. Class H 834,400 2,192,564 SOHO China, Ltd. 2,899,263 2,298,869 # Sun Art Retail Group, Ltd. 1,857,500 2,411,587 Tencent Holdings, Ltd. 812,600 51,182,422 Tingyi Cayman Islands Holding Corp. 1,498,000 4,170,221 Tsingtao Brewery Co., Ltd. Class H 186,000 1,354,522 # Uni-President China Holdings, Ltd. 759,000 628,683 # Want Want China Holdings, Ltd. 4,746,000 7,435,815 Weichai Power Co., Ltd. Class H 428,200 1,493,266 # Xinjiang Goldwind Science & Technology Co., Ltd. Class H 129,600 140,999 # Yanzhou Coal Mining Co., Ltd. Class H 928,000 695,206 # Yanzhou Coal Mining Co., Ltd. Sponsored ADR 108,916 813,603 Zhejiang Expressway Co., Ltd. Class H 1,104,000 955,258 Zhuzhou CSR Times Electric Co., Ltd. Class H 276,000 808,059 # Zijin Mining Group Co., Ltd. Class H 5,071,000 1,232,368 # Zoomlion Heavy Industry Science and Technology Co., Ltd. 1,205,600 809,572 #* ZTE Corp. Class H 499,038 1,021,233 ------------ TOTAL CHINA 552,238,266 ------------ COLOMBIA -- (0.7%) Almacenes Exito SA 222,056 3,382,596 Banco de Bogota SA 26,315 949,831 Bancolombia SA 118,695 1,630,346
THE EMERGING MARKETS SERIES CONTINUED
SHARES VALUE++ --------- ----------- COLOMBIA -- (Continued) Bancolombia SA Sponsored ADR 89,105 $ 5,072,748 Cementos Argos SA 383,731 2,140,012 * Cemex Latam Holdings SA 76,527 706,558 Ecopetrol SA 1,016,730 1,892,677 # Ecopetrol SA Sponsored ADR 220,479 8,265,758 Empresa de Energia de Bogota SA ESP 954,210 783,442 Grupo Aval Acciones y Valores 685,577 465,530 Grupo de Inversiones Suramericana SA 1,578 30,785 Grupo Nutresa SA 41,332 580,098 Interconexion Electrica SA ESP 403,142 1,890,208 Isagen SA ESP 886,164 1,448,283 ----------- TOTAL COLOMBIA 29,238,872 ----------- CZECH REPUBLIC -- (0.3%) CEZ A.S. 198,179 5,964,131 Komercni Banka A.S. 15,596 3,596,060 Philip Morris CR A.S. 397 209,558 Telefonica Czech Republic A.S. 175,288 2,657,414 * Unipetrol A.S. 12,131 84,523 ----------- TOTAL CZECH REPUBLIC 12,511,686 ----------- EGYPT -- (0.1%) Commercial International Bank Egypt S.A.E. GDR 516,179 2,602,290 * Egyptian Financial Group-Hermes Holding GDR 676 2,321 * Global Telecom Holding GDR 428,641 1,597,038 ----------- TOTAL EGYPT 4,201,649 ----------- GREECE -- (0.5%) * Alpha Bank AE 1,461,037 1,415,232 * Folli Follie Group 38,413 1,333,348 Hellenic Petroleum SA 102,964 884,001 * Hellenic Telecommunications Organization SA 340,319 5,436,844 * JUMBO SA 145,611 2,355,291 * National Bank of Greece SA 421,006 1,645,902 OPAP SA 238,216 3,804,319 * Piraeus Bank SA 738,292 1,742,352 Public Power Corp. SA 144,358 2,184,368 * Titan Cement Co. SA 51,033 1,608,876 ----------- TOTAL GREECE 22,410,533 ----------- HUNGARY -- (0.3%) * FHB Mortgage Bank P.L.C. 4,179 16,874 Magyar Telekom Telecommunications P.L.C. 574,667 819,865 MOL Hungarian Oil and Gas P.L.C. 44,169 2,541,156 # OTP Bank P.L.C. 302,824 5,782,734 Richter Gedeon Nyrt 145,205 2,486,989 * Tisza Chemical Group P.L.C. 23,981 430,363 ----------- TOTAL HUNGARY 12,077,981 ----------- INDIA -- (7.3%) ABB India, Ltd. 46,035 648,100
THE EMERGING MARKETS SERIES CONTINUED
SHARES VALUE++ --------- ----------- INDIA -- (Continued) ACC, Ltd. 48,539 $ 1,052,997 Adani Enterprises, Ltd. 217,318 1,522,056 Adani Ports and Special Economic Zone, Ltd. 495,151 1,561,186 * Adani Power, Ltd. 722,177 576,679 Aditya Birla Nuvo, Ltd. 56,358 1,038,139 Ambuja Cements, Ltd. 725,767 2,396,898 Apollo Hospitals Enterprise, Ltd. 92,224 1,369,225 Asian Paints, Ltd. 313,359 2,627,494 Aurobindo Pharma, Ltd. 164,305 1,569,117 Axis Bank, Ltd. 270,273 6,832,279 Bajaj Auto, Ltd. 103,111 3,271,218 Bajaj Finserv, Ltd. 39,655 546,560 Bajaj Holdings and Investment, Ltd. 30,727 544,192 Bank of Baroda 95,903 1,302,580 Bank of India 232,954 907,503 Berger Paints India, Ltd. 41,763 168,636 Bharat Electronics, Ltd. 17,301 347,206 Bharat Heavy Electricals, Ltd. 948,553 2,853,603 Bharat Petroleum Corp., Ltd. 153,491 1,158,807 Bharti Airtel, Ltd. 702,394 3,824,380 Bhushan Steel, Ltd. 68,315 503,083 Bosch, Ltd. 11,757 2,048,119 Britannia Industries, Ltd. 31,023 445,675 Cadila Healthcare, Ltd. 59,113 957,650 Cairn India, Ltd. 781,206 4,343,033 Canara Bank 123,779 588,578 Cipla, Ltd. 443,033 2,917,071 Colgate-Palmolive India, Ltd. 46,572 1,113,017 Container Corp. Of India 54,732 873,029 Crompton Greaves, Ltd. 168,242 461,433 Cummins India, Ltd. 74,807 680,120 Dabur India, Ltd. 472,358 1,407,184 Divi's Laboratories, Ltd. 41,087 940,111 DLF, Ltd. 612,132 1,421,086 Dr Reddy's Laboratories, Ltd. 39,086 1,752,087 # Dr Reddy's Laboratories, Ltd. ADR 81,229 3,660,991 Eicher Motors, Ltd. 6,326 652,604 Emami, Ltd. 63,025 498,226 * Essar Oil, Ltd. 395,013 380,649 Exide Industries, Ltd. 287,773 574,505 Federal Bank, Ltd. 455,880 683,939 GAIL India, Ltd. 217,415 1,334,957 GAIL India, Ltd. GDR 28,791 1,071,134 GlaxoSmithKline Consumer Healthcare, Ltd. 8,388 580,157 Glenmark Pharmaceuticals, Ltd. 101,902 1,036,192 GMR Infrastructure, Ltd. 454,854 187,224 Godrej Consumer Products, Ltd. 117,644 1,559,706 Godrej Industries, Ltd. 89,305 445,563 Grasim Industries, Ltd. 6,300 275,421 Havells India, Ltd. 47,385 732,615 HCL Technologies, Ltd. 234,993 5,480,463 HDFC Bank, Ltd. 1,530,953 18,415,560
THE EMERGING MARKETS SERIES CONTINUED
SHARES VALUE++ --------- ----------- INDIA -- (Continued) Hero MotoCorp, Ltd. 94,817 $ 3,491,006 Hindalco Industries, Ltd. 1,568,921 3,543,364 Hindustan Petroleum Corp., Ltd. 84,602 453,192 ICICI Bank, Ltd. 219,984 4,559,699 ICICI Bank, Ltd. Sponsored ADR 208,679 8,904,333 IDBI Bank, Ltd. 346,191 393,083 Idea Cellular, Ltd. 805,036 1,817,754 IDFC, Ltd. 601,656 1,119,393 Indian Oil Corp., Ltd. 324,835 1,426,694 IndusInd Bank, Ltd. 233,807 1,861,852 Infosys, Ltd. 246,907 13,124,831 # Infosys, Ltd. Sponsored ADR 211,972 11,385,016 ING Vysya Bank, Ltd. 25,010 236,010 Ipca Laboratories, Ltd. 18,943 262,878 ITC, Ltd. 2,345,449 13,243,148 Jaiprakash Associates, Ltd. 1,336,264 1,203,088 Jindal Steel & Power, Ltd. 437,143 1,855,834 JSW Energy, Ltd. 592,161 521,959 JSW Steel, Ltd. 147,966 2,674,106 * Jubilant Foodworks, Ltd. 18,139 285,179 Kotak Mahindra Bank, Ltd. 354,265 4,735,135 Larsen & Toubro, Ltd. 345,693 7,454,343 Larsen & Toubro, Ltd. GDR 5,358 116,052 LIC Housing Finance, Ltd. 53,635 233,762 Lupin, Ltd. 134,973 2,222,251 Mahindra & Mahindra, Ltd. 357,872 6,407,298 * Mangalore Refinery & Petrochemicals, Ltd. 355,103 355,724 * Marico Kaya Enterprises, Ltd. 2,327 4,702 Marico, Ltd. 131,105 447,605 Maruti Suzuki India, Ltd. 82,439 2,638,956 Motherson Sumi Systems, Ltd. 237,292 1,004,379 Mphasis, Ltd. 73,800 508,514 National Aluminium Co., Ltd. 125,699 79,643 Nestle India, Ltd. 16,603 1,310,857 NHPC, Ltd. 3,201,628 1,006,596 NTPC, Ltd. 924,696 1,782,152 Oberoi Realty, Ltd. 13,876 47,829 Oil & Natural Gas Corp., Ltd. 699,873 3,794,212 Oil India, Ltd. 100,495 801,422 * Oracle Financial Services Software, Ltd. 19,531 972,049 Petronet LNG, Ltd. 201,679 482,647 Pidilite Industries, Ltd. 144,452 767,878 Piramal Enterprises, Ltd. 60,551 546,096 Power Grid Corp. of India, Ltd. 1,095,210 1,925,848 Procter & Gamble Hygiene & Health Care, Ltd. 7,944 447,409 * Ranbaxy Laboratories, Ltd. 137,683 1,082,478 Reliance Capital, Ltd. 97,310 574,441 Reliance Communications, Ltd. 700,196 1,429,315 Reliance Industries, Ltd. 1,443,896 22,451,283 Reliance Infrastructure, Ltd. 137,634 1,172,636 * Reliance Power, Ltd. 807,301 916,789 Rural Electrification Corp., Ltd. 47,495 187,059
THE EMERGING MARKETS SERIES CONTINUED
SHARES VALUE++ ---------- ------------ INDIA -- (Continued) Sesa Sterlite, Ltd. 1,599,539 $ 4,934,524 Shree Cement, Ltd. 10,489 992,985 Shriram Transport Finance Co., Ltd. 76,457 923,448 Siemens, Ltd. 100,767 1,159,646 SJVN, Ltd. 381,249 143,803 State Bank of India 150,711 5,207,757 Steel Authority of India, Ltd. 346,711 391,450 Sun Pharmaceutical Industries, Ltd. 647,332 6,834,757 Sun TV Network, Ltd. 120,543 748,523 Tata Chemicals, Ltd. 6,064 28,646 Tata Consultancy Services, Ltd. 504,640 18,333,675 Tata Global Beverages, Ltd. 370,091 921,975 Tata Motors, Ltd. 679,237 4,722,814 Tata Motors, Ltd. Sponsored ADR 80,428 3,009,616 Tata Power Co., Ltd. 1,216,011 1,577,127 Tata Steel, Ltd. 511,418 3,410,010 Tech Mahindra, Ltd. 132,898 4,025,200 Titan Co., Ltd. 207,778 875,956 Ultratech Cement, Ltd. 52,355 1,766,944 Union Bank of India 151,552 381,557 United Breweries, Ltd. 66,842 873,336 United Spirits, Ltd. 81,795 3,761,013 Wipro, Ltd. 654,733 5,714,055 Wockhardt, Ltd. 2,562 32,691 Yes Bank, Ltd. 254,612 1,876,397 Zee Entertainment Enterprises, Ltd. 374,353 1,633,310 ------------ TOTAL INDIA 308,691,031 ------------ INDONESIA -- (2.9%) Adaro Energy Tbk PT 20,000,400 2,057,734 AKR Corporindo Tbk PT 2,003,700 826,828 Alam Sutera Realty Tbk PT 8,757,000 403,567 Astra Agro Lestari Tbk PT 576,600 1,468,130 Astra International Tbk PT 20,701,010 13,337,497 Bank Central Asia Tbk PT 12,941,000 12,324,975 Bank Danamon Indonesia Tbk PT 3,779,279 1,339,764 Bank Mandiri Persero Tbk PT 10,999,217 9,397,907 Bank Negara Indonesia Persero Tbk PT 8,726,922 3,647,368 * Bank Pan Indonesia Tbk PT 7,175,000 540,422 Bank Rakyat Indonesia Persero Tbk PT 12,911,600 11,087,897 * Bank Tabungan Pensiunan Nasional Tbk PT 768,500 271,254 * Bayan Resources Tbk PT 79,500 55,053 Bumi Serpong Damai PT 8,847,600 1,198,595 Charoen Pokphand Indonesia Tbk PT 8,662,100 2,832,319 Ciputra Development Tbk PT 3,680,200 323,989 Global Mediacom Tbk PT 11,972,900 2,272,734 Gudang Garam Tbk PT 544,700 2,668,626 Holcim Indonesia Tbk PT 2,051,600 505,224 Indo Tambangraya Megah Tbk PT 518,300 1,145,589 Indocement Tunggal Prakarsa Tbk PT 1,664,500 3,159,040 Indofood CBP Sukses Makmur Tbk PT 1,104,200 956,142 Indofood Sukses Makmur Tbk PT 5,283,200 3,231,902
THE EMERGING MARKETS SERIES CONTINUED
SHARES VALUE++ ---------- ------------ INDONESIA -- (Continued) Indomobil Sukses Internasional Tbk PT 22,000 $ 9,421 Indosat Tbk PT 1,444,600 489,353 Indosat Tbk PT ADR 1,674 28,257 * Inovisi Infracom Tbk PT 753,345 92,677 Japfa Comfeed Indonesia Tbk PT 1,657,100 181,790 Jasa Marga Persero Tbk PT 2,434,600 1,243,868 Kalbe Farma Tbk PT 22,694,500 3,039,501 Lippo Karawaci Tbk PT 31,811,500 2,950,432 Mayora Indah Tbk PT 870,333 2,114,964 Media Nusantara Citra Tbk PT 4,959,900 1,169,364 MNC Investama Tbk PT 13,972,500 371,552 Pakuwon Jati Tbk PT 14,556,300 443,935 * Panasia Indo Resources Tbk PT 75,100 2,241 Perusahaan Gas Negara Persero Tbk PT 10,171,400 4,697,701 Perusahaan Perkebunan London Sumatra Indonesia Tbk PT 1,860,000 395,214 Semen Indonesia Persero Tbk PT 3,291,600 4,243,503 Sinar Mas Agro Resources and Technology Tbk PT 1,116,500 645,127 Sumber Alfaria Trijaya Tbk PT 40,000 1,735 Summarecon Agung Tbk PT 3,805,100 366,761 Surya Citra Media Tbk PT 3,677,800 1,003,163 Tambang Batubara Bukit Asam Persero Tbk PT 1,180,600 1,010,727 Telekomunikasi Indonesia Persero Tbk PT 39,175,700 7,700,001 Telekomunikasi Indonesia Persero Tbk PT Sponsored ADR 10,358 411,213 Tempo Scan Pacific Tbk PT 72,500 18,224 * Tower Bersama Infrastructure Tbk PT 1,684,800 949,041 * Trada Maritime Tbk PT 4,280,400 681,762 Unilever Indonesia Tbk PT 1,693,400 4,302,204 United Tractors Tbk PT 2,113,196 3,973,080 Vale Indonesia Tbk PT 3,653,900 1,125,501 XL Axiata Tbk PT 3,103,400 1,392,006 ------------ TOTAL INDONESIA 120,106,874 ------------ MALAYSIA -- (4.2%) Aeon Co. M Bhd 80,000 360,865 Affin Holdings Bhd 566,000 654,512 # AirAsia Bhd 2,979,300 2,027,132 Alliance Financial Group Bhd 1,628,000 2,236,078 AMMB Holdings Bhd 3,129,359 6,887,507 Astro Malaysia Holdings Bhd 1,000,000 1,020,575 # Axiata Group Bhd 2,732,175 5,635,196 Batu Kawan Bhd 92,000 551,841 Berjaya Land Bhd 95,000 24,158 Berjaya Sports Toto Bhd 759,076 904,367 # BIMB Holdings Bhd 578,300 753,874 Boustead Holdings Bhd 476,786 810,648 British American Tobacco Malaysia Bhd 148,900 2,792,406 * Bumi Armada Bhd 1,350,800 1,656,667 # CIMB Group Holdings Bhd 5,534,976 12,750,320 Dialog Group Bhd 1,832,400 2,017,850 DiGi.Com Bhd 3,732,620 6,342,688 # DRB-Hicom Bhd 1,263,300 967,940 Fraser & Neave Holdings Bhd 90,500 499,214
THE EMERGING MARKETS SERIES CONTINUED
SHARES VALUE++ ---------- ------------ MALAYSIA -- (Continued) # Gamuda Bhd 1,929,900 $ 2,727,947 Genting Bhd 1,962,900 5,899,929 Genting Malaysia Bhd 3,208,600 4,150,183 Genting Plantations Bhd 282,600 961,525 Guinness Anchor Bhd 135,200 596,756 # HAP Seng Consolidated Bhd 753,500 731,650 # Hartalega Holdings Bhd 255,300 495,928 Hong Leong Bank Bhd 627,560 2,692,446 Hong Leong Financial Group Bhd 264,429 1,240,520 # IJM Corp. Bhd 2,456,981 4,807,540 # IOI Corp. Bhd 3,256,605 4,983,134 * IOI Properties Group Bhd 1,536,552 1,263,291 KPJ Healthcare Bhd 9,850 9,775 # Kuala Lumpur Kepong Bhd 491,700 3,646,785 * Kulim Malaysia Bhd 470,200 508,772 Lafarge Malaysia Bhd 410,780 1,144,729 Magnum Bhd 39,300 36,347 # Malayan Banking Bhd 4,820,521 14,632,704 Malaysia Airports Holdings Bhd 823,924 2,032,540 # Malaysia Marine and Heavy Engineering Holdings Bhd 414,500 502,450 #* Malaysian Airline System Bhd 4,055,900 286,845 # Maxis Bhd 2,398,100 5,106,786 #* MISC Bhd 1,386,198 2,769,503 MMC Corp. Bhd 1,351,100 1,158,338 Nestle Malaysia Bhd 189,300 3,974,128 # Parkson Holdings Bhd 620,863 558,818 Petronas Chemicals Group Bhd 2,951,600 6,088,649 Petronas Dagangan Bhd 263,600 2,449,545 Petronas Gas Bhd 530,400 3,820,992 PPB Group Bhd 661,400 3,337,954 Public Bank Bhd 1,174,740 7,251,798 RHB Capital Bhd 895,455 2,275,237 * Sapurakencana Petroleum Bhd 3,829,500 5,062,411 * Shell Refining Co. Federation of Malaya Bhd 108,100 198,176 Sime Darby Bhd 3,096,429 8,957,304 SP Setia Bhd 623,400 576,188 Sunway Bhd 69,700 66,322 Telekom Malaysia Bhd 932,800 1,772,577 Tenaga Nasional Bhd 2,536,450 9,246,017 UEM Sunrise Bhd 2,131,737 1,505,181 UMW Holdings Bhd 992,566 3,274,523 United Plantations Bhd 56,300 435,957 YTL Corp. Bhd 6,655,886 3,283,564 * YTL Power International Bhd 2,606,247 1,254,146 ------------ TOTAL MALAYSIA 176,669,748 ------------ MEXICO -- (5.1%) Alfa S.A.B. de C.V. Class A 4,080,319 10,778,760 Alpek S.A. de C.V. 66,216 113,880 # America Movil S.A.B. de C.V. Series L 37,750,669 38,060,142 # America Movil S.A.B. de C.V. Series L ADR 22,528 452,362 # Arca Continental S.A.B. de C.V. 460,692 2,929,780
THE EMERGING MARKETS SERIES CONTINUED
SHARES VALUE++ --------- ------------ MEXICO -- (Continued) #* Cemex S.A.B. de C.V. 1,938,963 $ 2,463,210 #* Cemex S.A.B. de C.V. Sponsored ADR 1,337,402 16,904,765 # Coca-Cola Femsa S.A.B. de C.V. Series L 298,900 3,348,896 # Coca-Cola Femsa S.A.B. de C.V. Sponsored ADR 13,716 1,535,643 # Controladora Comercial Mexicana S.A.B. de C.V. 628,374 2,353,025 * Corp. Interamericana de Entretenimiento S.A.B. de C.V. Class B 8,726 6,203 El Puerto de Liverpool S.A.B. de C.V. 181,160 1,869,239 Fomento Economico Mexicano S.A.B. de C.V. 1,793,669 16,295,924 Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR 25,918 2,352,577 Grupo Aeroportuario del Sureste S.A.B. de C.V. ADR 34,897 4,266,158 # Grupo Bimbo S.A.B. de C.V. Series A 1,682,198 4,639,216 Grupo Carso S.A.B. de C.V. Series A1 816,105 4,158,266 # Grupo Comercial Chedraui S.A. de C.V. 320,456 984,436 Grupo Elektra S.A.B. de C.V. 7,227 206,904 # Grupo Financiero Banorte S.A.B. de C.V. 2,819,018 18,722,705 # Grupo Financiero Inbursa S.A.B. de C.V. 2,448,606 6,271,830 # Grupo Financiero Santander Mexico S.A.B. de C.V. Class B 665,864 1,590,510 Grupo Financiero Santander Mexico S.A.B. de C.V. Class B ADR 152,244 1,811,704 Grupo Industrial Maseca S.A.B. de C.V. Class B 60,806 94,769 Grupo Mexico S.A.B. de C.V. Series B 4,225,397 12,725,202 * Grupo Qumma S.A. de C.V. Series B 1,591 -- Grupo Televisa S.A.B. Series CPO 2,556,698 16,751,841 Grupo Televisa S.A.B. Sponsored ADR 104,814 3,438,947 #* Impulsora del Desarrollo y El Empleo en America Latina S.A.B. de C.V. 2,373,426 5,462,449 # Industrias Penoles S.A.B. de C.V. 148,997 3,468,919 # Kimberly-Clark de Mexico S.A.B. de C.V. Class A 1,823,400 4,758,241 Mexichem S.A.B. de C.V. 1,224,530 4,562,943 #* Minera Frisco S.A.B. de C.V. 783,633 1,432,765 * OHL Mexico S.A.B. de C.V. 761,383 2,025,272 #* Organizacion Soriana S.A.B. de C.V. Class B 1,112,475 3,223,629 #* Promotora y Operadora de Infraestructura S.A.B. de C.V. 205,899 2,875,370 * Savia SA Class A 120,000 -- # Wal-Mart de Mexico S.A.B. de C.V. Series V 5,248,185 13,278,166 ------------ TOTAL MEXICO 216,214,648 ------------ PERU -- (0.3%) Cementos Pacasmayo SAA ADR 6,659 60,264 Cia de Minas Buenaventura SAA ADR 139,674 1,815,762 Credicorp, Ltd. 65,705 9,806,471 Grana y Montero SA Sponsored ADR 29,627 516,103 * Rio Alto Mining, Ltd. 17,580 34,984 ------------ TOTAL PERU 12,233,584 ------------ PHILIPPINES -- (1.3%) Aboitiz Equity Ventures, Inc. 1,701,400 2,164,385 Aboitiz Power Corp. 1,495,200 1,224,117 Alliance Global Group, Inc. 6,710,300 4,699,635 Ayala Corp. 176,755 2,479,525 Ayala Land, Inc. 5,722,818 3,878,189 Bank of the Philippine Islands 931,913 1,899,664 BDO Unibank, Inc. 1,765,371 3,503,596 China Banking Corp. 1,380 1,707
THE EMERGING MARKETS SERIES CONTINUED
SHARES VALUE++ ---------- ----------- PHILIPPINES -- (Continued) DMCI Holdings, Inc. 1,329,440 $ 2,145,400 Energy Development Corp. 8,586,100 1,077,764 * Fwbc Holdings, Inc. 2,006,957 -- Globe Telecom, Inc. 38,630 1,436,282 International Container Terminal Services, Inc. 1,078,460 2,620,467 JG Summit Holdings, Inc. 1,047,260 1,188,857 Jollibee Foods Corp. 494,300 1,909,150 LT Group, Inc. 1,869,700 770,394 Manila Electric Co. 197,030 1,241,378 Megaworld Corp. 18,982,000 1,987,423 Metro Pacific Investments Corp. 10,407,100 1,187,377 Metropolitan Bank & Trust Co. 1,146,499 2,183,509 Philippine Long Distance Telephone Co. 37,980 2,455,095 # Philippine Long Distance Telephone Co. Sponsored ADR 7,240 466,980 * Philippine National Bank 401,948 787,099 Robinsons Land Corp. 2,175,300 1,091,617 San Miguel Corp. 498,280 934,028 Semirara Mining Corp. 118,900 1,097,373 SM Investments Corp. 282,762 4,609,387 SM Prime Holdings, Inc. 8,563,010 3,143,506 * Top Frontier Investment Holdings, Inc. 42,789 89,814 Universal Robina Corp. 879,930 2,889,481 ----------- TOTAL PHILIPPINES 55,163,199 ----------- POLAND -- (1.9%) * Alior Bank SA 7,899 208,510 Bank Handlowy w Warszawie SA 49,096 1,826,931 #* Bank Millennium SA 701,813 2,061,770 Bank Pekao SA 144,199 9,254,750 # Bank Zachodni WBK SA 25,887 3,182,897 * Cyfrowy Polsat SA 118,752 807,023 Enea SA 126,247 639,199 Eurocash SA 72,770 962,292 * Getin Noble Bank SA 1,106,556 1,346,823 Grupa Azoty SA 30,768 610,209 * Grupa Lotos SA 16,781 216,402 Grupa Zywiec SA 10,403 1,474,027 * ING Bank Slaski SA 37,110 1,666,019 # Jastrzebska Spolka Weglowa SA 38,639 531,962 * KGHM Polska Miedz SA 150,496 5,449,147 LPP SA 625 1,619,343 Lubelski Wegiel Bogdanka SA 26 1,064 # mBank 17,078 2,794,599 Orange Polska SA 768,752 2,626,679 PGE SA 977,835 6,794,780 Polski Koncern Naftowy Orlen SA 422,331 6,323,938 Polskie Gornictwo Naftowe i Gazownictwo SA 1,617,383 2,513,899 Powszechna Kasa Oszczednosci Bank Polski SA 967,168 13,272,814 Powszechny Zaklad Ubezpieczen SA 62,366 8,846,678 # Synthos SA 516,152 813,518
THE EMERGING MARKETS SERIES CONTINUED
SHARES VALUE++ --------- ------------ POLAND -- (Continued) Tauron Polska Energia SA 1,747,863 $ 3,096,386 ------------ TOTAL POLAND 78,941,659 ------------ RUSSIA -- (3.4%) Eurasia Drilling Co., Ltd. GDR 132,758 3,271,104 Gazprom OAO Sponsored ADR 6,186,601 44,710,169 Globaltrans Investment P.L.C. GDR 67,227 640,717 Lukoil OAO Sponsored ADR 430,626 22,797,092 * Magnitogorsk Iron & Steel Works GDR 155,928 329,097 * Mail.ru Group, Ltd. GDR 36,799 1,002,280 #* Mechel Sponsored ADR 170,001 343,402 MegaFon OAO GDR 50,719 1,322,669 MMC Norilsk Nickel OJSC ADR 424,637 7,677,083 Novolipetsk Steel OJSC GDR 97,820 1,140,470 Novorossiysk Commercial Sea Port PJSC GDR 16,447 82,070 O'Key Group SA GDR 33,136 292,530 Phosagro OAO GDR 82,215 958,172 * PIK Group GDR 2,241 5,163 Rosneft OAO GDR 1,266,316 7,961,449 Rostelecom OJSC Sponsored ADR 59,257 771,853 RusHydro JSC ADR 1,434,285 2,231,742 Sberbank of Russia Sponsored ADR 1,463,661 12,329,981 Severstal OAO GDR 247,044 1,746,313 Tatneft OAO Sponsored ADR 309,269 10,637,777 TMK OAO GDR 52,030 414,207 Uralkali OJSC GDR 314,752 6,981,329 VimpelCom, Ltd. Sponsored ADR 581,995 4,888,758 VTB Bank OJSC GDR 3,232,465 6,876,313 * X5 Retail Group NV GDR 123,553 2,177,798 ------------ TOTAL RUSSIA 141,589,538 ------------ SOUTH AFRICA -- (7.9%) # African Bank Investments, Ltd. 709,671 841,536 African Rainbow Minerals, Ltd. 180,656 3,401,594 * Anglo American Platinum, Ltd. 80,583 3,836,963 #* AngloGold Ashanti, Ltd. Sponsored ADR 620,365 11,228,606 * ArcelorMittal South Africa, Ltd. 203,913 717,664 Aspen Pharmacare Holdings, Ltd. 368,286 9,816,052 Assore, Ltd. 42,544 1,646,678 AVI, Ltd. 294,307 1,623,897 Barclays Africa Group, Ltd. 395,609 5,795,302 Barloworld, Ltd. 374,907 4,089,931 # Bidvest Group, Ltd. 385,147 10,575,302 # Capitec Bank Holdings, Ltd. 53,150 1,150,296 Coronation Fund Managers, Ltd. 258,136 2,492,695 Discovery, Ltd. 380,293 3,301,552 Distell Group, Ltd. 30,883 367,091 # Exxaro Resources, Ltd. 166,494 2,272,484 FirstRand, Ltd. 3,475,911 12,789,231 # Foschini Group, Ltd. (The) 261,243 2,699,944 Gold Fields, Ltd. Sponsored ADR 979,444 4,143,048 Impala Platinum Holdings, Ltd. 756,929 8,533,074
THE EMERGING MARKETS SERIES CONTINUED
SHARES VALUE++ --------- ------------ SOUTH AFRICA -- (Continued) Imperial Holdings, Ltd. 238,848 $ 4,454,661 Investec, Ltd. 361,913 3,185,350 # Kumba Iron Ore, Ltd. 89,688 3,194,217 Liberty Holdings, Ltd. 172,373 2,067,632 Life Healthcare Group Holdings, Ltd. 1,081,237 4,299,588 Massmart Holdings, Ltd. 103,729 1,374,871 Mediclinic International, Ltd. 434,871 3,041,851 MMI Holdings, Ltd. 1,850,766 4,653,139 Mondi, Ltd. 212,776 3,543,062 Mr Price Group, Ltd. 278,233 4,192,431 MTN Group, Ltd. 1,869,995 37,515,477 Nampak, Ltd. 917,727 3,423,728 Naspers, Ltd. Class N 444,856 42,038,561 # Nedbank Group, Ltd. 341,928 7,329,876 Netcare, Ltd. 1,842,541 4,469,703 # Pick n Pay Stores, Ltd. 279,886 1,599,246 PPC, Ltd. 60,146 174,996 PSG Group, Ltd. 61,341 607,556 Sanlam, Ltd. 2,264,361 12,130,501 Santam, Ltd. 36,574 738,444 Sasol, Ltd. 35,602 1,995,289 Sasol, Ltd. Sponsored ADR 609,116 33,751,118 Shoprite Holdings, Ltd. 503,929 8,430,119 Spar Group, Ltd. (The) 171,619 2,016,406 Standard Bank Group, Ltd. 1,498,309 19,686,203 Steinhoff International Holdings, Ltd. 2,068,052 10,746,303 Tiger Brands, Ltd. 170,081 4,550,012 Truworths International, Ltd. 508,009 4,081,489 Tsogo Sun Holdings, Ltd. 288,868 755,157 # Vodacom Group, Ltd. 418,672 4,996,495 Woolworths Holdings, Ltd. 788,404 5,365,653 ------------ TOTAL SOUTH AFRICA 331,732,074 ------------ SOUTH KOREA -- (13.9%) Amorepacific Corp. 2,883 3,728,076 AMOREPACIFIC Group 3,010 1,557,250 BS Financial Group, Inc. 238,870 3,657,339 #* Celltrion, Inc. 56,704 2,644,166 Cheil Industries, Inc. 51,812 3,308,638 * Cheil Worldwide, Inc. 87,060 2,119,085 # CJ CheilJedang Corp. 8,825 2,649,635 # CJ Corp. 25,178 3,049,376 #* CJ Korea Express Co., Ltd. 5,587 590,466 Coway Co., Ltd. 50,818 4,016,732 Daelim Industrial Co., Ltd. 36,223 2,955,721 #* Daewoo Engineering & Construction Co., Ltd. 133,508 1,107,539 # Daewoo International Corp. 43,083 1,511,127 #* Daewoo Securities Co., Ltd. 220,281 1,809,854 # Daewoo Shipbuilding & Marine Engineering Co., Ltd. 109,830 3,187,570 Dongbu Insurance Co., Ltd. 46,663 2,579,006 Doosan Corp. 13,034 1,680,048 Doosan Heavy Industries & Construction Co., Ltd. 67,109 2,268,365
THE EMERGING MARKETS SERIES CONTINUED
SHARES VALUE++ ------- ----------- SOUTH KOREA -- (Continued) * Doosan Infracore Co., Ltd. 150,610 $ 1,821,193 E-Mart Co., Ltd. 25,293 5,783,654 Grand Korea Leisure Co., Ltd. 7,100 296,902 #* GS Engineering & Construction Corp. 38,637 1,363,200 GS Holdings 66,625 3,108,991 Halla Visteon Climate Control Corp. 4,410 184,526 Hana Financial Group, Inc. 316,379 11,163,769 Hankook Tire Co., Ltd. 66,995 3,886,906 # Hanwha Chemical Corp. 98,760 1,750,190 Hanwha Corp. 47,620 1,388,075 # Hanwha Life Insurance Co., Ltd. 219,350 1,429,666 # Hite Jinro Co., Ltd. 22,640 548,950 # Hotel Shilla Co., Ltd. 29,607 2,493,245 Hyosung Corp. 15,325 1,094,866 Hyundai Department Store Co., Ltd. 17,135 2,209,600 Hyundai Engineering & Construction Co., Ltd. 77,500 4,195,836 Hyundai Glovis Co., Ltd. 11,990 2,828,124 Hyundai Heavy Industries Co., Ltd. 44,760 8,415,511 Hyundai Marine & Fire Insurance Co., Ltd. 68,600 2,012,688 Hyundai Mobis 67,404 19,256,211 # Hyundai Motor Co. 151,763 33,838,057 # Hyundai Steel Co. 79,803 5,229,037 Hyundai Wia Corp. 14,396 2,373,621 Industrial Bank of Korea 252,200 3,106,418 Kangwon Land, Inc. 114,660 3,316,538 KB Financial Group, Inc. 344,645 11,789,889 KB Financial Group, Inc. ADR 97,918 3,361,525 KCC Corp. 6,039 3,011,501 # KEPCO Engineering & Construction Co., Inc. 8,507 507,236 KEPCO Plant Service & Engineering Co., Ltd. 12,199 792,598 Kia Motors Corp. 270,079 14,984,572 Korea Aerospace Industries, Ltd. 34,130 1,089,329 Korea Electric Power Corp. 197,690 7,558,630 * Korea Electric Power Corp. Sponsored ADR 2,700 51,678 * Korea Gas Corp. 25,872 1,549,386 Korea Investment Holdings Co., Ltd. 32,780 1,204,014 Korea Zinc Co., Ltd. 8,923 2,940,341 * Korean Air Lines Co., Ltd. 9,321 299,711 KT Corp. 23,160 738,205 KT Corp. Sponsored ADR 2,026 32,234 # KT&G Corp. 100,502 8,054,435 # Kumho Petro chemical Co., Ltd. 15,006 1,272,424 LG Chem, Ltd. 46,860 11,961,419 LG Corp. 114,378 6,377,905 * LG Display Co., Ltd. 143,050 3,809,951 #* LG Display Co., Ltd. ADR 498,050 6,629,046 # LG Electronics, Inc. 118,452 7,889,609 # LG Household & Health Care, Ltd. 8,626 3,949,816 LG Uplus Corp. 300,300 2,957,607 # Lotte Chemical Corp. 21,503 3,403,974 Lotte Confectionery Co., Ltd. 321 550,373 Lotte Shopping Co., Ltd. 12,940 4,013,021
THE EMERGING MARKETS SERIES CONTINUED
SHARES VALUE++ ---------- ------------ SOUTH KOREA -- (Continued) LS Corp. 19,070 $ 1,495,795 Macquarie Korea Infrastructure Fund 200,980 1,244,624 Mando Corp. 10,816 1,301,141 Naver Corp. 27,242 19,617,420 # NCSoft Corp. 14,464 2,878,034 #* OCI Co., Ltd. 16,339 2,871,114 # Orion Corp. 3,321 2,537,363 Paradise Co., Ltd. 5,829 217,151 POSCO 47,828 14,129,742 POSCO ADR 67,985 5,003,696 S-1 Corp. 15,382 1,169,998 # S-Oil Corp. 47,441 2,776,390 Samsung C&T Corp. 143,779 9,041,935 Samsung Card Co., Ltd. 23,720 861,562 # Samsung Electro-Mechanics Co., Ltd. 81,053 5,209,385 Samsung Electronics Co., Ltd. 81,120 105,777,262 Samsung Electronics Co., Ltd. GDR 49,372 31,872,757 #* Samsung Engineering Co., Ltd. 27,417 2,058,100 Samsung Fire & Marine Insurance Co., Ltd. 37,748 8,966,310 # Samsung Heavy Industries Co., Ltd. 168,600 4,618,368 Samsung Life Insurance Co., Ltd. 59,292 5,518,326 Samsung SDI Co., Ltd. 39,230 5,760,786 # Samsung Securities Co., Ltd. 70,938 2,710,896 # Samsung Techwin Co., Ltd. 34,401 1,931,439 Shinhan Financial Group Co., Ltd. 374,876 16,362,733 # Shinhan Financial Group Co., Ltd. ADR 86,082 3,753,175 Shinsegae Co., Ltd. 6,575 1,427,494 SK C&C Co., Ltd. 19,871 2,727,634 SK Holdings Co., Ltd. 37,523 6,655,836 * SK Hynix, Inc. 512,610 19,988,432 SK Innovation Co., Ltd. 69,006 7,905,282 * SK Networks Co., Ltd. 5,020 46,283 SK Telecom Co., Ltd. 8,002 1,656,853 * Woori Finance Holdings Co., Ltd. 419,590 4,602,902 #* Woori Finance Holdings Co., Ltd. ADR 1,223 40,365 Woori Investment & Securities Co., Ltd. 147,510 1,249,318 Young Poong Corp. 176 202,709 ------------ TOTAL SOUTH KOREA 584,484,806 ------------ TAIWAN -- (13.3%) #* Acer, Inc. 3,709,040 2,293,657 Advanced Semiconductor Engineering, Inc. 6,951,929 8,095,259 # Advanced Semiconductor Engineering, Inc. ADR 77,739 459,438 Advantech Co., Ltd. 292,200 1,892,541 # Airtac International Group 105,000 1,129,331 Asia Cement Corp. 3,097,802 4,075,454 # Asustek Computer, Inc. 861,180 8,903,767 * AU Optronics Corp. 15,243,873 5,795,209 * AU Optronics Corp. Sponsored ADR 326,626 1,228,114 # Catcher Technology Co., Ltd. 866,429 7,315,755 Cathay Financial Holding Co., Ltd. 8,568,048 12,115,089 Cathay Real Estate Development Co., Ltd. 839,000 486,854
THE EMERGING MARKETS SERIES CONTINUED
SHARES VALUE++ ---------- ----------- TAIWAN -- (Continued) Chang Hwa Commercial Bank 6,496,043 $ 3,776,676 Cheng Shin Rubber Industry Co., Ltd. 2,012,965 5,781,612 Cheng Uei Precision Industry Co., Ltd. 384,109 773,149 Chicony Electronics Co., Ltd. 639,574 1,665,553 * China Airlines, Ltd. 5,286,536 1,769,329 China Development Financial Holding Corp. 19,411,121 5,567,282 China Life Insurance Co., Ltd. 2,925,797 2,563,222 China Motor Corp. 649,000 587,845 # China Petrochemical Development Corp. 2,243,613 884,634 # China Steel Chemical Corp. 148,000 853,935 # China Steel Corp. 13,451,895 11,303,772 # Chipbond Technology Corp. 575,000 984,830 Chunghwa Telecom Co., Ltd. 1,193,000 3,730,572 # Chunghwa Telecom Co., Ltd. ADR 236,502 7,423,798 Clevo Co. 550,075 1,013,983 Compal Electronics, Inc. 7,470,541 5,329,719 # CTBC Financial Holding Co., Ltd. 15,898,997 9,459,419 CTCI Corp. 638,000 1,018,892 Delta Electronics, Inc. 1,992,366 12,232,479 * E.Sun Financial Holding Co., Ltd.() 623,678 67,122 E.Sun Financial Holding Co., Ltd.(6433912) 6,846,651 4,141,266 Eclat Textile Co., Ltd. 188,120 2,062,587 # Epistar Corp. 1,230,000 2,691,676 * Eva Airways Corp. 2,723,600 1,381,575 * Evergreen Marine Corp. Taiwan, Ltd. 2,443,249 1,389,055 Far Eastern Department Stores, Ltd. 1,529,993 1,425,273 Far Eastern New Century Corp. 4,044,335 4,144,046 Far EasTone Telecommunications Co., Ltd. 2,054,000 4,441,128 Farglory Land Development Co., Ltd. 648,393 1,063,453 Feng Hsin Iron & Steel Co. 214,000 358,805 Feng TAY Enterprise Co., Ltd. 253,000 700,566 First Financial Holding Co., Ltd. 9,531,371 5,591,207 Formosa Chemicals & Fibre Corp. 3,755,518 9,094,260 Formosa International Hotels Corp. 31,460 370,011 Formosa Petrochemical Corp. 1,244,000 3,128,895 Formosa Plastics Corp. 4,827,153 12,455,899 Formosa Taffeta Co., Ltd. 848,000 886,851 Foxconn Technology Co., Ltd. 1,290,237 3,210,396 Fubon Financial Holding Co., Ltd. 7,900,233 10,225,124 Giant Manufacturing Co., Ltd. 295,506 2,313,770 Ginko International Co., Ltd. 28,000 471,178 # Gourmet Master Co., Ltd. 33,000 267,509 #* HannStar Display Corp. 3,348,000 1,161,322 Highwealth Construction Corp. 530,200 1,183,786 # Hiwin Technologies Corp. 187,173 1,782,738 Hon Hai Precision Industry Co., Ltd. 12,802,056 36,767,003 Hotai Motor Co., Ltd. 278,000 3,261,971 # HTC Corp. 1,028,235 5,287,848 Hua Nan Financial Holdings Co., Ltd. 7,280,828 4,101,780 #* Innolux Corp. 16,126,341 5,570,849 #* Inotera Memories, Inc. 3,117,000 3,201,736 Inventec Corp. 3,189,551 2,941,039
THE EMERGING MARKETS SERIES CONTINUED
SHARES VALUE++ ---------- ----------- TAIWAN -- (Continued) Kenda Rubber Industrial Co., Ltd. 632,481 $ 1,471,042 Kinsus Interconnect Technology Corp. 552,000 2,087,145 Largan Precision Co., Ltd. 105,860 6,627,768 LCY Chemical Corp. 434,123 446,833 Lite-On Technology Corp. 3,274,358 5,009,018 # Lung Yen Life Service Corp. 117,000 318,686 * Macronix International 532,218 125,522 MediaTek, Inc. 1,280,995 20,073,171 * Medigen Biotechnology Corp. 26,000 313,264 Mega Financial Holding Co., Ltd. 10,995,904 8,418,262 Merida Industry Co., Ltd. 210,750 1,412,953 * Nan Kang Rubber Tire Co., Ltd. 534,780 607,970 Nan Ya Plastics Corp. 5,550,599 12,171,635 # Novatek Microelectronics Corp. 631,000 2,924,959 Oriental Union Chemical Corp. 248,000 246,603 Pegatron Corp. 3,464,345 5,257,146 # Phison Electronics Corp. 146,000 994,247 Pou Chen Corp. 2,930,487 3,731,348 # Powertech Technology, Inc. 929,819 1,504,847 President Chain Store Corp. 696,831 5,185,199 Quanta Computer, Inc. 2,622,000 7,194,188 # Radiant Opto-Electronics Corp. 730,170 2,943,874 Realtek Semiconductor Corp. 551,950 1,575,852 # Ruentex Development Co., Ltd. 945,351 1,675,334 Ruentex Industries, Ltd. 828,182 1,969,602 # Sanyang Industry Co., Ltd. 776,000 710,602 # ScinoPharm Taiwan, Ltd. 245,440 668,154 # Shin Kong Financial Holding Co., Ltd. 12,020,708 3,640,912 Siliconware Precision Industries Co. 3,473,324 5,146,662 Siliconware Precision Industries Co. Sponsored ADR 67,173 498,424 Simplo Technology Co., Ltd. 419,000 2,182,809 SinoPac Financial Holdings Co., Ltd. 9,553,105 4,264,313 # St Shine Optical Co., Ltd. 52,000 1,104,025 # Standard Foods Corp. 306,784 844,026 Synnex Technology International Corp. 1,493,756 2,324,667 Taishin Financial Holding Co., Ltd. 10,852,483 4,929,188 * Taiwan Business Bank 4,885,871 1,425,597 Taiwan Cement Corp. 4,294,720 6,824,040 Taiwan Cooperative Financial Holding Co., Ltd. 8,088,371 4,302,749 Taiwan FamilyMart Co., Ltd. 33,000 229,804 # Taiwan Fertilizer Co., Ltd. 1,141,000 2,270,561 Taiwan Glass Industry Corp. 1,184,253 1,084,174 Taiwan Mobile Co., Ltd. 1,801,300 5,814,349 Taiwan Secom Co., Ltd. 49,000 124,224 Taiwan Semiconductor Manufacturing Co., Ltd. 25,188,808 98,975,776 # Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored ADR 223,463 4,491,606 Teco Electric and Machinery Co., Ltd. 2,803,000 3,048,149 # Ton Yi Industrial Corp. 820,000 873,689 Transcend Information, Inc. 231,181 763,641 Tripod Technology Corp. 482,870 951,760 TSRC Corp. 633,300 929,963 U-Ming Marine Transport Corp. 551,860 929,299
THE EMERGING MARKETS SERIES CONTINUED
SHARES VALUE++ ---------- ------------ TAIWAN -- (Continued) Uni-President Enterprises Corp. 5,303,515 $ 8,978,838 # Unimicron Technology Corp. 1,848,896 1,573,725 # United Microelectronics Corp. 18,189,000 7,930,679 Vanguard International Semiconductor Corp. 999,000 1,369,019 * Walsin Lihwa Corp. 3,769,000 1,238,117 Wan Hai Lines, Ltd. 1,104,800 551,297 #* Wintek Corp. 1,832,760 614,259 # Wistron Corp. 4,093,444 3,420,498 WPG Holdings, Ltd. 2,051,869 2,524,266 * Yang Ming Marine Transport Corp. 1,948,300 797,937 Yuanta Financial Holding Co., Ltd. 12,335,577 6,157,725 # Yulon Motor Co., Ltd. 1,152,000 1,792,649 # Zhen Ding Technology Holding, Ltd. 359,700 1,044,574 ------------ TOTAL TAIWAN 559,286,107 ------------ THAILAND -- (2.5%) Advanced Info Service PCL 1,088,500 8,140,204 Airports of Thailand PCL 423,700 2,553,198 Bangkok Bank PCL(6077019) 329,000 1,921,539 Bangkok Bank PCL(6368360) 575,500 3,352,341 Bangkok Dusit Medical Services PCL 5,300,000 2,423,980 Bangkok Life Assurance PCL 482,000 1,053,816 Banpu PCL 1,479,200 1,371,323 BEC World PCL 810,000 1,370,442 Berli Jucker PCL 555,800 820,131 Big C Supercenter PCL(6763932) 24,600 144,438 Big C Supercenter PCL(6368434) 333,200 1,956,366 Bumrungrad Hospital PCL 248,700 753,171 Central Pattana PCL 1,308,100 1,829,157 Central Plaza Hotel PCL 709,700 679,873 Charoen Pokphand Foods PCL 2,881,300 2,404,051 CP ALL PCL 3,242,700 4,208,696 Delta Electronics Thailand PCL 480,400 846,193 Electricity Generating PCL 175,000 711,140 Glow Energy PCL 445,700 1,070,864 Home Product Center PCL 3,844,917 1,063,412 Indorama Ventures PCL 1,887,300 1,388,064 Intouch Holdings PCL 488,100 1,176,508 IRPC PCL 11,139,400 1,266,780 Jasmine International PCL 3,720,300 954,218 Kasikornbank PCL(6364766) 52,000 307,726 Kasikornbank PCL(6888794) 1,146,600 6,962,512 Krung Thai Bank PCL 6,579,087 3,679,897 Land and Houses PCL(6581930) 790,000 246,570 Land and Houses PCL(6581941) 2,961,500 906,021 Minor International PCL 1,542,100 1,172,301 Pruksa Real Estate PCL 1,316,900 911,575 PTT Exploration & Production PCL(B1359J0) 1,463,555 7,213,752 PTT Exploration & Production PCL(B1359L2) 65,409 322,396 PTT Global Chemical PCL 1,778,472 3,833,388 PTT PCL 1,203,800 11,643,677 Ratchaburi Electricity Generating Holding PCL(6362771) 74,600 122,758
THE EMERGING MARKETS SERIES CONTINUED
SHARES VALUE++ ---------- -------------- THAILAND -- (Continued) Ratchaburi Electricity Generating Holding PCL(6294249) 521,300 $ 857,825 Robinson Department Store PCL 428,200 668,235 Siam Cement PCL (The)(6609906) 166,400 2,241,978 Siam Cement PCL (The)(6609928) 126,100 1,691,205 Siam City Cement PCL 127,413 1,519,821 Siam Commercial Bank PCL (The) 1,203,066 6,152,887 Siam Global House PCL 1,033,316 431,081 * Thai Airways International PCL 131,300 52,747 Thai Oil PCL 1,007,500 1,626,758 Thai Union Frozen Products PCL 452,560 978,962 Thaicom PCL 386,700 483,972 TMB Bank PCL 19,412,000 1,379,716 Total Access Communication PCL(B1YWK08) 753,700 2,899,742 Total Access Communication PCL(B231MK7) 214,100 827,024 * True Corp. PCL 5,807,400 1,211,371 -------------- TOTAL THAILAND 103,805,802 -------------- TURKEY -- (1.7%) Akbank TAS 2,127,222 7,468,075 # Anadolu Efes Biracilik Ve Malt Sanayii A.S. 223,199 2,676,901 # Arcelik A.S. 303,162 1,873,906 Aselsan Elektronik Sanayi Ve Ticaret A.S. 97,871 435,788 BIM Birlesik Magazalar A.S. 236,317 5,470,397 Coca-Cola Icecek A.S. 67,443 1,583,973 * Dogan Yayin Holding A.S. 1 -- Enka Insaat ve Sanayi A.S. 458,239 1,392,934 # Eregli Demir ve Celik Fabrikalari TAS 2,104,839 2,928,833 Ford Otomotiv Sanayi A.S. 77,123 872,677 # KOC Holding A.S. 739,097 3,312,022 # Koza Altin Isletmeleri A.S. 48,987 491,229 #* Migros Ticaret A.S. 33,309 301,090 * Petkim Petrokimya Holding A.S. 80,883 115,339 # TAV Havalimanlari Holding A.S. 172,250 1,383,023 Tofas Turk Otomobil Fabrikasi A.S. 144,924 889,513 Tupras Turkiye Petrol Rafinerileri A.S. 123,271 2,788,741 Turk Hava Yollari 1,036,101 3,326,710 # Turk Telekomunikasyon A.S. 563,410 1,695,828 Turk Traktor ve Ziraat Makineleri A.S. 12,442 358,702 #* Turkcell Iletisim Hizmetleri A.S. 681,855 3,982,355 #* Turkcell Iletisim Hizmetleri A.S. ADR 73,838 1,069,174 Turkiye Garanti Bankasi A.S. 2,543,390 9,369,080 Turkiye Halk Bankasi A.S. 731,737 4,919,917 Turkiye Is Bankasi 1,910,546 4,518,419 Turkiye Sise ve Cam Fabrikalari A.S. 711,487 893,097 # Turkiye Vakiflar Bankasi Tao 1,209,629 2,540,362 # Ulker Biskuvi Sanayi A.S. 121,920 934,313 # Yapi ve Kredi Bankasi A.S. 1,011,449 2,114,654 -------------- TOTAL TURKEY 69,707,052 -------------- TOTAL COMMON STOCKS 3,740,069,234 --------------
THE EMERGING MARKETS SERIES CONTINUED
SHARES VALUE++ --------- ------------ PREFERRED STOCKS -- (4.3%) BRAZIL -- (4.2%) AES Tiete SA 135,998 $ 1,067,978 Alpargatas SA 15,085 74,419 Banco Bradesco SA 2,233,995 33,253,187 Banco do Estado do Rio Grande do Sul SA Class B 200,100 1,122,660 Braskem SA Class A 73,800 503,750 Centrais Eletricas Brasileiras SA Class B 201,800 1,141,248 Cia Brasileira de Distribuicao Grupo Pao de Acucar 95,700 4,528,019 Cia de Gas de Sao Paulo Class A 22,527 495,548 Cia de Transmissao de Energia Eletrica Paulista 37,389 413,337 Cia Energetica de Minas Gerais 735,624 5,605,228 Cia Energetica de Sao Paulo Class B 229,010 2,714,535 Cia Paranaense de Energia 73,900 1,058,910 * Empresa Nacional de Comercio Redito e Participacoes SA 380 4,942 Gerdau SA 836,068 5,013,221 Itau Unibanco Holding SA 2,568,240 42,386,470 Itau Unibanco Holding SA ADR 116,961 1,913,475 Lojas Americanas SA 471,267 3,569,772 Marcopolo SA 290,900 533,594 Oi SA 810,058 777,453 Petroleo Brasileiro SA 935,300 6,950,520 Petroleo Brasileiro SA Sponsored ADR 1,981,166 29,321,257 Suzano Papel e Celulose SA Class A 419,600 1,368,087 Telefonica Brasil SA 260,184 5,465,643 * Usinas Siderurgicas de Minas Gerais SA Class A 609,817 2,384,843 Vale SA 1,529,491 18,122,728 Vale SA Sponsored ADR 483,572 5,740,000 ------------ TOTAL BRAZIL 175,530,824 ------------ CHILE -- (0.0%) Embotelladora Andina SA Class B 9,255 37,233 ------------ COLOMBIA -- (0.1%) Avianca Holdings SA 81,066 168,070 Banco Davivienda SA 114,619 1,632,362 Bancolombia SA 10,827 153,188 Grupo Aval Acciones y Valores 1,656,267 1,120,385 Grupo de Inversiones Suramericana SA 71,854 1,417,360 ------------ TOTAL COLOMBIA 4,491,365 ------------ INDIA -- (0.0%) Zee Entertainment Enterprises, Ltd., 6.000% 8,184,078 104,480 ------------ TOTAL PREFERRED STOCKS 180,163,902 ------------ RIGHTS/WARRANTS -- (0.0%) BRAZIL -- (0.0%) * AMBEV SA Rights 05/27/14 1,197 134 * Cia De Gas De Sao Paulo Comgas Rights 05/28/14 385 -- * Klabin SA Rights 05/23/14 22,582 1,013 ------------ TOTAL BRAZIL 1,147 ------------
THE EMERGING MARKETS SERIES CONTINUED
SHARES VALUE++ ---------- -------------- HONG KONG -- (0.0%) #* Fosun International, Ltd. Rights 05/12/14 133,959 $ 674 -------------- PHILIPPINES -- (0.0%) * China Banking Corp. Rights 05/07/14 156 19 -------------- SOUTH KOREA -- (0.0%) * GS Engineering & Construction Corp. Rights 06/03/14 12,473 105,022 -------------- THAILAND -- (0.0%) * LH W3 R Warrants 04/29/17 592,300 117,142 * LH W3 Warrants 04/29/17 158,000 32,225 -------------- TOTAL THAILAND 149,367 -------------- TOTAL RIGHTS/WARRANTS 256,229 -------------- SHARES/ FACE AMOUNT (000) VALUE+ ---------- -------------- SECURITIES LENDING COLLATERAL -- (6.8%) (S)@ DFA Short Term Investment Fund 24,744,687 286,296,034 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $3,075,524,424) $4,206,785,399 ==============
THE EMERGING MARKETS SERIES CONTINUED Summary of the Series' investments as of April 30, 2014, 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 $ 284,053,598 -- -- $ 284,053,598 Chile 64,710,527 -- -- 64,710,527 China 119,688,115 $ 432,550,151 -- 552,238,266 Colombia 29,238,872 -- -- 29,238,872 Czech Republic -- 12,511,686 -- 12,511,686 Egypt -- 4,201,649 -- 4,201,649 Greece -- 22,410,533 -- 22,410,533 Hungary -- 12,077,981 -- 12,077,981 India 26,959,956 281,731,075 -- 308,691,031 Indonesia 441,711 119,665,163 -- 120,106,874 Malaysia -- 176,669,748 -- 176,669,748 Mexico 216,214,648 -- -- 216,214,648 Peru 12,233,584 -- -- 12,233,584 Philippines 466,980 54,696,219 -- 55,163,199 Poland -- 78,941,659 -- 78,941,659 Russia 5,314,230 136,275,308 -- 141,589,538 South Africa 49,122,772 282,609,302 -- 331,732,074 South Korea 18,871,719 565,613,087 -- 584,484,806 Taiwan 14,168,502 545,117,605 -- 559,286,107 Thailand 103,805,802 -- -- 103,805,802 Turkey 1,069,174 68,637,878 -- 69,707,052 Preferred Stocks Brazil 175,530,824 -- -- 175,530,824 Chile 37,233 -- -- 37,233 Colombia 4,491,365 -- -- 4,491,365 India 104,480 -- -- 104,480 Rights/Warrants Brazil -- 1,147 -- 1,147 Hong Kong -- 674 -- 674 Philippines -- 19 -- 19 South Korea -- 105,022 -- 105,022 Thailand -- 149,367 -- 149,367 Securities Lending Collateral -- 286,296,034 -- 286,296,034 -------------- -------------- -- -------------- TOTAL $1,126,524,092 $3,080,261,307 -- $4,206,785,399 ============== ============== == ==============
THE EMERGING MARKETS SMALL CAP SERIES SCHEDULE OF INVESTMENTS APRIL 30, 2014 (UNAUDITED)
SHARES VALUE++ --------- ----------- COMMON STOCKS -- (87.9%) BRAZIL -- (6.9%) Abril Educacao SA 256,449 $ 3,277,842 Aliansce Shopping Centers SA 790,850 6,526,123 ALL - America Latina Logistica SA 2,092,128 8,285,005 Alpargatas SA 98,003 443,480 Anhanguera Educacional Participacoes SA 2,379,735 14,728,262 Arezzo Industria e Comercio SA 397,935 4,452,732 Autometal SA 304,359 2,525,234 * B2W Cia Digital 629,960 7,000,968 Banco Alfa de Investimento SA 500 1,218 Banco Mercantil do Brasil SA 1,327 6,249 Bematech SA 354,137 1,324,589 * BHG SA - Brazil Hospitality Group 185,702 1,157,645 Brasil Brokers Participacoes SA 1,147,111 2,253,323 Brasil Insurance Participacoes e Administracao SA 572,226 2,556,058 BrasilAgro - Co. Brasileira de Propriedades Agricolas 48,100 193,069 * Brazil Pharma SA 711,000 1,160,686 * Brookfield Incorporacoes SA 1,364,667 875,198 Cia de Locacao das Americas 216,000 280,928 Cia de Saneamento de Minas Gerais-COPASA 494,521 7,718,054 Cia Hering 1,041,790 11,007,769 Cia Providencia Industria e Comercio SA 99,750 361,914 * Contax Participacoes SA 176,335 1,328,592 * CR2 Empreendimentos Imobiliarios SA 9,400 12,858 Cremer SA 114,546 857,907 Cyrela Commercial Properties SA Empreendimentos e Participacoes 46,800 375,072 Dimed SA Distribuidora da Medicamentos 300 19,778 Direcional Engenharia SA 810,509 3,954,855 EDP - Energias do Brasil SA 2,249,598 9,776,255 * Eneva SA 209,119 115,357 Equatorial Energia SA 1,447,935 13,221,194 Estacio Participacoes SA 1,643,304 17,599,327 Eternit SA 578,489 2,254,544 Even Construtora e Incorporadora SA 2,116,367 6,814,896 Ez Tec Empreendimentos e Participacoes SA 519,358 6,375,077 * Fertilizantes Heringer SA 131,400 311,742 Fleury SA 549,451 3,686,416 Forjas Taurus SA 35,969 22,261 Fras-Le SA 37,875 68,794 Gafisa SA 2,762,200 4,496,821 # Gafisa SA ADR 1,246,302 4,125,260 * General Shopping Brasil SA 168,117 520,995 * Gol Linhas Aereas Inteligentes SA ADR 195,800 1,272,700 Grendene SA 513,934 3,249,902 Guararapes Confeccoes SA 32,100 1,497,208 Helbor Empreendimentos SA 1,228,893 4,188,625 Iguatemi Empresa de Shopping Centers SA 667,200 6,633,849 * Industria de Bebidas Antarctica Polar SA 23,000 -- Industrias Romi SA 163,600 370,526 International Meal Co. Holdings SA 492,394 3,897,636 Iochpe-Maxion SA 690,508 6,246,237 JHSF Participacoes SA 782,247 1,273,487
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ ---------- ----------- BRAZIL -- (Continued) Joao Fortes Engenharia SA 71,652 $ 151,675 JSL SA 631,500 3,421,245 Kepler Weber SA 118,346 1,926,655 Light SA 756,607 6,039,962 Localiza Rent a Car SA 86,752 1,295,590 * Log-in Logistica Intermodal SA 382,250 1,369,740 LPS Brasil Consultoria de Imoveis SA 609,479 3,047,737 Magnesita Refratarios SA 1,296,871 2,756,887 Mahle-Metal Leve SA Industria e Comercio 363,800 3,591,092 Marcopolo SA 28,000 50,230 * Marfrig Global Foods SA 1,809,559 3,376,058 Marisa Lojas SA 395,564 2,675,235 Mills Estruturas e Servicos de Engenharia SA 703,026 8,866,057 * Minerva SA 875,969 3,936,410 * MMX Mineracao e Metalicos SA 269,962 313,578 MRV Engenharia e Participacoes SA 3,395,133 10,749,922 Multiplus SA 432,484 5,533,700 Odontoprev SA 2,549,265 10,232,502 * Paranapanema SA 1,451,356 2,388,822 * PDG Realty SA Empreendimentos e Participacoes 11,912,853 7,319,479 Portobello SA 185,700 424,743 Positivo Informatica SA 189,100 197,602 Profarma Distribuidora de Produtos Farmaceuticos SA 152,663 1,218,702 QGEP Participacoes SA 801,694 3,084,890 Raia Drogasil SA 640,875 5,460,982 Redentor Energia SA 7,800 18,890 Restoque Comercio e Confeccoes de Roupas SA 771,308 2,141,225 Rodobens Negocios Imobiliarios SA 168,138 871,701 * Rossi Residencial SA 3,233,729 2,320,424 Santos Brasil Participacoes SA 388,888 3,116,685 Sao Carlos Empreendimentos e Participacoes SA 47,859 751,234 Sao Martinho SA 456,762 6,841,956 SLC Agricola SA 417,618 3,183,992 Sonae Sierra Brasil SA 236,846 1,908,789 * Springs Global Participacoes SA 278,188 155,952 Sul America SA 1,801,909 13,212,784 * T4F Entretenimento SA 213,800 484,220 Technos SA 203,400 1,191,346 Tecnisa SA 1,078,756 3,352,743 Tegma Gestao Logistica 210,735 1,762,623 Tempo Participacoes SA 266,802 518,109 Tereos Internacional SA 442,183 354,976 Totvs SA 604,100 9,864,461 TPI - Triunfo Participacoes e Investimentos SA 321,701 1,255,207 Trisul SA 37,542 68,021 UNICASA Industria de Moveis SA 227,700 434,006 Valid Solucoes e Servicos de Seguranca em Meios de Pagamento e Identificacao S.A 434,550 6,733,357 * Vanguarda Agro SA 1,679,236 2,394,874 Via Varejo SA 205,862 655,509
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ ---------- ------------ BRAZIL -- (Continued) * Viver Incorporadora e Construtora SA 329,889 $ 23,672 ------------ TOTAL BRAZIL 333,750,768 ------------ CHILE -- (1.2%) Banmedica SA 1,562,213 2,533,296 Besalco SA 2,234,772 1,956,522 Cementos BIO BIO SA 452,622 413,112 CFR Pharmaceuticals SA 4,483,445 913,765 Cia General de Electricidad SA 44,656 209,725 * Cia Pesquera Camanchaca SA 194,645 9,966 * Cia Sud Americana de Vapores SA 38,854,946 1,845,464 Cintac SA 324,650 67,835 Clinica LAS Condes SA 349 26,225 Cristalerias de Chile SA 156,836 1,153,502 Cruz Blanca Salud SA 794,071 668,463 E.CL SA 2,700,692 3,430,339 Empresa Electrica Pilmaiquen 46,897 212,770 * Empresas AquaChile SA 1,222,257 833,965 Empresas Hites SA 1,245,628 695,603 Empresas Iansa SA 20,421,762 807,091 * Empresas La Polar SA 4,856,212 481,959 Enjoy SA 1,299,391 170,387 Forus SA 725,846 3,061,583 Gasco SA 128,026 1,123,125 Grupo Security SA 1,563,887 546,004 Inversiones Aguas Metropolitanas SA 3,001,025 4,967,483 Inversiones La Construccion SA 27,654 363,897 Invexans SA 27,288,748 489,428 Latam Airlines Group SA 134,619 1,947,063 * Madeco SA 27,288,748 113,894 Masisa SA 14,224,085 705,841 Molibdenos y Metales SA 5,009 68,132 * Multiexport Foods SA 3,401,667 765,572 Parque Arauco SA 5,518,473 9,876,927 PAZ Corp. SA 1,149,956 644,010 Ripley Corp. SA 5,102,934 3,319,026 Salfacorp SA 2,133,718 1,834,017 Sigdo Koppers SA 698,793 1,139,360 Sociedad Matriz SAAM SA 24,742,555 1,999,558 Socovesa SA 2,895,998 538,905 Sonda SA 221,045 511,229 Soquimich Comercial SA 367,478 81,639 Vina Concha y Toro SA 3,824,015 7,996,983 # Vina Concha y Toro SA Sponsored ADR 2,025 84,848 Vina San Pedro Tarapaca SA 40,093,814 270,014 ------------ TOTAL CHILE 58,878,527 ------------ CHINA -- (12.4%) 361 Degrees International, Ltd. 2,673,000 614,319 Agile Property Holdings, Ltd. 6,086,000 4,935,549 Ajisen China Holdings, Ltd. 1,988,000 1,678,611 AMVIG Holdings, Ltd. 1,964,000 714,970
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ ---------- ---------- CHINA -- (Continued) #* Angang Steel Co., Ltd. Class H 2,582,000 $1,567,987 Anhui Expressway Co., Ltd. Class H 2,418,000 1,323,778 # Anta Sports Products, Ltd. 3,936,000 5,749,235 # Anton Oilfield Services Group 4,904,000 3,256,698 # Anxin-China Holdings, Ltd. 11,211,000 1,766,350 Asia Cement China Holdings Corp. 2,176,500 1,582,411 * Asia Energy Logistics Group, Ltd. 26,160,000 249,643 # Asian Citrus Holdings, Ltd. 3,627,000 754,069 * Ausnutria Dairy Corp., Ltd. 365,000 12,900 * AVIC International Holdings, Ltd. 708,000 256,330 AviChina Industry & Technology Co., Ltd. Class H 8,290,788 4,437,439 # Baoxin Auto Group, Ltd. 1,473,000 1,115,728 Baoye Group Co., Ltd. Class H 1,860,000 1,104,828 * BaWang International Group Holding, Ltd. 1,658,000 84,653 BBMG Corp. Class H 1,993,000 1,397,765 Beijing Capital International Airport Co., Ltd. Class H 9,040,000 6,315,854 # Beijing Capital Land, Ltd. Class H 6,142,500 2,069,105 Beijing Enterprises Water Group, Ltd. 11,929,660 7,551,070 Beijing Jingkelong Co., Ltd. Class H 77,749 21,789 # Beijing Jingneng Clean Energy Co., Ltd. Class H 2,708,000 1,170,807 Beijing North Star Co., Ltd. Class H 2,644,000 617,294 Biostime International Holdings, Ltd. 98,000 651,896 # Bloomage Biotechnology Corp., Ltd. 355,000 957,799 # Boer Power Holdings, Ltd. 1,317,000 1,728,744 # Bosideng International Holdings, Ltd. 12,146,000 1,792,589 * BYD Electronic International Co., Ltd. 3,864,815 2,382,220 C C Land Holdings, Ltd. 6,255,343 1,174,408 C.banner International Holdings, Ltd. 62,000 20,568 Carrianna Group Holdings Co., Ltd. 1,759,257 352,644 Cecep Costin New Materials Grp, Ltd. 299,000 142,975 Central China Real Estate, Ltd. 3,147,626 777,125 * CGN Mining Co., Ltd. 2,905,000 300,568 # Changshouhua Food Co., Ltd. 1,493,000 1,516,788 #* Chaoda Modern Agriculture Holdings, Ltd. 6,771,138 541,691 # Chaowei Power Holdings, Ltd. 2,069,000 1,065,593 * Chigo Holding, Ltd. 22,234,000 505,555 Chiho-Tiande Group, Ltd. 64,000 31,327 China Aerospace International Holdings, Ltd. 10,430,500 1,052,847 China Agri-Industries Holdings, Ltd. 9,414,800 3,766,726 # China All Access Holdings, Ltd. 3,184,000 1,319,196 * China Animal Healthcare, Ltd. 1,752,000 1,149,493 China Aoyuan Property Group, Ltd. 5,325,000 907,384 China Automation Group, Ltd. 3,231,000 575,148 China BlueChemical, Ltd. 5,842,000 3,136,086 * China Chengtong Development Group, Ltd. 1,562,000 48,242 China Communications Services Corp., Ltd. Class H 9,838,000 4,979,890 # China Datang Corp. Renewable Power Co., Ltd. Class H 9,709,000 1,281,618 # China Dongxiang Group Co. 13,246,985 2,348,721 * China Dredging Environment Protection Holdings, Ltd. 1,676,000 577,205 * China Energine International Holdings, Ltd. 4,080,000 358,589 China Everbright International, Ltd. 4,843,800 6,058,088 China Everbright, Ltd. 3,554,000 4,762,869
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ ---------- ---------- CHINA -- (Continued) China Fiber Optic Network System Group, Ltd. 2,300,000 $ 538,761 #* China Foods, Ltd. 3,764,000 1,273,719 * China Glass Holdings, Ltd. 3,590,000 431,842 * China Green Holdings, Ltd. 1,212,000 76,148 #* China Haidian Holdings, Ltd. 8,160,000 1,033,781 * China High Precision Automation Group, Ltd. 1,289,000 202,836 #* China High Speed Transmission Equipment Group Co., Ltd. 5,250,000 3,670,078 # China Hongqiao Group, Ltd. 3,378,000 2,316,935 * China Household Holdings, Ltd. 3,730,000 108,249 * China Huiyuan Juice Group, Ltd. 2,661,500 1,743,201 # China ITS Holdings Co., Ltd. 3,756,000 709,586 * China Jiuhao Health Industry Corp., Ltd. 5,800,000 292,064 China Lesso Group Holdings, Ltd. 3,782,000 2,014,640 # China Lilang, Ltd. 2,204,000 1,423,254 # China Lumena New Materials Corp. 14,530,000 2,342,657 # China Medical System Holdings, Ltd. 4,204,500 4,981,992 #* China Metal Recycling Holdings, Ltd. 2,401,686 547,686 * China Mining Resources Group, Ltd. 5,666,000 63,952 #* China Modern Dairy Holdings, Ltd. 5,468,000 2,361,227 China Molybdenum Co., Ltd. Class H 116,000 51,741 # China National Materials Co., Ltd. 3,927,000 761,690 #* China New Town Development Co., Ltd. 6,403,148 480,736 # China Oil & Gas Group, Ltd. 17,240,000 2,853,344 China Outfitters Holdings, Ltd. 24,000 3,704 China Overseas Grand Oceans Group, Ltd. 3,221,500 1,916,725 # China Power International Development, Ltd. 11,088,000 3,992,364 #* China Power New Energy Development Co., Ltd. 29,180,000 1,530,016 #* China Precious Metal Resources Holdings Co., Ltd. 14,492,318 1,441,099 * China Properties Group, Ltd. 2,464,000 554,489 China Qinfa Group, Ltd. 2,656,000 113,158 #* China Rare Earth Holdings, Ltd. 5,968,000 762,663 #* China Rongsheng Heavy Industries Group Holdings, Ltd. 15,127,500 2,604,516 * China Ruifeng Renewable Energy Holdings, Ltd. 3,376,000 701,291 # China Sanjiang Fine Chemicals Co., Ltd. 2,889,000 1,265,286 # China SCE Property Holdings, Ltd. 4,341,200 941,465 China Shanshui Cement Group, Ltd. 8,790,000 3,411,568 China Shineway Pharmaceutical Group, Ltd. 1,376,200 2,404,281 #* China Shipping Container Lines Co., Ltd. Class H 6,987,000 1,646,261 #* China Shipping Development Co., Ltd. Class H 8,656,000 4,744,909 # China Singyes Solar Technologies Holdings, Ltd. 2,426,200 3,560,843 # China South City Holdings, Ltd. 8,764,000 3,680,862 China Southern Airlines Co., Ltd. Class H 2,850,000 851,070 China Southern Airlines Co., Ltd. Sponsored ADR 2,821 42,484 China Starch Holdings, Ltd. 6,470,000 166,475 # China Suntien Green Energy Corp., Ltd. Class H 8,092,000 2,741,090 China Taifeng Beddings Holdings, Ltd. 1,500,000 166,873 * China Taiping Insurance Holdings Co., Ltd. 3,573,600 5,679,064 #* China Tian Lun Gas Holdings, Ltd. 573,000 528,635 China Tianyi Holdings, Ltd. 1,876,000 252,481 * China Tontine Wines Group, Ltd. 1,610,000 69,598 * China Traditional Chinese Medicine Co., Ltd. 2,158,000 921,320 China Travel International Inv HK 14,349,900 2,890,497
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ ---------- ---------- CHINA -- (Continued) * China Vanadium Titano - Magnetite Mining Co., Ltd. 5,311,000 $ 665,451 # China Water Affairs Group, Ltd. 5,682,000 1,922,953 #* China Water Industry Group, Ltd. 1,524,000 250,484 * China WindPower Group, Ltd. 22,054,964 1,431,104 #* China Yurun Food Group, Ltd. 6,590,000 3,185,376 #* China ZhengTong Auto Services Holdings, Ltd. 3,793,500 2,067,859 #* China Zhongwang Holdings, Ltd. 6,878,400 2,149,951 #* Chinasoft International, Ltd. 4,186,000 1,210,213 #* ChinaVision Media Group, Ltd. 12,460,000 2,397,930 * Chinese People Holdings Co., Ltd. 8,028,000 212,301 * Chongqing Iron & Steel Co., Ltd. Class H 2,247,400 321,797 Chongqing Machinery & Electric Co., Ltd. Class H 5,110,000 661,064 Chongqing Rural Commercial Bank Class H 2,011,000 876,574 Chu Kong Petroleum & Natural Gas Steel Pipe Holdings, Ltd. 2,353,000 714,498 CIMC Enric Holdings, Ltd. 2,094,000 3,026,937 * Citic 21CN Co., Ltd. 5,303,200 2,957,861 * CITIC Dameng Holdings, Ltd. 274,000 19,519 * CITIC Resources Holdings, Ltd. 11,574,600 1,689,879 Clear Media, Ltd. 243,000 243,027 * Coastal Greenland, Ltd. 5,154,000 161,376 #* Comba Telecom Systems Holdings, Ltd. 3,908,077 995,250 * Comtec Solar Systems Group, Ltd. 3,378,000 538,164 Coolpad Group, Ltd. 5,732,000 2,488,290 # Cosco International Holdings, Ltd. 2,703,000 1,127,280 COSCO Pacific, Ltd. 544,000 730,161 * Coslight Technology International Group, Ltd. 484,000 337,843 CP Pokphand Co., Ltd. 19,994,594 2,214,656 # CPMC Holdings, Ltd. 1,830,000 1,448,574 CSPC Pharmaceutical Group, Ltd. 3,553,877 2,938,075 * DaChan Food Asia, Ltd. 1,725,955 204,824 # Dah Chong Hong Holdings, Ltd. 3,445,000 2,183,833 Dalian Port PDA Co., Ltd. Class H 4,986,000 1,178,759 # Daphne International Holdings, Ltd. 5,192,000 2,084,506 # Dawnrays Pharmaceutical Holdings, Ltd. 1,366,943 1,028,874 #* DBA Telecommunication Asia Holdings, Ltd. 2,108,000 103,593 Digital China Holdings, Ltd. 3,529,800 3,269,317 Dongfang Electric Corp., Ltd. Class H 137,400 214,183 # Dongjiang Environmental Co., Ltd. Class H 210,000 761,172 # Dongyue Group, Ltd. 5,390,000 2,162,921 #* Dynasty Fine Wines Group, Ltd. 1,614,000 56,208 Embry Holdings, Ltd. 473,000 276,148 EVA Precision Industrial Holdings, Ltd. 4,534,435 761,479 * EverChina International Holdings Co., Ltd. 17,180,000 765,128 Evergreen International Holdings, Ltd. 1,246,000 149,751 * Extrawell Pharmaceutical Holdings, Ltd. 6,867,921 333,113 Fantasia Holdings Group Co., Ltd. 8,451,000 1,126,837 # First Tractor Co., Ltd. Class H 3,351,176 1,962,553 # Franshion Properties China, Ltd. 15,840,300 4,954,331 # Fufeng Group, Ltd. 5,262,600 2,005,194 # Geely Automobile Holdings, Ltd. 21,785,000 7,573,243 * Global Bio-Chem Technology Group Co., Ltd. 9,644,800 330,860 * Global Sweeteners Holdings, Ltd. 770,951 43,034
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ ---------- ---------- CHINA -- (Continued) * Glorious Property Holdings, Ltd. 13,214,501 $1,894,228 Goldbond Group Holdings, Ltd. 210,000 10,183 # Golden Eagle Retail Group, Ltd. 2,608,000 3,373,279 Golden Meditech Holdings, Ltd. 9,470,368 819,568 # Goldlion Holdings, Ltd. 1,017,962 466,165 # GOME Electrical Appliances Holding, Ltd. 43,306,000 8,119,841 Good Friend International Holdings, Inc. 404,667 125,466 # Goodbaby International Holdings, Ltd. 2,969,000 1,625,852 * Great Wall Technology Co., Ltd. Class H 2,212,950 861,633 Greatview Aseptic Packaging Co., Ltd. 1,740,000 1,061,706 Greenland Hong Kong Holdings, Ltd. 1,309,000 598,944 Greentown China Holdings, Ltd. 2,827,148 2,847,328 Guangdong Land Holdings, Ltd. 4,396,800 868,032 # Guangshen Railway Co., Ltd. Class H 5,688,000 2,148,853 Guangshen Railway Co., Ltd. Sponsored ADR 5,067 95,969 Guangzhou Shipyard International Co., Ltd. Class H 159,400 281,260 # Guodian Technology & Environment Group Co., Ltd. Class H 2,383,000 594,480 Hainan Meilan International Airport Co., Ltd. Class H 720,000 683,623 # Haitian International Holdings, Ltd. 2,189,000 4,404,348 #* Hanergy Solar Group, Ltd. 42,960,000 6,222,463 Harbin Electric Co., Ltd. Class H 3,219,413 1,900,666 Henderson Investment, Ltd. 596,000 46,193 * Heng Tai Consumables Group, Ltd. 14,673,193 268,707 # Hengdeli Holdings, Ltd. 11,125,399 2,139,991 * Hi Sun Technology China, Ltd. 711,000 152,722 #* Hidili Industry International Development, Ltd. 5,079,000 586,746 # Hilong Holding, Ltd. 2,898,000 1,510,461 * Hisense Kelon Electrical Holdings Co., Ltd. Class H 1,906,000 2,252,752 * HKC Holdings, Ltd. 17,896,447 485,375 # Honghua Group, Ltd. 5,221,000 1,228,640 Hopefluent Group Holdings, Ltd. 355,670 116,573 # Hopewell Highway Infrastructure, Ltd. 3,981,000 1,946,729 #* Hopson Development Holdings, Ltd. 3,476,000 3,415,815 HOSA International, Ltd. 238,000 73,996 # Hua Han Bio-Pharmaceutical Holdings, Ltd. 9,070,277 1,894,930 * Hua Lien International Holding Co., Ltd. 998,000 41,182 # Huabao International Holdings, Ltd. 8,548,014 4,048,834 Huadian Power International Corp., Ltd. Class H 4,506,000 2,448,885 Huaneng Renewables Corp., Ltd. Class H 10,100,000 3,139,755 * Huili Resources Group, Ltd. 458,000 90,397 #* Hunan Nonferrous Metal Corp., Ltd. Class H 9,038,000 2,623,280 Hutchison Harbour Ring, Ltd. 7,098,000 540,573 Inspur International, Ltd. 2,056,000 360,969 Intime Retail Group Co., Ltd. 4,317,500 4,240,067 #* Jinchuan Group International Resources Co., Ltd. 2,754,000 318,200 Jingwei Textile Machinery Class H 1,272,000 1,116,367 # Ju Teng International Holdings, Ltd. 3,786,000 2,807,206 * Kai Yuan Holdings, Ltd. 11,240,000 208,712 # Kaisa Group Holdings, Ltd. 8,774,000 2,780,099 * Kasen International Holdings, Ltd. 222,000 47,358 Kingboard Chemical Holdings, Ltd. 3,127,921 5,978,058 Kingboard Laminates Holdings, Ltd. 4,331,000 1,680,480
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ ---------- ---------- CHINA -- (Continued) #* Kingdee International Software Group Co., Ltd. 3,315,200 $ 995,735 # Kingsoft Corp., Ltd. 2,937,000 9,102,261 KWG Property Holding, Ltd. 5,363,950 2,982,857 # Labixiaoxin Snacks Group, Ltd. 1,764,000 682,579 Lai Fung Holdings, Ltd. 26,020,440 554,934 Le Saunda Holdings, Ltd. 1,364,000 651,651 Lee & Man Chemical Co., Ltd. 934,785 446,883 Lee & Man Paper Manufacturing, Ltd. 7,511,000 4,073,571 #* Li Ning Co., Ltd. 1,301,250 908,408 # Lianhua Supermarket Holdings Co., Ltd. Class H 1,714,600 950,592 * Lifetech Scientific Corp. 152,000 219,306 Lijun International Pharmaceutical Holding Co., Ltd. 6,948,000 2,840,202 Lingbao Gold Co., Ltd. Class H 1,424,000 252,798 * LK Technology Holdings, Ltd. 837,500 100,956 * Lonking Holdings, Ltd. 10,823,000 2,004,634 * Loudong General Nice Resources China Holdings, Ltd. 7,842,140 556,334 * Maanshan Iron & Steel Co., Ltd. Class H 7,700,000 1,614,085 * Madex International Holdings, Ltd. 11,760,000 185,335 Maoye International Holdings, Ltd. 5,611,000 804,947 # Microport Scientific Corp. 1,897,000 1,290,011 # MIE Holdings Corp. 3,484,000 656,518 MIN XIN Holdings, Ltd. 418,000 215,783 #* Mingfa Group International Co., Ltd. 5,260,000 1,316,977 * Mingyuan Medicare Development Co., Ltd. 510,000 10,799 # Minmetals Land, Ltd. 5,756,000 647,329 # Minth Group, Ltd. 2,667,000 4,202,671 #* MMG, Ltd. 7,542,000 1,756,247 * MOBI Development Co., Ltd. 551,000 122,508 * Nan Hai Corp., Ltd. 25,550,000 164,822 Nanjing Panda Electronics Co., Ltd. Class H 608,000 360,740 Nature Flooring Holding Co., Ltd. 453,000 84,766 # NetDragon Websoft, Inc. 741,544 1,267,681 New World China Land, Ltd. 430,000 356,417 New World Department Store China, Ltd. 2,189,462 1,025,214 * Newton Resources, Ltd. 300,000 27,949 # Nine Dragons Paper Holdings, Ltd. 9,283,000 6,108,185 * North Mining Shares Co., Ltd. 19,560,000 909,413 # NVC Lighting Holdings, Ltd. 5,649,000 1,411,016 O-Net Communications Group, Ltd. 1,308,000 340,412 Overseas Chinese Town Asia Holdings, Ltd. 764,183 267,617 # Pacific Online, Ltd. 1,606,365 871,728 # Parkson Retail Group, Ltd. 4,454,000 1,305,943 #* PAX Global Technology, Ltd. 1,141,000 597,186 Peak Sport Products Co., Ltd. 2,750,000 771,249 * PetroAsian Energy Holdings, Ltd. 3,192,000 50,613 # Phoenix Satellite Television Holdings, Ltd. 5,384,000 1,927,093 # Poly Property Group Co., Ltd. 8,759,000 3,803,012 # Ports Design, Ltd. 1,600,000 761,473 * Pou Sheng International Holdings, Ltd. 6,659,806 283,655 # Powerlong Real Estate Holdings, Ltd. 5,740,000 867,306 # Prince Frog International Holdings, Ltd. 1,747,000 501,067 * Prosperity International Holdings HK, Ltd. 5,020,000 171,625
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ ---------- ----------- CHINA -- (Continued) Qingling Motors Co., Ltd. Class H 1,694,000 $ 520,037 Qunxing Paper Holdings Co., Ltd. 669,913 174,370 * Real Gold Mining, Ltd. 300,500 10,194 Real Nutriceutical Group, Ltd. 3,484,000 741,895 Regent Manner International Holdings, Ltd. 2,844,000 498,886 #* Renhe Commercial Holdings Co., Ltd. 52,418,000 3,008,074 # REXLot Holdings, Ltd. 36,501,502 3,824,853 # Road King Infrastructure, Ltd. 1,173,000 1,079,351 Samson Holding, Ltd. 3,499,000 460,773 # Sany Heavy Equipment International Holdings Co., Ltd. 4,149,000 964,142 Sateri Holdings, Ltd. 119,500 22,184 #* Semiconductor Manufacturing International Corp. 94,444,000 7,763,254 Shandong Chenming Paper Holdings, Ltd. Class H 1,597,500 706,253 Shandong Molong Petroleum Machinery Co., Ltd. Class H 670,962 185,016 Shanghai Industrial Holdings, Ltd. 1,571,000 4,845,061 * Shanghai Industrial Urban Development Group, Ltd. 6,934,000 1,325,535 Shanghai Jin Jiang International Hotels Group Co., Ltd. Class H 4,348,000 1,080,931 Shanghai Prime Machinery Co., Ltd. Class H 4,298,000 648,003 * Shanghai Zendai Property, Ltd. 8,390,000 132,216 Shengli Oil & Gas Pipe Holdings, Ltd. 4,506,000 229,814 # Shenguan Holdings Group, Ltd. 4,814,000 2,061,891 Shenzhen Expressway Co., Ltd. Class H 3,298,400 1,496,481 Shenzhen International Holdings, Ltd. 4,442,428 5,397,182 Shenzhen Investment, Ltd. 12,530,912 4,111,693 Shenzhou International Group Holdings, Ltd. 1,252,000 4,303,408 * Shougang Concord International Enterprises Co., Ltd. 22,396,000 1,043,511 # Shougang Fushan Resources Group, Ltd. 21,052,000 6,254,317 Shui On Land, Ltd. 17,840,143 4,749,998 * Shunfeng Photovoltaic International, Ltd. 3,236,000 4,183,566 Sichuan Expressway Co., Ltd. Class H 4,094,000 1,226,492 Sihuan Pharmaceutical Holdings Group, Ltd. 4,429,000 4,861,028 * Sijia Group Co. 1,076,350 35,680 Silver Grant International Industries, Ltd. 4,750,000 600,437 * SIM Technology Group, Ltd. 510,000 23,437 Sino Biopharmaceutical, Ltd. 13,536,000 10,605,251 * Sino Oil And Gas Holdings, Ltd. 42,847,766 1,190,289 # Sino-Ocean Land Holdings, Ltd. 11,470,851 6,034,761 # Sinofert Holdings, Ltd. 11,291,327 1,387,023 #* Sinolink Worldwide Holdings, Ltd. 10,218,800 793,431 SinoMedia Holding, Ltd. 832,000 730,564 # Sinopec Kantons Holdings, Ltd. 1,632,000 1,522,806 #* Sinopec Yizheng Chemical Fibre Co., Ltd. Class H 3,558,001 791,934 Sinotrans Shipping, Ltd. 5,646,086 1,633,469 Sinotrans, Ltd. Class H 7,980,000 4,394,095 Sinotruk Hong Kong, Ltd. 2,735,000 1,455,374 # SITC International Holdings Co., Ltd. 2,474,000 1,098,564 # Skyworth Digital Holdings, Ltd. 9,088,892 4,348,475 * SMI Corp., Ltd. 10,556,066 382,281 * Solargiga Energy Holdings, Ltd. 7,799,000 388,489 * Sparkle Roll Group, Ltd. 6,616,000 451,959 # Springland International Holdings, Ltd. 2,089,000 821,846 # SPT Energy Group, Inc. 2,954,000 1,615,254
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ ---------- ---------- CHINA -- (Continued) * SRE Group, Ltd. 16,652,346 $ 483,944 * Sun King Power Electronics Group 132,000 10,925 Sunac China Holdings, Ltd. 6,448,000 3,283,052 # Sunny Optical Technology Group Co., Ltd. 3,003,000 3,514,414 * Superb Summit International Group, Ltd. 170,000 22,610 TCC International Holdings, Ltd. 4,185,098 2,052,563 TCL Communication Technology Holdings, Ltd. 2,285,198 2,446,375 #* TCL Multimedia Technology Holdings, Ltd. 2,874,510 971,667 * Tech Pro Technology Development, Ltd. 1,282,000 636,981 Tenfu Cayman Holdings Co., Ltd. 87,000 43,792 # Texhong Textile Group, Ltd. 1,177,500 869,809 Tian An China Investment 1,383,000 1,083,974 Tian Shan Development Holding, Ltd. 1,196,000 466,389 # Tiangong International Co., Ltd. 5,884,000 1,024,565 Tianjin Capital Environmental Protection Group Co., Ltd. Class H 1,572,000 832,515 #* Tianjin Development Hldgs, Ltd. 2,116,000 1,720,707 Tianjin Jinran Public Utilities Co., Ltd. Class H 1,210,000 207,667 Tianjin Port Development Holdings, Ltd. 8,938,800 1,398,845 # Tianneng Power International, Ltd. 3,320,048 1,159,881 # Tibet 5100 Water Resources Holdings, Ltd. 4,745,000 1,881,915 # Tomson Group, Ltd. 1,060,443 312,923 # Tong Ren Tang Technologies Co., Ltd. Class H 1,138,000 3,315,689 Tongda Group Holdings, Ltd. 9,170,000 1,047,329 Tonly Electronics Holdings, Ltd. 287,451 218,703 Towngas China Co., Ltd. 3,915,000 4,460,036 # TPV Technology, Ltd. 3,401,964 561,834 Travelsky Technology, Ltd. Class H 3,840,090 2,928,939 # Trigiant Group, Ltd. 1,990,000 621,868 * Trony Solar Holdings Co., Ltd. 1,757,000 26,742 # Truly International Holdings, Ltd. 5,555,573 3,762,470 # Uni-President China Holdings, Ltd. 3,115,000 2,580,169 * United Energy Group, Ltd. 13,030,450 1,983,406 #* VODone, Ltd. 13,697,600 1,188,591 * Wanda Commercial Properties Group Co., Ltd. 674,000 237,667 Wanguo International Mining Group, Ltd. 102,000 47,238 # Wasion Group Holdings, Ltd. 2,256,000 1,609,877 Weiqiao Textile Co. Class H 2,212,000 1,235,425 Welling Holding, Ltd. 4,474,000 1,403,893 West China Cement, Ltd. 12,022,000 1,291,490 * Winsway Coking Coal Holdings, Ltd. 6,108,000 272,953 World Wide Touch Technology Holdings, Ltd. 3,216,000 164,434 Wumart Stores, Inc. Class H 1,644,000 1,601,705 Xiamen International Port Co., Ltd. Class H 5,166,000 767,863 Xiao Nan Guo Restaurants Holdings, Ltd. 250,000 38,716 Xingda International Holdings, Ltd. 4,284,000 1,884,729 Xinhua Winshare Publishing and Media Co., Ltd. Class H 307,103 194,615 # Xinjiang Goldwind Science & Technology Co., Ltd. Class H 1,852,800 2,015,761 #* Xinjiang Xinxin Mining Industry Co., Ltd. Class H 3,167,598 575,037 Xiwang Property Holdings Co., Ltd. 3,103,178 157,186 Xiwang Special Steel Co., Ltd. 985,000 119,602 XTEP International Holdings, Ltd. 2,976,500 1,203,379 #* Yanchang Petroleum International, Ltd. 21,090,000 1,051,621
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ ---------- ------------ CHINA -- (Continued) Yantai North Andre Juice Co. Class H 306,000 $ 76,883 # Yingde Gases Group Co., Ltd. 3,681,500 3,712,574 # Yip's Chemical Holdings, Ltd. 1,332,000 944,155 Youyuan International Holdings, Ltd. 1,081,700 286,104 Yuanda China Holdings, Ltd. 5,726,000 525,665 Yuexiu Property Co., Ltd. 22,347,432 4,337,923 Yuexiu Transport Infrastructure, Ltd. 3,064,018 1,568,555 Yuzhou Properties Co., Ltd. 4,016,120 922,874 Zall Development Group, Ltd. 2,094,000 728,850 # Zhaojin Mining Industry Co., Ltd. 3,611,500 2,178,631 Zhejiang Expressway Co., Ltd. Class H 5,900,000 5,105,094 Zhengzhou Coal Mining Machinery Group Co., Ltd. Class H 611,000 333,047 #* Zhong An Real Estate, Ltd. 3,536,400 840,173 # Zhongsheng Group Holdings, Ltd. 2,620,000 3,164,787 Zhuzhou CSR Times Electric Co., Ltd. Class H 1,824,000 5,340,215 ------------ TOTAL CHINA 602,246,158 ------------ COLOMBIA -- (0.0%) Constructora Conconcreto SA 293,150 217,224 Empresa de Telecomunicaciones de Bogota 679,989 152,566 * Fabricato SA 13,706,296 122,089 Grupo Odinsa SA(B06MW70) 38,440 157,803 * Grupo Odinsa SA(BKKXCQ8) 1,159 111 Mineros SA 102,961 153,651 ------------ TOTAL COLOMBIA 803,444 ------------ GREECE -- (1.0%) * Aegean Airlines SA 82,127 849,124 * Astir Palace Hotel SA 73,995 400,810 Athens Water Supply & Sewage Co. SA (The) 232,594 3,002,993 * Attica Bank 999,549 189,422 Bank of Greece 142,930 2,949,534 * Corinth Pipeworks SA 6,729 16,824 * Diagnostic & Therapeutic Center of Athens Hygeia SA 62,561 34,720 * Ellaktor SA 909,399 4,803,571 * Elval - Hellenic Aluminium Industry SA 61,004 161,826 * Fourlis Holdings SA 283,268 2,286,316 * Frigoglass SA 167,513 970,971 * GEK Terna Holding Real Estate Construction SA 475,188 2,483,925 Hellenic Exchanges - Athens Stock Exchange SA Holding 536,300 6,322,777 * Iaso SA 234,070 466,636 * Intracom Holdings SA 686,768 777,440 Intralot SA-Integrated Lottery Systems & Services 865,039 2,512,920 * J&P-Avax SA 242,137 571,607 * Lamda Development SA 5,435 45,244 * Marfin Investment Group Holdings SA 6,320,159 4,378,593 Metka SA 185,058 3,316,537 Motor Oil Hellas Corinth Refineries SA 418,059 5,277,256 * Mytilineos Holdings SA 579,170 5,175,659 Piraeus Port Authority 38,468 999,395 Sarantis SA 95,423 941,122 * Sidenor Steel Products Manufacturing Co. SA 90,590 220,537
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ --------- ----------- GREECE -- (Continued) Terna Energy SA 257,713 $ 1,539,813 Thessaloniki Water Supply & Sewage Co. SA 15,807 108,094 ----------- TOTAL GREECE 50,803,666 ----------- HUNGARY -- (0.0%) * Danubius Hotel and SpA P.L.C. 42,708 1,083,872 * FHB Mortgage Bank P.L.C. 27,009 109,055 * PannErgy 139,592 201,094 ----------- TOTAL HUNGARY 1,394,021 ----------- INDIA -- (8.1%) * 3M India, Ltd. 5,470 340,616 Aban Offshore, Ltd. 122,757 1,057,494 * ABG Shipyard, Ltd. 174,417 662,645 * Advanta, Ltd. 142,847 430,094 Agro Tech Foods, Ltd. 54,133 437,974 AIA Engineering, Ltd. 94,218 960,197 Ajanta Pharma, Ltd. 103,292 1,700,524 Akzo Nobel India, Ltd. 67,372 971,369 Alembic Pharmaceuticals, Ltd. 490,590 2,413,042 Allahabad Bank 1,087,083 1,807,196 Alok Industries, Ltd. 5,490,403 646,976 Alstom India, Ltd. 123,147 918,916 Amara Raja Batteries, Ltd. 470,856 3,242,619 Amtek Auto, Ltd. 691,784 1,998,774 Amtek India, Ltd. 309,570 396,839 * Anant Raj, Ltd. 1,147,745 1,056,920 Andhra Bank 975,330 1,082,235 Apollo Hospitals Enterprise, Ltd. 64,709 960,717 Apollo Tyres, Ltd. 1,563,412 4,147,792 Arvind, Ltd. 1,340,968 4,077,288 * Asahi India Glass, Ltd. 257,301 231,388 Ashok Leyland, Ltd. 7,784,580 2,901,410 Asian Hotels East, Ltd. 4,536 11,671 Atul, Ltd. 47,893 429,401 Aurobindo Pharma, Ltd. 1,129,123 10,783,152 Automotive Axles, Ltd. 17,459 103,944 Bajaj Corp., Ltd. 197,393 688,008 Bajaj Electricals, Ltd. 210,674 1,023,452 Bajaj Finance, Ltd. 62,702 1,936,084 Bajaj Finserv, Ltd. 120,632 1,662,656 * Bajaj Hindusthan, Ltd. 582,277 172,673 Bajaj Holdings and Investment, Ltd. 92,719 1,642,104 Balkrishna Industries, Ltd. 166,123 1,458,312 Ballarpur Industries, Ltd. 1,135,420 272,189 Balmer Lawrie & Co., Ltd. 56,620 319,186 Balrampur Chini Mills, Ltd. 1,004,579 958,311 Bank Of Maharashtra 849,337 542,204 Bannari Amman Sugars, Ltd. 15,663 236,500 BASF India, Ltd. 52,960 656,332 Bata India, Ltd. 145,561 2,583,276 BEML, Ltd. 32,611 209,166
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ --------- ---------- INDIA -- (Continued) Berger Paints India, Ltd. 789,434 $3,187,685 Bharat Forge, Ltd. 737,890 5,023,303 Bhushan Steel, Ltd. 393,995 2,901,447 Biocon, Ltd. 508,356 3,976,629 Birla Corp., Ltd. 107,350 515,473 Blue Dart Express, Ltd. 23,938 1,296,874 Blue Star, Ltd. 157,634 551,488 Bombay Burmah Trading Co. 43,374 74,787 Bombay Dyeing & Manufacturing Co., Ltd. 785,565 762,996 * Bombay Rayon Fashions, Ltd. 14,855 44,065 Brigade Enterprises, Ltd. 11,396 13,867 Britannia Industries, Ltd. 230,022 3,304,488 Capital First, Ltd. 68,029 195,147 Carborundum Universal, Ltd. 329,688 771,556 Central Bank Of India 785,159 694,851 Century Plyboards India, Ltd. 67,108 42,732 Century Textiles & Industries, Ltd. 356,772 1,989,033 CESC, Ltd. 546,678 4,120,833 Chambal Fertilizers & Chemicals, Ltd. 925,327 621,934 * Chennai Petroleum Corp., Ltd. 204,192 272,440 Cholamandalam Investment and Finance Co., Ltd. 71,956 343,222 City Union Bank, Ltd. 1,261,325 1,230,746 Clariant Chemicals India, Ltd. 44,477 504,060 Claris Lifesciences, Ltd. 95,636 243,876 CMC, Ltd. 60,897 1,446,845 Coromandel International, Ltd. 514,179 1,869,964 Corp. Bank 216,216 1,050,242 Cox & Kings, Ltd. 291,231 730,109 Crompton Greaves, Ltd. 2,205,917 6,050,110 Dalmia Bharat, Ltd. 60,681 240,145 DB Corp., Ltd. 43,770 213,311 * DB Realty, Ltd. 815,914 943,623 * DCB Bank, Ltd. 1,459,229 1,469,341 DCM Shriram, Ltd. 213,725 339,271 Deepak Fertilisers & Petrochemicals Corp., Ltd. 147,728 326,238 Delta Corp., Ltd. 535,652 816,547 * DEN Networks, Ltd. 343,697 998,197 Dena Bank 923,752 969,679 Dewan Housing Finance Corp., Ltd. 27,941 105,120 * Dish TV India, Ltd. 3,087,132 2,409,216 Dredging Corp. Of India, Ltd. 18,780 91,519 eClerx Services, Ltd. 58,028 1,170,708 Edelweiss Financial Services, Ltd. 350,535 199,487 * Educomp Solutions, Ltd. 125,968 53,685 Eicher Motors, Ltd. 48,396 4,992,636 * EID Parry India, Ltd. 333,058 841,193 EIH, Ltd. 490,782 618,103 * Elder Pharmaceuticals, Ltd. 18,824 67,230 Electrosteel Castings, Ltd. 126,195 48,493 Elgi Equipments, Ltd. 224,474 368,515 Emami, Ltd. 123,047 972,717 Engineers India, Ltd. 395,610 1,498,570
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ --------- ---------- INDIA -- (Continued) Entertainment Network India, Ltd. 48,584 $ 293,240 * Era Infra Engineering, Ltd. 461,515 128,811 * Eros International Media, Ltd. 199,846 545,529 Escorts, Ltd. 523,565 1,101,484 Ess Dee Aluminium, Ltd. 125,607 1,296,730 * Essar Oil, Ltd. 2,063,648 1,988,607 Essar Ports, Ltd. 417,957 412,532 * Essar Shipping, Ltd. 112,311 29,561 Essel Propack, Ltd. 100,852 114,163 Exide Industries, Ltd. 258,596 516,257 FAG Bearings India, Ltd. 28,675 1,005,332 FDC, Ltd. 381,518 836,063 Federal Bank, Ltd. 3,805,760 5,709,633 * Federal-Mogul Goetze India, Ltd. 61,495 186,579 Financial Technologies India, Ltd. 124,447 651,947 Finolex Cables, Ltd. 349,692 798,527 Finolex Industries, Ltd. 318,549 1,183,076 * Firstsource Solutions, Ltd. 1,173,150 623,328 * Fortis Healthcare, Ltd. 706,957 1,168,906 * Future Consumer Enterprise, Ltd. 651,339 75,715 * Future Lifestyle Fashions, Ltd. 21,868 29,676 Future Retail, Ltd. 24,979 54,800 * Gammon India, Ltd. 105,203 29,801 Gateway Distriparks, Ltd. 294,291 870,911 Gillette India, Ltd. 14,470 455,567 * Gitanjali Gems, Ltd. 126,872 131,485 GMR Infrastructure, Ltd. 9,412,702 3,874,402 Godfrey Phillips India, Ltd. 4,304 237,671 Godrej Industries, Ltd. 212,412 1,059,771 Godrej Properties, Ltd. 283,850 1,042,078 * Gokul Refoils & Solvent, Ltd. 27,697 6,970 Graphite India, Ltd. 281,800 394,965 Great Eastern Shipping Co., Ltd. (The) 407,286 2,269,913 Greaves Cotton, Ltd. 497,355 691,536 Grindwell Norton, Ltd. 18,171 93,460 Gruh Finance, Ltd. 111,195 613,602 * GTL Infrastructure, Ltd. 1,158,583 38,415 Gujarat Alkalies & Chemicals, Ltd. 178,029 520,068 Gujarat Fluorochemicals, Ltd. 156,927 831,158 Gujarat Gas Co., Ltd. 52,080 327,846 Gujarat Industries Power Co., Ltd. 6,329 7,269 Gujarat Mineral Development Corp., Ltd. 511,825 1,122,275 Gujarat Narmada Valley Fertilizers & Chemicals, Ltd. 198,781 267,541 * Gujarat NRE Coke, Ltd. 1,625,158 286,675 * Gujarat Pipavav Port, Ltd. 270,004 372,169 Gujarat State Fertilisers & Chemicals, Ltd. 698,544 643,225 Gujarat State Petronet, Ltd. 1,097,043 1,326,970 Gulf Oil Corp., Ltd. 137,034 276,544 * GVK Power & Infrastructure, Ltd. 5,583,655 1,136,501 * Hathway Cable & Datacom, Ltd. 298,526 1,208,044 Havells India, Ltd. 371,251 5,739,879 * HCL Infosystems, Ltd. 626,484 470,510
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ --------- ---------- INDIA -- (Continued) HEG, Ltd. 60,181 $ 228,815 * HeidelbergCement India, Ltd. 348,433 241,803 * Hexa Tradex, Ltd. 73,518 25,943 Hexaware Technologies, Ltd. 1,467,575 3,728,573 * Himachal Futuristic Communications, Ltd. 2,461,986 373,699 Hinduja Global Solutions, Ltd. 30,903 271,073 Hinduja Ventures, Ltd. 36,075 153,798 * Hindustan Construction Co., Ltd. 1,572,759 502,213 * Hindustan Oil Exploration Co., Ltd. 69,160 53,779 Hindustan Petroleum Corp., Ltd. 682,702 3,657,068 Honeywell Automation India, Ltd. 13,295 694,474 * Hotel Leela Venture, Ltd. 540,246 165,606 * Housing Development & Infrastructure, Ltd. 2,154,402 2,452,246 HSIL, Ltd. 84,508 209,119 HT Media, Ltd. 172,938 264,347 ICRA, Ltd. 14,252 441,350 IDBI Bank, Ltd. 1,235,384 1,402,720 IIFL Holdings, Ltd. 1,083,761 1,443,527 IL&FS Transportation Networks, Ltd. 80,383 176,151 India Cements, Ltd. (The) 1,541,032 1,760,780 Indiabulls Housing Finance, Ltd. 357,294 1,782,569 Indian Bank 387,960 825,951 Indian Hotels Co., Ltd. 2,387,814 2,860,800 Indian Overseas Bank 1,554,951 1,607,059 Indo Rama Synthetics India 21,768 5,862 Indoco Remedies, Ltd. 190,301 419,887 Indraprastha Gas, Ltd. 468,548 2,238,779 Info Edge India, Ltd. 134,956 1,322,853 Infotech Enterprises, Ltd. 215,396 1,108,573 ING Vysya Bank, Ltd. 21,126 199,358 Ingersoll-Rand India, Ltd. 38,417 287,086 * International Paper APPM, Ltd. 57,705 223,036 Ipca Laboratories, Ltd. 370,908 5,147,200 IRB Infrastructure Developers, Ltd. 1,021,009 1,948,667 Jagran Prakashan, Ltd. 402,007 699,430 Jai Corp., Ltd. 99,240 115,011 Jain Irrigation Systems, Ltd. 1,831,218 2,493,535 Jaiprakash Associates, Ltd. 7,015,959 6,316,729 * Jaiprakash Power Ventures, Ltd. 6,325,569 1,550,062 Jammu & Kashmir Bank, Ltd. (The) 165,268 4,600,055 Jaypee Infratech, Ltd. 2,045,161 832,348 JB Chemicals & Pharmaceuticals, Ltd. 31,979 82,175 JBF Industries, Ltd. 121,529 169,400 * Jet Airways India, Ltd. 37,216 154,084 Jindal Drilling & Industries, Ltd. 13,908 44,715 Jindal Poly Films, Ltd. 61,477 150,370 * Jindal Poly Investments and Finance Co., Ltd. 22,502 22,309 Jindal Saw, Ltd. 1,019,001 958,200 * Jindal Stainless, Ltd. 282,767 181,038 JK Cement, Ltd. 111,995 418,307 JK Lakshmi Cement, Ltd. 240,107 474,239 JM Financial, Ltd. 2,073,645 966,906
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ --------- ---------- INDIA -- (Continued) JSW Energy, Ltd. 2,053,448 $1,810,009 JSW Steel, Ltd. 28,661 517,969 * Jubilant Foodworks, Ltd. 278,198 4,373,790 Jubilant Life Sciences, Ltd. 347,828 963,915 Jyothy Laboratories, Ltd. 390,764 1,233,097 Kajaria Ceramics, Ltd. 181,862 1,351,489 * Kakinada Fertilizers, Ltd. 632,948 22,058 Kalpataru Power Transmission, Ltd. 164,793 316,049 Kansai Nerolac Paints, Ltd. 10,598 222,866 Karnataka Bank, Ltd. 1,085,634 2,215,890 Karur Vysya Bank, Ltd. 240,376 1,551,824 Kaveri Seed Co., Ltd. 174,871 1,832,023 KEC International, Ltd. 467,468 586,227 Kesoram Industries, Ltd. 135,165 141,227 Kewal Kiran Clothing, Ltd. 1,598 32,843 Kirloskar Brothers, Ltd. 817 2,534 Kirloskar Oil Engines, Ltd. 218,179 726,394 KPIT Technologies, Ltd. 851,895 2,435,567 KSB Pumps, Ltd. 27,708 153,420 * KSK Energy Ventures, Ltd. 53,677 62,378 Lakshmi Machine Works, Ltd. 19,503 962,054 Lakshmi Vilas Bank, Ltd. 238,720 333,900 * Lanco Infratech, Ltd. 4,921,870 614,322 * Mahanagar Telephone Nigam 361,078 106,139 Maharashtra Seamless, Ltd. 108,527 385,678 Mahindra & Mahindra Financial Services, Ltd. 352,731 1,445,218 Mahindra Holidays & Resorts India, Ltd. 49,624 193,132 Mahindra Lifespace Developers, Ltd. 61,546 406,353 Man Infraconstruction, Ltd. 25,035 39,474 Mandhana Industries, Ltd. 54,218 206,837 * Mangalore Refinery & Petrochemicals, Ltd. 197,899 198,245 * Marico Kaya Enterprises, Ltd. 6,469 13,072 Marico, Ltd. 169,784 579,659 MAX India, Ltd. 834,633 2,973,332 McLeod Russel India, Ltd. 298,850 1,336,798 * Mercator, Ltd. 612,469 316,726 Merck, Ltd. 20,801 230,078 MindTree, Ltd. 124,407 2,939,753 MOIL, Ltd. 158,280 676,199 Monnet Ispat & Energy, Ltd. 58,491 81,637 Monsanto India, Ltd. 30,714 886,573 Motherson Sumi Systems, Ltd. 1,229,584 5,204,423 Motilal Oswal Financial Services, Ltd. 4,879 8,478 Mphasis, Ltd. 250,401 1,725,373 MRF, Ltd. 9,265 3,159,676 * Nagarjuna Oil Refinery, Ltd. 575,408 35,302 Nahar Capital and Financial Services, Ltd. 6,766 5,465 * Nahar Polyfilms, Ltd. 24,000 4,757 Natco Pharma, Ltd. 94,555 1,272,266 National Aluminium Co., Ltd. 56,609 35,868 Nava Bharat Ventures, Ltd. 13,117 35,540 Navneet Education, Ltd. 383,995 382,496
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ --------- ---------- INDIA -- (Continued) NCC, Ltd. 1,258,711 $1,056,997 NESCO, Ltd. 38,589 560,112 NIIT Technologies, Ltd. 251,992 1,707,492 NIIT, Ltd. 167,888 91,830 Nitin Fire Protection Industries, Ltd. 618,739 596,014 Noida Toll Bridge Co., Ltd. 158,808 74,324 Oberoi Realty, Ltd. 160,148 552,010 OCL India, Ltd. 51,578 148,943 OMAXE, Ltd. 450,427 954,549 * Orchid Chemicals & Pharmaceuticals, Ltd. 44,500 39,881 Orient Cement, Ltd. 351,095 284,452 Orient Paper & Industries, Ltd. 14,822 5,371 Oriental Bank of Commerce 598,876 2,465,046 Orissa Minerals Development Co., Ltd. 6,645 259,268 * Oswal Chemicals & Fertilizers 29,723 12,822 Page Industries, Ltd. 20,340 1,954,506 * Panacea Biotec, Ltd. 39,463 103,801 * Pantaloons Fashions and Retail, Ltd. 515 1,039 * Parsvnath Developers, Ltd. 602,762 247,860 Peninsula Land, Ltd. 559,353 303,081 Persistent Systems, Ltd. 81,500 1,354,586 Petronet LNG, Ltd. 331,282 792,806 Pfizer, Ltd. 27,555 581,894 Phoenix Mills, Ltd. 158,394 658,368 PI Industries, Ltd. 117,792 486,709 Pidilite Industries, Ltd. 535,479 2,846,498 * Pipavav Defence & Offshore Engineering Co., Ltd. 1,532,809 1,217,962 Piramal Enterprises, Ltd. 237,828 2,144,916 * Plethico Pharmaceuticals, Ltd. 68,473 47,517 Polaris Financial Technology, Ltd. 431,602 1,293,799 Praj Industries, Ltd. 78,749 69,212 Prestige Estates Projects, Ltd. 571,530 1,618,782 * Prime Focus, Ltd. 113,893 53,450 * Prism Cement, Ltd. 594,068 456,086 Procter & Gamble Hygiene & Health Care, Ltd. 4,185 235,701 PTC India Financial Services, Ltd. 583,539 166,735 PTC India, Ltd. 1,613,379 1,782,145 * Punj Lloyd, Ltd. 1,344,331 654,272 Punjab & Sind Bank 252,456 201,486 Puravankara Projects, Ltd. 3,622 4,366 Radico Khaitan, Ltd. 493,729 886,527 Rain Industries, Ltd. 546,486 358,490 Rajesh Exports, Ltd. 106,849 203,497 Rallis India, Ltd. 595,300 1,804,606 Ramco Cements, Ltd. (The) 423,183 1,516,530 Raymond, Ltd. 249,192 1,282,794 Redington India, Ltd. 884,218 1,299,961 REI Agro, Ltd. 3,369,565 257,475 Rolta India, Ltd. 724,825 902,806 Ruchi Soya Industries, Ltd. 516,585 310,148 S Mobility, Ltd. 70,822 32,402 Sadbhav Engineering, Ltd. 115,302 251,826
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ --------- ---------- INDIA -- (Continued) Sanofi India, Ltd. 24,992 $1,230,530 * Schneider Electric Infrastructure, Ltd. 252,369 385,083 * Shipping Corp. of India, Ltd. 1,026,945 727,611 Shoppers Stop, Ltd. 155,785 944,073 Shree Renuka Sugars, Ltd. 3,517,973 1,278,606 Sintex Industries, Ltd. 1,531,929 1,164,515 * SITI Cable Network, Ltd. 246,036 76,900 SJVN, Ltd. 530,895 200,248 SKF India, Ltd. 78,886 1,063,988 Sobha Developers, Ltd. 353,600 2,183,965 Solar Industries India, Ltd. 25,815 459,907 South Indian Bank, Ltd. 2,020,693 771,837 SREI Infrastructure Finance, Ltd. 223,216 123,334 SRF, Ltd. 115,329 740,273 Star Ferro and Cement, Ltd. 137,796 53,220 State Bank of Bikaner & Jaipur 68,999 401,970 * Sterling Biotech, Ltd. 305,767 43,683 Sterlite Technologies, Ltd. 745,823 380,492 Strides Arcolab, Ltd. 338,221 2,927,447 Styrolution ABS India, Ltd. 23,441 178,909 * Sun Pharma Advanced Research Co., Ltd. 683,215 1,941,669 Sundaram Finance, Ltd. 34,562 414,589 Sundaram-Clayton, Ltd. 3,890 46,222 Sundram Fasteners, Ltd. 283,916 350,664 Supreme Industries, Ltd. 179,999 1,360,588 Supreme Petrochem, Ltd. 103,075 106,015 * Surana Industries, Ltd. 14,879 14,772 * Suzlon Energy, Ltd. 7,128,765 1,551,723 Swaraj Engines, Ltd. 3,100 37,326 Syndicate Bank 1,199,412 2,057,915 Tata Chemicals, Ltd. 421,074 1,989,129 Tata Communications, Ltd. 663,303 3,110,145 Tata Elxsi, Ltd. 155,165 1,422,812 Tata Global Beverages, Ltd. 1,925,124 4,795,889 Tata Investment Corp., Ltd. 20,266 159,648 * Tata Teleservices Maharashtra, Ltd. 2,741,071 406,231 Tech Mahindra, Ltd. 170,401 5,161,078 Techno Electric & Engineering Co., Ltd. 55,792 157,183 Texmaco Rail & Engineering, Ltd. 108,580 119,647 Thermax, Ltd. 214,137 2,603,591 Time Technoplast, Ltd. 99,668 62,917 Timken India, Ltd. 42,048 143,272 Torrent Pharmaceuticals, Ltd. 364,010 3,464,828 Torrent Power, Ltd. 488,808 847,488 Trent, Ltd. 44,342 725,043 Triveni Turbine, Ltd. 179,367 206,158 TTK Prestige, Ltd. 31,862 1,613,642 Tube Investments of India, Ltd. 428,458 1,358,698 * TV18 Broadcast, Ltd. 3,543,321 1,481,885 TVS Motor Co., Ltd. 1,379,292 2,193,313 UCO Bank 1,711,048 2,178,282 Uflex, Ltd. 11,351 16,132
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ ----------- ------------ INDIA -- (Continued) Unichem Laboratories, Ltd. 234,424 $ 848,137 Union Bank of India 794,314 1,999,817 * Unitech, Ltd. 12,550,150 3,308,211 United Bank of India 418,885 221,840 UPL, Ltd. 2,016,992 8,959,003 Usha Martin, Ltd. 643,299 396,732 * Uttam Galva Steels, Ltd. 95,387 107,430 V-Guard Industries, Ltd. 84,617 670,095 VA Tech Wabag, Ltd. 22,023 290,523 Vakrangee, Ltd. 405,409 661,814 * Vardhman Special Steels, Ltd. 15,258 6,797 Vardhman Textiles, Ltd. 79,246 436,112 Vesuvius India, Ltd. 1,802 15,260 Videocon Industries, Ltd. 577,596 1,552,204 Vijaya Bank 1,144,972 783,098 VIP Industries, Ltd. 259,180 388,246 Voltas, Ltd. 993,937 2,643,264 VST Industries, Ltd. 15,968 515,384 WABCO India, Ltd. 8,387 308,856 Welspun Corp., Ltd. 706,339 953,647 * Welspun Infra Enterprises, Ltd. 35,317 8,783 Wockhardt, Ltd. 137,617 1,755,974 Wyeth, Ltd. 39,587 559,852 Zensar Technologies, Ltd. 104,999 627,493 Zuari Agro Chemicals, Ltd. 42,970 94,140 Zuari Global, Ltd. 32,457 41,886 Zydus Wellness, Ltd. 67,180 594,402 ------------ TOTAL INDIA 395,991,613 ------------ INDONESIA -- (3.5%) Ace Hardware Indonesia Tbk PT 32,168,700 2,074,819 Adhi Karya Persero Tbk PT 9,983,100 2,584,714 Agung Podomoro Land Tbk PT 40,361,000 921,249 AKR Corporindo Tbk PT 11,773,200 4,858,217 Alam Sutera Realty Tbk PT 81,359,500 3,749,463 Aneka Tambang Persero Tbk PT 32,303,800 3,293,715 Arwana Citramulia Tbk PT 21,078,200 1,798,383 Asahimas Flat Glass Tbk PT 983,000 596,085 Astra Graphia Tbk PT 2,211,000 382,894 * Bakrie and Brothers Tbk PT 319,498,500 1,381,735 * Bakrie Sumatera Plantations Tbk PT 69,505,000 300,415 * Bakrie Telecom Tbk PT 80,514,398 348,200 * Bakrieland Development Tbk PT 204,925,750 283,387 Bank Bukopin Tbk PT 29,287,966 1,622,890 * Bank Pan Indonesia Tbk PT 16,708,000 1,258,448 Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk PT 18,834,900 1,571,541 * Bank Permata Tbk PT 293,000 34,004 Bank Tabungan Negara Persero Tbk PT 34,158,549 3,417,634 * Barito Pacific Tbk PT 11,044,500 301,267 * Benakat Integra Tbk PT 109,436,600 1,319,799 * Berau Coal Energy Tbk PT 34,734,400 369,985 * Berlian Laju Tanker Tbk PT 35,106,366 --
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ ----------- ---------- INDONESIA -- (Continued) Bisi International PT 9,272,000 $ 494,974 * Borneo Lumbung Energi & Metal Tbk PT 26,226,700 256,938 * Budi Starch & Sweetener Tbk PT 5,947,000 59,272 * Bumi Resources Minerals Tbk PT 17,008,500 321,874 BW Plantation Tbk PT 13,009,600 1,584,000 * Central Proteinaprima Tbk PT 21,920,000 94,789 * Chandra Asri Petrochemical Tbk PT 13,500 2,918 Charoen Pokphand Indonesia Tbk PT 3,868,000 1,264,752 Ciputra Development Tbk PT 63,915,780 5,626,876 Ciputra Property Tbk PT 21,221,700 1,335,855 Ciputra Surya Tbk PT 6,946,000 1,370,812 * Citra Marga Nusaphala Persada Tbk PT 12,391,100 3,718,776 Clipan Finance Indonesia Tbk PT 1,482,000 51,913 * Darma Henwa Tbk PT 72,303,600 112,569 * Davomas Abadi Tbk PT 37,629,500 -- * Delta Dunia Makmur Tbk PT 15,433,000 247,879 Elnusa Tbk PT 19,526,700 862,642 * Energi Mega Persada Tbk PT 229,631,000 1,872,838 * Erajaya Swasembada Tbk PT 8,844,300 920,743 * Ever Shine Textile Tbk PT 3,654,640 69,543 * Exploitasi Energi Indonesia Tbk PT 50,011,000 983,034 * Fajar Surya Wisesa Tbk PT 672,500 98,675 Gajah Tunggal Tbk PT 12,688,400 2,107,399 * Garda Tujuh Buana Tbk PT 214,000 9,244 * Garuda Indonesia Persero Tbk PT 31,709,749 1,265,355 * Golden Eagle Energy Tbk PT 802,100 415,260 * Gozco Plantations Tbk PT 12,307,700 114,055 * Hanson International Tbk PT 55,064,300 2,955,580 Harum Energy Tbk PT 6,251,700 1,280,728 Hexindo Adiperkasa Tbk PT 1,326,000 435,579 Holcim Indonesia Tbk PT 5,012,000 1,234,249 * Indah Kiat Pulp & Paper Corp. Tbk PT 20,848,200 2,441,913 Indika Energy Tbk PT 12,594,300 677,413 * Indo-Rama Synthetics Tbk PT 485,000 32,729 Indomobil Sukses Internasional Tbk PT 33,000 14,132 * Inovisi Infracom Tbk PT 2,713,367 333,798 Intiland Development Tbk PT 35,871,832 1,412,249 Japfa Comfeed Indonesia Tbk PT 24,581,500 2,696,677 Jaya Real Property Tbk PT 9,837,500 782,598 Kawasan Industri Jababeka Tbk PT 151,840,245 3,360,312 * Krakatau Steel Persero Tbk PT 12,389,100 534,235 * Lippo Cikarang Tbk PT 3,276,700 2,169,005 Malindo Feedmill Tbk PT 7,671,000 1,988,959 Matahari Putra Prima Tbk PT 12,819,128 3,078,438 Mayora Indah Tbk PT 3,284,750 7,982,149 Medco Energi Internasional Tbk PT 11,147,500 2,657,002 Mitra Adiperkasa Tbk PT 7,948,300 4,390,157 * Mitra International Resources Tbk PT 4,604,500 20,356 MNC Investama Tbk PT 138,858,300 3,692,478 Modern Internasional Tbk PT 4,017,800 231,168 * Modernland Realty Tbk PT 40,130,100 1,526,784 Multipolar Tbk PT 50,640,400 2,944,147
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ ----------- ------------ INDONESIA -- (Continued) * Multistrada Arah Sarana Tbk PT 6,875,500 $ 186,564 Nippon Indosari Corpindo Tbk PT 6,196,100 585,679 * Nusantara Infrastructure Tbk PT 78,200,000 1,592,070 Pabrik Kertas Tjiwi Kimia Tbk PT 557,500 77,054 Pakuwon Jati Tbk PT 81,293,100 2,479,260 * Pan Brothers Tbk PT 2,401,500 89,080 * Panasia Indo Resources Tbk PT 79,000 2,357 * Panin Financial Tbk PT 108,718,900 2,469,756 Panin Insurance Tbk PT 8,124,500 489,363 Panin Sekuritas Tbk PT 31,500 12,831 Pembangunan Perumahan Persero Tbk PT 23,207,900 3,720,596 Perusahaan Perkebunan London Sumatra Indonesia Tbk PT 23,130,400 4,914,763 Petrosea Tbk PT 3,520,500 419,275 * Polaris Investama Tbk PT 2,730,500 324,061 * Polychem Indonesia Tbk PT 5,091,000 88,317 * PT Texmaco Jaya Tbk 93,000 -- Ramayana Lestari Sentosa Tbk PT 25,093,200 2,782,140 Resource Alam Indonesia Tbk PT 2,489,000 374,101 Salim Ivomas Pratama Tbk PT 18,744,600 1,625,288 * Samindo Resources Tbk PT 475,750 23,869 Sampoerna Agro PT 5,317,000 1,127,152 Samudera Indonesia Tbk PT 37,700 9,987 Selamat Sempurna Tbk PT 5,481,000 1,715,818 * Sentul City Tbk PT 216,989,600 3,241,453 * Sigmagold Inti Perkasa Tbk PT 12,930,500 505,640 Sinar Mas Agro Resources and Technology Tbk PT 1,037,460 599,457 * Sugih Energy Tbk PT 82,910,500 3,245,182 Summarecon Agung Tbk PT 70,456,064 6,791,026 * Sunson Textile Manufacturer Tbk PT 2,325,500 15,312 * Surabaya Agung Industri Pulp & Kertas Tbk PT 64,500 209 * Surya Dumai Industri Tbk 3,298,500 -- Surya Semesta Internusa Tbk PT 30,722,000 2,216,774 * Suryainti Permata Tbk PT 7,252,000 -- Tiga Pilar Sejahtera Food Tbk 15,893,000 3,032,277 Timah Persero Tbk PT 24,752,714 3,219,957 * Tiphone Mobile Indonesia Tbk PT 13,577,200 1,018,295 Total Bangun Persada Tbk PT 11,120,000 894,471 * Trada Maritime Tbk PT 19,281,413 3,071,052 Trias Sentosa Tbk PT 37,122,100 1,029,136 * Trimegah Securities Tbk PT 9,740,000 70,717 * Truba Alam Manunggal Engineering PT 21,316,500 9,219 Tunas Baru Lampung Tbk PT 11,087,000 490,107 Tunas Ridean Tbk PT 13,838,000 808,556 * Ultrajaya Milk Industry & Trading Co. Tbk PT 3,635,800 1,342,170 Unggul Indah Cahaya Tbk PT 48,239 7,959 * Visi Media Asia Tbk PT 21,901,100 537,866 Wijaya Karya Persero Tbk PT 20,249,600 3,981,294 ------------ TOTAL INDONESIA 167,842,174 ------------ ISRAEL -- (0.0%) * Feuchtwanger Investments, Ltd. 4,200 -- * Knafaim Holdings, Ltd. 7,307 16,234
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ ---------- ---------- ISRAEL -- (Continued) * Metis Capital, Ltd. 919 $ -- ---------- TOTAL ISRAEL 16,234 ---------- MALAYSIA -- (5.8%) * Adventa Bhd 4,600 1,583 Aeon Co. M Bhd 1,081,300 4,877,540 Aeon Credit Service M Bhd 46,800 208,060 Affin Holdings Bhd 1,147,100 1,326,485 # Alam Maritim Resources Bhd 3,550,800 1,613,057 Allianz Malaysia Bhd 3,600 11,358 Amway Malaysia Hldgs Bhd 399,300 1,455,759 * Ann Joo Resources Bhd 1,116,650 410,839 * Anson Perdana Bhd 10,000 -- APM Automotive Holdings Bhd 424,200 787,942 Benalec Holdings Bhd 3,915,600 1,080,426 Berjaya Assets Bhd 810,100 211,058 Berjaya Corp. Bhd 20,740,900 3,178,436 Berjaya Land Bhd 3,734,000 949,520 BIMB Holdings Bhd 2,256,908 2,942,114 Bintulu Port Holdings Bhd 25,900 59,373 BLD Plantation Bhd 21,400 57,645 Bonia Corp. Bhd 130,000 199,018 * Borneo Aqua Harvest Bhd 764,000 257,451 * Boustead Heavy Industries Corp. Bhd 5,400 4,200 Boustead Holdings Bhd 999,572 1,699,506 # Bursa Malaysia Bhd 3,632,100 8,447,507 # Cahya Mata Sarawak Bhd 1,079,000 3,156,309 Can-One Bhd 497,700 467,935 # Carlsberg Brewery Malaysia Bhd Class B 1,144,000 4,403,457 * Carotech Bhd 230,650 283 CB Industrial Product Holding Bhd 1,348,620 1,943,155 Chin Teck Plantations Bhd 33,000 98,504 # Coastal Contracts Bhd 1,749,466 2,685,885 CSC Steel Holdings Bhd 564,800 231,918 * Cycle & Carriage Bintang Bhd 15,000 10,889 Cypark Resources Bhd 1,493,300 1,327,202 * D&O Green Technologies Bhd 149,900 13,327 Daibochi Plastic & Packaging Industry Bhd 46,200 63,656 * Datuk Keramik Holdings Bhd 24,000 -- Daya Materials Bhd 15,996,000 1,644,181 Dayang Enterprise Holdings Bhd 2,409,196 2,739,936 DKSH Holdings Malaysia Bhd 133,500 331,015 # DRB-Hicom Bhd 7,280,700 5,578,470 Dutch Lady Milk Industries Bhd 140,200 1,993,172 # Eastern & Oriental Bhd 6,142,200 4,466,317 * ECM Libra Financial Group Bhd 367,466 111,606
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ ---------- ---------- MALAYSIA -- (Continued) Eng Kah Corp. Bhd 21,890 $ 17,051 Engtex Group Bhd 451,700 266,106 * Evergreen Fibreboard Bhd 1,239,400 199,559 Eversendai Corp. Bhd 1,278,200 434,575 Faber Group Bhd 1,767,200 1,611,141 FAR East Holdings Bhd 61,500 143,327 * Fountain View Development Bhd 808,200 -- George Kent Malaysia BHD 34,200 17,724 Globetronics Technology Bhd 1,731,760 1,913,257 Glomac Bhd 2,791,500 941,051 * Golden Plus Holding Bhd 216,000 -- * Goldis Bhd 604,277 402,250 * Green Packet Bhd 3,430,800 426,680 Guan Chong Bhd 212,100 91,701 Guinness Anchor Bhd 845,000 3,729,728 GuocoLand Malaysia Bhd 1,354,300 478,455 Hai-O Enterprise Bhd 722,380 553,234 # HAP Seng Consolidated Bhd 5,702,940 5,537,568 Hap Seng Plantations Holdings Bhd 1,686,900 1,449,283 Hartalega Holdings Bhd 1,461,900 2,839,786 Hiap Teck Venture Bhd 668,100 161,753 * Ho Wah Genting Bhd 1,947,000 116,552 Hock Seng LEE BHD 1,253,616 733,952 Hong Leong Industries Bhd 605,900 1,232,132 Hovid Bhd 279,300 30,851 Hua Yang Bhd 1,360,000 779,377 Hup Seng Industries Bhd 129,333 46,417 Hwang Capital Malaysia Bhd 476,900 270,787 # IGB Corp. Bhd 5,809,555 4,926,118 IJM Land Bhd 3,522,000 3,259,069 # IJM Plantations Bhd 1,683,700 1,826,207 * Inch Kenneth Kajang Rubber 1,045,300 266,008 Insas Bhd 4,478,281 1,663,420 Integrated Logistics Bhd 65,084 15,648 Integrax Bhd 191,900 126,279 Iris Corp. Bhd 9,726,800 1,373,160 * JAKS Resources Bhd 3,430,900 577,999 Jaya Tiasa Holdings Bhd 2,723,627 2,270,860 JCY International Bhd 4,164,400 945,739 JT International Bhd 554,100 1,316,325 * K&N Kenanga Holdings Bhd 1,399,360 334,770 * Karambunai Corp. Bhd 4,654,100 128,919 Keck Seng Malaysia Bhd 828,150 1,784,946 Kian JOO CAN Factory Bhd 1,893,880 1,979,146 Kim Loong Resources Bhd 292,760 252,981 Kimlun Corp. Bhd 813,900 401,390 * Kinsteel Bhd 1,427,600 79,027 KLCC Property Holdings Bhd 874,200 1,781,372 * KNM Group Bhd 11,072,950 2,820,993 # Kossan Rubber Industries 3,543,700 4,450,273 # KPJ Healthcare Bhd 6,458,025 6,408,657 * Kretam Holdings Bhd 2,992,000 550,122
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ ---------- ---------- MALAYSIA -- (Continued) * KSL Holdings Bhd 2,036,466 $1,341,212 * KUB Malaysia Bhd 1,353,500 203,603 * Kulim Malaysia Bhd 2,845,300 3,078,708 * Kumpulan Europlus Bhd 2,223,500 893,462 Kumpulan Fima Bhd 897,450 640,908 Kumpulan Perangsang Selangor Bhd 2,317,900 1,080,151 Kwantas Corp. Bhd 390,200 268,838 * Land & General Bhd 7,240,100 1,264,688 * Landmarks Bhd 1,458,600 497,147 LBS Bina Group Bhd 2,206,100 1,204,064 Lingkaran Trans Kota Holdings Bhd 999,500 1,192,839 Lion Industries Corp. Bhd 3,189,100 640,748 LPI Capital Bhd 110,680 576,476 Magnum Bhd 3,785,200 3,500,799 # Mah Sing Group Bhd 7,451,024 5,163,695 Malayan Flour Mills Bhd 1,623,850 786,409 # Malaysia Building Society Bhd 2,011,950 1,393,656 #* Malaysian Airline System Bhd 31,866,900 2,253,723 Malaysian Bulk Carriers Bhd 3,246,700 1,892,170 Malaysian Pacific Industries Bhd 562,313 721,081 # Malaysian Resources Corp. Bhd 10,516,349 5,061,274 * Mancon Bhd 12,000 -- MBM Resources Bhd 1,208,296 1,193,224 Media Chinese International, Ltd. 3,632,300 1,087,178 Media Prima Bhd 6,973,103 5,318,179 Mega First Corp. Bhd 472,600 330,437 * MEMS Technology Bhd 1,917,000 -- MHC Plantations Bhd 22,300 7,993 MK Land Holdings Bhd 1,541,400 241,152 MKH Bhd 1,241,992 1,666,603 MNRB Holdings Bhd 778,600 905,064 Muda Holdings Bhd 340,300 198,169 Mudajaya Group Bhd 1,826,566 1,449,825 Muhibbah Engineering M Bhd 3,118,350 2,775,376 * Mulpha International Bhd 12,935,100 1,707,378 My EG Services Bhd 2,910,000 2,459,361 Naim Holdings Bhd 1,269,000 1,553,525 NCB Holdings Bhd 1,147,200 1,079,819 * Nikko Electronics Bhd 36,600 -- NTPM Holdings Bhd 1,963,580 520,529 Oldtown Bhd 1,818,250 1,158,942 Oriental Holdings Bhd 182,700 436,525 OSK Holdings Bhd 3,616,670 1,839,305 Pacific & Orient Bhd 231,100 98,438 Padini Holdings Bhd 3,437,000 2,107,648 Panasonic Manufacturing Malaysia Bhd 159,584 1,084,964 * Panglobal Bhd 14,000 -- Pantech Group Holdings Bhd 1,037,200 313,699 Paramount Corp. Bhd 310,100 158,531 # Parkson Holdings Bhd 3,095,988 2,786,595 #* Perdana Petroleum Bhd 4,471,741 2,590,604 #* Perisai Petroleum Teknologi Bhd 7,311,700 3,519,631
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ ---------- ---------- MALAYSIA -- (Continued) Perusahaan Sadur Timah Malaysia Bhd 5,000 $ 7,123 Pharmaniaga Bhd 308,060 443,397 Pie Industrial Bhd 145,600 365,904 PJ Development Holdings Bhd 2,247,800 1,054,256 Pos Malaysia Bhd 2,861,100 3,948,728 Press Metal Bhd 1,190,100 1,267,343 Prestariang Bhd 2,107,600 1,306,126 * Prime Utilities Bhd 3,000 -- Protasco Bhd 949,100 552,989 # Puncak Niaga Holding Bhd 1,353,220 1,212,445 QL Resources Bhd 3,954,330 3,794,700 RCE Capital Bhd 1,535,850 146,131 Rimbunan Sawit Bhd 3,335,900 822,987 Salcon Bhd 4,438,500 1,006,779 Sarawak Oil Palms Bhd 471,360 940,417 Sarawak Plantation Bhd 106,600 86,528 Scientex Bhd 475,162 844,521 #* Scomi Energy Services Bhd 3,824,700 1,134,128 * Scomi Group Bhd 10,047,900 1,312,329 SEG International Bhd 85,100 39,077 Selangor Dredging Bhd 1,118,200 366,347 Selangor Properties Bhd 151,500 246,078 Shangri-La Hotels Malaysia Bhd 357,100 723,721 * Shell Refining Co. Federation of Malaya Bhd 30,000 54,998 SHL Consolidated Bhd 277,400 191,290 Southern Acids Malaysia Bhd 41,000 63,545 Star Publications Malaysia Bhd 1,567,700 1,241,729 Subur Tiasa Holdings Bhd 326,885 225,997 Sunway Bhd 5,805,060 5,523,747 # Supermax Corp. Bhd 5,402,500 4,052,580 Suria Capital Holdings Bhd 715,500 570,670 Syarikat Takaful Malaysia Bhd 443,800 1,710,916 * Symphony Life Bhd 999,926 315,741 Ta Ann Holdings Bhd 1,007,508 1,296,353 TA Enterprise Bhd 9,078,000 2,254,430 TA Global Bhd 5,903,240 560,597 TAHPS Group Bhd 4,000 9,025 Tambun Indah Land Bhd 886,200 540,440 TAN Chong Motor Holdings Bhd 1,992,000 3,474,547 * Tanjung Offshore Bhd 2,906,700 526,419 Tasek Corp. Bhd 75,900 371,020 TDM Bhd 6,981,400 2,075,876 * Tebrau Teguh Bhd 3,000,600 1,252,173 #* TH Heavy Engineering Bhd 6,433,100 1,776,672 TH Plantations Bhd 1,639,960 1,019,132 * Time dotCom Bhd 1,821,888 2,228,225 Tiong NAM Logistics Holdings 1,927,200 791,626 # Top Glove Corp. Bhd 3,212,160 4,728,082 TRC Synergy Bhd 155,520 26,225 Tropicana Corp. Bhd 3,132,500 1,478,427 TSH Resources Bhd 2,469,400 2,534,090 Uchi Technologies Bhd 1,476,400 656,355
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ --------- ------------ MALAYSIA -- (Continued) Unisem M Bhd 4,669,690 $ 1,690,152 United Malacca Bhd 396,150 865,013 United Plantations Bhd 502,000 3,887,220 UOA Development Bhd 2,995,600 2,157,994 Uzma Bhd 217,000 406,756 VS Industry Bhd 344,026 170,801 Wah Seong Corp. Bhd 2,471,638 1,491,133 # WCT Holdings Bhd 6,572,140 4,533,672 Wellcall Holdings Bhd 45,000 19,811 Wing Tai Malaysia Bhd 620,000 410,547 WTK Holdings Bhd 3,019,100 1,232,258 Yinson Holdings Bhd 722,900 1,888,338 YNH Property Bhd 2,143,398 1,294,413 YTL E-Solutions Bhd 3,485,600 657,389 * YTL Land & Development Bhd 1,286,200 370,414 Zhulian Corp. Bhd 1,171,233 1,041,225 ------------ TOTAL MALAYSIA 282,544,281 ------------ MEXICO -- (4.6%) # Alpek S.A. de C.V. 1,094,899 1,883,031 # Alsea S.A.B. de C.V. 4,006,952 13,859,057 Arca Continental S.A.B. de C.V. 581,787 3,699,886 #* Axtel S.A.B. de C.V. 8,265,993 2,748,434 # Banregio Grupo Financiero S.A.B. de C.V. 1,487,396 8,616,670 #* Bio Pappel S.A.B. de C.V. 541,526 1,156,917 # Bolsa Mexicana de Valores S.A.B. de C.V. 3,680,840 7,554,264 # Cia Minera Autlan S.A.B. de C.V. Series B 876,451 917,802 # Compartamos S.A.B. de C.V. 3,957,362 6,902,754 #* Consorcio ARA S.A.B. de C.V. Series * 7,305,844 3,216,576 # Controladora Comercial Mexicana S.A.B. de C.V. 281,025 1,052,333 # Corp. Actinver S.A.B. de C.V. 142,072 157,463 #* Corp. GEO S.A.B. de C.V. Series B 3,194,830 47,922 # Corp. Inmobiliaria Vesta S.A.B. de C.V. 1,458,058 2,964,541 * Corp. Interamericana de Entretenimiento S.A.B. de C.V. Class B 960,372 682,690 * Corp. Mexicana de Restaurantes S.A.B. de C.V. 1,323 574 Corp. Moctezuma S.A.B. de C.V. Series * 861,300 2,633,391 Corporativo Fragua S.A.B. de C.V. 3 53 Corporativo GBM S.A.B. de C.V. 22,477 17,352 #* Desarrolladora Homex S.A.B. de C.V. 781,820 127,697 * Empaques Ponderosa S.A. de C.V. 206,000 -- #* Empresas ICA S.A.B. de C.V. 3,496,823 6,259,815 * Empresas ICA S.A.B. de C.V. Sponsored ADR 761,355 5,489,370 * Financiera Independencia S.A.B. de C.V. 199,935 78,857 #* Genomma Lab Internacional S.A.B. de C.V. Class B 7,354,004 18,679,066 * Gruma S.A.B. de C.V. Class B 1,690,397 14,949,375 #* Gruma S.A.B. de C.V. Sponsored ADR 33,070 1,164,725 #* Grupo Aeromexico S.A.B. de C.V. 1,050,275 1,705,937 # Grupo Aeroportuario del Centro Norte S.A.B. de C.V. 1,767,812 6,477,912 # Grupo Aeroportuario del Centro Norte S.A.B. de C.V. ADR 3,642 107,220 Grupo Aeroportuario del Pacifico S.A.B. de C.V. ADR 74,739 4,506,762 Grupo Aeroportuario del Pacifico S.A.B. de C.V. Class B 2,116,469 12,739,824 Grupo Aeroportuario del Sureste S.A.B. de C.V. ADR 98,029 11,984,045
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ ---------- ------------ MEXICO -- (Continued) Grupo Aeroportuario del Sureste S.A.B. de C.V. Class B 713,342 $ 8,730,060 Grupo Cementos de Chihuahua S.A.B. de C.V. 822,000 2,449,774 # Grupo Comercial Chedraui S.A. de C.V. 1,184,162 3,637,727 * Grupo Famsa S.A.B. de C.V. Class A 1,682,548 2,302,086 # Grupo Financiero Interacciones S.A. de C.V. 160,284 967,873 # Grupo Herdez S.A.B. de C.V. Series * 1,132,308 3,384,958 Grupo Industrial Maseca S.A.B. de C.V. Class B 592,181 922,938 Grupo Industrial Saltillo S.A.B. de C.V. 214,861 459,850 # Grupo KUO S.A.B. de C.V. Series B 699,333 1,399,441 #* Grupo Pochteca S.A.B. de C.V. 547,728 682,423 Grupo Posadas S.A.B. de C.V. 198,900 368,678 * Grupo Qumma S.A. de C.V. Series B 105,334 -- # Grupo Sanborns S.A.B. de C.V. 225,221 374,429 #* Grupo Simec S.A.B. de C.V. Series B 922,430 3,473,897 * Grupo Simec S.A.B. de C.V. Sponsored ADR 5,180 60,295 * Grupo Sports World S.A.B. de C.V. 319,144 492,764 Industrias Bachoco S.A.B. de C.V. ADR 18,444 813,380 # Industrias Bachoco S.A.B. de C.V. Series B 606,275 2,224,395 #* Industrias CH S.A.B. de C.V. Series B 1,696,510 8,999,468 * Inmuebles Carso S.A.B. de C.V. 340,447 354,948 #* Maxcom Telecomunicaciones S.A.B. de C.V. 1,589,646 394,898 Megacable Holdings S.A.B. de C.V. 757,872 2,996,673 #* Minera Frisco S.A.B. de C.V. 74,838 136,831 * OHL Mexico S.A.B. de C.V. 621,477 1,653,123 # Organizacion Cultiba S.A.B. de C.V. 693,791 1,146,530 #* Promotora y Operadora de Infraestructura S.A.B. de C.V. 1,698,488 23,719,307 # Qualitas Controladora S.A.B. de C.V. 120,278 349,818 * Sanluis Corp. S.A.B. de C.V. 4,642 -- * Sanluis Corp. S.A.B. de C.V. Class B 4,642 -- * Sanluis Rassini S.A.P.I. de C.V. Series A 3,300 -- * Savia SA Class A 610,700 -- TV Azteca S.A.B. de C.V. 8,258,735 4,513,574 #* Urbi Desarrollos Urbanos S.A.B. de C.V. 2,371,991 949 Value Grupo Financiero S.A.B. de CV 2,800 16,589 * Vitro S.A.B. de C.V. Series A 753,331 1,996,368 ------------ TOTAL MEXICO 221,406,359 ------------ PHILIPPINES -- (1.4%) A Soriano Corp. 3,430,211 541,304 Alsons Consolidated Resources, Inc. 3,647,000 143,400 Atlas Consolidated Mining & Development 4,108,900 1,369,167 * Belle Corp. 29,739,600 3,994,118 Cebu Air, Inc. 1,101,140 1,296,868 Cebu Holdings, Inc. 3,291,900 377,428 Century Properties Group, Inc. 15,126,000 503,943 China Banking Corp. 657,192 812,945 COL Financial Group, Inc. 130,900 50,899 * East West Banking Corp. 584,100 400,220 EEI Corp. 3,567,700 952,965 * Empire East Land Holdings, Inc. 20,479,000 459,997 Energy Development Corp. 10,102,600 1,268,122 Filinvest Development Corp. 3,314,322 369,042
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ ---------- ----------- PHILIPPINES -- (Continued) Filinvest Land, Inc. 97,563,577 $ 3,490,938 First Gen Corp. 10,461,500 4,459,843 First Philippine Holdings Corp. 2,105,270 3,353,194 * Ginebra San Miguel, Inc. 598,000 254,831 * Global-Estate Resorts, Inc. 14,869,000 658,750 Lafarge Republic, Inc. 1,946,382 439,505 Leisure & Resorts World Corp. 1,442,140 254,574 * Lepanto Consolidated Mining Co. 38,640,000 356,773 Lopez Holdings Corp. 13,093,200 1,339,612 Macroasia Corp. 331,500 15,756 Manila Water Co., Inc. 6,700,000 4,010,514 * Megawide Construction Corp. 971,000 287,365 Megaworld Corp. 24,510,000 2,566,207 * Metro Pacific Corp. Series A 1,827,193 -- Metro Pacific Investments Corp. 5,032,000 574,116 Pepsi-Cola Products Philippines, Inc. 10,227,900 1,148,636 Petron Corp. 1,678,200 463,195 * Philex Petroleum Corp. 287,100 59,135 * Philippine Bank of Communications 14,726 19,552 * Philippine National Bank 1,485,125 2,908,190 * Philippine National Construction Corp. 173,000 3,566 Philippine Savings Bank 356,863 1,097,159 Philippine Stock Exchange, Inc. (The) 113,232 753,875 * Philippine Townships, Inc. 318,732 2,066 Philodrill Corp. (The) 43,500,000 37,095 * Philtown Properties, Inc. 111,562 723 Philweb Corp. 3,070,740 352,033 Phinma Corp. 135,549 33,837 Phoenix Petroleum Philippines, Inc. 892,880 120,306 RFM Corp. 8,845,668 1,290,994 Rizal Commercial Banking Corp. 2,390,340 2,576,108 Robinsons Land Corp. 10,511,205 5,274,770 San Miguel Pure Foods Co., Inc. 63,200 333,332 Security Bank Corp. 1,547,208 4,169,113 Semirara Mining Corp. 403,920 3,727,929 Shang Properties, Inc. 1,069,970 75,115 SM Prime Holdings, Inc. 2,055,545 754,597 Trans-Asia Oil & Energy Development Corp. 9,793,000 513,650 Union Bank Of Philippines, Inc. 732,480 2,091,892 * Universal Rightfield Property Holdings, Inc. 1,062,000 -- Universal Robina Corp. 847,425 2,782,742 Vista Land & Lifescapes, Inc. 31,761,900 4,301,945 ----------- TOTAL PHILIPPINES 69,493,951 ----------- POLAND -- (2.3%) ABC Data SA 40,550 52,871 Action SA 19,311 304,152 * Agora SA 279,183 959,528 * Alchemia SA 380,695 632,743 * Alior Bank SA 55,953 1,476,990 Amica Wronki SA 9,826 305,800 * AmRest Holdings SE 58,462 1,580,219
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ --------- ----------- POLAND -- (Continued) Apator SA 54,682 $ 661,285 Asseco Poland SA 620,582 9,240,662 ATM SA 64,541 270,265 * Bioton SA 21,940 49,652 * Boryszew SA 1,238,905 1,804,384 Budimex SA 87,849 4,085,111 CCC SA 122,410 5,143,931 #* CD Projekt SA 727,757 3,606,616 * Ciech SA 295,749 3,168,580 ComArch SA 2,740 79,161 * Cyfrowy Polsat SA 8,504 57,792 Dom Development SA 4,673 71,696 #* Eko Export SA 44,595 575,325 Elektrobudowa SA 8,568 254,886 Emperia Holding SA 78,969 1,749,237 Enea SA 135,577 686,438 Eurocash SA 199,667 2,640,347 Fabryki Mebli Forte SA 94,248 1,370,574 * Famur SA 350,412 508,473 * Farmacol SA 50,868 849,297 Firma Oponiarska Debica SA 29,862 893,039 Getin Holding SA 2,669,020 2,813,691 * Getin Noble Bank SA 1,445,197 1,758,993 * Global City Holdings NV 53,690 622,205 Grupa Azoty SA 125,347 2,485,944 Grupa Kety SA 45,590 3,283,830 * Grupa Lotos SA 645,490 8,324,023 #* Hawe SA 846,548 823,929 * Impexmetal SA 925,041 789,589 * Integer.pl SA 6,879 604,727 * Inter Cars SA 20,438 1,275,367 # Jastrzebska Spolka Weglowa SA 113,004 1,555,780 * Kernel Holding SA 236,823 2,200,980 Kopex SA 214,308 918,073 * KRUK SA 23,662 651,866 * LC Corp. SA 150,655 96,670 Lentex SA 203,837 565,009 LPP SA 933 2,417,355 Lubelski Wegiel Bogdanka SA 272,426 11,151,681 * MCI Management SA 225,220 663,613 * Midas SA 1,891,867 394,154 * Mostostal Zabrze Holding SA 338,878 205,977 * Netia SA 1,984,276 3,548,337 Neuca SA 16,095 1,258,530 Orbis SA 132,247 1,712,513 Pelion SA 47,515 1,209,227 * Pfleiderer Grajewo SA 26,312 221,792 * Polimex-Mostostal SA 3,287,314 98,014 * Polnord SA 214,937 643,697 * Polski Koncern Miesny Duda SA 1,614,871 341,655 * PZ Cormay SA 141,320 319,814 * Rafako SA 320,028 573,613
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ --------- ------------ POLAND -- (Continued) * Rovese SA 2,276,863 $ 1,054,664 * Stalexport Autostrady SA 205,192 196,608 Stalprodukt SA 8,713 691,210 * Sygnity SA 54,489 309,649 # Synthos SA 1,256,884 1,981,001 #* Trakcja SA 2,159,366 929,924 TVN SA 1,410,788 7,687,109 * Vistula Group SA 818,623 452,202 Warsaw Stock Exchange 171,071 2,137,260 Wawel SA 381 163,537 Zaklady Chemiczne Police SA 76,751 522,045 * Zespol Elektrowni Patnow Adamow Konin SA 10,346 79,056 ------------ TOTAL POLAND 112,813,967 ------------ SOUTH AFRICA -- (7.4%) # Adcock Ingram Holdings, Ltd. 945,633 5,479,310 Adcorp Holdings, Ltd. 498,315 1,515,512 Advtech, Ltd. 1,951,742 1,600,100 Aeci, Ltd. 856,959 9,571,562 # African Bank Investments, Ltd. 5,287,877 6,270,429 # African Oxygen, Ltd. 853,971 1,678,448 Allied Electronics Corp., Ltd. 194,270 449,313 * ArcelorMittal South Africa, Ltd. 934,251 3,288,060 Argent Industrial, Ltd. 37,236 17,349 # Astral Foods, Ltd. 272,865 2,477,825 * Aveng, Ltd. 3,212,008 6,901,346 AVI, Ltd. 2,687,799 14,830,459 Barloworld, Ltd. 859,133 9,372,443 Basil Read Holdings, Ltd. 325,585 285,997 Bell Equipment, Ltd. 158,539 262,935 Blue Label Telecoms, Ltd. 2,599,582 2,252,703 * Brait SE 498,180 2,684,510 Business Connexion Group, Ltd. 1,486,408 798,496 # Capitec Bank Holdings, Ltd. 129,311 2,798,605 # Cashbuild, Ltd. 174,734 2,089,643 Caxton and CTP Publishers and Printers, Ltd. 286,266 434,594 City Lodge Hotels, Ltd. 261,898 3,070,007 Clicks Group, Ltd. 2,275,094 13,872,087 Clover Industries, Ltd. 695,022 1,282,190 * Consolidated Infrastructure Group, Ltd. 109,248 297,693 Coronation Fund Managers, Ltd. 1,346,747 13,004,885 * Corpgro, Ltd. 241,136 -- Cullinan Holdings, Ltd. 197,115 44,941 Datacentrix Holdings, Ltd. 641,400 256,321 DataTec, Ltd. 1,309,341 6,580,136 Distell Group, Ltd. 233,656 2,777,357 Distribution and Warehousing Network, Ltd. 258,997 251,097 DRDGOLD, Ltd. 2,685,729 855,219 EOH Holdings, Ltd. 742,567 5,935,820 Eqstra Holdings, Ltd. 1,839,705 1,277,219 * Evraz Highveld Steel and Vanadium, Ltd. 147,184 127,871 # Famous Brands, Ltd. 382,245 3,834,284
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ --------- ----------- SOUTH AFRICA -- (Continued) # Foschini Group, Ltd. (The) 414,640 $ 4,285,300 Grand Parade Investments, Ltd. 775,034 397,937 Grindrod, Ltd. 3,318,188 7,857,620 Group Five, Ltd. 831,120 3,418,647 * Harmony Gold Mining Co., Ltd. 375,047 1,232,582 * Harmony Gold Mining Co., Ltd. Sponsored ADR 1,944,139 6,396,217 Holdsport, Ltd. 86,443 321,796 Hudaco Industries, Ltd. 229,223 2,285,072 * Hulamin, Ltd. 590,108 409,657 Iliad Africa, Ltd. 233,033 141,966 Illovo Sugar, Ltd. 1,763,937 4,864,142 Invicta Holdings, Ltd. 29,809 339,887 * JCI, Ltd. 3,131,151 -- # JD Group, Ltd. 1,087,397 2,841,289 JSE, Ltd. 688,163 6,313,522 KAP Industrial Holdings, Ltd. 2,005,719 781,709 # Lewis Group, Ltd. 816,195 4,845,082 * Merafe Resources, Ltd. 5,799,431 612,017 Metair Investments, Ltd. 875,026 3,536,860 Mpact, Ltd. 1,152,900 3,048,670 * Murray & Roberts Holdings, Ltd. 3,176,473 7,438,127 Mustek, Ltd. 740,975 487,651 Nampak, Ltd. 2,490,646 9,291,754 * Northam Platinum, Ltd. 2,145,957 8,376,688 Nu-World Holdings, Ltd. 28,894 53,556 Oceana Group, Ltd. 364,172 3,119,971 Octodec Investments, Ltd. 10,288 19,820 Omnia Holdings, Ltd. 513,646 11,042,991 Peregrine Holdings, Ltd. 799,785 1,468,045 Petmin, Ltd. 1,215,428 313,926 # Pick n Pay Stores, Ltd. 856,714 4,895,194 # Pinnacle Holdings, Ltd. 1,141,564 1,418,650 Pioneer Foods, Ltd. 593,188 5,299,472 PPC, Ltd. 4,213,403 12,258,981 Premium Properties, Ltd. 34,094 56,738 # PSG Group, Ltd. 782,739 7,752,687 Raubex Group, Ltd. 792,251 1,637,666 * RCL Foods, Ltd. 490,053 717,365 Resilient Property Income Fund, Ltd. 424,175 2,323,563 Reunert, Ltd. 1,274,935 8,378,275 * Royal Bafokeng Platinum, Ltd. 321,034 2,075,217 Santam, Ltd. 109,552 2,211,900 #* Sappi, Ltd. 4,391,943 13,922,148 Sibanye Gold, Ltd. 2,745,959 7,092,899 Sibanye Gold, Ltd. Sponsored ADR 611,009 6,311,723 Spar Group, Ltd. (The) 1,016,062 11,938,034 Spur Corp., Ltd. 555,255 1,583,716 * Stefanutti Stocks Holdings, Ltd. 524,569 433,431 Sun International, Ltd. 813,283 8,038,794 * Super Group, Ltd. 2,559,672 6,896,834 * Telkom SA SOC, Ltd. 2,225,764 7,964,044 Times Media Group, Ltd. 82,884 166,334
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ --------- ------------ SOUTH AFRICA -- (Continued) Tongaat Hulett, Ltd. 744,400 $ 8,850,235 Trencor, Ltd. 848,617 6,014,401 Value Group, Ltd. 363,719 185,041 Wilson Bayly Holmes-Ovcon, Ltd. 447,982 5,793,165 Zeder Investments, Ltd. 2,955,007 1,230,431 ------------ TOTAL SOUTH AFRICA 359,516,205 ------------ SOUTH KOREA -- (13.6%) #* 3S Korea Co., Ltd. 45,293 245,341 # Able C&C Co., Ltd. 39,551 1,135,672 #* Actoz Soft Co., Ltd. 23,002 754,853 #* Advanced Nano Products Co., Ltd. 8,317 175,637 #* Advanced Process Systems Corp. 98,230 829,390 # Aekyung Petrochemical Co., Ltd. 6,167 408,415 # AfreecaTV Co., Ltd. 44,376 1,049,300 # Agabang&Company 106,295 557,334 Ahnlab, Inc. 2,096 107,773 #* AJ Rent A Car Co., Ltd. 39,940 641,536 # AK Holdings, Inc. 12,678 654,955 #* Aminologics Co., Ltd. 99,300 143,435 #* Amotech Co., Ltd. 29,846 397,630 Anapass, Inc. 37,905 422,786 Asia Cement Co., Ltd. 8,724 931,339 ASIA Holdings Co., Ltd, 4,881 685,911 # Asia Paper Manufacturing Co., Ltd. 23,570 437,180 * Asiana Airlines, Inc. 493,070 2,352,475 AtlasBX Co., Ltd. 35,973 1,462,263 * AUK Corp. 199,140 438,306 # Autech Corp. 45,433 324,126 #* Avaco Co., Ltd. 44,746 216,396 # Baiksan Co., Ltd. 58,310 290,747 # Basic House Co., Ltd. (The) 37,960 863,362 #* BH Co., Ltd. 57,838 560,951 # BHI Co., Ltd. 22,560 384,086 # Binggrae Co., Ltd. 26,150 2,381,833 # Bioland, Ltd. 45,866 660,775 # Biospace Co., Ltd. 48,097 505,027 #* Biotoxtech Co., Ltd. 4,621 23,752 # Bluecom Co., Ltd. 39,300 608,457 * Bongshin Co., Ltd. 2 -- Bookook Securities Co., Ltd. 7,410 88,354 #* Boryung Medience Co., Ltd. 28,638 172,856 # Boryung Pharmaceutical Co., Ltd. 23,013 858,117 Bukwang Pharmaceutical Co., Ltd. 81,519 1,149,967 BYC Co., Ltd. 710 160,865 # Byucksan Corp. 160,170 484,709 # CammSys Corp. 176,838 498,473 #* Capro Corp. 114,600 516,496 #* Celltrion Pharm, Inc. 60,194 700,481 #* Chabio & Diostech Co., Ltd. 208,424 3,267,656 #* Charm Engineering Co., Ltd. 42,800 84,555 Chemtronics Co., Ltd. 37,574 578,154
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ ------- ---------- SOUTH KOREA -- (Continued) #* Chin Hung International, Inc. 199,911 $ 291,499 #* China Great Star International, Ltd. 266,117 809,549 #* China Ocean Resources Co., Ltd. 342,790 790,644 * Choa Pharmaceutical Co. 53,419 205,792 Chokwang Paint, Ltd. 3,710 34,889 Chong Kun Dang Pharmaceutical Corp. 34,126 2,428,968 # Chongkundang Holdings Corp. 13,205 637,613 # Choong Ang Vaccine Laboratory 16,852 188,946 Chosun Refractories Co., Ltd. 2,777 255,505 # Chungdahm Learning, Inc. 17,619 206,735 # CJ CGV Co., Ltd. 63,320 2,952,137 * CJ E&M Corp. 94,096 4,594,543 #* CJ Freshway Corp. 8,711 238,231 #* CJ Korea Express Co., Ltd. 28,793 3,043,008 CJ O Shopping Co., Ltd. 6,462 2,284,402 #* CJ Seafood Corp. 91,710 225,152 CKD Bio Corp. 13,490 194,082 #* CNK International Co., Ltd. 59,774 136,652 #* Com2uSCorp 33,128 1,214,787 # Cosmax BTI, Inc. 16,671 682,386 #* Cosmax, Inc. 32,665 2,197,056 #* CosmoAM&T Co., Ltd. 32,360 196,211 #* Cosmochemical Co., Ltd. 47,000 321,563 # Credu Corp. 11,472 527,220 # Crown Confectionery Co., Ltd. 3,089 884,214 * CrucialTec Co., Ltd. 7,099 79,536 #* CTC BIO, Inc. 69,173 1,208,934 #* CUROCOM Co., Ltd. 182,360 175,065 #* D.I Corp. 87,180 965,410 #* D.ID Corp. 68,169 230,445 Dae Dong Industrial Co., Ltd. 58,180 523,259 Dae Han Flour Mills Co., Ltd. 5,340 765,455 # Dae Hyun Co., Ltd. 108,890 252,344 Dae Won Kang Up Co., Ltd. 113,914 728,522 #* Dae Young Packaging Co., Ltd. 329,600 250,746 # Dae-Il Corp. 45,790 199,440 #* Daea TI Co., Ltd. 304,300 519,423 #* Daechang Co., Ltd. 311,170 285,363 # Daeduck Electronics Co. 168,597 1,245,313 # Daeduck GDS Co., Ltd. 92,186 1,527,149 Daegu Department Store 41,120 933,530 #* Daehan New Pharm Co., Ltd. 38,721 269,106 # Daehan Steel Co., Ltd. 62,680 419,436 * Daeho International Corp. 543 -- # Daehwa Pharmaceutical Co., Ltd. 63,319 424,509 Daekyo Co., Ltd. 72,780 468,972 #* Daekyung Machinery & Engineering Co., Ltd. 139,260 273,342 Daelim Trading Co., Ltd. 8,890 35,248 # Daesang Corp. 116,870 4,623,120 Daesang Holdings Co., Ltd. 68,612 847,082 Daesung Holdings Co., Ltd. 18,044 183,794 Daewon Pharmaceutical Co., Ltd. 54,481 650,192 Daewon San Up Co., Ltd. 24,557 221,007
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ ------- ----------- SOUTH KOREA -- (Continued) Daewoong Co., Ltd. 3,947 $ 149,285 Daewoong Pharmaceutical Co., Ltd. 23,245 1,578,055 * Dahaam E-Tec Co., Ltd. 2,100 6,859 Daishin Securities Co., Ltd. 198,340 1,794,807 #* Danal Co., Ltd. 4,730 46,429 # Daou Data Corp. 57,148 309,811 Daou Technology, Inc. 167,950 2,348,727 #* Dasan Networks, Inc. 79,038 474,358 # Daum Communications Corp. 55,806 4,050,638 Dawonsys Co., Ltd. 15,098 124,093 # Dayou Automotive Seat Technology Co., Ltd. 315,450 485,061 #* Deutsch Motors, Inc. 18,677 86,036 DGB Financial Group, Inc. 682,483 10,353,694 Digital Chosun Co., Ltd. 4,745 9,240 # Digital Power Communications Co., Ltd. 50,540 160,860 #* Digitech Systems Co., Ltd. 68,918 141,398 #* DIO Corp. 66,510 527,702 Dong Ah Tire & Rubber Co., Ltd. 23,935 444,594 #* Dong Yang Gang Chul Co., Ltd. 135,820 302,489 Dong-A Socio Holdings Co., Ltd. 10,893 1,371,532 # Dong-Ah Geological Engineering Co., Ltd. 30,200 247,839 Dong-Il Corp. 3,402 247,378 # Dongaone Co., Ltd. 111,180 306,568 Dongbang Agro Co. 4,600 28,153 # Dongbang Transport Logistics Co., Ltd. 75,370 172,868 * Dongbu CNI Co., Ltd. 20,390 86,468 #* Dongbu Corp. 41,240 102,000 #* Dongbu HiTek Co., Ltd. 140,433 947,895 Dongbu Securities Co., Ltd. 129,391 464,336 #* Dongbu Steel Co., Ltd. 140,616 423,675 Dongil Industries Co., Ltd. 4,963 248,484 # Dongjin Semichem Co., Ltd. 133,403 502,163 #* Dongkook Industrial Co., Ltd. 124,790 387,601 # DongKook Pharmaceutical Co., Ltd. 17,428 572,382 # Dongkuk Steel Mill Co., Ltd. 188,990 1,817,969 # DONGKUK STRUCTURES & CONSTRUCTION Co., Ltd. 111,922 604,954 Dongsuh Co., Inc. 28,699 439,967 # Dongsung Chemical Co., Ltd. 8,700 152,394 # Dongsung Holdings Co., Ltd. 101,790 575,563 # Dongsung Pharmaceutical Co., Ltd. 35,980 142,108 # Dongwha Pharm Co., Ltd. 107,890 628,194 Dongwon F&B Co., Ltd. 6,814 1,329,714 Dongwon Industries Co., Ltd. 5,912 1,857,272 * Dongwon Systems Corp. 4,921 46,140 * Dongwoo Co., Ltd. 9,399 48,235 Dongyang E&P, Inc. 20,474 396,129 # Dongyang Mechatronics Corp. 125,881 1,214,373 #* Doosan Engine Co., Ltd. 118,280 995,077 #* Doosan Engineering & Construction Co., Ltd. 21,410 310,631 #* Doosan Infracore Co., Ltd. 183,280 2,216,243 #* Dragonfly GF Co., Ltd. 32,142 185,155 # DRB Holding Co., Ltd. 57,798 606,545
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ ------- ---------- SOUTH KOREA -- (Continued) #* Duksan Hi-Metal Co., Ltd. 66,011 $1,227,227 # DuzonBIzon Co., Ltd. 109,890 1,300,829 # e-LITECOM Co., Ltd. 34,066 619,612 E1 Corp. 15,150 1,030,409 # Eagon Industries Co., Ltd. 24,640 423,191 # Easy Bio, Inc. 180,267 992,179 #* Ecopro Co., Ltd. 49,386 368,371 # EG Corp. 20,136 465,852 #* ELK Corp. 73,233 460,755 #* EMKOREA Co., Ltd. 20,391 133,846 # ENF Technology Co., Ltd. 41,230 367,170 # Eo Technics Co., Ltd. 21,995 1,472,253 # Estechpharma Co., Ltd. 37,423 345,211 #* ESTsoft Corp. 7,299 116,076 Eugene Corp. 184,043 680,918 * Eugene Investment & Securities Co., Ltd. 247,273 629,158 # Eugene Technology Co., Ltd. 72,878 1,576,830 EVERDIGM Corp. 1,798 14,119 #* Farmsco 10,730 135,295 Fila Korea, Ltd. 46,332 4,034,303 #* Finetex EnE, Inc. 86,393 207,075 # Firstec Co., Ltd. 164,190 364,207 #* Flexcom, Inc. 53,658 586,149 #* Foosung Co., Ltd. 142,799 467,985 Fursys, Inc. 14,315 398,023 #* Gamevil, Inc. 28,066 1,904,573 Gaon Cable Co., Ltd. 16,004 472,944 #* GeneOneLifeScience, Inc. 46,810 44,344 #* Genexine Co., Ltd. 3,715 119,654 #* Genic Co., Ltd. 21,399 385,096 GIIR, Inc. 10,990 85,551 Global & Yuasa Battery Co., Ltd. 28,740 1,380,103 #* GNCO Co., Ltd. 206,634 264,625 # Golfzon Co., Ltd. 63,123 1,151,276 # Grand Korea Leisure Co., Ltd. 150,160 6,279,265 Green Cross Corp. 33,326 4,118,797 Green Cross Holdings Corp. 102,550 1,412,037 * Green Non-Life Insurance Co., Ltd. 22,357 -- #* GS Engineering & Construction Corp. 168,880 5,958,465 # GS Global Corp. 64,716 604,120 GS Home Shopping, Inc. 8,182 1,850,782 GS retail Co., Ltd. 107,800 3,002,371 # Gwangju Shinsegae Co., Ltd. 3,400 782,934 Haesung Industrial Co., Ltd. 4,725 273,397 #* Halla Corp. 78,972 553,905 # Halla Visteon Climate Control Corp. 51,440 2,152,384 # Han Kuk Carbon Co., Ltd. 138,853 995,828 #* Hana Micron, Inc. 43,721 255,768 Hana Tour Service, Inc. 14,842 952,354 #* Hanall Biopharma Co., Ltd. 92,648 383,784 Handok Pharmaceuticals Co., Ltd. 12,498 265,362 # Handsome Co., Ltd. 69,759 1,766,180
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ ------- ---------- SOUTH KOREA -- (Continued) Hanil Cement Co., Ltd. 20,147 $2,326,352 # Hanil E-Hwa Co., Ltd. 111,930 2,290,140 #* Hanjin Heavy Industries & Construction Co., Ltd. 239,542 2,829,460 # Hanjin Heavy Industries & Construction Holdings Co., Ltd. 66,020 671,590 #* Hanjin P&C Co., Ltd. 110,818 117,730 #* Hanjin Shipping Co., Ltd. 426,928 2,503,040 * Hanjin Shipping Holdings Co., Ltd. 74,594 484,609 # Hanjin Transportation Co., Ltd. 48,021 1,180,695 Hankook Shell Oil Co., Ltd. 3,445 1,561,602 Hankook Synthetics, Inc. 550 -- * Hankuk Glass Industries, Inc. 11,460 224,845 Hankuk Paper Manufacturing Co., Ltd. 11,500 283,431 * Hanmi Pharm Co., Ltd. 27,841 3,142,528 #* Hanmi Science Co., Ltd. 88,600 1,277,850 # Hanmi Semiconductor Co., Ltd. 53,050 766,857 # Hansae Co., Ltd. 79,796 1,659,373 Hansae Yes24 Holdings Co., Ltd. 56,991 386,841 # Hansol Chemical Co., Ltd. 48,160 1,385,621 # Hansol CSN Co., Ltd. 205,620 586,832 #* Hansol HomeDeco Co., Ltd. 276,470 628,085 Hansol Paper Co. 203,390 2,240,176 #* Hansol Technics Co., Ltd. 53,475 1,138,845 # Hanssem Co., Ltd. 49,360 4,038,469 Hanwha Corp. 189,030 5,510,034 #* Hanwha General Insurance Co., Ltd. 173,490 857,111 * Hanwha Investment & Securities Co., Ltd. 293,301 1,061,121 Hanwha Timeworld Co., Ltd. 8,190 254,300 Hanyang Eng Co., Ltd. 41,788 279,784 Hanyang Securities Co., Ltd. 15,710 104,639 #* Harim Holdings Co., Ltd. 46,560 234,799 # Heung-A Shipping Co., Ltd. 447,027 592,249 * Heungkuk Fire & Marine Insurance Co., Ltd. 74,867 299,132 High Tech Pharm Co., Ltd. 18,898 266,822 # Hite Jinro Co., Ltd. 140,668 3,410,763 Hitejinro Holdings Co., Ltd. 38,160 483,090 HMC Investment Securities Co., Ltd. 90,880 960,786 Hotel Shilla Co., Ltd. 104,723 8,818,864 HS R&A Co., Ltd. 3,460 83,500 # Huchems Fine Chemical Corp. 109,178 2,304,893 Humax Co., Ltd. 69,592 843,810 # Huons Co., Ltd. 31,243 1,382,406 # Husteel Co., Ltd. 20,200 397,569 Huvis Corp. 63,290 706,064 # Huvitz Co., Ltd. 35,481 429,118 # Hwa Shin Co., Ltd. 87,220 1,023,470 Hwacheon Machine Tool Co., Ltd. 4,979 256,552 HwaSung Industrial Co., Ltd. 8,420 82,076 Hy-Lok Corp. 39,193 1,142,150 Hyosung Corp. 121,019 8,645,977 * Hyundai BNG Steel Co., Ltd. 51,160 1,074,644 Hyundai Corp. 58,941 1,799,951 # Hyundai Development Co. 299,750 8,593,993 #* Hyundai Elevator Co., Ltd. 64,859 2,510,691
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ ------- ---------- SOUTH KOREA -- (Continued) # Hyundai Engineering Plastics Co., Ltd. 93,890 $ 674,602 # Hyundai Greenfood Co., Ltd. 232,990 3,917,925 Hyundai Home Shopping Network Corp. 28,927 4,344,302 Hyundai Hy Communications & Networks Co., Ltd. 130,910 655,155 Hyundai Livart Co., Ltd. 47,160 809,410 Hyundai Marine & Fire Insurance Co., Ltd. 27,130 795,980 #* Hyundai Merchant Marine Co., Ltd. 248,032 2,494,189 # Hyundai Mipo Dockyard 2,711 370,118 #* Hyundai Securities Co., Ltd. 590,660 3,982,263 #* Hyunjin Materials Co., Ltd. 65,164 357,594 # HyVision System, Inc. 54,040 522,622 * ICD Co., Ltd. 26,262 291,892 #* IHQ, Inc. 102,820 291,559 # Il Dong Pharmaceutical Co., Ltd. 46,965 608,542 # Iljin Electric Co., Ltd. 85,089 693,785 # Iljin Holdings Co., Ltd. 34,940 212,078 #* Iljin Materials Co., Ltd. 66,150 714,588 Ilshin Spinning Co., Ltd. 7,626 993,984 # Ilsung Pharmaceuticals Co., Ltd. 2,864 215,466 Ilyang Pharmaceutical Co., Ltd. 8,108 197,617 #* IM Co., Ltd. 65,996 260,977 # iMarketKorea, Inc. 88,230 2,670,879 # iMBC Co., Ltd. 8,746 46,919 #* Infinitt Healthcare Co., Ltd. 18,639 143,103 #* Infopia Co., Ltd. 36,952 489,146 #* Infraware, Inc. 76,102 668,900 #* InkTec Co., Ltd. 30,500 610,049 Innochips Technology, Inc. 19,183 252,963 #* InnoWireless, Inc. 21,995 287,596 * Innox Corp. 46,676 1,050,556 * Insun ENT Co., Ltd. 43,247 161,378 # Intelligent Digital Integrated Securities Co., Ltd. 12,769 235,518 #* Interflex Co., Ltd. 43,389 905,303 Intergis Co., Ltd. 5,610 47,193 # Interojo Co., Ltd. 34,343 686,779 # Interpark Corp. 158,768 1,782,046 INTOPS Co., Ltd. 34,086 799,754 # Inzi Controls Co., Ltd. 45,990 255,093 INZI Display Co., Ltd. 64,622 115,970 #* IS Dongseo Co., Ltd. 52,132 1,181,620 # ISU Chemical Co., Ltd. 57,600 780,589 # IsuPetasys Co., Ltd. 144,360 800,667 # Jahwa Electronics Co., Ltd. 62,700 1,123,878 JB Financial Group Co., Ltd. 402,950 2,972,015 * Jcontentree Corp. 96,061 370,927 # Jeil Pharmaceutical Co. 29,490 535,076 #* Jeju Semiconductor Corp. 33,053 120,507 Jinro Distillers Co., Ltd. 615 12,961 # Jinsung T.E.C. 70,489 470,488 # JNK Heaters Co., Ltd. 11,537 83,497 #* JoyCity Corp. 33,920 845,395 * Joymax Co., Ltd. 21,192 719,481
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ ------- ---------- SOUTH KOREA -- (Continued) #* Jusung Engineering Co., Ltd. 105,346 $ 546,391 #* JVM Co., Ltd. 15,235 804,023 JW Holdings Co., Ltd. 175,620 499,932 JW Pharmaceutical Corp. 43,765 740,505 # JW Shinyak Corp. 13,505 66,544 #* JYP Entertainment Corp. 16,344 81,823 KB Capital Co., Ltd. 55,498 1,104,521 # KC Cottrell Co., Ltd. 28,203 234,280 # KC Green Holdings Co., Ltd. 45,690 357,163 # KC Tech Co., Ltd. 123,092 943,693 * KCO Energy, Inc. 120 -- # KCP Co., Ltd. 47,433 567,077 * Keangnam Enterprises, Ltd. 5,833 19,145 #* KEC Corp. 101,438 82,585 # KEPCO Engineering & Construction Co., Inc. 17,746 1,058,117 KEPCO Plant Service & Engineering Co., Ltd. 21,566 1,401,194 # Keyang Electric Machinery Co., Ltd. 116,340 449,020 KG Chemical Corp. 26,470 497,790 # Kginicis Co., Ltd. 48,564 742,872 # KGMobilians Co., Ltd. 50,860 788,272 # KH Vatec Co., Ltd. 54,402 1,016,913 # KISCO Corp. 18,970 515,276 KISCO Holdings Co., Ltd. 2,292 102,215 Kishin Corp. 49,420 368,225 KISWIRE, Ltd. 25,959 933,447 # KIWOOM Securities Co., Ltd. 60,791 2,992,188 * KMH Co., Ltd. 42,510 369,802 #* KMW Co., Ltd. 40,282 687,437 # Koentec Co., Ltd. 194,086 709,554 # Koh Young Technology, Inc. 63,733 1,519,996 # Kolao Holdings 125,563 3,127,499 # Kolon Corp. 34,739 728,792 #* Kolon Global Corp. 174,260 434,259 # Kolon Industries, Inc. 85,903 5,700,018 # Kolon Life Science, Inc. 18,540 943,770 #* Komipharm International Co., Ltd. 61,998 529,189 # KONA I Co., Ltd. 38,594 1,441,517 Kook Je Electric Korea Co., Ltd. 21,581 371,495 # Kook Soon Dang Brewery Co., Ltd. 30,858 189,644 Korea Airport Service Co., Ltd. 4,550 112,761 # Korea Cast Iron Pipe Industries Co., Ltd. 8,530 31,924 # Korea Circuit Co., Ltd. 51,766 642,830 # Korea District Heating Corp. 15,021 1,051,237 Korea Electric Terminal Co., Ltd. 29,320 1,236,927 Korea Export Packaging Industrial Co., Ltd. 4,840 102,031 Korea Flange Co., Ltd. 10,590 149,590 #* Korea Info & Comm 56,303 366,623 Korea Investment Holdings Co., Ltd. 171,470 6,298,117 # Korea Kolmar Co., Ltd. 69,030 2,275,221 # Korea Kolmar Holdings Co., Ltd. 33,913 599,290 Korea Petrochemical Ind Co., Ltd. 14,789 893,273 # Korea United Pharm, Inc. 50,081 588,354
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ --------- ---------- SOUTH KOREA -- (Continued) * Korean Air Lines Co., Ltd. 90,680 $2,915,758 Korean Reinsurance Co. 458,855 4,535,038 # Kortek Corp. 42,574 636,423 # KPF 42,149 242,365 KPX Chemical Co., Ltd. 6,479 401,915 #* KR Motors Co., Ltd. 188,180 227,513 #* KSCB Co., Ltd. 7,972 27,554 * KT Hitel Co., Ltd. 34,702 266,354 KT Skylife Co., Ltd. 89,320 2,091,474 #* KTB Investment & Securities Co., Ltd. 279,130 696,324 Kukdo Chemical Co., Ltd. 18,632 916,416 # Kumho Electric Co., Ltd. 18,040 426,276 * Kumho Industrial Co., Ltd. 901 10,351 * Kumho Tire Co., Inc. 280,529 3,536,684 Kumkang Kind Co., Ltd. 4,800 194,858 * Kun Wha Pharmaceutical Co., Ltd. 7,580 133,186 Kunsul Chemical Industrial Co., Ltd. 15,410 656,373 Kwang Dong Pharmaceutical Co., Ltd. 194,647 1,740,401 #* Kwang Myung Electric Engineering Co., Ltd. 192,960 420,117 * Kyeryong Construction Industrial Co., Ltd. 10,030 135,789 * Kyobo Securities Co. 98,440 657,805 # Kyung Dong Navien Co., Ltd. 28,750 692,053 # Kyung-In Synthetic Corp. 95,840 483,874 Kyungbang, Ltd. 2,961 381,956 Kyungchang Industrial Co., Ltd. 29,756 333,220 KyungDong City Gas Co., Ltd. 11,201 1,268,093 Kyungdong Pharm Co., Ltd. 27,254 491,033 # L&F Co., Ltd. 37,532 253,525 #* LB Semicon, Inc. 158,270 322,036 # LEENO Industrial, Inc. 50,300 1,450,950 # LF Corp. 97,025 2,522,609 # LG Hausys, Ltd. 32,510 5,739,338 #* LG Innotek Co., Ltd. 55,586 6,151,655 LG International Corp. 156,201 4,628,163 #* LG Life Sciences, Ltd. 51,993 1,801,701 LIG Insurance Co., Ltd. 199,300 5,842,394 # LMS Co., Ltd. 24,098 516,958 # Lock & Lock Co., Ltd. 132,290 2,008,294 #* Logistics Energy Korea Co., Ltd. 134,570 286,437 Lotte Chilsung Beverage Co., Ltd. 3,160 4,786,185 Lotte Confectionery Co., Ltd. 2,641 4,528,149 Lotte Food Co., Ltd. 3,776 2,831,297 # LOTTE Himart Co., Ltd. 35,877 2,522,360 * Lotte Non-Life Insurance Co., Ltd. 113,024 415,804 LS Corp. 18,353 1,439,555 # LS Industrial Systems Co., Ltd. 72,572 4,641,795 #* Lumens Co., Ltd. 180,215 2,424,074 Macquarie Korea Infrastructure Fund 1,514,061 9,376,240 #* Macrogen, Inc. 26,706 1,090,647 # Maeil Dairy Industry Co., Ltd. 40,992 1,551,814 # Mando Corp. 60,934 7,330,224 #* Medifron DBT Co., Ltd. 101,295 296,265
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ --------- ---------- SOUTH KOREA -- (Continued) #* Medipost Co., Ltd. 3,841 $ 257,121 Medy-Tox, Inc. 20,205 2,993,339 MegaStudy Co., Ltd. 23,359 1,579,275 #* Melfas, Inc. 80,390 730,383 Meritz Financial Group, Inc. 104,872 754,382 Meritz Fire & Marine Insurance Co., Ltd. 249,565 3,107,680 # Meritz Securities Co., Ltd. 1,043,095 2,293,906 Mi Chang Oil Industrial Co., Ltd. 2,078 144,167 Mirae Asset Securities Co., Ltd. 125,804 5,168,950 #* Mirae Corp. 436,967 102,393 * Miwon Chemicals Co., Ltd. 1,890 66,028 * Miwon Commercial Co., Ltd. 716 120,942 * Miwon Specialty Chemical Co., Ltd. 1,041 319,705 MK Electron Co., Ltd. 86,407 456,845 #* MNTech Co., Ltd. 86,871 572,564 # Modetour Network, Inc. 53,178 1,185,406 #* Monalisa Co., Ltd. 68,050 167,661 Moorim P&P Co., Ltd. 133,920 647,094 Moorim Paper Co., Ltd. 98,440 265,314 Motonic Corp. 56,730 659,702 #* Muhak Co., Ltd. 17,919 526,523 Namhae Chemical Corp. 120,134 1,130,908 Namyang Dairy Products Co., Ltd. 1,390 1,233,332 National Plastic Co. 56,060 358,941 #* Neowiz Games Corp. 65,519 1,039,373 #* NEOWIZ HOLDINGS Corp. 24,844 303,791 #* NEPES Corp. 94,472 863,030 # Nexen Corp. 33,168 2,475,877 # Nexen Tire Corp. 161,910 2,222,021 #* Nexolon Co., Ltd. 29,760 30,578 #* Nexon GT Co., Ltd. 49,781 393,616 NH Investment & Securities Co., Ltd. 126,810 823,244 NICE Holdings Co., Ltd. 60,190 814,217 NICE Information Service Co., Ltd. 55,095 192,274 #* NK Co., Ltd. 93,370 369,377 # Nong Shim Holdings Co., Ltd. 8,976 877,429 NongShim Co., Ltd. 17,374 5,171,538 Noroo Holdings Co., Ltd. 5,710 115,341 # OCI Materials Co., Ltd. 32,432 1,113,124 #* OPTRON-TEC, Inc. 75,216 554,373 #* Orientbio, Inc. 218,393 114,506 * OSANGJAIEL Co., Ltd. 45,028 455,867 #* Osstem Implant Co., Ltd. 53,389 1,329,660 #* Osung LST Co., Ltd. 11,679 47,244 Ottogi Corp. 5,962 2,365,167 * Paik Kwang Industrial Co., Ltd. 63,931 159,545 #* Pan Ocean Co., Ltd. 17,111 57,085 # Pan-Pacific Co., Ltd. 90,666 311,461 #* PaperCorea, Inc. 147,900 96,156 # Partron Co., Ltd. 194,543 2,641,364 #* Pharmicell Co., Ltd. 129,934 497,585 Poongsan Corp. 104,011 2,567,015
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ ------- ---------- SOUTH KOREA -- (Continued) # Poongsan Holdings Corp. 18,297 $ 552,654 # POSCO Chemtech Co., Ltd. 9,949 1,437,147 * POSCO Coated & Color Steel Co., Ltd. 4,130 71,259 # Posco ICT Co., Ltd. 217,383 1,807,893 # Posco M-Tech Co., Ltd. 82,983 363,250 #* Posco Plantec Co., Ltd. 39,761 157,306 #* Power Logics Co., Ltd. 112,474 496,841 # PSK, Inc. 58,750 780,759 Pulmuone Co., Ltd. 4,811 438,609 # Pyeong Hwa Automotive Co., Ltd. 59,253 1,210,037 #* Redrover Co., Ltd. 58,137 396,282 Reyon Pharmaceutical Co., Ltd. 12,340 227,750 # RFsemi Technologies, Inc. 30,415 272,658 RFTech Co., Ltd. 16,282 172,302 # Romanson Co., Ltd. 29,944 281,960 S&T Corp. 5,003 83,148 S&T Dynamics Co., Ltd. 129,682 1,501,295 # S&T Holdings Co., Ltd. 21,808 319,446 S&T Motiv Co., Ltd. 50,410 1,361,716 S-1 Corp. 43,247 3,289,488 # S-Energy Co., Ltd. 37,010 411,599 # S-MAC Co., Ltd. 78,277 665,950 # Saeron Automotive Corp. 2,640 27,000 #* Sajo Industries Co., Ltd. 11,014 373,310 Sam Young Electronics Co., Ltd. 63,000 701,135 # Sam Yung Trading Co., Ltd. 54,602 1,037,713 Samchully Co., Ltd. 15,646 2,350,283 Samho Development Co., Ltd. 20,870 63,767 # SAMHWA Paints Industrial Co., Ltd. 38,900 579,966 # Samick Musical Instruments Co., Ltd. 257,520 711,659 # Samick THK Co., Ltd. 35,630 270,699 # Samjin Pharmaceutical Co., Ltd. 59,596 1,074,760 Samkwang Glass 17,041 807,849 # Samlip General Foods Co., Ltd. 9,750 702,507 # Samsung Fine Chemicals Co., Ltd. 93,648 3,741,021 #* SAMT Co., Ltd. 70,907 140,662 # Samyang Foods Co., Ltd. 17,230 532,843 Samyang Holdings Corp. 20,208 1,409,269 Samyang Tongsang Co., Ltd. 1,760 57,152 #* Samyoung Chemical Co., Ltd. 173,170 383,780 #* Sangbo Corp. 50,696 592,247 #* Sapphire Technology Co., Ltd. 8,161 328,836 Satrec Initiative Co., Ltd. 5,805 111,906 SAVEZONE I&C Corp. 30,770 184,995 SBS Contents Hub Co., Ltd. 21,793 394,600 SBS Media Holdings Co., Ltd. 195,940 831,090 #* SBW 340,780 222,253 Seah Besteel Corp. 65,015 1,756,402 SeAH Holdings Corp. 4,622 486,608 SeAH Steel Corp. 10,931 1,302,598 Sebang Co., Ltd. 51,495 892,302 #* Seegene, Inc. 35,613 1,952,912
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ --------- ---------- SOUTH KOREA -- (Continued) # Sejong Industrial Co., Ltd. 48,360 $ 812,519 Sempio Foods Co. 7,350 187,586 #* Seobu T&D 44,362 845,351 # Seohan Co., Ltd. 277,691 513,033 #* Seohee Construction Co., Ltd. 728,878 426,566 Seoul Semiconductor Co., Ltd. 36,969 1,488,089 * Seowon Co., Ltd. 15,830 24,090 # SEOWONINTECH Co., Ltd. 45,291 682,006 #* Sewon Cellontech Co., Ltd. 124,121 338,031 Sewon Precision Industry Co., Ltd. 1,680 43,196 # SEWOONMEDICAL Co., Ltd. 95,161 509,807 SFA Engineering Corp. 43,987 1,901,707 #* SG Corp. 660,590 392,548 # SH Energy & Chemical Co., Ltd. 375,570 304,956 Shin Poong Pharmaceutical Co., Ltd. 138,450 614,017 * Shine Co., Ltd. 10,794 104,466 #* Shinil Industrial Co., Ltd. 228,580 477,383 Shinsegae Co., Ltd. 35,692 7,749,076 Shinsegae Information & Communication Co., Ltd. 3,544 261,645 # Shinsegae International Co., Ltd. 9,971 715,662 #* Shinsung Solar Energy Co., Ltd. 255,452 367,774 #* Shinsung Tongsang Co., Ltd. 349,750 434,192 * Shinwha Intertek Corp. 8,310 24,968 * Shinwon Corp. 19,980 34,693 Shinyoung Securities Co., Ltd. 14,050 550,834 #* Signetics Corp. 166,628 338,006 #* SIGONG TECH Co., Ltd. 67,831 212,076 # Silicon Works Co., Ltd. 48,203 1,076,365 # Silla Co., Ltd. 36,700 882,791 #* Simm Tech Co., Ltd. 114,351 661,284 # SIMPAC, Inc. 73,030 516,388 Sindoh Co., Ltd. 10,939 718,018 # SJM Co., Ltd. 38,370 388,690 * SK Broadband Co., Ltd. 726,646 3,013,848 # SK Chemicals Co., Ltd. 72,371 4,220,864 #* SK Communications Co., Ltd. 79,814 578,166 SK Gas, Ltd. 18,599 1,708,852 * SK Networks Co., Ltd. 660,780 6,092,148 * SK Securities Co., Ltd. 1,344,790 963,595 # SKC Co., Ltd. 103,527 3,432,781 # SL Corp. 70,320 1,212,746 #* SM Culture & Contents Co., Ltd. 59,505 248,837 #* SM Entertainment Co. 77,229 3,658,321 #* Solborn, Inc. 33,748 127,085 * Solco Biomedical Co., Ltd. 56,341 32,209 # Songwon Industrial Co., Ltd. 74,660 734,982 #* Sonokong Co., Ltd. 86,999 222,283 # Soulbrain Co., Ltd. 41,770 1,668,072 * Ssangyong Cement Industrial Co., Ltd. 99,641 911,729 #* Steel Flower Co., Ltd. 29,816 140,674 #* STS Semiconductor & Telecommunications 119,249 272,627 #* STX Corp. Co., Ltd. 83,769 102,147
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ ------- ---------- SOUTH KOREA -- (Continued) #* STX Engine Co., Ltd. 115,112 $ 391,022 # Suheung Co., Ltd. 32,370 1,200,814 Sun Kwang Co., Ltd. 15,705 278,532 Sung Kwang Bend Co., Ltd. 62,624 1,468,670 #* Sungchang Enterprise Holdings, Ltd. 23,520 465,598 #* Sungshin Cement Co., Ltd. 91,380 1,010,777 Sungwoo Hitech Co., Ltd. 128,611 2,077,451 Sunjin Co., Ltd. 25,055 741,611 #* Sunny Electronics Corp. 60,140 180,571 #* Suprema, Inc. 57,629 1,429,947 #* Synopex, Inc. 261,562 467,467 Tae Kyung Industrial Co., Ltd. 33,700 167,208 Taekwang Industrial Co., Ltd. 1,928 2,484,412 #* Taewoong Co., Ltd. 45,326 1,095,651 * Taeyoung Engineering & Construction Co., Ltd. 200,500 1,254,593 #* Taihan Electric Wire Co., Ltd. 113,742 233,447 Tailim Packaging Industrial Co., Ltd. 141,790 274,382 # TCC Steel 38,096 135,866 # TES Co., Ltd. 25,170 308,038 #* Theall Medi Bio 29,510 65,961 #* Theragen Etex Co., Ltd. 43,667 313,182 #* TK Chemical Corp. 222,222 488,421 # Tong Yang Moolsan Co., Ltd. 22,590 216,546 Tongyang Life Insurance 192,400 1,873,007 TONGYANG Securities, Inc. 12,966 28,895 #* Top Engineering Co., Ltd. 43,811 189,858 # Toptec Co., Ltd. 39,069 506,274 #* Toray Chemical Korea, Inc. 121,710 1,708,953 # Tovis Co., Ltd. 59,929 475,717 #* Trais Co., Ltd. 59,456 169,530 * Trigem Computer, Inc. 1 -- # TS Corp. 18,630 569,121 * TSM Tech Co., Ltd. 6,518 45,406 #* UBCare Co., Ltd. 51,297 156,883 Ubiquoss, Inc. 49,604 399,143 #* Ubivelox, Inc. 15,537 249,957 # UI Display Co., Ltd. 34,401 357,434 # Uju Electronics Co., Ltd. 31,398 557,719 Unid Co., Ltd. 17,354 1,118,850 # Union Steel 8,052 109,827 #* Uniquest Corp. 16,050 217,086 #* Unison Co., Ltd. 99,851 198,405 Value Added Technologies Co., Ltd. 39,778 636,708 # Vieworks Co., Ltd. 37,657 953,321 # Visang Education, Inc. 29,722 306,370 #* Webzen, Inc. 31,367 208,171 #* WeMade Entertainment Co., Ltd. 33,045 1,440,618 # Whanin Pharmaceutical Co., Ltd. 43,130 617,098 #* WillBes & Co. (The) 269,780 301,012 #* WiSoL Co., Ltd. 53,318 693,516 #* WONIK CUBE Corp. 20,753 46,357 #* Wonik IPS Co., Ltd. 162,920 1,631,659
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ --------- ------------ SOUTH KOREA -- (Continued) # Woojeon & Handan Co., Ltd. 63,601 $ 396,696 #* Woongjin Energy Co., Ltd. 212,230 480,232 * Woongjin Holdings Co., Ltd. 19,691 41,988 #* Woongjin Thinkbig Co., Ltd. 74,779 583,642 # Wooree ETI Co., Ltd. 139,474 381,468 Woori Investment & Securities Co., Ltd. 617,082 5,226,301 #* Woori Investment Bank 1,643,150 722,549 # WooSung Feed Co., Ltd. 86,370 254,234 # Y G-1 Co., Ltd. 70,378 785,240 YESCO Co., Ltd. 13,100 480,454 # YG Entertainment, Inc. 30,279 1,814,091 # Yoosung Enterprise Co., Ltd. 64,900 305,293 YooSung T&S Co., Ltd. 16,136 23,892 Youlchon Chemical Co., Ltd. 59,750 817,352 # Young Heung Iron & Steel Co., Ltd. 55,480 119,695 Young Poong Corp. 2,389 2,751,542 * Young Poong Mining & Construction Corp. 1,580 -- Young Poong Precision Corp. 35,929 338,152 # Youngone Corp. 104,914 4,288,203 # Youngone Holdings Co., Ltd. 28,420 2,025,857 # Yuhan Corp. 44,525 7,832,089 YuHwa Securities Co., Ltd. 13,060 153,057 #* Yungjin Pharmaceutical Co., Ltd. 469,292 836,630 * ZeroOne Interactive Co., Ltd. 3,200 -- ------------ TOTAL SOUTH KOREA 660,301,981 ------------ TAIWAN -- (13.1%) # A-DATA Technology Co., Ltd. 1,078,000 2,574,946 Ability Enterprise Co., Ltd. 1,749,076 1,103,705 # AcBel Polytech, Inc. 1,849,599 2,430,351 # Accton Technology Corp. 2,461,763 1,466,109 # Ace Pillar Co., Ltd. 254,008 205,223 ACES Electronic Co., Ltd. 421,000 486,590 ACHEM Technology Corp. 868,860 628,999 # Acter Co., Ltd. 180,000 692,364 * Action Electronics Co., Ltd. 761,635 152,009 # Actron Technology Corp. 263,150 1,113,906 # Adlink Technology, Inc. 473,985 874,160 # Advanced Ceramic X Corp. 222,000 1,098,507 Advanced International Multitech Co., Ltd. 425,000 435,342 # Advancetek Enterprise Co., Ltd. 638,917 698,201 #* AGV Products Corp. 2,428,801 765,739 # AimCore Technology Co., Ltd. 245,589 268,017 # Alcor Micro Corp. 379,000 516,717 ALI Corp. 1,479,000 1,537,430 Allis Electric Co., Ltd. 54,000 17,057 Alltop Technology Co., Ltd. 54,000 46,365 Alpha Networks, Inc. 1,582,763 1,255,629 # Altek Corp. 1,893,637 1,912,294 # Ambassador Hotel (The) 1,385,000 1,277,960 AMPOC Far-East Co., Ltd. 450,444 381,536 AmTRAN Technology Co., Ltd. 4,067,951 2,817,077 # Anpec Electronics Corp. 577,000 470,519
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ --------- ---------- TAIWAN -- (Continued) # Apacer Technology, Inc. 541,576 $ 536,547 # APCB, Inc. 719,000 492,918 # Apex Biotechnology Corp. 465,483 1,005,950 # Apex International Co., Ltd. 255,000 335,599 # Apex Medical Corp. 325,500 379,068 Apex Science & Engineering 140,907 86,882 # Arcadyan Technology Corp. 105,581 165,748 # Ardentec Corp. 1,433,992 1,218,748 * Arima Communications Corp. 911,719 538,067 #* Asia Optical Co., Inc. 1,143,000 1,140,838 # Asia Plastic Recycling Holding, Ltd. 289,726 614,548 # Asia Polymer Corp. 1,439,484 1,116,192 Asia Vital Components Co., Ltd. 1,548,058 990,468 # ASROCK, Inc. 192,000 731,693 Aten International Co., Ltd. 430,479 1,356,159 # Audix Corp. 519,000 501,232 # AURAS Technology Co., Ltd. 99,585 81,875 # Aurora Corp. 541,499 999,184 AV Tech Corp. 198,000 535,202 Avermedia Technologies 701,446 289,308 * Avision, Inc. 729,000 247,016 # AVY Precision Technology, Inc. 235,000 356,002 # Awea Mechantronic Co., Ltd. 137,200 250,123 Bank of Kaohsiung 1,946,054 613,187 Basso Industry Corp. 581,000 721,936 * BenQ Materials Corp. 751,000 922,207 # BES Engineering Corp. 6,859,750 1,801,955 # Bin Chuan Enterprise Co., Ltd. 172,542 124,350 Bionet Corp. 191,000 286,056 Biostar Microtech International Corp. 865,975 353,103 # Boardtek Electronics Corp. 783,000 881,172 * Bright Led Electronics Corp. 601,520 313,933 C Sun Manufacturing, Ltd. 698,221 666,462 # Cameo Communications, Inc. 1,147,818 340,556 # Capella Microsystems Taiwan, Inc. 161,598 617,756 # Capital Securities Corp. 8,209,142 2,815,680 # Career Technology MFG. Co., Ltd. 1,388,000 1,959,723 # Carnival Industrial Corp. 1,753,000 468,608 Cathay Chemical Works 30,000 16,639 Cathay Real Estate Development Co., Ltd. 3,801,000 2,205,642 # Celxpert Energy Corp. 164,000 88,654 Central Reinsurance Co., Ltd. 867,410 463,799 # ChainQui Construction Development Co., Ltd. 360,083 302,133 # Chaintech Technology Corp. 173,241 246,902 * Champion Building Materials Co., Ltd. 1,757,851 623,522 # Chang Wah Electromaterials, Inc. 206,673 542,514 Channel Well Technology Co., Ltd. 53,000 28,336 # Charoen Pokphand Enterprise 867,000 766,470 # Chaun-Choung Technology Corp. 330,000 877,804 # CHC Resources Corp. 329,348 766,981 Chen Full International Co., Ltd. 152,000 154,812 # Chenbro Micom Co., Ltd. 294,000 451,834
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ ---------- ---------- TAIWAN -- (Continued) Cheng Loong Corp. 4,169,383 $1,810,390 # Cheng Uei Precision Industry Co., Ltd. 1,982,331 3,990,109 #* Chenming Mold Industry Corp. 610,437 757,399 # Chia Chang Co., Ltd. 547,000 649,155 #* Chia Hsin Cement Corp. 2,128,121 1,117,083 Chien Kuo Construction Co., Ltd. 1,436,312 650,212 Chilisin Electronics Corp. 505,572 388,503 Chime Ball Technology Co., Ltd. 143,000 424,561 Chimei Materials Technology Corp. 698,000 812,948 # Chin-Poon Industrial Co., Ltd. 1,754,207 3,292,658 China Chemical & Pharmaceutical Co., Ltd. 1,394,000 1,028,653 # China Ecotek Corp. 187,000 470,549 China Electric Manufacturing Corp. 1,435,900 604,733 China General Plastics Corp. 1,636,640 827,523 China Glaze Co., Ltd. 654,139 334,133 * China Man-Made Fiber Corp. 5,236,879 1,772,476 # China Metal Products 1,312,003 1,513,361 China Motor Corp. 586,609 531,333 China Petrochemical Development Corp. 3,687,000 1,453,747 China Steel Chemical Corp. 543,554 3,136,214 China Steel Structure Co., Ltd. 655,000 722,408 China Synthetic Rubber Corp. 2,303,563 2,205,036 * China United Trust & Investment Corp. 164,804 -- * China Wire & Cable Co., Ltd. 592,000 233,522 # Chinese Maritime Transport, Ltd. 543,850 640,933 Chipbond Technology Corp. 1,543,000 2,642,770 # Chong Hong Construction Co. 657,646 1,816,642 * Chou Chin Industrial Co., Ltd. 825 -- # Chroma ATE, Inc. 1,531,821 3,951,300 * Chun YU Works & Co., Ltd. 1,148,000 484,147 Chun Yuan Steel 1,955,529 819,864 # Chung Hsin Electric & Machinery Manufacturing Corp. 1,995,000 1,343,325 * Chung Hung Steel Corp. 3,863,979 997,261 * Chung Hwa Pulp Corp. 2,616,031 782,084 Chunghwa Chemical Synthesis & Biotech Co., Ltd. 256,000 362,171 * Chunghwa Picture Tubes, Ltd. 16,151,000 1,003,496 * Chyang Sheng Dyeing & Finishing Co., Ltd. 45,000 21,787 # Cleanaway Co., Ltd. 173,000 978,411 Clevo Co. 2,044,200 3,768,185 #* CMC Magnetics Corp. 13,033,960 2,009,959 # CoAsia Microelectronics Corp. 472,500 235,400 Collins Co., Ltd. 565,431 210,778 Compeq Manufacturing Co., Ltd. 4,826,000 3,164,599 * Concord Securities Corp. 1,491,000 384,967 Continental Holdings Corp. 1,959,067 743,488 # Coretronic Corp. 3,332,000 3,979,115 * Cosmo Electronics Corp. 184,137 228,695 * Cosmos Bank Taiwan 1,044,926 515,479 # Coxon Precise Industrial Co., Ltd. 525,000 888,794 Creative Sensor, Inc. 85,000 71,299 #* Crystalwise Technology, Inc. 592,302 595,514 CSBC Corp. Taiwan 1,909,610 1,159,224
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ --------- ---------- TAIWAN -- (Continued) CTCI Corp. 134,000 $ 213,999 Cub Elecparts, Inc. 7,000 62,094 CviLux Corp. 353,039 486,133 # Cyberlink Corp. 413,697 1,271,118 # CyberPower Systems, Inc. 211,000 528,146 CyberTAN Technology, Inc. 921,779 899,121 D-Link Corp. 2,875,665 1,884,222 # DA CIN Construction Co., Ltd. 910,711 847,822 #* Da-Li Construction Co., Ltd. 459,220 511,657 Dafeng TV, Ltd. 265,540 455,201 Darfon Electronics Corp. 1,333,550 927,979 # Davicom Semiconductor, Inc. 351,888 404,038 Daxin Materials Corp. 192,000 343,640 De Licacy Industrial Co., Ltd. 70,000 27,718 Delpha Construction Co., Ltd. 991,931 553,061 Depo Auto Parts Ind Co., Ltd. 497,000 2,001,974 * Der Pao Construction Co., Ltd. 476,000 -- # DFI, Inc. 164,524 205,145 Dimerco Express Corp. 373,000 225,067 # DYNACOLOR, Inc. 224,000 583,362 * Dynamic Electronics Co., Ltd. 1,275,321 478,831 # Dynapack International Technology Corp. 607,000 1,583,689 #* E Ink Holdings, Inc. 3,975,000 2,649,256 # E-Lead Electronic Co., Ltd. 307,942 737,126 E-LIFE MALL Corp. 362,000 765,099 #* E-Ton Solar Tech Co., Ltd. 2,396,209 1,482,096 * Eastern Media International Corp. 2,058,889 896,413 # Edimax Technology Co., Ltd. 850,108 410,633 # Edison Opto Corp. 435,000 518,077 # Edom Technology Co., Ltd. 172,776 106,836 # eGalax_eMPIA Technology, Inc. 220,255 624,267 # Elan Microelectronics Corp. 1,655,715 3,066,529 # Elite Advanced Laser Corp. 360,000 1,351,666 # Elite Material Co., Ltd. 1,353,350 1,210,317 # Elite Semiconductor Memory Technology, Inc. 1,242,200 2,265,268 Elitegroup Computer Systems Co., Ltd. 1,987,833 1,473,240 # eMemory Technology, Inc. 328,000 2,316,476 # ENG Electric Co., Ltd. 671,580 547,181 EnTie Commercial Bank 1,833,603 814,095 * Episil Technologies, Inc. 873,000 340,488 # Eternal Chemical Co., Ltd. 3,361,794 3,510,200 * Etron Technology, Inc. 1,395,000 756,807 * Everest Textile Co., Ltd. 1,017,562 376,671 Evergreen International Storage & Transport Corp. 2,516,000 1,544,146 Everlight Chemical Industrial Corp. 1,737,933 1,595,967 # Everlight Electronics Co., Ltd. 1,685,000 3,948,597 #* Everspring Industry Co., Ltd. 501,000 715,740 Excelsior Medical Co., Ltd. 487,654 910,569 # Far Eastern International Bank 6,959,820 2,444,454 Faraday Technology Corp. 1,679,648 2,289,498 #* Farglory F T Z Investment Holding Co., Ltd. 142,000 110,420 Federal Corp. 2,183,666 1,560,143
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ --------- ---------- TAIWAN -- (Continued) # Feedback Technology Corp. 172,000 $ 313,931 # Feng Hsin Iron & Steel Co. 1,688,100 2,830,370 # Feng TAY Enterprise Co., Ltd. 1,164,806 3,225,388 Fine Blanking & Tool Co., Ltd. 13,000 21,825 * First Copper Technology Co., Ltd. 929,000 325,057 First Hotel 720,212 456,989 # First Insurance Co., Ltd. 1,054,179 657,245 First Steamship Co., Ltd. 1,788,218 1,043,698 # FLEXium Interconnect, Inc. 812,839 2,212,719 Flytech Technology Co., Ltd. 418,838 1,611,393 Forhouse Corp. 1,902,635 773,564 Formosa Advanced Technologies Co., Ltd. 604,000 464,918 #* Formosa Epitaxy, Inc. 1,937,811 1,113,056 Formosa International Hotels Corp. 158,243 1,861,144 # Formosa Oilseed Processing 304,567 130,267 Formosa Optical Technology Co., Ltd. 239,000 816,118 Formosan Rubber Group, Inc. 2,028,000 1,899,218 # Formosan Union Chemical 1,222,218 595,303 # Fortune Electric Co., Ltd. 502,078 272,805 Founding Construction & Development Co., Ltd. 895,317 558,092 # Foxlink Image Technology Co., Ltd. 619,000 458,236 * Froch Enterprise Co., Ltd. 843,000 296,603 FSP Technology, Inc. 810,887 871,106 Fullerton Technology Co., Ltd. 505,600 455,951 #* Fulltech Fiber Glass Corp. 1,411,083 580,520 Fwusow Industry Co., Ltd. 750,186 377,889 # G Shank Enterprise Co., Ltd. 1,056,013 795,504 # G Tech Optoelectronics Corp. 798,000 913,285 * Gallant Precision Machining Co., Ltd. 21,000 8,661 #* Gamania Digital Entertainment Co., Ltd. 604,000 721,197 GEM Terminal Industrial Co., Ltd. 23,386 9,409 # Gemtek Technology Corp. 1,447,219 1,308,156 # General Plastic Industrial Co., Ltd. 137,553 160,300 #* Genesis Photonics, Inc. 1,081,712 731,966 # Genius Electronic Optical Co., Ltd. 243,427 836,753 # GeoVision, Inc. 223,527 1,217,694 Getac Technology Corp. 2,105,360 1,122,271 #* Giantplus Technology Co., Ltd. 204,900 87,605 # Giga Solar Materials Corp. 87,400 2,024,895 # Giga Solution Tech Co., Ltd. 525,446 303,166 # Gigabyte Technology Co., Ltd. 2,532,800 3,955,977 #* Gigastorage Corp. 1,377,561 1,673,886 #* Gintech Energy Corp. 1,205,936 1,241,222 * Global Brands Manufacture, Ltd. 1,376,359 463,072 Global Lighting Technologies, Inc. 248,000 295,418 Global Mixed Mode Technology, Inc. 381,000 1,200,458 # Global Unichip Corp. 398,000 1,108,681 * Globe Union Industrial Corp. 809,944 535,422 # Gloria Material Technology Corp. 2,195,565 1,780,986 #* Gold Circuit Electronics, Ltd. 2,165,227 594,361 Goldsun Development & Construction Co., Ltd. 6,500,722 2,295,174 Good Will Instrument Co., Ltd. 200,703 133,055
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ ---------- ---------- TAIWAN -- (Continued) # Gourmet Master Co., Ltd. 202,000 $1,637,480 Grand Pacific Petrochemical 5,492,000 3,496,831 # Grape King Bio, Ltd. 460,000 2,062,646 Great China Metal Industry 754,000 980,001 Great Taipei Gas Co., Ltd. 1,467,000 1,150,192 Great Wall Enterprise Co., Ltd. 1,939,057 2,008,967 #* Green Energy Technology, Inc. 977,457 813,132 #* GTM Corp. 679,000 434,393 Hannstar Board Corp. 1,493,049 540,185 #* HannStar Display Corp. 10,217,495 3,544,145 * HannsTouch Solution, Inc. 3,934,130 1,078,620 * Harvatek Corp. 728,623 435,135 # Hey Song Corp. 1,407,750 1,478,768 # Hi-Clearance, Inc. 104,000 321,227 Hiroca Holdings, Ltd. 12,100 44,885 * HiTi Digital, Inc. 117,935 75,637 # Hitron Technology, Inc. 991,213 615,432 * Hiyes International Co., Ltd. 5,043 9,187 Ho Tung Chemical Corp. 3,549,191 1,583,753 #* Hocheng Corp. 1,275,700 429,718 Hold-Key Electric Wire & Cable Co., Ltd. 205,908 64,833 # Holiday Entertainment Co., Ltd. 248,800 315,856 # Holtek Semiconductor, Inc. 829,000 1,492,731 # Holy Stone Enterprise Co., Ltd. 1,020,728 1,377,642 Hong Ho Precision Textile Co., Ltd. 40,000 37,702 Hong TAI Electric Industrial 1,201,000 414,021 Hong YI Fiber Industry Co. 75,652 30,237 Horizon Securities Co., Ltd. 1,910,000 564,243 # Hota Industrial Manufacturing Co., Ltd. 859,471 1,378,644 * Howarm Construction Co., Ltd. 683,811 597,650 # Hsin Kuang Steel Co., Ltd. 1,317,443 838,069 # Hsin Yung Chien Co., Ltd. 151,000 466,019 Hsing TA Cement Co. 620,000 294,260 # Hu Lane Associate, Inc. 257,866 856,631 HUA ENG Wire & Cable 2,359,565 914,848 * Hua Yu Lien Development Co., Ltd. 3,701 5,872 Huaku Development Co., Ltd. 1,128,816 2,766,174 Huang Hsiang Construction Co. 568,800 865,385 # Hung Ching Development & Construction Co., Ltd. 449,000 239,947 Hung Poo Real Estate Development Corp. 1,293,185 1,157,729 Hung Sheng Construction, Ltd. 2,545,400 1,649,991 # Huxen Corp. 268,244 442,074 * Hwa Fong Rubber Co., Ltd. 759,010 527,439 # I-Chiun Precision Industry Co., Ltd. 924,313 667,797 # I-Sheng Electric Wire & Cable Co., Ltd. 547,000 821,112 # Ibase Technology, Inc. 433,719 842,313 # Ichia Technologies, Inc. 1,679,000 2,061,996 # IEI Integration Corp. 950,565 1,366,920 # ILI Technology Corp. 302,383 594,591 Infortrend Technology, Inc. 864,163 542,410 * Inotera Memories, Inc. 2,521,000 2,589,534 Insyde Software Corp. 107,000 209,486
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ --------- ---------- TAIWAN -- (Continued) # Integrated Memory Logic, Ltd. 263,001 $ 720,418 International Games System Co., Ltd. 299,000 853,241 ITE Technology, Inc. 619,095 680,633 ITEQ Corp. 1,193,614 1,378,125 #* J Touch Corp. 601,000 458,845 * Janfusun Fancyworld Corp. 823,564 142,598 * Jenn Feng New Energy Co., Ltd. 286,000 95,462 # Jentech Precision Industrial Co., Ltd. 290,868 978,924 Jess-Link Products Co., Ltd. 776,900 733,630 Jih Sun Financial Holdings Co., Ltd. 2,960,142 800,122 Johnson Health Tech Co., Ltd. 294,221 716,316 K Laser Technology, Inc. 228,000 122,171 # Kang Na Hsiung Enterprise Co., Ltd. 489,020 235,022 Kao Hsing Chang Iron & Steel 509,600 219,914 # Kaori Heat Treatment Co., Ltd. 341,210 815,046 # Kaulin Manufacturing Co., Ltd. 664,330 584,945 # KD Holding Corp. 40,000 233,111 # KEE TAI Properties Co., Ltd. 1,903,473 1,296,676 #* Kenmec Mechanical Engineering Co., Ltd. 842,000 388,999 Kerry TJ Logistics Co., Ltd. 1,609,000 1,934,459 Keysheen Cayman Holdings Co., Ltd. 2,000 3,403 King Slide Works Co., Ltd. 241,550 3,150,008 # King Yuan Electronics Co., Ltd. 5,488,979 4,191,603 # King's Town Bank 4,036,701 3,748,316 * King's Town Construction Co., Ltd. 929,210 775,838 # Kingdom Construction Co. 1,646,000 1,701,648 # Kinik Co. 594,000 1,636,832 # Kinko Optical Co., Ltd. 747,000 688,169 Kinpo Electronics 5,249,157 1,958,455 # KMC Kuei Meng International, Inc. 143,875 630,496 # KS Terminals, Inc. 407,482 679,979 # Kung Long Batteries Industrial Co., Ltd. 308,000 1,010,477 # Kung Sing Engineering Corp. 1,486,000 674,515 # Kuo Toong International Co., Ltd. 649,000 1,102,795 # Kuoyang Construction Co., Ltd. 2,228,384 1,133,305 # Kwong Fong Industries 1,305,760 852,141 KYE Systems Corp. 1,372,903 592,646 L&K Engineering Co., Ltd. 623,048 555,917 LAN FA Textile 826,933 255,772 Laser Tek Taiwan Co., Ltd. 46,504 28,274 # LCY Chemical Corp. 723,383 744,561 Leader Electronics, Inc. 653,000 301,144 # Leadtrend Technology Corp. 162,086 243,089 # Lealea Enterprise Co., Ltd. 3,260,542 1,145,546 # Ledtech Electronics Corp. 207,000 133,225 LEE CHI Enterprises Co., Ltd. 886,000 497,150 #* Leofoo Development Co. 1,394,000 526,871 LES Enphants Co., Ltd. 850,754 573,906 # Lextar Electronics Corp. 1,179,500 1,154,670 #* Li Peng Enterprise Co., Ltd. 2,720,388 1,272,672 # Lian HWA Food Corp. 312,289 404,274 Lien Hwa Industrial Corp. 2,446,676 1,548,102
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ ---------- ---------- TAIWAN -- (Continued) Lingsen Precision Industries, Ltd. 1,727,506 $1,139,966 Lite-On Semiconductor Corp. 1,454,730 1,068,545 # Long Bon International Co., Ltd. 1,495,945 930,351 # Long Chen Paper Co., Ltd. 2,107,239 921,900 # Longwell Co. 539,000 713,974 Lotes Co., Ltd. 273,778 890,289 #* Lucky Cement Corp. 677,000 195,239 # Lumax International Corp., Ltd. 448,769 1,062,907 Lung Yen Life Service Corp. 98,000 266,934 # Macroblock, Inc. 141,000 370,056 #* Macronix International 17,113,481 4,036,155 MacroWell OMG Digital Entertainment Co., Ltd. 38,000 106,691 Mag Layers Scientific-Technics Co., Ltd. 7,337 9,659 # Makalot Industrial Co., Ltd. 683,202 3,592,655 Marketech International Corp. 612,000 444,307 Masterlink Securities Corp. 4,448,000 1,452,936 Mayer Steel Pipe Corp. 842,567 382,204 # Maywufa Co., Ltd. 170,322 83,759 Meiloon Industrial Co. 393,809 232,412 # Mercuries & Associates, Ltd. 1,478,991 979,851 # Merry Electronics Co., Ltd. 966,169 5,253,250 Micro-Star International Co., Ltd. 3,332,075 3,651,715 #* Microbio Co., Ltd. 1,664,607 1,700,677 #* Microelectronics Technology, Inc. 739,019 393,841 Microlife Corp. 167,600 454,979 # MIN AIK Technology Co., Ltd. 674,316 3,654,473 # Mirle Automation Corp. 698,009 634,572 * Mitac Holdings Corp. 2,729,000 2,208,087 * Mosel Vitelic, Inc. 1,924,014 383,041 #* Motech Industries, Inc. 1,592,000 2,698,063 # MPI Corp. 320,000 787,016 Nak Sealing Technologies Corp. 248,954 1,131,070 # Namchow Chemical Industrial Co., Ltd. 760,000 1,465,468 * Nan Kang Rubber Tire Co., Ltd. 2,218,952 2,522,635 * Nan Ren Lake Leisure Amusement Co., Ltd. 917,000 369,675 #* Nan Ya Printed Circuit Board Corp. 1,197,000 1,690,216 Nantex Industry Co., Ltd. 1,232,844 774,003 * Nanya Technology Corp. 457,000 74,983 National Petroleum Co., Ltd. 763,824 682,992 #* Neo Solar Power Corp. 2,859,187 3,395,205 # Netronix, Inc. 319,000 832,738 New Asia Construction & Development Corp. 732,835 190,070 New Era Electronics Co., Ltd. 380,000 469,767 #* Newmax Technology Co., Ltd. 370,009 819,832 Nexcom International Co., Ltd. 232,257 210,248 Nichidenbo Corp. 451,340 449,623 # Nien Hsing Textile Co., Ltd. 1,173,436 1,157,893 # Nishoku Technology, Inc. 124,000 183,188 # Nuvoton Technology Corp. 308,000 321,486 O-TA Precision Industry Co., Ltd. 17,000 11,851 #* Ocean Plastics Co., Ltd. 812,200 1,089,886 OptoTech Corp. 2,758,886 1,332,233
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ ---------- ---------- TAIWAN -- (Continued) * Orient Semiconductor Electronics, Ltd. 2,708,000 $ 764,831 # Oriental Union Chemical Corp. 2,859,267 2,843,155 Orise Technology Co., Ltd. 343,000 619,251 P-Two Industries, Inc. 49,000 22,193 Pacific Construction Co. 950,921 281,447 #* Pan Jit International, Inc. 1,533,541 697,574 # Pan-International Industrial Corp. 1,761,331 1,298,550 Parade Technologies, Ltd. 50,401 431,106 # Paragon Technologies Co., Ltd. 371,246 1,014,276 PChome Online, Inc. 262,000 1,801,275 * PharmaEngine, Inc. 159,755 1,339,184 Phihong Technology Co., Ltd. 1,170,901 784,623 Phison Electronics Corp. 136,000 926,148 # Phoenix Tours International, Inc. 273,000 452,461 #* Phytohealth Corp. 236,929 288,892 * Pihsiang Machinery Manufacturing Co., Ltd. 465,534 471,532 # Pixart Imaging, Inc. 666,150 1,305,443 Plotech Co., Ltd. 115,000 45,793 # Polytronics Technology Corp. 280,027 668,164 Portwell, Inc. 457,000 492,074 Posiflex Technologies, Inc. 86,940 452,536 * Potrans Electrical Corp. 228,000 -- #* Power Quotient International Co., Ltd. 796,600 369,570 * Powercom Co., Ltd. 867,140 135,001 # Powertech Industrial Co., Ltd. 367,000 262,848 # Poya Co., Ltd. 254,520 1,588,310 President Securities Corp. 3,460,488 1,898,394 Prime Electronics Satellitics, Inc. 670,822 480,137 # Prince Housing & Development Corp. 5,008,276 2,318,259 * Prodisc Technology, Inc. 1,707,199 -- # Promate Electronic Co., Ltd. 732,000 858,764 # Promise Technology, Inc. 638,286 844,808 * Protop Technology Co., Ltd. 192,000 -- #* Qisda Corp. 6,881,900 2,236,902 # Qualipoly Chemical Corp. 275,000 227,963 # Quanta Storage, Inc. 723,000 903,984 #* Quintain Steel Co., Ltd. 1,777,824 393,011 # Radium Life Tech Co., Ltd. 2,615,235 2,049,689 # Ralec Electronic Corp. 103,209 197,554 Realtek Semiconductor Corp. 487,644 1,392,254 # Rechi Precision Co., Ltd. 1,169,448 1,257,046 #* Rexon Industrial Corp., Ltd. 94,392 35,403 # Rich Development Co., Ltd. 2,669,036 1,255,984 # Richtek Technology Corp. 654,000 3,757,807 #* Ritek Corp. 13,129,387 2,057,073 # Rotam Global Agrosciences, Ltd. 12,000 21,498 Ruentex Engineering & Construction Co. 35,000 81,154 # Run Long Construction Co., Ltd. 380,000 363,924 * Sainfoin Technology Corp. 131,260 -- # Sampo Corp. 2,833,327 1,089,615 San Fang Chemical Industry Co., Ltd. 612,632 599,502 # San Shing Fastech Corp. 248,040 725,233
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ --------- ---------- TAIWAN -- (Continued) Sanyang Industry Co., Ltd. 2,947,628 $2,699,214 # SCI Pharmtech, Inc. 136,091 297,744 # SDI Corp. 601,000 890,804 Senao International Co., Ltd. 445,541 1,173,567 # Sercomm Corp. 839,000 1,691,909 Sesoda Corp. 692,212 721,762 Shan-Loong Transportation Co., Ltd. 29,000 24,923 # Sheng Yu Steel Co., Ltd. 605,980 453,893 # ShenMao Technology, Inc. 441,891 591,067 # Shih Her Technologies, Inc. 95,000 226,627 Shih Wei Navigation Co., Ltd. 996,183 670,472 Shihlin Electric & Engineering Corp. 1,301,000 1,572,750 * Shihlin Paper Corp. 527,000 746,597 Shin Hai Gas Corp. 1,113 1,568 # Shin Zu Shing Co., Ltd. 615,144 1,669,883 #* Shining Building Business Co., Ltd. 1,208,770 966,159 Shinkong Insurance Co., Ltd. 1,052,131 817,992 Shinkong Synthetic Fibers Corp. 7,179,395 2,311,505 Shinkong Textile Co., Ltd. 1,068,542 1,347,279 Shiny Chemical Industrial Co., Ltd. 243,000 427,642 # Shuttle, Inc. 1,381,152 540,863 Sigurd Microelectronics Corp. 1,698,974 1,691,578 * Silicon Integrated Systems Corp. 2,908,820 826,974 # Silicon Power Computer & Communications, Inc. 228,000 311,196 # Silitech Technology Corp. 459,848 623,292 # Sinbon Electronics Co., Ltd. 934,000 1,392,648 Sincere Navigation Corp. 1,460,786 1,272,180 # Singatron Enterprise Co., Ltd. 437,000 229,114 #* Sinkang Industries Co., Ltd. 153,521 60,598 # Sinmag Equipment Corp. 138,810 773,330 #* Sino-American Silicon Products, Inc. 2,409,000 4,042,130 # Sinon Corp. 1,748,510 1,022,139 # Sinphar Pharmaceutical Co., Ltd. 572,588 970,326 # Sinyi Realty Co. 832,286 1,484,025 # Sirtec International Co., Ltd. 603,000 1,097,025 # Sitronix Technology Corp. 524,879 1,042,041 #* Siward Crystal Technology Co., Ltd. 536,000 311,782 Soft-World International Corp. 550,000 1,909,495 Solar Applied Materials Technology Co. 1,603,581 1,425,636 #* Solartech Energy Corp. 283,616 213,131 Solomon Technology Corp. 142,723 91,284 #* Solytech Enterprise Corp. 974,000 329,241 Sonix Technology Co., Ltd. 806,000 1,515,994 Southeast Cement Co., Ltd. 1,053,700 559,050 Spirox Corp. 66,000 31,677 # Sporton International, Inc. 188,829 831,237 St Shine Optical Co., Ltd. 177,000 3,757,931 Standard Chemical & Pharmaceutical Co., Ltd. 461,571 626,104 Stark Technology, Inc. 598,860 576,465 Sunonwealth Electric Machine Industry Co., Ltd. 662,487 511,851 #* Sunplus Technology Co., Ltd. 1,808,000 687,058 Sunrex Technology Corp. 914,736 408,338
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ --------- ---------- TAIWAN -- (Continued) # Sunspring Metal Corp. 221,000 $ 447,662 Super Dragon Technology Co., Ltd. 159,382 108,859 # Supreme Electronics Co., Ltd. 939,579 515,364 # Swancor Ind Co., Ltd. 211,000 794,682 Sweeten Construction Co., Ltd. 577,206 376,127 Syncmold Enterprise Corp. 525,000 913,283 # Sysage Technology Co., Ltd. 352,800 425,240 # Systex Corp. 242,388 479,960 TA Chen Stainless Pipe 2,808,248 1,563,929 * Ta Chong Bank, Ltd. 7,611,897 2,536,367 #* Ta Chong Securities Co., Ltd. 209,000 70,209 Ta Ya Electric Wire & Cable 2,645,306 645,345 # Ta Yih Industrial Co., Ltd. 194,000 548,299 # TA-I Technology Co., Ltd. 774,972 427,624 Tah Hsin Industrial Co., Ltd. 474,000 451,004 TAI Roun Products Co., Ltd. 239,000 80,392 # Tai Tung Communication Co., Ltd. 123,727 210,399 Taichung Commercial Bank 9,445,069 3,146,718 # TaiDoc Technology Corp. 184,000 544,739 # Taiflex Scientific Co., Ltd. 865,000 1,681,436 # Taimide Tech, Inc. 446,000 462,604 # Tainan Enterprises Co., Ltd. 643,370 681,009 # Tainan Spinning Co., Ltd. 4,952,172 3,331,841 #* Taisun Enterprise Co., Ltd. 1,425,428 604,302 * Taita Chemical Co., Ltd. 741,951 249,679 # Taiwan Acceptance Corp. 390,480 990,083 # Taiwan Calsonic Co., Ltd. 33,000 29,562 # Taiwan Chinsan Electronic Industrial Co., Ltd. 378,000 727,624 # Taiwan Cogeneration Corp. 1,625,566 1,079,489 Taiwan Fire & Marine Insurance Co. 1,055,338 820,572 * Taiwan Flourescent Lamp Co., Ltd. 176,000 -- # Taiwan FU Hsing Industrial Co., Ltd. 670,000 690,253 # Taiwan Hon Chuan Enterprise Co., Ltd. 1,216,814 2,510,066 # Taiwan Hopax Chemicals Manufacturing Co., Ltd. 795,120 644,468 * Taiwan Kolin Co., Ltd. 1,356,000 -- * Taiwan Land Development Corp. 3,367,798 1,239,176 * Taiwan Life Insurance Co., Ltd. 1,897,586 1,460,018 Taiwan Line Tek Electronic 404,529 383,938 Taiwan Mask Corp. 1,038,412 354,355 Taiwan Navigation Co., Ltd. 697,777 513,388 # Taiwan Paiho, Ltd. 1,274,287 1,675,222 # Taiwan PCB Techvest Co., Ltd. 1,040,238 1,480,632 # Taiwan Prosperity Chemical Corp. 483,000 472,672 #* Taiwan Pulp & Paper Corp. 1,940,980 730,043 # Taiwan Sakura Corp. 1,398,003 1,003,582 Taiwan Sanyo Electric Co., Ltd. 458,400 522,441 Taiwan Secom Co., Ltd. 1,069,332 2,710,953 Taiwan Semiconductor Co., Ltd. 1,215,000 1,340,953 # Taiwan Sogo Shin Kong SEC 997,278 1,349,367 #* Taiwan Styrene Monomer 2,424,961 1,364,293 Taiwan Surface Mounting Technology Co., Ltd. 1,061,550 1,587,521 #* Taiwan TEA Corp. 3,021,897 1,874,287
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ ---------- ---------- TAIWAN -- (Continued) # Taiwan Union Technology Corp. 798,000 $ 779,853 Taiyen Biotech Co., Ltd. 696,883 593,356 * Tang Eng Iron Works Co., Ltd. 60,000 54,111 #* Tatung Co., Ltd. 10,752,015 3,407,325 # Te Chang Construction Co., Ltd. 392,840 395,947 * Tecom Co., Ltd. 108,114 11,134 #* Tekcore Co., Ltd. 326,000 153,741 # Ten Ren Tea Co., Ltd. 187,980 302,019 # Test Research, Inc. 757,821 1,272,071 Test-Rite International Co., Ltd. 1,680,495 1,206,731 # ThaiLin Semiconductor Corp. 226,000 156,956 # Thinking Electronic Industrial Co., Ltd. 403,204 669,039 # Thye Ming Industrial Co., Ltd. 873,669 1,006,891 Ton Yi Industrial Corp. 1,338,644 1,426,292 # Tong Hsing Electronic Industries, Ltd. 625,963 3,365,472 # Tong Yang Industry Co., Ltd. 1,818,741 2,610,326 Tong-Tai Machine & Tool Co., Ltd. 932,599 944,570 Topco Scientific Co., Ltd. 691,572 1,291,784 # Topco Technologies Corp. 114,000 291,436 # Topoint Technology Co., Ltd. 725,776 521,205 # Toung Loong Textile Manufacturing 373,000 1,067,762 # Trade-Van Information Services Co. 239,000 206,080 # Transasia Airways Corp. 578,000 224,929 Transcend Information, Inc. 22,651 74,821 Tsann Kuen Enterprise Co., Ltd. 514,686 727,591 # TSC Auto ID Technology Co., Ltd. 63,000 512,060 TSRC Corp. 246,000 361,236 Ttet Union Corp. 270,000 679,029 TTFB Co., Ltd. 9,000 88,640 # TTY Biopharm Co., Ltd. 851,902 2,666,748 Tung Ho Steel Enterprise Corp. 4,014,000 3,426,107 # Tung Ho Textile Co., Ltd. 598,000 192,298 # Tung Thih Electronic Co., Ltd. 298,600 1,221,335 # TURVO International Co., Ltd. 114,400 522,589 # TXC Corp. 1,349,053 1,949,206 * TYC Brother Industrial Co., Ltd. 573,980 364,318 #* Tycoons Group Enterprise 2,368,182 419,829 * Tyntek Corp. 1,563,393 527,652 TZE Shin International Co., Ltd. 275,425 101,842 # Ubright Optronics Corp. 149,500 355,395 Unic Technology Corp. 72,723 29,548 #* Union Bank Of Taiwan 3,518,043 1,253,292 Unitech Computer Co., Ltd. 281,804 151,824 #* Unitech Printed Circuit Board Corp. 2,859,370 1,115,398 United Integrated Services Co., Ltd. 1,093,439 1,195,052 # Unity Opto Technology Co., Ltd. 1,413,500 1,747,634 Universal Cement Corp. 1,746,191 1,672,893 * Unizyx Holding Corp. 1,809,430 1,004,533 UPC Technology Corp. 3,551,447 1,577,849 # Userjoy Technology Co., Ltd. 74,000 150,638 # USI Corp. 3,932,734 2,489,157 Ve Wong Corp. 503,696 385,382
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ ---------- ---------- TAIWAN -- (Continued) * Via Technologies, Inc. 190,500 $ 137,155 # Viking Tech Corp. 54,815 48,652 Visual Photonics Epitaxy Co., Ltd. 806,696 858,936 # Vivotek, Inc. 243,225 1,171,265 #* Wafer Works Corp. 1,310,580 670,530 # Wah Hong Industrial Corp. 331,021 336,587 # Wah Lee Industrial Corp. 819,000 1,567,713 * Walsin Lihwa Corp. 3,797,000 1,247,315 #* Walsin Technology Corp. 2,427,873 725,277 #* Walton Advanced Engineering, Inc. 1,443,197 599,051 Wan Hai Lines, Ltd. 1,934,000 965,069 WAN HWA Enterprise Co. 633,992 309,063 Waterland Financial Holdings Co., Ltd. 5,334,504 1,672,389 # Ways Technical Corp., Ltd. 295,000 463,404 * WEI Chih Steel Industrial Co., Ltd. 433,000 68,903 # Wei Chuan Foods Corp. 1,836,000 2,731,791 #* Wei Mon Industry Co., Ltd. 1,682,282 532,858 # Weikeng Industrial Co., Ltd. 957,100 753,444 # Well Shin Technology Co., Ltd. 328,000 600,497 Weltrend Semiconductor 40,450 37,382 Wha Yu Industrial Co., Ltd. 40,000 21,447 # Win Semiconductors Corp. 2,659,000 2,377,209 #* Winbond Electronics Corp. 14,866,138 4,479,928 #* Wintek Corp. 8,975,000 3,008,018 # Wisdom Marine Lines Co., Ltd. 792,120 952,651 Wistron NeWeb Corp. 1,133,021 2,647,354 # WT Microelectronics Co., Ltd. 1,366,879 1,866,410 WUS Printed Circuit Co., Ltd. 1,582,000 840,841 X-Legend Entertainment Co., Ltd. 10,500 56,976 # XAC Automation Corp. 241,000 355,942 # Xxentria Technology Materials Corp. 587,000 1,662,114 Yageo Corp. 6,829,200 3,251,839 * Yang Ming Marine Transport Corp. 925,000 378,839 # YC Co., Ltd. 1,667,642 1,212,834 YC INOX Co., Ltd. 1,562,171 1,450,656 # YeaShin International Development Co., Ltd. 940,508 661,833 YFY, Inc. 6,150,212 2,711,474 #* Yi Jinn Industrial Co., Ltd. 735,312 207,217 #* Yieh Phui Enterprise Co., Ltd. 4,730,338 1,462,403 Yonyu Plastics Co., Ltd 89,000 112,196 # Young Fast Optoelectronics Co., Ltd. 617,872 601,334 # Young Optics, Inc. 264,111 524,275 # Youngtek Electronics Corp. 485,245 1,030,188 Yufo Electronics Co., Ltd. 98,000 64,285 Yung Chi Paint & Varnish Manufacturing Co., Ltd. 333,869 885,364 # Yungshin Construction & Development Co. 39,000 99,411 YungShin Global Holding Corp. 800,300 1,467,713 # Yungtay Engineering Co., Ltd. 1,597,000 4,711,729 # Zeng Hsing Industrial Co., Ltd. 259,107 1,461,587 Zenitron Corp. 902,000 533,445 #* Zig Sheng Industrial Co., Ltd. 2,268,732 692,305 # Zinwell Corp. 1,425,586 1,466,245
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ ----------- ------------ TAIWAN -- (Continued) # Zippy Technology Corp. 581,948 $ 1,064,535 # ZongTai Real Estate Development Co., Ltd. 352,800 309,572 ------------ TOTAL TAIWAN 637,407,713 ------------ THAILAND -- (3.9%) AAPICO Hitech PCL 964,380 438,084 Aeon Thana Sinsap Thailand PCL 142,500 400,726 * AJ Plast PCL 1,601,288 492,361 Amarin Printing & Publishing PCL 77,660 39,598 Amata Corp. PCL 5,111,800 2,480,076 AP Thailand PCL 11,253,560 1,982,240 * Apex Development PCL 3,536 -- * Asia Green Energy PCL 1,555,700 118,264 Asia Plus Securities PCL 10,379,800 1,122,661 Asian Insulators PCL 2,273,500 864,155 Bangchak Petroleum PCL (The) 4,817,500 4,763,906 Bangkok Aviation Fuel Services PCL 1,389,217 1,352,297 Bangkok Chain Hospital PCL 8,664,937 1,968,087 Bangkok Expressway PCL 2,873,100 3,040,905 Bangkok Insurance PCL 180,181 1,920,966 Bangkok Land PCL 81,318,070 4,096,059 Bangkok Life Assurance PCL 996,600 2,178,908 * Bangkok Metro PCL 63,007,805 1,752,380 * Bangkok Rubber PCL 14,600 -- Bumrungrad Hospital PCL 1,004,200 3,041,150 Cal-Comp Electronics Thailand PCL 13,593,216 1,083,761 * Central Paper Industry P.L.C. 20 -- Central Plaza Hotel PCL 4,356,900 4,173,792 CH Karnchang PCL 5,788,200 3,309,076 Charoong Thai Wire & Cable PCL 1,317,400 376,574 Christiani & Nielsen Thai 941,400 149,821 Country Group Securities PCL 6,720,500 284,521 CS Loxinfo PCL 1,759,200 559,943 Delta Electronics Thailand PCL 2,678,000 4,717,120 Demco PCL 1,675,200 471,085 Dhipaya Insurance PCL 619,200 774,957 Diamond Building Products PCL 3,074,800 574,862 DSG International Thailand PCL 2,870,600 1,011,274 Dynasty Ceramic PCL 1,353,400 2,195,720 Eastern Water Resources Development and Management PCL 4,333,100 1,472,933 Electricity Generating PCL 217,400 883,439 Erawan Group PCL (The) 11,173,270 1,318,971 * Esso Thailand PCL 12,141,400 2,344,986 * G J Steel PCL 130,617,600 242,183 * G Steel PCL 27,015,300 125,225 GFPT PCL 4,603,000 2,005,633 * GMM Grammy PCL 1,746,660 885,205 * Golden Land Property Development PCL 2,034,000 449,416 Grand Canal Land PCL 2,615,400 281,261 Gunkul Engineering PCL 1,104,933 460,958 Hana Microelectronics PCL 2,487,496 2,479,040 Hemaraj Land and Development PCL 33,959,700 3,735,987
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ ---------- ---------- THAILAND -- (Continued) ICC International PCL 204,600 $ 249,744 * Italian-Thai Development PCL 19,673,827 2,237,320 * ITV PCL 2,785,600 -- Jay Mart PCL 1,655,125 772,323 Jubilee Enterprise PCL 159,300 131,683 Kang Yong Electric PCL 23,900 207,537 KCE Electronics PCL 1,786,218 1,931,942 KGI Securities Thailand PCL 9,781,400 876,578 Khon Kaen Sugar Industry PCL 4,863,800 2,104,240 Kiatnakin Bank PCL 3,023,300 4,017,364 Laguna Resorts & Hotels PCL 197,000 188,721 Lanna Resources PCL 1,894,350 755,164 LH Financial Group PCL 26,770,146 1,489,069 Loxley PCL 7,850,565 970,404 LPN Development PCL(B00PXK5) 411,500 221,264 LPN Development PCL(B00Q643) 4,549,000 2,446,001 Major Cineplex Group PCL 3,105,500 1,842,571 Maybank Kim Eng Securities Thailand PCL 385,100 253,481 MBK PCL 5,547,000 2,605,513 MCOT PCL 2,352,600 2,071,975 Modernform Group PCL 413,900 120,231 Muang Thai Insurance PCL 43,788 146,140 Muramoto Electron Thailand PCL 14,000 106,860 Nation Multimedia Group PCL 14,377,900 613,149 * Natural Park PCL 51,018,000 94,595 Nava Nakorn PCL 1,715,500 116,629 Noble Development PCL 621,200 222,680 Polyplex Thailand PCL 2,300,700 707,415 Precious Shipping PCL 3,208,300 2,726,460 Premier Marketing PCL 494,500 142,115 President Rice Products PCL 3,375 4,745 Property Perfect PCL 21,874,700 635,421 Pruksa Real Estate PCL 7,222,300 4,999,367 Quality Houses PCL 33,698,108 3,394,803 * Raimon Land PCL 21,994,800 1,101,099 * Regional Container Lines PCL 2,243,400 436,756 Rojana Industrial Park PCL 5,372,000 1,195,253 RS PCL 3,358,700 877,040 Saha Pathana Inter-Holding PCL 680,300 468,810 Saha-Union PCL 746,600 870,956 * Sahaviriya Steel Industries PCL 80,435,700 894,835 Samart Corp. PCL 3,498,300 2,226,977 Samart I-Mobile PCL 12,701,000 1,334,468 Samart Telcoms PCL 2,212,100 1,093,745 Sansiri PCL 33,810,908 1,995,638 SC Asset Corp PCL 14,046,225 1,493,171 * Siam Commercial Samaggi Insurance PCL (The) 65,700 55,325 Siam Future Development PCL 7,221,961 1,249,783 Siam Global House PCL 4,788,680 1,997,750 Siamgas & Petrochemicals PCL 2,832,300 1,820,514 Singer Thailand PCL 193,700 102,955 Sino Thai Engineering & Construction PCL 5,251,500 3,018,476
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ ---------- ------------ THAILAND -- (Continued) SNC Former PCL 869,400 $ 454,044 Somboon Advance Technology PCL 1,715,637 917,198 * SPCG PCL 2,848,000 1,865,810 Sri Ayudhya Capital PCL 27,000 23,571 Sri Trang Agro-Industry PCL 4,616,690 2,111,465 Srithai Superware PCL 1,113,500 868,847 STP & I PCL 5,087,440 3,348,655 Supalai PCL 5,976,633 3,601,494 Susco PCL 849,100 80,817 SVI PCL 8,178,900 1,112,088 Symphony Communication PCL 578,800 320,164 * Tata Steel Thailand PCL 18,704,100 450,840 * Thai Airways International PCL(6888868) 6,713,400 2,696,978 * Thai Airways International PCL(6364971) 141,400 56,805 * Thai Carbon Black PCL 504,600 417,121 Thai Central Chemical PCL 194,300 163,618 Thai Factory Development PCL 2,819,380 596,809 Thai Metal Trade PCL 629,300 202,247 Thai Rayon PCL 9,400 10,094 * Thai Reinsurance PCL 4,283,400 428,869 Thai Rung Union Car PCL 655,100 140,697 Thai Stanley Electric PCL 206,600 1,359,883 Thai Steel Cable PCL 3,400 1,544 Thai Vegetable Oil PCL 2,939,475 2,170,997 Thai Wacoal PCL 78,000 119,314 Thai-German Ceramic Industry PCL 3,855,000 369,299 Thaicom PCL 3,837,200 4,802,429 Thanachart Capital PCL 4,752,800 5,103,826 Thitikorn PCL 742,400 228,272 * Thoresen Thai Agencies PCL 4,868,396 3,114,209 Ticon Industrial Connection PCL 4,853,487 2,399,746 Tipco Asphalt PCL 684,790 1,158,599 * TIPCO Foods PCL 1,278,482 314,089 Tisco Financial Group PCL(B3KFW10) 677,900 832,711 Tisco Financial Group PCL(B3KFW76) 2,247,400 2,760,635 Toyo-Thai Corp. PCL(B5ML0B6) 411,928 483,723 Toyo-Thai Corp. PCL(B5ML0D8) 1,350,871 1,586,313 TPI Polene PCL 7,578,660 2,786,961 TTW PCL 13,650,100 4,218,201 * Tycoons Worldwide Group Thailand PCL 764,600 65,213 Union Mosaic Industry PCL (The) 3,273,200 829,426 Unique Engineering & Construction PCL 3,441,400 776,336 Univanich Palm Oil PCL 939,000 301,780 Univentures PCL 7,086,000 1,718,946 * Vanachai Group PCL 3,287,866 406,411 Vibhavadi Medical Center PCL 4,111,920 1,677,297 Vinythai PCL 2,792,934 923,498 * Workpoint Entertainment PCL 839,900 694,293 ------------ TOTAL THAILAND 191,129,803 ------------ TURKEY -- (2.7%) Adana Cimento Sanayii TAS Class A 489,462 948,365
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ --------- ---------- TURKEY -- (Continued) # Adel Kalemcilik Ticaret ve Sanayi A.S. 22,672 $ 577,988 * Adese Alisveris Merkezleri Ticaret A.S. 110,463 910,856 Akcansa Cimento A.S. 429,680 2,510,525 #* Akenerji Elektrik Uretim A.S. 1,914,223 1,172,923 # Akfen Holding A.S. 885,501 1,858,228 * AKIS Gayrimenkul Yatirimi A.S. 45,283 70,578 Aksa Akrilik Kimya Sanayii 843,653 2,942,270 Aksigorta A.S. 995,287 1,372,553 * Aktas Elektrik Ticaret A.S. 370 -- Alarko Holding A.S. 682,424 1,571,828 Albaraka Turk Katilim Bankasi A.S. 2,591,157 2,057,262 # Alkim Alkali Kimya A.S. 6,300 44,163 #* Anadolu Anonim Tuerk Sigorta Sirketi 1,936,423 1,332,496 # Anadolu Cam Sanayii A.S. 1,073,372 963,446 # Anadolu Hayat Emeklilik A.S. 737,241 1,547,432 #* Anadolu Isuzu Otomotiv Sanayi Ve Ticaret A.S. 105,289 1,182,356 #* Asya Katilim Bankasi A.S. 5,934,411 4,580,748 # Aygaz A.S. 124,525 515,541 #* Bagfas Bandirma Gubre Fabrik 54,144 1,094,244 #* Banvit Bandirma Vitaminli Yem Sanayii ASA 297,934 336,081 #* Baticim Bati Anadolu Cimento Sanayii A.S. 274,709 788,303 #* Besiktas Futbol Yatirimlari Sanayi ve Ticaret A.S. 885,060 869,786 # Bizim Toptan Satis Magazalari A.S. 181,001 1,717,959 Bolu Cimento Sanayii A.S. 514,692 622,904 # Borusan Mannesmann Boru Sanayi ve Ticaret A.S. 511,465 1,670,231 #* Bosch Fren Sistemleri 989 60,647 * Boyner Buyuk Magazacilik 107,290 298,423 #* Boyner Perakende Ve Tekstil Yatirimlari AS 110,344 2,804,873 Brisa Bridgestone Sabanci Sanayi ve Ticaret A.S. 457,826 1,365,110 Bursa Cimento Fabrikasi A.S. 229,830 458,713 Celebi Hava Servisi A.S. 45,555 346,707 Cimsa Cimento Sanayi VE Tica 505,224 2,951,097 #* Deva Holding A.S. 683,187 574,272 #* Dogan Sirketler Grubu Holding A.S. 6,403,075 2,191,161 #* Dogan Yayin Holding A.S. 4,683,342 1,135,391 Dogus Otomotiv Servis ve Ticaret A.S. 595,613 2,263,644 * Dyo Boya Fabrikalari Sanayi ve Ticaret A.S. 541,645 437,315 * Eczacibasi Yapi Gerecleri Sanayi ve Ticaret A.S. 265,518 553,032 # Eczacibasi Yatirim Holding Ortakligi A.S. 354,065 893,786 EGE Seramik Sanayi ve Ticaret A.S. 822,424 1,125,510 # EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve Ticaret A.S. 1,950,686 2,138,291 #* Fenerbahce Futbol A.S. 84,383 1,339,989 #* Galatasaray Sportif Sinai ve Ticari Yatirimlar A.S. 81,766 896,022 Gentas Genel Metal Sanayi ve Ticaret A.S. 500,763 316,067 # Global Yatirim Holding A.S. 2,051,887 1,206,637 * Goldas Kuyumculuk Sanayi Ithalat ve Ihracat A.S. 8,540 158 # Goltas Goller Bolgesi Cimento Sanayi ve Ticaret A.S. 62,751 1,640,535 Goodyear Lastikleri TAS 37,464 1,189,366 * Gozde Girisim Sermayesi Yatirim Ortakligi A.S. 389,125 503,311 #* GSD Holding 2,604,393 1,855,986 * Gubre Fabrikalari TAS 900,985 1,794,025 * Gunes Sigorta 330,927 298,545
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ --------- ---------- TURKEY -- (Continued) #* Hurriyet Gazetecilik A.S. 1,277,435 $ 364,141 #* Ihlas Holding A.S. 7,530,182 1,214,725 #* Ihlas Madencilik A.S. 148,484 148,317 Indeks Bilgisayar Sistemleri Muhendislik Sanayi ve Ticaret A.S. 82,829 156,321 * Ipek Dogal Enerji Kaynaklari Ve Uretim A.S. 1,329,455 1,686,967 Is Finansal Kiralama A.S. 951,417 441,852 Is Yatirim Menkul Degerler A.S. Class A 254,710 149,629 * Isiklar Yatirim Holding A.S. -- -- #* Izmir Demir Celik Sanayi A.S. 819,232 1,112,436 * Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class A 1,448,775 1,640,240 * Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class B 692,748 1,070,017 #* Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class D 6,197,721 4,451,599 #* Karsan Otomotiv Sanayii Ve Ticaret A.S. 1,639,695 810,039 # Kartonsan Karton Sanayi ve Ticaret A.S. 12,685 1,445,381 #* Kerevitas Gida Sanayi ve Ticaret A.S. 5,801 105,944 # Konya Cimento Sanayii A.S. 8,645 1,098,136 Kordsa Global Endustriyel Iplik ve Kord Bezi Sanayi ve Ticaret A.S. 70,351 135,167 #* Koza Anadolu Metal Madencilik Isletmeleri A.S. 1,427,863 1,722,941 Mardin Cimento Sanayii ve Ticaret A.S. 288,609 634,861 #* Marshall Boya ve Vernik 37,108 662,842 * Menderes Tekstil Sanayi ve Ticaret A.S. 249,561 66,434 #* Metro Ticari ve Mali Yatirimlar Holding A.S. 2,278,836 714,496 #* Migros Ticaret A.S. 220,582 1,993,904 * Milpa 134,673 65,773 #* Mondi Tire Kutsan Kagit Ve Ambalaj Sanayii A.S. 149,549 71,704 * Mudurnu Tavukculuk A.S. 1,740 -- * Nergis Holding A.S. 1,785 7 # NET Holding A.S. 1,444,578 1,637,396 # Netas Telekomunikasyon A.S. 216,273 745,322 Nuh Cimento Sanayi A.S. 339,327 1,613,144 # Otokar Otomotiv Ve Savunma Sanayi A.S. 107,742 2,676,074 #* Park Elektrik Uretim Madencilik Sanayi ve Ticaret A.S. 618,340 1,158,363 #* Petkim Petrokimya Holding A.S. 4,300,646 6,132,721 Pinar Entegre Et ve Un Sanayi A.S. 139,619 655,033 Pinar SUT Mamulleri Sanayii A.S. 132,554 1,147,282 * Raks Elektronik Sanayi ve Ticaret A.S. 2,730 -- Sarkuysan Elektrolitik Bakir Sanayi ve Ticaret A.S. 306,566 446,862 * Sasa Polyester Sanayi A.S. 756,712 449,204 #* Sekerbank TAS 2,836,236 2,653,529 Selcuk Ecza Deposu Ticaret ve Sanayi A.S. 1,294,214 1,222,783 Soda Sanayii A.S. 1,283,326 1,900,326 * Tat Gida Sanayi A.S. 729,258 748,304 # Tekfen Holding A.S. 1,393,413 3,528,521 Teknosa Ic Ve Dis Ticaret A.S. 152,377 868,616 #* Tekstil Bankasi A.S. 1,337,315 1,233,371 Tofas Turk Otomobil Fabrikasi A.S. 1 6 Trakya Cam Sanayi A.S. 2,590,405 2,954,530 # Turcas Petrol A.S. 685,172 837,442 Turk Traktor ve Ziraat Makineleri A.S. 124,115 3,578,224 # Turkiye Sinai Kalkinma Bankasi A.S. 6,571,388 5,969,701 Ulker Biskuvi Sanayi A.S. 9,136 70,015 * Vestel Beyaz Esya Sanayi ve Ticaret A.S. 486,427 840,675
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ ---------- -------------- TURKEY -- (Continued) * Vestel Elektronik Sanayi ve Ticaret A.S. 1,090,031 $ 980,692 #* Zorlu Enerji Elektrik Uretim A.S. 1,738,991 940,795 -------------- TOTAL TURKEY 130,850,483 -------------- TOTAL COMMON STOCKS 4,277,191,348 -------------- PREFERRED STOCKS -- (1.1%) BRAZIL -- (1.1%) Alpargatas SA 998,118 4,924,004 Banco ABC Brasil SA 602,834 3,528,191 Banco Alfa de Investimento SA 2,600 6,693 Banco Daycoval SA 381,327 1,539,160 Banco do Estado do Rio Grande do Sul SA Class B 943,865 5,295,549 Banco Industrial e Comercial SA 484,320 1,735,494 * Banco Indusval SA 8,960 14,587 Banco Mercantil do Brasil SA 8,069 24,137 * Banco Panamericano SA 1,027,100 1,708,954 Banco Pine SA 244,003 796,656 Banco Sofisa SA 75,000 98,049 * Bombril SA 3,900 8,098 Centrais Eletricas de Santa Catarina SA 79,600 560,118 Cia de Gas de Sao Paulo Class A 128,087 2,817,655 Cia de Saneamento do Parana 185,001 479,563 * Cia de Tecidos do Norte de Minas - Coteminas 2 2 Cia de Transmissao de Energia Eletrica Paulista 224,100 2,477,437 Cia Energetica de Sao Paulo Class B 161,200 1,910,760 Cia Energetica do Ceara Class A 87,839 1,378,794 Cia Ferro Ligas da Bahia - Ferbasa 295,849 1,685,069 Eletropaulo Metropolitana Eletricidade de Sao Paulo SA 1,219,300 4,981,645 Empresa Metropolitana de Aguas e Energia SA 23,900 62,329 Energisa SA 7,800 6,961 Eucatex SA Industria e Comercio 223,327 535,845 Forjas Taurus SA 577,332 269,279 * Gol Linhas Aereas Inteligentes SA 88,700 568,460 * Inepar SA Industria e Construcoes 248,468 59,060 Marcopolo SA 3,477,600 6,378,914 Parana Banco SA 52,900 250,295 Randon Participacoes SA 1,468,157 4,740,769 Saraiva SA Livreiros Editores 167,673 1,191,890 Schulz SA 9,000 38,547 * Sharp SA 30,200,000 -- Unipar Carbocloro SA Class B 2,790,948 575,776 Whirlpool SA 48,316 86,242 -------------- TOTAL BRAZIL 50,734,982 -------------- CHILE -- (0.0%) Coca-Cola Embonor SA Class B 8,190 15,095 -------------- COLOMBIA -- (0.0%) Avianca Holdings SA 851,271 1,764,896 -------------- TOTAL PREFERRED STOCKS 52,514,973 --------------
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
SHARES VALUE++ ---------- -------------- RIGHTS/WARRANTS -- (0.0%) BRAZIL -- (0.0%) * Cia De Gas De Sao Paulo Comgas Rights 05/28/14 2,189 $ -- -------------- CHILE -- (0.0%) * Invexans SA Rights 06/30/14 55,150,560 -- -------------- INDIA -- (0.0%) * IL&FS Transportation Networks, Ltd. Rights 05/12/14 21,703 11,605 -------------- MALAYSIA -- (0.0%) * BIMB Holdings Bhd Warrants 12/04/23 237,308 45,420 * Malaysian Resources Corp. Bhd Warrants 09/16/18 -- -- * Symphony Life Bhd Warrants 11/11/20 3,482 426 -------------- TOTAL MALAYSIA 45,846 -------------- PHILIPPINES -- (0.0%) * China Banking Corp. Rights 05/07/14 74,393 9,262 -------------- SOUTH AFRICA -- (0.0%) * Resilient Property Income Fund Rights 05/16/14 27,968 12,893 -------------- SOUTH KOREA -- (0.0%) * GS Engineering & Construction Corp. Rights 06/03/14 54,521 459,043 #* L&F Co., Ltd. 6,068 7,605 * STS Semiconductor & Telecommunications Rights 05/23/14 48,887 31,462 * Sunny Electronics Corp. Rights 06/17/14 17,306 19,596 -------------- TOTAL SOUTH KOREA 517,706 -------------- TAIWAN -- (0.0%) * YeaShin International Development Co., Ltd. Rights 05/13/14 38,637 895 -------------- THAILAND -- (0.0%) * Lanna Resources PCL Rights 06/30/14 378,870 3,513 * LH Financial Group Rights 05/26/14 892,338 22,060 * Samart Corp. PCL Rights 05/31/14 69,526 -- * Thoresen Thai Agencies PCL Warrant 02/28/17 260,704 48,338 * Ticon Industrial Connection PCL Rights 04/28/14 970,697 29,997 -------------- TOTAL THAILAND 103,908 -------------- TURKEY -- (0.0%) * Gozde Girisim Sermayesi Yatiri Rights 05/12/14 389,125 591,552 -------------- TOTAL RIGHTS/WARRANTS 1,293,667 -------------- SHARES/ FACE AMOUNT (000) VALUE+ ---------- -------------- SECURITIES LENDING COLLATERAL -- (11.0%) (S)@ DFA Short Term Investment Fund 46,389,128 536,722,214 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $4,396,701,201) $4,867,722,202 ==============
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED Summary of the Series' investments as of April 30, 2014, 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 $333,750,768 -- -- $ 333,750,768 Chile 58,878,527 -- -- 58,878,527 China 138,453 $ 602,107,705 -- 602,246,158 Colombia 803,444 -- -- 803,444 Greece -- 50,803,666 -- 50,803,666 Hungary -- 1,394,021 -- 1,394,021 India 908,836 395,082,777 -- 395,991,613 Indonesia 1,931,582 165,910,592 -- 167,842,174 Israel -- 16,234 -- 16,234 Malaysia -- 282,544,281 -- 282,544,281 Mexico 221,229,791 176,568 -- 221,406,359 Philippines -- 69,493,951 -- 69,493,951 Poland -- 112,813,967 -- 112,813,967 South Africa 12,889,367 346,626,838 -- 359,516,205 South Korea 2,197,056 658,104,925 -- 660,301,981 Taiwan -- 637,407,713 -- 637,407,713 Thailand 190,762,395 367,408 -- 191,129,803 Turkey -- 130,850,483 -- 130,850,483 Preferred Stocks Brazil 50,734,982 -- -- 50,734,982 Chile 15,095 -- -- 15,095 Colombia 1,764,896 -- -- 1,764,896 Rights/Warrants Brazil -- -- -- -- Chile -- -- -- -- India -- 11,605 -- 11,605 Malaysia -- 45,846 -- 45,846 Philippines -- 9,262 -- 9,262 South Africa -- 12,893 -- 12,893 South Korea 19,596 498,110 -- 517,706 Taiwan 895 -- -- 895 Thailand -- 103,908 -- 103,908 Turkey -- 591,552 -- 591,552 Securities Lending Collateral -- 536,722,214 -- 536,722,214 ------------ -------------- -- -------------- TOTAL $876,025,683 $3,991,696,519 -- $4,867,722,202 ============ ============== == ==============
Dimensional Emerging Markets Value Fund SCHEDULE OF INVESTMENTS April 30, 2014 (Unaudited)
Shares Value++ ---------- ------------ COMMON STOCKS -- (89.8%) BRAZIL -- (5.9%) ALL - America Latina Logistica SA 1,495,046 $ 5,920,510 Banco Alfa de Investimento SA 82,200 200,178 Banco do Brasil SA 9,750,973 102,374,830 Banco Santander Brasil SA 3,033,726 20,272,460 #Banco Santander Brasil SA ADR 17,807,476 118,419,715 Bematech SA 770,300 2,881,176 *BHG SA - Brazil Hospitality Group 253,714 1,581,623 BM&FBovespa SA 22,165,187 113,323,526 BrasilAgro - Co. Brasileira de Propriedades Agricolas 36,700 147,310 #Braskem SA Sponsored ADR 449,529 6,113,594 *Brazil Pharma SA 207,000 337,921 *Brookfield Incorporacoes SA 7,174,000 4,600,884 Cia Providencia Industria e Comercio SA 359,200 1,303,253 *CR2 Empreendimentos Imobiliarios SA 99,200 135,692 Cremer SA 206,870 1,549,380 Cyrela Brazil Realty SA Empreendimentos e Participacoes 481,700 2,920,769 Eternit SA 180,201 702,297 Even Construtora e Incorporadora SA 5,161,239 16,619,664 *Fertilizantes Heringer SA 274,800 651,953 *Fibria Celulose SA 2,182,200 21,726,579 #*Fibria Celulose SA Sponsored ADR 3,877,210 38,500,695 Forjas Taurus SA 215,956 133,656 Gafisa SA 3,259,978 5,307,196 #Gafisa SA ADR 3,369,856 11,154,223 *General Shopping Brasil SA 129,430 401,104 Gerdau SA 2,014,063 9,764,333 Gerdau SA Sponsored ADR 15,421,303 92,682,031 Grendene SA 319,904 2,022,938 Hypermarcas SA 1,635,246 12,049,374 Industrias Romi SA 635,500 1,439,298 JBS SA 18,033,940 62,276,640 JHSF Participacoes SA 605,827 986,277 Kepler Weber SA 54,287 883,784 Klabin SA 3,221,149 16,902,094 *Log-in Logistica Intermodal SA 760,800 2,726,221 Magnesita Refratarios SA 3,331,666 7,082,452 *Marfrig Global Foods SA 5,057,848 9,436,326 *MMX Mineracao e Metalicos SA 287,383 333,814 MRV Engenharia e Participacoes SA 5,452,772 17,264,972 *Paranapanema SA 4,399,443 7,241,151 *PDG Realty SA Empreendimentos e Participacoes 31,849,819 19,569,123 Petroleo Brasileiro SA 5,246,008 36,773,228 #Petroleo Brasileiro SA ADR 18,327,471 254,385,297 Positivo Informatica SA 461,557 482,309 Profarma Distribuidora de Produtos Farmaceuticos SA 323,225 2,580,291 QGEP Participacoes SA 1,152,894 4,436,296 Rodobens Negocios Imobiliarios SA 366,316 1,899,142 *Rossi Residencial SA 10,825,995 7,768,401 Sao Carlos Empreendimentos e Participacoes SA 67,300 1,056,396 Sao Martinho SA 511,163 7,656,842 SLC Agricola SA 1,034,591 7,887,901
Dimensional Emerging Markets Value Fund continued
Shares Value++ ------------- -------------- BRAZIL -- (Continued) *Springs Global Participacoes SA 1,522,300 $ 853,403 Sul America SA 217,090 1,591,848 *T4F Entretenimento SA 40,500 91,726 Tecnisa SA 1,177,927 3,660,964 Tereos Internacional SA 568,672 456,519 TPI - Triunfo Participacoes e Investimentos SA 380,600 1,485,018 Trisul SA 95,461 172,962 *Usinas Siderurgicas de Minas Gerais SA 2,009,640 7,219,292 Vale SA 1,092,792 14,408,828 #Vale SA Sponsored ADR 5,665,567 74,898,796 *Vanguarda Agro SA 4,116,979 5,871,507 Via Varejo SA 170,924 544,259 *Viver Incorporadora e Construtora SA 407,561 29,245 -------------- TOTAL BRAZIL 1,176,151,486 -------------- CHILE -- (1.4%) CAP SA 50,613 758,852 Cementos BIO BIO SA 665,307 607,231 Cencosud SA 1,844,719 6,146,284 Cencosud SA ADR 22,296 224,298 Cia General de Electricidad SA 1,354,569 6,361,677 *Cia Sud Americana de Vapores SA 57,702,158 2,740,636 Cintac SA 155,202 32,429 Corpbanca SA 1,137,122,867 13,099,217 Cristalerias de Chile SA 264,624 1,946,265 Cruz Blanca Salud SA 173,352 145,931 *CTI SA 5,615 10,823 #Embotelladora Andina SA Class A ADR 19,478 376,315 Empresas CMPC SA 20,740,973 46,168,243 Empresas COPEC SA 2,025,010 26,126,614 Empresas Hites SA 1,577,690 881,038 Empresas Iansa SA 49,008,058 1,936,854 *Empresas La Polar SA 137,636 13,660 Enersis SA 82,558,367 26,702,292 Enersis SA Sponsored ADR 5,733,186 92,304,295 Gasco SA 160,580 1,408,709 Grupo Security SA 1,143,589 399,265 Inversiones Aguas Metropolitanas SA 6,084,847 10,072,018 Invexans SA 64,223,012 1,151,850 Latam Airlines Group SA 565,275 8,625,564 #Latam Airlines Group SA Sponsored ADR 356,489 5,464,976 *Madeco SA 64,223,012 268,044 Masisa SA 43,371,870 2,152,240 Parque Arauco SA 27,593 49,385 PAZ Corp. SA 2,030,433 1,137,104 Ripley Corp. SA 11,819,177 7,687,372 Salfacorp SA 2,385,946 2,050,817 Sociedad Matriz SAAM SA 52,294,785 4,226,178 Sociedad Quimica y Minera de Chile SA Class A 27,760 903,563 Socovesa SA 5,773,726 1,074,410 Soquimich Comercial SA 189,354 42,067 Vina Concha y Toro SA 1,559,467 3,261,240
Dimensional Emerging Markets Value Fund continued
Shares Value++ ----------- ------------ CHILE -- (Continued) Vina Concha y Toro SA Sponsored ADR 2,846 $ 119,247 Vina San Pedro Tarapaca SA 57,038,434 384,128 ------------ TOTAL CHILE 277,061,131 ------------ CHINA -- (13.9%) #361 Degrees International, Ltd. 6,999,000 1,608,536 #Agile Property Holdings, Ltd. 18,252,000 14,801,782 Agricultural Bank of China, Ltd. Class H 255,464,000 107,163,539 Air China, Ltd. Class H 11,188,000 6,377,975 #*Aluminum Corp. of China, Ltd. ADR 295,221 2,656,989 #*Aluminum Corp. of China, Ltd. Class H 20,634,000 7,397,860 AMVIG Holdings, Ltd. 5,605,100 2,040,469 *Angang Steel Co., Ltd. Class H 15,779,640 9,582,602 Anhui Tianda Oil Pipe Co., Ltd. 2,847,412 544,911 Anxin-China Holdings, Ltd. 2,128,000 335,277 Asia Cement China Holdings Corp. 7,617,000 5,537,892 #Asian Citrus Holdings, Ltd. 7,229,000 1,502,941 *Ausnutria Dairy Corp., Ltd. 268,000 9,472 *AVIC International Holding HK, Ltd. 18,676,285 615,847 *AVIC International Holdings, Ltd. 2,526,000 914,535 Bank of China, Ltd. Class H 763,167,331 337,236,300 Bank of Communications Co., Ltd. Class H 103,189,574 64,275,434 #Baoye Group Co., Ltd. Class H 2,335,120 1,387,046 BBMG Corp. Class H 5,155,000 3,615,394 Beijing Capital International Airport Co., Ltd. Class H 24,271,599 16,957,508 Beijing Capital Land, Ltd. Class H 18,113,060 6,101,395 Beijing Enterprises Holdings, Ltd. 4,623,000 40,080,381 Beijing Jingkelong Co., Ltd. Class H 81,000 22,700 #Beijing North Star Co., Ltd. Class H 8,382,000 1,956,943 Boer Power Holdings, Ltd. 609,000 799,396 #*BYD Electronic International Co., Ltd. 12,273,636 7,565,304 #C C Land Holdings, Ltd. 20,944,286 3,932,181 Carrianna Group Holdings Co., Ltd. 3,550,391 711,677 Central China Real Estate, Ltd. 8,003,350 1,975,966 #*Chaoda Modern Agriculture Holdings, Ltd. 37,445,412 2,995,633 *Chigo Holding, Ltd. 49,744,000 1,131,075 #China Aerospace International Holdings, Ltd. 32,830,000 3,313,836 China Agri-Industries Holdings, Ltd. 30,252,500 12,103,591 China Aoyuan Property Group, Ltd. 15,221,000 2,593,669 China Automation Group, Ltd. 7,052,000 1,255,321 China BlueChemical, Ltd. 3,682,878 1,977,032 *China Chengtong Development Group, Ltd. 3,000,000 92,654 China CITIC Bank Corp., Ltd. Class H 93,161,716 55,651,056 #China Coal Energy Co., Ltd. Class H 48,417,000 26,108,428 China Communications Construction Co., Ltd. Class H 61,495,327 40,106,784 China Communications Services Corp., Ltd. Class H 28,699,071 14,527,161 China Construction Bank Corp. Class H 526,917,940 364,823,738 #*China COSCO Holdings Co., Ltd. Class H 31,028,500 12,306,404 #China Dongxiang Group Co. 46,914,127 8,317,983 #*China Eastern Airlines Corp., Ltd. Class H 316,000 97,657 *China Energine International Holdings, Ltd. 5,014,390 440,712 China Everbright, Ltd. 12,195,869 16,344,212
Dimensional Emerging Markets Value Fund continued
Shares Value++ ----------- ------------ CHINA -- (Continued) *China Glass Holdings, Ltd. 9,128,000 $ 1,098,009 *China Green Holdings, Ltd. 6,492,800 407,930 #*China Haidian Holdings, Ltd. 22,761,108 2,883,578 *China High Precision Automation Group, Ltd. 429,000 67,507 #*China High Speed Transmission Equipment Group Co., Ltd. 16,532,000 11,556,900 #China Hongqiao Group, Ltd. 2,220,500 1,523,018 *China Huiyuan Juice Group, Ltd. 7,639,983 5,003,954 #China ITS Holdings Co., Ltd. 7,552,000 1,426,728 #China Lumena New Materials Corp. 52,602,000 8,480,965 China Merchants Bank Co., Ltd. Class H 6,337,596 11,322,758 China Merchants Holdings International Co., Ltd. 6,898,279 21,557,153 *China Merchants Land, Ltd. 306,000 39,216 #*China Metal Recycling Holdings, Ltd. 3,259,800 743,372 *China Mining Resources Group, Ltd. 22,647,100 255,616 #China Minsheng Banking Corp., Ltd. Class H 50,567,500 51,018,143 #China National Building Material Co., Ltd. Class H 20,600,000 19,461,833 China National Materials Co., Ltd. 14,631,000 2,837,862 #*China New Town Development Co., Ltd. 19,348,022 1,452,611 *China Nickel Resources Holdings Co., Ltd. 5,020,000 165,111 *China Oriental Group Co., Ltd. 26,000 3,890 #China Petroleum & Chemical Corp. ADR 1,255,935 111,614,926 China Petroleum & Chemical Corp. Class H 153,367,575 135,755,471 #*China Precious Metal Resources Holdings Co., Ltd. 17,026,000 1,693,045 *China Properties Group, Ltd. 7,347,000 1,653,341 China Qinfa Group, Ltd. 6,458,000 275,140 China Railway Construction Corp., Ltd. Class H 27,067,014 22,286,271 China Railway Group, Ltd. Class H 17,380,000 7,784,244 *China Rare Earth Holdings, Ltd. 19,929,000 2,546,769 *China Rongsheng Heavy Industries Group Holdings, Ltd. 21,898,500 3,770,286 #China SCE Property Holdings, Ltd. 3,278,000 710,891 China Shanshui Cement Group, Ltd. 11,158,000 4,330,634 China Shenhua Energy Co., Ltd. Class H 3,096,000 8,387,854 *China Shipping Container Lines Co., Ltd. Class H 55,814,700 13,150,929 *China Shipping Development Co., Ltd. Class H 13,113,488 7,188,344 China South City Holdings, Ltd. 8,044,462 3,378,657 #China Southern Airlines Co., Ltd. Class H 21,276,000 6,353,464 China Starch Holdings, Ltd. 18,995,000 488,748 China Taifeng Beddings Holdings, Ltd. 640,000 71,199 China Tianyi Holdings, Ltd. 2,136,000 287,473 *China Tontine Wines Group, Ltd. 7,246,000 313,234 China Travel International Inv HK 52,275,631 10,529,869 China Unicom Hong Kong, Ltd. 2,150,000 3,290,485 #China Unicom Hong Kong, Ltd. ADR 7,285,774 111,690,915 *China Vanadium Titano - Magnetite Mining Co., Ltd. 14,828,000 1,857,899 *China WindPower Group, Ltd. 970,000 62,941 *China Yurun Food Group, Ltd. 9,933,000 4,801,266 *China ZhengTong Auto Services Holdings, Ltd. 947,000 516,215 #*China Zhongwang Holdings, Ltd. 20,874,954 6,524,791 *Chongqing Iron & Steel Co., Ltd. Class H 6,356,000 910,094 #Chongqing Machinery & Electric Co., Ltd. Class H 18,826,000 2,435,459 Chongqing Rural Commercial Bank Class H 15,277,000 6,659,089 Chu Kong Petroleum & Natural Gas Steel Pipe Holdings, Ltd. 5,494,000 1,668,276
Dimensional Emerging Markets Value Fund continued
Shares Value++ ----------- ------------ CHINA -- (Continued) #CITIC Pacific, Ltd. 15,213,000 $ 26,640,201 *CITIC Resources Holdings, Ltd. 42,582,000 6,216,924 Clear Media, Ltd. 652,000 652,071 *Coastal Greenland, Ltd. 3,303,000 103,420 *Comba Telecom Systems Holdings, Ltd. 3,865,500 984,407 #*Comtec Solar Systems Group, Ltd. 7,876,000 1,254,761 Cosco International Holdings, Ltd. 10,074,000 4,201,337 COSCO Pacific, Ltd. 22,224,620 29,830,041 CPMC Holdings, Ltd. 64,000 50,661 CSPC Pharmaceutical Group, Ltd. 932,000 770,507 Da Ming International Holdings, Ltd. 32,000 7,964 *DaChan Food Asia, Ltd. 3,297,000 391,265 Dah Chong Hong Holdings, Ltd. 332,000 210,459 Dalian Port PDA Co., Ltd. Class H 14,226,000 3,363,222 #Dongyue Group, Ltd. 1,910,000 766,453 #*Dynasty Fine Wines Group, Ltd. 9,228,600 321,390 Embry Holdings, Ltd. 544,000 317,599 EVA Precision Industrial Holdings, Ltd. 3,228,000 542,086 #Evergrande Real Estate Group, Ltd. 57,001,000 25,462,231 Evergreen International Holdings, Ltd. 1,628,000 195,662 #Fantasia Holdings Group Co., Ltd. 13,658,515 1,821,196 Fosun International, Ltd. 14,175,244 17,168,039 Franshion Properties China, Ltd. 44,364,580 13,875,800 #Fufeng Group, Ltd. 2,658,000 1,012,770 *Global Bio-Chem Technology Group Co., Ltd. 33,528,360 1,150,173 *Global Sweeteners Holdings, Ltd. 9,900,350 552,626 #*Glorious Property Holdings, Ltd. 41,022,000 5,880,285 Goldbond Group Holdings, Ltd. 310,000 15,032 #Golden Meditech Holdings, Ltd. 18,146,319 1,570,386 #Goldlion Holdings, Ltd. 1,298,000 594,405 #GOME Electrical Appliances Holding, Ltd. 77,549,000 14,540,376 *Great Wall Technology Co., Ltd. Class H 7,550,035 2,939,676 Greenland Hong Kong Holdings, Ltd. 3,730,575 1,706,957 #Greentown China Holdings, Ltd. 8,145,591 8,203,735 Guangdong Land Holdings, Ltd. 2,038,000 402,349 #Guangshen Railway Co., Ltd. Class H 888,000 335,475 #Guangshen Railway Co., Ltd. Sponsored ADR 426,392 8,075,864 Guangzhou Automobile Group Co., Ltd. Class H 23,171,572 23,392,288 Guangzhou R&F Properties Co., Ltd. 11,351,914 14,813,272 Hainan Meilan International Airport Co., Ltd. Class H 1,989,000 1,888,507 #*Hanergy Solar Group, Ltd. 36,580,000 5,298,364 #Harbin Electric Co., Ltd. Class H 10,851,474 6,406,455 *Heng Tai Consumables Group, Ltd. 69,165,195 1,266,606 *Hidili Industry International Development, Ltd. 18,825,000 2,174,737 *HKC Holdings, Ltd. 40,124,878 1,088,238 Hopefluent Group Holdings, Ltd. 374,000 122,581 #*Hopson Development Holdings, Ltd. 11,192,000 10,998,215 Hua Han Bio-Pharmaceutical Holdings, Ltd. 18,785,429 3,924,586 Hutchison Harbour Ring, Ltd. 6,852,000 521,838 Industrial & Commercial Bank of China, Ltd. Class H 294,086,996 175,341,806 Inspur International, Ltd. 6,679,343 1,172,684 Jiangxi Copper Co., Ltd. Class H 4,795,000 7,919,964
Dimensional Emerging Markets Value Fund continued
Shares Value++ ----------- ----------- CHINA -- (Continued) Jingwei Textile Machinery Class H 50,000 $ 43,882 Ju Teng International Holdings, Ltd. 11,466,249 8,501,883 *Kai Yuan Holdings, Ltd. 63,040,000 1,170,569 #Kaisa Group Holdings, Ltd. 21,380,632 6,774,593 *Kasen International Holdings, Ltd. 1,885,000 402,120 Kingboard Chemical Holdings, Ltd. 9,260,845 17,699,255 Kingboard Laminates Holdings, Ltd. 7,954,500 3,086,442 KWG Property Holding, Ltd. 19,984,500 11,113,248 Lai Fung Holdings, Ltd. 56,830,560 1,212,017 Lee & Man Paper Manufacturing, Ltd. 6,334,000 3,435,228 *Li Ning Co., Ltd. 766,000 534,748 #Lianhua Supermarket Holdings Co., Ltd. Class H 101,000 55,995 Lingbao Gold Co., Ltd. Class H 4,150,000 736,736 *LK Technology Holdings, Ltd. 112,500 13,561 *Lonking Holdings, Ltd. 18,595,000 3,444,163 *Loudong General Nice Resources China Holdings, Ltd. 21,592,800 1,531,829 *Maanshan Iron & Steel Co., Ltd. Class H 25,898,000 5,428,774 Maoye International Holdings, Ltd. 9,463,000 1,357,551 #*Metallurgical Corp. of China, Ltd. Class H 24,393,659 4,631,301 MIE Holdings Corp. 2,792,000 526,119 MIN XIN Holdings, Ltd. 1,634,418 843,730 *Mingfa Group International Co., Ltd. 34,000 8,513 #Minmetals Land, Ltd. 19,829,205 2,230,024 Minth Group, Ltd. 2,756,000 4,342,918 #*MMG, Ltd. 8,596,000 2,001,683 *Nan Hai Corp., Ltd. 23,550,000 151,920 #New World China Land, Ltd. 24,698,600 20,472,073 New World Department Store China, Ltd. 596,000 279,076 #Nine Dragons Paper Holdings, Ltd. 19,937,000 13,118,484 O-Net Communications Group, Ltd. 3,321,000 864,303 Overseas Chinese Town Asia Holdings, Ltd. 208,000 72,842 #Parkson Retail Group, Ltd. 3,955,500 1,159,780 Peak Sport Products Co., Ltd. 10,288,000 2,885,314 *PetroAsian Energy Holdings, Ltd. 3,626,084 57,496 #Poly Property Group Co., Ltd. 31,419,488 13,641,819 *Pou Sheng International Holdings, Ltd. 10,989,529 468,067 Powerlong Real Estate Holdings, Ltd. 11,217,000 1,694,873 *Prosperity International Holdings HK, Ltd. 19,500,000 666,671 Qingling Motors Co., Ltd. Class H 12,058,000 3,701,659 Qunxing Paper Holdings Co., Ltd. 5,020,071 1,306,664 *Real Gold Mining, Ltd. 3,137,500 106,432 #Real Nutriceutical Group, Ltd. 11,046,000 2,352,173 Regent Manner International Holdings, Ltd. 1,114,000 195,415 *Renhe Commercial Holdings Co., Ltd. 41,344,000 2,372,579 REXLot Holdings, Ltd. 37,241,621 3,902,407 Samson Holding, Ltd. 8,080,453 1,064,092 #Sany Heavy Equipment International Holdings Co., Ltd. 2,948,000 685,054 #*Semiconductor Manufacturing International Corp. 173,313,000 14,246,251 #*Semiconductor Manufacturing International Corp. ADR 1,331,701 5,526,559 #Shandong Chenming Paper Holdings, Ltd. Class H 4,180,318 1,848,114 Shanghai Industrial Holdings, Ltd. 8,240,918 25,415,503 #*Shanghai Industrial Urban Development Group, Ltd. 15,362,000 2,936,669
Dimensional Emerging Markets Value Fund continued
Shares Value++ ---------- ----------- CHINA -- (Continued) Shanghai Jin Jiang International Hotels Group Co., Ltd. Class H 16,288,000 $ 4,049,265 Shanghai Prime Machinery Co., Ltd. Class H 7,700,000 1,160,918 *Shanghai Zendai Property, Ltd. 18,655,000 293,980 Shengli Oil & Gas Pipe Holdings, Ltd. 9,946,500 507,290 Shenzhen International Holdings, Ltd. 11,253,107 13,671,594 Shenzhen Investment, Ltd. 40,044,234 13,139,474 Shimao Property Holdings, Ltd. 22,765,535 45,024,009 *Shougang Concord International Enterprises Co., Ltd. 81,194,208 3,783,132 #Shougang Fushan Resources Group, Ltd. 43,564,594 12,942,561 #Shui On Land, Ltd. 58,000,803 15,442,909 *Sijia Group Co. 1,152,649 38,209 Silver Grant International Industries, Ltd. 20,310,804 2,567,446 *SIM Technology Group, Ltd. 9,345,000 429,444 *Sino Oil And Gas Holdings, Ltd. 78,990,000 2,194,302 #Sino-Ocean Land Holdings, Ltd. 42,860,713 22,548,822 Sinofert Holdings, Ltd. 32,014,000 3,932,590 *Sinolink Worldwide Holdings, Ltd. 16,942,508 1,315,488 Sinopec Kantons Holdings, Ltd. 7,083,010 6,609,100 Sinotrans Shipping, Ltd. 15,813,416 4,574,979 Sinotrans, Ltd. Class H 23,247,000 12,800,694 #Sinotruk Hong Kong, Ltd. 9,113,335 4,849,475 #Skyworth Digital Holdings, Ltd. 30,901,796 14,784,606 *SMI Corp., Ltd. 17,684,000 640,414 #SOHO China, Ltd. 29,586,388 23,459,486 *Solargiga Energy Holdings, Ltd. 7,939,486 395,487 *Sparkle Roll Group, Ltd. 600,000 40,988 *SRE Group, Ltd. 40,292,285 1,170,958 Sunac China Holdings, Ltd. 2,445,000 1,244,892 TCC International Holdings, Ltd. 14,035,056 6,883,433 *TCL Multimedia Technology Holdings, Ltd. 7,582,200 2,563,002 Texhong Textile Group, Ltd. 165,500 122,253 Tian An China Investment 7,003,000 5,488,841 Tian Shan Development Holding, Ltd. 502,000 195,758 #Tiangong International Co., Ltd. 15,623,944 2,720,555 Tianjin Port Development Holdings, Ltd. 16,553,657 2,590,505 #Tianneng Power International, Ltd. 4,686,280 1,637,183 Tomson Group, Ltd. 2,911,206 859,058 Tonly Electronics Holdings, Ltd. 760,220 578,403 #TPV Technology, Ltd. 10,594,496 1,749,679 Travelsky Technology, Ltd. Class H 14,914,500 11,375,686 *Trony Solar Holdings Co., Ltd. 8,775,000 133,556 Truly International Holdings, Ltd. 10,575,500 7,162,178 *VODone, Ltd. 13,010,000 1,128,926 Wasion Group Holdings, Ltd. 5,505,291 3,928,566 Weiqiao Textile Co. Class H 7,453,000 4,162,578 West China Cement, Ltd. 27,984,000 3,006,244 *Winsway Coking Coal Holdings, Ltd. 1,201,000 53,670 Xiamen International Port Co., Ltd. Class H 15,252,000 2,267,023 Xingda International Holdings, Ltd. 10,726,000 4,718,862 Xinhua Winshare Publishing and Media Co., Ltd. Class H 4,837,000 3,065,268 *Xinjiang Xinxin Mining Industry Co., Ltd. Class H 10,075,000 1,828,986 Xiwang Property Holdings Co., Ltd. 9,600,736 486,308
Dimensional Emerging Markets Value Fund continued
Shares Value++ ---------- -------------- CHINA -- (Continued) Xiwang Special Steel Co., Ltd. 2,966,000 $ 360,141 XTEP International Holdings, Ltd. 2,016,500 815,258 *Yanchang Petroleum International, Ltd. 45,590,000 2,273,276 Yantai North Andre Juice Co. Class H 199,000 49,999 #Yanzhou Coal Mining Co., Ltd. Class H 13,376,000 10,020,555 #Yanzhou Coal Mining Co., Ltd. Sponsored ADR 57,045 426,126 Yip's Chemical Holdings, Ltd. 438,000 310,465 Youyuan International Holdings, Ltd. 473,229 125,167 Yuexiu Property Co., Ltd. 75,308,170 14,618,281 #Yuzhou Properties Co., Ltd. 5,794,960 1,331,638 Zhengzhou Coal Mining Machinery Group Co., Ltd. Class H 371,600 202,554 *Zhong An Real Estate, Ltd. 5,490,800 1,304,497 #Zoomlion Heavy Industry Science and Technology Co., Ltd. 9,233,600 6,200,453 -------------- TOTAL CHINA 2,797,324,131 -------------- COLOMBIA -- (0.1%) Almacenes Exito SA 35,703 543,867 Cementos Argos SA 599,201 3,341,658 Constructora Conconcreto SA 27,675 20,507 *Fabricato SA 12,570,118 111,968 Grupo Argos SA 9,203 101,317 Grupo de Inversiones Suramericana SA 638,207 12,450,569 Grupo Nutresa SA 403,650 5,665,263 Mineros SA 34,983 52,206 -------------- TOTAL COLOMBIA 22,287,355 -------------- CZECH REPUBLIC -- (0.2%) CEZ A.S. 546,431 16,444,658 Pegas Nonwovens SA 135,370 4,072,679 Telefonica Czech Republic A.S. 438,286 6,644,535 *Unipetrol A.S. 1,423,606 9,918,948 -------------- TOTAL CZECH REPUBLIC 37,080,820 -------------- GREECE -- (0.1%) *Alpha Bank AE 5,071,956 4,912,943 Bank of Greece 26,513 547,128 *Ellaktor SA 740,517 3,911,513 *Elval - Hellenic Aluminium Industry SA 8,595 22,800 *GEK Terna Holding Real Estate Construction SA 602,242 3,148,067 Hellenic Petroleum SA 285,712 2,452,992 *Intracom Holdings SA 1,482,317 1,678,023 Intralot SA-Integrated Lottery Systems & Services 24,688 71,718 *J&P-Avax SA 13,535 31,952 *Marfin Investment Group Holdings SA 602,263 417,247 *Mytilineos Holdings SA 276,674 2,472,452 *Piraeus Bank SA 4,183,049 9,871,899 *Sidenor Steel Products Manufacturing Co. SA 21,626 52,647 *Titan Cement Co. SA 4,070 128,312 -------------- TOTAL GREECE 29,719,693 --------------
Dimensional Emerging Markets Value Fund continued
Shares Value++ ---------- ----------- HUNGARY -- (0.4%) *Danubius Hotel and SpA P.L.C. 108,124 $ 2,744,043 *FHB Mortgage Bank P.L.C. 2,790 11,265 MOL Hungarian Oil and Gas P.L.C. 83,141 4,783,316 #OTP Bank P.L.C. 4,005,156 76,482,558 *PannErgy 119,850 172,654 #*Tisza Chemical Group P.L.C. 235,486 4,226,027 ----------- TOTAL HUNGARY 88,419,863 ----------- INDIA -- (7.3%) Aban Offshore, Ltd. 217,878 1,876,916 *ABG Shipyard, Ltd. 283,785 1,078,155 Adani Enterprises, Ltd. 2,875,450 20,139,133 Aditya Birla Nuvo, Ltd. 620,942 11,438,026 Akzo Nobel India, Ltd. 37,121 535,210 Alembic Pharmaceuticals, Ltd. 279,704 1,375,767 Allahabad Bank 2,114,906 3,515,877 Alok Industries, Ltd. 10,204,534 1,202,478 Amtek Auto, Ltd. 1,310,781 3,787,244 Amtek India, Ltd. 343,066 439,778 *Anant Raj, Ltd. 1,923,939 1,771,690 Andhra Bank 2,676,709 2,970,101 Apollo Hospitals Enterprise, Ltd. 27,124 402,703 Apollo Tyres, Ltd. 3,385,454 8,981,738 Arvind, Ltd. 3,503,698 10,653,190 Ashok Leyland, Ltd. 20,205,663 7,530,902 Asian Hotels East, Ltd. 1,050 2,702 Atul, Ltd. 16,725 149,954 Axis Bank, Ltd. 244,500 6,180,759 Bajaj Finance, Ltd. 95,610 2,952,202 Bajaj Finserv, Ltd. 60,602 835,270 *Bajaj Hindusthan, Ltd. 2,610,098 774,020 Bajaj Holdings and Investment, Ltd. 384,924 6,817,212 Ballarpur Industries, Ltd. 4,000,857 959,105 Balmer Lawrie & Co., Ltd. 120,671 680,271 Balrampur Chini Mills, Ltd. 2,438,192 2,325,897 Bank of Baroda 1,232,256 16,736,823 Bank of India 1,966,165 7,659,456 Bank Of Maharashtra 1,498,465 956,597 BEML, Ltd. 112,246 719,941 BGR Energy Systems, Ltd. 82,794 188,504 Bharat Electronics, Ltd. 10,591 212,546 Bharat Heavy Electricals, Ltd. 6,517,663 19,607,572 Bharti Airtel, Ltd. 250,518 1,364,015 Bhushan Steel, Ltd. 1,127,438 8,302,648 Birla Corp., Ltd. 131,129 629,655 Bombay Burmah Trading Co. 1,746 3,010 Bombay Dyeing & Manufacturing Co., Ltd. 1,441,969 1,400,541 *Bombay Rayon Fashions, Ltd. 15,542 46,103 Brigade Enterprises, Ltd. 10,795 13,136 Cairn India, Ltd. 7,356,472 40,897,532 Canara Bank 1,722,820 8,192,127 Capital First, Ltd. 260,446 747,112
Dimensional Emerging Markets Value Fund continued
Shares Value++ --------- ----------- INDIA -- (Continued) Central Bank Of India 3,187,732 $ 2,821,084 Century Textiles & Industries, Ltd. 966,639 5,389,091 Chambal Fertilizers & Chemicals, Ltd. 2,025,212 1,361,192 City Union Bank, Ltd. 1,450,289 1,415,129 Claris Lifesciences, Ltd. 86,438 220,421 Coromandel International, Ltd. 7,624 27,727 Corp. Bank 436,134 2,118,466 Cox & Kings, Ltd. 545,795 1,368,294 *Cranes Software International, Ltd. 114,443 7,727 Crompton Greaves, Ltd. 196,049 537,698 Dalmia Bharat, Ltd. 159,852 632,613 *DB Realty, Ltd. 1,426,693 1,650,002 *DCB Bank, Ltd. 2,874,325 2,894,243 DCM Shriram, Ltd. 181,494 288,107 Deepak Fertilisers & Petrochemicals Corp., Ltd. 424,886 938,306 *DEN Networks, Ltd. 98,983 287,476 Dena Bank 1,741,961 1,828,568 Dewan Housing Finance Corp., Ltd. 115,020 432,731 DLF, Ltd. 7,623,132 17,697,372 Dredging Corp. Of India, Ltd. 53,414 260,297 Edelweiss Financial Services, Ltd. 1,114,016 633,978 *Educomp Solutions, Ltd. 647,077 275,772 Eicher Motors, Ltd. 15,888 1,639,040 *EID Parry India, Ltd. 818,733 2,067,845 EIH, Ltd. 886,903 1,116,987 *Elder Pharmaceuticals, Ltd. 78,215 279,344 Electrosteel Castings, Ltd. 692,702 266,186 *Era Infra Engineering, Ltd. 974,906 272,102 *Eros International Media, Ltd. 182,238 497,463 Escorts, Ltd. 1,368,597 2,879,274 Ess Dee Aluminium, Ltd. 42,453 438,272 *Essar Oil, Ltd. 1,120,513 1,079,767 Essar Ports, Ltd. 667,039 658,380 *Essar Shipping, Ltd. 241,588 63,588 Essel Propack, Ltd. 724,110 819,680 Federal Bank, Ltd. 9,157,930 13,739,284 *Federal-Mogul Goetze India, Ltd. 3,731 11,320 Financial Technologies India, Ltd. 223,163 1,169,096 Finolex Cables, Ltd. 652,369 1,489,695 Finolex Industries, Ltd. 681,668 2,531,683 *Firstsource Solutions, Ltd. 2,253,442 1,197,317 *Fortis Healthcare, Ltd. 1,405,155 2,323,329 *Future Consumer Enterprise, Ltd. 145,968 16,968 *Future Lifestyle Fashions, Ltd. 4,709 6,390 Future Retail, Ltd. 35,861 78,673 GAIL India, Ltd. 1,786,494 10,969,315 *Gammon India, Ltd. 162,933 46,155 Gateway Distriparks, Ltd. 269,578 797,777 *Gitanjali Gems, Ltd. 405,156 419,886 Godrej Properties, Ltd. 89,893 330,018 Graphite India, Ltd. 586,551 822,097 Grasim Industries, Ltd. 15,142 661,971
Dimensional Emerging Markets Value Fund continued
Shares Value++ ---------- ------------ INDIA -- (Continued) Great Eastern Shipping Co., Ltd. (The) 1,015,526 $ 5,659,796 Greaves Cotton, Ltd. 9,635 13,397 *GTL Infrastructure, Ltd. 1,200,337 39,800 Gujarat Alkalies & Chemicals, Ltd. 449,629 1,313,481 Gujarat Fluorochemicals, Ltd. 262,185 1,388,654 Gujarat Mineral Development Corp., Ltd. 94,412 207,016 Gujarat Narmada Valley Fertilizers & Chemicals, Ltd. 729,530 981,879 *Gujarat NRE Coke, Ltd. 3,619,364 638,450 Gujarat State Fertilisers & Chemicals, Ltd. 2,186,080 2,012,959 Gujarat State Petronet, Ltd. 1,923,672 2,326,850 Gulf Oil Corp., Ltd. 227,784 459,684 HBL Power Systems, Ltd. 138,136 35,400 *HCL Infosystems, Ltd. 1,107,643 831,876 HEG, Ltd. 138,303 525,843 *HeidelbergCement India, Ltd. 699,011 485,095 *Hexa Tradex, Ltd. 265,877 93,823 Hindalco Industries, Ltd. 22,212,623 50,166,582 Hinduja Global Solutions, Ltd. 60,085 527,050 Hinduja Ventures, Ltd. 67,133 286,207 *Hindustan Construction Co., Ltd. 7,005,199 2,236,900 *Hotel Leela Venture, Ltd. 1,480,240 453,749 *Housing Development & Infrastructure, Ltd. 5,496,603 6,256,503 HSIL, Ltd. 187,119 463,034 HT Media, Ltd. 76,822 117,428 ICICI Bank, Ltd. 590,476 12,239,038 ICICI Bank, Ltd. Sponsored ADR 3,344,526 142,710,924 IDBI Bank, Ltd. 4,225,680 4,798,059 Idea Cellular, Ltd. 953,652 2,153,326 IDFC, Ltd. 6,072,777 11,298,525 IFCI, Ltd. 6,602,323 2,805,286 IIFL Holdings, Ltd. 2,848,913 3,794,641 IL&FS Transportation Networks, Ltd. 12,212 26,761 India Cements, Ltd. (The) 3,947,997 4,510,973 Indiabulls Housing Finance, Ltd. 1,795,884 8,959,814 *Indiabulls Infrastructure and Power, Ltd. 9,986,439 603,966 Indiabulls Real Estate, Ltd. 2,810,580 2,915,914 Indian Bank 1,319,707 2,809,603 Indian Hotels Co., Ltd. 4,950,436 5,931,034 Indian Overseas Bank 3,375,808 3,488,935 Indo Rama Synthetics India 20,657 5,563 Infotech Enterprises, Ltd. 26,080 134,225 ING Vysya Bank, Ltd. 265,599 2,506,362 Ingersoll-Rand India, Ltd. 30,001 224,194 Jai Corp., Ltd. 403,094 467,152 Jain Irrigation Systems, Ltd. 3,654,796 4,976,667 Jaiprakash Associates, Ltd. 20,703,122 18,639,791 Jammu & Kashmir Bank, Ltd. (The) 323,600 9,007,053 Jaypee Infratech, Ltd. 1,716,142 698,442 JB Chemicals & Pharmaceuticals, Ltd. 373,888 960,768 JBF Industries, Ltd. 140,339 195,620 *Jet Airways India, Ltd. 64,150 265,598 Jindal Poly Films, Ltd. 188,270 460,499
Dimensional Emerging Markets Value Fund continued
Shares Value++ --------- ----------- INDIA -- (Continued) *Jindal Poly Investments and Finance Co., Ltd. 53,426 $ 52,970 Jindal Saw, Ltd. 2,076,447 1,952,550 *Jindal Stainless, Ltd. 816,596 522,816 Jindal Steel & Power, Ltd. 3,075,688 13,057,437 JK Cement, Ltd. 131,807 492,306 JK Lakshmi Cement, Ltd. 411,178 812,124 JM Financial, Ltd. 4,580,382 2,135,756 JSW Energy, Ltd. 6,026,339 5,311,908 JSW Steel, Ltd. 1,930,901 34,896,081 Jubilant Life Sciences, Ltd. 641,941 1,778,973 Kakinada Fertilizers, Ltd. 2,082,494 72,576 Kalpataru Power Transmission, Ltd. 264,661 507,581 Karnataka Bank, Ltd. 2,195,065 4,480,352 Karur Vysya Bank, Ltd. 372,860 2,407,116 KEC International, Ltd. 471,467 591,242 Kesoram Industries, Ltd. 449,716 469,885 Kirloskar Brothers, Ltd. 2,141 6,642 Kirloskar Oil Engines, Ltd. 318,856 1,061,583 KSB Pumps, Ltd. 7,207 39,905 *KSK Energy Ventures, Ltd. 20,905 24,294 Lakshmi Vilas Bank, Ltd. 457,710 640,203 *Mahanagar Telephone Nigam 784,604 230,635 Maharashtra Seamless, Ltd. 194,873 692,530 Mahindra Lifespace Developers, Ltd. 143,080 944,676 Man Infraconstruction, Ltd. 1,968 3,103 Manaksia, Ltd. 49,183 58,931 MAX India, Ltd. 25,606 91,220 McLeod Russel India, Ltd. 496,900 2,222,703 *Mercator, Ltd. 1,796,935 929,249 Merck, Ltd. 22,680 250,862 MOIL, Ltd. 4,675 19,972 Monnet Ispat & Energy, Ltd. 179,359 250,335 Motilal Oswal Financial Services, Ltd. 4,955 8,610 Mphasis, Ltd. 51,299 353,473 MRF, Ltd. 11,528 3,931,433 *Nagarjuna Oil Refinery, Ltd. 962,714 59,063 Nahar Capital and Financial Services, Ltd. 4,702 3,798 National Aluminium Co., Ltd. 1,851,267 1,172,967 Nava Bharat Ventures, Ltd. 27,806 75,340 NCC, Ltd. 2,621,585 2,201,463 NIIT Technologies, Ltd. 468,992 3,177,879 NIIT, Ltd. 767,524 419,815 Noida Toll Bridge Co., Ltd. 155,450 72,752 Oberoi Realty, Ltd. 27,313 94,145 OCL India, Ltd. 61,362 177,197 OMAXE, Ltd. 1,009,896 2,140,184 *Orchid Chemicals & Pharmaceuticals, Ltd. 193,091 173,047 Orient Cement, Ltd. 567,622 459,879 Orient Paper & Industries, Ltd. 47,163 17,090 Oriental Bank of Commerce 1,205,589 4,962,350 *Oswal Chemicals & Fertilizers 362,297 156,284 *Panacea Biotec, Ltd. 23,946 62,986
Dimensional Emerging Markets Value Fund continued
Shares Value++ ---------- ------------ INDIA -- (Continued) *Parsvnath Developers, Ltd. 1,662,316 $ 683,557 Peninsula Land, Ltd. 303,470 164,433 Petronet LNG, Ltd. 710,816 1,701,087 *Pipavav Defence & Offshore Engineering Co., Ltd. 22,287 17,709 Piramal Enterprises, Ltd. 755,009 6,809,253 *Plethico Pharmaceuticals, Ltd. 213,627 148,248 Polaris Financial Technology, Ltd. 908,662 2,723,867 Polyplex Corp., Ltd. 17,713 46,943 Power Finance Corp., Ltd. 16,793 51,580 *Prime Focus, Ltd. 8,309 3,899 *Prism Cement, Ltd. 408,522 313,636 PTC India Financial Services, Ltd. 450,875 128,829 PTC India, Ltd. 3,851,423 4,254,296 *Punj Lloyd, Ltd. 1,800,182 876,130 Punjab & Sind Bank 116,252 92,781 Puravankara Projects, Ltd. 22,265 26,839 Rain Industries, Ltd. 1,429,773 937,918 Rajesh Exports, Ltd. 287,502 547,555 Ramco Cements, Ltd. (The) 395,725 1,418,130 Raymond, Ltd. 629,181 3,238,907 Redington India, Ltd. 96,516 141,896 REI Agro, Ltd. 5,013,829 383,117 Reliance Capital, Ltd. 1,871,725 11,049,176 Reliance Communications, Ltd. 10,751,778 21,947,686 Reliance Industries, Ltd. 21,131,225 328,571,526 Reliance Industries, Ltd. GDR 107,000 3,322,990 *Reliance Power, Ltd. 12,151,717 13,799,764 Rolta India, Ltd. 1,831,833 2,281,641 Ruchi Soya Industries, Ltd. 1,735,191 1,041,776 Rural Electrification Corp., Ltd. 2,768,400 10,903,331 Sesa Sterlite, Ltd. 10,746,999 33,154,130 Sesa Sterlite, Ltd. ADR 1,546,032 18,877,056 *Shipping Corp. of India, Ltd. 2,334,024 1,653,702 Shree Renuka Sugars, Ltd. 7,680,873 2,791,610 Sintex Industries, Ltd. 2,196,726 1,669,869 Sobha Developers, Ltd. 534,292 3,299,986 South Indian Bank, Ltd. 9,724,062 3,714,264 SREI Infrastructure Finance, Ltd. 1,470,670 812,593 SRF, Ltd. 290,002 1,861,463 State Bank of Bikaner & Jaipur 43,134 251,287 State Bank of India 2,505,452 86,574,863 State Bank of India GDR 1,449 99,574 Steel Authority of India, Ltd. 5,196,476 5,867,025 *Sterling Biotech, Ltd. 469,995 67,146 Sterlite Technologies, Ltd. 1,777,282 906,704 Styrolution ABS India, Ltd. 28,114 214,575 Sundaram Finance, Ltd. 3,250 38,985 Sundram Fasteners, Ltd. 25,783 31,845 *Suzlon Energy, Ltd. 16,275,656 3,542,733 Syndicate Bank 2,880,564 4,942,385 Tamil Nadu Newsprint & Papers, Ltd. 45,093 97,272 Tata Chemicals, Ltd. 1,201,925 5,677,822
Dimensional Emerging Markets Value Fund continued
Shares Value++ ------------- -------------- INDIA -- (Continued) Tata Global Beverages, Ltd. 4,978,918 $ 12,403,533 Tata Investment Corp., Ltd. 27,375 215,650 Tata Motors, Ltd. 1,817,498 12,637,275 #Tata Motors, Ltd. Sponsored ADR 163,263 6,109,301 Tata Steel, Ltd. 8,632,925 57,562,223 Techno Electric & Engineering Co., Ltd. 1,571 4,426 *Teledata Marine Solutions, Ltd. 267,258 -- Time Technoplast, Ltd. 498,379 314,608 Trent, Ltd. 16,579 271,086 Triveni Turbine, Ltd. 166,206 191,031 Tube Investments of India, Ltd. 503,633 1,597,088 *TV18 Broadcast, Ltd. 5,614,655 2,348,157 UCO Bank 5,290,500 6,735,172 Uflex, Ltd. 339,502 482,510 Unichem Laboratories, Ltd. 182,522 660,357 Union Bank of India 1,499,085 3,774,194 *Unitech, Ltd. 31,412,365 8,280,278 UPL, Ltd. 4,268,343 18,958,974 Usha Martin, Ltd. 1,811,897 1,117,424 *Uttam Galva Steels, Ltd. 14,790 16,657 VA Tech Wabag, Ltd. 1,281 16,899 *Vardhman Special Steels, Ltd. 6,934 3,089 Vardhman Textiles, Ltd. 111,378 612,944 Videocon Industries, Ltd. 1,114,865 2,996,035 Vijaya Bank 2,690,477 1,840,140 Voltas, Ltd. 319,969 850,922 Welspun Corp., Ltd. 1,847,557 2,494,436 Welspun Infra Enterprises, Ltd. 92,378 22,974 Wockhardt, Ltd. 312,182 3,983,400 Zensar Technologies, Ltd. 28,981 173,196 Zuari Agro Chemicals, Ltd. 128,304 281,093 Zuari Global, Ltd. 69,501 89,692 -------------- TOTAL INDIA 1,461,487,427 -------------- INDONESIA -- (2.6%) Adaro Energy Tbk PT 185,755,400 19,111,375 Adhi Karya Persero Tbk PT 10,239,917 2,651,206 Agung Podomoro Land Tbk PT 73,568,400 1,679,216 Alam Sutera Realty Tbk PT 99,030,500 4,563,834 Aneka Tambang Persero Tbk PT 80,886,500 8,247,237 Asahimas Flat Glass Tbk PT 5,277,000 3,199,937 Astra Graphia Tbk PT 3,635,000 629,498 *Bakrie and Brothers Tbk PT 1,056,525,750 4,569,155 *Bakrie Sumatera Plantations Tbk PT 182,168,500 787,370 *Bakrie Telecom Tbk PT 260,426,500 1,126,266 *Bakrieland Development Tbk PT 623,458,520 862,166 Bank Bukopin Tbk PT 63,324,333 3,508,896 Bank Danamon Indonesia Tbk PT 35,637,554 12,633,602 Bank Mandiri Persero Tbk PT 75,216,231 64,265,948 Bank Negara Indonesia Persero Tbk PT 123,523,241 51,625,849 *Bank Pan Indonesia Tbk PT 148,740,401 11,203,143 Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk PT 31,833,900 2,656,148
Dimensional Emerging Markets Value Fund continued
Shares Value++ ----------- ----------- INDONESIA -- (Continued) *Bank Permata Tbk PT 381,272 $ 44,249 Bank Tabungan Negara Persero Tbk PT 64,185,827 6,421,926 *Barito Pacific Tbk PT 15,599,000 425,502 *Benakat Integra Tbk PT 67,250,400 811,036 *Berau Coal Energy Tbk PT 30,316,500 322,926 *Berlian Laju Tanker Tbk PT 128,161,466 -- Bisi International PT 12,866,900 686,883 *Borneo Lumbung Energi & Metal Tbk PT 12,594,500 123,386 *Budi Starch & Sweetener Tbk PT 12,660,500 126,184 *Bumi Resources Minerals Tbk PT 11,052,500 209,161 *Bumi Resources Tbk PT 209,284,400 3,705,607 Bumi Serpong Damai PT 13,195,000 1,787,543 BW Plantation Tbk PT 666,600 81,163 *Central Proteinaprima Tbk PT 178,071,500 770,039 Charoen Pokphand Indonesia Tbk PT 45,905,630 15,010,146 Ciputra Development Tbk PT 131,947,400 11,616,093 Ciputra Property Tbk PT 24,365,400 1,533,744 Ciputra Surya Tbk PT 17,099,600 3,374,652 Clipan Finance Indonesia Tbk PT 2,995,500 104,929 *Darma Henwa Tbk PT 246,575,442 383,891 *Davomas Abadi Tbk PT 138,239,500 -- *Delta Dunia Makmur Tbk PT 15,009,500 241,077 Elnusa Tbk PT 40,695,700 1,797,837 *Energi Mega Persada Tbk PT 570,221,378 4,650,644 *Erajaya Swasembada Tbk PT 17,565,200 1,828,639 *Ever Shine Textile Tbk PT 19,342,215 368,057 *Exploitasi Energi Indonesia Tbk PT 12,430,900 244,346 Gajah Tunggal Tbk PT 25,803,500 4,285,668 *Garuda Indonesia Persero Tbk PT 23,477,581 936,856 Global Mediacom Tbk PT 94,263,500 17,893,397 *Gozco Plantations Tbk PT 14,839,400 137,516 *Great River International Tbk PT 1,788,000 -- Gudang Garam Tbk PT 2,837,000 13,899,196 Harum Energy Tbk PT 9,042,000 1,852,352 Hexindo Adiperkasa Tbk PT 1,212,344 398,244 Holcim Indonesia Tbk PT 18,187,500 4,478,830 *Indah Kiat Pulp & Paper Corp. Tbk PT 37,851,200 4,433,445 Indika Energy Tbk PT 27,402,500 1,473,906 Indo Tambangraya Megah Tbk PT 152,400 336,847 *Indo-Rama Synthetics Tbk PT 41,500 2,801 Indofood Sukses Makmur Tbk PT 61,516,000 37,631,302 Intiland Development Tbk PT 52,201,400 2,055,132 Japfa Comfeed Indonesia Tbk PT 27,068,750 2,969,537 Jaya Real Property Tbk PT 127,605,000 10,151,305 Kawasan Industri Jababeka Tbk PT 304,453,310 6,737,727 *Krakatau Steel Persero Tbk PT 2,991,500 128,998 *Lippo Cikarang Tbk PT 801,400 530,485 Lippo Karawaci Tbk PT 330,849,649 30,685,425 Matahari Putra Prima Tbk PT 31,128,300 7,475,279 Mayora Indah Tbk PT 8,048,917 19,559,374 Medco Energi Internasional Tbk PT 27,137,000 6,468,093 *Mitra International Resources Tbk PT 8,064,760 35,653
Dimensional Emerging Markets Value Fund continued
Shares Value++ ----------- ------------ INDONESIA -- (Continued) MNC Investama Tbk PT 287,585,900 $ 7,647,398 *Modernland Realty Tbk PT 18,274,600 695,273 Multipolar Tbk PT 65,104,700 3,785,077 *Nusantara Infrastructure Tbk PT 8,858,500 180,350 Pabrik Kertas Tjiwi Kimia Tbk PT 246,000 34,000 *Pan Brothers Tbk PT 183,750 6,816 *Panasia Indo Resources Tbk PT 403,200 12,032 *Panin Financial Tbk PT 242,926,900 5,518,545 Panin Insurance Tbk PT 30,949,000 1,864,153 Perusahaan Perkebunan London Sumatra Indonesia Tbk PT 46,107,984 9,797,056 Petrosea Tbk PT 3,762,500 448,096 *Polychem Indonesia Tbk PT 11,868,000 205,881 Ramayana Lestari Sentosa Tbk PT 23,587,500 2,615,199 Salim Ivomas Pratama Tbk PT 12,807,300 1,110,483 Sampoerna Agro PT 11,632,441 2,465,963 Samudera Indonesia Tbk PT 34,400 9,113 Selamat Sempurna Tbk PT 12,655,200 3,961,689 *Sentul City Tbk PT 306,823,900 4,583,423 *Sigmagold Inti Perkasa Tbk PT 55,832,700 2,183,308 Sinar Mas Agro Resources and Technology Tbk PT 7,806,900 4,510,920 Sinar Mas Multiartha Tbk PT 2,000 606 Summarecon Agung Tbk PT 18,141,614 1,748,610 *Sunson Textile Manufacturer Tbk PT 2,540,300 16,726 *Surya Dumai Industri Tbk 5,145,000 -- Surya Semesta Internusa Tbk PT 26,436,300 1,907,535 Surya Toto Indonesia Tbk PT 446,000 282,429 *Suryainti Permata Tbk PT 17,378,000 -- Tiga Pilar Sejahtera Food Tbk 30,578,922 5,834,253 Timah Persero Tbk PT 58,412,960 7,598,651 Trias Sentosa Tbk PT 336,500 9,329 *Trimegah Securities Tbk PT 9,367,000 68,009 *Truba Alam Manunggal Engineering PT 129,244,500 55,894 Tunas Baru Lampung Tbk PT 17,379,500 768,271 Tunas Ridean Tbk PT 42,848,500 2,503,644 *Ultrajaya Milk Industry & Trading Co. Tbk PT 10,045,800 3,708,446 Unggul Indah Cahaya Tbk PT 371,435 61,282 United Tractors Tbk PT 8,928,200 16,786,164 Vale Indonesia Tbk PT 42,202,300 12,999,458 *Visi Media Asia Tbk PT 5,510,800 135,339 *Wintermar Offshore Marine Tbk PT 289,000 24,576 XL Axiata Tbk PT 1,982,800 889,369 ------------ TOTAL INDONESIA 531,581,240 ------------ ISRAEL -- (0.0%) *Feuchtwanger Investments, Ltd. 10,500 -- *Israel Steel Mills, Ltd. 97,000 -- *Knafaim Holdings, Ltd. 14,695 32,647 *Liberty Properties, Ltd. 2,467 15,684 Mivtach Shamir Holdings, Ltd. 3,973 131,060 ------------ TOTAL ISRAEL 179,391 ------------
Dimensional Emerging Markets Value Fund continued
Shares Value++ ---------- ----------- MALAYSIA -- (3.9%) *Adventa Bhd 62,000 $ 21,341 Affin Holdings Bhd 9,621,500 11,126,122 #AirAsia Bhd 22,497,100 15,307,149 Alam Maritim Resources Bhd 3,625,700 1,647,083 Alliance Financial Group Bhd 16,295,200 22,381,661 Allianz Malaysia Bhd 16,700 52,688 AMMB Holdings Bhd 23,929,662 52,667,563 *Ann Joo Resources Bhd 2,973,600 1,094,051 APM Automotive Holdings Bhd 1,195,300 2,220,243 Batu Kawan Bhd 2,078,750 12,468,910 Benalec Holdings Bhd 5,265,500 1,452,902 Berjaya Assets Bhd 171,900 44,786 Berjaya Corp. Bhd 41,062,780 6,292,659 Berjaya Land Bhd 13,220,000 3,361,718 BIMB Holdings Bhd 4,758,645 6,203,389 BLD Plantation Bhd 6,600 17,778 *Boustead Heavy Industries Corp. Bhd 95,200 74,039 #Boustead Holdings Bhd 7,459,998 12,683,742 Cahya Mata Sarawak Bhd 2,884,500 8,437,789 Can-One Bhd 401,400 377,394 CB Industrial Product Holding Bhd 1,370,300 1,974,392 Chin Teck Plantations Bhd 309,100 922,657 Coastal Contracts Bhd 3,116,200 4,784,177 CSC Steel Holdings Bhd 2,503,800 1,028,111 *Cycle & Carriage Bintang Bhd 135,000 98,005 *Datuk Keramik Holdings Bhd 127,000 -- Daya Materials Bhd 10,663,200 1,096,039 DRB-Hicom Bhd 18,941,300 14,512,818 #Eastern & Oriental Bhd 15,656,115 11,384,386 *ECM Libra Financial Group Bhd 2,242,050 680,954 Engtex Group Bhd 155,800 91,785 *Evergreen Fibreboard Bhd 2,145,426 345,440 Eversendai Corp. Bhd 1,053,300 358,111 Faber Group Bhd 4,005,100 3,651,415 FAR East Holdings Bhd 403,800 941,067 *Fountain View Development Bhd 2,573,200 -- Genting Bhd 6,056,300 18,203,545 #Genting Malaysia Bhd 26,028,700 33,666,982 Genting Plantations Bhd 275,600 937,708 Globetronics Technology Bhd 279,600 308,903 Glomac Bhd 7,416,300 2,500,132 *Goldis Bhd 3,227,495 2,148,450 GuocoLand Malaysia Bhd 1,886,200 666,367 HAP Seng Consolidated Bhd 14,387,600 13,970,393 Hap Seng Plantations Holdings Bhd 3,806,300 3,270,144 Hiap Teck Venture Bhd 863,200 208,988 Hong Leong Financial Group Bhd 2,586,751 12,135,266 Hong Leong Industries Bhd 1,257,300 2,556,791 Hua Yang Bhd 930,233 533,090 *Hubline Bhd 5,352,350 65,928 Hwang Capital Malaysia Bhd 930,700 528,457 IGB Corp. Bhd 15,137,390 12,835,505
Dimensional Emerging Markets Value Fund continued
Shares Value++ ---------- ----------- MALAYSIA -- (Continued) #IJM Corp. Bhd 23,540,859 $46,062,061 IJM Land Bhd 7,064,700 6,537,293 #IJM Plantations Bhd 514,200 557,722 *Inch Kenneth Kajang Rubber 1,123,300 285,857 Insas Bhd 5,526,348 2,052,716 Integrated Logistics Bhd 93,128 22,390 Integrax Bhd 974,800 641,461 Iris Corp. Bhd 11,291,000 1,593,983 *JAKS Resources Bhd 9,634,600 1,623,127 Jaya Tiasa Holdings Bhd 4,853,433 4,046,614 JCY International Bhd 10,030,900 2,278,026 *K&N Kenanga Holdings Bhd 4,082,187 976,586 *Karambunai Corp. Bhd 18,222,700 504,772 Keck Seng Malaysia Bhd 2,515,500 5,421,761 Kian JOO CAN Factory Bhd 4,777,380 4,992,467 *KIG Glass Industrial Bhd 260,000 -- Kim Loong Resources Bhd 499,100 431,284 Kimlun Corp. Bhd 657,800 324,406 *Kinsteel Bhd 6,474,800 358,421 KLCC Property Holdings Bhd 5,504,700 11,217,021 *KNM Group Bhd 19,662,825 5,009,387 *Kretam Holdings Bhd 3,322,800 610,944 *KSL Holdings Bhd 2,922,666 1,924,861 *KUB Malaysia Bhd 5,684,400 855,088 *Kulim Malaysia Bhd 9,518,600 10,299,437 Kumpulan Fima Bhd 2,385,600 1,703,661 Kumpulan Perangsang Selangor Bhd 4,262,300 1,986,250 Kwantas Corp. Bhd 288,400 198,700 *Land & General Bhd 10,793,700 1,885,425 *Landmarks Bhd 4,159,308 1,417,652 LBS Bina Group Bhd 3,377,500 1,843,401 Lion Diversified Holdings Bhd 2,237,000 116,519 Lion Industries Corp. Bhd 8,486,481 1,705,087 Magnum Bhd 4,457,600 4,122,679 #Mah Sing Group Bhd 7,426,239 5,146,519 Malayan Flour Mills Bhd 2,057,950 996,638 #Malaysia Airports Holdings Bhd 3,811,710 9,403,118 #*Malaysian Airline System Bhd 38,540,700 2,725,714 Malaysian Bulk Carriers Bhd 6,827,125 3,978,835 Malaysian Pacific Industries Bhd 1,062,075 1,361,950 Malaysian Resources Corp. Bhd 18,569,700 8,937,164 MBM Resources Bhd 2,500,303 2,469,116 Media Prima Bhd 1,296,900 989,107 Mega First Corp. Bhd 1,204,500 842,173 *MISC Bhd 10,929,404 21,835,999 MK Land Holdings Bhd 9,637,500 1,507,788 MKH Bhd 2,067,159 2,773,876 MMC Corp. Bhd 14,697,180 12,600,328 MNRB Holdings Bhd 1,754,000 2,038,892 Muda Holdings Bhd 113,700 66,212 Mudajaya Group Bhd 4,170,600 3,310,387 Muhibbah Engineering M Bhd 5,494,100 4,889,828
Dimensional Emerging Markets Value Fund continued
Shares Value++ ---------- ----------- MALAYSIA -- (Continued) *Mulpha International Bhd 33,287,600 $ 4,393,821 Naim Holdings Bhd 3,201,500 3,919,314 NCB Holdings Bhd 2,451,500 2,307,510 Negri Sembilan Oil Palms Bhd 167,600 307,382 Oriental Holdings Bhd 3,680,879 8,794,727 #OSK Holdings Bhd 7,299,671 3,712,344 Pacific & Orient Bhd 334,330 142,409 Panasonic Manufacturing Malaysia Bhd 382,080 2,597,647 Pantech Group Holdings Bhd 904,900 273,685 *Paracorp Bhd 252,000 -- Paramount Corp. Bhd 1,099,900 562,297 #Parkson Holdings Bhd 2,472,634 2,225,535 *Perdana Petroleum Bhd 5,026,380 2,911,922 Perusahaan Sadur Timah Malaysia Bhd 6,800 9,688 Pie Industrial Bhd 323,600 813,231 PJ Development Holdings Bhd 3,863,000 1,811,813 Pos Malaysia Bhd 1,762,917 2,433,078 PPB Group Bhd 8,450,166 42,646,304 Press Metal Bhd 2,955,981 3,147,838 *Prime Utilities Bhd 39,000 -- Protasco Bhd 1,083,500 631,297 RCE Capital Bhd 4,910,500 467,219 #RHB Capital Bhd 12,566,905 31,930,906 Rimbunan Sawit Bhd 5,659,100 1,396,135 Salcon Bhd 7,484,700 1,697,745 Sarawak Oil Palms Bhd 523,320 1,044,083 Sarawak Plantation Bhd 66,900 54,303 Scientex Bhd 43,748 77,755 *Scomi Group Bhd 25,227,900 3,294,947 Selangor Dredging Bhd 1,312,700 430,070 Selangor Properties Bhd 65,700 106,715 Shangri-La Hotels Malaysia Bhd 739,100 1,497,906 *Shell Refining Co. Federation of Malaya Bhd 246,300 451,533 SHL Consolidated Bhd 693,700 478,362 #SP Setia Bhd 1,986,000 1,835,594 Star Publications Malaysia Bhd 1,127,900 893,376 Subur Tiasa Holdings Bhd 343,530 237,505 #Sunway Bhd 12,563,126 11,954,317 #Supermax Corp. Bhd 8,498,700 6,375,134 Suria Capital Holdings Bhd 736,700 587,578 *Symphony Life Bhd 1,589,910 502,037 Ta Ann Holdings Bhd 1,549,722 1,994,015 TA Enterprise Bhd 20,749,900 5,153,028 TA Global Bhd 11,874,080 1,127,614 TAHPS Group Bhd 27,000 60,916 *Talam Transform Bhd 15,950,050 490,532 TAN Chong Motor Holdings Bhd 4,685,000 8,171,814 *Tanjung Offshore Bhd 2,560,900 463,793 TDM Bhd 14,109,900 4,195,491 *Tebrau Teguh Bhd 897,300 374,450 TH Plantations Bhd 185,100 115,028 *Time dotCom Bhd 5,476,280 6,697,657
Dimensional Emerging Markets Value Fund continued
Shares Value++ ---------- ------------ MALAYSIA -- (Continued) Tiong NAM Logistics Holdings 246,100 $ 101,089 Tropicana Corp. Bhd 6,756,100 3,188,635 UEM Sunrise Bhd 3,839,745 2,711,174 Unisem M Bhd 8,850,800 3,203,467 United Malacca Bhd 960,500 2,097,298 United Plantations Bhd 422,000 3,267,743 UOA Development Bhd 4,516,100 3,253,344 VS Industry Bhd 1,337,193 663,885 Wah Seong Corp. Bhd 4,824,243 2,910,454 #WCT Holdings Bhd 12,817,315 8,841,793 Wing Tai Malaysia Bhd 1,868,800 1,237,469 WTK Holdings Bhd 6,575,950 2,684,001 YNH Property Bhd 5,291,959 3,195,851 YTL Corp. Bhd 89,825,050 44,313,609 *YTL Land & Development Bhd 3,111,800 896,170 ------------ TOTAL MALAYSIA 774,185,098 ------------ MEXICO -- (6.7%) Alfa S.A.B. de C.V. Class A 50,229,549 132,688,709 #Alpek S.A. de C.V. 1,102,074 1,895,371 Arca Continental S.A.B. de C.V. 4,142,783 26,346,108 #*Axtel S.A.B. de C.V. 11,405,148 3,792,199 #*Bio Pappel S.A.B. de C.V. 335,685 717,158 #Bolsa Mexicana de Valores S.A.B. de C.V. 560,927 1,151,202 *Cemex S.A.B. de C.V. 115,602 146,858 #*Cemex S.A.B. de C.V. Sponsored ADR 17,909,307 226,373,641 Cia Minera Autlan S.A.B. de C.V. Series B 1,147,952 1,202,113 #Coca-Cola Femsa S.A.B. de C.V. Series L 33,494 375,269 Coca-Cola Femsa S.A.B. de C.V. Sponsored ADR 2,821 315,839 *Consorcio ARA S.A.B. de C.V. Series * 12,701,246 5,592,033 #Controladora Comercial Mexicana S.A.B. de C.V. 5,889,925 22,055,564 #Corp. Actinver S.A.B. de C.V. 31,776 35,218 #*Corp. GEO S.A.B. de C.V. Series B 9,461,653 141,925 *Corp. Interamericana de Entretenimiento S.A.B. de C.V. Class B 1,560,786 1,109,500 *Desarrolladora Homex S.A.B. de C.V. 3,011,482 491,875 *Dine S.A.B. de C.V. 1,027,267 471,124 El Puerto de Liverpool S.A.B. de C.V. Series 1 14,100 148,730 *Empaques Ponderosa S.A. de C.V. 90,000 -- *Empresas ICA S.A.B. de C.V. 6,654,223 11,912,014 #*Empresas ICA S.A.B. de C.V. Sponsored ADR 1,113,191 8,026,107 *Financiera Independencia S.A.B. de C.V. 14,576 5,749 #Fomento Economico Mexicano S.A.B. de C.V. 2,503,454 22,744,495 Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR 2,566,579 232,968,375 #*Gruma S.A.B. de C.V. Class B 3,249,870 28,740,896 *Gruma S.A.B. de C.V. Sponsored ADR 13,352 470,257 #*Grupo Aeromexico S.A.B. de C.V. 780,005 1,266,944 Grupo Aeroportuario del Centro Norte S.A.B. de C.V. 972,349 3,563,044 #Grupo Aeroportuario del Centro Norte S.A.B. de C.V. ADR 44,097 1,298,216 Grupo Aeroportuario del Pacifico S.A.B. de C.V. ADR 634,177 38,240,873 Grupo Aeroportuario del Pacifico S.A.B. de C.V. Class B 1,204,121 7,248,058 Grupo Aeroportuario del Sureste S.A.B. de C.V. ADR 271,607 33,203,956 #Grupo Aeroportuario del Sureste S.A.B. de C.V. Class B 1,203,482 14,728,517
Dimensional Emerging Markets Value Fund continued
Shares Value++ ---------- -------------- MEXICO -- (Continued) Grupo Carso S.A.B. de C.V. Series A1 10,391,739 $ 52,948,602 Grupo Cementos de Chihuahua S.A.B. de C.V. 2,799,892 8,344,407 #Grupo Comercial Chedraui S.A. de C.V. 1,635,891 5,025,431 Grupo Elektra S.A.B. de C.V. 89,518 2,562,838 *Grupo Famsa S.A.B. de C.V. Class A 3,160,815 4,324,671 #Grupo Financiero Banorte S.A.B. de C.V. 23,649,283 157,068,369 #Grupo Financiero Inbursa S.A.B. de C.V. 18,352,790 47,008,618 Grupo Financiero Interacciones S.A. de C.V. 35,820 216,299 #Grupo Financiero Santander Mexico S.A.B. de C.V. Class B 2,138,043 5,107,018 Grupo Financiero Santander Mexico S.A.B. de C.V. Class B ADR 1,544,753 18,382,561 Grupo Gigante S.A.B. de C.V. Series * 471,076 1,185,544 Grupo Industrial Maseca S.A.B. de C.V. Class B 2,756,800 4,296,585 Grupo Industrial Saltillo S.A.B. de C.V. 1,342,969 2,874,253 Grupo KUO S.A.B. de C.V. Series B 2,065,160 4,132,609 #Grupo Mexico S.A.B. de C.V. Series B 19,828,632 59,715,893 *Grupo Pochteca S.A.B. de C.V. 16,900 21,056 Grupo Posadas S.A.B. de C.V. 355,600 659,135 *Grupo Qumma S.A. de C.V. Series B 5,301 -- *Grupo Simec S.A.B. de C.V. Series B 1,979,526 7,454,950 #*Grupo Simec S.A.B. de C.V. Sponsored ADR 19,072 221,998 *Grupo Sports World S.A.B. de C.V. 51,395 79,355 Industrias Bachoco S.A.B. de C.V. ADR 7,664 337,982 #Industrias Bachoco S.A.B. de C.V. Series B 981,113 3,599,658 #*Industrias CH S.A.B. de C.V. Series B 3,336,823 17,700,829 *Inmuebles Carso S.A.B. de C.V. 10,258,893 10,695,863 Medica Sur S.A.B. de C.V. Series B 1,000 3,401 Megacable Holdings S.A.B. de C.V. 155,331 614,188 Mexichem S.A.B. de C.V. 752,961 2,805,744 *Minera Frisco S.A.B. de C.V. 8,444,229 15,439,105 #*OHL Mexico S.A.B. de C.V. 7,075,430 18,820,582 #Organizacion Cultiba S.A.B. de C.V. 16,708 27,611 #*Organizacion Soriana S.A.B. de C.V. Class B 15,016,976 43,514,824 Qualitas Controladora S.A.B. de C.V. 2,009,619 5,844,796 *Savia SA Class A 3,457,285 -- #TV Azteca S.A.B. de C.V. 8,005,859 4,375,371 #*Urbi Desarrollos Urbanos S.A.B. de C.V. 9,102,158 3,641 *Vitro S.A.B. de C.V. Series A 1,544,127 4,092,021 -------------- TOTAL MEXICO 1,338,973,745 -------------- PHILIPPINES -- (1.0%) A Soriano Corp. 20,194,300 3,186,759 Alliance Global Group, Inc. 24,479,406 17,144,432 Alsons Consolidated Resources, Inc. 17,757,000 698,203 Atlas Consolidated Mining & Development 3,316,800 1,105,223 BDO Unibank, Inc. 11,046,335 21,922,813 Cebu Air, Inc. 430,760 507,328 Cebu Holdings, Inc. 5,500,050 630,601 Century Properties Group, Inc. 13,717,000 457,000 China Banking Corp. 404,176 499,965 *East West Banking Corp. 40,700 27,887 *Empire East Land Holdings, Inc. 49,079,000 1,102,408 *Export & Industry Bank, Inc. Class A 14,950 --
Dimensional Emerging Markets Value Fund continued
Shares Value++ ----------- ------------ PHILIPPINES -- (Continued) Filinvest Development Corp. 142,800 $ 15,900 Filinvest Land, Inc. 194,080,031 6,944,408 First Philippine Holdings Corp. 4,465,530 7,112,526 *Fwbc Holdings, Inc. 5,471,786 -- *Global-Estate Resorts, Inc. 14,180,000 628,225 JG Summit Holdings, Inc. 4,364,700 4,954,839 Lopez Holdings Corp. 29,502,300 3,018,485 LT Group, Inc. 2,497,600 1,029,115 Macroasia Corp. 395,000 18,775 Megaworld Corp. 201,002,600 21,045,053 Metropolitan Bank & Trust Co. 11,267,992 21,459,910 *Mondragon International Philippines, Inc. 2,464,000 -- Petron Corp. 2,714,500 749,222 *Philippine National Bank 4,995,673 9,782,589 *Philippine National Construction Corp. 398,900 8,223 Philippine Savings Bank 1,232,313 3,788,690 Philippine Townships, Inc. 226,200 1,466 Philtown Properties, Inc. 6,701 43 Phinma Corp. 2,051,098 512,010 Rizal Commercial Banking Corp. 4,764,548 5,134,831 Robinsons Land Corp. 29,013,450 14,559,632 San Miguel Corp. 6,273,866 11,760,386 San Miguel Pure Foods Co., Inc. 38,100 200,948 Security Bank Corp. 1,536,814 4,141,106 Shang Properties, Inc. 614,285 43,125 SM Prime Holdings, Inc. 6,703,531 2,460,886 *Top Frontier Investment Holdings, Inc. 628,532 1,319,294 Trans-Asia Oil & Energy Development Corp. 16,362,000 858,198 Union Bank Of Philippines, Inc. 2,670,714 7,627,303 Universal Robina Corp. 8,248,305 27,085,471 Vista Land & Lifescapes, Inc. 56,759,968 7,687,772 ------------ TOTAL PHILIPPINES 211,231,050 ------------ POLAND -- (1.9%) ABC Data SA 8,429 10,990 *Agora SA 728,442 2,503,592 *AmRest Holdings SE 399 10,785 Asseco Poland SA 1,296,929 19,311,682 *Bank Millennium SA 5,978,035 17,562,133 #*Bioton SA 123,074 278,524 *Ciech SA 533,502 5,715,805 ComArch SA 2,787 80,519 Dom Development SA 36,645 562,231 Enea SA 1,758,128 8,901,550 Firma Oponiarska Debica SA 102,634 3,069,323 Getin Holding SA 3,330,476 3,511,000 #*Getin Noble Bank SA 4,404,668 5,361,055 Grupa Azoty SA 110,107 2,183,715 Grupa Kety SA 117,729 8,479,974 *Grupa Lotos SA 1,265,116 16,314,513 *Hawe SA 245,277 238,723 *Impexmetal SA 5,780,595 4,934,152
Dimensional Emerging Markets Value Fund continued
Shares Value++ ---------- ------------ POLAND -- (Continued) #Jastrzebska Spolka Weglowa SA 202,495 $ 2,787,846 *Kernel Holding SA 110,769 1,029,463 *KGHM Polska Miedz SA 845,949 30,630,051 Kopex SA 555,501 2,379,708 *LC Corp. SA 1,774,081 1,138,372 Lentex SA 12,729 35,283 Lubelski Wegiel Bogdanka SA 531 21,736 *MCI Management SA 115,725 340,985 *Netia SA 3,955,309 7,072,992 Orbis SA 538,910 6,978,537 Pelion SA 10,134 257,904 PGE SA 14,358,931 99,777,343 *Polimex-Mostostal SA 10,112,907 301,525 *Polnord SA 78,590 235,363 *Polski Koncern Miesny Duda SA 1,273,793 269,494 #Polski Koncern Naftowy Orlen SA 6,279,050 94,021,799 *Rafako SA 60,222 107,941 *Rawlplug SA 110,853 424,819 *Rovese SA 1,128,715 522,831 *Sygnity SA 194,766 1,106,812 #Synthos SA 5,306,168 8,363,162 Tauron Polska Energia SA 15,331,549 27,160,244 *Trakcja SA 3,539,059 1,524,085 *Vistula Group SA 120,520 66,575 ------------ TOTAL POLAND 385,585,136 ------------ RUSSIA -- (3.6%) *AFI Development P.L.C. GDR 59,582 44,027 Gazprom OAO Sponsored ADR 93,269,773 674,054,680 Lukoil OAO Sponsored ADR 689,605 36,507,290 *Magnitogorsk Iron & Steel Works GDR 1,929,398 4,072,128 #*Mechel Sponsored ADR 456,334 921,795 RusHydro JSC ADR 8,655,901 13,468,547 VTB Bank OJSC GDR 1,933,866 4,113,847 ------------ TOTAL RUSSIA 733,182,314 ------------ SOUTH AFRICA -- (7.4%) Adcorp Holdings, Ltd. 545,445 1,658,848 Aeci, Ltd. 1,152,215 12,869,340 #African Bank Investments, Ltd. 8,358,950 9,912,145 African Rainbow Minerals, Ltd. 1,966,875 37,034,529 Allied Electronics Corp., Ltd. 563,821 1,304,019 *Anglo American Platinum, Ltd. 88,247 4,201,884 *AngloGold Ashanti, Ltd. 943,140 17,049,264 *AngloGold Ashanti, Ltd. Sponsored ADR 4,066,826 73,609,551 *ArcelorMittal South Africa, Ltd. 2,285,018 8,042,032 Argent Industrial, Ltd. 771,939 359,656 Astral Foods, Ltd. 1,581 14,357 *Aveng, Ltd. 7,722,693 16,593,039 Barclays Africa Group, Ltd. 6,214,975 91,043,580 #Barloworld, Ltd. 4,167,854 45,467,902 Basil Read Holdings, Ltd. 570,445 501,085
Dimensional Emerging Markets Value Fund continued
Shares Value++ ---------- ----------- SOUTH AFRICA -- (Continued) Bell Equipment, Ltd. 416,814 $ 691,281 Blue Label Telecoms, Ltd. 4,343,589 3,763,995 *Brait SE 1,689,395 9,103,533 Business Connexion Group, Ltd. 1,823,337 979,493 Caxton and CTP Publishers and Printers, Ltd. 3,267,876 4,961,116 #Clover Industries, Ltd. 342,753 632,317 *Consolidated Infrastructure Group, Ltd. 67,591 184,181 *Corpgro, Ltd. 579,166 -- Datacentrix Holdings, Ltd. 188,927 75,500 DataTec, Ltd. 3,095,790 15,557,994 Distell Group, Ltd. 311,947 3,707,964 Distribution and Warehousing Network, Ltd. 250,120 242,491 DRDGOLD, Ltd. 6,207,591 1,976,687 #DRDGOLD, Ltd. Sponsored ADR 9,454 30,442 Eqstra Holdings, Ltd. 2,357,803 1,636,909 *Evraz Highveld Steel and Vanadium, Ltd. 148,283 128,825 #Exxaro Resources, Ltd. 847,004 11,560,796 Gold Fields, Ltd. 1,768,273 7,505,103 Gold Fields, Ltd. Sponsored ADR 11,900,608 50,339,572 Grand Parade Investments, Ltd. 5,685 2,919 Grindrod, Ltd. 7,243,099 17,151,988 Group Five, Ltd. 990,775 4,075,356 *Harmony Gold Mining Co., Ltd. 2,952,483 9,703,260 *Harmony Gold Mining Co., Ltd. Sponsored ADR 3,137,089 10,321,023 Hudaco Industries, Ltd. 7,738 77,138 *Hulamin, Ltd. 1,508,425 1,047,158 Iliad Africa, Ltd. 179,921 109,610 Illovo Sugar, Ltd. 213,834 589,658 Impala Platinum Holdings, Ltd. 5,593,838 63,060,916 Investec, Ltd. 4,667,299 41,078,874 *JCI, Ltd. 10,677,339 -- #JD Group, Ltd. 2,283,573 5,966,810 KAP Industrial Holdings, Ltd. 50,812 19,804 #Lewis Group, Ltd. 1,851,877 10,993,079 Liberty Holdings, Ltd. 1,514,284 18,163,991 Mediclinic International, Ltd. 850,095 5,946,274 *Merafe Resources, Ltd. 21,718,286 2,291,942 Metair Investments, Ltd. 869,105 3,512,928 MMI Holdings, Ltd. 18,652,591 46,895,771 Mondi, Ltd. 1,730,577 28,816,887 Mpact, Ltd. 2,115,404 5,593,867 *Murray & Roberts Holdings, Ltd. 3,982,145 9,324,714 Mustek, Ltd. 48,438 31,878 #Nedbank Group, Ltd. 3,855,686 82,653,953 *Northam Platinum, Ltd. 3,476,928 13,572,099 Omnia Holdings, Ltd. 390,976 8,405,681 Peregrine Holdings, Ltd. 1,522,645 2,794,891 Petmin, Ltd. 1,374,464 355,002 PSG Group, Ltd. 590,113 5,844,810 Raubex Group, Ltd. 1,163,111 2,404,272 *RCL Foods, Ltd. 26,214 38,373 *Royal Bafokeng Platinum, Ltd. 201,666 1,303,603
Dimensional Emerging Markets Value Fund continued
Shares Value++ ---------- -------------- SOUTH AFRICA -- (Continued) Sanlam, Ltd. 23,829,161 $ 127,656,171 *Sappi, Ltd. 8,738,064 27,699,043 *Sappi, Ltd. Sponsored ADR 695,410 2,183,587 Sasol, Ltd. Sponsored ADR 640,884 35,511,382 Sibanye Gold, Ltd. 590,193 1,524,487 Sibanye Gold, Ltd. Sponsored ADR 2,965,465 30,633,253 Standard Bank Group, Ltd. 20,138,333 264,596,500 *Stefanutti Stocks Holdings, Ltd. 526,548 435,067 #Steinhoff International Holdings, Ltd. 23,854,878 123,958,079 *Super Group, Ltd. 3,165,019 8,527,894 #*Telkom SA SOC, Ltd. 4,460,104 15,958,773 Times Media Group, Ltd. 253,556 508,845 Tongaat Hulett, Ltd. 670,959 7,977,089 Trencor, Ltd. 1,227,129 8,697,028 Value Group, Ltd. 976,777 496,932 Wilson Bayly Holmes-Ovcon, Ltd. 3,333 43,101 Zeder Investments, Ltd. 2,397,541 998,309 -------------- TOTAL SOUTH AFRICA 1,492,293,499 -------------- SOUTH KOREA -- (14.3%) #Aekyung Petrochemical Co., Ltd. 18,254 1,208,932 AK Holdings, Inc. 28,410 1,467,661 AMOREPACIFIC Group 5,052 2,613,695 *Amotech Co., Ltd. 3,050 40,634 #Asia Cement Co., Ltd. 25,169 2,686,942 ASIA Holdings Co., Ltd, 12,156 1,708,242 #Asia Paper Manufacturing Co., Ltd. 41,070 761,772 AtlasBX Co., Ltd. 1,295 52,640 #*AUK Corp. 617,090 1,358,212 Bookook Securities Co., Ltd. 28,655 341,672 Boryung Pharmaceutical Co., Ltd. 24,346 907,839 #BS Financial Group, Inc. 1,679,881 25,720,657 BYC Co., Ltd. 810 183,522 #Byucksan Corp. 156,140 472,514 #*Capro Corp. 79,730 359,339 #*Celltrion Pharm, Inc. 7,951 92,526 #*China Great Star International, Ltd. 425,611 1,294,742 #*China Ocean Resources Co., Ltd. 808,940 1,865,817 Chokwang Paint, Ltd. 1,920 18,056 #Chosun Refractories Co., Ltd. 9,371 862,201 CJ Corp. 199,265 24,133,521 *CJ E&M Corp. 94,562 4,617,297 #*CJ Korea Express Co., Ltd. 99,247 10,488,987 CKD Bio Corp. 20,570 295,943 #*Cosmochemical Co., Ltd. 140,210 959,285 #Dae Dong Industrial Co., Ltd. 145,130 1,305,269 Dae Han Flour Mills Co., Ltd. 14,607 2,093,819 Dae Won Kang Up Co., Ltd. 245,096 1,567,480 #*Dae Young Packaging Co., Ltd. 1,121,470 853,169 #Dae-Il Corp. 66,990 291,777 #*Daechang Co., Ltd. 866,590 794,720 Daeduck Electronics Co. 24,050 177,641
Dimensional Emerging Markets Value Fund continued
Shares Value++ --------- ----------- SOUTH KOREA -- (Continued) Daeduck GDS Co., Ltd. 281,480 $ 4,662,986 #Daegu Department Store 122,031 2,770,418 #Daehan Steel Co., Ltd. 183,220 1,226,054 Daekyo Co., Ltd. 521,770 3,362,125 #Daelim Industrial Co., Ltd. 421,284 34,375,897 Daelim Trading Co., Ltd. 8,734 34,630 #Daesang Holdings Co., Ltd. 144,526 1,784,313 #Daesung Holdings Co., Ltd. 41,070 418,335 Daewon San Up Co., Ltd. 19,432 174,883 #*Daewoo Engineering & Construction Co., Ltd. 1,174,710 9,745,016 #*Daewoo Securities Co., Ltd. 2,587,642 21,260,364 #Daewoo Shipbuilding & Marine Engineering Co., Ltd. 647,122 18,781,269 Daewoong Co., Ltd. 5,078 192,059 *Dahaam E-Tec Co., Ltd. 3,535 11,546 #Daishin Securities Co., Ltd. 638,515 5,778,013 #Daou Data Corp. 138,807 752,502 Daou Technology, Inc. 346,698 4,848,461 #*Dasan Networks, Inc. 167,429 1,004,850 #DGB Financial Group, Inc. 1,368,572 20,762,093 #*Digitech Systems Co., Ltd. 10,779 22,115 Dong Ah Tire & Rubber Co., Ltd. 81,994 1,523,045 #*Dong Yang Gang Chul Co., Ltd. 291,430 649,053 Dong-Ah Geological Engineering Co., Ltd. 45,500 373,399 Dong-Il Corp. 18,630 1,354,690 Dongbang Agro Co. 5,640 34,518 #Dongbang Transport Logistics Co., Ltd. 244,640 561,105 *Dongbu CNI Co., Ltd. 16,040 68,021 #*Dongbu Corp. 53,090 131,309 #*Dongbu HiTek Co., Ltd. 368,964 2,490,435 Dongbu Securities Co., Ltd. 351,526 1,261,495 #*Dongbu Steel Co., Ltd. 385,814 1,162,456 #Dongil Industries Co., Ltd. 18,961 949,325 #*Dongkook Industrial Co., Ltd. 248,640 772,283 #Dongkuk Steel Mill Co., Ltd. 708,269 6,813,118 #DONGKUK STRUCTURES & CONSTRUCTION Co., Ltd. 114,484 618,802 #Dongsung Holdings Co., Ltd. 195,870 1,107,531 #Dongwha Pharm Co., Ltd. 261,900 1,524,923 Dongwon F&B Co., Ltd. 18,471 3,604,511 *Dongwon Systems Corp. 3,175 29,771 Dongyang E&P, Inc. 8,224 159,117 Dongyang Mechatronics Corp. 66,640 642,876 #Doosan Corp. 109,796 14,152,416 #*Doosan Engine Co., Ltd. 112,890 949,732 #*Doosan Engineering & Construction Co., Ltd. 36,428 528,522 #Doosan Heavy Industries & Construction Co., Ltd. 181,600 6,138,297 *Doosan Infracore Co., Ltd. 483,210 5,843,031 DRB Holding Co., Ltd. 268,611 2,818,862 E-Mart Co., Ltd. 41,501 9,489,878 #Eagon Industries Co., Ltd. 13,300 228,427 Eugene Corp. 214,298 792,854 *Eugene Investment & Securities Co., Ltd. 763,229 1,941,951 EVERDIGM Corp. 1,702 13,365
Dimensional Emerging Markets Value Fund continued
Shares Value++ --------- ------------ SOUTH KOREA -- (Continued) Fursys, Inc. 31,503 $ 875,929 #Gaon Cable Co., Ltd. 20,207 597,149 Global & Yuasa Battery Co., Ltd. 34,827 1,672,403 *GNCO Co., Ltd. 56,982 72,974 #Green Cross Holdings Corp. 50,710 698,239 #*GS Engineering & Construction Corp. 515,821 18,199,322 GS Global Corp. 5,870 54,796 #GS Holdings 750,939 35,041,839 Gwangju Shinsegae Co., Ltd. 5,985 1,378,192 #*Halla Corp. 247,941 1,739,043 Hana Financial Group, Inc. 3,815,029 134,617,332 *Hana Micron, Inc. 3,300 19,305 Handok Pharmaceuticals Co., Ltd. 12,706 269,778 #Handsome Co., Ltd. 214,790 5,438,120 #Hanil Cement Co., Ltd. 52,145 6,021,127 Hanil E-Hwa Co., Ltd. 2,460 50,333 #*Hanjin Heavy Industries & Construction Co., Ltd. 677,791 8,006,038 #Hanjin Heavy Industries & Construction Holdings Co., Ltd. 181,040 1,841,633 *Hanjin Kal Corp. 2,711 58,206 #*Hanjin Shipping Co., Ltd. 1,206,540 7,073,833 *Hanjin Shipping Holdings Co., Ltd. 159,594 1,036,823 Hanjin Transportation Co., Ltd. 140,220 3,447,596 *Hankuk Glass Industries, Inc. 23,020 451,652 Hankuk Paper Manufacturing Co., Ltd. 32,780 807,902 #*Hanmi Science Co., Ltd. 11,791 170,057 Hanmi Semiconductor Co., Ltd. 2,870 41,487 #*Hansol HomeDeco Co., Ltd. 321,490 730,362 Hansol Paper Co. 647,244 7,128,869 #Hanwha Chemical Corp. 1,171,955 20,768,971 #Hanwha Corp. 594,563 17,330,914 #*Hanwha General Insurance Co., Ltd. 189,722 937,304 *Hanwha Investment & Securities Co., Ltd. 906,511 3,279,628 #Hanwha Life Insurance Co., Ltd. 1,528,455 9,962,067 Hanwha Timeworld Co., Ltd. 12,290 381,605 Hanyang Eng Co., Ltd. 7,723 51,708 Hanyang Securities Co., Ltd. 90,530 602,989 #Heung-A Shipping Co., Ltd. 775,917 1,027,982 #Hitejinro Holdings Co., Ltd. 99,611 1,261,034 HMC Investment Securities Co., Ltd. 259,785 2,746,455 #HS R&A Co., Ltd. 37,336 901,031 Humax Co., Ltd. 72,603 880,318 #Husteel Co., Ltd. 59,490 1,170,860 Huvis Corp. 21,080 235,169 #Hwacheon Machine Tool Co., Ltd. 14,227 733,072 Hyosung Corp. 380,987 27,218,906 #*Hyundai BNG Steel Co., Ltd. 140,250 2,946,028 #Hyundai Development Co. 892,664 25,593,154 #Hyundai Heavy Industries Co., Ltd. 255,734 48,081,597 Hyundai Hy Communications & Networks Co., Ltd. 215,230 1,077,145 Hyundai Livart Co., Ltd. 27,580 473,357 #Hyundai Mipo Dockyard 79,837 10,899,702 #Hyundai Motor Co. 382,144 85,205,290
Dimensional Emerging Markets Value Fund continued
Shares Value++ --------- ------------ SOUTH KOREA -- (Continued) #*Hyundai Securities Co., Ltd. 1,779,448 $ 11,997,138 #Hyundai Steel Co. 1,075,101 70,445,262 #*Hyunjin Materials Co., Ltd. 64,806 355,630 #Il Dong Pharmaceutical Co., Ltd. 133,130 1,725,011 #Iljin Electric Co., Ltd. 285,940 2,331,451 #Ilshin Spinning Co., Ltd. 16,366 2,133,169 #Ilsung Pharmaceuticals Co., Ltd. 9,407 707,711 #Industrial Bank of Korea 2,385,570 29,383,732 *InnoWireless, Inc. 907 11,859 Intergis Co., Ltd. 24,590 206,859 INTOPS Co., Ltd. 66,079 1,550,400 Inzi Controls Co., Ltd. 89,540 496,651 #INZI Display Co., Ltd. 337,768 606,156 #*IS Dongseo Co., Ltd. 121,855 2,761,957 #ISU Chemical Co., Ltd. 164,530 2,229,694 #JB Financial Group Co., Ltd. 946,863 6,983,717 #Jeil Pharmaceutical Co. 73,180 1,327,801 JW Pharmaceutical Corp. 101,072 1,710,141 KB Capital Co., Ltd. 93,191 1,854,687 KB Financial Group, Inc. 2,611,033 89,320,287 #KB Financial Group, Inc. ADR 3,171,116 108,864,412 #KC Tech Co., Ltd. 286,512 2,196,564 #KCC Corp. 64,340 32,084,781 #*Keangnam Enterprises, Ltd. 131,000 429,972 *KEC Corp. 124,522 101,379 #Keyang Electric Machinery Co., Ltd. 393,920 1,520,354 #KG Chemical Corp. 48,373 909,694 KISCO Corp. 56,021 1,521,680 #KISCO Holdings Co., Ltd. 11,673 520,574 #Kishin Corp. 109,475 815,691 #KISWIRE, Ltd. 69,836 2,511,213 Kolon Corp. 73,455 1,541,017 #*Kolon Global Corp. 308,890 769,759 #Kolon Industries, Inc. 183,954 12,206,105 Kook Soon Dang Brewery Co., Ltd. 9,161 56,301 Korea Airport Service Co., Ltd. 4,670 115,735 #Korea Cast Iron Pipe Industries Co., Ltd. 7,358 27,538 Korea Circuit Co., Ltd. 24,250 301,136 Korea Electric Terminal Co., Ltd. 89,230 3,764,357 #Korea Export Packaging Industrial Co., Ltd. 5,290 111,517 #Korea Flange Co., Ltd. 58,810 830,727 #Korea Investment Holdings Co., Ltd. 542,836 19,938,443 Korea Petrochemical Ind Co., Ltd. 45,171 2,728,382 *Korean Air Lines Co., Ltd. 33,795 1,086,657 Korean Reinsurance Co. 200,292 1,979,564 KPF 36,644 210,711 KPX Chemical Co., Ltd. 12,852 797,254 *KTB Investment & Securities Co., Ltd. 985,680 2,458,898 Kukdo Chemical Co., Ltd. 51,898 2,552,607 #Kumho Electric Co., Ltd. 52,624 1,243,480 #Kunsul Chemical Industrial Co., Ltd. 28,190 1,200,723 #*Kyeryong Construction Industrial Co., Ltd. 48,550 657,285
Dimensional Emerging Markets Value Fund continued
Shares Value++ --------- ------------ SOUTH KOREA -- (Continued) *Kyobo Securities Co. 268,372 $ 1,793,341 Kyung Dong Navien Co., Ltd. 8,090 194,738 #Kyung-In Synthetic Corp. 184,400 930,993 Kyungbang, Ltd. 10,105 1,303,525 *LB Semicon, Inc. 59,967 122,016 LF Corp. 22,180 576,671 LG Corp. 1,083,610 60,423,876 #*LG Display Co., Ltd. 1,309,420 34,874,698 #*LG Display Co., Ltd. ADR 3,996,524 53,193,734 #LG Electronics, Inc. 1,776,548 118,328,679 LG Hausys, Ltd. 30,641 5,409,384 LG International Corp. 87,110 2,581,029 LG Uplus Corp. 3,029,481 29,836,873 LIG Insurance Co., Ltd. 54,200 1,588,850 #Lotte Chemical Corp. 67,007 10,607,362 Lotte Chilsung Beverage Co., Ltd. 9,880 14,964,395 Lotte Confectionery Co., Ltd. 9,240 15,842,502 *Lotte Non-Life Insurance Co., Ltd. 37,010 136,156 #Lotte Shopping Co., Ltd. 166,351 51,589,632 LS Corp. 12,139 952,147 Meritz Financial Group, Inc. 23,920 172,065 #Meritz Securities Co., Ltd. 2,576,974 5,667,113 Mi Chang Oil Industrial Co., Ltd. 4,691 325,450 #Mirae Asset Securities Co., Ltd. 414,359 17,024,905 #MK Electron Co., Ltd. 123,903 655,092 *MNTech Co., Ltd. 23,868 157,313 Moorim P&P Co., Ltd. 406,838 1,965,820 #Moorim Paper Co., Ltd. 210,130 566,340 Motonic Corp. 121,010 1,407,202 #Namhae Chemical Corp. 23,510 221,317 Namyang Dairy Products Co., Ltd. 4,293 3,809,124 National Plastic Co. 143,890 921,299 #*NEOWIZ HOLDINGS Corp. 69,796 853,460 #Nexen Corp. 13,326 994,729 NH Investment & Securities Co., Ltd. 406,621 2,639,760 NICE Holdings Co., Ltd. 2,290 30,978 #*NK Co., Ltd. 196,310 776,614 #Nong Shim Holdings Co., Ltd. 24,347 2,379,987 #NongShim Co., Ltd. 40,829 12,153,142 OCI Materials Co., Ltd. 5,913 202,945 #*Osung LST Co., Ltd. 36,975 149,574 Ottogi Corp. 4,626 1,835,166 #*Paik Kwang Industrial Co., Ltd. 100,134 249,891 #*Pan Ocean Co., Ltd. 47,845 159,620 #*PaperCorea, Inc. 404,380 262,904 #Poongsan Corp. 397,200 9,802,988 Poongsan Holdings Corp. 49,788 1,503,829 POSCO 675,780 199,644,504 #POSCO ADR 1,617,993 119,084,285 *POSCO Coated & Color Steel Co., Ltd. 23,830 411,164 *Power Logics Co., Ltd. 8,791 38,833 Pulmuone Co., Ltd. 6,558 597,879
Dimensional Emerging Markets Value Fund continued
Shares Value++ --------- ------------ SOUTH KOREA -- (Continued) Pyeong Hwa Automotive Co., Ltd. 6,626 $ 135,313 #S&T Dynamics Co., Ltd. 380,544 4,405,460 S&T Holdings Co., Ltd. 87,883 1,287,319 #S&T Motiv Co., Ltd. 124,000 3,349,588 #*Sajo Industries Co., Ltd. 14,636 496,074 Sam Young Electronics Co., Ltd. 159,570 1,775,874 Sam Yung Trading Co., Ltd. 20,784 395,002 #SAMHWA Paints Industrial Co., Ltd. 2,030 30,266 #Samick Musical Instruments Co., Ltd. 932,470 2,576,889 Samkwang Glass 350 16,592 Samsung C&T Corp. 1,386,322 87,182,647 Samsung Life Insurance Co., Ltd. 12,500 1,163,379 Samsung SDI Co., Ltd. 422,727 62,075,955 Samsung Securities Co., Ltd. 52,330 1,999,791 #Samyang Genex Co., Ltd. 11,337 1,230,730 Samyang Holdings Corp. 86,744 6,049,419 Samyang Tongsang Co., Ltd. 8,060 261,731 #*Samyoung Chemical Co., Ltd. 269,270 596,757 SAVEZONE I&C Corp. 30,450 183,071 Seah Besteel Corp. 168,664 4,556,515 SeAH Holdings Corp. 13,089 1,378,021 SeAH Steel Corp. 32,058 3,820,207 #Sebang Co., Ltd. 137,830 2,388,310 Sejong Industrial Co., Ltd. 102,930 1,729,376 #Sempio Foods Co. 3,110 79,373 #*Seohee Construction Co., Ltd. 1,753,286 1,026,087 #*Seowon Co., Ltd. 86,070 130,980 *Sewon Cellontech Co., Ltd. 23,560 64,163 #*SG Corp. 1,945,560 1,156,126 #Shin Poong Pharmaceutical Co., Ltd. 125,325 555,807 Shinhan Financial Group Co., Ltd. 5,061,519 220,927,148 #Shinhan Financial Group Co., Ltd. ADR 1,626,158 70,900,488 #Shinsegae Co., Ltd. 44,194 9,594,942 Shinsegae Information & Communication Co., Ltd. 5,726 422,737 #*Shinsung Solar Energy Co., Ltd. 765,627 1,102,274 #*Shinsung Tongsang Co., Ltd. 1,106,860 1,374,095 Shinyoung Securities Co., Ltd. 35,820 1,404,332 *Signetics Corp. 104,802 212,592 #Silla Co., Ltd. 64,953 1,562,395 #*Simm Tech Co., Ltd. 10,189 58,922 SIMPAC, Inc. 2,110 14,920 Sindoh Co., Ltd. 43,098 2,828,881 SJM Co., Ltd. 9,114 92,325 #SK Chemicals Co., Ltd. 135,013 7,874,308 SK Gas, Ltd. 47,686 4,381,327 SK Holdings Co., Ltd. 513,323 91,053,325 SK Innovation Co., Ltd. 845,193 96,824,762 *SK Networks Co., Ltd. 2,219,296 20,461,091 #*SK Securities Co., Ltd. 3,931,860 2,817,334 #SKC Co., Ltd. 57,390 1,902,956 SL Corp. 140,660 2,425,837 #Songwon Industrial Co., Ltd. 166,480 1,638,894
Dimensional Emerging Markets Value Fund continued
Shares Value++ ---------- -------------- SOUTH KOREA -- (Continued) *Ssangyong Cement Industrial Co., Ltd. 289,296 $ 2,647,099 #*STS Semiconductor & Telecommunications 63,568 145,329 #*STX Engine Co., Ltd. 293,680 997,597 Suheung Co., Ltd. 3,330 123,531 Sun Kwang Co., Ltd. 20,098 356,442 #*Sungchang Enterprise Holdings, Ltd. 16,000 316,734 #*Sungshin Cement Co., Ltd. 119,420 1,320,935 Sungwoo Hitech Co., Ltd. 117,891 1,904,291 #Tae Kyung Industrial Co., Ltd. 116,020 575,653 Taekwang Industrial Co., Ltd. 4,337 5,588,636 #*Taewoong Co., Ltd. 70,311 1,699,606 *Taeyoung Engineering & Construction Co., Ltd. 564,040 3,529,381 #Tailim Packaging Industrial Co., Ltd. 374,220 724,165 TCC Steel 51,210 182,635 #*TK Chemical Corp. 329,048 723,214 *Tong Kook Corp. 607 -- #Tong Yang Moolsan Co., Ltd. 72,180 691,911 Tongyang Life Insurance 95,710 931,733 #TONGYANG Securities, Inc. 918,859 2,047,702 *Top Engineering Co., Ltd. 49,113 212,835 #TS Corp. 65,206 1,991,954 Uju Electronics Co., Ltd. 4,583 81,407 #Unid Co., Ltd. 46,751 3,014,139 Union Steel 38,477 524,817 #*WillBes & Co. (The) 538,070 600,362 Wiscom Co., Ltd. 32,980 166,364 #*Woongjin Energy Co., Ltd. 751,750 1,701,054 #*Woongjin Thinkbig Co., Ltd. 175,710 1,371,398 Wooree ETI Co., Ltd. 83,194 227,539 #*Woori Finance Holdings Co., Ltd. 4,510,507 49,480,262 #*Woori Finance Holdings Co., Ltd. ADR 8,505 280,708 Woori Investment & Securities Co., Ltd. 2,434,303 20,617,035 #WooSung Feed Co., Ltd. 284,940 838,734 YESCO Co., Ltd. 30,550 1,120,447 #Yoosung Enterprise Co., Ltd. 81,335 382,604 YooSung T&S Co., Ltd. 27,033 40,026 Youlchon Chemical Co., Ltd. 159,540 2,182,433 #Young Poong Corp. 4,659 5,366,021 *Young Poong Mining & Construction Corp. 18,030 -- #Young Poong Precision Corp. 52,185 491,148 Youngone Holdings Co., Ltd. 24,409 1,739,942 YuHwa Securities Co., Ltd. 28,680 336,117 *Zinus, Inc. 1,866 -- -------------- TOTAL SOUTH KOREA 2,868,956,558 -------------- TAIWAN -- (14.0%) #Ability Enterprise Co., Ltd. 2,645,000 1,669,053 AcBel Polytech, Inc. 1,501,219 1,972,583 Accton Technology Corp. 8,825,156 5,255,845 #*Acer, Inc. 44,581,364 27,568,960 ACES Electronic Co., Ltd. 598,000 691,166 #ACHEM Technology Corp. 3,146,318 2,277,732
Dimensional Emerging Markets Value Fund continued
Shares Value++ ---------- ----------- TAIWAN -- (Continued) *Action Electronics Co., Ltd. 3,511,084 $ 700,752 *Advanced Connectek, Inc. 602,000 253,683 Advanced International Multitech Co., Ltd. 194,000 198,721 #*Advanced Wireless Semiconductor Co. 555,000 379,848 #*AGV Products Corp. 7,871,701 2,481,747 #AimCore Technology Co., Ltd. 682,797 745,153 #Alcor Micro Corp. 481,000 655,781 #Allis Electric Co., Ltd. 1,471,000 464,639 Alpha Networks, Inc. 5,949,237 4,719,618 #Altek Corp. 6,185,808 6,246,753 #Ambassador Hotel (The) 965,000 890,420 #AMPOC Far-East Co., Ltd. 1,772,000 1,500,922 AmTRAN Technology Co., Ltd. 12,283,956 8,506,702 #APCB, Inc. 2,454,000 1,682,366 #Arcadyan Technology Corp. 1,217,931 1,911,988 Ardentec Corp. 2,182,280 1,854,716 *Arima Communications Corp. 251,566 148,466 #Asia Cement Corp. 25,637,049 33,727,979 #*Asia Optical Co., Inc. 4,048,290 4,040,631 #Asia Polymer Corp. 4,449,478 3,450,175 #Asia Vital Components Co., Ltd. 4,933,984 3,156,827 Asustek Computer, Inc. 730,000 7,547,493 #*AU Optronics Corp. 53,434,812 20,314,124 #*AU Optronics Corp. Sponsored ADR 9,342,184 35,126,612 #Audix Corp. 1,814,164 1,752,056 #Avermedia Technologies 3,229,000 1,331,786 #*Avision, Inc. 2,782,555 942,849 AVY Precision Technology, Inc. 252,000 381,755 Bank of Kaohsiung 6,588,900 2,076,113 Basso Industry Corp. 373,000 463,481 BES Engineering Corp. 25,693,443 6,749,288 #Biostar Microtech International Corp. 2,799,055 1,141,321 *Bright Led Electronics Corp. 1,725,000 900,277 #C Sun Manufacturing, Ltd. 2,535,837 2,420,493 #Cameo Communications, Inc. 3,060,197 907,956 Capital Securities Corp. 25,294,447 8,675,824 Career Technology MFG. Co., Ltd. 2,199,000 3,104,777 #Carnival Industrial Corp. 6,172,000 1,649,886 #Cathay Chemical Works 959,000 531,908 Cathay Real Estate Development Co., Ltd. 14,314,421 8,306,363 #Celxpert Energy Corp. 262,000 141,630 Central Reinsurance Co., Ltd. 2,562,016 1,369,896 #ChainQui Construction Development Co., Ltd. 1,547,173 1,298,177 *Champion Building Materials Co., Ltd. 6,381,828 2,263,681 *Chang Ho Fibre Corp. 50,000 17,068 Chang Hwa Commercial Bank 86,151,711 50,086,975 #Channel Well Technology Co., Ltd. 1,234,000 659,741 #Charoen Pokphand Enterprise 3,055,000 2,700,766 #Chen Full International Co., Ltd. 1,262,000 1,285,347 Cheng Loong Corp. 13,870,659 6,022,785 Cheng Uei Precision Industry Co., Ltd. 5,391,635 10,852,481 #Chia Chang Co., Ltd. 1,158,000 1,374,262
Dimensional Emerging Markets Value Fund continued
Shares Value++ ----------- ----------- TAIWAN -- (Continued) *Chia Hsin Cement Corp. 7,583,191 $ 3,980,534 Chien Kuo Construction Co., Ltd. 4,979,247 2,254,083 *Chien Shing Stainless Steel Co., Ltd. 1,034,000 143,037 #Chilisin Electronics Corp. 1,683,836 1,293,932 Chin-Poon Industrial Co., Ltd. 6,084,815 11,421,237 *China Airlines, Ltd. 46,049,353 15,412,072 China Chemical & Pharmaceutical Co., Ltd. 4,203,264 3,101,651 China Development Financial Holding Corp. 200,440,960 57,488,244 China Electric Manufacturing Corp. 4,084,200 1,720,072 #China General Plastics Corp. 6,569,260 3,321,569 #China Glaze Co., Ltd. 2,312,363 1,181,151 China Life Insurance Co., Ltd. 13,412,780 11,750,620 #*China Man-Made Fiber Corp. 21,204,813 7,176,990 China Metal Products 3,572,362 4,120,626 #China Motor Corp. 11,464,749 10,384,436 #China Petrochemical Development Corp. 33,049,397 13,031,049 #China Steel Corp. 2,686,000 2,257,075 China Steel Structure Co., Ltd. 1,435,219 1,582,921 China Synthetic Rubber Corp. 8,076,711 7,731,258 *China United Trust & Investment Corp. 493,999 -- #*China Wire & Cable Co., Ltd. 2,900,000 1,143,942 #Chinese Maritime Transport, Ltd. 1,529,000 1,801,943 #*Chun YU Works & Co., Ltd. 3,012,000 1,270,254 Chun Yuan Steel 6,454,287 2,705,987 #Chung Hsin Electric & Machinery Manufacturing Corp. 6,609,000 4,450,143 *Chung Hung Steel Corp. 12,863,046 3,319,847 #*Chung Hwa Pulp Corp. 6,904,011 2,064,012 *Chung Shing Textile Co., Ltd. 600 -- *Chunghwa Picture Tubes, Ltd. 55,899,412 3,473,149 #*CMC Magnetics Corp. 52,168,830 8,044,925 CoAsia Microelectronics Corp. 1,408,350 701,640 Collins Co., Ltd. 2,467,224 919,718 Compal Electronics, Inc. 73,788,332 52,642,917 Compeq Manufacturing Co., Ltd. 20,781,000 13,626,922 *Compex International Co., Ltd. 46,400 -- *Concord Securities Corp. 1,749,000 451,582 Continental Holdings Corp. 7,293,848 2,768,096 Coretronic Corp. 8,856,000 10,575,943 *Cosmos Bank Taiwan 948,872 468,094 Coxon Precise Industrial Co., Ltd. 2,002,000 3,389,267 #Creative Sensor, Inc. 359,000 301,134 *Crystalwise Technology, Inc. 319,456 321,189 CSBC Corp. Taiwan 6,053,654 3,674,854 CTBC Financial Holding Co., Ltd. 87,968,355 52,338,491 CviLux Corp. 22,000 30,294 #D-Link Corp. 11,107,939 7,278,255 #DA CIN Construction Co., Ltd. 2,401,579 2,235,738 #Darfon Electronics Corp. 6,128,950 4,264,960 #Delpha Construction Co., Ltd. 3,970,016 2,213,522 *Der Pao Construction Co., Ltd. 1,139,000 -- #DFI, Inc. 387,280 482,899 #*Dynamic Electronics Co., Ltd. 4,558,324 1,711,464
Dimensional Emerging Markets Value Fund continued
Shares Value++ ----------- ------------ TAIWAN -- (Continued) #*E Ink Holdings, Inc. 10,124,000 $ 6,747,439 #*E-Ton Solar Tech Co., Ltd. 4,038,443 2,497,845 E.Sun Financial Holding Co., Ltd.() 6,699,382 721,008 E.Sun Financial Holding Co., Ltd.(6433912) 73,544,913 44,484,387 *Eastern Media International Corp. 6,127,597 2,667,873 #Edimax Technology Co., Ltd. 3,202,902 1,547,119 #Edison Opto Corp. 862,000 1,026,626 Edom Technology Co., Ltd. 1,046,800 647,290 Elite Material Co., Ltd. 3,578,905 3,200,658 Elite Semiconductor Memory Technology, Inc. 1,247,000 2,274,021 Elitegroup Computer Systems Co., Ltd. 8,410,341 6,233,143 #ENG Electric Co., Ltd. 781,000 636,332 EnTie Commercial Bank 2,271,232 1,008,396 *Episil Technologies, Inc. 3,317,000 1,293,698 #Epistar Corp. 12,896,000 28,221,018 Eternal Chemical Co., Ltd. 1,630,000 1,701,956 *Etron Technology, Inc. 2,448,000 1,328,074 *Eva Airways Corp. 10,051,850 5,098,906 *Ever Fortune Industrial Co., Ltd. 409,000 -- *Everest Textile Co., Ltd. 3,892,002 1,440,703 Evergreen International Storage & Transport Corp. 9,778,000 6,001,055 *Evergreen Marine Corp. Taiwan, Ltd. 30,795,998 17,508,379 Everlight Chemical Industrial Corp. 1,754,005 1,610,726 Everlight Electronics Co., Ltd. 60,000 140,603 Excelsior Medical Co., Ltd. 1,410,200 2,633,188 Far Eastern Department Stores, Ltd. 4,997,652 4,655,589 #Far Eastern International Bank 27,471,817 9,648,754 Far Eastern New Century Corp. 596,000 610,694 *Farglory F T Z Investment Holding Co., Ltd. 909,000 706,846 Farglory Land Development Co., Ltd. 872,264 1,430,632 #Federal Corp. 6,978,685 4,985,994 #*First Copper Technology Co., Ltd. 3,629,750 1,270,051 First Financial Holding Co., Ltd. 123,420,215 72,399,652 First Hotel 1,216,590 771,951 #First Insurance Co., Ltd. 4,017,064 2,504,504 First Steamship Co., Ltd. 5,379,173 3,139,567 Forhouse Corp. 7,061,635 2,871,086 #Formosa Advanced Technologies Co., Ltd. 1,459,000 1,123,039 #*Formosa Epitaxy, Inc. 8,379,000 4,812,799 #Formosa Oilseed Processing 1,111,977 475,608 Formosa Taffeta Co., Ltd. 10,729,511 11,221,082 #Formosan Rubber Group, Inc. 8,194,000 7,673,665 Formosan Union Chemical 2,827,034 1,376,957 Fortune Electric Co., Ltd. 436,000 236,901 #Founding Construction & Development Co., Ltd. 3,092,474 1,927,681 Foxconn Technology Co., Ltd. 526,000 1,308,805 #Foxlink Image Technology Co., Ltd. 768,000 568,538 *Froch Enterprise Co., Ltd. 1,933,000 680,112 #FSP Technology, Inc. 1,986,283 2,133,791 Fubon Financial Holding Co., Ltd. 88,739,471 114,853,842 Fullerton Technology Co., Ltd. 1,753,200 1,581,041 #*Fulltech Fiber Glass Corp. 4,796,690 1,973,361
Dimensional Emerging Markets Value Fund continued
Shares Value++ ---------- ----------- TAIWAN -- (Continued) #Fwusow Industry Co., Ltd. 2,782,995 $ 1,401,870 G Shank Enterprise Co., Ltd. 2,883,880 2,172,452 #G Tech Optoelectronics Corp. 296,000 338,762 *Gallant Precision Machining Co., Ltd. 2,001,000 825,249 #Gemtek Technology Corp. 6,366,962 5,755,160 #*Genesis Photonics, Inc. 2,818,059 1,906,906 #Genius Electronic Optical Co., Ltd. 172,000 591,231 #Getac Technology Corp. 8,342,065 4,446,773 #*Giantplus Technology Co., Ltd. 1,289,100 551,154 #Giga Solution Tech Co., Ltd. 669,000 385,993 #Gigabyte Technology Co., Ltd. 9,308,287 14,538,603 #*Gigastorage Corp. 4,351,600 5,287,667 #*Gintech Energy Corp. 6,960,942 7,164,619 #*Global Brands Manufacture, Ltd. 5,083,951 1,710,480 #Global Lighting Technologies, Inc. 668,000 795,722 *Globe Union Industrial Corp. 2,671,000 1,765,693 Gloria Material Technology Corp. 5,283,150 4,285,556 *Gold Circuit Electronics, Ltd. 8,144,965 2,235,815 Goldsun Development & Construction Co., Ltd. 23,939,261 8,452,103 Good Will Instrument Co., Ltd. 466,380 309,184 #Grand Pacific Petrochemical 17,166,000 10,929,824 Great China Metal Industry 871,000 1,132,070 Great Wall Enterprise Co., Ltd. 4,398,767 4,557,359 #*Green Energy Technology, Inc. 4,571,880 3,803,279 #*GTM Corp. 2,449,000 1,566,757 #Hannstar Board Corp. 5,082,635 1,838,895 #*HannStar Display Corp. 49,769,000 17,263,384 *HannsTouch Solution, Inc. 194,000 53,189 #*Harvatek Corp. 3,454,459 2,063,010 *Helix Technology, Inc. 29,585 -- #Hey Song Corp. 3,025,500 3,178,130 *HiTi Digital, Inc. 40,175 25,766 #Hitron Technology, Inc. 3,410,525 2,117,552 #Ho Tung Chemical Corp. 13,367,052 5,964,770 *Hocheng Corp. 4,501,300 1,516,257 #Hold-Key Electric Wire & Cable Co., Ltd. 515,124 162,193 #Holy Stone Enterprise Co., Ltd. 2,793,650 3,770,494 Hong TAI Electric Industrial 3,949,000 1,361,341 #Horizon Securities Co., Ltd. 5,065,000 1,496,279 #Hsin Kuang Steel Co., Ltd. 4,316,124 2,745,629 Hsing TA Cement Co. 2,071,980 983,388 HUA ENG Wire & Cable 7,674,035 2,975,367 Hua Nan Financial Holdings Co., Ltd. 50,911,430 28,681,830 *Hua Yu Lien Development Co., Ltd. 2,799 4,441 *Hualon Corp. 257,040 -- #Hung Ching Development & Construction Co., Ltd. 1,987,468 1,062,108 Hung Poo Real Estate Development Corp. 3,576,655 3,202,015 Hung Sheng Construction, Ltd. 8,741,892 5,666,708 Huxen Corp. 572,281 943,136 *Hwa Fong Rubber Co., Ltd. 1,996,800 1,387,583 #I-Chiun Precision Industry Co., Ltd. 3,240,000 2,340,834 #Ichia Technologies, Inc. 6,144,260 7,545,826
Dimensional Emerging Markets Value Fund continued
Shares Value++ ----------- ----------- TAIWAN -- (Continued) Infortrend Technology, Inc. 852,000 $ 534,775 #*Innolux Corp. 124,406,745 42,976,343 #*Inotera Memories, Inc. 30,424,728 31,251,826 #*Inpaq Technology Co., Ltd. 434,000 521,601 Integrated Memory Logic, Ltd. 196,000 536,888 Inventec Corp. 29,168,277 26,895,654 #ITE Technology, Inc. 2,594,479 2,852,369 #*J Touch Corp. 832,000 635,206 *Janfusun Fancyworld Corp. 533,179 92,319 #Jess-Link Products Co., Ltd. 1,299,000 1,226,651 #Jih Sun Financial Holdings Co., Ltd. 4,417,995 1,194,178 #K Laser Technology, Inc. 1,782,601 955,188 Kang Na Hsiung Enterprise Co., Ltd. 1,655,078 795,427 Kao Hsing Chang Iron & Steel 726,700 313,602 #Kaulin Manufacturing Co., Ltd. 2,570,656 2,263,472 #KEE TAI Properties Co., Ltd. 376,000 256,137 *Kenmec Mechanical Engineering Co., Ltd. 1,924,000 888,876 King Yuan Electronics Co., Ltd. 21,676,805 16,553,273 #King's Town Bank 11,853,012 11,006,222 *King's Town Construction Co., Ltd. 44,000 36,737 Kingdom Construction Co. 4,888,000 5,053,254 #Kinko Optical Co., Ltd. 745,000 686,326 #Kinpo Electronics 19,097,375 7,125,210 KS Terminals, Inc. 1,106,880 1,847,088 Kung Sing Engineering Corp. 2,712,000 1,231,013 Kuoyang Construction Co., Ltd. 7,664,840 3,898,162 #Kwong Fong Industries 4,296,720 2,804,047 KYE Systems Corp. 4,072,000 1,757,776 L&K Engineering Co., Ltd. 2,019,000 1,801,461 #LAN FA Textile 3,158,713 976,998 LCY Chemical Corp. 505,000 519,785 #Leader Electronics, Inc. 1,831,056 844,429 Lealea Enterprise Co., Ltd. 12,751,118 4,479,927 Ledtech Electronics Corp. 310,000 199,516 #LEE CHI Enterprises Co., Ltd. 3,466,900 1,945,337 #Lelon Electronics Corp. 1,422,200 1,384,259 #*Leofoo Development Co. 5,249,774 1,984,184 LES Enphants Co., Ltd. 692,000 466,813 #Lextar Electronics Corp. 1,948,000 1,906,992 #*Li Peng Enterprise Co., Ltd. 9,254,703 4,329,604 Lien Hwa Industrial Corp. 9,006,990 5,699,056 Lingsen Precision Industries, Ltd. 6,583,480 4,344,382 #Lite-On Semiconductor Corp. 4,671,190 3,431,135 Lite-On Technology Corp. 30,365,075 46,451,613 #Long Chen Paper Co., Ltd. 8,428,253 3,687,292 Longwell Co. 1,333,000 1,765,727 #Lotes Co., Ltd. 1,030,000 3,349,421 #*Lucky Cement Corp. 3,099,000 893,716 #*Macronix International 72,368,913 17,067,958 Marketech International Corp. 1,948,000 1,414,231 Masterlink Securities Corp. 16,637,000 5,434,464 #Mayer Steel Pipe Corp. 2,472,456 1,121,552
Dimensional Emerging Markets Value Fund continued
Shares Value++ ----------- ------------ TAIWAN -- (Continued) #Maywufa Co., Ltd. 252,070 $ 123,960 Mega Financial Holding Co., Ltd. 136,903,915 104,811,122 *Megamedia Corp. 782 -- Meiloon Industrial Co. 1,613,084 951,985 Mercuries & Associates, Ltd. 1,923,937 1,274,634 #*Mercuries Life Insurance Co., Ltd. 514,000 287,824 Micro-Star International Co., Ltd. 14,030,985 15,376,953 #*Microelectronics Technology, Inc. 721,826 384,678 #Mirle Automation Corp. 565,550 514,151 *Mitac Holdings Corp. 9,940,725 8,043,236 *Mosel Vitelic, Inc. 7,422,506 1,477,704 *Motech Industries, Inc. 2,072,000 3,511,549 #*Nan Ren Lake Leisure Amusement Co., Ltd. 954,000 384,591 #*Nan Ya Printed Circuit Board Corp. 3,855,000 5,443,427 Nantex Industry Co., Ltd. 2,345,766 1,472,717 *Nanya Technology Corp. 2,319,000 380,491 #*Neo Solar Power Corp. 1,508,066 1,790,787 New Asia Construction & Development Corp. 1,810,304 469,525 #New Era Electronics Co., Ltd. 146,000 180,489 Nichidenbo Corp. 101,330 100,944 Nien Hsing Textile Co., Ltd. 4,491,721 4,432,226 Nishoku Technology, Inc. 260,000 384,104 O-TA Precision Industry Co., Ltd. 24,000 16,730 *Ocean Plastics Co., Ltd. 556,000 746,093 *Optimax Technology Corp. 1,085,597 188,868 OptoTech Corp. 9,532,000 4,602,890 *Orient Semiconductor Electronics, Ltd. 5,501,276 1,553,746 #Pacific Construction Co. 2,529,452 748,650 #*Pan Jit International, Inc. 6,047,837 2,751,027 #Pan-International Industrial Corp. 3,585,766 2,643,624 #Paragon Technologies Co., Ltd. 1,221,191 3,336,394 #Pegatron Corp. 28,365,998 43,045,423 #Phihong Technology Co., Ltd. 3,177,320 2,129,128 Pixart Imaging, Inc. 87,000 170,492 Plotech Co., Ltd. 760,282 302,747 Portwell, Inc. 781,000 840,940 *Potrans Electrical Corp. 1,139,000 -- Pou Chen Corp. 24,985,550 31,813,749 *Power Quotient International Co., Ltd. 142,000 65,879 *Powercom Co., Ltd. 1,347,500 209,786 Powertech Industrial Co., Ltd. 271,000 194,092 #Powertech Technology, Inc. 11,882,000 19,230,186 #President Securities Corp. 12,690,992 6,962,171 #Prime Electronics Satellitics, Inc. 492,000 352,146 #Prince Housing & Development Corp. 3,185,824 1,474,672 *Prodisc Technology, Inc. 6,185,157 -- Promate Electronic Co., Ltd. 811,000 951,445 #*Qisda Corp. 27,187,171 8,836,955 #Qualipoly Chemical Corp. 78,000 64,659 #Quanta Storage, Inc. 2,413,000 3,017,031 #*Quintain Steel Co., Ltd. 5,893,629 1,302,864 #Radium Life Tech Co., Ltd. 7,783,290 6,100,149
Dimensional Emerging Markets Value Fund continued
Shares Value++ ----------- ----------- TAIWAN -- (Continued) #Ralec Electronic Corp. 477,087 $ 913,201 #Rich Development Co., Ltd. 3,664,055 1,724,216 #*Ritek Corp. 53,401,622 8,366,806 Ruentex Industries, Ltd. 189,000 449,484 *Sainfoin Technology Corp. 835,498 -- Sampo Corp. 9,863,925 3,793,378 Sanyang Industry Co., Ltd. 8,894,624 8,145,023 SDI Corp. 506,000 749,995 #Sesoda Corp. 1,037,875 1,082,180 Shan-Loong Transportation Co., Ltd. 66,000 56,721 Sheng Yu Steel Co., Ltd. 1,935,000 1,449,359 ShenMao Technology, Inc. 1,255,000 1,678,670 Shih Her Technologies, Inc. 373,000 889,807 Shih Wei Navigation Co., Ltd. 2,487,718 1,674,337 #Shihlin Electric & Engineering Corp. 4,426,000 5,350,493 #Shin Kong Financial Holding Co., Ltd. 139,399,755 42,222,325 #Shin Zu Shing Co., Ltd. 810,000 2,198,843 #Shinkong Insurance Co., Ltd. 3,610,412 2,806,960 Shinkong Synthetic Fibers Corp. 27,670,754 8,908,979 #Shuttle, Inc. 4,316,015 1,690,165 #Sigurd Microelectronics Corp. 6,663,047 6,634,041 #*Silicon Integrated Systems Corp. 10,317,165 2,933,157 #Silitech Technology Corp. 509,000 689,914 Sinbon Electronics Co., Ltd. 1,636,000 2,439,371 Sincere Navigation Corp. 4,923,740 4,288,022 #Singatron Enterprise Co., Ltd. 63,000 33,030 *Sinkang Industries Co., Ltd. 699,557 276,130 #*Sino-American Silicon Products, Inc. 6,910,000 11,594,486 #Sinon Corp. 6,282,877 3,672,825 SinoPac Financial Holdings Co., Ltd. 118,734,614 53,000,736 Sirtec International Co., Ltd. 181,000 329,290 Sitronix Technology Corp. 1,394,000 2,767,505 #*Siward Crystal Technology Co., Ltd. 2,301,875 1,338,961 #Solar Applied Materials Technology Co. 855,000 760,123 #*Solartech Energy Corp. 3,269,165 2,456,703 Solomon Technology Corp. 1,334,671 853,639 #*Solytech Enterprise Corp. 3,043,000 1,028,626 Southeast Cement Co., Ltd. 3,539,700 1,878,018 Spirox Corp. 946,661 454,358 #Stark Technology, Inc. 2,259,200 2,174,714 Sunonwealth Electric Machine Industry Co., Ltd. 567,421 438,401 #*Sunplus Technology Co., Ltd. 8,214,620 3,121,638 #Sunrex Technology Corp. 1,158,000 516,931 #Super Dragon Technology Co., Ltd. 155,175 105,986 #Supreme Electronics Co., Ltd. 3,705,277 2,032,363 #Sweeten Construction Co., Ltd. 1,258,501 820,082 #Sysage Technology Co., Ltd. 178,500 215,151 Systex Corp. 801,801 1,587,672 #T-Mac Techvest PCB Co., Ltd. 996,000 742,060 TA Chen Stainless Pipe 8,424,281 4,691,530 *Ta Chong Bank, Ltd. 28,713,769 9,567,739 Ta Ya Electric Wire & Cable 8,979,329 2,190,585
Dimensional Emerging Markets Value Fund continued
Shares Value++ ----------- ----------- TAIWAN -- (Continued) #TA-I Technology Co., Ltd. 1,782,233 $ 983,423 #Tah Hsin Industrial Co., Ltd. 1,700,000 1,617,526 TAI Roun Products Co., Ltd. 63,000 21,191 Taichung Commercial Bank 30,459,178 10,147,777 #Tainan Enterprises Co., Ltd. 1,985,183 2,101,321 #Tainan Spinning Co., Ltd. 17,901,938 12,044,496 Taishin Financial Holding Co., Ltd. 124,375,804 56,491,381 #*Taisun Enterprise Co., Ltd. 3,464,410 1,468,716 #*Taita Chemical Co., Ltd. 3,554,864 1,196,272 *Taiwan Business Bank 57,772,510 16,856,835 #Taiwan Calsonic Co., Ltd. 48,000 42,999 Taiwan Cement Corp. 45,081,440 71,631,573 Taiwan Cogeneration Corp. 4,188,333 2,781,344 Taiwan Cooperative Financial Holding Co., Ltd. 90,086,827 47,923,245 Taiwan Fertilizer Co., Ltd. 2,273,000 4,523,211 Taiwan Fire & Marine Insurance Co. 1,197,000 930,720 *Taiwan Flourescent Lamp Co., Ltd. 756,000 -- Taiwan FU Hsing Industrial Co., Ltd. 2,128,000 2,192,327 Taiwan Glass Industry Corp. 9,558,710 8,750,925 #Taiwan Hopax Chemicals Manufacturing Co., Ltd. 1,508,000 1,222,277 *Taiwan Kolin Co., Ltd. 5,797,000 -- #*Taiwan Land Development Corp. 12,050,739 4,434,052 *Taiwan Life Insurance Co., Ltd. 788,419 606,616 Taiwan Mask Corp. 3,154,250 1,076,378 Taiwan Navigation Co., Ltd. 1,151,000 846,847 Taiwan Paiho, Ltd. 1,963,549 2,581,351 #Taiwan PCB Techvest Co., Ltd. 1,847,946 2,630,290 #Taiwan Prosperity Chemical Corp. 532,000 520,624 *Taiwan Pulp & Paper Corp. 7,065,660 2,657,541 #Taiwan Sakura Corp. 2,890,472 2,074,978 #Taiwan Semiconductor Co., Ltd. 2,741,000 3,025,147 *Taiwan Styrene Monomer 3,560,045 2,002,897 Taiwan Surface Mounting Technology Co., Ltd. 1,520,600 2,274,018 #*Taiwan TEA Corp. 12,332,092 7,648,798 #Taiwan Union Technology Corp. 3,225,000 3,151,662 #Taiyen Biotech Co., Ltd. 2,363,217 2,012,144 *Tatung Co., Ltd. 37,255,342 11,806,257 Te Chang Construction Co., Ltd. 45,000 45,356 Teco Electric and Machinery Co., Ltd. 32,704,725 35,565,058 *Tecom Co., Ltd. 703,753 72,473 #*Tekcore Co., Ltd. 399,000 188,168 Test-Rite International Co., Ltd. 706,266 507,156 #Tex-Ray Industrial Co., Ltd. 407,000 181,002 #ThaiLin Semiconductor Corp. 1,139,000 791,029 #Thinking Electronic Industrial Co., Ltd. 1,490,000 2,472,367 Ton Yi Industrial Corp. 6,511,600 6,937,946 Tong Yang Industry Co., Ltd. 5,716,228 8,204,144 Tong-Tai Machine & Tool Co., Ltd. 3,193,368 3,234,360 Topco Scientific Co., Ltd. 705,480 1,317,762 #Topoint Technology Co., Ltd. 2,564,288 1,841,504 #Transasia Airways Corp. 768,000 298,867 Tripod Technology Corp. 1,159,000 2,284,445
Dimensional Emerging Markets Value Fund continued
Shares Value++ ----------- ------------- TAIWAN -- (Continued) #Tung Ho Steel Enterprise Corp. 12,119,274 $ 10,344,278 #Tung Ho Textile Co., Ltd. 2,542,000 817,426 #TXC Corp. 289,000 417,567 *TYC Brother Industrial Co., Ltd. 2,525,723 1,603,131 #*Tycoons Group Enterprise 7,782,938 1,379,750 *Tyntek Corp. 5,112,683 1,725,551 TZE Shin International Co., Ltd. 738,483 273,065 #*U-Tech Media Corp. 1,946,799 459,354 Unic Technology Corp. 36,361 14,774 #Unimicron Technology Corp. 24,718,363 21,039,531 #*Union Bank Of Taiwan 11,194,494 3,988,004 #Unitech Computer Co., Ltd. 1,399,739 754,119 *Unitech Printed Circuit Board Corp. 10,230,281 3,990,683 United Integrated Services Co., Ltd. 1,576,000 1,722,457 #United Microelectronics Corp. 214,601,681 93,569,573 Universal Cement Corp. 6,391,551 6,123,258 *Unizyx Holding Corp. 6,190,000 3,436,475 UPC Technology Corp. 12,752,746 5,665,832 #USI Corp. 6,088,691 3,853,734 Ve Wong Corp. 1,594,806 1,220,198 #*Wafer Works Corp. 4,343,000 2,222,003 #Wah Hong Industrial Corp. 294,516 299,468 Wah Lee Industrial Corp. 1,891,000 3,619,714 *Walsin Lihwa Corp. 59,959,412 19,696,675 *Walsin Technology Corp. 10,131,230 3,026,497 #*Walton Advanced Engineering, Inc. 5,170,853 2,146,350 Wan Hai Lines, Ltd. 9,533,000 4,756,980 WAN HWA Enterprise Co. 622,550 303,486 Waterland Financial Holdings Co., Ltd. 30,493,739 9,559,914 #Ways Technical Corp., Ltd. 527,000 827,844 *WEI Chih Steel Industrial Co., Ltd. 1,880,898 299,307 #*Wei Mon Industry Co., Ltd. 7,231,691 2,290,617 #Weikeng Industrial Co., Ltd. 1,617,550 1,273,360 #Well Shin Technology Co., Ltd. 987,080 1,807,129 Weltrend Semiconductor 215,100 198,789 #Wha Yu Industrial Co., Ltd. 494,000 264,871 #Win Semiconductors Corp. 3,300,000 2,950,278 *Winbond Electronics Corp. 53,714,885 16,187,044 #*Wintek Corp. 42,711,507 14,314,985 #Wisdom Marine Lines Co., Ltd. 770,350 926,469 #Wistron Corp. 34,969,332 29,220,510 WPG Holdings, Ltd. 515,092 633,680 WT Microelectronics Co., Ltd. 3,726,096 5,087,809 WUS Printed Circuit Co., Ltd. 5,078,928 2,699,475 Yageo Corp. 24,297,788 11,569,802 *Yang Ming Marine Transport Corp. 24,364,676 9,978,689 #YC Co., Ltd. 4,876,764 3,546,748 YC INOX Co., Ltd. 4,679,667 4,345,612 #YeaShin International Development Co., Ltd. 159,000 111,888 YFY, Inc. 19,060,847 8,403,448 #*Yi Jinn Industrial Co., Ltd. 3,814,189 1,074,871 #*Yieh Phui Enterprise Co., Ltd. 16,798,235 5,193,241
Dimensional Emerging Markets Value Fund continued
Shares Value++ ----------- -------------- TAIWAN -- (Continued) #Young Fast Optoelectronics Co., Ltd. 2,546,000 $ 2,477,854 #Youngtek Electronics Corp. 213,000 452,204 Yuanta Financial Holding Co., Ltd. 140,084,654 69,928,048 #Yulon Motor Co., Ltd. 13,942,572 21,696,305 Yung Chi Paint & Varnish Manufacturing Co., Ltd. 359,687 953,829 #Zenitron Corp. 3,202,000 1,893,669 #*Zig Sheng Industrial Co., Ltd. 8,536,352 2,604,874 Zinwell Corp. 1,931,000 1,986,074 -------------- TOTAL TAIWAN 2,816,819,326 -------------- THAILAND -- (2.8%) AAPICO Hitech PCL 681,760 309,699 *AJ Plast PCL 2,076,900 638,602 AP Thailand PCL 22,884,300 4,030,918 Asia Plus Securities PCL 11,510,900 1,244,998 Bangchak Petroleum PCL (The) 10,134,500 10,021,755 Bangkok Bank PCL(6077019) 2,898,400 16,928,232 Bangkok Bank PCL(6368360) 8,550,300 49,806,290 Bangkok Expressway PCL 5,564,000 5,888,968 Bangkok Insurance PCL 212,828 2,269,025 Bangkok Land PCL 120,207,503 6,054,951 Banpu PCL 18,687,700 17,324,815 Cal-Comp Electronics Thailand PCL 26,643,136 2,124,206 Charoong Thai Wire & Cable PCL 1,255,800 358,966 Delta Electronics Thailand PCL 4,067,600 7,164,808 Eastern Water Resources Development and Management PCL 6,205,600 2,109,444 *Esso Thailand PCL 23,848,000 4,605,995 *G J Steel PCL 537,140,250 995,934 *G Steel PCL 79,804,200 369,921 Hana Microelectronics PCL 5,130,500 5,113,060 ICC International PCL 2,682,700 3,274,618 IRPC PCL 141,662,600 16,109,962 *Italian-Thai Development PCL 5,133,000 583,728 Kang Yong Electric PCL 3,400 29,524 KGI Securities Thailand PCL 19,837,300 1,777,756 Kiatnakin Bank PCL 5,785,100 7,687,247 Krung Thai Bank PCL 78,764,400 44,055,489 Laguna Resorts & Hotels PCL 1,317,700 1,262,321 Lanna Resources PCL 335,400 133,704 LH Financial Group PCL 15,909,050 884,929 MBK PCL 8,632,000 4,054,586 Nation Multimedia Group PCL 3,462,900 147,676 *Padaeng Industry PCL 1,284,300 543,724 Polyplex Thailand PCL 5,460,000 1,678,832 Precious Shipping PCL 6,442,200 5,474,676 Property Perfect PCL 47,004,700 1,365,402 PTT Exploration & Production PCL 1,277,700 6,297,687 PTT Global Chemical PCL 30,386,641 65,496,545 PTT PCL 14,249,300 137,825,430 Quality Houses PCL 47,211,441 4,756,159 *Regional Container Lines PCL 5,634,100 1,096,874 Saha Pathana Inter-Holding PCL 2,906,200 2,002,727
Dimensional Emerging Markets Value Fund continued
Shares Value++ ----------- ------------ THAILAND -- (Continued) Saha Pathanapibul PCL 1,594,833 $ 2,032,969 Saha-Union PCL 2,963,700 3,457,345 *Sahaviriya Steel Industries PCL 149,229,740 1,660,158 Sansiri PCL 52,749,700 3,113,471 SC Asset Corp PCL 24,913,125 2,648,367 Siam Future Development PCL 5,753,122 995,596 Siamgas & Petrochemicals PCL 495,200 318,299 Somboon Advance Technology PCL 1,519,200 812,180 Sri Ayudhya Capital PCL 233,300 203,669 Sri Trang Agro-Industry PCL 9,198,000 4,206,749 Srithai Superware PCL 877,600 684,778 *Tata Steel Thailand PCL 39,336,300 948,156 *Thai Airways International PCL 16,383,411 6,581,716 Thai Carbon Black PCL 441,000 364,547 Thai Oil PCL 14,409,100 23,265,620 Thai Rayon PCL 165,000 177,186 Thai Stanley Electric PCL(B01GKK6) 174,600 1,149,252 Thai Stanley Electric PCL(B01GKM8) 43,100 283,693 Thai Wacoal PCL 93,300 142,718 Thanachart Capital PCL 10,803,400 11,601,303 Thitikorn PCL 97,700 30,041 *Thoresen Thai Agencies PCL 10,463,770 6,693,450 Tipco Asphalt PCL 71,900 121,648 Tisco Financial Group PCL 2,168,500 2,663,717 TMB Bank PCL 157,829,800 11,217,816 Total Access Communication PCL 4,949,280 19,118,047 TPI Polene PCL 14,898,724 5,478,826 *Tycoons Worldwide Group Thailand PCL 567,800 48,428 *Vanachai Group PCL 8,446,600 1,044,079 Vinythai PCL 6,598,217 2,181,734 ------------ TOTAL THAILAND 557,145,741 ------------ TURKEY -- (2.3%) Adana Cimento Sanayii TAS Class A 1,060,628 2,055,037 #*Adese Alisveris Merkezleri Ticaret A.S. 50,874 419,497 #Akbank TAS 14,433,710 50,672,675 #*Akenerji Elektrik Uretim A.S. 3,731,752 2,286,597 #Akfen Holding A.S. 967,535 2,030,377 Aksa Akrilik Kimya Sanayii 1,735,088 6,051,185 Aksigorta A.S. 1,029,597 1,419,868 Alarko Holding A.S. 1,513,761 3,486,645 Albaraka Turk Katilim Bankasi A.S. 3,617,235 2,871,923 *Anadolu Anonim Tuerk Sigorta Sirketi 4,326,842 2,977,397 #Anadolu Cam Sanayii A.S. 2,447,174 2,196,555 #*Anadolu Isuzu Otomotiv Sanayi Ve Ticaret A.S. 32,613 366,232 #*Asya Katilim Bankasi A.S. 10,427,239 8,048,739 #Aygaz A.S. 1,020,159 4,223,504 *Baticim Bati Anadolu Cimento Sanayii A.S. 317,019 909,714 Bolu Cimento Sanayii A.S. 956,668 1,157,804 #Borusan Mannesmann Boru Sanayi ve Ticaret A.S. 884,604 2,888,747 *Boyner Perakende Ve Tekstil Yatirimlari AS 47,480 1,206,913 Cimsa Cimento Sanayi VE Tica 567,028 3,312,104
Dimensional Emerging Markets Value Fund continued
Shares Value++ ---------- ----------- TURKEY -- (Continued) #*Deva Holding A.S. 1,233,392 $ 1,036,762 #*Dogan Sirketler Grubu Holding A.S. 16,350,354 5,595,166 #*Dogan Yayin Holding A.S. 1,034,173 250,716 #Eczacibasi Yatirim Holding Ortakligi A.S. 855,876 2,160,536 EGE Seramik Sanayi ve Ticaret A.S. 1,418,706 1,941,538 EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve Ticaret A.S. 3,862,424 4,233,888 #Eregli Demir ve Celik Fabrikalari TAS 24,473,976 34,054,948 Gentas Genel Metal Sanayi ve Ticaret A.S. 840,440 530,462 Global Yatirim Holding A.S. 4,337,368 2,550,641 Goltas Goller Bolgesi Cimento Sanayi ve Ticaret A.S. 45,038 1,177,454 #*GSD Holding 4,585,286 3,267,643 *Gunes Sigorta 413,272 372,832 #*Hurriyet Gazetecilik A.S. 3,447,484 982,728 *Ihlas EV Aletleri 1,280,790 218,894 #*Ihlas Holding A.S. 14,952,395 2,412,034 #*Ipek Dogal Enerji Kaynaklari Ve Uretim A.S. 1,771,050 2,247,314 Is Finansal Kiralama A.S. 2,908,338 1,350,675 Is Yatirim Menkul Degerler A.S. Class A 450,584 264,695 #*Izmir Demir Celik Sanayi A.S. 451,647 613,291 *Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class A 4,207,672 4,763,743 *Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class B 2,179,441 3,366,359 *Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class D 13,524,360 9,714,059 #*Karsan Otomotiv Sanayii Ve Ticaret A.S. 1,952,205 964,425 #KOC Holding A.S. 11,338,412 50,809,393 Kordsa Global Endustriyel Iplik ve Kord Bezi Sanayi ve Ticaret A.S. 64,678 124,267 #*Koza Anadolu Metal Madencilik Isletmeleri A.S. 1,412,866 1,704,844 *Menderes Tekstil Sanayi ve Ticaret A.S. 370,080 98,517 #*Metro Ticari ve Mali Yatirimlar Holding A.S. 4,790,610 1,502,027 *Petkim Petrokimya Holding A.S. 121,341 173,033 Pinar Entegre Et ve Un Sanayi A.S. 343,247 1,610,369 Pinar SUT Mamulleri Sanayii A.S. 152,635 1,321,087 *Raks Elektronik Sanayi ve Ticaret A.S. 5,859 -- *Sabah Yayincilik 31,938 -- #Sarkuysan Elektrolitik Bakir Sanayi ve Ticaret A.S. 1,345,000 1,960,528 *Sasa Polyester Sanayi A.S. 2,315,248 1,374,393 *Sekerbank TAS 6,884,288 6,440,812 Selcuk Ecza Deposu Ticaret ve Sanayi A.S. 2,308,839 2,181,408 Soda Sanayii A.S. 2,071,338 3,067,199 *Tat Gida Sanayi A.S. 231,395 237,438 #Tekfen Holding A.S. 1,896,452 4,802,360 #*Tekstil Bankasi A.S. 1,683,023 1,552,208 #Trakya Cam Sanayi A.S. 4,911,588 5,601,994 #Turcas Petrol A.S. 1,122,860 1,372,400 Turk Hava Yollari 8,968,974 28,797,561 Turkiye Is Bankasi 33,315,167 78,789,979 #Turkiye Sinai Kalkinma Bankasi A.S. 7,436,484 6,755,588 #Turkiye Sise ve Cam Fabrikalari A.S. 8,800,210 11,046,492 #Turkiye Vakiflar Bankasi Tao 13,257,545 27,842,389 Ulker Biskuvi Sanayi A.S. 97,284 745,517 *Vestel Beyaz Esya Sanayi ve Ticaret A.S. 1,067,440 1,844,819 *Vestel Elektronik Sanayi ve Ticaret A.S. 1,948,645 1,753,180 #Yapi ve Kredi Bankasi A.S. 14,217,721 29,725,235
Dimensional Emerging Markets Value Fund continued
Shares Value++ ----------- --------------- TURKEY -- (Continued) #*Zorlu Enerji Elektrik Uretim A.S. 2,476,533 $ 1,339,806 --------------- TOTAL TURKEY 457,227,159 --------------- TOTAL COMMON STOCKS 18,056,892,163 --------------- PREFERRED STOCKS -- (3.5%) BRAZIL -- (3.4%) Banco ABC Brasil SA 1,100,317 6,439,797 Banco Alfa de Investimento SA 60,126 154,781 Banco Daycoval SA 645,148 2,604,028 Banco do Estado do Rio Grande do Sul SA Class B 1,016,568 5,703,449 Banco Industrial e Comercial SA 1,675,900 6,005,355 *Banco Panamericano SA 960,448 1,598,054 Banco Pine SA 429,230 1,401,410 Banco Sofisa SA 598,400 782,301 Braskem SA Class A 1,307,833 8,927,108 Cia Ferro Ligas da Bahia - Ferbasa 920,734 5,244,230 Eucatex SA Industria e Comercio 314,488 754,574 Financeira Alfa SA Credito Financiamento e Investimentos 33,900 60,662 Forjas Taurus SA 1,144,290 533,720 Gerdau SA 6,169,399 36,992,876 *Inepar SA Industria e Construcoes 610,411 145,092 Parana Banco SA 120,800 571,562 Petroleo Brasileiro SA 18,238,804 135,538,505 #Petroleo Brasileiro SA Sponsored ADR 21,196,251 313,704,515 Suzano Papel e Celulose SA Class A 6,234,709 20,327,989 Unipar Carbocloro SA Class B 9,258,736 1,910,088 *Usinas Siderurgicas de Minas Gerais SA Class A 10,222,271 39,976,770 Vale SA 6,212,932 73,616,174 Vale SA Sponsored ADR 1,631,601 19,367,104 Whirlpool SA 34,800 62,116 --------------- TOTAL BRAZIL 682,422,260 --------------- COLOMBIA -- (0.1%) Grupo de Inversiones Suramericana SA 797,728 15,735,620 --------------- TOTAL PREFERRED STOCKS 698,157,880 --------------- RIGHTS/WARRANTS -- (0.0%) BRAZIL -- (0.0%) *Klabin SA Rights 05/23/14 97,653 4,380 --------------- CHILE -- (0.0%) *Invexans SA Rights 06/30/14 129,794,707 -- --------------- HONG KONG -- (0.0%) *Fosun International, Ltd. Rights 05/12/14 1,146,268 5,766 --------------- MALAYSIA -- (0.0%) *BIMB Holdings Bhd Warrants 12/04/23 454,345 86,959 *Malaysian Resources Corp. Bhd Warrants 09/16/18 -- --
Dimensional Emerging Markets Value Fund continued
Shares Value++ ----------- --------------- MALAYSIA -- (Continued) *Symphony Life Bhd Warrants 11/11/20 1 $ -- --------------- TOTAL MALAYSIA 86,959 --------------- PHILIPPINES -- (0.0%) *China Banking Corp. Rights 05/07/14 45,752 5,696 --------------- SOUTH KOREA -- (0.0%) *GS Engineering & Construction Corp. Rights 06/03/14 166,526 1,402,084 *STS Semiconductor & Telecommunications Rights 05/23/14 26,059 16,771 --------------- TOTAL SOUTH KOREA 1,418,855 --------------- TAIWAN -- (0.0%) *Mercuries Life Insurance Co. Rights 06/17/14 16,293 54 *YeaShin International Development Co., Ltd. Rights 05/13/14 1,191 28 --------------- TOTAL TAIWAN 82 --------------- THAILAND -- (0.0%) *Lanna Resources PCL Rights 06/30/14 67,080 622 *LH Financial Group Rights 05/26/14 530,302 13,110 *Thoresen Thai Agencies PCL Warrant 02/28/17 588,041 109,031 --------------- TOTAL THAILAND 122,763 --------------- TOTAL RIGHTS/WARRANTS 1,644,501 --------------- Shares/ Face Amount (000) Value+ ----------- --------------- SECURITIES LENDING COLLATERAL -- (6.7%) (S)@ DFA Short Term Investment Fund 116,161,904 1,343,993,228 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $20,065,502,363) $20,100,687,772 ===============
Dimensional Emerging Markets Value Fund continued Summary of the Fund's investments as of April 30, 2014, 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 $1,176,151,486 -- -- $ 1,176,151,486 Chile 277,061,131 -- -- 277,061,131 China 239,991,379 $ 2,557,332,752 -- 2,797,324,131 Colombia 22,287,355 -- -- 22,287,355 Czech Republic -- 37,080,820 -- 37,080,820 Greece -- 29,719,693 -- 29,719,693 Hungary -- 88,419,863 -- 88,419,863 India 167,750,251 1,293,737,176 -- 1,461,487,427 Indonesia 6,576,577 525,004,663 -- 531,581,240 Israel -- 179,391 -- 179,391 Malaysia -- 774,185,098 -- 774,185,098 Mexico 1,338,336,304 637,441 -- 1,338,973,745 Philippines -- 211,231,050 -- 211,231,050 Poland -- 385,585,136 -- 385,585,136 Russia 921,795 732,260,519 -- 733,182,314 South Africa 202,757,635 1,289,535,864 -- 1,492,293,499 South Korea 352,323,627 2,516,632,931 -- 2,868,956,558 Taiwan 35,847,620 2,780,971,706 -- 2,816,819,326 Thailand 555,779,886 1,365,855 -- 557,145,741 Turkey -- 457,227,159 -- 457,227,159 Preferred Stocks Brazil 682,422,260 -- -- 682,422,260 Colombia 15,735,620 -- -- 15,735,620 Rights/Warrants Brazil -- 4,380 -- 4,380 Chile -- -- -- -- Hong Kong -- 5,766 -- 5,766 Malaysia -- 86,959 -- 86,959 Philippines -- 5,696 -- 5,696 South Korea -- 1,418,855 -- 1,418,855 Taiwan 82 -- -- 82 Thailand -- 122,763 -- 122,763 Securities Lending Collateral -- 1,343,993,228 -- 1,343,993,228 -------------- --------------- -- --------------- TOTAL $5,073,943,008 $15,026,744,764 -- $20,100,687,772 ============== =============== == ===============
U.S. SOCIAL CORE EQUITY 2 PORTFOLIO SCHEDULE OF INVESTMENTS APRIL 30, 2014 (UNAUDITED) SHARES VALUE+ ------ -------- COMMON STOCKS -- (89.4%) Consumer Discretionary -- (12.1%) * 1-800-Flowers.com, Inc. Class A 3,000 $ 16,350 Aaron's, Inc. 5,257 154,924 # Abercrombie & Fitch Co. Class A 5,896 216,737 Advance Auto Parts, Inc. 1,545 187,393 #* Aeropostale, Inc. 6,474 32,176 AH Belo Corp. Class A 900 10,359 * Amazon.com, Inc. 2,900 881,977 * Ambassadors Group, Inc. 1,110 4,706 #* AMC Networks, Inc. Class A 1,695 111,311 #* America's Car-Mart, Inc. 1,100 39,754 * American Axle & Manufacturing Holdings, Inc. 4,009 70,759 # American Eagle Outfitters, Inc. 6,757 78,111 * American Public Education, Inc. 1,804 62,418 * ANN, Inc. 4,970 194,774 * Apollo Education Group, Inc. Class A 12,336 356,017 Arctic Cat, Inc. 1,500 61,335 Ark Restaurants Corp. 120 2,548 * Asbury Automotive Group, Inc. 2,849 175,897 * Ascena Retail Group, Inc. 8,514 146,441 #* Ascent Capital Group, Inc. Class A 900 61,893 # Autoliv, Inc. 3,670 374,267 * AutoNation, Inc. 2,100 111,279 * AutoZone, Inc. 400 213,556 * Ballantyne Strong, Inc. 900 4,068 #* Barnes & Noble, Inc. 5,623 92,217 Bassett Furniture Industries, Inc. 1,200 16,548 * Beazer Homes USA, Inc. 1,140 21,614 bebe stores, Inc. 4,600 23,230 * Bed Bath & Beyond, Inc. 1,695 105,310 Best Buy Co., Inc. 10,211 264,771 Big 5 Sporting Goods Corp. 2,401 29,316 * Big Lots, Inc. 6,017 237,671 * Biglari Holdings, Inc. 90 38,612 * Blue Nile, Inc. 650 22,575 # Blyth, Inc. 1,150 10,776 Bob Evans Farms, Inc. 2,925 137,095 #* Body Central Corp. 600 624 # Bon-Ton Stores, Inc. (The) 1,300 14,300 * Books-A-Million, Inc. 600 1,416 BorgWarner, Inc. 4,274 265,586 #* Bridgepoint Education, Inc. 3,580 56,743 Brinker International, Inc. 1,905 93,612 Brown Shoe Co., Inc. 3,254 76,762 Brunswick Corp. 2,455 98,666 # Buckle, Inc. (The) 1,193 56,059 * Build-A-Bear Workshop, Inc. 1,400 15,708 #* Cabela's, Inc. 4,090 268,345 # Cablevision Systems Corp. Class A 1,600 26,720 #* Cache, Inc. 656 1,745 # Callaway Golf Co. 5,050 43,986 * Cambium Learning Group, Inc. 2,515 5,634 U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Consumer Discretionary -- (Continued) # Capella Education Co. 1,476 $ 86,139 * Career Education Corp. 4,300 31,046 #* CarMax, Inc. 6,328 277,040 * Carmike Cinemas, Inc. 2,000 59,320 Carnival Corp. 9,648 379,263 # Carriage Services, Inc. 1,100 17,699 * Carrols Restaurant Group, Inc. 1,634 10,964 Carter's, Inc. 3,183 234,460 Cato Corp. (The) Class A 2,682 76,410 #* Cavco Industries, Inc. 680 53,006 CBS Corp. Class A 334 19,422 CBS Corp. Class B 9,300 537,168 * Charles & Colvard, Ltd. 612 1,328 * Charter Communications, Inc. Class A 1,484 201,127 # Cheesecake Factory, Inc. (The) 5,630 252,731 Cherokee, Inc. 200 2,774 Chico's FAS, Inc. 15,122 240,137 # Children's Place Retail Stores, Inc. (The) 1,700 81,600 * Chipotle Mexican Grill, Inc. 600 299,100 # Choice Hotels International, Inc. 2,260 99,847 * Christopher & Banks Corp. 1,927 12,024 Cinemark Holdings, Inc. 8,029 237,819 * Citi Trends, Inc. 1,012 17,194 Clear Channel Outdoor Holdings, Inc. Class A 1,900 15,238 Coach, Inc. 1,100 49,115 # Collectors Universe, Inc. 300 7,044 # Columbia Sportswear Co. 2,948 253,469 Comcast Corp. Class A 55,612 2,878,477 Comcast Corp. Special Class A 11,444 583,987 #* Conn's, Inc. 3,060 135,344 # Cooper Tire & Rubber Co. 6,800 171,020 #* Corinthian Colleges, Inc. 3,000 3,450 Cracker Barrel Old Country Store, Inc. 1,900 180,006 * Crocs, Inc. 10,475 158,487 CSS Industries, Inc. 200 4,794 # CST Brands, Inc. 3,059 99,815 CTC Media, Inc. 15,875 137,636 Culp, Inc. 600 10,830 * Cumulus Media, Inc. Class A 6,797 43,569 # Dana Holding Corp. 9,919 209,985 # Darden Restaurants, Inc. 5,819 289,262 * Deckers Outdoor Corp. 2,737 216,086 #* dELiA*s, Inc. 100 85 Delphi Automotive P.L.C. 2,100 140,364 * Delta Apparel, Inc. 600 9,138 Destination Maternity Corp. 1,363 33,612 * Destination XL Group, Inc. 3,677 19,856 DeVry Education Group, Inc. 5,721 257,617 Dick's Sporting Goods, Inc. 892 46,973 Dillard's, Inc. Class A 3,750 367,237 DineEquity, Inc. 1,903 144,266 * DIRECTV 3,462 268,651 U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Consumer Discretionary -- (Continued) * Discovery Communications, Inc. Class A 1,200 $ 91,080 * Discovery Communications, Inc. Class B 100 7,512 * Discovery Communications, Inc. Class C 700 49,091 * DISH Network Corp. Class A 1,278 72,667 * Dixie Group, Inc. (The) 200 3,014 * Dollar General Corp. 4,567 257,761 * Dollar Tree, Inc. 2,810 146,317 Domino's Pizza, Inc. 2,400 178,512 #* Dorman Products, Inc. 3,152 181,398 # DR Horton, Inc. 11,443 254,950 #* DreamWorks Animation SKG, Inc. Class A 6,140 147,544 Drew Industries, Inc. 1,794 90,274 DSW, Inc. Class A 2,580 86,146 # Dunkin' Brands Group, Inc. 5,639 256,631 #* Education Management Corp. 3,157 12,533 Einstein Noah Restaurant Group, Inc. 1,208 18,555 * Emerson Radio Corp. 1,100 2,233 #* Entercom Communications Corp. Class A 2,204 23,803 Entravision Communications Corp. Class A 2,950 15,665 Escalade, Inc. 350 5,152 # Ethan Allen Interiors, Inc. 2,800 67,984 * EW Scripps Co. Class A 3,700 63,381 Expedia, Inc. 4,275 303,482 * Express, Inc. 6,979 101,684 Family Dollar Stores, Inc. 1,510 88,712 * Famous Dave's Of America, Inc. 600 15,894 * Federal-Mogul Holdings Corp. 6,576 113,239 * Fiesta Restaurant Group, Inc. 1,467 53,707 Finish Line, Inc. (The) Class A 5,243 144,340 Flexsteel Industries, Inc. 148 5,079 Foot Locker, Inc. 7,045 327,804 Ford Motor Co. 35,509 573,470 * Fossil Group, Inc. 696 74,228 Fred's, Inc. Class A 2,937 53,512 * FTD Cos., Inc. 1,811 54,946 * Fuel Systems Solutions, Inc. 2,116 22,176 #* G-III Apparel Group, Ltd. 1,994 143,109 * Gaiam, Inc. Class A 597 4,406 # GameStop Corp. Class A 8,800 349,184 * Gaming Partners International Corp. 400 3,380 Gannett Co., Inc. 10,017 272,162 Gap, Inc. (The) 6,360 249,948 # Garmin, Ltd. 6,797 388,109 * Geeknet, Inc. 200 2,960 General Motors Co. 32,061 1,105,463 * Genesco, Inc. 1,759 134,335 Gentex Corp. 10,200 292,434 * Gentherm, Inc. 3,727 135,476 # Genuine Parts Co. 1,894 165,005 GNC Holdings, Inc. Class A 4,300 193,500 Goodyear Tire & Rubber Co. (The) 6,380 160,776 # Gordmans Stores, Inc. 1,178 5,289 U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Consumer Discretionary -- (Continued) Graham Holdings Co. Class B 700 $469,861 * Grand Canyon Education, Inc. 3,056 131,775 * Gray Television, Inc. 5,793 65,171 # Group 1 Automotive, Inc. 1,800 129,834 #* Groupon, Inc. 15,534 108,583 Guess?, Inc. 6,685 179,893 H&R Block, Inc. 5,581 158,612 Hanesbrands, Inc. 2,400 197,016 Harley-Davidson, Inc. 4,021 297,313 Harman International Industries, Inc. 2,306 252,761 # Harte-Hanks, Inc. 3,769 30,303 # Hasbro, Inc. 1,400 77,364 Haverty Furniture Cos., Inc. 2,057 52,536 * Helen of Troy, Ltd. 2,520 158,004 #* hhgregg, Inc. 2,852 24,584 #* Hibbett Sports, Inc. 1,300 70,005 Hillenbrand, Inc. 5,753 174,891 Home Depot, Inc. (The) 10,837 861,650 * HomeAway, Inc. 3,532 115,214 Hooker Furniture Corp. 554 7,673 #* Hovnanian Enterprises, Inc. Class A 5,995 26,738 HSN, Inc. 2,457 142,604 * Hyatt Hotels Corp. Class A 2,106 118,526 #* Iconix Brand Group, Inc. 6,468 274,890 International Speedway Corp. Class A 2,160 67,910 Interpublic Group of Cos., Inc. (The) 9,100 158,522 Interval Leisure Group, Inc. 4,657 120,011 #* iRobot Corp. 2,856 95,676 #* ITT Educational Services, Inc. 800 21,600 * Jack in the Box, Inc. 3,415 182,839 # JAKKS Pacific, Inc. 496 4,345 #* JC Penney Co., Inc. 6,640 56,573 John Wiley & Sons, Inc. Class A 2,307 132,560 John Wiley & Sons, Inc. Class B 142 8,347 Johnson Controls, Inc. 21,706 979,809 Johnson Outdoors, Inc. Class A 75 1,570 * Jos A Bank Clothiers, Inc. 2,720 175,576 * Journal Communications, Inc. Class A 3,665 29,393 #* K12, Inc. 2,800 66,304 * Kate Spade & Co. 3,438 119,539 # KB Home 6,016 99,324 * Kirkland's, Inc. 1,734 29,669 Kohl's Corp. 10,677 584,993 #* Krispy Kreme Doughnuts, Inc. 4,997 87,647 L Brands, Inc. 3,500 189,700 La-Z-Boy, Inc. 5,515 133,628 * Lakeland Industries, Inc. 300 2,130 #* Lamar Advertising Co. Class A 2,536 126,597 #* Lands' End, Inc. 1,188 32,848 #* LeapFrog Enterprises, Inc. 3,800 26,030 Lear Corp. 4,197 348,603 * Learning Tree International, Inc. 700 2,135 U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Consumer Discretionary -- (Continued) #* Lee Enterprises, Inc. 1,100 $ 4,422 # Leggett & Platt, Inc. 9,377 308,128 # Lennar Corp. Class A 6,700 258,553 Lennar Corp. Class B 1,400 45,528 * Libbey, Inc. 737 19,656 * Liberty Global P.L.C. Class A 1,303 51,885 * Liberty Global P.L.C. Class C 3,305 127,011 * Liberty Interactive Corp. Class A 19,993 580,997 #* Liberty Interactive Corp. Class B 60 1,808 * Liberty Media Corp. Class A 2,330 302,224 * Liberty Media Corp. Class B 87 10,914 * Liberty Ventures Series A 2,914 169,129 * Liberty Ventures Series B 6 358 #* Life Time Fitness, Inc. 4,100 196,800 Lifetime Brands, Inc. 706 13,485 * LIN Media LLC Class A 2,600 60,918 # Lincoln Educational Services Corp. 1,400 5,712 # Lions Gate Entertainment Corp. 3,279 86,992 Lithia Motors, Inc. Class A 2,490 184,957 * Live Nation Entertainment, Inc. 17,465 364,669 * LKQ Corp. 6,700 195,104 * Loral Space & Communications, Inc. 980 70,550 Lowe's Cos., Inc. 13,724 630,069 * Luby's, Inc. 1,850 10,027 #* Lululemon Athletica, Inc. 1,200 55,116 #* Lumber Liquidators Holdings, Inc. 1,700 148,172 * M/I Homes, Inc. 2,000 44,540 Macy's, Inc. 5,040 289,447 * Madison Square Garden Co. (The) Class A 4,878 266,339 Marcus Corp. (The) 1,500 25,095 Marine Products Corp. 2,227 15,812 * MarineMax, Inc. 2,363 37,950 # Marriott International, Inc. Class A 4,303 249,273 * Marriott Vacations Worldwide Corp. 1,155 62,924 * Martha Stewart Living Omnimedia, Inc. Class A 3,017 11,796 Mattel, Inc. 2,652 103,998 Matthews International Corp. Class A 2,321 93,652 #* Mattress Firm Holding Corp. 851 38,457 * McClatchy Co. (The) Class A 4,116 22,556 McDonald's Corp. 9,103 922,862 # MDC Holdings, Inc. 4,142 114,319 #* Media General, Inc. Class A 1,600 24,512 Men's Wearhouse, Inc. (The) 4,405 208,709 Meredith Corp. 2,985 131,549 * Meritage Homes Corp. 3,886 149,922 * Michael Kors Holdings, Ltd. 2,900 264,480 * Modine Manufacturing Co. 4,909 80,900 * Mohawk Industries, Inc. 3,572 472,969 # Monro Muffler Brake, Inc. 1,950 109,980 # Morningstar, Inc. 1,514 111,022 * Motorcar Parts of America, Inc. 900 24,696 Movado Group, Inc. 1,800 70,704 U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Consumer Discretionary -- (Continued) * Murphy USA, Inc. 2,546 $108,205 NACCO Industries, Inc. Class A 500 26,795 * Nathan's Famous, Inc. 300 14,784 National CineMedia, Inc. 3,158 47,970 * Nautilus, Inc. 2,810 23,407 * Netflix, Inc. 800 257,632 * New York & Co., Inc. 5,501 23,049 # New York Times Co. (The) Class A 16,087 258,679 Newell Rubbermaid, Inc. 3,836 115,502 * News Corp. Class A 12,298 209,312 #* News Corp. Class B 1,775 29,359 Nexstar Broadcasting Group, Inc. Class A 1,000 39,850 NIKE, Inc. Class B 4,862 354,683 Nordstrom, Inc. 4,069 249,348 Nutrisystem, Inc. 2,677 40,155 * NVR, Inc. 100 107,700 * O'Reilly Automotive, Inc. 1,850 275,261 * Office Depot, Inc. 42,218 172,672 Omnicom Group, Inc. 1,941 131,367 * Orbitz Worldwide, Inc. 4,361 32,053 * Orient-Express Hotels, Ltd. Class A 7,773 101,826 #* Outerwall, Inc. 2,385 165,400 * Overstock.com, Inc. 945 15,139 Oxford Industries, Inc. 1,769 116,772 #* Pacific Sunwear of California, Inc. 4,200 12,096 #* Panera Bread Co. Class A 1,100 168,267 Papa John's International, Inc. 2,782 122,019 Penske Automotive Group, Inc. 7,775 356,561 * Pep Boys-Manny, Moe & Jack (The) 3,200 32,704 * Perfumania Holdings, Inc. 260 1,724 * Perry Ellis International, Inc. 1,310 19,781 # PetMed Express, Inc. 1,883 24,648 # PetSmart, Inc. 1,100 74,448 # Pier 1 Imports, Inc. 8,159 148,983 # Polaris Industries, Inc. 900 120,897 Pool Corp. 1,800 106,236 * Popeyes Louisiana Kitchen, Inc. 1,022 38,938 * Priceline Group, Inc. (The) 300 347,325 PulteGroup, Inc. 7,148 131,452 PVH Corp. 3,210 403,080 #* Quiksilver, Inc. 15,874 101,911 #* RadioShack Corp. 5,500 7,865 Ralph Lauren Corp. 400 60,548 * Red Lion Hotels Corp. 1,300 7,475 * Red Robin Gourmet Burgers, Inc. 1,136 77,225 # Regal Entertainment Group Class A 3,770 70,876 Regis Corp. 4,206 55,267 # Rent-A-Center, Inc. 5,251 153,382 * Rentrak Corp. 600 34,194 RG Barry Corp. 1,159 21,187 Rocky Brands, Inc. 402 5,885 Ross Stores, Inc. 2,527 172,038 U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Consumer Discretionary -- (Continued) Royal Caribbean Cruises, Ltd. 9,989 $ 530,716 * Ruby Tuesday, Inc. 5,355 41,287 # Ryland Group, Inc. (The) 3,927 150,758 * Sally Beauty Holdings, Inc. 2,585 70,855 # Scholastic Corp. 500 16,455 Scripps Networks Interactive, Inc. Class A 1,493 112,080 #* Sears Holdings Corp. 3,952 173,137 * Select Comfort Corp. 2,376 43,718 Service Corp. International 18,620 349,497 #* Shiloh Industries, Inc. 800 15,792 Shoe Carnival, Inc. 1,830 41,797 #* Shutterfly, Inc. 3,960 162,083 Signet Jewelers, Ltd. 3,285 332,836 # Sinclair Broadcast Group, Inc. Class A 2,200 58,806 #* Sirius XM Holdings, Inc. 19,489 62,170 Six Flags Entertainment Corp. 5,664 227,353 * Sizmek, Inc. 2,881 27,600 * Skechers U.S.A., Inc. Class A 3,792 155,434 * Skyline Corp. 400 2,040 Sonic Automotive, Inc. Class A 3,663 89,157 #* Sonic Corp. 4,575 87,108 # Sotheby's 5,452 229,311 Spartan Motors, Inc. 3,249 17,252 Speedway Motorsports, Inc. 2,279 41,455 Stage Stores, Inc. 1,633 31,321 Standard Motor Products, Inc. 2,454 93,227 #* Standard Pacific Corp. 15,972 127,616 * Stanley Furniture Co., Inc. 661 1,930 # Staples, Inc. 25,627 320,337 Starbucks Corp. 6,756 477,109 Starwood Hotels & Resorts Worldwide, Inc. 2,200 168,630 * Starz 8,151 263,033 * Starz Class B 87 2,811 Stein Mart, Inc. 3,005 37,563 * Steiner Leisure, Ltd. 1,169 50,466 * Steven Madden, Ltd. 5,325 189,623 * Stoneridge, Inc. 2,545 27,206 * Strayer Education, Inc. 400 17,052 # Sturm Ruger & Co., Inc. 1,000 64,350 Superior Industries International, Inc. 2,981 63,018 #* Systemax, Inc. 1,842 31,848 Target Corp. 8,382 517,588 #* Tempur Sealy International, Inc. 2,572 129,063 * Tenneco, Inc. 2,272 136,025 * Tesla Motors, Inc. 880 182,943 Texas Roadhouse, Inc. 7,300 180,602 # Thor Industries, Inc. 4,033 245,489 Tiffany & Co. 1,628 142,434 #* Tile Shop Holdings, Inc. 500 7,048 Time Warner Cable, Inc. 7,128 1,008,327 Time Warner, Inc. 24,494 1,627,871 TJX Cos., Inc. (The) 7,136 415,172 U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ ----------- Consumer Discretionary -- (Continued) * Toll Brothers, Inc. 6,851 $ 234,578 * Tower International, Inc. 723 20,107 Town Sports International Holdings, Inc. 1,582 11,090 Tractor Supply Co. 2,032 136,632 Trans World Entertainment Corp. 200 654 #* TripAdvisor, Inc. 1,869 150,903 * TRW Automotive Holdings Corp. 5,841 469,324 #* Tuesday Morning Corp. 1,700 23,766 # Tupperware Brands Corp. 1,250 106,137 Twenty-First Century Fox, Inc. Class A 16,284 521,414 Twenty-First Century Fox, Inc. Class B 3,600 112,752 * Ulta Salon Cosmetics & Fragrance, Inc. 1,000 87,710 #* Under Armour, Inc. Class A 1,800 88,002 * Unifi, Inc. 1,402 31,040 * Universal Electronics, Inc. 1,382 51,618 # Universal Technical Institute, Inc. 1,356 16,286 * Urban Outfitters, Inc. 1,800 64,179 * US Auto Parts Network, Inc. 1,256 3,919 Vail Resorts, Inc. 3,704 256,428 # Value Line, Inc. 213 3,106 * Valuevision Media, Inc. Class A 3,340 15,631 VF Corp. 2,408 147,105 Viacom, Inc. Class A 100 8,497 Viacom, Inc. Class B 3,419 290,547 * Visteon Corp. 4,378 380,054 * Vitamin Shoppe, Inc. 2,349 112,470 * VOXX International Corp. 1,300 15,275 Walt Disney Co. (The) 23,347 1,852,351 # Weight Watchers International, Inc. 800 15,840 Wendy's Co. (The) 34,658 288,008 * West Marine, Inc. 1,553 16,617 #* Wet Seal, Inc. (The) Class A 5,000 5,650 Weyco Group, Inc. 47 1,179 Whirlpool Corp. 3,820 585,912 Williams-Sonoma, Inc. 2,819 177,090 Winmark Corp. 200 15,172 * Winnebago Industries, Inc. 3,180 76,002 # Wolverine World Wide, Inc. 6,022 169,218 # World Wrestling Entertainment, Inc. Class A 1,000 19,500 Wyndham Worldwide Corp. 5,900 420,906 Yum! Brands, Inc. 3,538 272,391 * Zagg, Inc. 1,449 6,303 #* Zale Corp. 2,942 62,929 #* Zumiez, Inc. 3,207 78,411 ----------- Total Consumer Discretionary 61,804,094 ----------- Consumer Staples -- (4.9%) # Alico, Inc. 422 14,736 Andersons, Inc. (The) 2,571 160,148 Avon Products, Inc. 2,400 36,672 B&G Foods, Inc. 4,472 146,682 * Boulder Brands, Inc. 5,333 78,715 U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Consumer Staples -- (Continued) Bunge, Ltd. 7,830 $ 623,660 # Cal-Maine Foods, Inc. 2,015 120,155 Calavo Growers, Inc. 1,314 40,852 # Campbell Soup Co. 4,819 219,216 # Casey's General Stores, Inc. 4,060 278,760 * Central Garden and Pet Co. 800 6,504 * Central Garden and Pet Co. Class A 2,700 22,329 * Chiquita Brands International, Inc. 3,325 38,171 # Clorox Co. (The) 2,077 188,384 Coca-Cola Bottling Co. Consolidated 556 45,720 Coca-Cola Co. (The) 40,564 1,654,606 Coca-Cola Enterprises, Inc. 15,066 684,599 Colgate-Palmolive Co. 7,881 530,391 ConAgra Foods, Inc. 15,379 469,213 Costco Wholesale Corp. 4,120 476,602 CVS Caremark Corp. 31,331 2,278,390 * Darling International, Inc. 11,839 236,898 # Dean Foods Co. 9,594 151,969 #* Diamond Foods, Inc. 1,200 36,684 Dr Pepper Snapple Group, Inc. 11,425 633,174 * Elizabeth Arden, Inc. 2,188 80,387 Energizer Holdings, Inc. 3,067 342,553 Estee Lauder Cos., Inc. (The) Class A 1,600 116,112 * Farmer Bros. Co. 1,692 33,349 Flowers Foods, Inc. 6,595 135,329 Fresh Del Monte Produce, Inc. 4,360 125,960 #* Fresh Market, Inc. (The) 2,400 89,040 General Mills, Inc. 5,689 301,631 #* Hain Celestial Group, Inc. (The) 3,100 266,662 # Herbalife, Ltd. 1,000 59,980 Hillshire Brands Co. (The) 4,852 172,974 Hormel Foods Corp. 2,636 125,711 Ingles Markets, Inc. Class A 871 20,024 Ingredion, Inc. 4,509 317,659 Inter Parfums, Inc. 3,000 109,770 * Inventure Foods, Inc. 900 10,818 J&J Snack Foods Corp. 1,284 120,182 JM Smucker Co. (The) 4,049 391,457 # John B. Sanfilippo & Son, Inc. 600 13,830 Kellogg Co. 1,200 80,196 # Keurig Green Mountain, Inc. 1,879 176,025 Kimberly-Clark Corp. 3,648 409,488 Kraft Foods Group, Inc. 4,309 245,010 Kroger Co. (The) 4,739 218,184 Lancaster Colony Corp. 2,193 208,072 # Lifeway Foods, Inc. 300 4,503 * Mannatech, Inc. 40 651 # McCormick & Co., Inc.(579780206) 1,351 96,191 McCormick & Co., Inc.(579780107) 90 6,422 Mead Johnson Nutrition Co. 3,300 291,258 #* Medifast, Inc. 1,258 39,816 Mondelez International, Inc. Class A 46,216 1,647,600 U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ ----------- Consumer Staples -- (Continued) * Monster Beverage Corp. 3,919 $ 262,416 #* National Beverage Corp. 1,434 27,648 Nu Skin Enterprises, Inc. Class A 900 78,300 * Nutraceutical International Corp. 500 12,460 Oil-Dri Corp. of America 300 10,053 * Omega Protein Corp. 1,690 19,198 # Orchids Paper Products Co. 98 2,633 * Pantry, Inc. (The) 1,645 24,741 PepsiCo, Inc. 18,070 1,552,032 * Pilgrim's Pride Corp. 8,940 195,428 * Post Holdings, Inc. 3,056 159,707 # Pricesmart, Inc. 727 69,821 Procter & Gamble Co. (The) 38,323 3,163,564 * Revlon, Inc. Class A 2,472 74,506 * Rite Aid Corp. 19,981 145,861 Rocky Mountain Chocolate Factory, Inc. 400 4,780 Safeway, Inc. 11,539 393,018 # Sanderson Farms, Inc. 3,166 260,467 * Seneca Foods Corp. Class A 600 17,040 # Snyder's-Lance, Inc. 5,772 153,304 Spartan Stores, Inc. 2,400 51,696 Spectrum Brands Holdings, Inc. 4,780 367,247 #* Susser Holdings Corp. 2,380 184,164 Sysco Corp. 4,394 160,073 # Tootsie Roll Industries, Inc. 2,383 67,177 * TreeHouse Foods, Inc. 3,372 252,361 Tyson Foods, Inc. Class A 15,018 630,306 #* United Natural Foods, Inc. 2,500 172,575 #* USANA Health Sciences, Inc. 1,200 81,432 Village Super Market, Inc. Class A 548 13,256 Walgreen Co. 12,504 849,022 # WD-40 Co. 900 65,556 Weis Markets, Inc. 1,778 81,948 * WhiteWave Foods Co. (The) Class A 4,210 116,575 Whole Foods Market, Inc. 1,800 89,460 ----------- Total Consumer Staples 25,239,899 ----------- Energy -- (12.6%) Adams Resources & Energy, Inc. 317 22,843 Alon USA Energy, Inc. 4,953 80,684 #* Alpha Natural Resources, Inc. 19,979 85,910 Anadarko Petroleum Corp. 14,242 1,410,243 Apache Corp. 11,090 962,612 #* Approach Resources, Inc. 1,880 39,010 # Arch Coal, Inc. 5,856 26,820 * Atwood Oceanics, Inc. 5,597 277,387 Baker Hughes, Inc. 11,739 820,556 * Basic Energy Services, Inc. 3,797 100,317 #* Bill Barrett Corp. 3,669 86,882 Bolt Technology Corp. 600 10,128 #* Bonanza Creek Energy, Inc. 4,334 210,719 #* BPZ Resources, Inc. 8,963 24,200 U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Energy -- (Continued) Bristow Group, Inc. 2,743 $ 210,662 #* C&J Energy Services, Inc. 4,789 143,957 Cabot Oil & Gas Corp. 5,200 204,256 * Cal Dive International, Inc. 1,016 1,504 * Callon Petroleum Co. 3,100 28,458 * Cameron International Corp. 4,374 284,135 # CARBO Ceramics, Inc. 2,000 279,820 #* Carrizo Oil & Gas, Inc. 4,888 268,938 * Cheniere Energy, Inc. 5,300 299,185 Chesapeake Energy Corp. 29,668 852,955 Chevron Corp. 52,178 6,549,383 Cimarex Energy Co. 4,336 516,504 #* Clayton Williams Energy, Inc. 900 130,032 #* Clean Energy Fuels Corp. 6,207 54,932 * Cloud Peak Energy, Inc. 5,067 99,769 * Cobalt International Energy, Inc. 3,855 69,390 # Comstock Resources, Inc. 4,683 130,187 * Concho Resources, Inc. 4,246 553,891 ConocoPhillips 36,204 2,690,319 CONSOL Energy, Inc. 7,900 351,629 * Contango Oil & Gas Co. 1,101 52,892 #* Continental Resources, Inc. 400 55,408 Core Laboratories NV 500 93,840 Dawson Geophysical Co. 600 16,956 Delek US Holdings, Inc. 6,086 194,691 # Denbury Resources, Inc. 18,784 315,947 Devon Energy Corp. 10,148 710,360 # Diamond Offshore Drilling, Inc. 4,336 236,789 * Dresser-Rand Group, Inc. 1,722 104,078 * Dril-Quip, Inc. 1,546 174,884 #* Emerald Oil, Inc. 3,042 21,507 #* Endeavour International Corp. 2,609 8,975 Energen Corp. 1,996 155,508 # Energy XXI Bermuda, Ltd. 4,432 106,058 * ENGlobal Corp. 1,300 2,782 EnLink Midstream LLC 3,227 114,010 EOG Resources, Inc. 16,592 1,626,016 * EPL Oil & Gas, Inc. 3,869 151,433 EQT Corp. 1,923 209,588 * Era Group, Inc. 1,688 48,192 * Escalera Resources Co. 600 1,638 Evolution Petroleum Corp. 900 10,620 Exterran Holdings, Inc. 6,071 261,174 Exxon Mobil Corp. 147,900 15,146,439 * FieldPoint Petroleum Corp. 100 552 * FMC Technologies, Inc. 3,171 179,796 #* Geospace Technologies Corp. 961 55,863 #* Gevo, Inc. 415 427 * Goodrich Petroleum Corp. 528 13,279 # Green Plains Renewable Energy, Inc. 2,274 67,993 * Gulf Coast Ultra Deep Royalty Trust 12,505 36,765 Gulf Island Fabrication, Inc. 1,358 27,241 U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Energy -- (Continued) Gulfmark Offshore, Inc. Class A 1,928 $ 86,779 * Gulfport Energy Corp. 3,229 237,880 #* Halcon Resources Corp. 24,970 137,834 Halliburton Co. 14,716 928,138 * Harvest Natural Resources, Inc. 4,100 18,491 * Helix Energy Solutions Group, Inc. 9,213 221,481 Helmerich & Payne, Inc. 5,370 583,451 #* Hercules Offshore, Inc. 13,737 61,404 Hess Corp. 7,612 678,686 HollyFrontier Corp. 10,348 544,201 * Hornbeck Offshore Services, Inc. 2,781 115,217 * ION Geophysical Corp. 10,968 48,259 * Key Energy Services, Inc. 8,901 89,366 Kinder Morgan, Inc. 15,250 498,065 * Kodiak Oil & Gas Corp. 21,196 269,401 #* Laredo Petroleum, Inc. 475 13,884 # LinnCo LLC 4,813 132,646 #* Magnum Hunter Resources Corp. 7,316 62,186 Marathon Oil Corp. 20,042 724,518 Marathon Petroleum Corp. 11,016 1,023,937 * Matador Resources Co. 6,992 200,810 * Matrix Service Co. 2,700 83,619 #* McDermott International, Inc. 15,569 112,564 * Mitcham Industries, Inc. 900 12,420 Murphy Oil Corp. 2,553 161,937 Nabors Industries, Ltd. 18,389 469,287 National Oilwell Varco, Inc. 9,418 739,596 * Natural Gas Services Group, Inc. 1,108 34,005 * Newfield Exploration Co. 7,284 246,563 * Newpark Resources, Inc. 8,826 106,265 Noble Corp. P.L.C. 12,988 400,160 Noble Energy, Inc. 10,198 732,012 # Nordic American Tankers, Ltd. 168 1,450 #* Northern Oil and Gas, Inc. 2,700 41,661 #* Nuverra Environmental Solutions, Inc. 1,352 22,998 #* Oasis Petroleum, Inc. 6,211 288,874 Occidental Petroleum Corp. 24,164 2,313,703 Oceaneering International, Inc. 1,148 84,125 * Oil States International, Inc. 3,899 378,749 ONEOK, Inc. 12,855 812,693 #* Overseas Shipholding Group, Inc. 1,675 9,548 * Pacific Drilling SA 3,167 31,385 Panhandle Oil and Gas, Inc. Class A 600 26,310 * Parker Drilling Co. 8,879 58,868 Patterson-UTI Energy, Inc. 12,755 414,920 * PDC Energy, Inc. 3,256 207,310 Peabody Energy Corp. 15,257 290,036 * Penn Virginia Corp. 5,869 97,660 * PetroQuest Energy, Inc. 5,703 34,332 * PHI, Inc. Non-Voting 908 40,678 Phillips 66 15,782 1,313,378 * Pioneer Energy Services Corp. 5,857 87,679 U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ ----------- Energy -- (Continued) Pioneer Natural Resources Co. 2,405 $ 464,814 #* PostRock Energy Corp. 100 137 QEP Resources, Inc. 8,803 270,164 Range Resources Corp. 1,930 174,569 * Renewable Energy Group, Inc. 735 8,651 #* Rentech, Inc. 5,699 12,082 * Rex Energy Corp. 5,942 125,139 * RigNet, Inc. 1,558 72,852 #* Rosetta Resources, Inc. 3,594 170,140 * Rowan Cos. P.L.C. Class A 9,249 285,979 RPC, Inc. 8,850 196,736 #* SandRidge Energy, Inc. 23,137 158,720 # Scorpio Tankers, Inc. 3,807 34,301 #* SEACOR Holdings, Inc. 1,688 140,762 # SemGroup Corp. Class A 4,251 271,554 Ship Finance International, Ltd. 6,632 116,922 SM Energy Co. 4,655 345,075 * Southwestern Energy Co. 15,170 726,340 Spectra Energy Corp. 3,706 147,165 * Stone Energy Corp. 5,053 247,850 Superior Energy Services, Inc. 13,677 450,247 #* Swift Energy Co. 2,735 33,723 #* Synergy Resources Corp. 7,374 85,833 Targa Resources Corp. 1,635 176,564 # Teekay Corp. 7,749 434,796 * Tesco Corp. 2,624 52,480 Tesoro Corp. 7,560 425,552 * TETRA Technologies, Inc. 8,049 100,613 * TGC Industries, Inc. 1,518 7,681 Tidewater, Inc. 3,471 176,778 # Transocean, Ltd. 8,707 375,010 #* Triangle Petroleum Corp. 6,897 66,349 #* Ultra Petroleum Corp. 4,272 127,306 * Unit Corp. 4,431 292,224 #* Uranium Energy Corp. 866 927 * Vaalco Energy, Inc. 4,700 43,334 Valero Energy Corp. 14,251 814,730 # W&T Offshore, Inc. 7,431 142,675 * Warren Resources, Inc. 5,300 26,871 * Weatherford International, Ltd. 38,430 807,030 # Western Refining, Inc. 8,738 380,103 * Westmoreland Coal Co. 911 26,975 * Whiting Petroleum Corp. 5,729 422,342 * Willbros Group, Inc. 5,278 58,639 Williams Cos., Inc. (The) 6,702 282,623 World Fuel Services Corp. 6,100 277,794 * WPX Energy, Inc. 10,818 230,207 ----------- Total Energy 64,700,695 ----------- Financials -- (19.2%) 1st Source Corp. 1,800 53,082 1st United Bancorp, Inc. 1,593 11,661 U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Financials -- (Continued) ACE, Ltd. 7,573 $ 774,869 * Affiliated Managers Group, Inc. 2,100 416,220 Aflac, Inc. 12,821 804,133 Alexander & Baldwin, Inc. 4,289 160,023 * Alleghany Corp. 903 368,406 Allied World Assurance Co. Holdings AG 2,911 313,486 Allstate Corp. (The) 12,654 720,645 * Altisource Asset Management Corp. 75 73,369 #* Altisource Portfolio Solutions SA 756 78,405 * American Capital, Ltd. 26,965 404,205 American Equity Investment Life Holding Co. 5,756 134,230 American Express Co. 10,615 928,069 American Financial Group, Inc. 7,928 463,233 American International Group, Inc. 38,892 2,066,332 American National Insurance Co. 1,942 218,300 Ameriprise Financial, Inc. 6,445 719,455 * Ameris Bancorp 1,761 37,456 AMERISAFE, Inc. 1,338 57,066 AmeriServ Financial, Inc. 300 1,044 # Amtrust Financial Services, Inc. 6,353 245,671 Aon P.L.C. 3,700 314,056 * Arch Capital Group, Ltd. 6,938 397,686 Argo Group International Holdings, Ltd. 1,925 85,508 Arrow Financial Corp. 890 22,277 Arthur J Gallagher & Co. 4,972 223,839 Aspen Insurance Holdings, Ltd. 4,935 225,924 Associated Banc-Corp 12,191 213,952 Assurant, Inc. 7,350 495,463 Assured Guaranty, Ltd. 14,403 344,376 * Asta Funding, Inc. 707 5,776 Astoria Financial Corp. 8,659 114,818 #* Atlanticus Holdings Corp. 886 2,153 #* AV Homes, Inc. 800 13,704 Axis Capital Holdings, Ltd. 7,521 344,086 Baldwin & Lyons, Inc. Class B 900 23,409 Banc of California, Inc. 500 6,285 Bancfirst Corp. 940 54,717 * Bancorp, Inc. 3,613 57,158 # BancorpSouth, Inc. 9,490 221,686 Bank Mutual Corp. 3,171 19,089 Bank of America Corp. 234,131 3,544,743 Bank of Commerce Holdings 300 1,905 Bank of Hawaii Corp. 4,732 261,064 Bank of New York Mellon Corp. (The) 25,450 861,991 # Bank of the Ozarks, Inc. 3,400 203,660 BankFinancial Corp. 1,124 11,060 BankUnited, Inc. 7,941 261,974 Banner Corp. 2,038 80,583 Bar Harbor Bankshares 27 1,015 BB&T Corp. 18,673 697,063 BBCN Bancorp, Inc. 7,097 109,365 * Beneficial Mutual Bancorp, Inc. 5,210 67,938 U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Financials -- (Continued) * Berkshire Hathaway, Inc. Class B 13,145 $1,693,733 Berkshire Hills Bancorp, Inc. 1,648 38,613 BGC Partners, Inc. Class A 20,789 149,057 BlackRock, Inc. 3,388 1,019,788 * BofI Holding, Inc. 1,200 96,732 # BOK Financial Corp. 3,080 201,494 Boston Private Financial Holdings, Inc. 6,453 80,727 Brookline Bancorp, Inc. 5,953 54,053 Brown & Brown, Inc. 11,540 343,661 Bryn Mawr Bank Corp. 1,000 27,280 Calamos Asset Management, Inc. Class A 1,542 18,782 # Camden National Corp. 553 21,108 Cape Bancorp, Inc. 300 3,195 * Capital Bank Financial Corp. Class A 64 1,526 # Capital City Bank Group, Inc. 900 12,510 Capital One Financial Corp. 16,041 1,185,430 Capital Southwest Corp. 400 14,040 Capitol Federal Financial, Inc. 14,898 179,372 Cardinal Financial Corp. 2,617 43,966 # Cash America International, Inc. 2,741 119,371 Cathay General Bancorp 7,725 182,310 CBOE Holdings, Inc. 3,638 194,124 * CBRE Group, Inc. Class A 3,138 83,596 Center Bancorp, Inc. 980 18,140 Centerstate Banks, Inc. 1,997 21,907 Central Pacific Financial Corp. 2,177 40,862 Charles Schwab Corp. (The) 14,375 381,656 Chemical Financial Corp. 2,781 78,063 Chubb Corp. (The) 7,426 683,786 Cincinnati Financial Corp. 8,379 408,392 CIT Group, Inc. 10,353 445,697 Citigroup, Inc. 79,782 3,822,356 Citizens Holding Co. 160 3,003 #* Citizens, Inc. 3,580 23,521 City Holding Co. 1,300 55,887 City National Corp. 4,076 295,795 Clifton Bancorp, Inc. 1,468 17,014 CME Group, Inc. 8,053 566,851 CNA Financial Corp. 2,259 92,506 CNB Financial Corp. 590 9,747 CNO Financial Group, Inc. 17,267 297,856 CoBiz Financial, Inc. 3,215 32,279 # Cohen & Steers, Inc. 914 37,026 Columbia Banking System, Inc. 5,401 134,053 # Comerica, Inc. 9,504 458,473 Commerce Bancshares, Inc. 8,723 379,276 # Community Bank System, Inc. 4,081 151,772 #* Community Bankers Trust Corp. 100 412 Community Trust Bancorp, Inc. 1,298 47,857 # Consolidated-Tomoka Land Co. 300 11,859 * Consumer Portfolio Services, Inc. 1,096 7,650 * Cowen Group, Inc. Class A 11,008 45,243 U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Financials -- (Continued) Crawford & Co. Class A 900 $ 8,685 # Crawford & Co. Class B 2,209 25,227 * Credit Acceptance Corp. 737 96,930 # Cullen/Frost Bankers, Inc. 5,496 419,949 # CVB Financial Corp. 10,411 150,543 #* DFC Global Corp. 4,301 40,085 # Diamond Hill Investment Group, Inc. 60 7,123 Dime Community Bancshares, Inc. 3,585 58,435 Discover Financial Services 9,207 514,671 Donegal Group, Inc. Class A 1,577 23,277 #* Doral Financial Corp. 120 1,147 * E*TRADE Financial Corp. 26,518 595,329 East West Bancorp, Inc. 13,183 454,945 Eaton Vance Corp. 4,654 167,870 * eHealth, Inc. 1,477 61,872 EMC Insurance Group, Inc. 651 21,476 Employers Holdings, Inc. 2,963 60,297 #* Encore Capital Group, Inc. 2,316 100,098 Endurance Specialty Holdings, Ltd. 4,248 215,883 * Enstar Group, Ltd. 1,015 131,036 Enterprise Financial Services Corp. 1,162 20,765 Erie Indemnity Co. Class A 1,940 139,001 # ESB Financial Corp. 498 6,285 ESSA Bancorp, Inc. 800 8,312 Evercore Partners, Inc. Class A 2,800 149,604 Everest Re Group, Ltd. 2,884 455,759 * Ezcorp, Inc. Class A 3,136 32,708 FBL Financial Group, Inc. Class A 1,900 84,949 Federal Agricultural Mortgage Corp. Class C 900 32,022 # Federated Investors, Inc. Class B 5,290 150,977 Fidelity National Financial, Inc. Class A 12,528 403,151 Fidelity Southern Corp. 667 8,811 Fifth Third Bancorp 25,514 525,844 # Financial Engines, Inc. 276 12,213 Financial Institutions, Inc. 944 21,854 * First Acceptance Corp. 900 2,151 # First American Financial Corp. 9,336 248,338 First Bancorp 1,100 18,931 First Bancorp, Inc. 181 2,883 * First BanCorp. 4,411 22,673 First Busey Corp. 6,162 33,891 * First Cash Financial Services, Inc. 2,437 118,852 First Citizens BancShares, Inc. Class A 337 75,788 First Commonwealth Financial Corp. 8,831 75,858 First Community Bancshares, Inc. 1,200 17,772 First Connecticut Bancorp, Inc. 711 11,269 First Defiance Financial Corp. 674 18,211 First Financial Bancorp 5,027 81,387 # First Financial Bankshares, Inc. 2,292 135,343 First Financial Corp. 1,038 33,226 First Financial Holdings, Inc. 1,571 90,285 First Financial Northwest, Inc. 1,000 10,200 U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Financials -- (Continued) First Horizon National Corp. 20,764 $ 238,578 First Interstate Bancsystem, Inc. 877 21,829 #* First Marblehead Corp. (The) 30 158 First Merchants Corp. 2,666 56,573 First Midwest Bancorp, Inc. 6,291 102,984 First Niagara Financial Group, Inc. 32,449 289,445 First Republic Bank 4,611 234,054 First South Bancorp, Inc. 100 803 FirstMerit Corp. 11,254 218,215 Flushing Financial Corp. 2,159 41,496 FNB Corp. 14,269 177,506 * Forest City Enterprises, Inc. Class A 15,624 295,450 * Forestar Group, Inc. 3,415 58,226 Fox Chase Bancorp, Inc. 906 15,112 Franklin Resources, Inc. 4,279 224,006 Fulton Financial Corp. 20,201 246,250 # FXCM, Inc. Class A 3,568 55,233 # Gain Capital Holdings, Inc. 56 566 GAMCO Investors, Inc. Class A 400 30,372 * Genworth Financial, Inc. Class A 30,352 541,783 German American Bancorp, Inc. 1,018 26,509 GFI Group, Inc. 9,133 33,975 Glacier Bancorp, Inc. 7,284 186,907 * Global Indemnity P.L.C. 1,457 39,048 Goldman Sachs Group, Inc. (The) 11,096 1,773,363 Great Southern Bancorp, Inc. 967 27,724 * Green Dot Corp. Class A 2,677 46,499 # Greenhill & Co., Inc. 1,209 60,631 * Greenlight Capital Re, Ltd. Class A 2,800 89,124 Guaranty Bancorp 260 3,273 * Hallmark Financial Services, Inc. 1,226 10,298 Hancock Holding Co. 6,490 218,908 Hanmi Financial Corp. 3,114 66,235 Hanover Insurance Group, Inc. (The) 4,002 233,917 * Harris & Harris Group, Inc. 1,900 6,821 Hartford Financial Services Group, Inc. (The) 25,028 897,754 HCC Insurance Holdings, Inc. 8,986 412,817 # HCI Group, Inc. 1,345 52,025 Heartland Financial USA, Inc. 1,412 34,312 Heritage Commerce Corp. 1,500 12,180 # Heritage Financial Corp. 916 14,803 Heritage Financial Group, Inc. 299 5,756 HFF, Inc. Class A 2,015 68,510 * Hilltop Holdings, Inc. 8,119 181,378 #* Home Bancorp, Inc. 500 10,125 Home BancShares, Inc. 5,809 184,203 Home Federal Bancorp, Inc. 1,034 15,562 HopFed Bancorp, Inc. 6 68 Horace Mann Educators Corp. 3,333 100,223 Horizon Bancorp 450 8,996 * Howard Hughes Corp. (The) 3,700 528,212 Hudson City Bancorp, Inc. 25,524 254,219 U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Financials -- (Continued) Hudson Valley Holding Corp. 983 $ 18,048 Huntington Bancshares, Inc. 42,414 388,512 Iberiabank Corp. 2,289 143,978 * ICG Group, Inc. 3,148 64,156 #* Imperial Holdings, Inc. 33 221 # Independence Holding Co. 330 4,310 # Independent Bank Corp.(453836108) 1,890 70,157 Independent Bank Corp.(453838609) 40 521 Interactive Brokers Group, Inc. Class A 6,009 143,615 IntercontinentalExchange Group, Inc. 2,623 536,246 International Bancshares Corp. 4,874 111,907 #* Intervest Bancshares Corp. Class A 850 6,435 #* INTL. FCStone, Inc. 1,274 24,104 Invesco, Ltd. 18,509 651,702 * Investment Technology Group, Inc. 2,400 49,536 Investors Bancorp, Inc. 9,958 266,177 # Janus Capital Group, Inc. 18,711 226,964 JMP Group, Inc. 1,310 9,052 Jones Lang LaSalle, Inc. 3,267 378,613 JPMorgan Chase & Co. 106,167 5,943,229 * KCG Holdings, Inc. Class A 647 6,438 * Kearny Financial Corp. 2,195 32,003 Kemper Corp. 4,518 178,054 Kennedy-Wilson Holdings, Inc. 7,113 155,348 KeyCorp 50,594 690,102 #* Ladenburg Thalmann Financial Services, Inc. 6,193 16,907 Lakeland Bancorp, Inc. 2,052 21,423 Lakeland Financial Corp. 1,443 52,814 Legg Mason, Inc. 11,042 517,759 # Life Partners Holdings, Inc. 1,000 2,730 Lincoln National Corp. 14,837 719,743 LNB Bancorp, Inc. 500 5,690 Loews Corp. 8,609 378,538 # Louisiana Bancorp, Inc. 100 1,950 LPL Financial Holdings, Inc. 4,601 217,857 # M&T Bank Corp. 7,257 885,427 # Macatawa Bank Corp. 1,400 6,818 # Maiden Holdings, Ltd. 5,000 59,000 MainSource Financial Group, Inc. 1,400 23,142 Manning & Napier, Inc. 562 9,340 * Markel Corp. 794 496,980 MarketAxess Holdings, Inc. 2,293 123,547 Marlin Business Services Corp. 1,180 20,261 Marsh & McLennan Cos., Inc. 4,378 215,879 MB Financial, Inc. 5,662 151,968 * MBIA, Inc. 19,349 234,510 * MBT Financial Corp. 154 759 MCG Capital Corp. 6,000 20,160 McGraw Hill Financial, Inc. 2,380 175,953 # Meadowbrook Insurance Group, Inc. 2,627 14,711 Medallion Financial Corp. 1,523 20,713 # Mercantile Bank Corp. 625 12,194 U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Financials -- (Continued) Merchants Bancshares, Inc. 444 $ 12,907 Mercury General Corp. 5,303 253,802 * Meridian Interstate Bancorp, Inc. 1,162 29,364 MetLife, Inc. 25,275 1,323,146 * Metro Bancorp, Inc. 900 18,378 #* MGIC Investment Corp. 12,754 109,684 MidSouth Bancorp, Inc. 600 10,032 Montpelier Re Holdings, Ltd. 4,472 136,754 Moody's Corp. 4,708 369,578 Morgan Stanley 33,219 1,027,464 * MSCI, Inc. 8,283 335,793 NASDAQ OMX Group, Inc. (The) 10,311 380,476 # National Interstate Corp. 1,011 28,328 National Penn Bancshares, Inc. 15,874 155,089 * Navigators Group, Inc. (The) 1,318 75,086 NBT Bancorp, Inc. 3,211 72,729 Nelnet, Inc. Class A 3,237 136,796 # New Hampshire Thrift Bancshares, Inc. 300 4,425 # New York Community Bancorp, Inc. 25,831 398,056 * NewBridge Bancorp 500 3,845 * NewStar Financial, Inc. 3,876 44,264 Nicholas Financial, Inc. 82 1,289 Northeast Community Bancorp, Inc. 436 3,174 Northern Trust Corp. 11,092 668,293 Northfield Bancorp, Inc. 5,307 68,832 Northrim BanCorp, Inc. 400 9,596 Northwest Bancshares, Inc. 9,213 122,441 OceanFirst Financial Corp. 1,430 23,195 * Ocwen Financial Corp. 3,436 130,224 OFG Bancorp 4,365 74,467 # Old National Bancorp 8,225 116,137 Old Republic International Corp. 23,478 388,796 OmniAmerican Bancorp, Inc. 994 24,711 OneBeacon Insurance Group, Ltd. Class A 2,219 34,261 Oppenheimer Holdings, Inc. Class A 900 22,914 Oritani Financial Corp. 4,852 71,955 Pacific Continental Corp. 1,246 16,422 PacWest Bancorp 8,400 330,708 Park National Corp. 1,052 76,291 Park Sterling Corp. 2,086 13,622 PartnerRe, Ltd. 3,342 352,247 Peapack Gladstone Financial Corp. 87 1,654 # Penns Woods Bancorp, Inc. 229 10,076 # People's United Financial, Inc. 28,485 406,766 Peoples Bancorp, Inc. 848 22,107 #* PHH Corp. 5,872 139,577 * Phoenix Cos., Inc. (The) 193 8,496 * PICO Holdings, Inc. 1,698 39,479 Pinnacle Financial Partners, Inc. 2,728 94,307 * Piper Jaffray Cos. 1,000 43,860 Platinum Underwriters Holdings, Ltd. 2,634 165,178 PNC Financial Services Group, Inc. (The) 11,956 1,004,782 U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Financials -- (Continued) * Popular, Inc. 8,062 $249,116 #* Portfolio Recovery Associates, Inc. 4,682 267,576 * Preferred Bank 1,221 26,190 Primerica, Inc. 5,346 245,328 Principal Financial Group, Inc. 15,031 704,052 PrivateBancorp, Inc. 7,429 204,818 ProAssurance Corp. 5,966 270,976 Progressive Corp. (The) 8,102 196,473 Prosperity Bancshares, Inc. 4,936 291,224 Protective Life Corp. 6,825 349,099 Provident Financial Holdings, Inc. 600 8,442 Provident Financial Services, Inc. 4,366 75,881 Prudential Financial, Inc. 10,420 840,686 Pulaski Financial Corp. 751 7,758 QC Holdings, Inc. 900 1,863 Radian Group, Inc. 10,400 145,392 Raymond James Financial, Inc. 6,261 311,172 Regions Financial Corp. 72,311 733,234 Reinsurance Group of America, Inc. 6,455 495,163 # RenaissanceRe Holdings, Ltd. 3,240 327,920 Renasant Corp. 2,030 55,257 Republic Bancorp, Inc. Class A 1,292 31,021 * Republic First Bancorp, Inc. 1,200 5,304 Resource America, Inc. Class A 852 7,251 * Riverview Bancorp, Inc. 100 348 # RLI Corp. 3,676 158,289 S&T Bancorp, Inc. 2,253 52,405 #* Safeguard Scientifics, Inc. 1,663 34,940 Safety Insurance Group, Inc. 1,159 62,250 Sandy Spring Bancorp, Inc. 1,810 43,530 SEI Investments Co. 3,130 101,349 Selective Insurance Group, Inc. 4,634 106,304 SI Financial Group, Inc. 243 2,867 Sierra Bancorp 844 13,175 * Signature Bank 3,863 459,002 Simmons First National Corp. Class A 1,400 50,624 Simplicity Bancorp, Inc. 726 12,589 SLM Corp. 17,771 457,603 # Southside Bancshares, Inc. 1,567 43,207 Southwest Bancorp, Inc. 1,486 24,816 #* St Joe Co. (The) 4,685 83,627 StanCorp Financial Group, Inc. 3,583 218,921 State Auto Financial Corp. 2,212 45,258 State Street Corp. 12,158 784,920 Sterling Bancorp 6,913 82,679 # Stewart Information Services Corp. 1,852 56,486 * Stifel Financial Corp. 6,251 292,359 Stock Yards Bancorp Inc 1,000 29,480 * Suffolk Bancorp 658 14,430 * Sun Bancorp, Inc. 4,675 17,765 SunTrust Banks, Inc. 11,740 449,172 Susquehanna Bancshares, Inc. 18,744 194,188 U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Financials -- (Continued) * SVB Financial Group 3,769 $ 402,115 * SWS Group, Inc. 700 5,187 Symetra Financial Corp. 6,728 139,000 Synovus Financial Corp. 64,460 206,917 T Rowe Price Group, Inc. 1,900 156,047 * Taylor Capital Group, Inc. 1,781 37,917 TCF Financial Corp. 12,961 203,488 TD Ameritrade Holding Corp. 12,360 394,284 * Tejon Ranch Co. 1,276 39,569 Territorial Bancorp, Inc. 900 18,414 * Texas Capital Bancshares, Inc. 3,704 208,128 TF Financial Corp. 39 1,223 * TFS Financial Corp. 16,138 216,088 Tompkins Financial Corp. 1,233 58,124 # Torchmark Corp. 4,021 320,474 # Tower Group International, Ltd. 3,613 8,888 # TowneBank 2,139 33,005 Travelers Cos., Inc. (The) 10,611 961,144 * Tree.com, Inc. 973 28,295 Trico Bancshares 1,559 37,806 TrustCo Bank Corp. 8,924 58,988 Trustmark Corp. 6,690 153,000 U.S. Bancorp 50,752 2,069,667 # UMB Financial Corp. 4,263 250,281 # Umpqua Holdings Corp. 8,401 139,709 Union Bankshares Corp. 3,433 87,850 United Bankshares, Inc. 5,077 148,502 * United Community Banks, Inc. 3,504 56,590 * United Community Financial Corp. 2,544 8,472 United Financial Bancorp, Inc.(91030T109) 1,317 23,232 United Financial Bancorp, Inc.(910304104) 2,137 28,123 United Fire Group, Inc. 1,591 44,262 * United Security Bancshares 367 2,068 # Universal Insurance Holdings, Inc. 4,299 62,894 Univest Corp. of Pennsylvania 1,300 25,623 Unum Group 15,320 508,930 Validus Holdings, Ltd. 8,657 320,915 # Valley National Bancorp 14,262 142,905 ViewPoint Financial Group, Inc. 3,435 89,550 * Virtus Investment Partners, Inc. 532 98,415 Waddell & Reed Financial, Inc. Class A 2,307 155,607 * Walker & Dunlop, Inc. 1,702 26,687 Washington Banking Co. 1,187 20,416 Washington Federal, Inc. 8,949 193,119 Washington Trust Bancorp, Inc. 1,189 40,664 Waterstone Financial, Inc. 1,426 14,845 Webster Financial Corp. 9,486 285,908 Wells Fargo & Co. 129,181 6,412,545 WesBanco, Inc. 2,821 85,307 # West Bancorporation, Inc. 899 13,044 # Westamerica Bancorporation 1,988 101,030 * Western Alliance Bancorp 6,834 157,660 U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ ----------- Financials -- (Continued) Westfield Financial, Inc. 1,934 $ 13,248 Westwood Holdings Group, Inc. 360 20,941 Willis Group Holdings P.L.C. 5,006 205,196 Wilshire Bancorp, Inc. 6,648 66,480 Wintrust Financial Corp. 2,818 126,303 #* WisdomTree Investments, Inc. 9,500 107,255 #* World Acceptance Corp. 1,200 87,120 WR Berkley Corp. 6,950 307,468 WSFS Financial Corp. 110 7,438 XL Group P.L.C. 15,066 472,319 * Yadkin Financial Corp. 166 3,179 Zions Bancorp. 14,959 432,614 ----------- Total Financials 98,142,610 ----------- Health Care -- (2.4%) #* Abaxis, Inc. 500 20,305 #* Accuray, Inc. 5,614 47,157 #* Albany Molecular Research, Inc. 2,219 35,637 #* Alere, Inc. 7,542 251,903 #* Align Technology, Inc. 1,994 100,478 * Allscripts Healthcare Solutions, Inc. 14,312 217,829 AmerisourceBergen Corp. 4,700 306,346 Analogic Corp. 1,079 81,011 * AngioDynamics, Inc. 1,785 23,990 * Anika Therapeutics, Inc. 897 38,338 * ArthroCare Corp. 2,493 120,985 #* athenahealth, Inc. 848 104,847 # Atrion Corp. 178 51,323 #* Baxano Surgical, Inc. 1,149 977 * Boston Scientific Corp. 59,701 752,830 #* Bovie Medical Corp. 200 790 * Bruker Corp. 5,422 112,018 * Cambrex Corp. 3,800 77,862 Cantel Medical Corp. 3,548 117,652 Cardinal Health, Inc. 4,078 283,462 * CareFusion Corp. 11,304 441,534 #* Cepheid, Inc. 1,468 63,829 * Cerner Corp. 1,200 61,560 * Charles River Laboratories International, Inc. 4,195 225,355 # Computer Programs & Systems, Inc. 397 25,063 CONMED Corp. 2,606 120,736 * Covance, Inc. 3,517 310,481 CR Bard, Inc. 995 136,643 CryoLife, Inc. 1,842 16,725 * Cutera, Inc. 1,041 10,733 #* Cyberonics, Inc. 1,300 76,908 * Cynosure, Inc. Class A 1,466 35,976 DENTSPLY International, Inc. 5,600 249,928 Digirad Corp. 600 1,908 #* Edwards Lifesciences Corp. 1,100 89,617 * Exactech, Inc. 760 16,887 * Globus Medical, Inc. Class A 1,843 45,006 U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Health Care -- (Continued) * Greatbatch, Inc. 1,800 $ 82,854 * Haemonetics Corp. 3,784 114,882 * HealthStream, Inc. 733 16,602 * Henry Schein, Inc. 3,073 351,029 Hill-Rom Holdings, Inc. 6,318 236,040 #* Hologic, Inc. 14,790 310,368 * ICU Medical, Inc. 1,365 76,140 #* IDEXX Laboratories, Inc. 585 73,967 * Integra LifeSciences Holdings Corp. 2,879 131,225 * Intuitive Surgical, Inc. 225 81,382 Invacare Corp. 2,100 33,180 LeMaitre Vascular, Inc. 800 6,568 #* Luminex Corp. 1,922 36,922 #* Masimo Corp. 3,292 88,094 McKesson Corp. 2,088 353,269 * MedAssets, Inc. 6,271 143,167 * Medical Action Industries, Inc. 700 4,487 * Medidata Solutions, Inc. 1,848 67,101 Medtronic, Inc. 14,000 823,480 # Meridian Bioscience, Inc. 2,062 41,178 * Merit Medical Systems, Inc. 3,300 42,471 * Mettler-Toledo International, Inc. 589 137,308 * MWI Veterinary Supply, Inc. 675 105,732 * Natus Medical, Inc. 2,472 61,380 * NuVasive, Inc. 3,601 121,390 * Omnicell, Inc. 3,791 100,386 * OraSure Technologies, Inc. 1,425 9,334 * Orthofix International NV 1,246 37,629 # Owens & Minor, Inc. 6,644 222,840 * PAREXEL International Corp. 2,213 100,359 # Patterson Cos., Inc. 6,055 246,438 * PharMerica Corp. 1,793 48,752 #* PhotoMedex, Inc. 413 6,240 Quality Systems, Inc. 3,331 49,199 * Quidel Corp. 1,711 36,701 # ResMed, Inc. 3,037 151,394 * RTI Surgical, Inc. 3,864 16,615 #* Sirona Dental Systems, Inc. 3,126 235,138 * Spectranetics Corp. 1,700 36,142 St Jude Medical, Inc. 4,668 296,278 * Staar Surgical Co. 600 10,206 STERIS Corp. 5,081 244,142 Stryker Corp. 4,150 322,662 * SurModics, Inc. 300 6,528 * Symmetry Medical, Inc. 3,353 27,696 # Teleflex, Inc. 3,100 316,479 * Thoratec Corp. 5,256 172,292 * Tornier NV 511 8,672 # Utah Medical Products, Inc. 296 15,034 * Varian Medical Systems, Inc. 1,000 79,550 * Vascular Solutions, Inc. 2,112 46,274 * Waters Corp. 1,300 128,102 U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ ----------- Health Care -- (Continued) West Pharmaceutical Services, Inc. 5,622 $ 243,882 * Wright Medical Group, Inc. 3,960 108,306 Zimmer Holdings, Inc. 6,719 650,399 ----------- Total Health Care 12,188,514 ----------- Industrials -- (12.2%) 3M Co. 7,605 1,057,779 AAON, Inc. 2,880 81,648 AAR Corp. 3,317 85,910 ABM Industries, Inc. 5,652 153,113 # Acacia Research Corp. 4,008 64,288 * ACCO Brands Corp. 4,130 25,317 #* Accuride Corp. 1,372 7,738 Aceto Corp. 2,579 56,429 #* Acorn Energy, Inc. 1,200 2,784 Actuant Corp. Class A 5,651 191,343 Acuity Brands, Inc. 1,655 206,163 # ADT Corp. (The) 9,356 282,925 * Advisory Board Co. (The) 1,400 80,164 * AECOM Technology Corp. 9,552 309,676 #* Aegion Corp. 3,771 96,123 AGCO Corp. 4,569 254,493 * Air Transport Services Group, Inc. 4,074 31,899 Aircastle, Ltd. 3,400 59,738 Alamo Group, Inc. 900 47,808 Alaska Air Group, Inc. 7,000 658,560 # Albany International Corp. Class A 2,900 104,342 Allegiant Travel Co. 1,650 193,793 Allegion P.L.C. 1,303 64,303 Allied Motion Technologies, Inc. 400 4,536 Allison Transmission Holdings, Inc. 5,724 170,804 Altra Industrial Motion Corp. 3,013 102,924 AMERCO 1,927 481,962 #* Ameresco, Inc. Class A 1,816 11,641 * American Airlines Group, Inc. 8,897 312,018 American Railcar Industries, Inc. 1,731 120,201 American Science & Engineering, Inc. 700 47,040 * American Woodmark Corp. 1,528 45,855 AMETEK, Inc. 3,858 203,394 AO Smith Corp. 5,500 257,180 Apogee Enterprises, Inc. 2,835 90,068 Applied Industrial Technologies, Inc. 3,412 163,503 * ARC Document Solutions, Inc. 2,986 19,110 ArcBest Corp. 1,800 70,956 Argan, Inc. 1,370 36,675 * Armstrong World Industries, Inc. 1,710 89,878 Astec Industries, Inc. 2,062 82,377 * Astronics Corp. 805 45,982 * Astronics Corp. Class B 161 9,161 * Atlas Air Worldwide Holdings, Inc. 2,284 79,917 * Avis Budget Group, Inc. 11,621 611,148 # AZZ, Inc. 2,433 105,641 U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Industrials -- (Continued) * B/E Aerospace, Inc. 4,444 $390,050 Baltic Trading, Ltd. 800 4,792 Barnes Group, Inc. 4,970 191,444 Barrett Business Services, Inc. 700 35,287 * Beacon Roofing Supply, Inc. 4,820 171,496 * Blount International, Inc. 6,191 69,153 #* BlueLinx Holdings, Inc. 3,787 4,961 Brady Corp. Class A 4,124 106,358 * Breeze-Eastern Corp. 497 4,920 # Briggs & Stratton Corp. 3,200 68,384 Brink's Co. (The) 4,162 105,881 #* Builders FirstSource, Inc. 2,395 18,801 * CAI International, Inc. 1,816 39,498 Carlisle Cos., Inc. 4,095 336,814 * Casella Waste Systems, Inc. Class A 1,900 9,690 #* CBIZ, Inc. 2,941 25,204 CDI Corp. 1,400 21,448 Ceco Environmental Corp. 1,371 21,785 Celadon Group, Inc. 2,400 55,224 # CH Robinson Worldwide, Inc. 700 41,230 #* Chart Industries, Inc. 1,800 122,796 Chicago Bridge & Iron Co. NV 2,082 166,706 Cintas Corp. 4,500 265,185 CIRCOR International, Inc. 1,865 151,457 # CLARCOR, Inc. 1,441 83,232 #* Clean Harbors, Inc. 1,585 95,100 * Colfax Corp. 6,126 440,949 * Columbus McKinnon Corp. 1,655 43,841 Comfort Systems USA, Inc. 2,727 40,905 #* Commercial Vehicle Group, Inc. 1,100 10,681 Con-way, Inc. 4,471 189,928 Copa Holdings SA Class A 974 131,763 * Copart, Inc. 4,600 166,842 Corporate Executive Board Co. (The) 2,528 174,483 Courier Corp. 900 13,077 Covanta Holding Corp. 12,472 230,108 * Covenant Transportation Group, Inc. Class A 500 5,125 * CPI Aerostructures, Inc. 400 5,388 * CRA International, Inc. 600 13,062 Crane Co. 2,255 164,006 CSX Corp. 29,531 833,365 Cummins, Inc. 1,784 269,116 Curtiss-Wright Corp. 4,512 288,497 Danaher Corp. 10,605 778,195 Deere & Co. 6,146 573,668 Delta Air Lines, Inc. 11,100 408,813 Deluxe Corp. 4,950 272,002 Donaldson Co., Inc. 1,183 49,792 Douglas Dynamics, Inc. 1,694 28,578 Dover Corp. 6,676 576,806 * Ducommun, Inc. 789 19,149 Dun & Bradstreet Corp. (The) 1,341 148,529 U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Industrials -- (Continued) * DXP Enterprises, Inc. 1,200 $ 135,852 * Dycom Industries, Inc. 3,315 104,091 Dynamic Materials Corp. 900 18,180 #* Eagle Bulk Shipping, Inc. 75 219 Eastern Co. (The) 312 5,270 Eaton Corp. P.L.C. 13,195 958,485 #* Echo Global Logistics, Inc. 1,665 32,567 EMCOR Group, Inc. 5,809 267,156 Emerson Electric Co. 7,742 527,850 Encore Wire Corp. 2,116 103,113 #* Energy Recovery, Inc. 3,500 17,885 * EnerNOC, Inc. 3,307 78,045 EnerSys, Inc. 4,945 334,183 #* Engility Holdings, Inc. 497 21,689 Ennis, Inc. 1,743 26,075 #* EnPro Industries, Inc. 2,200 156,662 Equifax, Inc. 2,735 193,665 ESCO Technologies, Inc. 1,814 60,624 Espey Manufacturing & Electronics Corp. 200 5,320 Expeditors International of Washington, Inc. 1,230 50,725 Exponent, Inc. 1,100 77,462 # Fastenal Co. 2,644 132,412 * Federal Signal Corp. 4,281 64,986 FedEx Corp. 9,578 1,305,002 Flowserve Corp. 2,226 162,609 Fluor Corp. 6,968 527,478 Fortune Brands Home & Security, Inc. 6,301 251,095 Forward Air Corp. 2,278 100,756 * Franklin Covey Co. 1,096 22,216 Franklin Electric Co., Inc. 4,821 186,428 FreightCar America, Inc. 900 23,634 * FTI Consulting, Inc. 2,930 100,499 #* Fuel Tech, Inc. 1,500 9,135 * Furmanite Corp. 3,862 40,474 G&K Services, Inc. Class A 1,625 86,028 GATX Corp. 3,852 252,807 Generac Holdings, Inc. 2,918 171,812 General Cable Corp. 4,217 108,040 * Genesee & Wyoming, Inc. Class A 2,914 288,515 * Gibraltar Industries, Inc. 2,300 39,284 Global Power Equipment Group, Inc. 800 14,024 #* Goldfield Corp. (The) 600 1,236 Gorman-Rupp Co. (The) 1,756 54,524 * GP Strategies Corp. 2,129 55,950 Graco, Inc. 1,834 132,965 #* GrafTech International, Ltd. 6,803 76,262 Graham Corp. 700 20,888 Granite Construction, Inc. 3,119 116,588 * Great Lakes Dredge & Dock Corp. 6,473 55,862 #* Greenbrier Cos., Inc. (The) 2,478 129,946 Griffon Corp. 5,226 55,605 * H&E Equipment Services, Inc. 2,268 87,431 U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Industrials -- (Continued) Hardinge, Inc. 1,051 $ 14,041 Harsco Corp. 8,214 196,561 #* Hawaiian Holdings, Inc. 5,433 78,507 # Healthcare Services Group, Inc. 3,376 98,242 # Heartland Express, Inc. 8,800 191,488 # HEICO Corp. 2,200 121,704 HEICO Corp. Class A 1,387 56,520 Heidrick & Struggles International, Inc. 1,162 21,904 #* Heritage-Crystal Clean, Inc. 57 912 Herman Miller, Inc. 4,581 141,232 * Hertz Global Holdings, Inc. 27,997 797,075 * Hexcel Corp. 6,800 283,492 * Hill International, Inc. 2,600 17,472 HNI Corp. 3,507 123,552 Honeywell International, Inc. 7,169 666,000 Houston Wire & Cable Co. 1,200 14,952 * Hub Group, Inc. Class A 3,042 135,825 Hubbell, Inc. Class A 167 18,721 Hubbell, Inc. Class B 750 88,290 * Hudson Global, Inc. 2,300 8,165 Hurco Cos., Inc. 500 13,330 * Huron Consulting Group, Inc. 2,502 178,142 Hyster-Yale Materials Handling, Inc. 1,000 96,390 * ICF International, Inc. 1,396 54,402 IDEX Corp. 5,814 433,550 * IHS, Inc. Class A 700 84,441 Illinois Tool Works, Inc. 5,172 440,810 Ingersoll-Rand P.L.C. 3,909 233,758 #* InnerWorkings, Inc. 3,312 23,846 #* Innovative Solutions & Support, Inc. 400 2,692 Insperity, Inc. 2,668 85,536 Insteel Industries, Inc. 1,312 27,001 * Integrated Electrical Services, Inc. 260 1,615 # Interface, Inc. 4,868 87,575 International Shipholding Corp. 500 13,470 # Intersections, Inc. 1,300 7,306 Iron Mountain, Inc. 10,903 310,081 ITT Corp. 6,349 273,896 * Jacobs Engineering Group, Inc. 5,862 338,237 JB Hunt Transport Services, Inc. 1,300 98,930 #* JetBlue Airways Corp. 21,645 171,104 John Bean Technologies Corp. 1,711 49,602 # Joy Global, Inc. 6,614 399,353 Kadant, Inc. 500 17,375 Kaman Corp. 1,939 81,380 Kansas City Southern 4,545 458,500 KAR Auction Services, Inc. 8,173 243,392 KBR, Inc. 7,060 179,112 Kelly Services, Inc. Class A 3,623 76,300 Kennametal, Inc. 6,737 314,820 * Key Technology, Inc. 200 2,466 Kforce, Inc. 3,920 90,630 U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Industrials -- (Continued) Kimball International, Inc. Class B 2,971 $ 49,794 * Kirby Corp. 5,156 518,797 # Knight Transportation, Inc. 6,967 165,327 Knoll, Inc. 4,272 77,708 * Korn/Ferry International 3,862 112,191 # Landstar System, Inc. 2,070 130,389 * Lawson Products, Inc. 700 11,725 #* Layne Christensen Co. 1,949 33,952 LB Foster Co. Class A 744 35,228 Lennox International, Inc. 2,152 180,402 Lincoln Electric Holdings, Inc. 1,200 80,172 Lindsay Corp. 1,207 106,373 #* LMI Aerospace, Inc. 900 12,276 LS Starrett Co. (The) Class A 230 3,593 LSI Industries, Inc. 1,905 14,497 * Lydall, Inc. 1,100 25,751 Manitowoc Co., Inc. (The) 9,968 316,783 Manpowergroup, Inc. 5,670 461,198 Marten Transport, Ltd. 2,514 58,978 Masco Corp. 5,131 103,082 #* MasTec, Inc. 7,832 309,991 # Matson, Inc. 3,461 81,991 # McGrath RentCorp 1,766 55,770 * Meritor, Inc. 4,975 59,053 * Metalico, Inc. 2,075 3,196 * Mfri, Inc. 300 3,267 #* Middleby Corp. (The) 810 204,509 Miller Industries, Inc. 800 15,496 * Mistras Group, Inc. 1,695 38,493 Mobile Mini, Inc. 4,479 197,882 * Moog, Inc. Class A 2,878 188,365 * Moog, Inc. Class B 262 17,156 # MSA Safety, Inc. 3,072 162,048 MSC Industrial Direct Co., Inc. Class A 500 45,530 Mueller Industries, Inc. 5,524 159,865 Mueller Water Products, Inc. Class A 16,709 152,386 # Multi-Color Corp. 800 27,880 * MYR Group, Inc. 1,744 40,914 * Navigant Consulting, Inc. 4,670 78,456 #* NCI Building Systems, Inc. 513 8,023 Nielsen Holdings NV 7,725 362,689 NL Industries, Inc. 2,000 20,060 NN, Inc. 1,333 26,087 Nordson Corp. 2,209 164,239 Norfolk Southern Corp. 8,800 831,864 * Northwest Pipe Co. 665 23,787 #* Ocean Power Technologies, Inc. 500 1,350 * Old Dominion Freight Line, Inc. 6,105 370,146 * On Assignment, Inc. 5,656 197,960 * Orbital Sciences Corp. 7,578 222,793 * Orion Energy Systems, Inc. 900 4,770 * Orion Marine Group, Inc. 1,535 18,006 U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Industrials -- (Continued) Owens Corning 6,210 $253,679 PACCAR, Inc. 4,419 282,728 Pall Corp. 1,300 109,395 * PAM Transportation Services, Inc. 500 12,445 * Park-Ohio Holdings Corp. 1,285 75,031 Parker Hannifin Corp. 4,400 558,272 * Patrick Industries, Inc. 1,039 41,633 #* Pendrell Corp. 6,146 10,141 Pentair, Ltd. 8,367 621,584 * PGT, Inc. 4,678 46,546 * Pike Corp. 2,564 24,614 # Pitney Bowes, Inc. 8,508 228,014 #* PMFG, Inc. 999 5,664 #* Polypore International, Inc. 3,141 108,930 Powell Industries, Inc. 901 57,051 * PowerSecure International, Inc. 984 21,874 Precision Castparts Corp. 1,900 480,871 Preformed Line Products Co. 322 19,243 Primoris Services Corp. 6,129 171,489 * Proto Labs, Inc. 741 44,860 * Quality Distribution, Inc. 1,489 18,717 # Quanex Building Products Corp. 3,119 58,762 * Quanta Services, Inc. 11,778 415,528 # Raven Industries, Inc. 3,272 101,105 * RBC Bearings, Inc. 2,352 146,436 * RCM Technologies, Inc. 300 2,034 Regal-Beloit Corp. 3,437 256,847 * Republic Airways Holdings, Inc. 4,503 37,420 Republic Services, Inc. 13,754 482,628 Resources Connection, Inc. 3,398 46,247 * Rexnord Corp. 1,067 28,532 * Roadrunner Transportation Systems, Inc. 3,053 75,195 Robert Half International, Inc. 3,697 165,626 Rockwell Automation, Inc. 2,345 279,477 Rollins, Inc. 3,098 93,188 Roper Industries, Inc. 3,633 504,805 * RPX Corp. 5,300 86,814 RR Donnelley & Sons Co. 13,937 245,291 #* Rush Enterprises, Inc. Class A 2,608 83,717 Ryder System, Inc. 4,651 382,219 * Saia, Inc. 2,095 86,251 Schawk, Inc. 1,063 21,260 #* Sensata Technologies Holding NV 1,533 65,107 SIFCO Industries, Inc. 157 5,157 Simpson Manufacturing Co., Inc. 4,083 133,882 SkyWest, Inc. 4,435 51,446 * SL Industries, Inc. 160 4,398 Snap-on, Inc. 2,500 290,000 Southwest Airlines Co. 38,606 933,107 * SP Plus Corp. 600 14,652 * Spirit Aerosystems Holdings, Inc. Class A 9,209 276,546 * Spirit Airlines, Inc. 5,533 314,496 U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Industrials -- (Continued) SPX Corp. 3,471 $ 353,487 * Standard Register Co. (The) 220 1,597 Standex International Corp. 1,192 70,769 Stanley Black & Decker, Inc. 5,853 502,714 Steelcase, Inc. Class A 9,725 160,268 * Stericycle, Inc. 993 115,625 * Sterling Construction Co., Inc. 832 6,390 # Sun Hydraulics Corp. 1,817 74,279 #* Swift Transportation Co. 7,352 176,816 Sypris Solutions, Inc. 1,400 4,242 # TAL International Group, Inc. 3,220 135,820 #* Taser International, Inc. 4,043 65,294 #* Team, Inc. 1,660 71,197 #* Tecumseh Products Co. Class A 610 3,666 Tennant Co. 1,100 70,169 # Terex Corp. 9,365 405,411 * Tetra Tech, Inc. 4,748 136,125 # Textainer Group Holdings, Ltd. 5,806 228,176 * Thermon Group Holdings, Inc. 365 8,694 Timken Co. (The) 4,108 259,133 # Titan International, Inc. 3,320 58,133 #* Titan Machinery, Inc. 1,637 28,877 Toro Co. (The) 2,217 140,868 Towers Watson & Co. Class A 2,442 274,041 TransDigm Group, Inc. 1,020 181,427 * TRC Cos., Inc. 1,036 6,143 * Trex Co., Inc. 718 56,377 * Trimas Corp. 3,517 126,120 Trinity Industries, Inc. 6,685 501,776 Triumph Group, Inc. 4,187 271,359 * TrueBlue, Inc. 4,540 121,445 * Tutor Perini Corp. 3,246 96,082 # Twin Disc, Inc. 1,100 31,823 Tyco International, Ltd. 3,907 159,796 * Ultralife Corp. 900 3,240 UniFirst Corp. 1,405 135,217 Union Pacific Corp. 14,927 2,842,549 * United Continental Holdings, Inc. 14,973 611,947 United Parcel Service, Inc. Class B 6,514 641,629 #* United Rentals, Inc. 6,365 597,228 United Stationers, Inc. 3,103 116,456 United Technologies Corp. 11,308 1,338,076 Universal Forest Products, Inc. 1,415 71,443 Universal Truckload Services, Inc. 1,125 27,743 URS Corp. 7,053 332,337 US Ecology, Inc. 2,310 103,142 #* USA Truck, Inc. 505 8,413 #* USG Corp. 4,037 120,545 # UTi Worldwide, Inc. 10,073 98,615 # Valmont Industries, Inc. 1,927 286,950 * Verisk Analytics, Inc. Class A 2,360 141,812 Viad Corp. 1,848 42,596 U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ ----------- Industrials -- (Continued) * Vicor Corp. 1,600 $ 13,376 #* Wabash National Corp. 4,860 64,930 * WABCO Holdings, Inc. 1,232 131,836 Wabtec Corp. 1,200 89,460 Waste Connections, Inc. 8,268 369,249 Waste Management, Inc. 9,825 436,721 Watsco, Inc. 1,518 156,217 Watts Water Technologies, Inc. Class A 2,837 150,928 # Werner Enterprises, Inc. 7,357 188,339 * Wesco Aircraft Holdings, Inc. 3,750 75,975 #* WESCO International, Inc. 4,200 368,676 * Willis Lease Finance Corp. 400 8,064 Woodward, Inc. 4,997 224,016 WW Grainger, Inc. 500 127,200 #* XPO Logistics, Inc. 1,024 27,791 Xylem, Inc. 7,840 294,706 ----------- Total Industrials 62,199,930 ----------- Information Technology -- (16.4%) #* 3D Systems Corp. 2,797 132,410 Accenture P.L.C. Class A 6,501 521,510 * ACI Worldwide, Inc. 3,381 193,224 Activision Blizzard, Inc. 27,130 542,871 * Actuate Corp. 5,500 30,965 * Acxiom Corp. 8,058 227,558 * Adobe Systems, Inc. 4,517 278,654 # ADTRAN, Inc. 3,700 82,991 * Advanced Energy Industries, Inc. 3,977 87,017 #* Advanced Micro Devices, Inc. 19,102 78,127 # Advent Software, Inc. 3,324 95,798 * Agilysys, Inc. 1,500 18,810 * Akamai Technologies, Inc. 4,915 260,839 * Alliance Data Systems Corp. 1,000 241,900 * Alpha & Omega Semiconductor, Ltd. 1,573 11,326 Altera Corp. 13,214 429,719 Amdocs, Ltd. 7,478 347,951 American Software, Inc. Class A 1,755 16,918 #* Amkor Technology, Inc. 10,538 83,777 Amphenol Corp. Class A 1,929 183,930 * Amtech Systems, Inc. 400 3,420 * ANADIGICS, Inc. 1,360 1,700 Analog Devices, Inc. 13,040 668,822 Anixter International, Inc. 2,363 231,527 * ANSYS, Inc. 1,000 76,310 * AOL, Inc. 6,930 296,673 Apple, Inc. 16,277 9,604,895 Applied Materials, Inc. 19,110 364,237 * Applied Micro Circuits Corp. 4,195 40,733 * ARRIS Group, Inc. 10,814 282,137 * Arrow Electronics, Inc. 8,995 510,466 * Aspen Technology, Inc. 3,412 146,682 * Atmel Corp. 25,000 194,250 U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Information Technology -- (Continued) * Autodesk, Inc. 2,200 $ 105,644 Automatic Data Processing, Inc. 4,797 373,974 Avago Technologies, Ltd. 2,800 177,800 #* AVG Technologies NV 1,668 31,242 * Aviat Networks, Inc. 3,735 5,640 * Avid Technology, Inc. 2,744 20,717 Avnet, Inc. 9,919 427,806 AVX Corp. 6,101 81,448 * AXT, Inc. 2,400 5,184 # Badger Meter, Inc. 1,200 59,460 * Bankrate, Inc. 7,400 129,648 Bel Fuse, Inc. Class B 700 15,232 Belden, Inc. 4,262 314,578 * Benchmark Electronics, Inc. 4,214 97,681 Black Box Corp. 1,262 26,830 Blackbaud, Inc. 1,750 53,287 * Blackhawk Network Holdings, Inc. Class B 1,895 43,642 * Blucora, Inc. 3,873 74,555 Booz Allen Hamilton Holding Corp. 4,433 103,023 #* Bottomline Technologies de, Inc. 3,812 120,612 Broadcom Corp. Class A 6,200 191,022 Broadridge Financial Solutions, Inc. 5,714 219,075 * BroadVision, Inc. 200 1,984 * Brocade Communications Systems, Inc. 41,480 386,179 Brooks Automation, Inc. 3,979 40,705 * Bsquare Corp. 500 1,600 * BTU International, Inc. 400 1,172 CA, Inc. 17,698 533,418 * Cabot Microelectronics Corp. 2,465 106,907 #* CACI International, Inc. Class A 2,066 143,897 * Cadence Design Systems, Inc. 6,300 98,028 * CalAmp Corp. 1,600 28,400 * Calix, Inc. 5,315 46,825 * Cardtronics, Inc. 3,588 120,126 * Cascade Microtech, Inc. 700 7,476 # Cass Information Systems, Inc. 876 44,247 * Ceva, Inc. 1,230 19,963 * Checkpoint Systems, Inc. 3,000 38,310 * CIBER, Inc. 4,882 21,090 #* Ciena Corp. 5,359 105,947 #* Cirrus Logic, Inc. 6,738 150,257 Cisco Systems, Inc. 113,327 2,618,987 #* Citrix Systems, Inc. 2,202 130,601 #* Clearfield, Inc. 600 9,456 * Cognex Corp. 6,116 210,574 * Cognizant Technology Solutions Corp. Class A 3,416 163,643 * Coherent, Inc. 1,988 118,703 Cohu, Inc. 1,699 17,500 Communications Systems, Inc. 400 4,836 * CommVault Systems, Inc. 924 44,722 Computer Sciences Corp. 9,708 574,519 Computer Task Group, Inc. 1,668 26,371 U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Information Technology -- (Continued) Compuware Corp. 18,820 $ 194,975 * comScore, Inc. 1,191 37,314 Comtech Telecommunications Corp. 1,300 41,275 * Comverse, Inc. 800 19,952 #* Concur Technologies, Inc. 1,121 90,207 Concurrent Computer Corp. 1,400 11,746 * Constant Contact, Inc. 710 18,361 # Convergys Corp. 8,388 180,678 #* Conversant, Inc. 10,423 254,738 * CoreLogic, Inc. 9,208 258,100 * CoStar Group, Inc. 1,027 165,234 #* Cray, Inc. 4,033 115,787 #* Cree, Inc. 5,708 269,246 * Crexendo, Inc. 100 318 CSG Systems International, Inc. 2,509 66,137 CTS Corp. 1,493 26,560 Daktronics, Inc. 2,912 37,914 * Datalink Corp. 1,905 24,460 * Dealertrack Technologies, Inc. 4,432 202,498 #* Demand Media, Inc. 3,316 13,795 #* Dice Holdings, Inc. 4,814 36,827 # Diebold, Inc. 5,091 191,473 * Digi International, Inc. 1,926 17,064 Digimarc Corp. 400 13,208 * Digital River, Inc. 2,881 44,050 * Diodes, Inc. 3,494 92,137 #* Dolby Laboratories, Inc. Class A 3,796 151,271 * Dot Hill Systems Corp. 817 3,374 * DSP Group, Inc. 1,882 14,981 DST Systems, Inc. 3,628 334,465 * DTS, Inc. 1,197 22,276 EarthLink Holdings Corp. 5,823 19,856 * eBay, Inc. 10,538 546,185 # Ebix, Inc. 3,114 49,139 #* Echelon Corp. 1,167 3,023 * EchoStar Corp. Class A 3,056 137,398 Electro Rent Corp. 2,186 35,304 Electro Scientific Industries, Inc. 1,665 14,119 * Electronic Arts, Inc. 4,650 131,595 * Electronics for Imaging, Inc. 4,349 164,349 #* Ellie Mae, Inc. 1,499 36,561 #* eMagin Corp. 200 482 EMC Corp. 49,450 1,275,810 * Emcore Corp. 1,542 7,448 * Emulex Corp. 8,592 61,433 * Entegris, Inc. 13,244 146,876 * Entropic Communications, Inc. 6,177 22,793 * Envestnet, Inc. 1,539 56,712 * EPAM Systems, Inc. 1,693 52,703 EPIQ Systems, Inc. 2,540 32,487 * ePlus, Inc. 624 31,225 #* Equinix, Inc. 691 129,777 U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Information Technology -- (Continued) * Euronet Worldwide, Inc. 5,099 $ 234,503 * Exar Corp. 4,467 48,333 * ExlService Holdings, Inc. 2,149 60,806 * Extreme Networks, Inc. 9,220 52,738 * F5 Networks, Inc. 800 84,136 * Fabrinet 1,800 38,880 * Facebook, Inc. Class A 10,452 624,821 # FactSet Research Systems, Inc. 1,562 166,353 Fair Isaac Corp. 2,930 167,596 * Fairchild Semiconductor International, Inc. 10,463 133,194 * FalconStor Software, Inc. 2,300 3,496 * FARO Technologies, Inc. 1,300 51,870 FEI Co. 2,700 214,704 Fidelity National Information Services, Inc. 10,939 584,471 #* Finisar Corp. 10,080 263,592 * First Solar, Inc. 8,456 570,695 * Fiserv, Inc. 10,032 609,745 * FleetCor Technologies, Inc. 1,366 155,902 * FormFactor, Inc. 5,406 31,085 Forrester Research, Inc. 2,039 72,242 * Fortinet, Inc. 3,600 79,128 #* Freescale Semiconductor, Ltd. 3,035 66,679 * Frequency Electronics, Inc. 400 4,262 * Gartner, Inc. 1,984 136,777 * Genpact, Ltd. 8,673 146,227 Global Payments, Inc. 5,539 370,171 * Google, Inc. Class A 2,313 1,237,177 * Google, Inc. Class C 2,313 1,218,165 * GSI Group, Inc. 2,146 26,052 * GSI Technology, Inc. 1,600 10,160 #* GT Advanced Technologies, Inc. 5,500 91,355 #* Guidance Software, Inc. 500 4,605 * Guidewire Software, Inc. 1,681 63,475 Hackett Group, Inc. (The) 2,800 16,800 * Harmonic, Inc. 9,892 69,541 # Heartland Payment Systems, Inc. 2,158 88,349 Hewlett-Packard Co. 84,129 2,781,305 Hittite Microwave Corp. 1,882 111,716 IAC/InterActiveCorp 5,080 336,702 * ID Systems, Inc. 100 563 * Identive Group, Inc. 2,492 2,118 * IEC Electronics Corp. 450 2,003 * iGATE Corp. 3,359 122,939 * II-VI, Inc. 4,368 62,899 * Imation Corp. 1,900 8,208 * Immersion Corp. 1,700 19,278 #* Infinera Corp. 10,687 95,756 * Informatica Corp. 3,140 111,313 * Ingram Micro, Inc. Class A 10,867 292,974 * Innodata, Inc. 700 2,359 * Inphi Corp. 2,200 32,538 * Insight Enterprises, Inc. 4,000 104,480 U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Information Technology -- (Continued) * Integrated Device Technology, Inc. 13,970 $ 163,030 * Integrated Silicon Solution, Inc. 2,651 38,333 Intel Corp. 174,364 4,653,775 * Interactive Intelligence Group, Inc. 300 18,771 # InterDigital, Inc. 3,147 109,264 #* Internap Network Services Corp. 4,800 32,256 International Business Machines Corp. 8,942 1,756,835 * International Rectifier Corp. 7,178 186,915 Intersil Corp. Class A 12,304 151,831 * Intevac, Inc. 1,700 13,685 Intuit, Inc. 2,740 207,555 #* iPass, Inc. 2,100 3,402 #* IPG Photonics Corp. 1,700 109,871 #* Itron, Inc. 3,465 131,670 * Ixia 7,078 87,909 IXYS Corp. 2,328 25,119 # j2 Global, Inc. 3,521 163,234 Jabil Circuit, Inc. 17,015 293,679 Jack Henry & Associates, Inc. 3,416 188,427 * JDS Uniphase Corp. 13,298 168,486 * Juniper Networks, Inc. 26,177 646,310 * Kemet Corp. 1,223 6,127 * Key Tronic Corp. 700 7,336 KLA-Tencor Corp. 7,152 457,656 * Knowles Corp. 3,338 93,230 * Kulicke & Soffa Industries, Inc. 6,802 100,057 * KVH Industries, Inc. 884 11,943 * Lam Research Corp. 7,408 426,775 * Lattice Semiconductor Corp. 7,554 63,605 # Leidos Holdings, Inc. 6,493 241,799 # Lexmark International, Inc. Class A 6,300 270,900 * Limelight Networks, Inc. 7,507 15,539 Linear Technology Corp. 4,791 213,199 * LinkedIn Corp. Class A 700 107,429 * Lionbridge Technologies, Inc. 3,275 19,257 * Liquidity Services, Inc. 151 2,605 Littelfuse, Inc. 2,023 183,183 * LoJack Corp. 1,205 6,832 LSI Corp. 15,094 168,147 * LTX-Credence Corp. 3,103 29,882 * Magnachip Semiconductor Corp. 3,805 53,270 * Manhattan Associates, Inc. 5,332 168,118 Marchex, Inc. Class B 1,400 12,950 Marvell Technology Group, Ltd. 29,570 468,980 MasterCard, Inc. Class A 8,000 588,400 #* Mattersight Corp. 151 953 Maxim Integrated Products, Inc. 8,541 277,070 MAXIMUS, Inc. 2,800 119,196 * MaxLinear, Inc. Class A 1,000 7,870 #* Maxwell Technologies, Inc. 1,381 20,798 * Measurement Specialties, Inc. 1,565 100,708 Mentor Graphics Corp. 11,565 239,395 U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Information Technology -- (Continued) # Mesa Laboratories, Inc. 256 $ 21,939 Methode Electronics, Inc. 3,800 105,412 Micrel, Inc. 4,040 40,238 # Microchip Technology, Inc. 3,941 187,355 * Micron Technology, Inc. 46,607 1,217,375 * MICROS Systems, Inc. 1,944 100,116 * Microsemi Corp. 8,579 201,778 Microsoft Corp. 85,668 3,460,987 MKS Instruments, Inc. 4,261 119,947 MOCON, Inc. 400 6,392 #* ModusLink Global Solutions, Inc. 2,008 8,112 * MoneyGram International, Inc. 1,187 15,668 * Monolithic Power Systems, Inc. 3,036 112,636 Monotype Imaging Holdings, Inc. 3,218 84,987 * Monster Worldwide, Inc. 8,316 57,297 #* MoSys, Inc. 4,500 17,595 Motorola Solutions, Inc. 3,260 207,271 * Move, Inc. 2,346 25,079 # MTS Systems Corp. 1,176 75,817 * Multi-Fineline Electronix, Inc. 1,449 17,939 * Nanometrics, Inc. 2,275 36,991 * NAPCO Security Technologies, Inc. 990 5,782 National Instruments Corp. 3,787 103,423 * NCI, Inc. Class A 397 3,958 * NCR Corp. 1,700 51,867 NetApp, Inc. 13,576 483,441 * NETGEAR, Inc. 2,872 92,766 * Netscout Systems, Inc. 2,794 108,854 #* NetSuite, Inc. 550 42,520 #* NeuStar, Inc. Class A 2,100 54,012 * Newport Corp. 2,772 51,781 NIC, Inc. 3,314 60,779 * Novatel Wireless, Inc. 1,800 3,258 #* Nuance Communications, Inc. 7,400 119,066 #* Numerex Corp. Class A 800 8,200 NVIDIA Corp. 25,022 462,156 * Oclaro, Inc. 4,670 15,878 * OmniVision Technologies, Inc. 5,271 102,943 * ON Semiconductor Corp. 27,651 260,196 #* OpenTable, Inc. 964 64,742 * Oplink Communications, Inc. 2,074 35,548 Oracle Corp. 36,124 1,476,749 * OSI Systems, Inc. 1,600 89,296 * Pandora Media, Inc. 3,000 70,260 * PAR Technology Corp. 700 3,381 # Park Electrochemical Corp. 1,965 52,387 Paychex, Inc. 7,690 321,519 PC Connection, Inc. 1,700 34,017 PC-Tel, Inc. 700 5,775 * PCM, Inc. 700 7,294 * PDF Solutions, Inc. 1,700 31,909 Pegasystems, Inc. 3,684 61,044 U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Information Technology -- (Continued) Perceptron, Inc. 800 $ 9,440 * Perficient, Inc. 3,179 58,080 * Pericom Semiconductor Corp. 1,840 14,849 * Photronics, Inc. 6,520 56,594 * Planar Systems, Inc. 131 288 Plantronics, Inc. 4,400 191,708 * Plexus Corp. 2,684 112,513 * PLX Technology, Inc. 3,500 20,300 * PMC-Sierra, Inc. 18,800 128,592 * Polycom, Inc. 10,695 131,548 # Power Integrations, Inc. 2,457 116,044 * PRGX Global, Inc. 2,000 12,860 * Progress Software Corp. 4,875 104,617 * PROS Holdings, Inc. 778 21,317 * PTC, Inc. 4,100 145,017 * Pulse Electronics Corp. 92 304 QAD, Inc. Class A 1,497 28,518 QAD, Inc. Class B 160 2,494 * QLogic Corp. 6,817 78,941 QUALCOMM, Inc. 20,304 1,598,128 #* Quantum Corp. 4,896 5,288 * QuinStreet, Inc. 2,573 15,695 * Qumu Corp. 800 10,760 #* Rackspace Hosting, Inc. 1,600 46,432 * Radisys Corp. 1,829 5,853 #* Rambus, Inc. 7,258 87,749 #* RealD, Inc. 3,135 34,360 * RealNetworks, Inc. 2,452 18,488 * Red Hat, Inc. 2,126 103,430 * Reis, Inc. 600 9,876 * RF Micro Devices, Inc. 20,200 170,488 Richardson Electronics, Ltd. 900 9,018 * Riverbed Technology, Inc. 8,723 169,662 * Rofin-Sinar Technologies, Inc. 1,841 40,870 * Rogers Corp. 1,173 70,403 * Rosetta Stone, Inc. 1,595 18,996 * Rovi Corp. 6,771 150,926 #* Rubicon Technology, Inc. 1,694 17,160 * Rudolph Technologies, Inc. 2,708 24,670 * Saba Software, Inc. 1,400 15,400 * Salesforce.com, Inc. 2,827 146,015 SanDisk Corp. 9,556 811,973 * Sanmina Corp. 8,115 164,329 * Sapient Corp. 11,200 182,224 * ScanSource, Inc. 1,900 72,979 * Seachange International, Inc. 3,525 33,029 Seagate Technology P.L.C. 4,700 247,126 * Semtech Corp. 5,184 124,312 * ShoreTel, Inc. 2,000 15,100 * Sigma Designs, Inc. 2,476 9,335 #* Silicon Graphics International Corp. 3,567 43,089 * Silicon Image, Inc. 8,600 48,246 U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Information Technology -- (Continued) * Silicon Laboratories, Inc. 3,026 $136,019 * Skyworks Solutions, Inc. 9,069 372,282 #* Smith Micro Software, Inc. 2,100 3,486 * SMTC Corp. 1,100 1,683 * SolarWinds, Inc. 1,900 76,608 Solera Holdings, Inc. 1,354 87,712 * Sonus Networks, Inc. 29,469 96,364 * Spansion, Inc. Class A 5,831 103,967 * Speed Commerce, Inc. 600 1,980 * SS&C Technologies Holdings, Inc. 7,700 299,684 * Stamps.com, Inc. 1,221 42,381 * StarTek, Inc. 700 4,865 #* Stratasys, Ltd. 3,049 295,357 #* SunEdison, Inc. 18,506 355,870 #* SunPower Corp. 6,203 207,304 * Super Micro Computer, Inc. 2,560 52,122 * support.com, Inc. 5,020 12,399 * Sykes Enterprises, Inc. 3,417 67,622 Symantec Corp. 9,402 190,673 #* Synaptics, Inc. 3,245 201,677 * Synchronoss Technologies, Inc. 3,800 115,672 * SYNNEX Corp. 3,649 245,870 * Synopsys, Inc. 6,817 256,456 #* Syntel, Inc. 1,200 96,384 * Take-Two Interactive Software, Inc. 14,233 290,069 TE Connectivity, Ltd. 5,500 324,390 * Tech Data Corp. 3,621 226,276 #* TeleCommunication Systems, Inc. Class A 1,125 2,869 * Telenav, Inc. 2,000 12,260 * TeleTech Holdings, Inc. 4,817 116,234 #* Teradata Corp. 1,850 84,101 #* Teradyne, Inc. 12,646 223,455 Tessco Technologies, Inc. 672 22,102 Tessera Technologies, Inc. 5,070 111,185 Texas Instruments, Inc. 10,600 481,770 * TIBCO Software, Inc. 1,804 35,413 Total System Services, Inc. 12,690 403,161 Transact Technologies, Inc. 400 4,276 * Trimble Navigation, Ltd. 2,600 99,918 * TriQuint Semiconductor, Inc. 15,220 215,820 * TTM Technologies, Inc. 5,186 40,918 * Tyler Technologies, Inc. 1,000 81,650 * Ultimate Software Group, Inc. (The) 680 81,348 * Ultra Clean Holdings, Inc. 1,300 11,076 #* Ultratech, Inc. 2,800 74,536 * Unisys Corp. 3,288 80,129 United Online, Inc. 1,294 15,334 * Unwired Planet, Inc. 3,220 7,342 #* Vantiv, Inc. Class A 6,056 186,222 #* Veeco Instruments, Inc. 3,544 131,022 * VeriFone Systems, Inc. 6,690 223,714 * Verint Systems, Inc. 4,496 196,790 U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ ----------- Information Technology -- (Continued) #* VeriSign, Inc. 1,800 $ 84,924 #* ViaSat, Inc. 2,399 154,040 #* Viasystems Group, Inc. 804 9,664 * Virtusa Corp. 2,900 95,613 Visa, Inc. Class A 4,405 892,497 # Vishay Intertechnology, Inc. 12,407 176,428 * Vishay Precision Group, Inc. 793 12,870 #* VistaPrint NV 1,285 50,719 Wayside Technology Group, Inc. 200 3,232 * Web.com Group, Inc. 3,410 104,721 #* WebMD Health Corp. 3,277 144,483 #* Westell Technologies, Inc. Class A 2,172 7,081 Western Digital Corp. 8,999 793,082 # Western Union Co. (The) 6,596 104,679 * WEX, Inc. 1,336 128,216 Xilinx, Inc. 8,950 422,350 * XO Group, Inc. 2,465 26,178 * Yahoo!, Inc. 10,799 388,224 * Zebra Technologies Corp. Class A 5,254 364,838 #* Zix Corp. 5,819 19,086 * Zygo Corp. 1,500 28,860 #* Zynga, Inc. Class A 51,100 206,955 ----------- Total Information Technology 83,694,910 ----------- Materials -- (5.1%) A Schulman, Inc. 2,365 84,951 * AEP Industries, Inc. 575 20,481 Air Products & Chemicals, Inc. 2,600 305,552 Airgas, Inc. 3,243 344,601 Albemarle Corp. 6,738 451,716 Alcoa, Inc. 49,187 662,549 # Allegheny Technologies, Inc. 9,816 404,419 #* Allied Nevada Gold Corp. 1,571 5,326 #* AM Castle & Co. 1,581 19,415 # AMCOL International Corp. 2,649 121,457 # American Vanguard Corp. 2,100 37,401 Ampco-Pittsburgh Corp. 500 10,015 # Aptargroup, Inc. 4,567 307,907 * Arabian American Development Co. 1,000 10,930 Ashland, Inc. 4,433 428,228 Avery Dennison Corp. 8,843 430,300 Axiall Corp. 3,908 182,113 Ball Corp. 3,108 174,639 Bemis Co., Inc. 8,248 331,900 # Cabot Corp. 4,342 250,968 * Calgon Carbon Corp. 5,733 114,832 Carpenter Technology Corp. 3,000 188,400 * Century Aluminum Co. 8,251 113,451 CF Industries Holdings, Inc. 3,965 972,099 Chase Corp. 598 18,622 * Chemtura Corp. 9,802 218,585 * Clearwater Paper Corp. 1,919 117,807 U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Materials -- (Continued) # Cliffs Natural Resources, Inc. 8,970 $158,948 * Codexis, Inc. 2,200 3,740 * Coeur Mining, Inc. 8,300 71,878 Commercial Metals Co. 11,472 220,262 Compass Minerals International, Inc. 1,600 146,560 #* Contango ORE, Inc. 20 238 * Core Molding Technologies, Inc. 283 3,399 * Crown Holdings, Inc. 1,638 77,264 Cytec Industries, Inc. 3,900 371,748 Deltic Timber Corp. 681 41,371 Domtar Corp. 2,479 231,439 Dow Chemical Co. (The) 16,952 845,905 Eagle Materials, Inc. 2,300 191,659 Eastman Chemical Co. 8,092 705,380 Ecolab, Inc. 2,189 229,057 EI du Pont de Nemours & Co. 9,043 608,775 * Ferro Corp. 6,586 85,486 #* Flotek Industries, Inc. 2,800 78,428 FMC Corp. 2,976 229,152 Freeport-McMoRan Copper & Gold, Inc. 25,237 867,396 Friedman Industries, Inc. 400 3,432 # FutureFuel Corp. 2,972 59,648 #* General Moly, Inc. 6,663 7,329 Globe Specialty Metals, Inc. 6,500 125,970 #* Golden Minerals Co. 900 630 * Graphic Packaging Holding Co. 23,446 240,556 Greif, Inc. Class A 1,400 75,866 # Greif, Inc. Class B 1,052 61,868 Hawkins, Inc. 817 29,575 Haynes International, Inc. 794 42,122 HB Fuller Co. 5,405 250,414 * Headwaters, Inc. 4,392 54,812 # Hecla Mining Co. 24,464 75,104 #* Horsehead Holding Corp. 4,750 74,052 Huntsman Corp. 16,769 420,063 Innophos Holdings, Inc. 2,105 118,806 Innospec, Inc. 2,596 111,784 International Flavors & Fragrances, Inc. 900 88,668 International Paper Co. 10,260 478,629 #* Intrepid Potash, Inc. 5,959 97,132 Kaiser Aluminum Corp. 1,125 79,200 * KapStone Paper and Packaging Corp. 9,968 262,956 # KMG Chemicals, Inc. 783 12,223 Koppers Holdings, Inc. 800 34,160 * Kraton Performance Polymers, Inc. 2,156 56,164 Kronos Worldwide, Inc. 4,154 65,010 * Landec Corp. 2,183 25,890 #* Louisiana-Pacific Corp. 11,287 184,994 * LSB Industries, Inc. 1,632 62,326 LyondellBasell Industries NV Class A 9,153 846,652 # Martin Marietta Materials, Inc. 2,100 261,093 Materion Corp. 2,000 67,300 U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Materials -- (Continued) #* McEwen Mining, Inc. 4,528 $ 10,867 MeadWestvaco Corp. 10,516 410,860 * Mercer International, Inc. 3,933 32,565 Minerals Technologies, Inc. 3,638 216,425 #* Molycorp, Inc. 470 2,233 Mosaic Co. (The) 8,855 443,104 Myers Industries, Inc. 3,823 71,490 Neenah Paper, Inc. 1,808 91,069 # NewMarket Corp. 300 111,696 Newmont Mining Corp. 12,455 309,258 Noranda Aluminum Holding Corp. 2,983 10,590 Nucor Corp. 12,549 649,411 # Olin Corp. 7,940 223,114 Olympic Steel, Inc. 600 15,816 OM Group, Inc. 1,766 51,726 * OMNOVA Solutions, Inc. 5,202 47,442 * Owens-Illinois, Inc. 16,004 508,607 Packaging Corp. of America 1,700 113,271 * Penford Corp. 590 7,434 PH Glatfelter Co. 2,300 58,696 PolyOne Corp. 7,273 272,519 PPG Industries, Inc. 1,366 264,485 Praxair, Inc. 3,438 448,831 Quaker Chemical Corp. 1,400 104,202 Reliance Steel & Aluminum Co. 4,804 340,219 Rock-Tenn Co. Class A 3,440 328,898 Rockwood Holdings, Inc. 4,389 311,838 # Royal Gold, Inc. 2,400 158,880 RPM International, Inc. 5,769 246,106 * RTI International Metals, Inc. 3,057 86,085 # Schnitzer Steel Industries, Inc. Class A 2,700 75,789 Scotts Miracle-Gro Co. (The) Class A 2,800 171,388 Sealed Air Corp. 11,888 407,877 Sensient Technologies Corp. 4,178 225,821 Sherwin-Williams Co. (The) 700 139,888 Silgan Holdings, Inc. 2,100 104,475 Sonoco Products Co. 7,342 308,951 Steel Dynamics, Inc. 20,176 368,616 Stepan Co. 1,652 95,535 #* Stillwater Mining Co. 10,155 160,246 * SunCoke Energy, Inc. 5,065 105,707 #* Texas Industries, Inc. 2,079 180,249 Tronox, Ltd. Class A 2,966 72,667 # United States Lime & Minerals, Inc. 400 21,624 # United States Steel Corp. 11,099 288,796 * Universal Stainless & Alloy Products, Inc. 500 17,945 # US Silica Holdings, Inc. 2,398 108,318 Valspar Corp. (The) 2,101 153,457 Vulcan Materials Co. 5,800 374,274 # Walter Energy, Inc. 550 3,960 # Wausau Paper Corp. 5,000 59,800 Westlake Chemical Corp. 6,310 449,272 U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Materials -- (Continued) Worthington Industries, Inc. 6,391 $ 235,189 * WR Grace & Co. 800 73,680 Zep, Inc. 1,294 22,373 ----------- Total Materials 26,044,811 ----------- Other -- (0.0%) (o)* Gerber Scientific, Inc. Escrow Shares 1,200 -- ----------- Real Estate Investment Trusts -- (0.0%) Parkway Properties, Inc. 1,739 32,798 ----------- Telecommunication Services -- (2.5%) * 8x8, Inc. 1,219 11,824 Alteva 100 605 AT&T, Inc. 146,555 5,232,014 Atlantic Tele-Network, Inc. 1,279 75,678 #* Boingo Wireless, Inc. 638 4,211 * Cbeyond, Inc. 2,307 22,816 # CenturyLink, Inc. 13,736 479,524 * Cincinnati Bell, Inc. 10,767 36,069 Cogent Communications Group, Inc. 1,801 62,081 # Consolidated Communications Holdings, Inc. 2,775 55,278 # Frontier Communications Corp. 40,515 241,064 #* General Communication, Inc. Class A 4,100 42,804 # HC2 Holdings, Inc. 936 3,679 HickoryTech Corp. 1,100 13,057 IDT Corp. Class B 2,468 39,093 Inteliquent, Inc. 3,793 51,737 #* Iridium Communications, Inc. 4,837 32,263 * Level 3 Communications, Inc. 5,214 224,358 Lumos Networks Corp. 2,200 29,062 #* NII Holdings, Inc. 4,601 3,956 # NTELOS Holdings Corp. 1,700 23,443 * ORBCOMM, Inc. 4,550 28,529 * Premiere Global Services, Inc. 4,670 59,402 #* SBA Communications Corp. Class A 3,117 279,782 Shenandoah Telecommunications Co. 1,444 40,475 #* Sprint Corp. 35,178 299,013 #* Straight Path Communications, Inc. Class B 984 6,888 * T-Mobile US, Inc. 6,705 196,389 Telephone & Data Systems, Inc. 10,022 272,498 * tw telecom, Inc. 6,083 186,687 United States Cellular Corp. 700 29,078 USA Mobility, Inc. 1,798 30,800 Verizon Communications, Inc. 94,161 4,400,144 * Vonage Holdings Corp. 13,116 50,365 # Windstream Holdings, Inc. 42,521 385,666 ----------- Total Telecommunication Services 12,950,332 ----------- Utilities -- (2.0%) AES Corp. 9,591 138,590 AGL Resources, Inc. 1,319 71,226 U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Utilities -- (Continued) # ALLETE, Inc. 1,900 $ 98,344 Alliant Energy Corp. 1,175 68,714 Ameren Corp. 3,233 133,555 American Electric Power Co., Inc. 2,611 140,498 American States Water Co. 2,600 78,936 American Water Works Co., Inc. 1,982 90,240 # Aqua America, Inc. 5,141 128,988 Artesian Resources Corp. Class A 400 8,808 Atmos Energy Corp. 2,794 142,606 # Avista Corp. 2,922 93,942 Black Hills Corp. 3,248 187,572 #* Cadiz, Inc. 300 1,929 California Water Service Group 3,500 78,750 * Calpine Corp. 17,289 396,437 CenterPoint Energy, Inc. 5,311 131,500 Chesapeake Utilities Corp. 500 31,630 Cleco Corp. 1,772 93,119 CMS Energy Corp. 3,000 90,930 Connecticut Water Service, Inc. 800 26,000 # Consolidated Edison, Inc. 1,773 102,887 Consolidated Water Co., Ltd. 959 11,144 # Delta Natural Gas Co., Inc. 591 11,270 Dominion Resources, Inc. 3,699 268,325 DTE Energy Co. 2,100 164,094 Duke Energy Corp. 4,898 364,852 #* Dynegy, Inc. 3,200 91,040 Edison International 1,998 113,007 El Paso Electric Co. 3,000 113,460 Empire District Electric Co. (The) 2,837 68,996 Entergy Corp. 2,321 168,272 Exelon Corp. 5,052 176,971 FirstEnergy Corp. 2,100 70,875 # Gas Natural, Inc. 700 7,630 * Genie Energy, Ltd. Class B 1,601 12,968 Great Plains Energy, Inc. 4,324 116,013 # Hawaiian Electric Industries, Inc. 4,869 116,807 IDACORP, Inc. 2,600 145,964 Integrys Energy Group, Inc. 2,195 134,510 ITC Holdings Corp. 4,629 171,134 Laclede Group, Inc. (The) 2,192 103,923 MDU Resources Group, Inc. 2,781 98,503 # MGE Energy, Inc. 2,263 86,492 Middlesex Water Co. 748 15,207 # National Fuel Gas Co. 800 58,912 New Jersey Resources Corp. 2,755 137,006 NextEra Energy, Inc. 2,771 276,684 NiSource, Inc. 3,585 130,207 Northeast Utilities 3,924 185,448 # Northwest Natural Gas Co. 1,777 78,668 NorthWestern Corp. 2,782 134,593 NRG Energy, Inc. 16,562 541,909 OGE Energy Corp. 2,000 74,660 U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ --------- ------------ Utilities -- (Continued) ONE Gas, Inc. 1,632 $ 59,699 Ormat Technologies, Inc. 2,600 69,368 # Otter Tail Corp. 2,643 77,440 Pepco Holdings, Inc. 2,789 74,634 PG&E Corp. 2,979 135,783 Piedmont Natural Gas Co., Inc. 2,461 88,079 Pinnacle West Capital Corp. 1,600 89,520 PNM Resources, Inc. 5,540 153,347 # Portland General Electric Co. 5,000 167,350 PPL Corp. 3,311 110,389 Public Service Enterprise Group, Inc. 3,305 135,406 Questar Corp. 5,160 125,285 RGC Resources, Inc. 100 1,910 # SCANA Corp. 1,702 91,363 Sempra Energy 1,253 123,558 SJW Corp. 1,548 42,152 # South Jersey Industries, Inc. 2,186 125,586 Southern Co. (The) 5,658 259,306 Southwest Gas Corp. 3,200 176,032 # TECO Energy, Inc. 5,900 105,964 UGI Corp. 10,085 470,869 # UIL Holdings Corp. 3,390 124,515 Unitil Corp. 1,246 41,367 # UNS Energy Corp. 1,844 110,751 Vectren Corp. 2,548 103,372 # Westar Energy, Inc. 3,393 121,741 WGL Holdings, Inc. 1,871 74,447 # Wisconsin Energy Corp. 2,570 124,594 Xcel Energy, Inc. 6,312 201,163 York Water Co. 462 9,245 ------------ Total Utilities 10,178,980 ------------ TOTAL COMMON STOCKS 457,177,573 ------------ RIGHTS/WARRANTS -- (0.0%) (o)* Leap Wireless International, Inc. Contingent Value Rights 1,200 3,024 (o)#* Magnum Hunter Resources Corp. Warrants 04/15/16 732 -- ------------ TOTAL RIGHTS/WARRANTS 3,024 ------------ TEMPORARY CASH INVESTMENTS -- (0.6%) State Street Institutional Liquid Reserves, 0.074% 2,951,033 2,951,033 ------------ SHARES/ FACE AMOUNT (000) --------- SECURITIES LENDING COLLATERAL -- (10.0%) (S)@ DFA Short Term Investment Fund 4,428,936 51,242,785 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $373,100,748) $511,374,415 ============ U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, 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 $ 61,804,094 -- -- $ 61,804,094 Consumer Staples 25,239,899 -- -- 25,239,899 Energy 64,700,695 -- -- 64,700,695 Financials 98,142,610 -- -- 98,142,610 Health Care 12,188,514 -- -- 12,188,514 Industrials 62,199,930 -- -- 62,199,930 Information Technology 83,694,910 -- -- 83,694,910 Materials 26,044,811 -- -- 26,044,811 Other -- -- -- -- Real Estate Investment Trusts 32,798 -- -- 32,798 Telecommunication Services 12,950,332 -- -- 12,950,332 Utilities 10,178,980 -- -- 10,178,980 Rights/Warrants -- $ 3,024 -- 3,024 Temporary Cash Investments 2,951,033 -- -- 2,951,033 Securities Lending Collateral -- 51,242,785 -- 51,242,785 ------------ ----------- -- ------------ TOTAL $460,128,606 $51,245,809 -- $511,374,415 ============ =========== == ============ U.S. SUSTAINABILITY CORE 1 PORTFOLIO SCHEDULE OF INVESTMENTS APRIL 30, 2014 (UNAUDITED) SHARES VALUE+ ------ ---------- COMMON STOCKS -- (90.3%) Consumer Discretionary -- (12.9%) * 1-800-Flowers.com, Inc. Class A 900 $ 4,905 Aaron's, Inc. 3,200 94,304 # Abercrombie & Fitch Co. Class A 2,903 106,714 Advance Auto Parts, Inc. 884 107,220 #* Aeropostale, Inc. 1,900 9,443 AH Belo Corp. Class A 200 2,302 * Amazon.com, Inc. 4,437 1,349,425 #* AMC Networks, Inc. Class A 2,397 157,411 #* America's Car-Mart, Inc. 200 7,228 * American Axle & Manufacturing Holdings, Inc. 2,724 48,079 # American Eagle Outfitters, Inc. 5,331 61,626 #* American Public Education, Inc. 300 10,380 #* ANN, Inc. 2,238 87,707 * Apollo Education Group, Inc. Class A 2,326 67,128 Arctic Cat, Inc. 500 20,445 * Asbury Automotive Group, Inc. 1,271 78,472 * Ascena Retail Group, Inc. 7,600 130,720 #* Ascent Capital Group, Inc. Class A 600 41,262 # Autoliv, Inc. 3,097 315,832 * AutoNation, Inc. 2,800 148,372 * AutoZone, Inc. 500 266,945 #* Bally Technologies, Inc. 400 26,044 Bassett Furniture Industries, Inc. 500 6,895 bebe stores, Inc. 3,649 18,427 * Bed Bath & Beyond, Inc. 1,300 80,769 Best Buy Co., Inc. 9,747 252,740 # Big 5 Sporting Goods Corp. 911 11,123 #* Big Lots, Inc. 3,000 118,500 #* BJ's Restaurants, Inc. 928 26,494 #* Blue Nile, Inc. 271 9,412 # Blyth, Inc. 400 3,748 Bob Evans Farms, Inc. 1,100 51,557 * Books-A-Million, Inc. 300 708 BorgWarner, Inc. 5,800 360,412 #* Bridgepoint Education, Inc. 960 15,216 Brinker International, Inc. 1,128 55,430 Brown Shoe Co., Inc. 2,300 54,257 Brunswick Corp. 2,495 100,274 # Buckle, Inc. (The) 933 43,842 * Buffalo Wild Wings, Inc. 600 87,672 * Build-A-Bear Workshop, Inc. 500 5,610 #* Cabela's, Inc. 1,758 115,342 # Cablevision Systems Corp. Class A 4,559 76,135 #* Cache, Inc. 271 721 # Callaway Golf Co. 2,913 25,372 * Cambium Learning Group, Inc. 900 2,016 # Capella Education Co. 200 11,672 #* CarMax, Inc. 3,498 153,142 * Carmike Cinemas, Inc. 957 28,385 # Carriage Services, Inc. 182 2,928 * Carrols Restaurant Group, Inc. 100 671 U.S. SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Consumer Discretionary -- (Continued) Carter's, Inc. 2,200 $ 162,052 # Cato Corp. (The) Class A 1,071 30,513 * Cavco Industries, Inc. 300 23,385 CBS Corp. Class A 300 17,445 CBS Corp. Class B 5,410 312,482 #* Central European Media Enterprises, Ltd. Class A 2,252 6,170 * Charter Communications, Inc. Class A 941 127,534 # Cheesecake Factory, Inc. (The) 2,000 89,780 Chico's FAS, Inc. 9,335 148,240 # Children's Place Retail Stores, Inc. (The) 980 47,040 * Chipotle Mexican Grill, Inc. 500 249,250 # Choice Hotels International, Inc. 1,324 58,494 * Christopher & Banks Corp. 600 3,744 Churchill Downs, Inc. 195 17,127 Cinemark Holdings, Inc. 4,200 124,404 * Citi Trends, Inc. 400 6,796 Clear Channel Outdoor Holdings, Inc. Class A 2,200 17,644 Coach, Inc. 2,000 89,300 # Collectors Universe, Inc. 299 7,021 Columbia Sportswear Co. 1,300 111,774 Comcast Corp. Class A 31,728 1,642,241 Comcast Corp. Special Class A 7,800 398,034 #* Conn's, Inc. 1,344 59,445 # Cooper Tire & Rubber Co. 1,175 29,551 Core-Mark Holding Co., Inc. 351 28,270 Cracker Barrel Old Country Store, Inc. 836 79,203 * Crocs, Inc. 2,687 40,654 CSS Industries, Inc. 242 5,801 # CST Brands, Inc. 4,432 144,616 CTC Media, Inc. 5,082 44,061 Culp, Inc. 400 7,220 * Cumulus Media, Inc. Class A 3,298 21,140 # Dana Holding Corp. 1,977 41,853 # Darden Restaurants, Inc. 2,600 129,246 * Deckers Outdoor Corp. 1,578 124,583 #* dELiA*s, Inc. 400 338 Delphi Automotive P.L.C. 3,927 262,481 * Delta Apparel, Inc. 231 3,518 Destination Maternity Corp. 800 19,728 #* Destination XL Group, Inc. 900 4,860 DeVry Education Group, Inc. 2,799 126,039 Dick's Sporting Goods, Inc. 1,400 73,724 Dillard's, Inc. Class A 1,893 185,381 DineEquity, Inc. 900 68,229 * DIRECTV 4,985 386,836 * Discovery Communications, Inc. Class A 1,700 129,030 * Discovery Communications, Inc. Class C 2,074 145,450 * DISH Network Corp. Class A 2,713 154,261 * Dollar General Corp. 6,482 365,844 * Dollar Tree, Inc. 3,078 160,271 Domino's Pizza, Inc. 2,051 152,553 #* Dorman Products, Inc. 1,223 70,384 U.S. SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Consumer Discretionary -- (Continued) # DR Horton, Inc. 11,461 $255,351 #* DreamWorks Animation SKG, Inc. Class A 3,248 78,049 Drew Industries, Inc. 1,261 63,454 DSW, Inc. Class A 2,970 99,168 # Dunkin' Brands Group, Inc. 2,900 131,979 #* Education Management Corp. 49 195 Einstein Noah Restaurant Group, Inc. 414 6,359 * Emerson Radio Corp. 900 1,827 #* Entercom Communications Corp. Class A 1,037 11,200 Entravision Communications Corp. Class A 1,600 8,496 # Ethan Allen Interiors, Inc. 979 23,770 * EW Scripps Co. Class A 1,807 30,954 Expedia, Inc. 1,882 133,603 * Express, Inc. 3,385 49,319 Family Dollar Stores, Inc. 1,000 58,750 * Federal-Mogul Holdings Corp. 2,329 40,105 * Fiesta Restaurant Group, Inc. 521 19,074 Finish Line, Inc. (The) Class A 4,245 116,865 Foot Locker, Inc. 5,251 244,329 Ford Motor Co. 29,700 479,655 * Fossil Group, Inc. 1,049 111,876 Fred's, Inc. Class A 874 15,924 #* FTD Cos., Inc. 755 22,907 #* Fuel Systems Solutions, Inc. 700 7,336 #* G-III Apparel Group, Ltd. 1,013 72,703 * Gaiam, Inc. Class A 700 5,166 # GameStop Corp. Class A 6,970 276,570 #* Gaming Partners International Corp. 100 845 Gannett Co., Inc. 7,622 207,090 Gap, Inc. (The) 8,181 321,513 # Garmin, Ltd. 4,900 279,790 #* Geeknet, Inc. 50 740 General Motors Co. 9,600 331,008 #* Genesco, Inc. 1,502 114,708 Gentex Corp. 3,224 92,432 * Gentherm, Inc. 1,200 43,620 Genuine Parts Co. 2,250 196,020 GNC Holdings, Inc. Class A 1,881 84,645 Goodyear Tire & Rubber Co. (The) 5,000 126,000 # Gordmans Stores, Inc. 317 1,423 Graham Holdings Co. Class B 200 134,246 * Grand Canyon Education, Inc. 503 21,689 #* Gray Television, Inc. 2,313 26,021 # Group 1 Automotive, Inc. 800 57,704 #* Groupon, Inc. 17,800 124,422 Guess?, Inc. 2,931 78,873 H&R Block, Inc. 2,460 69,913 Hanesbrands, Inc. 4,273 350,771 Harley-Davidson, Inc. 3,281 242,597 Harman International Industries, Inc. 2,612 286,301 # Harte-Hanks, Inc. 1,956 15,726 # Hasbro, Inc. 3,114 172,080 U.S. SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Consumer Discretionary -- (Continued) Haverty Furniture Cos., Inc. 900 $ 22,986 * Helen of Troy, Ltd. 1,670 104,709 #* Hibbett Sports, Inc. 400 21,540 Hillenbrand, Inc. 840 25,536 Home Depot, Inc. (The) 20,444 1,625,502 * HomeAway, Inc. 2,300 75,026 # Hooker Furniture Corp. 300 4,155 HSN, Inc. 1,155 67,036 * Hyatt Hotels Corp. Class A 1,252 70,463 #* Iconix Brand Group, Inc. 3,188 135,490 International Game Technology 5,400 67,770 International Speedway Corp. Class A 400 12,576 Interpublic Group of Cos., Inc. (The) 8,900 155,038 Interval Leisure Group, Inc. 1,171 30,177 #* iRobot Corp. 1,368 45,828 * Isle of Capri Casinos, Inc. 339 2,305 #* ITT Educational Services, Inc. 500 13,500 * Jack in the Box, Inc. 1,660 88,876 # JAKKS Pacific, Inc. 496 4,345 * Jarden Corp. 750 42,863 #* JC Penney Co., Inc. 8,024 68,364 John Wiley & Sons, Inc. Class A 2,101 120,723 Johnson Controls, Inc. 10,887 491,439 * Jos A Bank Clothiers, Inc. 1,100 71,005 * Journal Communications, Inc. Class A 1,300 10,426 * Kate Spade & Co. 5,827 202,605 # KB Home 3,690 60,922 * Kirkland's, Inc. 500 8,555 Kohl's Corp. 8,791 481,659 L Brands, Inc. 4,900 265,580 La-Z-Boy, Inc. 2,044 49,526 * Lamar Advertising Co. Class A 3,062 152,855 #* Lands' End, Inc. 1,108 30,636 Las Vegas Sands Corp. 3,041 240,634 #* LeapFrog Enterprises, Inc. 1,600 10,960 Lear Corp. 1,813 150,588 # Leggett & Platt, Inc. 5,817 191,147 # Lennar Corp. Class A 5,400 208,386 Lennar Corp. Class B 1,600 52,032 * Libbey, Inc. 300 8,001 * Liberty Global P.L.C. Class A 2,867 114,164 * Liberty Global P.L.C. Class C 10,251 393,946 * Liberty Interactive Corp. Class A 16,483 478,996 * Liberty Media Corp. Class A 4,635 601,206 * Liberty Media Corp. Class B 17 2,133 * Liberty Ventures Series A 2,748 159,494 #* Life Time Fitness, Inc. 1,000 48,000 Lifetime Brands, Inc. 500 9,550 * LIN Media LLC Class A 1,100 25,773 # Lions Gate Entertainment Corp. 2,125 56,376 Lithia Motors, Inc. Class A 900 66,852 * Live Nation Entertainment, Inc. 8,415 175,705 U.S. SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Consumer Discretionary -- (Continued) * LKQ Corp. 8,810 $256,547 * Loral Space & Communications, Inc. 620 44,634 Lowe's Cos., Inc. 16,224 744,844 #* Lululemon Athletica, Inc. 1,667 76,565 #* Lumber Liquidators Holdings, Inc. 594 51,773 * M/I Homes, Inc. 700 15,589 Macy's, Inc. 9,700 557,071 * Madison Square Garden Co. (The) Class A 2,781 151,843 Marcus Corp. (The) 300 5,019 # Marine Products Corp. 700 4,970 * MarineMax, Inc. 700 11,242 # Marriott International, Inc. Class A 7,025 406,958 * Marriott Vacations Worldwide Corp. 574 31,272 #* Martha Stewart Living Omnimedia, Inc. Class A 700 2,737 Mattel, Inc. 4,787 187,722 # Matthews International Corp. Class A 400 16,140 * McClatchy Co. (The) Class A 2,425 13,289 McDonald's Corp. 4,534 459,657 # MDC Holdings, Inc. 618 17,057 #* Media General, Inc. Class A 600 9,192 Men's Wearhouse, Inc. (The) 4,200 198,996 # Meredith Corp. 1,642 72,363 * Meritage Homes Corp. 1,400 54,012 * MGM Resorts International 21,410 540,174 * Michael Kors Holdings, Ltd. 2,411 219,883 * Mohawk Industries, Inc. 3,800 503,158 Monro Muffler Brake, Inc. 1,075 60,630 # Morningstar, Inc. 1,663 121,948 * Motorcar Parts of America, Inc. 440 12,074 Movado Group, Inc. 805 31,620 * Murphy USA, Inc. 1,546 65,705 NACCO Industries, Inc. Class A 300 16,077 #* Nathan's Famous, Inc. 200 9,856 National CineMedia, Inc. 2,017 30,638 * Nautilus, Inc. 913 7,605 * Netflix, Inc. 600 193,224 * New York & Co., Inc. 1,300 5,447 # New York Times Co. (The) Class A 6,900 110,952 Newell Rubbermaid, Inc. 5,896 177,529 * News Corp. Class A 7,731 131,582 #* News Corp. Class B 2,775 45,898 # Nexstar Broadcasting Group, Inc. Class A 1,069 42,600 NIKE, Inc. Class B 13,390 976,800 Nordstrom, Inc. 2,800 171,584 Nutrisystem, Inc. 400 6,000 * NVR, Inc. 200 215,400 * O'Reilly Automotive, Inc. 1,233 183,458 #* Office Depot, Inc. 24,090 98,528 Omnicom Group, Inc. 3,867 261,719 #* Orbitz Worldwide, Inc. 1,593 11,709 * Orient-Express Hotels, Ltd. Class A 1,409 18,458 #* Outerwall, Inc. 1,100 76,285 U.S. SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Consumer Discretionary -- (Continued) * Overstock.com, Inc. 299 $ 4,790 Oxford Industries, Inc. 800 52,808 #* Pacific Sunwear of California, Inc. 1,600 4,608 #* Panera Bread Co. Class A 363 55,528 Papa John's International, Inc. 894 39,211 * Penn National Gaming, Inc. 1,320 14,731 Penske Automotive Group, Inc. 3,300 151,338 #* Pep Boys-Manny, Moe & Jack (The) 1,600 16,352 * Perry Ellis International, Inc. 600 9,060 # PetMed Express, Inc. 500 6,545 # PetSmart, Inc. 1,100 74,448 # Pier 1 Imports, Inc. 3,100 56,606 # Polaris Industries, Inc. 1,192 160,121 # Pool Corp. 800 47,216 * Popeyes Louisiana Kitchen, Inc. 391 14,897 * Priceline Group, Inc. (The) 400 463,100 PulteGroup, Inc. 7,069 129,999 PVH Corp. 4,166 523,125 #* Quiksilver, Inc. 6,800 43,656 #* Radio One, Inc. Class D 897 4,054 #* RadioShack Corp. 1,955 2,796 Ralph Lauren Corp. 700 105,959 * Red Lion Hotels Corp. 171 983 * Red Robin Gourmet Burgers, Inc. 500 33,990 # Regal Entertainment Group Class A 4,994 93,887 Regis Corp. 798 10,486 # Rent-A-Center, Inc. 2,336 68,235 #* Rentrak Corp. 200 11,398 RG Barry Corp. 400 7,312 Ross Stores, Inc. 3,460 235,557 Royal Caribbean Cruises, Ltd. 3,048 161,940 * Ruby Tuesday, Inc. 1,112 8,574 Ruth's Hospitality Group, Inc. 1,400 17,626 # Ryland Group, Inc. (The) 1,600 61,424 Saga Communications, Inc. Class A 133 5,892 Salem Communications Corp. Class A 400 3,524 * Sally Beauty Holdings, Inc. 3,806 104,322 # Scholastic Corp. 800 26,328 * Scientific Games Corp. Class A 1,408 16,868 Scripps Networks Interactive, Inc. Class A 1,500 112,605 #* Sears Holdings Corp. 3,684 161,396 #* Select Comfort Corp. 800 14,720 Service Corp. International 5,243 98,411 #* Shiloh Industries, Inc. 200 3,948 # Shoe Carnival, Inc. 870 19,871 * Shutterfly, Inc. 1,200 49,116 Signet Jewelers, Ltd. 2,511 254,415 # Sinclair Broadcast Group, Inc. Class A 1,200 32,076 #* Sirius XM Holdings, Inc. 36,864 117,596 # Six Flags Entertainment Corp. 3,240 130,054 * Sizmek, Inc. 1,000 9,580 * Skechers U.S.A., Inc. Class A 1,833 75,135 U.S. SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Consumer Discretionary -- (Continued) * Skullcandy, Inc. 764 $ 5,883 * Skyline Corp. 100 510 Sonic Automotive, Inc. Class A 1,500 36,510 #* Sonic Corp. 2,800 53,312 # Sotheby's 920 38,695 Speedway Motorsports, Inc. 339 6,166 Stage Stores, Inc. 891 17,089 Standard Motor Products, Inc. 900 34,191 * Standard Pacific Corp. 7,538 60,229 * Stanley Furniture Co., Inc. 264 771 # Staples, Inc. 26,269 328,362 Starbucks Corp. 9,600 677,952 Starwood Hotels & Resorts Worldwide, Inc. 2,955 226,501 * Starz 4,635 149,571 * Starz Class B 17 549 # Stein Mart, Inc. 1,256 15,700 * Steiner Leisure, Ltd. 252 10,879 * Steven Madden, Ltd. 3,453 122,961 * Stoneridge, Inc. 400 4,276 * Strayer Education, Inc. 203 8,654 # Sturm Ruger & Co., Inc. 489 31,467 #* Systemax, Inc. 600 10,374 Target Corp. 6,900 426,075 #* Tempur Sealy International, Inc. 1,100 55,198 * Tenneco, Inc. 400 23,948 #* Tesla Motors, Inc. 1,244 258,615 Texas Roadhouse, Inc. 2,219 54,898 Thor Industries, Inc. 1,400 85,218 Tiffany & Co. 3,178 278,043 Time Warner Cable, Inc. 3,936 556,787 Time Warner, Inc. 22,360 1,486,046 TJX Cos., Inc. (The) 15,298 890,038 Town Sports International Holdings, Inc. 600 4,206 Tractor Supply Co. 2,400 161,376 # Trans World Entertainment Corp. 1,000 3,270 #* TripAdvisor, Inc. 2,100 169,554 * TRW Automotive Holdings Corp. 3,360 269,976 #* Tuesday Morning Corp. 1,000 13,980 # Tupperware Brands Corp. 2,350 199,538 Twenty-First Century Fox, Inc. Class A 30,924 990,186 Twenty-First Century Fox, Inc. Class B 8,700 272,484 * Ulta Salon Cosmetics & Fragrance, Inc. 900 78,939 #* Under Armour, Inc. Class A 2,800 136,892 * Unifi, Inc. 690 15,277 * Universal Electronics, Inc. 755 28,199 #* UQM Technologies, Inc. 252 557 * Urban Outfitters, Inc. 700 24,959 * US Auto Parts Network, Inc. 600 1,872 Vail Resorts, Inc. 575 39,807 * Valuevision Media, Inc. Class A 500 2,340 * Vera Bradley, Inc. 856 24,225 VF Corp. 5,856 357,743 U.S. SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE+ ------ ----------- Consumer Discretionary -- (Continued) Viacom, Inc. Class A 400 $ 33,988 Viacom, Inc. Class B 5,161 438,582 * Visteon Corp. 629 54,603 #* Vitamin Shoppe, Inc. 676 32,367 * VOXX International Corp. 518 6,087 Walt Disney Co. (The) 23,614 1,873,535 # Weight Watchers International, Inc. 1,686 33,383 # Wendy's Co. (The) 14,715 122,282 * West Marine, Inc. 591 6,324 #* Wet Seal, Inc. (The) Class A 3,500 3,955 Whirlpool Corp. 3,000 460,140 Williams-Sonoma, Inc. 4,117 258,630 #* Winnebago Industries, Inc. 898 21,462 # Wolverine World Wide, Inc. 3,000 84,300 # World Wrestling Entertainment, Inc. Class A 1,025 19,988 Wyndham Worldwide Corp. 3,300 235,422 Yum! Brands, Inc. 2,287 176,076 #* Zale Corp. 300 6,417 * Zumiez, Inc. 1,100 26,895 ----------- Total Consumer Discretionary 49,295,128 ----------- Consumer Staples -- (6.6%) # Alico, Inc. 229 7,997 Altria Group, Inc. 38,530 1,545,438 # Andersons, Inc. (The) 817 50,891 Archer-Daniels-Midland Co. 7,539 329,680 Avon Products, Inc. 8,406 128,444 B&G Foods, Inc. 1,781 58,417 Beam, Inc. 3,764 314,181 #* Boston Beer Co., Inc. (The) Class A 200 49,208 #* Boulder Brands, Inc. 2,449 36,147 Brown-Forman Corp. Class A 400 35,652 Brown-Forman Corp. Class B 1,950 174,954 Bunge, Ltd. 2,000 159,300 Cal-Maine Foods, Inc. 600 35,778 # Calavo Growers, Inc. 440 13,680 # Campbell Soup Co. 6,013 273,531 # Casey's General Stores, Inc. 1,582 108,620 * Central Garden and Pet Co. 300 2,439 * Central Garden and Pet Co. Class A 500 4,135 #* Chefs' Warehouse, Inc. (The) 407 8,177 * Chiquita Brands International, Inc. 1,200 13,776 Church & Dwight Co., Inc. 2,600 179,426 # Clorox Co. (The) 2,648 240,174 # Coca-Cola Bottling Co. Consolidated 130 10,690 Coca-Cola Co. (The) 30,130 1,229,003 Coca-Cola Enterprises, Inc. 8,928 405,688 Colgate-Palmolive Co. 19,889 1,338,530 ConAgra Foods, Inc. 7,264 221,625 * Constellation Brands, Inc. Class A 5,918 472,493 Costco Wholesale Corp. 7,202 833,127 #* Craft Brew Alliance, Inc. 500 7,485 U.S. SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Consumer Staples -- (Continued) #* Crimson Wine Group, Ltd. 265 $ 2,356 CVS Caremark Corp. 27,329 1,987,365 * Darling International, Inc. 4,268 85,403 # Dean Foods Co. 4,921 77,949 Dr Pepper Snapple Group, Inc. 5,097 282,476 * Elizabeth Arden, Inc. 900 33,066 Energizer Holdings, Inc. 2,528 282,352 Estee Lauder Cos., Inc. (The) Class A 3,800 275,766 Flowers Foods, Inc. 7,920 162,518 Fresh Del Monte Produce, Inc. 1,837 53,071 #* Fresh Market, Inc. (The) 935 34,688 General Mills, Inc. 7,297 386,887 #* Hain Celestial Group, Inc. (The) 1,127 96,944 # Herbalife, Ltd. 1,600 95,968 Hershey Co. (The) 1,673 161,009 Hillshire Brands Co. (The) 4,177 148,910 Hormel Foods Corp. 4,198 200,203 Ingles Markets, Inc. Class A 687 15,794 Ingredion, Inc. 1,760 123,992 Inter Parfums, Inc. 866 31,687 J&J Snack Foods Corp. 600 56,160 JM Smucker Co. (The) 3,279 317,014 # John B. Sanfilippo & Son, Inc. 84 1,936 Kellogg Co. 3,200 213,856 # Keurig Green Mountain, Inc. 3,350 313,828 Kimberly-Clark Corp. 2,920 327,770 Kraft Foods Group, Inc. 7,461 424,232 Kroger Co. (The) 7,694 354,232 Lancaster Colony Corp. 1,037 98,391 Lorillard, Inc. 3,373 200,424 * Mannatech, Inc. 15 244 # McCormick & Co., Inc. 2,576 183,411 Mead Johnson Nutrition Co. 2,563 226,210 #* Medifast, Inc. 500 15,825 Molson Coors Brewing Co. Class B 4,789 287,196 Mondelez International, Inc. Class A 22,890 816,028 * Monster Beverage Corp. 2,704 181,060 #* National Beverage Corp. 800 15,424 Nu Skin Enterprises, Inc. Class A 600 52,200 Oil-Dri Corp. of America 202 6,769 * Pantry, Inc. (The) 441 6,633 PepsiCo, Inc. 17,835 1,531,848 Philip Morris International, Inc. 11,407 974,500 * Pilgrim's Pride Corp. 3,106 67,897 #* Post Holdings, Inc. 1,326 69,297 Pricesmart, Inc. 446 42,834 Procter & Gamble Co. (The) 27,571 2,275,986 Reliv International, Inc. 400 884 #* Revlon, Inc. Class A 1,321 39,815 Reynolds American, Inc. 5,600 316,008 * Rite Aid Corp. 18,583 135,656 Safeway, Inc. 10,882 370,641 U.S. SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE+ ------ ----------- Consumer Staples -- (Continued) # Sanderson Farms, Inc. 930 $ 76,511 * Seneca Foods Corp. Class A 129 3,664 # Snyder's-Lance, Inc. 2,204 58,538 Spartan Stores, Inc. 710 15,293 Spectrum Brands Holdings, Inc. 2,061 158,347 #* Susser Holdings Corp. 919 71,112 Sysco Corp. 6,188 225,429 # Tootsie Roll Industries, Inc. 1,348 38,000 * TreeHouse Foods, Inc. 1,364 102,082 #* United Natural Foods, Inc. 1,611 111,207 #* USANA Health Sciences, Inc. 400 27,144 Wal-Mart Stores, Inc. 6,304 502,492 Walgreen Co. 7,916 537,496 # WD-40 Co. 400 29,136 Weis Markets, Inc. 606 27,931 * WhiteWave Foods Co. (The) Class A 6,094 168,743 Whole Foods Market, Inc. 7,000 347,900 ----------- Total Consumer Staples 25,252,324 ----------- Energy -- (9.6%) Adams Resources & Energy, Inc. 200 14,412 Alon USA Energy, Inc. 2,719 44,292 #* Alpha Natural Resources, Inc. 11,598 49,871 Anadarko Petroleum Corp. 6,803 673,633 Apache Corp. 6,212 539,202 #* Approach Resources, Inc. 1,205 25,004 # Arch Coal, Inc. 12,669 58,024 * Atwood Oceanics, Inc. 3,461 171,527 Baker Hughes, Inc. 8,936 624,626 #* Basic Energy Services, Inc. 1,715 45,310 #* Bill Barrett Corp. 2,201 52,120 Bolt Technology Corp. 800 13,504 #* Bonanza Creek Energy, Inc. 1,872 91,017 #* BPZ Resources, Inc. 3,512 9,482 Bristow Group, Inc. 1,857 142,618 #* C&J Energy Services, Inc. 2,419 72,715 Cabot Oil & Gas Corp. 10,800 424,224 * Cal Dive International, Inc. 2,777 4,110 * Callon Petroleum Co. 1,690 15,514 * Cameron International Corp. 3,374 219,175 # CARBO Ceramics, Inc. 700 97,937 * Carrizo Oil & Gas, Inc. 2,543 139,916 * Cheniere Energy, Inc. 4,199 237,034 Chesapeake Energy Corp. 18,304 526,240 Chevron Corp. 20,001 2,510,525 Cimarex Energy Co. 3,858 459,565 #* Clayton Williams Energy, Inc. 300 43,344 #* Clean Energy Fuels Corp. 2,990 26,461 * Cloud Peak Energy, Inc. 2,566 50,525 * Cobalt International Energy, Inc. 4,850 87,300 # Comstock Resources, Inc. 2,145 59,631 * Concho Resources, Inc. 3,500 456,575 U.S. SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Energy -- (Continued) ConocoPhillips 17,793 $1,322,198 CONSOL Energy, Inc. 6,139 273,247 * Contango Oil & Gas Co. 759 36,462 #* Continental Resources, Inc. 1,100 152,372 Core Laboratories NV 800 150,144 Dawson Geophysical Co. 300 8,478 Delek US Holdings, Inc. 2,927 93,635 # Denbury Resources, Inc. 13,018 218,963 Devon Energy Corp. 6,504 455,280 DHT Holdings, Inc. 612 4,780 # Diamond Offshore Drilling, Inc. 3,884 212,105 * Dresser-Rand Group, Inc. 2,700 163,188 * Dril-Quip, Inc. 1,320 149,318 #* Endeavour International Corp. 1,675 5,762 Energen Corp. 2,564 199,761 # Energy XXI Bermuda, Ltd. 3,420 81,841 * ENGlobal Corp. 600 1,284 EnLink Midstream LLC 2,100 74,193 EOG Resources, Inc. 9,128 894,544 * EPL Oil & Gas, Inc. 1,850 72,409 EQT Corp. 2,610 284,464 * Era Group, Inc. 900 25,695 #* Escalera Resources Co. 400 1,092 Evolution Petroleum Corp. 400 4,720 Exterran Holdings, Inc. 3,388 145,752 Exxon Mobil Corp. 37,767 3,867,718 * FMC Technologies, Inc. 3,900 221,130 * Gastar Exploration, Inc. 2,370 15,713 #* Geospace Technologies Corp. 600 34,878 #* Goodrich Petroleum Corp. 370 9,305 # Green Plains Renewable Energy, Inc. 1,300 38,870 * Gulf Coast Ultra Deep Royalty Trust 6,415 18,860 Gulf Island Fabrication, Inc. 600 12,036 Gulfmark Offshore, Inc. Class A 1,300 58,513 * Gulfport Energy Corp. 2,960 218,063 #* Halcon Resources Corp. 1,890 10,433 Halliburton Co. 12,911 814,297 #* Harvest Natural Resources, Inc. 1,569 7,076 * Helix Energy Solutions Group, Inc. 5,415 130,177 Helmerich & Payne, Inc. 3,900 423,735 #* Hercules Offshore, Inc. 7,529 33,655 Hess Corp. 4,571 407,550 * HKN, Inc. 8 500 HollyFrontier Corp. 6,627 348,514 #* Hornbeck Offshore Services, Inc. 1,690 70,017 #* Houston American Energy Corp. 397 187 #* ION Geophysical Corp. 7,078 31,143 * Key Energy Services, Inc. 4,827 48,463 Kinder Morgan, Inc. 13,384 437,121 Knightsbridge Tankers, Ltd. 1,161 13,874 * Kodiak Oil & Gas Corp. 12,382 157,375 * Kosmos Energy, Ltd. 1,756 19,176 U.S. SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Energy -- (Continued) #* Laredo Petroleum, Inc. 4,774 $ 139,544 # LinnCo LLC 3,528 97,232 #* Magnum Hunter Resources Corp. 3,583 30,455 Marathon Oil Corp. 11,243 406,434 Marathon Petroleum Corp. 5,787 537,902 * Matador Resources Co. 2,965 85,155 * Matrix Service Co. 1,260 39,022 #* McDermott International, Inc. 8,851 63,993 #* Midstates Petroleum Co., Inc. 198 1,168 #* Miller Energy Resources, Inc. 372 1,793 * Mitcham Industries, Inc. 226 3,119 Murphy Oil Corp. 6,186 392,378 Nabors Industries, Ltd. 14,742 376,216 National Oilwell Varco, Inc. 5,192 407,728 * Natural Gas Services Group, Inc. 794 24,368 * Newfield Exploration Co. 7,554 255,703 * Newpark Resources, Inc. 4,042 48,666 Noble Corp. P.L.C. 11,683 359,953 Noble Energy, Inc. 4,844 347,702 # Nordic American Tankers, Ltd. 60 518 #* Northern Oil and Gas, Inc. 3,085 47,602 #* Nuverra Environmental Solutions, Inc. 1,135 19,306 * Oasis Petroleum, Inc. 3,592 167,064 Occidental Petroleum Corp. 12,671 1,213,248 Oceaneering International, Inc. 3,400 249,152 * Oil States International, Inc. 2,418 234,885 ONEOK, Inc. 5,441 343,980 Panhandle Oil and Gas, Inc. Class A 200 8,770 * Parker Drilling Co. 5,444 36,094 Patterson-UTI Energy, Inc. 6,286 204,484 #* PDC Energy, Inc. 1,658 105,565 Peabody Energy Corp. 10,464 198,921 * Penn Virginia Corp. 4,203 69,938 * PetroQuest Energy, Inc. 2,500 15,050 * PHI, Inc. Non-Voting 505 22,624 Phillips 66 8,162 679,242 * Pioneer Energy Services Corp. 3,078 46,078 Pioneer Natural Resources Co. 2,799 540,963 QEP Resources, Inc. 6,074 186,411 Range Resources Corp. 2,900 262,305 #* Rentech, Inc. 6,215 13,176 * Rex Energy Corp. 2,322 48,901 * RigNet, Inc. 471 22,024 #* Rosetta Resources, Inc. 1,900 89,946 * Rowan Cos. P.L.C. Class A 6,187 191,302 RPC, Inc. 5,625 125,044 #* SandRidge Energy, Inc. 19,866 136,281 Schlumberger, Ltd. 22,609 2,295,944 # Scorpio Tankers, Inc. 4,035 36,355 #* SEACOR Holdings, Inc. 900 75,051 # SemGroup Corp. Class A 1,695 108,277 Ship Finance International, Ltd. 2,989 52,696 U.S. SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE+ ------ ----------- Energy -- (Continued) SM Energy Co. 2,978 $ 220,759 * Southwestern Energy Co. 7,654 366,473 Spectra Energy Corp. 7,100 281,941 #* Steel Excel, Inc. 300 9,720 * Stone Energy Corp. 2,406 118,014 Superior Energy Services, Inc. 7,836 257,961 #* Swift Energy Co. 900 11,097 * Synergy Resources Corp. 2,274 26,469 Targa Resources Corp. 1,084 117,061 # Teekay Corp. 4,093 229,658 * Tesco Corp. 1,101 22,020 Tesoro Corp. 2,700 151,983 #* TETRA Technologies, Inc. 3,259 40,737 * TGC Industries, Inc. 694 3,512 Tidewater, Inc. 2,293 116,782 # Transocean, Ltd. 7,118 306,572 #* Triangle Petroleum Corp. 1,612 15,507 #* Ultra Petroleum Corp. 5,812 173,198 * Unit Corp. 2,369 156,236 #* Uranium Energy Corp. 455 487 * Vaalco Energy, Inc. 2,200 20,284 Valero Energy Corp. 6,849 391,557 # W&T Offshore, Inc. 3,407 65,414 * Warren Resources, Inc. 2,562 12,989 * Weatherford International, Ltd. 28,038 588,798 # Western Refining, Inc. 3,300 143,550 * Westmoreland Coal Co. 400 11,844 * Whiting Petroleum Corp. 4,201 309,698 * Willbros Group, Inc. 2,838 31,530 Williams Cos., Inc. (The) 6,400 269,888 # World Fuel Services Corp. 4,212 191,814 #* WPX Energy, Inc. 6,253 133,064 ----------- Total Energy 36,727,844 ----------- Financials -- (13.2%) 1st Source Corp. 589 17,370 1st United Bancorp, Inc. 188 1,376 ACE, Ltd. 4,418 452,050 * Affiliated Managers Group, Inc. 800 158,560 Aflac, Inc. 10,365 650,093 Alexander & Baldwin, Inc. 1,818 67,830 * Alleghany Corp. 608 248,052 Allied World Assurance Co. Holdings AG 1,322 142,366 Allstate Corp. (The) 9,275 528,211 * Altisource Asset Management Corp. 50 48,913 #* Altisource Portfolio Solutions SA 500 51,855 #* Ambac Financial Group, Inc. 1,200 36,216 * American Capital, Ltd. 8,118 121,689 American Equity Investment Life Holding Co. 2,887 67,325 American Express Co. 10,464 914,868 American Financial Group, Inc. 3,769 220,223 American International Group, Inc. 11,775 625,606 U.S. SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Financials -- (Continued) American National Insurance Co. 696 $ 78,237 Ameriprise Financial, Inc. 2,606 290,908 * Ameris Bancorp 460 9,784 AMERISAFE, Inc. 720 30,708 # Amtrust Financial Services, Inc. 3,027 117,054 Aon P.L.C. 2,773 235,372 * Arch Capital Group, Ltd. 4,136 237,076 Argo Group International Holdings, Ltd. 500 22,210 # Arrow Financial Corp. 532 13,316 Arthur J Gallagher & Co. 2,500 112,550 Aspen Insurance Holdings, Ltd. 2,398 109,780 # Associated Banc-Corp 4,527 79,449 Assurant, Inc. 2,875 193,804 Assured Guaranty, Ltd. 6,718 160,627 * Asta Funding, Inc. 300 2,451 Astoria Financial Corp. 4,005 53,106 #* Atlantic Coast Financial Corp. 39 168 #* Atlanticus Holdings Corp. 202 491 #* AV Homes, Inc. 93 1,593 Axis Capital Holdings, Ltd. 3,885 177,739 Baldwin & Lyons, Inc. Class B 322 8,375 # Banc of California, Inc. 350 4,400 Bancfirst Corp. 614 35,741 * Bancorp, Inc. 911 14,412 # BancorpSouth, Inc. 3,266 76,294 Bank Mutual Corp. 1,600 9,632 Bank of America Corp. 187,476 2,838,387 # Bank of Hawaii Corp. 1,445 79,721 Bank of New York Mellon Corp. (The) 19,117 647,493 Bank of the Ozarks, Inc. 1,026 61,457 BankFinancial Corp. 500 4,920 BankUnited, Inc. 3,130 103,259 Banner Corp. 661 26,136 BB&T Corp. 7,705 287,628 BBCN Bancorp, Inc. 2,952 45,490 #* BBX Capital Corp. Class A 166 3,109 * Beneficial Mutual Bancorp, Inc. 2,921 38,090 Berkshire Hills Bancorp, Inc. 517 12,113 BGC Partners, Inc. Class A 10,187 73,041 BlackRock, Inc. 1,345 404,845 * BofI Holding, Inc. 540 43,529 # BOK Financial Corp. 695 45,467 Boston Private Financial Holdings, Inc. 2,818 35,253 Brookline Bancorp, Inc. 2,477 22,491 Brown & Brown, Inc. 3,900 116,142 Bryn Mawr Bank Corp. 239 6,520 Calamos Asset Management, Inc. Class A 500 6,090 # Camden National Corp. 200 7,634 * Capital Bank Financial Corp. Class A 25 596 # Capital City Bank Group, Inc. 200 2,780 Capital One Financial Corp. 9,044 668,352 # Capitol Federal Financial, Inc. 6,023 72,517 U.S. SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Financials -- (Continued) Cardinal Financial Corp. 1,000 $ 16,800 # Cash America International, Inc. 1,200 52,260 Cathay General Bancorp 2,951 69,644 CBOE Holdings, Inc. 2,065 110,188 * CBRE Group, Inc. Class A 5,874 156,483 Center Bancorp, Inc. 336 6,219 Centerstate Banks, Inc. 500 5,485 Central Pacific Financial Corp. 1,019 19,127 Charles Schwab Corp. (The) 9,809 260,429 Chemical Financial Corp. 706 19,817 Chubb Corp. (The) 3,820 351,746 Cincinnati Financial Corp. 5,024 244,870 CIT Group, Inc. 6,226 268,029 Citigroup, Inc. 47,513 2,276,348 #* Citizens, Inc. 1,605 10,545 # City Holding Co. 600 25,794 City National Corp. 1,400 101,598 Clifton Bancorp, Inc. 300 3,477 CME Group, Inc. 2,500 175,975 CNA Financial Corp. 2,800 114,660 CNB Financial Corp. 200 3,304 CNO Financial Group, Inc. 7,390 127,477 CoBiz Financial, Inc. 800 8,032 # Cohen & Steers, Inc. 402 16,285 Columbia Banking System, Inc. 1,879 46,637 # Comerica, Inc. 6,293 303,574 Commerce Bancshares, Inc. 4,115 178,920 # Community Bank System, Inc. 1,480 55,041 Community Trust Bancorp, Inc. 504 18,582 * Cowen Group, Inc. Class A 828 3,403 Crawford & Co. Class A 53 511 # Crawford & Co. Class B 686 7,834 * Credit Acceptance Corp. 757 99,561 Cullen/Frost Bankers, Inc. 1,641 125,389 # CVB Financial Corp. 3,700 53,502 #* DFC Global Corp. 1,315 12,256 Dime Community Bancshares, Inc. 1,300 21,190 Discover Financial Services 3,053 170,663 Donegal Group, Inc. Class A 642 9,476 * E*TRADE Financial Corp. 4,100 92,045 East West Bancorp, Inc. 5,018 173,171 # Eaton Vance Corp. 3,443 124,189 * eHealth, Inc. 500 20,945 EMC Insurance Group, Inc. 430 14,186 Employers Holdings, Inc. 1,000 20,350 #* Encore Capital Group, Inc. 1,364 58,952 Endurance Specialty Holdings, Ltd. 2,212 112,414 #* Enstar Group, Ltd. 684 88,304 Enterprise Financial Services Corp. 430 7,684 Erie Indemnity Co. Class A 735 52,663 ESSA Bancorp, Inc. 400 4,156 Evercore Partners, Inc. Class A 897 47,927 U.S. SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Financials -- (Continued) Everest Re Group, Ltd. 1,300 $ 205,439 * Ezcorp, Inc. Class A 1,020 10,639 FBL Financial Group, Inc. Class A 800 35,768 Federal Agricultural Mortgage Corp. Class C 301 10,710 # Federated Investors, Inc. Class B 1,300 37,102 Federated National Holding Co. 200 3,886 Fidelity National Financial, Inc. Class A 6,386 205,501 Fifth Third Bancorp 8,123 167,415 # Financial Engines, Inc. 325 14,381 Financial Institutions, Inc. 300 6,945 * First Acceptance Corp. 1,000 2,390 # First American Financial Corp. 3,984 105,974 First Bancorp 600 10,326 #* First BanCorp. 5,979 30,732 First Busey Corp. 2,827 15,549 * First Cash Financial Services, Inc. 757 36,919 # First Commonwealth Financial Corp. 4,114 35,339 First Community Bancshares, Inc. 500 7,405 First Defiance Financial Corp. 222 5,998 First Financial Bancorp 1,807 29,255 # First Financial Bankshares, Inc. 950 56,098 First Financial Corp. 422 13,508 First Financial Holdings, Inc. 732 42,068 # First Financial Northwest, Inc. 400 4,080 # First Horizon National Corp. 4,040 46,420 First Interstate Bancsystem, Inc. 286 7,119 First Merchants Corp. 1,066 22,621 First Midwest Bancorp, Inc. 2,533 41,465 First Niagara Financial Group, Inc. 7,494 66,846 * First Place Financial Corp. 400 1 First Republic Bank 4,299 218,217 First South Bancorp, Inc. 200 1,606 FirstMerit Corp. 4,644 90,047 * Flagstar Bancorp, Inc. 804 14,150 Flushing Financial Corp. 799 15,357 # FNB Corp. 5,192 64,588 * Forest City Enterprises, Inc. Class A 6,068 114,746 * Forestar Group, Inc. 800 13,640 Fox Chase Bancorp, Inc. 147 2,452 Franklin Resources, Inc. 4,765 249,448 Fulton Financial Corp. 7,551 92,047 # FXCM, Inc. Class A 316 4,892 GAMCO Investors, Inc. Class A 100 7,593 * Genworth Financial, Inc. Class A 23,205 414,209 German American Bancorp, Inc. 254 6,614 GFI Group, Inc. 2,588 9,627 Glacier Bancorp, Inc. 2,610 66,973 #* Gleacher & Co., Inc. 52 598 * Global Indemnity P.L.C. 450 12,060 Goldman Sachs Group, Inc. (The) 6,831 1,091,730 Great Southern Bancorp, Inc. 300 8,601 #* Green Dot Corp. Class A 747 12,975 U.S. SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Financials -- (Continued) # Greenhill & Co., Inc. 779 $ 39,067 * Greenlight Capital Re, Ltd. Class A 1,100 35,013 # Guaranty Bancorp 120 1,511 * Hallmark Financial Services, Inc. 500 4,200 Hampden Bancorp, Inc. 100 1,625 Hancock Holding Co. 2,019 68,101 Hanmi Financial Corp. 1,188 25,269 Hanover Insurance Group, Inc. (The) 2,376 138,877 * Harris & Harris Group, Inc. 1,200 4,308 Hartford Financial Services Group, Inc. (The) 17,708 635,186 HCC Insurance Holdings, Inc. 3,126 143,608 # HCI Group, Inc. 300 11,604 # Heartland Financial USA, Inc. 435 10,571 Heritage Commerce Corp. 441 3,581 Heritage Financial Group, Inc. 167 3,215 HFF, Inc. Class A 1,233 41,922 * Hilltop Holdings, Inc. 2,526 56,431 #* Home Bancorp, Inc. 196 3,969 Home BancShares, Inc. 2,076 65,830 Home Federal Bancorp, Inc. 290 4,365 Horace Mann Educators Corp. 1,341 40,324 * Howard Hughes Corp. (The) 683 97,505 Hudson Valley Holding Corp. 261 4,792 Huntington Bancshares, Inc. 9,647 88,367 # Iberiabank Corp. 1,126 70,825 * ICG Group, Inc. 1,306 26,616 # Independence Holding Co. 330 4,310 # Independent Bank Corp. 700 25,984 Interactive Brokers Group, Inc. Class A 2,858 68,306 IntercontinentalExchange Group, Inc. 2,366 483,705 International Bancshares Corp. 2,616 60,063 #* INTL. FCStone, Inc. 459 8,684 Invesco, Ltd. 13,515 475,863 * Investment Technology Group, Inc. 1,000 20,640 # Investors Bancorp, Inc. 4,486 119,911 # Janus Capital Group, Inc. 7,729 93,753 JMP Group, Inc. 400 2,764 Jones Lang LaSalle, Inc. 1,600 185,424 JPMorgan Chase & Co. 62,359 3,490,857 * KCG Holdings, Inc. Class A 1,260 12,537 #* Kearny Financial Corp. 900 13,122 Kemper Corp. 2,183 86,032 Kennedy-Wilson Holdings, Inc. 2,041 44,575 KeyCorp 23,198 316,421 Lakeland Bancorp, Inc. 1,417 14,793 Lakeland Financial Corp. 500 18,300 # Legg Mason, Inc. 8,127 381,075 Leucadia National Corp. 8,251 210,566 # Life Partners Holdings, Inc. 312 852 Lincoln National Corp. 4,700 227,997 Loews Corp. 2,700 118,719 LPL Financial Holdings, Inc. 1,825 86,414 U.S. SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Financials -- (Continued) # M&T Bank Corp. 2,088 $254,757 # Maiden Holdings, Ltd. 1,756 20,721 MainSource Financial Group, Inc. 700 11,571 * Markel Corp. 358 224,079 MarketAxess Holdings, Inc. 1,000 53,880 Marlin Business Services Corp. 342 5,872 Marsh & McLennan Cos., Inc. 5,834 287,675 #* Maui Land & Pineapple Co., Inc. 300 2,349 # MB Financial, Inc. 2,185 58,645 #* MBIA, Inc. 7,816 94,730 * MBT Financial Corp. 319 1,573 # MCG Capital Corp. 2,400 8,064 McGraw Hill Financial, Inc. 4,514 333,720 # Meadowbrook Insurance Group, Inc. 1,600 8,960 # Medallion Financial Corp. 600 8,160 Mercury General Corp. 2,001 95,768 #* Meridian Interstate Bancorp, Inc. 478 12,079 MetLife, Inc. 18,692 978,526 * Metro Bancorp, Inc. 400 8,168 #* MGIC Investment Corp. 3,341 28,733 Montpelier Re Holdings, Ltd. 1,800 55,044 Moody's Corp. 2,097 164,614 Morgan Stanley 31,284 967,614 * MSCI, Inc. 3,734 151,376 NASDAQ OMX Group, Inc. (The) 7,871 290,440 # National Interstate Corp. 500 14,010 National Penn Bancshares, Inc. 5,514 53,872 * Navigators Group, Inc. (The) 533 30,365 NBT Bancorp, Inc. 1,133 25,662 Nelnet, Inc. Class A 1,300 54,938 # New York Community Bancorp, Inc. 13,735 211,656 * NewBridge Bancorp 300 2,307 * NewStar Financial, Inc. 1,500 17,130 Northeast Community Bancorp, Inc. 300 2,184 Northern Trust Corp. 10,062 606,235 Northfield Bancorp, Inc. 2,004 25,992 Northwest Bancshares, Inc. 3,449 45,837 OceanFirst Financial Corp. 597 9,683 * Ocwen Financial Corp. 2,649 100,397 OFG Bancorp 1,501 25,607 # Old National Bancorp 2,500 35,300 Old Republic International Corp. 9,763 161,675 * Old Second Bancorp, Inc. 300 1,428 OmniAmerican Bancorp, Inc. 438 10,889 OneBeacon Insurance Group, Ltd. Class A 822 12,692 Oritani Financial Corp. 2,070 30,698 Pacific Continental Corp. 400 5,272 PacWest Bancorp 3,806 149,842 Park National Corp. 600 43,512 Park Sterling Corp. 1,039 6,785 PartnerRe, Ltd. 2,205 232,407 # People's United Financial, Inc. 15,038 214,743 U.S. SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Financials -- (Continued) Peoples Bancorp, Inc. 300 $ 7,821 #* PHH Corp. 2,035 48,372 * Phoenix Cos., Inc. (The) 130 5,723 * PICO Holdings, Inc. 641 14,903 Pinnacle Financial Partners, Inc. 1,087 37,578 * Piper Jaffray Cos. 400 17,544 Platinum Underwriters Holdings, Ltd. 1,322 82,903 PNC Financial Services Group, Inc. (The) 6,924 581,893 * Popular, Inc. 3,757 116,091 #* Portfolio Recovery Associates, Inc. 2,400 137,160 Primerica, Inc. 2,242 102,885 # Primus Guaranty, Ltd. 500 4,020 Principal Financial Group, Inc. 11,726 549,246 PrivateBancorp, Inc. 2,885 79,539 ProAssurance Corp. 2,591 117,683 Progressive Corp. (The) 12,992 315,056 # Prosperity Bancshares, Inc. 2,000 118,000 Protective Life Corp. 3,479 177,951 Provident Financial Services, Inc. 2,132 37,054 Prudential Financial, Inc. 7,777 627,448 Radian Group, Inc. 1,600 22,368 Raymond James Financial, Inc. 3,015 149,845 * Regional Management Corp. 298 4,571 Regions Financial Corp. 33,898 343,726 Reinsurance Group of America, Inc. 2,467 189,244 # RenaissanceRe Holdings, Ltd. 1,711 173,170 Renasant Corp. 684 18,618 Republic Bancorp, Inc. Class A 338 8,115 * Republic First Bancorp, Inc. 200 884 Resource America, Inc. Class A 551 4,689 * Riverview Bancorp, Inc. 100 348 # RLI Corp. 1,680 72,341 # S&T Bancorp, Inc. 953 22,167 #* Safeguard Scientifics, Inc. 719 15,106 Safety Insurance Group, Inc. 689 37,006 Sandy Spring Bancorp, Inc. 703 16,907 * Seacoast Banking Corp. of Florida 562 5,957 SEI Investments Co. 4,267 138,165 Selective Insurance Group, Inc. 2,025 46,454 Sierra Bancorp 700 10,927 * Signature Bank 1,300 154,466 Simmons First National Corp. Class A 700 25,312 Simplicity Bancorp, Inc. 100 1,734 SLM Corp. 8,145 209,734 (o) Southern Community Financial Corp. 300 66 # Southside Bancshares, Inc. 730 20,127 Southwest Bancorp, Inc. 200 3,340 #* St Joe Co. (The) 1,702 30,381 StanCorp Financial Group, Inc. 2,281 139,369 State Auto Financial Corp. 800 16,368 State Street Corp. 10,000 645,600 Sterling Bancorp 2,388 28,560 U.S. SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Financials -- (Continued) # Stewart Information Services Corp. 700 $ 21,350 * Stifel Financial Corp. 2,194 102,613 Stock Yards Bancorp Inc 564 16,627 #* Suffolk Bancorp 100 2,193 #* Sun Bancorp, Inc. 201 764 SunTrust Banks, Inc. 4,780 182,883 Susquehanna Bancshares, Inc. 7,653 79,285 * SVB Financial Group 1,700 181,373 * SWS Group, Inc. 700 5,187 Symetra Financial Corp. 3,608 74,541 Synovus Financial Corp. 28,014 89,925 T Rowe Price Group, Inc. 2,055 168,777 * Taylor Capital Group, Inc. 494 10,517 TCF Financial Corp. 6,235 97,890 TD Ameritrade Holding Corp. 5,192 165,625 * Tejon Ranch Co. 400 12,404 # Territorial Bancorp, Inc. 368 7,529 * Texas Capital Bancshares, Inc. 1,414 79,453 * TFS Financial Corp. 3,709 49,664 Tompkins Financial Corp. 520 24,513 # Torchmark Corp. 2,271 180,999 # Tower Group International, Ltd. 1,315 3,235 # TowneBank 320 4,938 Travelers Cos., Inc. (The) 6,200 561,596 #* Tree.com, Inc. 572 16,634 # Trico Bancshares 400 9,700 # TrustCo Bank Corp. 3,609 23,855 # Trustmark Corp. 2,320 53,058 U.S. Bancorp 22,168 904,011 # UMB Financial Corp. 1,447 84,953 Umpqua Holdings Corp. 4,349 72,324 Union Bankshares Corp. 1,396 35,724 United Bankshares, Inc. 2,181 63,794 * United Community Banks, Inc. 2,088 33,721 United Financial Bancorp, Inc.(91030T109) 559 9,861 United Financial Bancorp, Inc.(910304104) 760 10,002 United Fire Group, Inc. 930 25,873 # Universal Insurance Holdings, Inc. 1,435 20,994 Univest Corp. of Pennsylvania 628 12,378 Unum Group 8,400 279,048 Validus Holdings, Ltd. 3,729 138,234 # Valley National Bancorp 7,408 74,228 ViewPoint Financial Group, Inc. 1,477 38,505 * Virtus Investment Partners, Inc. 365 67,521 Waddell & Reed Financial, Inc. Class A 1,100 74,195 * Walker & Dunlop, Inc. 646 10,129 Washington Banking Co. 400 6,880 Washington Federal, Inc. 3,765 81,249 Washington Trust Bancorp, Inc. 460 15,732 Waterstone Financial, Inc. 768 7,995 Webster Financial Corp. 3,968 119,596 Wells Fargo & Co. 56,921 2,825,558 U.S. SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE+ ------ ----------- Financials -- (Continued) WesBanco, Inc. 833 $ 25,190 # West Bancorporation, Inc. 300 4,353 # Westamerica Bancorporation 618 31,407 * Western Alliance Bancorp 2,804 64,688 # Westfield Financial, Inc. 900 6,165 # Westwood Holdings Group, Inc. 96 5,584 Willis Group Holdings P.L.C. 2,269 93,006 Wilshire Bancorp, Inc. 2,391 23,910 Wintrust Financial Corp. 2,417 108,330 #* World Acceptance Corp. 400 29,040 WR Berkley Corp. 2,502 110,688 WSFS Financial Corp. 82 5,545 XL Group P.L.C. 8,531 267,447 * Yadkin Financial Corp. 96 1,838 Zions Bancorp. 4,695 135,779 #* ZipRealty, Inc. 700 2,324 ----------- Total Financials 50,585,173 ----------- Health Care -- (11.0%) #* Abaxis, Inc. 400 16,244 Abbott Laboratories 11,400 441,636 AbbVie, Inc. 21,341 1,111,439 #* Acadia Healthcare Co., Inc. 1,956 82,191 #* Accuray, Inc. 2,534 21,286 * Acorda Therapeutics, Inc. 1,507 53,423 * Actavis P.L.C. 2,504 511,642 * Addus HomeCare Corp. 1,000 21,620 Aetna, Inc. 8,334 595,464 #* Affymax, Inc. 900 486 * Affymetrix, Inc. 1,997 14,838 Agilent Technologies, Inc. 4,100 221,564 #* Air Methods Corp. 2,554 142,181 #* Akorn, Inc. 4,620 116,516 #* Albany Molecular Research, Inc. 956 15,353 #* Alere, Inc. 4,703 157,080 * Alexion Pharmaceuticals, Inc. 1,200 189,840 #* Align Technology, Inc. 1,878 94,632 * Alkermes P.L.C. 3,183 147,246 Allergan, Inc. 4,600 762,864 * Allscripts Healthcare Solutions, Inc. 10,304 156,827 * Almost Family, Inc. 316 6,785 #* Alnylam Pharmaceuticals, Inc. 926 45,865 #* Alphatec Holdings, Inc. 583 787 #* AMAG Pharmaceuticals, Inc. 80 1,461 #* Amedisys, Inc. 1,824 24,861 AmerisourceBergen Corp. 4,284 279,231 Amgen, Inc. 7,174 801,694 * AMN Healthcare Services, Inc. 2,472 30,851 * Amsurg Corp. 1,512 65,485 Analogic Corp. 500 37,540 * AngioDynamics, Inc. 377 5,067 * Anika Therapeutics, Inc. 680 29,063 U.S. SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Health Care -- (Continued) #* ArthroCare Corp. 1,048 $ 50,859 #* athenahealth, Inc. 765 94,585 #* Auxilium Pharmaceuticals, Inc. 900 20,259 #* Baxano Surgical, Inc. 300 255 Baxter International, Inc. 5,400 393,066 Becton Dickinson and Co. 2,500 282,575 * Bio-Rad Laboratories, Inc. Class A 200 24,642 #* Bio-Reference Labs, Inc. 1,000 25,400 * Biogen Idec, Inc. 3,626 1,041,097 * BioMarin Pharmaceutical, Inc. 600 34,938 #* BioScrip, Inc. 3,131 21,667 * BioTelemetry, Inc. 640 5,082 * Boston Scientific Corp. 62,279 785,338 #* Bovie Medical Corp. 300 1,185 Bristol-Myers Squibb Co. 18,231 913,191 #* Brookdale Senior Living, Inc. 5,222 166,268 #* Bruker Corp. 4,940 102,060 * Cambrex Corp. 713 14,609 Cantel Medical Corp. 1,605 53,222 * Capital Senior Living Corp. 1,099 27,178 Cardinal Health, Inc. 5,300 368,403 * CareFusion Corp. 7,097 277,209 * Celgene Corp. 8,092 1,189,605 #* Celldex Therapeutics, Inc. 1,699 25,485 * Centene Corp. 1,900 126,160 #* Cepheid, Inc. 1,000 43,480 #* Cerner Corp. 2,622 134,509 * Charles River Laboratories International, Inc. 1,467 78,807 # Chemed Corp. 700 58,289 #* Chindex International, Inc. 393 9,365 Cigna Corp. 5,298 424,052 * Community Health Systems, Inc. 5,876 222,642 Computer Programs & Systems, Inc. 184 11,616 CONMED Corp. 1,261 58,422 Cooper Cos., Inc. (The) 2,104 277,539 * Corvel Corp. 866 39,438 * Covance, Inc. 1,146 101,169 Covidien P.L.C. 4,400 313,500 CR Bard, Inc. 1,454 199,678 * Cross Country Healthcare, Inc. 700 4,963 CryoLife, Inc. 900 8,172 * Cubist Pharmaceuticals, Inc. 1,261 88,346 #* Cumberland Pharmaceuticals, Inc. 290 1,291 * Cutera, Inc. 527 5,433 #* Cyberonics, Inc. 600 35,496 * Cynosure, Inc. Class A 826 20,270 * DaVita HealthCare Partners, Inc. 7,504 520,027 DENTSPLY International, Inc. 2,400 107,112 #* Edwards Lifesciences Corp. 1,734 141,269 Eli Lilly & Co. 10,835 640,348 * Emergent Biosolutions, Inc. 1,107 29,181 * Emeritus Corp. 948 28,279 U.S. SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Health Care -- (Continued) * Endo International P.L.C. 3,400 $ 214,013 Ensign Group, Inc. (The) 738 31,365 * Enzo Biochem, Inc. 646 2,713 # Enzon Pharmaceuticals, Inc. 1,612 1,435 * Exactech, Inc. 500 11,110 * ExamWorks Group, Inc. 1,045 38,456 * Express Scripts Holding Co. 10,482 697,892 * Five Star Quality Care, Inc. 1,814 8,762 * Forest Laboratories, Inc. 5,730 526,644 * Furiex Pharmaceuticals, Inc. 175 18,090 #* Gentiva Health Services, Inc. 1,425 10,730 * Gilead Sciences, Inc. 29,928 2,349,049 * Greatbatch, Inc. 1,002 46,122 * Haemonetics Corp. 2,427 73,684 * Hanger, Inc. 1,400 48,538 #* Harvard Apparatus Regenerative Technology, Inc. 150 1,297 #* Harvard Bioscience, Inc. 600 2,532 * HCA Holdings, Inc. 3,474 180,648 * Health Net, Inc. 3,580 122,901 HealthSouth Corp. 2,233 77,351 * HealthStream, Inc. 600 13,590 #* Healthways, Inc. 1,491 26,838 * Henry Schein, Inc. 1,951 222,863 Hill-Rom Holdings, Inc. 2,079 77,671 #* HMS Holdings Corp. 353 5,708 #* Hologic, Inc. 9,359 196,399 * Hospira, Inc. 5,640 258,312 Humana, Inc. 6,709 736,313 * ICU Medical, Inc. 660 36,815 * IDEXX Laboratories, Inc. 800 101,152 #* Illumina, Inc. 1,676 227,685 * Impax Laboratories, Inc. 2,100 54,915 #* Incyte Corp., Ltd. 4,210 204,438 #* Infinity Pharmaceuticals, Inc. 498 4,865 * Integra LifeSciences Holdings Corp. 1,064 48,497 Invacare Corp. 890 14,062 * IPC The Hospitalist Co., Inc. 573 23,206 #* Isis Pharmaceuticals, Inc. 1,958 52,102 * Jazz Pharmaceuticals P.L.C. 1,800 242,820 Johnson & Johnson 39,753 4,026,581 Kindred Healthcare, Inc. 2,179 54,693 * Laboratory Corp. of America Holdings 900 88,830 # Landauer, Inc. 260 11,242 * Lannett Co., Inc. 400 13,812 LeMaitre Vascular, Inc. 500 4,105 #* LHC Group, Inc. 689 14,317 * LifePoint Hospitals, Inc. 2,976 166,418 #* Ligand Pharmaceuticals, Inc. Class B 900 56,853 #* Luminex Corp. 897 17,231 * Magellan Health Services, Inc. 1,296 74,805 #* Mallinckrodt P.L.C. 1,316 93,739 #* Masimo Corp. 2,577 68,961 U.S. SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Health Care -- (Continued) McKesson Corp. 2,633 $ 445,477 * MedAssets, Inc. 3,169 72,348 (o)* MedCath Corp. 117 234 * Medical Action Industries, Inc. 300 1,923 * Medicines Co. (The) 1,638 43,571 * Medidata Solutions, Inc. 848 30,791 * Medivation, Inc. 928 55,875 * MEDNAX, Inc. 4,800 284,400 Medtronic, Inc. 15,825 930,826 Merck & Co., Inc. 34,538 2,022,545 # Meridian Bioscience, Inc. 854 17,054 #* Merit Medical Systems, Inc. 1,779 22,896 * Mettler-Toledo International, Inc. 300 69,936 #* Molina Healthcare, Inc. 2,336 87,366 * Momenta Pharmaceuticals, Inc. 1,446 16,513 * MWI Veterinary Supply, Inc. 830 130,011 * Mylan, Inc. 3,719 188,851 #* Myriad Genetics, Inc. 2,499 105,483 # National Healthcare Corp. 500 27,365 * Natus Medical, Inc. 1,182 29,349 * NuVasive, Inc. 1,987 66,982 Omnicare, Inc. 4,650 275,605 * Omnicell, Inc. 1,529 40,488 #* Opko Health, Inc. 7,459 61,686 * OraSure Technologies, Inc. 2,225 14,574 * Orthofix International NV 449 13,560 # Owens & Minor, Inc. 3,014 101,090 * PAREXEL International Corp. 1,794 81,358 # Patterson Cos., Inc. 3,919 159,503 * PDI, Inc. 200 944 # PDL BioPharma, Inc. 4,450 37,780 PerkinElmer, Inc. 4,931 206,954 Perrigo Co. P.L.C. 1,077 156,014 Pfizer, Inc. 38,289 1,197,680 * PharMerica Corp. 1,213 32,981 #* PhotoMedex, Inc. 6 91 # Pozen, Inc. 739 6,178 * Prestige Brands Holdings, Inc. 1,900 63,688 #* Progenics Pharmaceuticals, Inc. 924 3,262 * Providence Service Corp. (The) 447 18,153 #* Puma Biotechnology, Inc. 500 37,770 Quality Systems, Inc. 1,799 26,571 # Quest Diagnostics, Inc. 3,376 188,820 # Questcor Pharmaceuticals, Inc. 1,000 82,180 * Quidel Corp. 1,116 23,938 * RadNet, Inc. 600 2,982 * Regeneron Pharmaceuticals, Inc. 854 253,544 #* Repligen Corp. 989 15,676 # ResMed, Inc. 2,676 133,399 * Rigel Pharmaceuticals, Inc. 1,688 5,402 * RTI Surgical, Inc. 2,790 11,997 * Salix Pharmaceuticals, Ltd. 1,287 141,570 U.S. SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE+ ------ ----------- Health Care -- (Continued) #* Sangamo Biosciences, Inc. 26 $ 360 * Sciclone Pharmaceuticals, Inc. 1,491 7,127 #* Seattle Genetics, Inc. 1,709 65,762 Select Medical Holdings Corp. 5,549 77,464 * Sirona Dental Systems, Inc. 2,500 188,050 #* Skilled Healthcare Group, Inc. Class A 700 3,612 * Spectranetics Corp. 600 12,756 #* Spectrum Pharmaceuticals, Inc. 1,060 7,282 St Jude Medical, Inc. 3,829 243,027 * Staar Surgical Co. 500 8,505 STERIS Corp. 2,672 128,390 Stryker Corp. 2,500 194,375 * SurModics, Inc. 714 15,537 * Symmetry Medical, Inc. 1,706 14,092 * Taro Pharmaceutical Industries, Ltd. 269 30,217 * Team Health Holdings, Inc. 1,765 85,567 Techne Corp. 200 17,862 # Teleflex, Inc. 1,814 185,191 #* Tenet Healthcare Corp. 3,197 144,121 #* Theravance, Inc. 1,661 44,714 Thermo Fisher Scientific, Inc. 2,342 266,988 * Thoratec Corp. 2,700 88,506 * Tornier NV 425 7,212 * Triple-S Management Corp. Class B 800 11,984 #* United Therapeutics Corp. 1,215 121,512 UnitedHealth Group, Inc. 21,670 1,626,117 Universal American Corp. 2,009 14,405 Universal Health Services, Inc. Class B 1,943 158,918 US Physical Therapy, Inc. 424 13,080 * Varian Medical Systems, Inc. 1,919 152,656 * Vascular Solutions, Inc. 600 13,146 * VCA Antech, Inc. 4,571 140,010 * Vertex Pharmaceuticals, Inc. 1,922 130,119 * Waters Corp. 1,800 177,372 * WellCare Health Plans, Inc. 1,400 94,458 WellPoint, Inc. 6,525 656,937 West Pharmaceutical Services, Inc. 3,200 138,816 * Wright Medical Group, Inc. 1,822 49,832 Zimmer Holdings, Inc. 5,344 517,299 Zoetis, Inc. 15,188 459,589 ----------- Total Health Care 41,911,464 ----------- Industrials -- (11.7%) 3M Co. 5,334 741,906 # AAON, Inc. 1,125 31,894 # AAR Corp. 1,540 39,886 ABM Industries, Inc. 2,500 67,725 # Acacia Research Corp. 1,906 30,572 * ACCO Brands Corp. 4,257 26,095 Aceto Corp. 1,000 21,880 #* Acorn Energy, Inc. 200 464 Actuant Corp. Class A 3,519 119,153 U.S. SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Industrials -- (Continued) Acuity Brands, Inc. 800 $ 99,656 # ADT Corp. (The) 6,133 185,462 #* Advisory Board Co. (The) 600 34,356 * AECOM Technology Corp. 4,952 160,544 * Aegion Corp. 1,353 34,488 #* Aerovironment, Inc. 1,280 43,226 AGCO Corp. 5,296 294,987 * Air Transport Services Group, Inc. 1,100 8,613 Aircastle, Ltd. 2,100 36,897 Alamo Group, Inc. 659 35,006 Alaska Air Group, Inc. 1,373 129,172 Albany International Corp. Class A 1,347 48,465 # Allegiant Travel Co. 500 58,725 Allegion P.L.C. 2,086 102,944 Alliant Techsystems, Inc. 1,532 220,945 Allison Transmission Holdings, Inc. 2,335 69,676 Altra Industrial Motion Corp. 968 33,067 AMERCO 573 143,313 #* Ameresco, Inc. Class A 546 3,500 * American Airlines Group, Inc. 1,400 49,098 American Railcar Industries, Inc. 800 55,552 American Science & Engineering, Inc. 300 20,160 #* American Superconductor Corp. 439 562 * American Woodmark Corp. 400 12,004 AMETEK, Inc. 3,943 207,875 AO Smith Corp. 4,400 205,744 Apogee Enterprises, Inc. 1,700 54,009 Applied Industrial Technologies, Inc. 2,374 113,762 * ARC Document Solutions, Inc. 1,755 11,232 ArcBest Corp. 843 33,231 Argan, Inc. 422 11,297 * Armstrong World Industries, Inc. 1,996 104,910 Astec Industries, Inc. 1,000 39,950 * Astronics Corp. 253 14,451 #* Astronics Corp. Class B 50 2,845 #* Atlas Air Worldwide Holdings, Inc. 786 27,502 * Avis Budget Group, Inc. 3,896 204,891 # AZZ, Inc. 1,009 43,811 * B/E Aerospace, Inc. 2,400 210,648 Babcock & Wilcox Co. (The) 3,044 105,901 Baltic Trading, Ltd. 2,100 12,579 Barnes Group, Inc. 2,050 78,966 Barrett Business Services, Inc. 297 14,972 * Beacon Roofing Supply, Inc. 2,797 99,517 * Blount International, Inc. 1,900 21,223 #* BlueLinx Holdings, Inc. 1,514 1,983 Boeing Co. (The) 10,768 1,389,287 Brady Corp. Class A 1,950 50,290 # Briggs & Stratton Corp. 2,000 42,740 # Brink's Co. (The) 2,100 53,424 #* Builders FirstSource, Inc. 800 6,280 * CAI International, Inc. 425 9,244 U.S. SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Industrials -- (Continued) Carlisle Cos., Inc. 2,358 $193,945 #* Casella Waste Systems, Inc. Class A 900 4,590 Caterpillar, Inc. 6,526 687,840 #* CBIZ, Inc. 2,496 21,391 CDI Corp. 500 7,660 # Ceco Environmental Corp. 721 11,457 Celadon Group, Inc. 500 11,505 # CH Robinson Worldwide, Inc. 1,698 100,012 #* Chart Industries, Inc. 1,000 68,220 Chicago Bridge & Iron Co. NV 1,299 104,011 Cintas Corp. 3,600 212,148 CIRCOR International, Inc. 600 48,726 # CLARCOR, Inc. 1,400 80,864 #* Clean Harbors, Inc. 1,500 90,000 * Colfax Corp. 3,202 230,480 * Columbus McKinnon Corp. 1,099 29,113 Comfort Systems USA, Inc. 1,453 21,795 #* Commercial Vehicle Group, Inc. 1,000 9,710 Con-way, Inc. 1,365 57,985 Copa Holdings SA Class A 600 81,168 * Copart, Inc. 3,600 130,572 Corporate Executive Board Co. (The) 778 53,698 Courier Corp. 400 5,812 # Covanta Holding Corp. 2,200 40,590 * CPI Aerostructures, Inc. 300 4,041 * CRA International, Inc. 400 8,708 Crane Co. 2,019 146,842 Cubic Corp. 956 45,343 Cummins, Inc. 2,740 413,329 Curtiss-Wright Corp. 2,082 133,123 Danaher Corp. 5,750 421,935 Deere & Co. 5,411 505,063 Delta Air Lines, Inc. 10,054 370,289 Deluxe Corp. 2,328 127,924 #* DigitalGlobe, Inc. 2,938 87,494 Donaldson Co., Inc. 4,000 168,360 Douglas Dynamics, Inc. 841 14,188 Dover Corp. 3,970 343,008 * Ducommun, Inc. 200 4,854 Dun & Bradstreet Corp. (The) 2,115 234,257 * DXP Enterprises, Inc. 600 67,926 * Dycom Industries, Inc. 1,500 47,100 Dynamic Materials Corp. 497 10,039 Eaton Corp. P.L.C. 10,226 742,817 #* Echo Global Logistics, Inc. 662 12,949 EMCOR Group, Inc. 2,901 133,417 Emerson Electric Co. 13,639 929,907 Encore Wire Corp. 782 38,107 #* Energy Recovery, Inc. 975 4,982 * EnerNOC, Inc. 1,220 28,792 EnerSys, Inc. 2,000 135,160 #* Engility Holdings, Inc. 441 19,245 U.S. SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Industrials -- (Continued) Ennis, Inc. 1,000 $ 14,960 #* EnPro Industries, Inc. 801 57,039 Equifax, Inc. 2,400 169,944 ESCO Technologies, Inc. 1,418 47,390 * Esterline Technologies Corp. 1,300 141,726 Exelis, Inc. 8,790 162,967 Expeditors International of Washington, Inc. 3,885 160,217 Exponent, Inc. 300 21,126 # Fastenal Co. 4,596 230,168 * Federal Signal Corp. 2,530 38,405 FedEx Corp. 4,158 566,527 Flowserve Corp. 2,400 175,320 Fluor Corp. 3,891 294,549 Fortune Brands Home & Security, Inc. 2,238 89,184 Forward Air Corp. 400 17,692 * Franklin Covey Co. 400 8,108 Franklin Electric Co., Inc. 1,662 64,270 # FreightCar America, Inc. 400 10,504 * FTI Consulting, Inc. 1,955 67,056 #* Fuel Tech, Inc. 100 609 * Furmanite Corp. 1,258 13,184 G&K Services, Inc. Class A 793 41,981 GATX Corp. 1,274 83,613 * Gencor Industries, Inc. 300 3,147 #* GenCorp, Inc. 1,473 25,866 Generac Holdings, Inc. 2,221 130,772 General Cable Corp. 2,001 51,266 General Dynamics Corp. 3,500 383,075 General Electric Co. 102,682 2,761,119 * Genesee & Wyoming, Inc. Class A 1,761 174,357 * Gibraltar Industries, Inc. 1,224 20,906 Global Power Equipment Group, Inc. 464 8,134 # Gorman-Rupp Co. (The) 875 27,169 * GP Strategies Corp. 904 23,757 Graco, Inc. 1,377 99,832 #* GrafTech International, Ltd. 2,201 24,673 Graham Corp. 488 14,562 # Granite Construction, Inc. 1,548 57,864 * Great Lakes Dredge & Dock Corp. 3,400 29,342 #* Greenbrier Cos., Inc. (The) 1,486 77,926 Griffon Corp. 1,955 20,801 * H&E Equipment Services, Inc. 1,296 49,961 Harsco Corp. 3,652 87,392 #* Hawaiian Holdings, Inc. 1,300 18,785 # Healthcare Services Group, Inc. 1,300 37,830 # Heartland Express, Inc. 2,788 60,667 # HEICO Corp. 985 54,490 HEICO Corp. Class A 1,431 58,313 Heidrick & Struggles International, Inc. 505 9,519 Herman Miller, Inc. 2,188 67,456 * Hertz Global Holdings, Inc. 19,946 567,863 * Hexcel Corp. 3,195 133,200 U.S. SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Industrials -- (Continued) * Hill International, Inc. 1,100 $ 7,392 # HNI Corp. 1,663 58,587 # Houston Wire & Cable Co. 600 7,476 * Hub Group, Inc. Class A 800 35,720 Hubbell, Inc. Class A 100 11,210 Hubbell, Inc. Class B 1,724 202,949 * Hudson Global, Inc. 800 2,840 Huntington Ingalls Industries, Inc. 1,901 195,803 Hurco Cos., Inc. 200 5,332 * Huron Consulting Group, Inc. 770 54,824 Hyster-Yale Materials Handling, Inc. 600 57,834 * ICF International, Inc. 997 38,853 IDEX Corp. 2,800 208,796 * IHS, Inc. Class A 800 96,504 Illinois Tool Works, Inc. 2,600 221,598 Ingersoll-Rand P.L.C. 6,258 374,228 #* InnerWorkings, Inc. 1,200 8,640 #* Innovative Solutions & Support, Inc. 300 2,019 Insperity, Inc. 771 24,718 Insteel Industries, Inc. 594 12,225 #* Integrated Electrical Services, Inc. 300 1,863 Interface, Inc. 2,396 43,104 International Shipholding Corp. 200 5,388 # Intersections, Inc. 600 3,372 # Iron Mountain, Inc. 7,174 204,029 ITT Corp. 4,202 181,274 * Jacobs Engineering Group, Inc. 5,606 323,466 JB Hunt Transport Services, Inc. 1,000 76,100 #* JetBlue Airways Corp. 11,449 90,504 John Bean Technologies Corp. 808 23,424 # Joy Global, Inc. 3,096 186,936 Kaman Corp. 1,003 42,096 Kansas City Southern 1,900 191,672 KAR Auction Services, Inc. 5,451 162,331 KBR, Inc. 5,160 130,909 Kelly Services, Inc. Class A 1,714 36,097 # Kennametal, Inc. 2,119 99,021 Kforce, Inc. 1,128 26,079 Kimball International, Inc. Class B 1,135 19,023 * Kirby Corp. 2,083 209,591 # Knight Transportation, Inc. 3,100 73,563 Knoll, Inc. 1,852 33,688 * Korn/Ferry International 2,336 67,861 #* Kratos Defense & Security Solutions, Inc. 1,730 12,491 L-3 Communications Holdings, Inc. 2,690 310,345 # Landstar System, Inc. 600 37,794 * Lawson Products, Inc. 196 3,283 #* Layne Christensen Co. 712 12,403 LB Foster Co. Class A 400 18,940 # Lennox International, Inc. 1,171 98,165 Lincoln Electric Holdings, Inc. 2,700 180,387 Lindsay Corp. 550 48,472 U.S. SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Industrials -- (Continued) #* LMI Aerospace, Inc. 400 $ 5,456 Lockheed Martin Corp. 4,212 691,358 LSI Industries, Inc. 600 4,566 * Lydall, Inc. 500 11,705 * Magnetek, Inc. 50 1,103 # Manitowoc Co., Inc. (The) 5,541 176,093 Manpowergroup, Inc. 3,651 296,972 Marten Transport, Ltd. 906 21,255 Masco Corp. 7,200 144,648 #* MasTec, Inc. 2,659 105,243 Matson, Inc. 65 1,540 McGrath RentCorp 818 25,832 * Meritor, Inc. 2,442 28,987 #* Middleby Corp. (The) 500 126,240 Miller Industries, Inc. 400 7,748 * Mistras Group, Inc. 854 19,394 Mobile Mini, Inc. 1,713 75,680 * Moog, Inc. Class A 1,847 120,886 * MRC Global, Inc. 3,070 89,613 # MSA Safety, Inc. 1,225 64,619 MSC Industrial Direct Co., Inc. Class A 1,814 165,183 Mueller Industries, Inc. 1,800 52,092 Mueller Water Products, Inc. Class A 5,594 51,017 # Multi-Color Corp. 435 15,160 * MYR Group, Inc. 900 21,114 # National Presto Industries, Inc. 235 16,981 * Navigant Consulting, Inc. 1,346 22,613 #* NCI Building Systems, Inc. 700 10,948 Nielsen Holdings NV 9,156 429,874 NN, Inc. 316 6,184 Nordson Corp. 1,400 104,090 * Nortek, Inc. 454 37,301 Northrop Grumman Corp. 3,000 364,530 * Northwest Pipe Co. 561 20,067 #* Ocean Power Technologies, Inc. 200 540 * Old Dominion Freight Line, Inc. 3,300 200,079 # Omega Flex, Inc. 93 1,876 * On Assignment, Inc. 1,588 55,580 * Orbital Sciences Corp. 2,694 79,204 * Orion Energy Systems, Inc. 600 3,180 * Orion Marine Group, Inc. 1,426 16,727 Oshkosh Corp. 4,319 239,748 Owens Corning 6,280 256,538 PACCAR, Inc. 3,100 198,338 Pall Corp. 2,113 177,809 * PAM Transportation Services, Inc. 100 2,489 * Park-Ohio Holdings Corp. 300 17,517 Parker Hannifin Corp. 1,600 203,008 * Patrick Industries, Inc. 377 15,106 #* Pendrell Corp. 2,782 4,590 Pentair, Ltd. 9,636 715,858 * PGT, Inc. 625 6,219 U.S. SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Industrials -- (Continued) * Pike Corp. 1,262 $ 12,115 Pitney Bowes, Inc. 5,947 159,380 #* Polypore International, Inc. 1,867 64,748 Powell Industries, Inc. 428 27,101 * PowerSecure International, Inc. 800 17,784 Precision Castparts Corp. 681 172,354 Primoris Services Corp. 2,897 81,058 * Proto Labs, Inc. 568 34,387 Quad/Graphics, Inc. 969 20,979 * Quality Distribution, Inc. 400 5,028 # Quanex Building Products Corp. 1,226 23,098 * Quanta Services, Inc. 6,633 234,012 # Raven Industries, Inc. 1,844 56,980 Raytheon Co. 5,078 484,847 * RBC Bearings, Inc. 700 43,582 Regal-Beloit Corp. 1,939 144,901 * Republic Airways Holdings, Inc. 1,333 11,077 Resources Connection, Inc. 1,538 20,932 #* Roadrunner Transportation Systems, Inc. 650 16,010 Robert Half International, Inc. 3,244 145,331 Rockwell Automation, Inc. 3,135 373,629 Rockwell Collins, Inc. 3,148 244,442 Rollins, Inc. 2,450 73,696 Roper Industries, Inc. 2,420 336,259 * RPX Corp. 1,671 27,371 RR Donnelley & Sons Co. 10,451 183,938 #* Rush Enterprises, Inc. Class A 887 28,473 Ryder System, Inc. 2,798 229,940 * Saia, Inc. 700 28,819 Schawk, Inc. 600 12,000 * Sensata Technologies Holding NV 2,755 117,005 Simpson Manufacturing Co., Inc. 2,239 73,417 SkyWest, Inc. 1,371 15,904 * SL Industries, Inc. 100 2,749 Snap-on, Inc. 2,327 269,932 Southwest Airlines Co. 24,471 591,464 #* SP Plus Corp. 400 9,768 * Sparton Corp. 143 3,884 * Spirit Aerosystems Holdings, Inc. Class A 4,604 138,258 * Spirit Airlines, Inc. 1,986 112,884 SPX Corp. 2,340 238,306 #* Standard Register Co. (The) 120 871 Standex International Corp. 521 30,932 Stanley Black & Decker, Inc. 6,094 523,414 Steelcase, Inc. Class A 2,650 43,672 * Stericycle, Inc. 588 68,467 #* Sterling Construction Co., Inc. 400 3,072 Sun Hydraulics Corp. 900 36,792 #* Swift Transportation Co. 1,965 47,258 # TAL International Group, Inc. 1,400 59,052 * Taser International, Inc. 1,400 22,610 #* Team, Inc. 600 25,734 U.S. SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Industrials -- (Continued) #* Tecumseh Products Co. Class A 400 $ 2,404 * Teledyne Technologies, Inc. 1,301 120,811 # Tennant Co. 650 41,464 # Terex Corp. 5,091 220,389 * Tetra Tech, Inc. 2,501 71,704 # Textainer Group Holdings, Ltd. 1,838 72,233 Textron, Inc. 6,205 253,784 * Thermon Group Holdings, Inc. 951 22,653 Timken Co. (The) 2,900 182,932 # Titan International, Inc. 1,654 28,962 #* Titan Machinery, Inc. 1,000 17,640 Toro Co. (The) 1,000 63,540 Towers Watson & Co. Class A 1,555 174,502 TransDigm Group, Inc. 1,100 195,657 * TRC Cos., Inc. 500 2,965 #* Trex Co., Inc. 400 31,408 * Trimas Corp. 1,769 63,436 Trinity Industries, Inc. 3,300 247,698 Triumph Group, Inc. 2,200 142,582 * TrueBlue, Inc. 1,673 44,753 * Tutor Perini Corp. 1,982 58,667 # Twin Disc, Inc. 300 8,679 Tyco International, Ltd. 6,502 265,932 * Ultralife Corp. 200 720 UniFirst Corp. 600 57,744 Union Pacific Corp. 446 84,932 * United Continental Holdings, Inc. 6,748 275,791 United Parcel Service, Inc. Class B 6,739 663,791 #* United Rentals, Inc. 4,571 428,897 United Stationers, Inc. 1,810 67,929 United Technologies Corp. 13,324 1,576,629 Universal Forest Products, Inc. 700 35,343 URS Corp. 3,026 142,585 US Ecology, Inc. 600 26,790 #* USG Corp. 1,700 50,762 # UTi Worldwide, Inc. 2,500 24,475 # Valmont Industries, Inc. 797 118,681 * Verisk Analytics, Inc. Class A 2,392 143,735 * Versar, Inc. 489 1,888 Viad Corp. 809 18,647 * Vicor Corp. 600 5,016 #* Volt Information Sciences, Inc. 500 3,990 VSE Corp. 151 9,433 #* Wabash National Corp. 1,846 24,663 * WABCO Holdings, Inc. 1,483 158,696 Wabtec Corp. 3,200 238,560 Waste Connections, Inc. 3,588 160,240 Watsco, Inc. 1,400 144,074 Watts Water Technologies, Inc. Class A 1,100 58,520 Werner Enterprises, Inc. 1,314 33,638 * Wesco Aircraft Holdings, Inc. 494 10,008 #* WESCO International, Inc. 1,785 156,687 U.S. SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE+ ------ ----------- Industrials -- (Continued) * Willis Lease Finance Corp. 78 $ 1,572 Woodward, Inc. 1,978 88,674 WW Grainger, Inc. 905 230,232 #* XPO Logistics, Inc. 549 14,900 Xylem, Inc. 3,586 134,798 ----------- Total Industrials 44,580,899 ----------- Information Technology -- (15.9%) #* 3D Systems Corp. 1,800 85,212 Accenture P.L.C. Class A 11,246 902,154 * ACI Worldwide, Inc. 1,129 64,522 Activision Blizzard, Inc. 19,143 383,051 * Actuate Corp. 1,433 8,068 * Acxiom Corp. 2,815 79,496 * Adobe Systems, Inc. 6,689 412,644 # ADTRAN, Inc. 2,743 61,526 * Advanced Energy Industries, Inc. 1,310 28,663 # Advent Software, Inc. 2,500 72,050 * Agilysys, Inc. 761 9,543 * Akamai Technologies, Inc. 3,032 160,908 * Alliance Data Systems Corp. 700 169,330 * Alpha & Omega Semiconductor, Ltd. 249 1,793 Altera Corp. 4,995 162,437 Amdocs, Ltd. 4,603 214,178 American Software, Inc. Class A 400 3,856 #* Amkor Technology, Inc. 768 6,106 Amphenol Corp. Class A 1,302 124,146 * Amtech Systems, Inc. 200 1,710 Analog Devices, Inc. 5,187 266,041 Anixter International, Inc. 1,157 113,363 * ANSYS, Inc. 1,200 91,572 * AOL, Inc. 3,607 154,416 Apple, Inc. 9,440 5,570,450 Applied Materials, Inc. 15,282 291,275 * ARRIS Group, Inc. 5,713 149,052 * Arrow Electronics, Inc. 4,168 236,534 * Aspen Technology, Inc. 2,117 91,010 * Atmel Corp. 6,502 50,521 * Autodesk, Inc. 4,404 211,480 Automatic Data Processing, Inc. 8,660 675,134 Avago Technologies, Ltd. 3,000 190,500 #* AVG Technologies NV 1,100 20,603 #* Avid Technology, Inc. 1,011 7,633 Avnet, Inc. 4,760 205,299 * Aware, Inc. 500 2,770 Badger Meter, Inc. 485 24,032 * Bankrate, Inc. 2,869 50,265 Bel Fuse, Inc. Class B 278 6,049 Belden, Inc. 1,640 121,048 * Benchmark Electronics, Inc. 1,618 37,505 Black Box Corp. 500 10,630 Blackbaud, Inc. 764 23,264 U.S. SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Information Technology -- (Continued) #* Blackhawk Network Holdings, Inc. Class B 1,787 $ 41,155 #* Blucora, Inc. 1,400 26,950 Booz Allen Hamilton Holding Corp. 1,157 26,889 * Bottomline Technologies de, Inc. 953 30,153 Broadcom Corp. Class A 6,052 186,462 Broadridge Financial Solutions, Inc. 4,206 161,258 * Brocade Communications Systems, Inc. 16,851 156,883 Brooks Automation, Inc. 1,100 11,253 #* BTU International, Inc. 200 586 CA, Inc. 13,259 399,626 * Cabot Microelectronics Corp. 768 33,308 #* CACI International, Inc. Class A 900 62,685 * Cadence Design Systems, Inc. 7,920 123,235 #* CalAmp Corp. 600 10,650 * Calix, Inc. 1,647 14,510 * Cardtronics, Inc. 1,850 61,938 * Cascade Microtech, Inc. 300 3,204 # Cass Information Systems, Inc. 442 22,325 * Ceva, Inc. 108 1,753 * Checkpoint Systems, Inc. 1,612 20,585 * CIBER, Inc. 2,092 9,037 #* Ciena Corp. 4,191 82,856 #* Cirrus Logic, Inc. 463 10,325 Cisco Systems, Inc. 101,037 2,334,965 #* Citrix Systems, Inc. 1,559 92,464 * Clearfield, Inc. 600 9,456 * Cognex Corp. 2,478 85,318 * Cognizant Technology Solutions Corp. Class A 5,430 260,124 * Coherent, Inc. 900 53,739 Cohu, Inc. 323 3,327 Communications Systems, Inc. 300 3,627 * CommVault Systems, Inc. 801 38,768 Computer Sciences Corp. 6,070 359,223 Computer Task Group, Inc. 610 9,644 Compuware Corp. 9,617 99,632 * comScore, Inc. 268 8,396 # Comtech Telecommunications Corp. 364 11,557 * Comverse, Inc. 313 7,806 #* Concur Technologies, Inc. 1,400 112,658 * Constant Contact, Inc. 624 16,137 Convergys Corp. 4,549 97,985 #* Conversant, Inc. 5,802 141,801 * CoreLogic, Inc. 4,793 134,348 Corning, Inc. 8,335 174,285 * CoStar Group, Inc. 883 142,066 #* Cray, Inc. 1,325 38,041 #* Cree, Inc. 3,960 186,793 CSG Systems International, Inc. 1,128 29,734 CTS Corp. 685 12,186 Daktronics, Inc. 1,378 17,942 * Datalink Corp. 240 3,082 * Dealertrack Technologies, Inc. 1,373 62,732 U.S. SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Information Technology -- (Continued) #* Demand Media, Inc. 1,267 $ 5,271 * Dice Holdings, Inc. 1,800 13,770 # Diebold, Inc. 3,080 115,839 * Digi International, Inc. 815 7,221 # Digimarc Corp. 127 4,194 * Digital River, Inc. 1,636 25,014 * Diodes, Inc. 1,336 35,230 * Dolby Laboratories, Inc. Class A 1,265 50,410 * DSP Group, Inc. 10 80 DST Systems, Inc. 1,900 175,161 * DTS, Inc. 453 8,430 EarthLink Holdings Corp. 3,454 11,778 * eBay, Inc. 15,393 797,819 # Ebix, Inc. 960 15,149 #* Echelon Corp. 700 1,813 * EchoStar Corp. Class A 1,534 68,969 # Electro Rent Corp. 804 12,985 Electro Scientific Industries, Inc. 1,011 8,573 * Electronic Arts, Inc. 4,020 113,766 * Electronics for Imaging, Inc. 2,109 79,699 #* Ellie Mae, Inc. 755 18,414 EMC Corp. 27,535 710,403 * Emulex Corp. 2,986 21,350 * Entegris, Inc. 3,413 37,850 #* Entropic Communications, Inc. 2,237 8,255 * Envestnet, Inc. 90 3,317 * EPAM Systems, Inc. 610 18,989 EPIQ Systems, Inc. 1,009 12,905 * ePlus, Inc. 400 20,016 #* Equinix, Inc. 1,116 209,596 * Euronet Worldwide, Inc. 1,560 71,744 * Exar Corp. 1,220 13,200 * ExlService Holdings, Inc. 1,038 29,370 * Extreme Networks, Inc. 2,741 15,679 * F5 Networks, Inc. 1,219 128,202 * Fabrinet 1,414 30,542 * Facebook, Inc. Class A 18,100 1,082,018 # FactSet Research Systems, Inc. 1,144 121,836 Fair Isaac Corp. 1,100 62,920 #* Fairchild Semiconductor International, Inc. 3,440 43,791 * FARO Technologies, Inc. 400 15,960 FEI Co. 1,200 95,424 Fidelity National Information Services, Inc. 6,645 355,042 #* Finisar Corp. 3,823 99,971 * First Solar, Inc. 3,600 242,964 * Fiserv, Inc. 4,574 278,008 * FleetCor Technologies, Inc. 2,164 246,977 FLIR Systems, Inc. 2,900 98,716 Forrester Research, Inc. 600 21,258 * Fortinet, Inc. 2,600 57,148 #* Freescale Semiconductor, Ltd. 1,600 35,152 #* Fusion-io, Inc. 3,000 25,890 U.S. SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Information Technology -- (Continued) * Gartner, Inc. 1,554 $ 107,133 * Genpact, Ltd. 7,378 124,393 * Global Cash Access Holdings, Inc. 2,100 13,860 Global Payments, Inc. 2,619 175,028 * Google, Inc. Class A 2,813 1,504,617 * Google, Inc. Class C 2,813 1,481,495 * GSI Group, Inc. 618 7,503 * GSI Technology, Inc. 600 3,810 #* GT Advanced Technologies, Inc. 2,386 39,631 * Guidewire Software, Inc. 1,078 40,705 Hackett Group, Inc. (The) 800 4,800 * Harmonic, Inc. 4,973 34,960 Harris Corp. 2,173 159,759 # Heartland Payment Systems, Inc. 1,088 44,543 Hewlett-Packard Co. 57,086 1,887,263 Hittite Microwave Corp. 764 45,351 #* Hutchinson Technology, Inc. 900 2,502 IAC/InterActiveCorp 2,800 185,584 #* ID Systems, Inc. 400 2,252 * Identive Group, Inc. 28 24 * iGATE Corp. 1,502 54,973 * II-VI, Inc. 2,048 29,491 * Imation Corp. 397 1,715 #* Infinera Corp. 4,606 41,270 * Informatica Corp. 3,972 140,807 * Ingram Micro, Inc. Class A 5,648 152,270 * Innodata, Inc. 400 1,348 * Inphi Corp. 6 89 * Insight Enterprises, Inc. 1,499 39,154 * Integrated Device Technology, Inc. 2,264 26,421 * Integrated Silicon Solution, Inc. 700 10,122 Intel Corp. 86,163 2,299,690 * Interactive Intelligence Group, Inc. 500 31,285 # InterDigital, Inc. 1,200 41,664 #* Internap Network Services Corp. 1,900 12,768 International Business Machines Corp. 7,783 1,529,126 * International Rectifier Corp. 2,400 62,496 Intersil Corp. Class A 5,929 73,164 * Intevac, Inc. 500 4,025 Intuit, Inc. 4,600 348,450 #* InvenSense, Inc. 473 10,184 #* IPG Photonics Corp. 600 38,778 #* Itron, Inc. 1,479 56,202 * Ixia 2,248 27,920 IXYS Corp. 734 7,920 # j2 Global, Inc. 1,601 74,222 Jabil Circuit, Inc. 7,769 134,093 Jack Henry & Associates, Inc. 2,900 159,964 * JDS Uniphase Corp. 7,648 96,900 * Juniper Networks, Inc. 21,880 540,217 * Kemet Corp. 318 1,593 * Key Tronic Corp. 334 3,500 U.S. SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Information Technology -- (Continued) KLA-Tencor Corp. 2,269 $ 145,193 * Knowles Corp. 1,985 55,441 #* Kopin Corp. 1,468 4,786 * Kulicke & Soffa Industries, Inc. 3,312 48,720 * KVH Industries, Inc. 99 1,338 * Lam Research Corp. 5,219 300,667 * Lattice Semiconductor Corp. 2,830 23,829 # Leidos Holdings, Inc. 3,929 146,316 # Lexmark International, Inc. Class A 3,325 142,975 * Limelight Networks, Inc. 1,080 2,236 Linear Technology Corp. 2,800 124,600 * LinkedIn Corp. Class A 791 121,395 * Lionbridge Technologies, Inc. 815 4,792 #* Liquidity Services, Inc. 101 1,742 Littelfuse, Inc. 753 68,184 LSI Corp. 17,475 194,672 * LTX-Credence Corp. 2,281 21,966 * Magnachip Semiconductor Corp. 1,541 21,574 * Manhattan Associates, Inc. 1,200 37,836 # ManTech International Corp. Class A 501 14,945 Marchex, Inc. Class B 700 6,475 Marvell Technology Group, Ltd. 14,497 229,922 MasterCard, Inc. Class A 9,071 667,172 Maxim Integrated Products, Inc. 5,285 171,445 MAXIMUS, Inc. 1,750 74,498 * Measurement Specialties, Inc. 532 34,234 Mentor Graphics Corp. 3,975 82,283 * Mercury Systems, Inc. 763 10,652 Methode Electronics, Inc. 1,300 36,062 Micrel, Inc. 1,226 12,211 # Microchip Technology, Inc. 1,100 52,294 * Micron Technology, Inc. 32,511 849,187 * MICROS Systems, Inc. 2,400 123,600 * Microsemi Corp. 3,484 81,944 Microsoft Corp. 121,557 4,910,903 MKS Instruments, Inc. 2,005 56,441 #* ModusLink Global Solutions, Inc. 1,100 4,444 * MoneyGram International, Inc. 407 5,372 * Monolithic Power Systems, Inc. 810 30,051 Monotype Imaging Holdings, Inc. 1,050 27,731 * Monster Worldwide, Inc. 4,944 34,064 Motorola Solutions, Inc. 4,062 258,262 * Move, Inc. 995 10,637 # MTS Systems Corp. 534 34,427 * Multi-Fineline Electronix, Inc. 722 8,938 * Nanometrics, Inc. 527 8,569 National Instruments Corp. 3,276 89,468 * NCI, Inc. Class A 100 997 * NCR Corp. 3,777 115,236 NetApp, Inc. 7,487 266,612 * NETGEAR, Inc. 1,577 50,937 #* Netlist, Inc. 400 648 U.S. SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Information Technology -- (Continued) * Netscout Systems, Inc. 1,300 $ 50,648 #* NetSuite, Inc. 849 65,636 #* NeuStar, Inc. Class A 2,061 53,009 * Newport Corp. 1,890 35,305 NIC, Inc. 1,200 22,008 #* Nuance Communications, Inc. 6,872 110,571 NVIDIA Corp. 26,341 486,518 * OmniVision Technologies, Inc. 1,293 25,252 * ON Semiconductor Corp. 19,904 187,297 #* OpenTable, Inc. 500 33,580 * Oplink Communications, Inc. 800 13,712 Oracle Corp. 57,542 2,352,317 * OSI Systems, Inc. 500 27,905 #* Pandora Media, Inc. 2,164 50,681 * PAR Technology Corp. 300 1,449 # Park Electrochemical Corp. 523 13,943 Paychex, Inc. 4,741 198,221 PC Connection, Inc. 346 6,923 * PDF Solutions, Inc. 439 8,240 Pegasystems, Inc. 1,544 25,584 # Perceptron, Inc. 200 2,360 * Perficient, Inc. 1,076 19,659 * Pericom Semiconductor Corp. 400 3,228 * Photronics, Inc. 735 6,380 Plantronics, Inc. 1,706 74,330 * Plexus Corp. 1,200 50,304 * PMC-Sierra, Inc. 7,989 54,645 * Polycom, Inc. 4,534 55,768 Power Integrations, Inc. 500 23,615 #* PRGX Global, Inc. 400 2,572 * Progress Software Corp. 2,023 43,414 * PTC, Inc. 4,285 151,560 * Pulse Electronics Corp. 34 112 * QLogic Corp. 3,968 45,949 QUALCOMM, Inc. 21,286 1,675,421 * QuinStreet, Inc. 195 1,190 * Qumu Corp. 208 2,798 #* Rackspace Hosting, Inc. 1,436 41,673 * Radisys Corp. 732 2,342 #* Rambus, Inc. 2,900 35,061 * RealNetworks, Inc. 971 7,321 * Red Hat, Inc. 1,304 63,440 * RF Micro Devices, Inc. 7,369 62,194 Richardson Electronics, Ltd. 500 5,010 * Riverbed Technology, Inc. 4,496 87,447 * Rofin-Sinar Technologies, Inc. 926 20,557 * Rogers Corp. 581 34,872 * Rosetta Stone, Inc. 1,153 13,732 * Rovi Corp. 5,069 112,988 * Rudolph Technologies, Inc. 847 7,716 * Saba Software, Inc. 600 6,600 * Salesforce.com, Inc. 5,907 305,097 U.S. SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Information Technology -- (Continued) SanDisk Corp. 6,766 $574,907 * Sanmina Corp. 2,990 60,548 * Sapient Corp. 7,942 129,216 * ScanSource, Inc. 825 31,688 Science Applications International Corp. 2,245 87,555 * Seachange International, Inc. 1,200 11,244 Seagate Technology P.L.C. 6,300 331,254 * Semtech Corp. 1,391 33,356 * ServiceSource International, Inc. 107 668 * ShoreTel, Inc. 2,672 20,174 * Silicon Image, Inc. 1,800 10,098 * Silicon Laboratories, Inc. 2,076 93,316 * Skyworks Solutions, Inc. 5,239 215,061 * Smith Micro Software, Inc. 500 830 * SolarWinds, Inc. 1,200 48,384 Solera Holdings, Inc. 1,862 120,620 * Sonus Networks, Inc. 11,379 37,209 * Spansion, Inc. Class A 901 16,065 * Speed Commerce, Inc. 595 1,964 * Splunk, Inc. 673 36,726 * SS&C Technologies Holdings, Inc. 2,982 116,059 #* Stamps.com, Inc. 486 16,869 * StarTek, Inc. 200 1,390 #* Stratasys, Ltd. 1,057 102,392 #* SunEdison, Inc. 10,601 203,857 * SunPower Corp. 1,361 45,485 * Super Micro Computer, Inc. 2,458 50,045 * support.com, Inc. 1,000 2,470 * Sykes Enterprises, Inc. 1,556 30,793 Symantec Corp. 12,943 262,484 #* Synaptics, Inc. 1,543 95,897 * Synchronoss Technologies, Inc. 1,129 34,367 * SYNNEX Corp. 1,359 91,569 * Synopsys, Inc. 4,159 156,462 #* Syntel, Inc. 1,200 96,384 * Take-Two Interactive Software, Inc. 4,736 96,520 TE Connectivity, Ltd. 3,896 229,786 * Tech Data Corp. 1,421 88,798 * TeleCommunication Systems, Inc. Class A 971 2,476 * Telenav, Inc. 1,165 7,141 * TeleTech Holdings, Inc. 1,480 35,712 #* Teradata Corp. 1,800 81,828 #* Teradyne, Inc. 7,877 139,187 # Tessco Technologies, Inc. 126 4,144 Tessera Technologies, Inc. 1,321 28,970 Texas Instruments, Inc. 10,111 459,545 TheStreet, Inc. 700 1,799 * TIBCO Software, Inc. 4,439 87,138 Total System Services, Inc. 5,763 183,091 Transact Technologies, Inc. 300 3,207 #* Travelzoo, Inc. 400 7,176 #* Trimble Navigation, Ltd. 2,726 104,760 U.S. SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE+ ------ ----------- Information Technology -- (Continued) * TriQuint Semiconductor, Inc. 3,705 $ 52,537 #* TTM Technologies, Inc. 1,468 11,583 * Tyler Technologies, Inc. 600 48,990 #* Ubiquiti Networks, Inc. 327 12,665 * Ultimate Software Group, Inc. (The) 551 65,916 #* Ultratech, Inc. 500 13,310 * Unisys Corp. 1,400 34,118 United Online, Inc. 539 6,387 #* Unwired Planet, Inc. 2,043 4,658 #* Vantiv, Inc. Class A 1,923 59,132 #* Veeco Instruments, Inc. 800 29,576 * VeriFone Systems, Inc. 3,834 128,209 * Verint Systems, Inc. 2,081 91,085 #* VeriSign, Inc. 1,924 90,774 #* ViaSat, Inc. 1,464 94,003 * Viasystems Group, Inc. 156 1,875 * Video Display Corp. 37 128 * Virtusa Corp. 1,004 33,102 Visa, Inc. Class A 4,530 917,823 # Vishay Intertechnology, Inc. 4,148 58,985 * Vishay Precision Group, Inc. 335 5,437 #* VistaPrint NV 852 33,628 #* VMware, Inc. Class A 700 64,757 * Web.com Group, Inc. 1,200 36,852 #* WebMD Health Corp. 742 32,715 * Westell Technologies, Inc. Class A 700 2,282 Western Digital Corp. 7,142 629,424 # Western Union Co. (The) 1,020 16,187 * WEX, Inc. 1,150 110,366 Xerox Corp. 41,191 497,999 Xilinx, Inc. 5,594 263,981 * XO Group, Inc. 950 10,089 * Yahoo!, Inc. 7,763 279,080 #* Yelp, Inc. 500 29,160 * Zebra Technologies Corp. Class A 2,339 162,420 #* Zix Corp. 1,205 3,952 * Zygo Corp. 500 9,620 #* Zynga, Inc. Class A 11,100 44,955 ----------- Total Information Technology 60,631,934 ----------- Materials -- (4.4%) A Schulman, Inc. 1,031 37,034 * AEP Industries, Inc. 179 6,376 Air Products & Chemicals, Inc. 1,854 217,882 Airgas, Inc. 1,600 170,016 Albemarle Corp. 2,803 187,913 Alcoa, Inc. 36,473 491,291 # Allegheny Technologies, Inc. 4,175 172,010 #* Allied Nevada Gold Corp. 2,797 9,482 #* AM Castle & Co. 956 11,740 # AMCOL International Corp. 964 44,199 # American Vanguard Corp. 1,265 22,530 U.S. SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Materials -- (Continued) Ampco-Pittsburgh Corp. 357 $ 7,151 Aptargroup, Inc. 2,590 174,618 * Arabian American Development Co. 500 5,465 Ashland, Inc. 2,065 199,479 Avery Dennison Corp. 5,104 248,361 # Axiall Corp. 2,225 103,685 Balchem Corp. 834 51,666 Ball Corp. 2,857 160,535 Bemis Co., Inc. 6,161 247,919 Cabot Corp. 2,600 150,280 * Calgon Carbon Corp. 2,500 50,075 # Carpenter Technology Corp. 1,884 118,315 Celanese Corp. Series A 2,192 134,655 * Century Aluminum Co. 3,446 47,382 CF Industries Holdings, Inc. 2,522 618,319 Chase Corp. 200 6,228 #* Chemtura Corp. 3,210 71,583 * Clearwater Paper Corp. 1,134 69,616 # Cliffs Natural Resources, Inc. 5,889 104,353 Commercial Metals Co. 4,700 90,240 Compass Minerals International, Inc. 1,052 96,363 #* Contango ORE, Inc. 50 595 * Crown Holdings, Inc. 2,584 121,887 Cytec Industries, Inc. 1,000 95,320 Deltic Timber Corp. 200 12,150 Domtar Corp. 1,800 168,048 Dow Chemical Co. (The) 11,060 551,894 Eagle Materials, Inc. 1,900 158,327 Eastman Chemical Co. 3,437 299,603 Ecolab, Inc. 4,410 461,462 EI du Pont de Nemours & Co. 9,100 612,612 * Ferro Corp. 1,762 22,871 #* Flotek Industries, Inc. 1,507 42,211 FMC Corp. 2,239 172,403 Freeport-McMoRan Copper & Gold, Inc. 8,580 294,895 # FutureFuel Corp. 1,448 29,061 #* General Moly, Inc. 2,819 3,101 Globe Specialty Metals, Inc. 2,247 43,547 * Graphic Packaging Holding Co. 13,794 141,526 Greif, Inc. Class A 948 51,372 # Hawkins, Inc. 400 14,480 Haynes International, Inc. 300 15,915 HB Fuller Co. 3,100 143,623 * Headwaters, Inc. 1,600 19,968 #* Horsehead Holding Corp. 1,695 26,425 Huntsman Corp. 7,232 181,162 Innophos Holdings, Inc. 600 33,864 Innospec, Inc. 1,000 43,060 International Flavors & Fragrances, Inc. 1,224 120,588 International Paper Co. 8,572 399,884 #* Intrepid Potash, Inc. 2,295 37,409 # Kaiser Aluminum Corp. 650 45,760 U.S. SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Materials -- (Continued) * KapStone Paper and Packaging Corp. 4,200 $110,796 # KMG Chemicals, Inc. 300 4,683 Koppers Holdings, Inc. 500 21,350 * Kraton Performance Polymers, Inc. 1,172 30,531 Kronos Worldwide, Inc. 2,007 31,410 * Landec Corp. 900 10,674 #* Louisiana-Pacific Corp. 3,500 57,365 #* LSB Industries, Inc. 169 6,454 LyondellBasell Industries NV Class A 4,723 436,877 # Martin Marietta Materials, Inc. 1,606 199,674 Materion Corp. 900 30,285 #* McEwen Mining, Inc. 2,598 6,235 MeadWestvaco Corp. 7,235 282,671 * Mercer International, Inc. 1,858 15,384 Minerals Technologies, Inc. 2,000 118,980 #* Molycorp, Inc. 770 3,658 Monsanto Co. 5,491 607,854 Mosaic Co. (The) 3,394 169,836 Myers Industries, Inc. 1,200 22,440 Neenah Paper, Inc. 900 45,333 # NewMarket Corp. 400 148,928 Noranda Aluminum Holding Corp. 2,079 7,380 Nucor Corp. 9,436 488,313 # Olympic Steel, Inc. 300 7,908 # OM Group, Inc. 1,454 42,588 * OMNOVA Solutions, Inc. 1,400 12,768 * Owens-Illinois, Inc. 7,407 235,394 Packaging Corp. of America 3,298 219,746 * Penford Corp. 200 2,520 PH Glatfelter Co. 1,455 37,132 PolyOne Corp. 3,180 119,155 PPG Industries, Inc. 1,405 272,036 Praxair, Inc. 3,360 438,648 Quaker Chemical Corp. 514 38,257 Reliance Steel & Aluminum Co. 2,837 200,916 * Resolute Forest Products, Inc. 1,500 26,760 Rock-Tenn Co. Class A 1,627 155,557 Rockwood Holdings, Inc. 2,935 208,532 # Royal Gold, Inc. 1,945 128,759 RPM International, Inc. 5,200 221,832 * RTI International Metals, Inc. 1,265 35,622 # Schnitzer Steel Industries, Inc. Class A 400 11,228 Schweitzer-Mauduit International, Inc. 1,300 56,732 Scotts Miracle-Gro Co. (The) Class A 2,401 146,965 Sealed Air Corp. 11,732 402,525 #* Senomyx, Inc. 300 2,457 Sensient Technologies Corp. 2,676 144,638 Sherwin-Williams Co. (The) 1,600 319,744 Sigma-Aldrich Corp. 2,000 192,420 Silgan Holdings, Inc. 2,273 113,082 * Solitario Exploration & Royalty Corp. 1,000 1,060 Sonoco Products Co. 4,951 208,338 U.S. SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE+ ------ ----------- Materials -- (Continued) # Southern Copper Corp. 3,250 $ 97,955 Steel Dynamics, Inc. 7,698 140,642 Stepan Co. 766 44,298 * Stillwater Mining Co. 4,770 75,271 * SunCoke Energy, Inc. 2,725 56,871 # Synalloy Corp. 300 4,650 #* Texas Industries, Inc. 1,100 95,370 Tredegar Corp. 811 16,877 # Tronox, Ltd. Class A 1,900 46,550 # United States Lime & Minerals, Inc. 200 10,812 # United States Steel Corp. 2,455 63,879 * Universal Stainless & Alloy Products, Inc. 400 14,356 # US Silica Holdings, Inc. 1,234 55,740 # Valhi, Inc. 3,135 23,763 Valspar Corp. (The) 3,600 262,944 Vulcan Materials Co. 1,404 90,600 # Wausau Paper Corp. 2,700 32,292 Westlake Chemical Corp. 1,400 99,680 Worthington Industries, Inc. 4,500 165,600 * WR Grace & Co. 362 33,340 Zep, Inc. 611 10,564 ----------- Total Materials 16,794,268 ----------- Telecommunication Services -- (2.1%) #* 8x8, Inc. 1,108 10,748 #* Alaska Communications Systems Group, Inc. 2,700 5,103 AT&T, Inc. 82,356 2,940,109 Atlantic Tele-Network, Inc. 1,000 59,170 #* Boingo Wireless, Inc. 666 4,396 * Cbeyond, Inc. 1,402 13,866 # CenturyLink, Inc. 6,253 218,292 #* Cincinnati Bell, Inc. 9,300 31,155 Cogent Communications Group, Inc. 1,834 63,218 # Consolidated Communications Holdings, Inc. 1,988 39,601 # Frontier Communications Corp. 44,924 267,298 #* General Communication, Inc. Class A 2,200 22,968 #* Hawaiian Telcom Holdco, Inc. 33 878 # HC2 Holdings, Inc. 482 1,894 # HickoryTech Corp. 380 4,511 IDT Corp. Class B 845 13,385 Inteliquent, Inc. 1,747 23,829 #* Iridium Communications, Inc. 3,706 24,719 * Level 3 Communications, Inc. 4,104 176,595 Lumos Networks Corp. 1,300 17,173 # NTELOS Holdings Corp. 502 6,923 * ORBCOMM, Inc. 218 1,367 * Premiere Global Services, Inc. 2,546 32,385 #* SBA Communications Corp. Class A 3,900 350,064 Shenandoah Telecommunications Co. 800 22,424 #* Sprint Corp. 19,389 164,807 #* Straight Path Communications, Inc. Class B 422 2,954 T-Mobile US, Inc. 2,298 67,308 U.S. SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Telecommunication Services -- (Continued) Telephone & Data Systems, Inc. 6,089 $ 165,560 * tw telecom, Inc. 3,034 93,113 United States Cellular Corp. 1,091 45,320 USA Mobility, Inc. 810 13,875 Verizon Communications, Inc. 63,408 2,963,056 * Vonage Holdings Corp. 7,748 29,752 Windstream Holdings, Inc. 22,239 201,708 ---------- Total Telecommunication Services 8,099,524 ---------- Utilities -- (2.9%) AES Corp. 8,700 125,715 AGL Resources, Inc. 4,247 229,338 # ALLETE, Inc. 1,721 89,079 Alliant Energy Corp. 2,236 130,761 Ameren Corp. 3,100 128,061 American Electric Power Co., Inc. 5,600 301,336 American States Water Co. 1,600 48,576 American Water Works Co., Inc. 3,000 136,590 Aqua America, Inc. 5,778 144,970 # Artesian Resources Corp. Class A 200 4,404 Atmos Energy Corp. 3,068 156,591 # Avista Corp. 2,035 65,425 Black Hills Corp. 1,700 98,175 #* Cadiz, Inc. 200 1,286 California Water Service Group 1,750 39,375 * Calpine Corp. 13,700 314,141 CenterPoint Energy, Inc. 8,501 210,485 Chesapeake Utilities Corp. 387 24,482 Cleco Corp. 2,137 112,299 CMS Energy Corp. 5,802 175,859 Connecticut Water Service, Inc. 367 11,928 # Consolidated Edison, Inc. 3,200 185,696 Consolidated Water Co., Ltd. 163 1,894 # Delta Natural Gas Co., Inc. 149 2,841 Dominion Resources, Inc. 4,726 342,824 DTE Energy Co. 2,700 210,978 Duke Energy Corp. 7,539 561,580 #* Dynegy, Inc. 1,191 33,884 Edison International 4,400 248,864 El Paso Electric Co. 1,393 52,683 Empire District Electric Co. (The) 2,410 58,611 Entergy Corp. 1,500 108,750 Exelon Corp. 6,223 217,992 # Gas Natural, Inc. 400 4,360 * Genie Energy, Ltd. Class B 400 3,240 Great Plains Energy, Inc. 6,430 172,517 # Hawaiian Electric Industries, Inc. 3,306 79,311 IDACORP, Inc. 1,800 101,052 Integrys Energy Group, Inc. 2,881 176,548 ITC Holdings Corp. 5,412 200,082 # Laclede Group, Inc. (The) 1,456 69,029 MDU Resources Group, Inc. 5,804 205,578 U.S. SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE+ --------- ------------ Utilities -- (Continued) # MGE Energy, Inc. 1,800 $ 68,796 # National Fuel Gas Co. 1,249 91,976 # New Jersey Resources Corp. 1,914 95,183 NextEra Energy, Inc. 5,000 499,250 NiSource, Inc. 6,820 247,702 Northeast Utilities 6,199 292,965 # Northwest Natural Gas Co. 1,120 49,582 NorthWestern Corp. 1,317 63,716 NRG Energy, Inc. 12,703 415,642 OGE Energy Corp. 3,114 116,246 ONE Gas, Inc. 1,814 66,356 Ormat Technologies, Inc. 2,077 55,414 # Otter Tail Corp. 1,233 36,127 # Pepco Holdings, Inc. 5,707 152,719 PG&E Corp. 3,391 154,562 Piedmont Natural Gas Co., Inc. 2,746 98,279 Pinnacle West Capital Corp. 2,400 134,280 PNM Resources, Inc. 2,900 80,272 Portland General Electric Co. 1,521 50,908 Public Service Enterprise Group, Inc. 6,200 254,014 Questar Corp. 6,400 155,392 # SCANA Corp. 2,118 113,694 Sempra Energy 1,846 182,034 SJW Corp. 811 22,084 # South Jersey Industries, Inc. 1,090 62,620 Southern Co. (The) 6,936 317,877 Southwest Gas Corp. 1,600 88,016 # TECO Energy, Inc. 9,779 175,631 UGI Corp. 6,978 325,803 # UIL Holdings Corp. 1,864 68,465 Unitil Corp. 600 19,920 # UNS Energy Corp. 1,400 84,084 Vectren Corp. 3,399 137,897 # Westar Energy, Inc. 4,495 161,281 WGL Holdings, Inc. 1,801 71,662 # Wisconsin Energy Corp. 4,200 203,616 Xcel Energy, Inc. 4,400 140,228 # York Water Co. 300 6,003 ------------ Total Utilities 10,947,486 ------------ TOTAL COMMON STOCKS 344,826,044 ------------ RIGHTS/WARRANTS -- (0.0%) (o)* Community Health Systems, Inc. Rights 01/04/16 11,318 680 (o)* Leap Wireless International, Inc. Contingent Value Rights 1,800 4,536 (o)#* Magnum Hunter Resources Corp. Warrants 04/15/16 358 -- (o)* U.S. Concrete, Inc. Warrants Class A 08/31/17 20 121 (o)* U.S. Concrete, Inc. Warrants Class B 08/31/17 20 80 ------------ TOTAL RIGHTS/WARRANTS 5,417 ------------ TEMPORARY CASH INVESTMENTS -- (0.3%) State Street Institutional Liquid Reserves, 0.074% 1,168,019 1,168,019 ------------ U.S. SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES/ FACE AMOUNT (000) VALUE+ --------- ------------ SECURITIES LENDING COLLATERAL -- (9.4%) (S)@ DFA Short Term Investment Fund 3,085,508 $ 35,699,322 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $262,194,648) $381,698,802 ============ U.S. SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, 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 $ 49,295,128 -- -- $ 49,295,128 Consumer Staples 25,252,324 -- -- 25,252,324 Energy 36,727,844 -- -- 36,727,844 Financials 50,585,107 $ 66 -- 50,585,173 Health Care 41,911,230 234 -- 41,911,464 Industrials 44,580,899 -- -- 44,580,899 Information Technology 60,631,934 -- -- 60,631,934 Materials 16,794,268 -- -- 16,794,268 Telecommunication Services 8,099,524 -- -- 8,099,524 Utilities 10,947,486 -- -- 10,947,486 Rights/Warrants -- 5,417 -- 5,417 Temporary Cash Investments 1,168,019 -- -- 1,168,019 Securities Lending Collateral -- 35,699,322 -- 35,699,322 ------------ ----------- -- ------------ TOTAL $345,993,763 $35,705,039 -- $381,698,802 ============ =========== == ============ INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO SCHEDULE OF INVESTMENTS APRIL 30, 2014 (UNAUDITED) SHARES VALUE++ ------ ---------- COMMON STOCKS -- (89.8%) AUSTRALIA -- (5.7%) Adelaide Brighton, Ltd. 17,121 $ 62,406 AGL Energy, Ltd. 10,819 158,823 # ALS, Ltd. 7,053 49,329 #* Alumina, Ltd. 88,210 110,805 Amalgamated Holdings, Ltd. 2,408 19,689 Amcor, Ltd. 17,823 171,047 AMP, Ltd. 87,186 410,311 # Ansell, Ltd. 5,733 96,550 AP Eagers, Ltd. 1,880 8,836 APA Group 27,997 173,535 * APN News & Media, Ltd. 8,067 5,320 #* Aquarius Platinum, Ltd. 3,816 1,368 #* Aquila Resources, Ltd. 940 2,193 Arrium, Ltd. 38,188 42,559 Asciano, Ltd. 21,350 107,740 ASX, Ltd. 3,654 120,918 Atlas Iron, Ltd. 28,989 24,586 * Aurora Oil & Gas, Ltd. 11,648 44,258 # Ausdrill, Ltd. 7,076 6,139 Ausenco, Ltd. 2,832 1,463 Australia & New Zealand Banking Group, Ltd. 36,012 1,158,066 Australian Infrastructure Fund, Ltd. 14,370 60 Australian Pharmaceutical Industries, Ltd. 40,511 21,855 Automotive Holdings Group, Ltd. 7,271 27,106 # Aveo Group 5,653 10,695 * AWE, Ltd. 19,789 28,909 Bank of Queensland, Ltd. 9,307 106,403 Beach Energy, Ltd. 48,447 77,533 Bega Cheese, Ltd. 6,210 29,753 Bendigo and Adelaide Bank, Ltd. 22,911 245,551 BHP Billiton, Ltd. 12,493 439,961 BHP Billiton, Ltd. Sponsored ADR 9,527 672,035 * Billabong International, Ltd. 19,152 8,470 * BlueScope Steel, Ltd. 18,055 109,158 Boral, Ltd. 36,322 192,767 # Bradken, Ltd. 7,516 29,662 Brambles, Ltd. 16,209 142,530 Breville Group, Ltd. 3,217 27,471 Brickworks, Ltd. 857 10,683 # Cabcharge Australia, Ltd. 4,103 14,810 Caltex Australia, Ltd. 7,293 151,391 # Cardno, Ltd. 6,141 39,994 Cedar Woods Properties, Ltd. 2,172 14,629 * Coal of Africa, Ltd. 2,428 168 Coca-Cola Amatil, Ltd. 7,199 62,147 Cochlear, Ltd. 1,229 67,181 Commonwealth Bank of Australia 27,531 2,025,205 Computershare, Ltd. 2,805 32,332 Crowe Horwath Australasia, Ltd. 11,744 4,038 Crown Resorts, Ltd. 5,061 75,731 CSL, Ltd. 3,887 247,797 INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- AUSTRALIA -- (Continued) CSR, Ltd. 19,181 $ 65,323 # David Jones, Ltd. 17,745 65,006 Decmil Group, Ltd. 10,092 19,125 Domino's Pizza Enterprises, Ltd. 1,619 29,864 Downer EDI, Ltd. 20,951 97,806 #* Drillsearch Energy, Ltd. 23,451 35,117 DuluxGroup, Ltd. 7,839 41,870 Echo Entertainment Group, Ltd. 15,328 40,316 * Emeco Holdings, Ltd. 18,108 4,411 * Energy Resources of Australia, Ltd. 5,657 6,970 Envestra, Ltd. 15,764 17,108 # Evolution Mining, Ltd. 15,680 12,510 Fairfax Media, Ltd. 78,167 71,419 Flight Centre Travel Group, Ltd. 591 29,641 # Fortescue Metals Group, Ltd. 15,714 74,326 GrainCorp, Ltd. Class A 8,657 71,398 # GUD Holdings, Ltd. 7,446 37,084 #* Gunns, Ltd. 26,718 -- GWA Group, Ltd. 8,700 21,828 Harvey Norman Holdings, Ltd. 14,320 43,826 Hills, Ltd. 5,399 8,496 #* Horizon Oil, Ltd. 50,760 17,978 iiNET, Ltd. 7,010 46,799 Iluka Resources, Ltd. 6,816 56,626 Imdex, Ltd. 11,826 8,104 Incitec Pivot, Ltd. 44,655 119,866 Independence Group NL 9,079 36,806 #* Infigen Energy 28,218 4,857 Insurance Australia Group, Ltd. 59,316 317,030 Invocare, Ltd. 3,621 35,899 IOOF Holdings, Ltd. 1,869 14,777 James Hardie Industries P.L.C. 9,898 127,073 # JB Hi-Fi, Ltd. 2,539 45,626 # Leighton Holdings, Ltd. 453 8,055 Lend Lease Group 18,224 220,255 # M2 Group, Ltd. 8,392 44,096 * Macmahon Holdings, Ltd. 77,872 7,636 Macquarie Atlas Roads Group 5,778 16,763 Macquarie Group, Ltd. 7,486 403,327 * Mayne Pharma Group, Ltd. 35,704 28,290 McPherson's, Ltd. 5,484 5,961 # Metcash, Ltd. 29,424 76,012 Mineral Resources, Ltd. 4,973 53,995 # Monadelphous Group, Ltd. 2,454 40,011 # Mount Gibson Iron, Ltd. 33,294 22,737 Myer Holdings, Ltd. 19,907 41,240 National Australia Bank, Ltd. 30,542 1,005,668 Navitas, Ltd. 9,213 63,178 New Hope Corp., Ltd. 4,695 13,645 * Newcrest Mining, Ltd. 16,318 159,152 NIB Holdings, Ltd. 20,748 53,116 # NRW Holdings, Ltd. 1,833 1,918 INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- AUSTRALIA -- (Continued) # Nufarm, Ltd. 10,498 $ 40,611 Oil Search, Ltd. 19,858 164,524 Orica, Ltd. 10,007 204,228 Origin Energy, Ltd. 40,702 565,428 Orora, Ltd. 17,823 23,110 OZ Minerals, Ltd. 8,864 30,506 Pacific Brands, Ltd. 11,725 5,520 #* Paladin Energy, Ltd. 27,922 11,356 PanAust, Ltd. 20,455 30,761 Panoramic Resources, Ltd. 2,242 1,315 Perpetual, Ltd. 241 10,550 * Perseus Mining, Ltd. 15,258 4,995 Platinum Asset Management, Ltd. 5,043 30,982 Premier Investments, Ltd. 5,059 46,725 Primary Health Care, Ltd. 16,607 72,585 Prime Media Group, Ltd. 500 460 Programmed Maintenance Services, Ltd. 4,628 12,254 #* Qantas Airways, Ltd. 36,908 41,984 QBE Insurance Group, Ltd. 9,065 97,835 #* Ramelius Resources, Ltd. 11,028 1,079 Ramsay Health Care, Ltd. 1,882 78,637 RCR Tomlinson, Ltd. 8,195 20,869 REA Group, Ltd. 1,149 50,111 * Recall Holdings, Ltd. 3,241 13,693 # Regis Resources, Ltd. 6,914 15,679 * Resolute Mining, Ltd. 19,030 10,757 Retail Food Group, Ltd. 4,962 19,298 Rio Tinto, Ltd. 4,215 243,075 * Roc Oil Co., Ltd. 42,871 19,147 # SAI Global, Ltd. 7,061 28,056 Santos, Ltd. 36,676 470,236 * Senex Energy, Ltd. 26,881 16,697 Seven Group Holdings, Ltd. 1,365 10,456 Seven West Media, Ltd. 22,324 38,789 * Silex Systems, Ltd. 1,748 2,947 #* Silver Lake Resources, Ltd. 2,487 952 * Sims Metal Management, Ltd. 8,157 74,601 * Sims Metal Management, Ltd. Sponsored ADR 819 7,387 Slater & Gordon, Ltd. 7,080 31,064 Sonic Healthcare, Ltd. 7,234 119,326 Southern Cross Media Group, Ltd. 4,361 5,222 SP AusNet 63,278 82,461 Spark Infrastructure Group 46,882 77,041 #* St Barbara, Ltd. 15,052 3,026 STW Communications Group, Ltd. 25,450 33,430 Suncorp Group, Ltd. 25,817 313,526 * Sundance Energy Australia, Ltd. 25,130 24,364 # Super Retail Group, Ltd. 3,025 28,633 # Sydney Airport 19,553 76,833 Tassal Group, Ltd. 9,649 37,231 Tatts Group, Ltd. 41,701 117,287 Technology One, Ltd. 10,734 25,199 INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE++ ------ ----------- AUSTRALIA -- (Continued) Telstra Corp., Ltd. 55,344 $ 269,088 #* Ten Network Holdings, Ltd. 46,073 11,605 Toll Holdings, Ltd. 13,954 68,829 Tox Free Solutions, Ltd. 9,194 29,608 TPG Telecom, Ltd. 17,780 98,591 * Transfield Services, Ltd. 16,298 14,594 * Transpacific Industries Group, Ltd. 22,650 23,554 Transurban Group 19,926 134,577 # Treasury Wine Estates, Ltd. 25,027 89,129 # UGL, Ltd. 3,425 21,540 UXC, Ltd. 25,057 19,688 Village Roadshow, Ltd. 3,334 21,889 * Virgin Australia Holdings, Ltd. 53,802 18,517 Wesfarmers, Ltd. 17,468 695,211 # Western Areas, Ltd. 11,117 42,912 Westpac Banking Corp. 9,473 310,283 # Westpac Banking Corp. Sponsored ADR 13,460 440,007 #* Whitehaven Coal, Ltd. 5,539 7,548 Woodside Petroleum, Ltd. 13,869 527,176 Woolworths, Ltd. 13,053 453,617 WorleyParsons, Ltd. 2,355 36,930 ----------- TOTAL AUSTRALIA 18,409,637 ----------- AUSTRIA -- (0.5%) Agrana Beteiligungs AG 20 2,315 Andritz AG 1,251 77,711 Atrium European Real Estate, Ltd. 80 461 Austria Technologie & Systemtechnik AG 919 10,730 * BUWOG AG 916 16,819 CA Immobilien Anlagen AG 188 3,584 Conwert Immobilien Invest SE 2,303 33,181 Erste Group Bank AG 13,887 466,941 EVN AG 995 13,866 # Flughafen Wien AG 68 6,676 IMMOFINANZ AG 18,328 68,063 # Lenzing AG 121 7,724 # Mayr Melnhof Karton AG 163 20,754 # Oesterreichische Post AG 700 35,775 OMV AG 5,134 240,037 Palfinger AG 699 25,867 Raiffeisen Bank International AG 322 10,179 Rosenbauer International AG 124 11,697 S IMMO AG 1,401 11,074 # Schoeller-Bleckmann Oilfield Equipment AG 340 43,220 Semperit AG Holding 381 21,271 Strabag SE 447 12,495 Telekom Austria AG 7,125 70,709 UNIQA Insurance Group AG 3,890 49,691 # Verbund AG 1,953 37,866 Voestalpine AG 3,697 168,877 INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- AUSTRIA -- (Continued) Zumtobel AG 366 $ 7,610 ---------- TOTAL AUSTRIA 1,475,193 ---------- BELGIUM -- (1.3%) Ackermans & van Haaren NV 1,101 142,373 Ageas 7,781 334,861 * AGFA-Gevaert NV 7,268 27,846 Anheuser-Busch InBev NV 8,942 974,641 Anheuser-Busch InBev NV Sponsored ADR 4,320 457,142 Arseus NV 1,195 67,690 Banque Nationale de Belgique 8 38,618 Barco NV 191 14,234 # Belgacom SA 6,876 210,457 Cie d'Entreprises CFE 624 68,758 Colruyt SA 1,026 58,016 D'ieteren SA 646 29,886 * Deceuninck NV 4,912 16,873 Delhaize Group SA 2,841 211,550 Delhaize Group SA Sponsored ADR 8,036 150,112 Econocom Group 2,683 28,773 Elia System Operator SA 896 47,525 EVS Broadcast Equipment SA 396 25,076 Exmar NV 1,452 24,235 KBC Groep NV 5,477 334,222 Kinepolis Group NV 285 55,795 Melexis NV 604 24,288 Mobistar SA 1,155 22,540 NV Bekaert SA 1,463 59,541 # Nyrstar NV 7,145 28,449 Recticel SA 1,539 13,859 Sioen Industries NV 344 4,223 Sipef SA 152 13,277 Solvay SA 1,658 268,687 Telenet Group Holding NV 1,517 88,966 Tessenderlo Chemie NV 1,427 43,701 #* ThromboGenics NV 1,084 34,537 # UCB SA 1,537 126,075 # Umicore SA 3,536 173,330 Van de Velde NV 285 15,170 ---------- TOTAL BELGIUM 4,235,326 ---------- CANADA -- (8.0%) * 5N Plus, Inc. 1,597 7,038 Absolute Software Corp. 3,100 19,431 * Advantage Oil & Gas, Ltd. 10,330 65,408 Aecon Group, Inc. 1,864 31,309 # AG Growth International, Inc. 900 35,621 AGF Management, Ltd. Class B 4,402 49,038 Agnico Eagle Mines, Ltd.(008474108) 1,200 35,472 # Agnico Eagle Mines, Ltd.(2009823) 3,798 112,168 Agrium, Inc.(008916108) 956 91,843 Agrium, Inc.(2213538) 700 67,231 INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- CANADA -- (Continued) Aimia, Inc. 4,823 $ 77,666 Alacer Gold Corp. 5,702 13,630 Alamos Gold, Inc. 2,800 26,185 # Algonquin Power & Utilities Corp. 9,700 69,738 Alimentation Couche Tard, Inc. Class B 5,100 143,733 Alliance Grain Traders, Inc. 1,700 28,430 AltaGas, Ltd. 4,500 191,734 Altus Group, Ltd. 1,300 23,069 * Alvopetro Energy, Ltd. 1,400 1,213 # ARC Resources, Ltd. 6,160 182,768 #* Argonaut Gold, Inc. 4,400 16,258 Atco, Ltd. Class I 2,000 97,642 * ATS Automation Tooling Systems, Inc. 3,050 39,515 # AuRico Gold, Inc.(2287317) 14,325 59,598 AuRico Gold, Inc.(05155C105) 800 3,328 AutoCanada, Inc. 600 38,319 * Avigilon Corp. 1,000 23,548 * B2Gold Corp. 29,644 85,196 Badger Daylighting, Ltd. 900 31,367 #* Ballard Power Systems, Inc. 10,800 39,414 # Bank of Montreal 9,274 639,251 Bank of Nova Scotia(064149107) 3,193 194,071 Bank of Nova Scotia(2076281) 10,879 661,048 * Bankers Petroleum, Ltd. 11,300 61,549 Barrick Gold Corp.(067901108) 14,592 254,922 Barrick Gold Corp.(2024644) 11,539 201,397 * Bauer Performance Sports, Ltd. 1,693 23,448 # Baytex Energy Corp. 821 34,172 # BCE, Inc. 3,527 157,034 # Bell Aliant, Inc. 2,335 57,520 * Bellatrix Exploration, Ltd. 3,932 38,242 * Birchcliff Energy, Ltd. 4,500 52,183 Black Diamond Group, Ltd. 1,100 34,584 #* BlackBerry, Ltd.(09228F103) 7,501 57,458 #* BlackBerry, Ltd.(BCBHZ31) 3,974 30,347 * BlackPearl Resources, Inc. 11,279 31,695 # Bombardier, Inc. Class A 4,700 18,954 # Bombardier, Inc. Class B 22,025 88,618 # Bonavista Energy Corp. 9,300 146,112 # Bonterra Energy Corp. 316 16,483 Boralex, Inc. Class A 2,500 29,104 Brookfield Asset Management, Inc. Class A 8,909 373,982 * Brookfield Residential Properties, Inc. 1,398 27,415 CAE, Inc. 3,208 42,352 Calfrac Well Services, Ltd. 1,008 34,901 Cameco Corp.(13321L108) 6,393 136,107 Cameco Corp.(2166160) 6,230 132,609 Canaccord Genuity Group, Inc. 6,570 56,766 Canada Bread Co., Ltd. 200 13,182 Canadian Imperial Bank of Commerce(136069101) 1,796 160,293 Canadian Imperial Bank of Commerce(2170525) 4,415 393,626 Canadian National Railway Co.(136375102) 7,692 450,520 INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- CANADA -- (Continued) Canadian National Railway Co.(2180632) 3,100 $181,579 Canadian Natural Resources, Ltd.(136385101) 4,197 171,112 Canadian Natural Resources, Ltd.(2171573) 13,714 558,795 Canadian Oil Sands, Ltd. 6,903 149,642 Canadian Tire Corp., Ltd. Class A 2,797 274,711 Canadian Utilities, Ltd. Class A 1,600 59,107 Canadian Western Bank 2,700 91,490 Canam Group, Inc. Class A 3,700 47,328 CanElson Drilling, Inc. 3,300 24,749 # Canexus Corp. 3,600 15,831 * Canfor Corp. 2,800 63,508 Canfor Pulp Products, Inc. 779 8,657 # Canyon Services Group, Inc. 2,800 38,524 # Capital Power Corp. 3,541 79,540 Capstone Infrastructure Corp. 2,119 7,830 * Capstone Mining Corp. 19,300 50,889 Cascades, Inc. 2,800 16,401 * Catamaran Corp. 2,000 75,982 CCL Industries, Inc. Class B 615 55,920 * Celestica, Inc. 3,495 38,775 Cenovus Energy, Inc.(B57FG04) 4,841 144,208 Cenovus Energy, Inc.(15135U109) 4,392 130,750 Centerra Gold, Inc. 4,100 21,023 * Cequence Energy, Ltd. 4,200 11,572 #* China Gold International Resources Corp., Ltd. 1,985 5,107 CI Financial Corp. 3,000 97,441 # Cineplex, Inc. 1,935 72,930 Cogeco Cable, Inc. 1,000 54,742 Cogeco, Inc. 100 5,241 * COM DEV International, Ltd. 7,300 24,310 Computer Modelling Group, Ltd. 438 11,941 * Connacher Oil and Gas, Ltd. 25,008 7,415 Constellation Software, Inc. 435 96,343 Contrans Group, Inc. Class A 1,700 22,304 * Copper Mountain Mining Corp. 14,100 29,974 # Corus Entertainment, Inc. Class B 3,705 83,223 Cott Corp. 1,772 14,389 * Crew Energy, Inc. 3,903 44,227 * Crocotta Energy, Inc. 9,200 31,561 Davis + Henderson Corp. 3,000 86,876 * DeeThree Exploration, Ltd. 3,900 41,774 #* Denison Mines Corp. 9,271 12,688 * Descartes Systems Group, Inc. (The) 4,200 56,904 Dollarama, Inc. 1,400 116,440 * Dominion Diamond Corp. 1,359 17,074 Dorel Industries, Inc. Class B 1,700 60,924 * Dundee Precious Metals, Inc. 3,100 10,295 Eldorado Gold Corp. 15,700 95,685 # Emera, Inc. 1,500 46,394 Empire Co., Ltd. 1,200 75,905 # Enbridge Income Fund Holdings, Inc. 1,600 38,889 Enbridge, Inc.(29250N105) 2,707 130,721 INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- CANADA -- (Continued) Enbridge, Inc.(2466149) 7,312 $352,841 Encana Corp.(292505104) 2,999 69,607 Encana Corp.(2793193) 7,156 165,769 * Endeavour Mining Corp. 27,284 21,408 * Endeavour Silver Corp. 3,000 13,713 Enerflex, Ltd. 1,300 20,685 * Energy Fuels, Inc. 205 1,594 Enerplus Corp.(292766102) 3,399 75,492 Enerplus Corp.(B584T89) 3,304 73,282 Ensign Energy Services, Inc. 3,200 50,363 Equitable Group, Inc. 1,300 71,431 * Essential Energy Services Trust 12,100 31,573 # Exchange Income Corp. 500 8,471 Extendicare, Inc. 4,400 27,057 Finning International, Inc. 5,896 159,228 First Capital Realty, Inc. 3,400 55,682 * First Majestic Silver Corp. 2,300 21,824 # First Quantum Minerals, Ltd. 13,439 267,661 FirstService Corp. 900 44,423 Fortis, Inc. 2,500 73,446 * Fortuna Silver Mines, Inc. 6,100 25,267 # Genworth MI Canada, Inc. 2,636 92,472 George Weston, Ltd. 1,400 105,481 Gibson Energy, Inc. 4,745 126,672 Gildan Activewear, Inc.(375916103) 599 30,639 Gildan Activewear, Inc.(2254645) 675 34,506 Gluskin Sheff + Associates, Inc. 1,000 30,053 GMP Capital, Inc. 337 2,555 Goldcorp, Inc.(380956409) 5,976 147,727 Goldcorp, Inc.(2676302) 4,500 111,140 #* Golden Star Resources, Ltd. 2,800 1,712 * Gran Tierra Energy, Inc. 12,376 87,960 * Great Canadian Gaming Corp. 4,400 60,818 Great-West Lifeco, Inc. 4,500 126,618 * Heroux-Devtek, Inc. 2,177 22,762 # Home Capital Group, Inc. 1,800 76,053 Horizon North Logistics, Inc. 2,100 15,309 HudBay Minerals, Inc. 6,400 54,596 Hudson's Bay Co. 1,900 30,041 Husky Energy, Inc. 3,300 107,847 IAMGOLD Corp.(450913108) 6,499 22,681 IAMGOLD Corp.(2446646) 8,500 29,625 IGM Financial, Inc. 700 34,864 #* Imax Corp. 1,600 41,005 * Imperial Metals Corp. 3,800 48,365 Imperial Oil, Ltd.(453038408) 799 38,991 Imperial Oil, Ltd.(2454241) 1,900 92,777 Indigo Books & Music, Inc. 1,191 10,649 Industrial Alliance Insurance & Financial Services, Inc. 2,300 94,955 # Innergex Renewable Energy, Inc. 2,900 28,046 Intact Financial Corp. 1,400 91,928 # Inter Pipeline, Ltd. 4,363 118,624 INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- CANADA -- (Continued) * International Forest Products, Ltd. Class A 3,400 $ 51,556 Intertape Polymer Group, Inc. 1,600 18,773 * Ithaca Energy, Inc. 6,562 17,242 #* Ivanhoe Energy, Inc. 2,820 1,415 #* Jaguar Mining, Inc. 2,600 130 Jean Coutu Group PJC, Inc. (The) Class A 1,300 26,200 Just Energy Group, Inc.(B693818) 3,797 30,186 # Just Energy Group, Inc.(B63MCN1) 2,638 20,963 * Katanga Mining, Ltd. 20,369 8,642 * Kelt Exploration, Ltd. 600 7,538 # Keyera Corp. 1,400 93,116 # Killam Properties, Inc. 2,800 26,696 Kinross Gold Corp.(496902404) 13,576 55,119 Kinross Gold Corp.(B03Z841) 13,785 55,968 #* Kirkland Lake Gold, Inc. 1,200 3,383 * Knight Therapeutics, Inc. 200 1,060 #* Lake Shore Gold Corp. 9,481 7,612 Laurentian Bank of Canada 1,000 42,954 * Legacy Oil + Gas, Inc. 6,926 53,902 # Leisureworld Senior Care Corp. 1,738 19,377 # Leon's Furniture, Ltd. 536 7,365 # Lightstream Resources, Ltd. 1,261 7,582 Linamar Corp. 1,800 90,111 Loblaw Cos., Ltd. 2,961 128,720 # Long Run Exploration, Ltd. 583 2,949 MacDonald Dettwiler & Associates, Ltd. 1,243 96,396 Magna International, Inc. 3,300 323,301 Major Drilling Group International, Inc. 6,000 47,188 Manitoba Telecom Services, Inc. 1,300 35,926 Manulife Financial Corp.(56501R106) 6,970 130,687 Manulife Financial Corp.(2492519) 19,166 359,871 Maple Leaf Foods, Inc. 2,592 42,828 Martinrea International, Inc. 2,814 28,344 Medical Facilities Corp. 1,300 22,595 * MEG Energy Corp. 359 12,925 # Methanex Corp. 2,100 130,075 # Metro, Inc. 1,200 73,967 #* Migao Corp. 3,700 4,895 * Mitel Networks Corp. 1,500 13,740 # Morneau Shepell, Inc. 2,791 40,845 # Mullen Group, Ltd. 3,100 84,058 National Bank of Canada 5,200 215,819 Nevsun Resources, Ltd.(64156L101) 7,157 26,051 Nevsun Resources, Ltd.(2631486) 8 29 # New Flyer Industries, Inc. 878 9,308 * New Gold, Inc. 7,300 36,898 Newalta Corp. 2,780 50,981 Norbord, Inc. 900 22,047 * Nordion, Inc. 2,200 25,431 North American Energy Partners, Inc. 1,900 14,953 #* North American Palladium, Ltd. 4,800 1,390 North West Co., Inc. (The) 1,300 28,750 INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- CANADA -- (Continued) # Northland Power, Inc. 2,700 $ 42,198 * NuVista Energy, Ltd. 5,700 56,893 * OceanaGold Corp. 11,653 29,556 Onex Corp. 400 22,846 Pacific Rubiales Energy Corp. 11,563 188,734 * Painted Pony Petroleum, Ltd. 4,040 41,725 * Paramount Resources, Ltd. Class A 1,800 97,944 * Parex Resources, Inc. 2,921 29,209 # Parkland Fuel Corp. 1,800 33,338 Pason Systems, Inc. 1,600 44,436 * Pembina Pipeline Corp.(B4PPQG5) 800 31,456 # Pembina Pipeline Corp.(B4PT2P8) 2,820 110,814 # Pengrowth Energy Corp. 13,189 85,676 # Penn West Petroleum, Ltd. 12,096 109,367 # Peyto Exploration & Development Corp. 2,442 90,043 #* Pilot Gold, Inc. 325 430 #* Poseidon Concepts Corp. 6,629 16 Potash Corp. of Saskatchewan, Inc.(73755L107) 1,756 63,497 Potash Corp. of Saskatchewan, Inc.(2696980) 5,737 207,381 Precision Drilling Corp. 4,434 57,647 Premium Brands Holdings Corp. 1,600 30,874 * Primero Mining Corp. 5,585 35,312 Progressive Waste Solutions, Ltd.(B3DJGB7) 3,633 88,434 Progressive Waste Solutions, Ltd.(74339G101) 1,198 29,195 Quebecor, Inc. Class B 2,400 56,603 #* Questerre Energy Corp. Class A 7,500 8,622 Reitmans Canada, Ltd. Class A 700 4,247 Richelieu Hardware, Ltd. 1,151 51,551 # Ritchie Bros Auctioneers, Inc. 1,800 44,982 * RMP Energy, Inc. 7,100 54,090 Rogers Communications, Inc. Class B 3,333 132,387 # Rogers Sugar, Inc. 1,700 7,600 # RONA, Inc. 2,096 21,131 Royal Bank of Canada(780087102) 7,395 493,986 # Royal Bank of Canada(2754383) 12,404 827,839 # Russel Metals, Inc. 2,600 76,502 #* San Gold Corp. 4,200 632 #* Sandstorm Gold, Ltd. 3,900 21,598 * Sandvine Corp. 4,200 14,945 Saputo, Inc. 800 42,779 Savanna Energy Services Corp. 4,268 34,617 Sears Canada, Inc. 100 1,464 SEMAFO, Inc. 8,000 29,926 # Shaw Communications, Inc. Class B(2801836) 1,951 47,260 Shaw Communications, Inc. Class B(82028K200) 5,535 134,113 ShawCor, Ltd. 1,300 57,904 Sherritt International Corp. 6,600 27,940 * Sierra Wireless, Inc. 2,595 55,948 * Silver Standard Resources, Inc. 3,100 30,687 Silver Wheaton Corp. 3,501 77,722 SNC-Lavalin Group, Inc. 1,900 86,189 #* Southern Pacific Resource Corp. 18,837 5,500 INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- CANADA -- (Continued) #* SouthGobi Resources, Ltd. 1,700 $ 1,086 Sprott Resource Corp. 1,000 2,308 Sprott, Inc. 9,600 28,466 Spyglass Resources Corp. 8,600 14,202 Stantec, Inc. 879 52,096 Stella-Jones, Inc. 1,100 30,068 # Student Transportation, Inc. 2,312 14,281 Sun Life Financial, Inc.(866796105) 5,198 175,900 # Sun Life Financial, Inc.(2566124) 3,599 121,822 Suncor Energy, Inc.(867224107) 8,061 311,155 Suncor Energy, Inc.(B3NB1P2) 18,330 707,078 * SunOpta, Inc. 3,100 36,005 # Superior Plus Corp. 5,000 60,262 # Surge Energy, Inc. 10,200 64,492 Talisman Energy, Inc.(87425E103) 6,635 68,540 Talisman Energy, Inc.(2068299) 20,500 211,911 * Taseko Mines, Ltd. 5,100 11,028 Teck Resources, Ltd. Class B(878742204) 2,395 54,534 Teck Resources, Ltd. Class B(2879327) 6,200 141,304 # TELUS Corp. 4,008 141,224 * Tembec, Inc. 500 1,104 #* Teranga Gold Corp. 1,200 788 #* Thompson Creek Metals Co., Inc. 4,800 12,875 Thomson Reuters Corp.(884903105) 2,197 79,487 # Thomson Reuters Corp.(2889371) 3,376 122,190 Tim Hortons, Inc. 1,300 71,307 TMX Group, Ltd. 500 26,340 TORC Oil & Gas, Ltd. 3,600 43,947 Toromont Industries, Ltd. 1,300 32,155 # Toronto-Dominion Bank (The)(2897222) 18,040 867,888 Toronto-Dominion Bank (The)(891160509) 3,706 178,222 Torstar Corp. Class B 1,400 8,341 Total Energy Services, Inc. 1,800 35,473 * Tourmaline Oil Corp. 1,975 102,265 TransAlta Corp.(89346D107) 2,272 27,764 # TransAlta Corp.(2901628) 4,800 58,640 TransCanada Corp. 7,800 363,509 Transcontinental, Inc. Class A 2,900 42,254 TransForce, Inc. 2,157 47,094 * TransGlobe Energy Corp. 3,755 29,258 # Trilogy Energy Corp. 1,361 37,252 Trinidad Drilling, Ltd. 6,900 77,181 # Twin Butte Energy, Ltd. 13,123 28,256 Uni-Select, Inc. 100 2,740 * Valeant Pharmaceuticals International, Inc. 1,798 240,439 Valener, Inc. 1,900 27,060 # Veresen, Inc. 5,000 73,947 * Vermilion Energy, Inc.(923725105) 600 40,056 # Vermilion Energy, Inc.(B607XS1) 767 51,035 # Wajax Corp. 900 29,109 West Fraser Timber Co., Ltd. 2,800 125,177 Western Energy Services Corp. 3,100 31,847 INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE++ ------ ----------- CANADA -- (Continued) Western Forest Products, Inc. 13,082 $ 26,139 Whistler Blackcomb Holdings, Inc. 791 11,836 # Whitecap Resources, Inc. 8,269 109,091 Wi-Lan, Inc. 9,000 27,672 Winpak, Ltd. 911 22,957 WSP Global, Inc. 2,100 71,868 * Xtreme Drilling and Coil Services Corp. 500 2,285 Yamana Gold, Inc.(2219279) 11,168 83,654 Yamana Gold, Inc.(98462Y100) 10,704 80,066 * Yellow Media, Ltd. 1,347 28,278 # Zargon Oil & Gas, Ltd. 1,700 14,983 ----------- TOTAL CANADA 25,890,016 ----------- CHINA -- (0.0%) * Hanfeng Evergreen, Inc. 2,300 1,448 ----------- DENMARK -- (1.4%) ALK-Abello A.S. 90 12,488 * Alm Brand A.S. 7,943 38,580 AP Moeller - Maersk A.S. Class A 45 102,234 AP Moeller - Maersk A.S. Class B 109 260,211 * Auriga Industries A.S. Class B 790 29,258 * Bang & Olufsen A.S. 1,307 13,500 Carlsberg A.S. Class B 1,850 185,060 Chr Hansen Holding A.S. 4,228 190,618 Coloplast A.S. Class B 1,226 102,975 D/S Norden A.S. 884 35,358 Danske Bank A.S. 12,461 352,562 Dfds A.S. 369 29,178 DSV A.S. 1,966 65,663 # FLSmidth & Co. A.S. 1,112 59,534 * Genmab A.S. 1,512 56,327 GN Store Nord A.S. 7,896 190,757 H Lundbeck A.S. 2,698 78,633 Jeudan A.S. 126 14,205 NKT Holding A.S. 1,148 72,429 Novo Nordisk A.S. Class B 13,598 617,159 Novo Nordisk A.S. Sponsored ADR 14,665 665,644 Novozymes A.S. Class B 4,811 230,664 Pandora A.S. 2,178 146,820 PER Aarsleff A.S. Class B 176 31,909 Ringkjoebing Landbobank A.S. 186 42,558 * Royal UNIBREW 426 66,312 Schouw & Co. 1,062 59,281 SimCorp A.S. 500 19,197 Solar A.S. Class B 193 13,349 Spar Nord Bank A.S. 5,069 57,067 * Sydbank A.S. 1,413 37,687 TDC A.S. 16,219 152,311 * Topdanmark A.S. 4,158 121,662 Tryg A.S. 393 37,325 United International Enterprises 46 9,196 INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- DENMARK -- (Continued) * Vestas Wind Systems A.S. 8,437 $ 374,696 * William Demant Holding A.S. 401 35,934 ---------- TOTAL DENMARK 4,608,341 ---------- FINLAND -- (1.5%) Afarak Group Oyj 1,697 892 # Ahlstrom Oyj 715 7,619 Alma Media Oyj 1,118 4,097 Amer Sports Oyj 1,181 24,418 Atria P.L.C. 677 6,684 # Cargotec Oyj 1,156 51,676 Caverion Corp. 2,419 26,875 Citycon Oyj 9,008 33,800 Cramo Oyj 704 15,730 Elisa Oyj 1,698 50,745 F-Secure Oyj 5,286 17,841 * Finnair Oyj 1,807 7,540 Fiskars Oyj Abp 2,051 55,650 # Fortum Oyj 9,118 205,995 HKScan Oyj Class A 1,428 7,576 Huhtamaki Oyj 4,004 105,282 Kemira Oyj 3,102 47,417 Kesko Oyj Class A 693 27,682 Kesko Oyj Class B 3,519 144,042 # Kone Oyj Class B 4,874 208,926 Konecranes Oyj 954 30,792 Lassila & Tikanoja Oyj 1,026 19,978 * Lemminkainen Oyj 61 1,182 Metsa Board Oyj 7,992 37,411 # Metso Oyj 4,261 171,504 Munksjo Oyj 394 3,187 # Neste Oil Oyj 6,781 139,456 #* Nokia Oyj 79,646 596,355 * Nokia Oyj Sponsored ADR 49,629 372,217 # Nokian Renkaat Oyj 2,713 107,961 Olvi Oyj Class A 412 13,893 * Oriola-KD Oyj Class B 6,448 21,377 Orion Oyj Class A 822 25,208 Orion Oyj Class B 2,473 75,483 * Outokumpu Oyj 159,120 48,685 # Outotec Oyj 1,688 18,918 PKC Group Oyj 1,042 34,565 * Poyry Oyj 706 3,905 Raisio P.L.C. Class V 7,663 50,122 Ramirent Oyj 4,086 45,800 * Rautaruukki Oyj 4,022 50,107 Sampo Class A 11,195 556,387 Sanoma Oyj 2,591 17,447 # Stockmann Oyj Abp 889 12,626 Stora Enso Oyj Class R 33,930 346,480 Technopolis Oyj 3,759 22,883 Tieto Oyj 1,835 50,215 INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- FINLAND -- (Continued) Tikkurila Oyj 348 $ 8,637 UPM-Kymmene Oyj 27,754 486,078 Vacon P.L.C. 592 24,562 Vaisala Oyj Class A 69 2,246 Valmet Corp. 4,261 49,787 Wartsila Oyj Abp 4,272 238,484 # YIT Oyj 2,419 24,882 ---------- TOTAL FINLAND 4,759,307 ---------- FRANCE -- (8.2%) # Accor SA 2,462 120,538 Aeroports de Paris 389 48,374 #* Air France-KLM 4,416 63,529 Air Liquide SA 3,749 536,403 Airbus Group NV 7,264 499,328 Albioma 1,202 33,564 * Alcatel-Lucent 28,475 112,924 Alstom SA 4,455 184,098 Alten SA 1,030 52,625 Altran Technologies SA 7,167 78,137 April 564 13,482 Arkema SA 1,984 221,597 AtoS 3,520 304,100 AXA SA 23,821 621,633 AXA SA Sponsored ADR 2,900 72,790 Axway Software SA 228 7,862 * Beneteau SA 1,571 27,215 BioMerieux 95 10,377 BNP Paribas SA 19,968 1,500,484 Bollore SA 89 56,725 Bonduelle SCA 536 15,546 Bongrain SA 214 18,712 Bourbon SA 1,288 42,502 # Bouygues SA 5,351 241,014 * Bull 5,424 28,786 Bureau Veritas SA 2,468 75,631 Cap Gemini SA 2,951 208,499 # Carrefour SA 10,114 394,254 Casino Guichard Perrachon SA 1,610 205,151 * CGG SA Sponsored ADR 5,600 96,320 Christian Dior SA 567 116,664 Cie de St-Gobain 8,707 533,438 Cie Generale des Etablissements Michelin 5,749 705,004 * Club Mediterranee SA 780 20,336 CNP Assurances 5,684 131,127 * Credit Agricole SA 29,541 466,111 Danone SA 3,841 283,616 Dassault Systemes 148 18,213 Dassault Systemes ADR 500 61,400 Derichebourg SA 4,522 17,629 Edenred 5,909 199,717 Eiffage SA 479 36,209 INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- FRANCE -- (Continued) Electricite de France SA 2,758 $105,910 Essilor International SA 1,774 189,973 Esso SA Francaise 72 3,945 Etablissements Maurel et Prom 1,547 27,602 Eurofins Scientific SE 301 83,587 Eutelsat Communications SA 6,051 208,146 Faiveley Transport SA 99 8,155 * Faurecia 2,131 95,922 Fimalac 138 11,756 # GDF Suez 35,311 889,958 GL Events 729 18,362 Groupe Eurotunnel SA 15,552 208,783 * Groupe Fnac 574 27,453 Groupe Steria SCA 1,736 48,897 * Haulotte Group SA 105 2,006 Havas SA 7,168 57,052 Iliad SA 492 132,637 Imerys SA 1,055 92,647 Ingenico 1,054 91,973 Interparfums SA 388 17,745 IPSOS 1,498 58,183 Jacquet Metal Service 1,384 29,670 JCDecaux SA 1,564 64,202 Kering 1,393 308,092 Korian-Medica 2,058 77,249 # L'Oreal SA 2,948 508,073 Lafarge SA 5,159 472,043 Lagardere SCA 7,852 329,081 Legrand SA 5,313 343,305 LISI 210 34,060 LVMH Moet Hennessy Louis Vuitton SA 2,784 548,432 Maisons France Confort 226 11,040 Manitou BF SA 582 11,011 Mersen 738 23,631 Metropole Television SA 533 11,423 Montupet 381 31,536 Natixis 34,914 247,842 Naturex 308 27,034 # Neopost SA 1,054 86,547 Nexans SA 1,179 66,380 Nexity SA 965 43,288 Norbert Dentressangle SA 198 33,944 * NRJ Group 2,272 28,079 Orange SA 39,086 633,243 Orange SA Sponsored ADR 5,900 94,990 #* Orco Property Group 739 638 Orpea 614 44,665 Pernod Ricard SA 2,534 304,101 #* Peugeot SA 12,623 223,338 * Pierre & Vacances SA 107 4,511 Plastic Omnium SA 1,422 48,384 Publicis Groupe SA 1,353 115,748 INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE++ ------ ----------- FRANCE -- (Continued) Rallye SA 845 $ 42,979 Remy Cointreau SA 428 37,621 Renault SA 11,532 1,127,482 Rexel SA 7,445 187,963 Rubis SCA 1,362 96,979 Safran SA 4,300 289,399 Saft Groupe SA 1,628 57,897 Samse SA 4 514 Sanofi 3,913 422,290 Sanofi ADR 10,456 562,533 Schneider Electric SA(B11BPS1) 278 26,152 Schneider Electric SA(4834108) 7,790 731,255 SCOR SE 8,577 313,856 SEB SA 721 66,506 * Sequana SA 493 3,638 # SES SA 4,686 176,551 Societe BIC SA 830 110,119 Societe d'Edition de Canal + 1,800 15,840 Societe Generale SA 12,658 788,305 # Societe Television Francaise 1 2,666 45,397 Sodexo 1,454 156,763 #* SOITEC 13,229 39,963 #* Solocal Group 2,821 6,441 Sopra Group SA 228 26,247 Stef SA 27 2,135 # STMicroelectronics NV(861012102) 8,829 83,787 STMicroelectronics NV(5962332) 16,086 153,399 Suez Environnement Co. 11,792 231,707 * Technicolor SA 5,886 44,008 Technip SA 1,708 192,250 Teleperformance 2,378 136,384 Thales SA 2,607 166,001 * Theolia SA 478 808 Total Gabon 24 14,623 Total SA 24,688 1,766,282 Total SA Sponsored ADR 8,500 605,540 * Trigano SA 1,235 34,216 * UBISOFT Entertainment 5,735 107,025 Valeo SA 1,860 255,432 Vallourec SA 2,431 143,661 * Valneva SE 115 973 # Veolia Environnement SA 15,396 287,226 Veolia Environnement SA ADR 1,059 19,888 Vicat 356 30,895 VIEL & Cie SA 300 989 # Vilmorin & Cie SA 141 18,586 Vinci SA 6,928 523,108 Virbac SA 123 29,489 Vivendi SA 23,608 634,260 Zodiac Aerospace 3,690 122,684 ----------- TOTAL FRANCE 26,605,982 ----------- INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- GERMANY -- (6.1%) * Aareal Bank AG 1,754 $ 79,727 Adidas AG 3,639 389,015 * ADVA Optical Networking SE 1,788 8,022 #* Air Berlin P.L.C. 3,958 9,532 * Aixtron SE 1,469 23,389 # Allianz SE 3,915 681,327 Allianz SE ADR 10,000 174,500 Aurubis AG 1,354 72,337 Axel Springer SE 1,375 83,960 # BASF SE 13,909 1,613,523 Bauer AG 98 2,546 # Bayer AG 1,481 205,921 Bayerische Motoren Werke AG 4,617 580,380 BayWa AG 329 18,663 Bechtle AG 976 86,852 Beiersdorf AG 2,224 223,255 Bertrandt AG 185 28,025 Bijou Brigitte AG 249 24,242 Bilfinger SE 773 92,161 # Biotest AG 111 13,695 Brenntag AG 2,106 381,503 # CANCOM SE 527 23,237 Carl Zeiss Meditec AG 1,463 44,543 Celesio AG 3,368 117,053 Cewe Stiftung & Co. KGAA 374 29,468 Comdirect Bank AG 2,270 26,168 * Commerzbank AG 27,835 496,322 CompuGroup Medical AG 444 11,843 * Constantin Medien AG 3,713 7,671 # Continental AG 1,857 436,961 CropEnergies AG 1,674 10,981 CTS Eventim AG 508 32,359 Daimler AG 12,254 1,140,837 # Delticom AG 86 4,095 Deutsche Bank AG(D18190898) 5,494 241,901 Deutsche Bank AG(5750355) 12,619 555,810 Deutsche Boerse AG 2,235 163,899 # Deutsche Lufthansa AG 4,149 104,193 Deutsche Post AG 17,877 674,552 Deutsche Telekom AG 36,085 606,266 Deutsche Telekom AG Sponsored ADR 6,800 113,900 # Deutsche Wohnen AG(B0YZ0Z5) 7,216 154,909 * Deutsche Wohnen AG(BFLR888) 3,103 65,012 * Deutz AG 1,775 14,842 * Dialog Semiconductor P.L.C. 1,751 44,357 DMG MORI SEIKI AG 3,892 122,642 Drillisch AG 2,194 81,920 # Duerr AG 916 72,479 # E.ON SE 14,791 283,319 Elmos Semiconductor AG 1,078 21,717 ElringKlinger AG 1,056 42,634 * Evotec AG 3,738 18,693 INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- GERMANY -- (Continued) Fielmann AG 439 $ 59,391 Fraport AG Frankfurt Airport Services Worldwide 1,100 81,353 Freenet AG 2,915 100,955 Fresenius Medical Care AG & Co. KGaA 4,404 303,425 Fresenius Medical Care AG & Co. KGaA ADR 1,600 54,960 Fresenius SE & Co. KGaA 3,361 511,385 # Fuchs Petrolub SE 617 56,884 * GAGFAH SA 3,299 52,177 GEA Group AG 5,946 266,312 # Gerresheimer AG 1,019 69,177 Gerry Weber International AG 609 32,165 Gesco AG 211 21,960 GFK SE 415 21,420 Grammer AG 916 50,622 Grenkeleasing AG 342 35,832 * H&R AG 95 943 # Hannover Rueck SE 1,995 185,898 # HeidelbergCement AG 4,092 355,546 #* Heidelberger Druckmaschinen AG 5,179 16,426 Henkel AG & Co. KGaA 1,662 170,884 # Hochtief AG 1,313 122,418 Hugo Boss AG 576 80,022 Indus Holding AG 1,216 57,069 Infineon Technologies AG 16,294 189,455 Infineon Technologies AG ADR 7,164 83,246 Jenoptik AG 3,400 56,753 # K+S AG 5,545 194,297 * Kloeckner & Co. SE 4,240 64,262 Kontron AG 4,419 30,851 Krones AG 310 29,678 # KUKA AG 785 40,246 KWS Saat AG 54 19,300 Lanxess AG 2,284 173,930 # Leoni AG 1,292 96,305 Linde AG 2,866 595,225 LPKF Laser & Electronics AG 1,858 41,789 MAN SE 957 122,717 Merck KGaA 1,135 191,865 * Metro AG 4,985 199,718 MLP AG 696 4,734 * Morphosys AG 887 76,082 MTU Aero Engines AG 936 88,252 # Muenchener Rueckversicherungs AG 2,764 638,923 MVV Energie AG 114 3,642 * Nordex SE 320 5,123 Norma Group SE 717 37,628 * Osram Licht AG 2,158 113,309 * Patrizia Immobilien AG 3,605 42,629 Pfeiffer Vacuum Technology AG 214 25,455 # PNE Wind AG 5,346 20,575 # Puma SE 191 56,426 QSC AG 4,612 23,733 INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE++ ------- ----------- GERMANY -- (Continued) R Stahl AG 392 $ 23,272 # Rational AG 48 15,331 # Rheinmetall AG 937 62,423 Rhoen Klinikum AG 3,216 103,842 RWE AG 14,738 562,418 SAF-Holland SA 1,934 28,937 SAP AG 5,981 483,426 # SAP AG Sponsored ADR 3,560 288,324 # SGL Carbon SE 966 32,169 Siemens AG 1,333 175,850 Siemens AG Sponsored ADR 2,787 367,410 Sixt SE 337 13,627 * Sky Deutschland AG 8,996 77,204 SMA Solar Technology AG 500 20,937 Software AG 2,021 76,123 Stada Arzneimittel AG 2,098 91,484 * Stroeer Media AG 1,675 28,861 #* Suss Microtec AG 1,680 16,326 Symrise AG 2,631 132,909 TAG Immobilien AG 2,061 26,203 # Takkt AG 314 6,369 * Talanx AG 1,202 45,995 Telefonica Deutschland Holding AG 12,587 104,717 * ThyssenKrupp AG 7,785 222,201 Tipp24 SE 389 28,067 # TUI AG 4,115 68,520 Volkswagen AG 344 92,243 Vossloh AG 284 28,070 VTG AG 506 11,186 # Wacker Chemie AG 681 80,052 Wacker Neuson SE 1,285 24,428 Wincor Nixdorf AG 165 10,809 ----------- TOTAL GERMANY 19,880,263 ----------- GREECE -- (0.0%) * Bank of Cyprus PCL 19,568 3 ----------- HONG KONG -- (1.9%) # AAC Technologies Holdings, Inc. 12,500 69,992 AIA Group, Ltd. 148,400 721,757 Allied Properties HK, Ltd. 48,000 8,438 APT Satellite Holdings, Ltd. 19,500 24,477 Asia Satellite Telecommunications Holdings, Ltd. 3,000 11,984 ASM Pacific Technology, Ltd. 1,000 11,112 Associated International Hotels, Ltd. 4,000 11,112 Bank of East Asia, Ltd. 18,800 77,660 BOC Hong Kong Holdings, Ltd. 46,500 137,641 * Brightoil Petroleum Holdings, Ltd. 83,000 25,780 Cathay Pacific Airways, Ltd. 35,000 66,237 Cheung Kong Holdings, Ltd. 17,000 289,875 Cheung Kong Infrastructure Holdings, Ltd. 9,000 58,757 Chow Sang Sang Holdings International, Ltd. 11,000 27,078 INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- HONG KONG -- (Continued) # Chow Tai Fook Jewellery Group, Ltd. 14,200 $ 20,051 CK Life Sciences International Holdings, Inc. 286,000 28,817 CLP Holdings, Ltd. 23,500 187,869 Dickson Concepts International, Ltd. 6,500 3,921 Esprit Holdings, Ltd. 12,900 21,544 Far East Consortium International, Ltd. 32,000 11,620 * G-Resources Group, Ltd. 488,400 13,467 * Galaxy Entertainment Group, Ltd. 19,000 150,112 * Genting Hong Kong, Ltd. 96,000 38,174 # Giordano International, Ltd. 14,000 9,398 Glorious Sun Enterprises, Ltd. 14,000 3,072 Hang Lung Group, Ltd. 10,000 54,308 Hang Lung Properties, Ltd. 27,000 80,881 Hang Seng Bank, Ltd. 7,800 127,545 Harbour Centre Development, Ltd. 2,000 3,497 Henderson Land Development Co., Ltd. 35,726 214,475 HKR International, Ltd. 48,800 20,024 Hong Kong & China Gas Co., Ltd. 13,310 30,712 Hong Kong Aircraft Engineering Co., Ltd. 800 9,305 Hong Kong Exchanges and Clearing, Ltd. 8,800 158,253 Hongkong & Shanghai Hotels (The) 6,500 9,506 Hongkong Chinese, Ltd. 58,000 14,090 Hopewell Holdings, Ltd. 15,500 53,355 Hutchison Whampoa, Ltd. 26,000 356,707 Hysan Development Co., Ltd. 18,000 77,665 K Wah International Holdings, Ltd. 35,000 23,377 * Kerry Logistics Network, Ltd. 14,500 21,336 Kerry Properties, Ltd. 29,000 95,872 Kingston Financial Group, Ltd. 96,000 10,414 Kowloon Development Co., Ltd. 7,000 8,562 # L'Occitane International SA 4,250 10,460 Li & Fung, Ltd. 93,360 135,893 Luk Fook Holdings International, Ltd. 14,000 39,752 Man Wah Holdings, Ltd. 17,600 28,905 Melco Crown Entertainment, Ltd. ADR 1,296 44,297 MGM China Holdings, Ltd. 14,400 50,223 # Midland Holdings, Ltd. 18,000 7,565 MTR Corp., Ltd. 10,051 38,111 NagaCorp, Ltd. 34,000 31,025 New World Development Co., Ltd. 55,914 57,921 # Newocean Energy Holdings, Ltd. 50,000 33,085 NWS Holdings, Ltd. 34,185 58,273 Orient Overseas International, Ltd. 4,000 19,135 Pacific Basin Shipping, Ltd. 62,000 36,421 Pacific Textiles Holdings, Ltd. 20,000 25,396 PCCW, Ltd. 101,000 53,853 Power Assets Holdings, Ltd. 17,000 146,954 Prada SpA 5,200 41,704 Public Financial Holdings, Ltd. 6,000 2,845 # SA SA International Holdings, Ltd. 38,000 31,880 Samsonite International SA 20,400 64,951 Sands China, Ltd. 16,000 117,468 INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- HONG KONG -- (Continued) Shangri-La Asia, Ltd. 46,000 $ 75,480 Shun Tak Holdings, Ltd. 11,000 5,404 Singamas Container Holdings, Ltd. 96,000 20,826 Sino Land Co., Ltd. 104,824 157,182 Stella International Holdings, Ltd. 5,000 12,326 Sun Hung Kai & Co., Ltd. 9,000 6,287 Sun Hung Kai Properties, Ltd. 26,207 331,528 Swire Pacific, Ltd. Class A 25,500 294,348 Swire Pacific, Ltd. Class B 22,500 49,957 Swire Properties, Ltd. 17,000 51,416 Techtronic Industries Co. 32,000 102,244 Television Broadcasts, Ltd. 2,000 12,507 Texwinca Holdings, Ltd. 14,000 15,097 Transport International Holdings, Ltd. 12,000 22,153 Trinity, Ltd. 12,000 3,087 * United Laboratories International Holdings, Ltd. (The) 34,000 22,007 Victory City International Holdings, Ltd. 41,042 5,982 Vitasoy International Holdings, Ltd. 20,000 27,342 VST Holdings, Ltd. 74,400 18,966 VTech Holdings, Ltd. 3,400 47,090 Wharf Holdings, Ltd. 22,000 154,869 Wheelock & Co., Ltd. 15,000 62,108 Wynn Macau, Ltd. 4,800 18,965 Xinyi Glass Holdings, Ltd. 66,000 52,076 * Xinyi Solar Holdings, Ltd. 34,000 9,221 Yue Yuen Industrial Holdings, Ltd. 16,500 51,011 ---------- TOTAL HONG KONG 6,105,425 ---------- IRELAND -- (0.3%) * Anglo Irish Bank Corp. P.L.C. 5,570 -- * Bank of Ireland 87,494 34,162 * Bank of Ireland Sponsored ADR 30 517 C&C Group P.L.C.(B011Y09) 4,812 28,630 C&C Group P.L.C.(B010DT8) 1,711 10,178 CRH P.L.C. 6,940 202,048 CRH P.L.C. Sponsored ADR 6,545 191,638 Dragon Oil P.L.C. 7,016 74,648 FBD Holdings P.L.C. 1,875 45,240 Glanbia P.L.C. 4,032 60,216 Irish Continental Group P.L.C. 651 26,118 * Kenmare Resources P.L.C. 953 196 Kerry Group P.L.C. Class A 716 56,509 Kingspan Group P.L.C. 717 13,512 Paddy Power P.L.C. 456 35,183 Smurfit Kappa Group P.L.C. 7,298 162,583 ---------- TOTAL IRELAND 941,378 ---------- ISRAEL -- (0.4%) * Airport City, Ltd. 1,828 18,684 Azrieli Group 1,491 50,472 * Bank Leumi Le-Israel BM 29,401 115,039 # Bezeq The Israeli Telecommunication Corp., Ltd. 36,045 65,322 INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- ISRAEL -- (Continued) * Ceragon Networks, Ltd. 1,170 $ 3,110 Clal Insurance Enterprises Holdings, Ltd. 670 13,095 * Compugen, Ltd. 1,357 12,485 Delek Group, Ltd. 148 59,983 Elbit Systems, Ltd. 533 31,463 * EZchip Semiconductor, Ltd.(M4146Y108) 400 9,580 * EZchip Semiconductor, Ltd.(6554998) 325 7,790 First International Bank Of Israel, Ltd. 1,094 17,645 Frutarom Industries, Ltd. 1,280 30,737 Harel Insurance Investments & Financial Services, Ltd. 3,840 21,920 Israel Chemicals, Ltd. 7,094 62,961 * Israel Discount Bank, Ltd. Class A 2,038 3,644 * Jerusalem Oil Exploration 604 26,018 Melisron, Ltd. 907 24,177 Menorah Mivtachim Holdings, Ltd. 1,148 13,790 Migdal Insurance & Financial Holding, Ltd. 24,040 39,378 Mizrahi Tefahot Bank, Ltd. 6,258 83,656 * Nitsba Holdings 1995, Ltd. 720 11,046 * Oil Refineries, Ltd. 40,604 11,317 Osem Investments, Ltd. 1,359 32,274 * Partner Communications Co., Ltd. 1,994 17,855 Paz Oil Co., Ltd. 272 42,500 Strauss Group, Ltd. 1,238 22,407 Teva Pharmaceutical Industries, Ltd. Sponsored ADR 6,848 334,593 ---------- TOTAL ISRAEL 1,182,941 ---------- ITALY -- (2.4%) A2A SpA 64,368 78,767 ACEA SpA 2,982 42,793 Alerion Cleanpower SpA 2,085 10,737 Amplifon SpA 7,609 49,690 Ansaldo STS SpA 3,594 39,959 * Arnoldo Mondadori Editore SpA 3,462 6,406 Assicurazioni Generali SpA 17,851 417,379 Astaldi SpA 2,155 23,354 Atlantia SpA 7,057 183,822 * Autogrill SpA 1,407 13,506 Azimut Holding SpA 3,472 108,388 Banca Generali SpA 1,608 50,615 #* Banca Monte dei Paschi di Siena SpA 163,052 54,495 * Banca Popolare dell'Emilia Romagna SC 18,076 208,357 #* Banca Popolare dell'Etruria e del Lazio 1,087 1,264 #* Banca Popolare di Milano SCRL 36,030 36,437 # Banca Popolare di Sondrio SCRL 7,370 52,930 * Banco Popolare SC 425 8,789 * BasicNet SpA 3,053 10,176 Brembo SpA 1,177 43,501 Brunello Cucinelli SpA 716 20,606 Cementir Holding SpA 3,817 36,367 * CIR-Compagnie Industriali Riunite SpA 12,797 19,732 CNH Industrial NV 5,316 62,097 Credito Emiliano SpA 4,203 43,086 INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- ITALY -- (Continued) #* Credito Valtellinese SCRL 22,705 $ 54,205 Danieli & C Officine Meccaniche SpA 917 32,934 De'Longhi SpA 4,371 95,004 # DiaSorin SpA 691 28,512 Ei Towers SpA 518 29,471 Enel SpA 106,427 602,795 Engineering SpA 345 24,043 Eni SpA 28,011 725,466 Eni SpA Sponsored ADR 600 30,984 ERG SpA 3,337 57,632 Esprinet SpA 1,834 20,051 * Falck Renewables SpA 2,083 3,976 * Fiat SpA 24,768 299,017 * Finmeccanica SpA 13,194 122,103 # Geox SpA 707 3,077 * Gruppo Editoriale L'Espresso SpA 2,471 5,705 Gtech Spa 1,126 33,051 Hera SpA 24,963 73,562 * IMMSI SpA 13,995 14,941 Industria Macchine Automatiche SpA 607 29,849 * Intek Group SpA 9,436 6,110 Interpump Group SpA 2,221 31,489 Intesa Sanpaolo SpA 140,170 479,666 Iren SpA 22,837 38,805 Italcementi SpA 3,075 37,359 * Italmobiliare SpA 371 16,868 Luxottica Group SpA 808 46,344 MARR SpA 1,526 29,555 * Mediaset SpA 9,368 51,844 # Piaggio & C SpA 7,738 32,016 Pirelli & C. SpA 6,919 116,489 #* Prelios SpA 30,744 27,269 Prysmian SpA 2,655 69,149 # Recordati SpA 4,103 71,824 Reply SpA 258 23,313 * Safilo Group SpA 1,166 26,628 Saipem SpA 3,018 80,952 # Salini Impregilo SpA 5,019 32,062 #* Saras SpA 7,534 13,072 Snam SpA 28,605 172,057 Societa Cattolica di Assicurazioni SCRL 1,446 35,765 Societa Iniziative Autostradali e Servizi SpA 3,086 36,697 * Sogefi SpA 5,901 37,505 * Sorin SpA 5,946 18,149 * Telecom Italia SpA 324,233 416,649 Telecom Italia SpA Sponsored ADR 6,420 82,433 Tenaris SA 1,995 44,101 Tenaris SA ADR 2,200 96,910 Terna Rete Elettrica Nazionale SpA 60,262 326,481 # Tod's SpA 420 58,856 Trevi Finanziaria Industriale SpA 2,693 31,058 UniCredit SpA 110,261 987,899 INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- ITALY -- (Continued) Unione di Banche Italiane SCPA 20,204 $ 192,857 Unipol Gruppo Finanziario SpA 13,846 100,297 * UnipolSai SpA 1,721 6,333 Vittoria Assicurazioni SpA 2,148 31,557 * World Duty Free SpA 1,407 18,902 * Yoox SpA 2,170 77,924 ---------- TOTAL ITALY 7,912,875 ---------- JAPAN -- (17.0%) 77 Bank, Ltd. (The) 5,000 22,573 # Accordia Golf Co., Ltd. 3,700 47,464 ADEKA Corp. 4,200 46,146 Advan Co., Ltd. 500 5,307 # Advantest Corp. 6,700 73,859 Advantest Corp. ADR 500 5,510 # Aeon Co., Ltd. 22,900 264,486 Ai Holdings Corp. 2,100 33,502 Aica Kogyo Co., Ltd. 2,900 60,646 Aichi Bank, Ltd. (The) 300 14,635 Aichi Steel Corp. 9,000 33,191 Aida Engineering, Ltd. 4,900 46,774 Ain Pharmaciez, Inc. 600 26,385 Air Water, Inc. 4,000 56,125 Aisin Seiki Co., Ltd. 3,900 137,824 Ajinomoto Co., Inc. 6,000 88,307 # Akebono Brake Industry Co., Ltd. 3,100 15,769 Akita Bank, Ltd. (The) 7,000 19,468 Alfresa Holdings Corp. 1,300 80,934 Alpen Co., Ltd. 1,500 27,636 Alpine Electronics, Inc. 2,300 27,422 Alps Electric Co., Ltd. 7,000 79,152 Amada Co., Ltd. 18,000 130,180 Amano Corp. 3,100 29,849 ANA Holdings, Inc. 19,000 41,491 Anritsu Corp. 2,000 22,397 AOKI Holdings, Inc. 1,600 21,800 Aomori Bank, Ltd. (The) 6,000 16,502 Aoyama Trading Co., Ltd. 1,600 39,704 # Aozora Bank, Ltd. 25,000 74,370 Arakawa Chemical Industries, Ltd. 300 2,527 Arcland Sakamoto Co., Ltd. 900 17,820 Arcs Co., Ltd. 2,023 40,586 As One Corp. 1,100 28,900 Asahi Diamond Industrial Co., Ltd. 3,400 46,013 # Asahi Glass Co., Ltd. 43,000 243,783 # Asahi Group Holdings, Ltd. 5,500 151,980 Asahi Holdings, Inc. 1,500 23,688 # Asahi Intecc Co., Ltd. 400 14,640 Asahi Kasei Corp. 44,000 299,147 Asatsu-DK, Inc. 1,500 33,932 Asics Corp. 4,300 83,692 # ASKUL Corp. 800 19,963 INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- JAPAN -- (Continued) Astellas Pharma, Inc. 27,000 $301,036 Autobacs Seven Co., Ltd. 1,200 18,565 Avex Group Holdings, Inc. 2,300 42,600 Axial Retailing, Inc. 400 6,195 Azbil Corp. 3,500 79,424 Bando Chemical Industries, Ltd. 3,000 11,543 Bank of Iwate, Ltd. (The) 900 39,970 Bank of Kyoto, Ltd. (The) 18,000 146,665 Bank of Okinawa, Ltd. (The) 900 37,735 Bank of Saga, Ltd. (The) 8,000 16,692 Bank of the Ryukyus, Ltd. 1,800 23,827 Bank of Yokohama, Ltd. (The) 16,000 80,418 Benesse Holdings, Inc. 1,200 45,658 # Bic Camera, Inc. 6,000 43,763 Bridgestone Corp. 9,000 322,249 Brother Industries, Ltd. 7,800 109,102 Bunka Shutter Co., Ltd. 6,000 35,018 C Uyemura & Co., Ltd. 400 18,507 Calbee, Inc. 2,400 58,857 Calsonic Kansei Corp. 8,000 39,409 Canon Electronics, Inc. 1,800 30,423 # Canon Marketing Japan, Inc. 3,600 57,980 Canon, Inc. 6,300 197,410 Canon, Inc. Sponsored ADR 8,300 259,624 Casio Computer Co., Ltd. 9,200 104,983 Cawachi, Ltd. 500 9,116 Central Glass Co., Ltd. 7,000 22,955 Central Japan Railway Co. 300 36,848 Century Tokyo Leasing Corp. 2,300 66,561 Chiba Bank, Ltd. (The) 10,000 63,564 * Chiba Kogyo Bank, Ltd. (The) 3,300 21,438 Chiyoda Co., Ltd. 1,200 28,491 * Chubu Electric Power Co., Inc. 6,400 72,900 Chubu Shiryo Co., Ltd. 1,000 5,790 # Chugai Pharmaceutical Co., Ltd. 3,000 75,717 Chugoku Bank, Ltd. (The) 2,900 38,443 # Chugoku Electric Power Co., Inc. (The) 5,700 74,687 Chugoku Marine Paints, Ltd. 2,000 12,758 Chukyo Bank, Ltd. (The) 8,000 13,620 Chuo Spring Co., Ltd. 1,000 3,023 Citizen Holdings Co., Ltd. 9,500 69,767 CKD Corp. 5,100 46,459 Cleanup Corp. 600 5,467 * CMK Corp. 2,600 6,473 Coca-Cola East Japan Co., Ltd. 500 11,268 # Coca-Cola West Co., Ltd. 3,800 66,136 Cocokara fine, Inc. 400 11,341 Colowide Co., Ltd. 1,500 15,050 COMSYS Holdings Corp. 1,600 26,230 Cosmo Oil Co., Ltd. 35,000 65,475 # Dai Nippon Printing Co., Ltd. 22,000 198,162 Dai-ichi Life Insurance Co., Ltd. (The) 15,000 207,851 INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- JAPAN -- (Continued) Daibiru Corp. 1,100 $ 10,977 Daicel Corp. 10,000 83,748 Daido Metal Co., Ltd. 3,000 31,880 Daido Steel Co., Ltd. 17,000 83,119 Daidoh, Ltd. 500 3,052 #* Daiei, Inc. (The) 11,300 31,721 Daifuku Co., Ltd. 1,500 17,294 # Daihatsu Motor Co., Ltd. 3,500 57,974 Daihen Corp. 2,000 7,580 Daiichi Sankyo Co., Ltd. 10,200 171,098 Daiichikosho Co., Ltd. 1,100 31,697 Daikin Industries, Ltd. 3,200 185,101 Daikyo, Inc. 12,000 23,396 Dainichiseika Color & Chemicals Manufacturing Co., Ltd. 4,000 16,905 # Dainippon Screen Manufacturing Co., Ltd. 10,000 43,616 Dainippon Sumitomo Pharma Co., Ltd. 4,900 74,313 # Daio Paper Corp. 4,000 41,965 Daisan Bank, Ltd. (The) 2,000 3,349 Daiseki Co., Ltd. 1,100 17,526 Daito Trust Construction Co., Ltd. 900 91,585 Daiwa House Industry Co., Ltd. 10,000 168,957 Daiwa Securities Group, Inc. 19,000 142,470 Daiwabo Holdings Co., Ltd. 8,000 13,775 DCM Holdings Co., Ltd. 5,800 39,239 Dena Co., Ltd. 1,700 28,731 Denki Kagaku Kogyo K.K. 20,000 66,331 Denso Corp. 7,500 341,646 Dentsu, Inc. 4,500 184,557 Descente, Ltd. 2,000 15,159 DIC Corp. 32,000 84,923 Disco Corp. 800 48,616 DMG Mori Seiki Co., Ltd. 1,900 23,703 # Don Quijote Holdings Co., Ltd. 500 26,371 Doshisha Co., Ltd. 2,000 29,987 Doutor Nichires Holdings Co., Ltd. 1,900 34,054 Dowa Holdings Co., Ltd. 10,000 83,838 DTS Corp. 1,600 26,532 Dwango Co., Ltd. 900 25,107 Eagle Industry Co., Ltd. 1,900 30,073 Earth Chemical Co., Ltd. 900 32,196 East Japan Railway Co. 2,600 189,710 Ebara Corp. 18,000 107,067 # EDION Corp. 1,300 7,576 Ehime Bank, Ltd. (The) 8,000 17,528 Eighteenth Bank, Ltd. (The) 3,000 6,701 # Eisai Co., Ltd. 2,300 88,824 Eizo Corp. 1,100 29,824 Electric Power Development Co., Ltd. 1,700 45,081 Enplas Corp. 300 17,237 Exedy Corp. 1,300 34,781 Ezaki Glico Co., Ltd. 1,000 13,170 # F@N Communications, Inc. 1,600 26,919 INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- JAPAN -- (Continued) FALCO SD HOLDINGS Co., Ltd. 200 $ 2,264 FamilyMart Co., Ltd. 1,200 49,830 # Fancl Corp. 1,500 16,635 FANUC Corp. 2,800 505,221 Fast Retailing Co., Ltd. 600 186,443 FCC Co., Ltd. 2,100 35,897 # FIDEA Holdings Co., Ltd. 5,200 9,722 Foster Electric Co., Ltd. 1,900 23,014 # FP Corp. 1,000 31,101 Fuji Co., Ltd. 1,000 18,928 Fuji Corp., Ltd. 1,100 6,454 Fuji Electric Co., Ltd. 22,000 99,842 Fuji Heavy Industries, Ltd. 9,000 236,652 Fuji Kyuko Co., Ltd. 2,000 20,019 Fuji Media Holdings, Inc. 2,800 47,173 Fuji Oil Co., Ltd. 3,300 44,586 Fuji Seal International, Inc. 1,300 42,297 Fuji Soft, Inc. 600 12,551 FUJIFILM Holdings Corp. 6,700 173,075 Fujikura, Ltd. 18,000 77,507 Fujimori Kogyo Co., Ltd. 1,000 28,074 Fujitec Co., Ltd. 6,000 69,182 Fujitsu General, Ltd. 3,000 34,620 Fujitsu, Ltd. 47,000 276,371 FuKoKu Co., Ltd. 200 1,819 Fukui Bank, Ltd. (The) 7,000 16,616 Fukuoka Financial Group, Inc. 21,000 85,764 Furukawa Co., Ltd. 17,000 30,836 Furukawa Electric Co., Ltd. 11,000 24,766 Futaba Industrial Co., Ltd. 500 2,240 Fuyo General Lease Co., Ltd. 400 13,764 Geo Holdings Corp. 900 8,246 Glory, Ltd. 1,500 38,807 GMO internet, Inc. 2,500 22,087 Godo Steel, Ltd. 8,000 11,265 Goldcrest Co., Ltd. 1,060 22,190 # GS Yuasa Corp. 11,000 62,244 # GungHo Online Entertainment, Inc. 2,700 15,359 Gunma Bank, Ltd. (The) 14,000 74,414 Gunze, Ltd. 7,000 19,115 H2O Retailing Corp. 3,000 22,640 Hachijuni Bank, Ltd. (The) 23,000 125,739 Hakuhodo DY Holdings, Inc. 9,500 73,693 Hamamatsu Photonics K.K. 900 40,552 Hankyu Hanshin Holdings, Inc. 13,000 71,247 Hanwa Co., Ltd. 12,000 46,935 Haseko Corp. 6,800 43,063 Hazama Ando Corp. 8,200 36,190 Heiwa Corp. 500 8,320 Heiwa Real Estate Co., Ltd. 2,100 32,968 Heiwado Co., Ltd. 700 9,909 HI-LEX Corp. 1,200 29,672 INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- JAPAN -- (Continued) Hibiya Engineering, Ltd. 600 $ 7,737 Higashi-Nippon Bank, Ltd. (The) 10,000 25,079 Hino Motors, Ltd. 3,500 46,109 Hiroshima Bank, Ltd. (The) 35,000 143,998 # Hisamitsu Pharmaceutical Co., Inc. 1,300 54,408 Hitachi Chemical Co., Ltd. 5,500 80,914 # Hitachi Construction Machinery Co., Ltd. 3,200 59,381 Hitachi High-Technologies Corp. 2,100 48,040 # Hitachi Koki Co., Ltd. 3,900 29,052 Hitachi Kokusai Electric, Inc. 2,000 22,863 # Hitachi Metals, Ltd. 4,110 55,811 Hitachi Transport System, Ltd. 1,100 16,879 Hitachi Zosen Corp. 4,500 22,080 Hitachi, Ltd. 15,000 106,934 Hitachi, Ltd. ADR 3,100 220,689 Hogy Medical Co., Ltd. 300 15,473 #* Hokkaido Electric Power Co., Inc. 8,500 51,999 Hokuetsu Bank, Ltd. (The) 16,000 32,727 # Hokuetsu Kishu Paper Co., Ltd. 4,500 21,402 Hokuhoku Financial Group, Inc. 11,000 21,227 Hokuriku Electric Power Co. 6,200 76,996 Hokuto Corp. 700 14,062 Honda Motor Co., Ltd. 14,100 467,904 Honda Motor Co., Ltd. Sponsored ADR 8,100 269,730 Horiba, Ltd. 1,300 44,936 Hoshizaki Electric Co., Ltd. 1,200 48,556 House Foods Group, Inc. 2,300 38,272 Hoya Corp. 2,600 76,901 Hyakugo Bank, Ltd. (The) 6,000 23,248 Ibiden Co., Ltd. 4,000 72,201 # Ichigo Group Holdings Co., Ltd. 10,500 31,136 Ichiyoshi Securities Co., Ltd. 2,000 23,855 Idemitsu Kosan Co., Ltd. 4,100 90,665 IHI Corp. 20,000 79,745 Iida Group Holdings Co., Ltd. 2,320 34,622 Iino Kaiun Kaisha, Ltd. 6,200 30,498 Imperial Hotel, Ltd. 400 8,665 Inaba Denki Sangyo Co., Ltd. 800 24,568 Inabata & Co., Ltd. 1,200 11,293 Inageya Co., Ltd. 2,000 19,554 Ines Corp. 500 3,285 # Internet Initiative Japan, Inc. 1,300 30,162 Iriso Electronics Co., Ltd. 600 30,200 # Iseki & Co., Ltd. 6,000 15,506 # Isetan Mitsukoshi Holdings, Ltd. 6,840 85,117 # Isuzu Motors, Ltd. 12,000 69,691 Ito En, Ltd. 600 12,828 ITOCHU Corp. 13,400 150,211 Itochu Enex Co., Ltd. 4,500 25,267 # Itochu Techno-Solutions Corp. 1,300 54,326 Itoham Foods, Inc. 9,000 40,790 # Iwatani Corp. 9,000 52,815 INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- JAPAN -- (Continued) Iyo Bank, Ltd. (The) 5,200 $ 46,753 Izumi Co., Ltd. 700 20,484 Izumiya Co., Ltd. 4,000 18,976 J Front Retailing Co., Ltd. 14,000 88,992 J-Oil Mills, Inc. 12,000 32,082 Japan Airport Terminal Co., Ltd. 700 16,152 Japan Aviation Electronics Industry, Ltd. 2,000 34,044 Japan Exchange Group, Inc. 4,100 81,122 Japan Pulp & Paper Co., Ltd. 5,000 17,031 Japan Steel Works, Ltd. (The) 14,000 59,152 Japan Tobacco, Inc. 9,200 302,391 Japan Wool Textile Co., Ltd. (The) 1,000 7,427 JFE Holdings, Inc. 9,700 179,268 JGC Corp. 3,000 97,144 Jimoto Holdings, Inc. 10,800 21,371 Joshin Denki Co., Ltd. 2,000 16,208 Joyo Bank, Ltd. (The) 16,000 77,874 JSR Corp. 2,800 45,883 JTEKT Corp. 6,900 100,674 Juroku Bank, Ltd. (The) 8,000 27,946 #* JVC Kenwood Corp. 3,820 8,075 JX Holdings, Inc. 45,120 234,434 # K's Holdings Corp. 1,419 41,180 Kadokawa Corp. 1,200 39,402 Kagoshima Bank, Ltd. (The) 2,000 12,492 # Kajima Corp. 22,403 85,300 Kakaku.com, Inc. 4,000 57,067 Kaken Pharmaceutical Co., Ltd. 1,000 17,232 Kameda Seika Co., Ltd. 1,100 31,277 Kamei Corp. 2,000 14,727 # Kanamoto Co., Ltd. 2,000 62,828 Kaneka Corp. 12,000 70,384 # Kanematsu Corp. 16,000 24,622 * Kansai Electric Power Co., Inc. (The) 13,300 111,522 # Kansai Paint Co., Ltd. 7,000 97,866 Kao Corp. 5,800 218,355 Katakura Industries Co., Ltd. 1,200 15,428 Kato Sangyo Co., Ltd. 900 18,719 Kato Works Co., Ltd. 5,000 28,838 Kawasaki Heavy Industries, Ltd. 30,000 111,347 Kawasaki Kisen Kaisha, Ltd. 38,000 76,302 KDDI Corp. 8,500 453,319 Keihin Corp. 2,700 39,183 # Keio Corp. 4,000 28,310 Kewpie Corp. 3,500 50,346 Keyence Corp. 600 231,457 Kikkoman Corp. 4,000 81,273 # Kintetsu Corp. 20,000 70,285 Kintetsu World Express, Inc. 800 31,750 # Kirin Holdings Co., Ltd. 15,000 207,750 Kitz Corp. 7,500 35,416 Kiyo Bank, Ltd. (The) 1,000 11,767 INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- JAPAN -- (Continued) Koa Corp. 900 $ 8,650 Kobayashi Pharmaceutical Co., Ltd. 600 36,433 Kobe Steel, Ltd. 100,000 131,266 # Kohnan Shoji Co., Ltd. 1,900 19,234 Koito Manufacturing Co., Ltd. 1,000 21,750 Kokuyo Co., Ltd. 4,400 33,647 Komatsu, Ltd. 11,700 257,590 Konami Corp. 1,500 34,207 Konica Minolta, Inc. 14,000 130,454 Konishi Co., Ltd. 300 5,367 Kose Corp. 1,300 43,208 # Kubota Corp. 8,000 103,108 Kubota Corp. Sponsored ADR 1,000 63,980 Kurabo Industries, Ltd. 13,000 22,144 Kuraray Co., Ltd. 6,300 70,836 Kureha Corp. 10,000 47,289 Kurimoto, Ltd. 8,000 16,688 Kurita Water Industries, Ltd. 4,700 98,982 # Kuroda Electric Co., Ltd. 1,800 28,919 KYB Co., Ltd. 8,000 32,588 Kyocera Corp. 2,400 112,872 Kyocera Corp. Sponsored ADR 2,000 94,280 Kyoei Steel, Ltd. 1,500 26,001 Kyokuto Kaihatsu Kogyo Co., Ltd. 2,700 35,496 # Kyokuto Securities Co., Ltd. 1,500 23,527 Kyokuyo Co., Ltd. 2,000 5,169 KYORIN Holdings, Inc. 2,000 38,550 Kyoritsu Maintenance Co., Ltd. 800 27,323 Kyowa Exeo Corp. 2,000 25,871 Kyowa Hakko Kirin Co., Ltd. 8,000 91,102 * Kyushu Electric Power Co., Inc. 6,600 66,591 Lawson, Inc. 1,000 69,451 LEC, Inc. 400 4,095 # Life Corp. 1,400 21,398 Lintec Corp. 1,100 20,454 Lion Corp. 11,000 60,260 # LIXIL Group Corp. 6,200 164,300 M3, Inc. 4,800 65,849 Macnica, Inc. 1,000 29,651 Maeda Corp. 7,000 52,092 Maeda Road Construction Co., Ltd. 3,000 46,517 Makino Milling Machine Co., Ltd. 7,000 52,114 Makita Corp. 1,200 63,826 Mandom Corp. 1,000 35,119 Mars Engineering Corp. 300 5,603 Marubeni Corp. 24,000 160,378 Marubun Corp. 800 4,416 Marudai Food Co., Ltd. 1,000 2,977 * Maruha Nichiro Corp. 1,300 20,600 Marui Group Co., Ltd. 12,200 108,368 Marusan Securities Co., Ltd. 3,900 27,295 Maruwa Co., Ltd. 700 24,837 INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- JAPAN -- (Continued) Max Co., Ltd. 2,000 $ 21,942 Mazda Motor Corp. 90,000 402,412 McDonald's Holdings Co. Japan, Ltd. 1,100 30,435 Medipal Holdings Corp. 4,500 63,295 * Megachips Corp. 2,600 30,645 Megmilk Snow Brand Co., Ltd. 2,100 27,865 Meidensha Corp. 4,000 16,559 MEIJI Holdings Co., Ltd. 300 18,410 Meitec Corp. 300 7,987 Michinoku Bank, Ltd. (The) 3,000 6,318 Micronics Japan Co., Ltd. 800 22,017 Minato Bank, Ltd. (The) 8,000 13,615 Minebea Co., Ltd. 10,000 81,040 Miraca Holdings, Inc. 600 26,008 Mirait Holdings Corp. 2,600 22,870 MISUMI Group, Inc. 600 14,601 Mitani Corp. 1,000 22,528 Mitsuba Corp. 2,000 29,361 Mitsubishi Chemical Holdings Corp. 44,500 178,090 Mitsubishi Corp. 17,880 320,183 Mitsubishi Electric Corp. 26,000 296,058 Mitsubishi Estate Co., Ltd. 13,000 294,975 Mitsubishi Gas Chemical Co., Inc. 14,369 82,959 Mitsubishi Heavy Industries, Ltd. 40,000 210,598 # Mitsubishi Logistics Corp. 3,000 43,041 Mitsubishi Materials Corp. 44,000 127,624 Mitsubishi Motors Corp. 5,800 62,862 * Mitsubishi Paper Mills, Ltd. 11,000 9,463 Mitsubishi Pencil Co., Ltd. 600 17,832 Mitsubishi Steel Manufacturing Co., Ltd. 3,000 6,013 Mitsubishi Tanabe Pharma Corp. 6,200 85,016 Mitsubishi UFJ Financial Group, Inc. 126,300 671,852 Mitsubishi UFJ Financial Group, Inc. ADR 25,043 133,980 Mitsuboshi Belting Co., Ltd. 4,000 20,898 Mitsui & Co., Ltd. 11,800 167,352 Mitsui & Co., Ltd. Sponsored ADR 473 133,670 # Mitsui Chemicals, Inc. 50,000 121,839 Mitsui Engineering & Shipbuilding Co., Ltd. 21,000 40,745 Mitsui Fudosan Co., Ltd. 14,000 414,424 Mitsui Home Co., Ltd. 3,000 13,827 Mitsui Mining & Smelting Co., Ltd. 24,000 59,512 Mitsui OSK Lines, Ltd. 26,000 86,738 Mitsui Sugar Co., Ltd. 8,000 33,193 Mitsui-Soko Co., Ltd. 2,000 7,935 # Miura Co., Ltd. 1,700 48,290 Miyazaki Bank, Ltd. (The) 7,000 21,386 Mizuho Financial Group, Inc. 241,140 472,299 Mizuho Financial Group, Inc. ADR 11,600 45,356 # Mizuno Corp. 6,000 32,741 Mochida Pharmaceutical Co., Ltd. 400 28,185 Modec, Inc. 400 8,864 MonotaRO Co., Ltd. 1,500 30,267 INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- JAPAN -- (Continued) Morinaga & Co., Ltd. 11,000 $ 24,246 Morinaga Milk Industry Co., Ltd. 14,000 52,259 Morita Holdings Corp. 3,000 24,986 Mory Industries, Inc. 2,000 7,543 MOS Food Services, Inc. 700 13,951 # Moshi Moshi Hotline, Inc. 2,100 21,258 MS&AD Insurance Group Holdings 8,952 200,813 # Murata Manufacturing Co., Ltd. 2,800 233,419 # Musashi Seimitsu Industry Co., Ltd. 1,700 37,514 # Nabtesco Corp. 2,600 56,130 Nachi-Fujikoshi Corp. 9,000 55,662 Nagase & Co., Ltd. 2,000 24,506 Nakamuraya Co., Ltd. 1,000 3,889 Nakanishi, Inc. 1,000 34,257 Namco Bandai Holdings, Inc. 4,300 92,902 Nankai Electric Railway Co., Ltd. 19,000 73,700 Nanto Bank, Ltd. (The) 3,000 11,260 Natori Co., Ltd. 500 5,407 NEC Corp. 79,000 222,227 NEC Networks & System Integration Corp. 1,600 33,802 # NET One Systems Co., Ltd. 3,200 26,035 Nexon Co., Ltd. 3,700 28,818 NGK Insulators, Ltd. 6,000 113,466 NGK Spark Plug Co., Ltd. 5,000 114,473 NHK Spring Co., Ltd. 3,000 27,156 Nichi-iko Pharmaceutical Co., Ltd. 2,000 31,022 Nichia Steel Works, Ltd. 1,000 2,592 Nichias Corp. 4,000 27,094 Nichicon Corp. 1,300 9,643 Nichiha Corp. 2,000 23,042 Nichii Gakkan Co. 3,100 27,343 Nichirei Corp. 7,000 33,992 # Nidec Corp. 800 45,228 # Nidec Corp. ADR 5,600 79,016 Nifco, Inc. 1,200 33,517 Nihon Kohden Corp. 700 28,667 Nihon M&A Center, Inc. 600 14,028 # Nihon Nohyaku Co., Ltd. 4,000 49,843 Nihon Parkerizing Co., Ltd. 1,000 21,796 Nihon Unisys, Ltd. 2,700 27,419 Nihon Yamamura Glass Co., Ltd. 3,000 4,994 Nikkiso Co., Ltd. 3,000 33,624 # Nikon Corp. 12,900 202,252 Nippo Corp. 3,000 45,839 * Nippon Chemi-Con Corp. 6,000 19,179 Nippon Coke & Engineering Co., Ltd. 3,500 4,080 Nippon Denko Co., Ltd. 2,000 5,564 # Nippon Densetsu Kogyo Co., Ltd. 2,000 29,681 Nippon Electric Glass Co., Ltd. 15,000 73,379 Nippon Flour Mills Co., Ltd. 7,000 39,056 Nippon Gas Co., Ltd. 900 14,906 Nippon Kayaku Co., Ltd. 4,000 47,600 INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- JAPAN -- (Continued) Nippon Konpo Unyu Soko Co., Ltd. 2,700 $ 45,622 Nippon Light Metal Holdings Co., Ltd. 33,000 46,532 Nippon Meat Packers, Inc. 5,000 86,657 Nippon Paint Co., Ltd. 6,000 92,828 # Nippon Paper Industries Co., Ltd. 4,900 89,551 Nippon Road Co., Ltd. (The) 5,000 25,454 * Nippon Sheet Glass Co., Ltd. 35,800 45,919 Nippon Shinyaku Co., Ltd. 1,000 17,616 Nippon Shokubai Co., Ltd. 5,000 57,691 Nippon Signal Co., Ltd. (The) 2,700 22,389 Nippon Soda Co., Ltd. 8,000 44,448 Nippon Steel & Sumikin Bussan Corp. 8,000 28,263 Nippon Steel & Sumitomo Metal Corp. 146,800 385,150 * Nippon Suisan Kaisha, Ltd. 5,100 11,736 Nippon Synthetic Chemical Industry Co., Ltd. (The) 4,000 26,651 Nippon Telegraph & Telephone Corp. 2,900 160,929 Nippon Telegraph & Telephone Corp. ADR 6,000 167,040 Nippon Television Holdings, Inc. 1,000 14,908 Nippon Thompson Co., Ltd. 3,000 13,672 Nippon Valqua Industries, Ltd. 3,000 7,986 * Nippon Yakin Kogyo Co., Ltd. 2,000 5,563 # Nippon Yusen K.K. 71,405 193,545 Nishi-Nippon City Bank, Ltd. (The) 32,000 72,787 Nishimatsu Construction Co., Ltd. 13,000 46,779 Nishimatsuya Chain Co., Ltd. 2,600 18,637 Nishio Rent All Co., Ltd. 800 29,435 Nissan Chemical Industries, Ltd. 5,700 84,949 Nissan Motor Co., Ltd. 52,400 452,138 Nissan Shatai Co., Ltd. 4,000 60,939 * Nissha Printing Co., Ltd. 2,300 29,980 # Nisshin Oillio Group, Ltd. (The) 2,000 6,696 # Nisshin Seifun Group, Inc. 8,800 102,384 Nisshin Steel Co., Ltd. 3,700 38,001 Nisshinbo Holdings, Inc. 5,000 42,836 Nissin Foods Holdings Co., Ltd. 900 43,080 Nissin Kogyo Co., Ltd. 2,100 38,760 Nitori Holdings Co., Ltd. 700 32,108 Nitta Corp. 800 16,434 * Nitto Boseki Co., Ltd. 8,000 33,381 # Nitto Denko Corp. 5,100 220,810 Nitto Kogyo Corp. 700 14,513 NKSJ Holdings, Inc. 11,200 279,427 NOF Corp. 6,000 41,612 Nohmi Bosai, Ltd. 3,000 34,385 NOK Corp. 3,200 52,316 Nomura Holdings, Inc. 48,300 279,699 Nomura Holdings, Inc. ADR 14,000 82,040 Nomura Real Estate Holdings, Inc. 2,400 44,842 Nomura Research Institute, Ltd. 2,200 63,794 # Noritake Co., Ltd. 10,000 24,470 Noritz Corp. 2,100 37,309 North Pacific Bank, Ltd. 13,700 55,494 INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- JAPAN -- (Continued) NSD Co., Ltd. 2,400 $ 29,671 NSK, Ltd. 9,000 94,615 * NTN Corp. 14,000 47,914 NTT Data Corp. 2,500 96,589 NTT DOCOMO, Inc. 20,400 325,391 NTT DOCOMO, Inc. Sponsored ADR 4,886 78,078 NTT Urban Development Corp. 2,300 20,230 Obara Group, Inc. 800 30,053 # Obayashi Corp. 15,000 96,853 Odakyu Electric Railway Co., Ltd. 8,000 70,234 Ohara, Inc. 300 1,763 Ohsho Food Service Corp. 600 22,175 # Oiles Corp. 1,500 33,783 Oita Bank, Ltd. (The) 6,000 21,845 Oji Holdings Corp. 23,000 96,634 Okabe Co., Ltd. 1,600 22,000 Okamura Corp. 3,000 25,662 Okinawa Cellular Telephone Co. 700 17,877 Okinawa Electric Power Co., Inc. (The) 500 16,342 OKUMA Corp. 2,000 17,119 Okumura Corp. 7,000 31,982 Okura Industrial Co., Ltd. 2,000 5,732 * Olympus Corp. 2,500 76,361 Omron Corp. 3,500 123,950 Onward Holdings Co., Ltd. 4,000 26,904 Osaka Gas Co., Ltd. 30,000 113,079 # OSAKA Titanium Technologies Co., Ltd. 1,700 34,916 Osaki Electric Co., Ltd. 1,000 6,053 OSG Corp. 1,100 17,730 Otsuka Corp. 300 35,514 Otsuka Holdings Co., Ltd. 4,400 126,754 #* Pacific Metals Co., Ltd. 7,000 32,560 Paltac Corp. 2,000 24,705 PanaHome Corp. 5,000 33,247 Panasonic Corp. 19,700 214,731 Panasonic Corp. Sponsored ADR 24,160 264,310 Paramount Bed Holdings Co., Ltd. 800 24,145 Parco Co., Ltd. 200 1,602 Paris Miki Holdings, Inc. 2,800 13,934 Park24 Co., Ltd. 1,700 31,075 Penta-Ocean Construction Co., Ltd. 9,500 31,071 Pigeon Corp. 1,400 62,679 Pilot Corp. 500 21,016 Piolax, Inc. 500 17,307 * Pioneer Corp. 22,000 47,535 Plenus Co., Ltd. 1,100 25,104 Pola Orbis Holdings, Inc. 600 23,481 Press Kogyo Co., Ltd. 6,000 22,005 Pronexus, Inc. 600 4,088 # Raito Kogyo Co., Ltd. 3,300 28,416 # Rakuten, Inc. 5,300 68,771 Relo Holdings, Inc. 600 32,901 INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- JAPAN -- (Continued) Rengo Co., Ltd. 12,000 $ 53,625 Resona Holdings, Inc. 35,100 179,466 Resorttrust, Inc. 2,200 34,518 Ricoh Co., Ltd. 28,500 328,407 Ricoh Leasing Co., Ltd. 600 15,661 Riken Corp. 5,000 20,457 Rinnai Corp. 800 66,671 Riso Kagaku Corp. 1,400 34,535 Rohto Pharmaceutical Co., Ltd. 3,000 52,925 # Round One Corp. 2,400 17,239 Royal Holdings Co., Ltd. 1,800 26,255 Ryobi, Ltd. 9,000 26,662 # Ryohin Keikaku Co., Ltd. 725 81,478 Ryosan Co., Ltd. 1,400 29,592 Saibu Gas Co., Ltd. 5,000 12,536 # Saizeriya Co., Ltd. 1,800 20,624 Sakai Chemical Industry Co., Ltd. 7,000 19,730 Sakata Seed Corp. 1,800 25,145 San-A Co., Ltd. 1,400 40,349 San-Ai Oil Co., Ltd. 4,000 26,625 Sangetsu Co., Ltd. 1,000 25,767 Sankyo Co., Ltd. 1,000 39,991 Sankyo Tateyama, Inc. 1,400 27,709 Sankyu, Inc. 8,000 30,495 # Sanrio Co., Ltd. 300 9,511 Santen Pharmaceutical Co., Ltd. 800 35,656 Sanyo Chemical Industries, Ltd. 2,000 12,251 Sanyo Electric Railway Co., Ltd. 7,000 32,282 Sanyo Shokai, Ltd. 9,000 24,559 Sanyo Special Steel Co., Ltd. 3,000 11,701 Sapporo Holdings, Ltd. 15,000 63,600 Sawai Pharmaceutical Co., Ltd. 1,000 61,888 SBI Holdings, Inc. 7,900 90,344 SCSK Corp. 1,743 46,105 Secom Co., Ltd. 2,000 114,826 Sega Sammy Holdings, Inc. 3,600 72,566 Seiko Epson Corp. 6,300 171,927 Seiko Holdings Corp. 7,000 25,579 Seino Holdings Co., Ltd. 2,000 19,767 Seiren Co., Ltd. 1,800 15,124 Sekisui Chemical Co., Ltd. 19,000 192,550 Sekisui House, Ltd. 29,200 350,505 Sekisui Jushi Corp. 2,000 26,629 Sekisui Plastics Co., Ltd. 5,000 13,346 # Senko Co., Ltd. 2,320 10,604 Senshukai Co., Ltd. 1,600 13,613 Seria Co., Ltd. 500 19,555 Seven & I Holdings Co., Ltd. 7,400 291,976 #* Sharp Corp. 47,000 117,818 Shiga Bank, Ltd. (The) 14,000 76,556 Shikoku Bank, Ltd. (The) 6,000 12,102 #* Shikoku Electric Power Co., Inc. 5,600 65,548 INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- JAPAN -- (Continued) Shima Seiki Manufacturing, Ltd. 300 $ 5,007 Shimachu Co., Ltd. 700 15,381 Shimadzu Corp. 10,000 85,425 Shimano, Inc. 600 59,977 Shimizu Corp. 31,000 175,728 Shin-Etsu Chemical Co., Ltd. 5,900 346,106 Shindengen Electric Manufacturing Co., Ltd. 1,000 4,085 Shinko Electric Industries Co., Ltd. 1,300 8,561 Shinko Plantech Co., Ltd. 2,900 21,832 Shinmaywa Industries, Ltd. 4,000 35,324 # Shinsei Bank, Ltd. 40,000 77,985 Shionogi & Co., Ltd. 4,600 80,631 Ship Healthcare Holdings, Inc. 500 17,051 Shiroki Corp. 5,000 9,595 Shiseido Co., Ltd. 5,900 105,409 Shizuoka Bank, Ltd. (The) 12,000 114,660 Shizuoka Gas Co., Ltd. 3,000 18,052 Showa Corp. 1,800 19,794 Showa Denko K.K. 63,000 83,945 Showa Sangyo Co., Ltd. 5,000 16,141 Showa Shell Sekiyu K.K. 9,600 97,386 Sinanen Co., Ltd. 4,000 15,187 Sintokogio, Ltd. 4,000 28,744 SKY Perfect JSAT Holdings, Inc. 2,700 14,518 SMC Corp. 700 166,639 Softbank Corp. 11,584 862,784 Sojitz Corp. 62,600 98,709 # Sony Corp. 9,100 159,756 Sony Corp. Sponsored ADR 14,427 254,492 Sony Financial Holdings, Inc. 3,200 51,312 St Marc Holdings Co., Ltd. 600 28,436 Stanley Electric Co., Ltd. 1,900 42,112 Star Micronics Co., Ltd. 700 8,642 Starbucks Coffee Japan, Ltd. 2,600 27,651 Start Today Co., Ltd. 1,400 29,339 Starzen Co., Ltd. 3,000 7,969 # Sugi Holdings Co., Ltd. 1,200 53,975 # Sumco Corp. 3,000 23,024 Suminoe Textile Co., Ltd. 5,000 15,137 Sumitomo Bakelite Co., Ltd. 9,000 34,276 Sumitomo Chemical Co., Ltd. 50,231 188,449 Sumitomo Corp. 8,600 111,632 Sumitomo Electric Industries, Ltd. 18,300 253,294 Sumitomo Forestry Co., Ltd. 9,900 100,691 # Sumitomo Heavy Industries, Ltd. 31,000 131,902 Sumitomo Metal Mining Co., Ltd. 19,000 286,986 #* Sumitomo Mitsui Construction Co., Ltd. 25,800 26,577 Sumitomo Mitsui Financial Group, Inc. 19,400 766,888 Sumitomo Mitsui Trust Holdings, Inc. 43,000 177,190 Sumitomo Osaka Cement Co., Ltd. 11,000 43,748 Sumitomo Realty & Development Co., Ltd. 2,000 77,599 Sumitomo Rubber Industries, Ltd. 2,400 33,355 INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- JAPAN -- (Continued) Sumitomo Warehouse Co., Ltd. (The) 3,000 $ 14,546 Suruga Bank, Ltd. 4,000 68,616 Suzuken Co., Ltd. 2,100 75,695 Suzuki Motor Corp. 4,900 126,420 Sysmex Corp. 2,800 88,765 T Hasegawa Co., Ltd. 1,500 22,254 T&D Holdings, Inc. 15,500 185,013 # Tachi-S Co., Ltd. 400 6,257 Tadano, Ltd. 4,000 56,559 Taiheiyo Cement Corp. 24,000 84,189 Taikisha, Ltd. 1,200 25,964 Taisei Corp. 43,000 199,346 Taiyo Holdings Co., Ltd. 1,000 30,224 # Taiyo Nippon Sanso Corp. 9,000 71,737 # Taiyo Yuden Co., Ltd. 4,800 59,349 # Takara Holdings, Inc. 4,000 30,624 Takara Standard Co., Ltd. 5,000 35,713 # Takasago International Corp. 2,000 9,777 Takasago Thermal Engineering Co., Ltd. 3,000 29,331 Takashimaya Co., Ltd. 13,000 123,165 Takata Corp. 1,000 23,562 Takeda Pharmaceutical Co., Ltd. 10,600 476,789 Tamron Co., Ltd. 1,000 25,013 Tayca Corp. 3,000 8,256 TDK Corp. 4,100 174,830 TDK Corp. Sponsored ADR 1,200 51,168 Teijin, Ltd. 43,000 105,696 Terumo Corp. 3,400 67,475 THK Co., Ltd. 3,800 80,319 Toa Corp. 13,000 24,455 Toagosei Co., Ltd. 7,000 29,291 TOC Co., Ltd. 2,800 19,046 Tochigi Bank, Ltd. (The) 5,000 19,491 Toda Corp. 11,000 38,551 Toei Co., Ltd. 5,000 27,992 Toho Bank, Ltd. (The) 6,000 20,096 Toho Co., Ltd. 1,000 3,599 # Toho Gas Co., Ltd. 7,000 34,346 Toho Holdings Co., Ltd. 2,900 58,459 Toho Zinc Co., Ltd. 5,000 15,908 Tohoku Electric Power Co., Inc. 5,100 48,536 Tokai Carbon Co., Ltd. 8,000 25,666 Tokai Rika Co., Ltd. 2,800 48,662 Token Corp. 120 5,327 Tokio Marine Holdings, Inc. 15,400 453,775 Tokushu Tokai Paper Co., Ltd. 4,000 8,818 Tokuyama Corp. 18,000 52,203 Tokyo Dome Corp. 8,000 35,827 * Tokyo Electric Power Co., Inc. 5,300 20,046 Tokyo Electron, Ltd. 3,400 193,378 Tokyo Energy & Systems, Inc. 2,000 10,428 Tokyo Gas Co., Ltd. 28,000 146,704 INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- JAPAN -- (Continued) Tokyo Seimitsu Co., Ltd. 2,100 $ 35,389 Tokyo Steel Manufacturing Co., Ltd. 400 1,956 Tokyo Tatemono Co., Ltd. 16,000 127,597 Tokyo Tomin Bank, Ltd. (The) 500 5,188 Tokyu Fudosan Holdings Corp. 14,000 101,779 TOMONY Holdings, Inc. 4,800 20,411 Tomy Co., Ltd. 7,000 33,217 Tonami Holdings Co., Ltd. 3,000 5,465 # TonenGeneral Sekiyu K.K. 6,000 56,675 Topcon Corp. 2,700 47,087 Toppan Forms Co., Ltd. 1,300 11,945 # Toppan Printing Co., Ltd. 24,000 164,828 Topre Corp. 2,800 28,333 Topy Industries, Ltd. 8,000 13,546 Toray Industries, Inc. 34,000 221,910 # Toshiba Corp. 52,000 203,677 Toshiba Machine Co., Ltd. 8,000 35,929 Toshiba Plant Systems & Services Corp. 2,000 29,425 Toshiba TEC Corp. 2,000 13,029 Tosoh Corp. 23,000 87,766 Totetsu Kogyo Co., Ltd. 1,300 26,397 TOTO, Ltd. 8,000 113,163 Towa Pharmaceutical Co., Ltd. 200 8,545 Toyo Ink SC Holdings Co., Ltd. 9,000 36,714 Toyo Kanetsu K.K. 8,000 19,044 Toyo Seikan Group Holdings, Ltd. 6,600 98,154 Toyo Tire & Rubber Co., Ltd. 12,000 89,482 Toyobo Co., Ltd. 40,000 64,594 Toyoda Gosei Co., Ltd. 3,600 66,333 # Toyota Boshoku Corp. 1,900 19,641 Toyota Motor Corp. 19,755 1,067,326 Toyota Motor Corp. Sponsored ADR 11,495 1,246,288 Toyota Tsusho Corp. 3,700 97,455 Transcosmos, Inc. 1,400 26,100 Trusco Nakayama Corp. 400 9,015 TS Tech Co., Ltd. 1,900 50,673 Tsubakimoto Chain Co. 7,000 49,958 # Tsugami Corp. 1,000 5,682 Tsukuba Bank, Ltd. 5,900 21,289 # Tsumura & Co. 1,500 35,654 Tsuruha Holdings, Inc. 600 60,388 UACJ Corp. 8,000 31,645 Ube Industries, Ltd. 49,000 83,017 * Ulvac, Inc. 4,200 79,599 Unicharm Corp. 1,800 97,610 Unipres Corp. 1,300 25,117 United Arrows, Ltd. 700 27,075 * Universal Entertainment Corp. 500 8,886 UNY Group Holdings Co., Ltd. 6,200 40,012 Ushio, Inc. 2,700 35,266 USS Co., Ltd. 2,200 32,068 Valor Co., Ltd. 1,200 15,553 INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE++ ------ ----------- JAPAN -- (Continued) Vital KSK Holdings, Inc. 1,000 $ 7,081 Wacoal Holdings Corp. 3,000 29,593 Wacom Co., Ltd. 4,400 28,776 Wakita & Co., Ltd. 2,800 31,782 WATAMI Co., Ltd. 1,700 24,758 West Japan Railway Co. 2,600 105,438 Xebio Co., Ltd. 1,700 31,440 Yachiyo Bank, Ltd. (The) 400 10,813 # Yahoo Japan Corp. 10,000 43,685 Yaizu Suisankagaku Industry Co., Ltd. 200 1,867 Yakult Honsha Co., Ltd. 1,300 70,265 # Yamada Denki Co., Ltd. 49,400 182,507 # Yamagata Bank, Ltd. (The) 10,000 42,802 Yamaguchi Financial Group, Inc. 6,000 55,331 Yamaha Corp. 8,500 113,889 Yamaha Motor Co., Ltd. 5,200 80,271 Yamanashi Chuo Bank, Ltd. (The) 9,000 38,996 Yamato Holdings Co., Ltd. 4,700 96,717 Yamato Kogyo Co., Ltd. 900 25,954 Yamazaki Baking Co., Ltd. 2,000 24,437 Yamazen Corp. 3,900 25,195 # Yaskawa Electric Corp. 5,200 58,633 Yasuda Warehouse Co., Ltd. (The) 1,500 15,516 Yellow Hat, Ltd. 400 7,669 Yokogawa Bridge Holdings Corp. 2,300 30,498 Yokogawa Electric Corp. 5,400 73,827 Yokohama Reito Co., Ltd. 3,900 31,570 Yokohama Rubber Co., Ltd. (The) 6,000 53,592 Yondenko Corp. 2,000 7,105 Yorozu Corp. 600 11,215 Yuasa Trading Co., Ltd. 15,000 28,541 # Zensho Holdings Co., Ltd. 3,500 35,382 Zeon Corp. 9,000 83,685 ZERIA Pharmaceutical Co., Ltd. 1,100 23,062 ----------- TOTAL JAPAN 55,312,977 ----------- NETHERLANDS -- (2.7%) Aalberts Industries NV 3,416 113,793 Aegon NV 95,341 873,935 Akzo Nobel NV 6,251 481,715 Amsterdam Commodities NV 1,121 27,861 * APERAM 2,305 59,973 Arcadis NV 907 32,237 # ArcelorMittal(B295F26) 40,556 659,035 ArcelorMittal(B03XPL1) 12,432 202,160 ASM International NV 2,193 95,973 # ASML Holding NV(B929F46) 1,373 112,049 ASML Holding NV(B908F01) 1,642 133,642 BinckBank NV 2,442 27,592 Brunel International NV 532 36,038 Corbion NV 1,390 32,238 Delta Lloyd NV 8,127 213,886 INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- NETHERLANDS -- (Continued) Fugro NV 1,775 $ 117,620 * Galapagos NV 2,035 44,043 # Gemalto NV 2,308 258,047 * Grontmij 4,628 24,763 # Heijmans NV 1,353 24,273 # Heineken NV 1,465 101,755 Hunter Douglas NV 235 11,803 * ING Groep NV 5,671 81,066 #* ING Groep NV Sponsored ADR 56,475 807,592 Kendrion NV 337 11,479 Koninklijke Ahold NV 20,925 404,524 # Koninklijke BAM Groep NV 12,170 65,988 Koninklijke Boskalis Westminster NV 3,144 178,191 Koninklijke DSM NV 4,847 348,052 * Koninklijke KPN NV 91,541 325,233 Koninklijke Philips NV(500472303) 11,642 372,078 Koninklijke Philips NV(5986622) 16,162 517,396 Koninklijke Ten Cate NV 1,115 33,220 # Koninklijke Vopak NV 2,786 138,913 Nutreco NV 2,038 94,875 * PostNL NV 19,131 84,087 Randstad Holding NV 3,983 232,765 # Reed Elsevier NV 12,206 249,135 Reed Elsevier NV Sponsored ADR 2,642 111,070 #* Royal Imtech NV 9,793 19,093 * SBM Offshore NV 6,909 126,464 Sligro Food Group NV 404 16,909 Telegraaf Media Groep NV 581 5,458 TKH Group NV 1,133 39,486 TNT Express NV 3,969 35,767 #* TomTom NV 2,056 14,578 Unilever NV(904784709) 3,158 135,226 # Unilever NV(B12T3J1) 4,559 195,495 USG People NV 1,366 23,634 # Wolters Kluwer NV 8,657 241,322 # Ziggo NV 518 22,493 ---------- TOTAL NETHERLANDS 8,616,020 ---------- NEW ZEALAND -- (0.3%) Auckland International Airport, Ltd. 28,733 98,410 Chorus, Ltd. ADR 880 6,574 Contact Energy, Ltd. 8,055 39,566 Ebos Group, Ltd. 2,665 21,604 Fisher & Paykel Healthcare Corp., Ltd. 13,276 46,797 Fletcher Building, Ltd.(6341606) 9,511 80,875 Fletcher Building, Ltd.(6341617) 1,711 14,470 Freightways, Ltd. 2,616 11,286 Infratil, Ltd. 20,130 39,951 Kathmandu Holdings, Ltd. 8,976 28,225 Mainfreight, Ltd. 3,098 35,803 Metlifecare, Ltd. 2,076 7,368 New Zealand Refining Co., Ltd. (The) 7,267 11,777 INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- NEW ZEALAND -- (Continued) Nuplex Industries, Ltd. 5,854 $ 17,690 Port of Tauranga, Ltd. 1,623 20,154 Ryman Healthcare, Ltd. 12,632 94,363 Sky Network Television, Ltd. 6,556 37,840 SKYCITY Entertainment Group, Ltd. 10,107 36,906 Telecom Corp. of New Zealand, Ltd. 48,004 114,680 TrustPower, Ltd. 3,375 19,495 #* Xero, Ltd. 2,290 63,003 -------- TOTAL NEW ZEALAND 846,837 -------- NORWAY -- (1.0%) # Aker ASA Class A 951 32,213 Aker Solutions ASA 1,944 31,148 * Archer, Ltd. 14,654 19,988 # Atea ASA 2,131 24,494 Austevoll Seafood ASA 5,066 32,816 Bakkafrost P/F 962 15,065 BW Offshore, Ltd. 28,042 36,672 Cermaq ASA 800 9,456 #* Det Norske Oljeselskap ASA 2,204 24,102 # DNB ASA 16,256 288,146 * DNO International ASA 28,000 97,244 * DOF ASA 1,800 8,279 * Dolphin Group A.S. 13,567 13,228 Ekornes ASA 454 7,184 Farstad Shipping ASA 124 2,554 Fred Olsen Energy ASA 869 27,720 # Gjensidige Forsikring ASA 3,533 65,200 Golar LNG, Ltd. 568 25,106 Golden Ocean Group, Ltd. 14,618 25,923 * Hoegh LNG Holdings, Ltd. 1,560 15,236 * Kongsberg Automotive Holding ASA 23,789 23,915 # Kongsberg Gruppen A.S. 1,943 45,609 Kvaerner ASA 5,584 11,185 Leroy Seafood Group ASA 940 33,293 Marine Harvest ASA 6,719 82,411 #* Nordic Semiconductor ASA 8,606 48,284 # Norsk Hydro ASA 56,360 302,270 * Norske Skogindustrier ASA 2,500 1,895 #* Norwegian Air Shuttle A.S. 1,098 43,713 Opera Software ASA 2,172 28,075 # Orkla ASA 11,091 91,729 # Petroleum Geo-Services ASA 3,107 37,513 Prosafe SE 4,546 40,068 #* REC Silicon ASA 77,614 43,413 # Schibsted ASA 1,585 91,202 Seadrill, Ltd. 2,157 75,475 * Songa Offshore 6,531 2,686 SpareBank 1 SMN 2,099 18,641 # SpareBank 1 SR Bank ASA 6,486 62,908 Statoil ASA 9,629 293,544 Statoil ASA Sponsored ADR 5,319 162,070 INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- NORWAY -- (Continued) Stolt-Nielsen, Ltd. 1,153 $ 31,174 * Storebrand ASA 14,674 82,371 Subsea 7 SA 7,231 144,795 Telenor ASA 10,673 250,784 # TGS Nopec Geophysical Co. ASA 1,810 62,435 # Tomra Systems ASA 1,800 16,749 # Veidekke ASA 1,400 15,020 # Wilh Wilhelmsen ASA 3,408 32,987 # Wilh Wilhelmsen Holding ASA Class A 88 2,792 # Yara International ASA 3,434 162,330 ---------- TOTAL NORWAY 3,143,110 ---------- PORTUGAL -- (0.2%) Altri SGPS SA 8,166 27,751 #* Banco Comercial Portugues SA 105,752 32,137 #* Banco Espirito Santo SA 18,689 33,127 EDP - Energias de Portugal SA 35,755 173,686 * EDP Renovaveis SA 6,176 42,353 Galp Energia SGPS SA 3,295 57,109 Jeronimo Martins SGPS SA 1,895 33,142 Portucel SA 11,580 54,907 Portugal Telecom SGPS SA 23,776 98,781 # Portugal Telecom SGPS SA Sponsored ADR 2,200 9,130 # REN - Redes Energeticas Nacionais SGPS SA 13,627 51,250 Semapa-Sociedade de Investimento e Gestao 2,982 44,702 Sonae 30,547 57,467 ZON Optimus SGPS SA 10,831 78,359 ---------- TOTAL PORTUGAL 793,901 ---------- SINGAPORE -- (1.1%) Banyan Tree Holdings, Ltd. 47,000 23,662 # Biosensors International Group, Ltd. 28,000 21,266 Bukit Sembawang Estates, Ltd. 2,000 9,326 Bund Center Investment, Ltd. 21,000 3,438 CapitaLand, Ltd. 59,000 150,997 Chip Eng Seng Corp., Ltd. 45,000 27,502 City Developments, Ltd. 15,000 129,960 ComfortDelGro Corp., Ltd. 17,000 28,829 # Cosco Corp. Singapore, Ltd. 21,000 12,094 CSE Global, Ltd. 38,000 18,046 DBS Group Holdings, Ltd. 25,000 338,679 Ezion Holdings, Ltd. 29,000 52,718 Ezra Holdings, Ltd. 23,000 19,319 First Resources, Ltd. 17,000 34,913 Global Logistic Properties, Ltd. 29,000 66,094 GMG Global, Ltd. 304,000 21,834 Goodpack, Ltd. 11,000 21,073 Great Eastern Holdings, Ltd. 2,000 30,346 GuocoLand, Ltd. 17,666 30,057 # GuocoLeisure, Ltd. 43,000 33,158 Ho Bee Land, Ltd. 17,000 31,113 Hongkong Land Holdings, Ltd. 6,000 42,051 INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- SINGAPORE -- (Continued) Hutchison Port Holdings Trust 130,000 $ 88,472 Hyflux, Ltd. 26,000 24,894 Indofood Agri Resources, Ltd. 18,000 15,329 Jardine Cycle & Carriage, Ltd. 2,000 74,992 Jaya Holdings, Ltd. 34,000 21,625 K1 Ventures, Ltd. 21,000 3,307 Keppel Corp., Ltd. 16,400 137,990 Keppel Infrastructure Trust 800 670 Keppel Land, Ltd. 36,000 99,592 Keppel Telecommunications & Transportation, Ltd. 3,000 4,277 #* Linc Energy, Ltd. 14,004 13,180 M1, Ltd. 11,000 29,556 Midas Holdings, Ltd. 71,000 26,691 Noble Group, Ltd. 116,000 119,443 NSL, Ltd. 2,000 2,514 Olam International, Ltd. 70,000 124,909 OSIM International, Ltd. 9,000 20,852 OUE Hospitality Trust 2,167 1,504 OUE, Ltd. 13,000 23,570 # Oversea-Chinese Banking Corp., Ltd. 26,000 200,517 Petra Foods, Ltd. 4,000 11,332 * Raffles Education Corp., Ltd. 5,310 1,252 Raffles Medical Group, Ltd. 8,000 23,180 SATS, Ltd. 19,460 49,264 SembCorp Industries, Ltd. 10,000 42,931 # SembCorp Marine, Ltd. 7,000 22,766 Sinarmas Land, Ltd. 66,000 28,008 Singapore Airlines, Ltd. 15,000 124,356 Singapore Exchange, Ltd. 6,000 33,182 # Singapore Press Holdings, Ltd. 26,000 86,943 Singapore Technologies Engineering, Ltd. 28,000 85,522 Singapore Telecommunications, Ltd. 109,000 333,880 Stamford Land Corp., Ltd. 32,000 15,202 StarHub, Ltd. 8,000 26,538 Super Group, Ltd. 9,000 25,179 Tat Hong Holdings, Ltd. 24,000 15,529 Triyards holdings, Ltd. 2,300 1,167 United Engineers, Ltd. 6,000 10,343 United Industrial Corp., Ltd. 40,000 106,971 United Overseas Bank, Ltd. 14,000 243,672 UOB-Kay Hian Holdings, Ltd. 11,000 14,785 UOL Group, Ltd. 14,000 71,879 * Vard Holdings, Ltd. 23,000 17,769 Venture Corp., Ltd. 8,000 49,001 Wilmar International, Ltd. 17,000 46,203 Wing Tai Holdings, Ltd. 13,510 21,608 Yongnam Holdings, Ltd. 113,000 21,701 ---------- TOTAL SINGAPORE 3,710,522 ---------- SPAIN -- (2.7%) Abengoa SA(BLM7FQ6) 44 245 Abengoa SA(BLM7FS8) 212 944 INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- SPAIN -- (Continued) Abengoa SA(7174823) 1,749 $ 9,731 Abengoa SA Class B 6,996 31,148 Abertis Infraestructuras SA 6,038 135,913 Acciona SA 1,551 126,167 # Acerinox SA 4,201 73,462 ACS Actividades de Construccion y Servicios SA 3,794 162,834 Adveo Group International SA 562 13,379 Almirall SA 2,303 38,573 Amadeus IT Holding SA Class A 9,085 377,850 * Atresmedia Corp de Medios de Comunicaion SA 2,220 31,944 Banco Bilbao Vizcaya Argentaria SA 36,407 448,454 # Banco Bilbao Vizcaya Argentaria SA Sponsored ADR 26,934 332,638 Banco de Sabadell SA 91,157 310,141 Banco Popular Espanol SA 67,412 496,755 Banco Santander SA 100,123 995,789 # Banco Santander SA Sponsored ADR 40,590 404,276 * Bankia SA 81,713 166,909 Bankinter SA 12,462 95,415 * Baron de Ley 128 13,467 Bolsas y Mercados Espanoles SA 1,646 71,709 # CaixaBank SA 32,305 196,890 * Caja de Ahorros del Mediterraneo 233 -- * Cementos Portland Valderrivas SA 155 1,586 Cie Automotive SA 2,547 32,437 Construcciones y Auxiliar de Ferrocarriles SA 77 36,881 * Deoleo SA 55,083 30,205 Distribuidora Internacional de Alimentacion SA 7,854 70,258 Ebro Foods SA 1,132 26,084 Enagas SA 6,501 200,288 Ence Energia y Celulosa SA 10,765 31,706 Faes Farma SA 7,879 24,412 Ferrovial SA 7,855 174,604 * Fomento de Construcciones y Contratas SA 737 16,257 * Gamesa Corp. Tecnologica SA 4,824 47,950 Gas Natural SDG SA 7,972 228,597 Grifols SA 1,691 90,397 Grupo Catalana Occidente SA 1,384 54,153 Iberdrola SA 86,693 605,597 Inditex SA 1,817 272,999 Indra Sistemas SA 4,097 76,950 * Jazztel P.L.C. 6,108 93,807 Mapfre SA 26,245 110,688 * Mediaset Espana Comunicacion SA 3,538 39,259 Melia Hotels International SA 3,189 40,341 * NH Hoteles SA 1,077 6,881 Obrascon Huarte Lain SA 709 32,870 * Pescanova SA 1,279 -- * Promotora de Informaciones SA Class A 4,718 2,635 Prosegur Cia de Seguridad SA 7,096 47,515 * Realia Business SA 8,376 15,485 Red Electrica Corp. SA 2,364 194,595 Repsol SA 10,039 270,290 INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- SPAIN -- (Continued) Repsol SA Sponsored ADR 4,469 $ 120,395 * Sacyr SA 10,782 71,015 Tecnicas Reunidas SA 1,107 66,679 # Telefonica SA 31,309 525,431 # Telefonica SA Sponsored ADR 16,998 284,716 Tubacex SA 5,015 24,594 Tubos Reunidos SA 1,662 5,149 Vidrala SA 235 12,438 Viscofan SA 472 24,596 * Vocento SA 844 2,719 Zardoya Otis SA 5,264 92,343 ---------- TOTAL SPAIN 8,640,435 ---------- SWEDEN -- (3.2%) AarhusKarlshamn AB 1,087 72,789 AddTech AB Class B 993 15,223 AF AB Class B 1,585 57,562 # Alfa Laval AB 3,800 101,245 Assa Abloy AB Class B 7,003 371,681 # Atlas Copco AB Class A 7,378 214,573 # Atlas Copco AB Class B 6,697 182,663 Atrium Ljungberg AB Class B 2,034 32,252 # Avanza Bank Holding AB 683 25,642 Axfood AB 691 36,822 # Axis Communications AB 2,030 60,531 B&B Tools AB Class B 1,109 20,350 # Beijer AB G&L Class B 522 10,618 Betsson AB 655 23,946 Bilia AB Class A 992 32,938 BillerudKorsnas AB 2,884 42,148 * Bjoern Borg AB(B8ZRVS6) 385 88 Bjoern Borg AB(BLP5VH0) 385 1,491 # Boliden AB 18,626 284,462 Byggmax Group AB 3,589 30,070 Castellum AB 6,807 116,078 * Cloetta AB Class B 3,332 11,007 # Concentric AB 1,936 27,392 Duni AB 2,923 48,825 Electrolux AB Series B 7,766 215,862 # Elekta AB Class B 6,513 90,893 * Eniro AB 3,508 28,069 Fabege AB 4,911 68,989 Getinge AB Class B 5,318 155,864 # Haldex AB 3,031 38,879 Hennes & Mauritz AB Class B 10,170 416,288 Hexagon AB Class B 7,915 253,404 Hexpol AB 792 75,041 Holmen AB Class B 3,136 110,836 Hufvudstaden AB Class A 111 1,627 Husqvarna AB Class A 3,992 33,040 Husqvarna AB Class B 16,439 137,259 ICA Gruppen AB 2,443 82,173 INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- SWEDEN -- (Continued) Industrial & Financial Systems Class B 1,168 $ 33,506 # Indutrade AB 778 33,856 # Intrum Justitia AB 2,642 76,595 # JM AB 3,050 103,639 # Kungsleden AB 6,798 55,526 Lagercrantz AB Class B 480 9,668 * Lindab International AB 2,338 29,147 Loomis AB Class B 1,238 33,769 * Lundin Petroleum AB 5,902 126,694 Meda AB Class A 10,931 196,484 #* Medivir AB Class B 1,257 22,313 Mekonomen AB 225 6,037 * Micronic Mydata AB 11,440 32,520 Millicom International Cellular SA 1,197 118,641 Modern Times Group AB Class B 701 31,277 NCC AB Class B 2,998 105,036 New Wave Group AB Class B 752 5,115 Nibe Industrier AB Class B 2,559 71,852 Nobia AB 5,022 45,714 # Nolato AB Class B 1,124 25,665 Nordea Bank AB 41,814 605,910 # Nordnet AB Class B 6,239 30,706 #* PA Resources AB 3 3 Peab AB 6,816 52,775 # Ratos AB Class B 6,988 71,289 * Rezidor Hotel Group AB 5,832 36,142 Saab AB Class B 2,845 87,421 Sandvik AB 35,848 509,469 #* SAS AB 6,947 14,940 Scania AB Class B 5,496 167,443 Securitas AB Class B 14,122 170,716 Skandinaviska Enskilda Banken AB Class A 36,986 510,885 Skanska AB Class B 7,619 174,927 SKF AB Class B 4,436 115,194 SkiStar AB 1,243 16,411 #* SSAB AB Class A 5,418 47,303 #* SSAB AB Class B 3,943 29,830 Svenska Cellulosa AB Class A 1,455 40,690 Svenska Cellulosa AB Class B 15,984 449,359 Svenska Handelsbanken AB Class A 9,663 486,048 Svenska Handelsbanken AB Class B 619 30,221 Swedbank AB Class A 12,662 338,859 Swedish Match AB 3,885 133,282 * Swedish Orphan Biovitrum AB 3,893 42,809 Systemair AB 348 5,671 Tele2 AB Class B 5,528 70,643 Telefonaktiebolaget LM Ericsson Class A 2,994 34,512 Telefonaktiebolaget LM Ericsson Class B 31,501 379,853 Telefonaktiebolaget LM Ericsson Sponsored ADR 20,310 243,517 TeliaSonera AB 30,311 220,635 # Trelleborg AB Class B 5,715 122,281 Unibet Group P.L.C. 1,240 66,799 INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE++ ------ ----------- SWEDEN -- (Continued) Volvo AB Class A 5,553 $ 89,404 Volvo AB Class B 18,126 287,010 # Wallenstam AB Class B 3,723 61,112 # Wihlborgs Fastigheter AB 2,227 42,936 ----------- TOTAL SWEDEN 10,478,679 ----------- SWITZERLAND -- (6.5%) ABB, Ltd. 30,839 742,482 # ABB, Ltd. Sponsored ADR 16,629 397,766 Adecco SA 4,752 398,940 AFG Arbonia-Forster Holding AG 960 32,003 Allreal Holding AG 448 63,177 Alpiq Holding AG 48 5,890 ams AG 411 61,967 Autoneum Holding AG 181 38,399 Baloise Holding AG 1,246 151,730 Bank Coop AG 211 10,318 Banque Cantonale Vaudoise 96 56,984 Barry Callebaut AG 48 65,234 # Basler Kantonalbank 208 17,980 Belimo Holding AG 4 11,267 Berner Kantonalbank AG 157 38,517 * Bobst Group SA 718 36,545 Bossard Holding AG Class A 136 18,733 Bucher Industries AG 223 72,637 Burckhardt Compression Holding AG 65 33,691 Burkhalter Holding AG 229 21,606 * Charles Voegele Holding AG 527 8,677 Cie Financiere Richemont SA 6,065 617,053 Clariant AG 8,352 164,701 Conzzeta AG 18 71,218 Credit Suisse Group AG 21,840 692,385 Credit Suisse Group AG Sponsored ADR 21,939 694,808 Daetwyler Holding AG 429 67,831 # DKSH Holding AG 269 22,199 * Dufry AG 907 150,105 Emmi AG 73 26,786 EMS-Chemie Holding AG 188 73,357 Energiedienst Holding AG 195 7,066 Flughafen Zuerich AG 107 67,504 # Galenica AG 117 119,139 Gategroup Holding AG 959 29,881 Geberit AG 967 322,968 Givaudan SA 176 277,759 Helvetia Holding AG 199 99,191 Holcim, Ltd. 8,206 752,625 Huber & Suhner AG 684 37,625 Implenia AG 638 46,783 Inficon Holding AG 107 38,324 Intershop Holdings AG 64 24,737 Kudelski SA 2,490 42,943 Kuehne + Nagel International AG 651 89,018 INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- SWITZERLAND -- (Continued) Kuoni Reisen Holding AG 123 $ 54,318 Liechtensteinische Landesbank AG 694 34,354 Lindt & Spruengli AG 1 58,338 Logitech International SA 7,268 98,574 Lonza Group AG 1,751 183,261 Luzerner Kantonalbank AG 100 41,152 Metall Zug AG 5 15,077 #* Meyer Burger Technology AG 3,607 44,596 Mobimo Holding AG 288 61,899 Nestle SA 26,495 2,047,647 Nobel Biocare Holding AG 2,549 35,556 Novartis AG 10,302 895,579 Novartis AG ADR 20,867 1,814,177 OC Oerlikon Corp. AG 640 10,195 * Orascom Development Holding AG 654 10,187 Orior AG 397 25,653 Panalpina Welttransport Holding AG 290 45,540 Partners Group Holding AG 182 49,835 Phoenix Mecano AG 30 19,303 PubliGroupe AG 32 6,411 Rieter Holding AG 198 44,772 Roche Holding AG(7108918) 359 104,799 Roche Holding AG(7110388) 9,498 2,786,201 Schindler Holding AG 292 44,571 Schweiter Technologies AG 15 11,171 Schweizerische National-Versicherungs-Gesellschaft AG 589 40,818 SGS SA 68 169,871 Sika AG 73 295,372 Sonova Holding AG 1,312 189,538 St Galler Kantonalbank AG 77 33,073 Straumann Holding AG 258 57,253 Sulzer AG 951 146,742 Swatch Group AG (The)(7184736) 689 83,135 Swatch Group AG (The)(7184725) 716 460,417 Swiss Life Holding AG 969 238,738 Swiss Re AG 10,458 914,459 Swisscom AG 555 337,650 * Swisslog Holding AG 3,346 3,847 Swissquote Group Holding SA 501 19,749 Syngenta AG 610 241,555 Syngenta AG ADR 1,500 117,825 Tecan Group AG 432 54,029 Temenos Group AG 1,495 53,603 U-Blox AG 336 41,137 UBS AG(B18YFJ4) 29,907 625,471 UBS AG(H89231338) 25,956 542,740 Valiant Holding AG 340 37,644 Valora Holding AG 40 11,311 Verwaltungs- und Privat-Bank AG 66 6,580 Vetropack Holding AG 6 11,558 #* Von Roll Holding AG 4,126 8,018 # Vontobel Holding AG 879 34,453 INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE++ ------ ----------- SWITZERLAND -- (Continued) * Walter Meier AG 300 $ 16,206 WM Technologie, Ltd. 300 7,158 Zehnder Group AG 480 20,932 Zug Estates Holding AG 5 6,730 Zuger Kantonalbank AG 2 10,818 Zurich Insurance Group AG 3,698 1,060,434 ----------- TOTAL SWITZERLAND 21,262,579 ----------- UNITED KINGDOM -- (17.4%) A.G. Barr P.L.C. 1,821 19,027 Aberdeen Asset Management P.L.C. 62,354 461,197 Admiral Group P.L.C. 6,494 153,359 * Afren P.L.C. 43,528 115,620 African Barrick Gold P.L.C. 156 654 * Aga Rangemaster Group P.L.C. 991 2,913 Aggreko P.L.C. 4,607 122,958 AMEC P.L.C. 12,649 264,177 Amlin P.L.C. 35,774 270,476 Anglo American P.L.C. 23,481 627,720 Antofagasta P.L.C. 6,544 87,213 ARM Holdings P.L.C. 5,384 81,488 ARM Holdings P.L.C. Sponsored ADR 8,359 380,502 Ashmore Group P.L.C. 6,735 40,005 Ashtead Group P.L.C. 25,129 372,316 Associated British Foods P.L.C. 8,971 450,438 AstraZeneca P.L.C. Sponsored ADR 14,670 1,159,663 Aviva P.L.C. 62,918 560,712 # Aviva P.L.C. Sponsored ADR 19,420 348,201 Babcock International Group P.L.C. 7,655 154,508 BAE Systems P.L.C. 34,636 234,329 Balfour Beatty P.L.C. 35,417 168,198 Bank of Georgia Holdings P.L.C. 1,539 67,690 Barclays P.L.C. 60,528 258,457 Barclays P.L.C. Sponsored ADR 60,785 1,040,031 Barratt Developments P.L.C. 36,650 229,215 BBA Aviation P.L.C. 13,135 68,911 Beazley P.L.C. 25,042 103,884 Bellway P.L.C. 4,558 111,000 Berendsen P.L.C. 3,002 52,463 Berkeley Group Holdings P.L.C. 5,774 224,041 BG Group P.L.C. 31,292 633,015 Bloomsbury Publishing P.L.C. 3,636 9,860 Bodycote P.L.C. 7,134 88,030 Bovis Homes Group P.L.C. 5,933 79,342 BP P.L.C. Sponsored ADR 72,360 3,662,863 Brammer P.L.C. 6,600 52,183 Brewin Dolphin Holdings P.L.C. 11,579 63,162 British American Tobacco P.L.C. 7,802 450,526 British American Tobacco P.L.C. Sponsored ADR 9,620 1,106,492 British Sky Broadcasting Group P.L.C. 10,601 157,772 British Sky Broadcasting Group P.L.C. Sponsored ADR 2,100 126,231 Britvic P.L.C. 4,445 54,440 INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- UNITED KINGDOM -- (Continued) BT Group P.L.C. 87,912 $548,803 * BTG P.L.C. 7,993 71,873 Bunzl P.L.C. 7,449 212,235 Burberry Group P.L.C. 8,730 219,247 Bwin.Party Digital Entertainment P.L.C. 8,620 18,556 Cape P.L.C. 5,529 28,035 Capita P.L.C. 9,406 172,482 Capital & Regional P.L.C. 2,940 2,283 Carillion P.L.C. 11,868 74,239 Carnival P.L.C. ADR 900 35,919 Catlin Group, Ltd. 17,333 154,805 * Centamin P.L.C. 37,666 41,166 Centrica P.L.C. 45,510 253,811 Chemring Group P.L.C. 3,286 12,437 Chesnara P.L.C. 5,426 30,145 Cineworld Group P.L.C. 8,907 48,575 Close Brothers Group P.L.C. 8,413 198,726 Cobham P.L.C. 26,747 139,535 Coca-Cola HBC AG ADR 3,977 100,181 * Colt Group SA 11,518 25,490 Communisis P.L.C. 24,464 26,943 Compass Group P.L.C. 37,787 601,907 Computacenter P.L.C. 5,423 59,696 Connect Group P.L.C. 4,847 14,758 Consort Medical P.L.C. 1,136 16,928 Cranswick P.L.C. 2,118 42,775 Croda International P.L.C. 2,173 94,644 CSR P.L.C. 6,238 60,611 Daily Mail & General Trust P.L.C. 11,751 161,977 Dairy Crest Group P.L.C. 3,168 24,717 DCC P.L.C. 2,739 140,440 De La Rue P.L.C. 2,414 33,451 Debenhams P.L.C. 27,433 37,258 Dechra Pharmaceuticals P.L.C. 1,285 14,969 Development Securities P.L.C. 4,283 17,599 Devro P.L.C. 8,421 30,064 Diageo P.L.C. 9,540 292,304 Diageo P.L.C. Sponsored ADR 2,723 334,330 Dignity P.L.C. 564 13,627 Diploma P.L.C. 2,091 23,336 * Dixons Retail P.L.C. 105,522 80,258 Domino Printing Sciences P.L.C. 2,816 36,885 Domino's Pizza Group P.L.C. 3,573 31,045 Drax Group P.L.C. 17,700 198,134 DS Smith P.L.C. 24,951 132,965 Dunelm Group P.L.C. 838 13,268 E2V Technologies P.L.C. 3,925 11,054 Electrocomponents P.L.C. 10,892 53,691 Elementis P.L.C. 28,161 132,199 * EnQuest P.L.C. 34,923 81,056 * Enterprise Inns P.L.C. 18,852 43,518 * Essar Energy P.L.C. 14,708 16,690 INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- UNITED KINGDOM -- (Continued) Essentra P.L.C. 2,925 $ 39,675 Euromoney Institutional Investor P.L.C. 172 3,104 * Evraz P.L.C. 3,908 6,374 Experian P.L.C. 16,648 320,091 F&C Asset Management P.L.C. 28,896 58,312 Fenner P.L.C. 8,735 61,114 Ferrexpo P.L.C. 10,562 26,052 Fidessa Group P.L.C. 581 22,017 * Findel P.L.C. 1,988 9,075 * Firstgroup P.L.C. 760 1,661 Fortune Oil P.L.C. 50,047 10,985 Fresnillo P.L.C. 1,982 28,580 Fuller, Smith & Turner P.L.C. 636 10,352 G4S P.L.C. 36,920 147,402 Galliford Try P.L.C. 3,318 66,789 * Gem Diamonds, Ltd. 3,300 9,259 Genus P.L.C. 1,188 20,316 GKN P.L.C. 26,709 173,635 GlaxoSmithKline P.L.C. 9,599 265,225 GlaxoSmithKline P.L.C. Sponsored ADR 18,679 1,034,256 Glencore Xstrata P.L.C. 104,205 562,266 Go-Ahead Group P.L.C. 891 29,714 Grafton Group P.L.C. 9,346 91,927 Greencore Group P.L.C. 20,358 89,916 Greene King P.L.C. 7,915 119,162 Greggs P.L.C. 2,161 19,547 Halfords Group P.L.C. 12,696 95,267 Halma P.L.C. 8,072 76,690 Hargreaves Lansdown P.L.C. 8,708 172,381 Hays P.L.C. 27,061 69,038 Headlam Group P.L.C. 999 8,148 Helical Bar P.L.C. 7,871 48,295 Henderson Group P.L.C. 34,976 148,598 * Heritage Oil P.L.C. 3,429 18,305 Hikma Pharmaceuticals P.L.C. 4,073 106,883 Hill & Smith Holdings P.L.C. 1,217 11,496 Hiscox, Ltd. 17,278 206,135 Hochschild Mining P.L.C. 1,326 3,701 Home Retail Group P.L.C. 50,141 173,253 Homeserve P.L.C. 3,055 17,428 Howden Joinery Group P.L.C. 19,467 107,175 HSBC Holdings P.L.C. 16,007 163,553 HSBC Holdings P.L.C. Sponsored ADR 49,104 2,520,017 Hunting P.L.C. 7,261 103,951 Hyder Consulting P.L.C. 2,770 22,075 ICAP P.L.C. 24,324 170,387 IG Group Holdings P.L.C. 20,552 221,008 * Imagination Technologies Group P.L.C. 4,965 16,522 IMI P.L.C. 6,976 176,939 Imperial Tobacco Group P.L.C. 24,241 1,047,560 Inchcape P.L.C. 25,989 282,324 Informa P.L.C. 11,597 94,705 INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- UNITED KINGDOM -- (Continued) Inmarsat P.L.C. 7,902 $ 97,230 * Innovation Group P.L.C. 128,346 68,788 # InterContinental Hotels Group P.L.C. ADR 2,310 79,510 * International Consolidated Airlines Group SA 23,946 163,767 Interserve P.L.C. 2,930 32,837 Intertek Group P.L.C. 3,391 167,038 Investec P.L.C. 32,948 290,725 * IP Group P.L.C. 4,878 14,154 ITE Group P.L.C. 6,026 23,435 ITV P.L.C. 72,400 222,710 J Sainsbury P.L.C. 37,661 213,643 James Fisher & Sons P.L.C. 1,771 38,621 Jardine Lloyd Thompson Group P.L.C. 2,998 53,498 JD Sports Fashion P.L.C. 412 12,226 JD Wetherspoon P.L.C. 4,105 58,484 John Wood Group P.L.C. 8,342 110,613 Johnson Matthey P.L.C. 7,907 437,442 Jupiter Fund Management P.L.C. 9,114 59,890 Kcom Group P.L.C. 11,870 18,883 Keller Group P.L.C. 3,054 51,524 Kentz Corp., Ltd. 3,151 38,394 Kier Group P.L.C. 1,201 33,756 Kingfisher P.L.C. 55,545 393,057 Ladbrokes P.L.C. 4,695 12,175 Laird P.L.C. 7,873 37,001 * Lamprell P.L.C. 11,637 30,177 Lancashire Holdings, Ltd. 4,724 55,856 Legal & General Group P.L.C. 198,527 710,675 * Lloyds Banking Group P.L.C. 820,267 1,046,015 #* Lloyds Banking Group P.L.C. ADR 23,290 120,409 London Stock Exchange Group P.L.C. 5,089 155,960 * Lonmin P.L.C. 21,053 101,007 Lookers P.L.C. 8,574 20,239 Low & Bonar P.L.C. 19,043 26,749 Man Group P.L.C. 52,508 87,628 Marks & Spencer Group P.L.C. 25,169 188,171 Marshalls P.L.C. 2,042 6,113 Marston's P.L.C. 32,058 79,711 McBride P.L.C. 7,116 11,819 Mears Group P.L.C. 3,263 27,656 Meggitt P.L.C. 12,867 103,787 Melrose Industries P.L.C. 37,945 183,239 Michael Page International P.L.C. 9,465 75,179 Micro Focus International P.L.C. 2,905 38,097 Millennium & Copthorne Hotels P.L.C. 512 4,806 * Mitchells & Butlers P.L.C. 6,146 45,791 Mitie Group P.L.C. 16,416 88,427 Mondi P.L.C. 16,087 267,429 Moneysupermarket.com Group P.L.C. 12,316 37,993 Morgan Advanced Materials P.L.C. 2,403 13,601 Morgan Sindall Group P.L.C. 2,809 37,551 N Brown Group P.L.C. 7,241 62,758 INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- UNITED KINGDOM -- (Continued) National Express Group P.L.C. 15,437 $ 72,823 National Grid P.L.C. 7,548 107,282 National Grid P.L.C. Sponsored ADR 8,308 590,366 Next P.L.C. 2,221 245,025 Northgate P.L.C. 3,633 31,802 Novae Group P.L.C. 169 1,547 Oxford Instruments P.L.C. 349 7,605 Pace P.L.C. 7,703 47,466 PayPoint P.L.C. 693 13,331 Pearson P.L.C. 850 15,939 # Pearson P.L.C. Sponsored ADR 16,504 309,780 * Persimmon P.L.C. 8,100 179,755 Petrofac, Ltd. 16,854 413,638 Petropavlovsk P.L.C. 2,951 3,396 Phoenix Group Holdings 1,976 22,787 Phoenix IT Group, Ltd. 1,162 2,164 Premier Farnell P.L.C. 6,585 24,773 * Premier Foods P.L.C. 6,960 6,765 Premier Oil P.L.C. 8,872 50,801 Prudential P.L.C. 19,483 447,897 Prudential P.L.C. ADR 3,666 169,333 PZ Cussons P.L.C. 2,842 16,633 QinetiQ Group P.L.C. 6,412 22,844 * Quintain Estates & Development P.L.C. 16,510 28,283 Randgold Resources, Ltd. 1,496 120,253 * Raven Russia, Ltd. 5,617 6,172 Reckitt Benckiser Group P.L.C. 13,473 1,087,621 Redrow P.L.C. 8,714 42,173 Reed Elsevier P.L.C. 12,196 179,862 Reed Elsevier P.L.C. Sponsored ADR 2,541 150,275 Regus P.L.C. 6,442 22,780 Renishaw P.L.C. 1,838 56,530 Rentokil Initial P.L.C. 41,610 83,842 Resolution, Ltd. 20,805 104,958 Restaurant Group P.L.C. (The) 5,452 57,567 Rexam P.L.C. 27,210 228,124 Ricardo P.L.C. 1,818 20,817 Rightmove P.L.C. 3,271 133,258 Rio Tinto P.L.C. 1,772 96,340 # Rio Tinto P.L.C. Sponsored ADR 10,230 555,387 Rolls-Royce Holdings P.L.C. 33,307 591,615 Rotork P.L.C. 1,546 67,802 * Royal Bank of Scotland Group P.L.C. 3,977 20,150 * Royal Bank of Scotland Group P.L.C. Sponsored ADR 10,672 108,427 Royal Dutch Shell P.L.C. ADR(780259107) 21,316 1,804,399 Royal Dutch Shell P.L.C. ADR(780259206) 16,936 1,333,541 Royal Dutch Shell P.L.C. Class A 2,195 86,778 Royal Dutch Shell P.L.C. Class B 2,289 97,193 RPC Group P.L.C. 10,354 104,935 RPS Group P.L.C. 10,423 52,129 RSA Insurance Group P.L.C. 147,965 245,684 SABMiller P.L.C. 8,192 446,062 INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- UNITED KINGDOM -- (Continued) * Salamander Energy P.L.C. 7,131 $ 16,155 Savills P.L.C. 6,177 62,595 Schroders P.L.C.(0239581) 1,920 63,258 Schroders P.L.C.(0240549) 3,075 132,981 SDL P.L.C. 2,041 10,399 Senior P.L.C. 17,526 84,702 Serco Group P.L.C. 12,629 71,982 * Severfield-Rowen P.L.C. 19,906 20,576 Severn Trent P.L.C. 6,953 216,735 Shanks Group P.L.C. 20,199 34,870 Shire P.L.C. 4,536 259,423 Shire P.L.C. ADR 1,800 309,150 SIG P.L.C. 22,719 73,630 Smith & Nephew P.L.C. Sponsored ADR 2,100 163,674 Smiths Group P.L.C. 9,956 224,744 Soco International P.L.C. 4,860 35,520 Spectris P.L.C. 4,091 153,931 Speedy Hire P.L.C. 13,614 12,962 Spirax-Sarco Engineering P.L.C. 600 29,413 Spirent Communications P.L.C. 8,253 13,286 Spirit Pub Co. P.L.C. 29,354 38,916 * Sports Direct International P.L.C. 6,890 91,359 SSE P.L.C. 30,851 795,539 St Ives P.L.C. 1,554 5,207 St James's Place P.L.C. 13,629 177,622 ST Modwen Properties P.L.C. 5,130 32,212 Stagecoach Group P.L.C. 11,185 70,139 Standard Chartered P.L.C. 27,011 584,984 Standard Life P.L.C. 54,121 349,892 Sthree P.L.C. 2,477 16,922 Synergy Health P.L.C. 1,599 33,511 Synthomer P.L.C. 4,491 20,019 TalkTalk Telecom Group P.L.C. 14,733 71,400 Taylor Wimpey P.L.C. 87,981 156,469 Ted Baker P.L.C. 608 19,002 Telecity Group P.L.C. 4,092 49,629 Telecom Plus P.L.C. 1,277 33,430 Tesco P.L.C. 124,729 617,898 * Thomas Cook Group P.L.C. 9,258 27,368 Topps Tiles P.L.C. 4,626 10,065 Travis Perkins P.L.C. 8,196 236,621 * Trinity Mirror P.L.C. 3,332 9,765 TT electronics P.L.C. 11,738 41,503 Tullett Prebon P.L.C. 1,288 6,923 Tullow Oil P.L.C. 11,523 171,408 UBM P.L.C. 5,598 62,271 UDG Healthcare P.L.C. 1,895 11,489 Ultra Electronics Holdings P.L.C. 409 11,728 Unilever P.L.C. 2,038 91,166 Unilever P.L.C. Sponsored ADR 14,627 654,412 Unite Group P.L.C. (The) 9,122 65,139 United Utilities Group P.L.C. 27,708 372,701 INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE++ --------- ------------ UNITED KINGDOM -- (Continued) UTV Media P.L.C. 2,842 $ 11,510 Vedanta Resources P.L.C. 3,226 51,659 Victrex P.L.C. 1,888 59,444 Vodafone Group P.L.C. 112,651 427,690 Vodafone Group P.L.C. Sponsored ADR 26,423 1,003,024 Weir Group P.L.C. (The) 6,032 274,378 WH Smith P.L.C. 3,152 58,456 Whitbread P.L.C. 3,737 257,763 WM Morrison Supermarkets P.L.C. 64,665 219,516 Wolseley P.L.C. 5,323 308,413 WPP P.L.C. 11,150 240,412 WPP P.L.C. Sponsored ADR 2,474 267,019 WS Atkins P.L.C. 2,799 60,706 Xaar P.L.C. 1,636 21,795 Xchanging P.L.C. 3,063 8,239 XP Power, Ltd. 435 12,046 ------------ TOTAL UNITED KINGDOM 56,587,280 ------------ UNITED STATES -- (0.0%) * Chaparral Gold Corp. 500 292 * Endo International P.L.C. 327 20,499 ------------ TOTAL UNITED STATES 20,791 ------------ TOTAL COMMON STOCKS 291,421,266 ------------ PREFERRED STOCKS -- (0.1%) GERMANY -- (0.1%) Porsche Automobil Holding SE 2,131 235,678 ------------ UNITED KINGDOM -- (0.0%) McBride P.L.C. 120,972 204 Rolls-Royce Holdings P.L.C. 4,463,138 7,535 ------------ TOTAL UNITED KINGDOM 7,739 ------------ TOTAL PREFERRED STOCKS 243,417 ------------ RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) #* Aquarius Platinum, Ltd. Rights 05/14/14 7,632 816 * Bank of Queensland, Ltd. Rights 05/09/14 963 -- ------------ TOTAL AUSTRALIA 816 ------------ AUSTRIA -- (0.0%) * Intercell AG 265 -- ------------ FRANCE -- (0.0%) * Groupe Fnac 3 14 * Peugeot SA Warrants 04/29/17 12,623 24,150 ------------ TOTAL FRANCE 24,164 ------------ INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED SHARES VALUE++ --------- ------------ HONG KONG -- (0.0%) * Sun Hung Kai Properties 04/22/16 1,917 $ 1,310 ------------ SPAIN -- (0.0%) * Banco Santander SA 85,217 18,028 ------------ SWEDEN -- (0.0%) * Rezidor Hotel Group Rights 05/21/14 5,832 2,706 ------------ UNITED KINGDOM -- (0.0%) * Babcock International Group P.L.C. Rights 05/06/14 2,944 19,884 ------------ TOTAL RIGHTS/WARRANTS 66,908 ------------ SHARES/ FACE AMOUNT (000) VALUE+ --------- ------------ SECURITIES LENDING COLLATERAL -- (10.1%) (S)@ DFA Short Term Investment Fund 2,848,596 32,958,255 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $276,882,515) $324,689,846 ============ INTERNATIONAL SUSTAINABILITY CORE 1 PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, based on their valuation inputs, is as follows (See Security Valuation Note): INVESTMENTS IN SECURITIES (MARKET VALUE) --------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL ----------- ------------ ------- ------------ Common Stocks Australia $ 1,119,429 $ 17,290,208 -- $ 18,409,637 Austria 16,819 1,458,374 -- 1,475,193 Belgium 607,254 3,628,072 -- 4,235,326 Canada 25,889,870 146 -- 25,890,016 China -- 1,448 -- 1,448 Denmark 665,644 3,942,697 -- 4,608,341 Finland 372,217 4,387,090 -- 4,759,307 France 1,597,248 25,008,734 -- 26,605,982 Germany 1,389,253 18,491,010 -- 19,880,263 Greece -- 3 -- 3 Hong Kong 44,297 6,061,128 -- 6,105,425 Ireland 192,155 749,223 -- 941,378 Israel 344,173 838,768 -- 1,182,941 Italy 210,327 7,702,548 -- 7,912,875 Japan 3,481,618 51,831,359 -- 55,312,977 Netherlands 2,262,686 6,353,334 -- 8,616,020 New Zealand 6,574 840,263 -- 846,837 Norway 187,176 2,955,934 -- 3,143,110 Portugal 9,130 784,771 -- 793,901 Singapore -- 3,710,522 -- 3,710,522 Spain 1,143,214 7,497,221 -- 8,640,435 Sweden 243,605 10,235,074 -- 10,478,679 Switzerland 3,567,316 17,695,263 -- 21,262,579 United Kingdom 19,478,377 37,108,903 -- 56,587,280 United States 20,791 -- -- 20,791 Preferred Stocks Germany -- 235,678 -- 235,678 United Kingdom -- 7,739 -- 7,739 Rights/Warrants Australia -- 816 -- 816 Austria -- -- -- -- France -- 24,164 -- 24,164 Hong Kong -- 1,310 -- 1,310 Spain -- 18,028 -- 18,028 Sweden -- 2,706 -- 2,706 United Kingdom -- 19,884 -- 19,884 Securities Lending Collateral -- 32,958,255 -- 32,958,255 ----------- ------------ -- ------------ TOTAL $62,849,173 $261,840,673 -- $324,689,846 =========== ============ == ============ DFA INTERNATIONAL VALUE EX TOBACCO PORTFOLIO SCHEDULE OF INVESTMENTS APRIL 30, 2014 (UNAUDITED) SHARES VALUE++ ------ ---------- COMMON STOCKS -- (91.5%) AUSTRALIA -- (4.8%) * Alumina, Ltd. 37,687 $ 47,340 Asciano, Ltd. 21,497 108,482 Bank of Queensland, Ltd. 6,312 72,162 Bendigo and Adelaide Bank, Ltd. 12,974 139,050 * BlueScope Steel, Ltd. 7,923 47,901 # Boral, Ltd. 15,539 82,468 Caltex Australia, Ltd. 1,429 29,664 Echo Entertainment Group, Ltd. 18,272 48,059 # Harvey Norman Holdings, Ltd. 7,208 22,060 Incitec Pivot, Ltd. 39,877 107,041 Lend Lease Group 9,422 113,874 Macquarie Group, Ltd. 6,994 376,784 # Metcash, Ltd. 871 2,250 New Hope Corp., Ltd. 1,031 2,997 * Newcrest Mining, Ltd. 6,011 58,626 Origin Energy, Ltd. 26,579 369,233 Primary Health Care, Ltd. 7,694 33,628 #* Qantas Airways, Ltd. 25,486 28,991 QBE Insurance Group, Ltd. 7,108 76,714 Rio Tinto, Ltd. 4,196 241,980 Santos, Ltd. 33,098 424,361 Seven Group Holdings, Ltd. 3,080 23,593 * Sims Metal Management, Ltd. 3,434 31,406 Sonic Healthcare, Ltd. 2,137 35,250 Suncorp Group, Ltd. 35,006 425,119 Tabcorp Holdings, Ltd. 15,227 52,772 Tatts Group, Ltd. 28,433 79,970 Toll Holdings, Ltd. 13,122 64,726 Treasury Wine Estates, Ltd. 12,274 43,712 # Washington H Soul Pattinson & Co., Ltd. 288 3,967 Wesfarmers, Ltd. 21,108 840,065 Woodside Petroleum, Ltd. 3,523 133,913 ---------- TOTAL AUSTRALIA 4,168,158 ---------- AUSTRIA -- (0.2%) Erste Group Bank AG 4,533 152,419 Raiffeisen Bank International AG 1,529 48,333 ---------- TOTAL AUSTRIA 200,752 ---------- BELGIUM -- (1.4%) Ageas 5,638 242,644 # Belgacom SA 632 19,344 Delhaize Group SA 2,711 201,870 KBC Groep NV 3,955 241,345 Solvay SA 1,514 245,351 # UCB SA 2,810 230,495 ---------- TOTAL BELGIUM 1,181,049 ---------- CANADA -- (8.2%) Agnico Eagle Mines, Ltd. 654 19,332 DFA INTERNATIONAL VALUE EX TOBACCO PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- CANADA -- (Continued) Bank of Montreal 747 $ 51,498 Barrick Gold Corp. 17,462 305,061 #* BlackBerry, Ltd. 7,188 54,891 # Bonavista Energy Corp. 1,204 18,916 Cameco Corp. 4,527 96,360 Canadian Natural Resources, Ltd.(136385101) 10,741 437,911 Canadian Natural Resources, Ltd.(2171573) 11,405 464,712 Canadian Tire Corp., Ltd. Class A 2,200 216,076 # Crescent Point Energy Corp. 5,356 217,895 Empire Co., Ltd. 600 37,953 Enerplus Corp.(292766102) 1,300 28,873 Enerplus Corp.(B584T89) 1,972 43,738 Ensign Energy Services, Inc. 2,603 40,967 Fairfax Financial Holdings, Ltd. 347 151,299 # First Quantum Minerals, Ltd. 3,879 77,254 # Genworth MI Canada, Inc. 742 26,030 Goldcorp, Inc.(380956409) 8,346 206,313 Goldcorp, Inc.(2676302) 9,088 224,453 # Husky Energy, Inc. 7,339 239,846 IAMGOLD Corp.(450913108) 2,872 10,023 # IAMGOLD Corp.(2446646) 813 2,833 Industrial Alliance Insurance & Financial Services, Inc. 1,800 74,312 * Kinross Gold Corp. 20,200 82,013 #* Lundin Mining Corp. 7,637 39,019 Magna International, Inc. 2,202 215,730 Manulife Financial Corp. 28,109 527,789 * MEG Energy Corp. 2,200 79,204 Pacific Rubiales Energy Corp. 4,700 76,715 Pan American Silver Corp. 2,900 37,571 # Pengrowth Energy Corp. 4,191 27,225 # Penn West Petroleum, Ltd. 7,406 66,962 Precision Drilling Corp. 4,250 55,255 # Sun Life Financial, Inc. 10,725 363,029 Suncor Energy, Inc. 32,505 1,253,877 Talisman Energy, Inc.(87425E103) 4,948 51,113 Talisman Energy, Inc.(2068299) 22,512 232,709 # Teck Resources, Ltd. Class B 11,791 268,728 Thomson Reuters Corp. 10,478 379,237 TransAlta Corp.(89346D107) 1,400 17,108 # TransAlta Corp.(2901628) 5,411 66,104 Yamana Gold, Inc. 22,000 164,792 ---------- TOTAL CANADA 7,050,726 ---------- DENMARK -- (1.7%) AP Moeller - Maersk A.S. Class A 50 113,593 AP Moeller - Maersk A.S. Class B 160 381,961 Carlsberg A.S. Class B 3,388 338,910 Danske Bank A.S. 16,130 456,370 # FLSmidth & Co. A.S. 348 18,631 H Lundbeck A.S. 1,354 39,462 DFA INTERNATIONAL VALUE EX TOBACCO PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- DENMARK -- (Continued) TDC A.S. 11,573 $ 108,681 ---------- TOTAL DENMARK 1,457,608 ---------- FINLAND -- (1.0%) Fortum Oyj 9,404 212,456 Kesko Oyj Class B 830 33,974 # Neste Oil Oyj 374 7,692 * Nokia Oyj 18,801 140,774 Stora Enso Oyj Class R 14,570 148,783 UPM-Kymmene Oyj 16,377 286,823 ---------- TOTAL FINLAND 830,502 ---------- FRANCE -- (10.0%) AXA SA 1,036 27,035 # AXA SA Sponsored ADR 37,500 941,250 BNP Paribas SA 15,859 1,191,716 Bollore SA 132 84,132 # Bouygues SA 3,740 168,453 Cap Gemini SA 1,084 76,589 Casino Guichard Perrachon SA 1,254 159,789 * CGG SA 2,902 50,210 Cie de St-Gobain 9,008 551,879 Cie Generale des Etablissements Michelin 810 99,331 CNP Assurances 3,923 90,502 * Credit Agricole SA 7,385 116,524 Electricite de France SA 4,582 175,953 # GDF Suez 37,268 939,281 Lafarge SA 4,430 405,340 Lagardere SCA 1,998 83,737 Natixis 21,884 155,347 Orange SA 41,374 670,311 #* Peugeot SA 4,276 75,655 Renault SA 6,090 595,418 Rexel SA 2,641 66,677 Societe Generale SA 10,843 675,271 STMicroelectronics NV 16,130 153,819 Vallourec SA 851 50,290 Vivendi SA 37,887 1,017,902 ---------- TOTAL FRANCE 8,622,411 ---------- GERMANY -- (7.5%) # Allianz SE 5,432 945,330 Bayerische Motoren Werke AG 5,628 707,467 Celesio AG 76 2,641 * Commerzbank AG 11,071 197,414 Daimler AG 19,352 1,801,654 Deutsche Bank AG 13,472 593,172 Deutsche Lufthansa AG 4,876 122,450 E.ON SE 33,149 634,964 Fraport AG Frankfurt Airport Services Worldwide 196 14,496 HeidelbergCement AG 2,355 204,621 DFA INTERNATIONAL VALUE EX TOBACCO PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- GERMANY -- (Continued) # K+S AG 1,223 $ 42,854 Metro AG 1,550 62,099 # Muenchener Rueckversicherungs AG 2,257 521,726 RWE AG 10,862 414,506 Volkswagen AG 624 167,325 ---------- TOTAL GERMANY 6,432,719 ---------- HONG KONG -- (1.8%) Cathay Pacific Airways, Ltd. 17,000 32,173 Cheung Kong Holdings, Ltd. 10,000 170,515 Great Eagle Holdings, Ltd. 8,217 29,347 Henderson Land Development Co., Ltd. 33,584 201,616 Hongkong & Shanghai Hotels (The) 13,000 19,012 Hopewell Holdings, Ltd. 5,000 17,211 Hutchison Whampoa, Ltd. 33,000 452,743 * Kerry Logistics Network, Ltd. 3,500 5,150 Kerry Properties, Ltd. 7,000 23,142 MTR Corp., Ltd. 5,500 20,855 New World Development Co., Ltd. 120,168 124,481 Orient Overseas International, Ltd. 6,000 28,702 Shangri-La Asia, Ltd. 18,000 29,535 Sino Land Co., Ltd. 32,000 47,984 Sun Hung Kai Properties, Ltd. 9,093 115,030 Wharf Holdings, Ltd. 19,000 133,751 Wheelock & Co., Ltd. 27,000 111,795 ---------- TOTAL HONG KONG 1,563,042 ---------- IRELAND -- (0.1%) * Bank of Ireland 202,253 78,970 CRH P.L.C. Sponsored ADR 592 17,334 ---------- TOTAL IRELAND 96,304 ---------- ISRAEL -- (0.3%) Bank Hapoalim BM 20,502 115,816 * Bank Leumi Le-Israel BM 23,640 92,498 * Israel Discount Bank, Ltd. Class A 13,386 23,933 ---------- TOTAL ISRAEL 232,247 ---------- ITALY -- (1.7%) #* Banca Monte dei Paschi di Siena SpA 88,378 29,538 * Finmeccanica SpA 3,600 33,316 Intesa Sanpaolo SpA 77,421 264,937 * Telecom Italia SpA 234,061 300,775 UniCredit SpA 64,972 582,126 Unione di Banche Italiane SCPA 24,403 232,938 ---------- TOTAL ITALY 1,443,630 ---------- JAPAN -- (18.3%) 77 Bank, Ltd. (The) 9,864 44,531 Aeon Co., Ltd. 16,900 195,189 Aisin Seiki Co., Ltd. 3,600 127,222 DFA INTERNATIONAL VALUE EX TOBACCO PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- JAPAN -- (Continued) Alfresa Holdings Corp. 1,000 $ 62,257 Amada Co., Ltd. 10,000 72,322 # Asahi Glass Co., Ltd. 28,000 158,743 Asahi Kasei Corp. 32,000 217,562 Bank of Kyoto, Ltd. (The) 7,000 57,036 Bank of Yokohama, Ltd. (The) 12,000 60,313 Brother Industries, Ltd. 3,200 44,760 Canon Marketing Japan, Inc. 1,500 24,158 Chiba Bank, Ltd. (The) 9,000 57,208 Chugoku Bank, Ltd. (The) 3,000 39,769 Citizen Holdings Co., Ltd. 4,700 34,516 Coca-Cola West Co., Ltd. 1,800 31,327 COMSYS Holdings Corp. 1,900 31,149 Cosmo Oil Co., Ltd. 20,636 38,604 Dai Nippon Printing Co., Ltd. 19,000 171,140 # Dai-ichi Life Insurance Co., Ltd. (The) 3,900 54,041 Daicel Corp. 4,000 33,499 # Daido Steel Co., Ltd. 4,000 19,558 Denki Kagaku Kogyo K.K. 4,000 13,266 Fuji Media Holdings, Inc. 1,000 16,848 FUJIFILM Holdings Corp. 13,400 346,150 Fukuoka Financial Group, Inc. 27,000 110,268 # Furukawa Electric Co., Ltd. 4,000 9,006 Glory, Ltd. 1,800 46,569 Gunma Bank, Ltd. (The) 11,735 62,375 H2O Retailing Corp. 2,000 15,093 Hachijuni Bank, Ltd. (The) 11,000 60,136 Hakuhodo DY Holdings, Inc. 4,100 31,804 Hankyu Hanshin Holdings, Inc. 16,000 87,689 Hiroshima Bank, Ltd. (The) 4,000 16,457 Hitachi Chemical Co., Ltd. 900 13,240 Hitachi High-Technologies Corp. 900 20,588 Hokuhoku Financial Group, Inc. 20,000 38,595 House Foods Group, Inc. 2,300 38,272 Ibiden Co., Ltd. 2,400 43,320 Idemitsu Kosan Co., Ltd. 3,200 70,763 Inpex Corp. 17,600 256,668 Isetan Mitsukoshi Holdings, Ltd. 11,400 141,862 ITOCHU Corp. 29,200 327,326 Iyo Bank, Ltd. (The) 4,000 35,964 J Front Retailing Co., Ltd. 13,000 82,635 JFE Holdings, Inc. 10,300 190,357 Joyo Bank, Ltd. (The) 8,000 38,937 JTEKT Corp. 1,100 16,050 JX Holdings, Inc. 56,740 294,810 Kagoshima Bank, Ltd. (The) 3,238 20,225 Kajima Corp. 13,000 49,498 Kamigumi Co., Ltd. 5,000 47,662 Kaneka Corp. 9,000 52,788 Kawasaki Kisen Kaisha, Ltd. 14,000 28,111 Keiyo Bank, Ltd. (The) 9,000 39,614 Kewpie Corp. 1,000 14,385 DFA INTERNATIONAL VALUE EX TOBACCO PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- JAPAN -- (Continued) Kinden Corp. 4,000 $ 36,825 Kobe Steel, Ltd. 58,000 76,134 Konica Minolta, Inc. 13,500 125,795 Kuraray Co., Ltd. 6,100 68,587 Kurita Water Industries, Ltd. 400 8,424 Kyocera Corp. 7,000 329,209 Kyowa Hakko Kirin Co., Ltd. 4,000 45,551 LIXIL Group Corp. 1,400 37,100 Marubeni Corp. 34,000 227,202 Marui Group Co., Ltd. 7,158 63,582 Maruichi Steel Tube, Ltd. 900 22,830 Medipal Holdings Corp. 4,200 59,075 Mitsubishi Chemical Holdings Corp. 38,600 154,478 Mitsubishi Corp. 25,100 449,473 Mitsubishi Gas Chemical Co., Inc. 12,000 69,282 # Mitsubishi Logistics Corp. 1,000 14,347 Mitsubishi Materials Corp. 37,000 107,320 Mitsubishi Tanabe Pharma Corp. 3,600 49,364 Mitsubishi UFJ Financial Group, Inc. 259,500 1,380,409 Mitsui & Co., Ltd. 39,400 558,785 # Mitsui Chemicals, Inc. 17,000 41,425 Mitsui OSK Lines, Ltd. 36,000 120,098 Mizuho Financial Group, Inc. 329,500 645,361 MS&AD Insurance Group Holdings 7,719 173,154 Nagase & Co., Ltd. 3,111 38,119 NEC Corp. 73,000 205,349 # Nippon Electric Glass Co., Ltd. 7,000 34,243 Nippon Express Co., Ltd. 17,000 80,364 Nippon Meat Packers, Inc. 5,000 86,657 # Nippon Paper Industries Co., Ltd. 3,600 65,793 Nippon Shokubai Co., Ltd. 2,000 23,077 Nippon Steel & Sumitomo Metal Corp. 157,000 411,911 Nippon Television Holdings, Inc. 1,500 22,361 # Nippon Yusen K.K. 35,000 94,868 Nishi-Nippon City Bank, Ltd. (The) 18,779 42,715 Nissan Motor Co., Ltd. 39,400 339,967 # Nisshin Seifun Group, Inc. 2,750 31,995 Nisshin Steel Co., Ltd. 1,600 16,433 Nisshinbo Holdings, Inc. 3,000 25,702 NKSJ Holdings, Inc. 2,900 72,352 NOK Corp. 1,500 24,523 NTN Corp. 9,000 30,802 NTT DOCOMO, Inc. 30,100 480,111 Obayashi Corp. 19,000 122,681 Oji Holdings Corp. 18,000 75,627 Onward Holdings Co., Ltd. 3,000 20,178 Otsuka Holdings Co., Ltd. 1,100 31,689 Rengo Co., Ltd. 4,000 17,875 Resona Holdings, Inc. 20,000 102,260 Ricoh Co., Ltd. 23,000 265,031 Rohm Co., Ltd. 3,200 153,030 Sankyo Co., Ltd. 400 15,996 DFA INTERNATIONAL VALUE EX TOBACCO PORTFOLIO CONTINUED SHARES VALUE++ ------ ----------- JAPAN -- (Continued) SBI Holdings, Inc. 1,700 $ 19,441 Sekisui Chemical Co., Ltd. 2,000 20,268 Sekisui House, Ltd. 15,700 188,456 Shiga Bank, Ltd. (The) 7,108 38,868 Shimizu Corp. 11,000 62,355 Shizuoka Bank, Ltd. (The) 9,000 85,995 # Showa Denko K.K. 26,000 34,644 Showa Shell Sekiyu K.K. 4,200 42,607 SKY Perfect JSAT Holdings, Inc. 4,600 24,735 Sojitz Corp. 26,100 41,155 # Sony Corp. 1,700 29,844 # Sony Corp. Sponsored ADR 22,200 391,608 Sumitomo Chemical Co., Ltd. 42,000 157,569 Sumitomo Corp. 28,900 375,136 Sumitomo Electric Industries, Ltd. 25,100 347,413 Sumitomo Forestry Co., Ltd. 2,700 27,461 Sumitomo Heavy Industries, Ltd. 10,000 42,549 Sumitomo Metal Mining Co., Ltd. 14,000 211,463 Sumitomo Mitsui Financial Group, Inc. 9,100 359,726 Sumitomo Mitsui Trust Holdings, Inc. 10,000 41,207 Suzuken Co., Ltd. 1,400 50,463 Suzuki Motor Corp. 6,100 157,380 T&D Holdings, Inc. 8,300 99,071 Takashimaya Co., Ltd. 6,000 56,845 TDK Corp. 3,300 140,717 Teijin, Ltd. 22,000 54,077 Tokai Rika Co., Ltd. 600 10,428 Tokyo Broadcasting System Holdings, Inc. 1,600 17,381 # Toppan Printing Co., Ltd. 16,000 109,886 Tosoh Corp. 8,000 30,527 Toyo Seikan Group Holdings, Ltd. 4,251 63,220 Toyota Tsusho Corp. 5,700 150,133 Ube Industries, Ltd. 16,000 27,107 UNY Group Holdings Co., Ltd. 6,250 40,335 Wacoal Holdings Corp. 2,000 19,728 # Yamada Denki Co., Ltd. 9,000 33,250 # Yamaguchi Financial Group, Inc. 5,852 53,966 Yamaha Corp. 3,100 41,536 Yamato Kogyo Co., Ltd. 800 23,071 ----------- TOTAL JAPAN 15,769,375 ----------- NETHERLANDS -- (3.4%) Aegon NV 47,918 439,236 Akzo Nobel NV 3,464 266,943 # ArcelorMittal(B295F26) 14,502 235,658 ArcelorMittal(B03XPL1) 17,931 291,580 * ING Groep NV 65,495 936,241 Koninklijke Ahold NV 9,009 174,166 Koninklijke Boskalis Westminster NV 373 21,140 Koninklijke DSM NV 4,128 296,422 DFA INTERNATIONAL VALUE EX TOBACCO PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- NETHERLANDS -- (Continued) Koninklijke Philips NV 7,876 $ 252,136 ---------- TOTAL NETHERLANDS 2,913,522 ---------- NEW ZEALAND -- (0.0%) Contact Energy, Ltd. 5,869 28,828 Fletcher Building, Ltd. 1,616 13,741 ---------- TOTAL NEW ZEALAND 42,569 ---------- NORWAY -- (0.7%) # DNB ASA 15,991 283,449 # Norsk Hydro ASA 27,971 150,014 # Orkla ASA 2,637 21,809 * Storebrand ASA 7,005 39,322 Subsea 7 SA 4,168 83,461 ---------- TOTAL NORWAY 578,055 ---------- PORTUGAL -- (0.0%) EDP Renovaveis SA 4,290 29,419 ---------- SINGAPORE -- (1.1%) CapitaLand, Ltd. 102,500 262,326 City Developments, Ltd. 1,000 8,664 DBS Group Holdings, Ltd. 6,128 83,017 Golden Agri-Resources, Ltd. 137,000 66,833 Keppel Land, Ltd. 13,000 35,964 * Neptune Orient Lines, Ltd. 14,000 11,355 Noble Group, Ltd. 72,000 74,137 Olam International, Ltd. 24,000 42,826 # OUE Hospitality Trust 833 578 OUE, Ltd. 5,000 9,066 Singapore Airlines, Ltd. 21,000 174,099 United Industrial Corp., Ltd. 31,000 82,902 UOL Group, Ltd. 4,000 20,537 Wheelock Properties Singapore, Ltd. 14,000 20,993 Wilmar International, Ltd. 34,000 92,406 ---------- TOTAL SINGAPORE 985,703 ---------- SPAIN -- (2.4%) Acciona SA 890 72,398 Banco de Sabadell SA 33,827 115,089 Banco Popular Espanol SA 32,301 238,025 Banco Santander SA 74,334 739,300 CaixaBank SA 8,923 54,383 Iberdrola SA 74,647 521,449 Repsol SA 11,296 304,139 ---------- TOTAL SPAIN 2,044,783 ---------- SWEDEN -- (2.8%) # Boliden AB 4,059 61,990 ICA Gruppen AB 656 22,065 Meda AB Class A 1,317 23,673 DFA INTERNATIONAL VALUE EX TOBACCO PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- SWEDEN -- (Continued) Nordea Bank AB 41,285 $ 598,244 Skandinaviska Enskilda Banken AB Class A 35,139 485,372 #* SSAB AB Class A 3,054 26,664 #* SSAB AB Class B 1,349 10,206 Svenska Cellulosa AB Class A 637 17,814 Svenska Cellulosa AB Class B 5,851 164,489 Svenska Handelsbanken AB Class A 1,736 87,321 Swedbank AB Class A 5,276 141,196 Telefonaktiebolaget LM Ericsson Class B 44,784 540,026 TeliaSonera AB 26,269 191,214 ---------- TOTAL SWEDEN 2,370,274 ---------- SWITZERLAND -- (8.7%) Adecco SA 3,030 254,375 Aryzta AG 2,173 200,862 Baloise Holding AG 1,176 143,206 Clariant AG 5,542 109,288 Credit Suisse Group AG 27,987 887,261 Credit Suisse Group AG Sponsored ADR 214 6,777 Holcim, Ltd. 7,487 686,681 Lonza Group AG 612 64,052 Novartis AG 20,994 1,825,061 Novartis AG ADR 1,759 152,927 Sulzer AG 585 90,267 Swiss Life Holding AG 855 210,651 Swiss Re AG 12,185 1,065,470 UBS AG 41,120 859,978 Zurich Insurance Group AG 3,199 917,341 ---------- TOTAL SWITZERLAND 7,474,197 ---------- UNITED KINGDOM -- (15.4%) Anglo American P.L.C. 23,136 618,497 Barclays P.L.C. 41,183 175,853 Barclays P.L.C. Sponsored ADR 44,443 760,420 BP P.L.C. 28,632 241,743 BP P.L.C. Sponsored ADR 63,160 3,197,159 Carnival P.L.C. ADR 5,587 222,977 Glencore Xstrata P.L.C. 75,142 405,450 HSBC Holdings P.L.C. 40,067 409,389 HSBC Holdings P.L.C. Sponsored ADR 14,489 743,576 * International Consolidated Airlines Group SA 9,324 63,767 Investec P.L.C. 15,846 139,821 J Sainsbury P.L.C. 30,787 174,649 Kingfisher P.L.C. 68,152 482,270 * Lloyds Banking Group P.L.C. 122,100 155,703 #* Lloyds Banking Group P.L.C. ADR 51,291 265,175 Old Mutual P.L.C. 89,944 304,018 # Pearson P.L.C. Sponsored ADR 6,166 115,736 Resolution, Ltd. 25,787 130,091 * Royal Bank of Scotland Group P.L.C. 39,064 197,917 * Royal Bank of Scotland Group P.L.C. Sponsored ADR 5,598 56,876 Royal Dutch Shell P.L.C. ADR(780259107) 28,341 2,399,066 DFA INTERNATIONAL VALUE EX TOBACCO PORTFOLIO CONTINUED SHARES VALUE++ ------- ----------- UNITED KINGDOM -- (Continued) Royal Dutch Shell P.L.C. ADR(780259206) 9,770 $ 769,290 Vedanta Resources P.L.C. 2,074 33,211 Vodafone Group P.L.C. 8,223 31,218 Vodafone Group P.L.C. Sponsored ADR 25,258 958,787 WM Morrison Supermarkets P.L.C. 45,412 154,159 ----------- TOTAL UNITED KINGDOM 13,206,818 ----------- TOTAL COMMON STOCKS 78,693,863 ----------- PREFERRED STOCKS -- (0.3%) GERMANY -- (0.3%) Porsche Automobil Holding SE 2,107 233,024 ----------- RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) * Bank of Queensland, Ltd. Rights 05/09/14 653 -- ----------- FRANCE -- (0.0%) * Peugeot SA Warrants 04/29/17 4,276 8,181 ----------- HONG KONG -- (0.0%) * Sun Hung Kai Properties 04/22/16 750 513 ----------- SPAIN -- (0.0%) * Banco Santander SA 74,333 15,725 ----------- TOTAL RIGHTS/WARRANTS 24,419 ----------- SHARES/ FACE AMOUNT (000) VALUE+ ------- ----------- SECURITIES LENDING COLLATERAL -- (8.2%) (S)@ DFA Short Term Investment Fund 611,875 7,079,391 ----------- TOTAL INVESTMENTS -- (100.0%) (Cost $78,386,052) $86,030,697 =========== DFA INTERNATIONAL VALUE EX TOBACCO PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, based on their valuation inputs, is as follows (See Security Valuation Note): INVESTMENTS IN SECURITIES (MARKET VALUE) ------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL ----------- ----------- ------- ----------- Common Stocks Australia -- $ 4,168,158 -- $ 4,168,158 Austria -- 200,752 -- 200,752 Belgium -- 1,181,049 -- 1,181,049 Canada $ 7,050,726 -- -- 7,050,726 Denmark -- 1,457,608 -- 1,457,608 Finland -- 830,502 -- 830,502 France 941,250 7,681,161 -- 8,622,411 Germany 593,172 5,839,547 -- 6,432,719 Hong Kong -- 1,563,042 -- 1,563,042 Ireland 17,334 78,970 -- 96,304 Israel -- 232,247 -- 232,247 Italy -- 1,443,630 -- 1,443,630 Japan 391,608 15,377,767 -- 15,769,375 Netherlands 235,658 2,677,864 -- 2,913,522 New Zealand -- 42,569 -- 42,569 Norway -- 578,055 -- 578,055 Portugal -- 29,419 -- 29,419 Singapore -- 985,703 -- 985,703 Spain -- 2,044,783 -- 2,044,783 Sweden -- 2,370,274 -- 2,370,274 Switzerland 159,704 7,314,493 -- 7,474,197 United Kingdom 9,489,062 3,717,756 -- 13,206,818 Preferred Stocks Germany -- 233,024 -- 233,024 Rights/Warrants Australia -- -- -- -- France -- 8,181 -- 8,181 Hong Kong -- 513 -- 513 Spain -- 15,725 -- 15,725 Securities Lending Collateral -- 7,079,391 -- 7,079,391 ----------- ----------- -- ----------- TOTAL $18,878,514 $67,152,183 -- $86,030,697 =========== =========== == =========== INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO SCHEDULE OF INVESTMENTS APRIL 30, 2014 (UNAUDITED) SHARES VALUE++ ------- ---------- COMMON STOCKS -- (89.8%) AUSTRALIA -- (6.1%) Adelaide Brighton, Ltd. 9,038 $ 32,944 AGL Energy, Ltd. 4,104 60,247 # ALS, Ltd. 11,011 77,011 #* Alumina, Ltd. 104,594 131,385 Amalgamated Holdings, Ltd. 2,620 21,422 Amcor, Ltd. 5,257 50,451 AMP, Ltd. 61,115 287,617 AP Eagers, Ltd. 1,533 7,205 APA Group 13,940 86,405 #* Aquila Resources, Ltd. 5,559 12,967 ARB Corp., Ltd. 474 5,383 Arrium, Ltd. 45,969 51,230 Asciano, Ltd. 28,690 144,781 ASX, Ltd. 3,431 113,539 # Atlas Iron, Ltd. 50,565 42,885 Aurizon Holdings, Ltd. 12,772 61,666 * Aurora Oil & Gas, Ltd. 9,387 35,667 # Ausdrill, Ltd. 2,610 2,264 Ausenco, Ltd. 4,581 2,366 Austbrokers Holdings, Ltd. 2,014 19,037 # Austin Engineering, Ltd. 5,812 11,142 Australia & New Zealand Banking Group, Ltd. 24,858 799,378 * Australian Agricultural Co., Ltd. 16,005 19,044 Australian Pharmaceutical Industries, Ltd. 16,591 8,950 Automotive Holdings Group, Ltd. 7,465 27,829 * AWE, Ltd. 22,768 33,261 Bank of Queensland, Ltd. 14,849 169,762 BC Iron, Ltd. 4,113 16,757 Beach Energy, Ltd. 60,347 96,577 Bega Cheese, Ltd. 5,491 26,308 Bendigo and Adelaide Bank, Ltd. 16,572 177,612 BHP Billiton, Ltd. 28,535 1,004,906 BHP Billiton, Ltd. Sponsored ADR 1,016 71,669 * Billabong International, Ltd. 25,506 11,281 * BlueScope Steel, Ltd. 19,711 119,169 #* Boart Longyear, Ltd. 21,171 5,631 Boral, Ltd. 32,200 170,891 # Bradken, Ltd. 8,625 34,039 Brambles, Ltd. 7,912 69,572 Breville Group, Ltd. 823 7,028 Brickworks, Ltd. 1,451 18,088 BT Investment Management, Ltd. 674 4,207 # Cabcharge Australia, Ltd. 5,750 20,756 Caltex Australia, Ltd. 3,820 79,297 # Cardno, Ltd. 5,813 37,858 carsales.com, Ltd. 1,936 19,606 # Cash Converters International, Ltd. 19,611 19,905 Cedar Woods Properties, Ltd. 2,082 14,022 Coca-Cola Amatil, Ltd. 5,020 43,336 # Cochlear, Ltd. 685 37,444 Commonwealth Bank of Australia 5,465 402,010 INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- AUSTRALIA -- (Continued) Computershare, Ltd. 3,183 $ 36,690 CSG, Ltd. 9,385 7,637 CSR, Ltd. 19,863 67,646 # David Jones, Ltd. 19,202 70,344 Decmil Group, Ltd. 10,789 20,446 # Domino's Pizza Enterprises, Ltd. 618 11,400 Downer EDI, Ltd. 18,658 87,101 #* Drillsearch Energy, Ltd. 13,075 19,579 DuluxGroup, Ltd. 5,283 28,218 * Emeco Holdings, Ltd. 7,304 1,779 * Energy Resources of Australia, Ltd. 3,419 4,212 #* Energy World Corp., Ltd. 19,261 5,115 Envestra, Ltd. 36,163 39,247 ERM Power, Ltd. 2,185 3,725 # Evolution Mining, Ltd. 3,686 2,941 Fairfax Media, Ltd. 77,745 71,034 Finbar Group, Ltd. 8,281 12,752 # Fleetwood Corp., Ltd. 779 1,675 # Flight Centre Travel Group, Ltd. 879 44,086 # Forge Group, Ltd. 4,090 -- # Fortescue Metals Group, Ltd. 25,112 118,778 Goodman Fielder, Ltd. 53,891 33,821 GrainCorp, Ltd. Class A 2,977 24,553 GUD Holdings, Ltd. 2,204 10,977 GWA Group, Ltd. 11,308 28,372 Harvey Norman Holdings, Ltd. 21,088 64,539 Hills, Ltd. 5,705 8,977 #* Horizon Oil, Ltd. 94,750 33,557 iiNET, Ltd. 1,156 7,717 Iluka Resources, Ltd. 8,845 73,483 # Imdex, Ltd. 3,611 2,475 Incitec Pivot, Ltd. 56,668 152,112 Independence Group NL 6,088 24,681 Insurance Australia Group, Ltd. 32,083 171,476 Invocare, Ltd. 2,542 25,201 IOOF Holdings, Ltd. 7,032 55,599 Iress, Ltd. 2,924 22,559 James Hardie Industries P.L.C. 3,212 41,236 # JB Hi-Fi, Ltd. 2,333 41,924 * Kingsgate Consolidated, Ltd. 1,314 1,099 # Leighton Holdings, Ltd. 2,791 49,630 Lend Lease Group 13,680 165,336 # M2 Group, Ltd. 1,303 6,847 * Macmahon Holdings, Ltd. 25,813 2,531 Macquarie Group, Ltd. 4,462 240,410 McMillan Shakespeare, Ltd. 2,776 25,145 * Medusa Mining, Ltd. 788 1,324 Mermaid Marine Australia, Ltd. 12,228 24,359 Mincor Resources NL 3,984 2,986 Mineral Resources, Ltd. 4,525 49,131 # Monadelphous Group, Ltd. 1,970 32,119 Mortgage Choice, Ltd. 2,795 6,900 INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- AUSTRALIA -- (Continued) # Mount Gibson Iron, Ltd. 26,826 $ 18,320 # Myer Holdings, Ltd. 20,385 42,231 National Australia Bank, Ltd. 23,943 788,380 Navitas, Ltd. 4,396 30,145 New Hope Corp., Ltd. 1,554 4,516 * Newcrest Mining, Ltd. 11,589 113,030 NIB Holdings, Ltd. 9,127 23,365 Northern Star Resources, Ltd. 22,898 25,048 NRW Holdings, Ltd. 23,027 24,090 # Nufarm, Ltd. 5,456 21,106 Oil Search, Ltd. 7,708 63,861 Orica, Ltd. 6,857 139,941 Origin Energy, Ltd. 23,532 326,904 Orora, Ltd. 5,257 6,816 OZ Minerals, Ltd. 11,740 40,404 Pacific Brands, Ltd. 24,707 11,633 #* Paladin Energy, Ltd. 32,268 13,123 PanAust, Ltd. 22,443 33,751 Panoramic Resources, Ltd. 9,832 5,768 * Peet, Ltd. 4,909 5,883 Perpetual, Ltd. 554 24,252 Platinum Asset Management, Ltd. 5,106 31,369 Premier Investments, Ltd. 2,662 24,586 Programmed Maintenance Services, Ltd. 7,117 18,845 #* Qantas Airways, Ltd. 73,331 83,417 QBE Insurance Group, Ltd. 20,207 218,087 RCR Tomlinson, Ltd. 2,571 6,547 REA Group, Ltd. 281 12,255 * Recall Holdings, Ltd. 1,582 6,684 * Red Fork Energy, Ltd. 23,710 2,315 # Regis Resources, Ltd. 5,460 12,382 * Resolute Mining, Ltd. 13,592 7,683 Retail Food Group, Ltd. 1,521 5,915 Ridley Corp., Ltd. 4,192 3,291 Rio Tinto, Ltd. 4,259 245,613 * Roc Oil Co., Ltd. 10,956 4,893 # SAI Global, Ltd. 10,948 43,500 * Sandfire Resources NL 4,951 26,301 Santos, Ltd. 22,199 284,621 * Saracen Mineral Holdings, Ltd. 90,687 27,920 Seek, Ltd. 4,297 67,299 * Senex Energy, Ltd. 31,721 19,703 Seven Group Holdings, Ltd. 3,625 27,768 Seven West Media, Ltd. 22,987 39,941 Sigma Pharmaceuticals, Ltd. 44,464 30,008 #* Silver Lake Resources, Ltd. 1,410 540 #* Sims Metal Management, Ltd. 5,998 54,856 Skilled Group, Ltd. 6,146 15,718 # SMS Management & Technology, Ltd. 974 3,402 Sonic Healthcare, Ltd. 4,576 75,482 Southern Cross Media Group, Ltd. 14,928 17,877 SP AusNet 26,894 35,047 INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ ----------- AUSTRALIA -- (Continued) Spark Infrastructure Group 28,821 $ 47,361 #* St Barbara, Ltd. 10,906 2,192 STW Communications Group, Ltd. 19,193 25,211 Suncorp Group, Ltd. 14,703 178,556 # Super Retail Group, Ltd. 3,035 28,727 # Sydney Airport 6,150 24,166 Tassal Group, Ltd. 5,025 19,389 Telstra Corp., Ltd. 8,140 39,578 #* Ten Network Holdings, Ltd. 59,087 14,884 TFS Corp., Ltd. 9,688 15,344 # Toll Holdings, Ltd. 24,809 122,373 Tox Free Solutions, Ltd. 2,925 9,419 TPG Telecom, Ltd. 2,043 11,329 * Transfield Services, Ltd. 16,546 14,817 * Transpacific Industries Group, Ltd. 49,472 51,446 Transurban Group 13,091 88,414 #* Troy Resources, Ltd. 443 404 # UGL, Ltd. 5,085 31,980 UXC, Ltd. 5,386 4,232 Village Roadshow, Ltd. 3,337 21,909 #* Virgin Australia Holdings, Ltd. 73,965 25,457 Wesfarmers, Ltd. 13,904 553,360 # Western Areas, Ltd. 5,005 19,319 Westpac Banking Corp. 19,827 649,424 #* Whitehaven Coal, Ltd. 22,370 30,483 Woodside Petroleum, Ltd. 5,437 206,666 Woolworths, Ltd. 2,773 96,367 WorleyParsons, Ltd. 2,526 39,612 ----------- TOTAL AUSTRALIA 12,498,139 ----------- AUSTRIA -- (0.6%) Agrana Beteiligungs AG 20 2,315 Andritz AG 982 61,001 Atrium European Real Estate, Ltd. 1,115 6,422 * BUWOG AG 641 11,770 Conwert Immobilien Invest SE 1,925 27,735 DO & CO AG 270 15,784 Erste Group Bank AG 6,139 206,420 EVN AG 1,416 19,733 # Flughafen Wien AG 467 45,849 IMMOFINANZ AG 12,835 47,664 # Kapsch TrafficCom AG 86 4,773 # Lenzing AG 120 7,660 # Mayr Melnhof Karton AG 246 31,321 # Oesterreichische Post AG 563 28,774 OMV AG 3,075 143,770 Palfinger AG 416 15,394 POLYTEC Holding AG 362 3,638 Raiffeisen Bank International AG 3,991 126,158 RHI AG 290 10,151 S IMMO AG 1,407 11,121 # Schoeller-Bleckmann Oilfield Equipment AG 164 20,848 INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- AUSTRIA -- (Continued) Semperit AG Holding 494 $ 27,580 Strabag SE 84 2,348 Telekom Austria AG 5,623 55,803 UNIQA Insurance Group AG 711 9,082 # Verbund AG 1,206 23,383 Vienna Insurance Group AG Wiener Versicherung Gruppe 1,086 58,082 Voestalpine AG 3,215 146,859 Wienerberger AG 4,685 86,960 Zumtobel AG 1,877 39,028 ---------- TOTAL AUSTRIA 1,297,426 ---------- BELGIUM -- (1.1%) Ackermans & van Haaren NV 1,045 135,132 Ageas 6,586 283,433 * AGFA-Gevaert NV 7,190 27,547 Arseus NV 1,215 68,823 Banque Nationale de Belgique 2 9,655 Barco NV 392 29,214 # Belgacom SA 5,226 159,955 Cie d'Entreprises CFE 102 11,239 Cie Maritime Belge SA 333 9,896 Colruyt SA 585 33,079 D'ieteren SA 745 34,466 # Delhaize Group SA 2,582 192,264 Delhaize Group SA Sponsored ADR 5,552 103,711 Econocom Group 801 8,590 Elia System Operator SA 1,004 53,253 EVS Broadcast Equipment SA 367 23,240 Exmar NV 1,088 18,160 * Ion Beam Applications 595 8,230 KBC Groep NV 5,395 329,218 Kinepolis Group NV 141 27,604 # Lotus Bakeries 6 6,665 Melexis NV 506 20,347 Mobistar SA 1,345 26,248 NV Bekaert SA 1,317 53,599 # Nyrstar NV 3,526 14,039 Recticel SA 358 3,224 Sipef SA 26 2,271 Solvay SA 1,105 179,071 Telenet Group Holding NV 861 50,494 Tessenderlo Chemie NV 974 29,828 #* ThromboGenics NV 592 18,861 # Umicore SA 3,637 178,281 Van de Velde NV 436 23,207 ---------- TOTAL BELGIUM 2,172,844 ---------- BRAZIL -- (0.0%) * MBAC Fertilizer Corp. 1,200 602 ---------- CANADA -- (9.1%) * 5N Plus, Inc. 4,100 18,068 INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- CANADA -- (Continued) Absolute Software Corp. 3,700 $ 23,191 * Advantage Oil & Gas, Ltd. 7,920 50,148 Aecon Group, Inc. 1,657 27,832 # AG Growth International, Inc. 200 7,916 AGF Management, Ltd. Class B 1,700 18,938 Agnico Eagle Mines, Ltd. 3,299 97,518 Agrium, Inc. 1,097 105,389 Aimia, Inc. 3,000 48,310 * Ainsworth Lumber Co., Ltd. 2,800 9,605 Alacer Gold Corp. 11,696 27,958 Alamos Gold, Inc.(2411707) 1,088 10,175 * Alamos Gold, Inc.(011527108) 1,200 11,184 * Alexco Resource Corp. 1,285 1,658 # Algonquin Power & Utilities Corp. 7,894 56,754 Alimentation Couche Tard, Inc. Class B 1,500 42,275 Alliance Grain Traders, Inc. 300 5,017 # AltaGas, Ltd. 2,300 97,997 Altus Group, Ltd. 400 7,098 #* Alvopetro Energy, Ltd. 700 607 # ARC Resources, Ltd. 2,500 74,175 * Argonaut Gold, Inc. 3,300 12,194 * Artek Exploration, Ltd. 8,000 31,166 Atco, Ltd. Class I 800 39,057 * Athabasca Oil Corp. 11,500 85,407 * ATS Automation Tooling Systems, Inc. 3,200 41,458 AuRico Gold, Inc. 10,768 44,795 AutoCanada, Inc. 400 25,546 * Avigilon Corp. 547 12,881 #* B2Gold Corp. 25,563 73,467 Badger Daylighting, Ltd. 600 20,911 Bank of Montreal 8,519 587,300 Bank of Nova Scotia 11,901 723,343 * Bankers Petroleum, Ltd. 7,000 38,128 Barrick Gold Corp. 17,543 306,476 Baytex Energy Corp. 905 37,648 BCE, Inc. 800 35,632 # Bell Aliant, Inc. 1,300 32,024 * Bellatrix Exploration, Ltd. 7,224 70,259 * Birchcliff Energy, Ltd. 4,100 47,544 Black Diamond Group, Ltd. 1,000 31,440 #* BlackBerry, Ltd. 21,014 160,967 * BlackPearl Resources, Inc. 10,381 29,172 * BNK Petroleum, Inc. 9,658 18,416 # Bombardier, Inc. Class B 10,500 42,247 # Bonavista Energy Corp. 7,239 113,732 # Bonterra Energy Corp. 500 26,080 Boralex, Inc. Class A 1,000 11,642 Brookfield Asset Management, Inc. Class A 1,760 73,881 * Brookfield Residential Properties, Inc. 457 8,962 Calfrac Well Services, Ltd. 1,600 55,399 * Calvalley Petroleums, Inc. Class A 1,493 2,152 Cameco Corp. 7,189 153,054 INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- CANADA -- (Continued) Canaccord Genuity Group, Inc. 3,400 $ 29,376 Canadian Imperial Bank of Commerce 2,899 258,736 Canadian National Railway Co. 2,495 146,132 Canadian Natural Resources, Ltd. 12,687 517,249 Canadian Oil Sands, Ltd. 7,097 153,848 Canadian Pacific Railway, Ltd. 300 46,791 Canadian Tire Corp., Ltd. Class A 1,900 186,611 Canadian Utilities, Ltd. Class A 700 25,859 Canadian Western Bank 2,800 94,879 Canam Group, Inc. Class A 1,400 17,908 CanElson Drilling, Inc. 4,900 36,748 Canexus Corp. 3,400 14,952 * Canfor Corp. 2,200 49,899 Canfor Pulp Products, Inc. 1,300 14,446 # Canyon Services Group, Inc. 2,376 32,690 # Capital Power Corp. 1,700 38,186 Capstone Infrastructure Corp. 8,300 30,669 * Capstone Mining Corp. 16,300 42,979 Cascades, Inc. 4,200 24,601 * Catamaran Corp 1,690 63,798 CCL Industries, Inc. Class B 785 71,377 * Celestica, Inc. 7,581 84,149 Cenovus Energy, Inc. 2,097 62,428 Centerra Gold, Inc. 5,442 27,904 * Cequence Energy, Ltd. 6,404 17,645 Cervus Equipment Corp. 600 11,775 * CGI Group, Inc. Class A 2,196 79,210 * China Gold International Resources Corp., Ltd. 5,000 12,864 Churchill Corp. Class A 1,300 13,130 CI Financial Corp. 1,000 32,480 # Cineplex, Inc. 1,400 52,766 Cogeco Cable, Inc. 502 27,481 Cogeco, Inc. 175 9,171 Colabor Group, Inc. 500 1,588 * COM DEV International, Ltd. 1,400 4,662 Computer Modelling Group, Ltd. 300 8,178 Constellation Software, Inc. 100 22,148 Contrans Group, Inc. Class A 527 6,914 * Copper Mountain Mining Corp. 11,097 23,590 # Corus Entertainment, Inc. Class B 3,700 83,111 Cott Corp. 5,107 41,469 # Crescent Point Energy Corp. 4,478 182,176 * Crew Energy, Inc. 5,100 57,791 * Crocotta Energy, Inc. 1,600 5,489 Davis + Henderson Corp. 2,129 61,653 * DeeThree Exploration, Ltd. 3,900 41,774 * Delphi Energy Corp. 8,492 25,955 #* Denison Mines Corp. 3,500 4,790 * Descartes Systems Group, Inc. (The) 100 1,355 DHX Media, Ltd. 1,100 4,948 Dollarama, Inc. 300 24,951 * Dominion Diamond Corp. 2,408 30,317 INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- CANADA -- (Continued) Dorel Industries, Inc. Class B 989 $ 35,444 * Dundee Precious Metals, Inc. 4,000 13,284 Eldorado Gold Corp.(284902103) 7,243 44,182 Eldorado Gold Corp.(2307873) 9,703 59,136 # Emera, Inc. 800 24,743 Empire Co., Ltd. 865 54,715 # Enbridge Income Fund Holdings, Inc. 1,100 26,736 Enbridge, Inc.(2466149) 2,200 106,161 Enbridge, Inc.(29250N105) 602 29,071 Encana Corp. 2,347 54,474 * Endeavour Mining Corp. 4,500 3,531 * Endeavour Silver Corp. 4,949 22,617 Enerplus Corp. 8,340 185,231 Enghouse Systems, Ltd. 200 5,702 Ensign Energy Services, Inc. 4,200 66,101 * Essential Energy Services Trust 2,400 6,262 Evertz Technologies, Ltd. 1,400 20,820 # Exchange Income Corp. 200 3,389 # Extendicare, Inc. 2,000 12,299 Fairfax Financial Holdings, Ltd. 427 186,181 Finning International, Inc. 4,000 108,024 First Capital Realty, Inc. 1,651 27,038 * First Majestic Silver Corp. 3,003 28,529 # First Quantum Minerals, Ltd. 13,624 271,350 FirstService Corp. 600 29,778 # Fortis, Inc. 1,100 32,316 * Fortuna Silver Mines, Inc.(349915108) 1,312 5,445 * Fortuna Silver Mines, Inc.(2383033) 7,299 30,234 # Genworth MI Canada, Inc. 2,079 72,932 George Weston, Ltd. 1,140 85,891 Gibson Energy, Inc. 3,000 80,088 Gildan Activewear, Inc. 802 41,022 Gluskin Sheff + Associates, Inc. 500 15,027 GMP Capital, Inc. 1,000 7,582 Goldcorp, Inc. 8,897 219,934 #* Golden Star Resources, Ltd. 12,402 7,581 * Gran Tierra Energy, Inc.(38500T101) 2,706 19,348 * Gran Tierra Energy, Inc.(B2PPCS5) 11,198 79,588 * Great Panther Silver, Ltd. 753 824 Great-West Lifeco, Inc. 3,224 90,715 * Heroux-Devtek, Inc. 200 2,091 High Liner Foods, Inc. 200 8,084 Horizon North Logistics, Inc. 4,600 33,533 HudBay Minerals, Inc. 2,840 24,878 # Husky Energy, Inc. 5,100 166,673 IAMGOLD Corp.(450913108) 4,292 14,979 IAMGOLD Corp.(2446646) 8,100 28,230 IGM Financial, Inc. 200 9,961 * Imax Corp. 400 10,256 * Imperial Metals Corp. 1,400 17,819 Imperial Oil, Ltd. 2,148 104,822 Industrial Alliance Insurance & Financial Services, Inc. 2,918 120,469 INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- CANADA -- (Continued) # Innergex Renewable Energy, Inc. 4,100 $ 39,651 Intact Financial Corp. 1,900 124,760 * International Forest Products, Ltd. Class A 3,000 45,491 Intertape Polymer Group, Inc. 1,400 16,426 * Ithaca Energy, Inc. 13,625 35,801 Jean Coutu Group PJC, Inc. (The) Class A 2,100 42,324 Just Energy Group, Inc.(B693818) 4,023 31,983 # Just Energy Group, Inc.(B63MCN1) 1,499 11,912 # Keyera Corp. 700 46,558 # Killam Properties, Inc. 1,800 17,162 Kinross Gold Corp. 27,330 110,960 #* Kirkland Lake Gold, Inc. 2,200 6,202 * Knight Therapeutics, Inc. 400 2,120 #* Lake Shore Gold Corp. 32,305 25,937 Laurentian Bank of Canada 1,400 60,136 * Legacy Oil + Gas, Inc. 5,483 42,671 # Leisureworld Senior Care Corp. 2,400 26,758 Leon's Furniture, Ltd. 1,700 23,358 # Lightstream Resources, Ltd. 6,484 38,986 Linamar Corp. 1,500 75,092 Loblaw Cos., Ltd. 2,192 95,313 # Long Run Exploration, Ltd. 3,800 19,207 * Lucara Diamond Corp. 11,000 19,169 * Lundin Mining Corp. 2,244 11,465 MacDonald Dettwiler & Associates, Ltd. 700 54,286 Magna International, Inc. 1,899 186,083 Major Drilling Group International, Inc. 3,500 27,526 Manitoba Telecom Services, Inc. 900 24,872 Manulife Financial Corp. 20,246 379,613 Maple Leaf Foods, Inc. 3,500 57,830 Martinrea International, Inc. 2,900 29,210 # Medical Facilities Corp. 400 6,952 * MEG Energy Corp. 2,400 86,405 #* MEGA Brands, Inc. 93 1,505 Methanex Corp. 698 43,276 # Metro, Inc. 1,359 83,768 # Morneau Shepell, Inc. 2,200 32,196 MTY Food Group, Inc. 100 2,764 # Mullen Group, Ltd. 3,635 98,565 National Bank of Canada 3,774 156,635 Nevsun Resources, Ltd. 9,072 32,860 # New Flyer Industries, Inc. 1,976 20,949 * New Gold, Inc.(644535106) 4,011 20,336 * New Gold, Inc.(2826947) 16,399 82,889 * New Millennium Iron Corp. 2,000 748 Newalta Corp. 1,600 29,342 #* Niko Resources, Ltd. 3,600 6,766 Norbord, Inc. 1,000 24,497 * Nordion, Inc. 800 9,264 #* North American Palladium, Ltd. 3,301 956 North West Co., Inc. (The) 468 10,350 Northland Power, Inc. 1,327 20,739 INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- CANADA -- (Continued) #* Novagold Resources, Inc. 5,135 $ 18,084 * NuVista Energy, Ltd. 6,600 65,877 * OceanaGold Corp. 18,166 46,076 Onex Corp. 700 39,980 Open Text Corp. 1,394 68,780 * Osisko Mining Corp. 12,274 87,907 Pacific Rubiales Energy Corp. 8,118 132,504 Pan American Silver Corp. 6,984 90,513 * Paramount Resources, Ltd. Class A 1,000 54,414 * Parex Resources, Inc. 2,921 29,209 # Parkland Fuel Corp. 900 16,669 # Pason Systems, Inc. 1,400 38,881 * Pembina Pipeline Corp. 2,202 86,583 Pengrowth Energy Corp.(70706P104) 4,002 26,013 # Pengrowth Energy Corp.(B67M828) 13,782 89,529 Penn West Petroleum, Ltd. 12,635 114,473 # Peyto Exploration & Development Corp. 1,300 47,929 # PHX Energy Services Corp. 600 8,272 Potash Corp. of Saskatchewan, Inc. 2,603 94,124 Precision Drilling Corp. 9,971 129,623 Premium Brands Holdings Corp. 1,100 21,226 * Primero Mining Corp.(74164W106) 700 4,431 * Primero Mining Corp.(B4Z8FV2) 3,700 23,394 Progressive Waste Solutions, Ltd. 3,200 77,984 Pure Technologies, Ltd. 2,200 14,191 Quebecor, Inc. Class B 2,000 47,169 Reitmans Canada, Ltd. Class A 2,100 12,741 Ritchie Bros Auctioneers, Inc. 1,701 42,525 * RMP Energy, Inc. 3,649 27,799 Rocky Mountain Dealerships, Inc. 200 1,932 Rogers Communications, Inc. Class B 800 31,776 # Rogers Sugar, Inc. 3,500 15,647 # RONA, Inc. 4,300 43,351 Royal Bank of Canada 5,710 381,428 # Russel Metals, Inc. 2,100 61,790 #* Sandstorm Gold, Ltd. 4,900 27,137 * Sandvine Corp. 7,400 26,331 Saputo, Inc. 825 44,116 Savanna Energy Services Corp. 3,100 25,144 * Scorpio Mining Corp. 4,800 1,139 Sears Canada, Inc. 1,313 19,227 SEMAFO, Inc. 12,599 47,129 Shaw Communications, Inc. Class B 3,100 75,113 ShawCor, Ltd. 878 39,108 Sherritt International Corp. 9,158 38,769 * Sierra Wireless, Inc. 800 17,248 * Silver Standard Resources, Inc. 4,692 46,498 Silver Wheaton Corp. 2,898 64,336 SNC-Lavalin Group, Inc. 900 40,827 #* Southern Pacific Resource Corp. 19,107 5,578 #* SouthGobi Resources, Ltd. 800 511 Sprott Resource Corp. 1,300 3,001 INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- CANADA -- (Continued) # Sprott, Inc. 9,400 $ 27,873 # Spyglass Resources Corp. 3,710 6,127 Stantec, Inc. 667 39,533 Stella-Jones, Inc. 400 10,934 Student Transportation, Inc. 700 4,340 Sun Life Financial, Inc. 8,091 273,799 Suncor Energy, Inc. 21,740 839,164 * SunOpta, Inc. 5,300 61,557 # Superior Plus Corp. 4,181 50,391 # Surge Energy, Inc. 4,900 30,981 #* TAG Oil, Ltd. 1,089 3,169 Talisman Energy, Inc. 11,261 116,326 * Taseko Mines, Ltd. 7,200 15,569 Teck Resources, Ltd. Class B 5,945 135,368 TELUS Corp. 200 7,054 * Thompson Creek Metals Co., Inc. 6,318 16,932 Thomson Reuters Corp. 3,405 123,193 Tim Hortons, Inc. 700 38,423 * Timmins Gold Corp. 3,900 5,480 TMX Group, Ltd. 470 24,760 TORC Oil & Gas, Ltd. 2,700 32,960 Toromont Industries, Ltd. 1,095 27,084 Toronto-Dominion Bank (The) 18,099 870,381 Torstar Corp. Class B 1,200 7,149 Total Energy Services, Inc. 1,800 35,473 * Tourmaline Oil Corp. 1,296 67,123 TransAlta Corp. 12,106 147,935 TransCanada Corp. 3,600 167,868 Transcontinental, Inc. Class A 2,695 39,268 TransForce, Inc. 2,765 60,368 * TransGlobe Energy Corp.(893662106) 500 3,900 * TransGlobe Energy Corp.(2470548) 1,000 7,792 Trican Well Service, Ltd. 5,000 71,621 Trilogy Energy Corp. 1,000 27,371 Trinidad Drilling, Ltd. 4,600 51,454 * Turquoise Hill Resources, Ltd.(B7WJ1F5) 16,200 62,964 * Turquoise Hill Resources, Ltd.(900435108) 3,396 13,244 # Twin Butte Energy, Ltd. 13,668 29,430 Valener, Inc. 800 11,394 # Veresen, Inc. 3,600 53,242 # Vermilion Energy, Inc. 600 39,923 # Wajax Corp. 900 29,109 West Fraser Timber Co., Ltd. 1,800 80,471 Western Energy Services Corp. 2,600 26,710 Western Forest Products, Inc. 6,614 13,215 Westshore Terminals Investment Corp. 200 6,500 Whistler Blackcomb Holdings, Inc. 500 7,481 # Whitecap Resources, Inc. 6,155 81,202 Wi-Lan, Inc. 5,600 17,218 Winpak, Ltd. 189 4,763 WSP Global, Inc. 1,400 47,912 Yamana Gold, Inc. 14,406 107,757 INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ ----------- CANADA -- (Continued) # Zargon Oil & Gas, Ltd. 600 $ 5,288 ZCL Composites, Inc. 1,726 9,937 ----------- TOTAL CANADA 18,662,049 ----------- DENMARK -- (1.2%) ALK-Abello A.S. 200 27,751 * Alm Brand A.S. 5,886 28,589 Ambu A.S. Class B 377 25,209 * Auriga Industries A.S. Class B 487 18,036 * Bang & Olufsen A.S. 2,210 22,826 * Bavarian Nordic A.S. 1,032 21,907 Chr Hansen Holding A.S. 2,237 100,855 Coloplast A.S. Class B 418 35,109 D/S Norden A.S. 944 37,757 Danske Bank A.S. 7,506 212,369 Dfds A.S. 74 5,851 DSV A.S. 6,332 211,484 East Asiatic Co., Ltd. A.S. 260 3,457 # FLSmidth & Co. A.S. 1,058 56,643 * Genmab A.S. 620 23,097 GN Store Nord A.S. 5,893 142,367 H Lundbeck A.S. 2,480 72,279 IC Companys A.S. 172 5,135 * Jyske Bank A.S. 2,785 153,119 NKT Holding A.S. 891 56,214 Novozymes A.S. Class B 2,034 97,520 Pandora A.S. 1,586 106,913 PER Aarsleff A.S. Class B 239 43,331 Ringkjoebing Landbobank A.S. 163 37,296 Rockwool International A.S. Class B 254 48,995 Schouw & Co. 735 41,028 SimCorp A.S. 1,120 43,001 Solar A.S. Class B 239 16,531 Spar Nord Bank A.S. 3,872 43,591 * Sydbank A.S. 2,665 71,081 TDC A.S. 14,814 139,116 * Topdanmark A.S. 3,050 89,242 Tryg A.S. 623 59,169 United International Enterprises 84 16,793 * Vestas Wind Systems A.S. 5,980 265,578 * William Demant Holding A.S. 310 27,780 #* Zealand Pharma A.S. 82 1,014 ----------- TOTAL DENMARK 2,408,033 ----------- FINLAND -- (1.4%) # Aktia Bank Oyj 1,256 15,729 Amer Sports Oyj 5,505 113,820 BasWare Oyj 260 12,320 # Cargotec Oyj 2,056 91,909 Caverion Corp. 3,326 36,951 Citycon Oyj 10,077 37,811 Elisa Oyj 2,203 65,837 INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- FINLAND -- (Continued) * Finnair Oyj 981 $ 4,093 Fiskars Oyj Abp 1,642 44,553 # Fortum Oyj 10,958 247,564 HKScan Oyj Class A 1,348 7,152 Huhtamaki Oyj 3,131 82,327 Kemira Oyj 4,009 61,281 Kesko Oyj Class A 790 31,557 Kesko Oyj Class B 2,676 109,536 Konecranes Oyj 1,327 42,831 Lassila & Tikanoja Oyj 590 11,489 Metsa Board Oyj 6,782 31,747 # Neste Oil Oyj 4,482 92,176 # Nokian Renkaat Oyj 2,084 82,930 * Oriola-KD Oyj Class B 7,189 23,834 * Outokumpu Oyj 52,405 16,034 # Outotec Oyj 4,209 47,172 PKC Group Oyj 968 32,110 * Poyry Oyj 493 2,727 Raisio P.L.C. Class V 4,905 32,082 Ramirent Oyj 2,442 27,372 * Rautaruukki Oyj 4,587 57,146 Sampo Class A 7,907 392,974 Sanoma Oyj 4,560 30,705 # Stockmann Oyj Abp 832 11,816 Stora Enso Oyj Class R 20,818 212,585 Technopolis Oyj 2,001 12,181 Tieto Oyj 1,892 51,775 Tikkurila Oyj 677 16,802 UPM-Kymmene Oyj 24,046 421,137 Uponor Oyj 843 16,699 Vacon P.L.C. 176 7,302 Vaisala Oyj Class A 133 4,328 Wartsila Oyj Abp 2,431 135,711 # YIT Oyj 4,403 45,289 ---------- TOTAL FINLAND 2,821,394 ---------- FRANCE -- (7.1%) # Accor SA 1,411 69,082 Aeroports de Paris 251 31,213 Air Liquide SA 836 119,604 Airbus Group NV 1,827 125,588 Akka Technologies SA 621 22,501 Albioma 1,414 39,484 Alten SA 1,152 58,858 Altran Technologies SA 5,511 60,083 April 1,193 28,517 Arkema SA 1,022 114,149 Assystem 402 12,958 AtoS 1,235 106,694 AXA SA 23,354 609,446 * Beneteau SA 497 8,610 BioMerieux 526 57,458 INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- FRANCE -- (Continued) BNP Paribas SA 13,156 $988,601 Boiron SA 290 24,463 Bonduelle SCA 1,111 32,222 Bongrain SA 84 7,345 Bourbon SA 1,518 50,092 * Boursorama 343 5,746 * Bull 1,718 9,118 Bureau Veritas SA 640 19,613 Cap Gemini SA 2,310 163,210 # Carrefour SA 6,918 269,671 Casino Guichard Perrachon SA 1,640 208,974 * Cegedim SA 334 12,257 * CGG SA 2,028 35,088 Christian Dior SA 198 40,740 Cie de St-Gobain 7,158 438,538 * Cie des Alpes 283 6,354 Cie Generale des Etablissements Michelin 3,386 415,228 Ciments Francais SA 155 16,669 * Club Mediterranee SA 316 8,239 CNP Assurances 4,328 99,845 * Credit Agricole SA 20,273 319,876 Danone SA 1,274 94,071 Dassault Systemes 406 49,961 Derichebourg SA 1,773 6,912 Edenred 4,004 135,330 Eiffage SA 1,139 86,099 Electricite de France SA 2,990 114,819 # Eramet 319 41,610 Essilor International SA 1,049 112,335 Esso SA Francaise 70 3,836 Etablissements Maurel et Prom 2,968 52,956 Euler Hermes SA 603 72,754 Eurofins Scientific SE 66 18,328 Eutelsat Communications SA 1,730 59,509 Faiveley Transport SA 121 9,967 * Faurecia 2,148 96,687 Fimalac 134 11,416 # GDF Suez 18,302 461,273 GL Events 119 2,997 Groupe Eurotunnel SA 16,849 226,195 * Groupe Fnac 60 2,870 Groupe Steria SCA 1,614 45,460 * Haulotte Group SA 1,255 23,970 Havas SA 8,233 65,528 Iliad SA 110 29,655 Imerys SA 1,002 87,993 # Ingenico 955 83,335 Interparfums SA 141 6,447 Ipsen SA 1,199 53,236 IPSOS 1,229 47,735 Jacquet Metal Service 1,075 23,046 JCDecaux SA 1,491 61,206 INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- FRANCE -- (Continued) Kering 242 $ 53,523 Korian-Medica 1,315 49,356 # L'Oreal SA 556 95,824 Lagardere SCA 3,973 166,510 Legrand SA 1,547 99,961 LISI 167 27,086 LVMH Moet Hennessy Louis Vuitton SA 791 155,822 Manitou BF SA 323 6,111 Mersen 323 10,343 Metropole Television SA 1,582 33,905 MGI Coutier 68 13,161 Montupet 560 46,353 Natixis 22,875 162,382 # Naturex 174 15,272 Neopost SA 1,447 118,818 Nexans SA 923 51,966 Nexity SA 921 41,314 Norbert Dentressangle SA 126 21,601 * NRJ Group 384 4,746 Orange SA 28,976 469,448 Orpea 1,027 74,709 * Parrot SA 437 13,366 #* Peugeot SA 9,470 167,552 * Pierre & Vacances SA 349 14,715 Plastic Omnium SA 1,239 42,157 Publicis Groupe SA 927 79,304 Rallye SA 1,010 51,372 Rexel SA 6,479 163,575 Rubis SCA 1,112 79,178 Saft Groupe SA 1,062 37,768 Sartorius Stedim Biotech 52 9,884 SCOR SE 6,504 237,999 SEB SA 552 50,945 SES SA 2,071 78,027 Societe BIC SA 454 60,233 Societe d'Edition de Canal + 2,883 25,370 Societe Generale SA 9,494 591,260 # Societe Television Francaise 1 4,190 71,347 Sodexo 440 47,438 #* SOITEC 9,334 28,196 #* Solocal Group 2,755 6,290 Sopra Group SA 71 8,173 * Ste Industrielle d'Aviation Latecoere SA 777 14,356 Stef SA 175 13,840 STMicroelectronics NV(5962332) 19,533 186,270 # STMicroelectronics NV(861012102) 3,197 30,340 * Store Electronic 567 12,594 Suez Environnement Co. 4,751 93,355 Synergie SA 618 17,888 * Technicolor SA 1,882 14,071 Technip SA 870 97,926 Teleperformance 1,878 107,708 INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ ----------- FRANCE -- (Continued) Tessi SA 32 $ 4,007 Thermador Groupe 80 8,832 Total Gabon 20 12,186 Total SA 19,994 1,430,454 Total SA Sponsored ADR 6,978 497,113 * Trigano SA 1,173 32,499 * UBISOFT Entertainment 3,630 67,742 Valeo SA 1,785 245,133 Vallourec SA 3,680 217,471 # Veolia Environnement SA 5,399 100,723 Veolia Environnement SA ADR 1,130 21,221 Vicat 563 48,859 # Vilmorin & Cie SA 173 22,797 Vinci SA 3,877 292,738 Virbac SA 119 28,530 Vivendi SA 15,684 421,378 Zodiac Aerospace 3,590 119,359 ----------- TOTAL FRANCE 14,565,420 ----------- GERMANY -- (6.0%) * Aareal Bank AG 2,207 100,318 Adidas AG 1,511 161,528 * ADVA Optical Networking SE 893 4,006 * Aixtron SE 2,254 35,888 # Allianz SE 5,674 987,445 Amadeus Fire AG 146 12,701 Aurubis AG 720 38,466 Axel Springer SE 1,723 105,210 # BASF SE 4,083 473,651 Bayerische Motoren Werke AG 4,086 513,630 BayWa AG 473 26,831 Bechtle AG 510 45,383 Bertrandt AG 60 9,089 Bijou Brigitte AG 144 14,019 Bilfinger SE 1,459 173,950 # Biotest AG 105 12,955 Borussia Dortmund GmbH & Co. KGaA 655 3,416 Brenntag AG 1,161 210,316 # CANCOM SE 387 17,064 Carl Zeiss Meditec AG 484 14,736 CAT Oil AG 1,276 26,771 Celesio AG 3,394 117,956 CENTROTEC Sustainable AG 278 7,116 Cewe Stiftung & Co. KGAA 251 19,776 Comdirect Bank AG 2,126 24,508 * Commerzbank AG 21,499 383,352 CompuGroup Medical AG 707 18,858 Continental AG 336 79,062 CropEnergies AG 700 4,592 CTS Eventim AG 415 26,435 # Deutsche Bank AG 11,410 502,382 Deutsche Boerse AG 1,175 86,166 INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- GERMANY -- (Continued) Deutsche Telekom AG 31,094 $522,412 # Deutsche Wohnen AG(B0YZ0Z5) 4,275 91,773 * Deutsche Wohnen AG(BFLR888) 2,647 55,450 * Dialog Semiconductor P.L.C. 2,684 67,992 DMG MORI SEIKI AG 2,143 67,529 Draegerwerk AG & Co. KGaA 215 22,080 Drillisch AG 1,920 71,689 # Duerr AG 597 47,238 E.ON SE 21,051 403,229 Eckert & Ziegler AG 144 5,004 Elmos Semiconductor AG 500 10,073 ElringKlinger AG 1,047 42,271 # Euromicron AG 154 2,823 #* Evotec AG 4,707 23,539 Fielmann AG 192 25,975 Fraport AG Frankfurt Airport Services Worldwide 1,063 78,616 Freenet AG 3,538 122,532 Fresenius Medical Care AG & Co. KGaA 3,768 259,606 # Fuchs Petrolub SE 247 22,772 GEA Group AG 3,525 157,879 # Gerresheimer AG 1,260 85,537 # Gerry Weber International AG 500 26,408 Gesco AG 44 4,579 GFK SE 320 16,516 Grammer AG 258 14,258 * H&R AG 304 3,017 Hamburger Hafen und Logistik AG 1,013 24,567 # Hannover Rueck SE 2,276 212,082 HeidelbergCement AG 3,328 289,164 #* Heidelberger Druckmaschinen AG 12,760 40,471 Henkel AG & Co. KGaA 450 46,268 # Hochtief AG 1,240 115,612 Homag Group AG 206 6,019 Hornbach Baumarkt AG 417 17,452 Hugo Boss AG 361 50,153 Indus Holding AG 721 33,838 Infineon Technologies AG 20,106 233,778 Jenoptik AG 1,909 31,865 # K+S AG 5,865 205,510 * Kloeckner & Co. SE 3,589 54,395 Koenig & Bauer AG 107 1,785 Kontron AG 1,056 7,372 Krones AG 470 44,996 KUKA AG 800 41,015 KWS Saat AG 47 16,798 Lanxess AG 3,323 253,051 # Leoni AG 1,425 106,219 Linde AG 1,904 395,432 * Manz AG 353 31,709 * Metro AG 2,111 84,575 MLP AG 1,362 9,264 MTU Aero Engines AG 1,553 146,427 INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ ----------- GERMANY -- (Continued) # Muenchener Rueckversicherungs AG 2,230 $ 515,484 MVV Energie AG 175 5,590 * Nordex SE 2,243 35,912 Norma Group SE 800 41,984 OHB AG 906 25,571 * Osram Licht AG 3,346 175,663 * Patrizia Immobilien AG 985 11,648 Pfeiffer Vacuum Technology AG 449 53,409 # PNE Wind AG 2,501 9,625 # Puma SE 124 36,632 * QIAGEN NV(5732825) 4,695 103,073 * QIAGEN NV(2437907) 526 11,519 QSC AG 4,310 22,179 R Stahl AG 104 6,174 # Rational AG 101 32,259 RWE AG 12,966 494,797 SAF-Holland SA 1,876 28,069 Salzgitter AG 1,246 52,925 SAP AG 2,028 163,917 SAP AG Sponsored ADR 555 44,949 # SGL Carbon SE 579 19,282 Siemens AG 2,747 362,385 Sixt SE 330 13,344 * Sky Deutschland AG 4,942 42,413 # SMA Solar Technology AG 616 25,794 Software AG 1,864 70,210 #* Solarworld AG 19 854 Stada Arzneimittel AG 1,005 43,824 * Stroeer Media AG 1,459 25,139 Suedzucker AG 3,533 75,497 * Suss Microtec AG 1,897 18,435 Symrise AG 1,732 87,495 # Takkt AG 989 20,061 * Talanx AG 979 37,462 Telefonica Deutschland Holding AG 4,151 34,534 * ThyssenKrupp AG 3,078 87,853 #* Tom Tailor Holding AG 934 18,168 # TUI AG 6,293 104,786 United Internet AG 1,839 79,002 Vossloh AG 252 24,907 VTG AG 652 14,413 # Wacker Chemie AG 638 74,997 Wacker Neuson SE 1,765 33,553 Wincor Nixdorf AG 513 33,606 ----------- TOTAL GERMANY 12,227,583 ----------- HONG KONG -- (2.8%) AAC Technologies Holdings, Inc. 7,500 41,995 AIA Group, Ltd. 90,200 438,696 APT Satellite Holdings, Ltd. 21,500 26,988 # ASM Pacific Technology, Ltd. 5,300 58,894 Bank of East Asia, Ltd. 22,200 91,706 INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- HONG KONG -- (Continued) BOC Hong Kong Holdings, Ltd. 24,500 $ 72,521 * Brightoil Petroleum Holdings, Ltd. 139,000 43,174 Cafe de Coral Holdings, Ltd. 10,000 31,512 Cathay Pacific Airways, Ltd. 19,000 35,957 Cheung Kong Holdings, Ltd. 15,000 255,772 Cheung Kong Infrastructure Holdings, Ltd. 14,000 91,400 Chevalier International Holdings, Ltd. 4,000 6,506 Chong Hing Bank, Ltd. 1,094 3,824 Chow Sang Sang Holdings International, Ltd. 14,000 34,463 # Chow Tai Fook Jewellery Group, Ltd. 20,600 29,088 CITIC Telecom International Holdings, Ltd. 58,000 20,250 CK Life Sciences International Holdings, Inc. 244,000 24,585 CLP Holdings, Ltd. 6,000 47,967 CSI Properties, Ltd. 390,000 13,616 Dah Sing Banking Group, Ltd. 27,328 40,847 Dah Sing Financial Holdings, Ltd. 4,520 20,032 Dorsett Hospitality International, Ltd. 46,000 8,199 Emperor Watch & Jewellery, Ltd. 130,000 9,580 Esprit Holdings, Ltd. 69,600 116,238 Fairwood Holdings, Ltd. 5,500 11,243 Far East Consortium International, Ltd. 34,000 12,347 * FIH Mobile, Ltd. 85,000 45,912 First Pacific Co., Ltd. 80,000 88,961 * G-Resources Group, Ltd. 831,600 22,931 Giordano International, Ltd. 54,000 36,249 # Haitong International Securities Group, Ltd. 14,000 7,038 Hang Lung Group, Ltd. 22,000 119,477 Hang Lung Properties, Ltd. 46,000 137,797 Hang Seng Bank, Ltd. 8,200 134,086 HKR International, Ltd. 44,800 18,383 Hong Kong & China Gas Co., Ltd. 25,200 58,147 Hong Kong Aircraft Engineering Co., Ltd. 1,600 18,611 Hong Kong Exchanges and Clearing, Ltd. 6,877 123,671 Hongkong & Shanghai Hotels (The) 21,000 30,711 Hongkong Chinese, Ltd. 30,000 7,288 Hopewell Holdings, Ltd. 25,500 87,777 Hutchison Telecommunications Hong Kong Holdings, Ltd. 80,000 26,220 Hutchison Whampoa, Ltd. 21,000 288,109 Hysan Development Co., Ltd. 12,000 51,777 IT, Ltd. 12,000 3,255 Johnson Electric Holdings, Ltd. 47,500 45,495 K Wah International Holdings, Ltd. 74,000 49,425 * Kerry Logistics Network, Ltd. 7,000 10,300 Kerry Properties, Ltd. 22,000 72,731 Kowloon Development Co., Ltd. 11,000 13,455 # L'Occitane International SA 14,750 36,301 * Lai Sun Development 404,000 9,455 Li & Fung, Ltd. 60,000 87,335 Lifestyle International Holdings, Ltd. 14,500 28,346 Liu Chong Hing Investment, Ltd. 4,000 7,685 Luk Fook Holdings International, Ltd. 19,000 53,950 Magnificent Estates 102,000 4,939 INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- HONG KONG -- (Continued) Man Wah Holdings, Ltd. 19,600 $ 32,189 Melco International Development, Ltd. 22,000 67,563 # Midland Holdings, Ltd. 16,000 6,724 Miramar Hotel & Investment 4,000 4,947 #* Mongolian Mining Corp. 36,000 2,978 MTR Corp., Ltd. 16,000 60,669 New World Development Co., Ltd. 110,666 114,638 # Newocean Energy Holdings, Ltd. 58,000 38,379 NWS Holdings, Ltd. 38,884 66,283 Orient Overseas International, Ltd. 8,500 40,661 Pacific Basin Shipping, Ltd. 79,000 46,408 Pacific Textiles Holdings, Ltd. 19,000 24,126 PCCW, Ltd. 97,000 51,720 Pico Far East Holdings, Ltd. 32,000 8,565 Playmates Holdings, Ltd. 14,000 18,975 Power Assets Holdings, Ltd. 8,500 73,477 Prada SpA 2,500 20,050 Regal Hotels International Holdings, Ltd. 12,000 6,961 # SA SA International Holdings, Ltd. 32,000 26,846 Samsonite International SA 21,000 66,861 SEA Holdings, Ltd. 8,000 4,495 Shangri-La Asia, Ltd. 48,000 78,761 Shun Tak Holdings, Ltd. 46,000 22,598 Singamas Container Holdings, Ltd. 136,000 29,503 Sino Land Co., Ltd. 72,000 107,963 SmarTone Telecommunications Holdings, Ltd. 18,500 19,093 SOCAM Development, Ltd. 12,000 14,559 Soundwill Holdings, Ltd. 6,000 10,387 Stella International Holdings, Ltd. 13,500 33,281 Sun Hung Kai & Co., Ltd. 28,000 19,560 Sun Hung Kai Properties, Ltd. 19,196 242,836 Swire Pacific, Ltd. Class A 15,000 173,146 Swire Pacific, Ltd. Class B 17,500 38,855 Swire Properties, Ltd. 5,400 16,332 * Technovator International, Ltd. 28,000 14,852 Techtronic Industries Co. 23,500 75,085 Television Broadcasts, Ltd. 10,600 66,288 Texwinca Holdings, Ltd. 28,000 30,194 Transport International Holdings, Ltd. 4,000 7,384 Trinity, Ltd. 32,000 8,231 * United Laboratories International Holdings, Ltd. (The) 58,000 37,541 Value Partners Group, Ltd. 27,000 17,409 Varitronix International, Ltd. 6,000 6,653 Vitasoy International Holdings, Ltd. 24,000 32,810 VTech Holdings, Ltd. 2,800 38,780 Wharf Holdings, Ltd. 21,000 147,830 Wheelock & Co., Ltd. 25,000 103,514 Wing Hang Bank, Ltd. 6,000 96,734 Xinyi Glass Holdings, Ltd. 74,000 58,388 * Xinyi Solar Holdings, Ltd. 44,000 11,933 INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- HONG KONG -- (Continued) Yue Yuen Industrial Holdings, Ltd. 24,000 $ 74,198 ---------- TOTAL HONG KONG 5,731,430 ---------- IRELAND -- (0.5%) * Bank of Ireland 687,337 268,372 CRH P.L.C. Sponsored ADR 11,727 343,366 Dragon Oil P.L.C. 3,847 40,931 FBD Holdings P.L.C. 1,219 29,412 Glanbia P.L.C. 2,349 35,081 Kerry Group P.L.C. Class A 714 56,351 Kingspan Group P.L.C. 4,803 90,514 Smurfit Kappa Group P.L.C. 5,912 131,706 ---------- TOTAL IRELAND 995,733 ---------- ISRAEL -- (0.4%) * Africa Israel Investments, Ltd. 10,478 23,012 * Allot Communications, Ltd. 721 9,341 Azrieli Group 1,007 34,088 Bank Hapoalim BM 22,770 128,628 * Bank Leumi Le-Israel BM 23,971 93,793 Bezeq The Israeli Telecommunication Corp., Ltd. 11,788 21,363 Cellcom Israel, Ltd. 1,000 12,680 * Ceragon Networks, Ltd. 170 452 * Clal Biotechnology Industries, Ltd. 6,520 19,169 Clal Insurance Enterprises Holdings, Ltd. 937 18,314 * Compugen, Ltd. 637 5,861 Delek Group, Ltd. 43 17,427 Delta-Galil Industries, Ltd. 290 8,888 * Evogene, Ltd. 341 5,997 * EZchip Semiconductor, Ltd. 197 4,718 First International Bank Of Israel, Ltd. 589 9,500 Formula Systems 1985, Ltd. 217 6,573 Frutarom Industries, Ltd. 938 22,525 Harel Insurance Investments & Financial Services, Ltd. 3,020 17,239 Israel Chemicals, Ltd. 1,274 11,307 * Israel Discount Bank, Ltd. Class A 23,359 41,765 * Jerusalem Oil Exploration 404 17,403 Matrix IT, Ltd. 1,225 7,548 Melisron, Ltd. 178 4,745 Menorah Mivtachim Holdings, Ltd. 256 3,075 Migdal Insurance & Financial Holding, Ltd. 16,725 27,396 Mizrahi Tefahot Bank, Ltd. 5,927 79,231 * Naphtha Israel Petroleum Corp., Ltd. 779 5,837 NICE Systems, Ltd. Sponsored ADR 1,644 71,021 * Nitsba Holdings 1995, Ltd. 2,195 33,675 * Oil Refineries, Ltd. 24,794 6,910 Ormat Industries 4,679 34,876 Osem Investments, Ltd. 1,244 29,543 * Partner Communications Co., Ltd. ADR 1,321 11,730 Paz Oil Co., Ltd. 95 14,844 Phoenix Holdings, Ltd. (The) 361 1,341 Shikun & Binui, Ltd. 4,701 12,245 INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- ISRAEL -- (Continued) Shufersal, Ltd. 1,106 $ 4,133 Strauss Group, Ltd. 221 4,000 * Tower Semiconductor, Ltd. 392 3,051 -------- TOTAL ISRAEL 885,244 -------- ITALY -- (2.8%) A2A SpA 74,756 91,479 ACEA SpA 912 13,088 Amplifon SpA 4,092 26,722 Ansaldo STS SpA 3,307 36,764 * Arnoldo Mondadori Editore SpA 3,717 6,877 Assicurazioni Generali SpA 4,430 103,579 Astaldi SpA 2,260 24,491 Atlantia SpA 2,654 69,122 * Autogrill SpA 2,150 20,638 Azimut Holding SpA 2,220 69,303 #* Banca Carige SpA 15,904 11,756 Banca Generali SpA 1,522 47,908 # Banca IFIS SpA 731 15,784 #* Banca Monte dei Paschi di Siena SpA 114,184 38,163 * Banca Popolare dell'Emilia Romagna SC 13,198 152,132 #* Banca Popolare dell'Etruria e del Lazio 25,725 29,930 #* Banca Popolare di Milano SCRL 112,159 113,427 # Banca Popolare di Sondrio SCRL 7,030 50,488 * Banco Popolare SC 15,583 322,043 Brembo SpA 865 31,970 Buzzi Unicem SpA 3,064 54,356 Cementir Holding SpA 2,886 27,497 * CIR-Compagnie Industriali Riunite SpA 11,847 18,267 Credito Emiliano SpA 3,017 30,928 #* Credito Valtellinese SCRL 16,330 38,986 Danieli & C Officine Meccaniche SpA 888 31,893 De'Longhi SpA 377 8,194 # DiaSorin SpA 699 28,842 Ei Towers SpA 425 24,180 Enel Green Power SpA 20,811 59,561 Enel SpA 24,857 140,788 Engineering SpA 60 4,181 Eni SpA 12,601 326,357 Eni SpA Sponsored ADR 3,509 181,205 ERG SpA 2,876 49,670 Esprinet SpA 4,821 52,709 * Falck Renewables SpA 15,891 30,331 * Fiat SpA 15,837 191,196 # Geox SpA 1,759 7,655 * Gruppo Editoriale L'Espresso SpA 13,362 30,852 Hera SpA 20,962 61,772 * IMMSI SpA 14,941 15,951 Indesit Co. SpA 810 11,567 Interpump Group SpA 2,420 34,311 Intesa Sanpaolo SpA 141,596 484,546 Iren SpA 33,491 56,909 INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- ITALY -- (Continued) Italcementi SpA 3,851 $ 46,786 * Italmobiliare SpA 300 13,640 Luxottica Group SpA Sponsored ADR 763 43,674 MARR SpA 532 10,304 * Mediaset SpA 15,421 85,342 * Mediobanca SpA 18,471 205,011 Mediolanum SpA 2,971 26,741 Parmalat SpA 10,626 36,917 # Piaggio & C SpA 8,440 34,920 Pirelli & C. SpA 3,057 51,468 Prysmian SpA 3,088 80,426 # Recordati SpA 2,156 37,741 Reply SpA 331 29,910 * Safilo Group SpA 1,749 39,942 Saipem SpA 356 9,549 Salvatore Ferragamo SpA 247 7,828 #* Saras SpA 15,709 27,256 Snam SpA 14,621 87,944 Societa Cattolica di Assicurazioni SCRL 2,138 52,879 Societa Iniziative Autostradali e Servizi SpA 1,848 21,976 * Sorin SpA 8,039 24,538 * Telecom Italia SpA 245,774 315,827 Tenaris SA 801 17,707 Tenaris SA ADR 440 19,382 Terna Rete Elettrica Nazionale SpA 14,023 75,972 # Tod's SpA 216 30,269 Trevi Finanziaria Industriale SpA 3,064 35,337 UniCredit SpA 59,398 532,185 Unione di Banche Italiane SCPA 34,851 332,670 Unipol Gruppo Finanziario SpA 13,540 98,083 * UnipolSai SpA 24,210 89,082 Vittoria Assicurazioni SpA 823 12,091 * Yoox SpA 272 9,767 ---------- TOTAL ITALY 5,821,532 ---------- JAPAN -- (16.7%) 77 Bank, Ltd. (The) 14,000 63,203 # ABC-Mart, Inc. 600 26,944 # Accordia Golf Co., Ltd. 4,100 52,596 Achilles Corp. 4,000 5,299 Adastria Holdings Co., Ltd. 490 10,663 ADEKA Corp. 3,000 32,961 # Advantest Corp. 1,900 20,945 # Aeon Co., Ltd. 14,600 168,624 Aeon Delight Co., Ltd. 300 6,618 Ai Holdings Corp. 800 12,763 Aica Kogyo Co., Ltd. 1,900 39,733 Aichi Bank, Ltd. (The) 400 19,513 Aichi Steel Corp. 4,000 14,751 Aida Engineering, Ltd. 800 7,637 Ain Pharmaciez, Inc. 300 13,192 Air Water, Inc. 4,000 56,125 INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- JAPAN -- (Continued) Aisan Industry Co., Ltd. 1,800 $ 14,322 Aisin Seiki Co., Ltd. 2,200 77,747 # Ajinomoto Co., Inc. 7,000 103,025 Akita Bank, Ltd. (The) 9,000 25,030 Alfresa Holdings Corp. 900 56,031 Alpen Co., Ltd. 300 5,527 Alpine Electronics, Inc. 600 7,153 Alps Electric Co., Ltd. 7,300 82,544 Amada Co., Ltd. 11,000 79,554 Amano Corp. 2,500 24,072 ANA Holdings, Inc. 6,000 13,103 Anritsu Corp. 2,000 22,397 AOKI Holdings, Inc. 800 10,900 Aomori Bank, Ltd. (The) 12,000 33,004 Aoyama Trading Co., Ltd. 1,800 44,667 # Aozora Bank, Ltd. 21,000 62,471 Arata Corp. 1,000 3,198 Arcs Co., Ltd. 1,800 36,112 As One Corp. 800 21,018 Asahi Diamond Industrial Co., Ltd. 3,200 43,307 # Asahi Glass Co., Ltd. 21,000 119,057 Asahi Holdings, Inc. 300 4,738 # Asahi Intecc Co., Ltd. 600 21,960 Asahi Kasei Corp. 20,000 135,976 Asatsu-DK, Inc. 1,400 31,670 Asics Corp. 1,400 27,249 Autobacs Seven Co., Ltd. 2,100 32,489 Avex Group Holdings, Inc. 900 16,670 Awa Bank, Ltd. (The) 6,000 32,129 Axial Retailing, Inc. 300 4,646 Azbil Corp. 1,700 38,578 Bando Chemical Industries, Ltd. 2,000 7,695 Bank of Iwate, Ltd. (The) 800 35,529 Bank of Kyoto, Ltd. (The) 13,000 105,925 Bank of Nagoya, Ltd. (The) 6,000 22,546 Bank of Okinawa, Ltd. (The) 700 29,349 Bank of Saga, Ltd. (The) 4,000 8,346 Bank of the Ryukyus, Ltd. 2,400 31,769 Bank of Yokohama, Ltd. (The) 27,000 135,705 Belc Co., Ltd. 1,100 21,737 Benesse Holdings, Inc. 1,000 38,048 BML, Inc. 200 7,640 Brother Industries, Ltd. 4,400 61,545 Bunka Shutter Co., Ltd. 4,000 23,345 C Uyemura & Co., Ltd. 300 13,880 # Calbee, Inc. 400 9,810 Calsonic Kansei Corp. 8,000 39,409 Canon Electronics, Inc. 500 8,451 Canon Marketing Japan, Inc. 1,900 30,601 Canon, Inc. 7,400 231,879 Casio Computer Co., Ltd. 6,500 74,173 Cawachi, Ltd. 1,400 25,525 INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- JAPAN -- (Continued) Central Glass Co., Ltd. 10,000 $ 32,793 Central Japan Railway Co. 500 61,413 Century Tokyo Leasing Corp. 1,300 37,622 Chiba Bank, Ltd. (The) 15,000 95,346 * Chiba Kogyo Bank, Ltd. (The) 1,000 6,496 Chiyoda Co., Ltd. 1,200 28,491 Chiyoda Integre Co., Ltd. 500 6,894 Chori Co., Ltd. 500 5,520 * Chubu Electric Power Co., Inc. 3,200 36,450 Chubu Shiryo Co., Ltd. 800 4,632 Chuetsu Pulp & Paper Co., Ltd. 2,000 3,766 # Chugai Pharmaceutical Co., Ltd. 400 10,096 Chugai Ro Co., Ltd. 2,000 4,302 Chugoku Bank, Ltd. (The) 5,000 66,282 # Chugoku Electric Power Co., Inc. (The) 2,400 31,447 Chugoku Marine Paints, Ltd. 3,000 19,137 Chukyo Bank, Ltd. (The) 5,000 8,513 Citizen Holdings Co., Ltd. 8,800 64,626 CKD Corp. 1,000 9,110 * CMK Corp. 1,500 3,735 Coca-Cola East Japan Co., Ltd. 1,174 26,458 # Coca-Cola West Co., Ltd. 2,000 34,808 Cocokara fine, Inc. 1,300 36,858 COMSYS Holdings Corp. 3,700 60,658 Cosmo Oil Co., Ltd. 27,000 50,509 Cosmos Pharmaceutical Corp. 100 10,696 CREATE SD HOLDINGS Co., Ltd. 400 13,205 Dai Nippon Printing Co., Ltd. 12,000 108,088 Dai Nippon Toryo Co., Ltd. 7,000 10,417 # Dai-ichi Life Insurance Co., Ltd. (The) 9,000 124,711 Daibiru Corp. 1,000 9,979 Daicel Corp. 9,000 75,373 Daido Metal Co., Ltd. 1,000 10,627 Daido Steel Co., Ltd. 15,000 73,341 #* Daiei, Inc. (The) 9,850 27,651 Daifuku Co., Ltd. 4,000 46,118 Daihen Corp. 2,000 7,580 Daiichikosho Co., Ltd. 1,300 37,460 Daikin Industries, Ltd. 800 46,275 Daikyo, Inc. 12,000 23,396 Dainichiseika Color & Chemicals Manufacturing Co., Ltd. 5,000 21,132 Dainippon Sumitomo Pharma Co., Ltd. 1,700 25,782 # Daio Paper Corp. 2,000 20,982 Daisan Bank, Ltd. (The) 4,000 6,698 Daiseki Co., Ltd. 400 6,373 Daishi Bank, Ltd. (The) 13,000 46,952 Daiso Co., Ltd. 2,000 6,638 Daito Trust Construction Co., Ltd. 300 30,528 Daiwa House Industry Co., Ltd. 5,000 84,479 Daiwa Securities Group, Inc. 12,000 89,981 Daiwabo Holdings Co., Ltd. 33,000 56,822 DCM Holdings Co., Ltd. 3,900 26,385 INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- JAPAN -- (Continued) # Dena Co., Ltd. 1,400 $ 23,661 Denki Kagaku Kogyo K.K. 14,000 46,431 Denso Corp. 2,100 95,661 Dentsu, Inc. 2,300 94,329 Denyo Co., Ltd. 500 7,451 Descente, Ltd. 1,000 7,580 DIC Corp. 24,000 63,692 Disco Corp. 500 30,385 DMG Mori Seiki Co., Ltd. 3,000 37,425 Don Quijote Holdings Co., Ltd. 500 26,371 Doshisha Co., Ltd. 400 5,997 Doutor Nichires Holdings Co., Ltd. 1,500 26,885 Dowa Holdings Co., Ltd. 3,000 25,151 # Dr Ci:Labo Co., Ltd. 200 6,402 DTS Corp. 400 6,633 Dunlop Sports Co., Ltd. 400 4,873 Eagle Industry Co., Ltd. 1,000 15,828 Earth Chemical Co., Ltd. 700 25,042 East Japan Railway Co. 1,200 87,558 Ebara Corp. 13,000 77,326 # EDION Corp. 1,200 6,993 # Ehime Bank, Ltd. (The) 6,000 13,146 Eighteenth Bank, Ltd. (The) 2,000 4,467 Eiken Chemical Co., Ltd. 400 6,485 Electric Power Development Co., Ltd. 500 13,259 Enplas Corp. 400 22,983 EPS Corp. 400 3,822 Exedy Corp. 1,000 26,755 Ezaki Glico Co., Ltd. 4,000 52,681 # F@N Communications, Inc. 1,400 23,554 # Fancl Corp. 1,300 14,417 FANUC Corp. 500 90,218 Fast Retailing Co., Ltd. 200 62,148 FCC Co., Ltd. 1,400 23,931 # FIDEA Holdings Co., Ltd. 1,300 2,430 Foster Electric Co., Ltd. 500 6,056 # FP Corp. 600 18,661 Fuji Co., Ltd. 400 7,571 Fuji Electric Co., Ltd. 17,000 77,151 Fuji Heavy Industries, Ltd. 1,000 26,295 # Fuji Kyuko Co., Ltd. 1,000 10,009 Fuji Media Holdings, Inc. 1,700 28,641 Fuji Oil Co., Ltd. 2,100 28,373 Fuji Seal International, Inc. 1,100 35,790 Fuji Soft, Inc. 1,100 23,010 # Fujibo Holdings, Inc. 9,000 20,719 FUJIFILM Holdings Corp. 5,500 142,076 Fujikura, Ltd. 13,000 55,978 Fujimori Kogyo Co., Ltd. 200 5,615 Fujitec Co., Ltd. 4,000 46,122 Fujitsu General, Ltd. 1,000 11,540 Fujitsu, Ltd. 32,000 188,167 INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- JAPAN -- (Continued) Fukui Bank, Ltd. (The) 4,000 $ 9,495 Fukuoka Financial Group, Inc. 19,000 77,596 Fukushima Bank, Ltd. (The) 8,000 6,577 Fukushima Industries Corp. 1,100 15,641 # Fukuyama Transporting Co., Ltd. 6,000 35,113 Furukawa Electric Co., Ltd. 21,000 47,281 Furuno Electric Co., Ltd. 2,100 14,170 Fuso Pharmaceutical Industries, Ltd. 1,000 3,216 Geo Holdings Corp. 1,000 9,162 Glory, Ltd. 1,600 41,394 GMO internet, Inc. 2,000 17,669 Godo Steel, Ltd. 12,000 16,897 Goldcrest Co., Ltd. 1,000 20,934 # Gree, Inc. 3,400 33,248 # GS Yuasa Corp. 12,000 67,903 Gun-Ei Chemical Industry Co., Ltd. 1,000 3,610 # GungHo Online Entertainment, Inc. 2,000 11,377 Gunma Bank, Ltd. (The) 12,000 63,783 Gunze, Ltd. 5,000 13,653 H2O Retailing Corp. 5,000 37,733 Hachijuni Bank, Ltd. (The) 17,000 92,938 Hakuhodo DY Holdings, Inc. 7,500 58,179 Hamakyorex Co., Ltd. 200 5,540 Hamamatsu Photonics K.K. 1,200 54,069 Hankyu Hanshin Holdings, Inc. 19,000 104,131 Hanwa Co., Ltd. 5,000 19,556 Haseko Corp. 6,200 39,263 Hazama Ando Corp. 10,400 45,900 Heiwa Real Estate Co., Ltd. 1,400 21,979 Heiwado Co., Ltd. 400 5,663 HI-LEX Corp. 1,300 32,145 # Higashi-Nippon Bank, Ltd. (The) 5,000 12,539 Higo Bank, Ltd. (The) 7,000 35,979 Hikari Tsushin, Inc. 100 8,430 Hioki EE Corp. 300 4,722 Hiroshima Bank, Ltd. (The) 18,000 74,056 # Hisamitsu Pharmaceutical Co., Inc. 700 29,296 # Hitachi Koki Co., Ltd. 1,600 11,919 Hitachi Kokusai Electric, Inc. 1,000 11,432 Hitachi Zosen Corp. 6,100 29,930 Hogy Medical Co., Ltd. 600 30,946 #* Hokkaido Electric Power Co., Inc. 2,300 14,070 Hokkoku Bank, Ltd. (The) 13,000 43,532 Hokuetsu Bank, Ltd. (The) 10,000 20,454 # Hokuetsu Kishu Paper Co., Ltd. 7,000 33,292 Hokuhoku Financial Group, Inc. 48,000 92,627 Hokuriku Electric Power Co. 2,300 28,563 Hokuto Corp. 1,700 34,151 Honda Motor Co., Ltd. 13,800 457,948 # Honeys Co., Ltd. 950 8,894 Horiba, Ltd. 1,300 44,936 Hoshizaki Electric Co., Ltd. 200 8,093 INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- JAPAN -- (Continued) Hosokawa Micron Corp. 1,000 $ 6,036 House Foods Group, Inc. 1,900 31,616 Hoya Corp. 2,900 85,774 Hyakugo Bank, Ltd. (The) 9,000 34,871 Hyakujushi Bank, Ltd. (The) 6,000 20,098 Ibiden Co., Ltd. 4,700 84,836 # Ichigo Group Holdings Co., Ltd. 6,600 19,571 Ichiyoshi Securities Co., Ltd. 1,700 20,277 Idec Corp. 2,000 17,578 Idemitsu Kosan Co., Ltd. 3,700 81,820 Ihara Chemical Industry Co., Ltd. 3,000 23,444 IHI Corp. 7,000 27,911 Iida Group Holdings Co., Ltd. 1,740 25,967 Iino Kaiun Kaisha, Ltd. 3,300 16,233 Inaba Denki Sangyo Co., Ltd. 1,100 33,782 Inabata & Co., Ltd. 800 7,529 Inageya Co., Ltd. 100 978 Ines Corp. 3,800 24,968 # Internet Initiative Japan, Inc. 2,100 48,724 Iriso Electronics Co., Ltd. 200 10,067 # Iseki & Co., Ltd. 7,000 18,090 Isetan Mitsukoshi Holdings, Ltd. 7,300 90,842 * Ishihara Sangyo Kaisha, Ltd. 18,000 17,123 IT Holdings Corp. 3,500 54,257 Ito En, Ltd. 1,500 32,070 ITOCHU Corp. 15,900 178,236 Itochu Enex Co., Ltd. 1,000 5,615 # Itochu Techno-Solutions Corp. 1,000 41,789 Itoham Foods, Inc. 7,000 31,726 Itoki Corp. 2,100 15,768 Iwai Cosmo Holdings, Inc. 1,900 18,507 # Iwatani Corp. 9,000 52,815 Iyo Bank, Ltd. (The) 10,800 97,103 Izumi Co., Ltd. 600 17,558 Izumiya Co., Ltd. 4,000 18,976 J Front Retailing Co., Ltd. 11,000 69,922 # J-Oil Mills, Inc. 11,000 29,408 Japan Airport Terminal Co., Ltd. 500 11,537 Japan Aviation Electronics Industry, Ltd. 1,000 17,022 # Japan Drilling Co., Ltd. 600 23,529 Japan Exchange Group, Inc. 1,500 29,679 Japan Pulp & Paper Co., Ltd. 2,000 6,812 # Japan Steel Works, Ltd. (The) 13,000 54,927 Japan Wool Textile Co., Ltd. (The) 3,000 22,280 # Jeol, Ltd. 7,000 25,997 JFE Holdings, Inc. 5,700 105,343 JGC Corp. 1,000 32,381 # Jin Co., Ltd. 600 17,492 Joshin Denki Co., Ltd. 2,000 16,208 Joyo Bank, Ltd. (The) 14,000 68,139 JSP Corp. 400 6,006 JSR Corp. 3,600 58,993 INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- JAPAN -- (Continued) JTEKT Corp. 4,800 $ 70,034 Juroku Bank, Ltd. (The) 13,000 45,412 #* JVC Kenwood Corp. 5,000 10,570 JX Holdings, Inc. 31,300 162,628 * K&O Energy Group, Inc. 500 6,940 # K's Holdings Corp. 1,500 43,531 Kadokawa Corp. 1,100 36,118 Kaga Electronics Co., Ltd. 1,200 14,370 Kagoshima Bank, Ltd. (The) 5,000 31,230 Kajima Corp. 16,000 60,920 # Kakaku.com, Inc. 1,500 21,400 Kameda Seika Co., Ltd. 500 14,217 Kamei Corp. 1,000 7,364 Kamigumi Co., Ltd. 11,000 104,855 # Kanamoto Co., Ltd. 1,000 31,414 Kandenko Co., Ltd. 6,000 32,186 Kaneka Corp. 11,000 64,518 # Kanematsu Corp. 12,000 18,467 * Kansai Electric Power Co., Inc. (The) 3,100 25,994 # Kansai Paint Co., Ltd. 3,000 41,943 Kansai Urban Banking Corp. 12,000 15,051 Kao Corp. 1,500 56,471 Kasumi Co., Ltd. 800 5,644 Katakura Industries Co., Ltd. 600 7,714 Kato Sangyo Co., Ltd. 300 6,240 Kato Works Co., Ltd. 2,000 11,535 Kawasaki Heavy Industries, Ltd. 19,000 70,520 Kawasaki Kisen Kaisha, Ltd. 32,000 64,254 KDDI Corp. 1,700 90,664 Keihan Electric Railway Co., Ltd. 14,000 57,714 Keihin Corp. 2,100 30,476 # Keikyu Corp. 4,000 33,202 # Keio Corp. 3,000 21,233 Keisei Electric Railway Co., Ltd. 4,000 34,812 Keiyo Bank, Ltd. (The) 7,000 30,811 * Kenedix, Inc. 5,600 19,357 Kewpie Corp. 3,000 43,154 KEY Coffee, Inc. 1,600 24,666 Keyence Corp. 100 38,576 Kintetsu Corp. 8,000 28,114 Kintetsu World Express, Inc. 200 7,937 Kinugawa Rubber Industrial Co., Ltd. 1,000 4,175 Kita-Nippon Bank, Ltd. (The) 200 5,245 Kitagawa Iron Works Co., Ltd. 3,000 4,886 Kitz Corp. 4,900 23,138 Kiyo Bank, Ltd. (The) 900 10,590 Koa Corp. 2,600 24,989 Koatsu Gas Kogyo Co., Ltd. 1,000 5,152 # Kobayashi Pharmaceutical Co., Ltd. 700 42,505 Kobe Steel, Ltd. 51,000 66,946 Kohnan Shoji Co., Ltd. 1,000 10,123 Koito Manufacturing Co., Ltd. 4,000 86,998 INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- JAPAN -- (Continued) Kokuyo Co., Ltd. 3,700 $ 28,294 Komatsu, Ltd. 6,400 140,904 Komeri Co., Ltd. 800 21,663 # Konami Corp. 2,600 59,292 Konica Minolta, Inc. 9,500 88,522 Kose Corp. 1,100 36,561 # Kubota Corp. 1,000 12,889 Kubota Corp. Sponsored ADR 196 12,540 Kumiai Chemical Industry Co., Ltd. 3,000 20,399 Kura Corp. 400 8,045 # Kurabo Industries, Ltd. 14,000 23,847 Kuraray Co., Ltd. 6,000 67,463 Kureha Corp. 7,000 33,102 Kurimoto, Ltd. 2,000 4,172 Kurita Water Industries, Ltd. 3,000 63,180 # Kuroda Electric Co., Ltd. 2,000 32,132 KYB Co., Ltd. 7,000 28,515 Kyocera Corp. 4,000 188,120 Kyodo Printing Co., Ltd. 4,000 10,776 # Kyoei Steel, Ltd. 700 12,134 Kyokuto Kaihatsu Kogyo Co., Ltd. 2,300 30,237 # Kyokuto Securities Co., Ltd. 700 10,979 KYORIN Holdings, Inc. 1,300 25,058 Kyoritsu Maintenance Co., Ltd. 600 20,492 Kyosan Electric Manufacturing Co., Ltd. 2,000 6,918 Kyowa Exeo Corp. 1,900 24,578 Kyowa Hakko Kirin Co., Ltd. 5,000 56,939 Kyudenko Corp. 4,000 34,492 * Kyushu Electric Power Co., Inc. 2,500 25,224 Lasertec Corp. 600 5,970 Lawson, Inc. 400 27,781 #* Leopalace21 Corp. 9,700 50,165 # Life Corp. 400 6,114 Lintec Corp. 1,700 31,610 Lion Corp. 7,000 38,347 LIXIL Group Corp. 4,100 108,650 Macnica, Inc. 300 8,895 Maeda Corp. 6,000 44,650 Maeda Road Construction Co., Ltd. 3,000 46,517 Makino Milling Machine Co., Ltd. 2,000 14,890 Makita Corp. 1,000 53,188 Mandom Corp. 1,000 35,119 Marubeni Corp. 19,000 126,966 Marudai Food Co., Ltd. 6,000 17,859 * Maruha Nichiro Corp. 1,500 23,769 Marui Group Co., Ltd. 9,800 87,050 Marusan Securities Co., Ltd. 1,900 13,297 Maruwa Co., Ltd. 200 7,096 Matsuda Sangyo Co., Ltd. 400 4,446 # Matsui Securities Co., Ltd. 700 6,445 Matsumotokiyoshi Holdings Co., Ltd. 1,100 32,460 Matsuya Foods Co., Ltd. 300 5,390 INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- JAPAN -- (Continued) Max Co., Ltd. 1,000 $ 10,971 Mazda Motor Corp. 8,000 35,770 # McDonald's Holdings Co. Japan, Ltd. 700 19,368 Medipal Holdings Corp. 5,200 73,140 #* Megachips Corp. 1,600 18,859 Megmilk Snow Brand Co., Ltd. 1,800 23,884 Meidensha Corp. 3,000 12,420 MEIJI Holdings Co., Ltd. 800 49,093 Meitec Corp. 1,000 26,623 Melco Holdings, Inc. 300 4,562 Michinoku Bank, Ltd. (The) 3,000 6,318 Milbon Co., Ltd. 240 7,917 Minato Bank, Ltd. (The) 3,000 5,106 Minebea Co., Ltd. 7,000 56,728 Ministop Co., Ltd. 300 4,543 Miraca Holdings, Inc. 700 30,343 Mirait Holdings Corp. 3,300 29,027 Misawa Homes Co., Ltd. 1,600 19,638 MISUMI Group, Inc. 1,100 26,768 Mitani Corp. 1,300 29,287 Mito Securities Co., Ltd. 3,000 10,480 Mitsuba Corp. 1,000 14,680 Mitsubishi Corp. 16,100 288,308 Mitsubishi Electric Corp. 7,000 79,708 Mitsubishi Estate Co., Ltd. 3,000 68,071 Mitsubishi Gas Chemical Co., Inc. 12,000 69,282 Mitsubishi Heavy Industries, Ltd. 24,000 126,359 # Mitsubishi Logistics Corp. 5,000 71,735 Mitsubishi Materials Corp. 27,000 78,314 * Mitsubishi Paper Mills, Ltd. 3,000 2,581 Mitsubishi Pencil Co., Ltd. 300 8,916 Mitsubishi Steel Manufacturing Co., Ltd. 3,000 6,013 Mitsubishi UFJ Financial Group, Inc. 150,800 802,180 Mitsuboshi Belting Co., Ltd. 1,000 5,224 Mitsui & Co., Ltd. 21,100 299,248 # Mitsui Chemicals, Inc. 33,000 80,414 Mitsui Fudosan Co., Ltd. 2,000 59,203 Mitsui High-Tec, Inc. 700 4,415 Mitsui Matsushima Co., Ltd. 4,000 5,798 Mitsui Mining & Smelting Co., Ltd. 20,000 49,593 Mitsui OSK Lines, Ltd. 20,000 66,721 Mitsui Sugar Co., Ltd. 2,000 8,298 Mitsui-Soko Co., Ltd. 2,000 7,935 Miura Co., Ltd. 500 14,203 Miyazaki Bank, Ltd. (The) 6,000 18,331 Mizuho Financial Group, Inc. 257,599 504,535 # Mizuno Corp. 6,000 32,741 # Monex Group, Inc. 6,300 21,121 MonotaRO Co., Ltd. 1,100 22,196 Morinaga & Co., Ltd. 3,000 6,613 Morinaga Milk Industry Co., Ltd. 11,000 41,061 Morita Holdings Corp. 2,000 16,657 INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- JAPAN -- (Continued) MOS Food Services, Inc. 300 $ 5,979 # Moshi Moshi Hotline, Inc. 900 9,111 MS&AD Insurance Group Holdings 6,400 143,566 Murata Manufacturing Co., Ltd. 800 66,691 # Musashi Seimitsu Industry Co., Ltd. 300 6,620 Musashino Bank, Ltd. (The) 1,000 32,045 Nabtesco Corp. 300 6,476 Nachi-Fujikoshi Corp. 7,000 43,293 Nafco Co., Ltd. 300 4,462 Nagano Bank, Ltd. (The) 3,000 5,259 Nagase & Co., Ltd. 2,700 33,083 Nagoya Railroad Co., Ltd. 10,000 31,729 Nakamuraya Co., Ltd. 2,000 7,777 Nakanishi, Inc. 500 17,129 Namco Bandai Holdings, Inc. 3,500 75,618 Nankai Electric Railway Co., Ltd. 6,000 23,274 Nanto Bank, Ltd. (The) 8,000 30,027 NEC Corp. 63,000 177,219 NEC Networks & System Integration Corp. 1,500 31,689 # NET One Systems Co., Ltd. 2,100 17,085 Neturen Co., Ltd. 2,500 17,152 Nexon Co., Ltd. 2,800 21,808 NHK Spring Co., Ltd. 5,000 45,259 Nichi-iko Pharmaceutical Co., Ltd. 900 13,960 Nichias Corp. 2,000 13,547 Nichicon Corp. 3,100 22,994 Nichiha Corp. 500 5,761 Nichii Gakkan Co. 600 5,292 Nichirei Corp. 10,000 48,560 Nichireki Co., Ltd. 2,000 19,558 Nidec Corp. 600 33,921 # Nidec Corp. ADR 776 10,949 Nifco, Inc. 1,500 41,897 # Nihon Dempa Kogyo Co., Ltd. 500 4,018 Nihon Kohden Corp. 900 36,858 Nihon M&A Center, Inc. 600 14,028 Nihon Nohyaku Co., Ltd. 2,000 24,921 Nihon Parkerizing Co., Ltd. 1,000 21,796 Nihon Unisys, Ltd. 3,100 31,481 Nikkiso Co., Ltd. 1,000 11,208 # Nikon Corp. 6,100 95,639 Nippo Corp. 3,000 45,838 Nippon Beet Sugar Manufacturing Co., Ltd. 3,000 5,645 # Nippon Carbide Industries Co., Inc. 9,000 18,718 # Nippon Carbon Co., Ltd. 3,000 5,292 #* Nippon Chemi-Con Corp. 11,000 35,162 Nippon Coke & Engineering Co., Ltd. 19,000 22,148 Nippon Denko Co., Ltd. 8,000 22,257 # Nippon Densetsu Kogyo Co., Ltd. 1,000 14,841 # Nippon Electric Glass Co., Ltd. 17,000 83,163 Nippon Express Co., Ltd. 15,000 70,910 Nippon Flour Mills Co., Ltd. 4,000 22,318 INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- JAPAN -- (Continued) Nippon Gas Co., Ltd. 1,000 $ 16,562 Nippon Koei Co., Ltd. 2,000 9,582 Nippon Konpo Unyu Soko Co., Ltd. 2,100 35,484 Nippon Light Metal Holdings Co., Ltd. 20,600 29,048 Nippon Meat Packers, Inc. 5,000 86,657 # Nippon Paper Industries Co., Ltd. 4,800 87,723 Nippon Road Co., Ltd. (The) 5,000 25,453 Nippon Seiki Co., Ltd. 1,000 17,485 Nippon Sharyo, Ltd. 5,000 17,935 * Nippon Sheet Glass Co., Ltd. 23,000 29,501 Nippon Shinyaku Co., Ltd. 1,000 17,616 # Nippon Shokubai Co., Ltd. 4,000 46,153 Nippon Signal Co., Ltd. (The) 900 7,463 Nippon Soda Co., Ltd. 6,000 33,336 Nippon Steel & Sumikin Bussan Corp. 7,000 24,730 # Nippon Steel & Sumikin Texeng Co., Ltd. 4,000 15,481 Nippon Steel & Sumitomo Metal Corp. 66,000 173,160 * Nippon Suisan Kaisha, Ltd. 7,600 17,489 Nippon Synthetic Chemical Industry Co., Ltd. (The) 1,000 6,663 Nippon Telegraph & Telephone Corp. 900 49,943 # Nippon Telegraph & Telephone Corp. ADR 1,189 33,102 # Nippon Thompson Co., Ltd. 2,000 9,115 Nippon Valqua Industries, Ltd. 2,000 5,324 Nippon Yusen K.K. 37,000 100,289 # Nipro Corp. 5,400 46,749 Nishi-Nippon City Bank, Ltd. (The) 23,000 52,316 Nishi-Nippon Railroad Co., Ltd. 9,000 34,613 Nishikawa Rubber Co., Ltd. 400 6,596 Nishimatsu Construction Co., Ltd. 15,000 53,975 Nishimatsuya Chain Co., Ltd. 1,400 10,035 Nishio Rent All Co., Ltd. 800 29,435 Nissan Chemical Industries, Ltd. 1,700 25,336 Nissan Shatai Co., Ltd. 3,000 45,704 # Nisshin Oillio Group, Ltd. (The) 6,000 20,089 # Nisshin Seifun Group, Inc. 7,700 89,586 Nisshin Steel Co., Ltd. 2,500 25,676 Nisshinbo Holdings, Inc. 3,000 25,702 Nissin Corp. 4,000 11,279 # Nissin Electric Co., Ltd. 1,000 5,561 Nissin Foods Holdings Co., Ltd. 1,100 52,653 Nissin Kogyo Co., Ltd. 1,700 31,377 Nitori Holdings Co., Ltd. 600 27,521 Nitta Corp. 700 14,380 * Nitto Boseki Co., Ltd. 5,000 20,863 # Nitto Denko Corp. 2,500 108,240 Nitto Kogyo Corp. 1,300 26,953 Nitto Kohki Co., Ltd. 1,300 23,669 # Nittoku Engineering Co., Ltd. 500 4,308 NKSJ Holdings, Inc. 5,900 147,198 NOF Corp. 6,000 41,612 Nohmi Bosai, Ltd. 1,000 11,462 NOK Corp. 3,900 63,760 INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- JAPAN -- (Continued) Nomura Co., Ltd. 1,300 $ 9,241 Nomura Holdings, Inc. 38,700 224,107 Nomura Real Estate Holdings, Inc. 2,800 52,316 Nomura Research Institute, Ltd. 1,000 28,997 # Noritake Co., Ltd. 10,000 24,470 Noritz Corp. 1,200 21,319 North Pacific Bank, Ltd. 8,900 36,051 NS Solutions Corp. 1,500 37,529 NS United Kaiun Kaisha, Ltd. 11,000 24,718 NSD Co., Ltd. 1,000 12,363 NSK, Ltd. 7,000 73,589 * NTN Corp. 12,000 41,069 NTT Data Corp. 1,900 73,408 # NTT DOCOMO, Inc. 14,300 228,093 NTT Urban Development Corp. 2,800 24,627 # Obayashi Corp. 10,000 64,569 OBIC Business Consultants, Ltd. 200 6,481 Obic Co., Ltd. 500 15,003 Odakyu Electric Railway Co., Ltd. 4,000 35,117 Ogaki Kyoritsu Bank, Ltd. (The) 10,000 27,010 # Ohsho Food Service Corp. 700 25,871 # Oiles Corp. 700 15,765 Oita Bank, Ltd. (The) 3,000 10,923 Oji Holdings Corp. 21,000 88,231 Okabe Co., Ltd. 700 9,625 Okamura Corp. 1,000 8,554 Oki Electric Industry Co., Ltd. 9,000 17,618 Okinawa Cellular Telephone Co. 600 15,323 Okinawa Electric Power Co., Inc. (The) 1,000 32,684 OKUMA Corp. 3,000 25,678 Okumura Corp. 9,000 41,119 #* Olympus Corp. 1,100 33,599 Omron Corp. 1,400 49,580 Onward Holdings Co., Ltd. 5,000 33,630 Optex Co., Ltd. 1,500 24,450 Oracle Corp. Japan 700 32,260 Organo Corp. 1,000 4,758 Oriental Land Co., Ltd. 200 29,963 Osaka Gas Co., Ltd. 13,000 49,001 Osaka Steel Co., Ltd. 300 4,743 # OSAKA Titanium Technologies Co., Ltd. 300 6,162 Osaki Electric Co., Ltd. 1,000 6,053 OSG Corp. 2,100 33,848 Otsuka Corp. 100 11,838 Otsuka Holdings Co., Ltd. 2,500 72,019 Pacific Industrial Co., Ltd. 900 6,295 #* Pacific Metals Co., Ltd. 3,000 13,954 Pack Corp. (The) 300 5,662 Pal Co., Ltd. 200 3,817 Paltac Corp. 2,000 24,705 PanaHome Corp. 5,000 33,247 Panasonic Corp. 9,800 106,821 INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- JAPAN -- (Continued) # Paramount Bed Holdings Co., Ltd. 500 $ 15,091 Parco Co., Ltd. 500 4,004 Park24 Co., Ltd. 1,700 31,074 Penta-Ocean Construction Co., Ltd. 13,000 42,519 Pigeon Corp. 600 26,863 Pilot Corp. 400 16,813 * Pioneer Corp. 15,300 33,059 Plenus Co., Ltd. 500 11,411 # Pola Orbis Holdings, Inc. 1,000 39,136 Press Kogyo Co., Ltd. 2,000 7,335 Pressance Corp. 800 19,844 Prima Meat Packers, Ltd. 3,000 6,618 Raito Kogyo Co., Ltd. 1,100 9,472 # Rakuten, Inc. 2,800 36,332 Rengo Co., Ltd. 10,000 44,687 Resona Holdings, Inc. 29,900 152,879 Resorttrust, Inc. 1,600 25,104 Ricoh Co., Ltd. 13,000 149,800 Ricoh Leasing Co., Ltd. 900 23,492 Riken Corp. 3,000 12,274 # Riken Vitamin Co., Ltd. 500 11,856 Rinnai Corp. 100 8,334 Riso Kagaku Corp. 900 22,201 # Rock Field Co., Ltd. 300 5,361 Rohto Pharmaceutical Co., Ltd. 2,000 35,283 Round One Corp. 5,500 39,505 Royal Holdings Co., Ltd. 1,900 27,713 Ryobi, Ltd. 8,000 23,700 Ryoden Trading Co., Ltd. 1,000 6,746 Ryohin Keikaku Co., Ltd. 400 44,953 Ryosan Co., Ltd. 1,800 38,047 Saibu Gas Co., Ltd. 7,000 17,551 Sakai Chemical Industry Co., Ltd. 2,000 5,637 Sakata INX Corp. 2,000 17,640 Sakata Seed Corp. 400 5,588 San-A Co., Ltd. 600 17,292 San-In Godo Bank, Ltd. (The) 6,000 39,601 Sanden Corp. 2,000 9,553 Sangetsu Co., Ltd. 1,300 33,497 Sanken Electric Co., Ltd. 2,000 13,933 Sankyo Tateyama, Inc. 1,200 23,750 Sankyu, Inc. 10,000 38,118 # Sanrio Co., Ltd. 500 15,852 Sanshin Electronics Co., Ltd. 700 4,394 Sanwa Holdings Corp. 7,000 42,765 Sanyo Chemical Industries, Ltd. 1,000 6,126 Sanyo Denki Co., Ltd. 1,000 6,736 Sanyo Electric Railway Co., Ltd. 3,000 13,835 Sanyo Shokai, Ltd. 2,000 5,457 Sanyo Special Steel Co., Ltd. 2,000 7,801 Sato Holdings Corp. 500 10,852 # Sawada Holdings Co., Ltd. 2,100 17,812 INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- JAPAN -- (Continued) Sawai Pharmaceutical Co., Ltd. 600 $ 37,133 SBI Holdings, Inc. 7,800 89,200 SCSK Corp. 300 7,935 Secom Co., Ltd. 900 51,672 Seika Corp. 2,000 4,661 Seiko Epson Corp. 6,300 171,927 Seiko Holdings Corp. 4,000 14,617 Seino Holdings Co., Ltd. 6,000 59,302 Seiren Co., Ltd. 800 6,722 Sekisui Chemical Co., Ltd. 7,000 70,939 Sekisui House, Ltd. 10,000 120,036 Sekisui Jushi Corp. 1,000 13,314 # Senko Co., Ltd. 3,000 13,712 Senshu Ikeda Holdings, Inc. 5,300 24,335 Senshukai Co., Ltd. 800 6,807 Seria Co., Ltd. 300 11,733 Seven & I Holdings Co., Ltd. 3,200 126,260 Seven Bank, Ltd. 4,800 18,198 #* Sharp Corp. 12,000 30,081 Shibusawa Warehouse Co., Ltd. (The) 2,000 6,642 # Shibuya Kogyo Co., Ltd. 1,600 43,240 Shiga Bank, Ltd. (The) 9,000 49,214 Shikoku Bank, Ltd. (The) 9,000 18,153 Shikoku Chemicals Corp. 1,000 6,854 #* Shikoku Electric Power Co., Inc. 2,100 24,581 Shima Seiki Manufacturing, Ltd. 400 6,675 Shimachu Co., Ltd. 2,300 50,537 Shimadzu Corp. 6,000 51,255 Shimamura Co., Ltd. 700 65,211 Shimano, Inc. 400 39,985 Shimizu Bank, Ltd. (The) 300 7,331 Shimizu Corp. 19,000 107,704 Shin-Etsu Chemical Co., Ltd. 3,700 217,050 Shindengen Electric Manufacturing Co., Ltd. 2,000 8,171 Shinko Electric Industries Co., Ltd. 3,500 23,050 # Shinko Plantech Co., Ltd. 1,900 14,304 Shinko Shoji Co., Ltd. 600 5,528 Shinmaywa Industries, Ltd. 4,000 35,324 # Shinsei Bank, Ltd. 39,000 76,035 Shionogi & Co., Ltd. 1,800 31,551 Ship Healthcare Holdings, Inc. 800 27,282 Shiseido Co., Ltd. 2,200 39,305 Shizuoka Bank, Ltd. (The) 11,000 105,105 Shizuoka Gas Co., Ltd. 3,900 23,467 Showa Corp. 1,200 13,196 # Showa Denko K.K. 56,000 74,617 Showa Sangyo Co., Ltd. 4,000 12,913 Showa Shell Sekiyu K.K. 6,100 61,881 Siix Corp. 900 13,216 # Sinanen Co., Ltd. 3,000 11,390 Sinfonia Technology Co., Ltd. 3,000 4,615 Sintokogio, Ltd. 1,500 10,779 INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- JAPAN -- (Continued) SKY Perfect JSAT Holdings, Inc. 7,100 $ 38,178 SMC Corp. 100 23,806 # SMK Corp. 1,000 3,731 Sodick Co., Ltd. 1,300 4,827 Softbank Corp. 1,700 126,613 Sohgo Security Services Co., Ltd. 2,300 48,762 Sojitz Corp. 35,800 56,450 Sotetsu Holdings, Inc. 12,000 42,886 # Square Enix Holdings Co., Ltd. 2,800 45,037 St Marc Holdings Co., Ltd. 300 14,218 Stanley Electric Co., Ltd. 2,800 62,059 Star Micronics Co., Ltd. 600 7,408 Start Today Co., Ltd. 500 10,478 Starts Corp., Inc. 1,500 18,970 Starzen Co., Ltd. 1,000 2,656 Stella Chemifa Corp. 300 3,807 # Sugi Holdings Co., Ltd. 300 13,494 # Sumco Corp. 4,100 31,465 Sumitomo Bakelite Co., Ltd. 4,000 15,234 Sumitomo Chemical Co., Ltd. 27,000 101,294 Sumitomo Corp. 14,100 183,025 Sumitomo Densetsu Co., Ltd. 1,900 23,430 Sumitomo Electric Industries, Ltd. 11,900 164,710 Sumitomo Forestry Co., Ltd. 5,600 56,956 Sumitomo Heavy Industries, Ltd. 15,000 63,823 Sumitomo Metal Mining Co., Ltd. 13,000 196,359 Sumitomo Mitsui Financial Group, Inc. 15,100 596,908 Sumitomo Mitsui Trust Holdings, Inc. 37,000 152,466 Sumitomo Osaka Cement Co., Ltd. 8,000 31,817 Sumitomo Real Estate Sales Co., Ltd. 220 6,599 Sumitomo Realty & Development Co., Ltd. 1,000 38,799 Sumitomo Rubber Industries, Ltd. 3,100 43,083 Sumitomo Warehouse Co., Ltd. (The) 6,000 29,093 Suruga Bank, Ltd. 2,000 34,308 Suzuken Co., Ltd. 2,700 97,322 # Suzuki Motor Corp. 3,400 87,720 * SWCC Showa Holdings Co., Ltd. 7,000 6,718 Sysmex Corp. 1,000 31,702 T Hasegawa Co., Ltd. 200 2,967 T&D Holdings, Inc. 11,500 137,267 # Tachi-S Co., Ltd. 2,000 31,286 Tadano, Ltd. 3,000 42,419 Taiheiyo Cement Corp. 6,000 21,047 Taikisha, Ltd. 1,100 23,800 # Taisei Corp. 17,000 78,811 Taisei Lamick Co., Ltd. 200 4,873 Taiyo Holdings Co., Ltd. 200 6,045 Taiyo Nippon Sanso Corp. 8,000 63,766 # Taiyo Yuden Co., Ltd. 3,200 39,566 Takara Standard Co., Ltd. 3,000 21,428 # Takasago International Corp. 3,000 14,666 Takasago Thermal Engineering Co., Ltd. 3,900 38,130 INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- JAPAN -- (Continued) Takashimaya Co., Ltd. 8,000 $ 75,794 Takata Corp. 1,500 35,343 Take And Give Needs Co., Ltd. 700 13,216 Takeda Pharmaceutical Co., Ltd. 3,500 157,430 Takeuchi Manufacturing Co., Ltd. 1,100 31,953 Takuma Co., Ltd. 5,000 40,452 # Tamron Co., Ltd. 800 20,011 Tatsuta Electric Wire and Cable Co., Ltd. 2,100 10,508 TDK Corp. 3,200 136,453 Teijin, Ltd. 33,000 81,116 # Tekken Corp. 4,000 11,706 Terumo Corp. 2,800 55,568 THK Co., Ltd. 2,800 59,182 Toa Corp. 6,000 11,287 Toagosei Co., Ltd. 9,000 37,660 * Tobishima Corp. 14,400 21,036 Tobu Railway Co., Ltd. 7,000 34,237 TOC Co., Ltd. 2,400 16,325 Tocalo Co., Ltd. 900 14,071 Tochigi Bank, Ltd. (The) 5,000 19,491 Toda Corp. 6,000 21,028 Toei Co., Ltd. 1,000 5,598 Toho Bank, Ltd. (The) 11,000 36,842 Toho Co., Ltd. 1,600 30,804 Toho Gas Co., Ltd. 6,000 29,439 Toho Holdings Co., Ltd. 1,300 26,206 * Toho Titanium Co., Ltd. 3,200 19,963 Toho Zinc Co., Ltd. 3,000 9,545 Tohoku Electric Power Co., Inc. 2,800 26,647 Tokai Carbon Co., Ltd. 12,000 38,499 Tokai Corp/Gifu 400 10,169 TOKAI Holdings Corp. 1,200 4,160 Tokai Rika Co., Ltd. 1,600 27,807 # Tokai Rubber Industries, Ltd. 3,300 34,134 Tokai Tokyo Financial Holdings, Inc. 2,800 18,812 # Token Corp. 510 22,639 Tokio Marine Holdings, Inc. 7,100 209,208 Tokushu Tokai Paper Co., Ltd. 1,000 2,205 Tokuyama Corp. 11,000 31,902 Tokyo Dome Corp. 6,000 26,870 * Tokyo Electric Power Co., Inc. 11,300 42,739 Tokyo Electron, Ltd. 2,400 136,502 Tokyo Gas Co., Ltd. 7,000 36,676 #* Tokyo Rope Manufacturing Co., Ltd. 5,000 7,300 Tokyo Seimitsu Co., Ltd. 800 13,482 # Tokyo Steel Manufacturing Co., Ltd. 5,500 26,890 Tokyo Tatemono Co., Ltd. 5,000 39,874 Tokyo Tomin Bank, Ltd. (The) 600 6,225 Tokyu Construction Co., Ltd. 2,740 12,132 Tokyu Corp. 6,000 37,789 Tokyu Fudosan Holdings Corp. 10,043 73,012 Tomoku Co., Ltd. 2,000 5,372 INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- JAPAN -- (Continued) TOMONY Holdings, Inc. 8,200 $ 34,868 Tomy Co., Ltd. 4,900 23,252 # TonenGeneral Sekiyu K.K. 4,000 37,783 Topcon Corp. 1,700 29,647 Toppan Forms Co., Ltd. 2,800 25,727 # Toppan Printing Co., Ltd. 11,000 75,546 Topre Corp. 600 6,071 Topy Industries, Ltd. 6,000 10,159 # Toray Industries, Inc. 16,000 104,428 Tosei Corp. 2,900 17,545 Toshiba Corp. 22,000 86,171 Toshiba Machine Co., Ltd. 6,000 26,947 Toshiba Plant Systems & Services Corp. 1,000 14,713 Toshiba TEC Corp. 2,000 13,029 Tosoh Corp. 15,000 57,239 Totetsu Kogyo Co., Ltd. 1,700 34,519 Towa Bank, Ltd. (The) 10,000 9,498 # Towa Pharmaceutical Co., Ltd. 700 29,908 # Toyo Engineering Corp. 4,000 17,650 Toyo Ink SC Holdings Co., Ltd. 5,000 20,397 # Toyo Kanetsu K.K. 8,000 19,044 Toyo Securities Co., Ltd. 7,000 19,284 Toyo Seikan Group Holdings, Ltd. 3,300 49,077 Toyo Suisan Kaisha, Ltd. 1,000 32,031 # Toyo Tanso Co., Ltd. 300 7,223 Toyo Tire & Rubber Co., Ltd. 8,000 59,655 Toyobo Co., Ltd. 31,000 50,060 Toyoda Gosei Co., Ltd. 3,100 57,120 # Toyota Boshoku Corp. 3,700 38,248 # Toyota Tsusho Corp. 4,500 118,526 TPR Co., Ltd. 400 5,902 Trancom Co., Ltd. 300 10,549 Transcosmos, Inc. 500 9,322 Trend Micro, Inc. 1,000 32,347 Trusco Nakayama Corp. 300 6,761 TS Tech Co., Ltd. 1,200 32,004 Tsubakimoto Chain Co. 4,000 28,547 Tsukishima Kikai Co., Ltd. 1,000 10,642 Tsukuba Bank, Ltd. 6,800 24,537 # Tsumura & Co. 1,900 45,161 Tsuruha Holdings, Inc. 300 30,194 UACJ Corp. 7,000 27,689 Ube Industries, Ltd. 36,000 60,992 UKC Holdings Corp. 300 4,827 * Ulvac, Inc. 2,900 54,961 Unicharm Corp. 600 32,537 Union Tool Co. 1,200 28,131 Unipres Corp. 2,100 40,574 United Arrows, Ltd. 200 7,736 * Unitika, Ltd. 3,000 1,702 UNY Group Holdings Co., Ltd. 7,100 45,820 Ushio, Inc. 3,400 44,410 INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ ----------- JAPAN -- (Continued) USS Co., Ltd. 500 $ 7,288 Valor Co., Ltd. 1,800 23,330 Vital KSK Holdings, Inc. 500 3,540 Wacoal Holdings Corp. 4,000 39,457 # Wacom Co., Ltd. 3,600 23,544 Wakita & Co., Ltd. 1,000 11,351 Warabeya Nichiyo Co., Ltd. 1,700 31,738 # Welcia Holdings Co., Ltd. 500 30,246 West Japan Railway Co. 1,000 40,553 Xebio Co., Ltd. 1,600 29,591 Yachiyo Bank, Ltd. (The) 700 18,922 # Yahoo Japan Corp. 6,300 27,521 Yakult Honsha Co., Ltd. 800 43,240 # Yamada Denki Co., Ltd. 34,300 126,720 # Yamagata Bank, Ltd. (The) 4,000 17,121 Yamaguchi Financial Group, Inc. 8,000 73,774 Yamaha Motor Co., Ltd. 5,200 80,271 Yamanashi Chuo Bank, Ltd. (The) 4,000 17,332 Yamato Holdings Co., Ltd. 3,800 78,197 Yamato Kogyo Co., Ltd. 1,500 43,257 Yamazaki Baking Co., Ltd. 4,000 48,873 Yamazen Corp. 800 5,168 # Yaoko Co., Ltd. 300 13,599 # Yaskawa Electric Corp. 1,000 11,276 Yellow Hat, Ltd. 800 15,337 Yokogawa Bridge Holdings Corp. 1,000 13,260 Yokogawa Electric Corp. 2,700 36,914 Yokohama Reito Co., Ltd. 1,400 11,333 Yokohama Rubber Co., Ltd. (The) 7,000 62,524 Yondoshi Holdings, Inc. 1,300 23,147 Yorozu Corp. 800 14,953 Yuasa Trading Co., Ltd. 3,000 5,708 # Zenrin Co., Ltd. 2,300 23,460 Zensho Holdings Co., Ltd. 2,200 22,240 Zeon Corp. 7,000 65,088 ZERIA Pharmaceutical Co., Ltd. 900 18,869 ----------- TOTAL JAPAN 34,354,420 ----------- NETHERLANDS -- (2.4%) Aalberts Industries NV 3,793 126,352 # Accell Group 812 16,137 Aegon NV 42,544 389,976 Akzo Nobel NV 3,296 253,997 * AMG Advanced Metallurgical Group NV 3,771 37,932 Amsterdam Commodities NV 1,321 32,832 * APERAM 2,306 59,999 Arcadis NV 2,270 80,681 ASM International NV 2,059 90,109 ASML Holding NV 1,345 109,461 BE Semiconductor Industries NV 1,154 19,692 Beter Bed Holding NV 103 2,434 BinckBank NV 2,499 28,236 INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- NETHERLANDS -- (Continued) Brunel International NV 344 $ 23,303 Corbion NV 697 16,165 Delta Lloyd NV 6,814 179,331 Exact Holding NV 439 15,483 Fugro NV 2,613 173,149 # Gemalto NV 1,220 136,403 * Grontmij 1,448 7,748 # Heijmans NV 592 10,620 Hunter Douglas NV 40 2,009 * ING Groep NV 48,535 693,801 * ING Groep NV Sponsored ADR 924 13,213 KAS Bank NV 1,078 15,927 Kendrion NV 532 18,121 Koninklijke Ahold NV 15,708 303,665 # Koninklijke BAM Groep NV 9,637 52,254 Koninklijke Boskalis Westminster NV 3,078 174,451 * Koninklijke KPN NV 71,139 252,747 Koninklijke Philips NV 10,464 334,429 Koninklijke Ten Cate NV 1,029 30,658 # Koninklijke Vopak NV 1,078 53,750 Koninklijke Wessanen NV 1,773 10,475 Nutreco NV 1,987 92,501 #* Ordina NV 9,133 26,404 Randstad Holding NV 2,790 163,047 # Reed Elsevier NV 3,052 62,294 # Reed Elsevier NV Sponsored ADR 469 19,717 #* Royal Imtech NV 9,920 19,340 * SBM Offshore NV 6,042 110,594 Sligro Food Group NV 661 27,665 Telegraaf Media Groep NV 752 7,064 TKH Group NV 1,132 39,451 #* TomTom NV 5,912 41,920 # Unilever NV 4,882 209,047 USG People NV 1,849 31,990 # Wolters Kluwer NV 5,462 152,258 # Ziggo NV 3,202 139,040 ---------- TOTAL NETHERLANDS 4,907,872 ---------- NEW ZEALAND -- (0.3%) Air New Zealand, Ltd. 12,645 22,914 Auckland International Airport, Ltd. 36,146 123,796 * Bathurst Resources, Ltd. 9,581 554 Chorus, Ltd. 10,816 16,526 Contact Energy, Ltd. 10,843 53,260 Fisher & Paykel Healthcare Corp., Ltd. 12,138 42,785 Fletcher Building, Ltd. 6,668 56,700 Freightways, Ltd. 544 2,347 Infratil, Ltd. 11,288 22,403 Kathmandu Holdings, Ltd. 8,507 26,750 Mainfreight, Ltd. 959 11,083 Nuplex Industries, Ltd. 2,075 6,270 Port of Tauranga, Ltd. 1,180 14,653 INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- NEW ZEALAND -- (Continued) Ryman Healthcare, Ltd. 4,796 $ 35,827 Sky Network Television, Ltd. 10,622 61,308 Telecom Corp. of New Zealand, Ltd. 49,333 117,855 Tower, Ltd. 2,423 3,391 TrustPower, Ltd. 712 4,113 Vector, Ltd. 6,867 15,180 # Warehouse Group, Ltd. (The) 3,208 9,384 #* Xero, Ltd. 584 16,067 -------- TOTAL NEW ZEALAND 663,166 -------- NORWAY -- (1.0%) # ABG Sundal Collier Holding ASA 5,144 4,775 # Aker ASA Class A 705 23,880 Aker Solutions ASA 2,032 32,558 * Archer, Ltd. 17,369 23,691 # Atea ASA 1,182 13,586 Austevoll Seafood ASA 3,081 19,958 Bakkafrost P/F 264 4,134 Bonheur ASA 235 4,569 BW Offshore, Ltd. 21,859 28,586 * BWG Homes ASA 2,437 4,801 Cermaq ASA 1,636 19,337 #* Det Norske Oljeselskap ASA 1,499 16,393 # DNB ASA 11,790 208,984 * DNO International ASA 10,543 36,616 Ekornes ASA 1,061 16,788 # Eltek ASA 1,341 1,840 Fred Olsen Energy ASA 500 15,949 #* Frontline, Ltd. 1,584 5,170 # Gjensidige Forsikring ASA 2,230 41,154 Golden Ocean Group, Ltd. 10,261 18,197 * Hoegh LNG Holdings, Ltd. 2,182 21,311 * Kongsberg Automotive Holding ASA 14,742 14,820 Kvaerner ASA 9,715 19,460 Leroy Seafood Group ASA 1,018 36,056 Marine Harvest ASA 2,144 26,297 * Nordic Semiconductor ASA 4,191 23,513 # Norsk Hydro ASA 31,619 169,579 #* Norwegian Air Shuttle A.S. 232 9,236 * Odfjell SE Class A 203 1,015 Opera Software ASA 908 11,737 # Orkla ASA 7,127 58,944 # Petroleum Geo-Services ASA 8,028 96,928 Prosafe SE 2,286 20,149 * REC Silicon ASA 102,391 57,272 * REC Solar ASA 1,763 26,625 * Salmar ASA 2,265 32,787 # Schibsted ASA 623 35,848 Seadrill, Ltd. 840 29,585 Solstad Offshore ASA 578 10,641 # SpareBank 1 SR Bank ASA 5,024 48,728 Statoil ASA 4,573 139,410 INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- NORWAY -- (Continued) Statoil ASA Sponsored ADR 4,209 $ 128,248 Stolt-Nielsen, Ltd. 714 19,305 * Storebrand ASA 14,769 82,904 Subsea 7 SA 5,296 106,048 Telenor ASA 2,377 55,852 # TGS Nopec Geophysical Co. ASA 846 29,182 # Tomra Systems ASA 2,665 24,797 # Veidekke ASA 2,111 22,648 # Wilh Wilhelmsen ASA 2,874 27,818 # Wilh Wilhelmsen Holding ASA Class A 223 7,075 # Yara International ASA 1,755 82,961 ---------- TOTAL NORWAY 2,017,745 ---------- PORTUGAL -- (0.4%) Altri SGPS SA 9,400 31,945 * Banco BPI SA 10,198 26,176 #* Banco Comercial Portugues SA 466,988 141,915 #* Banco Espirito Santo SA 71,918 127,477 EDP - Energias de Portugal SA 14,832 72,049 * EDP Renovaveis SA 8,046 55,176 Galp Energia SGPS SA 2,451 42,481 Jeronimo Martins SGPS SA 1,464 25,604 Mota-Engil SGPS SA 5,517 42,233 Portucel SA 8,001 37,937 Portugal Telecom SGPS SA 8,905 36,997 # REN - Redes Energeticas Nacionais SGPS SA 4,225 15,890 Semapa-Sociedade de Investimento e Gestao 2,407 36,083 Sonae 40,341 75,892 ZON Optimus SGPS SA 5,591 40,444 ---------- TOTAL PORTUGAL 808,299 ---------- SINGAPORE -- (1.5%) #* Ausgroup, Ltd. 14,000 5,106 Biosensors International Group, Ltd. 60,000 45,569 Boustead Singapore, Ltd. 9,000 13,614 Bukit Sembawang Estates, Ltd. 5,000 23,315 CapitaLand, Ltd. 59,000 150,997 Chip Eng Seng Corp., Ltd. 14,000 8,556 City Developments, Ltd. 11,000 95,304 Cityspring Infrastructure Trust 25,000 9,489 ComfortDelGro Corp., Ltd. 31,000 52,570 Cosco Corp. Singapore, Ltd. 57,000 32,826 CSE Global, Ltd. 14,000 6,648 CWT, Ltd. 5,000 5,811 DBS Group Holdings, Ltd. 21,160 286,658 Ezion Holdings, Ltd. 19,200 34,903 Ezra Holdings, Ltd. 35,000 29,398 First Resources, Ltd. 17,000 34,913 Fragrance Group, Ltd. 64,000 12,773 GMG Global, Ltd. 163,000 11,707 Golden Agri-Resources, Ltd. 163,000 79,517 Goodpack, Ltd. 12,000 22,988 INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- SINGAPORE -- (Continued) Great Eastern Holdings, Ltd. 1,000 $ 15,173 GuocoLand, Ltd. 5,000 8,507 GuocoLeisure, Ltd. 17,000 13,109 Ho Bee Land, Ltd. 11,000 20,132 Hongkong Land Holdings, Ltd. 6,000 42,051 Hotel Properties, Ltd. 9,000 26,695 Hutchison Port Holdings Trust 123,000 83,709 Hyflux, Ltd. 16,000 15,320 Indofood Agri Resources, Ltd. 18,000 15,330 Jardine Cycle & Carriage, Ltd. 1,000 37,496 Jaya Holdings, Ltd. 18,000 11,448 Keppel Corp., Ltd. 8,000 67,312 Keppel Infrastructure Trust 17,000 14,240 Keppel Land, Ltd. 28,000 77,460 Lian Beng Group, Ltd. 48,000 26,850 #* Linc Energy, Ltd. 16,858 15,866 M1, Ltd. 6,000 16,121 Midas Holdings, Ltd. 42,000 15,789 Nam Cheong, Ltd. 118,000 33,480 * Neptune Orient Lines, Ltd. 32,000 25,954 Noble Group, Ltd. 143,000 147,244 Olam International, Ltd. 54,000 96,359 # OSIM International, Ltd. 4,000 9,268 # OUE Hospitality Trust 2,333 1,620 OUE, Ltd. 14,000 25,383 Oversea-Chinese Banking Corp., Ltd. 25,000 192,804 * Raffles Education Corp., Ltd. 19,000 4,480 SATS, Ltd. 18,000 45,568 SembCorp Industries, Ltd. 8,000 34,345 # SembCorp Marine, Ltd. 3,000 9,757 Sinarmas Land, Ltd. 30,000 12,731 Singapore Airlines, Ltd. 13,000 107,776 Singapore Exchange, Ltd. 5,000 27,651 Singapore Post, Ltd. 20,000 22,595 # Singapore Press Holdings, Ltd. 17,000 56,848 Singapore Telecommunications, Ltd. 34,000 104,146 * Sino Grandness Food Industry Group, Ltd. 46,000 25,377 # SMRT Corp., Ltd. 32,000 31,156 Stamford Land Corp., Ltd. 11,000 5,226 StarHub, Ltd. 2,000 6,635 Super Group, Ltd. 6,000 16,786 Swiber Holdings, Ltd. 32,000 16,374 Tat Hong Holdings, Ltd. 5,000 3,235 Tuan Sing Holdings, Ltd. 21,000 5,872 United Engineers, Ltd. 23,000 39,648 United Envirotech, Ltd. 35,000 36,474 United Industrial Corp., Ltd. 3,000 8,023 United Overseas Bank, Ltd. 13,000 226,267 UOB-Kay Hian Holdings, Ltd. 4,000 5,377 UOL Group, Ltd. 14,000 71,879 * Vard Holdings, Ltd. 23,000 17,770 Venture Corp., Ltd. 13,000 79,627 INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- SINGAPORE -- (Continued) Wilmar International, Ltd. 22,000 $ 59,792 Wing Tai Holdings, Ltd. 21,000 33,588 Yongnam Holdings, Ltd. 26,000 4,993 ---------- TOTAL SINGAPORE 3,137,378 ---------- SPAIN -- (2.8%) Abengoa SA 348 1,550 Abengoa SA Class B 16,871 75,114 Abertis Infraestructuras SA 4,104 92,378 Acciona SA 1,180 95,988 Acerinox SA 3,309 57,866 ACS Actividades de Construccion y Servicios SA 1,779 76,370 Adveo Group International SA 62 1,476 Almirall SA 1,484 24,855 Amadeus IT Holding SA Class A 2,385 99,193 * Atresmedia Corp de Medios de Comunicaion SA 1,251 18,001 Banco Bilbao Vizcaya Argentaria SA 42,993 529,577 Banco Bilbao Vizcaya Argentaria SA Sponsored ADR 2,321 28,670 Banco de Sabadell SA 86,613 294,682 Banco Popular Espanol SA 38,615 284,551 Banco Santander SA 117,003 1,163,670 * Bankia SA 44,945 91,806 Bankinter SA 11,421 87,445 Bolsas y Mercados Espanoles SA 1,704 74,235 # CaixaBank SA 25,695 156,604 * Campofrio Food Group SA 1,648 15,772 Cie Automotive SA 540 6,877 Construcciones y Auxiliar de Ferrocarriles SA 132 63,225 * Deoleo SA 24,843 13,623 Distribuidora Internacional de Alimentacion SA 6,555 58,638 Duro Felguera SA 111 757 Ebro Foods SA 3,108 71,626 Elecnor SA 708 10,177 Enagas SA 3,191 98,311 Ence Energia y Celulosa SA 9,356 27,557 Faes Farma SA 9,611 29,780 Ferrovial SA 3,093 68,752 * Fomento de Construcciones y Contratas SA 699 15,419 * Gamesa Corp. Tecnologica SA 9,132 90,771 Gas Natural SDG SA 2,984 85,566 Grupo Catalana Occidente SA 1,560 61,040 Iberdrola SA 61,013 426,208 Inditex SA 458 68,813 Indra Sistemas SA 3,664 68,817 * Jazztel P.L.C. 4,844 74,394 Mapfre SA 22,482 94,818 * Mediaset Espana Comunicacion SA 5,351 59,377 Melia Hotels International SA 1,614 20,417 * NH Hoteles SA 7,114 45,450 Obrascon Huarte Lain SA 1,149 53,269 * Promotora de Informaciones SA Class A 29,045 16,221 Prosegur Cia de Seguridad SA 2,843 19,037 INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- SPAIN -- (Continued) Red Electrica Corp. SA 1,514 $ 124,627 Repsol SA 8,508 229,067 * Sacyr SA 10,826 71,305 Tecnicas Reunidas SA 618 37,224 Telefonica SA 9,024 151,442 Telefonica SA Sponsored ADR 3,737 62,595 Tubacex SA 4,175 20,475 Tubos Reunidos SA 7,475 23,159 Vidrala SA 657 34,775 Viscofan SA 626 32,621 Zardoya Otis SA 2,090 36,657 * Zeltia SA 7,549 28,479 ---------- TOTAL SPAIN 5,771,169 ---------- SWEDEN -- (2.7%) AarhusKarlshamn AB 804 53,838 Acando AB 420 971 AF AB Class B 1,255 45,577 # Alfa Laval AB 2,287 60,933 Assa Abloy AB Class B 2,320 123,133 Atrium Ljungberg AB Class B 804 12,749 Axfood AB 355 18,917 # Axis Communications AB 619 18,458 B&B Tools AB Class B 370 6,789 Beijer Alma AB 1,339 37,869 Bilia AB Class A 1,165 38,682 BillerudKorsnas AB 5,964 87,160 BioGaia AB Class B 95 2,855 # Boliden AB 9,139 139,573 Byggmax Group AB 2,155 18,055 Castellum AB 4,402 75,066 # Clas Ohlson AB Class B 2,311 51,258 # Concentric AB 787 11,135 # Dios Fastigheter AB 2,907 23,614 Duni AB 1,913 31,955 Electrolux AB Series B 2,019 56,120 # Elekta AB Class B 4,265 59,521 * Eniro AB 6,256 50,057 Fabege AB 2,908 40,851 Getinge AB Class B 1,977 57,943 Gunnebo AB 3,716 21,208 # Haldex AB 1,153 14,790 Hennes & Mauritz AB Class B 2,551 104,420 Hexagon AB Class B 2,548 81,576 Hexpol AB 382 36,194 HIQ International AB(BLNMLM8) 2,121 12,886 * HIQ International AB(B97F1H4) 2,121 845 Holmen AB Class B 2,572 90,902 Husqvarna AB Class A 3,743 30,979 Husqvarna AB Class B 12,975 108,336 ICA Gruppen AB 2,950 99,227 Industrial & Financial Systems Class B 553 15,864 INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- SWEDEN -- (Continued) # Indutrade AB 389 $ 16,928 # Intrum Justitia AB 1,920 55,663 # JM AB 1,776 60,348 * KappAhl AB 2,817 17,286 #* Karolinska Development AB Class B 2,570 9,830 # KNOW IT AB 1,527 16,210 # Kungsleden AB 5,180 42,310 Lagercrantz AB Class B 1,289 25,963 * Lindab International AB 3,331 41,527 Loomis AB Class B 1,553 42,362 * Lundin Petroleum AB 1,560 33,487 Meda AB Class A 8,655 155,573 #* Medivir AB Class B 2,235 39,674 Mekonomen AB 505 13,551 # Millicom International Cellular SA 396 39,249 # Modern Times Group AB Class B 823 36,720 NCC AB Class A 374 13,316 NCC AB Class B 2,855 100,026 # Nibe Industrier AB Class B 2,644 74,239 Nobia AB 4,812 43,802 # Nolato AB Class B 433 9,887 Nordea Bank AB 37,248 539,746 # Nordnet AB Class B 5,225 25,716 # OEM International AB Class B 160 2,912 Peab AB 7,109 55,043 Proffice AB Class B 638 2,326 # Ratos AB Class B 6,657 67,912 * Rezidor Hotel Group AB 1,068 6,619 Sagax AB Class B 388 1,854 Sandvik AB 4,871 69,226 #* SAS AB 11,807 25,391 Securitas AB Class B 6,484 78,383 Skandinaviska Enskilda Banken AB Class A 17,184 237,361 Skanska AB Class B 9,360 214,899 SkiStar AB 194 2,561 #* SSAB AB Class A 7,113 62,102 #* SSAB AB Class B 4,064 30,746 Svenska Cellulosa AB Class A 1,418 39,655 Svenska Cellulosa AB Class B 10,086 283,548 Svenska Handelsbanken AB Class A 6,121 307,886 Svenska Handelsbanken AB Class B 508 24,802 Sweco AB Class B 220 3,433 Swedbank AB Class A 9,727 260,313 * Swedish Orphan Biovitrum AB 5,855 64,384 Systemair AB 168 2,738 Tele2 AB Class B 8,205 104,853 TeliaSonera AB 22,976 167,244 Transmode AB 457 6,099 # Trelleborg AB Class B 8,851 189,381 # Wallenstam AB Class B 2,797 45,912 INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- SWEDEN -- (Continued) # Wihlborgs Fastigheter AB 1,610 $ 31,041 ---------- TOTAL SWEDEN 5,582,343 ---------- SWITZERLAND -- (4.5%) ABB, Ltd. 14,979 360,636 # ABB, Ltd. Sponsored ADR 8,786 210,161 Actelion, Ltd. 1,844 181,548 Adecco SA 2,379 199,722 AFG Arbonia-Forster Holding AG 731 24,369 Allreal Holding AG 438 61,767 Alpiq Holding AG 189 23,193 ams AG 436 65,737 APG SGA SA 33 11,344 Aryzta AG 3,482 321,860 Ascom Holding AG 1,831 34,062 Autoneum Holding AG 266 56,432 Baloise Holding AG 1,872 227,960 Bank Coop AG 85 4,157 Banque Cantonale de Geneve 19 4,854 Banque Cantonale Vaudoise 75 44,519 # Basler Kantonalbank 117 10,114 Belimo Holding AG 8 22,533 Bell AG 1 2,749 Berner Kantonalbank AG 151 37,045 BKW AG 581 21,345 * Bobst Group SA 574 29,216 Bossard Holding AG Class A 244 33,610 Bucher Industries AG 202 65,797 Burckhardt Compression Holding AG 53 27,471 Burkhalter Holding AG 120 11,322 Cie Financiere Richemont SA 2,987 303,897 Cie Financiere Tradition SA 83 4,518 Clariant AG 10,774 212,462 Conzzeta AG 10 39,566 Credit Suisse Group AG 6,386 202,453 Credit Suisse Group AG Sponsored ADR 8,959 283,731 Daetwyler Holding AG 141 22,294 EFG International AG 1,818 23,036 Emmi AG 72 26,419 EMS-Chemie Holding AG 62 24,192 # Energiedienst Holding AG 25 906 Flughafen Zuerich AG 125 78,860 Forbo Holding AG 58 60,036 # Galenica AG 143 145,614 GAM Holding AG 5,567 101,392 Gategroup Holding AG 865 26,952 Geberit AG 367 122,574 Georg Fischer AG 135 107,096 Givaudan SA 114 179,912 Gurit Holding AG 8 4,180 Helvetia Holding AG 240 119,628 Huber & Suhner AG 482 26,514 INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- SWITZERLAND -- (Continued) Implenia AG 665 $ 48,762 Inficon Holding AG 65 23,281 Intershop Holdings AG 15 5,798 Julius Baer Group, Ltd. 5,100 238,886 Kaba Holding AG Class B 91 43,836 Kardex AG 529 27,099 Komax Holding AG 100 15,479 Kudelski SA 1,322 22,799 Kuehne + Nagel International AG 382 52,235 Kuoni Reisen Holding AG 144 63,592 LEM Holding SA 10 8,260 Liechtensteinische Landesbank AG 109 5,396 Lindt & Spruengli AG 1 58,338 # Logitech International SA 4,869 65,488 Luzerner Kantonalbank AG 128 52,675 MCH Group AG 97 7,006 Metall Zug AG 3 9,046 #* Meyer Burger Technology AG 3,938 48,688 Micronas Semiconductor Holding AG 2,725 24,259 * Mobilezone Holding AG 307 3,494 Mobimo Holding AG 242 52,012 Nobel Biocare Holding AG 2,543 35,473 OC Oerlikon Corp. AG 7,100 113,101 * Orascom Development Holding AG 232 3,614 Orior AG 193 12,471 Panalpina Welttransport Holding AG 163 25,597 Partners Group Holding AG 259 70,919 Phoenix Mecano AG 6 3,861 PubliGroupe AG 37 7,413 Rieter Holding AG 155 35,049 Romande Energie Holding SA 3 3,918 Schaffner Holding AG 38 11,150 * Schmolz + Bickenbach AG 28,453 40,822 Schweiter Technologies AG 46 34,773 Schweizerische National-Versicherungs-Gesellschaft AG 691 47,887 SGS SA 31 77,441 Siegfried Holding AG 133 24,923 Sika AG 52 210,402 Sonova Holding AG 776 112,105 St Galler Kantonalbank AG 92 39,515 Straumann Holding AG 52 11,539 Sulzer AG 800 123,442 Swatch Group AG (The)(7184725) 276 177,479 Swatch Group AG (The)(7184736) 556 67,087 Swiss Life Holding AG 1,190 293,187 Swiss Re AG 7,268 635,522 Swisscom AG 148 90,040 * Swisslog Holding AG 2,849 3,275 Swissquote Group Holding SA 701 27,633 Syngenta AG 330 130,677 Tamedia AG 5 659 Temenos Group AG 859 30,799 INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- SWITZERLAND -- (Continued) U-Blox AG 460 $ 56,318 UBS AG 36,724 767,899 Valiant Holding AG 529 58,570 Valora Holding AG 127 35,911 Vaudoise Assurances Holding SA Class B 62 28,328 Verwaltungs- und Privat-Bank AG 176 17,547 Vetropack Holding AG 6 11,558 # Vontobel Holding AG 968 37,941 Walliser Kantonalbank 1 848 * Walter Meier AG 85 4,592 WM Technologie, Ltd. 85 2,028 # Zehnder Group AG 331 14,434 Zug Estates Holding AG 8 10,768 Zuger Kantonalbank AG 3 16,227 Zurich Insurance Group AG 2,123 608,789 ---------- TOTAL SWITZERLAND 9,259,715 ---------- UNITED KINGDOM -- (18.4%) A.G. Barr P.L.C. 2,545 26,592 Aberdeen Asset Management P.L.C. 14,250 105,399 Admiral Group P.L.C. 3,386 79,962 * Afren P.L.C. 38,660 102,689 African Barrick Gold P.L.C. 9,996 41,933 * Aga Rangemaster Group P.L.C. 4,443 13,061 Aggreko P.L.C. 3,021 80,628 Alent P.L.C. 7,283 39,188 AMEC P.L.C. 11,445 239,031 Amlin P.L.C. 19,044 143,986 Anglo American P.L.C. 24,220 647,476 Anglo Pacific Group P.L.C. 3,558 11,456 Antofagasta P.L.C. 9,627 128,301 ARM Holdings P.L.C. Sponsored ADR 2,922 133,009 Ashmore Group P.L.C. 10,568 62,772 Ashtead Group P.L.C. 12,059 178,668 Aviva P.L.C. 8,759 78,058 # Aviva P.L.C. Sponsored ADR 24,448 438,353 AZ Electronic Materials SA 3,213 21,871 Balfour Beatty P.L.C. 26,136 124,122 Bank of Georgia Holdings P.L.C. 1,105 48,601 Barclays P.L.C. Sponsored ADR 46,066 788,189 Barratt Developments P.L.C. 35,935 224,743 BBA Aviation P.L.C. 18,316 96,093 Beazley P.L.C. 21,395 88,755 Bellway P.L.C. 5,567 135,572 Berendsen P.L.C. 5,643 98,617 Berkeley Group Holdings P.L.C. 4,498 174,530 BG Group P.L.C. 32,328 653,973 # BHP Billiton P.L.C. ADR 8,483 548,850 Bloomsbury Publishing P.L.C. 364 987 Bodycote P.L.C. 7,441 91,818 Bovis Homes Group P.L.C. 5,827 77,924 BP P.L.C. Sponsored ADR 43,642 2,209,158 INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- UNITED KINGDOM -- (Continued) Braemar Shipping Services P.L.C. 266 $ 2,349 Brammer P.L.C. 5,914 46,759 Brewin Dolphin Holdings P.L.C. 11,189 61,035 British Polythene Industries P.L.C. 1,323 14,101 British Sky Broadcasting Group P.L.C. 7,688 114,419 Britvic P.L.C. 5,310 65,034 BT Group P.L.C. 26,802 167,315 BT Group P.L.C. Sponsored ADR 1,051 65,866 * BTG P.L.C. 9,457 85,037 Bunzl P.L.C. 4,929 140,436 Burberry Group P.L.C. 2,353 59,094 Cable & Wireless Communications P.L.C. 66,468 59,357 Cape P.L.C. 5,571 28,248 Capita P.L.C. 3,509 64,346 Carillion P.L.C. 16,464 102,989 # Carnival P.L.C. ADR 4,741 189,213 Catlin Group, Ltd. 15,558 138,952 * Centamin P.L.C. 44,019 48,109 Centrica P.L.C. 27,748 154,752 Chesnara P.L.C. 4,234 23,522 Chime Communications P.L.C. 1,066 6,284 Cineworld Group P.L.C. 4,419 24,099 Clarkson P.L.C. 575 25,910 Close Brothers Group P.L.C. 5,424 128,122 Coca-Cola HBC AG 4,075 103,271 * Colt Group SA 14,243 31,520 Communisis P.L.C. 5,124 5,643 Compass Group P.L.C. 13,682 217,940 Computacenter P.L.C. 4,456 49,051 Connect Group P.L.C. 6,841 20,829 Consort Medical P.L.C. 942 14,037 Cranswick P.L.C. 2,019 40,776 Croda International P.L.C. 1,499 65,288 CSR P.L.C. 3,985 38,720 CSR P.L.C. ADR 300 11,613 Daily Mail & General Trust P.L.C. 3,473 47,872 Dairy Crest Group P.L.C. 5,525 43,107 Darty P.L.C. 7,969 13,812 DCC P.L.C. 2,504 128,390 De La Rue P.L.C. 1,276 17,682 Debenhams P.L.C. 49,797 67,631 Dechra Pharmaceuticals P.L.C. 2,358 27,468 Development Securities P.L.C. 4,583 18,832 Devro P.L.C. 2,268 8,097 Dignity P.L.C. 736 17,803 Diploma P.L.C. 4,566 50,958 * Dixons Retail P.L.C. 81,626 62,083 Domino Printing Sciences P.L.C. 4,024 52,708 Drax Group P.L.C. 15,983 178,914 DS Smith P.L.C. 29,394 156,642 Dunelm Group P.L.C. 420 6,650 E2V Technologies P.L.C. 931 2,622 INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- UNITED KINGDOM -- (Continued) easyJet P.L.C. 3,214 $ 88,930 Electrocomponents P.L.C. 19,952 98,352 Elementis P.L.C. 19,483 91,461 * EnQuest P.L.C. 35,903 83,330 * Essar Energy P.L.C. 13,277 15,066 Euromoney Institutional Investor P.L.C. 1,177 21,243 * Evraz P.L.C. 3,856 6,289 * Exillon Energy P.L.C. 1,987 4,748 Experian P.L.C. 5,183 99,653 F&C Asset Management P.L.C. 21,596 43,581 Fenner P.L.C. 8,670 60,660 Ferrexpo P.L.C. 6,501 16,035 Fidessa Group P.L.C. 688 26,072 * Firstgroup P.L.C. 44,185 96,552 Fresnillo P.L.C. 241 3,475 G4S P.L.C. 12,897 51,491 Galliford Try P.L.C. 3,000 60,388 * Gem Diamonds, Ltd. 5,324 14,938 Genus P.L.C. 699 11,954 GKN P.L.C. 30,139 195,934 Glencore Xstrata P.L.C. 110,930 598,552 Go-Ahead Group P.L.C. 918 30,615 Grafton Group P.L.C. 6,382 62,773 Greencore Group P.L.C. 21,877 96,625 Greggs P.L.C. 5,571 50,391 Halfords Group P.L.C. 9,263 69,507 Halma P.L.C. 12,232 116,213 Hargreaves Lansdown P.L.C. 3,842 76,055 Hays P.L.C. 28,400 72,454 Helical Bar P.L.C. 2,872 17,622 Henderson Group P.L.C. 36,026 153,059 * Heritage Oil P.L.C. 10,502 56,062 Hill & Smith Holdings P.L.C. 2,871 27,119 Hiscox, Ltd. 10,667 127,263 Hochschild Mining P.L.C. 1,276 3,561 Home Retail Group P.L.C. 31,636 109,312 Homeserve P.L.C. 11,423 65,165 Howden Joinery Group P.L.C. 16,124 88,771 HSBC Holdings P.L.C. Sponsored ADR 39,434 2,023,753 Hunting P.L.C. 4,983 71,339 ICAP P.L.C. 20,029 140,301 IG Group Holdings P.L.C. 13,273 142,732 IMI P.L.C. 2,539 64,402 Inchcape P.L.C. 17,067 185,402 Informa P.L.C. 23,738 193,852 Inmarsat P.L.C. 16,912 208,092 * Innovation Group P.L.C. 24,681 13,228 InterContinental Hotels Group P.L.C. 4,278 146,207 InterContinental Hotels Group P.L.C. ADR 731 25,161 * International Consolidated Airlines Group SA 25,497 174,375 Interserve P.L.C. 5,962 66,817 Intertek Group P.L.C. 1,342 66,106 INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- UNITED KINGDOM -- (Continued) Investec P.L.C. 24,501 $216,191 * IP Group P.L.C. 5,573 16,171 ITE Group P.L.C. 4,116 16,007 ITV P.L.C. 34,641 106,559 J Sainsbury P.L.C. 21,271 120,666 James Fisher & Sons P.L.C. 1,640 35,764 Jardine Lloyd Thompson Group P.L.C. 2,515 44,879 JD Sports Fashion P.L.C. 411 12,197 John Menzies P.L.C. 1,317 14,335 John Wood Group P.L.C. 8,281 109,804 Johnson Matthey P.L.C. 4,374 241,969 Jupiter Fund Management P.L.C. 10,294 67,644 * Kazakhmys P.L.C. 10,220 41,182 Kcom Group P.L.C. 16,007 25,464 Keller Group P.L.C. 3,283 55,388 Kentz Corp., Ltd. 3,645 44,413 Kier Group P.L.C. 1,202 33,784 Kingfisher P.L.C. 43,161 305,424 Laird P.L.C. 7,676 36,075 * Lamprell P.L.C. 14,732 38,203 Lancashire Holdings, Ltd. 5,817 68,780 Lavendon Group P.L.C. 5,985 22,935 Legal & General Group P.L.C. 95,022 340,154 * Lloyds Banking Group P.L.C. 204,097 260,267 #* Lloyds Banking Group P.L.C. ADR 76,919 397,671 London Stock Exchange Group P.L.C. 4,686 143,609 * Lonmin P.L.C. 19,058 91,436 Lookers P.L.C. 15,514 36,622 Low & Bonar P.L.C. 15,615 21,934 Man Group P.L.C. 82,223 137,218 Marks & Spencer Group P.L.C. 13,428 100,392 Marshalls P.L.C. 3,577 10,709 McBride P.L.C. 338 561 Mears Group P.L.C. 4,347 36,844 Mecom Group P.L.C. 198 441 Melrose Industries P.L.C. 37,835 182,707 Michael Page International P.L.C. 3,969 31,525 Micro Focus International P.L.C. 3,910 51,277 Millennium & Copthorne Hotels P.L.C. 4,807 45,126 Mitie Group P.L.C. 18,699 100,725 Mondi P.L.C. 10,480 174,219 Moneysupermarket.com Group P.L.C. 6,730 20,761 Morgan Advanced Materials P.L.C. 12,106 68,518 Morgan Sindall Group P.L.C. 2,595 34,691 N Brown Group P.L.C. 4,476 38,794 National Express Group P.L.C. 22,499 106,137 National Grid P.L.C. Sponsored ADR 2,611 185,538 Next P.L.C. 754 83,183 Northgate P.L.C. 5,880 51,471 Novae Group P.L.C. 708 6,481 * Ocado Group P.L.C. 3,561 20,270 Old Mutual P.L.C. 122,407 413,746 INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- UNITED KINGDOM -- (Continued) * Optos P.L.C. 998 $ 2,701 Oxford Instruments P.L.C. 658 14,338 Pace P.L.C. 13,022 80,241 PayPoint P.L.C. 402 7,733 Pearson P.L.C. Sponsored ADR 11,890 223,175 Pendragon P.L.C. 21,003 11,029 Pennon Group P.L.C. 10,178 130,295 * Persimmon P.L.C. 10,938 242,736 * Petra Diamonds, Ltd. 11,429 31,527 Petrofac, Ltd. 6,589 161,710 Petropavlovsk P.L.C. 19,536 22,485 Phoenix Group Holdings 6,150 70,920 Photo-Me International P.L.C. 6,189 14,106 Premier Farnell P.L.C. 7,562 28,449 * Premier Foods P.L.C. 35,747 34,743 Premier Oil P.L.C. 17,353 99,364 Prudential P.L.C. ADR 7,954 367,395 PZ Cussons P.L.C. 6,269 36,691 * Quintain Estates & Development P.L.C. 26,897 46,077 Randgold Resources, Ltd. 2,039 163,901 * Raven Russia, Ltd. 8,361 9,187 Redrow P.L.C. 11,255 54,471 Reed Elsevier P.L.C. Sponsored ADR 1,466 86,699 Regus P.L.C. 21,016 74,316 Renishaw P.L.C. 1,071 32,940 Rentokil Initial P.L.C. 38,034 76,637 Resolution, Ltd. 62,499 315,298 Rexam P.L.C. 33,243 278,703 Ricardo P.L.C. 968 11,084 Rightmove P.L.C. 1,820 74,146 # Rio Tinto P.L.C. Sponsored ADR 16,173 878,032 Rolls-Royce Holdings P.L.C. 17,369 308,516 Rotork P.L.C. 1,694 74,293 * Royal Bank of Scotland Group P.L.C. Sponsored ADR 13,108 133,177 Royal Dutch Shell P.L.C. ADR(780259206) 26,736 2,105,193 # Royal Dutch Shell P.L.C. ADR(780259107) 12,106 1,024,773 RPC Group P.L.C. 5,328 53,998 RPS Group P.L.C. 7,727 38,646 RSA Insurance Group P.L.C. 148,420 246,439 Sage Group P.L.C. (The) 22,120 159,562 * Salamander Energy P.L.C. 1,958 4,436 Savills P.L.C. 4,686 47,486 Schroders P.L.C.(0239581) 380 12,520 Schroders P.L.C.(0240549) 1,871 80,913 SDL P.L.C. 6,858 34,943 Senior P.L.C. 17,000 82,160 Sepura P.L.C. 4,663 10,462 Serco Group P.L.C. 11,508 65,592 Severn Trent P.L.C. 3,892 121,319 Shanks Group P.L.C. 24,441 42,193 Shire P.L.C. 4,191 239,691 SIG P.L.C. 25,559 82,834 INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- UNITED KINGDOM -- (Continued) Smith & Nephew P.L.C. 11,701 $182,455 Smith & Nephew P.L.C. Sponsored ADR 300 23,382 Smiths Group P.L.C. 8,711 196,639 Soco International P.L.C. 9,381 68,563 Spectris P.L.C. 4,416 166,159 Speedy Hire P.L.C. 20,530 19,547 Spirax-Sarco Engineering P.L.C. 1,900 93,135 Spirent Communications P.L.C. 4,616 7,431 * Sports Direct International P.L.C. 3,221 42,709 SSE P.L.C. 8,086 208,510 St Ives P.L.C. 2,904 9,730 St James's Place P.L.C. 6,578 85,729 ST Modwen Properties P.L.C. 8,462 53,135 Stagecoach Group P.L.C. 10,533 66,051 Standard Chartered P.L.C. 17,551 380,106 Standard Life P.L.C. 39,948 258,264 Sthree P.L.C. 3,281 22,415 * SuperGroup P.L.C. 1,456 32,730 Synergy Health P.L.C. 2,281 47,803 Synthomer P.L.C. 7,356 32,790 TalkTalk Telecom Group P.L.C. 8,575 41,557 Tate & Lyle P.L.C. 9,728 115,322 Taylor Wimpey P.L.C. 115,064 204,635 Ted Baker P.L.C. 347 10,845 Telecity Group P.L.C. 1,644 19,939 Telecom Plus P.L.C. 404 10,576 Tesco P.L.C. 66,068 327,296 * Thomas Cook Group P.L.C. 64,890 191,821 Topps Tiles P.L.C. 9,851 21,434 Travis Perkins P.L.C. 8,735 252,182 * Trinity Mirror P.L.C. 18,781 55,040 TT electronics P.L.C. 7,362 26,030 TUI Travel P.L.C. 10,941 79,139 Tullett Prebon P.L.C. 9,368 50,354 Tullow Oil P.L.C. 1,700 25,288 UBM P.L.C. 3,452 38,400 UDG Healthcare P.L.C. 10,517 63,762 Unilever P.L.C. Sponsored ADR 4,218 188,713 Unite Group P.L.C. (The) 8,424 60,155 United Utilities Group P.L.C. 11,182 150,409 UTV Media P.L.C. 756 3,062 * Vectura Group P.L.C. 6,480 15,417 Vedanta Resources P.L.C. 2,854 45,702 Vesuvius P.L.C. 9,432 66,529 Victrex P.L.C. 1,472 46,346 Vitec Group P.L.C. (The) 435 4,525 Vodafone Group P.L.C. 249,982 949,083 Weir Group P.L.C. (The) 4,949 225,116 WH Smith P.L.C. 3,220 59,717 Whitbread P.L.C. 3,257 224,655 * Wincanton P.L.C. 4,428 8,861 WM Morrison Supermarkets P.L.C. 71,798 243,730 INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ------------ UNITED KINGDOM -- (Continued) * Wolfson Microelectronics P.L.C. 1,488 $ 5,908 Wolseley P.L.C. 2,050 118,774 WPP P.L.C. 26,472 570,778 WS Atkins P.L.C. 2,029 44,006 Xaar P.L.C. 1,394 18,571 Xchanging P.L.C. 6,045 16,260 ------------ TOTAL UNITED KINGDOM 37,797,066 ------------ UNITED STATES -- (0.0%) * Chaparral Gold Corp. 1,000 594 * Endo International P.L.C. 653 40,936 * Kofax, Ltd. 389 2,922 ------------ TOTAL UNITED STATES 44,452 ------------ TOTAL COMMON STOCKS 184,431,054 ------------ PREFERRED STOCKS -- (0.0%) UNITED KINGDOM -- (0.0%) McBride P.L.C. 5,746 10 Rolls-Royce Holdings P.L.C. 2,327,446 3,930 ------------ TOTAL UNITED KINGDOM 3,940 ------------ TOTAL PREFERRED STOCKS 3,940 ------------ RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) * Bank of Queensland, Ltd. Rights 05/09/14 1,536 -- ------------ FRANCE -- (0.0%) * Groupe Fnac 6 29 * Peugeot SA Warrants 04/29/17 9,470 18,118 ------------ TOTAL FRANCE 18,147 ------------ HONG KONG -- (0.0%) * Haitong International Securities Group, Ltd. Rights 05/23/14 7,000 81 * Sun Hung Kai Properties 04/22/16 1,583 1,083 ------------ TOTAL HONG KONG 1,164 ------------ ISRAEL -- (0.0%) * Africa Israel Investments, Ltd. Rights 05/01/14 291 251 ------------ PORTUGAL -- (0.0%) * Mota-Engil SGPS SA Rights 12/31/49 5,517 4,354 ------------ SPAIN -- (0.0%) * Banco Santander SA 117,002 24,752 ------------ SWEDEN -- (0.0%) * Rezidor Hotel Group Rights 05/21/14 1,068 495 ------------ TOTAL RIGHTS/WARRANTS 49,163 ------------ INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES/ FACE AMOUNT (000) VALUE+ --------- ------------ SECURITIES LENDING COLLATERAL -- (10.2%) (S)@ DFA Short Term Investment Fund 1,816,900 $ 21,021,537 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $180,631,169) $205,505,694 ============ INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, 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 $ 71,669 $ 12,426,470 -- $ 12,498,139 Austria 11,770 1,285,656 -- 1,297,426 Belgium 103,711 2,069,133 -- 2,172,844 Brazil 602 -- -- 602 Canada 18,662,049 -- -- 18,662,049 Denmark -- 2,408,033 -- 2,408,033 Finland -- 2,821,394 -- 2,821,394 France 548,674 14,016,746 -- 14,565,420 Germany 614,300 11,613,283 -- 12,227,583 Hong Kong -- 5,731,430 -- 5,731,430 Ireland 343,366 652,367 -- 995,733 Israel 100,149 785,095 -- 885,244 Italy 244,261 5,577,271 -- 5,821,532 Japan 90,950 34,263,470 -- 34,354,420 Netherlands 685,867 4,222,005 -- 4,907,872 New Zealand -- 663,166 -- 663,166 Norway 157,833 1,859,912 -- 2,017,745 Portugal -- 808,299 -- 808,299 Singapore -- 3,137,378 -- 3,137,378 Spain 92,815 5,678,354 -- 5,771,169 Sweden 845 5,581,498 -- 5,582,343 Switzerland 1,327,279 7,932,436 -- 9,259,715 United Kingdom 12,046,913 25,750,153 -- 37,797,066 United States 41,530 2,922 -- 44,452 Preferred Stocks United Kingdom -- 3,940 -- 3,940 Rights/Warrants Australia -- -- -- -- France -- 18,147 -- 18,147 Hong Kong -- 1,164 -- 1,164 Israel -- 251 -- 251 Portugal -- 4,354 -- 4,354 Spain -- 24,752 -- 24,752 Sweden -- 495 -- 495 Securities Lending Collateral -- 21,021,537 -- 21,021,537 ----------- ------------ -- ------------ TOTAL $35,144,583 $170,361,111 -- $205,505,694 =========== ============ == ============ EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO SCHEDULE OF INVESTMENTS APRIL 30, 2014 (UNAUDITED) SHARES VALUE++ ------- ---------- COMMON STOCKS -- (89.3%) BRAZIL -- (6.7%) Abril Educacao SA 4,700 $ 60,074 AES Tiete SA 16,562 108,445 Aliansce Shopping Centers SA 34,791 287,097 ALL - America Latina Logistica SA 137,600 544,908 Anhanguera Educacional Participacoes SA 99,891 618,229 Arezzo Industria e Comercio SA 12,628 141,302 Autometal SA 12,100 100,392 * B2W Cia Digital 28,000 311,174 Banco Bradesco SA 114,884 1,764,672 Banco do Brasil SA 159,126 1,670,654 Banco Santander Brasil SA 24,200 161,713 Banco Santander Brasil SA ADR 186,680 1,241,422 Bematech SA 15,900 59,471 * BHG SA - Brazil Hospitality Group 7,800 48,624 BM&FBovespa SA 421,917 2,157,127 BR Malls Participacoes SA 107,323 923,659 Brasil Brokers Participacoes SA 50,900 99,985 Brasil Insurance Participacoes e Administracao SA 18,970 84,737 BrasilAgro - Co. Brasileira de Propriedades Agricolas 2,800 11,239 Braskem SA Sponsored ADR 27,004 367,254 * Brazil Pharma SA 32,869 53,658 BRF SA 74,600 1,689,562 BRF SA ADR 43,834 990,648 * Brookfield Incorporacoes SA 157,789 101,194 CCR SA 120,300 941,467 Centrais Eletricas Brasileiras SA 46,400 161,898 # Centrais Eletricas Brasileiras SA ADR 17,139 95,293 Centrais Eletricas Brasileiras SA Sponsored ADR 27,372 94,981 CETIP SA - Mercados Organizados 49,046 624,912 Cia Brasileira de Distribuicao Grupo Pao de Acucar ADR 14,001 665,888 Cia de Saneamento Basico do Estado de Sao Paulo 40,049 379,341 Cia de Saneamento Basico do Estado de Sao Paulo ADR 46,194 437,919 Cia de Saneamento de Minas Gerais-COPASA 19,900 310,582 Cia Energetica de Minas Gerais 11,909 91,487 Cia Energetica de Minas Gerais Sponsored ADR 71,956 542,550 Cia Hering 33,923 358,437 Cia Paranaense de Energia 2,600 25,653 # Cia Paranaense de Energia Sponsored ADR 18,785 269,565 Cia Providencia Industria e Comercio SA 2,200 7,982 # Cia Siderurgica Nacional SA Sponsored ADR 184,458 713,852 Cielo SA 83,353 1,476,594 * Contax Participacoes SA 4,500 33,905 Cosan SA Industria e Comercio 39,728 681,331 CPFL Energia SA 19,700 167,071 CPFL Energia SA ADR 10,790 180,840 Cremer SA 7,500 56,172 Cyrela Brazil Realty SA Empreendimentos e Participacoes 93,500 566,934 Cyrela Commercial Properties SA Empreendimentos e Participacoes 2,400 19,234 Direcional Engenharia SA 35,300 172,245 Duratex SA 93,223 403,454 EcoRodovias Infraestrutura e Logistica SA 47,100 281,576 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- BRAZIL -- (Continued) EDP - Energias do Brasil SA 91,700 $ 398,508 Embraer SA 42,200 364,891 Embraer SA ADR 34,261 1,178,578 Equatorial Energia SA 59,031 539,016 Estacio Participacoes SA 79,453 850,919 Eternit SA 29,366 114,448 Even Construtora e Incorporadora SA 87,000 280,148 Ez Tec Empreendimentos e Participacoes SA 18,200 223,404 * Fertilizantes Heringer SA 6,700 15,896 * Fibria Celulose SA 14,900 148,348 #* Fibria Celulose SA Sponsored ADR 81,253 806,842 Forjas Taurus SA 2,402 1,487 Gafisa SA 57,400 93,446 # Gafisa SA ADR 80,334 265,906 * General Shopping Brasil SA 5,100 15,805 Gerdau SA 36,700 177,924 Gerdau SA Sponsored ADR 261,772 1,573,250 * Gol Linhas Aereas Inteligentes SA ADR 100 650 Grendene SA 27,000 170,737 Guararapes Confeccoes SA 1,600 74,627 Helbor Empreendimentos SA 52,990 180,614 Hypermarcas SA 114,040 840,308 Iguatemi Empresa de Shopping Centers SA 27,304 271,479 Industrias Romi SA 3,400 7,700 International Meal Co. Holdings SA 22,600 178,895 Iochpe-Maxion SA 27,800 251,475 Itau Unibanco Holding SA 49,510 762,717 JBS SA 241,288 833,240 JHSF Participacoes SA 23,700 38,583 JSL SA 19,300 104,561 Kepler Weber SA 5,372 87,455 Klabin SA 154,700 811,746 Kroton Educacional SA 46,240 990,435 Light SA 26,598 212,331 Localiza Rent a Car SA 26,585 397,031 * Log-in Logistica Intermodal SA 19,300 69,159 Lojas Americanas SA 33,006 210,936 Lojas Renner SA 21,545 633,861 LPS Brasil Consultoria de Imoveis SA 18,700 93,510 M Dias Branco SA 6,600 285,282 Magnesita Refratarios SA 50,785 107,959 Mahle-Metal Leve SA Industria e Comercio 12,700 125,362 Marcopolo SA 1,400 2,512 * Marfrig Global Foods SA 114,350 213,341 Marisa Lojas SA 17,383 117,563 Mills Estruturas e Servicos de Engenharia SA 23,600 297,626 * Minerva SA 49,145 220,847 * MMX Mineracao e Metalicos SA 21,933 25,477 MRV Engenharia e Participacoes SA 97,113 307,486 Multiplan Empreendimentos Imobiliarios SA 19,881 439,393 Multiplus SA 12,300 157,380 Natura Cosmeticos SA 27,700 474,431 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ----------- BRAZIL -- (Continued) Oi SA 35,616 $ 35,939 Oi SA ADR(670851104) 1,991 1,971 # Oi SA ADR(670851203) 141,376 131,296 * Paranapanema SA 70,114 115,402 * PDG Realty SA Empreendimentos e Participacoes 480,733 295,371 Petroleo Brasileiro SA 147,800 1,036,042 Petroleo Brasileiro SA ADR 137,398 1,907,084 Porto Seguro SA 36,000 524,723 Portobello SA 16,200 37,053 Profarma Distribuidora de Produtos Farmaceuticos SA 3,800 30,335 QGEP Participacoes SA 35,000 134,679 Raia Drogasil SA 49,314 420,211 Restoque Comercio e Confeccoes de Roupas SA 32,100 89,113 Rodobens Negocios Imobiliarios SA 8,300 43,031 * Rossi Residencial SA 125,268 89,888 Santos Brasil Participacoes SA 14,700 117,811 Sao Martinho SA 22,484 336,794 SLC Agricola SA 21,000 160,108 Sonae Sierra Brasil SA 14,800 119,276 * Springs Global Participacoes SA 21,540 12,075 Sul America SA 77,252 566,464 * T4F Entretenimento SA 9,700 21,969 Technos SA 6,655 38,979 Tecnisa SA 43,100 133,954 Tegma Gestao Logistica 7,497 62,706 # Telefonica Brasil SA ADR 39,290 832,948 Tereos Internacional SA 10,800 8,670 Tim Participacoes SA 44,400 240,942 Tim Participacoes SA ADR 19,104 514,089 Totvs SA 29,400 480,078 TPI - Triunfo Participacoes e Investimentos SA 12,300 47,992 Tractebel Energia SA 25,162 374,200 Transmissora Alianca de Energia Eletrica SA 86,615 774,961 Ultrapar Participacoes SA 35,944 902,408 Ultrapar Participacoes SA Sponsored ADR 14,800 368,372 UNICASA Industria de Moveis SA 5,500 10,483 * Usinas Siderurgicas de Minas Gerais SA 18,000 64,662 Vale SA 39,200 516,865 # Vale SA Sponsored ADR 213,281 2,819,575 Valid Solucoes e Servicos de Seguranca em Meios de Pagamento e Identificacao S.A 19,440 301,223 * Vanguarda Agro SA 72,299 103,111 WEG SA 44,942 542,388 ----------- TOTAL BRAZIL 55,769,169 ----------- CHILE -- (1.4%) AES Gener SA 398,841 214,528 Aguas Andinas SA Class A 562,297 346,892 Banco de Chile 60,056 7,716 Banco de Chile ADR 4,218 326,347 Banco de Credito e Inversiones 6,016 332,650 Banco Santander Chile ADR 19,000 461,130 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ---------- ----------- CHILE -- (Continued) Besalco SA 75,179 $ 65,819 CAP SA 22,318 334,619 Cencosud SA 179,292 597,370 Cencosud SA ADR 9,745 98,035 Cia General de Electricidad SA 39,633 186,135 * Cia Sud Americana de Vapores SA 1,172,552 55,692 Colbun SA 1,221,163 302,145 Corpbanca SA 35,019,425 403,410 Corpbanca SA ADR 972 17,156 E.CL SA 141,133 179,263 Empresa Nacional de Electricidad SA Sponsored ADR 14,473 637,825 * Empresas AquaChile SA 41,763 28,496 Empresas CMPC SA 303,245 675,006 Empresas COPEC SA 72,961 941,340 Empresas Hites SA 72,367 40,412 Empresas Iansa SA 1,240,934 49,043 * Empresas La Polar SA 163,427 16,219 Enersis SA Sponsored ADR 83,700 1,347,570 ENTEL Chile SA 42,757 524,900 Forus SA 24,551 103,555 Gasco SA 6,777 59,452 Grupo Security SA 135,206 47,205 Inversiones Aguas Metropolitanas SA 146,431 242,382 Inversiones La Construccion SA 391 5,145 Latam Airlines Group SA 21,221 306,930 Latam Airlines Group SA Sponsored ADR 36,515 559,775 * Madeco SA 1,150,142 4,800 Masisa SA 769,822 38,201 Molibdenos y Metales SA 4,602 62,596 * Multiexport Foods SA 122,053 27,469 Parque Arauco SA 219,589 393,019 PAZ Corp. SA 93,709 52,480 Ripley Corp. SA 218,510 142,122 SACI Falabella 78,237 665,546 Salfacorp SA 67,934 58,392 Sigdo Koppers SA 111,976 182,573 Sociedad Matriz SAAM SA 1,699,690 137,360 Sociedad Quimica y Minera de Chile SA Sponsored ADR 6,008 191,655 Socovesa SA 139,493 25,958 Sonda SA 144,340 333,827 ----------- TOTAL CHILE 11,830,160 ----------- CHINA -- (13.8%) 361 Degrees International, Ltd. 195,000 44,816 Agile Property Holdings, Ltd. 438,000 355,204 Agricultural Bank of China, Ltd. Class H 2,930,000 1,229,094 Air China, Ltd. Class H 392,000 223,469 Ajisen China Holdings, Ltd. 118,000 99,636 #* Aluminum Corp. of China, Ltd. ADR 22,775 204,975 * Aluminum Corp. of China, Ltd. Class H 488,000 174,961 AMVIG Holdings, Ltd. 98,000 35,676 * Angang Steel Co., Ltd. Class H 332,000 201,616 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ---------- ---------- CHINA -- (Continued) # Anhui Conch Cement Co., Ltd. Class H 193,500 $ 719,972 Anhui Expressway Co., Ltd. Class H 172,000 94,165 Anta Sports Products, Ltd. 163,000 238,091 # Anton Oilfield Services Group 242,000 160,710 Anxin-China Holdings, Ltd. 784,000 123,523 Asia Cement China Holdings Corp. 158,000 114,873 * AVIC International Holdings, Ltd. 46,000 16,654 Bank of China, Ltd. Class H 10,209,356 4,511,416 Bank of Communications Co., Ltd. Class H 1,282,580 798,902 # Baoxin Auto Group, Ltd. 78,500 59,460 Baoye Group Co., Ltd. Class H 100,000 59,399 * BaWang International Group Holding, Ltd. 182,000 9,292 BBMG Corp. Class H 291,141 204,188 Beijing Capital International Airport Co., Ltd. Class H 572,000 399,631 Beijing Capital Land, Ltd. Class H 376,000 126,656 Beijing Enterprises Water Group, Ltd. 774,000 489,916 Beijing Jingkelong Co., Ltd. Class H 46,000 12,891 # Beijing Jingneng Clean Energy Co., Ltd. Class H 160,000 69,176 Beijing North Star Co., Ltd. Class H 222,000 51,830 Belle International Holdings, Ltd. 920,000 959,020 Biostime International Holdings, Ltd. 26,500 176,278 # Bloomage Biotechnology Corp., Ltd. 20,000 53,961 Boer Power Holdings, Ltd. 83,000 108,949 # Bosideng International Holdings, Ltd. 874,000 128,991 Brilliance China Automotive Holdings, Ltd. 394,000 603,822 #* Byd Co., Ltd. Class H 46,500 251,621 * BYD Electronic International Co., Ltd. 297,000 183,067 C C Land Holdings, Ltd. 422,125 79,252 * Carnival Group International Holdings, Ltd. 85,500 6,748 Carrianna Group Holdings Co., Ltd. 102,000 20,446 Central China Real Estate, Ltd. 181,194 44,735 Changshouhua Food Co., Ltd. 87,000 88,386 * Chaoda Modern Agriculture Holdings, Ltd. 600,243 48,019 # Chaowei Power Holdings, Ltd. 199,000 102,491 * Chigo Holding, Ltd. 1,680,000 38,200 Chiho-Tiande Group, Ltd. 8,000 3,916 China Aerospace International Holdings, Ltd. 636,000 64,197 China Agri-Industries Holdings, Ltd. 737,800 295,183 # China All Access Holdings, Ltd. 254,000 105,237 China Aoyuan Property Group, Ltd. 385,000 65,604 China Automation Group, Ltd. 134,000 23,853 China BlueChemical, Ltd. 509,143 273,317 China CITIC Bank Corp., Ltd. Class H 1,424,000 850,640 # China Coal Energy Co., Ltd. Class H 1,124,000 606,107 China Communications Services Corp., Ltd. Class H 610,800 309,180 China Construction Bank Corp. Class H 9,769,990 6,764,477 * China COSCO Holdings Co., Ltd. Class H 624,000 247,488 # China Datang Corp. Renewable Power Co., Ltd. Class H 641,000 84,614 * China Dredging Environment Protection Holdings, Ltd. 68,000 23,419 #* China Eastern Airlines Corp., Ltd. Class H 478,000 147,722 * China Energine International Holdings, Ltd. 136,000 11,953 China Everbright International, Ltd. 524,000 655,361 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ---------- CHINA -- (Continued) China Fiber Optic Network System Group, Ltd. 128,000 $ 29,983 #* China Foods, Ltd. 336,000 113,701 China Gas Holdings, Ltd. 328,000 532,223 * China Glass Holdings, Ltd. 106,000 12,751 * China Green Holdings, Ltd. 144,000 9,047 * China Haidian Holdings, Ltd. 700,000 88,682 * China High Precision Automation Group, Ltd. 73,000 11,487 * China High Speed Transmission Equipment Group Co., Ltd. 349,993 244,667 # China Hongqiao Group, Ltd. 262,000 179,703 * China Household Holdings, Ltd. 550,000 15,962 * China Huiyuan Juice Group, Ltd. 181,500 118,877 China International Marine Containers Group Co., Ltd. Class H 44,300 88,225 # China ITS Holdings Co., Ltd. 164,000 30,983 China Lesso Group Holdings, Ltd. 215,000 114,529 # China Life Insurance Co., Ltd. ADR 35,424 1,384,370 China Life Insurance Co., Ltd. Class H 97,000 252,098 China Lilang, Ltd. 120,000 77,491 China Longyuan Power Group Corp. Class H 345,000 354,904 # China Lumena New Materials Corp. 936,000 150,910 China Mengniu Dairy Co., Ltd. 187,000 961,119 China Merchants Bank Co., Ltd. Class H 859,598 1,535,759 China Merchants Holdings International Co., Ltd. 255,849 799,529 #* China Metal Recycling Holdings, Ltd. 130,581 29,778 # China Minsheng Banking Corp., Ltd. Class H 845,500 853,035 China Mobile, Ltd. 38,500 366,461 # China Mobile, Ltd. Sponsored ADR 167,201 7,930,343 #* China Modern Dairy Holdings, Ltd. 306,000 132,139 China Molybdenum Co., Ltd. Class H 146,000 65,123 China National Building Material Co., Ltd. Class H 750,000 708,562 China National Materials Co., Ltd. 395,000 76,615 * China New Town Development Co., Ltd. 416,254 31,251 * China Nickel Resources Holdings Co., Ltd. 40,000 1,316 China Oil & Gas Group, Ltd. 1,380,000 228,400 China Oilfield Services, Ltd. Class H 194,000 464,095 China Overseas Grand Oceans Group, Ltd. 219,500 130,598 China Overseas Land & Investment, Ltd. 520,000 1,278,728 China Pacific Insurance Group Co., Ltd. Class H 276,800 866,710 # China Power International Development, Ltd. 709,000 255,284 * China Power New Energy Development Co., Ltd. 1,500,000 78,651 * China Precious Metal Resources Holdings Co., Ltd. 854,000 84,921 * China Properties Group, Ltd. 128,000 28,805 China Qinfa Group, Ltd. 144,000 6,135 China Railway Construction Corp., Ltd. Class H 452,500 372,577 China Railway Group, Ltd. Class H 414,000 185,424 * China Rare Earth Holdings, Ltd. 398,000 50,861 China Resources Cement Holdings, Ltd. 500,000 346,790 China Resources Gas Group, Ltd. 130,000 385,624 China Resources Land, Ltd. 386,000 795,657 China Resources Power Holdings Co., Ltd. 238,000 598,179 #* China Rongsheng Heavy Industries Group Holdings, Ltd. 1,130,000 194,553 * China Ruifeng Renewable Energy Holdings, Ltd. 116,000 24,096 China Sanjiang Fine Chemicals Co., Ltd. 181,000 79,272 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ---------- CHINA -- (Continued) China SCE Property Holdings, Ltd. 230,600 $ 50,010 China Shanshui Cement Group, Ltd. 566,790 219,982 China Shenhua Energy Co., Ltd. Class H 486,884 1,319,093 #* China Shipping Container Lines Co., Ltd. Class H 1,309,000 308,424 * China Shipping Development Co., Ltd. Class H 405,654 222,365 China Singyes Solar Technologies Holdings, Ltd. 95,000 139,428 # China South City Holdings, Ltd. 614,000 257,879 China Southern Airlines Co., Ltd. Class H 228,000 68,086 # China Southern Airlines Co., Ltd. Sponsored ADR 5,037 75,857 China State Construction International Holdings, Ltd. 255,919 426,762 # China Suntien Green Energy Corp., Ltd. Class H 480,000 162,596 China Taifeng Beddings Holdings, Ltd. 134,000 14,907 * China Taiping Insurance Holdings Co., Ltd. 222,000 352,796 # China Telecom Corp., Ltd. ADR 13,120 672,006 China Telecom Corp., Ltd. Class H 144,000 73,484 #* China Tian Lun Gas Holdings, Ltd. 27,000 24,910 China Tianyi Holdings, Ltd. 108,000 14,535 China Unicom Hong Kong, Ltd. 378,000 578,513 # China Unicom Hong Kong, Ltd. ADR 68,815 1,054,934 * China Vanadium Titano - Magnetite Mining Co., Ltd. 249,000 31,199 # China Water Affairs Group, Ltd. 266,000 90,022 * China Water Industry Group, Ltd. 76,000 12,491 * China WindPower Group, Ltd. 1,314,648 85,305 #* China Yurun Food Group, Ltd. 497,000 240,232 #* China ZhengTong Auto Services Holdings, Ltd. 251,000 136,822 #* China Zhongwang Holdings, Ltd. 542,318 169,510 * Chinasoft International, Ltd. 370,000 106,971 #* ChinaVision Media Group, Ltd. 180,000 34,641 * Chongqing Iron & Steel Co., Ltd. Class H 190,000 27,205 Chongqing Machinery & Electric Co., Ltd. Class H 476,000 61,579 Chongqing Rural Commercial Bank Class H 608,000 265,021 Chu Kong Petroleum & Natural Gas Steel Pipe Holdings, Ltd. 92,000 27,936 CIMC Enric Holdings, Ltd. 124,000 179,246 * Citic 21CN Co., Ltd. 240,000 133,860 * CITIC Dameng Holdings, Ltd. 40,000 2,849 # CITIC Pacific, Ltd. 457,433 801,032 * CITIC Resources Holdings, Ltd. 704,000 102,783 # CITIC Securities Co., Ltd. Class H 207,000 414,419 Clear Media, Ltd. 22,000 22,002 CNOOC, Ltd. 761,000 1,251,931 # CNOOC, Ltd. ADR 24,420 4,033,940 #* Comba Telecom Systems Holdings, Ltd. 283,845 72,285 #* Comtec Solar Systems Group, Ltd. 278,000 44,289 Coolpad Group, Ltd. 296,000 128,495 COSCO Pacific, Ltd. 507,778 681,543 * Coslight Technology International Group, Ltd. 14,000 9,772 Country Garden Holdings Co., Ltd. 925,000 370,885 CP Pokphand Co., Ltd. 820,000 90,825 CPMC Holdings, Ltd. 109,000 86,281 * DaChan Food Asia, Ltd. 57,000 6,764 Dah Chong Hong Holdings, Ltd. 218,000 138,193 Dalian Port PDA Co., Ltd. Class H 422,000 99,767 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ---------- CHINA -- (Continued) # Daphne International Holdings, Ltd. 314,000 $ 126,066 Datang International Power Generation Co., Ltd. Class H 604,000 224,475 #* DBA Telecommunication Asia Holdings, Ltd. 112,000 5,504 Digital China Holdings, Ltd. 225,000 208,396 Dongfang Electric Corp., Ltd. Class H 79,800 124,395 Dongjiang Environmental Co., Ltd. Class H 9,000 32,622 # Dongyue Group, Ltd. 418,000 167,737 Embry Holdings, Ltd. 14,000 8,174 ENN Energy Holdings, Ltd. 146,000 1,018,344 EVA Precision Industrial Holdings, Ltd. 420,000 70,532 # Evergrande Real Estate Group, Ltd. 1,783,000 796,462 # Fantasia Holdings Group Co., Ltd. 615,000 82,003 # First Tractor Co., Ltd. Class H 108,000 63,248 # Fosun International, Ltd. 451,500 546,824 # Franshion Properties China, Ltd. 1,093,120 341,892 # Fufeng Group, Ltd. 324,400 123,605 #* GCL-Poly Energy Holdings, Ltd. 1,501,000 450,856 Geely Automobile Holdings, Ltd. 1,370,000 476,261 * Global Bio-Chem Technology Group Co., Ltd. 482,800 16,562 * Glorious Property Holdings, Ltd. 793,000 113,672 # Golden Eagle Retail Group, Ltd. 143,000 184,961 Goldlion Holdings, Ltd. 61,152 28,004 # GOME Electrical Appliances Holding, Ltd. 3,382,940 634,299 Good Friend International Holdings, Inc. 22,000 6,821 # Goodbaby International Holdings, Ltd. 131,000 71,737 # Great Wall Motor Co., Ltd. Class H 91,000 413,395 * Great Wall Technology Co., Ltd. Class H 117,300 45,672 Greatview Aseptic Packaging Co., Ltd. 108,000 65,899 Greenland Hong Kong Holdings, Ltd. 88,000 40,265 Greentown China Holdings, Ltd. 210,500 212,003 Guangdong Investment, Ltd. 500,000 544,248 Guangshen Railway Co., Ltd. Class H 198,000 74,802 Guangshen Railway Co., Ltd. Sponsored ADR 6,762 128,072 Guangzhou Automobile Group Co., Ltd. Class H 589,740 595,357 Guangzhou R&F Properties Co., Ltd. 256,400 334,580 Guangzhou Shipyard International Co., Ltd. Class H 31,600 55,758 Guodian Technology & Environment Group Co., Ltd. Class H 125,000 31,183 Haier Electronics Group Co., Ltd. 111,000 272,471 Hainan Meilan International Airport Co., Ltd. Class H 65,000 61,716 Haitian International Holdings, Ltd. 84,000 169,011 #* Hanergy Solar Group, Ltd. 2,082,000 301,564 * Heng Tai Consumables Group, Ltd. 1,301,742 23,838 Hengan International Group Co., Ltd. 89,000 937,093 # Hengdeli Holdings, Ltd. 563,200 108,333 * Hi Sun Technology China, Ltd. 105,000 22,554 #* Hidili Industry International Development, Ltd. 374,000 43,206 Hilong Holding, Ltd. 153,000 79,745 * Hisense Kelon Electrical Holdings Co., Ltd. Class H 108,000 127,648 * HKC Holdings, Ltd. 1,068,098 28,968 # Honghua Group, Ltd. 380,000 89,424 # Hopewell Highway Infrastructure, Ltd. 267,972 131,040 * Hopson Development Holdings, Ltd. 225,000 221,104 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ---------- CHINA -- (Continued) * Hua Lien International Holding Co., Ltd. 304,000 $ 12,544 Huadian Power International Corp., Ltd. Class H 338,000 183,694 Huaneng Power International, Inc. Class H 136,000 133,129 # Huaneng Power International, Inc. Sponsored ADR 6,108 239,922 Huaneng Renewables Corp., Ltd. Class H 594,000 184,655 * Huili Resources Group, Ltd. 48,000 9,474 #* Hunan Nonferrous Metal Corp., Ltd. Class H 420,000 121,905 Industrial & Commercial Bank of China, Ltd. Class H 9,848,017 5,871,627 Inspur International, Ltd. 99,000 17,381 Intime Retail Group Co., Ltd. 271,000 266,140 Jiangsu Expressway Co., Ltd. Class H 230,000 258,229 Jiangxi Copper Co., Ltd. Class H 312,000 515,334 Jingwei Textile Machinery Class H 50,000 43,882 Ju Teng International Holdings, Ltd. 250,000 185,368 * Kai Yuan Holdings, Ltd. 1,320,000 24,511 Kaisa Group Holdings, Ltd. 662,000 209,759 Kingboard Chemical Holdings, Ltd. 235,900 450,850 Kingboard Laminates Holdings, Ltd. 270,973 105,141 * Kingdee International Software Group Co., Ltd. 280,000 84,099 # Kingsoft Corp., Ltd. 133,000 412,190 Kunlun Energy Co., Ltd. 522,000 814,294 KWG Property Holding, Ltd. 464,330 258,211 # Labixiaoxin Snacks Group, Ltd. 73,000 28,247 Lai Fung Holdings, Ltd. 1,735,000 37,002 Le Saunda Holdings, Ltd. 84,000 40,131 Lee & Man Chemical Co., Ltd. 28,000 13,386 Lee & Man Paper Manufacturing, Ltd. 468,000 253,819 # Lenovo Group, Ltd. 526,000 598,046 * Leoch International Technology, Ltd. 148,000 21,733 #* Li Ning Co., Ltd. 296,249 206,813 # Lianhua Supermarket Holdings Co., Ltd. Class H 110,200 61,096 Lingbao Gold Co., Ltd. Class H 72,000 12,782 * LK Technology Holdings, Ltd. 17,500 2,110 Longfor Properties Co., Ltd. 234,500 303,452 * Lonking Holdings, Ltd. 650,000 120,393 * Loudong General Nice Resources China Holdings, Ltd. 399,600 28,348 * Maanshan Iron & Steel Co., Ltd. Class H 670,000 140,446 Maoye International Holdings, Ltd. 441,000 63,265 #* Metallurgical Corp. of China, Ltd. Class H 665,000 126,255 # Microport Scientific Corp. 77,000 52,362 MIE Holdings Corp. 306,000 57,662 MIN XIN Holdings, Ltd. 44,000 22,714 * Mingfa Group International Co., Ltd. 306,000 76,615 Minmetals Land, Ltd. 347,644 39,097 Minth Group, Ltd. 162,000 255,280 #* MMG, Ltd. 464,000 108,048 * Nan Hai Corp., Ltd. 6,200,000 39,996 Nature Flooring Holding Co., Ltd. 19,000 3,555 # NetDragon Websoft, Inc. 50,500 86,331 * New China Life Insurance Co., Ltd. Class H 79,600 234,319 New World China Land, Ltd. 677,189 561,306 New World Department Store China, Ltd. 120,000 56,190 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ---------- CHINA -- (Continued) * Newton Resources, Ltd. 220,000 $ 20,496 # Nine Dragons Paper Holdings, Ltd. 579,000 380,980 * North Mining Shares Co., Ltd. 1,180,000 54,862 # NVC Lighting Holdings, Ltd. 403,000 100,662 O-Net Communications Group, Ltd. 65,000 16,917 Overseas Chinese Town Asia Holdings, Ltd. 40,000 14,008 # Pacific Online, Ltd. 85,000 46,127 # Parkson Retail Group, Ltd. 467,000 136,928 # Phoenix Satellite Television Holdings, Ltd. 236,000 84,471 PICC Property & Casualty Co., Ltd. Class H 336,760 445,142 Ping An Insurance Group Co. of China, Ltd. Class H 146,000 1,081,741 Poly Property Group Co., Ltd. 697,111 302,674 Ports Design, Ltd. 104,000 49,496 * Pou Sheng International Holdings, Ltd. 364,687 15,533 Powerlong Real Estate Holdings, Ltd. 326,000 49,258 # Prince Frog International Holdings, Ltd. 181,000 51,914 * Prosperity International Holdings HK, Ltd. 280,000 9,573 Qunxing Paper Holdings Co., Ltd. 124,416 32,384 Real Nutriceutical Group, Ltd. 224,000 47,699 Regent Manner International Holdings, Ltd. 151,000 26,488 #* Renhe Commercial Holdings Co., Ltd. 3,706,570 212,706 Road King Infrastructure, Ltd. 47,000 43,248 Samson Holding, Ltd. 239,000 31,473 Sany Heavy Equipment International Holdings Co., Ltd. 274,000 63,672 * Semiconductor Manufacturing International Corp. 5,259,000 432,287 * Semiconductor Manufacturing International Corp. ADR 19,489 80,879 Shandong Chenming Paper Holdings, Ltd. Class H 81,500 36,031 Shandong Molong Petroleum Machinery Co., Ltd. Class H 46,400 12,795 Shandong Weigao Group Medical Polymer Co., Ltd. Class H 216,000 218,849 Shanghai Industrial Holdings, Ltd. 78,000 240,557 * Shanghai Industrial Urban Development Group, Ltd. 454,000 86,789 Shanghai Jin Jiang International Hotels Group Co., Ltd. Class H 332,000 82,537 Shanghai Prime Machinery Co., Ltd. Class H 118,000 17,791 * Shanghai Zendai Property, Ltd. 205,000 3,231 Shengli Oil & Gas Pipe Holdings, Ltd. 144,000 7,344 Shenguan Holdings Group, Ltd. 330,000 141,343 Shenzhen Expressway Co., Ltd. Class H 258,000 117,054 Shenzhen International Holdings, Ltd. 276,750 336,228 Shenzhen Investment, Ltd. 872,471 286,279 Shenzhou International Group Holdings, Ltd. 73,000 250,918 Shimao Property Holdings, Ltd. 364,356 720,597 * Shougang Concord International Enterprises Co., Ltd. 1,692,000 78,836 # Shougang Fushan Resources Group, Ltd. 1,016,000 301,842 Shui On Land, Ltd. 1,323,021 352,259 * Shunfeng Photovoltaic International, Ltd. 72,000 93,083 Sichuan Expressway Co., Ltd. Class H 284,000 85,082 * Sijia Group Co. 30,000 994 * Sino Oil And Gas Holdings, Ltd. 3,375,000 93,756 # Sino-Ocean Land Holdings, Ltd. 959,750 504,920 # Sinofert Holdings, Ltd. 686,000 84,268 SinoMedia Holding, Ltd. 54,644 47,982 #* Sinopec Yizheng Chemical Fibre Co., Ltd. Class H 336,000 74,786 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- CHINA -- (Continued) Sinopharm Group Co., Ltd. Class H 192,800 $ 506,623 * Sinopoly Battery, Ltd. 760,000 47,184 Sinotrans Shipping, Ltd. 454,173 131,397 Sinotrans, Ltd. Class H 557,000 306,706 Sinotruk Hong Kong, Ltd. 220,000 117,069 SITC International Holdings Co., Ltd. 225,000 99,910 Skyworth Digital Holdings, Ltd. 585,291 280,026 * SMI Corp., Ltd. 560,000 20,280 SOHO China, Ltd. 528,912 419,382 * Solargiga Energy Holdings, Ltd. 265,000 13,200 * Sparkle Roll Group, Ltd. 456,000 31,151 Springland International Holdings, Ltd. 106,000 41,702 * SRE Group, Ltd. 886,857 25,773 # Sun Art Retail Group, Ltd. 259,500 336,908 Sunac China Holdings, Ltd. 563,000 286,656 Sunny Optical Technology Group Co., Ltd. 192,000 224,698 TCC International Holdings, Ltd. 413,795 202,944 TCL Communication Technology Holdings, Ltd. 111,000 118,829 #* TCL Multimedia Technology Holdings, Ltd. 148,000 50,028 * Tech Pro Technology Development, Ltd. 130,000 64,592 Tencent Holdings, Ltd. 100,300 6,317,496 Tenfu Cayman Holdings Co., Ltd. 34,000 17,114 Texhong Textile Group, Ltd. 94,500 69,806 Tian An China Investment 62,000 48,595 Tian Shan Development Holding, Ltd. 36,000 14,038 # Tiangong International Co., Ltd. 344,000 59,900 Tianjin Capital Environmental Protection Group Co., Ltd. Class H 112,000 59,314 Tianjin Port Development Holdings, Ltd. 500,000 78,246 Tianneng Power International, Ltd. 200,000 69,871 # Tibet 5100 Water Resources Holdings, Ltd. 109,000 43,231 Tingyi Cayman Islands Holding Corp. 172,000 478,824 Tomson Group, Ltd. 66,969 19,762 Tonly Electronics Holdings, Ltd. 14,800 11,260 # Towngas China Co., Ltd. 214,000 243,793 TPV Technology, Ltd. 195,412 32,272 Travelsky Technology, Ltd. Class H 220,500 168,181 # Trigiant Group, Ltd. 190,000 59,374 # Truly International Holdings, Ltd. 359,140 243,225 # Uni-President China Holdings, Ltd. 266,639 220,858 #* United Energy Group, Ltd. 808,000 122,988 #* VODone, Ltd. 765,400 66,417 Want Want China Holdings, Ltd. 516,000 808,445 Wasion Group Holdings, Ltd. 172,000 122,739 # Weichai Power Co., Ltd. Class H 102,280 356,682 Weiqiao Textile Co. Class H 134,500 75,120 Welling Holding, Ltd. 294,800 92,505 West China Cement, Ltd. 784,000 84,223 * Winsway Coking Coal Holdings, Ltd. 405,000 18,099 World Wide Touch Technology Holdings, Ltd. 688,000 35,177 Wumart Stores, Inc. Class H 83,000 80,865 Xiamen International Port Co., Ltd. Class H 564,000 83,832 Xingda International Holdings, Ltd. 298,000 131,104 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ------------ CHINA -- (Continued) # Xinjiang Goldwind Science & Technology Co., Ltd. Class H 70,800 $ 77,027 #* Xinjiang Xinxin Mining Industry Co., Ltd. Class H 236,000 42,843 XTEP International Holdings, Ltd. 224,500 90,764 * Yanchang Petroleum International, Ltd. 1,280,000 63,825 # Yanzhou Coal Mining Co., Ltd. Class H 330,000 247,218 # Yanzhou Coal Mining Co., Ltd. Sponsored ADR 20,088 150,057 Yingde Gases Group Co., Ltd. 218,000 219,840 Yip's Chemical Holdings, Ltd. 88,000 62,377 Youyuan International Holdings, Ltd. 57,200 15,129 Yuanda China Holdings, Ltd. 334,000 30,662 Yuexiu Property Co., Ltd. 1,972,400 382,868 Yuexiu Transport Infrastructure, Ltd. 176,752 90,484 Yuzhou Properties Co., Ltd. 229,200 52,668 Zall Development Group, Ltd. 69,000 24,017 # Zhaojin Mining Industry Co., Ltd. 289,500 174,640 Zhejiang Expressway Co., Ltd. Class H 384,000 332,264 Zhengzhou Coal Mining Machinery Group Co., Ltd. Class H 37,200 20,277 * Zhong An Real Estate, Ltd. 245,000 58,207 # Zhongsheng Group Holdings, Ltd. 153,000 184,814 Zhuzhou CSR Times Electric Co., Ltd. Class H 91,250 267,157 # Zijin Mining Group Co., Ltd. Class H 1,126,000 273,644 Zoomlion Heavy Industry Science and Technology Co., Ltd. 318,200 213,674 #* ZTE Corp. Class H 113,200 231,653 ------------ TOTAL CHINA 114,217,922 ------------ COLOMBIA -- (0.6%) Almacenes Exito SA 43,134 657,064 Banco de Bogota SA 4,570 164,952 Bancolombia SA 21,301 292,582 Bancolombia SA Sponsored ADR 17,822 1,014,606 Cementos Argos SA 71,652 399,593 * Cemex Latam Holdings SA 11,632 107,396 Constructora Conconcreto SA 2,809 2,081 Ecopetrol SA 105,845 197,034 # Ecopetrol SA Sponsored ADR 38,708 1,451,163 Empresa de Energia de Bogota SA ESP 191,577 157,292 Empresa de Telecomunicaciones de Bogota 32,541 7,301 Grupo Aval Acciones y Valores 80,087 54,382 Grupo de Inversiones Suramericana SA 6,730 131,293 Grupo Nutresa SA 4,929 69,179 Interconexion Electrica SA ESP 83,233 390,254 Isagen SA ESP 206,869 338,092 Mineros SA 5,269 7,863 ------------ TOTAL COLOMBIA 5,442,127 ------------ CZECH REPUBLIC -- (0.3%) CEZ A.S. 30,772 926,073 Komercni Banka A.S. 3,416 787,647 Pegas Nonwovens SA 3,696 111,196 Telefonica Czech Republic A.S. 27,624 418,788 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- CZECH REPUBLIC -- (Continued) * Unipetrol A.S. 17,641 $ 122,913 ---------- TOTAL CZECH REPUBLIC 2,366,617 ---------- EGYPT -- (0.1%) Commercial International Bank Egypt S.A.E. GDR 67,761 341,614 * Egyptian Financial Group-Hermes Holding GDR 926 3,179 * Global Telecom Holding GDR 63,232 235,591 ---------- TOTAL EGYPT 580,384 ---------- GREECE -- (0.6%) * Aegean Airlines SA 6,239 64,506 * Alpha Bank AE 318,343 308,363 Athens Water Supply & Sewage Co. SA (The) 4,595 59,325 * Folli Follie Group 11,777 408,790 * Fourlis Holdings SA 16,770 135,354 * Frigoglass SA 9,710 56,283 * GEK Terna Holding Real Estate Construction SA 3,938 20,585 Hellenic Exchanges - Athens Stock Exchange SA Holding 20,802 245,248 Hellenic Petroleum SA 26,127 224,314 * Hellenic Telecommunications Organization SA 60,950 973,721 * Intracom Holdings SA 19,605 22,193 * JUMBO SA 20,942 338,742 * Marfin Investment Group Holdings SA 310,546 215,146 Metka SA 8,745 156,724 Motor Oil Hellas Corinth Refineries SA 17,003 214,633 # National Bank of Greece SA ADR 46,713 183,115 * Piraeus Bank SA 112,076 264,497 Public Power Corp. SA 32,142 486,360 Terna Energy SA 11,503 68,729 * Titan Cement Co. SA 8,166 257,443 ---------- TOTAL GREECE 4,704,071 ---------- HUNGARY -- (0.2%) * Danubius Hotel and SpA P.L.C. 378 9,593 * FHB Mortgage Bank P.L.C. 6,863 27,711 Magyar Telekom Telecommunications P.L.C. 131,598 187,748 MOL Hungarian Oil and Gas P.L.C. 7,734 444,957 OTP Bank P.L.C. 69,941 1,335,595 * PannErgy 2,746 3,956 ---------- TOTAL HUNGARY 2,009,560 ---------- INDIA -- (6.4%) * 3M India, Ltd. 173 10,773 Aban Offshore, Ltd. 6,571 56,606 ABB India, Ltd. 8,469 119,230 * ABG Shipyard, Ltd. 2,790 10,600 ACC, Ltd. 16,466 357,211 Adani Enterprises, Ltd. 38,729 271,251 Adani Ports and Special Economic Zone, Ltd. 92,657 292,143 * Adani Power, Ltd. 217,292 173,514 Aditya Birla Nuvo, Ltd. 14,981 275,957 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- INDIA -- (Continued) * Advanta, Ltd. 4,030 $ 12,134 Agro Tech Foods, Ltd. 1,273 10,299 AIA Engineering, Ltd. 8,314 84,730 Akzo Nobel India, Ltd. 2,710 39,073 Allahabad Bank 78,765 130,941 Alok Industries, Ltd. 324,602 38,250 Amara Raja Batteries, Ltd. 18,730 128,987 Ambuja Cements, Ltd. 162,048 535,175 Amtek Auto, Ltd. 32,600 94,191 Amtek India, Ltd. 21,468 27,520 * Anant Raj, Ltd. 31,479 28,988 Andhra Bank 43,995 48,817 Apollo Tyres, Ltd. 92,338 244,976 Arvind, Ltd. 58,551 178,028 Ashok Leyland, Ltd. 419,001 156,167 Asian Hotels East, Ltd. 2,150 5,532 Asian Paints, Ltd. 39,262 329,209 Axis Bank, Ltd. 60,978 1,541,474 Bajaj Auto, Ltd. 11,110 352,467 Bajaj Corp., Ltd. 4,470 15,580 Bajaj Electricals, Ltd. 7,154 34,754 Bajaj Finance, Ltd. 500 15,439 Bajaj Finserv, Ltd. 11,415 157,332 * Bajaj Hindusthan, Ltd. 38,120 11,304 Bajaj Holdings and Investment, Ltd. 7,907 140,037 Balkrishna Industries, Ltd. 5,463 47,957 Ballarpur Industries, Ltd. 50,572 12,123 Balmer Lawrie & Co., Ltd. 1,321 7,448 Balrampur Chini Mills, Ltd. 46,572 44,427 Bank of Baroda 23,606 320,623 Bank of India 53,683 209,129 Bank Of Maharashtra 21,459 13,699 Bannari Amman Sugars, Ltd. 894 13,499 BASF India, Ltd. 2,566 31,800 Bata India, Ltd. 2,638 46,817 BEML, Ltd. 2,112 13,546 Berger Paints India, Ltd. 24,846 100,327 BGR Energy Systems, Ltd. 7,400 16,848 Bharat Forge, Ltd. 40,407 275,077 Bharat Petroleum Corp., Ltd. 42,234 318,853 Bharti Airtel, Ltd. 128,096 697,454 Bhushan Steel, Ltd. 21,056 155,060 Birla Corp., Ltd. 7,647 36,719 Blue Dart Express, Ltd. 960 52,009 Blue Star, Ltd. 2,815 9,848 Bombay Dyeing & Manufacturing Co., Ltd. 21,605 20,984 Bosch, Ltd. 1,258 219,149 Britannia Industries, Ltd. 9,003 129,337 Cairn India, Ltd. 146,721 815,680 Canara Bank 33,813 160,783 Carborundum Universal, Ltd. 35,694 83,533 Central Bank Of India 87,768 77,673 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- INDIA -- (Continued) Century Plyboards India, Ltd. 6,270 $ 3,992 Century Textiles & Industries, Ltd. 17,005 94,804 CESC, Ltd. 23,993 180,858 Chambal Fertilizers & Chemicals, Ltd. 39,240 26,374 * Chennai Petroleum Corp., Ltd. 6,272 8,368 City Union Bank, Ltd. 65,932 64,334 Clariant Chemicals India, Ltd. 1,428 16,184 CMC, Ltd. 2,279 54,146 Colgate-Palmolive India, Ltd. 6,962 166,384 Container Corp. Of India 14,177 226,129 Coromandel International, Ltd. 20,615 74,973 Corp. Bank 12,908 62,699 Cox & Kings, Ltd. 6,600 16,546 Crompton Greaves, Ltd. 80,947 222,011 Cummins India, Ltd. 16,773 152,494 Dabur India, Ltd. 79,729 237,518 Dalmia Bharat, Ltd. 25,540 101,074 DB Corp., Ltd. 3,444 16,784 * DB Realty, Ltd. 19,776 22,871 * DCB Bank, Ltd. 48,224 48,558 DCM Shriram, Ltd. 36,958 58,668 * DEN Networks, Ltd. 11,158 32,406 Dena Bank 41,447 43,508 * Dish TV India, Ltd. 113,898 88,887 Divi's Laboratories, Ltd. 11,111 254,231 DLF, Ltd. 142,376 330,531 eClerx Services, Ltd. 3,636 73,356 * Educomp Solutions, Ltd. 11,439 4,875 Eicher Motors, Ltd. 2,160 222,830 * EID Parry India, Ltd. 14,037 35,453 EIH, Ltd. 28,592 36,009 Emami, Ltd. 8,060 63,713 Engineers India, Ltd. 17,800 67,426 Entertainment Network India, Ltd. 2,514 15,174 * Era Infra Engineering, Ltd. 26,022 7,263 * Eros International Media, Ltd. 7,714 21,057 Escorts, Ltd. 17,545 36,911 Ess Dee Aluminium, Ltd. 5,402 55,769 * Essar Oil, Ltd. 118,394 114,089 Essar Ports, Ltd. 25,367 25,038 Exide Industries, Ltd. 77,107 153,935 FAG Bearings India, Ltd. 3,749 131,438 Federal Bank, Ltd. 216,870 325,362 * Federal-Mogul Goetze India, Ltd. 2,252 6,833 Financial Technologies India, Ltd. 5,623 29,457 Finolex Cables, Ltd. 15,424 35,221 Finolex Industries, Ltd. 12,841 47,691 * Firstsource Solutions, Ltd. 25,886 13,754 GAIL India, Ltd. 92,452 567,668 Gateway Distriparks, Ltd. 8,229 24,353 Gillette India, Ltd. 1,390 43,762 * Gitanjali Gems, Ltd. 13,227 13,708 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- INDIA -- (Continued) GMR Infrastructure, Ltd. 324,311 $ 133,491 Godrej Consumer Products, Ltd. 16,155 214,181 Godrej Industries, Ltd. 26,847 133,946 Godrej Properties, Ltd. 11,576 42,498 Graphite India, Ltd. 5,828 8,168 Grasim Industries, Ltd. 3,807 166,433 Great Eastern Shipping Co., Ltd. (The) 13,772 76,755 Greaves Cotton, Ltd. 20,113 27,966 Gruh Finance, Ltd. 10,950 60,425 Gujarat Alkalies & Chemicals, Ltd. 7,954 23,236 Gujarat Fluorochemicals, Ltd. 5,234 27,722 Gujarat Mineral Development Corp., Ltd. 22,860 50,125 Gujarat Narmada Valley Fertilizers & Chemicals, Ltd. 14,377 19,350 * Gujarat NRE Coke, Ltd. 127,013 22,405 * Gujarat Pipavav Port, Ltd. 62,657 86,365 Gujarat State Fertilisers & Chemicals, Ltd. 32,118 29,574 Gujarat State Petronet, Ltd. 56,483 68,321 * GVK Power & Infrastructure, Ltd. 350,798 71,402 * Hathway Cable & Datacom, Ltd. 14,049 56,852 Havells India, Ltd. 10,422 161,134 * HCL Infosystems, Ltd. 30,430 22,854 HCL Technologies, Ltd. 40,745 950,247 HDFC Bank, Ltd. 198,696 2,390,079 HEG, Ltd. 2,331 8,863 * HeidelbergCement India, Ltd. 23,375 16,222 Hero MotoCorp, Ltd. 9,435 347,381 * Hexa Tradex, Ltd. 6,867 2,423 Hexaware Technologies, Ltd. 81,422 206,864 Himadri Chemicals & Industries, Ltd. 13,920 4,714 Hindalco Industries, Ltd. 458,857 1,036,316 * Hindustan Construction Co., Ltd. 110,597 35,316 Hindustan Petroleum Corp., Ltd. 28,016 150,075 Honeywell Automation India, Ltd. 639 33,379 * Housing Development & Infrastructure, Ltd. 125,287 142,608 HT Media, Ltd. 22,426 34,280 ICICI Bank, Ltd. 7,251 150,294 ICICI Bank, Ltd. Sponsored ADR 30,079 1,283,471 IDBI Bank, Ltd. 78,365 88,980 Idea Cellular, Ltd. 165,313 373,273 IDFC, Ltd. 93,711 174,351 IIFL Holdings, Ltd. 51,784 68,974 IL&FS Transportation Networks, Ltd. 6,847 15,005 India Cements, Ltd. (The) 71,086 81,223 Indiabulls Housing Finance, Ltd. 48,033 239,641 Indian Bank 34,704 73,883 Indian Hotels Co., Ltd. 123,579 148,058 Indian Oil Corp., Ltd. 70,314 308,823 Indian Overseas Bank 82,909 85,687 Indraprastha Gas, Ltd. 19,290 92,170 IndusInd Bank, Ltd. 59,385 472,895 Info Edge India, Ltd. 6,020 59,009 Infosys, Ltd. 31,369 1,667,481 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- INDIA -- (Continued) Infosys, Ltd. Sponsored ADR 31,765 $1,706,098 Infotech Enterprises, Ltd. 24,161 124,349 ING Vysya Bank, Ltd. 11,641 109,852 Ingersoll-Rand India, Ltd. 1,145 8,556 IRB Infrastructure Developers, Ltd. 53,704 102,498 Jagran Prakashan, Ltd. 18,837 32,773 Jain Irrigation Systems, Ltd. 114,510 155,926 * Jaiprakash Power Ventures, Ltd. 256,079 62,751 Jammu & Kashmir Bank, Ltd. (The) 8,050 224,063 Jaypee Infratech, Ltd. 117,991 48,020 * Jet Airways India, Ltd. 5,856 24,245 Jindal Saw, Ltd. 49,941 46,961 * Jindal Stainless, Ltd. 8,727 5,587 Jindal Steel & Power, Ltd. 118,865 504,626 JK Cement, Ltd. 3,293 12,300 JK Lakshmi Cement, Ltd. 13,600 26,862 JM Financial, Ltd. 63,370 29,548 JSW Energy, Ltd. 207,354 182,772 JSW Steel, Ltd. 35,027 633,020 * Jubilant Foodworks, Ltd. 6,794 106,814 Kajaria Ceramics, Ltd. 4,476 33,263 Kansai Nerolac Paints, Ltd. 826 17,370 Karnataka Bank, Ltd. 43,127 88,027 Karur Vysya Bank, Ltd. 10,840 69,981 Kaveri Seed Co., Ltd. 7,635 79,987 Kesoram Industries, Ltd. 15,907 16,620 Kirloskar Industries, Ltd. 1,617 8,922 Kirloskar Oil Engines, Ltd. 41,696 138,821 Kotak Mahindra Bank, Ltd. 78,990 1,055,787 KPIT Technologies, Ltd. 32,244 92,186 Lakshmi Machine Works, Ltd. 596 29,400 Lakshmi Vilas Bank, Ltd. 12,640 17,680 * Lanco Infratech, Ltd. 258,577 32,274 Larsen & Toubro, Ltd. 55,783 1,202,865 Larsen & Toubro, Ltd. GDR 29,689 643,054 LIC Housing Finance, Ltd. 55,062 239,981 Maharashtra Seamless, Ltd. 10,478 37,236 Mahindra Holidays & Resorts India, Ltd. 1,757 6,838 Mahindra Lifespace Developers, Ltd. 1,102 7,276 Maruti Suzuki India, Ltd. 19,851 635,451 McLeod Russel India, Ltd. 17,365 77,676 MindTree, Ltd. 7,031 166,143 Monnet Ispat & Energy, Ltd. 4,518 6,306 Monsanto India, Ltd. 916 26,441 Motherson Sumi Systems, Ltd. 48,066 203,448 Motilal Oswal Financial Services, Ltd. 1,571 2,730 Mphasis, Ltd. 21,769 149,998 MRF, Ltd. 381 129,934 National Aluminium Co., Ltd. 90,419 57,290 Navneet Education, Ltd. 11,667 11,621 NCC, Ltd. 56,278 47,259 Nestle India, Ltd. 2,571 202,988 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- INDIA -- (Continued) NHPC, Ltd. 658,988 $ 207,187 NIIT Technologies, Ltd. 9,921 67,224 Nitin Fire Protection Industries, Ltd. 12,230 11,781 NTPC, Ltd. 154,802 298,347 Oberoi Realty, Ltd. 11,820 40,742 OMAXE, Ltd. 23,757 50,347 * Opto Circuits India, Ltd. 27,524 15,260 * Oracle Financial Services Software, Ltd. 4,537 225,804 Orient Cement, Ltd. 10,368 8,400 Oriental Bank of Commerce 41,394 170,383 Page Industries, Ltd. 449 43,145 * Parsvnath Developers, Ltd. 25,750 10,589 Peninsula Land, Ltd. 17,769 9,628 Persistent Systems, Ltd. 2,627 43,663 Petronet LNG, Ltd. 70,049 167,637 Phoenix Mills, Ltd. 4,470 18,580 PI Industries, Ltd. 6,951 28,721 Pidilite Industries, Ltd. 30,910 164,311 * Pipavav Defence & Offshore Engineering Co., Ltd. 43,598 34,643 Polaris Financial Technology, Ltd. 18,746 56,194 Power Grid Corp. of India, Ltd. 198,866 349,691 Prestige Estates Projects, Ltd. 26,333 74,585 * Prism Cement, Ltd. 30,789 23,638 Procter & Gamble Hygiene & Health Care, Ltd. 890 50,125 PTC India, Ltd. 73,513 81,203 * Punj Lloyd, Ltd. 67,418 32,812 Punjab National Bank 2,000 25,997 Rain Industries, Ltd. 24,198 15,874 Rallis India, Ltd. 29,193 88,496 Ramco Cements, Ltd. (The) 20,370 72,998 Raymond, Ltd. 15,056 77,505 Redington India, Ltd. 41,130 60,469 REI Agro, Ltd. 150,380 11,491 Reliance Communications, Ltd. 197,305 402,760 Reliance Infrastructure, Ltd. 35,805 305,057 * Reliance Power, Ltd. 241,272 273,994 Rolta India, Ltd. 48,545 60,465 Ruchi Soya Industries, Ltd. 18,765 11,266 Sadbhav Engineering, Ltd. 3,951 8,629 * Schneider Electric Infrastructure, Ltd. 5,931 9,050 Sesa Sterlite, Ltd. 336,919 1,039,384 Sesa Sterlite, Ltd. ADR 4,742 57,905 * Shipping Corp. of India, Ltd. 48,415 34,303 Shoppers Stop, Ltd. 1,807 10,951 Shree Cement, Ltd. 2,266 214,520 Shree Renuka Sugars, Ltd. 152,594 55,460 Shriram Transport Finance Co., Ltd. 12,944 156,338 Siemens, Ltd. 7,083 81,513 Sintex Industries, Ltd. 54,687 41,571 SJVN, Ltd. 106,096 40,018 SKF India, Ltd. 3,672 49,527 Sobha Developers, Ltd. 16,355 101,015 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- INDIA -- (Continued) Solar Industries India, Ltd. 979 $ 17,441 South Indian Bank, Ltd. 167,881 64,125 SRF, Ltd. 5,322 34,161 Star Ferro and Cement, Ltd. 6,270 2,422 State Bank of Bikaner & Jaipur 3,700 21,555 State Bank of India 22,994 794,548 State Bank of India GDR 1,197 82,257 Steel Authority of India, Ltd. 223,877 252,766 Sterlite Technologies, Ltd. 29,094 14,843 Sun TV Network, Ltd. 30,825 191,411 Supreme Industries, Ltd. 5,709 43,154 * Suzlon Energy, Ltd. 336,172 73,175 Syndicate Bank 78,885 135,348 Tata Chemicals, Ltd. 30,374 143,485 Tata Communications, Ltd. 20,486 96,056 Tata Consultancy Services, Ltd. 46,306 1,682,306 Tata Elxsi, Ltd. 5,515 50,571 Tata Global Beverages, Ltd. 123,030 306,494 Tata Investment Corp., Ltd. 2,121 16,708 Tata Motors, Ltd. 77,313 537,566 Tata Motors, Ltd. Sponsored ADR 24,475 915,854 Tata Power Co., Ltd. 244,650 317,303 Tata Steel, Ltd. 109,735 731,686 * Tata Teleservices Maharashtra, Ltd. 103,397 15,324 Tech Mahindra, Ltd. 21,692 657,008 Techno Electric & Engineering Co., Ltd. 831 2,341 Texmaco Rail & Engineering, Ltd. 5,750 6,336 Thermax, Ltd. 11,921 144,942 Timken India, Ltd. 2,794 9,520 Titan Co., Ltd. 46,614 196,517 Torrent Power, Ltd. 32,752 56,785 Trent, Ltd. 2,317 37,886 Triveni Turbine, Ltd. 33,780 38,826 TTK Prestige, Ltd. 490 24,816 Tube Investments of India, Ltd. 17,531 55,593 * TV18 Broadcast, Ltd. 257,802 107,818 TVS Motor Co., Ltd. 52,589 83,626 UCO Bank 60,445 76,951 Ultratech Cement, Ltd. 10,437 352,241 Union Bank of India 47,888 120,566 * Unitech, Ltd. 512,548 135,107 United Bank of India 10,576 5,601 UPL, Ltd. 92,942 412,826 Usha Martin, Ltd. 15,735 9,704 V-Guard Industries, Ltd. 1,558 12,338 VA Tech Wabag, Ltd. 1,315 17,347 Vakrangee, Ltd. 17,996 29,378 Videocon Industries, Ltd. 28,713 77,162 Vijaya Bank 41,995 28,722 Voltas, Ltd. 37,318 99,243 WABCO India, Ltd. 1,336 49,199 Welspun Corp., Ltd. 44,425 59,979 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ---------- ----------- INDIA -- (Continued) Welspun Infra Enterprises, Ltd. 2,221 $ 552 Wipro, Ltd. 119,456 1,042,524 Yes Bank, Ltd. 60,915 448,921 Zee Entertainment Enterprises, Ltd. 81,612 356,075 * Zee Learn, Ltd. 18,459 7,346 Zensar Technologies, Ltd. 3,141 18,771 Zuari Agro Chemicals, Ltd. 497 1,089 Zydus Wellness, Ltd. 1,930 17,076 ----------- TOTAL INDIA 53,496,717 ----------- INDONESIA -- (3.1%) Ace Hardware Indonesia Tbk PT 2,579,200 166,353 Adaro Energy Tbk PT 3,844,000 395,489 Adhi Karya Persero Tbk PT 548,000 141,882 Agung Podomoro Land Tbk PT 2,109,500 48,150 AKR Corporindo Tbk PT 461,100 190,273 Alam Sutera Realty Tbk PT 5,334,000 245,818 Aneka Tambang Persero Tbk PT 1,906,500 194,388 Arwana Citramulia Tbk PT 1,498,000 127,809 Asahimas Flat Glass Tbk PT 2,000 1,213 Astra Agro Lestari Tbk PT 95,500 243,161 Astra Graphia Tbk PT 236,000 40,870 Astra International Tbk PT 3,490,000 2,248,579 * Bakrie and Brothers Tbk PT 10,309,000 44,583 * Bakrie Sumatera Plantations Tbk PT 4,126,500 17,836 * Bakrie Telecom Tbk PT 4,450,000 19,245 * Bakrieland Development Tbk PT 8,497,250 11,751 Bank Bukopin Tbk PT 1,576,000 87,329 Bank Central Asia Tbk PT 1,647,400 1,568,980 Bank Danamon Indonesia Tbk PT 592,742 210,129 Bank Mandiri Persero Tbk PT 2,016,772 1,723,162 Bank Negara Indonesia Persero Tbk PT 1,984,500 829,411 * Bank Pan Indonesia Tbk PT 1,444,000 108,762 Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk PT 824,200 68,769 * Bank Permata Tbk PT 7,500 870 Bank Rakyat Indonesia Persero Tbk PT 2,294,800 1,970,670 Bank Tabungan Negara Persero Tbk PT 1,822,973 182,392 * Bank Tabungan Pensiunan Nasional Tbk PT 413,000 145,775 * Barito Pacific Tbk PT 711,500 19,408 * Bayan Resources Tbk PT 13,000 9,002 * Benakat Integra Tbk PT 4,345,000 52,400 * Berau Coal Energy Tbk PT 848,500 9,038 * Berlian Laju Tanker Tbk PT 2,525,666 -- Bisi International PT 645,500 34,459 * Borneo Lumbung Energi & Metal Tbk PT 1,991,000 19,505 Bumi Serpong Damai PT 2,649,000 358,863 BW Plantation Tbk PT 1,110,500 135,210 * Central Proteinaprima Tbk PT 5,740,500 24,824 Charoen Pokphand Indonesia Tbk PT 979,515 320,280 Ciputra Development Tbk PT 3,135,400 276,027 Ciputra Property Tbk PT 1,443,500 90,865 Ciputra Surya Tbk PT 430,000 84,862 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ---------- -------- INDONESIA -- (Continued) * Citra Marga Nusaphala Persada Tbk PT 603,500 $181,120 * Darma Henwa Tbk PT 3,026,500 4,712 Elnusa Tbk PT 1,113,500 49,192 * Energi Mega Persada Tbk PT 15,020,500 122,505 * Erajaya Swasembada Tbk PT 392,500 40,862 * Exploitasi Energi Indonesia Tbk PT 1,976,500 38,851 * Fajar Surya Wisesa Tbk PT 146,000 21,423 Gajah Tunggal Tbk PT 725,000 120,414 * Garuda Indonesia Persero Tbk PT 211,946 8,458 Global Mediacom Tbk PT 2,137,400 405,728 * Golden Eagle Energy Tbk PT 34,500 17,861 * Gozco Plantations Tbk PT 531,000 4,921 * Hanson International Tbk PT 1,396,500 74,957 Harum Energy Tbk PT 286,000 58,590 Hexindo Adiperkasa Tbk PT 121,000 39,747 Holcim Indonesia Tbk PT 490,500 120,790 * Indah Kiat Pulp & Paper Corp. Tbk PT 872,300 102,171 Indika Energy Tbk PT 589,500 31,708 Indo Tambangraya Megah Tbk PT 114,300 252,635 Indocement Tunggal Prakarsa Tbk PT 314,000 595,938 Indofood CBP Sukses Makmur Tbk PT 167,500 145,041 Indofood Sukses Makmur Tbk PT 1,305,400 798,555 Indosat Tbk PT 232,500 78,759 Indosat Tbk PT ADR 2,476 41,795 * Inovisi Infracom Tbk PT 668,445 82,232 Intiland Development Tbk PT 1,986,500 78,207 Japfa Comfeed Indonesia Tbk PT 1,682,500 184,576 Jasa Marga Persero Tbk PT 507,500 259,288 Kawasan Industri Jababeka Tbk PT 7,912,023 175,098 * Krakatau Steel Persero Tbk PT 252,000 10,867 * Lippo Cikarang Tbk PT 206,500 136,692 Malindo Feedmill Tbk PT 310,600 80,533 Matahari Putra Prima Tbk PT 961,900 230,995 Mayora Indah Tbk PT 121,333 294,847 Medco Energi Internasional Tbk PT 544,000 129,662 Media Nusantara Citra Tbk PT 1,073,600 253,116 Mitra Adiperkasa Tbk PT 243,500 134,495 MNC Investama Tbk PT 8,815,200 234,411 Modern Internasional Tbk PT 312,000 17,951 * Modernland Realty Tbk PT 2,511,000 95,533 Multipolar Tbk PT 984,000 57,208 * Multistrada Arah Sarana Tbk PT 33,500 909 Nippon Indosari Corpindo Tbk PT 392,500 37,101 * Nusantara Infrastructure Tbk PT 4,397,000 89,518 Pakuwon Jati Tbk PT 4,573,400 139,479 * Panin Financial Tbk PT 5,948,000 135,120 Panin Insurance Tbk PT 992,000 59,751 Pembangunan Perumahan Persero Tbk PT 1,117,500 179,153 Perusahaan Gas Negara Persero Tbk PT 1,469,500 678,694 Perusahaan Perkebunan London Sumatra Indonesia Tbk PT 1,441,900 306,376 * Polychem Indonesia Tbk PT 312,500 5,421 Ramayana Lestari Sentosa Tbk PT 1,309,000 145,132 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ---------- ----------- INDONESIA -- (Continued) Resource Alam Indonesia Tbk PT 116,500 $ 17,510 Salim Ivomas Pratama Tbk PT 603,000 52,284 * Samindo Resources Tbk PT 62,250 3,123 Sampoerna Agro PT 234,500 49,712 Selamat Sempurna Tbk PT 259,500 81,236 Semen Indonesia Persero Tbk PT 381,200 491,440 * Sentul City Tbk PT 10,700,500 159,847 Sinar Mas Agro Resources and Technology Tbk PT 36,000 20,801 Sinar Mas Multiartha Tbk PT 16,500 4,998 * Sugih Energy Tbk PT 3,955,000 154,802 Summarecon Agung Tbk PT 3,992,664 384,840 Surya Citra Media Tbk PT 544,000 148,382 Surya Semesta Internusa Tbk PT 1,407,000 101,523 Suryainti Permata Tbk PT 1,280,000 -- Tambang Batubara Bukit Asam Persero Tbk PT 288,721 247,178 Telekomunikasi Indonesia Persero Tbk PT 800,000 157,240 Telekomunikasi Indonesia Persero Tbk PT Sponsored ADR 25,585 1,015,725 Tiga Pilar Sejahtera Food Tbk 576,500 109,992 Timah Persero Tbk PT 1,669,931 217,233 * Tiphone Mobile Indonesia Tbk PT 326,600 24,495 Total Bangun Persada Tbk PT 518,000 41,667 * Tower Bersama Infrastructure Tbk PT 316,100 178,058 * Trada Maritime Tbk PT 946,500 150,754 * Truba Alam Manunggal Engineering PT 3,328,000 1,439 Tunas Baru Lampung Tbk PT 446,000 19,716 Tunas Ridean Tbk PT 238,000 13,906 * Ultrajaya Milk Industry & Trading Co. Tbk PT 203,000 74,938 Unilever Indonesia Tbk PT 131,100 333,069 United Tractors Tbk PT 428,895 806,378 Vale Indonesia Tbk PT 1,058,500 326,047 * Visi Media Asia Tbk PT 774,400 19,018 Wijaya Karya Persero Tbk PT 633,000 124,455 XL Axiata Tbk PT 759,300 340,578 ----------- TOTAL INDONESIA 25,929,874 ----------- MALAYSIA -- (4.0%) Aeon Co. M Bhd 36,300 163,742 Aeon Credit Service M Bhd 2,160 9,603 Affin Holdings Bhd 131,900 152,527 # AirAsia Bhd 556,500 378,646 Alam Maritim Resources Bhd 99,300 45,110 Alliance Financial Group Bhd 364,600 500,783 AMMB Holdings Bhd 478,375 1,052,871 Amway Malaysia Hldgs Bhd 16,600 60,520 * Ann Joo Resources Bhd 94,700 34,842 APM Automotive Holdings Bhd 33,600 62,411 Astro Malaysia Holdings Bhd 36,700 37,455 # Axiata Group Bhd 437,050 901,429 Batu Kawan Bhd 32,100 192,545 Benalec Holdings Bhd 227,000 62,636 # BIMB Holdings Bhd 128,900 168,035 * Bumi Armada Bhd 305,000 374,062 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ---------- MALAYSIA -- (Continued) Bursa Malaysia Bhd 85,700 $ 199,320 Cahya Mata Sarawak Bhd 41,600 121,689 Can-One Bhd 18,800 17,676 CB Industrial Product Holding Bhd 36,140 52,072 # CIMB Group Holdings Bhd 1,002,229 2,308,725 Coastal Contracts Bhd 99,600 152,912 Cypark Resources Bhd 54,200 48,171 Daibochi Plastic & Packaging Industry Bhd 2,100 2,893 Daya Materials Bhd 266,500 27,393 Dayang Enterprise Holdings Bhd 82,350 93,655 Dialog Group Bhd 377,825 416,063 DiGi.Com Bhd 429,900 730,511 DKSH Holdings Malaysia Bhd 15,200 37,689 # DRB-Hicom Bhd 367,000 281,195 Dutch Lady Milk Industries Bhd 4,900 69,661 Eastern & Oriental Bhd 365,900 266,065 Fraser & Neave Holdings Bhd 9,100 50,197 Gamuda Bhd 435,900 616,152 Genting Plantations Bhd 64,700 220,137 Globetronics Technology Bhd 81,500 90,042 Glomac Bhd 119,700 40,352 * Goldis Bhd 10,502 6,991 Guan Chong Bhd 21,800 9,425 GuocoLand Malaysia Bhd 34,800 12,294 Hai-O Enterprise Bhd 39,400 30,174 # HAP Seng Consolidated Bhd 301,720 292,971 Hap Seng Plantations Holdings Bhd 90,600 77,838 Hartalega Holdings Bhd 45,000 87,414 * Ho Wah Genting Bhd 145,700 8,722 Hock Seng LEE BHD 37,600 22,014 # Hong Leong Bank Bhd 119,440 512,438 Hong Leong Financial Group Bhd 66,600 312,442 Hong Leong Industries Bhd 54,300 110,422 Hua Yang Bhd 96,533 55,320 Hwang Capital Malaysia Bhd 30,600 17,375 IGB Corp. Bhd 332,490 281,930 IJM Corp. Bhd 492,957 964,562 IJM Land Bhd 162,400 150,276 IJM Plantations Bhd 65,000 70,502 Insas Bhd 116,213 43,166 IOI Corp. Bhd 481,805 737,240 * IOI Properties Group Bhd 195,602 160,816 Iris Corp. Bhd 268,500 37,905 * JAKS Resources Bhd 278,400 46,902 Jaya Tiasa Holdings Bhd 97,005 80,879 JCY International Bhd 338,200 76,806 * K&N Kenanga Holdings Bhd 81,000 19,378 Kian JOO CAN Factory Bhd 111,400 116,415 Kim Loong Resources Bhd 50,920 44,001 Kimlun Corp. Bhd 45,400 22,390 * KNM Group Bhd 557,487 142,028 * KSL Holdings Bhd 82,500 54,334 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ---------- MALAYSIA -- (Continued) Kuala Lumpur Kepong Bhd 62,350 $ 462,430 * Kulim Malaysia Bhd 178,600 193,251 #* Kumpulan Europlus Bhd 140,600 56,497 Kumpulan Perangsang Selangor Bhd 97,100 45,249 * Land & General Bhd 225,400 39,372 * Landmarks Bhd 59,300 20,212 LBS Bina Group Bhd 118,100 64,458 Lingkaran Trans Kota Holdings Bhd 69,500 82,944 Lion Industries Corp. Bhd 240,400 48,301 LPI Capital Bhd 10,500 54,689 Mah Sing Group Bhd 306,779 212,604 Malayan Banking Bhd 885,096 2,686,711 Malayan Flour Mills Bhd 90,600 43,876 # Malaysia Airports Holdings Bhd 195,702 482,778 Malaysia Marine and Heavy Engineering Holdings Bhd 84,400 102,308 #* Malaysian Airline System Bhd 1,380,870 97,659 Malaysian Bulk Carriers Bhd 177,625 103,520 Malaysian Pacific Industries Bhd 20,363 26,112 Malaysian Resources Corp. Bhd 588,800 283,376 # Maxis Bhd 291,000 619,688 MBM Resources Bhd 58,230 57,504 Media Chinese International, Ltd. 100,600 30,110 Media Prima Bhd 307,200 234,292 Mega First Corp. Bhd 46,000 32,163 MK Land Holdings Bhd 31,600 4,944 MKH Bhd 80,800 108,424 MMC Corp. Bhd 325,000 278,632 MNRB Holdings Bhd 27,600 32,083 Mudajaya Group Bhd 93,600 74,294 Muhibbah Engineering M Bhd 199,200 177,291 * Mulpha International Bhd 522,100 68,915 My EG Services Bhd 101,500 85,782 Naim Holdings Bhd 67,300 82,389 NCB Holdings Bhd 1,300 1,224 Nestle Malaysia Bhd 6,200 130,162 NTPM Holdings Bhd 50,200 13,308 Oldtown Bhd 37,125 23,663 OSK Holdings Bhd 161,209 81,985 Padini Holdings Bhd 121,700 74,629 Panasonic Manufacturing Malaysia Bhd 13,100 89,063 Paramount Corp. Bhd 55,600 28,424 # Parkson Holdings Bhd 173,341 156,018 #* Perdana Petroleum Bhd 231,840 134,311 #* Perisai Petroleum Teknologi Bhd 268,000 129,007 Pharmaniaga Bhd 15,400 22,166 PJ Development Holdings Bhd 126,900 59,518 Pos Malaysia Bhd 103,900 143,397 PPB Group Bhd 134,800 680,309 Press Metal Bhd 96,100 102,337 Prestariang Bhd 127,600 79,077 Public Bank Bhd 108,700 671,017 Puncak Niaga Holding Bhd 86,200 77,233 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- MALAYSIA -- (Continued) QL Resources Bhd 141,450 $ 135,740 RHB Capital Bhd 223,274 567,311 Rimbunan Sawit Bhd 239,000 58,963 Salcon Bhd 264,800 60,064 * Sapurakencana Petroleum Bhd 741,911 980,770 Sarawak Oil Palms Bhd 24,900 49,678 Sarawak Plantation Bhd 6,400 5,195 Scientex Bhd 21,500 38,213 * Scomi Energy Services Bhd 273,800 81,189 Selangor Dredging Bhd 190,000 62,248 Selangor Properties Bhd 2,100 3,411 Shangri-La Hotels Malaysia Bhd 101,700 206,112 * Shell Refining Co. Federation of Malaya Bhd 44,800 82,130 SHL Consolidated Bhd 98,500 67,924 # SP Setia Bhd 106,400 98,342 Star Publications Malaysia Bhd 80,200 63,524 Subur Tiasa Holdings Bhd 70,415 48,683 Sunway Bhd 293,300 279,087 # Supermax Corp. Bhd 214,550 160,940 Suria Capital Holdings Bhd 18,100 14,436 Syarikat Takaful Malaysia Bhd 14,400 55,514 * Symphony Life Bhd 59,865 18,903 Ta Ann Holdings Bhd 39,289 50,553 TA Enterprise Bhd 462,600 114,882 TA Global Bhd 264,180 25,088 Tambun Indah Land Bhd 37,600 22,930 TAN Chong Motor Holdings Bhd 83,700 145,994 * Tanjung Offshore Bhd 62,300 11,283 Tasek Corp. Bhd 2,100 10,265 * Tebrau Teguh Bhd 100,100 41,772 Telekom Malaysia Bhd 191,200 363,333 Tenaga Nasional Bhd 389,400 1,419,464 #* TH Heavy Engineering Bhd 200,600 55,401 TH Plantations Bhd 61,320 38,107 Tiong NAM Logistics Holdings 55,000 22,592 # Top Glove Corp. Bhd 128,300 188,849 Tropicana Corp. Bhd 165,100 77,921 TSH Resources Bhd 92,600 95,026 Uchi Technologies Bhd 51,700 22,984 UEM Sunrise Bhd 534,264 377,234 UMW Holdings Bhd 141,300 466,155 Unisem M Bhd 223,630 80,941 United Malacca Bhd 20,100 43,889 United Plantations Bhd 21,300 164,936 UOA Development Bhd 187,500 135,073 VS Industry Bhd 56,245 27,924 Wah Seong Corp. Bhd 143,579 86,621 WCT Holdings Bhd 289,780 199,899 Wing Tai Malaysia Bhd 13,400 8,873 WTK Holdings Bhd 175,000 71,427 Yinson Holdings Bhd 21,000 54,856 YNH Property Bhd 69,999 42,273 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- MALAYSIA -- (Continued) YTL Corp. Bhd 1,555,964 $ 767,607 YTL E-Solutions Bhd 48,400 9,128 * YTL Land & Development Bhd 61,900 17,827 * YTL Power International Bhd 589,651 283,745 Zhulian Corp. Bhd 58,200 51,740 ----------- TOTAL MALAYSIA 33,069,832 ----------- MEXICO -- (5.4%) Alfa S.A.B. de C.V. Class A 802,622 2,120,244 # Alpek S.A. de C.V. 17,200 29,581 # Alsea S.A.B. de C.V. 140,640 486,440 America Movil S.A.B. de C.V. Series L 1,841,832 1,856,931 America Movil S.A.B. de C.V. Series L ADR 133,377 2,678,210 # Arca Continental S.A.B. de C.V. 81,466 518,085 #* Axtel S.A.B. de C.V. 418,560 139,171 # Banregio Grupo Financiero S.A.B. de C.V. 63,822 369,729 * Bio Pappel S.A.B. de C.V. 25,132 53,692 # Bolsa Mexicana de Valores S.A.B. de C.V. 147,570 302,861 * Cemex S.A.B. de C.V. 708,550 900,124 #* Cemex S.A.B. de C.V. Sponsored ADR 339,434 4,290,448 # Cia Minera Autlan S.A.B. de C.V. Series B 31,640 33,133 # Coca-Cola Femsa S.A.B. de C.V. Sponsored ADR 6,085 681,277 # Compartamos S.A.B. de C.V. 129,600 226,059 #* Consorcio ARA S.A.B. de C.V. Series * 381,848 168,118 # Controladora Comercial Mexicana S.A.B. de C.V. 202,530 758,399 #* Corp. GEO S.A.B. de C.V. Series B 185,607 2,784 # Corp. Inmobiliaria Vesta S.A.B. de C.V. 38,207 77,683 Corp. Moctezuma S.A.B. de C.V. Series * 87,200 266,611 #* Desarrolladora Homex S.A.B. de C.V. 45,100 7,366 # El Puerto de Liverpool S.A.B. de C.V. 37,793 389,954 #* Empresas ICA S.A.B. de C.V. 78,400 140,347 * Empresas ICA S.A.B. de C.V. Sponsored ADR 46,729 336,916 * Financiera Independencia S.A.B. de C.V. 21,447 8,459 Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR 38,039 3,452,800 * Gruma S.A.B. de C.V. Class B 117,718 1,041,063 #* Grupo Aeromexico S.A.B. de C.V. 29,000 47,104 Grupo Aeroportuario del Centro Norte S.A.B. de C.V. 75,338 276,066 Grupo Aeroportuario del Pacifico S.A.B. de C.V. ADR 10,080 607,824 Grupo Aeroportuario del Pacifico S.A.B. de C.V. Class B 45,686 275,001 Grupo Aeroportuario del Sureste S.A.B. de C.V. ADR 6,569 803,060 Grupo Aeroportuario del Sureste S.A.B. de C.V. Class B 23,000 281,480 Grupo Bimbo S.A.B. de C.V. Series A 305,753 843,215 Grupo Carso S.A.B. de C.V. Series A1 151,853 773,730 # Grupo Comercial Chedraui S.A. de C.V. 111,096 341,285 Grupo Elektra S.A.B. de C.V. 2,115 60,551 * Grupo Famsa S.A.B. de C.V. Class A 101,246 138,526 # Grupo Financiero Banorte S.A.B. de C.V. 465,170 3,089,459 # Grupo Financiero Inbursa S.A.B. de C.V. 434,077 1,111,840 # Grupo Financiero Santander Mexico S.A.B. de C.V. Class B 23,700 56,611 Grupo Financiero Santander Mexico S.A.B. de C.V. Class B ADR 31,784 378,230 # Grupo Herdez S.A.B. de C.V. Series * 50,919 152,219 Grupo KUO S.A.B. de C.V. Series B 28,600 57,232 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- MEXICO -- (Continued) Grupo Mexico S.A.B. de C.V. Series B 800,168 $ 2,409,785 * Grupo Pochteca S.A.B. de C.V. 23,090 28,768 #* Grupo Simec S.A.B. de C.V. Series B 43,971 165,596 * Grupo Simec S.A.B. de C.V. Sponsored ADR 1,721 20,032 * Grupo Sports World S.A.B. de C.V. 16,500 25,476 Grupo Televisa S.A.B. Series CPO 208,410 1,365,531 Grupo Televisa S.A.B. Sponsored ADR 56,995 1,870,006 #* Impulsora del Desarrollo y El Empleo en America Latina S.A.B. de C.V. 163,400 376,066 Industrias Bachoco S.A.B. de C.V. ADR 1,161 51,200 # Industrias Bachoco S.A.B. de C.V. Series B 8,451 31,006 * Industrias CH S.A.B. de C.V. Series B 79,412 421,256 # Industrias Penoles S.A.B. de C.V. 23,341 543,421 # Kimberly-Clark de Mexico S.A.B. de C.V. Class A 302,275 788,800 Megacable Holdings S.A.B. de C.V. 40,989 162,073 # Mexichem S.A.B. de C.V. 340,724 1,269,633 #* Minera Frisco S.A.B. de C.V. 88,740 162,249 * OHL Mexico S.A.B. de C.V. 263,671 701,363 # Organizacion Cultiba S.A.B. de C.V. 6,940 11,469 #* Organizacion Soriana S.A.B. de C.V. Class B 245,520 711,445 * Promotora y Operadora de Infraestructura S.A.B. de C.V. 66,839 933,404 TV Azteca S.A.B. de C.V. 324,269 177,220 #* Urbi Desarrollos Urbanos S.A.B. de C.V. 102,404 41 # Wal-Mart de Mexico S.A.B. de C.V. Series V 692,560 1,752,211 ----------- TOTAL MEXICO 44,607,969 ----------- PERU -- (0.2%) Cementos Pacasmayo SAA ADR 1,200 10,860 Cia de Minas Buenaventura SAA ADR 15,794 205,322 Credicorp, Ltd. 9,300 1,388,025 ----------- TOTAL PERU 1,604,207 ----------- PHILIPPINES -- (1.4%) Aboitiz Equity Ventures, Inc. 333,930 424,799 Aboitiz Power Corp. 310,100 253,878 Alliance Global Group, Inc. 1,036,100 725,644 Atlas Consolidated Mining & Development 168,700 56,214 Ayala Corp. 38,331 537,708 Ayala Land, Inc. 635,060 430,362 Bank of the Philippine Islands 155,686 317,359 BDO Unibank, Inc. 328,126 651,207 * Belle Corp. 1,243,000 166,939 Cebu Air, Inc. 70,340 82,843 China Banking Corp. 93,797 116,027 DMCI Holdings, Inc. 244,190 394,065 EEI Corp. 134,000 35,793 * Empire East Land Holdings, Inc. 1,223,000 27,471 Energy Development Corp. 2,411,300 302,677 Filinvest Land, Inc. 4,373,000 156,471 First Gen Corp. 494,900 210,981 First Philippine Holdings Corp. 110,930 176,685 * Global-Estate Resorts, Inc. 1,019,000 45,145 Globe Telecom, Inc. 9,270 344,663 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- PHILIPPINES -- (Continued) JG Summit Holdings, Inc. 183,400 $ 208,197 Jollibee Foods Corp. 97,290 375,766 Lafarge Republic, Inc. 205,362 46,372 * Lepanto Consolidated Mining Co. 1,552,000 14,330 Lopez Holdings Corp. 796,900 81,534 Macroasia Corp. 79,000 3,755 Manila Electric Co. 27,820 175,279 Manila Water Co., Inc. 269,600 161,378 * Megawide Construction Corp. 96,360 28,517 Megaworld Corp. 5,821,000 609,461 Metropolitan Bank & Trust Co. 105,930 201,744 Pepsi-Cola Products Philippines, Inc. 622,300 69,887 * Philex Petroleum Corp. 10,900 2,245 Philippine Long Distance Telephone Co. Sponsored ADR 7,279 469,495 * Philippine National Bank 105,892 207,359 Philippine Stock Exchange, Inc. (The) 5,304 35,313 Phoenix Petroleum Philippines, Inc. 136,240 18,357 RFM Corp. 243,000 35,465 Rizal Commercial Banking Corp. 109,654 118,176 Robinsons Land Corp. 621,300 311,783 San Miguel Corp. 118,900 222,878 Security Bank Corp. 84,816 228,546 Semirara Mining Corp. 26,950 248,732 SM Investments Corp. 43,250 705,031 SM Prime Holdings, Inc. 1,412,112 518,391 * Top Frontier Investment Holdings, Inc. 10,142 21,288 Trans-Asia Oil & Energy Development Corp. 388,000 20,351 Union Bank Of Philippines, Inc. 59,480 169,869 Universal Robina Corp. 154,980 508,917 Vista Land & Lifescapes, Inc. 1,650,400 223,536 ----------- TOTAL PHILIPPINES 11,498,883 ----------- POLAND -- (2.4%) Action SA 1,636 25,767 * Agora SA 10,877 37,383 * Alchemia SA 11,709 19,461 * Alior Bank SA 3,239 85,500 Amica Wronki SA 597 18,580 * AmRest Holdings SE 2,322 62,763 Apator SA 3,816 46,148 Asseco Poland SA 28,726 427,739 Bank Handlowy w Warszawie SA 12,500 465,143 #* Bank Millennium SA 153,678 451,472 Bank Pekao SA 28,109 1,804,047 # Bank Zachodni WBK SA 2,846 349,920 * Boryszew SA 79,641 115,992 Budimex SA 2,789 129,693 CCC SA 4,100 172,291 * CD Projekt SA 22,187 109,954 * Ciech SA 17,408 186,505 * Cyfrowy Polsat SA 23,338 158,602 * Echo Investment SA 43,544 86,227 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- POLAND -- (Continued) * Eko Export SA 5,058 $ 65,254 Elektrobudowa SA 39 1,160 Emperia Holding SA 3,083 68,291 Enea SA 27,747 140,485 Eurocash SA 18,923 250,233 Fabryki Mebli Forte SA 4,417 64,233 * Famur SA 20,638 29,947 Firma Oponiarska Debica SA 1,289 38,548 Getin Holding SA 123,870 130,584 * Getin Noble Bank SA 218,807 266,317 * Global City Holdings NV 439 5,087 Grupa Azoty SA 8,770 173,932 Grupa Kety SA 2,032 146,364 * Grupa Lotos SA 27,997 361,040 * Hawe SA 30,550 29,734 * Impexmetal SA 60,302 51,472 * ING Bank Slaski SA 8,829 396,370 * Integer.pl SA 273 23,999 * Inter Cars SA 702 43,806 Jastrzebska Spolka Weglowa SA 8,242 113,472 * Kernel Holding SA 13,805 128,301 * KGHM Polska Miedz SA 38,673 1,400,269 Kopex SA 6,846 29,328 * KRUK SA 400 11,020 LPP SA 149 386,051 Lubelski Wegiel Bogdanka SA 10,866 444,797 # mBank 4,215 689,731 * Midas SA 61,466 12,806 * Netia SA 76,923 137,556 Neuca SA 889 69,514 Orange Polska SA 194,910 665,970 Orbis SA 5,719 74,057 Pelion SA 2,616 66,576 PGE SA 273,129 1,897,919 * Polimex-Mostostal SA 92,257 2,751 * Polnord SA 9,480 28,391 * Polski Koncern Miesny Duda SA 75,477 15,968 Polski Koncern Naftowy Orlen SA 98,299 1,471,918 Polskie Gornictwo Naftowe i Gazownictwo SA 229,241 356,309 Powszechna Kasa Oszczednosci Bank Polski SA 187,979 2,579,707 Powszechny Zaklad Ubezpieczen SA 6,209 880,753 * PZ Cormay SA 4,936 11,170 * Rafako SA 13,729 24,608 * Rovese SA 47,343 21,930 Stalprodukt SA 290 23,006 # Synthos SA 163,686 257,989 Tauron Polska Energia SA 254,081 450,111 * Trakcja SA 70,507 30,364 TVN SA 48,456 264,027 * Vistula Group SA 18,440 10,186 Warsaw Stock Exchange 7,026 87,779 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ----------- POLAND -- (Continued) Zaklady Chemiczne Police SA 3,091 $ 21,024 ----------- TOTAL POLAND 19,705,401 ----------- RUSSIA -- (2.8%) * Etalon Group, Ltd. GDR 50,369 176,539 Eurasia Drilling Co., Ltd. GDR 24,216 596,672 Gazprom OAO Sponsored ADR 863,297 6,238,992 Globaltrans Investment P.L.C. GDR 18,381 175,183 * Integra Group Holdings GDR 664 12,744 Lukoil OAO Sponsored ADR 73,944 3,914,553 * Magnitogorsk Iron & Steel Works GDR 35,457 74,834 * Mail.ru Group, Ltd. GDR 6,130 166,960 #* Mechel Sponsored ADR 61,176 123,575 MMC Norilsk Nickel OJSC ADR 52,615 951,235 Novolipetsk Steel OJSC GDR 24,751 288,569 Novorossiysk Commercial Sea Port PJSC GDR 11,548 57,625 O'Key Group SA GDR 6,334 55,917 Phosagro OAO GDR 6,301 73,435 * PIK Group GDR 61,288 141,201 Rosneft OAO GDR 218,895 1,376,214 Rostelecom OJSC Sponsored ADR 11,118 144,818 RusHydro JSC ADR 273,627 425,762 Sberbank of Russia Sponsored ADR 270,027 2,274,726 Severstal OAO GDR 60,421 427,106 Tatneft OAO Sponsored ADR 55,290 1,901,784 TMK OAO GDR 5,575 44,382 Uralkali OJSC GDR 52,754 1,170,105 VimpelCom, Ltd. Sponsored ADR 74,573 626,413 VTB Bank OJSC GDR 512,037 1,089,239 * X5 Retail Group NV GDR 23,089 406,977 ----------- TOTAL RUSSIA 22,935,560 ----------- SOUTH AFRICA -- (7.2%) Adcorp Holdings, Ltd. 32,653 99,307 Advtech, Ltd. 120,102 98,463 Aeci, Ltd. 53,738 600,211 # African Bank Investments, Ltd. 282,387 334,858 African Oxygen, Ltd. 36,963 72,649 African Rainbow Minerals, Ltd. 43,596 820,874 Allied Electronics Corp., Ltd. 1,837 4,249 * Anglo American Platinum, Ltd. 20,422 972,394 * AngloGold Ashanti, Ltd. Sponsored ADR 84,643 1,532,038 * ArcelorMittal South Africa, Ltd. 56,470 198,744 Assore, Ltd. 7,223 279,568 Astral Foods, Ltd. 14,024 127,349 * Aveng, Ltd. 191,685 411,856 AVI, Ltd. 125,039 689,927 Barclays Africa Group, Ltd. 92,396 1,353,515 Barloworld, Ltd. 87,871 958,601 # Bidvest Group, Ltd. 75,288 2,067,245 Blue Label Telecoms, Ltd. 103,795 89,945 * Brait SE 1,419 7,647 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- SOUTH AFRICA -- (Continued) Business Connexion Group, Ltd. 65,032 $ 34,935 # Capitec Bank Holdings, Ltd. 13,773 298,081 # Cashbuild, Ltd. 7,956 95,146 Caxton and CTP Publishers and Printers, Ltd. 26,485 40,208 City Lodge Hotels, Ltd. 12,177 142,741 Clicks Group, Ltd. 81,038 494,119 Clover Industries, Ltd. 29,746 54,876 * Consolidated Infrastructure Group, Ltd. 920 2,506 Coronation Fund Managers, Ltd. 57,809 558,234 DataTec, Ltd. 87,311 438,784 Discovery, Ltd. 77,197 670,194 Distribution and Warehousing Network, Ltd. 43,764 42,429 DRDGOLD, Ltd. 125,402 39,932 DRDGOLD, Ltd. Sponsored ADR 1,600 5,152 EOH Holdings, Ltd. 39,266 313,879 Eqstra Holdings, Ltd. 87,411 60,685 * Evraz Highveld Steel and Vanadium, Ltd. 5,882 5,110 # Exxaro Resources, Ltd. 34,746 474,250 Famous Brands, Ltd. 17,998 180,537 FirstRand, Ltd. 615,443 2,264,455 # Foschini Group, Ltd. (The) 64,432 665,904 Gold Fields, Ltd. 8,786 37,291 Gold Fields, Ltd. Sponsored ADR 175,611 742,835 Grindrod, Ltd. 169,265 400,827 Group Five, Ltd. 52,902 217,602 Growthpoint Properties, Ltd. 53,527 123,737 * Harmony Gold Mining Co., Ltd. 50,878 167,209 * Harmony Gold Mining Co., Ltd. Sponsored ADR 57,105 187,875 Holdsport, Ltd. 6,165 22,950 Hudaco Industries, Ltd. 14,315 142,703 * Hulamin, Ltd. 41,925 29,105 Iliad Africa, Ltd. 37,928 23,106 Illovo Sugar, Ltd. 84,521 233,071 Impala Platinum Holdings, Ltd. 130,985 1,476,631 Imperial Holdings, Ltd. 66,010 1,231,127 Investec, Ltd. 82,900 729,638 Invicta Holdings, Ltd. 3,090 35,233 # JD Group, Ltd. 47,159 123,223 JSE, Ltd. 31,916 292,812 Kumba Iron Ore, Ltd. 12,961 461,603 # Lewis Group, Ltd. 42,684 253,380 Liberty Holdings, Ltd. 37,887 454,458 Massmart Holdings, Ltd. 19,522 258,753 * Merafe Resources, Ltd. 213,666 22,548 Metair Investments, Ltd. 47,032 190,104 MMI Holdings, Ltd. 395,747 994,975 Mondi, Ltd. 30,548 508,673 Mpact, Ltd. 45,066 119,170 Mr Price Group, Ltd. 59,451 895,811 * Murray & Roberts Holdings, Ltd. 161,265 377,623 Nampak, Ltd. 203,025 757,417 Naspers, Ltd. Class N 41,170 3,890,534 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ----------- SOUTH AFRICA -- (Continued) Nedbank Group, Ltd. 68,727 $ 1,473,294 * Northam Platinum, Ltd. 95,406 372,415 Oceana Group, Ltd. 15,357 131,568 Omnia Holdings, Ltd. 21,760 467,823 Peregrine Holdings, Ltd. 26,279 48,236 Petmin, Ltd. 40,487 10,457 # Pick n Pay Stores, Ltd. 55,409 316,603 Pinnacle Holdings, Ltd. 49,617 61,660 Pioneer Foods, Ltd. 31,128 278,094 PPC, Ltd. 152,389 443,379 Premium Properties, Ltd. 22,528 37,491 PSG Group, Ltd. 45,699 452,629 Raubex Group, Ltd. 25,981 53,705 * RCL Foods, Ltd. 6,502 9,518 Reunert, Ltd. 67,416 443,026 * Royal Bafokeng Platinum, Ltd. 6,667 43,097 Sanlam, Ltd. 489,472 2,622,170 Santam, Ltd. 8,301 167,601 * Sappi, Ltd. 67,425 213,733 * Sappi, Ltd. Sponsored ADR 140,883 442,373 Sasol, Ltd. 12,915 723,812 Sasol, Ltd. Sponsored ADR 97,818 5,420,095 Shoprite Holdings, Ltd. 76,912 1,286,644 Sibanye Gold, Ltd. 55,776 144,071 Sibanye Gold, Ltd. Sponsored ADR 48,977 505,932 Spar Group, Ltd. (The) 53,930 633,641 Spur Corp., Ltd. 25,438 72,555 Standard Bank Group, Ltd. 204,910 2,692,302 Steinhoff International Holdings, Ltd. 477,716 2,482,375 * Super Group, Ltd. 144,068 388,180 * Telkom SA SOC, Ltd. 104,297 373,187 Tiger Brands, Ltd. 32,915 880,543 Times Media Group, Ltd. 8,973 18,007 Tongaat Hulett, Ltd. 34,434 409,389 Trencor, Ltd. 48,168 341,381 Truworths International, Ltd. 112,412 903,150 # Vodacom Group, Ltd. 48,002 572,863 Wilson Bayly Holmes-Ovcon, Ltd. 24,429 315,908 Woolworths Holdings, Ltd. 115,976 789,300 Zeder Investments, Ltd. 183,167 76,269 ----------- TOTAL SOUTH AFRICA 60,122,097 ----------- SOUTH KOREA -- (14.0%) Able C&C Co., Ltd. 1,590 45,655 #* Actoz Soft Co., Ltd. 1,239 40,670 * Advanced Nano Products Co., Ltd. 279 5,892 #* Advanced Process Systems Corp. 3,786 31,967 Aekyung Petrochemical Co., Ltd. 278 18,406 # AfreecaTV Co., Ltd. 5,664 133,929 # Agabang&Company 8,058 42,250 # Ahnlab, Inc. 934 48,025 * AJ Rent A Car Co., Ltd. 3,210 51,561 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- SOUTH KOREA -- (Continued) AK Holdings, Inc. 494 $ 25,520 #* Aminologics Co., Ltd. 21,772 31,449 Amorepacific Corp. 504 651,735 AMOREPACIFIC Group 750 388,019 Anapass, Inc. 4,285 47,794 Asia Cement Co., Ltd. 501 53,485 ASIA Holdings Co., Ltd, 219 30,775 Asia Paper Manufacturing Co., Ltd. 1,940 35,983 * Asiana Airlines, Inc. 33,400 159,354 AtlasBX Co., Ltd. 2,725 110,768 * AUK Corp. 5,660 12,458 Autech Corp. 6,077 43,354 * Avaco Co., Ltd. 7,631 36,904 Baiksan Co., Ltd. 4,640 23,136 # Basic House Co., Ltd. (The) 4,590 104,395 #* BH Co., Ltd. 4,076 39,532 # BHI Co., Ltd. 1,809 30,798 Binggrae Co., Ltd. 955 86,985 Bioland, Ltd. 2,817 40,584 Bluecom Co., Ltd. 1,568 24,276 * Boryung Medience Co., Ltd. 3,718 22,441 BS Financial Group, Inc. 57,150 875,024 Byucksan Corp. 2,510 7,596 # CammSys Corp. 24,019 67,705 #* Capro Corp. 10,760 48,495 Cheil Industries, Inc. 12,495 797,912 * Cheil Worldwide, Inc. 15,060 366,568 Chemtronics Co., Ltd. 1,929 29,682 * Chin Hung International, Inc. 10,392 15,153 * China Great Star International, Ltd. 13,195 40,140 * China Ocean Resources Co., Ltd. 21,710 50,074 Chosun Refractories Co., Ltd. 53 4,876 CJ CGV Co., Ltd. 2,390 111,428 # CJ CheilJedang Corp. 2,196 659,331 * CJ E&M Corp. 6,693 326,807 * CJ Korea Express Co., Ltd. 1,736 183,470 CJ O Shopping Co., Ltd. 608 214,936 * Com2uSCorp 1,845 67,655 Cosmax BTI, Inc. 662 27,097 * Cosmax, Inc. 1,298 87,282 #* Cosmochemical Co., Ltd. 2,170 14,847 Coway Co., Ltd. 8,173 646,006 Credu Corp. 719 33,043 Crown Confectionery Co., Ltd. 339 97,037 Dae Dong Industrial Co., Ltd. 1,430 12,861 Dae Han Flour Mills Co., Ltd. 285 40,853 Dae Won Kang Up Co., Ltd. 6,670 42,657 * Dae Young Packaging Co., Ltd. 57,950 44,086 * Daea TI Co., Ltd. 18,837 32,154 * Daechang Co., Ltd. 19,890 18,240 Daeduck Electronics Co. 9,060 66,920 Daeduck GDS Co., Ltd. 6,910 114,471 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- SOUTH KOREA -- (Continued) Daegu Department Store 1,950 $ 44,270 Daehan Steel Co., Ltd. 5,070 33,927 * Daekyung Machinery & Engineering Co., Ltd. 11,720 23,004 Daelim Industrial Co., Ltd. 9,215 751,925 Daesang Corp. 4,680 185,130 Daesang Holdings Co., Ltd. 2,390 29,507 Daewon San Up Co., Ltd. 3,198 28,781 #* Daewoo Engineering & Construction Co., Ltd. 32,550 270,024 #* Daewoo Securities Co., Ltd. 56,981 468,162 # Daewoo Shipbuilding & Marine Engineering Co., Ltd. 25,161 730,242 Daishin Securities Co., Ltd. 13,460 121,801 Daou Technology, Inc. 11,340 158,586 * Dasan Networks, Inc. 3,142 18,857 Daum Communications Corp. 2,449 177,759 # Dayou Automotive Seat Technology Co., Ltd. 27,800 42,748 DGB Financial Group, Inc. 52,330 793,879 #* Digitech Systems Co., Ltd. 3,126 6,414 * DIO Corp. 4,669 37,045 * Dong Yang Gang Chul Co., Ltd. 5,950 13,251 Dong-Ah Geological Engineering Co., Ltd. 1,200 9,848 Dong-Il Corp. 87 6,326 Dongaone Co., Ltd. 8,260 22,776 * Dongbu HiTek Co., Ltd. 7,420 50,084 Dongbu Insurance Co., Ltd. 10,943 604,806 Dongbu Securities Co., Ltd. 13,140 47,155 #* Dongbu Steel Co., Ltd. 6,874 20,711 Dongjin Semichem Co., Ltd. 7,060 26,576 * Dongkook Industrial Co., Ltd. 12,380 38,453 # Dongkuk Steel Mill Co., Ltd. 16,500 158,720 DONGKUK STRUCTURES & CONSTRUCTION Co., Ltd. 5,059 27,345 Dongsung Holdings Co., Ltd. 3,940 22,278 Dongwon F&B Co., Ltd. 484 94,450 Dongwon Industries Co., Ltd. 318 99,901 Dongyang E&P, Inc. 1,531 29,622 Dongyang Mechatronics Corp. 7,130 68,783 Doosan Corp. 768 98,993 #* Doosan Engine Co., Ltd. 8,950 75,295 #* Doosan Engineering & Construction Co., Ltd. 1,599 23,199 Doosan Heavy Industries & Construction Co., Ltd. 15,725 531,524 * Doosan Infracore Co., Ltd. 38,780 468,932 #* Dragonfly GF Co., Ltd. 2,130 12,270 * Duksan Hi-Metal Co., Ltd. 2,788 51,832 DuzonBIzon Co., Ltd. 4,340 51,375 e-LITECOM Co., Ltd. 2,965 53,929 E-Mart Co., Ltd. 5,887 1,346,158 E1 Corp. 559 38,020 Eagon Industries Co., Ltd. 3,370 57,880 # Easy Bio, Inc. 12,774 70,307 * Ecopro Co., Ltd. 3,593 26,800 #* ELK Corp. 9,669 60,834 * EMKOREA Co., Ltd. 5,967 39,167 ENF Technology Co., Ltd. 2,690 23,956 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- SOUTH KOREA -- (Continued) Eo Technics Co., Ltd. 1,794 $ 120,083 Eugene Corp. 9,086 33,616 * Eugene Investment & Securities Co., Ltd. 8,900 22,645 Eugene Technology Co., Ltd. 2,235 48,358 Fila Korea, Ltd. 2,627 228,743 #* Finetex EnE, Inc. 7,780 18,648 #* Flexcom, Inc. 1,401 15,304 #* Foosung Co., Ltd. 8,920 29,233 Fursys, Inc. 1,797 49,965 * Gamevil, Inc. 1,073 72,814 Gaon Cable Co., Ltd. 930 27,483 #* GemVax & Kael Co., Ltd. 4,391 81,591 #* Genic Co., Ltd. 1,895 34,102 GIIR, Inc. 2,100 16,347 Global & Yuasa Battery Co., Ltd. 1,530 73,471 * GNCO Co., Ltd. 10,287 13,174 Golfzon Co., Ltd. 5,120 93,382 #* GS Engineering & Construction Corp. 14,766 520,978 GS Global Corp. 7,260 67,772 GS Holdings 17,242 804,581 GS Home Shopping, Inc. 334 75,551 GS retail Co., Ltd. 5,620 156,524 Gwangju Shinsegae Co., Ltd. 188 43,292 Haesung Industrial Co., Ltd. 574 33,213 * Halla Corp. 4,540 31,843 # Halla Visteon Climate Control Corp. 5,430 227,205 Han Kuk Carbon Co., Ltd. 9,150 65,622 Hana Financial Group, Inc. 77,845 2,746,831 #* Hana Micron, Inc. 3,605 21,089 Hana Tour Service, Inc. 1,460 93,683 Handsome Co., Ltd. 4,990 126,338 Hanil Cement Co., Ltd. 1,489 171,933 Hanil E-Hwa Co., Ltd. 5,980 122,354 #* Hanjin Heavy Industries & Construction Co., Ltd. 18,065 213,383 Hanjin Heavy Industries & Construction Holdings Co., Ltd. 6,254 63,619 * Hanjin Kal Corp. 4,420 94,908 #* Hanjin Shipping Co., Ltd. 36,280 212,706 * Hanjin Shipping Holdings Co., Ltd. 3,216 20,893 Hanjin Transportation Co., Ltd. 2,540 62,451 Hankook Shell Oil Co., Ltd. 168 76,154 Hankook Tire Co., Ltd. 8,969 520,362 Hankook Tire Worldwide Co., Ltd. 2,050 41,583 * Hankuk Glass Industries, Inc. 1,820 35,708 Hankuk Paper Manufacturing Co., Ltd. 770 18,978 Hanmi Semiconductor Co., Ltd. 7,550 109,138 Hansae Co., Ltd. 1,860 38,679 Hansae Yes24 Holdings Co., Ltd. 6,460 43,849 # Hansol Chemical Co., Ltd. 2,570 73,942 Hansol CSN Co., Ltd. 18,940 54,054 #* Hansol HomeDeco Co., Ltd. 40,610 92,258 Hansol Paper Co. 15,680 172,703 * Hansol Technics Co., Ltd. 3,821 81,375 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- SOUTH KOREA -- (Continued) Hanssem Co., Ltd. 2,170 $ 177,542 # Hanwha Chemical Corp. 30,286 536,718 Hanwha Corp. 15,494 451,635 * Hanwha General Insurance Co., Ltd. 8,767 43,313 * Hanwha Investment & Securities Co., Ltd. 21,144 76,496 # Hanwha Life Insurance Co., Ltd. 68,260 444,901 Hanyang Securities Co., Ltd. 1,030 6,860 Heung-A Shipping Co., Ltd. 25,938 34,364 HMC Investment Securities Co., Ltd. 7,873 83,234 # Hotel Shilla Co., Ltd. 6,980 587,795 Huchems Fine Chemical Corp. 4,764 100,574 Humax Co., Ltd. 5,231 63,426 Husteel Co., Ltd. 1,240 24,405 Huvis Corp. 4,180 46,632 Huvitz Co., Ltd. 738 8,926 Hwa Shin Co., Ltd. 4,870 57,146 Hy-Lok Corp. 2,027 59,070 Hyosung Corp. 8,777 627,056 * Hyundai BNG Steel Co., Ltd. 2,940 61,756 Hyundai Corp. 3,870 118,183 Hyundai Department Store Co., Ltd. 4,248 547,790 Hyundai Development Co. 20,312 582,356 * Hyundai Elevator Co., Ltd. 2,217 85,820 Hyundai Engineering & Construction Co., Ltd. 17,565 950,966 Hyundai Engineering Plastics Co., Ltd. 3,250 23,351 Hyundai Glovis Co., Ltd. 1,385 326,685 Hyundai Greenfood Co., Ltd. 14,190 238,617 Hyundai Heavy Industries Co., Ltd. 6,990 1,314,219 Hyundai Home Shopping Network Corp. 571 85,754 Hyundai Hy Communications & Networks Co., Ltd. 12,240 61,257 Hyundai Livart Co., Ltd. 4,340 74,488 Hyundai Marine & Fire Insurance Co., Ltd. 17,580 515,788 #* Hyundai Merchant Marine Co., Ltd. 8,126 81,714 Hyundai Mobis 9,612 2,745,990 * Hyundai Securities Co., Ltd. 43,302 291,945 Hyundai Steel Co. 15,387 1,008,223 Hyundai Wia Corp. 2,605 429,514 * Hyunjin Materials Co., Ltd. 3,137 17,215 HyVision System, Inc. 3,582 34,642 * ICD Co., Ltd. 2,226 24,741 Iljin Electric Co., Ltd. 5,910 48,188 #* Iljin Materials Co., Ltd. 5,710 61,682 Ilshin Spinning Co., Ltd. 409 53,310 * IM Co., Ltd. 5,419 21,429 iMarketKorea, Inc. 4,690 141,975 Industrial Bank of Korea 44,560 548,858 #* Infinitt Healthcare Co., Ltd. 5,114 39,263 #* Infopia Co., Ltd. 2,026 26,819 #* Infraware, Inc. 5,651 49,670 #* InkTec Co., Ltd. 2,097 41,943 * InnoWireless, Inc. 1,034 13,520 * Innox Corp. 2,074 46,680 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- SOUTH KOREA -- (Continued) Intelligent Digital Integrated Securities Co., Ltd. 2,551 $ 47,052 * Interflex Co., Ltd. 2,561 53,435 Interpark Corp. 10,479 117,619 INTOPS Co., Ltd. 1,868 43,829 Inzi Controls Co., Ltd. 2,210 12,258 INZI Display Co., Ltd. 5,255 9,431 #* IS Dongseo Co., Ltd. 2,725 61,765 ISU Chemical Co., Ltd. 5,540 75,078 IsuPetasys Co., Ltd. 6,490 35,996 Jahwa Electronics Co., Ltd. 3,470 62,199 JB Financial Group Co., Ltd. 28,855 212,824 * Jcontentree Corp. 3,451 13,326 Jinsung T.E.C. 1,807 12,061 * Joymax Co., Ltd. 1,748 59,346 * Jusung Engineering Co., Ltd. 8,036 41,680 * JVM Co., Ltd. 1,013 53,461 KB Capital Co., Ltd. 3,307 65,816 KB Financial Group, Inc. 22,120 756,698 KB Financial Group, Inc. ADR 48,292 1,657,864 KC Cottrell Co., Ltd. 2,610 21,681 # KC Green Holdings Co., Ltd. 5,270 41,196 KC Tech Co., Ltd. 13,940 106,872 # KCP Co., Ltd. 4,411 52,735 * KEC Corp. 5,232 4,260 KEPCO Engineering & Construction Co., Inc. 2,109 125,751 KEPCO Plant Service & Engineering Co., Ltd. 1,694 110,063 Keyang Electric Machinery Co., Ltd. 8,060 31,108 KG Chemical Corp. 2,680 50,400 Kginicis Co., Ltd. 2,590 39,619 KGMobilians Co., Ltd. 4,423 68,551 # KH Vatec Co., Ltd. 3,521 65,817 KISCO Corp. 1,168 31,726 KISCO Holdings Co., Ltd. 41 1,828 KISWIRE, Ltd. 2,396 86,157 # KIWOOM Securities Co., Ltd. 4,537 223,315 * KMH Co., Ltd. 2,326 20,234 * KMW Co., Ltd. 1,483 25,308 # Koentec Co., Ltd. 13,257 48,466 Koh Young Technology, Inc. 2,811 67,041 Kolao Holdings 6,230 155,176 Kolon Corp. 3,520 73,846 #* Kolon Global Corp. 15,080 37,580 Kolon Industries, Inc. 6,055 401,774 # KONA I Co., Ltd. 2,745 102,528 Kook Je Electric Korea Co., Ltd. 1,049 18,057 Korea Circuit Co., Ltd. 2,750 34,149 Korea District Heating Corp. 940 65,785 Korea Electric Power Corp. 15,780 603,345 * Korea Electric Power Corp. Sponsored ADR 26,350 504,339 Korea Electric Terminal Co., Ltd. 1,920 80,999 * Korea Gas Corp. 6,294 376,926 Korea Investment Holdings Co., Ltd. 13,080 480,430 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- SOUTH KOREA -- (Continued) Korea Kolmar Co., Ltd. 2,301 $ 75,841 Korea Kolmar Holdings Co., Ltd. 1,107 19,562 Korea Petrochemical Ind Co., Ltd. 1,671 100,930 Korea Zinc Co., Ltd. 2,079 685,080 * Korean Air Lines Co., Ltd. 10,527 338,489 Korean Reinsurance Co. 34,814 344,081 # Kortek Corp. 2,014 30,107 KPF 2,698 15,514 KPX Chemical Co., Ltd. 618 38,337 KT Corp. 2,060 65,661 KT Corp. Sponsored ADR 10,724 170,619 KT Skylife Co., Ltd. 4,200 98,345 * KTB Investment & Securities Co., Ltd. 13,480 33,627 Kukdo Chemical Co., Ltd. 1,317 64,777 Kumho Electric Co., Ltd. 1,900 44,896 #* Kumho Industrial Co., Ltd. 1,984 22,792 # Kumho Petro chemical Co., Ltd. 2,814 238,611 * Kumho Tire Co., Inc. 14,819 186,826 Kunsul Chemical Industrial Co., Ltd. 950 40,464 #* Kwang Myung Electric Engineering Co., Ltd. 10,100 21,990 * Kyobo Securities Co. 6,840 45,707 Kyung Dong Navien Co., Ltd. 1,630 39,236 Kyung-In Synthetic Corp. 3,940 19,892 # Kyungbang, Ltd. 283 36,506 Kyungchang Industrial Co., Ltd. 1,876 21,008 KyungDong City Gas Co., Ltd. 712 80,607 #* LB Semicon, Inc. 16,693 33,966 LEENO Industrial, Inc. 3,057 88,182 LF Corp. 6,894 179,241 LG Chem, Ltd. 5,182 1,322,750 * LG Display Co., Ltd. 12,180 324,398 * LG Display Co., Ltd. ADR 105,996 1,410,807 LG Hausys, Ltd. 1,879 331,720 LG Household & Health Care, Ltd. 1,019 466,597 #* LG Innotek Co., Ltd. 3,681 407,373 LG International Corp. 11,771 348,769 LG Uplus Corp. 60,510 595,953 LIG Insurance Co., Ltd. 14,000 410,404 LMS Co., Ltd. 595 12,764 Lock & Lock Co., Ltd. 6,250 94,881 #* Logistics Energy Korea Co., Ltd. 15,590 33,184 Lotte Chemical Corp. 4,678 740,538 Lotte Confectionery Co., Ltd. 235 402,921 Lotte Food Co., Ltd. 218 163,459 # LOTTE Himart Co., Ltd. 2,444 171,827 * Lotte Non-Life Insurance Co., Ltd. 9,821 36,131 Lotte Shopping Co., Ltd. 3,081 955,496 LS Corp. 6,169 483,878 * Lumens Co., Ltd. 10,144 136,447 Macquarie Korea Infrastructure Fund 90,272 559,034 #* Macrogen, Inc. 1,740 71,060 Maeil Dairy Industry Co., Ltd. 2,492 94,338 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- SOUTH KOREA -- (Continued) Mando Corp. 3,243 $ 390,126 #* Medifron DBT Co., Ltd. 5,097 14,908 MegaStudy Co., Ltd. 1,890 127,781 #* Melfas, Inc. 4,370 39,704 Meritz Financial Group, Inc. 7,690 55,317 Meritz Fire & Marine Insurance Co., Ltd. 16,911 210,582 Meritz Securities Co., Ltd. 56,485 124,218 Mirae Asset Securities Co., Ltd. 10,445 429,157 * Miwon Specialty Chemical Co., Ltd. 84 25,798 MK Electron Co., Ltd. 12,447 65,809 * MNTech Co., Ltd. 4,699 30,971 Modetour Network, Inc. 2,902 64,689 Moorim P&P Co., Ltd. 17,550 84,801 Motonic Corp. 2,770 32,212 # Namhae Chemical Corp. 7,650 72,015 Naver Corp. 2,596 1,869,423 # NCSoft Corp. 2,473 492,075 * Neowiz Games Corp. 6,687 106,081 #* NEPES Corp. 8,540 78,015 Nexen Corp. 1,633 121,865 Nexen Tire Corp. 7,100 97,439 #* Nexolon Co., Ltd. 33,430 34,349 * Nexon GT Co., Ltd. 5,925 46,849 NH Investment & Securities Co., Ltd. 6,661 43,240 #* NHN Entertainment Corp. 1,154 94,402 NICE Holdings Co., Ltd. 4,040 54,651 NICE Information Service Co., Ltd. 7,096 24,764 * NK Co., Ltd. 2,980 11,789 Nong Shim Holdings Co., Ltd. 548 53,569 NongShim Co., Ltd. 950 282,777 #* OCI Co., Ltd. 2,870 504,321 # OCI Materials Co., Ltd. 4,511 154,826 #* OPTRON-TEC, Inc. 5,461 40,250 Orion Corp. 596 455,365 * Osstem Implant Co., Ltd. 3,092 77,007 Ottogi Corp. 388 153,922 * Paik Kwang Industrial Co., Ltd. 2,509 6,261 #* Pan Ocean Co., Ltd. 1,878 6,265 Pan-Pacific Co., Ltd. 5,510 18,928 Partron Co., Ltd. 10,477 142,249 Poongsan Corp. 8,280 204,352 Poongsan Holdings Corp. 510 15,404 Posco M-Tech Co., Ltd. 3,488 15,268 * Posco Plantec Co., Ltd. 3,235 12,799 * Power Logics Co., Ltd. 4,300 18,995 Pyeong Hwa Automotive Co., Ltd. 4,793 97,880 #* Redrover Co., Ltd. 7,376 50,277 RFsemi Technologies, Inc. 3,027 27,136 S&T Holdings Co., Ltd. 1,330 19,482 S&T Motiv Co., Ltd. 3,710 100,218 S-1 Corp. 2,301 175,021 S-Energy Co., Ltd. 1,324 14,725 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ ----------- SOUTH KOREA -- (Continued) S-MAC Co., Ltd. 2,843 $ 24,187 S-Oil Corp. 9,871 577,681 * Sajo Industries Co., Ltd. 435 14,744 Sam Yung Trading Co., Ltd. 3,790 72,030 Samchully Co., Ltd. 888 133,392 SAMHWA Paints Industrial Co., Ltd. 3,040 45,324 Samick Musical Instruments Co., Ltd. 9,290 25,673 Samick THK Co., Ltd. 4,280 32,517 # Samkwang Glass 1,314 62,292 Samlip General Foods Co., Ltd. 1,060 76,375 Samsung Card Co., Ltd. 2,913 105,807 # Samsung Electro-Mechanics Co., Ltd. 15,118 971,654 Samsung Electronics Co., Ltd. 9,941 12,962,667 Samsung Electronics Co., Ltd. GDR 16,921 10,923,579 #* Samsung Engineering Co., Ltd. 4,501 337,875 Samsung Fine Chemicals Co., Ltd. 6,763 270,166 Samsung Fire & Marine Insurance Co., Ltd. 7,800 1,852,740 Samsung Heavy Industries Co., Ltd. 35,060 960,379 Samsung Life Insurance Co., Ltd. 9,661 899,152 Samsung SDI Co., Ltd. 9,548 1,402,090 # Samsung Securities Co., Ltd. 18,656 712,939 * SAMT Co., Ltd. 7,876 15,624 Samyang Foods Co., Ltd. 1,700 52,573 Samyang Holdings Corp. 1,286 89,687 * Samyoung Chemical Co., Ltd. 6,670 14,782 * Sangbo Corp. 3,833 44,778 SBS Contents Hub Co., Ltd. 3,097 56,077 SBS Media Holdings Co., Ltd. 11,740 49,796 * SBW 23,330 15,216 Seah Besteel Corp. 4,538 122,596 SeAH Holdings Corp. 247 26,004 SeAH Steel Corp. 1,225 145,978 Sebang Co., Ltd. 3,040 52,677 Sejong Industrial Co., Ltd. 3,320 55,781 Sempio Foods Co. 710 18,121 #* Seobu T&D 3,680 70,125 #* Seohee Construction Co., Ltd. 48,053 28,122 Seoul Semiconductor Co., Ltd. 5,363 215,873 SEOWONINTECH Co., Ltd. 1,164 17,528 * Sewon Cellontech Co., Ltd. 9,450 25,736 # SEWOONMEDICAL Co., Ltd. 10,144 54,345 SFA Engineering Corp. 2,564 110,850 #* SG Corp. 77,870 46,273 # SH Energy & Chemical Co., Ltd. 56,460 45,844 #* Shine Co., Ltd. 1,528 14,788 Shinhan Financial Group Co., Ltd. 41,510 1,811,845 Shinhan Financial Group Co., Ltd. ADR 27,601 1,203,404 Shinsegae Co., Ltd. 2,555 554,715 Shinsegae Information & Communication Co., Ltd. 372 27,464 # Shinsegae International Co., Ltd. 935 67,109 #* Shinsung Solar Energy Co., Ltd. 31,936 45,978 * Signetics Corp. 12,318 24,987 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- SOUTH KOREA -- (Continued) * SIGONG TECH Co., Ltd. 6,507 $ 20,344 Silicon Works Co., Ltd. 3,521 78,623 Silla Co., Ltd. 3,715 89,361 * Simm Tech Co., Ltd. 8,465 48,953 SIMPAC, Inc. 8,170 57,769 SJM Co., Ltd. 3,600 36,468 * SK Broadband Co., Ltd. 48,635 201,719 SK C&C Co., Ltd. 2,409 330,676 SK Chemicals Co., Ltd. 5,244 305,844 #* SK Communications Co., Ltd. 4,426 32,062 SK Gas, Ltd. 1,667 153,162 SK Holdings Co., Ltd. 7,235 1,283,346 * SK Hynix, Inc. 52,400 2,043,257 SK Innovation Co., Ltd. 16,616 1,903,518 * SK Networks Co., Ltd. 46,730 430,833 * SK Securities Co., Ltd. 86,150 61,730 SK Telecom Co., Ltd. 915 189,455 # SK Telecom Co., Ltd. ADR 6,201 143,181 SKC Co., Ltd. 7,148 237,016 SL Corp. 4,230 72,951 #* SM Culture & Contents Co., Ltd. 16,971 70,969 * SM Entertainment Co. 2,423 114,777 Songwon Industrial Co., Ltd. 6,210 61,134 Soulbrain Co., Ltd. 1,669 66,651 * Ssangyong Cement Industrial Co., Ltd. 8,500 77,776 * Steel Flower Co., Ltd. 2,781 13,121 #* STS Semiconductor & Telecommunications 7,313 16,719 #* STX Corp. Co., Ltd. 10,486 12,787 #* STX Engine Co., Ltd. 9,310 31,625 Suheung Co., Ltd. 2,170 80,499 Sun Kwang Co., Ltd. 868 15,394 Sung Kwang Bend Co., Ltd. 3,513 82,388 * Sungchang Enterprise Holdings, Ltd. 1,980 39,196 * Sungshin Cement Co., Ltd. 5,300 58,625 Sungwoo Hitech Co., Ltd. 8,250 133,262 Sunjin Co., Ltd. 860 25,455 * Suprema, Inc. 2,939 72,925 * Synopex, Inc. 28,253 50,494 Taekwang Industrial Co., Ltd. 139 179,115 * Taewoong Co., Ltd. 3,162 76,434 * Taeyoung Engineering & Construction Co., Ltd. 11,590 72,522 #* Taihan Electric Wire Co., Ltd. 28,582 58,663 Tailim Packaging Industrial Co., Ltd. 15,780 30,536 #* TK Chemical Corp. 11,625 25,551 Tongyang Life Insurance 14,620 142,325 * Top Engineering Co., Ltd. 2,531 10,968 Toptec Co., Ltd. 2,868 37,165 * Toray Chemical Korea, Inc. 7,709 108,244 Tovis Co., Ltd. 2,828 22,449 TS Corp. 730 22,301 Ubiquoss, Inc. 4,502 36,226 * Ubivelox, Inc. 1,255 20,190 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ------------ SOUTH KOREA -- (Continued) Uju Electronics Co., Ltd. 1,329 $ 23,607 Unid Co., Ltd. 1,340 86,393 * Uniquest Corp. 1,110 15,013 #* Unison Co., Ltd. 4,587 9,114 Value Added Technologies Co., Ltd. 1,002 16,039 Vieworks Co., Ltd. 3,242 82,074 # Visang Education, Inc. 4,557 46,977 * Webzen, Inc. 5,851 38,831 #* WeMade Entertainment Co., Ltd. 1,116 48,653 #* WillBes & Co. (The) 17,650 19,693 * WiSoL Co., Ltd. 5,552 72,212 Woojeon & Handan Co., Ltd. 2,128 13,273 * Woongjin Energy Co., Ltd. 14,020 31,724 * Woongjin Thinkbig Co., Ltd. 6,512 50,825 Wooree ETI Co., Ltd. 7,385 20,198 * Woori Finance Holdings Co., Ltd. 90,900 997,173 #* Woori Finance Holdings Co., Ltd. ADR 3,612 119,214 Woori Investment & Securities Co., Ltd. 51,568 436,749 Y G-1 Co., Ltd. 5,966 66,565 YESCO Co., Ltd. 510 18,705 YG Entertainment, Inc. 1,020 61,111 Yoosung Enterprise Co., Ltd. 4,210 19,804 Youlchon Chemical Co., Ltd. 3,560 48,699 # Young Heung Iron & Steel Co., Ltd. 13,310 28,716 Young Poong Corp. 154 177,370 Young Poong Precision Corp. 2,175 20,470 Youngone Corp. 4,214 172,241 Youngone Holdings Co., Ltd. 1,427 101,721 ------------ TOTAL SOUTH KOREA 116,127,685 ------------ TAIWAN -- (13.8%) # A-DATA Technology Co., Ltd. 62,000 148,095 Ability Enterprise Co., Ltd. 116,892 73,761 AcBel Polytech, Inc. 87,685 115,217 Accton Technology Corp. 199,858 119,026 #* Acer, Inc. 820,270 507,252 ACES Electronic Co., Ltd. 27,000 31,206 ACHEM Technology Corp. 61,526 44,541 Acter Co., Ltd. 13,000 50,004 * Action Electronics Co., Ltd. 45,408 9,063 Actron Technology Corp. 13,000 55,029 # Adlink Technology, Inc. 23,805 43,903 Advanced Ceramic X Corp. 12,000 59,379 Advanced International Multitech Co., Ltd. 42,000 43,022 Advanced Semiconductor Engineering, Inc. 292,774 340,924 # Advanced Semiconductor Engineering, Inc. ADR 193,232 1,142,001 Advancetek Enterprise Co., Ltd. 29,580 32,325 Advantech Co., Ltd. 42,345 274,263 * AGV Products Corp. 232,914 73,432 # AimCore Technology Co., Ltd. 25,846 28,206 Airtac International Group 19,000 204,355 Alcor Micro Corp. 17,000 23,177 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ---------- TAIWAN -- (Continued) ALI Corp. 102,000 $ 106,030 Alpha Networks, Inc. 110,000 87,265 Altek Corp. 168,182 169,839 AMPOC Far-East Co., Ltd. 31,000 26,258 AmTRAN Technology Co., Ltd. 286,907 198,685 Anpec Electronics Corp. 47,000 38,327 Apacer Technology, Inc. 47,846 47,402 APCB, Inc. 39,000 26,737 Apex Biotechnology Corp. 24,477 52,897 # Apex International Co., Ltd. 41,000 53,959 Apex Medical Corp. 21,000 24,456 Apex Science & Engineering 22,000 13,565 Arcadyan Technology Corp. 4,445 6,978 Ardentec Corp. 123,220 104,724 * Arima Communications Corp. 106,087 62,609 Asia Cement Corp. 430,389 566,218 * Asia Optical Co., Inc. 96,000 95,818 # Asia Plastic Recycling Holding, Ltd. 22,800 48,362 Asia Polymer Corp. 147,200 114,141 Asia Vital Components Co., Ltd. 76,278 48,804 ASROCK, Inc. 8,000 30,487 Asustek Computer, Inc. 138,996 1,437,084 Aten International Co., Ltd. 23,000 72,458 * AU Optronics Corp. 1,237,000 470,266 * AU Optronics Corp. Sponsored ADR 123,555 464,567 Audix Corp. 23,000 22,213 Aurora Corp. 19,693 36,338 AV Tech Corp. 10,000 27,030 Avermedia Technologies 55,690 22,969 * Avision, Inc. 64,693 21,921 AVY Precision Technology, Inc. 10,000 15,149 Awea Mechantronic Co., Ltd. 12,600 22,970 Bank of Kaohsiung 131,704 41,499 * BenQ Materials Corp. 49,000 60,171 # BES Engineering Corp. 502,000 131,868 Bin Chuan Enterprise Co., Ltd. 15,641 11,272 Biostar Microtech International Corp. 73,000 29,766 Bizlink Holding, Inc. 2,000 10,538 Boardtek Electronics Corp. 44,000 49,517 * Bright Led Electronics Corp. 23,100 12,056 C Sun Manufacturing, Ltd. 29,000 27,681 Capella Microsystems Taiwan, Inc. 19,773 75,588 Capital Securities Corp. 590,731 202,617 Career Technology MFG. Co., Ltd. 92,000 129,895 Carnival Industrial Corp. 65,000 17,376 # Catcher Technology Co., Ltd. 117,509 992,196 Cathay Financial Holding Co., Ltd. 1,186,834 1,678,165 Cathay Real Estate Development Co., Ltd. 316,000 183,368 ChainQui Construction Development Co., Ltd. 22,000 18,459 * Champion Building Materials Co., Ltd. 99,000 35,116 Chang Hwa Commercial Bank 1,205,410 700,802 Chang Wah Electromaterials, Inc. 11,249 29,529 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ---------- TAIWAN -- (Continued) Charoen Pokphand Enterprise 72,000 $ 63,651 Chaun-Choung Technology Corp. 18,000 47,880 # CHC Resources Corp. 12,618 29,385 Chen Full International Co., Ltd. 7,000 7,130 Chenbro Micom Co., Ltd. 10,000 15,369 Cheng Loong Corp. 337,480 146,537 Cheng Shin Rubber Industry Co., Ltd. 225,808 648,563 Cheng Uei Precision Industry Co., Ltd. 116,159 233,808 #* Chenming Mold Industry Corp. 41,000 50,871 Chia Chang Co., Ltd. 39,000 46,283 Chicony Electronics Co., Ltd. 95,222 247,971 Chien Kuo Construction Co., Ltd. 138,675 62,778 Chilisin Electronics Corp. 30,360 23,330 Chime Ball Technology Co., Ltd. 9,000 26,721 Chimei Materials Technology Corp. 51,000 59,399 Chin-Poon Industrial Co., Ltd. 134,113 251,731 * China Airlines, Ltd. 930,062 311,279 China Development Financial Holding Corp. 3,382,087 970,013 China Ecotek Corp. 10,000 25,163 China Electric Manufacturing Corp. 103,000 43,379 China General Plastics Corp. 164,300 83,074 China Glaze Co., Ltd. 25,000 12,770 China Life Insurance Co., Ltd. 700,746 613,907 # China Metal Products 101,167 116,693 China Petrochemical Development Corp. 679,092 267,759 China Steel Chemical Corp. 26,227 151,325 # China Steel Corp. 1,790,942 1,504,948 China Steel Structure Co., Ltd. 36,000 39,705 China Synthetic Rubber Corp. 186,735 178,748 * China Wire & Cable Co., Ltd. 27,000 10,650 Chinese Maritime Transport, Ltd. 33,000 38,891 Chipbond Technology Corp. 159,000 272,327 # Chong Hong Construction Co. 35,888 99,134 # Chroma ATE, Inc. 69,466 179,186 * Chun YU Works & Co., Ltd. 60,000 25,304 Chun Yuan Steel 114,999 48,214 Chung Hsin Electric & Machinery Manufacturing Corp. 141,000 94,942 * Chung Hung Steel Corp. 244,889 63,204 * Chung Hwa Pulp Corp. 228,680 68,366 Chunghwa Telecom Co., Ltd. 75,800 237,030 # Chunghwa Telecom Co., Ltd. ADR 34,215 1,074,009 #* Chyang Sheng Dyeing & Finishing Co., Ltd. 53,000 25,660 Cleanaway Co., Ltd. 9,000 50,900 Clevo Co. 107,869 198,841 #* CMC Magnetics Corp. 970,000 149,583 CoAsia Microelectronics Corp. 63,000 31,387 Collins Co., Ltd. 47,770 17,807 Compal Electronics, Inc. 1,291,086 921,101 Compeq Manufacturing Co., Ltd. 378,000 247,870 * Concord Securities Corp. 74,000 19,106 Continental Holdings Corp. 125,000 47,439 Coretronic Corp. 212,000 253,173 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ---------- TAIWAN -- (Continued) * Cosmo Electronics Corp. 11,000 $ 13,662 * Cosmos Bank Taiwan 102,460 50,545 Coxon Precise Industrial Co., Ltd. 35,000 59,253 #* Crystalwise Technology, Inc. 59,115 59,436 CSBC Corp. Taiwan 168,440 102,251 # CTBC Financial Holding Co., Ltd. 2,599,268 1,546,485 CTCI Corp. 119,555 190,931 CviLux Corp. 39,329 54,156 Cyberlink Corp. 23,356 71,763 CyberPower Systems, Inc. 9,000 22,528 # CyberTAN Technology, Inc. 89,576 87,374 # D-Link Corp. 257,329 168,610 DA CIN Construction Co., Ltd. 41,000 38,169 * Da-Li Construction Co., Ltd. 20,544 22,890 Dafeng TV, Ltd. 9,130 15,651 Darfon Electronics Corp. 75,000 52,190 Daxin Materials Corp. 9,000 16,108 Delpha Construction Co., Ltd. 60,639 33,810 Delta Electronics, Inc. 177,521 1,089,921 Depo Auto Parts Ind Co., Ltd. 30,000 120,843 DFI, Inc. 46,460 57,931 Dimerco Express Corp. 34,000 20,516 # DYNACOLOR, Inc. 16,000 41,669 * Dynamic Electronics Co., Ltd. 146,006 54,819 Dynapack International Technology Corp. 38,000 99,144 #* E Ink Holdings, Inc. 320,000 213,273 E-Lead Electronic Co., Ltd. 7,000 16,756 # E-LIFE MALL Corp. 30,000 63,406 #* E-Ton Solar Tech Co., Ltd. 84,032 51,975 E.Sun Financial Holding Co., Ltd.() 119,887 12,903 E.Sun Financial Holding Co., Ltd.(6433912) 1,316,105 796,059 * Eastern Media International Corp. 129,406 56,342 Eclat Textile Co., Ltd. 26,439 289,881 Edimax Technology Co., Ltd. 49,044 23,690 Edison Opto Corp. 22,000 26,202 eGalax_eMPIA Technology, Inc. 27,125 76,880 Elan Microelectronics Corp. 94,370 174,782 Elite Advanced Laser Corp. 22,000 82,602 Elite Material Co., Ltd. 73,909 66,098 Elite Semiconductor Memory Technology, Inc. 76,000 138,593 Elitegroup Computer Systems Co., Ltd. 181,525 134,533 eMemory Technology, Inc. 23,000 162,436 ENG Electric Co., Ltd. 53,000 43,183 EnTie Commercial Bank 189,500 84,135 * Episil Technologies, Inc. 116,000 45,242 Epistar Corp. 270,433 591,803 # Eternal Chemical Co., Ltd. 210,721 220,023 * Etron Technology, Inc. 183,000 99,280 * Eva Airways Corp. 467,533 237,161 * Everest Textile Co., Ltd. 63,000 23,321 Evergreen International Storage & Transport Corp. 184,000 112,926 * Evergreen Marine Corp. Taiwan, Ltd. 527,799 300,068 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ---------- TAIWAN -- (Continued) # Everlight Electronics Co., Ltd. 106,149 $ 248,748 #* Everspring Industry Co., Ltd. 95,000 135,719 Excelsior Medical Co., Ltd. 44,800 83,653 Far Eastern Department Stores, Ltd. 269,971 251,493 Far Eastern International Bank 475,287 166,932 Far Eastern New Century Corp. 633,700 649,323 Far EasTone Telecommunications Co., Ltd. 263,000 568,655 Faraday Technology Corp. 115,738 157,760 * Farglory F T Z Investment Holding Co., Ltd. 24,000 18,663 Farglory Land Development Co., Ltd. 87,442 143,417 # Federal Corp. 175,800 125,602 Feedback Technology Corp. 7,000 12,776 Feng Hsin Iron & Steel Co. 110,550 185,355 Feng TAY Enterprise Co., Ltd. 65,559 181,535 * First Copper Technology Co., Ltd. 36,000 12,596 First Financial Holding Co., Ltd. 1,752,782 1,028,201 First Hotel 62,684 39,774 # First Insurance Co., Ltd. 93,606 58,360 First Steamship Co., Ltd. 109,595 63,965 # FLEXium Interconnect, Inc. 56,283 153,214 Flytech Technology Co., Ltd. 35,838 137,878 Forhouse Corp. 140,000 56,921 Formosa Advanced Technologies Co., Ltd. 28,000 21,552 Formosa Chemicals & Fibre Corp. 463,378 1,122,104 * Formosa Epitaxy, Inc. 146,000 83,861 Formosa International Hotels Corp. 7,814 91,897 Formosa Optical Technology Co., Ltd. 7,000 23,903 # Formosa Petrochemical Corp. 113,000 284,216 Formosa Plastics Corp. 436,134 1,125,392 Formosan Rubber Group, Inc. 182,000 170,443 Formosan Union Chemical 95,266 46,401 Founding Construction & Development Co., Ltd. 61,149 38,117 # Foxconn Technology Co., Ltd. 203,132 505,438 Foxlink Image Technology Co., Ltd. 63,000 46,638 * Froch Enterprise Co., Ltd. 54,000 19,000 FSP Technology, Inc. 57,349 61,608 Fubon Financial Holding Co., Ltd. 879,896 1,138,833 Fullerton Technology Co., Ltd. 15,000 13,527 * Fulltech Fiber Glass Corp. 61,544 25,319 Fwusow Industry Co., Ltd. 30,887 15,559 G Shank Enterprise Co., Ltd. 46,000 34,652 # G Tech Optoelectronics Corp. 69,000 78,968 * Gamania Digital Entertainment Co., Ltd. 43,000 51,343 # Gemtek Technology Corp. 107,574 97,237 #* Genesis Photonics, Inc. 125,616 85,001 # Genius Electronic Optical Co., Ltd. 23,071 79,304 GeoVision, Inc. 8,720 47,503 Getac Technology Corp. 197,000 105,012 Giant Manufacturing Co., Ltd. 43,287 338,931 #* Giantplus Technology Co., Ltd. 57,000 24,370 Giga Solar Materials Corp. 6,900 159,860 Giga Solution Tech Co., Ltd. 26,000 15,001 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ---------- TAIWAN -- (Continued) * Gigastorage Corp. 75,213 $ 91,392 #* Gintech Energy Corp. 126,703 130,410 * Global Brands Manufacture, Ltd. 101,666 34,205 Global Lighting Technologies, Inc. 14,000 16,677 Global Mixed Mode Technology, Inc. 29,000 91,373 Global Unichip Corp. 19,000 52,927 * Globe Union Industrial Corp. 53,552 35,401 Gloria Material Technology Corp. 166,950 135,426 * Gold Circuit Electronics, Ltd. 182,263 50,032 Goldsun Development & Construction Co., Ltd. 490,730 173,259 Good Will Instrument Co., Ltd. 5,788 3,837 Gourmet Master Co., Ltd. 12,000 97,276 Grand Pacific Petrochemical 346,000 220,303 Grape King Bio, Ltd. 26,000 116,584 Great China Metal Industry 52,000 67,586 Great Taipei Gas Co., Ltd. 78,000 61,155 Great Wall Enterprise Co., Ltd. 122,834 127,262 #* Green Energy Technology, Inc. 90,537 75,316 * GTM Corp. 39,000 24,950 Gudeng Precision Industrial Co., Ltd. 4,000 7,203 Hannstar Board Corp. 72,681 26,296 * HannStar Display Corp. 914,500 317,213 * HannsTouch Solution, Inc. 245,061 67,188 * Harvatek Corp. 44,230 26,414 Highwealth Construction Corp. 86,370 192,839 Hiroca Holdings, Ltd. 11,000 40,804 * HiTi Digital, Inc. 8,956 5,744 Hitron Technology, Inc. 78,000 48,429 Hiwin Technologies Corp. 31,079 296,013 Ho Tung Chemical Corp. 313,327 139,816 * Hocheng Corp. 38,300 12,901 Holiday Entertainment Co., Ltd. 25,000 31,738 Holtek Semiconductor, Inc. 41,000 73,826 # Holy Stone Enterprise Co., Ltd. 73,500 99,200 Hon Hai Precision Industry Co., Ltd. 1,536,856 4,413,790 Hon Hai Precision Industry Co., Ltd. GDR 135,351 777,688 Hong TAI Electric Industrial 51,000 17,581 Horizon Securities Co., Ltd. 138,000 40,767 # Hota Industrial Manufacturing Co., Ltd. 74,690 119,807 Hotai Motor Co., Ltd. 26,000 305,076 * Howarm Construction Co., Ltd. 56,000 48,944 Hsin Kuang Steel Co., Ltd. 92,788 59,026 Hsin Yung Chien Co., Ltd. 9,000 27,776 # HTC Corp. 143,660 738,792 Hu Lane Associate, Inc. 17,151 56,976 HUA ENG Wire & Cable 157,000 60,872 Hua Nan Financial Holdings Co., Ltd. 1,247,619 702,868 # Huaku Development Co., Ltd. 64,465 157,973 Huang Hsiang Construction Co. 25,000 38,036 Hung Poo Real Estate Development Corp. 92,609 82,909 Hung Sheng Construction, Ltd. 153,000 99,178 Huxen Corp. 10,000 16,480 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- -------- TAIWAN -- (Continued) * Hwa Fong Rubber Co., Ltd. 80,540 $ 55,968 I-Chiun Precision Industry Co., Ltd. 53,000 38,291 I-Sheng Electric Wire & Cable Co., Ltd. 30,000 45,034 Ibase Technology, Inc. 22,140 42,997 Ichia Technologies, Inc. 85,897 105,491 IEI Integration Corp. 70,140 100,862 # ILI Technology Corp. 15,748 30,966 Infortrend Technology, Inc. 56,798 35,650 * Innolux Corp. 1,910,882 660,115 #* Inotera Memories, Inc. 481,000 494,076 Integrated Memory Logic, Ltd. 20,895 57,235 International Games System Co., Ltd. 31,000 88,463 Inventec Corp. 668,181 616,120 ITE Technology, Inc. 44,202 48,596 ITEQ Corp. 72,299 83,475 #* J Touch Corp. 48,000 36,646 * Janfusun Fancyworld Corp. 71,590 12,396 Jentech Precision Industrial Co., Ltd. 18,000 60,579 Jess-Link Products Co., Ltd. 50,500 47,687 Jih Sun Financial Holdings Co., Ltd. 225,181 60,866 Johnson Health Tech Co., Ltd. 17,170 41,802 K Laser Technology, Inc. 55,000 29,471 Kang Na Hsiung Enterprise Co., Ltd. 59,000 28,355 Kao Hsing Chang Iron & Steel 91,000 39,270 # Kaori Heat Treatment Co., Ltd. 20,765 49,601 Kaulin Manufacturing Co., Ltd. 39,000 34,340 KD Holding Corp. 6,000 34,967 KEE TAI Properties Co., Ltd. 134,226 91,437 Kenda Rubber Industrial Co., Ltd. 104,762 243,659 * Kenmec Mechanical Engineering Co., Ltd. 61,000 28,182 Kerry TJ Logistics Co., Ltd. 82,000 98,586 King Slide Works Co., Ltd. 12,050 157,142 King Yuan Electronics Co., Ltd. 423,529 323,424 King's Town Bank 265,000 246,068 #* King's Town Construction Co., Ltd. 61,126 51,037 # Kingdom Construction Co. 106,000 109,584 Kinik Co. 31,000 85,424 Kinko Optical Co., Ltd. 37,000 34,086 Kinpo Electronics 387,028 144,400 Kinsus Interconnect Technology Corp. 57,009 215,554 KMC Kuei Meng International, Inc. 5,000 21,911 KS Terminals, Inc. 23,760 39,649 Kung Long Batteries Industrial Co., Ltd. 14,000 45,931 Kung Sing Engineering Corp. 108,000 49,023 # Kuo Toong International Co., Ltd. 63,000 107,051 Kuoyang Construction Co., Ltd. 94,450 48,035 # Kwong Fong Industries 79,840 52,104 KYE Systems Corp. 81,000 34,966 LAN FA Textile 78,277 24,211 Largan Precision Co., Ltd. 11,306 707,855 LCY Chemical Corp. 157,799 162,419 # Leader Electronics, Inc. 30,602 14,113 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ---------- TAIWAN -- (Continued) Leadtrend Technology Corp. 4,159 $ 6,237 Lealea Enterprise Co., Ltd. 230,438 80,961 LEE CHI Enterprises Co., Ltd. 40,000 22,445 * Leofoo Development Co. 135,000 51,024 # LES Enphants Co., Ltd. 53,901 36,361 # Lextar Electronics Corp. 72,000 70,484 * Li Peng Enterprise Co., Ltd. 134,162 62,765 Lian HWA Food Corp. 11,880 15,379 Lien Hwa Industrial Corp. 177,728 112,455 Lingsen Precision Industries, Ltd. 185,000 122,080 Lite-On Semiconductor Corp. 87,000 63,904 Lite-On Technology Corp. 454,687 695,567 Long Bon International Co., Ltd. 87,000 54,107 Long Chen Paper Co., Ltd. 137,344 60,087 Longwell Co. 40,000 52,985 Lotes Co., Ltd. 15,631 50,830 Lumax International Corp., Ltd. 26,325 62,351 Lung Yen Life Service Corp. 19,000 51,752 Macroblock, Inc. 5,000 13,123 * Macronix International 1,436,048 338,687 # MacroWell OMG Digital Entertainment Co., Ltd. 12,000 33,692 Makalot Industrial Co., Ltd. 29,000 152,498 Marketech International Corp. 23,000 16,698 Masterlink Securities Corp. 341,000 111,387 Mayer Steel Pipe Corp. 37,259 16,901 MediaTek, Inc. 118,360 1,854,699 Mega Financial Holding Co., Ltd. 2,212,213 1,693,629 Mercuries & Associates, Ltd. 80,460 53,306 Merida Industry Co., Ltd. 32,300 216,552 # Merry Electronics Co., Ltd. 36,101 196,288 Micro-Star International Co., Ltd. 264,233 289,580 #* Microbio Co., Ltd. 107,572 109,903 #* Microelectronics Technology, Inc. 75,119 40,033 Microlife Corp. 12,600 34,205 # MIN AIK Technology Co., Ltd. 36,000 195,103 Mirle Automation Corp. 41,046 37,315 * Mitac Holdings Corp. 191,483 154,933 * Mosel Vitelic, Inc. 89,806 17,879 #* Motech Industries, Inc. 115,000 194,898 MPI Corp. 15,000 36,891 Nak Sealing Technologies Corp. 16,000 72,693 Namchow Chemical Industrial Co., Ltd. 42,000 80,986 * Nan Kang Rubber Tire Co., Ltd. 125,139 142,265 * Nan Ren Lake Leisure Amusement Co., Ltd. 41,000 16,529 Nan Ya Plastics Corp. 692,674 1,518,931 #* Nan Ya Printed Circuit Board Corp. 107,072 151,190 Nantex Industry Co., Ltd. 87,360 54,846 * Nanya Technology Corp. 28,000 4,594 National Petroleum Co., Ltd. 49,000 43,815 #* Neo Solar Power Corp. 200,316 237,870 Netronix, Inc. 29,000 75,703 New Asia Construction & Development Corp. 43,880 11,381 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- -------- TAIWAN -- (Continued) New Era Electronics Co., Ltd. 20,000 $ 24,725 #* Newmax Technology Co., Ltd. 17,077 37,838 Nichidenbo Corp. 24,640 24,546 Nien Hsing Textile Co., Ltd. 71,476 70,529 Nishoku Technology, Inc. 9,000 13,296 Novatek Microelectronics Corp. 117,000 542,346 Nuvoton Technology Corp. 26,000 27,138 #* Ocean Plastics Co., Ltd. 51,000 68,437 OptoTech Corp. 200,000 96,578 * Orient Semiconductor Electronics, Ltd. 68,000 19,205 # Oriental Union Chemical Corp. 213,821 212,616 Orise Technology Co., Ltd. 29,000 52,356 Pacific Construction Co. 17,000 5,032 Pacific Hospital Supply Co., Ltd. 4,000 10,340 * Pan Jit International, Inc. 107,000 48,672 Pan-International Industrial Corp. 124,890 92,076 Parade Technologies, Ltd. 8,400 71,850 Paragon Technologies Co., Ltd. 10,762 29,404 PChome Online, Inc. 9,000 61,876 Pegatron Corp. 537,037 814,954 Phihong Technology Co., Ltd. 62,584 41,938 Phison Electronics Corp. 37,000 251,967 Phoenix Tours International, Inc. 14,000 23,203 #* Pihsiang Machinery Manufacturing Co., Ltd. 27,000 27,348 Pixart Imaging, Inc. 44,030 86,285 Polytronics Technology Corp. 21,000 50,107 Portwell, Inc. 16,000 17,228 Posiflex Technologies, Inc. 4,140 21,549 Pou Chen Corp. 592,144 753,969 * Power Quotient International Co., Ltd. 66,800 30,991 * Powercom Co., Ltd. 13,660 2,127 Powertech Industrial Co., Ltd. 16,000 11,459 Powertech Technology, Inc. 228,400 369,649 Poya Co., Ltd. 12,120 75,634 President Chain Store Corp. 64,000 476,231 President Securities Corp. 212,932 116,813 Prime Electronics Satellitics, Inc. 57,750 41,334 # Prince Housing & Development Corp. 319,036 147,677 Promate Electronic Co., Ltd. 30,000 35,195 Promise Technology, Inc. 31,000 41,030 * Qisda Corp. 660,439 214,670 # Qualipoly Chemical Corp. 23,000 19,066 Quanta Computer, Inc. 335,715 921,128 * Quintain Steel Co., Ltd. 74,998 16,579 Radiant Opto-Electronics Corp. 91,144 367,473 Radium Life Tech Co., Ltd. 192,846 151,143 Realtek Semiconductor Corp. 122,268 349,082 Rechi Precision Co., Ltd. 95,314 102,454 Rich Development Co., Ltd. 224,254 105,529 Richtek Technology Corp. 35,537 204,191 #* Ritek Corp. 1,077,117 168,759 Rotam Global Agrosciences, Ltd. 8,000 14,332 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- -------- TAIWAN -- (Continued) Ruentex Development Co., Ltd. 141,862 $251,405 Ruentex Engineering & Construction Co. 11,000 25,506 Ruentex Industries, Ltd. 104,235 247,894 # Run Long Construction Co., Ltd. 25,000 23,942 Sampo Corp. 225,000 86,528 San Fang Chemical Industry Co., Ltd. 46,523 45,525 San Shing Fastech Corp. 11,660 34,092 # Sanyang Industry Co., Ltd. 191,684 175,530 SDI Corp. 28,000 41,502 Senao International Co., Ltd. 20,000 52,681 Sercomm Corp. 49,000 98,812 Sesoda Corp. 37,800 39,414 Sheng Yu Steel Co., Ltd. 49,000 36,702 ShenMao Technology, Inc. 22,435 30,009 Shih Her Technologies, Inc. 11,000 26,241 Shih Wei Navigation Co., Ltd. 58,363 39,281 Shihlin Electric & Engineering Corp. 86,000 103,963 * Shihlin Paper Corp. 22,000 31,167 # Shin Kong Financial Holding Co., Ltd. 2,111,804 639,637 Shin Zu Shing Co., Ltd. 42,149 114,419 * Shining Building Business Co., Ltd. 106,766 85,337 Shinkong Insurance Co., Ltd. 56,000 43,538 # Shinkong Synthetic Fibers Corp. 500,191 161,043 Shinkong Textile Co., Ltd. 45,800 57,747 Shiny Chemical Industrial Co., Ltd. 9,000 15,839 Shuttle, Inc. 77,000 30,153 Sigurd Microelectronics Corp. 157,559 156,873 Silicon Power Computer & Communications, Inc. 23,000 31,393 Siliconware Precision Industries Co. 167,000 247,455 Siliconware Precision Industries Co. Sponsored ADR 89,969 667,570 Silitech Technology Corp. 56,004 75,910 Simplo Technology Co., Ltd. 64,000 333,412 Sinbon Electronics Co., Ltd. 78,000 116,303 Sincere Navigation Corp. 101,350 88,264 Singatron Enterprise Co., Ltd. 36,000 18,874 Sinmag Equipment Corp. 7,200 40,112 * Sino-American Silicon Products, Inc. 187,000 313,773 # Sinon Corp. 181,000 105,808 SinoPac Financial Holdings Co., Ltd. 1,687,813 753,406 Sinyi Realty Co. 43,328 77,258 Sirtec International Co., Ltd. 35,000 63,675 Sitronix Technology Corp. 24,434 48,509 Solar Applied Materials Technology Co. 113,000 100,461 * Solytech Enterprise Corp. 32,000 10,817 Sonix Technology Co., Ltd. 50,000 94,044 Southeast Cement Co., Ltd. 137,000 72,687 Sporton International, Inc. 17,170 75,583 St Shine Optical Co., Ltd. 10,000 212,312 Standard Foods Corp. 51,627 142,037 Stark Technology, Inc. 39,000 37,542 Sunonwealth Electric Machine Industry Co., Ltd. 30,000 23,179 Sunrex Technology Corp. 57,028 25,457 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ---------- TAIWAN -- (Continued) Sunspring Metal Corp. 26,000 $ 52,666 Super Dragon Technology Co., Ltd. 8,000 5,464 # Supreme Electronics Co., Ltd. 49,393 27,092 Swancor Ind Co., Ltd. 9,000 33,896 Sweeten Construction Co., Ltd. 29,580 19,275 Syncmold Enterprise Corp. 37,000 64,365 Synnex Technology International Corp. 354,874 552,275 Sysage Technology Co., Ltd. 15,750 18,984 TA Chen Stainless Pipe 220,342 122,710 * Ta Chong Bank, Ltd. 513,973 171,261 Ta Ya Electric Wire & Cable 152,174 37,124 TA-I Technology Co., Ltd. 57,282 31,608 Tah Hsin Industrial Co., Ltd. 50,000 47,574 # Tai Tung Communication Co., Ltd. 29,049 49,398 Taichung Commercial Bank 599,168 199,619 TaiDoc Technology Corp. 14,000 41,448 Taiflex Scientific Co., Ltd. 62,000 120,519 Taimide Tech, Inc. 11,000 11,410 Tainan Enterprises Co., Ltd. 67,000 70,920 Tainan Spinning Co., Ltd. 388,695 261,516 Taishin Financial Holding Co., Ltd. 2,372,334 1,077,512 * Taisun Enterprise Co., Ltd. 91,670 38,863 * Taita Chemical Co., Ltd. 63,000 21,201 Taiwan Acceptance Corp. 16,000 40,569 * Taiwan Business Bank 1,000,081 291,803 Taiwan Cement Corp. 724,375 1,150,986 # Taiwan Chinsan Electronic Industrial Co., Ltd. 33,000 63,523 Taiwan Cogeneration Corp. 91,077 60,481 Taiwan Cooperative Financial Holding Co., Ltd. 1,282,661 682,334 Taiwan Fertilizer Co., Ltd. 207,000 411,925 Taiwan Fire & Marine Insurance Co. 53,520 41,614 Taiwan FU Hsing Industrial Co., Ltd. 30,000 30,907 # Taiwan Glass Industry Corp. 242,532 222,036 Taiwan Hon Chuan Enterprise Co., Ltd. 74,054 152,760 Taiwan Hopax Chemicals Manufacturing Co., Ltd. 30,000 24,316 Taiwan Kolin Co., Ltd. 292,000 -- * Taiwan Land Development Corp. 241,738 88,947 * Taiwan Life Insurance Co., Ltd. 96,907 74,561 Taiwan Line Tek Electronic 24,000 22,778 Taiwan Mobile Co., Ltd. 150,800 486,762 Taiwan Navigation Co., Ltd. 40,000 29,430 Taiwan Paiho, Ltd. 56,068 73,709 Taiwan PCB Techvest Co., Ltd. 59,733 85,021 Taiwan Prosperity Chemical Corp. 62,000 60,674 * Taiwan Pulp & Paper Corp. 139,000 52,281 # Taiwan Sakura Corp. 92,000 66,044 Taiwan Sanyo Electric Co., Ltd. 23,800 27,125 Taiwan Secom Co., Ltd. 53,000 134,365 Taiwan Semiconductor Co., Ltd. 60,000 66,220 Taiwan Semiconductor Manufacturing Co., Ltd. 2,131,214 8,374,297 Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored ADR 100,755 2,025,175 * Taiwan Styrene Monomer 116,538 65,565 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ---------- TAIWAN -- (Continued) Taiwan Surface Mounting Technology Co., Ltd. 78,750 $ 117,769 #* Taiwan TEA Corp. 190,648 118,247 Taiwan Union Technology Corp. 50,000 48,863 Taiyen Biotech Co., Ltd. 41,712 35,515 * Tatung Co., Ltd. 817,688 259,126 Te Chang Construction Co., Ltd. 21,960 22,134 Teco Electric and Machinery Co., Ltd. 567,000 616,589 * Tekcore Co., Ltd. 12,000 5,659 Test Research, Inc. 35,571 59,710 Test-Rite International Co., Ltd. 93,568 67,190 Thinking Electronic Industrial Co., Ltd. 18,000 29,868 Thye Ming Industrial Co., Ltd. 46,125 53,158 # Ton Yi Industrial Corp. 207,300 220,873 Tong Hsing Electronic Industries, Ltd. 34,009 182,848 Tong Yang Industry Co., Ltd. 138,640 198,981 Tong-Tai Machine & Tool Co., Ltd. 77,279 78,271 Topco Scientific Co., Ltd. 58,240 108,786 Topco Technologies Corp. 8,000 20,452 Topoint Technology Co., Ltd. 56,540 40,603 # Toung Loong Textile Manufacturing 22,000 62,978 Transasia Airways Corp. 27,000 10,507 Transcend Information, Inc. 33,890 111,946 Tripod Technology Corp. 103,170 203,353 Tsann Kuen Enterprise Co., Ltd. 32,000 45,237 TSRC Corp. 128,050 188,034 # Ttet Union Corp. 32,000 80,477 # Tung Ho Steel Enterprise Corp. 283,654 242,110 Tung Thih Electronic Co., Ltd. 23,073 94,373 TURVO International Co., Ltd. 13,200 60,299 TXC Corp. 110,204 159,230 * TYC Brother Industrial Co., Ltd. 13,091 8,309 * Tycoons Group Enterprise 118,000 20,919 * Tyntek Corp. 79,624 26,873 U-Ming Marine Transport Corp. 93,001 156,611 # Ubright Optronics Corp. 14,300 33,994 Uni-President Enterprises Corp. 530,748 898,555 Unimicron Technology Corp. 449,312 382,441 * Union Bank Of Taiwan 298,692 106,408 * Unitech Printed Circuit Board Corp. 188,979 73,718 United Integrated Services Co., Ltd. 64,000 69,948 United Microelectronics Corp. 2,621,081 1,142,831 # United Microelectronics Corp. Sponsored ADR 146,700 319,806 # Unity Opto Technology Co., Ltd. 83,593 103,353 # Universal Cement Corp. 128,000 122,627 * Unizyx Holding Corp. 120,118 66,685 # UPC Technology Corp. 229,458 101,944 USI Corp. 240,372 152,139 Vanguard International Semiconductor Corp. 166,000 227,485 Ve Wong Corp. 34,000 26,014 * Via Technologies, Inc. 15,998 11,518 Visual Photonics Epitaxy Co., Ltd. 75,677 80,577 Vivotek, Inc. 5,175 24,921 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ------------ TAIWAN -- (Continued) #* Wafer Works Corp. 66,000 $ 33,767 Wah Hong Industrial Corp. 19,694 20,025 Wah Lee Industrial Corp. 64,000 122,508 * Walsin Lihwa Corp. 1,260,000 413,910 * Walsin Technology Corp. 152,699 45,616 * Walton Advanced Engineering, Inc. 76,000 31,547 Wan Hai Lines, Ltd. 291,247 145,333 WAN HWA Enterprise Co. 10,400 5,070 Ways Technical Corp., Ltd. 16,000 25,134 Wei Chuan Foods Corp. 101,000 150,278 * Wei Mon Industry Co., Ltd. 118,763 37,618 Weikeng Industrial Co., Ltd. 51,750 40,738 Well Shin Technology Co., Ltd. 29,160 53,386 # Win Semiconductors Corp. 168,000 150,196 * Winbond Electronics Corp. 1,092,000 329,075 #* Wintek Corp. 684,871 229,538 # Wisdom Marine Lines Co., Ltd. 52,500 63,140 Wistron Corp. 680,736 568,826 Wistron NeWeb Corp. 69,511 162,416 WPG Holdings, Ltd. 378,847 466,068 WT Microelectronics Co., Ltd. 102,111 139,428 WUS Printed Circuit Co., Ltd. 75,000 39,863 X-Legend Entertainment Co., Ltd. 1,500 8,139 XAC Automation Corp. 29,000 42,831 # Xxentria Technology Materials Corp. 32,000 90,609 Yageo Corp. 491,400 233,988 YC Co., Ltd. 103,996 75,634 YC INOX Co., Ltd. 104,000 96,576 # YeaShin International Development Co., Ltd. 73,426 51,670 YFY, Inc. 433,891 191,292 * Yieh Phui Enterprise Co., Ltd. 333,881 103,221 Young Fast Optoelectronics Co., Ltd. 50,298 48,952 Young Optics, Inc. 27,000 53,596 Youngtek Electronics Corp. 32,371 68,725 Yuanta Financial Holding Co., Ltd. 2,067,735 1,032,181 Yulon Motor Co., Ltd. 283,783 441,600 Yung Chi Paint & Varnish Manufacturing Co., Ltd. 25,362 67,256 Yungtay Engineering Co., Ltd. 86,000 253,731 Zeng Hsing Industrial Co., Ltd. 14,837 83,693 Zenitron Corp. 40,000 23,656 Zhen Ding Technology Holding, Ltd. 56,000 162,625 * Zig Sheng Industrial Co., Ltd. 113,231 34,553 Zinwell Corp. 78,010 80,235 # Zippy Technology Corp. 16,000 29,268 ZongTai Real Estate Development Co., Ltd. 11,000 9,652 ------------ TOTAL TAIWAN 114,565,207 ------------ THAILAND -- (3.0%) AAPICO Hitech PCL 84,120 38,213 Advanced Info Service PCL 99,900 747,089 Airports of Thailand PCL 81,000 488,103 * AJ Plast PCL 60,300 18,541 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ---------- -------- THAILAND -- (Continued) Amata Corp. PCL 240,000 $116,440 AP Thailand PCL 389,220 68,558 * Asia Green Energy PCL 87,200 6,629 Asia Plus Securities PCL 288,300 31,182 Asian Insulators PCL 61,700 23,452 Bangchak Petroleum PCL (The) 254,500 251,669 Bangkok Aviation Fuel Services PCL 54,500 53,052 Bangkok Bank PCL(6077019) 68,600 400,661 Bangkok Bank PCL(6368360) 88,700 516,686 Bangkok Expressway PCL 131,800 139,498 Bangkok Insurance PCL 2,380 25,374 Bangkok Land PCL 4,176,500 210,374 Bangkok Life Assurance PCL 99,900 218,415 * Bangkok Metro PCL 2,892,438 80,445 Banpu PCL(BJFHBT4) 337,000 312,423 Banpu PCL(6368348) 21,000 19,468 BEC World PCL 130,200 220,286 Berli Jucker PCL 62,400 92,077 Big C Supercenter PCL(6368434) 39,300 230,748 Big C Supercenter PCL(6763932) 22,000 129,172 Cal-Comp Electronics Thailand PCL 563,056 44,891 Central Pattana PCL 263,900 369,020 Central Plaza Hotel PCL 191,600 183,548 CH Karnchang PCL 238,900 136,578 Charoen Pokphand Foods PCL 661,593 552,009 Charoong Thai Wire & Cable PCL 92,500 26,441 CP ALL PCL 363,100 471,267 CS Loxinfo PCL 30,600 9,740 Delta Electronics Thailand PCL 137,200 241,669 Demco PCL 84,400 23,734 Dhipaya Insurance PCL 38,400 48,059 Diamond Building Products PCL 58,500 10,937 DSG International Thailand PCL 67,000 23,603 Dynasty Ceramic PCL 42,100 68,302 Eastern Water Resources Development and Management PCL 173,400 58,943 Erawan Group PCL (The) 550,400 64,973 * Esso Thailand PCL 532,100 102,770 * G J Steel PCL 11,407,500 21,151 GFPT PCL 167,700 73,071 Glow Energy PCL 150,100 360,639 * GMM Grammy PCL 78,480 39,774 * Golden Land Property Development PCL 98,200 21,697 Grand Canal Land PCL 605,900 65,159 Gunkul Engineering PCL 49,466 20,636 Hana Microelectronics PCL 126,201 125,772 Hemaraj Land and Development PCL 1,118,000 122,994 Home Product Center PCL 585,196 161,851 ICC International PCL 27,800 33,934 Indorama Ventures PCL 432,900 318,387 IRPC PCL 2,756,200 313,437 * Italian-Thai Development PCL 483,366 54,969 Jasmine International PCL 643,800 165,128 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ---------- THAILAND -- (Continued) Jay Mart PCL 52,750 $ 24,614 Kasikornbank PCL(6364766) 114,600 678,180 Kasikornbank PCL(6888794) 123,800 751,752 KCE Electronics PCL 98,000 105,995 KGI Securities Thailand PCL 370,400 33,194 Khon Kaen Sugar Industry PCL 230,700 99,808 Kiatnakin Bank PCL 139,100 184,836 Krung Thai Bank PCL 1,705,650 954,025 Krungthai Card PCL 40,200 44,722 Land and Houses PCL(6581930) 323,000 100,813 Land and Houses PCL(6581941) 609,600 186,497 Lanna Resources PCL 67,200 26,789 Loxley PCL 405,163 50,082 LPN Development PCL 187,100 100,604 Major Cineplex Group PCL 161,500 95,822 MBK PCL 251,000 117,899 MCOT PCL 82,400 72,571 Minor International PCL 408,960 310,890 Modernform Group PCL 18,700 5,432 Nation Multimedia Group PCL 753,500 32,133 Polyplex Thailand PCL 144,500 44,431 Precious Shipping PCL 134,300 114,130 Property Perfect PCL 1,240,300 36,028 Pruksa Real Estate PCL 282,400 195,481 PTT Exploration & Production PCL 274,286 1,351,935 PTT Global Chemical PCL 392,356 845,699 PTT PCL(6420390) 152,500 1,475,046 PTT PCL(6420408) 28,700 277,599 Quality Houses PCL 1,345,983 135,597 * Raimon Land PCL 388,000 19,424 Ratchaburi Electricity Generating Holding PCL(6294249) 85,400 140,530 Ratchaburi Electricity Generating Holding PCL(6362771) 63,600 104,657 * Regional Container Lines PCL 84,500 16,451 Robinson Department Store PCL 107,500 167,761 Rojana Industrial Park PCL 176,600 39,293 RS PCL 210,000 54,836 * Sahaviriya Steel Industries PCL 4,332,600 48,199 Samart Corp. PCL 133,000 84,666 Samart I-Mobile PCL 672,700 70,679 Samart Telcoms PCL 98,500 48,702 Sansiri PCL 1,393,500 82,249 SC Asset Corp PCL 705,275 74,974 Siam Cement PCL (The)(6609906) 10,000 134,734 Siam Cement PCL (The)(6609928) 30,000 402,349 Siam City Cement PCL 19,900 237,373 Siam Commercial Bank PCL (The) 234,600 1,199,824 Siam Future Development PCL 190,792 33,017 Siam Global House PCL 305,296 127,364 Siamgas & Petrochemicals PCL 167,800 107,857 Sino Thai Engineering & Construction PCL 170,742 98,140 SNC Former PCL 42,000 21,934 Somboon Advance Technology PCL 42,750 22,855 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- THAILAND -- (Continued) * SPCG PCL 97,200 $ 63,679 Sri Trang Agro-Industry PCL 201,700 92,248 Srithai Superware PCL 26,700 20,834 STP & I PCL 187,400 123,350 Supalai PCL(6554675) 282,700 170,354 Supalai PCL(6554749) 30,000 18,078 Susco PCL 272,600 25,946 SVI PCL 459,885 62,531 Symphony Communication PCL 14,600 8,076 * Tata Steel Thailand PCL 1,019,200 24,567 * Thai Airways International PCL 427,800 171,860 Thai Carbon Black PCL 52,300 43,233 Thai Central Chemical PCL 23,300 19,621 Thai Factory Development PCL 11,700 2,477 Thai Oil PCL 252,900 408,344 Thai Rung Union Car PCL 97,200 20,876 Thai Stanley Electric PCL 11,300 74,379 Thai Union Frozen Products PCL 170,658 369,161 Thai Vegetable Oil PCL 115,700 85,452 Thai-German Ceramic Industry PCL 208,400 19,964 Thaicom PCL 111,000 138,921 Thanachart Capital PCL 239,900 257,618 Thitikorn PCL 50,500 15,528 * Thoresen Thai Agencies PCL 176,012 112,591 Ticon Industrial Connection PCL 147,337 72,849 Tipco Asphalt PCL 18,400 31,131 * TIPCO Foods PCL 127,100 31,225 Tisco Financial Group PCL 90,000 110,553 TMB Bank PCL 4,091,300 290,791 Total Access Communication PCL 107,100 412,050 Toyo-Thai Corp. PCL(B5ML0B6) 53,310 62,601 Toyo-Thai Corp. PCL(B5ML0D8) 47,729 56,048 TPI Polene PCL 408,100 150,074 * True Corp. PCL 571,947 119,303 TTW PCL 598,700 185,012 Union Mosaic Industry PCL (The) 67,500 17,104 Unique Engineering & Construction PCL 153,000 34,515 Univanich Palm Oil PCL 37,000 11,891 Univentures PCL 356,100 86,384 * Vanachai Group PCL 83,100 10,272 Vinythai PCL 159,500 52,739 * Workpoint Entertainment PCL 30,900 25,543 ----------- TOTAL THAILAND 24,673,883 ----------- TURKEY -- (1.9%) Adana Cimento Sanayii TAS Class A 21,647 41,943 Adel Kalemcilik Ticaret ve Sanayi A.S. 1,216 31,000 Akbank TAS 377,061 1,323,753 Akcansa Cimento A.S. 21,674 126,636 * Akenerji Elektrik Uretim A.S. 75,679 46,371 Akfen Holding A.S. 46,043 96,621 Aksa Akrilik Kimya Sanayii 43,481 151,641 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- TURKEY -- (Continued) Aksigorta A.S. 59,107 $ 81,512 Alarko Holding A.S. 34,317 79,042 * Anadolu Anonim Tuerk Sigorta Sirketi 78,516 54,029 Anadolu Cam Sanayii A.S. 73,810 66,251 Anadolu Hayat Emeklilik A.S. 26,822 56,299 * Anadolu Isuzu Otomotiv Sanayi Ve Ticaret A.S. 3,631 40,775 Arcelik A.S. 67,232 415,575 #* Asya Katilim Bankasi A.S. 238,653 184,215 * Bagfas Bandirma Gubre Fabrik 1,597 32,275 #* Banvit Bandirma Vitaminli Yem Sanayii ASA 8,696 9,810 * Baticim Bati Anadolu Cimento Sanayii A.S. 18,986 54,482 #* Besiktas Futbol Yatirimlari Sanayi ve Ticaret A.S. 53,022 52,107 BIM Birlesik Magazalar A.S. 30,667 709,897 Bolu Cimento Sanayii A.S. 13,224 16,004 # Borusan Mannesmann Boru Sanayi ve Ticaret A.S. 13,500 44,085 * Boyner Buyuk Magazacilik 3,576 9,947 * Boyner Perakende Ve Tekstil Yatirimlari AS 2,373 60,320 Brisa Bridgestone Sabanci Sanayi ve Ticaret A.S. 12,412 37,009 Bursa Cimento Fabrikasi A.S. 8,612 17,188 Celebi Hava Servisi A.S. 1,711 13,022 Cimsa Cimento Sanayi VE Tica 19,839 115,883 Coca-Cola Icecek A.S. 7,251 170,298 * Dogan Sirketler Grubu Holding A.S. 317,148 108,529 * Dogan Yayin Holding A.S. 296,647 71,917 # Dogus Otomotiv Servis ve Ticaret A.S. 21,854 83,057 * Eczacibasi Yapi Gerecleri Sanayi ve Ticaret A.S. 4,061 8,458 EGE Seramik Sanayi ve Ticaret A.S. 35,231 48,215 Enka Insaat ve Sanayi A.S. 81,856 248,822 Eregli Demir ve Celik Fabrikalari TAS 548,806 763,651 * Fenerbahce Futbol A.S. 1,615 25,646 Ford Otomotiv Sanayi A.S. 14,997 169,697 * Galatasaray Sportif Sinai ve Ticari Yatirimlar A.S. 2,782 30,486 Gentas Genel Metal Sanayi ve Ticaret A.S. 36,786 23,218 Global Yatirim Holding A.S. 98,266 57,786 Goltas Goller Bolgesi Cimento Sanayi ve Ticaret A.S. 4,349 113,698 # Goodyear Lastikleri TAS 1,186 37,652 * Gozde Girisim Sermayesi Yatirim Ortakligi A.S. 24,024 31,074 #* GSD Holding 176,329 125,659 * Gubre Fabrikalari TAS 26,924 53,611 * Gunes Sigorta 11,861 10,700 * Hurriyet Gazetecilik A.S. 27,657 7,884 Indeks Bilgisayar Sistemleri Muhendislik Sanayi ve Ticaret A.S. 5,919 11,171 * Ipek Dogal Enerji Kaynaklari Ve Uretim A.S. 56,676 71,917 Is Finansal Kiralama A.S. 16,930 7,862 #* Izmir Demir Celik Sanayi A.S. 13,823 18,771 * Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class A 74,534 84,384 * Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class B 30,002 46,341 * Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class D 324,358 232,975 * Karsan Otomotiv Sanayii Ve Ticaret A.S. 67,832 33,510 Kartonsan Karton Sanayi ve Ticaret A.S. 255 29,101 * Kerevitas Gida Sanayi ve Ticaret A.S. 308 5,625 KOC Holding A.S. 115,083 515,705 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ------------ TURKEY -- (Continued) Konya Cimento Sanayii A.S. 173 $ 21,975 Koza Altin Isletmeleri A.S. 6,431 64,488 Mardin Cimento Sanayii ve Ticaret A.S. 10,685 23,504 * Marshall Boya ve Vernik 1,004 17,934 * Menderes Tekstil Sanayi ve Ticaret A.S. 7,162 1,906 * Metro Ticari ve Mali Yatirimlar Holding A.S. 47,720 14,962 * Migros Ticaret A.S. 7,692 69,530 # Netas Telekomunikasyon A.S. 12,310 42,423 Nuh Cimento Sanayi A.S. 13,377 63,594 * Park Elektrik Uretim Madencilik Sanayi ve Ticaret A.S. 33,380 62,532 * Petkim Petrokimya Holding A.S. 115,185 164,254 Pinar Entegre Et ve Un Sanayi A.S. 5,800 27,211 Pinar SUT Mamulleri Sanayii A.S. 7,182 62,162 Sarkuysan Elektrolitik Bakir Sanayi ve Ticaret A.S. 14,081 20,525 * Sasa Polyester Sanayi A.S. 51,100 30,334 * Sekerbank TAS 139,437 130,454 Selcuk Ecza Deposu Ticaret ve Sanayi A.S. 62,227 58,793 Soda Sanayii A.S. 66,749 98,841 * Tat Gida Sanayi A.S. 42,626 43,739 TAV Havalimanlari Holding A.S. 35,427 284,445 # Tekfen Holding A.S. 72,271 183,011 Teknosa Ic Ve Dis Ticaret A.S. 5,979 34,083 #* Tekstil Bankasi A.S. 83,398 76,916 Tofas Turk Otomobil Fabrikasi A.S. 33,392 204,953 Trakya Cam Sanayi A.S. 134,264 153,137 Tupras Turkiye Petrol Rafinerileri A.S. 22,141 500,893 # Turcas Petrol A.S. 28,793 35,192 Turk Telekomunikasyon A.S. 66,132 199,053 Turk Traktor ve Ziraat Makineleri A.S. 3,555 102,490 * Turkcell Iletisim Hizmetleri A.S. 48,493 283,222 #* Turkcell Iletisim Hizmetleri A.S. ADR 34,271 496,244 Turkiye Garanti Bankasi A.S. 484,986 1,786,542 Turkiye Halk Bankasi A.S. 111,993 752,998 Turkiye Is Bankasi 330,670 782,030 Turkiye Sinai Kalkinma Bankasi A.S. 307,964 279,766 Turkiye Sise ve Cam Fabrikalari A.S. 204,083 256,176 # Turkiye Vakiflar Bankasi Tao 240,284 504,624 # Ulker Biskuvi Sanayi A.S. 24,642 188,841 * Vestel Beyaz Esya Sanayi ve Ticaret A.S. 33,719 58,275 * Vestel Elektronik Sanayi ve Ticaret A.S. 43,607 39,233 # Yapi ve Kredi Bankasi A.S. 182,534 381,627 #* Zorlu Enerji Elektrik Uretim A.S. 71,834 38,862 ------------ TOTAL TURKEY 15,856,886 ------------ TOTAL COMMON STOCKS 741,114,211 ------------ PREFERRED STOCKS -- (3.9%) BRAZIL -- (3.8%) AES Tiete SA 31,233 245,270 Alpargatas SA 34,417 169,787 Banco ABC Brasil SA 28,372 166,052 Banco Bradesco SA 270,290 4,023,287 EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- BRAZIL -- (Continued) Banco Bradesco SA ADR 167,162 $ 2,485,705 Banco Daycoval SA 15,600 62,967 Banco do Estado do Rio Grande do Sul SA Class B 66,616 373,749 Banco Industrial e Comercial SA 21,889 78,436 * Banco Panamericano SA 44,100 73,376 Banco Pine SA 8,710 28,438 Centrais Eletricas Brasileiras SA Class B 46,500 262,973 Centrais Eletricas de Santa Catarina SA 6,450 45,386 Cia Brasileira de Distribuicao Grupo Pao de Acucar 12,514 592,096 Cia de Gas de Sao Paulo Class A 6,800 149,586 Cia de Saneamento do Parana 100 259 Cia de Transmissao de Energia Eletrica Paulista 10,487 115,934 Cia Energetica de Minas Gerais 111,803 851,902 Cia Energetica de Sao Paulo Class B 42,400 502,582 Cia Energetica do Ceara Class A 3,482 54,656 Cia Ferro Ligas da Bahia - Ferbasa 16,000 91,131 Cia Paranaense de Energia 9,768 139,965 Eletropaulo Metropolitana Eletricidade de Sao Paulo SA 34,595 141,343 Eucatex SA Industria e Comercio 6,800 16,316 Forjas Taurus SA 26,718 12,462 * Gol Linhas Aereas Inteligentes SA 29,600 189,700 Itau Unibanco Holding SA 331,418 5,469,753 Itau Unibanco Holding SA ADR 204,379 3,343,642 Lojas Americanas SA 91,647 694,211 Marcopolo SA 113,800 208,742 Oi SA 54,163 51,983 Petroleo Brasileiro SA 266,582 1,981,058 Petroleo Brasileiro SA Sponsored ADR 236,527 3,500,600 Randon Participacoes SA 72,875 235,318 Saraiva SA Livreiros Editores 9,515 67,637 Suzano Papel e Celulose SA Class A 122,400 399,080 Telefonica Brasil SA 962 20,209 * Usinas Siderurgicas de Minas Gerais SA Class A 160,300 626,894 Vale SA 41,000 485,803 Vale SA Sponsored ADR 328,650 3,901,076 ----------- TOTAL BRAZIL 31,859,364 ----------- CHILE -- (0.0%) Embotelladora Andina SA 18,695 59,969 Embotelladora Andina SA Class B 18,186 73,163 ----------- TOTAL CHILE 133,132 ----------- COLOMBIA -- (0.1%) Avianca Holdings SA 55,731 115,544 Banco Davivienda SA 24,974 355,671 Grupo Aval Acciones y Valores 253,553 171,516 Grupo de Inversiones Suramericana SA 6,088 120,089 ----------- TOTAL COLOMBIA 762,820 ----------- INDIA -- (0.0%) Zee Entertainment Enterprises, Ltd., 6.000% 2,226,672 28,426 ----------- EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ------------ TOTAL PREFERRED STOCKS 32,783,742 ------------ RIGHTS/WARRANTS -- (0.0%) BRAZIL -- (0.0%) * Cia De Gas De Sao Paulo Comgas Rights 05/28/14 116 $ -- * Klabin SA Rights 05/23/14 4,690 210 ------------ TOTAL BRAZIL 210 ------------ HONG KONG -- (0.0%) * Fosun International, Ltd. Rights 05/12/14 35,217 177 ------------ INDIA -- (0.0%) * IL&FS Transportation Networks, Ltd. Rights 05/12/14 1,849 989 ------------ MALAYSIA -- (0.0%) * Malaysian Resources Corp. Bhd Warrants 09/16/18 1 -- * Symphony Life Bhd Warrants 11/11/20 14,966 1,833 ------------ TOTAL MALAYSIA 1,833 ------------ PHILIPPINES -- (0.0%) * China Banking Corp. Rights 05/07/14 10,618 1,322 ------------ SOUTH KOREA -- (0.0%) * GS Engineering & Construction Corp. Rights 06/03/14 4,767 40,136 * STS Semiconductor & Telecommunications Rights 05/23/14 2,997 1,929 ------------ TOTAL SOUTH KOREA 42,065 ------------ TAIWAN -- (0.0%) YeaShin International Development Co., Ltd. Rights 05/13/14 3,016 70 ------------ THAILAND -- (0.0%) * Lanna Resources PCL Rights 06/30/14 13,440 124 * LH W3 R Warrants 04/29/17 121,920 24,113 * LH W3 Warrants 04/29/17 64,600 13,175 * Samart Corp. PCL Rights 05/31/14 2,643 -- * Ticon Industrial Connection PCL Rights 04/28/14 29,467 911 ------------ TOTAL THAILAND 38,323 ------------ TURKEY -- (0.0%) * Gozde Girisim Sermayesi Yatiri Rights 05/12/14 24,024 36,522 ------------ TOTAL RIGHTS/WARRANTS 121,511 ------------ SHARES/ FACE AMOUNT (000) VALUE+ --------- ------------ SECURITIES LENDING COLLATERAL -- (6.8%) (S)@ DFA Short Term Investment Fund 4,854,235 56,163,496 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $763,136,960) $830,182,960 ============ EMERGING MARKETS SOCIAL CORE EQUITY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, 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 $ 55,769,169 -- -- $ 55,769,169 Chile 11,830,160 -- -- 11,830,160 China 15,955,355 $ 98,262,567 -- 114,217,922 Colombia 5,442,127 -- -- 5,442,127 Czech Republic -- 2,366,617 -- 2,366,617 Egypt -- 580,384 -- 580,384 Greece 183,115 4,520,956 -- 4,704,071 Hungary -- 2,009,560 -- 2,009,560 India 3,963,328 49,533,389 -- 53,496,717 Indonesia 1,127,499 24,802,375 -- 25,929,874 Malaysia -- 33,069,832 -- 33,069,832 Mexico 44,597,778 10,191 -- 44,607,969 Peru 1,604,207 -- -- 1,604,207 Philippines 469,495 11,029,388 -- 11,498,883 Poland -- 19,705,401 -- 19,705,401 Russia 807,613 22,127,947 -- 22,935,560 South Africa 8,841,410 51,280,687 -- 60,122,097 South Korea 5,296,710 110,830,975 -- 116,127,685 Taiwan 5,706,031 108,859,176 -- 114,565,207 Thailand 24,652,732 21,151 -- 24,673,883 Turkey 496,244 15,360,642 -- 15,856,886 Preferred Stocks Brazil 31,859,364 -- -- 31,859,364 Chile 133,132 -- -- 133,132 Colombia 762,820 -- -- 762,820 India 28,426 -- -- 28,426 Rights/Warrants Brazil -- 210 -- 210 Hong Kong -- 177 -- 177 India -- 989 -- 989 Malaysia -- 1,833 -- 1,833 Philippines -- 1,322 -- 1,322 South Korea -- 42,065 -- 42,065 Taiwan 70 -- -- 70 Thailand -- 38,323 -- 38,323 Turkey -- 36,522 -- 36,522 Securities Lending Collateral -- 56,163,496 -- 56,163,496 ------------ ------------ -- ------------ TOTAL $219,526,785 $610,656,175 -- $830,182,960 ============ ============ == ============ TAX-MANAGED U.S. EQUITY PORTFOLIO SCHEDULE OF INVESTMENTS APRIL 30, 2014 (UNAUDITED) SHARES VALUE+ ------ ----------- COMMON STOCKS -- (94.5%) Consumer Discretionary -- (12.2%) * 1-800-Flowers.com, Inc. Class A 3,914 $ 21,331 Aaron's, Inc. 7,750 228,392 # Abercrombie & Fitch Co. Class A 8,850 325,326 Advance Auto Parts, Inc. 7,900 958,191 #* Aeropostale, Inc. 8,325 41,375 AH Belo Corp. Class A 1,226 14,111 * Amazon.com, Inc. 39,712 12,077,611 * Ambassadors Group, Inc. 1,423 6,034 #* AMC Networks, Inc. Class A 5,981 392,772 #* America's Car-Mart, Inc. 1,100 39,754 * American Axle & Manufacturing Holdings, Inc. 3,762 66,399 # American Eagle Outfitters, Inc. 18,300 211,548 #* American Public Education, Inc. 2,200 76,120 * ANN, Inc. 5,225 204,768 * Apollo Education Group, Inc. Class A 10,210 294,661 Arctic Cat, Inc. 2,500 102,225 * Asbury Automotive Group, Inc. 2,900 179,046 * Ascena Retail Group, Inc. 13,900 239,080 * Ascent Capital Group, Inc. Class A 1,135 78,054 # Autoliv, Inc. 10,143 1,034,383 * AutoNation, Inc. 4,387 232,467 * AutoZone, Inc. 3,800 2,028,782 * Ballantyne Strong, Inc. 2,600 11,752 #* Bally Technologies, Inc. 4,400 286,484 #* Barnes & Noble, Inc. 3,400 55,760 Bassett Furniture Industries, Inc. 306 4,220 # Beasley Broadcasting Group, Inc. Class A 325 2,503 * Beazer Homes USA, Inc. 779 14,770 bebe stores, Inc. 3,388 17,109 * Bed Bath & Beyond, Inc. 22,104 1,373,322 Best Buy Co., Inc. 29,105 754,693 Big 5 Sporting Goods Corp. 2,146 26,203 * Big Lots, Inc. 5,898 232,971 * Biglari Holdings, Inc. 258 110,687 #* BJ's Restaurants, Inc. 2,498 71,318 * Bloomin' Brands, Inc. 8,000 170,560 #* Blue Nile, Inc. 1,407 48,865 # Blyth, Inc. 836 7,833 # Bob Evans Farms, Inc. 3,500 164,045 #* Body Central Corp. 1,200 1,248 # Bon-Ton Stores, Inc. (The) 2,096 23,056 * Books-A-Million, Inc. 1,295 3,056 BorgWarner, Inc. 24,730 1,536,722 #* Boyd Gaming Corp. 5,900 69,738 * Bravo Brio Restaurant Group, Inc. 1,543 23,099 #* Bridgepoint Education, Inc. 1,683 26,676 Brinker International, Inc. 7,728 379,754 Brown Shoe Co., Inc. 5,187 122,361 Brunswick Corp. 9,823 394,786 # Buckle, Inc. (The) 3,112 146,233 * Buffalo Wild Wings, Inc. 2,000 292,240 TAX-MANAGED U.S. EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Consumer Discretionary -- (Continued) * Build-A-Bear Workshop, Inc. 2,400 $ 26,928 # Burger King Worldwide, Inc. 5,462 142,722 #* Cabela's, Inc. 4,900 321,489 # Cablevision Systems Corp. Class A 20,795 347,276 #* Cache, Inc. 1,087 2,891 #* Caesars Acquisition Co. Class A 1,600 20,160 #* Caesars Entertainment Corp. 2,900 53,563 # Callaway Golf Co. 6,900 60,099 * Cambium Learning Group, Inc. 11,314 25,343 # Capella Education Co. 1,400 81,704 * Career Education Corp. 6,800 49,096 #* CarMax, Inc. 24,738 1,083,030 * Carmike Cinemas, Inc. 3,469 102,891 Carnival Corp. 43,471 1,708,845 Carriage Services, Inc. 2,167 34,867 * Carrols Restaurant Group, Inc. 2,151 14,433 Carter's, Inc. 6,800 500,888 Cato Corp. (The) Class A 2,761 78,661 * Cavco Industries, Inc. 1,157 90,188 CBS Corp. Class A 5,128 298,193 CBS Corp. Class B 62,458 3,607,574 #* Central European Media Enterprises, Ltd. Class A 524 1,436 * Charter Communications, Inc. Class A 7,900 1,070,687 # Cheesecake Factory, Inc. (The) 5,550 249,139 Cherokee, Inc. 542 7,518 Chico's FAS, Inc. 18,000 285,840 # Children's Place Retail Stores, Inc. (The) 2,340 112,320 * Chipotle Mexican Grill, Inc. 3,385 1,687,422 # Choice Hotels International, Inc. 3,175 140,271 * Christopher & Banks Corp. 817 5,098 Churchill Downs, Inc. 1,444 126,827 #* Chuy's Holdings, Inc. 1,600 57,520 Cinemark Holdings, Inc. 11,217 332,248 * Citi Trends, Inc. 1,200 20,388 Clear Channel Outdoor Holdings, Inc. Class A 3,850 30,877 Coach, Inc. 28,168 1,257,701 # Collectors Universe, Inc. 600 14,088 Columbia Sportswear Co. 1,327 114,095 Comcast Corp. Class A 227,903 11,796,259 Comcast Corp. Special Class A 52,772 2,692,955 #* Conn's, Inc. 2,882 127,471 # Cooper Tire & Rubber Co. 6,429 161,689 Core-Mark Holding Co., Inc. 1,200 96,648 #* Corinthian Colleges, Inc. 8,800 10,120 Cracker Barrel Old Country Store, Inc. 2,300 217,902 * Crocs, Inc. 9,700 146,761 #* Crown Media Holdings, Inc. Class A 130 465 CSS Industries, Inc. 1,250 29,963 # CST Brands, Inc. 8,177 266,816 CTC Media, Inc. 6,208 53,823 Culp, Inc. 1,492 26,931 * Cumulus Media, Inc. Class A 4,000 25,640 TAX-MANAGED U.S. EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Consumer Discretionary -- (Continued) # Dana Holding Corp. 16,000 $ 338,720 # Darden Restaurants, Inc. 12,962 644,341 #* Deckers Outdoor Corp. 3,700 292,115 * Del Frisco's Restaurant Group, Inc. 1,292 33,605 #* dELiA*s, Inc. 1,100 930 Delphi Automotive P.L.C. 31,209 2,086,010 Destination Maternity Corp. 1,600 39,456 #* Destination XL Group, Inc. 4,200 22,680 # DeVry Education Group, Inc. 5,026 226,321 Dick's Sporting Goods, Inc. 9,990 526,073 Dillard's, Inc. Class A 3,826 374,680 DineEquity, Inc. 1,700 128,877 * DIRECTV 57,609 4,470,458 * Discovery Communications, Inc. Class A 15,768 1,196,791 * Discovery Communications, Inc. Class C 11,052 775,077 * DISH Network Corp. Class A 23,355 1,327,965 * Dollar General Corp. 31,294 1,766,233 * Dollar Tree, Inc. 24,100 1,254,887 Domino's Pizza, Inc. 5,786 430,363 #* Dorman Products, Inc. 2,578 148,364 #* Dover Downs Gaming & Entertainment, Inc. 2,000 2,900 # DR Horton, Inc. 29,700 661,716 #* DreamWorks Animation SKG, Inc. Class A 7,680 184,550 Drew Industries, Inc. 2,271 114,277 DSW, Inc. Class A 7,616 254,298 # Dunkin' Brands Group, Inc. 10,785 490,825 #* Education Management Corp. 3,571 14,177 Einstein Noah Restaurant Group, Inc. 395 6,067 #* Entercom Communications Corp. Class A 2,510 27,108 Entravision Communications Corp. Class A 4,908 26,061 # Ethan Allen Interiors, Inc. 2,900 70,412 * EW Scripps Co. Class A 3,300 56,529 Expedia, Inc. 10,207 724,595 * Express, Inc. 8,200 119,474 Family Dollar Stores, Inc. 11,175 656,531 * Famous Dave's Of America, Inc. 1,098 29,086 * Federal-Mogul Holdings Corp. 2,097 36,110 * Fiesta Restaurant Group, Inc. 2,096 76,735 Finish Line, Inc. (The) Class A 5,300 145,909 #* Five Below, Inc. 1,629 65,665 Foot Locker, Inc. 15,542 723,169 Ford Motor Co. 386,912 6,248,629 * Fossil Group, Inc. 5,703 608,225 # Fred's, Inc. Class A 3,670 66,867 #* FTD Cos., Inc. 1,870 56,736 #* Fuel Systems Solutions, Inc. 1,392 14,588 #* G-III Apparel Group, Ltd. 1,800 129,186 * Gaiam, Inc. Class A 1,309 9,660 # GameStop Corp. Class A 12,940 513,459 * Gaming Partners International Corp. 800 6,760 Gannett Co., Inc. 23,899 649,336 Gap, Inc. (The) 32,880 1,292,184 TAX-MANAGED U.S. EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Consumer Discretionary -- (Continued) # Garmin, Ltd. 12,906 $ 736,933 #* Geeknet, Inc. 500 7,400 General Motors Co. 77,360 2,667,373 #* Genesco, Inc. 2,400 183,288 Gentex Corp. 15,495 444,242 * Gentherm, Inc. 2,458 89,348 Genuine Parts Co. 16,830 1,466,230 GNC Holdings, Inc. Class A 10,132 455,940 Goodyear Tire & Rubber Co. (The) 26,660 671,832 # Gordmans Stores, Inc. 279 1,253 Graham Holdings Co. Class B 500 335,615 * Grand Canyon Education, Inc. 4,308 185,761 #* Gray Television, Inc. 4,850 54,562 # Group 1 Automotive, Inc. 2,780 200,521 #* Groupon, Inc. 27,605 192,959 Guess?, Inc. 6,590 177,337 H&R Block, Inc. 29,001 824,208 Hanesbrands, Inc. 10,675 876,311 Harley-Davidson, Inc. 24,000 1,774,560 Harman International Industries, Inc. 7,400 811,114 Harte-Hanks, Inc. 3,368 27,079 # Hasbro, Inc. 12,600 696,276 Haverty Furniture Cos., Inc. 1,700 43,418 * Helen of Troy, Ltd. 4,100 257,070 #* hhgregg, Inc. 2,516 21,688 #* Hibbett Sports, Inc. 2,888 155,519 Hillenbrand, Inc. 6,405 194,712 Home Depot, Inc. (The) 151,412 12,038,768 * HomeAway, Inc. 5,300 172,886 Hooker Furniture Corp. 1,300 18,005 HSN, Inc. 4,220 244,929 * Hyatt Hotels Corp. Class A 4,993 281,006 #* Iconix Brand Group, Inc. 7,198 305,915 International Game Technology 27,800 348,890 International Speedway Corp. Class A 2,075 65,238 Interpublic Group of Cos., Inc. (The) 44,816 780,695 Interval Leisure Group, Inc. 4,458 114,883 #* iRobot Corp. 2,767 92,694 * Isle of Capri Casinos, Inc. 3,400 23,120 #* ITT Educational Services, Inc. 1,300 35,100 * Jack in the Box, Inc. 4,400 235,576 # JAKKS Pacific, Inc. 2,151 18,843 * Jarden Corp. 9,712 555,041 #* JC Penney Co., Inc. 16,086 137,053 John Wiley & Sons, Inc. Class A 5,120 294,195 Johnson Controls, Inc. 70,796 3,195,731 Johnson Outdoors, Inc. Class A 1,187 24,844 * Jos A Bank Clothiers, Inc. 3,300 213,015 * Journal Communications, Inc. Class A 5,077 40,718 #* K12, Inc. 2,215 52,451 * Kate Spade & Co. 12,745 443,144 # KB Home 8,900 146,939 TAX-MANAGED U.S. EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Consumer Discretionary -- (Continued) * Kirkland's, Inc. 1,502 $ 25,699 Kohl's Corp. 23,760 1,301,810 * Kona Grill, Inc. 1,120 26,264 #* Krispy Kreme Doughnuts, Inc. 5,319 93,295 L Brands, Inc. 26,236 1,421,991 La-Z-Boy, Inc. 6,000 145,380 * Lakeland Industries, Inc. 1,000 7,100 #* Lamar Advertising Co. Class A 7,915 395,117 #* Lands' End, Inc. 1,303 36,028 Las Vegas Sands Corp. 43,041 3,405,834 #* LeapFrog Enterprises, Inc. 5,500 37,675 Lear Corp. 10,200 847,212 * Learning Tree International, Inc. 1,342 4,093 # Leggett & Platt, Inc. 15,277 502,002 # Lennar Corp. Class A 17,141 661,471 Lennar Corp. Class B 1,241 40,357 * Libbey, Inc. 2,200 58,674 * Liberty Global P.L.C. Class A 22,037 877,513 * Liberty Global P.L.C. Class B 95 3,795 * Liberty Global P.L.C. Class C 55,948 2,150,082 * Liberty Interactive Corp. Class A 55,690 1,618,351 * Liberty Interactive Corp. Class B 201 6,055 * Liberty Media Corp. Class A 10,779 1,398,144 * Liberty Media Corp. Class B 200 25,089 * Liberty Ventures Series A 6,644 385,618 #* Life Time Fitness, Inc. 4,178 200,544 Lifetime Brands, Inc. 300 5,730 * LIN Media LLC Class A 3,200 74,976 # Lincoln Educational Services Corp. 2,164 8,829 # Lions Gate Entertainment Corp. 7,700 204,281 Lithia Motors, Inc. Class A 2,487 184,734 * Live Nation Entertainment, Inc. 15,286 319,172 * LKQ Corp. 31,047 904,089 * Loral Space & Communications, Inc. 1,300 93,587 Lowe's Cos., Inc. 114,972 5,278,365 * Luby's, Inc. 1,849 10,022 #* Lululemon Athletica, Inc. 8,363 384,113 #* Lumber Liquidators Holdings, Inc. 2,649 230,887 * M/I Homes, Inc. 2,750 61,242 Macy's, Inc. 41,439 2,379,842 * Madison Square Garden Co. (The) Class A 6,500 354,900 Marcus Corp. (The) 2,400 40,152 Marine Products Corp. 1,898 13,476 * MarineMax, Inc. 1,700 27,302 # Marriott International, Inc. Class A 27,826 1,611,960 * Marriott Vacations Worldwide Corp. 2,389 130,153 * Martha Stewart Living Omnimedia, Inc. Class A 2,700 10,557 Mattel, Inc. 36,665 1,437,818 Matthews International Corp. Class A 2,000 80,700 * McClatchy Co. (The) Class A 4,300 23,564 McDonald's Corp. 107,641 10,912,645 # MDC Holdings, Inc. 4,445 122,682 TAX-MANAGED U.S. EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Consumer Discretionary -- (Continued) #* Media General, Inc. Class A 800 $ 12,256 Men's Wearhouse, Inc. (The) 5,635 266,986 Meredith Corp. 2,528 111,409 * Meritage Homes Corp. 3,700 142,746 * MGM Resorts International 40,164 1,013,338 * Michael Kors Holdings, Ltd. 19,953 1,819,714 * Modine Manufacturing Co. 3,907 64,387 * Mohawk Industries, Inc. 6,632 878,143 * Monarch Casino & Resort, Inc. 1,845 29,594 # Monro Muffler Brake, Inc. 2,978 167,959 # Morningstar, Inc. 2,287 167,706 * Motorcar Parts of America, Inc. 783 21,486 Movado Group, Inc. 2,362 92,779 * Multimedia Games Holding Co., Inc. 2,364 69,029 * Murphy USA, Inc. 4,848 206,040 NACCO Industries, Inc. Class A 387 20,739 * Nathan's Famous, Inc. 509 25,084 National CineMedia, Inc. 6,419 97,505 * Nautilus, Inc. 4,149 34,561 * Netflix, Inc. 5,700 1,835,628 * New York & Co., Inc. 5,059 21,197 # New York Times Co. (The) Class A 14,000 225,120 Newell Rubbermaid, Inc. 31,068 935,457 * News Corp. Class A 41,104 699,590 #* News Corp. Class B 11,390 188,391 # Nexstar Broadcasting Group, Inc. Class A 2,793 111,301 NIKE, Inc. Class B 76,495 5,580,310 Nordstrom, Inc. 17,146 1,050,707 * Norwegian Cruise Line Holdings, Ltd. 3,827 125,411 Nutrisystem, Inc. 2,651 39,765 * NVR, Inc. 500 538,500 * O'Reilly Automotive, Inc. 12,850 1,911,951 * Office Depot, Inc. 46,175 188,856 Omnicom Group, Inc. 27,235 1,843,265 * Orbitz Worldwide, Inc. 3,586 26,357 * Orient-Express Hotels, Ltd. Class A 8,827 115,634 #* Outerwall, Inc. 2,800 194,180 * Overstock.com, Inc. 1,830 29,317 Oxford Industries, Inc. 1,382 91,226 * Pacific Sunwear of California, Inc. 6,000 17,280 #* Panera Bread Co. Class A 3,075 470,383 Papa John's International, Inc. 3,800 166,668 * Penn National Gaming, Inc. 6,827 76,189 Penske Automotive Group, Inc. 4,700 215,542 * Pep Boys-Manny, Moe & Jack (The) 4,332 44,273 * Perry Ellis International, Inc. 969 14,632 # PetMed Express, Inc. 2,200 28,798 # PetSmart, Inc. 11,200 758,016 # Pier 1 Imports, Inc. 10,500 191,730 #* Pinnacle Entertainment, Inc. 5,100 118,677 # Polaris Industries, Inc. 6,994 939,504 Pool Corp. 5,100 301,002 TAX-MANAGED U.S. EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Consumer Discretionary -- (Continued) * Popeyes Louisiana Kitchen, Inc. 2,600 $ 99,060 * Priceline Group, Inc. (The) 5,482 6,346,785 PulteGroup, Inc. 36,663 674,233 PVH Corp. 8,755 1,099,365 #* Quiksilver, Inc. 8,658 55,584 #* RadioShack Corp. 11,260 16,102 Ralph Lauren Corp. 6,300 953,631 #* Red Lion Hotels Corp. 2,034 11,696 * Red Robin Gourmet Burgers, Inc. 1,300 88,374 # Regal Entertainment Group Class A 9,436 177,397 Regis Corp. 4,556 59,866 # Rent-A-Center, Inc. 6,145 179,495 #* Rentrak Corp. 1,137 64,798 RG Barry Corp. 1,300 23,764 #* Rick's Cabaret International, Inc. 1,000 10,100 Rocky Brands, Inc. 231 3,382 Ross Stores, Inc. 24,000 1,633,920 Royal Caribbean Cruises, Ltd. 16,100 855,393 * Ruby Tuesday, Inc. 5,370 41,403 Ruth's Hospitality Group, Inc. 4,284 53,936 # Ryland Group, Inc. (The) 4,600 176,594 Saga Communications, Inc. Class A 676 29,947 Salem Communications Corp. Class A 400 3,524 * Sally Beauty Holdings, Inc. 17,735 486,116 # Scholastic Corp. 2,600 85,566 * Scientific Games Corp. Class A 5,774 69,173 Scripps Networks Interactive, Inc. Class A 9,189 689,818 #* Sears Holdings Corp. 4,332 189,785 #* Select Comfort Corp. 5,594 102,930 Service Corp. International 22,783 427,637 * Shiloh Industries, Inc. 1,564 30,873 Shoe Carnival, Inc. 771 17,610 * Shutterfly, Inc. 3,662 149,886 Signet Jewelers, Ltd. 8,700 881,484 # Sinclair Broadcast Group, Inc. Class A 7,300 195,129 #* Sirius XM Holdings, Inc. 354,576 1,131,097 Six Flags Entertainment Corp. 8,578 344,321 * Sizmek, Inc. 2,200 21,076 * Skechers U.S.A., Inc. Class A 3,800 155,762 * Skyline Corp. 800 4,080 Sonic Automotive, Inc. Class A 4,001 97,384 #* Sonic Corp. 6,463 123,056 # Sotheby's 7,207 303,126 Spartan Motors, Inc. 3,375 17,921 Speedway Motorsports, Inc. 2,352 42,783 # Stage Stores, Inc. 3,250 62,335 Standard Motor Products, Inc. 1,900 72,181 * Standard Pacific Corp. 17,289 138,139 * Stanley Furniture Co., Inc. 637 1,860 # Staples, Inc. 69,757 871,962 Starbucks Corp. 80,947 5,716,477 Starwood Hotels & Resorts Worldwide, Inc. 21,047 1,613,253 TAX-MANAGED U.S. EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Consumer Discretionary -- (Continued) * Starz 11,477 $ 370,363 * Starz Class B 200 6,462 Stein Mart, Inc. 3,347 41,837 * Steiner Leisure, Ltd. 1,400 60,438 * Steven Madden, Ltd. 6,892 245,424 * Stoneridge, Inc. 3,400 36,346 * Strayer Education, Inc. 500 21,315 # Sturm Ruger & Co., Inc. 1,900 122,265 Superior Industries International, Inc. 2,200 46,508 Superior Uniform Group, Inc. 162 2,634 * Systemax, Inc. 1,666 28,805 * Tandy Leather Factory, Inc. 663 6,491 Target Corp. 65,382 4,037,338 #* Tempur Sealy International, Inc. 6,523 327,324 * Tenneco, Inc. 6,595 394,843 #* Tesla Motors, Inc. 8,472 1,761,244 Texas Roadhouse, Inc. 6,800 168,232 Thor Industries, Inc. 4,861 295,889 Tiffany & Co. 13,444 1,176,216 * Tile Shop Holdings, Inc. 1,665 23,468 Time Warner Cable, Inc. 30,636 4,333,769 Time Warner, Inc. 98,792 6,565,716 TJX Cos., Inc. (The) 75,742 4,406,670 * Toll Brothers, Inc. 15,760 539,622 * Tower International, Inc. 600 16,686 Town Sports International Holdings, Inc. 2,129 14,924 Tractor Supply Co. 15,088 1,014,517 #* TripAdvisor, Inc. 11,496 928,187 * TRW Automotive Holdings Corp. 12,328 990,555 #* Tuesday Morning Corp. 3,200 44,736 #* Tumi Holdings, Inc. 2,325 47,476 # Tupperware Brands Corp. 6,100 517,951 Twenty-First Century Fox, Inc. Class A 158,815 5,085,256 Twenty-First Century Fox, Inc. Class B 45,563 1,427,033 * Ulta Salon Cosmetics & Fragrance, Inc. 6,522 572,045 #* Under Armour, Inc. Class A 15,600 762,684 * Unifi, Inc. 1,766 39,099 * Universal Electronics, Inc. 1,700 63,495 Universal Technical Institute, Inc. 2,300 27,623 * Urban Outfitters, Inc. 12,450 443,905 Vail Resorts, Inc. 3,700 256,151 Value Line, Inc. 400 5,832 * Valuevision Media, Inc. Class A 3,000 14,040 #* Vera Bradley, Inc. 2,206 62,430 VF Corp. 37,800 2,309,202 Viacom, Inc. Class A 1,192 101,284 Viacom, Inc. Class B 46,874 3,983,353 * Visteon Corp. 4,607 399,934 * Vitacost.com, Inc. 489 3,262 #* Vitamin Shoppe, Inc. 2,565 122,812 * VOXX International Corp. 1,966 23,101 Walt Disney Co. (The) 183,316 14,544,291 TAX-MANAGED U.S. EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ------------ Consumer Discretionary -- (Continued) # Weight Watchers International, Inc. 2,900 $ 57,420 Wendy's Co. (The) 33,225 276,100 * West Marine, Inc. 2,681 28,687 #* Wet Seal, Inc. (The) Class A 9,200 10,396 Whirlpool Corp. 8,265 1,267,686 Williams-Sonoma, Inc. 9,360 587,995 Winmark Corp. 300 22,758 * Winnebago Industries, Inc. 2,736 65,390 # Wolverine World Wide, Inc. 10,800 303,480 # World Wrestling Entertainment, Inc. Class A 3,100 60,450 Wyndham Worldwide Corp. 15,302 1,091,645 Wynn Resorts, Ltd. 8,681 1,769,969 Yum! Brands, Inc. 46,861 3,607,828 * Zagg, Inc. 171 744 #* Zale Corp. 2,400 51,336 #* Zumiez, Inc. 2,400 58,680 ------------ Total Consumer Discretionary 278,360,356 ------------ Consumer Staples -- (8.5%) Alico, Inc. 496 17,320 * Alliance One International, Inc. 8,769 22,536 Altria Group, Inc. 214,752 8,613,703 Andersons, Inc. (The) 2,677 166,750 #* Annie's, Inc. 1,643 53,414 Archer-Daniels-Midland Co. 70,090 3,065,036 Avon Products, Inc. 44,150 674,612 B&G Foods, Inc. 5,470 179,416 Beam, Inc. 14,780 1,233,687 #* Boston Beer Co., Inc. (The) Class A 785 193,141 * Boulder Brands, Inc. 7,136 105,327 Brown-Forman Corp. Class A 8,651 771,064 Brown-Forman Corp. Class B 12,794 1,147,878 Bunge, Ltd. 15,335 1,221,433 # Cal-Maine Foods, Inc. 2,100 125,223 # Calavo Growers, Inc. 1,264 39,298 # Campbell Soup Co. 20,300 923,447 # Casey's General Stores, Inc. 4,100 281,506 * Central Garden and Pet Co. 1,175 9,553 * Central Garden and Pet Co. Class A 3,229 26,704 #* Chefs' Warehouse, Inc. (The) 525 10,547 * Chiquita Brands International, Inc. 4,900 56,252 Church & Dwight Co., Inc. 14,700 1,014,447 # Clorox Co. (The) 13,216 1,198,691 Coca-Cola Bottling Co. Consolidated 481 39,553 Coca-Cola Co. (The) 431,559 17,603,292 Coca-Cola Enterprises, Inc. 30,541 1,387,783 Colgate-Palmolive Co. 99,587 6,702,205 ConAgra Foods, Inc. 43,589 1,329,900 * Constellation Brands, Inc. Class A 17,900 1,429,136 Costco Wholesale Corp. 47,166 5,456,163 #* Crimson Wine Group, Ltd. 2,024 17,993 CVS Caremark Corp. 132,004 9,599,331 TAX-MANAGED U.S. EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Consumer Staples -- (Continued) * Darling International, Inc. 12,564 $ 251,406 # Dean Foods Co. 10,084 159,731 Dr Pepper Snapple Group, Inc. 22,078 1,223,563 * Elizabeth Arden, Inc. 2,600 95,524 Energizer Holdings, Inc. 6,800 759,492 Estee Lauder Cos., Inc. (The) Class A 24,419 1,772,087 * Farmer Bros. Co. 1,300 25,623 Flowers Foods, Inc. 20,404 418,690 Fresh Del Monte Produce, Inc. 3,973 114,780 #* Fresh Market, Inc. (The) 4,133 153,334 General Mills, Inc. 68,607 3,637,543 #* Hain Celestial Group, Inc. (The) 4,400 378,488 # Herbalife, Ltd. 10,600 635,788 Hershey Co. (The) 16,122 1,551,581 Hillshire Brands Co. (The) 13,670 487,336 Hormel Foods Corp. 15,600 743,964 Ingles Markets, Inc. Class A 1,110 25,519 Ingredion, Inc. 7,943 559,584 Inter Parfums, Inc. 1,760 64,398 * Inventure Foods, Inc. 1,529 18,379 J&J Snack Foods Corp. 1,491 139,558 JM Smucker Co. (The) 11,871 1,147,688 John B. Sanfilippo & Son, Inc. 1,301 29,988 Kellogg Co. 26,695 1,784,027 # Keurig Green Mountain, Inc. 13,562 1,270,488 Kimberly-Clark Corp. 41,025 4,605,056 Kraft Foods Group, Inc. 62,977 3,580,872 Kroger Co. (The) 55,543 2,557,200 Lancaster Colony Corp. 2,100 199,248 # Lifeway Foods, Inc. 315 4,728 Lorillard, Inc. 40,200 2,388,684 McCormick & Co., Inc.(579780107) 607 43,316 # McCormick & Co., Inc.(579780206) 12,914 919,477 Mead Johnson Nutrition Co. 20,972 1,850,989 #* Medifast, Inc. 2,100 66,465 MGP Ingredients, Inc. 233 1,361 Molson Coors Brewing Co. Class B 13,905 833,883 Mondelez International, Inc. Class A 179,215 6,389,015 * Monster Beverage Corp. 15,848 1,061,182 #* National Beverage Corp. 1,044 20,128 * Natural Alternatives International, Inc. 1,000 5,700 Nu Skin Enterprises, Inc. Class A 6,221 541,227 * Nutraceutical International Corp. 1,459 36,358 Oil-Dri Corp. of America 641 21,480 * Omega Protein Corp. 2,100 23,856 * Pantry, Inc. (The) 3,100 46,624 PepsiCo, Inc. 166,178 14,273,028 Philip Morris International, Inc. 170,074 14,529,422 * Pilgrim's Pride Corp. 7,683 167,950 Pinnacle Foods, Inc. 303 9,211 #* Post Holdings, Inc. 3,247 169,688 # Pricesmart, Inc. 2,200 211,288 TAX-MANAGED U.S. EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ------------ Consumer Staples -- (Continued) Procter & Gamble Co. (The) 295,232 $ 24,371,402 Reliv International, Inc. 1,707 3,772 #* Revlon, Inc. Class A 1,909 57,537 Reynolds American, Inc. 34,400 1,941,192 * Rite Aid Corp. 77,945 568,998 Rocky Mountain Chocolate Factory, Inc. 950 11,353 Safeway, Inc. 26,773 911,888 # Sanderson Farms, Inc. 2,050 168,654 * Seneca Foods Corp. Class A 500 14,200 # Snyder's-Lance, Inc. 4,096 108,790 Spartan Stores, Inc. 4,621 99,536 Spectrum Brands Holdings, Inc. 2,435 187,081 #* Susser Holdings Corp. 1,610 124,582 Sysco Corp. 62,531 2,278,004 # Tootsie Roll Industries, Inc. 2,049 57,761 * TreeHouse Foods, Inc. 3,630 271,669 Tyson Foods, Inc. Class A 31,488 1,321,551 #* United Natural Foods, Inc. 5,300 365,859 United-Guardian, Inc. 600 18,600 # Universal Corp. 2,600 141,882 #* USANA Health Sciences, Inc. 800 54,288 # Vector Group, Ltd. 5,265 112,145 Wal-Mart Stores, Inc. 174,326 13,895,525 Walgreen Co. 99,778 6,774,926 WD-40 Co. 1,600 116,544 # Weis Markets, Inc. 1,930 88,954 * WhiteWave Foods Co. (The) Class A 15,175 420,196 Whole Foods Market, Inc. 36,249 1,801,575 ------------ Total Consumer Staples 193,010,800 ------------ Energy -- (9.7%) Adams Resources & Energy, Inc. 300 21,618 Alon USA Energy, Inc. 1,957 31,880 #* Alpha Natural Resources, Inc. 23,317 100,263 Anadarko Petroleum Corp. 54,122 5,359,160 Apache Corp. 42,300 3,671,640 * Approach Resources, Inc. 2,871 59,573 # Arch Coal, Inc. 18,846 86,315 * Atwood Oceanics, Inc. 6,359 315,152 Baker Hughes, Inc. 46,579 3,255,872 * Basic Energy Services, Inc. 2,300 60,766 #* Bill Barrett Corp. 5,020 118,874 Bolt Technology Corp. 1,050 17,724 #* Bonanza Creek Energy, Inc. 2,888 140,415 #* BPZ Resources, Inc. 10,000 27,000 Bristow Group, Inc. 3,865 296,832 #* C&J Energy Services, Inc. 3,963 119,128 Cabot Oil & Gas Corp. 45,200 1,775,456 * Cal Dive International, Inc. 9,937 14,707 * Callon Petroleum Co. 3,810 34,976 * Cameron International Corp. 26,059 1,692,793 # CARBO Ceramics, Inc. 2,120 296,609 TAX-MANAGED U.S. EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Energy -- (Continued) #* Carrizo Oil & Gas, Inc. 4,500 $ 247,590 * Cheniere Energy, Inc. 21,250 1,199,562 Chesapeake Energy Corp. 68,738 1,976,217 Chevron Corp. 207,657 26,065,107 Cimarex Energy Co. 9,117 1,086,017 * Clayton Williams Energy, Inc. 500 72,240 #* Clean Energy Fuels Corp. 7,414 65,614 * Cloud Peak Energy, Inc. 5,872 115,620 * Cobalt International Energy, Inc. 27,161 488,898 # Comstock Resources, Inc. 4,800 133,440 * Concho Resources, Inc. 10,824 1,411,991 ConocoPhillips 124,357 9,240,969 CONSOL Energy, Inc. 24,000 1,068,240 * Contango Oil & Gas Co. 316 15,181 #* Continental Resources, Inc. 4,690 649,659 Core Laboratories NV 5,125 961,860 Dawson Geophysical Co. 600 16,956 Delek US Holdings, Inc. 3,538 113,181 Denbury Resources, Inc. 39,570 665,567 Devon Energy Corp. 40,497 2,834,790 DHT Holdings, Inc. 331 2,585 # Diamond Offshore Drilling, Inc. 7,128 389,260 * Diamondback Energy, Inc. 2,887 207,691 * Dresser-Rand Group, Inc. 8,267 499,657 * Dril-Quip, Inc. 3,733 422,277 #* Emerald Oil, Inc. 1,603 11,333 #* Endeavour International Corp. 3,414 11,744 Energen Corp. 7,800 607,698 # Energy XXI Bermuda, Ltd. 6,972 166,840 EnLink Midstream LLC 5,400 190,782 EOG Resources, Inc. 57,244 5,609,912 * EPL Oil & Gas, Inc. 3,224 126,187 EQT Corp. 16,299 1,776,428 * Era Group, Inc. 2,200 62,810 #* Escalera Resources Co. 267 729 # Exterran Holdings, Inc. 6,100 262,422 Exxon Mobil Corp. 475,705 48,716,949 * FMC Technologies, Inc. 25,264 1,432,469 GasLog, Ltd. 2,473 66,227 #* Geospace Technologies Corp. 1,000 58,130 #* Goodrich Petroleum Corp. 422 10,613 # Green Plains Renewable Energy, Inc. 2,214 66,199 * Gulf Coast Ultra Deep Royalty Trust 11,977 35,212 Gulf Island Fabrication, Inc. 1,100 22,066 Gulfmark Offshore, Inc. Class A 1,575 70,891 * Gulfport Energy Corp. 9,024 664,798 Halliburton Co. 98,357 6,203,376 #* Harvest Natural Resources, Inc. 3,600 16,236 * Helix Energy Solutions Group, Inc. 10,766 258,815 Helmerich & Payne, Inc. 11,191 1,215,902 * Hercules Offshore, Inc. 13,137 58,722 Hess Corp. 32,622 2,908,577 TAX-MANAGED U.S. EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Energy -- (Continued) * HKN, Inc. 37 $ 2,313 HollyFrontier Corp. 22,236 1,169,391 #* Hornbeck Offshore Services, Inc. 3,129 129,634 * ION Geophysical Corp. 12,540 55,176 * Key Energy Services, Inc. 7,600 76,304 Kinder Morgan, Inc. 76,788 2,507,896 #* Kodiak Oil & Gas Corp. 28,088 356,998 * Kosmos Energy, Ltd. 7,733 84,444 #* Laredo Petroleum, Inc. 6,417 187,569 # LinnCo LLC 12,996 358,170 #* Magnum Hunter Resources Corp. 14,301 121,558 Marathon Oil Corp. 75,073 2,713,889 Marathon Petroleum Corp. 35,164 3,268,494 * Matador Resources Co. 5,700 163,704 * Matrix Service Co. 3,244 100,467 #* McDermott International, Inc. 24,310 175,761 #* Miller Energy Resources, Inc. 451 2,174 * Mitcham Industries, Inc. 1,264 17,443 Murphy Oil Corp. 19,393 1,230,098 Nabors Industries, Ltd. 30,273 772,567 National Oilwell Varco, Inc. 45,185 3,548,378 * Natural Gas Services Group, Inc. 1,600 49,104 * Newfield Exploration Co. 11,440 387,244 #* Newpark Resources, Inc. 9,500 114,380 Noble Corp. P.L.C. 26,000 801,060 Noble Energy, Inc. 37,858 2,717,447 # Nordic American Tankers, Ltd. 2,265 19,547 #* Northern Oil and Gas, Inc. 5,685 87,720 #* Nuverra Environmental Solutions, Inc. 2,511 42,712 #* Oasis Petroleum, Inc. 8,181 380,498 Occidental Petroleum Corp. 86,556 8,287,737 Oceaneering International, Inc. 11,442 838,470 * Oil States International, Inc. 5,700 553,698 ONEOK, Inc. 21,800 1,378,196 #* Overseas Shipholding Group, Inc. 2,700 15,390 Panhandle Oil and Gas, Inc. Class A 1,000 43,850 * Parker Drilling Co. 9,114 60,426 Patterson-UTI Energy, Inc. 15,402 501,027 * PDC Energy, Inc. 3,527 224,564 Peabody Energy Corp. 27,696 526,501 * Penn Virginia Corp. 3,900 64,896 * PetroQuest Energy, Inc. 5,600 33,712 * PHI, Inc. Non-Voting 1,795 80,416 Phillips 66 63,127 5,253,429 * Pioneer Energy Services Corp. 8,743 130,883 Pioneer Natural Resources Co. 14,236 2,751,392 #* PostRock Energy Corp. 1,042 1,428 QEP Resources, Inc. 18,400 564,696 Range Resources Corp. 17,500 1,582,875 #* Rentech, Inc. 22,910 48,569 * Rex Energy Corp. 7,121 149,968 * RigNet, Inc. 1,066 49,846 TAX-MANAGED U.S. EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ------------ Energy -- (Continued) #* Rosetta Resources, Inc. 5,910 $ 279,779 * Rowan Cos. P.L.C. Class A 13,381 413,741 RPC, Inc. 9,225 205,072 #* SandRidge Energy, Inc. 29,871 204,915 Schlumberger, Ltd. 141,594 14,378,871 # Scorpio Tankers, Inc. 18,204 164,018 #* SEACOR Holdings, Inc. 2,200 183,458 # SemGroup Corp. Class A 4,092 261,397 Ship Finance International, Ltd. 6,400 112,832 SM Energy Co. 7,000 518,910 * Southwestern Energy Co. 37,915 1,815,370 Spectra Energy Corp. 70,319 2,792,367 * Stone Energy Corp. 4,300 210,915 Superior Energy Services, Inc. 16,418 540,481 #* Swift Energy Co. 1,930 23,797 * Synergy Resources Corp. 5,891 68,571 #* Synthesis Energy Systems, Inc. 2,352 4,069 Targa Resources Corp. 3,276 353,775 Teekay Corp. 4,349 244,022 * Tesco Corp. 2,270 45,400 Tesoro Corp. 14,426 812,040 * TETRA Technologies, Inc. 8,150 101,875 * TGC Industries, Inc. 1,750 8,855 Tidewater, Inc. 5,500 280,115 # Transocean, Ltd. 38,356 1,651,993 #* Triangle Petroleum Corp. 7,783 74,872 #* Ultra Petroleum Corp. 16,709 497,928 * Unit Corp. 4,580 302,051 #* Uranium Energy Corp. 8,500 9,095 * Vaalco Energy, Inc. 5,480 50,526 Valero Energy Corp. 58,700 3,355,879 # W&T Offshore, Inc. 3,644 69,965 * Warren Resources, Inc. 5,600 28,392 * Weatherford International, Ltd. 80,380 1,687,980 # Western Refining, Inc. 6,400 278,400 * Westmoreland Coal Co. 837 24,784 * Whiting Petroleum Corp. 11,567 852,719 * Willbros Group, Inc. 4,500 49,995 Williams Cos., Inc. (The) 72,168 3,043,325 # World Fuel Services Corp. 7,864 358,127 * WPX Energy, Inc. 19,355 411,874 #* Zion Oil & Gas, Inc. 163 363 ------------ Total Energy 219,636,011 ------------ Financials -- (13.6%) 1st Source Corp. 1,990 58,685 1st United Bancorp, Inc. 2,070 15,152 ACE, Ltd. 36,161 3,699,994 * Affiliated Managers Group, Inc. 5,680 1,125,776 Aflac, Inc. 48,794 3,060,360 Alexander & Baldwin, Inc. 4,230 157,821 * Alleghany Corp. 1,169 476,929 TAX-MANAGED U.S. EQUITY PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Financials -- (Continued) Allied World Assurance Co. Holdings AG 3,700 $ 398,453 Allstate Corp. (The) 51,057 2,907,696 * Altisource Asset Management Corp. 240 234,780 #* Altisource Portfolio Solutions SA 2,400 248,904 #* Ambac Financial Group, Inc. 3,780 114,080 * American Capital, Ltd. 35,406 530,736 American Equity Investment Life Holding Co. 5,190 121,031 American Express Co. 104,440 9,131,189 American Financial Group, Inc. 7,769 453,943 American International Group, Inc. 150,107 7,975,185 American National Insurance Co. 664 74,640 * American River Bankshares 882 8,432 Ameriprise Financial, Inc. 22,940 2,560,792 * Ameris Bancorp 1,951 41,498 AMERISAFE, Inc. 2,573 109,738 AmeriServ Financial, Inc. 100 348 # Amtrust Financial Services, Inc. 3,344 129,312 Aon P.L.C. 31,029 2,633,742 * Arch Capital Group, Ltd. 13,956 799,958 Argo Group International Holdings, Ltd. 3,938 174,926 Arrow Financial Corp. 907 22,702 Arthur J Gallagher & Co. 13,525 608,895 Aspen Insurance Holdings, Ltd. 7,426 339,962 Associated Banc-Corp 17,760 311,688 Assurant, Inc. 9,500 640,395 Assured Guaranty, Ltd. 18,300 437,553 * Asta Funding, Inc. 400 3,268 Astoria Financial Corp. 8,165 108,268 #* Atlantic Coast Financial Corp. 137 589 #* Atlanticus Holdings Corp. 1,196 2,906 #* AV Homes, Inc. 1,000 17,130 Axis Capital Holdings, Ltd. 12,640 578,280 Baldwin & Lyons, Inc. Class B 562 14,618 Banc of California, Inc. 451 5,669 Bancfirst Corp. 700 40,747 * Bancorp, Inc. 2,299 36,370 # BancorpSouth, Inc. 9,405 219,701 Bank Mutual Corp. 6,120 36,842 Bank of America Corp. 1,155,107 17,488,320 Bank of Hawaii Corp. 5,000 275,850 Bank of New York Mellon Corp. (The) 123,982 4,199,270 Bank of the Ozarks, Inc. 3,800 227,620 BankFinancial Corp. 2,730 26,863 BankUnited, Inc. 8,727 287,904 Banner Corp. 1,804 71,330 BB&T Corp. 74,382 2,776,680 BBCN Bancorp, Inc. 7,013 108,070 * Beneficial Mutual Bancorp, Inc. 3,852 50,230 * Berkshire Hathaway, Inc. Class B 193,795 24,970,486 Berkshire Hills Bancorp, Inc. 2,505 58,692 BGC Partners, Inc. Class A 13,621 97,663 BlackRock, Inc. 14,439 4,346,139 TAX-MANAGED U.S. EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Financials -- (Continued) * BofI Holding, Inc. 1,181 $ 95,200 # BOK Financial Corp. 2,703 176,830 Boston Private Financial Holdings, Inc. 6,785 84,880 Bridge Bancorp, Inc. 439 10,676 Brookline Bancorp, Inc. 6,047 54,907 Brown & Brown, Inc. 13,100 390,118 Bryn Mawr Bank Corp. 1,149 31,345 Calamos Asset Management, Inc. Class A 1,676 20,414 Camden National Corp. 600 22,902 * Capital Bank Financial Corp. Class A 96 2,290 Capital City Bank Group, Inc. 1,069 14,859 Capital One Financial Corp. 61,837 4,569,754 Capital Southwest Corp. 1,376 48,298 Capitol Federal Financial, Inc. 16,210 195,168 Cardinal Financial Corp. 2,805 47,124 # Cash America International, Inc. 2,940 128,037 Cathay General Bancorp 8,064 190,310 CBOE Holdings, Inc. 9,490 506,386 * CBRE Group, Inc. Class A 40,554 1,080,359 Center Bancorp, Inc. 1,915 35,447 Centerstate Banks, Inc. 1,550 17,004 Central Pacific Financial Corp. 1,299 24,382 Charles Schwab Corp. (The) 123,282 3,273,137 Chemical Financial Corp. 3,399 95,410 Chubb Corp. (The) 27,700 2,550,616 Cincinnati Financial Corp. 16,109 785,153 CIT Group, Inc. 19,881 855,877 Citigroup, Inc. 326,044 15,620,768 Citizens Community Bancorp, Inc. 600 4,818 #* Citizens, Inc. 4,015 26,379 # City Holding Co. 1,057 45,440 City National Corp. 5,581 405,013 Clifton Bancorp, Inc. 1,009 11,694 CME Group, Inc. 33,700 2,372,143 CNA Financial Corp. 17,536 718,099 CNB Financial Corp. 280 4,626 CNO Financial Group, Inc. 21,200 365,700 CoBiz Financial, Inc. 3,100 31,124 # Cohen & Steers, Inc. 2,055 83,248 Columbia Banking System, Inc. 4,056 100,670 # Comerica, Inc. 19,455 938,509 Commerce Bancshares, Inc. 8,757 380,754 # Community Bank System, Inc. 5,081 188,962 Community Trust Bancorp, Inc. 1,590 58,623 # Consolidated-Tomoka Land Co. 681 26,920 * Consumer Portfolio Services, Inc. 1,025 7,155 * Cowen Group, Inc. Class A 4,050 16,646 Crawford & Co. Class A 3,717 35,869 # Crawford & Co. Class B 1,800 20,556 * Credit Acceptance Corp. 1,005 132,178 # Cullen/Frost Bankers, Inc. 5,745 438,975 # CVB Financial Corp. 11,960 172,942 TAX-MANAGED U.S. EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Financials -- (Continued) #* DFC Global Corp. 3,924 $ 36,572 # Diamond Hill Investment Group, Inc. 293 34,785 Dime Community Bancshares, Inc. 2,400 39,120 Discover Financial Services 51,900 2,901,210 Donegal Group, Inc. Class A 1,374 20,280 * E*TRADE Financial Corp. 29,290 657,560 East West Bancorp, Inc. 14,946 515,786 Eaton Vance Corp. 13,000 468,910 #* eHealth, Inc. 2,800 117,292 EMC Insurance Group, Inc. 866 28,569 Employers Holdings, Inc. 3,900 79,365 #* Encore Capital Group, Inc. 2,238 96,726 Endurance Specialty Holdings, Ltd. 3,900 198,198 * Enstar Group, Ltd. 900 116,190 Enterprise Financial Services Corp. 1,766 31,558 Erie Indemnity Co. Class A 3,100 222,115 ESSA Bancorp, Inc. 1,856 19,284 # EverBank Financial Corp. 3,717 69,582 Evercore Partners, Inc. Class A 2,925 156,283 Everest Re Group, Ltd. 5,600 884,968 * Ezcorp, Inc. Class A 4,723 49,261 FBL Financial Group, Inc. Class A 2,100 93,891 Federal Agricultural Mortgage Corp. Class C 1,380 49,100 # Federated Investors, Inc. Class B 10,362 295,731 Fidelity National Financial, Inc. Class A 25,329 815,087 # Fidelity Southern Corp. 1,153 15,231 Fifth Third Bancorp 92,500 1,906,425 # Financial Engines, Inc. 2,916 129,033 Financial Institutions, Inc. 807 18,682 #* First Acceptance Corp. 181 433 # First American Financial Corp. 10,579 281,401 First Bancorp 1,500 25,815 #* First BanCorp. 8,881 45,648 First Busey Corp. 7,017 38,594 * First Cash Financial Services, Inc. 3,000 146,310 First Citizens BancShares, Inc. Class A 100 22,489 # First Commonwealth Financial Corp. 9,645 82,851 First Community Bancshares, Inc. 1,700 25,177 First Defiance Financial Corp. 1,538 41,557 First Financial Bancorp 5,512 89,239 # First Financial Bankshares, Inc. 3,585 211,694 First Financial Corp. 1,100 35,211 First Financial Holdings, Inc. 2,610 149,997 First Financial Northwest, Inc. 2,411 24,592 # First Horizon National Corp. 26,242 301,521 First Interstate Bancsystem, Inc. 594 14,785 First Merchants Corp. 3,650 77,453 First Midwest Bancorp, Inc. 6,900 112,953 First Niagara Financial Group, Inc. 36,817 328,408 First Republic Bank 9,380 476,129 # First South Bancorp, Inc. 1,685 13,531 FirstMerit Corp. 14,566 282,435 TAX-MANAGED U.S. EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Financials -- (Continued) * Flagstar Bancorp, Inc. 1,679 $ 29,550 Flushing Financial Corp. 2,863 55,027 FNB Corp. 12,609 156,856 * Forest City Enterprises, Inc. Class A 14,676 277,523 * Forest City Enterprises, Inc. Class B 3,286 62,105 * Forestar Group, Inc. 3,501 59,692 Fox Chase Bancorp, Inc. 800 13,344 Franklin Resources, Inc. 46,500 2,434,275 Fulton Financial Corp. 20,459 249,395 # FXCM, Inc. Class A 2,007 31,068 GAMCO Investors, Inc. Class A 467 35,459 * Genworth Financial, Inc. Class A 49,956 891,715 # German American Bancorp, Inc. 1,398 36,404 GFI Group, Inc. 8,500 31,620 # Glacier Bancorp, Inc. 6,536 167,714 #* Gleacher & Co., Inc. 50 575 * Global Indemnity P.L.C. 1,204 32,267 Goldman Sachs Group, Inc. (The) 46,912 7,497,476 Great Southern Bancorp, Inc. 1,100 31,537 #* Green Dot Corp. Class A 2,200 38,214 # Greenhill & Co., Inc. 2,900 145,435 * Greenlight Capital Re, Ltd. Class A 2,682 85,368 Guaranty Bancorp 319 4,016 * Hallmark Financial Services, Inc. 1,034 8,686 # Hampden Bancorp, Inc. 504 8,190 Hancock Holding Co. 8,126 274,090 Hanmi Financial Corp. 2,835 60,300 Hanover Insurance Group, Inc. (The) 4,156 242,918 * Harris & Harris Group, Inc. 3,600 12,924 Hartford Financial Services Group, Inc. (The) 43,724 1,568,380 HCC Insurance Holdings, Inc. 11,125 511,082 # HCI Group, Inc. 1,104 42,703 # Heartland Financial USA, Inc. 1,732 42,088 Heritage Commerce Corp. 2,541 20,633 # Heritage Financial Corp. 905 14,625 Heritage Financial Group, Inc. 1,473 28,355 HFF, Inc. Class A 3,557 120,938 * Hilltop Holdings, Inc. 7,200 160,848 Home BancShares, Inc. 5,904 187,216 Home Federal Bancorp, Inc. 2,521 37,941 HopFed Bancorp, Inc. 208 2,367 Horace Mann Educators Corp. 3,472 104,403 * Howard Hughes Corp. (The) 2,961 422,712 Hudson City Bancorp, Inc. 50,766 505,629 Hudson Valley Holding Corp. 1,023 18,782 Huntington Bancshares, Inc. 90,200 826,232 Iberiabank Corp. 2,725 171,403 * ICG Group, Inc. 3,900 79,482 Independence Holding Co. 2,640 34,478 Independent Bank Corp. 2,038 75,651 Infinity Property & Casualty Corp. 800 51,336 Interactive Brokers Group, Inc. Class A 4,380 104,682 TAX-MANAGED U.S. EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Financials -- (Continued) IntercontinentalExchange Group, Inc. 11,987 $ 2,450,622 International Bancshares Corp. 6,326 145,245 * Intervest Bancshares Corp. Class A 254 1,923 #* INTL. FCStone, Inc. 1,015 19,204 Invesco, Ltd. 45,668 1,607,970 * Investment Technology Group, Inc. 3,824 78,927 Investors Bancorp, Inc. 7,497 200,395 # Janus Capital Group, Inc. 17,800 215,914 JMP Group, Inc. 2,391 16,522 Jones Lang LaSalle, Inc. 4,700 544,683 JPMorgan Chase & Co. 407,567 22,815,601 * KCG Holdings, Inc. Class A 910 9,055 * Kearny Financial Corp. 2,846 41,495 Kemper Corp. 4,800 189,168 Kennedy-Wilson Holdings, Inc. 5,074 110,816 KeyCorp 99,458 1,356,607 Lakeland Bancorp, Inc. 3,669 38,304 # Lakeland Financial Corp. 1,700 62,220 Lazard, Ltd. Class A 10,595 498,495 # Legg Mason, Inc. 13,474 631,796 Leucadia National Corp. 30,595 780,784 Life Partners Holdings, Inc. 1,000 2,730 Lincoln National Corp. 28,868 1,400,387 LNB Bancorp, Inc. 634 7,215 Loews Corp. 33,655 1,479,810 # Louisiana Bancorp, Inc. 200 3,900 LPL Financial Holdings, Inc. 6,522 308,817 # M&T Bank Corp. 12,077 1,473,515 Macatawa Bank Corp. 886 4,315 # Maiden Holdings, Ltd. 4,691 55,354 MainSource Financial Group, Inc. 1,600 26,448 * Markel Corp. 1,367 855,633 MarketAxess Holdings, Inc. 3,978 214,335 Marlin Business Services Corp. 1,200 20,604 Marsh & McLennan Cos., Inc. 57,965 2,858,254 MB Financial, Inc. 4,600 123,464 #* MBIA, Inc. 14,600 176,952 # MCG Capital Corp. 6,400 21,504 McGraw Hill Financial, Inc. 35,445 2,620,449 # Meadowbrook Insurance Group, Inc. 3,491 19,550 # Medallion Financial Corp. 1,715 23,324 # Mercantile Bank Corp. 285 5,560 Merchants Bancshares, Inc. 694 20,175 Mercury General Corp. 3,136 150,089 * Meridian Interstate Bancorp, Inc. 1,744 44,071 MetLife, Inc. 102,250 5,352,787 * Metro Bancorp, Inc. 1,694 34,591 #* MGIC Investment Corp. 15,500 133,300 MidSouth Bancorp, Inc. 900 15,048 # Montpelier Re Holdings, Ltd. 5,500 168,190 Moody's Corp. 21,472 1,685,552 Morgan Stanley 157,226 4,863,000 TAX-MANAGED U.S. EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Financials -- (Continued) * MSCI, Inc. 12,894 $ 522,723 NASDAQ OMX Group, Inc. (The) 12,931 477,154 National Interstate Corp. 588 16,476 National Penn Bancshares, Inc. 12,482 121,949 * Navigators Group, Inc. (The) 1,805 102,831 NBT Bancorp, Inc. 3,984 90,238 Nelnet, Inc. Class A 3,140 132,696 # New York Community Bancorp, Inc. 45,172 696,101 * NewStar Financial, Inc. 3,834 43,784 Northeast Community Bancorp, Inc. 1,626 11,837 Northern Trust Corp. 22,514 1,356,468 Northfield Bancorp, Inc. 5,064 65,680 Northrim BanCorp, Inc. 600 14,394 Northwest Bancshares, Inc. 10,509 139,665 OceanFirst Financial Corp. 1,629 26,422 * Ocwen Financial Corp. 12,045 456,505 OFG Bancorp 3,500 59,710 Old National Bancorp 9,703 137,006 Old Republic International Corp. 25,886 428,672 OmniAmerican Bancorp, Inc. 1,407 34,978 OneBeacon Insurance Group, Ltd. Class A 3,161 48,806 Oppenheimer Holdings, Inc. Class A 765 19,477 Oritani Financial Corp. 6,231 92,406 Pacific Continental Corp. 1,300 17,134 * Pacific Mercantile Bancorp 1,425 9,334 PacWest Bancorp 9,737 383,346 Park National Corp. 1,100 79,772 Park Sterling Corp. 1,320 8,620 PartnerRe, Ltd. 6,420 676,668 * Patriot National Bancorp, Inc. 200 258 # Peapack Gladstone Financial Corp. 1,562 29,694 # People's United Financial, Inc. 35,258 503,484 Peoples Bancorp, Inc. 1,197 31,206 #* PHH Corp. 5,033 119,634 * Phoenix Cos., Inc. (The) 418 18,400 * PICO Holdings, Inc. 1,800 41,850 Pinnacle Financial Partners, Inc. 3,063 105,888 * Piper Jaffray Cos. 1,704 74,737 Platinum Underwriters Holdings, Ltd. 4,187 262,567 PNC Financial Services Group, Inc. (The) 55,398 4,655,648 * Popular, Inc. 10,217 315,705 #* Portfolio Recovery Associates, Inc. 5,700 325,755 * Preferred Bank 453 9,717 Primerica, Inc. 4,556 209,075 Principal Financial Group, Inc. 30,768 1,441,173 PrivateBancorp, Inc. 6,123 168,811 ProAssurance Corp. 6,800 308,856 Progressive Corp. (The) 58,720 1,423,960 Prosperity Bancshares, Inc. 6,400 377,600 Protective Life Corp. 8,300 424,545 Provident Financial Services, Inc. 5,262 91,454 Prudential Financial, Inc. 49,098 3,961,227 TAX-MANAGED U.S. EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Financials -- (Continued) Pulaski Financial Corp. 342 $ 3,533 # Pzena Investment Management, Inc. Class A 566 6,152 QC Holdings, Inc. 1,034 2,140 Radian Group, Inc. 9,498 132,782 Raymond James Financial, Inc. 12,829 637,601 * Realogy Holdings Corp. 13,612 572,385 * Regional Management Corp. 133 2,040 Regions Financial Corp. 147,472 1,495,366 Reinsurance Group of America, Inc. 7,190 551,545 # RenaissanceRe Holdings, Ltd. 4,900 495,929 Renasant Corp. 2,122 57,761 Republic Bancorp, Inc. Class A 805 19,328 * Republic First Bancorp, Inc. 500 2,210 Resource America, Inc. Class A 2,228 18,960 * Riverview Bancorp, Inc. 1,205 4,193 # RLI Corp. 3,600 155,016 S&T Bancorp, Inc. 2,523 58,685 #* Safeguard Scientifics, Inc. 1,767 37,125 Safety Insurance Group, Inc. 1,800 96,678 Sandy Spring Bancorp, Inc. 1,969 47,354 * Seacoast Banking Corp. of Florida 60 636 SEI Investments Co. 17,903 579,699 Selective Insurance Group, Inc. 5,977 137,112 SI Financial Group, Inc. 1,347 15,895 Sierra Bancorp 240 3,746 * Signature Bank 5,030 597,665 # Simmons First National Corp. Class A 1,469 53,119 Simplicity Bancorp, Inc. 784 13,595 SLM Corp. 53,247 1,371,110 (o) Southern Community Financial Corp. 700 154 # Southside Bancshares, Inc. 2,289 63,131 Southwest Bancorp, Inc. 1,600 26,720 #* St Joe Co. (The) 6,985 124,682 StanCorp Financial Group, Inc. 4,400 268,840 State Auto Financial Corp. 1,800 36,828 State Street Corp. 49,806 3,215,475 Sterling Bancorp 7,216 86,303 Stewart Information Services Corp. 1,894 57,767 #* Stifel Financial Corp. 5,929 277,299 Stock Yards Bancorp Inc 1,733 51,089 * Suffolk Bancorp 1,838 40,307 * Sun Bancorp, Inc. 2,137 8,121 SunTrust Banks, Inc. 57,012 2,181,279 Susquehanna Bancshares, Inc. 18,710 193,836 * SVB Financial Group 4,709 502,403 * SWS Group, Inc. 1,770 13,116 Symetra Financial Corp. 7,540 155,776 Synovus Financial Corp. 100,855 323,745 T Rowe Price Group, Inc. 27,140 2,229,008 * Taylor Capital Group, Inc. 851 18,118 # TCF Financial Corp. 15,296 240,147 TD Ameritrade Holding Corp. 23,898 762,346 TAX-MANAGED U.S. EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Financials -- (Continued) * Tejon Ranch Co. 1,649 $ 51,135 Territorial Bancorp, Inc. 840 17,186 #* Texas Capital Bancshares, Inc. 4,203 236,167 * TFS Financial Corp. 11,114 148,816 Tompkins Financial Corp. 868 40,918 # Torchmark Corp. 9,900 789,030 # Tower Group International, Ltd. 5,575 13,715 # TowneBank 2,502 38,606 Travelers Cos., Inc. (The) 40,657 3,682,711 * Tree.com, Inc. 721 20,967 # Trico Bancshares 1,628 39,479 # TrustCo Bank Corp. 7,300 48,253 # Trustmark Corp. 7,311 167,203 U.S. Bancorp 198,344 8,088,468 # UMB Financial Corp. 3,900 228,969 Umpqua Holdings Corp. 9,973 165,851 Union Bankshares Corp. 4,955 126,798 United Bankshares, Inc. 6,183 180,853 * United Community Banks, Inc. 3,059 49,403 #* United Community Financial Corp. 596 1,985 United Financial Bancorp, Inc.(91030T109) 2,501 44,118 United Financial Bancorp, Inc.(910304104) 2,135 28,097 United Fire Group, Inc. 2,765 76,922 * United Security Bancshares 1,670 9,416 # Universal Insurance Holdings, Inc. 2,136 31,250 Univest Corp. of Pennsylvania 1,893 37,311 Unum Group 29,554 981,784 Validus Holdings, Ltd. 8,464 313,760 # Valley National Bancorp 19,685 197,244 ViewPoint Financial Group, Inc. 3,295 85,901 * Virtus Investment Partners, Inc. 750 138,743 Waddell & Reed Financial, Inc. Class A 9,308 627,825 * Walker & Dunlop, Inc. 1,159 18,173 Washington Banking Co. 1,539 26,471 Washington Federal, Inc. 9,784 211,139 Washington Trust Bancorp, Inc. 1,700 58,140 Waterstone Financial, Inc. 1,767 18,394 Webster Financial Corp. 9,115 274,726 Wells Fargo & Co. 543,241 26,966,483 WesBanco, Inc. 2,465 74,542 West Bancorporation, Inc. 2,033 29,499 # Westamerica Bancorporation 3,200 162,624 * Western Alliance Bancorp 7,287 168,111 Westfield Financial, Inc. 4,099 28,078 # Westwood Holdings Group, Inc. 700 40,719 Willis Group Holdings P.L.C. 62,835 2,575,607 Wilshire Bancorp, Inc. 6,161 61,610 Wintrust Financial Corp. 3,499 156,825 #* WisdomTree Investments, Inc. 9,288 104,862 #* World Acceptance Corp. 1,500 108,900 WR Berkley Corp. 12,332 545,568 WSFS Financial Corp. 285 19,272 TAX-MANAGED U.S. EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ------------ Financials -- (Continued) XL Group P.L.C. 31,713 $ 994,203 * Yadkin Financial Corp. 157 3,007 Zions Bancorp. 18,945 547,889 * ZipRealty, Inc. 2,357 7,825 ------------ Total Financials 309,284,386 ------------ Health Care -- (12.3%) #* Abaxis, Inc. 1,236 50,194 Abbott Laboratories 165,498 6,411,393 AbbVie, Inc. 171,168 8,914,429 #* Acadia Healthcare Co., Inc. 3,444 144,717 #* Accuray, Inc. 4,567 38,363 * Acorda Therapeutics, Inc. 4,300 152,435 * Actavis P.L.C. 18,282 3,735,561 * Addus HomeCare Corp. 340 7,351 Aetna, Inc. 40,376 2,884,865 #* Affymax, Inc. 2,611 1,410 * Affymetrix, Inc. 6,765 50,264 Agilent Technologies, Inc. 36,322 1,962,841 #* Air Methods Corp. 3,900 217,113 #* Akorn, Inc. 7,586 191,319 #* Albany Molecular Research, Inc. 3,400 54,604 * Alere, Inc. 8,565 286,071 * Alexion Pharmaceuticals, Inc. 20,790 3,288,978 #* Align Technology, Inc. 6,710 338,117 * Alkermes P.L.C. 70,435 3,258,323 Allergan, Inc. 31,158 5,167,243 * Alliance HealthCare Services, Inc. 1,000 28,460 * Allscripts Healthcare Solutions, Inc. 18,960 288,571 * Almost Family, Inc. 812 17,434 #* Alnylam Pharmaceuticals, Inc. 5,914 292,920 * Alphatec Holdings, Inc. 7,600 10,260 #* AMAG Pharmaceuticals, Inc. 2,000 36,520 #* Amedisys, Inc. 3,037 41,394 AmerisourceBergen Corp. 26,780 1,745,520 Amgen, Inc. 81,177 9,071,530 * AMN Healthcare Services, Inc. 6,328 78,973 * Amsurg Corp. 3,550 153,751 Analogic Corp. 1,300 97,604 * AngioDynamics, Inc. 1,880 25,267 * Anika Therapeutics, Inc. 1,888 80,693 * Arqule, Inc. 2,900 4,698 * ArthroCare Corp. 2,848 138,213 #* athenahealth, Inc. 3,898 481,949 * AtriCure, Inc. 900 13,860 #* Auxilium Pharmaceuticals, Inc. 3,367 75,791 #* AVEO Pharmaceuticals, Inc. 1,934 2,379 #* Baxano Surgical, Inc. 2,100 1,785 Baxter International, Inc. 57,365 4,175,598 Becton Dickinson and Co. 20,572 2,325,253 * Bio-Rad Laboratories, Inc. Class A 2,013 248,022 #* Bio-Reference Labs, Inc. 2,873 72,974 TAX-MANAGED U.S. EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Health Care -- (Continued) * Biogen Idec, Inc. 25,483 $7,316,679 * BioMarin Pharmaceutical, Inc. 14,820 862,969 #* BioScrip, Inc. 6,872 47,554 * Biota Pharmaceuticals, Inc. 488 1,801 * BioTelemetry, Inc. 646 5,129 * Boston Scientific Corp. 159,048 2,005,595 Bristol-Myers Squibb Co. 177,688 8,900,392 * Brookdale Senior Living, Inc. 10,600 337,504 * Bruker Corp. 10,040 207,426 * Cambrex Corp. 3,827 78,415 Cantel Medical Corp. 3,750 124,350 * Capital Senior Living Corp. 3,849 95,186 Cardinal Health, Inc. 35,293 2,453,216 * CareFusion Corp. 23,317 910,762 * Celgene Corp. 44,783 6,583,549 #* Celldex Therapeutics, Inc. 4,986 74,790 * Centene Corp. 6,400 424,960 #* Cepheid, Inc. 6,896 299,838 * Cerner Corp. 31,689 1,625,646 * Charles River Laboratories International, Inc. 5,400 290,088 # Chemed Corp. 2,300 191,521 Cigna Corp. 30,209 2,417,928 * Community Health Systems, Inc. 11,889 450,474 Computer Programs & Systems, Inc. 1,145 72,284 CONMED Corp. 2,535 117,447 Cooper Cos., Inc. (The) 5,265 694,506 * Corvel Corp. 1,800 81,972 * Covance, Inc. 5,900 520,852 Covidien P.L.C. 49,700 3,541,125 CR Bard, Inc. 8,600 1,181,038 * Cross Country Healthcare, Inc. 1,700 12,053 CryoLife, Inc. 3,061 27,794 * Cubist Pharmaceuticals, Inc. 7,273 509,546 #* Cumberland Pharmaceuticals, Inc. 2,792 12,424 * Cutera, Inc. 1,850 19,074 #* Cyberonics, Inc. 2,900 171,564 * Cynosure, Inc. Class A 1,993 48,908 * DaVita HealthCare Partners, Inc. 20,940 1,451,142 DENTSPLY International, Inc. 15,118 674,716 * Depomed, Inc. 5,000 70,050 * DexCom, Inc. 7,033 228,151 #* Edwards Lifesciences Corp. 11,906 969,982 Eli Lilly & Co. 108,230 6,396,393 * Emergent Biosolutions, Inc. 2,866 75,548 * Emeritus Corp. 2,705 80,690 * Endo International P.L.C. 12,031 757,291 Ensign Group, Inc. (The) 1,831 77,818 * Enzo Biochem, Inc. 3,718 15,616 Enzon Pharmaceuticals, Inc. 3,492 3,108 * Exactech, Inc. 1,400 31,108 * ExamWorks Group, Inc. 1,667 61,346 * Express Scripts Holding Co. 85,387 5,685,066 TAX-MANAGED U.S. EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Health Care -- (Continued) * Five Star Quality Care, Inc. 4,366 $ 21,088 * Forest Laboratories, Inc. 27,507 2,528,168 * Furiex Pharmaceuticals, Inc. 833 86,107 * Gentiva Health Services, Inc. 3,177 23,923 * Gilead Sciences, Inc. 165,726 13,007,834 * Globus Medical, Inc. Class A 5,200 126,984 * Greatbatch, Inc. 2,450 112,774 #* GTx, Inc. 1,250 1,925 * Haemonetics Corp. 5,600 170,016 * Hanger, Inc. 3,139 108,829 #* Harvard Apparatus Regenerative Technology, Inc. 1,034 8,944 * Harvard Bioscience, Inc. 4,139 17,467 * HCA Holdings, Inc. 32,041 1,666,132 * Health Net, Inc. 8,691 298,362 HealthSouth Corp. 10,319 357,450 * HealthStream, Inc. 2,809 63,624 #* Healthways, Inc. 3,100 55,800 * Henry Schein, Inc. 9,246 1,056,171 Hill-Rom Holdings, Inc. 6,500 242,840 #* HMS Holdings Corp. 3,450 55,787 * Hologic, Inc. 25,846 542,378 * Hospira, Inc. 17,344 794,355 Humana, Inc. 17,105 1,877,274 * ICU Medical, Inc. 1,350 75,303 #* Idera Pharmaceuticals, Inc. 3,093 8,784 * IDEXX Laboratories, Inc. 5,800 733,352 #* Illumina, Inc. 13,014 1,767,952 * Impax Laboratories, Inc. 6,540 171,021 #* Incyte Corp., Ltd. 14,786 718,008 #* Infinity Pharmaceuticals, Inc. 2,823 27,581 #* Insys Therapeutics, Inc. 784 32,191 * Integra LifeSciences Holdings Corp. 2,600 118,508 #* Intercept Pharmaceuticals, Inc. 900 237,708 * Intuitive Surgical, Inc. 4,038 1,460,545 Invacare Corp. 3,000 47,400 #* IPC The Hospitalist Co., Inc. 1,600 64,800 #* Isis Pharmaceuticals, Inc. 11,938 317,670 * Jazz Pharmaceuticals P.L.C. 4,798 647,250 Johnson & Johnson 305,805 30,974,988 Kindred Healthcare, Inc. 5,377 134,963 * Laboratory Corp. of America Holdings 10,100 996,870 Landauer, Inc. 917 39,651 * Lannett Co., Inc. 1,787 61,705 * LCA-Vision, Inc. 2,557 13,706 LeMaitre Vascular, Inc. 2,283 18,743 * LHC Group, Inc. 1,463 30,401 * LifePoint Hospitals, Inc. 4,944 276,469 #* Ligand Pharmaceuticals, Inc. Class B 1,093 69,045 #* Luminex Corp. 3,762 72,268 * Magellan Health Services, Inc. 2,600 150,072 #* Mallinckrodt P.L.C. 6,212 442,481 * Masimo Corp. 5,278 141,239 TAX-MANAGED U.S. EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Health Care -- (Continued) (o)* Maxygen, Inc. 3,792 $ 114 McKesson Corp. 24,342 4,118,423 * MedAssets, Inc. 4,800 109,584 (o)* MedCath Corp. 1,565 3,130 * Medical Action Industries, Inc. 1,834 11,756 * Medicines Co. (The) 5,790 154,014 * MediciNova, Inc. 500 940 * Medidata Solutions, Inc. 4,948 179,662 * Medivation, Inc. 7,756 466,989 * MEDNAX, Inc. 10,528 623,784 Medtronic, Inc. 108,110 6,359,030 Merck & Co., Inc. 314,073 18,392,115 # Meridian Bioscience, Inc. 4,363 87,129 * Merit Medical Systems, Inc. 4,472 57,555 * Mettler-Toledo International, Inc. 3,200 745,984 #* Molina Healthcare, Inc. 3,211 120,091 * Momenta Pharmaceuticals, Inc. 4,800 54,816 * MWI Veterinary Supply, Inc. 1,239 194,077 * Mylan, Inc. 43,350 2,201,313 #* Myriad Genetics, Inc. 9,000 379,890 #* Nanosphere, Inc. 4,200 7,182 National Healthcare Corp. 1,000 54,730 #* National Research Corp. Class A 600 9,456 #* National Research Corp. Class B 100 4,388 * Natus Medical, Inc. 2,606 64,707 * Neogen Corp. 2,958 123,570 * NuVasive, Inc. 4,366 147,178 # Omnicare, Inc. 12,061 714,855 * Omnicell, Inc. 4,051 107,271 #* Opko Health, Inc. 22,157 183,238 * OraSure Technologies, Inc. 4,876 31,938 * Orthofix International NV 1,730 52,246 # Owens & Minor, Inc. 6,767 226,965 #* Pain Therapeutics, Inc. 2,000 11,380 * PAREXEL International Corp. 6,325 286,839 # Patterson Cos., Inc. 9,800 398,860 * PDI, Inc. 1,874 8,845 # PDL BioPharma, Inc. 14,616 124,090 PerkinElmer, Inc. 12,400 520,428 Perrigo Co. P.L.C. 14,542 2,106,554 Pfizer, Inc. 704,127 22,025,093 #* Pharmacyclics, Inc. 1,300 122,954 * PharMerica Corp. 2,600 70,694 #* PhotoMedex, Inc. 1,800 27,198 #* Pozen, Inc. 3,692 30,865 * Prestige Brands Holdings, Inc. 5,228 175,243 #* Progenics Pharmaceuticals, Inc. 3,300 11,649 * ProPhase Labs, Inc. 350 693 * Providence Service Corp. (The) 1,602 65,057 #* pSivida Corp. 1,029 3,746 #* Puma Biotechnology, Inc. 2,474 186,886 Quality Systems, Inc. 4,000 59,080 TAX-MANAGED U.S. EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Health Care -- (Continued) # Quest Diagnostics, Inc. 16,526 $ 924,299 # Questcor Pharmaceuticals, Inc. 6,310 518,556 * Quidel Corp. 2,861 61,368 * RadNet, Inc. 1,992 9,900 * Regeneron Pharmaceuticals, Inc. 8,100 2,404,809 #* Repligen Corp. 3,600 57,060 # ResMed, Inc. 15,326 764,001 * Rigel Pharmaceuticals, Inc. 5,853 18,730 * RTI Surgical, Inc. 5,843 25,125 #* Salix Pharmaceuticals, Ltd. 6,400 704,000 #* Sangamo Biosciences, Inc. 316 4,373 #* Sciclone Pharmaceuticals, Inc. 2,710 12,954 #* Seattle Genetics, Inc. 11,055 425,396 Select Medical Holdings Corp. 6,247 87,208 * Sirona Dental Systems, Inc. 5,975 449,440 #* Skilled Healthcare Group, Inc. Class A 2,400 12,384 * Special Diversified Opportunities, Inc. 2,577 3,041 * Spectranetics Corp. 2,706 57,530 #* Spectrum Pharmaceuticals, Inc. 6,160 42,319 St Jude Medical, Inc. 31,655 2,009,143 STERIS Corp. 6,066 291,471 Stryker Corp. 32,260 2,508,215 #* Sucampo Pharmaceuticals, Inc. Class A 600 4,146 * SurModics, Inc. 1,400 30,464 * Symmetry Medical, Inc. 3,300 27,258 #* Synageva BioPharma Corp. 1,584 136,810 #* Targacept, Inc. 1,844 8,187 * Taro Pharmaceutical Industries, Ltd. 716 80,428 * Team Health Holdings, Inc. 7,080 343,238 Techne Corp. 3,471 309,995 # Teleflex, Inc. 4,373 446,440 #* Tenet Healthcare Corp. 11,700 527,436 #* Theravance, Inc. 8,386 225,751 Thermo Fisher Scientific, Inc. 39,396 4,491,144 * Thoratec Corp. 6,444 211,234 #* Transcept Pharmaceuticals, Inc. 228 673 * Triple-S Management Corp. Class B 2,513 37,645 #* United Therapeutics Corp. 5,000 500,050 UnitedHealth Group, Inc. 108,703 8,157,073 Universal American Corp. 3,113 22,320 Universal Health Services, Inc. Class B 9,500 777,005 US Physical Therapy, Inc. 902 27,827 # Utah Medical Products, Inc. 276 14,018 * Varian Medical Systems, Inc. 11,557 919,359 * Vascular Solutions, Inc. 1,700 37,247 * VCA Antech, Inc. 9,000 275,670 * Vertex Pharmaceuticals, Inc. 23,479 1,589,528 #* Vical, Inc. 798 902 * Waters Corp. 9,300 916,422 * WellCare Health Plans, Inc. 4,200 283,374 WellPoint, Inc. 32,544 3,276,530 West Pharmaceutical Services, Inc. 7,390 320,578 TAX-MANAGED U.S. EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------ ------------ Health Care -- (Continued) * Wright Medical Group, Inc. 3,917 $ 107,130 #* Zalicus, Inc. 164 175 Zimmer Holdings, Inc. 18,480 1,788,864 Zoetis, Inc. 61,027 1,846,677 ------------ Total Health Care 280,391,494 ------------ Industrials -- (11.5%) 3M Co. 70,092 9,749,096 AAON, Inc. 4,612 130,750 AAR Corp. 3,583 92,800 ABM Industries, Inc. 5,315 143,983 # Acacia Research Corp. 4,362 69,966 #* ACCO Brands Corp. 4,702 28,823 Aceto Corp. 2,454 53,694 Acme United Corp. 400 6,732 * Acorn Energy, Inc. 330 766 Actuant Corp. Class A 7,200 243,792 Acuity Brands, Inc. 4,582 570,780 * Adept Technology, Inc. 1,502 17,964 # ADT Corp. (The) 24,144 730,115 #* Advisory Board Co. (The) 3,600 206,136 * AECOM Technology Corp. 10,785 349,650 * Aegion Corp. 6,240 159,058 * Aerovironment, Inc. 2,727 92,091 AGCO Corp. 10,140 564,798 * Air Transport Services Group, Inc. 3,656 28,626 Alamo Group, Inc. 789 41,912 Alaska Air Group, Inc. 7,432 699,203 Albany International Corp. Class A 2,633 94,735 Allegiant Travel Co. 1,647 193,440 Allegion P.L.C. 10,655 525,824 # Alliant Techsystems, Inc. 3,650 526,403 Allison Transmission Holdings, Inc. 8,633 257,609 Altra Industrial Motion Corp. 4,206 143,677 AMERCO 854 213,594 #* Ameresco, Inc. Class A 1,700 10,897 * American Airlines Group, Inc. 81,400 2,854,698 American Railcar Industries, Inc. 1,606 111,521 American Science & Engineering, Inc. 1,029 69,149 * American Woodmark Corp. 1,214 36,432 AMETEK, Inc. 26,050 1,373,356 AO Smith Corp. 9,832 459,744 Apogee Enterprises, Inc. 3,000 95,310 Applied Industrial Technologies, Inc. 4,082 195,609 * ARC Document Solutions, Inc. 3,000 19,200 ArcBest Corp. 3,000 118,260 Argan, Inc. 1,347 36,059 * Armstrong World Industries, Inc. 4,000 210,240 Astec Industries, Inc. 2,360 94,282 * Astronics Corp. 1,158 66,145 * Astronics Corp. Class B 231 13,144 * Atlas Air Worldwide Holdings, Inc. 2,609 91,289 TAX-MANAGED U.S. EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Industrials -- (Continued) * Avis Budget Group, Inc. 11,377 $ 598,316 # AZZ, Inc. 2,800 121,576 * B/E Aerospace, Inc. 10,903 956,956 Babcock & Wilcox Co. (The) 11,668 405,930 Barnes Group, Inc. 5,300 204,156 Barrett Business Services, Inc. 825 41,588 * Beacon Roofing Supply, Inc. 4,942 175,836 * Blount International, Inc. 5,320 59,424 #* BlueLinx Holdings, Inc. 873 1,144 Boeing Co. (The) 77,367 9,981,890 Brady Corp. Class A 4,590 118,376 # Briggs & Stratton Corp. 4,639 99,135 Brink's Co. (The) 4,959 126,157 #* Builders FirstSource, Inc. 3,029 23,778 * CAI International, Inc. 1,400 30,450 Carlisle Cos., Inc. 6,798 559,136 * Casella Waste Systems, Inc. Class A 3,338 17,024 Caterpillar, Inc. 69,555 7,331,097 #* CBIZ, Inc. 5,600 47,992 CDI Corp. 1,100 16,852 Ceco Environmental Corp. 1,142 18,146 Celadon Group, Inc. 1,523 35,044 # CH Robinson Worldwide, Inc. 17,200 1,013,080 #* Chart Industries, Inc. 3,200 218,304 Chicago Bridge & Iron Co. NV 8,906 713,103 Cintas Corp. 11,700 689,481 CIRCOR International, Inc. 1,580 128,312 # CLARCOR, Inc. 5,300 306,128 #* Clean Harbors, Inc. 6,136 368,160 * Colfax Corp. 8,888 639,758 * Columbus McKinnon Corp. 2,000 52,980 Comfort Systems USA, Inc. 4,929 73,935 * Command Security Corp. 1,531 3,024 #* Commercial Vehicle Group, Inc. 2,700 26,217 Con-way, Inc. 5,656 240,267 Copa Holdings SA Class A 3,120 422,074 * Copart, Inc. 11,500 417,105 Corporate Executive Board Co. (The) 3,688 254,546 Courier Corp. 1,460 21,214 Covanta Holding Corp. 12,535 231,271 * Covenant Transportation Group, Inc. Class A 100 1,025 #* CPI Aerostructures, Inc. 541 7,287 * CRA International, Inc. 1,100 23,947 Crane Co. 4,900 356,377 CSX Corp. 108,100 3,050,582 Cubic Corp. 1,635 77,548 Cummins, Inc. 18,689 2,819,236 Curtiss-Wright Corp. 4,100 262,154 Danaher Corp. 62,755 4,604,962 Deere & Co. 38,916 3,632,419 Delta Air Lines, Inc. 90,905 3,348,031 Deluxe Corp. 5,100 280,245 TAX-MANAGED U.S. EQUITY PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Industrials -- (Continued) #* DigitalGlobe, Inc. 7,382 $ 219,836 Donaldson Co., Inc. 15,100 635,559 Douglas Dynamics, Inc. 3,141 52,989 Dover Corp. 19,380 1,674,432 * Ducommun, Inc. 1,100 26,697 Dun & Bradstreet Corp. (The) 4,900 542,724 * DXP Enterprises, Inc. 999 113,097 * Dycom Industries, Inc. 3,188 100,103 Dynamic Materials Corp. 1,062 21,452 #* Eagle Bulk Shipping, Inc. 1,175 3,431 Eastern Co. (The) 600 10,134 Eaton Corp. P.L.C. 49,546 3,599,021 #* Echo Global Logistics, Inc. 777 15,198 EMCOR Group, Inc. 7,100 326,529 Emerson Electric Co. 76,280 5,200,770 Encore Wire Corp. 1,900 92,587 #* Energy Recovery, Inc. 2,000 10,220 * EnerNOC, Inc. 2,080 49,088 # EnerSys, Inc. 5,200 351,416 #* Engility Holdings, Inc. 1,833 79,992 Ennis, Inc. 2,716 40,631 #* EnPro Industries, Inc. 2,000 142,420 Equifax, Inc. 12,698 899,145 ESCO Technologies, Inc. 2,486 83,082 * Esterline Technologies Corp. 3,200 348,864 Exelis, Inc. 19,667 364,626 Expeditors International of Washington, Inc. 22,436 925,261 Exponent, Inc. 1,400 98,588 # Fastenal Co. 30,365 1,520,679 * Federal Signal Corp. 6,721 102,025 FedEx Corp. 31,565 4,300,731 Flowserve Corp. 16,500 1,205,325 Fluor Corp. 17,555 1,328,914 Fortune Brands Home & Security, Inc. 16,980 676,653 Forward Air Corp. 2,983 131,938 * Franklin Covey Co. 1,500 30,405 Franklin Electric Co., Inc. 5,400 208,818 FreightCar America, Inc. 1,200 31,512 * FTI Consulting, Inc. 4,114 141,110 #* Fuel Tech, Inc. 1,700 10,353 * Furmanite Corp. 3,300 34,584 G&K Services, Inc. Class A 1,900 100,586 GATX Corp. 4,700 308,461 * Gencor Industries, Inc. 400 4,196 #* GenCorp, Inc. 4,917 86,343 Generac Holdings, Inc. 6,565 386,547 General Cable Corp. 5,029 128,843 General Dynamics Corp. 31,056 3,399,079 General Electric Co. 1,098,105 29,528,043 * Genesee & Wyoming, Inc. Class A 5,062 501,189 * Gibraltar Industries, Inc. 3,140 53,631 Global Power Equipment Group, Inc. 1,290 22,614 TAX-MANAGED U.S. EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Industrials -- (Continued) #* Goldfield Corp. (The) 1,983 $ 4,085 Gorman-Rupp Co. (The) 2,441 75,793 * GP Strategies Corp. 1,842 48,408 Graco, Inc. 6,625 480,313 #* GrafTech International, Ltd. 7,182 80,510 Graham Corp. 1,500 44,760 Granite Construction, Inc. 3,685 137,745 * Great Lakes Dredge & Dock Corp. 6,665 57,519 #* Greenbrier Cos., Inc. (The) 2,169 113,742 # Griffon Corp. 5,003 53,232 * H&E Equipment Services, Inc. 3,255 125,480 Hardinge, Inc. 700 9,352 Harsco Corp. 8,088 193,546 #* Hawaiian Holdings, Inc. 4,038 58,349 # Healthcare Services Group, Inc. 6,481 188,597 # Heartland Express, Inc. 5,162 112,325 # HEICO Corp. 2,000 110,640 HEICO Corp. Class A 3,551 144,703 Heidrick & Struggles International, Inc. 1,861 35,080 Herman Miller, Inc. 6,453 198,946 * Hertz Global Holdings, Inc. 38,477 1,095,440 * Hexcel Corp. 10,870 453,170 * Hill International, Inc. 4,200 28,224 # HNI Corp. 4,673 164,630 Honeywell International, Inc. 79,802 7,413,606 Houston Wire & Cable Co. 2,370 29,530 * Hub Group, Inc. Class A 3,714 165,830 Hubbell, Inc. Class A 275 30,828 Hubbell, Inc. Class B 5,637 663,588 * Hudson Global, Inc. 3,600 12,780 Huntington Ingalls Industries, Inc. 5,491 565,573 Hurco Cos., Inc. 883 23,541 * Huron Consulting Group, Inc. 2,384 169,741 Hyster-Yale Materials Handling, Inc. 1,066 102,752 * ICF International, Inc. 1,750 68,198 IDEX Corp. 8,775 654,352 * IHS, Inc. Class A 6,390 770,826 Illinois Tool Works, Inc. 44,193 3,766,569 Ingersoll-Rand P.L.C. 31,966 1,911,567 #* InnerWorkings, Inc. 5,543 39,910 #* Innovative Solutions & Support, Inc. 1,906 12,827 Insperity, Inc. 2,180 69,891 Insteel Industries, Inc. 2,000 41,160 * Integrated Electrical Services, Inc. 707 4,390 # Interface, Inc. 7,269 130,769 # International Shipholding Corp. 637 17,161 # Intersections, Inc. 1,231 6,918 Iron Mountain, Inc. 13,356 379,845 ITT Corp. 9,589 413,669 * Jacobs Engineering Group, Inc. 13,400 773,180 JB Hunt Transport Services, Inc. 10,057 765,338 #* JetBlue Airways Corp. 26,500 209,483 TAX-MANAGED U.S. EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Industrials -- (Continued) John Bean Technologies Corp. 2,998 $ 86,912 # Joy Global, Inc. 10,525 635,500 Kadant, Inc. 900 31,275 # Kaman Corp. 10,849 455,333 Kansas City Southern 11,900 1,200,472 KAR Auction Services, Inc. 10,739 319,807 KBR, Inc. 15,190 385,370 Kelly Services, Inc. Class A 2,711 57,094 # Kennametal, Inc. 8,500 397,205 * Key Technology, Inc. 744 9,174 Kforce, Inc. 2,790 64,505 Kimball International, Inc. Class B 2,500 41,900 * Kirby Corp. 5,300 533,286 # Knight Transportation, Inc. 5,768 136,875 Knoll, Inc. 5,103 92,824 * Korn/Ferry International 4,871 141,503 #* Kratos Defense & Security Solutions, Inc. 3,728 26,916 L-3 Communications Holdings, Inc. 11,000 1,269,070 Landstar System, Inc. 4,810 302,982 * Lawson Products, Inc. 649 10,871 #* Layne Christensen Co. 1,700 29,614 LB Foster Co. Class A 581 27,510 Lennox International, Inc. 4,700 394,001 Lincoln Electric Holdings, Inc. 8,460 565,213 # Lindsay Corp. 1,349 118,887 #* LMI Aerospace, Inc. 698 9,521 Lockheed Martin Corp. 29,138 4,782,711 LSI Industries, Inc. 2,400 18,264 * Lydall, Inc. 1,419 33,219 # Manitowoc Co., Inc. (The) 13,600 432,208 Manpowergroup, Inc. 7,713 627,375 Marten Transport, Ltd. 3,358 78,779 Masco Corp. 38,326 769,969 #* MasTec, Inc. 6,300 249,354 Matson, Inc. 4,200 99,498 McGrath RentCorp 2,486 78,508 * Meritor, Inc. 9,997 118,664 #* Metalico, Inc. 5,606 8,633 * Mfri, Inc. 1,091 11,881 #* Middleby Corp. (The) 2,025 511,272 Miller Industries, Inc. 1,421 27,525 * Mistras Group, Inc. 203 4,610 Mobile Mini, Inc. 3,786 167,265 * Moog, Inc. Class A 3,953 258,724 * MRC Global, Inc. 6,500 189,735 MSA Safety, Inc. 3,481 183,623 MSC Industrial Direct Co., Inc. Class A 5,217 475,060 Mueller Industries, Inc. 5,800 167,852 Mueller Water Products, Inc. Class A 15,235 138,943 Multi-Color Corp. 1,486 51,787 * MYR Group, Inc. 2,509 58,861 # National Presto Industries, Inc. 737 53,256 TAX-MANAGED U.S. EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Industrials -- (Continued) * Navigant Consulting, Inc. 4,323 $ 72,626 #* NCI Building Systems, Inc. 674 10,541 Nielsen Holdings NV 26,192 1,229,714 NL Industries, Inc. 4,704 47,181 NN, Inc. 1,100 21,527 Nordson Corp. 6,170 458,740 Norfolk Southern Corp. 33,685 3,184,243 * Nortek, Inc. 786 64,578 Northrop Grumman Corp. 23,919 2,906,398 * Northwest Pipe Co. 1,100 39,347 #* Ocean Power Technologies, Inc. 300 810 * Old Dominion Freight Line, Inc. 6,962 422,106 # Omega Flex, Inc. 302 6,091 * On Assignment, Inc. 4,685 163,975 * Orbital Sciences Corp. 5,714 167,992 * Orion Energy Systems, Inc. 230 1,219 * Orion Marine Group, Inc. 2,500 29,325 Oshkosh Corp. 9,200 510,692 Owens Corning 11,644 475,657 PACCAR, Inc. 36,644 2,344,483 Pall Corp. 12,100 1,018,215 * PAM Transportation Services, Inc. 492 12,246 * Park-Ohio Holdings Corp. 1,300 75,907 Parker Hannifin Corp. 15,690 1,990,747 * Patrick Industries, Inc. 600 24,042 * Pendrell Corp. 12,128 20,011 Pentair, Ltd. 22,197 1,649,015 * PGT, Inc. 2,609 25,960 * Pike Corp. 2,597 24,931 # Pitney Bowes, Inc. 21,813 584,588 #* PMFG, Inc. 400 2,268 #* Polypore International, Inc. 5,100 176,868 Powell Industries, Inc. 700 44,324 * PowerSecure International, Inc. 2,600 57,798 Precision Castparts Corp. 15,585 3,944,408 Primoris Services Corp. 3,064 85,731 * Proto Labs, Inc. 1,283 77,673 Quad/Graphics, Inc. 2,303 49,860 * Quality Distribution, Inc. 2,577 32,393 # Quanex Building Products Corp. 3,800 71,592 * Quanta Services, Inc. 23,099 814,933 # Raven Industries, Inc. 5,746 177,551 Raytheon Co. 34,592 3,302,844 #* RBC Bearings, Inc. 2,240 139,462 * RCM Technologies, Inc. 395 2,678 Regal-Beloit Corp. 4,464 333,595 * Republic Airways Holdings, Inc. 4,358 36,215 Republic Services, Inc. 31,837 1,117,160 Resources Connection, Inc. 4,266 58,060 * Rexnord Corp. 4,956 132,523 * Roadrunner Transportation Systems, Inc. 1,537 37,856 Robert Half International, Inc. 14,493 649,286 TAX-MANAGED U.S. EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Industrials -- (Continued) Rockwell Automation, Inc. 14,920 $1,778,166 Rockwell Collins, Inc. 14,032 1,089,585 Rollins, Inc. 6,926 208,334 Roper Industries, Inc. 10,600 1,472,870 * RPX Corp. 2,672 43,767 RR Donnelley & Sons Co. 21,114 371,606 * Rush Enterprises, Inc. Class A 2,675 85,868 Ryder System, Inc. 5,488 451,004 * Saia, Inc. 2,325 95,720 Schawk, Inc. 2,653 53,060 * Sensata Technologies Holding NV 11,962 508,026 SIFCO Industries, Inc. 100 3,285 Simpson Manufacturing Co., Inc. 3,827 125,487 SkyWest, Inc. 4,969 57,640 Snap-on, Inc. 6,294 730,104 #* SolarCity Corp. 1,099 58,522 Southwest Airlines Co. 81,139 1,961,130 * SP Plus Corp. 2,343 57,216 * Sparton Corp. 400 10,864 * Spirit Aerosystems Holdings, Inc. Class A 11,500 345,345 * Spirit Airlines, Inc. 7,388 419,934 SPX Corp. 5,400 549,936 * Standard Register Co. (The) 360 2,614 Standex International Corp. 1,820 108,053 Stanley Black & Decker, Inc. 16,463 1,414,007 Steelcase, Inc. Class A 13,910 229,237 * Stericycle, Inc. 9,382 1,092,440 * Sterling Construction Co., Inc. 1,440 11,059 # Sun Hydraulics Corp. 2,235 91,367 #* Swift Transportation Co. 9,100 218,855 #* TAL International Group, Inc. 3,192 134,639 #* Taser International, Inc. 5,800 93,670 * Team, Inc. 1,992 85,437 #* Tecumseh Products Co. Class A 900 5,409 * Teledyne Technologies, Inc. 3,700 343,582 Tennant Co. 1,603 102,255 Terex Corp. 11,602 502,251 * Tetra Tech, Inc. 6,326 181,366 # Textainer Group Holdings, Ltd. 2,100 82,530 Textron, Inc. 29,300 1,198,370 * Thermon Group Holdings, Inc. 2,619 62,385 Timken Co. (The) 8,560 539,965 # Titan International, Inc. 4,800 84,048 #* Titan Machinery, Inc. 1,496 26,389 Toro Co. (The) 6,400 406,656 Towers Watson & Co. Class A 7,250 813,595 TransDigm Group, Inc. 5,200 924,924 * TRC Cos., Inc. 3,000 17,790 #* Trex Co., Inc. 1,464 114,953 * Trimas Corp. 3,678 131,893 Trinity Industries, Inc. 8,400 630,504 # Triumph Group, Inc. 5,222 338,438 TAX-MANAGED U.S. EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------ ------------ Industrials -- (Continued) * TrueBlue, Inc. 4,300 $ 115,025 * Tutor Perini Corp. 3,160 93,536 Twin Disc, Inc. 668 19,325 Tyco International, Ltd. 49,979 2,044,141 * Ultralife Corp. 2,100 7,560 UniFirst Corp. 1,540 148,210 Union Pacific Corp. 50,016 9,524,547 * United Continental Holdings, Inc. 38,634 1,578,972 United Parcel Service, Inc. Class B 76,915 7,576,128 #* United Rentals, Inc. 9,037 847,942 United Stationers, Inc. 3,629 136,196 United Technologies Corp. 93,907 11,112,015 Universal Forest Products, Inc. 1,800 90,882 # Universal Truckload Services, Inc. 888 21,898 URS Corp. 8,279 390,106 US Ecology, Inc. 1,848 82,513 #* USA Truck, Inc. 1,235 20,575 #* USG Corp. 9,800 292,628 # UTi Worldwide, Inc. 9,764 95,590 # Valmont Industries, Inc. 2,500 372,275 * Verisk Analytics, Inc. Class A 15,487 930,614 * Versar, Inc. 1,500 5,790 Viad Corp. 1,850 42,643 * Vicor Corp. 1,200 10,032 * Virco Manufacturing Corp. 1,718 3,771 VSE Corp. 800 49,976 #* Wabash National Corp. 6,947 92,812 * WABCO Holdings, Inc. 6,600 706,266 Wabtec Corp. 10,320 769,356 Waste Connections, Inc. 12,075 539,270 Waste Management, Inc. 46,755 2,078,260 Watsco, Inc. 2,800 288,148 Watts Water Technologies, Inc. Class A 2,870 152,684 # Werner Enterprises, Inc. 4,400 112,640 * Wesco Aircraft Holdings, Inc. 1,713 34,705 #* WESCO International, Inc. 4,287 376,313 * Willis Lease Finance Corp. 400 8,064 Woodward, Inc. 6,716 301,078 WW Grainger, Inc. 6,200 1,577,280 #* XPO Logistics, Inc. 827 22,445 Xylem, Inc. 19,333 726,727 ------------ Total Industrials 260,277,278 ------------ Information Technology -- (17.7%) #* 3D Systems Corp. 10,300 487,602 Accenture P.L.C. Class A 69,596 5,582,991 * ACI Worldwide, Inc. 3,658 209,055 Activision Blizzard, Inc. 41,100 822,411 * Actuate Corp. 5,359 30,171 * Acxiom Corp. 7,928 223,887 #* ADDvantage Technologies Group, Inc. 400 1,344 * Adobe Systems, Inc. 51,768 3,193,568 TAX-MANAGED U.S. EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Information Technology -- (Continued) # ADTRAN, Inc. 3,362 $ 75,410 * Advanced Energy Industries, Inc. 4,259 93,187 #* Advanced Micro Devices, Inc. 23,368 95,575 Advent Software, Inc. 5,022 144,734 * Agilysys, Inc. 2,000 25,080 * Akamai Technologies, Inc. 18,769 996,071 * Alliance Data Systems Corp. 5,600 1,354,640 * Alpha & Omega Semiconductor, Ltd. 640 4,608 Altera Corp. 33,767 1,098,103 Amdocs, Ltd. 16,670 775,655 American Software, Inc. Class A 2,676 25,797 #* Amkor Technology, Inc. 9,515 75,644 Amphenol Corp. Class A 16,844 1,606,075 * Amtech Systems, Inc. 700 5,985 #* ANADIGICS, Inc. 8,617 10,771 Analog Devices, Inc. 32,518 1,667,848 Anixter International, Inc. 3,000 293,940 * ANSYS, Inc. 9,592 731,966 * AOL, Inc. 8,562 366,539 Apple, Inc. 96,789 57,114,221 Applied Materials, Inc. 129,786 2,473,721 * Applied Micro Circuits Corp. 8,159 79,224 * ARRIS Group, Inc. 12,650 330,039 * Arrow Electronics, Inc. 11,300 641,275 * Aspen Technology, Inc. 9,812 421,818 * Atmel Corp. 46,749 363,240 * Autodesk, Inc. 23,409 1,124,100 Automatic Data Processing, Inc. 48,971 3,817,779 Avago Technologies, Ltd. 25,103 1,594,041 #* AVG Technologies NV 6,739 126,221 #* Aviat Networks, Inc. 6,079 9,179 #* Avid Technology, Inc. 3,971 29,981 Avnet, Inc. 15,500 668,515 AVX Corp. 6,815 90,980 #* Aware, Inc. 2,752 15,246 * Axcelis Technologies, Inc. 1,800 3,222 * AXT, Inc. 2,829 6,111 Badger Meter, Inc. 1,600 79,280 Bel Fuse, Inc. Class B 1,175 25,568 Belden, Inc. 4,749 350,524 * Benchmark Electronics, Inc. 4,988 115,622 Black Box Corp. 2,047 43,519 Blackbaud, Inc. 4,400 133,980 * Blackhawk Network Holdings, Inc. Class B 4,398 101,286 * Blucora, Inc. 5,747 110,630 Booz Allen Hamilton Holding Corp. 4,684 108,856 #* Bottomline Technologies de, Inc. 3,763 119,061 Broadcom Corp. Class A 54,012 1,664,110 Broadridge Financial Solutions, Inc. 13,095 502,062 * Brocade Communications Systems, Inc. 46,371 431,714 Brooks Automation, Inc. 5,441 55,661 * BTU International, Inc. 600 1,758 TAX-MANAGED U.S. EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Information Technology -- (Continued) CA, Inc. 34,897 $ 1,051,796 * Cabot Microelectronics Corp. 2,700 117,099 #* CACI International, Inc. Class A 2,335 162,633 * Cadence Design Systems, Inc. 30,500 474,580 * CalAmp Corp. 3,487 61,894 * Calix, Inc. 3,886 34,236 * Cardtronics, Inc. 5,453 182,566 * Cascade Microtech, Inc. 1,242 13,265 # Cass Information Systems, Inc. 1,118 56,470 * Ceva, Inc. 1,916 31,097 * Checkpoint Systems, Inc. 4,385 55,996 * CIBER, Inc. 16,532 71,418 #* Ciena Corp. 13,235 261,656 * Cinedigm Corp. 9,275 23,188 #* Cirrus Logic, Inc. 4,732 105,524 Cisco Systems, Inc. 566,126 13,083,172 #* Citrix Systems, Inc. 19,517 1,157,553 * Clearfield, Inc. 574 9,046 * Cognex Corp. 8,336 287,008 * Cognizant Technology Solutions Corp. Class A 67,004 3,209,827 * Coherent, Inc. 2,264 135,183 Cohu, Inc. 1,500 15,450 Communications Systems, Inc. 1,155 13,964 #* CommVault Systems, Inc. 4,695 227,238 Computer Sciences Corp. 16,353 967,771 Computer Task Group, Inc. 1,400 22,134 Compuware Corp. 19,868 205,832 * comScore, Inc. 2,204 69,051 Comtech Telecommunications Corp. 1,794 56,960 * Comverse, Inc. 1,137 28,357 #* Concur Technologies, Inc. 5,200 418,444 * Constant Contact, Inc. 2,332 60,306 Convergys Corp. 11,700 252,018 #* Conversant, Inc. 7,300 178,412 * CoreLogic, Inc. 9,249 259,249 Corning, Inc. 158,824 3,321,010 * CoStar Group, Inc. 2,894 465,616 * Cray, Inc. 4,250 122,018 #* Cree, Inc. 11,750 554,248 * Crexendo, Inc. 1,426 4,535 CSG Systems International, Inc. 3,600 94,896 CTS Corp. 6,518 115,955 * CyberOptics Corp. 1,199 9,016 Daktronics, Inc. 4,150 54,033 * Datalink Corp. 1,423 18,271 * Dealertrack Technologies, Inc. 4,579 209,215 #* Demand Media, Inc. 2,765 11,502 * Dice Holdings, Inc. 4,237 32,413 # Diebold, Inc. 5,900 221,899 * Digi International, Inc. 2,040 18,074 # Digimarc Corp. 858 28,331 * Digital River, Inc. 3,500 53,515 TAX-MANAGED U.S. EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Information Technology -- (Continued) * Diodes, Inc. 3,450 $ 90,977 * Dolby Laboratories, Inc. Class A 5,260 209,611 * Dot Hill Systems Corp. 3,766 15,554 * DSP Group, Inc. 3,109 24,748 DST Systems, Inc. 3,693 340,458 * DTS, Inc. 1,182 21,997 # EarthLink Holdings Corp. 6,569 22,400 * eBay, Inc. 125,009 6,479,216 # Ebix, Inc. 5,000 78,900 * EchoStar Corp. Class A 4,501 202,365 * Edgewater Technology, Inc. 1,000 7,080 Electro Rent Corp. 2,590 41,829 Electro Scientific Industries, Inc. 2,430 20,606 * Electronic Arts, Inc. 33,626 951,616 * Electronics for Imaging, Inc. 5,000 188,950 #* Ellie Mae, Inc. 1,400 34,146 #* eMagin Corp. 2,210 5,326 EMC Corp. 217,849 5,620,504 #* Emcore Corp. 827 3,994 * Emulex Corp. 8,842 63,220 * Entegris, Inc. 13,900 154,151 #* Entropic Communications, Inc. 6,575 24,262 * Envestnet, Inc. 1,389 51,185 * EPAM Systems, Inc. 635 19,768 EPIQ Systems, Inc. 4,051 51,812 * ePlus, Inc. 500 25,020 #* Equinix, Inc. 5,318 998,774 * Euronet Worldwide, Inc. 4,700 216,153 * Exar Corp. 4,019 43,486 * ExlService Holdings, Inc. 2,442 69,096 * Extreme Networks, Inc. 6,199 35,458 * F5 Networks, Inc. 7,950 836,102 * Fabrinet 500 10,800 * Facebook, Inc. Class A 176,180 10,532,040 # FactSet Research Systems, Inc. 4,350 463,275 Fair Isaac Corp. 3,625 207,350 #* Fairchild Semiconductor International, Inc. 13,385 170,391 * FARO Technologies, Inc. 2,100 83,790 FEI Co. 4,165 331,201 Fidelity National Information Services, Inc. 29,520 1,577,254 #* Finisar Corp. 9,600 251,040 * First Solar, Inc. 6,579 444,017 * Fiserv, Inc. 28,600 1,738,308 * FleetCor Technologies, Inc. 6,925 790,350 FLIR Systems, Inc. 16,900 575,276 * FormFactor, Inc. 6,406 36,835 Forrester Research, Inc. 1,137 40,284 * Fortinet, Inc. 13,661 300,269 #* Freescale Semiconductor, Ltd. 6,800 149,396 * Frequency Electronics, Inc. 798 8,503 #* Fusion-io, Inc. 5,608 48,397 * Gartner, Inc. 10,000 689,400 TAX-MANAGED U.S. EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Information Technology -- (Continued) * Genpact, Ltd. 22,351 $ 376,838 * Global Cash Access Holdings, Inc. 5,930 39,138 Global Payments, Inc. 8,396 561,105 * Google, Inc. Class A 30,123 16,112,190 * Google, Inc. Class C 30,123 15,864,579 * GSE Systems, Inc. 1,745 3,054 * GSI Group, Inc. 1,769 21,476 * GSI Technology, Inc. 3,200 20,320 #* GT Advanced Technologies, Inc. 12,200 202,642 * Guidewire Software, Inc. 5,719 215,949 Hackett Group, Inc. (The) 5,500 33,000 * Harmonic, Inc. 10,205 71,741 Harris Corp. 12,040 885,181 # Heartland Payment Systems, Inc. 4,300 176,042 Hewlett-Packard Co. 205,028 6,778,226 Hittite Microwave Corp. 3,110 184,610 * Hutchinson Technology, Inc. 1,900 5,282 IAC/InterActiveCorp 8,300 550,124 * ID Systems, Inc. 1,700 9,571 * Identive Group, Inc. 1,092 928 * IEC Electronics Corp. 638 2,839 * iGATE Corp. 3,200 117,120 * II-VI, Inc. 4,886 70,358 * Imation Corp. 2,440 10,541 #* Immersion Corp. 597 6,770 #* Infinera Corp. 10,000 89,600 * Informatica Corp. 11,100 393,495 * Ingram Micro, Inc. Class A 16,470 444,031 * Innodata, Inc. 2,754 9,281 * Inphi Corp. 1,500 22,185 * Insight Enterprises, Inc. 4,020 105,002 * Integrated Device Technology, Inc. 15,881 185,331 * Integrated Silicon Solution, Inc. 3,810 55,093 Intel Corp. 538,727 14,378,624 * Interactive Intelligence Group, Inc. 1,900 118,883 # InterDigital, Inc. 4,500 156,240 #* Internap Network Services Corp. 7,852 52,765 International Business Machines Corp. 104,744 20,579,054 * International Rectifier Corp. 6,589 171,578 * Interphase Corp. 490 2,671 Intersil Corp. Class A 12,140 149,808 * Intevac, Inc. 2,384 19,191 * IntraLinks Holdings, Inc. 721 6,597 * IntriCon Corp. 800 5,288 Intuit, Inc. 29,798 2,257,199 #* IPG Photonics Corp. 3,576 231,117 * Iteris, Inc. 600 1,164 #* Itron, Inc. 4,100 155,800 * Ixia 4,546 56,461 IXYS Corp. 2,391 25,799 # j2 Global, Inc. 5,183 240,284 Jabil Circuit, Inc. 19,112 329,873 TAX-MANAGED U.S. EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Information Technology -- (Continued) Jack Henry & Associates, Inc. 8,990 $ 495,888 * JDS Uniphase Corp. 25,300 320,551 * Juniper Networks, Inc. 51,449 1,270,276 * Kemet Corp. 2,594 12,996 * Key Tronic Corp. 749 7,850 KLA-Tencor Corp. 17,570 1,124,304 * Knowles Corp. 9,690 270,642 * Kofax, Ltd. 1,816 13,765 * Kopin Corp. 8,696 28,349 * Kulicke & Soffa Industries, Inc. 6,752 99,322 * KVH Industries, Inc. 2,000 27,020 * Lam Research Corp. 16,902 973,724 * Lattice Semiconductor Corp. 8,552 72,008 # Leidos Holdings, Inc. 7,400 275,576 Lexmark International, Inc. Class A 7,972 342,796 * Limelight Networks, Inc. 5,494 11,373 Linear Technology Corp. 24,807 1,103,912 * LinkedIn Corp. Class A 13,138 2,016,289 * Lionbridge Technologies, Inc. 5,700 33,516 * Liquidity Services, Inc. 652 11,247 Littelfuse, Inc. 2,279 206,363 * LoJack Corp. 2,400 13,608 LSI Corp. 62,544 696,740 * LTX-Credence Corp. 4,140 39,868 * Magnachip Semiconductor Corp. 2,100 29,400 * Manhattan Associates, Inc. 8,776 276,707 # ManTech International Corp. Class A 2,440 72,785 Marchex, Inc. Class B 3,183 29,443 Marvell Technology Group, Ltd. 49,822 790,177 MasterCard, Inc. Class A 124,910 9,187,130 * Mattersight Corp. 500 3,155 * Mattson Technology, Inc. 200 398 Maxim Integrated Products, Inc. 30,528 990,328 MAXIMUS, Inc. 7,600 323,532 * MaxLinear, Inc. Class A 1,002 7,886 #* Maxwell Technologies, Inc. 703 10,587 #* Measurement Specialties, Inc. 1,500 96,525 Mentor Graphics Corp. 12,551 259,806 * Mercury Systems, Inc. 2,500 34,900 # Mesa Laboratories, Inc. 300 25,710 Methode Electronics, Inc. 5,669 157,258 Micrel, Inc. 5,800 57,768 # Microchip Technology, Inc. 21,068 1,001,573 * Micron Technology, Inc. 104,164 2,720,764 * MICROS Systems, Inc. 8,400 432,600 * Microsemi Corp. 9,716 228,520 Microsoft Corp. 857,750 34,653,100 MKS Instruments, Inc. 5,048 142,101 MOCON, Inc. 535 8,549 #* ModusLink Global Solutions, Inc. 5,100 20,604 * MoneyGram International, Inc. 1,383 18,256 * Monolithic Power Systems, Inc. 3,320 123,172 TAX-MANAGED U.S. EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Information Technology -- (Continued) Monotype Imaging Holdings, Inc. 4,300 $ 113,563 * Monster Worldwide, Inc. 12,900 88,881 #* MoSys, Inc. 3,108 12,152 Motorola Solutions, Inc. 25,841 1,642,971 * Move, Inc. 4,260 45,539 # MTS Systems Corp. 1,700 109,599 * Multi-Fineline Electronix, Inc. 1,672 20,699 * Nanometrics, Inc. 2,297 37,349 # National Instruments Corp. 10,553 288,202 * NCI, Inc. Class A 1,200 11,964 * NCR Corp. 17,270 526,908 #* NeoPhotonics Corp. 780 4,501 NetApp, Inc. 38,360 1,366,000 * NETGEAR, Inc. 3,951 127,617 * Netscout Systems, Inc. 3,814 148,593 * NetSuite, Inc. 2,800 216,468 #* NeuStar, Inc. Class A 7,800 200,616 * Newport Corp. 5,630 105,168 NIC, Inc. 5,718 104,868 * Novatel Wireless, Inc. 4,993 9,037 #* Nuance Communications, Inc. 25,192 405,339 #* Numerex Corp. Class A 700 7,175 NVIDIA Corp. 63,600 1,174,692 * Oclaro, Inc. 4,000 13,600 * OmniVision Technologies, Inc. 5,145 100,482 * ON Semiconductor Corp. 48,843 459,613 * OpenTable, Inc. 2,388 160,378 * Oplink Communications, Inc. 1,500 25,710 Optical Cable Corp. 1,300 4,927 Oracle Corp. 400,229 16,361,362 * OSI Systems, Inc. 2,078 115,973 * Palo Alto Networks, Inc. 2,300 146,234 * Pandora Media, Inc. 14,445 338,302 * PAR Technology Corp. 1,750 8,453 Park Electrochemical Corp. 2,544 67,823 Paychex, Inc. 35,021 1,464,228 PC Connection, Inc. 1,900 38,019 PC-Tel, Inc. 2,700 22,275 * PCM, Inc. 1,468 15,297 * PDF Solutions, Inc. 3,109 58,356 Pegasystems, Inc. 2,690 44,573 # Perceptron, Inc. 528 6,230 * Perficient, Inc. 2,556 46,698 * Pericom Semiconductor Corp. 2,935 23,685 * Photronics, Inc. 5,488 47,636 #* Planar Systems, Inc. 930 2,046 Plantronics, Inc. 4,499 196,021 * Plexus Corp. 2,240 93,901 * PLX Technology, Inc. 3,500 20,300 * PMC-Sierra, Inc. 21,900 149,796 * Polycom, Inc. 18,000 221,400 Power Integrations, Inc. 2,919 137,864 TAX-MANAGED U.S. EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Information Technology -- (Continued) * PRGX Global, Inc. 2,100 $ 13,503 #* Procera Networks, Inc. 1,209 11,195 * Progress Software Corp. 6,750 144,855 * PTC, Inc. 15,600 551,772 QAD, Inc. Class A 739 14,078 QAD, Inc. Class B 184 2,869 * QLogic Corp. 7,416 85,877 QUALCOMM, Inc. 184,909 14,554,187 * Qualstar Corp. 300 453 * QuinStreet, Inc. 2,500 15,250 * Qumu Corp. 1,254 16,866 #* Rackspace Hosting, Inc. 11,300 327,926 * Radisys Corp. 2,460 7,872 #* Rambus, Inc. 10,013 121,057 #* RealD, Inc. 2,400 26,304 * RealNetworks, Inc. 3,050 22,997 #* RealPage, Inc. 5,000 88,750 * Red Hat, Inc. 20,680 1,006,082 #* Reis, Inc. 1,130 18,600 * RF Micro Devices, Inc. 28,986 244,642 Richardson Electronics, Ltd. 2,200 22,044 * Riverbed Technology, Inc. 16,842 327,577 * Rofin-Sinar Technologies, Inc. 1,380 30,636 * Rogers Corp. 1,570 94,231 * Rosetta Stone, Inc. 1,296 15,435 * Rovi Corp. 11,513 256,625 #* Rubicon Technology, Inc. 1,987 20,128 * Rudolph Technologies, Inc. 2,529 23,039 * Salesforce.com, Inc. 67,791 3,501,405 SanDisk Corp. 25,120 2,134,446 * Sanmina Corp. 7,765 157,241 * Sapient Corp. 12,399 201,732 * ScanSource, Inc. 2,184 83,887 Science Applications International Corp. 4,228 164,892 * Seachange International, Inc. 3,000 28,110 Seagate Technology P.L.C. 38,610 2,030,114 * Semtech Corp. 7,320 175,534 * ServiceNow, Inc. 13,194 656,006 * ShoreTel, Inc. 4,620 34,881 #* Shutterstock, Inc. 900 65,259 * Sigma Designs, Inc. 2,500 9,425 #* Silicon Graphics International Corp. 1,172 14,158 * Silicon Image, Inc. 9,089 50,989 * Silicon Laboratories, Inc. 4,220 189,689 * Skyworks Solutions, Inc. 19,121 784,917 * Smith Micro Software, Inc. 3,600 5,976 * SolarWinds, Inc. 6,337 255,508 Solera Holdings, Inc. 7,592 491,810 * Sonus Networks, Inc. 22,816 74,608 * Spansion, Inc. Class A 5,765 102,790 * Splunk, Inc. 8,864 483,708 * SS&C Technologies Holdings, Inc. 6,095 237,217 TAX-MANAGED U.S. EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Information Technology -- (Continued) * Stamps.com, Inc. 1,538 $ 53,384 * StarTek, Inc. 2,385 16,576 #* Stratasys, Ltd. 3,698 358,225 #* SunEdison, Inc. 25,420 488,827 #* SunPower Corp. 4,042 135,084 * Super Micro Computer, Inc. 2,009 40,903 * support.com, Inc. 5,150 12,721 * Sykes Enterprises, Inc. 3,800 75,202 Symantec Corp. 73,841 1,497,495 #* Synaptics, Inc. 3,400 211,310 #* Synchronoss Technologies, Inc. 3,036 92,416 * SYNNEX Corp. 2,358 158,882 * Synopsys, Inc. 15,668 589,430 * Syntel, Inc. 2,000 160,640 * Take-Two Interactive Software, Inc. 8,400 171,192 TE Connectivity, Ltd. 44,823 2,643,661 * Tech Data Corp. 3,513 219,527 * TeleCommunication Systems, Inc. Class A 4,140 10,557 * Telenav, Inc. 1,400 8,582 * TeleTech Holdings, Inc. 2,400 57,912 #* Teradata Corp. 17,385 790,322 #* Teradyne, Inc. 20,067 354,584 # Tessco Technologies, Inc. 1,314 43,217 Tessera Technologies, Inc. 4,753 104,233 Texas Instruments, Inc. 117,577 5,343,875 * TIBCO Software, Inc. 16,800 329,784 Total System Services, Inc. 17,783 564,966 Transact Technologies, Inc. 600 6,414 #* Travelzoo, Inc. 400 7,176 * Trimble Navigation, Ltd. 26,764 1,028,541 * TriQuint Semiconductor, Inc. 16,900 239,642 * TTM Technologies, Inc. 5,400 42,606 * Tyler Technologies, Inc. 3,125 255,156 #* Ubiquiti Networks, Inc. 1,600 61,968 * Ultimate Software Group, Inc. (The) 2,896 346,448 * Ultra Clean Holdings, Inc. 2,422 20,635 #* Ultratech, Inc. 2,900 77,198 * Unisys Corp. 4,732 115,319 United Online, Inc. 1,335 15,820 #* Universal Display Corp. 137 3,569 * Unwired Planet, Inc. 5,758 13,128 #* USA Technologies, Inc. 346 699 #* Vantiv, Inc. Class A 12,772 392,739 #* Veeco Instruments, Inc. 3,900 144,183 * VeriFone Systems, Inc. 10,903 364,596 * Verint Systems, Inc. 5,543 242,617 #* VeriSign, Inc. 16,123 760,683 #* ViaSat, Inc. 3,800 243,998 #* Viasystems Group, Inc. 1,015 12,200 * Vicon Industries, Inc. 900 2,628 * Video Display Corp. 1,359 4,716 * Virtusa Corp. 2,057 67,819 TAX-MANAGED U.S. EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ------------ Information Technology -- (Continued) Visa, Inc. Class A 55,143 $ 11,172,523 # Vishay Intertechnology, Inc. 12,724 180,935 * Vishay Precision Group, Inc. 1,973 32,022 #* VistaPrint NV 3,805 150,183 #* VMware, Inc. Class A 13,142 1,215,766 Wayside Technology Group, Inc. 152 2,456 * Web.com Group, Inc. 4,205 129,136 #* WebMD Health Corp. 4,087 180,196 * Westell Technologies, Inc. Class A 5,426 17,689 Western Digital Corp. 24,098 2,123,757 # Western Union Co. (The) 63,452 1,006,983 #* WEX, Inc. 3,940 378,122 #* Workday, Inc. Class A 7,188 525,227 Xerox Corp. 135,087 1,633,202 Xilinx, Inc. 28,230 1,332,174 * XO Group, Inc. 4,000 42,480 * Yahoo!, Inc. 119,439 4,293,832 #* Yelp, Inc. 5,849 341,114 * Zebra Technologies Corp. Class A 5,483 380,740 #* Zillow, Inc. Class A 3,000 326,100 * Zix Corp. 4,055 13,300 * Zygo Corp. 1,309 25,185 #* Zynga, Inc. Class A 66,600 269,730 ------------ Total Information Technology 402,510,928 ------------ Materials -- (3.8%) A Schulman, Inc. 3,119 112,034 * AEP Industries, Inc. 422 15,032 Air Products & Chemicals, Inc. 22,353 2,626,925 Airgas, Inc. 7,460 792,700 #* AK Steel Holding Corp. 7,657 53,599 Albemarle Corp. 9,203 616,969 Alcoa, Inc. 115,538 1,556,297 Allegheny Technologies, Inc. 9,806 404,007 #* Allied Nevada Gold Corp. 9,346 31,683 #* AM Castle & Co. 1,388 17,045 AMCOL International Corp. 2,400 110,040 # American Vanguard Corp. 2,950 52,540 Ampco-Pittsburgh Corp. 700 14,021 Aptargroup, Inc. 7,000 471,940 * Arabian American Development Co. 613 6,700 Ashland, Inc. 8,407 812,116 Avery Dennison Corp. 10,701 520,711 # Axiall Corp. 11,296 526,394 Balchem Corp. 3,412 211,373 Ball Corp. 15,487 870,215 Bemis Co., Inc. 11,191 450,326 * Berry Plastics Group, Inc. 7,766 174,657 Cabot Corp. 6,836 395,121 * Calgon Carbon Corp. 5,900 118,177 Carpenter Technology Corp. 4,601 288,943 Celanese Corp. Series A 16,930 1,040,010 TAX-MANAGED U.S. EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Materials -- (Continued) * Century Aluminum Co. 4,940 $ 67,925 CF Industries Holdings, Inc. 6,823 1,672,795 Chase Corp. 1,300 40,482 #* Chemtura Corp. 10,398 231,875 * Clearwater Paper Corp. 2,200 135,058 # Cliffs Natural Resources, Inc. 15,500 274,660 #* Codexis, Inc. 1,220 2,074 * Coeur Mining, Inc. 9,600 83,136 Commercial Metals Co. 11,043 212,026 Compass Minerals International, Inc. 3,504 320,966 * Core Molding Technologies, Inc. 389 4,672 * Crown Holdings, Inc. 15,714 741,229 Cytec Industries, Inc. 4,600 438,472 Deltic Timber Corp. 1,082 65,731 Domtar Corp. 3,743 349,446 Dow Chemical Co. (The) 128,475 6,410,902 Eagle Materials, Inc. 5,119 426,566 Eastman Chemical Co. 16,276 1,418,779 Ecolab, Inc. 30,492 3,190,683 EI du Pont de Nemours & Co. 98,888 6,657,140 * Ferro Corp. 7,900 102,542 #* Flotek Industries, Inc. 5,082 142,347 FMC Corp. 14,500 1,116,500 Freeport-McMoRan Copper & Gold, Inc. 110,767 3,807,062 Friedman Industries, Inc. 599 5,139 FutureFuel Corp. 1,256 25,208 #* General Moly, Inc. 4,913 5,404 Globe Specialty Metals, Inc. 6,858 132,908 #* Golden Minerals Co. 1,450 1,015 * Graphic Packaging Holding Co. 20,376 209,058 Greif, Inc. Class A 2,500 135,475 Hawkins, Inc. 888 32,146 Haynes International, Inc. 1,800 95,490 HB Fuller Co. 5,400 250,182 * Headwaters, Inc. 7,000 87,360 # Hecla Mining Co. 28,200 86,574 #* Horsehead Holding Corp. 3,876 60,427 Huntsman Corp. 21,532 539,377 Innophos Holdings, Inc. 2,500 141,100 Innospec, Inc. 2,400 103,344 International Flavors & Fragrances, Inc. 8,630 850,228 International Paper Co. 43,500 2,029,275 #* Intrepid Potash, Inc. 5,600 91,280 # Kaiser Aluminum Corp. 1,800 126,720 * KapStone Paper and Packaging Corp. 8,598 226,815 KMG Chemicals, Inc. 1,500 23,415 Koppers Holdings, Inc. 1,980 84,546 * Kraton Performance Polymers, Inc. 3,187 83,021 Kronos Worldwide, Inc. 2,426 37,967 #* Landec Corp. 3,992 47,345 #* Louisiana-Pacific Corp. 14,700 240,933 * LSB Industries, Inc. 2,000 76,380 TAX-MANAGED U.S. EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Materials -- (Continued) LyondellBasell Industries NV Class A 49,032 $4,535,460 # Martin Marietta Materials, Inc. 4,800 596,784 Materion Corp. 1,659 55,825 #* McEwen Mining, Inc. 13,772 33,053 MeadWestvaco Corp. 18,272 713,887 #* Mercer International, Inc. 3,588 29,709 Minerals Technologies, Inc. 3,500 208,215 #* Molycorp, Inc. 5,989 28,448 Monsanto Co. 56,970 6,306,579 Mosaic Co. (The) 36,021 1,802,491 Myers Industries, Inc. 3,889 72,724 Neenah Paper, Inc. 1,500 75,555 # NewMarket Corp. 1,212 451,252 Newmont Mining Corp. 50,732 1,259,676 Noranda Aluminum Holding Corp. 2,200 7,810 * Northern Technologies International Corp. 300 6,345 Nucor Corp. 33,233 1,719,808 # Olin Corp. 8,155 229,155 Olympic Steel, Inc. 1,300 34,268 # OM Group, Inc. 3,037 88,954 * OMNOVA Solutions, Inc. 3,300 30,096 * Owens-Illinois, Inc. 17,100 543,438 Packaging Corp. of America 10,700 712,941 * Penford Corp. 1,572 19,807 PH Glatfelter Co. 4,200 107,184 PolyOne Corp. 10,028 375,749 PPG Industries, Inc. 14,549 2,816,977 Praxair, Inc. 31,146 4,066,110 Quaker Chemical Corp. 1,414 105,244 Reliance Steel & Aluminum Co. 8,000 566,560 * Resolute Forest Products, Inc. 2,379 42,441 Rock-Tenn Co. Class A 7,427 710,095 Rockwood Holdings, Inc. 7,980 566,979 Royal Gold, Inc. 5,000 331,000 RPM International, Inc. 13,941 594,723 * RTI International Metals, Inc. 3,000 84,480 # Schnitzer Steel Industries, Inc. Class A 2,300 64,561 Schweitzer-Mauduit International, Inc. 3,186 139,037 Scotts Miracle-Gro Co. (The) Class A 4,409 269,875 Sealed Air Corp. 19,877 681,980 Sensient Technologies Corp. 4,721 255,170 Sherwin-Williams Co. (The) 9,200 1,838,528 Sigma-Aldrich Corp. 12,979 1,248,710 Silgan Holdings, Inc. 5,600 278,600 Sonoco Products Co. 11,072 465,910 # Southern Copper Corp. 18,041 543,756 Steel Dynamics, Inc. 22,500 411,075 # Stepan Co. 1,746 100,971 #* Stillwater Mining Co. 11,244 177,430 * SunCoke Energy, Inc. 6,923 144,483 Synalloy Corp. 737 11,424 #* Texas Industries, Inc. 1,900 164,730 TAX-MANAGED U.S. EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Materials -- (Continued) Tredegar Corp. 2,230 $ 46,406 # Tronox, Ltd. Class A 5,929 145,260 United States Lime & Minerals, Inc. 353 19,083 # United States Steel Corp. 11,300 294,026 * Universal Stainless & Alloy Products, Inc. 545 19,560 # US Silica Holdings, Inc. 1,786 80,674 Valspar Corp. (The) 9,100 664,664 Vulcan Materials Co. 13,048 841,987 # Walter Energy, Inc. 6,000 43,200 # Wausau Paper Corp. 5,215 62,371 Westlake Chemical Corp. 5,260 374,512 Worthington Industries, Inc. 5,620 206,816 * WR Grace & Co. 7,800 718,380 Zep, Inc. 2,526 43,675 ----------- Total Materials 86,317,451 ----------- Other -- (0.0%) (o)* Brooklyn Federal Bancorp, Inc. Escrow Shares 100 -- (o)* Gerber Scientific, Inc. Escrow Shares 2,901 -- (o)* Petrocorp, Inc. Escrow Shares 100 -- ----------- Total Other -- ----------- Real Estate Investment Trusts -- (0.1%) Altisource Residential Corp. 800 22,496 Crown Castle International Corp. 31,300 2,276,449 Parkway Properties, Inc. 1,971 37,173 ----------- Total Real Estate Investment Trusts 2,336,118 ----------- Telecommunication Services -- (2.0%) #* 8x8, Inc. 3,443 33,397 #* Alaska Communications Systems Group, Inc. 1,400 2,646 AT&T, Inc. 570,785 20,377,025 Atlantic Tele-Network, Inc. 1,149 67,986 #* Boingo Wireless, Inc. 1,200 7,920 * Cbeyond, Inc. 2,962 29,294 # CenturyLink, Inc. 63,542 2,218,251 #* Cincinnati Bell, Inc. 21,600 72,360 Cogent Communications Group, Inc. 4,200 144,774 # Consolidated Communications Holdings, Inc. 4,233 84,321 # Frontier Communications Corp. 103,738 617,241 * General Communication, Inc. Class A 3,550 37,062 # HC2 Holdings, Inc. 900 3,537 HickoryTech Corp. 2,100 24,927 IDT Corp. Class B 1,800 28,512 Inteliquent, Inc. 2,700 36,828 #* Iridium Communications, Inc. 4,218 28,134 * Level 3 Communications, Inc. 17,703 761,760 Lumos Networks Corp. 2,000 26,420 #* NII Holdings, Inc. 17,652 15,179 # NTELOS Holdings Corp. 2,000 27,580 * ORBCOMM, Inc. 1,021 6,402 TAX-MANAGED U.S. EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Telecommunication Services -- (Continued) * Premiere Global Services, Inc. 5,500 $ 69,960 #* SBA Communications Corp. Class A 13,600 1,220,736 Shenandoah Telecommunications Co. 1,830 51,295 #* Sprint Corp. 84,359 717,052 #* Straight Path Communications, Inc. Class B 900 6,300 * T-Mobile US, Inc. 13,148 385,105 Telephone & Data Systems, Inc. 9,517 258,767 * tw telecom, Inc. 16,100 494,109 United States Cellular Corp. 1,000 41,540 USA Mobility, Inc. 2,839 48,632 Verizon Communications, Inc. 377,573 17,643,986 * Vonage Holdings Corp. 8,954 34,383 # Windstream Holdings, Inc. 60,278 546,722 ----------- Total Telecommunication Services 46,170,143 ----------- Utilities -- (3.1%) AES Corp. 68,539 990,389 AGL Resources, Inc. 12,934 698,436 # ALLETE, Inc. 4,181 216,409 Alliant Energy Corp. 11,900 695,912 Ameren Corp. 26,700 1,102,977 American Electric Power Co., Inc. 52,526 2,826,424 American States Water Co. 4,400 133,584 American Water Works Co., Inc. 19,600 892,388 Aqua America, Inc. 19,333 485,065 Artesian Resources Corp. Class A 471 10,371 Atmos Energy Corp. 10,030 511,931 # Avista Corp. 6,463 207,785 Black Hills Corp. 4,500 259,875 California Water Service Group 5,100 114,750 * Calpine Corp. 34,897 800,188 CenterPoint Energy, Inc. 44,700 1,106,772 Chesapeake Utilities Corp. 1,000 63,260 Cleco Corp. 6,582 345,884 CMS Energy Corp. 28,852 874,504 Connecticut Water Service, Inc. 1,422 46,215 Consolidated Edison, Inc. 29,998 1,740,784 Consolidated Water Co., Ltd. 777 9,029 # Delta Natural Gas Co., Inc. 720 13,730 Dominion Resources, Inc. 62,139 4,507,563 DTE Energy Co. 18,500 1,445,590 Duke Energy Corp. 75,489 5,623,176 #* Dynegy, Inc. 9,335 265,581 Edison International 31,913 1,804,999 El Paso Electric Co. 4,200 158,844 Empire District Electric Co. (The) 4,470 108,710 Entergy Corp. 19,100 1,384,750 Exelon Corp. 88,013 3,083,095 FirstEnergy Corp. 43,020 1,451,925 # Gas Natural, Inc. 850 9,265 * Genie Energy, Ltd. Class B 1,800 14,580 # Great Plains Energy, Inc. 17,100 458,793 TAX-MANAGED U.S. EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Utilities -- (Continued) # Hawaiian Electric Industries, Inc. 10,300 $ 247,097 IDACORP, Inc. 5,551 311,633 Integrys Energy Group, Inc. 8,540 523,331 ITC Holdings Corp. 17,100 632,187 Laclede Group, Inc. (The) 3,289 155,932 MDU Resources Group, Inc. 19,689 697,384 # MGE Energy, Inc. 3,789 144,816 Middlesex Water Co. 1,620 32,935 # National Fuel Gas Co. 7,872 579,694 # New Jersey Resources Corp. 4,454 221,497 NextEra Energy, Inc. 46,691 4,662,096 NiSource, Inc. 32,615 1,184,577 Northeast Utilities 34,110 1,612,039 # Northwest Natural Gas Co. 2,797 123,823 NorthWestern Corp. 3,938 190,520 NRG Energy, Inc. 35,895 1,174,484 OGE Energy Corp. 21,600 806,328 ONE Gas, Inc. 5,450 199,361 Ormat Technologies, Inc. 1,700 45,356 # Otter Tail Corp. 3,400 99,620 # Pepco Holdings, Inc. 24,900 666,324 PG&E Corp. 47,424 2,161,586 Piedmont Natural Gas Co., Inc. 8,196 293,335 Pinnacle West Capital Corp. 11,815 661,049 PNM Resources, Inc. 8,650 239,432 # Portland General Electric Co. 8,207 274,688 PPL Corp. 64,982 2,166,500 Public Service Enterprise Group, Inc. 54,650 2,239,011 Questar Corp. 19,300 468,604 RGC Resources, Inc. 200 3,820 # SCANA Corp. 13,703 735,577 Sempra Energy 24,630 2,428,764 SJW Corp. 2,210 60,178 South Jersey Industries, Inc. 3,300 189,585 Southern Co. (The) 94,136 4,314,253 Southwest Gas Corp. 5,119 281,596 # TECO Energy, Inc. 22,655 406,884 UGI Corp. 12,034 561,868 # UIL Holdings Corp. 5,631 206,827 Unitil Corp. 1,200 39,840 # UNS Energy Corp. 4,395 263,964 Vectren Corp. 9,040 366,753 # Westar Energy, Inc. 14,053 504,222 WGL Holdings, Inc. 5,799 230,742 # Wisconsin Energy Corp. 24,300 1,178,064 Xcel Energy, Inc. 51,325 1,635,728 TAX-MANAGED U.S. EQUITY PORTFOLIO CONTINUED SHARES VALUE+ ------------ -------------- Utilities -- (Continued) # York Water Co. 900 $ 18,009 -------------- Total Utilities 70,705,446 -------------- TOTAL COMMON STOCKS 2,149,000,411 -------------- RIGHTS/WARRANTS -- (0.0%) (o)* Community Health Systems, Inc. Rights 01/04/16 27,224 1,636 (o)* Leap Wireless International, Inc. Contingent Value Rights 7,025 17,703 (o)#* Magnum Hunter Resources Corp. Warrants 04/15/16 1,430 -- -------------- TOTAL RIGHTS/WARRANTS 19,339 -------------- TEMPORARY CASH INVESTMENTS -- (0.3%) State Street Institutional Liquid Reserves, 0.074% 6,797,299 6,797,299 -------------- SHARES/ FACE AMOUNT (000) ------------ SECURITIES LENDING COLLATERAL -- (5.2%) (S)@ DFA Short Term Investment Fund 10,243,036 118,511,924 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $1,187,944,743) $2,274,328,973 ============== TAX-MANAGED U.S. EQUITY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, 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 $ 278,360,356 -- -- $ 278,360,356 Consumer Staples 193,010,800 -- -- 193,010,800 Energy 219,636,011 -- -- 219,636,011 Financials 309,284,232 $ 154 -- 309,284,386 Health Care 280,388,250 3,244 -- 280,391,494 Industrials 260,277,278 -- -- 260,277,278 Information Technology 402,510,928 -- -- 402,510,928 Materials 86,317,451 -- -- 86,317,451 Other -- -- -- -- Real Estate Investment Trusts 2,336,118 -- -- 2,336,118 Telecommunication Services 46,170,143 -- -- 46,170,143 Utilities 70,705,446 -- -- 70,705,446 Rights/Warrants -- 19,339 -- 19,339 Temporary Cash Investments 6,797,299 -- -- 6,797,299 Securities Lending Collateral -- 118,511,924 -- 118,511,924 -------------- ------------ -- -------------- TOTAL $2,155,794,312 $118,534,661 -- $2,274,328,973 ============== ============ == ============== TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO SCHEDULE OF INVESTMENTS APRIL 30, 2014 (UNAUDITED) SHARES VALUE+ ------- ----------- COMMON STOCKS -- (87.7%) Consumer Discretionary -- (13.8%) * 1-800-Flowers.com, Inc. Class A 137,199 $ 747,735 Aaron's, Inc. 26,313 775,444 Abercrombie & Fitch Co. Class A 5,023 184,645 AH Belo Corp. Class A 100,654 1,158,528 #* ALCO Stores, Inc. 10,636 107,317 * Ambassadors Group, Inc. 1,110 4,706 AMCON Distributing Co. 388 31,218 #* America's Car-Mart, Inc. 44,364 1,603,315 # Arctic Cat, Inc. 21,276 869,976 Ark Restaurants Corp. 11,046 234,507 * Asbury Automotive Group, Inc. 761 46,984 * Ascent Capital Group, Inc. Class A 37,093 2,550,886 * Ballantyne Strong, Inc. 85,890 388,223 #* Barnes & Noble, Inc. 197,235 3,234,654 Bassett Furniture Industries, Inc. 44,555 614,413 # Beasley Broadcasting Group, Inc. Class A 42,442 326,803 * Beazer Homes USA, Inc. 21,064 399,373 # bebe stores, Inc. 154,556 780,508 Big 5 Sporting Goods Corp. 15,726 192,014 * Biglari Holdings, Inc. 7,203 3,090,231 #* BJ's Restaurants, Inc. 3,305 94,358 # Bob Evans Farms, Inc. 102,827 4,819,502 # Bon-Ton Stores, Inc. (The) 9,857 108,427 * Books-A-Million, Inc. 89,105 210,288 Bowl America, Inc. Class A 11,489 169,176 #* Boyd Gaming Corp. 179,677 2,123,782 #* Bridgepoint Education, Inc. 10,334 163,794 * Bright Horizons Family Solutions, Inc. 2,421 98,728 Brown Shoe Co., Inc. 191,145 4,509,111 * Build-A-Bear Workshop, Inc. 93,796 1,052,391 #* Cabela's, Inc. 208,284 13,665,513 #* Cache, Inc. 86,803 230,896 # Callaway Golf Co. 356,756 3,107,345 * Cambium Learning Group, Inc. 57,897 129,689 * Canterbury Park Holding Corp. 7,625 85,781 * Career Education Corp. 9,777 70,590 Carriage Services, Inc. 169,187 2,722,219 #* Carrols Restaurant Group, Inc. 63,075 423,233 * Cavco Industries, Inc. 22,377 1,744,287 #* Central European Media Enterprises, Ltd. Class A 3,927 10,760 #* Charles & Colvard, Ltd. 38,289 83,087 Chico's FAS, Inc. 112,697 1,789,628 # Children's Place Retail Stores, Inc. (The) 2,275 109,200 * Christopher & Banks Corp. 129,208 806,258 Churchill Downs, Inc. 56,570 4,968,543 * Citi Trends, Inc. 5,396 91,678 Clear Channel Outdoor Holdings, Inc. Class A 59,302 475,602 * Coast Distribution System, Inc. (The) 18,627 59,606 * Cobra Electronics Corp. 19,854 65,518 #* Conn's, Inc. 159,725 7,064,637 Core-Mark Holding Co., Inc. 59,460 4,788,908 TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Consumer Discretionary -- (Continued) #* Corinthian Colleges, Inc. 345,377 $ 397,184 * Crocs, Inc. 26,032 393,864 CSS Industries, Inc. 43,800 1,049,886 Culp, Inc. 36,886 665,792 * Cumulus Media, Inc. Class A 100,709 645,545 # Darden Restaurants, Inc. 62,907 3,127,107 #* dELiA*s, Inc. 47,628 40,246 #* Delta Apparel, Inc. 17,375 264,621 #* Destination XL Group, Inc. 104,764 565,726 # DeVry Education Group, Inc. 74,763 3,366,578 Dillard's, Inc. Class A 254,247 24,898,409 DineEquity, Inc. 59,800 4,533,438 * Dixie Group, Inc. (The) 107,293 1,616,906 #* Dorman Products, Inc. 146,076 8,406,674 * Dover Downs Gaming & Entertainment, Inc. 16,136 23,397 Dover Motorsports, Inc. 109,057 255,193 # DR Horton, Inc. 92,190 2,053,993 #* DreamWorks Animation SKG, Inc. Class A 162,850 3,913,286 Drew Industries, Inc. 245 12,328 #* Education Management Corp. 36,822 146,183 Educational Development Corp. 2,276 8,831 * Emerson Radio Corp. 234,338 475,706 #* Entercom Communications Corp. Class A 27,299 294,829 Escalade, Inc. 24,227 356,621 * EW Scripps Co. Class A 235,669 4,037,010 (o)#* FAB Universal Corp. 5,037 11,600 * Famous Dave's Of America, Inc. 479 12,689 #* Federal-Mogul Holdings Corp. 143,350 2,468,487 Finish Line, Inc. (The) Class A 44,789 1,233,041 * Flanigan's Enterprises, Inc. 5,016 69,973 Flexsteel Industries, Inc. 26,545 911,024 Foot Locker, Inc. 242,147 11,267,100 Fred's, Inc. Class A 189,475 3,452,235 Frisch's Restaurants, Inc. 23,920 566,426 * FTD Cos., Inc. 98,445 2,986,821 * Fuel Systems Solutions, Inc. 28,017 293,618 * Full House Resorts, Inc. 57,269 114,252 #* G-III Apparel Group, Ltd. 65,443 4,696,844 * Gaiam, Inc. Class A 47,824 352,941 # GameStop Corp. Class A 431,501 17,121,960 * Gaming Partners International Corp. 100 845 Gannett Co., Inc. 412,001 11,194,067 * Geeknet, Inc. 710 10,508 * Genesco, Inc. 87,141 6,654,958 Graham Holdings Co. Class B 12,228 8,207,800 * Gray Television, Inc. 226,443 2,547,484 * Gray Television, Inc. Class A 2,809 25,997 # Group 1 Automotive, Inc. 126,434 9,119,684 * Hallwood Group, Inc. (The) 7,822 95,898 Harte-Hanks, Inc. 142,987 1,149,615 * Hastings Entertainment, Inc. 65,844 194,240 Haverty Furniture Cos., Inc. 110,114 2,812,312 TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Consumer Discretionary -- (Continued) Haverty Furniture Cos., Inc. Class A 700 $ 17,906 * Helen of Troy, Ltd. 137,895 8,646,017 #* hhgregg, Inc. 59,528 513,131 * Hollywood Media Corp. 63,704 79,630 Hooker Furniture Corp. 53,234 737,291 #* Iconix Brand Group, Inc. 357,800 15,206,500 International Speedway Corp. Class A 125,710 3,952,322 * Isle of Capri Casinos, Inc. 170,485 1,159,298 # JAKKS Pacific, Inc. 141,049 1,235,589 * Jarden Corp. 31,950 1,825,943 Johnson Outdoors, Inc. Class A 101,246 2,119,079 * Journal Communications, Inc. Class A 247,681 1,986,402 #* K12, Inc. 3,021 71,537 * Kirkland's, Inc. 53,915 922,486 * Kona Grill, Inc. 1,474 34,565 Koss Corp. 710 3,280 La-Z-Boy, Inc. 233,867 5,666,597 * Lakeland Industries, Inc. 34,327 243,722 #* Lands' End, Inc. 368 10,175 #* LeapFrog Enterprises, Inc. 26,371 180,641 Lear Corp. 39,162 3,252,796 # Lennar Corp. Class A 309,800 11,955,182 Lennar Corp. Class B 66,537 2,163,783 * Liberty Ventures Series A 10,498 609,304 #* Life Time Fitness, Inc. 16,853 808,944 Lifetime Brands, Inc. 63,921 1,220,891 # Lincoln Educational Services Corp. 2,664 10,869 Lithia Motors, Inc. Class A 112,625 8,365,785 * Live Nation Entertainment, Inc. 433,828 9,058,329 * Loral Space & Communications, Inc. 45,946 3,307,653 * Luby's, Inc. 151,536 821,325 * M/I Homes, Inc. 95,252 2,121,262 * Madison Square Garden Co. (The) Class A 60,153 3,284,354 Marcus Corp. (The) 108,304 1,811,926 * MarineMax, Inc. 127,066 2,040,680 * Marriott Vacations Worldwide Corp. 39,833 2,170,102 * Martha Stewart Living Omnimedia, Inc. Class A 8,504 33,251 Matthews International Corp. Class A 385 15,535 * McClatchy Co. (The) Class A 269,431 1,476,482 # MDC Holdings, Inc. 87,426 2,412,958 #* Media General, Inc. Class A 96,566 1,479,391 Men's Wearhouse, Inc. (The) 238,818 11,315,197 Meredith Corp. 13,132 578,727 * Meritage Homes Corp. 73,345 2,829,650 * Modine Manufacturing Co. 147,459 2,430,124 * Mohawk Industries, Inc. 95,662 12,666,605 * Monarch Casino & Resort, Inc. 7,104 113,948 * Motorcar Parts of America, Inc. 56,988 1,563,751 Movado Group, Inc. 105,959 4,162,070 * MTR Gaming Group, Inc. 97,351 492,596 * Multimedia Games Holding Co., Inc. 74,184 2,166,173 * Murphy USA, Inc. 25,684 1,091,570 TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Consumer Discretionary -- (Continued) NACCO Industries, Inc. Class A 25,083 $ 1,344,198 * Nathan's Famous, Inc. 9,601 473,137 #* Nautilus, Inc. 32,258 268,709 * New York & Co., Inc. 121,740 510,091 #* Office Depot, Inc. 1,398,222 5,718,728 * Orbitz Worldwide, Inc. 218 1,602 * Orient-Express Hotels, Ltd. Class A 447,582 5,863,324 * P&F Industries, Inc. Class A 2,025 16,605 #* Pacific Sunwear of California, Inc. 284,074 818,133 * Penn National Gaming, Inc. 44,413 495,649 Penske Automotive Group, Inc. 236,131 10,828,968 * Pep Boys-Manny, Moe & Jack (The) 195,999 2,003,110 * Perfumania Holdings, Inc. 27,270 180,800 * Perry Ellis International, Inc. 81,166 1,225,607 #* Pinnacle Entertainment, Inc. 190,559 4,434,308 * Point.360 7,043 2,535 PulteGroup, Inc. 236,843 4,355,543 PVH Corp. 27,050 3,396,669 #* Quiksilver, Inc. 406,028 2,606,700 #* Radio One, Inc. Class D 50,923 230,172 #* RadioShack Corp. 29,210 41,770 #* Reading International, Inc. Class B 6,238 63,971 * Red Lion Hotels Corp. 93,026 534,900 * Red Robin Gourmet Burgers, Inc. 79,845 5,427,863 # Regis Corp. 240,190 3,156,097 # Rent-A-Center, Inc. 244,102 7,130,219 RG Barry Corp. 10,660 194,865 #* Rick's Cabaret International, Inc. 49,664 501,606 Rocky Brands, Inc. 37,738 552,484 Royal Caribbean Cruises, Ltd. 59,707 3,172,233 * Ruby Tuesday, Inc. 301,210 2,322,329 # Ryland Group, Inc. (The) 21,610 829,608 Saga Communications, Inc. Class A 34,254 1,517,452 Salem Communications Corp. Class A 55,646 490,241 # Scholastic Corp. 140,916 4,637,546 #* Sears Holdings Corp. 1,226 53,711 Service Corp. International 458,689 8,609,593 #* Shiloh Industries, Inc. 200,500 3,957,870 Shoe Carnival, Inc. 115,172 2,630,529 Signet Jewelers, Ltd. 15,369 1,557,187 #* Sizmek, Inc. 39,090 374,482 * Skechers U.S.A., Inc. Class A 187,114 7,669,803 * Skullcandy, Inc. 9,800 75,460 * Skyline Corp. 29,726 151,603 * Spanish Broadcasting System, Inc. Class A 4,503 28,549 Spartan Motors, Inc. 161,700 858,627 # Speedway Motorsports, Inc. 201,627 3,667,595 * Sport Chalet, Inc. Class A 132,485 149,708 * Sport Chalet, Inc. Class B 4,760 6,045 # Stage Stores, Inc. 159,243 3,054,281 Standard Motor Products, Inc. 123,563 4,694,158 * Standard Pacific Corp. 73,800 589,662 TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ --------- ------------ Consumer Discretionary -- (Continued) * Stanley Furniture Co., Inc. 57,224 $ 167,094 Stein Mart, Inc. 124,540 1,556,750 * Stoneridge, Inc. 67,571 722,334 Strattec Security Corp. 16,028 1,070,831 Superior Industries International, Inc. 138,538 2,928,693 Superior Uniform Group, Inc. 39,336 639,603 * Systemax, Inc. 245,635 4,247,029 * Tandy Leather Factory, Inc. 18,463 180,753 * Toll Brothers, Inc. 226,301 7,748,546 Trans World Entertainment Corp. 62,666 204,918 #* Trinity Place Holdings, Inc. 41,995 266,668 #* Tuesday Morning Corp. 189,888 2,654,634 * Unifi, Inc. 94,608 2,094,621 * Universal Electronics, Inc. 24,952 931,957 Universal Technical Institute, Inc. 1,031 12,382 Vail Resorts, Inc. 39,383 2,726,485 * Valuevision Media, Inc. Class A 43,800 204,984 * Vitamin Shoppe, Inc. 6,043 289,339 #* VOXX International Corp. 116,682 1,371,014 * Wells-Gardner Electronics Corp. 35,937 61,452 # Wendy's Co. (The) 1,383,503 11,496,910 #* West Marine, Inc. 120,425 1,288,548 #* Wet Seal, Inc. (The) Class A 221,103 249,846 Weyco Group, Inc. 11,436 286,929 Whirlpool Corp. 38,266 5,869,239 Wyndham Worldwide Corp. 40,055 2,857,524 #* Zale Corp. 43,795 936,775 ------------ Total Consumer Discretionary 531,291,604 ------------ Consumer Staples -- (3.2%) # Alico, Inc. 3,639 127,074 * Alliance One International, Inc. 429,150 1,102,916 Andersons, Inc. (The) 126,005 7,848,851 * Boulder Brands, Inc. 264,860 3,909,334 * Bridgford Foods Corp. 2,376 23,534 # Cal-Maine Foods, Inc. 2,794 166,606 # Casey's General Stores, Inc. 9,406 645,816 CCA Industries, Inc. 9,592 29,064 * Central Garden and Pet Co. 68,266 555,003 #* Central Garden and Pet Co. Class A 176,558 1,460,135 * Chiquita Brands International, Inc. 238,326 2,735,982 Coca-Cola Bottling Co. Consolidated 5,966 490,584 * Constellation Brands, Inc. Class A 317,371 25,338,901 * Constellation Brands, Inc. Class B 1,286 101,478 #* Craft Brew Alliance, Inc. 91,153 1,364,560 * Darling International, Inc. 15,200 304,152 #* Elizabeth Arden, Inc. 22,206 815,848 Energizer Holdings, Inc. 12,003 1,340,615 * Farmer Bros. Co. 58,155 1,146,235 # Fresh Del Monte Produce, Inc. 253,809 7,332,542 Golden Enterprises, Inc. 27,634 121,590 Griffin Land & Nurseries, Inc. 9,784 285,693 TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------- ------------ Consumer Staples -- (Continued) #* Hain Celestial Group, Inc. (The) 130,526 $ 11,227,847 Ingles Markets, Inc. Class A 64,005 1,471,475 Ingredion, Inc. 9,414 663,216 Inter Parfums, Inc. 10,013 366,376 J&J Snack Foods Corp. 800 74,880 # John B. Sanfilippo & Son, Inc. 48,275 1,112,739 #* Mannatech, Inc. 8,479 137,953 MGP Ingredients, Inc. 75,349 440,038 * Natural Alternatives International, Inc. 9,338 53,227 * Nutraceutical International Corp. 63,201 1,574,969 # Oil-Dri Corp. of America 28,763 963,848 * Omega Protein Corp. 123,884 1,407,322 # Orchids Paper Products Co. 16,397 440,587 * Pantry, Inc. (The) 114,386 1,720,365 * Pilgrim's Pride Corp. 9,043 197,680 #* Post Holdings, Inc. 129,830 6,784,916 #* Primo Water Corp. 5,744 25,791 Reliv International, Inc. 1,105 2,442 # Sanderson Farms, Inc. 17,581 1,446,389 * Seaboard Corp. 2,639 6,433,882 * Seneca Foods Corp. Class A 30,926 878,298 #* Seneca Foods Corp. Class B 1,786 54,544 # Snyder's-Lance, Inc. 15,500 411,680 Spartan Stores, Inc. 230,863 4,972,789 Spectrum Brands Holdings, Inc. 81,722 6,278,701 #* Susser Holdings Corp. 95,254 7,370,755 #* TreeHouse Foods, Inc. 45,157 3,379,550 # Universal Corp. 108,949 5,945,347 Village Super Market, Inc. Class A 16,501 399,159 # Weis Markets, Inc. 47,949 2,209,969 ------------ Total Consumer Staples 125,693,247 ------------ Energy -- (8.7%) Adams Resources & Energy, Inc. 23,737 1,710,488 Alon USA Energy, Inc. 153,094 2,493,901 #* Alpha Natural Resources, Inc. 285,868 1,229,232 #* Approach Resources, Inc. 75,306 1,562,600 # Arch Coal, Inc. 35,400 162,132 * Atwood Oceanics, Inc. 6,145 304,546 * Barnwell Industries, Inc. 24,887 76,528 #* Basic Energy Services, Inc. 159,165 4,205,139 #* Bill Barrett Corp. 162,823 3,855,649 Bolt Technology Corp. 27,144 458,191 * Bonanza Creek Energy, Inc. 8,507 413,610 #* BPZ Resources, Inc. 198,307 535,429 Bristow Group, Inc. 174,943 13,435,622 #* C&J Energy Services, Inc. 23,920 719,035 #* Cal Dive International, Inc. 205,533 304,189 * Callon Petroleum Co. 87,827 806,252 * Carrizo Oil & Gas, Inc. 8,702 478,784 Cimarex Energy Co. 3,516 418,826 * Clayton Williams Energy, Inc. 4,143 598,581 TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Energy -- (Continued) * Cloud Peak Energy, Inc. 82,172 $ 1,617,967 # Comstock Resources, Inc. 135,349 3,762,702 * Contango Oil & Gas Co. 13,974 671,311 Dawson Geophysical Co. 39,782 1,124,239 Delek US Holdings, Inc. 147,871 4,730,393 DHT Holdings, Inc. 9,144 71,415 #* Emerald Oil, Inc. 95,868 677,787 #* Endeavour International Corp. 67,412 231,897 # Energy XXI Bermuda, Ltd. 23,440 560,919 * ENGlobal Corp. 13,721 29,363 EnLink Midstream LLC 137,887 4,871,548 * EPL Oil & Gas, Inc. 152,581 5,972,020 * Era Group, Inc. 71,064 2,028,877 * Escalera Resources Co. 56,385 153,931 # Exterran Holdings, Inc. 320,367 13,782,188 #* Forbes Energy Services, Ltd. 2,238 9,265 # Green Plains Renewable Energy, Inc. 135,748 4,058,865 Gulf Island Fabrication, Inc. 66,673 1,337,460 Gulfmark Offshore, Inc. Class A 113,734 5,119,167 #* Harvest Natural Resources, Inc. 197,639 891,352 #* Helix Energy Solutions Group, Inc. 562,740 13,528,270 #* Hercules Offshore, Inc. 650,009 2,905,540 * HKN, Inc. 1,581 98,820 HollyFrontier Corp. 209,593 11,022,496 #* Hornbeck Offshore Services, Inc. 164,640 6,821,035 * Key Energy Services, Inc. 208,982 2,098,179 Knightsbridge Tankers, Ltd. 62,741 749,755 #* Kodiak Oil & Gas Corp. 46,007 584,749 # LinnCo LLC 79,112 2,180,327 #* Lucas Energy, Inc. 30,850 19,349 #* Magnum Hunter Resources Corp. 39,601 336,609 #* Matador Resources Co. 24,467 702,692 * Matrix Service Co. 54,894 1,700,067 #* McDermott International, Inc. 19,911 143,957 #* Mexco Energy Corp. 7,515 54,484 #* Miller Energy Resources, Inc. 14,965 72,131 * Mitcham Industries, Inc. 60,906 840,503 Nabors Industries, Ltd. 538,310 13,737,671 * Natural Gas Services Group, Inc. 67,821 2,081,427 * Newfield Exploration Co. 3,204 108,455 #* Newpark Resources, Inc. 389,467 4,689,183 #* Northern Oil and Gas, Inc. 36,196 558,504 #* Nuverra Environmental Solutions, Inc. 16,742 284,781 * Oil States International, Inc. 25,637 2,490,378 #* Overseas Shipholding Group, Inc. 5,455 31,094 * Parker Drilling Co. 577,643 3,829,773 Patterson-UTI Energy, Inc. 473,266 15,395,343 * PDC Energy, Inc. 111,531 7,101,179 Peabody Energy Corp. 77,584 1,474,872 * Penn Virginia Corp. 184,897 3,076,686 #* PHI, Inc. Non-Voting 94,842 4,248,922 * PHI, Inc. Voting 542 22,927 TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ --------- ------------ Energy -- (Continued) * Pioneer Energy Services Corp. 289,674 $ 4,336,420 QEP Resources, Inc. 141,130 4,331,280 * Renewable Energy Group, Inc. 56,603 666,217 * REX American Resources Corp. 100,897 6,594,628 * Rex Energy Corp. 216,988 4,569,767 * Rowan Cos. P.L.C. Class A 328,885 10,169,124 #* SandRidge Energy, Inc. 225,671 1,548,103 Scorpio Tankers, Inc. 97,905 882,124 #* SEACOR Holdings, Inc. 76,006 6,338,140 SemGroup Corp. Class A 23,770 1,518,428 # Ship Finance International, Ltd. 38,083 671,403 SM Energy Co. 43,471 3,222,505 * Stone Energy Corp. 85,244 4,181,218 Superior Energy Services, Inc. 252,810 8,322,505 #* Swift Energy Co. 167,159 2,061,071 #* Synergy Resources Corp. 982 11,431 #* Synthesis Energy Systems, Inc. 39,547 68,416 # Teekay Corp. 156,368 8,773,809 #* Tesco Corp. 42,053 841,060 Tesoro Corp. 419,582 23,618,271 * TETRA Technologies, Inc. 163,386 2,042,325 * TGC Industries, Inc. 13,136 66,468 Tidewater, Inc. 146,594 7,466,032 #* Triangle Petroleum Corp. 174,397 1,677,699 * Unit Corp. 112,985 7,451,361 * Vaalco Energy, Inc. 124,037 1,143,621 # W&T Offshore, Inc. 9,560 183,552 * Warren Resources, Inc. 139,807 708,822 # Western Refining, Inc. 378,467 16,463,315 * Whiting Petroleum Corp. 170,705 12,584,373 * Willbros Group, Inc. 212,504 2,360,919 * WPX Energy, Inc. 125,168 2,663,575 ------------ Total Energy 335,999,540 ------------ Financials -- (22.2%) * 1st Constitution Bancorp 785 8,180 1st Source Corp. 206,895 6,101,334 1st United Bancorp, Inc. 24,750 181,170 # Access National Corp. 12,288 181,248 Alexander & Baldwin, Inc. 199,071 7,427,339 * Alleghany Corp. 3,035 1,238,219 Alliance Bancorp, Inc. of Pennsylvania 2,169 33,847 Allied World Assurance Co. Holdings AG 155,508 16,746,657 * Ambac Financial Group, Inc. 4,761 143,687 Ameriana Bancorp 645 8,904 * American Capital, Ltd. 1,164,025 17,448,735 # American Equity Investment Life Holding Co. 349,240 8,144,277 American Financial Group, Inc. 370,385 21,641,596 * American Independence Corp. 4,603 50,311 # American National Bankshares, Inc. 15,485 329,985 American National Insurance Co. 41,466 4,661,193 * American River Bankshares 7,628 72,924 TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Financials -- (Continued) * Ameris Bancorp 68,629 $ 1,459,739 AMERISAFE, Inc. 88,937 3,793,163 AmeriServ Financial, Inc. 182,092 633,680 Argo Group International Holdings, Ltd. 156,217 6,939,159 # Arrow Financial Corp. 1,132 28,334 Aspen Insurance Holdings, Ltd. 254,728 11,661,448 Associated Banc-Corp 336,685 5,908,822 Assurant, Inc. 331,133 22,321,676 Assured Guaranty, Ltd. 443,343 10,600,331 * Asta Funding, Inc. 54,947 448,917 Astoria Financial Corp. 281,127 3,727,744 Atlantic American Corp. 6,923 24,231 #* Atlanticus Holdings Corp. 57,981 140,894 Auburn National Bancorp., Inc. 513 12,217 #* AV Homes, Inc. 53,958 924,301 Axis Capital Holdings, Ltd. 302,382 13,833,976 # Baldwin & Lyons, Inc. Class A 276 6,522 Baldwin & Lyons, Inc. Class B 58,678 1,526,215 Banc of California, Inc. 14,448 181,611 Bancfirst Corp. 3,900 227,019 # Bancorp of New Jersey, Inc. 541 7,363 * Bancorp, Inc. 67,770 1,072,121 # BancorpSouth, Inc. 129,814 3,032,455 Bank Mutual Corp. 212,319 1,278,160 Bank of Commerce Holdings 300 1,905 Bank of Kentucky Financial Corp. 8,390 289,539 # BankFinancial Corp. 120,428 1,185,012 Banner Corp. 34,188 1,351,794 Bar Harbor Bankshares 13,518 508,006 BBCN Bancorp, Inc. 183,485 2,827,504 #* BBX Capital Corp. Class A 1,200 22,476 BCB Bancorp, Inc. 9,368 124,594 * Beneficial Mutual Bancorp, Inc. 8,387 109,366 Berkshire Bancorp, Inc. 2,534 18,625 Berkshire Hills Bancorp, Inc. 119,858 2,808,273 * BofI Holding, Inc. 56,878 4,584,936 Boston Private Financial Holdings, Inc. 246,430 3,082,839 Bridge Bancorp, Inc. 843 20,502 #* Bridge Capital Holdings 12,594 282,106 Brookline Bancorp, Inc. 204,294 1,854,990 Bryn Mawr Bank Corp. 10,775 293,942 C&F Financial Corp. 2,239 69,969 Calamos Asset Management, Inc. Class A 27,968 340,650 # California First National Bancorp 17,918 265,724 # Camden National Corp. 24,991 953,906 Cape Bancorp, Inc. 1,782 18,978 # Capital City Bank Group, Inc. 37,417 520,096 Capital Southwest Corp. 99,532 3,493,573 # Capitol Federal Financial, Inc. 60,987 734,283 Cardinal Financial Corp. 123,698 2,078,126 Cathay General Bancorp 299,120 7,059,232 Center Bancorp, Inc. 42,304 783,047 TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Financials -- (Continued) Centerstate Banks, Inc. 20,216 $ 221,770 Central Pacific Financial Corp. 1,332 25,002 Century Bancorp, Inc. Class A 3,160 105,860 Chemical Financial Corp. 81,419 2,285,431 Chicopee Bancorp, Inc. 8,359 144,861 Cincinnati Financial Corp. 93,979 4,580,536 Citizens Community Bancorp, Inc. 29,400 236,082 Citizens Holding Co. 1,122 21,060 #* Citizens, Inc. 167,031 1,097,394 # City Holding Co. 8,249 354,625 Clifton Bancorp, Inc. 531 6,154 CNB Financial Corp. 1,243 20,534 CNO Financial Group, Inc. 1,264,042 21,804,724 CoBiz Financial, Inc. 131,357 1,318,824 Codorus Valley Bancorp, Inc. 5,055 107,924 * Colonial Financial Services, Inc. 14,655 170,877 #* Colony Bankcorp, Inc. 4,653 28,709 Columbia Banking System, Inc. 48,893 1,213,524 Commercial National Financial Corp. 959 19,947 # Community Bank System, Inc. 97,526 3,626,992 Community Trust Bancorp, Inc. 26,514 977,571 * Community West Bancshares 16,252 112,626 # Consolidated-Tomoka Land Co. 3,222 127,366 * Consumer Portfolio Services, Inc. 67,542 471,443 * Cowen Group, Inc. Class A 236,383 971,534 CVB Financial Corp. 8,561 123,792 Dime Community Bancshares, Inc. 28,228 460,116 Donegal Group, Inc. Class A 72,219 1,065,952 Donegal Group, Inc. Class B 6,424 138,630 #* Doral Financial Corp. 1,604 15,334 * E*TRADE Financial Corp. 585,382 13,141,826 East West Bancorp, Inc. 850 29,334 * Eastern Virginia Bankshares, Inc. 8,379 56,558 EMC Insurance Group, Inc. 141,757 4,676,563 Employers Holdings, Inc. 48,431 985,571 #* Encore Capital Group, Inc. 86,358 3,732,393 Endurance Specialty Holdings, Ltd. 206,632 10,501,038 * Enstar Group, Ltd. 600 77,460 # Enterprise Bancorp, Inc. 7,556 137,973 Enterprise Financial Services Corp. 36,742 656,580 # ESB Financial Corp. 40,492 511,009 ESSA Bancorp, Inc. 68,448 711,175 Evans Bancorp, Inc. 8,434 190,398 # EverBank Financial Corp. 59,028 1,105,004 Everest Re Group, Ltd. 104,016 16,437,648 #* Farmers Capital Bank Corp. 3,376 70,525 FBL Financial Group, Inc. Class A 127,606 5,705,264 Federal Agricultural Mortgage Corp. Class A 2,471 68,014 Federal Agricultural Mortgage Corp. Class C 43,772 1,557,408 Federated National Holding Co. 55,257 1,073,644 Fidelity National Financial, Inc. Class A 91,432 2,942,282 Fidelity Southern Corp. 32,308 426,789 TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Financials -- (Continued) Financial Institutions, Inc. 25,514 $ 590,649 * First Acceptance Corp. 101,596 242,814 # First American Financial Corp. 291,331 7,749,405 First Bancorp 68,195 1,173,636 First Bancorp, Inc. 18,788 299,293 * First BanCorp. 37,111 190,751 * First Bancshares, Inc. 2,300 18,975 First Bancshares, Inc. (The) 171 2,478 First Busey Corp. 109,900 604,450 First Business Financial Services, Inc. 2,294 103,712 First Citizens BancShares, Inc. Class A 20,291 4,563,243 First Commonwealth Financial Corp. 338,578 2,908,385 First Community Bancshares, Inc. 38,339 567,801 First Connecticut Bancorp, Inc. 2,083 33,016 First Defiance Financial Corp. 36,856 995,849 * First Federal Bancshares of Arkansas, Inc. 10,626 94,253 First Federal of Northern Michigan Bancorp, Inc. 7,296 36,261 First Financial Bancorp 42,891 694,405 First Financial Corp. 57,983 1,856,036 First Financial Holdings, Inc. 61,269 3,521,129 First Financial Northwest, Inc. 111,813 1,140,493 First Interstate Bancsystem, Inc. 24,755 616,152 #* First Marblehead Corp. (The) 8,044 42,311 First Merchants Corp. 204,016 4,329,220 First Midwest Bancorp, Inc. 241,942 3,960,591 First Niagara Financial Group, Inc. 528,271 4,712,177 * First Place Financial Corp. 114,087 177 First South Bancorp, Inc. 767 6,159 * First United Corp. 6,083 50,246 First West Virginia Bancorp 843 15,199 Firstbank Corp. 16,186 285,359 FirstMerit Corp. 230,826 4,475,716 * Flagstar Bancorp, Inc. 23,457 412,843 Flushing Financial Corp. 117,856 2,265,192 FNB Corp. 271,073 3,372,148 * Forest City Enterprises, Inc. Class A 117,860 2,228,733 #* Forestar Group, Inc. 38,730 660,346 Fox Chase Bancorp, Inc. 18,083 301,624 * Franklin Financial Corp. 169 3,373 Fulton Financial Corp. 55,739 679,458 * Genworth Financial, Inc. Class A 923,584 16,485,974 German American Bancorp, Inc. 61,710 1,606,928 GFI Group, Inc. 13,313 49,524 Glacier Bancorp, Inc. 14,238 365,347 #* Gleacher & Co., Inc. 293 3,370 * Global Indemnity P.L.C. 60,021 1,608,563 Great Southern Bancorp, Inc. 26,472 758,952 * Green Dot Corp. Class A 33,327 578,890 * Greenlight Capital Re, Ltd. Class A 4,929 156,890 Guaranty Bancorp 52,602 662,259 * Guaranty Federal Bancshares, Inc. 14,051 177,605 * Hallmark Financial Services, Inc. 105,817 888,863 TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Financials -- (Continued) # Hampden Bancorp, Inc. 14,730 $ 239,362 Hancock Holding Co. 13,008 438,760 Hanmi Financial Corp. 38,823 825,765 Hanover Insurance Group, Inc. (The) 140,426 8,207,900 Harleysville Savings Financial Corp. 1,426 24,099 * Harris & Harris Group, Inc. 147,135 528,215 # Hawthorn Bancshares, Inc. 8,777 116,383 HCC Insurance Holdings, Inc. 14,162 650,602 # HCI Group, Inc. 30,002 1,160,477 Heartland Financial USA, Inc. 10,901 264,894 Heritage Commerce Corp. 59,091 479,819 # Heritage Financial Corp. 14,725 237,956 Heritage Financial Group, Inc. 1,394 26,835 HF Financial Corp. 12,333 168,962 * Hilltop Holdings, Inc. 239,405 5,348,308 # Hingham Institution for Savings 1,253 87,096 * HMN Financial, Inc. 24,144 268,964 #* Home Bancorp, Inc. 5,323 107,791 Home Federal Bancorp, Inc. 83,022 1,249,481 HopFed Bancorp, Inc. 28,833 328,120 Horace Mann Educators Corp. 251,498 7,562,545 # Horizon Bancorp 9,354 186,986 Hudson City Bancorp, Inc. 211,602 2,107,556 # Hudson Valley Holding Corp. 5,146 94,481 Huntington Bancshares, Inc. 11,354 104,004 Iberiabank Corp. 47,631 2,995,990 * ICG Group, Inc. 298,309 6,079,537 #* Imperial Holdings, Inc. 3,445 23,047 # Independence Holding Co. 50,444 658,799 # Independent Bank Corp.(453836108) 66,239 2,458,792 Independent Bank Corp.(453838609) 43,229 562,842 Infinity Property & Casualty Corp. 94,217 6,045,905 Interactive Brokers Group, Inc. Class A 54,700 1,307,330 International Bancshares Corp. 158,012 3,627,956 #* Intervest Bancshares Corp. Class A 17,894 135,458 #* INTL. FCStone, Inc. 12,526 236,992 * Investment Technology Group, Inc. 137,565 2,839,342 Investors Bancorp, Inc. 269 7,190 # Investors Title Co. 7,764 549,381 # Janus Capital Group, Inc. 419,246 5,085,454 * Jefferson Bancshares, Inc. 4,587 36,008 JMP Group, Inc. 45,410 313,783 Kemper Corp. 246,578 9,717,639 # Kentucky First Federal Bancorp 496 4,261 Lake Shore Bancorp, Inc. 1,066 13,202 Lakeland Bancorp, Inc. 129,681 1,353,870 Lakeland Financial Corp. 22,403 819,950 Landmark Bancorp, Inc. 2,261 43,683 # Legg Mason, Inc. 349,011 16,365,126 Leucadia National Corp. 74,210 1,893,839 LNB Bancorp, Inc. 50,800 578,104 Louisiana Bancorp, Inc. 4,919 95,920 TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Financials -- (Continued) LSB Financial Corp. 751 $ 22,132 Macatawa Bank Corp. 127,574 621,285 * Magyar Bancorp, Inc. 6,751 55,831 # Maiden Holdings, Ltd. 177,976 2,100,117 MainSource Financial Group, Inc. 118,760 1,963,103 Manning & Napier, Inc. 1,270 21,107 * Markel Corp. 4,936 3,089,541 Marlin Business Services Corp. 61,664 1,058,771 MB Financial, Inc. 175,963 4,722,847 #* MBIA, Inc. 613,326 7,433,511 * MBT Financial Corp. 54,563 268,996 # MCG Capital Corp. 397,515 1,335,650 # Meadowbrook Insurance Group, Inc. 274,743 1,538,561 Medallion Financial Corp. 82,578 1,123,061 # Mercantile Bank Corp. 21,988 428,986 Merchants Bancshares, Inc. 13,507 392,648 Mercury General Corp. 3,945 188,808 * Meridian Interstate Bancorp, Inc. 12,248 309,507 Meta Financial Group, Inc. 10,537 441,606 * Metro Bancorp, Inc. 65,882 1,345,310 #* MGIC Investment Corp. 615,523 5,293,498 MicroFinancial, Inc. 47,656 375,053 Mid Penn Bancorp, Inc. 262 3,930 MidSouth Bancorp, Inc. 38,730 647,566 # MidWestOne Financial Group, Inc. 16,967 417,897 # Montpelier Re Holdings, Ltd. 301,072 9,206,782 * MSB Financial Corp. 3,000 24,465 MutualFirst Financial, Inc. 17,676 332,309 NASDAQ OMX Group, Inc. (The) 408,569 15,076,196 National Interstate Corp. 2,138 59,907 National Penn Bancshares, Inc. 213,785 2,088,679 National Security Group, Inc. 193 2,003 National Western Life Insurance Co. Class A 5,667 1,321,828 #* Naugatuck Valley Financial Corp. 1,247 9,658 * Navigators Group, Inc. (The) 76,756 4,372,789 NBT Bancorp, Inc. 25,074 567,926 Nelnet, Inc. Class A 109,310 4,619,441 * New Century Bancorp, Inc. 6,103 45,223 # New Hampshire Thrift Bancshares, Inc. 16,158 238,330 # New York Community Bancorp, Inc. 237,261 3,656,192 * NewBridge Bancorp 51,416 395,389 #* NewStar Financial, Inc. 217,583 2,484,798 Nicholas Financial, Inc. 4,160 65,395 * North Valley Bancorp 2,889 65,291 Northeast Bancorp 522 5,074 Northeast Community Bancorp, Inc. 50,944 370,872 Northfield Bancorp, Inc. 17,542 227,520 Northrim BanCorp, Inc. 24,258 581,949 # Northwest Bancshares, Inc. 56,481 750,632 Norwood Financial Corp. 2,565 73,975 # Ocean Shore Holding Co. 2,593 38,869 OceanFirst Financial Corp. 31,666 513,623 TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Financials -- (Continued) * Ocwen Financial Corp. 81,073 $ 3,072,667 OFG Bancorp 150,301 2,564,135 Ohio Valley Banc Corp. 1,614 35,105 # Old Line Bancshares, Inc. 2,048 34,755 Old National Bancorp 106,986 1,510,637 Old Republic International Corp. 665,413 11,019,239 * Old Second Bancorp, Inc. 56,217 267,593 OmniAmerican Bancorp, Inc. 36,492 907,191 OneBeacon Insurance Group, Ltd. Class A 73,090 1,128,510 Oppenheimer Holdings, Inc. Class A 6,305 160,525 Oritani Financial Corp. 5,473 81,165 Pacific Continental Corp. 29,261 385,660 * Pacific Mercantile Bancorp 58,804 385,166 * Pacific Premier Bancorp, Inc. 15,952 217,745 PacWest Bancorp 136,332 5,367,391 Park Sterling Corp. 90,477 590,815 PartnerRe, Ltd. 163,753 17,259,566 * Patriot National Bancorp, Inc. 7,200 9,288 Peapack Gladstone Financial Corp. 26,923 511,806 # Penns Woods Bancorp, Inc. 451 19,844 # People's United Financial, Inc. 556,836 7,951,618 Peoples Bancorp of North Carolina, Inc. 4,643 79,860 Peoples Bancorp, Inc. 55,219 1,439,559 #* PHH Corp. 273,554 6,502,379 * Phoenix Cos., Inc. (The) 26,303 1,157,858 * PICO Holdings, Inc. 74,713 1,737,077 Pinnacle Financial Partners, Inc. 146,960 5,080,407 * Piper Jaffray Cos. 42,749 1,874,971 Platinum Underwriters Holdings, Ltd. 177,200 11,112,212 * Popular, Inc. 121,665 3,759,448 * Porter Bancorp, Inc. 4,952 5,348 * Preferred Bank 16,923 362,998 Premier Financial Bancorp, Inc. 18,117 259,073 Primerica, Inc. 16,978 779,120 PrivateBancorp, Inc. 47,326 1,304,778 ProAssurance Corp. 98,800 4,487,496 Protective Life Corp. 263,755 13,491,068 Provident Financial Holdings, Inc. 26,149 367,916 Provident Financial Services, Inc. 227,791 3,959,008 * Prudential Bancorp, Inc. 156 1,686 Pulaski Financial Corp. 44,928 464,106 QC Holdings, Inc. 104,573 216,466 QCR Holdings, Inc. 2,083 36,015 Radian Group, Inc. 443,207 6,196,034 Reinsurance Group of America, Inc. 235,808 18,088,832 Renasant Corp. 136,053 3,703,363 Republic Bancorp, Inc. Class A 13,137 315,419 * Republic First Bancorp, Inc. 4,394 19,421 Resource America, Inc. Class A 89,599 762,487 * Riverview Bancorp, Inc. 33,968 118,209 # RLI Corp. 74,578 3,211,329 * Royal Bancshares of Pennsylvania, Inc. Class A 2,632 6,870 TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Financials -- (Continued) # S&T Bancorp, Inc. 85,632 $1,991,800 #* Safeguard Scientifics, Inc. 70,916 1,489,945 Safety Insurance Group, Inc. 70,601 3,791,980 # Salisbury Bancorp, Inc. 490 14,776 Sandy Spring Bancorp, Inc. 94,164 2,264,644 SB Financial Group, Inc. 1,320 10,428 * Seacoast Banking Corp. of Florida 2,848 30,189 Selective Insurance Group, Inc. 222,371 5,101,191 * Shore Bancshares, Inc. 6,414 60,869 SI Financial Group, Inc. 18,875 222,725 Sierra Bancorp 2,845 44,410 # Simmons First National Corp. Class A 115,564 4,178,794 Simplicity Bancorp, Inc. 4,274 74,111 * Southcoast Financial Corp. 19,116 137,444 (o) Southern Community Financial Corp. 120,522 26,515 #* Southern First Bancshares, Inc. 14,863 203,029 Southern Missouri Bancorp, Inc. 931 32,864 # Southern National Bancorp of Virginia, Inc. 1,185 12,241 # Southside Bancshares, Inc. 32,048 883,887 Southwest Bancorp, Inc. 85,900 1,434,530 Southwest Georgia Financial Corp. 731 10,486 StanCorp Financial Group, Inc. 73,600 4,496,960 State Auto Financial Corp. 163,545 3,346,131 Sterling Bancorp 213,560 2,554,178 Stewart Information Services Corp. 55,972 1,707,146 Stock Yards Bancorp Inc 500 14,740 * Stratus Properties, Inc. 42,734 709,384 * Suffolk Bancorp 65,680 1,440,362 #* Sun Bancorp, Inc. 87,785 333,583 Susquehanna Bancshares, Inc. 734,791 7,612,435 * Sussex Bancorp 7,441 66,969 * SWS Group, Inc. 81,934 607,131 Symetra Financial Corp. 200,356 4,139,355 Synovus Financial Corp. 841,869 2,702,399 * Taylor Capital Group, Inc. 47,800 1,017,662 # TCF Financial Corp. 157,685 2,475,654 Teche Holding Co. 3,776 275,270 # Territorial Bancorp, Inc. 7,887 161,368 TF Financial Corp. 7,550 236,768 Timberland Bancorp, Inc. 59,392 632,525 Tompkins Financial Corp. 14,308 674,479 # Tower Group International, Ltd. 37,317 91,800 # TowneBank 56,678 874,542 #* Tree.com, Inc. 31,489 915,700 # Trico Bancshares 32,613 790,865 # TrustCo Bank Corp. 57,271 378,561 Trustmark Corp. 104,446 2,388,680 UMB Financial Corp. 8,008 470,150 # Umpqua Holdings Corp. 534,795 8,893,641 * Unico American Corp. 35,600 470,276 Union Bankshares Corp. 211,160 5,403,584 # United Bancshares, Inc. 190 2,909 TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------- ------------ Financials -- (Continued) United Bankshares, Inc. 102,445 $ 2,996,516 United Community Bancorp 870 9,918 * United Community Banks, Inc. 45,150 729,172 #* United Community Financial Corp. 267,131 889,546 United Financial Bancorp, Inc.(91030T109) 98,506 1,737,646 United Financial Bancorp, Inc.(910304104) 8,798 115,782 United Fire Group, Inc. 108,057 3,006,146 * United Security Bancshares 1,503 8,476 Unity Bancorp, Inc. 22,377 191,323 # Universal Insurance Holdings, Inc. 49,436 723,249 Univest Corp. of Pennsylvania 17,682 348,512 Validus Holdings, Ltd. 226,781 8,406,772 * Vantagesouth Bancshares, Inc. 6,446 39,578 ViewPoint Financial Group, Inc. 28,419 740,883 # VSB Bancorp, Inc. 1,342 15,138 * Walker & Dunlop, Inc. 47,695 747,858 Washington Banking Co. 14,425 248,110 Washington Federal, Inc. 179,548 3,874,646 # Washington Trust Bancorp, Inc. 17,053 583,213 Waterstone Financial, Inc. 5,659 58,910 Wayne Savings Bancshares, Inc. 1,300 15,106 Webster Financial Corp. 206,458 6,222,644 WesBanco, Inc. 184,567 5,581,306 # West Bancorporation, Inc. 90,568 1,314,142 * Western Alliance Bancorp 99,513 2,295,765 Westfield Financial, Inc. 116,491 797,963 Wilshire Bancorp, Inc. 115,475 1,154,750 Wintrust Financial Corp. 176,339 7,903,514 WR Berkley Corp. 15,105 668,245 WSFS Financial Corp. 6,101 412,550 WVS Financial Corp. 1,304 15,550 * Yadkin Financial Corp. 13,885 265,898 # Zions Bancorp. 370,498 10,714,802 * ZipRealty, Inc. 93,756 311,270 ------------ Total Financials 858,177,966 ------------ Health Care -- (5.2%) * Addus HomeCare Corp. 8,421 182,062 Aetna, Inc. 148,969 10,643,835 #* Affymetrix, Inc. 335,217 2,490,662 #* Albany Molecular Research, Inc. 175,487 2,818,321 #* Alere, Inc. 177,374 5,924,292 * Allied Healthcare Products, Inc. 26,236 56,670 * Almost Family, Inc. 13,633 292,701 * Alphatec Holdings, Inc. 94,178 127,140 #* Amedisys, Inc. 97,525 1,329,266 * American Shared Hospital Services 8,624 24,061 * AMN Healthcare Services, Inc. 66,419 828,909 * Amsurg Corp. 104,157 4,511,040 Analogic Corp. 1,876 140,850 * AngioDynamics, Inc. 139,840 1,879,450 * Anika Therapeutics, Inc. 68,061 2,908,927 TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Health Care -- (Continued) * Arrhythmia Research Technology, Inc. 1,132 $ 5,490 #* Baxano Surgical, Inc. 75,988 64,590 #* BioScrip, Inc. 195,680 1,354,106 * BioTelemetry, Inc. 104,382 828,793 * Cambrex Corp. 172,443 3,533,357 Cantel Medical Corp. 162,405 5,385,350 * Capital Senior Living Corp. 197,442 4,882,741 #* Celldex Therapeutics, Inc. 14,600 219,000 * Chindex International, Inc. 1,846 43,990 * Community Health Systems, Inc. 220,160 8,341,862 CONMED Corp. 176,339 8,169,786 Cooper Cos., Inc. (The) 24,942 3,290,099 * Cross Country Healthcare, Inc. 171,944 1,219,083 CryoLife, Inc. 38,781 352,132 #* Cumberland Pharmaceuticals, Inc. 75,105 334,217 * Cutera, Inc. 69,353 715,029 * Cynosure, Inc. Class A 43,651 1,071,196 Daxor Corp. 10,080 83,765 Digirad Corp. 50,370 160,177 #* Emergent Biosolutions, Inc. 48,507 1,278,645 Ensign Group, Inc. (The) 6,057 257,423 * Enzo Biochem, Inc. 100,761 423,196 # Enzon Pharmaceuticals, Inc. 36,422 32,419 * Exactech, Inc. 4,893 108,723 * ExamWorks Group, Inc. 18,793 691,582 * Five Star Quality Care, Inc. 138,735 670,090 * Furiex Pharmaceuticals, Inc. 8,033 830,371 * Gentiva Health Services, Inc. 60,243 453,630 * Greatbatch, Inc. 128,497 5,914,717 * Hanger, Inc. 26,246 909,949 #* Harvard Apparatus Regenerative Technology, Inc. 34,762 300,691 #* Harvard Bioscience, Inc. 134,004 565,497 * Health Net, Inc. 34,840 1,196,057 #* Healthways, Inc. 136,494 2,456,892 Hill-Rom Holdings, Inc. 37,565 1,403,428 #* Hologic, Inc. 388,373 8,150,007 #* Idera Pharmaceuticals, Inc. 109,983 312,352 * Impax Laboratories, Inc. 6,954 181,847 * Integra LifeSciences Holdings Corp. 6,069 276,625 Invacare Corp. 132,909 2,099,962 * Iridex Corp. 10,837 90,272 Kewaunee Scientific Corp. 10,051 168,354 Kindred Healthcare, Inc. 220,684 5,539,168 * Lannett Co., Inc. 92,274 3,186,221 * LCA-Vision, Inc. 77,642 416,161 LeMaitre Vascular, Inc. 69,901 573,887 * LHC Group, Inc. 21,141 439,310 * LifePoint Hospitals, Inc. 217,249 12,148,564 * Magellan Health Services, Inc. 54,798 3,162,941 #* Mast Therapeutics, Inc. 6,262 3,595 (o)* Maxygen, Inc. 146,832 4,405 * MedAssets, Inc. 55,641 1,270,284 TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------- ------------ Health Care -- (Continued) (o)* MedCath Corp. 116,120 $ 232,240 * Medical Action Industries, Inc. 83,468 535,030 * Medicines Co. (The) 2,593 68,974 #* MediciNova, Inc. 19,847 37,312 * Merit Medical Systems, Inc. 20,707 266,499 * Misonix, Inc. 28,468 170,808 #* Molina Healthcare, Inc. 120,869 4,520,501 # National Healthcare Corp. 3,984 218,044 * Natus Medical, Inc. 122,239 3,035,194 * NuVasive, Inc. 17,755 598,521 Omnicare, Inc. 317,727 18,831,679 * Omnicell, Inc. 96,323 2,550,633 * OraSure Technologies, Inc. 7,623 49,931 # Owens & Minor, Inc. 56,661 1,900,410 #* Pacific Biosciences of California, Inc. 45,474 200,995 * PDI, Inc. 94,402 445,577 * PharMerica Corp. 150,112 4,081,545 # Pozen, Inc. 55,562 464,498 * Prestige Brands Holdings, Inc. 268,318 8,994,019 * Providence Service Corp. (The) 25,273 1,026,337 #* Repligen Corp. 104,438 1,655,342 * RTI Surgical, Inc. 223,315 960,255 #* Sciclone Pharmaceuticals, Inc. 188,035 898,807 Select Medical Holdings Corp. 56,871 793,919 * Skilled Healthcare Group, Inc. Class A 43,376 223,820 Span-America Medical Systems, Inc. 12,454 259,666 #* Special Diversified Opportunities, Inc. 38,143 45,009 STERIS Corp. 3,332 160,103 #* Sucampo Pharmaceuticals, Inc. Class A 36,738 253,860 * SunLink Health Systems, Inc. 12,035 18,173 * SurModics, Inc. 14,010 304,858 * Symmetry Medical, Inc. 150,237 1,240,958 #* Targacept, Inc. 16,871 74,907 # Teleflex, Inc. 63,027 6,434,426 * Tornier NV 600 10,182 #* Transcept Pharmaceuticals, Inc. 42,250 124,638 * Triple-S Management Corp. Class B 89,437 1,339,766 Universal American Corp. 386,869 2,773,851 # Utah Medical Products, Inc. 1,047 53,177 * VCA Antech, Inc. 73,329 2,246,067 * WellCare Health Plans, Inc. 1,609 108,559 * Wright Medical Group, Inc. 110,648 3,026,223 ------------ Total Health Care 200,965,527 ------------ Industrials -- (14.8%) AAR Corp. 196,594 5,091,785 ABM Industries, Inc. 37,799 1,023,975 Aceto Corp. 186,980 4,091,122 Acme United Corp. 2,042 34,367 #* Acorn Energy, Inc. 6,283 14,577 * Adept Technology, Inc. 52,963 633,437 * AECOM Technology Corp. 213,036 6,906,627 TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Industrials -- (Continued) #* Aegion Corp. 137,183 $ 3,496,795 #* AeroCentury Corp. 9,884 177,418 #* Aerovironment, Inc. 108,919 3,678,195 AGCO Corp. 159,310 8,873,567 * Air Transport Services Group, Inc. 233,206 1,826,003 Alamo Group, Inc. 66,141 3,513,410 Alaska Air Group, Inc. 47,164 4,437,189 Albany International Corp. Class A 60,527 2,177,761 Alliant Techsystems, Inc. 3,455 498,280 (o) Allied Defense Group, Inc. 24,210 1,937 Allied Motion Technologies, Inc. 1,275 14,459 Altra Industrial Motion Corp. 123,243 4,209,981 AMERCO 88,302 22,085,213 * Ameresco, Inc. Class A 6,772 43,409 # American Railcar Industries, Inc. 107,451 7,461,397 #* American Superconductor Corp. 7,795 9,978 * American Woodmark Corp. 46,160 1,385,262 * AMREP Corp. 8,943 48,739 # Apogee Enterprises, Inc. 153,531 4,877,680 Applied Industrial Technologies, Inc. 65,301 3,129,224 * ARC Document Solutions, Inc. 116,827 747,693 ArcBest Corp. 136,778 5,391,789 Argan, Inc. 2,352 62,963 #* Arotech Corp. 33,900 117,633 #* Ascent Solar Technologies, Inc. 29,094 14,695 Astec Industries, Inc. 1,656 66,157 #* Atlas Air Worldwide Holdings, Inc. 121,398 4,247,716 * Avalon Holdings Corp. Class A 12,727 57,017 #* Avis Budget Group, Inc. 549,560 28,901,360 # AZZ, Inc. 1,329 57,705 Baltic Trading, Ltd. 32,351 193,782 Barnes Group, Inc. 70,309 2,708,303 Barrett Business Services, Inc. 26,591 1,340,452 * Beacon Roofing Supply, Inc. 25,061 891,670 #* BlueLinx Holdings, Inc. 101,135 132,487 Brady Corp. Class A 63,268 1,631,682 * Breeze-Eastern Corp. 29,140 288,486 # Briggs & Stratton Corp. 171,651 3,668,182 Brink's Co. (The) 9,088 231,199 #* Builders FirstSource, Inc. 45,823 359,711 * CAI International, Inc. 50,141 1,090,567 * Casella Waste Systems, Inc. Class A 21,365 108,962 #* CBIZ, Inc. 85,999 737,011 CDI Corp. 118,598 1,816,921 Ceco Environmental Corp. 20,047 318,547 Celadon Group, Inc. 97,408 2,241,358 Chicago Rivet & Machine Co. 1,983 76,841 CIRCOR International, Inc. 59,669 4,845,719 * Columbus McKinnon Corp. 53,255 1,410,725 Comfort Systems USA, Inc. 46,657 699,855 # Compx International, Inc. 5,744 52,845 Courier Corp. 28,025 407,203 TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Industrials -- (Continued) Covanta Holding Corp. 194,274 $ 3,584,355 * Covenant Transportation Group, Inc. Class A 76,284 781,911 #* CPI Aerostructures, Inc. 27,413 369,253 * CRA International, Inc. 44,458 967,851 Cubic Corp. 2,908 137,926 Curtiss-Wright Corp. 193,210 12,353,847 #* DigitalGlobe, Inc. 94,158 2,804,025 Douglas Dynamics, Inc. 67,044 1,131,032 * Ducommun, Inc. 63,364 1,537,844 * Dycom Industries, Inc. 161,441 5,069,247 Dynamic Materials Corp. 12,521 252,924 #* Eagle Bulk Shipping, Inc. 62,674 183,008 Eastern Co. (The) 34,260 578,651 Ecology and Environment, Inc. Class A 7,348 70,467 Encore Wire Corp. 119,350 5,815,925 #* Energy Recovery, Inc. 24,913 127,305 * EnerNOC, Inc. 34,084 804,382 # EnerSys, Inc. 72,816 4,920,905 #* Engility Holdings, Inc. 17,049 744,018 Ennis, Inc. 132,806 1,986,778 #* EnPro Industries, Inc. 74,546 5,308,421 ESCO Technologies, Inc. 72,124 2,410,384 # Espey Manufacturing & Electronics Corp. 13,355 355,243 * Esterline Technologies Corp. 124,499 13,572,881 Exelis, Inc. 105,803 1,961,588 * Federal Signal Corp. 123,464 1,874,184 * Franklin Covey Co. 93,603 1,897,333 # FreightCar America, Inc. 58,224 1,528,962 * FTI Consulting, Inc. 123,735 4,244,110 #* Fuel Tech, Inc. 23,411 142,573 * Furmanite Corp. 70,098 734,627 G&K Services, Inc. Class A 89,654 4,746,283 GATX Corp. 210,848 13,837,954 #* Genco Shipping & Trading, Ltd. 12,355 20,386 #* Gencor Industries, Inc. 32,703 343,054 General Cable Corp. 81,399 2,085,442 * Gibraltar Industries, Inc. 148,815 2,541,760 Global Power Equipment Group, Inc. 2,000 35,060 * Goldfield Corp. (The) 15,445 31,817 * GP Strategies Corp. 93,257 2,450,794 #* GrafTech International, Ltd. 80,035 897,192 Granite Construction, Inc. 155,442 5,810,422 * Great Lakes Dredge & Dock Corp. 330,495 2,852,172 * Greenbrier Cos., Inc. (The) 116,098 6,088,179 Griffon Corp. 277,994 2,957,856 * H&E Equipment Services, Inc. 148,540 5,726,217 Hardinge, Inc. 75,666 1,010,898 Harsco Corp. 12,304 294,435 #* Hawaiian Holdings, Inc. 176,430 2,549,413 Heidrick & Struggles International, Inc. 15,769 297,246 * Hill International, Inc. 99,231 666,832 Houston Wire & Cable Co. 99,680 1,242,013 TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Industrials -- (Continued) * Hub Group, Inc. Class A 18,942 $ 845,760 * Hudson Global, Inc. 108,461 385,037 Huntington Ingalls Industries, Inc. 7,684 791,452 Hurco Cos., Inc. 31,863 849,468 * Huron Consulting Group, Inc. 8,054 573,445 Hyster-Yale Materials Handling, Inc. 48,502 4,675,108 * ICF International, Inc. 43,646 1,700,885 #* InnerWorkings, Inc. 2,888 20,794 #* Innovative Solutions & Support, Inc. 11,934 80,316 Insteel Industries, Inc. 72,966 1,501,640 # International Shipholding Corp. 32,037 863,077 # Intersections, Inc. 78,990 443,924 #* JetBlue Airways Corp. 1,383,605 10,937,398 # Joy Global, Inc. 29,835 1,801,437 Kadant, Inc. 64,437 2,239,186 # Kaman Corp. 32,127 1,348,370 KAR Auction Services, Inc. 22,900 681,962 Kelly Services, Inc. Class A 160,142 3,372,591 * Key Technology, Inc. 15,076 185,887 Kforce, Inc. 1,997 46,171 Kimball International, Inc. Class B 137,692 2,307,718 # Knight Transportation, Inc. 31,013 735,938 * Korn/Ferry International 89,539 2,601,108 #* Kratos Defense & Security Solutions, Inc. 97,132 701,293 * Lawson Products, Inc. 47,145 789,679 #* Layne Christensen Co. 79,522 1,385,273 LB Foster Co. Class A 28,930 1,369,836 #* LMI Aerospace, Inc. 48,967 667,910 LS Starrett Co. (The) Class A 17,861 278,989 LSI Industries, Inc. 111,727 850,242 * Lydall, Inc. 110,552 2,588,022 Manpowergroup, Inc. 55,050 4,477,767 Marten Transport, Ltd. 243,892 5,721,706 Mastech Holdings, Inc. 508 8,778 Matson, Inc. 196,521 4,655,582 McGrath RentCorp 62,106 1,961,307 * Metalico, Inc. 280,268 431,613 * Mfri, Inc. 51,844 564,581 Miller Industries, Inc. 59,589 1,154,239 Mobile Mini, Inc. 210,604 9,304,485 * Moog, Inc. Class A 39,980 2,616,691 #* Moog, Inc. Class B 3,308 216,608 Mueller Industries, Inc. 133,910 3,875,355 Mueller Water Products, Inc. Class A 318,498 2,904,702 # Multi-Color Corp. 34,223 1,192,672 * MYR Group, Inc. 70,256 1,648,206 # National Presto Industries, Inc. 1,658 119,807 * Navigant Consulting, Inc. 100,271 1,684,553 # NL Industries, Inc. 37,233 373,447 NN, Inc. 139,284 2,725,788 * Northwest Pipe Co. 60,065 2,148,525 #* Ocean Power Technologies, Inc. 51,668 139,504 TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Industrials -- (Continued) * On Assignment, Inc. 187,664 $ 6,568,240 * Orbital Sciences Corp. 47,271 1,389,767 * Orion Energy Systems, Inc. 38,009 201,448 * Orion Marine Group, Inc. 25,213 295,748 Oshkosh Corp. 74,294 4,124,060 Owens Corning 367,806 15,024,875 * PAM Transportation Services, Inc. 60,286 1,500,519 * Park-Ohio Holdings Corp. 1,185 69,192 * Patrick Industries, Inc. 7,237 289,987 * Patriot Transportation Holding, Inc. 26,146 911,972 #* Pendrell Corp. 13,308 21,958 * PGT, Inc. 6,695 66,615 * Pike Corp. 109,683 1,052,957 Powell Industries, Inc. 13,080 828,226 * PowerSecure International, Inc. 77,807 1,729,650 Preformed Line Products Co. 20,440 1,221,494 # Providence and Worcester Railroad Co. 13,495 235,353 Quad/Graphics, Inc. 13,726 297,168 Quanex Building Products Corp. 33,343 628,182 * Quanta Services, Inc. 121,338 4,280,805 * RCM Technologies, Inc. 92,190 625,048 Regal-Beloit Corp. 9,249 691,178 * Republic Airways Holdings, Inc. 254,007 2,110,798 Resources Connection, Inc. 61,990 843,684 * Roadrunner Transportation Systems, Inc. 24,609 606,120 #* Rush Enterprises, Inc. Class A 197,465 6,338,626 #* Rush Enterprises, Inc. Class B 51,902 1,467,789 Ryder System, Inc. 233,530 19,191,495 * Saia, Inc. 146,541 6,033,093 Schawk, Inc. 129,373 2,587,460 Servotronics, Inc. 6,561 50,815 SIFCO Industries, Inc. 14,049 461,510 Simpson Manufacturing Co., Inc. 15,535 509,393 SkyWest, Inc. 240,109 2,785,264 * SL Industries, Inc. 12,775 351,185 * Sparton Corp. 56,079 1,523,106 #* Standard Register Co. (The) 16,816 122,084 Standex International Corp. 73,367 4,355,799 Steelcase, Inc. Class A 206,657 3,405,707 * Sterling Construction Co., Inc. 43,300 332,544 * Supreme Industries, Inc. Class A 31,849 180,584 Sypris Solutions, Inc. 27,793 84,213 # TAL International Group, Inc. 143,438 6,050,215 #* Tecumseh Products Co. Class A 30,050 180,601 * Tecumseh Products Co. Class B 7,143 41,715 # Terex Corp. 202,016 8,745,273 * Tetra Tech, Inc. 41,011 1,175,785 * Thermon Group Holdings, Inc. 621 14,792 # Titan International, Inc. 52,070 911,746 #* Titan Machinery, Inc. 63,565 1,121,287 #* TRC Cos., Inc. 82,027 486,420 * Trimas Corp. 120,073 4,305,818 TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------- ------------ Industrials -- (Continued) Trinity Industries, Inc. 277,414 $ 20,822,695 Triumph Group, Inc. 68,195 4,419,718 * Tutor Perini Corp. 215,588 6,381,405 Twin Disc, Inc. 43,496 1,258,339 * Ultralife Corp. 40,258 144,929 * Ultrapetrol Bahamas, Ltd. 1,200 3,396 UniFirst Corp. 54,384 5,233,916 United Stationers, Inc. 18,874 708,341 * UniTek Global Services, Inc. 300 366 Universal Forest Products, Inc. 87,386 4,412,119 * Universal Security Instruments, Inc. 793 3,331 Universal Truckload Services, Inc. 13,085 322,676 URS Corp. 209,771 9,884,410 #* USA Truck, Inc. 62,991 1,049,430 # UTi Worldwide, Inc. 32,703 320,162 * Versar, Inc. 1,356 5,234 Viad Corp. 103,803 2,392,659 * Virco Manufacturing Corp. 26,552 58,282 * Volt Information Sciences, Inc. 2,400 19,152 VSE Corp. 3,624 226,391 Watts Water Technologies, Inc. Class A 115,180 6,127,576 Werner Enterprises, Inc. 17,270 442,112 * Wesco Aircraft Holdings, Inc. 27,220 551,477 * Willdan Group, Inc. 16,551 77,293 * Willis Lease Finance Corp. 36,581 737,473 #* XPO Logistics, Inc. 35,301 958,069 ------------ Total Industrials 569,932,554 ------------ Information Technology -- (11.6%) * Acxiom Corp. 10,949 309,200 ADTRAN, Inc. 15,148 339,770 * Advanced Energy Industries, Inc. 56,347 1,232,872 * Aeroflex Holding Corp. 50,112 383,357 #* Aetrium, Inc. 188 949 * Agilysys, Inc. 117,956 1,479,168 #* Alpha & Omega Semiconductor, Ltd. 16,887 121,586 American Software, Inc. Class A 19,941 192,231 #* Amkor Technology, Inc. 101,357 805,788 * Amtech Systems, Inc. 47,501 406,134 #* ANADIGICS, Inc. 280,100 350,125 * AOL, Inc. 205,550 8,799,595 #* Applied Micro Circuits Corp. 32,163 312,303 * ARRIS Group, Inc. 449,224 11,720,254 * Arrow Electronics, Inc. 351,633 19,955,173 Astro-Med, Inc. 24,190 304,068 #* Aviat Networks, Inc. 165,868 250,461 * Avid Technology, Inc. 129,698 979,220 Avnet, Inc. 307,290 13,253,418 AVX Corp. 91,606 1,222,940 #* Aware, Inc. 46,523 257,737 * Axcelis Technologies, Inc. 213,783 382,672 * AXT, Inc. 170,997 369,354 TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Information Technology -- (Continued) * Bankrate, Inc. 68,970 $ 1,208,354 Bel Fuse, Inc. Class A 11,057 225,121 Bel Fuse, Inc. Class B 48,330 1,051,661 * Benchmark Electronics, Inc. 259,534 6,015,998 Black Box Corp. 85,626 1,820,409 * Blucora, Inc. 195,437 3,762,162 * BroadVision, Inc. 19,245 190,910 * Brocade Communications Systems, Inc. 596,259 5,551,171 Brooks Automation, Inc. 146,224 1,495,871 * Bsquare Corp. 33,534 107,309 * BTU International, Inc. 7,174 21,020 #* CACI International, Inc. Class A 127,408 8,873,967 * Calix, Inc. 110,814 976,271 * Cascade Microtech, Inc. 70,739 755,492 * Checkpoint Systems, Inc. 124,835 1,594,143 * CIBER, Inc. 361,694 1,562,518 * Coherent, Inc. 16,743 999,725 Cohu, Inc. 136,344 1,404,343 (o)* Commerce One, LLC 110 -- Communications Systems, Inc. 41,562 502,485 Computer Sciences Corp. 37,110 2,196,170 Compuware Corp. 56,214 582,377 Comtech Telecommunications Corp. 94,841 3,011,202 Concurrent Computer Corp. 33,012 276,971 Convergys Corp. 551,669 11,882,950 * CoreLogic, Inc. 194,171 5,442,613 #* Cray, Inc. 66,170 1,899,741 #* Cree, Inc. 145,790 6,876,914 CSG Systems International, Inc. 45,289 1,193,818 CSP, Inc. 4,766 36,126 CTS Corp. 186,239 3,313,192 * CyberOptics Corp. 72,104 542,222 Daktronics, Inc. 15,217 198,125 * Datalink Corp. 26,940 345,910 #* Dataram Corp. 3,352 8,983 * Dealertrack Technologies, Inc. 3,100 141,639 * Digi International, Inc. 134,407 1,190,846 * Digital River, Inc. 60,824 929,999 * Diodes, Inc. 17,680 466,222 * Dot Hill Systems Corp. 28,621 118,205 * DSP Group, Inc. 115,184 916,865 # EarthLink Holdings Corp. 483,446 1,648,551 * EchoStar Corp. Class A 130,677 5,875,238 * Edgewater Technology, Inc. 75,244 532,728 Electro Rent Corp. 120,514 1,946,301 Electro Scientific Industries, Inc. 156,283 1,325,280 * Electronics for Imaging, Inc. 199,356 7,533,663 * Emcore Corp. 45,352 219,050 #* Emulex Corp. 264,198 1,889,016 * Entegris, Inc. 77,735 862,081 * Entropic Communications, Inc. 81,262 299,857 EPIQ Systems, Inc. 141,149 1,805,296 TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Information Technology -- (Continued) * ePlus, Inc. 38,358 $ 1,919,434 * Euronet Worldwide, Inc. 82,212 3,780,930 * Exar Corp. 211,784 2,291,503 * Extreme Networks, Inc. 346,305 1,980,865 * Fabrinet 21,864 472,262 #* Fairchild Semiconductor International, Inc. 375,794 4,783,858 #* Finisar Corp. 55,811 1,459,458 #* First Solar, Inc. 234,322 15,814,392 * FormFactor, Inc. 122,753 705,830 * Frequency Electronics, Inc. 28,958 308,547 #* GigOptix, Inc. 9,792 15,569 * Global Cash Access Holdings, Inc. 13,886 91,648 * GSE Systems, Inc. 56,149 98,261 * GSI Group, Inc. 25,395 308,295 #* GSI Technology, Inc. 99,963 634,765 Hackett Group, Inc. (The) 215,781 1,294,686 * Harmonic, Inc. 303,730 2,135,222 * Hutchinson Technology, Inc. 74,698 207,660 IAC/InterActiveCorp 161,827 10,725,894 #* ID Systems, Inc. 58,538 329,569 * Identive Group, Inc. 107,678 91,526 #* IEC Electronics Corp. 4,201 18,694 * II-VI, Inc. 5,572 80,237 * Ikanos Communications, Inc. 13,661 8,128 * Imation Corp. 116,292 502,381 * Ingram Micro, Inc. Class A 553,452 14,921,066 * Innodata, Inc. 600 2,022 * Inphi Corp. 3,069 45,390 * Insight Enterprises, Inc. 137,520 3,592,022 * Integrated Device Technology, Inc. 409,921 4,783,778 * Integrated Silicon Solution, Inc. 134,377 1,943,091 #* Internap Network Services Corp. 251,967 1,693,218 * International Rectifier Corp. 236,599 6,161,038 * Interphase Corp. 36,892 201,061 Intersil Corp. Class A 451,374 5,569,955 * Intevac, Inc. 114,179 919,141 * IntraLinks Holdings, Inc. 53,565 490,120 * IntriCon Corp. 13,375 88,409 #* Itron, Inc. 8,135 309,130 IXYS Corp. 108,516 1,170,888 #* Kemet Corp. 88,667 444,222 * Key Tronic Corp. 54,827 574,587 * Kopin Corp. 237,250 773,435 * Kulicke & Soffa Industries, Inc. 172,564 2,538,416 * KVH Industries, Inc. 88,639 1,197,513 * Lattice Semiconductor Corp. 311,711 2,624,607 Lexmark International, Inc. Class A 195,376 8,401,168 * LGL Group, Inc. (The) 9,533 46,712 * Limelight Networks, Inc. 179,797 372,180 * LoJack Corp. 5,481 31,077 * LTX-Credence Corp. 73,128 704,223 * Magnachip Semiconductor Corp. 11,444 160,216 TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Information Technology -- (Continued) # ManTech International Corp. Class A 73,769 $ 2,200,529 Marchex, Inc. Class B 93,738 867,076 Marvell Technology Group, Ltd. 827,739 13,127,941 * Mattson Technology, Inc. 34,221 68,100 #* Maxwell Technologies, Inc. 20,502 308,760 * Measurement Specialties, Inc. 47,749 3,072,648 Mentor Graphics Corp. 170,327 3,525,769 * Mercury Systems, Inc. 86,056 1,201,342 Methode Electronics, Inc. 178,393 4,948,622 * Microsemi Corp. 43,950 1,033,704 MKS Instruments, Inc. 159,920 4,501,748 MOCON, Inc. 1,300 20,774 #* ModusLink Global Solutions, Inc. 205,727 831,137 * Monster Worldwide, Inc. 100,725 693,995 #* MoSys, Inc. 25,927 101,375 * Multi-Fineline Electronix, Inc. 18,431 228,176 * Nanometrics, Inc. 25,549 415,427 * NAPCO Security Technologies, Inc. 21,296 124,369 * NeoPhotonics Corp. 6,053 34,926 * NETGEAR, Inc. 8,801 284,272 * Newport Corp. 156,673 2,926,652 #* Novatel Wireless, Inc. 92,816 167,997 * Oclaro, Inc. 176,592 600,413 * OmniVision Technologies, Inc. 262,229 5,121,332 * Oplink Communications, Inc. 89,895 1,540,800 Optical Cable Corp. 59,643 226,047 * OSI Systems, Inc. 31,700 1,769,177 * PAR Technology Corp. 72,352 349,460 # Park Electrochemical Corp. 600 15,996 PC Connection, Inc. 232,056 4,643,441 PC-Tel, Inc. 102,769 847,844 #* PCM, Inc. 112,274 1,169,895 Perceptron, Inc. 78,740 929,132 * Perficient, Inc. 50,735 926,928 * Pericom Semiconductor Corp. 212,474 1,714,665 #* Photronics, Inc. 279,845 2,429,055 #* Planar Systems, Inc. 52,408 115,298 Plantronics, Inc. 3,215 140,078 * Plexus Corp. 19,652 823,812 * PLX Technology, Inc. 41,306 239,575 * PMC-Sierra, Inc. 413,480 2,828,203 * Polycom, Inc. 203,209 2,499,471 * PRGX Global, Inc. 3,599 23,142 * Progress Software Corp. 4,565 97,965 QAD, Inc. Class B 465 7,249 * QLogic Corp. 85,081 985,238 * Qualstar Corp. 101,200 152,812 * QuinStreet, Inc. 9,715 59,261 * Qumu Corp. 17,458 234,810 * Radisys Corp. 87,223 279,114 * RealNetworks, Inc. 159,245 1,200,707 #* Reis, Inc. 48,098 791,693 TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Information Technology -- (Continued) # RF Industries, Ltd. 21,697 $ 132,569 # Richardson Electronics, Ltd. 75,225 753,754 * Rofin-Sinar Technologies, Inc. 17,331 384,748 * Rogers Corp. 2,110 126,642 * Rosetta Stone, Inc. 6,611 78,737 * Rovi Corp. 67,292 1,499,939 #* Rubicon Technology, Inc. 18,192 184,285 * Rudolph Technologies, Inc. 145,735 1,327,646 * Sanmina Corp. 275,108 5,570,937 * ScanSource, Inc. 35,220 1,352,800 * Seachange International, Inc. 223,184 2,091,234 * Selectica, Inc. 1,891 11,251 * ShoreTel, Inc. 37,239 281,154 * Sigma Designs, Inc. 133,928 504,909 * Silicon Image, Inc. 106,338 596,556 * Smith Micro Software, Inc. 7,100 11,786 * SMTC Corp. 15,394 23,553 * Sonus Networks, Inc. 368,981 1,206,568 * Spansion, Inc. Class A 20,271 361,432 * Speed Commerce, Inc. 300 990 * SS&C Technologies Holdings, Inc. 2,900 112,868 * StarTek, Inc. 84,732 588,887 #* SunEdison, Inc. 247,961 4,768,290 #* SunPower Corp. 185,231 6,190,420 * Super Micro Computer, Inc. 20,146 410,173 * support.com, Inc. 182,891 451,741 * Sykes Enterprises, Inc. 87,542 1,732,456 * SYNNEX Corp. 188,595 12,707,531 * Take-Two Interactive Software, Inc. 42,605 868,290 * Tech Data Corp. 163,716 10,230,613 * TeleCommunication Systems, Inc. Class A 206,983 527,807 * Telenav, Inc. 12,727 78,016 #* Teradyne, Inc. 55,200 975,384 Tessco Technologies, Inc. 37,440 1,231,402 Tessera Technologies, Inc. 138,192 3,030,551 TheStreet, Inc. 179,756 461,973 * TriQuint Semiconductor, Inc. 711,347 10,086,900 * TSR, Inc. 4,582 13,883 #* TTM Technologies, Inc. 309,623 2,442,925 * Ultra Clean Holdings, Inc. 16,704 142,318 United Online, Inc. 71,086 842,369 #* UTStarcom Holdings Corp. 31,344 96,853 #* Veeco Instruments, Inc. 6,045 223,484 * VeriFone Systems, Inc. 28,723 960,497 #* Viasystems Group, Inc. 61,551 739,843 * Vicon Industries, Inc. 36,465 106,478 * Video Display Corp. 10,671 37,028 * Virtusa Corp. 319,624 10,538,003 # Vishay Intertechnology, Inc. 479,006 6,811,465 * Vishay Precision Group, Inc. 40,885 663,564 #* Vocus, Inc. 3,790 68,144 Wayside Technology Group, Inc. 518 8,371 TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------- ------------ Information Technology -- (Continued) * Web.com Group, Inc. 4,664 $ 143,231 #* Westell Technologies, Inc. Class A 63,930 208,412 * XO Group, Inc. 38,554 409,443 * Zygo Corp. 73,190 1,408,176 ------------ Total Information Technology 447,140,986 ------------ Materials -- (7.2%) A Schulman, Inc. 174,907 6,282,659 #* AM Castle & Co. 118,783 1,458,655 * American Biltrite, Inc. 43 18,060 Ampco-Pittsburgh Corp. 30,064 602,182 Ashland, Inc. 159,881 15,444,505 Axiall Corp. 74,378 3,466,015 Cabot Corp. 62,826 3,631,343 * Century Aluminum Co. 414,244 5,695,855 Chase Corp. 18,375 572,197 * Chemtura Corp. 102,527 2,286,352 * Clearwater Paper Corp. 3,149 193,317 # Cliffs Natural Resources, Inc. 208,593 3,696,268 * Coeur Mining, Inc. 272,130 2,356,646 Commercial Metals Co. 404,659 7,769,453 * Continental Materials Corp. 1,419 26,259 * Core Molding Technologies, Inc. 23,022 276,494 # Cytec Industries, Inc. 32,583 3,105,812 Domtar Corp. 123,167 11,498,871 * Ferro Corp. 83,666 1,085,985 Friedman Industries, Inc. 53,141 455,950 # FutureFuel Corp. 24,677 495,267 #* General Moly, Inc. 11,448 12,593 #* Golden Minerals Co. 10,005 7,004 * Graphic Packaging Holding Co. 611,140 6,270,296 Haynes International, Inc. 18,879 1,001,531 HB Fuller Co. 37,089 1,718,333 * Headwaters, Inc. 203,850 2,544,048 # Hecla Mining Co. 122,361 375,648 #* Horsehead Holding Corp. 182,199 2,840,482 Huntsman Corp. 346,468 8,679,023 Innophos Holdings, Inc. 1,018 57,456 # Kaiser Aluminum Corp. 92,915 6,541,216 * KapStone Paper and Packaging Corp. 378,704 9,990,212 # KMG Chemicals, Inc. 7,287 113,750 * Landec Corp. 114,200 1,354,412 #* Louisiana-Pacific Corp. 670,853 10,995,281 Materion Corp. 87,213 2,934,717 #* McEwen Mining, Inc. 141,800 340,320 MeadWestvaco Corp. 386,074 15,083,911 * Mercer International, Inc. 186,841 1,547,043 Minerals Technologies, Inc. 106,056 6,309,271 Myers Industries, Inc. 180,201 3,369,759 Neenah Paper, Inc. 52,936 2,666,386 Noranda Aluminum Holding Corp. 1,300 4,615 * Northern Technologies International Corp. 20,514 433,871 TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------- ------------ Materials -- (Continued) # Olin Corp. 9,016 $ 253,350 # Olympic Steel, Inc. 72,635 1,914,659 # OM Group, Inc. 173,900 5,093,531 * OMNOVA Solutions, Inc. 24,623 224,562 * Penford Corp. 60,138 757,739 PH Glatfelter Co. 220,312 5,622,362 PolyOne Corp. 237,288 8,891,181 Quaker Chemical Corp. 41,927 3,120,627 Reliance Steel & Aluminum Co. 200,657 14,210,529 * Resolute Forest Products, Inc. 2,244 40,033 Rock-Tenn Co. Class A 149,967 14,338,345 * RTI International Metals, Inc. 146,456 4,124,201 # Schnitzer Steel Industries, Inc. Class A 96,137 2,698,566 Sealed Air Corp. 32,648 1,120,153 Sensient Technologies Corp. 21,178 1,144,671 Sonoco Products Co. 1,208 50,833 Steel Dynamics, Inc. 255,436 4,666,816 Stepan Co. 2,435 140,816 * Stillwater Mining Co. 100,898 1,592,170 * SunCoke Energy, Inc. 155,192 3,238,857 Synalloy Corp. 27,564 427,242 #* Texas Industries, Inc. 86,140 7,468,338 Tredegar Corp. 167,221 3,479,869 Tronox, Ltd. Class A 6,319 154,815 # United States Lime & Minerals, Inc. 3,304 178,614 # United States Steel Corp. 171,495 4,462,300 * Universal Stainless & Alloy Products, Inc. 44,949 1,613,220 Vulcan Materials Co. 167,005 10,776,833 # Wausau Paper Corp. 158,672 1,897,717 Westlake Chemical Corp. 191,836 13,658,723 Worthington Industries, Inc. 159,664 5,875,635 Zep, Inc. 6,046 104,535 ------------ Total Materials 278,951,165 ------------ Other -- (0.0%) (o)* Allen Organ Co. Escrow Shares 400 -- (o)* Gerber Scientific, Inc. Escrow Shares 182,700 -- (o)* Petrocorp, Inc. Escrow Shares 4,900 -- ------------ Total Other -- ------------ Real Estate Investment Trusts -- (0.0%) Parkway Properties, Inc. 77,166 1,455,351 ------------ Telecommunication Services -- (0.6%) #* Alaska Communications Systems Group, Inc. 13,354 25,239 # Alteva 12,429 75,196 Atlantic Tele-Network, Inc. 5,482 324,370 * Cbeyond, Inc. 28,072 277,632 # Frontier Communications Corp. 714,130 4,249,074 * General Communication, Inc. Class A 157,174 1,640,897 #* Hawaiian Telcom Holdco, Inc. 2,455 65,352 # HC2 Holdings, Inc. 3,761 14,781 TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ---------- -------------- Telecommunication Services -- (Continued) HickoryTech Corp. 43,317 $ 514,173 IDT Corp. Class B 19,608 310,591 Inteliquent, Inc. 83,474 1,138,585 #* Iridium Communications, Inc. 145,080 967,684 * ORBCOMM, Inc. 99,720 625,244 * Premiere Global Services, Inc. 71,808 913,398 # Shenandoah Telecommunications Co. 3,309 92,751 #* Straight Path Communications, Inc. Class B 9,804 68,628 T-Mobile US, Inc. 22,346 654,514 Telephone & Data Systems, Inc. 274,975 7,476,570 United States Cellular Corp. 48,815 2,027,775 USA Mobility, Inc. 42,433 726,877 * Vonage Holdings Corp. 32,874 126,236 # Windstream Holdings, Inc. 224,548 2,036,650 -------------- Total Telecommunication Services 24,352,217 -------------- Utilities -- (0.4%) # Consolidated Water Co., Ltd. 22,021 255,884 #* Dynegy, Inc. 4,423 125,834 * Genie Energy, Ltd. Class B 59,779 484,210 NRG Energy, Inc. 123,368 4,036,601 # Ormat Technologies, Inc. 37,652 1,004,555 SJW Corp. 41,552 1,131,461 UGI Corp. 160,040 7,472,268 -------------- Total Utilities 14,510,813 -------------- TOTAL COMMON STOCKS 3,388,470,970 -------------- RIGHTS/WARRANTS -- (0.0%) (o)* Leap Wireless International, Inc. Contingent Value Rights 106,992 269,620 (o)* LGL Group, Inc. (The) Warrants 08/06/18 47,665 2,860 (o)#* Magnum Hunter Resources Corp. Warrants 04/15/16 3,960 -- (o)#* PhotoMedex, Inc. Contingent Value Warrants 12/13/14 126 -- -------------- TOTAL RIGHTS/WARRANTS 272,480 -------------- TEMPORARY CASH INVESTMENTS -- (0.3%) State Street Institutional Liquid Reserves, 0.074% 11,897,618 11,897,618 -------------- SHARES/ FACE AMOUNT (000) ---------- SECURITIES LENDING COLLATERAL -- (12.0%) (S)@ DFA Short Term Investment Fund 39,936,034 462,059,912 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $2,391,733,486) $3,862,700,980 ============== TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, 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 $ 531,280,004 $ 11,600 -- $ 531,291,604 Consumer Staples 125,693,247 -- -- 125,693,247 Energy 335,999,540 -- -- 335,999,540 Financials 858,151,451 26,515 -- 858,177,966 Health Care 200,728,882 236,645 -- 200,965,527 Industrials 569,930,617 1,937 -- 569,932,554 Information Technology 447,140,986 -- -- 447,140,986 Materials 278,951,165 -- -- 278,951,165 Other -- -- -- -- Real Estate Investment Trusts 1,455,351 -- -- 1,455,351 Telecommunication Services 24,352,217 -- -- 24,352,217 Utilities 14,510,813 -- -- 14,510,813 Rights/Warrants -- 272,480 -- 272,480 Temporary Cash Investments 11,897,618 -- -- 11,897,618 Securities Lending Collateral -- 462,059,912 -- 462,059,912 -------------- ------------ -- -------------- TOTAL $3,400,091,891 $462,609,089 -- $3,862,700,980 ============== ============ == ============== TAX-MANAGED U.S. SMALL CAP PORTFOLIO SCHEDULE OF INVESTMENTS APRIL 30, 2014 (UNAUDITED) SHARES VALUE+ ------- ---------- COMMON STOCKS -- (82.1%) Consumer Discretionary -- (13.2%) * 1-800-Flowers.com, Inc. Class A 68,093 $ 371,107 Aaron's, Inc. 35,641 1,050,340 #* Aeropostale, Inc. 4,700 23,359 AH Belo Corp. Class A 49,683 571,851 #* ALCO Stores, Inc. 1,500 15,135 * Ambassadors Group, Inc. 28,647 121,463 AMCON Distributing Co. 300 24,138 #* America's Car-Mart, Inc. 25,524 922,437 * American Axle & Manufacturing Holdings, Inc. 92,532 1,633,190 #* American Public Education, Inc. 27,747 960,046 * ANN, Inc. 51,700 2,026,123 Arctic Cat, Inc. 33,533 1,371,164 Ark Restaurants Corp. 5,609 119,079 * Asbury Automotive Group, Inc. 46,541 2,873,441 * Ascena Retail Group, Inc. 52,390 901,108 * Ascent Capital Group, Inc. Class A 17,613 1,211,246 * Ballantyne Strong, Inc. 38,851 175,607 #* Bally Technologies, Inc. 20,129 1,310,599 #* Barnes & Noble, Inc. 94,632 1,551,965 Bassett Furniture Industries, Inc. 26,661 367,655 Beasley Broadcasting Group, Inc. Class A 20,332 156,556 * Beazer Homes USA, Inc. 35,040 664,358 # bebe stores, Inc. 174,252 879,973 Big 5 Sporting Goods Corp. 59,513 726,654 * Big Lots, Inc. 350 13,825 * Biglari Holdings, Inc. 3,432 1,472,397 #* BJ's Restaurants, Inc. 36,853 1,052,153 #* Blue Nile, Inc. 19,646 682,306 # Blyth, Inc. 24,800 232,376 # Bob Evans Farms, Inc. 44,644 2,092,464 #* Body Central Corp. 12,788 13,300 # Bon-Ton Stores, Inc. (The) 33,773 371,503 * Books-A-Million, Inc. 28,867 68,126 Bowl America, Inc. Class A 1,400 20,615 #* Boyd Gaming Corp. 69,502 821,514 * Bravo Brio Restaurant Group, Inc. 31,583 472,798 #* Bridgepoint Education, Inc. 32,341 512,605 Brown Shoe Co., Inc. 82,638 1,949,430 Brunswick Corp. 30,204 1,213,899 # Buckle, Inc. (The) 31,524 1,481,313 * Buffalo Wild Wings, Inc. 19,661 2,872,865 * Build-A-Bear Workshop, Inc. 39,037 437,995 #* Cabela's, Inc. 65,260 4,281,709 #* Cache, Inc. 38,804 103,219 #* Caesars Acquisition Co. Class A 4,060 51,156 #* Caesars Entertainment Corp. 4,060 74,988 # Callaway Golf Co. 182,682 1,591,160 * Cambium Learning Group, Inc. 47,089 105,479 * Canterbury Park Holding Corp. 7,639 85,939 # Capella Education Co. 21,869 1,276,275 #* Career Education Corp. 131,527 949,625 TAX-MANAGED U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Consumer Discretionary -- (Continued) * Carmike Cinemas, Inc. 39,475 $1,170,828 Carriage Services, Inc. 46,003 740,188 * Carrols Restaurant Group, Inc. 61,109 410,041 Carter's, Inc. 18,259 1,344,958 # Cato Corp. (The) Class A 41,953 1,195,241 * Cavco Industries, Inc. 15,402 1,200,586 #* Central European Media Enterprises, Ltd. Class A 4,357 11,938 #* Charles & Colvard, Ltd. 19,124 41,499 # Cheesecake Factory, Inc. (The) 57,563 2,584,003 Cherokee, Inc. 16,547 229,507 Chico's FAS, Inc. 17,771 282,203 # Children's Place Retail Stores, Inc. (The) 39,665 1,903,920 # Choice Hotels International, Inc. 37,271 1,646,633 * Christopher & Banks Corp. 44,077 275,040 Churchill Downs, Inc. 21,185 1,860,679 #* Chuy's Holdings, Inc. 16,800 603,960 * Citi Trends, Inc. 25,734 437,221 * Cobra Electronics Corp. 2,099 6,927 # Collectors Universe, Inc. 20,036 470,445 # Columbia Sportswear Co. 8,512 731,862 #* Conn's, Inc. 78,720 3,481,786 # Cooper Tire & Rubber Co. 59,616 1,499,342 #* Cooper-Standard Holding, Inc. 438 29,675 Core-Mark Holding Co., Inc. 28,897 2,327,364 #* Corinthian Colleges, Inc. 195,882 225,264 Cracker Barrel Old Country Store, Inc. 24,607 2,331,267 * Crocs, Inc. 121,945 1,845,028 #* Crown Media Holdings, Inc. Class A 90,508 324,019 CSS Industries, Inc. 20,525 491,984 # CST Brands, Inc. 32,100 1,047,423 CTC Media, Inc. 40,553 351,595 Culp, Inc. 35,956 649,006 * Cumulus Media, Inc. Class A 168,059 1,077,258 # Dana Holding Corp. 100 2,117 #* Deckers Outdoor Corp. 39,785 3,141,026 * Del Frisco's Restaurant Group, Inc. 16,200 421,362 #* dELiA*s, Inc. 21,097 17,827 * Delta Apparel, Inc. 5,459 83,141 Destination Maternity Corp. 31,719 782,191 #* Destination XL Group, Inc. 114,725 619,515 # DeVry Education Group, Inc. 43,305 1,950,024 Dillard's, Inc. Class A 24,816 2,430,231 DineEquity, Inc. 22,844 1,731,804 * Dixie Group, Inc. (The) 17,430 262,670 Domino's Pizza, Inc. 54,821 4,077,586 #* Dorman Products, Inc. 58,084 3,342,734 * Dover Downs Gaming & Entertainment, Inc. 19,418 28,156 Dover Motorsports, Inc. 27,257 63,781 #* DreamWorks Animation SKG, Inc. Class A 58,193 1,398,378 Drew Industries, Inc. 44,007 2,214,432 DSW, Inc. Class A 69,646 2,325,480 # Educational Development Corp. 2,842 11,027 TAX-MANAGED U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Consumer Discretionary -- (Continued) Einstein Noah Restaurant Group, Inc. 30,560 $ 469,402 * Emerson Radio Corp. 37,654 76,438 * Emmis Communications Corp. Class A 8,150 26,325 #* Entercom Communications Corp. Class A 40,881 441,515 * Entertainment Gaming Asia, Inc. 3,555 3,025 Entravision Communications Corp. Class A 153,830 816,837 Escalade, Inc. 10,576 155,679 Ethan Allen Interiors, Inc. 39,716 964,304 #* EW Scripps Co. Class A 100,095 1,714,627 * Express, Inc. 41,522 604,976 (o)#* FAB Universal Corp. 15,344 35,337 * Famous Dave's Of America, Inc. 19,657 520,714 * Federal-Mogul Holdings Corp. 16,290 280,514 * Fiesta Restaurant Group, Inc. 47,558 1,741,098 Finish Line, Inc. (The) Class A 114,231 3,144,779 * Flanigan's Enterprises, Inc. 1,877 26,184 Flexsteel Industries, Inc. 6,364 218,412 Fred's, Inc. Class A 90,082 1,641,294 Frisch's Restaurants, Inc. 5,471 129,553 * FTD Cos., Inc. 44,580 1,352,557 #* Fuel Systems Solutions, Inc. 36,926 386,984 * Full House Resorts, Inc. 43,994 87,768 #* G-III Apparel Group, Ltd. 41,439 2,974,077 * Gaiam, Inc. Class A 34,103 251,680 * Gaming Partners International Corp. 20,256 171,163 * Geeknet, Inc. 7,936 117,453 #* Genesco, Inc. 36,236 2,767,343 * Gentherm, Inc. 61,205 2,224,802 # Gordmans Stores, Inc. 17,190 77,183 #* Grand Canyon Education, Inc. 35,116 1,514,202 #* Gray Television, Inc. 134,064 1,508,220 * Gray Television, Inc. Class A 912 8,441 # Group 1 Automotive, Inc. 40,048 2,888,662 Guess?, Inc. 31,631 851,190 * Hallwood Group, Inc. (The) 1,645 20,168 Harte-Hanks, Inc. 91,031 731,889 * Hastings Entertainment, Inc. 4,292 12,661 Haverty Furniture Cos., Inc. 45,361 1,158,520 Haverty Furniture Cos., Inc. Class A 457 11,690 * Helen of Troy, Ltd. 45,519 2,854,041 #* hhgregg, Inc. 62,878 542,008 #* Hibbett Sports, Inc. 25,429 1,369,352 Hillenbrand, Inc. 39,477 1,200,101 * Hollywood Media Corp. 26,966 33,708 Hooker Furniture Corp. 25,088 347,469 HSN, Inc. 3,000 174,120 #* Iconix Brand Group, Inc. 102,033 4,336,402 International Speedway Corp. Class A 43,183 1,357,674 Interval Leisure Group, Inc. 48,477 1,249,252 #* iRobot Corp. 33,172 1,111,262 * Isle of Capri Casinos, Inc. 62,507 425,048 #* ITT Educational Services, Inc. 8,500 229,500 TAX-MANAGED U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Consumer Discretionary -- (Continued) * Jack in the Box, Inc. 42,100 $2,254,034 # JAKKS Pacific, Inc. 36,577 320,415 * Jamba, Inc. 2,346 25,947 Johnson Outdoors, Inc. Class A 16,903 353,780 * Jos A Bank Clothiers, Inc. 37,838 2,442,443 * Journal Communications, Inc. Class A 106,741 856,063 * JTH Holding, Inc. Class A 762 20,726 #* K12, Inc. 25,901 613,336 * Kate Spade & Co. 58,753 2,042,842 # KB Home 41,700 688,467 * Kirkland's, Inc. 46,173 790,020 * Kona Grill, Inc. 13,187 309,235 Koss Corp. 8,015 37,029 #* Krispy Kreme Doughnuts, Inc. 137,728 2,415,749 La-Z-Boy, Inc. 116,492 2,822,601 * Lakeland Industries, Inc. 10,138 71,980 #* LeapFrog Enterprises, Inc. 101,530 695,481 * Learning Tree International, Inc. 29,551 90,131 #* Lee Enterprises, Inc. 38,034 152,897 * Libbey, Inc. 39,604 1,056,239 #* Life Time Fitness, Inc. 42,231 2,027,088 Lifetime Brands, Inc. 27,425 523,818 * LIN Media LLC Class A 80,193 1,878,922 # Lincoln Educational Services Corp. 34,135 139,271 Lithia Motors, Inc. Class A 51,735 3,842,876 * Live Nation Entertainment, Inc. 101,740 2,124,331 * Loral Space & Communications, Inc. 16,665 1,199,713 * Luby's, Inc. 65,770 356,473 #* Lumber Liquidators Holdings, Inc. 29,224 2,547,164 * M/I Homes, Inc. 51,682 1,150,958 * Madison Square Garden Co. (The) Class A 22,099 1,206,605 Marcus Corp. (The) 41,404 692,689 Marine Products Corp. 57,093 405,360 * MarineMax, Inc. 55,692 894,414 * Marriott Vacations Worldwide Corp. 27,545 1,500,652 #* Martha Stewart Living Omnimedia, Inc. Class A 71,778 280,652 Matthews International Corp. Class A 28,791 1,161,717 * McClatchy Co. (The) Class A 91,268 500,149 # MDC Holdings, Inc. 43,825 1,209,570 #* Media General, Inc. Class A 45,073 690,518 Men's Wearhouse, Inc. (The) 68,501 3,245,577 # Meredith Corp. 33,176 1,462,066 * Meritage Homes Corp. 43,549 1,680,120 * Modine Manufacturing Co. 84,536 1,393,153 * Monarch Casino & Resort, Inc. 36,981 593,175 # Monro Muffler Brake, Inc. 32,229 1,817,716 * Motorcar Parts of America, Inc. 30,421 834,752 Movado Group, Inc. 45,116 1,772,156 * MTR Gaming Group, Inc. 15,246 77,145 * Multimedia Games Holding Co., Inc. 35,732 1,043,374 NACCO Industries, Inc. Class A 15,531 832,306 #* Nathan's Famous, Inc. 14,980 738,214 TAX-MANAGED U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Consumer Discretionary -- (Continued) National CineMedia, Inc. 65,980 $1,002,236 * Nautilus, Inc. 79,994 666,350 #* New York & Co., Inc. 135,161 566,325 # New York Times Co. (The) Class A 153,784 2,472,847 # Nexstar Broadcasting Group, Inc. Class A 33,220 1,323,817 * Nobility Homes, Inc. 6,093 67,023 Nutrisystem, Inc. 62,669 940,035 #* Office Depot, Inc. 444,287 1,817,134 * Orbitz Worldwide, Inc. 114,587 842,214 * Orient-Express Hotels, Ltd. Class A 127,967 1,676,368 #* Outerwall, Inc. 10,200 707,370 * Overstock.com, Inc. 35,480 568,390 # Oxford Industries, Inc. 26,571 1,753,952 #* Pacific Sunwear of California, Inc. 109,976 316,731 Papa John's International, Inc. 45,840 2,010,542 #* Penn National Gaming, Inc. 52,802 589,270 Penske Automotive Group, Inc. 41,933 1,923,047 #* Pep Boys-Manny, Moe & Jack (The) 113,558 1,160,563 * Perfumania Holdings, Inc. 9,679 64,172 * Perry Ellis International, Inc. 40,417 610,297 # PetMed Express, Inc. 50,778 664,684 # Pier 1 Imports, Inc. 103,627 1,892,229 #* Pinnacle Entertainment, Inc. 72,817 1,694,452 # Pool Corp. 38,044 2,245,357 * Popeyes Louisiana Kitchen, Inc. 45,337 1,727,340 #* Quiksilver, Inc. 284,302 1,825,219 #* RadioShack Corp. 79,625 113,864 * Reading International, Inc. Class B 2,340 23,997 * Red Lion Hotels Corp. 42,183 242,552 * Red Robin Gourmet Burgers, Inc. 33,987 2,310,436 # Regal Entertainment Group Class A 36,762 691,126 # Regis Corp. 77,811 1,022,437 # Rent-A-Center, Inc. 77,210 2,255,304 #* Rentrak Corp. 22,753 1,296,693 RG Barry Corp. 29,993 548,272 #* Rick's Cabaret International, Inc. 23,683 239,198 Rocky Brands, Inc. 17,635 258,176 * Ruby Tuesday, Inc. 136,048 1,048,930 Ruth's Hospitality Group, Inc. 90,958 1,145,161 # Ryland Group, Inc. (The) 43,387 1,665,627 Saga Communications, Inc. Class A 15,886 703,750 Salem Communications Corp. Class A 7,225 63,652 # Scholastic Corp. 34,145 1,123,712 * Scientific Games Corp. Class A 88,145 1,055,977 #* Select Comfort Corp. 89,608 1,648,787 #* Shiloh Industries, Inc. 48,090 949,297 Shoe Carnival, Inc. 48,652 1,111,212 #* Shutterfly, Inc. 44,735 1,831,004 # Sinclair Broadcast Group, Inc. Class A 60,450 1,615,828 * Sizmek, Inc. 62,982 603,368 * Skechers U.S.A., Inc. Class A 52,918 2,169,109 #* Skullcandy, Inc. 31,617 243,451 TAX-MANAGED U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Consumer Discretionary -- (Continued) * Skyline Corp. 11,206 $ 57,151 # Sonic Automotive, Inc. Class A 39,634 964,692 #* Sonic Corp. 98,328 1,872,165 # Sotheby's 25,482 1,071,773 * Spanish Broadcasting System, Inc. Class A 4,462 28,289 Spartan Motors, Inc. 73,920 392,515 Speedway Motorsports, Inc. 46,260 841,469 * Sport Chalet, Inc. Class A 13,582 15,348 Stage Stores, Inc. 45,637 875,318 Standard Motor Products, Inc. 57,284 2,176,219 #* Standard Pacific Corp. 189,748 1,516,087 * Stanley Furniture Co., Inc. 23,297 68,027 * Starz 81,601 2,633,264 Stein Mart, Inc. 89,200 1,115,000 * Steiner Leisure, Ltd. 15,636 675,006 * Steven Madden, Ltd. 82,515 2,938,359 * Stoneridge, Inc. 71,086 759,909 Strattec Security Corp. 5,703 381,017 # Sturm Ruger & Co., Inc. 31,391 2,020,011 Superior Industries International, Inc. 56,458 1,193,522 Superior Uniform Group, Inc. 9,036 146,925 #* Systemax, Inc. 69,101 1,194,756 * Tandy Leather Factory, Inc. 22,365 218,953 #* Tempur Sealy International, Inc. 16,600 832,988 * Tenneco, Inc. 41,414 2,479,456 # Texas Roadhouse, Inc. 78,827 1,950,180 Thor Industries, Inc. 50,891 3,097,735 #* Tile Shop Holdings, Inc. 4,897 69,023 * Tower International, Inc. 26,476 736,298 Town Sports International Holdings, Inc. 57,540 403,355 # Trans World Entertainment Corp. 9,128 29,849 #* Tuesday Morning Corp. 62,219 869,822 #* Tumi Holdings, Inc. 6,284 128,319 * Unifi, Inc. 37,068 820,686 * Universal Electronics, Inc. 27,640 1,032,354 Universal Technical Institute, Inc. 48,808 586,184 #* UQM Technologies, Inc. 43,051 95,143 #* US Auto Parts Network, Inc. 55,021 171,666 Vail Resorts, Inc. 33,000 2,284,590 # Value Line, Inc. 4,536 66,135 * Valuevision Media, Inc. Class A 82,953 388,220 #* Vitacost.com, Inc. 9,808 65,419 #* Vitamin Shoppe, Inc. 31,298 1,498,548 * VOXX International Corp. 57,427 674,767 * Wells-Gardner Electronics Corp. 26,612 45,507 # Wendy's Co. (The) 314,539 2,613,819 * West Marine, Inc. 52,591 562,724 #* Wet Seal, Inc. (The) Class A 204,563 231,156 Weyco Group, Inc. 12,523 314,202 * William Lyon Homes Class A 5,553 144,933 Winmark Corp. 8,419 638,665 * Winnebago Industries, Inc. 44,846 1,071,819 TAX-MANAGED U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ------------ Consumer Discretionary -- (Continued) # Wolverine World Wide, Inc. 58,506 $ 1,644,019 # World Wrestling Entertainment, Inc. Class A 14,555 283,823 * Zagg, Inc. 36,131 157,170 * Zale Corp. 94,214 2,015,237 #* Zumiez, Inc. 33,787 826,092 ------------ Total Consumer Discretionary 316,396,074 ------------ Consumer Staples -- (3.5%) # Alico, Inc. 13,589 474,528 * Alliance One International, Inc. 173,375 445,574 Andersons, Inc. (The) 32,884 2,048,344 #* Annie's, Inc. 6,083 197,758 B&G Foods, Inc. 65,317 2,142,398 #* Boston Beer Co., Inc. (The) Class A 8,600 2,115,944 #* Boulder Brands, Inc. 133,867 1,975,877 * Bridgford Foods Corp. 6,838 67,730 # Cal-Maine Foods, Inc. 25,764 1,536,307 # Calavo Growers, Inc. 28,480 885,443 Casey's General Stores, Inc. 24,875 1,707,918 CCA Industries, Inc. 12,833 38,884 * Central Garden and Pet Co. 27,336 222,242 * Central Garden and Pet Co. Class A 75,319 622,888 #* Chefs' Warehouse, Inc. (The) 8,251 165,763 * Chiquita Brands International, Inc. 108,338 1,243,720 Coca-Cola Bottling Co. Consolidated 12,876 1,058,793 #* Craft Brew Alliance, Inc. 43,879 656,869 * Darling International, Inc. 122,820 2,457,628 # Dean Foods Co. 100,445 1,591,049 #* Diamond Foods, Inc. 19,820 605,897 * Elizabeth Arden, Inc. 41,267 1,516,150 * Farmer Bros. Co. 26,782 527,873 Fresh Del Monte Produce, Inc. 91,010 2,629,279 Golden Enterprises, Inc. 3,061 13,468 # Griffin Land & Nurseries, Inc. 3,886 113,471 * Hain Celestial Group, Inc. (The) 32,042 2,756,253 Ingles Markets, Inc. Class A 31,886 733,059 Inter Parfums, Inc. 63,168 2,311,317 * Inventure Foods, Inc. 6,384 76,736 J&J Snack Foods Corp. 22,538 2,109,557 John B. Sanfilippo & Son, Inc. 18,497 426,356 Lancaster Colony Corp. 21,646 2,053,772 # Liberator Medical Holdings, Inc. 2,500 9,675 # Lifeway Foods, Inc. 28,187 423,087 # Limoneira Co. 1,506 34,593 * Mannatech, Inc. 3,043 49,510 #* Medifast, Inc. 34,611 1,095,438 MGP Ingredients, Inc. 41,536 242,570 * National Beverage Corp. 81,150 1,564,572 * Natural Alternatives International, Inc. 17,104 97,493 #* Natural Grocers by Vitamin Cottage, Inc. 2,164 77,038 Nu Skin Enterprises, Inc. Class A 12,563 1,092,981 * Nutraceutical International Corp. 26,269 654,623 TAX-MANAGED U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Consumer Staples -- (Continued) Oil-Dri Corp. of America 12,831 $ 429,967 * Omega Protein Corp. 48,285 548,518 Orchids Paper Products Co. 8,971 241,051 * Pantry, Inc. (The) 52,673 792,202 * Pilgrim's Pride Corp. 173,140 3,784,840 * Post Holdings, Inc. 44,372 2,318,881 # Pricesmart, Inc. 28,537 2,740,693 Reliv International, Inc. 25,871 57,175 #* Revlon, Inc. Class A 77,452 2,334,403 * Rite Aid Corp. 13,864 101,207 Rocky Mountain Chocolate Factory, Inc. 12,843 153,474 # Sanderson Farms, Inc. 25,478 2,096,075 * Seaboard Corp. 99 241,362 * Seneca Foods Corp. Class A 21,308 605,147 * Seneca Foods Corp. Class B 1,443 44,069 Snyder's-Lance, Inc. 84,180 2,235,821 Spartan Stores, Inc. 80,208 1,727,680 Spectrum Brands Holdings, Inc. 41,553 3,192,517 #* Susser Holdings Corp. 41,279 3,194,169 * Tofutti Brands, Inc. 7,749 30,919 # Tootsie Roll Industries, Inc. 39,349 1,109,248 * TreeHouse Foods, Inc. 43,568 3,260,629 #* United Natural Foods, Inc. 10,825 747,250 United-Guardian, Inc. 13,162 408,022 # Universal Corp. 33,750 1,841,738 #* USANA Health Sciences, Inc. 26,952 1,828,963 # Vector Group, Ltd. 52,932 1,127,452 Village Super Market, Inc. Class A 10,768 260,478 WD-40 Co. 15,902 1,158,302 # Weis Markets, Inc. 31,449 1,449,484 * WhiteWave Foods Co. (The) Class A 58,625 1,623,326 ----------- Total Consumer Staples 84,555,487 ----------- Energy -- (5.2%) Adams Resources & Energy, Inc. 9,276 668,429 Alon USA Energy, Inc. 89,575 1,459,177 #* Alpha Natural Resources, Inc. 389,641 1,675,456 #* Approach Resources, Inc. 46,357 961,908 * Barnwell Industries, Inc. 8,064 24,797 #* Basic Energy Services, Inc. 95,442 2,521,578 #* Bill Barrett Corp. 55,509 1,314,453 Bolt Technology Corp. 23,475 396,258 #* Bonanza Creek Energy, Inc. 51,661 2,511,758 #* BPZ Resources, Inc. 217,187 586,405 Bristow Group, Inc. 53,346 4,096,973 * C&J Energy Services, Inc. 19,324 580,879 #* Cal Dive International, Inc. 136,718 202,343 * Callon Petroleum Co. 85,955 789,067 # CARBO Ceramics, Inc. 18,738 2,621,634 * Carrizo Oil & Gas, Inc. 66,176 3,641,004 * Clayton Williams Energy, Inc. 17,125 2,474,220 #* Clean Energy Fuels Corp. 76,036 672,919 TAX-MANAGED U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Energy -- (Continued) * Cloud Peak Energy, Inc. 32,855 $ 646,915 # Comstock Resources, Inc. 83,413 2,318,881 * Contango Oil & Gas Co. 29,464 1,415,451 Dawson Geophysical Co. 17,975 507,974 Delek US Holdings, Inc. 73,167 2,340,612 DHT Holdings, Inc. 5,589 43,650 #* Emerald Oil, Inc. 65,274 461,487 #* Endeavour International Corp. 79,630 273,927 # Energy XXI Bermuda, Ltd. 47,682 1,141,030 * ENGlobal Corp. 61,009 130,559 EnLink Midstream LLC 91,637 3,237,535 * EPL Oil & Gas, Inc. 60,632 2,373,137 * Era Group, Inc. 19,448 555,240 * Escalera Resources Co. 29,317 80,035 Evolution Petroleum Corp. 16,274 192,033 Exterran Holdings, Inc. 96,024 4,130,953 #* FieldPoint Petroleum Corp. 18,199 100,459 #* Forest Oil Corp. 4,648 8,645 * Gastar Exploration, Inc. 84,575 560,732 #* Geospace Technologies Corp. 19,063 1,108,132 #* Gevo, Inc. 11,048 11,379 # Green Plains Renewable Energy, Inc. 69,992 2,092,761 Gulf Island Fabrication, Inc. 34,046 682,963 Gulfmark Offshore, Inc. Class A 48,144 2,166,961 * Gulfport Energy Corp. 12,319 907,541 #* Halcon Resources Corp. 74,911 413,509 #* Harvest Natural Resources, Inc. 108,597 489,773 * Helix Energy Solutions Group, Inc. 116,043 2,789,674 #* Hercules Offshore, Inc. 242,670 1,084,735 * HKN, Inc. 853 53,317 * Hornbeck Offshore Services, Inc. 59,921 2,482,527 #* Houston American Energy Corp. 24,635 11,578 #* ION Geophysical Corp. 82,200 361,680 * Key Energy Services, Inc. 135,753 1,362,960 Knightsbridge Tankers, Ltd. 61,142 730,647 # LinnCo LLC 75,204 2,072,622 * Lucas Energy, Inc. 35,619 22,340 #* Magnum Hunter Resources Corp. 199,582 1,696,447 * Matador Resources Co. 42,967 1,234,012 * Matrix Service Co. 65,962 2,042,843 #* McDermott International, Inc. 19,549 141,339 #* Mexco Energy Corp. 2,735 19,829 #* Miller Energy Resources, Inc. 5,451 26,274 * Mitcham Industries, Inc. 29,489 406,948 * Natural Gas Services Group, Inc. 27,719 850,696 * Newpark Resources, Inc. 168,974 2,034,447 # Nordic American Tankers, Ltd. 13,085 112,924 #* Northern Oil and Gas, Inc. 62,319 961,582 #* Nuverra Environmental Solutions, Inc. 11,334 192,791 #* Overseas Shipholding Group, Inc. 31,716 180,781 * Pacific Drilling SA 2,056 20,375 # Panhandle Oil and Gas, Inc. Class A 14,883 652,620 TAX-MANAGED U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ------------ Energy -- (Continued) * Parker Drilling Co. 237,549 $ 1,574,950 #* PDC Energy, Inc. 39,125 2,491,089 * Penn Virginia Corp. 112,696 1,875,261 * PetroQuest Energy, Inc. 111,801 673,042 * PHI, Inc. Non-Voting 28,808 1,290,598 * PHI, Inc. Voting 200 8,460 * Pioneer Energy Services Corp. 125,502 1,878,765 #* PostRock Energy Corp. 17,737 24,300 * Pyramid Oil Co. 12,084 62,353 * Renewable Energy Group, Inc. 44,343 521,917 #* Rentech, Inc. 435,258 922,747 * REX American Resources Corp. 18,425 1,204,258 * Rex Energy Corp. 105,783 2,227,790 * RigNet, Inc. 9,028 422,149 #* Rosetta Resources, Inc. 10,594 501,520 RPC, Inc. 43,285 962,226 # Scorpio Tankers, Inc. 179,615 1,618,331 #* SEACOR Holdings, Inc. 27,721 2,311,654 SemGroup Corp. Class A 47,241 3,017,755 # Ship Finance International, Ltd. 64,415 1,135,636 * Stone Energy Corp. 76,866 3,770,277 #* Swift Energy Co. 34,800 429,084 #* Synergy Resources Corp. 131,368 1,529,124 #* Synthesis Energy Systems, Inc. 52,632 91,053 Targa Resources Corp. 6,484 700,207 * Tesco Corp. 31,808 636,160 * TETRA Technologies, Inc. 98,595 1,232,438 * TGC Industries, Inc. 54,640 276,478 #* Triangle Petroleum Corp. 115,958 1,115,516 * Unit Corp. 14,570 960,892 #* Uranium Energy Corp. 14,078 15,063 * Vaalco Energy, Inc. 126,012 1,161,831 # W&T Offshore, Inc. 70,980 1,362,816 * Warren Resources, Inc. 149,293 756,916 # Western Refining, Inc. 181,222 7,883,157 * Westmoreland Coal Co. 15,727 465,676 * Willbros Group, Inc. 124,157 1,379,384 # World Fuel Services Corp. 10,400 473,616 ------------ Total Energy 126,102,009 ------------ Financials -- (16.1%) * 1st Constitution Bancorp 155 1,615 1st Source Corp. 50,917 1,501,542 1st United Bancorp, Inc. 31,784 232,659 Access National Corp. 7,865 116,009 Alexander & Baldwin, Inc. 40,715 1,519,077 Alliance Bancorp, Inc. of Pennsylvania 1,066 16,635 * Altisource Asset Management Corp. 2,193 2,145,302 #* Altisource Portfolio Solutions SA 21,934 2,274,775 #* Ambac Financial Group, Inc. 38,119 1,150,431 American Equity Investment Life Holding Co. 116,240 2,710,717 * American Independence Corp. 1,081 11,815 TAX-MANAGED U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Financials -- (Continued) # American National Bankshares, Inc. 3,612 $ 76,972 American National Insurance Co. 227 25,517 * American River Bankshares 7,219 69,014 * Ameris Bancorp 56,620 1,204,307 AMERISAFE, Inc. 45,008 1,919,591 AmeriServ Financial, Inc. 63,591 221,297 # Amtrust Financial Services, Inc. 80,469 3,111,736 Argo Group International Holdings, Ltd. 43,259 1,921,565 # Arrow Financial Corp. 28,915 723,742 Aspen Insurance Holdings, Ltd. 25,086 1,148,437 Associated Banc-Corp 19,672 345,244 * Asta Funding, Inc. 33,832 276,407 Astoria Financial Corp. 134,521 1,783,748 Atlantic American Corp. 4,900 17,150 #* Atlanticus Holdings Corp. 27,579 67,017 Auburn National Bancorp., Inc. 300 7,145 #* AV Homes, Inc. 17,502 299,809 Baldwin & Lyons, Inc. Class A 550 12,997 Baldwin & Lyons, Inc. Class B 22,333 580,881 # Banc of California, Inc. 16,705 209,982 Bancfirst Corp. 21,645 1,259,955 Bancorp of New Jersey, Inc. 159 2,164 * Bancorp, Inc. 90,572 1,432,849 # BancorpSouth, Inc. 148,561 3,470,385 Bank Mutual Corp. 47,193 284,102 Bank of Commerce Holdings 400 2,540 # Bank of Hawaii Corp. 25,650 1,415,110 Bank of Kentucky Financial Corp. 2,075 71,608 # Bank of the Ozarks, Inc. 40,520 2,427,148 BankFinancial Corp. 40,419 397,723 Banner Corp. 48,341 1,911,403 Bar Harbor Bankshares 4,230 158,963 BBCN Bancorp, Inc. 128,741 1,983,899 #* BBX Capital Corp. Class A 846 15,846 BCB Bancorp, Inc. 3,171 42,174 * Beneficial Mutual Bancorp, Inc. 84,238 1,098,464 Berkshire Bancorp, Inc. 150 1,103 Berkshire Hills Bancorp, Inc. 46,157 1,081,459 BGC Partners, Inc. Class A 29,132 208,876 * BofI Holding, Inc. 26,229 2,114,320 Boston Private Financial Holdings, Inc. 191,899 2,400,656 Bridge Bancorp, Inc. 2,572 62,551 * Bridge Capital Holdings 4,827 108,125 Brookline Bancorp, Inc. 157,482 1,429,937 Bryn Mawr Bank Corp. 27,745 756,884 C&F Financial Corp. 700 21,875 Calamos Asset Management, Inc. Class A 53,574 652,531 # California First National Bancorp 3,097 45,929 Camden National Corp. 17,269 659,158 * Capital Bank Financial Corp. Class A 1,263 30,123 # Capital City Bank Group, Inc. 25,122 349,196 * Capital Properties, Inc. Class A 550 5,470 TAX-MANAGED U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Financials -- (Continued) Capital Southwest Corp. 28,352 $ 995,155 Capitol Federal Financial, Inc. 191,743 2,308,586 Cardinal Financial Corp. 72,600 1,219,680 # Cash America International, Inc. 33,597 1,463,149 Cathay General Bancorp 161,692 3,815,931 Center Bancorp, Inc. 37,010 685,055 Centerstate Banks, Inc. 34,342 376,732 Central Pacific Financial Corp. 20,663 387,845 Century Bancorp, Inc. Class A 1,209 40,502 Chemical Financial Corp. 43,319 1,215,964 Chicopee Bancorp, Inc. 2,287 39,634 Citizens Community Bancorp, Inc. 17,782 142,789 Citizens Holding Co. 592 11,112 #* Citizens, Inc. 118,923 781,324 # City Holding Co. 37,340 1,605,247 # CKX Lands, Inc. 702 10,723 Clifton Bancorp, Inc. 53,560 620,760 CNB Financial Corp. 12,161 200,900 CNO Financial Group, Inc. 336,171 5,798,950 CoBiz Financial, Inc. 90,061 904,212 Codorus Valley Bancorp, Inc. 1,657 35,377 # Cohen & Steers, Inc. 4,311 174,639 #* Colonial Financial Services, Inc. 4,279 49,893 * Colony Bankcorp, Inc. 1,629 10,051 Columbia Banking System, Inc. 70,104 1,739,981 Commercial National Financial Corp. 700 14,560 # Community Bank System, Inc. 47,973 1,784,116 Community Trust Bancorp, Inc. 38,192 1,408,139 * Community West Bancshares 1,200 8,316 # Consolidated-Tomoka Land Co. 12,875 508,949 * Consumer Portfolio Services, Inc. 30,198 210,782 * Cowen Group, Inc. Class A 226,061 929,111 Crawford & Co. Class A 62,652 604,592 Crawford & Co. Class B 49,714 567,734 * Credit Acceptance Corp. 16,704 2,196,910 * Customers Bancorp, Inc. 2,199 48,444 # CVB Financial Corp. 121,465 1,756,384 #* DFC Global Corp. 34,775 324,103 # Diamond Hill Investment Group, Inc. 6,504 772,155 Dime Community Bancshares, Inc. 90,420 1,473,846 Donegal Group, Inc. Class A 46,744 689,941 Donegal Group, Inc. Class B 870 18,775 #* Doral Financial Corp. 79 755 East West Bancorp, Inc. 5,189 179,072 * Eastern Virginia Bankshares, Inc. 822 5,549 * eHealth, Inc. 53,786 2,253,096 EMC Insurance Group, Inc. 28,550 941,864 Employers Holdings, Inc. 54,960 1,118,436 #* Encore Capital Group, Inc. 47,727 2,062,761 Endurance Specialty Holdings, Ltd. 63,590 3,231,644 * Enstar Group, Ltd. 15,661 2,021,835 # Enterprise Bancorp, Inc. 2,244 40,975 TAX-MANAGED U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Financials -- (Continued) Enterprise Financial Services Corp. 43,079 $ 769,822 # ESB Financial Corp. 7,246 91,445 ESSA Bancorp, Inc. 31,805 330,454 Evans Bancorp, Inc. 1,635 36,910 # EverBank Financial Corp. 2,425 45,396 Evercore Partners, Inc. Class A 24,438 1,305,722 * Ezcorp, Inc. Class A 40,830 425,857 FBL Financial Group, Inc. Class A 40,672 1,818,445 Federal Agricultural Mortgage Corp. Class A 1,115 30,690 Federal Agricultural Mortgage Corp. Class C 23,362 831,220 # Federated Investors, Inc. Class B 65,759 1,876,762 Federated National Holding Co. 18,868 366,605 Fidelity National Financial, Inc. Class A 12,457 400,866 Fidelity Southern Corp. 24,197 319,642 Financial Institutions, Inc. 26,721 618,591 * First Acceptance Corp. 124,814 298,305 # First American Financial Corp. 128,060 3,406,396 First Bancorp 29,604 509,485 First Bancorp, Inc. 4,470 71,207 * First BanCorp. 73,081 375,636 * First Bancshares, Inc. 400 3,300 First Bancshares, Inc. (The) 300 4,347 First Busey Corp. 149,485 822,168 First Business Financial Services, Inc. 700 31,647 * First Cash Financial Services, Inc. 34,162 1,666,081 First Citizens BancShares, Inc. Class A 438 98,502 First Commonwealth Financial Corp. 158,595 1,362,331 First Community Bancshares, Inc. 37,579 556,545 First Connecticut Bancorp, Inc. 2,373 37,612 First Defiance Financial Corp. 24,297 656,505 * First Federal Bancshares of Arkansas, Inc. 396 3,513 First Federal of Northern Michigan Bancorp, Inc. 2,000 9,940 First Financial Bancorp 97,475 1,578,120 # First Financial Bankshares, Inc. 31,279 1,847,025 First Financial Corp. 32,291 1,033,635 First Financial Holdings, Inc. 45,384 2,608,218 # First Financial Northwest, Inc. 33,971 346,504 * First Financial Service Corp. 156 569 First Horizon National Corp. 118,395 1,360,359 First Interstate Bancsystem, Inc. 18,168 452,202 #* First Marblehead Corp. (The) 4,034 21,219 First Merchants Corp. 71,810 1,523,808 First Midwest Bancorp, Inc. 116,334 1,904,388 First South Bancorp, Inc. 17,129 137,546 * First United Corp. 500 4,130 First West Virginia Bancorp 449 8,095 FirstMerit Corp. 140,178 2,718,051 * Flagstar Bancorp, Inc. 35,714 628,566 Flushing Financial Corp. 75,448 1,450,111 # FNB Corp. 222,243 2,764,703 #* Forestar Group, Inc. 58,153 991,509 #* Fortegra Financial Corp. 329 2,375 TAX-MANAGED U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Financials -- (Continued) Fox Chase Bancorp, Inc. 33,410 $ 557,279 * Franklin Financial Corp. 1,732 34,571 Fulton Financial Corp. 249,723 3,044,123 # FXCM, Inc. Class A 45,532 704,835 # Gain Capital Holdings, Inc. 18,627 188,133 GAMCO Investors, Inc. Class A 4,608 349,885 German American Bancorp, Inc. 29,938 779,586 GFI Group, Inc. 189,959 706,647 # Glacier Bancorp, Inc. 89,278 2,290,873 #* Gleacher & Co., Inc. 1,987 22,851 * Global Indemnity P.L.C. 23,251 623,127 Great Southern Bancorp, Inc. 30,592 877,073 #* Green Dot Corp. Class A 72,699 1,262,782 # Greenhill & Co., Inc. 28,396 1,424,059 * Greenlight Capital Re, Ltd. Class A 39,692 1,263,396 Guaranty Bancorp 8,851 111,434 * Guaranty Federal Bancshares, Inc. 3,766 47,602 * Hallmark Financial Services, Inc. 45,993 386,341 Hampden Bancorp, Inc. 7,411 120,429 Hanmi Financial Corp. 80,861 1,719,913 Hanover Insurance Group, Inc. (The) 58,429 3,415,175 Harleysville Savings Financial Corp. 101 1,707 #* Harris & Harris Group, Inc. 78,637 282,307 # Hawthorn Bancshares, Inc. 1,739 23,059 # HCI Group, Inc. 32,112 1,242,092 Heartland Financial USA, Inc. 36,242 880,681 Heritage Commerce Corp. 30,889 250,819 # Heritage Financial Corp. 16,283 263,133 Heritage Financial Group, Inc. 22,052 424,501 HF Financial Corp. 2,659 36,428 HFF, Inc. Class A 61,197 2,080,698 * Hilltop Holdings, Inc. 122,727 2,741,721 # Hingham Institution for Savings 559 38,856 * HMN Financial, Inc. 2,746 30,590 #* Home Bancorp, Inc. 1,082 21,911 Home BancShares, Inc. 84,726 2,686,661 Home Federal Bancorp, Inc. 38,027 572,306 * HomeTrust Bancshares, Inc. 673 10,277 HopFed Bancorp, Inc. 7,718 87,831 Horace Mann Educators Corp. 77,779 2,338,815 # Horizon Bancorp 1,881 37,601 # Hudson Valley Holding Corp. 14,185 260,437 Huntington Bancshares, Inc. 506 4,635 Iberiabank Corp. 48,133 3,027,566 * ICG Group, Inc. 91,159 1,857,820 #* Imperial Holdings, Inc. 1,300 8,697 Independence Holding Co. 36,356 474,809 # Independent Bank Corp.(453836108) 40,943 1,519,804 Independent Bank Corp.(453838609) 21,971 286,062 Infinity Property & Casualty Corp. 17,124 1,098,847 Interactive Brokers Group, Inc. Class A 72,606 1,735,283 International Bancshares Corp. 75,353 1,730,105 TAX-MANAGED U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Financials -- (Continued) #* Intervest Bancshares Corp. Class A 12,149 $ 91,968 #* INTL. FCStone, Inc. 39,622 749,648 * Investment Technology Group, Inc. 50,219 1,036,520 Investors Bancorp, Inc. 162,953 4,355,734 #* Investors Capital Holdings, Ltd. 1,464 10,416 Investors Title Co. 1,371 97,012 # Janus Capital Group, Inc. 211,524 2,565,786 JMP Group, Inc. 52,091 359,949 * KCG Holdings, Inc. Class A 4,700 46,765 #* Kearny Financial Corp. 60,876 887,572 Kemper Corp. 74,068 2,919,020 Kennedy-Wilson Holdings, Inc. 27,787 606,868 Kentucky First Federal Bancorp 3,402 29,223 #* Ladenburg Thalmann Financial Services, Inc. 34,417 93,958 Lake Shore Bancorp, Inc. 338 4,186 Lakeland Bancorp, Inc. 75,547 788,711 Lakeland Financial Corp. 40,295 1,474,797 Landmark Bancorp, Inc. 2,460 47,527 Life Partners Holdings, Inc. 10,604 28,949 LNB Bancorp, Inc. 12,718 144,731 Louisiana Bancorp, Inc. 8,396 163,722 Macatawa Bank Corp. 58,219 283,527 * Magyar Bancorp, Inc. 809 6,690 # Maiden Holdings, Ltd. 83,288 982,798 MainSource Financial Group, Inc. 45,181 746,842 Manning & Napier, Inc. 9,255 153,818 MarketAxess Holdings, Inc. 48,452 2,610,594 Marlin Business Services Corp. 30,789 528,647 MB Financial, Inc. 84,391 2,265,054 * MBIA, Inc. 231,487 2,805,622 * MBT Financial Corp. 30,233 149,049 MCG Capital Corp. 171,277 575,491 # Meadowbrook Insurance Group, Inc. 85,437 478,447 Medallion Financial Corp. 47,750 649,400 Mercantile Bank Corp. 12,831 250,333 Merchants Bancshares, Inc. 14,947 434,509 # Mercury General Corp. 17,738 848,941 * Meridian Interstate Bancorp, Inc. 34,205 864,360 Meta Financial Group, Inc. 4,031 168,939 * Metro Bancorp, Inc. 33,582 685,744 * MGIC Investment Corp. 216,764 1,864,170 MicroFinancial, Inc. 17,150 134,971 Mid Penn Bancorp, Inc. 531 7,965 MidSouth Bancorp, Inc. 18,736 313,266 MidWestOne Financial Group, Inc. 4,319 106,377 # Montpelier Re Holdings, Ltd. 85,084 2,601,869 MutualFirst Financial, Inc. 5,459 102,629 # National Interstate Corp. 37,753 1,057,839 National Penn Bancshares, Inc. 224,461 2,192,984 National Security Group, Inc. 1,000 10,380 National Western Life Insurance Co. Class A 1,800 419,850 #* Naugatuck Valley Financial Corp. 99 767 TAX-MANAGED U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Financials -- (Continued) * Navigators Group, Inc. (The) 20,522 $1,169,138 NBT Bancorp, Inc. 51,443 1,165,184 Nelnet, Inc. Class A 59,149 2,499,637 * New Century Bancorp, Inc. 1,478 10,952 # New Hampshire Thrift Bancshares, Inc. 2,734 40,327 * NewBridge Bancorp 19,281 148,271 * NewStar Financial, Inc. 112,087 1,280,034 * North Valley Bancorp 1,279 28,905 Northeast Bancorp 38 369 Northeast Community Bancorp, Inc. 35,308 257,042 Northfield Bancorp, Inc. 78,040 1,012,179 Northrim BanCorp, Inc. 6,560 157,374 Northwest Bancshares, Inc. 195,051 2,592,228 # Norwood Financial Corp. 633 18,256 # Ocean Shore Holding Co. 205 3,073 OceanFirst Financial Corp. 42,221 684,825 OFG Bancorp 97,917 1,670,464 Ohio Valley Banc Corp. 600 13,050 Old Line Bancshares, Inc. 391 6,635 Old National Bancorp 148,614 2,098,435 * Old Second Bancorp, Inc. 7,253 34,524 OmniAmerican Bancorp, Inc. 21,817 542,371 OneBeacon Insurance Group, Ltd. Class A 39,102 603,735 Oppenheimer Holdings, Inc. Class A 9,841 250,552 Oritani Financial Corp. 86,954 1,289,528 Pacific Continental Corp. 42,439 559,346 * Pacific Mercantile Bancorp 22,505 147,408 * Pacific Premier Bancorp, Inc. 3,341 45,605 PacWest Bancorp 131,887 5,192,391 Park National Corp. 15,289 1,108,758 Park Sterling Corp. 46,628 304,481 * Patriot National Bancorp, Inc. 498 642 Peapack Gladstone Financial Corp. 15,060 286,291 Penns Woods Bancorp, Inc. 3,062 134,728 Peoples Bancorp of North Carolina, Inc. 986 16,959 Peoples Bancorp, Inc. 23,072 601,487 #* PHH Corp. 83,130 1,976,000 #* Phoenix Cos., Inc. (The) 11,557 508,739 * PICO Holdings, Inc. 55,936 1,300,512 Pinnacle Financial Partners, Inc. 75,329 2,604,124 * Piper Jaffray Cos. 17,595 771,717 Platinum Underwriters Holdings, Ltd. 54,370 3,409,543 * Popular, Inc. 28,827 890,754 * Porter Bancorp, Inc. 868 937 #* Portfolio Recovery Associates, Inc. 56,103 3,206,286 * Preferred Bank 6,676 143,200 Premier Financial Bancorp, Inc. 7,690 109,967 Primerica, Inc. 80,041 3,673,081 * Primus Guaranty, Ltd. 37,536 301,789 PrivateBancorp, Inc. 96,054 2,648,209 ProAssurance Corp. 10,404 472,550 Prosperity Bancshares, Inc. 20,321 1,198,939 TAX-MANAGED U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Financials -- (Continued) Provident Financial Holdings, Inc. 6,455 $ 90,822 Provident Financial Services, Inc. 85,856 1,492,177 * Prudential Bancorp, Inc. 1,605 17,350 Pulaski Financial Corp. 12,796 132,183 # Pzena Investment Management, Inc. Class A 11,882 129,157 QC Holdings, Inc. 25,220 52,205 Radian Group, Inc. 324,032 4,529,967 Renasant Corp. 60,101 1,635,949 # Republic Bancorp, Inc. Class A 38,176 916,606 * Republic First Bancorp, Inc. 14,584 64,461 Resource America, Inc. Class A 44,043 374,806 * Riverview Bancorp, Inc. 8,195 28,519 # RLI Corp. 58,368 2,513,326 #* Royal Bancshares of Pennsylvania, Inc. Class A 8,910 23,255 # S&T Bancorp, Inc. 61,185 1,423,163 #* Safeguard Scientifics, Inc. 49,475 1,039,470 Safety Insurance Group, Inc. 25,494 1,369,283 # Salisbury Bancorp, Inc. 276 8,323 Sandy Spring Bancorp, Inc. 56,931 1,369,191 * Seacoast Banking Corp. of Florida 13,535 143,471 * Security National Financial Corp. Class A 2,872 11,172 Selective Insurance Group, Inc. 81,070 1,859,746 * Shore Bancshares, Inc. 6,047 57,386 SI Financial Group, Inc. 35,633 420,469 * Siebert Financial Corp. 7,500 21,938 Sierra Bancorp 26,723 417,146 Simmons First National Corp. Class A 41,182 1,489,141 Simplicity Bancorp, Inc. 22,451 389,300 * Southcoast Financial Corp. 82 590 (o) Southern Community Financial Corp. 39,963 8,792 * Southern First Bancshares, Inc. 3,235 44,190 Southern Missouri Bancorp, Inc. 400 14,120 # Southern National Bancorp of Virginia, Inc. 342 3,533 # Southside Bancshares, Inc. 49,755 1,372,251 Southwest Bancorp, Inc. 39,688 662,790 Southwest Georgia Financial Corp. 1,439 20,642 #* St Joe Co. (The) 67,832 1,210,801 StanCorp Financial Group, Inc. 59,107 3,611,438 State Auto Financial Corp. 41,730 853,796 Sterling Bancorp 159,590 1,908,696 Stewart Information Services Corp. 44,354 1,352,797 * Stifel Financial Corp. 65,436 3,060,442 Stock Yards Bancorp Inc 29,595 872,461 * Stratus Properties, Inc. 14,485 240,451 * Suffolk Bancorp 21,930 480,925 Summit State Bank 800 9,280 #* Sun Bancorp, Inc. 61,718 234,528 Susquehanna Bancshares, Inc. 275,152 2,850,575 #* Sussex Bancorp 1,111 9,999 * SWS Group, Inc. 19,920 147,607 Symetra Financial Corp. 106,640 2,203,182 Synovus Financial Corp. 332,751 1,068,131 TAX-MANAGED U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Financials -- (Continued) * Taylor Capital Group, Inc. 42,994 $ 915,342 TCF Financial Corp. 239,281 3,756,712 Teche Holding Co. 2,950 215,055 * Tejon Ranch Co. 37,454 1,161,449 Territorial Bancorp, Inc. 18,758 383,789 #* Texas Capital Bancshares, Inc. 42,200 2,371,218 TF Financial Corp. 840 26,342 Timberland Bancorp, Inc. 8,251 87,873 Tompkins Financial Corp. 26,611 1,254,443 # Tower Group International, Ltd. 4,590 11,291 # TowneBank 49,802 768,445 #* Tree.com, Inc. 17,026 495,116 # Trico Bancshares 33,546 813,491 # TrustCo Bank Corp. 211,333 1,396,911 Trustmark Corp. 102,060 2,334,112 # UMB Financial Corp. 43,855 2,574,727 # Umpqua Holdings Corp. 179,522 2,985,451 * Unico American Corp. 4,300 56,803 Union Bankshares Corp. 93,357 2,389,006 # United Bancshares, Inc. 110 1,684 United Bankshares, Inc. 92,627 2,709,340 * United Community Banks, Inc. 67,776 1,094,582 #* United Community Financial Corp. 8,561 28,508 United Financial Bancorp, Inc.(91030T109) 56,683 999,888 United Financial Bancorp, Inc.(910304104) 71,407 939,716 United Fire Group, Inc. 37,365 1,039,494 * United Security Bancshares 41,717 235,284 Unity Bancorp, Inc. 5,784 49,453 # Universal Insurance Holdings, Inc. 95,055 1,390,655 Univest Corp. of Pennsylvania 34,328 676,605 Validus Holdings, Ltd. 8,280 306,940 * Vantagesouth Bancshares, Inc. 1,047 6,429 ViewPoint Financial Group, Inc. 81,712 2,130,232 * Virtus Investment Partners, Inc. 11,398 2,108,516 VSB Bancorp, Inc. 478 5,392 * Walker & Dunlop, Inc. 23,223 364,137 Washington Banking Co. 37,419 643,607 Washington Federal, Inc. 150,620 3,250,380 Washington Trust Bancorp, Inc. 37,010 1,265,742 Waterstone Financial, Inc. 82,974 863,759 Wayne Savings Bancshares, Inc. 132 1,534 Webster Financial Corp. 144,207 4,346,399 WesBanco, Inc. 63,066 1,907,116 West Bancorporation, Inc. 41,614 603,819 # Westamerica Bancorporation 28,782 1,462,701 * Western Alliance Bancorp 158,880 3,665,362 Westfield Financial, Inc. 63,564 435,413 Westwood Holdings Group, Inc. 14,454 840,789 Wilshire Bancorp, Inc. 187,313 1,873,130 Wintrust Financial Corp. 61,286 2,746,839 #* World Acceptance Corp. 21,517 1,562,134 WSFS Financial Corp. 5,553 375,494 TAX-MANAGED U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ------------ Financials -- (Continued) WVS Financial Corp. 700 $ 8,348 * Yadkin Financial Corp. 2,616 50,096 #* ZipRealty, Inc. 37,056 123,026 ------------ Total Financials 386,330,532 ------------ Health Care -- (7.7%) #* Abaxis, Inc. 20,277 823,449 #* Acadia Healthcare Co., Inc. 16,115 677,152 #* Accuray, Inc. 136,891 1,149,884 #* Achillion Pharmaceuticals, Inc. 23,259 66,288 * Acorda Therapeutics, Inc. 28,629 1,014,898 #* Adcare Health Systems, Inc. 1,300 5,330 * Addus HomeCare Corp. 17,015 367,864 #* Affymetrix, Inc. 186,852 1,388,310 #* Air Methods Corp. 68,832 3,831,877 #* Akorn, Inc. 18,161 458,020 #* Albany Molecular Research, Inc. 84,130 1,351,128 #* Alere, Inc. 47,991 1,602,899 * Align Technology, Inc. 22,750 1,146,372 * Alkermes P.L.C. 67,005 3,099,651 * Alliance HealthCare Services, Inc. 8,897 253,209 * Allied Healthcare Products, Inc. 1,200 2,592 * Allscripts Healthcare Solutions, Inc. 70,110 1,067,074 * Almost Family, Inc. 16,204 347,900 #* Alnylam Pharmaceuticals, Inc. 7,532 373,060 #* Alphatec Holdings, Inc. 138,871 187,476 #* AMAG Pharmaceuticals, Inc. 22,316 407,490 #* Amedisys, Inc. 64,588 880,334 * American Shared Hospital Services 2,300 6,417 * AMN Healthcare Services, Inc. 90,520 1,129,690 * Amsurg Corp. 43,508 1,884,331 * Anacor Pharmaceuticals, Inc. 5,764 94,933 Analogic Corp. 15,460 1,160,737 * AngioDynamics, Inc. 56,468 758,930 * Anika Therapeutics, Inc. 38,035 1,625,616 * Arqule, Inc. 6,727 10,898 * Arrhythmia Research Technology, Inc. 6,700 32,495 * ArthroCare Corp. 26,067 1,265,031 * AtriCure, Inc. 2,854 43,952 Atrion Corp. 3,399 980,034 #* Auxilium Pharmaceuticals, Inc. 21,819 491,146 #* Baxano Surgical, Inc. 35,116 29,849 #* Bio-Reference Labs, Inc. 30,365 771,271 #* BioScrip, Inc. 141,445 978,799 * Biota Pharmaceuticals, Inc. 7,449 27,487 * BioTelemetry, Inc. 58,535 464,768 * Bovie Medical Corp. 26,877 106,164 * Cambrex Corp. 72,842 1,492,533 Cantel Medical Corp. 83,217 2,759,476 * Capital Senior Living Corp. 75,382 1,864,197 #* CAS Medical Systems, Inc. 2,682 6,115 #* Celldex Therapeutics, Inc. 106,598 1,598,970 TAX-MANAGED U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Health Care -- (Continued) * Centene Corp. 23,191 $1,539,882 #* Cepheid, Inc. 9,609 417,799 * Charles River Laboratories International, Inc. 47,200 2,535,584 # Chemed Corp. 23,330 1,942,689 * Chindex International, Inc. 4,479 106,735 * Community Health Systems, Inc. 963 36,488 # Computer Programs & Systems, Inc. 20,294 1,281,160 CONMED Corp. 45,317 2,099,537 * Corvel Corp. 44,234 2,014,416 * Cross Country Healthcare, Inc. 45,167 320,234 CryoLife, Inc. 75,867 688,872 * Cubist Pharmaceuticals, Inc. 13,789 966,057 #* Cumberland Pharmaceuticals, Inc. 43,160 192,062 * Cutera, Inc. 35,410 365,077 #* Cyberonics, Inc. 27,950 1,653,522 * Cynosure, Inc. Class A 47,244 1,159,368 Daxor Corp. 3,400 28,254 * Depomed, Inc. 6,035 84,550 Digirad Corp. 38,425 122,191 * Emergent Biosolutions, Inc. 55,196 1,454,967 * Emeritus Corp. 24,025 716,666 Ensign Group, Inc. (The) 37,116 1,577,430 * Enzo Biochem, Inc. 71,883 301,909 Enzon Pharmaceuticals, Inc. 94,337 83,969 * Exactech, Inc. 29,065 645,824 * ExamWorks Group, Inc. 36,009 1,325,131 * Five Star Quality Care, Inc. 97,274 469,833 * Furiex Pharmaceuticals, Inc. 8,889 918,856 * Gentiva Health Services, Inc. 78,923 594,290 * Globus Medical, Inc. Class A 24,111 588,791 * Greatbatch, Inc. 61,421 2,827,209 #* GTx, Inc. 1,899 2,924 #* Haemonetics Corp. 50,318 1,527,654 * Hanger, Inc. 44,689 1,549,368 #* Harvard Apparatus Regenerative Technology, Inc. 17,118 148,071 * Harvard Bioscience, Inc. 68,472 288,952 * Health Net, Inc. 96,107 3,299,353 HealthSouth Corp. 17,975 622,654 * HealthStream, Inc. 59,755 1,353,451 #* Healthways, Inc. 87,189 1,569,402 Hill-Rom Holdings, Inc. 44,400 1,658,784 #* HMS Holdings Corp. 25,746 416,313 #* Horizon Pharma, Inc. 3,626 51,417 * ICU Medical, Inc. 20,292 1,131,888 #* Idera Pharmaceuticals, Inc. 44,271 125,730 * Impax Laboratories, Inc. 79,416 2,076,728 #* Incyte Corp., Ltd. 66,586 3,233,416 #* Infinity Pharmaceuticals, Inc. 30,717 300,105 #* Insys Therapeutics, Inc. 15,685 644,026 #* Integra LifeSciences Holdings Corp. 28,964 1,320,179 Invacare Corp. 58,743 928,139 * IPC The Hospitalist Co., Inc. 13,010 526,905 TAX-MANAGED U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Health Care -- (Continued) * Iridex Corp. 4,666 $ 38,868 #* Isis Pharmaceuticals, Inc. 5,421 144,253 * Jazz Pharmaceuticals P.L.C. 39,116 5,276,748 Kewaunee Scientific Corp. 2,000 33,500 Kindred Healthcare, Inc. 105,628 2,651,263 # Landauer, Inc. 16,465 711,947 * Lannett Co., Inc. 69,926 2,414,545 * LCA-Vision, Inc. 31,653 169,660 LeMaitre Vascular, Inc. 33,988 279,041 * LHC Group, Inc. 31,142 647,131 * LifePoint Hospitals, Inc. 23,747 1,327,932 #* Ligand Pharmaceuticals, Inc. Class B 27,014 1,706,474 #* Luminex Corp. 8,822 169,471 * Magellan Health Services, Inc. 41,048 2,369,291 #* Masimo Corp. 37,662 1,007,835 #* Mast Therapeutics, Inc. 12,782 7,338 (o)* Maxygen, Inc. 59,556 1,787 * MedAssets, Inc. 52,261 1,193,119 (o)* MedCath Corp. 41,900 83,800 * Medical Action Industries, Inc. 39,469 252,996 * Medicines Co. (The) 98,973 2,632,682 * MediciNova, Inc. 10,669 20,058 * Medidata Solutions, Inc. 98,340 3,570,725 # Meridian Bioscience, Inc. 10,343 206,550 * Merit Medical Systems, Inc. 67,687 871,132 * Misonix, Inc. 1,809 10,854 #* Molina Healthcare, Inc. 68,436 2,559,506 * Momenta Pharmaceuticals, Inc. 3,105 35,459 * MWI Veterinary Supply, Inc. 14,870 2,329,237 #* Myriad Genetics, Inc. 49,433 2,086,567 #* Nanosphere, Inc. 12,478 21,337 National Healthcare Corp. 22,690 1,241,824 * National Research Corp. Class A 35,889 565,611 #* National Research Corp. Class B 5,881 258,058 * Natus Medical, Inc. 81,179 2,015,675 * Neogen Corp. 29,435 1,229,647 #* NuVasive, Inc. 52,223 1,760,437 * Omnicell, Inc. 93,919 2,486,975 #* Opko Health, Inc. 219,971 1,819,160 #* OraSure Technologies, Inc. 59,412 389,149 * Orthofix International NV 13,336 402,747 # Owens & Minor, Inc. 55,014 1,845,170 #* Pacific Biosciences of California, Inc. 24,966 110,350 #* Pain Therapeutics, Inc. 18,903 107,558 * PAREXEL International Corp. 70,045 3,176,541 * PDI, Inc. 33,451 157,889 # PDL BioPharma, Inc. 150,411 1,276,989 #* Pernix Therapeutics Holdings 4,466 21,481 * PharMerica Corp. 58,383 1,587,434 #* PhotoMedex, Inc. 9,306 140,614 #* Pozen, Inc. 68,619 573,655 * Prestige Brands Holdings, Inc. 110,081 3,689,915 TAX-MANAGED U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ------------ Health Care -- (Continued) #* Progenics Pharmaceuticals, Inc. 62,441 $ 220,417 * ProPhase Labs, Inc. 28,021 55,482 * Providence Service Corp. (The) 33,131 1,345,450 #* pSivida Corp. 15,600 56,784 Quality Systems, Inc. 15,580 230,117 # Questcor Pharmaceuticals, Inc. 32,626 2,681,205 * Quidel Corp. 57,258 1,228,184 * RadNet, Inc. 72,814 361,886 #* Repligen Corp. 80,227 1,271,598 * Rigel Pharmaceuticals, Inc. 63,954 204,653 * RTI Surgical, Inc. 134,982 580,423 #* Sagent Pharmaceuticals, Inc. 4,423 91,512 #* Sangamo Biosciences, Inc. 5,435 75,220 #* Sciclone Pharmaceuticals, Inc. 141,394 675,863 Select Medical Holdings Corp. 99,570 1,389,997 #* Skilled Healthcare Group, Inc. Class A 32,032 165,285 Span-America Medical Systems, Inc. 5,507 114,821 * Special Diversified Opportunities, Inc. 28,100 33,158 * Spectranetics Corp. 34,956 743,165 #* Spectrum Pharmaceuticals, Inc. 68,193 468,486 * Staar Surgical Co. 25,781 438,535 STERIS Corp. 61,168 2,939,122 #* Sucampo Pharmaceuticals, Inc. Class A 30,130 208,198 #* SunLink Health Systems, Inc. 2,957 4,465 * SurModics, Inc. 42,438 923,451 * Symmetry Medical, Inc. 86,602 715,333 #* Targacept, Inc. 16,973 75,360 * Team Health Holdings, Inc. 30,007 1,454,739 * Thoratec Corp. 66,625 2,183,967 * Tornier NV 20,730 351,788 * Transcept Pharmaceuticals, Inc. 35,523 104,793 * Triple-S Management Corp. Class B 38,768 580,745 # Universal American Corp. 131,219 940,840 US Physical Therapy, Inc. 29,093 897,519 # Utah Medical Products, Inc. 8,858 449,898 * Vascular Solutions, Inc. 36,394 797,393 * VCA Antech, Inc. 94,753 2,902,284 #* Vical, Inc. 19,339 21,853 * WellCare Health Plans, Inc. 34,000 2,293,980 West Pharmaceutical Services, Inc. 57,166 2,479,861 * Wright Medical Group, Inc. 50,337 1,376,717 #* XenoPort, Inc. 5,806 23,572 #* Zalicus, Inc. 9,774 10,458 ------------ Total Health Care 185,777,469 ------------ Industrials -- (15.2%) # AAON, Inc. 68,067 1,929,699 # AAR Corp. 61,984 1,605,386 ABM Industries, Inc. 63,860 1,729,967 # Acacia Research Corp. 40,041 642,258 #* ACCO Brands Corp. 79,395 486,691 #* Accuride Corp. 17,940 101,182 TAX-MANAGED U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Industrials -- (Continued) Aceto Corp. 70,011 $1,531,841 Acme United Corp. 9,349 157,344 #* Acorn Energy, Inc. 40,406 93,742 Actuant Corp. Class A 61,276 2,074,805 * Adept Technology, Inc. 19,544 233,746 #* Advisory Board Co. (The) 38,826 2,223,177 #* Aegion Corp. 73,517 1,873,948 #* AeroCentury Corp. 1,795 32,220 #* Aerovironment, Inc. 56,051 1,892,842 * Air Transport Services Group, Inc. 123,338 965,737 Alamo Group, Inc. 27,291 1,449,698 Alaska Air Group, Inc. 35,757 3,364,019 Albany International Corp. Class A 37,319 1,342,738 Allegiant Travel Co. 21,587 2,535,393 Alliant Techsystems, Inc. 9,545 1,376,580 (o) Allied Defense Group, Inc. 2,975 238 Allied Motion Technologies, Inc. 3,693 41,879 Altra Industrial Motion Corp. 65,956 2,253,057 AMERCO 25,259 6,317,528 #* Ameresco, Inc. Class A 40,441 259,227 * American Airlines Group, Inc. 133,986 4,698,889 # American Railcar Industries, Inc. 53,313 3,702,055 American Science & Engineering, Inc. 14,837 997,046 #* American Superconductor Corp. 47,654 60,997 * American Woodmark Corp. 33,651 1,009,867 * AMREP Corp. 14,154 77,139 AO Smith Corp. 19,500 911,820 Apogee Enterprises, Inc. 71,177 2,261,293 Applied Industrial Technologies, Inc. 67,440 3,231,725 * ARC Document Solutions, Inc. 78,737 503,917 ArcBest Corp. 53,407 2,105,304 Argan, Inc. 28,276 756,949 #* Arotech Corp. 20,131 69,855 #* Ascent Solar Technologies, Inc. 4,600 2,323 Astec Industries, Inc. 26,906 1,074,895 * Astronics Corp. 24,715 1,411,721 * Astronics Corp. Class B 4,827 274,656 * Atlas Air Worldwide Holdings, Inc. 31,014 1,085,180 * Avalon Holdings Corp. Class A 1,400 6,272 * Avis Budget Group, Inc. 130,275 6,851,162 # AZZ, Inc. 39,404 1,710,922 Baltic Trading, Ltd. 43,215 258,858 Barnes Group, Inc. 64,800 2,496,096 Barrett Business Services, Inc. 23,882 1,203,892 #* Beacon Roofing Supply, Inc. 53,562 1,905,736 * Blount International, Inc. 105,251 1,175,654 #* BlueLinx Holdings, Inc. 74,358 97,409 Brady Corp. Class A 40,712 1,049,962 * Breeze-Eastern Corp. 18,372 181,883 # Briggs & Stratton Corp. 68,413 1,461,986 # Brink's Co. (The) 35,143 894,038 #* Builders FirstSource, Inc. 34,098 267,669 TAX-MANAGED U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Industrials -- (Continued) * CAI International, Inc. 46,486 $1,011,071 * Casella Waste Systems, Inc. Class A 36,688 187,109 #* CBIZ, Inc. 113,445 972,224 CDI Corp. 42,663 653,597 Ceco Environmental Corp. 47,101 748,435 # Celadon Group, Inc. 55,816 1,284,326 #* Cenveo, Inc. 6,574 20,314 #* Chart Industries, Inc. 32,460 2,214,421 Chicago Bridge & Iron Co. NV 1,054 84,394 Chicago Rivet & Machine Co. 700 27,125 CIRCOR International, Inc. 31,416 2,551,293 * Colfax Corp. 27,255 1,961,815 * Columbus McKinnon Corp. 44,708 1,184,315 Comfort Systems USA, Inc. 83,240 1,248,600 #* Command Security Corp. 21,112 41,696 #* Commercial Vehicle Group, Inc. 46,674 453,205 # Compx International, Inc. 2,107 19,384 # Con-way, Inc. 44,238 1,879,230 Corporate Executive Board Co. (The) 28,737 1,983,428 Courier Corp. 26,492 384,929 * Covenant Transportation Group, Inc. Class A 27,300 279,825 #* CPI Aerostructures, Inc. 17,295 232,964 * CRA International, Inc. 22,109 481,313 Cubic Corp. 30,064 1,425,936 Curtiss-Wright Corp. 61,113 3,907,565 Deluxe Corp. 51,740 2,843,113 #* DigitalGlobe, Inc. 85,603 2,549,257 Douglas Dynamics, Inc. 46,781 789,195 * Ducommun, Inc. 25,784 625,778 * DXP Enterprises, Inc. 31,485 3,564,417 * Dycom Industries, Inc. 72,056 2,262,558 Dynamic Materials Corp. 31,095 628,119 #* Eagle Bulk Shipping, Inc. 1,851 5,405 Eastern Co. (The) 8,993 151,892 #* Echo Global Logistics, Inc. 39,007 762,977 Ecology and Environment, Inc. Class A 920 8,823 EMCOR Group, Inc. 52,749 2,425,927 Encore Wire Corp. 41,411 2,017,958 #* Energy Recovery, Inc. 67,143 343,101 * EnerNOC, Inc. 75,507 1,781,965 # EnerSys, Inc. 63,999 4,325,052 #* Engility Holdings, Inc. 13,077 570,680 Ennis, Inc. 61,429 918,978 #* EnPro Industries, Inc. 41,842 2,979,569 EnviroStar, Inc. 837 2,620 #* Erickson, Inc. 700 11,067 ESCO Technologies, Inc. 28,246 943,981 Espey Manufacturing & Electronics Corp. 5,593 148,774 * Esterline Technologies Corp. 48,126 5,246,697 Exelis, Inc. 55,832 1,035,125 Exponent, Inc. 20,601 1,450,722 * Federal Signal Corp. 148,867 2,259,801 TAX-MANAGED U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Industrials -- (Continued) Forward Air Corp. 27,671 $1,223,888 * Franklin Covey Co. 41,060 832,286 Franklin Electric Co., Inc. 54,893 2,122,712 FreightCar America, Inc. 25,449 668,291 * FTI Consulting, Inc. 57,653 1,977,498 #* Fuel Tech, Inc. 44,787 272,753 * Furmanite Corp. 93,607 981,001 G&K Services, Inc. Class A 30,784 1,629,705 GATX Corp. 49,628 3,257,086 #* Genco Shipping & Trading, Ltd. 74,008 122,113 * Gencor Industries, Inc. 10,941 114,771 #* GenCorp, Inc. 97,290 1,708,412 Generac Holdings, Inc. 47,280 2,783,846 General Cable Corp. 62,794 1,608,782 * Gibraltar Industries, Inc. 66,899 1,142,635 # Global Power Equipment Group, Inc. 30,265 530,545 #* Goldfield Corp. (The) 48,469 99,846 Gorman-Rupp Co. (The) 35,697 1,108,392 * GP Strategies Corp. 46,206 1,214,294 #* GrafTech International, Ltd. 32,963 369,515 Graham Corp. 20,339 606,916 Granite Construction, Inc. 47,500 1,775,550 * Great Lakes Dredge & Dock Corp. 146,186 1,261,585 #* Greenbrier Cos., Inc. (The) 60,056 3,149,337 Griffon Corp. 91,355 972,017 * H&E Equipment Services, Inc. 76,817 2,961,295 Hardinge, Inc. 28,725 383,766 Harsco Corp. 48,484 1,160,222 #* Hawaiian Holdings, Inc. 137,064 1,980,575 # Healthcare Services Group, Inc. 25,427 739,926 # Heartland Express, Inc. 83,767 1,822,770 # HEICO Corp. 24,786 1,371,162 HEICO Corp. Class A 53,676 2,187,297 Heidrick & Struggles International, Inc. 39,264 740,126 Herman Miller, Inc. 54,309 1,674,346 * Hexcel Corp. 9,359 390,177 * Hill International, Inc. 87,347 586,972 # HNI Corp. 42,083 1,482,584 Houston Wire & Cable Co. 38,515 479,897 * Hub Group, Inc. Class A 35,854 1,600,881 * Hudson Global, Inc. 58,536 207,803 Huntington Ingalls Industries, Inc. 32,035 3,299,605 Hurco Cos., Inc. 16,988 452,900 * Huron Consulting Group, Inc. 28,610 2,037,032 Hyster-Yale Materials Handling, Inc. 17,600 1,696,464 * ICF International, Inc. 44,438 1,731,749 #* InnerWorkings, Inc. 67,880 488,736 #* Innovative Solutions & Support, Inc. 39,691 267,120 Insperity, Inc. 26,597 852,700 Insteel Industries, Inc. 33,274 684,779 * Integrated Electrical Services, Inc. 16,819 104,446 Interface, Inc. 122,955 2,211,960 TAX-MANAGED U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Industrials -- (Continued) # International Shipholding Corp. 15,603 $ 420,345 # Intersections, Inc. 44,559 250,422 #* JetBlue Airways Corp. 324,746 2,567,117 John Bean Technologies Corp. 57,696 1,672,607 Kadant, Inc. 23,091 802,412 Kaman Corp. 36,740 1,541,978 Kelly Services, Inc. Class A 57,735 1,215,899 * Key Technology, Inc. 12,633 155,765 #* KEYW Holding Corp. (The) 4,612 59,264 Kforce, Inc. 80,120 1,852,374 Kimball International, Inc. Class B 69,308 1,161,602 # Knight Transportation, Inc. 92,364 2,191,798 Knoll, Inc. 47,423 862,624 * Korn/Ferry International 66,149 1,921,628 #* Kratos Defense & Security Solutions, Inc. 69,327 500,541 # Landstar System, Inc. 3,900 245,661 #* Lawson Products, Inc. 19,640 328,970 #* Layne Christensen Co. 39,647 690,651 LB Foster Co. Class A 18,795 889,943 # Lindsay Corp. 14,054 1,238,579 #* LMI Aerospace, Inc. 28,687 391,291 LS Starrett Co. (The) Class A 6,375 99,578 LSI Industries, Inc. 55,807 424,691 * Lydall, Inc. 40,300 943,423 * Magnetek, Inc. 1,607 35,434 # Manitowoc Co., Inc. (The) 108,200 3,438,596 Marten Transport, Ltd. 79,047 1,854,443 #* MasTec, Inc. 89,929 3,559,390 Matson, Inc. 36,714 869,755 McGrath RentCorp 31,476 994,012 * Meritor, Inc. 167,585 1,989,234 #* Metalico, Inc. 74,863 115,289 * Mfri, Inc. 15,568 169,536 #* Middleby Corp. (The) 16,509 4,168,192 Miller Industries, Inc. 27,120 525,314 * Mistras Group, Inc. 35,062 796,258 Mobile Mini, Inc. 63,983 2,826,769 * Moog, Inc. Class A 29,290 1,917,030 * Moog, Inc. Class B 488 31,954 MSA Safety, Inc. 39,512 2,084,258 Mueller Industries, Inc. 86,394 2,500,242 Mueller Water Products, Inc. Class A 214,157 1,953,112 Multi-Color Corp. 32,495 1,132,451 * MYR Group, Inc. 49,036 1,150,385 # National Presto Industries, Inc. 9,465 683,941 * Navigant Consulting, Inc. 71,830 1,206,744 * NCI Building Systems, Inc. 17,046 266,599 NL Industries, Inc. 130,038 1,304,281 NN, Inc. 44,380 868,517 * Nortek, Inc. 255 20,951 * Northwest Pipe Co. 21,592 772,346 #* Ocean Power Technologies, Inc. 15,330 41,391 TAX-MANAGED U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Industrials -- (Continued) # Omega Flex, Inc. 20,621 $ 415,926 * On Assignment, Inc. 101,799 3,562,965 * Orbital Sciences Corp. 60,072 1,766,117 #* Orion Energy Systems, Inc. 49,736 263,601 * Orion Marine Group, Inc. 41,795 490,255 * PAM Transportation Services, Inc. 20,605 512,858 * Park-Ohio Holdings Corp. 31,470 1,837,533 * Patrick Industries, Inc. 23,275 932,629 #* Patriot Transportation Holding, Inc. 15,659 546,186 * Pendrell Corp. 77,457 127,804 * PGT, Inc. 114,940 1,143,653 * Pike Corp. 82,016 787,354 #* PMFG, Inc. 16,058 91,049 Powell Industries, Inc. 27,801 1,760,359 * PowerSecure International, Inc. 53,079 1,179,946 Preformed Line Products Co. 6,300 376,488 Primoris Services Corp. 51,500 1,440,970 # Providence and Worcester Railroad Co. 1,886 32,892 Quad/Graphics, Inc. 12,491 270,430 * Quality Distribution, Inc. 55,291 695,008 # Quanex Building Products Corp. 55,605 1,047,598 # Raven Industries, Inc. 74,970 2,316,573 * RBC Bearings, Inc. 26,304 1,637,687 * RCM Technologies, Inc. 21,213 143,824 * Republic Airways Holdings, Inc. 122,600 1,018,806 Resources Connection, Inc. 91,168 1,240,796 * Rexnord Corp. 418 11,177 * Roadrunner Transportation Systems, Inc. 49,060 1,208,348 * RPX Corp. 20,897 342,293 RR Donnelley & Sons Co. 60,775 1,069,640 * Rush Enterprises, Inc. Class A 44,304 1,422,158 #* Rush Enterprises, Inc. Class B 18,930 535,340 * Saia, Inc. 61,297 2,523,597 Schawk, Inc. 56,309 1,126,180 # Servotronics, Inc. 4,083 31,623 SIFCO Industries, Inc. 12,202 400,836 Simpson Manufacturing Co., Inc. 55,959 1,834,896 SkyWest, Inc. 60,966 707,206 * SL Industries, Inc. 14,437 396,873 #* SP Plus Corp. 28,849 704,493 * Sparton Corp. 25,636 696,274 * Spirit Airlines, Inc. 9,093 516,846 #* Standard Register Co. (The) 9,323 67,685 Standex International Corp. 32,398 1,923,469 Steelcase, Inc. Class A 164,056 2,703,643 #* Sterling Construction Co., Inc. 29,272 224,809 # Sun Hydraulics Corp. 36,421 1,488,890 * Supreme Industries, Inc. Class A 6,592 37,377 #* Swift Transportation Co. 91,199 2,193,336 Sypris Solutions, Inc. 25,625 77,644 #* TAL International Group, Inc. 39,709 1,674,926 #* Taser International, Inc. 117,616 1,899,498 TAX-MANAGED U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ------------ Industrials -- (Continued) #* Team, Inc. 42,960 $ 1,842,554 #* Tecumseh Products Co. Class A 16,716 100,463 * Tecumseh Products Co. Class B 2,206 12,883 * Teledyne Technologies, Inc. 14,770 1,371,542 Tennant Co. 18,055 1,151,728 #* Tetra Tech, Inc. 61,747 1,770,286 # Textainer Group Holdings, Ltd. 44,841 1,762,251 * Thermon Group Holdings, Inc. 15,452 368,067 # Titan International, Inc. 75,500 1,322,005 #* Titan Machinery, Inc. 46,619 822,359 Toro Co. (The) 7,915 502,919 * TRC Cos., Inc. 47,541 281,918 #* Trex Co., Inc. 26,108 2,050,000 * Trimas Corp. 57,015 2,044,558 # Triumph Group, Inc. 39,894 2,585,530 * TrueBlue, Inc. 76,267 2,040,142 * Tutor Perini Corp. 62,615 1,853,404 Twin Disc, Inc. 24,798 717,406 * Ultralife Corp. 41,641 149,908 UniFirst Corp. 18,768 1,806,232 #* United Rentals, Inc. 20,900 1,961,047 # United Stationers, Inc. 55,448 2,080,963 Universal Forest Products, Inc. 28,201 1,423,868 * Universal Security Instruments, Inc. 1,120 4,704 Universal Truckload Services, Inc. 29,988 739,504 US Ecology, Inc. 44,741 1,997,686 #* USA Truck, Inc. 25,619 426,813 # UTi Worldwide, Inc. 82,976 812,335 * Versar, Inc. 22,996 88,765 Viad Corp. 48,375 1,115,044 * Vicor Corp. 34,425 287,793 * Virco Manufacturing Corp. 16,500 36,218 VSE Corp. 7,747 483,955 #* Wabash National Corp. 97,320 1,300,195 # Watsco, Inc. Class B 1,348 136,512 Watts Water Technologies, Inc. Class A 40,117 2,134,224 # Werner Enterprises, Inc. 72,299 1,850,854 * Wesco Aircraft Holdings, Inc. 12,006 243,242 * Willdan Group, Inc. 3,099 14,472 * Willis Lease Finance Corp. 11,622 234,300 Woodward, Inc. 10,773 482,954 * Xerium Technologies, Inc. 6,017 81,230 #* XPO Logistics, Inc. 53,895 1,462,710 ------------ Total Industrials 366,454,737 ------------ Information Technology -- (13.9%) #* 3D Systems Corp. 392 18,557 * ACI Worldwide, Inc. 31,439 1,796,739 * Actuate Corp. 114,315 643,593 * Acxiom Corp. 84,993 2,400,202 #* ADDvantage Technologies Group, Inc. 13,988 47,000 # ADTRAN, Inc. 59,141 1,326,533 TAX-MANAGED U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Information Technology -- (Continued) * Advanced Energy Industries, Inc. 84,045 $1,838,905 Advent Software, Inc. 60,888 1,754,792 * Aeroflex Holding Corp. 37,444 286,447 #* Aetrium, Inc. 1,957 9,883 * Agilysys, Inc. 36,856 462,174 * Alpha & Omega Semiconductor, Ltd. 10,275 73,980 American Software, Inc. Class A 55,346 533,535 #* Amkor Technology, Inc. 133,735 1,063,193 * Amtech Systems, Inc. 20,021 171,180 #* ANADIGICS, Inc. 143,376 179,220 Anixter International, Inc. 27,653 2,709,441 * AOL, Inc. 69,740 2,985,569 #* Applied Micro Circuits Corp. 28,301 274,803 * ARRIS Group, Inc. 170,706 4,453,720 * Aspen Technology, Inc. 18,271 785,470 Astro-Med, Inc. 5,157 64,823 #* Audience, Inc. 4,900 56,350 #* AVG Technologies NV 8,505 159,299 * Aviat Networks, Inc. 79,456 119,979 #* Avid Technology, Inc. 74,541 562,785 AVX Corp. 11,064 147,704 * Aware, Inc. 31,813 176,244 * Axcelis Technologies, Inc. 160,492 287,281 * AXT, Inc. 90,440 195,350 Badger Meter, Inc. 32,386 1,604,726 * Bankrate, Inc. 20,749 363,522 Bel Fuse, Inc. Class A 4,111 83,700 Bel Fuse, Inc. Class B 22,450 488,512 Belden, Inc. 32,392 2,390,853 * Benchmark Electronics, Inc. 66,556 1,542,768 Black Box Corp. 33,789 718,354 Blackbaud, Inc. 36,113 1,099,641 * Blucora, Inc. 98,115 1,888,714 Booz Allen Hamilton Holding Corp. 37,228 865,179 #* Bottomline Technologies de, Inc. 37,887 1,198,745 * BroadVision, Inc. 10,395 103,118 Brooks Automation, Inc. 100,926 1,032,473 * Bsquare Corp. 21,382 68,422 * BTU International, Inc. 20,546 60,200 * Cabot Microelectronics Corp. 34,053 1,476,879 #* CACI International, Inc. Class A 38,019 2,648,023 * CalAmp Corp. 81,314 1,443,323 * Calix, Inc. 100,628 886,533 * Cardtronics, Inc. 50,333 1,685,149 * Cascade Microtech, Inc. 23,422 250,147 # Cass Information Systems, Inc. 23,268 1,175,267 * Ceva, Inc. 37,919 615,425 * Checkpoint Systems, Inc. 64,922 829,054 * ChyronHego Corp. 1,300 3,107 * CIBER, Inc. 147,854 638,729 #* Ciena Corp. 124,810 2,467,494 * Cinedigm Corp. 148,377 370,942 TAX-MANAGED U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Information Technology -- (Continued) #* Cirrus Logic, Inc. 109,053 $2,431,882 * Clearfield, Inc. 30,926 487,394 * Cognex Corp. 79,688 2,743,658 * Coherent, Inc. 24,131 1,440,862 Cohu, Inc. 54,623 562,617 (o)#* Commerce One, LLC 1,966 -- Communications Systems, Inc. 22,540 272,509 * CommVault Systems, Inc. 2,352 113,837 # Computer Task Group, Inc. 45,193 714,501 Compuware Corp. 57,557 596,291 * comScore, Inc. 11,035 345,727 Comtech Telecommunications Corp. 31,096 987,298 * Comverse, Inc. 15,531 387,343 Concurrent Computer Corp. 22,603 189,639 * Constant Contact, Inc. 43,288 1,119,428 # Convergys Corp. 170,395 3,670,308 #* Conversant, Inc. 93,902 2,294,965 * CoreLogic, Inc. 78,619 2,203,691 * CoStar Group, Inc. 31,675 5,096,191 #* Cray, Inc. 93,041 2,671,207 * Crexendo, Inc. 6,053 19,249 CSG Systems International, Inc. 71,089 1,873,906 CSP, Inc. 1,770 13,417 CTS Corp. 68,434 1,217,441 #* CyberOptics Corp. 22,727 170,907 Daktronics, Inc. 87,162 1,134,849 * Datalink Corp. 46,119 592,168 #* Dataram Corp. 2,522 6,759 * Dealertrack Technologies, Inc. 46,820 2,139,206 #* Demand Media, Inc. 27,534 114,541 * Dice Holdings, Inc. 130,262 996,504 # Diebold, Inc. 37,200 1,399,092 * Digi International, Inc. 57,051 505,472 Digimarc Corp. 17,348 572,831 * Digital River, Inc. 52,701 805,798 * Diodes, Inc. 42,504 1,120,830 #* Dot Hill Systems Corp. 124,881 515,759 * DSP Group, Inc. 50,499 401,972 * DTS, Inc. 39,711 739,022 # EarthLink Holdings Corp. 102,590 349,832 #* Eastman Kodak Co. 541 16,160 # Ebix, Inc. 42,888 676,773 * Echelon Corp. 5,400 13,986 * Edgewater Technology, Inc. 10,739 76,032 Electro Rent Corp. 56,344 909,956 Electro Scientific Industries, Inc. 58,639 497,259 * Electronics for Imaging, Inc. 66,627 2,517,834 #* Ellie Mae, Inc. 18,874 460,337 #* eMagin Corp. 28,111 67,747 #* Emcore Corp. 40,797 197,049 * Emulex Corp. 153,826 1,099,856 * Entegris, Inc. 122,111 1,354,211 TAX-MANAGED U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Information Technology -- (Continued) * Entropic Communications, Inc. 160,198 $ 591,131 * Envestnet, Inc. 21,270 783,799 * EPAM Systems, Inc. 12,884 401,079 EPIQ Systems, Inc. 71,634 916,199 * ePlus, Inc. 19,530 977,281 * Euronet Worldwide, Inc. 56,870 2,615,451 * Exar Corp. 114,576 1,239,712 * ExlService Holdings, Inc. 35,150 994,569 * Extreme Networks, Inc. 222,850 1,274,702 * Fabrinet 43,929 948,866 Fair Isaac Corp. 47,990 2,745,028 #* Fairchild Semiconductor International, Inc. 159,859 2,035,005 * FalconStor Software, Inc. 4,800 7,296 * FARO Technologies, Inc. 32,318 1,289,488 FEI Co. 43,300 3,443,216 #* Finisar Corp. 89,658 2,344,557 * FormFactor, Inc. 110,489 635,312 Forrester Research, Inc. 37,402 1,325,153 * Frequency Electronics, Inc. 19,508 207,858 #* GigOptix, Inc. 700 1,113 * Global Cash Access Holdings, Inc. 164,108 1,083,113 # Globalscape, Inc. 12,700 31,369 * GSE Systems, Inc. 33,450 58,537 * GSI Group, Inc. 65,199 791,516 * GSI Technology, Inc. 61,196 388,595 #* GT Advanced Technologies, Inc. 57,131 948,946 #* Guidance Software, Inc. 13,161 121,213 Hackett Group, Inc. (The) 96,523 579,138 * Harmonic, Inc. 175,941 1,236,865 # Heartland Payment Systems, Inc. 41,232 1,688,038 * Higher One Holdings, Inc. 22,515 134,865 Hittite Microwave Corp. 17,786 1,055,777 #* Hutchinson Technology, Inc. 63,415 176,294 #* ID Systems, Inc. 23,495 132,277 * Identive Group, Inc. 91,169 77,494 * IEC Electronics Corp. 23,686 105,403 * iGATE Corp. 90,377 3,307,798 * II-VI, Inc. 70,886 1,020,758 * Imation Corp. 39,149 169,124 * Immersion Corp. 32,739 371,260 #* Infinera Corp. 75,164 673,469 * Innodata, Inc. 59,616 200,906 * Inphi Corp. 31,556 466,713 * Insight Enterprises, Inc. 59,890 1,564,327 * Integrated Device Technology, Inc. 216,250 2,523,637 * Integrated Silicon Solution, Inc. 68,979 997,436 * Intellicheck Mobilisa, Inc. 40,531 27,561 * Interactive Intelligence Group, Inc. 23,823 1,490,605 # InterDigital, Inc. 6,002 208,389 #* Internap Network Services Corp. 132,556 890,776 * International Rectifier Corp. 110,063 2,866,040 * Interphase Corp. 15,755 85,865 TAX-MANAGED U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Information Technology -- (Continued) Intersil Corp. Class A 206,754 $2,551,344 #* Intevac, Inc. 44,292 356,551 * IntraLinks Holdings, Inc. 34,942 319,719 * IntriCon Corp. 16,201 107,089 #* IPG Photonics Corp. 3,925 253,673 * Iteris, Inc. 58,990 114,441 #* Itron, Inc. 38,870 1,477,060 * Ixia 83,339 1,035,070 IXYS Corp. 70,033 755,656 # j2 Global, Inc. 47,078 2,182,536 * Kemet Corp. 59,055 295,866 * Key Tronic Corp. 30,100 315,448 * Kofax, Ltd. 11,862 89,914 #* Kopin Corp. 145,834 475,419 * Kulicke & Soffa Industries, Inc. 133,042 1,957,048 * KVH Industries, Inc. 36,615 494,669 * Lattice Semiconductor Corp. 253,404 2,133,662 # Lexmark International, Inc. Class A 64,485 2,772,855 * LGL Group, Inc. (The) 5,074 24,863 * Limelight Networks, Inc. 223,262 462,152 * Lionbridge Technologies, Inc. 78,591 462,115 #* Liquidity Services, Inc. 43,203 745,252 Littelfuse, Inc. 28,600 2,589,730 * LogMeIn, Inc. 1,186 53,904 * LoJack Corp. 42,858 243,005 * LTX-Credence Corp. 96,198 926,387 * M/A-COM Technology Solutions Holdings, Inc. 1,379 24,146 * Magnachip Semiconductor Corp. 91,798 1,285,172 * Manhattan Associates, Inc. 91,413 2,882,252 # ManTech International Corp. Class A 25,244 753,029 Marchex, Inc. Class B 53,747 497,160 #* Mattersight Corp. 13,991 88,283 * Mattson Technology, Inc. 39,292 78,191 MAXIMUS, Inc. 64,564 2,748,489 * MaxLinear, Inc. Class A 18,491 145,524 #* Maxwell Technologies, Inc. 49,051 738,708 * Measurement Specialties, Inc. 36,932 2,376,574 #* MeetMe, Inc. 13,901 38,645 Mentor Graphics Corp. 201,941 4,180,179 * Mercury Systems, Inc. 59,481 830,355 # Mesa Laboratories, Inc. 6,745 578,046 Methode Electronics, Inc. 97,435 2,702,847 Micrel, Inc. 103,441 1,030,272 * Microsemi Corp. 87,226 2,051,556 * MicroStrategy, Inc. Class A 3,200 388,576 MKS Instruments, Inc. 64,787 1,823,754 MOCON, Inc. 11,568 184,857 #* ModusLink Global Solutions, Inc. 84,702 342,196 * MoneyGram International, Inc. 10,639 140,435 * Monolithic Power Systems, Inc. 67,412 2,500,985 Monotype Imaging Holdings, Inc. 71,866 1,897,981 * Monster Worldwide, Inc. 135,049 930,488 TAX-MANAGED U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Information Technology -- (Continued) #* MoSys, Inc. 68,560 $ 268,070 * Move, Inc. 102,427 1,094,945 # MTS Systems Corp. 22,247 1,434,264 * Multi-Fineline Electronix, Inc. 36,866 456,401 #* Nanometrics, Inc. 50,029 813,472 * NAPCO Security Technologies, Inc. 40,293 235,311 * NCI, Inc. Class A 13,413 133,728 * NeoPhotonics Corp. 3,100 17,887 #* NETGEAR, Inc. 50,019 1,615,614 #* Netlist, Inc. 48,220 78,116 * Netscout Systems, Inc. 74,333 2,896,014 * Newport Corp. 69,913 1,305,975 NIC, Inc. 23,313 427,560 #* Novatel Wireless, Inc. 73,082 132,278 #* Numerex Corp. Class A 34,182 350,365 * Oclaro, Inc. 44,433 151,072 * OmniVision Technologies, Inc. 100,115 1,955,246 #* Onvia, Inc. 3,803 19,833 * OpenTable, Inc. 7,812 524,654 * Oplink Communications, Inc. 48,674 834,272 Optical Cable Corp. 17,561 66,556 * OSI Systems, Inc. 29,110 1,624,629 #* Pandora Media, Inc. 58,392 1,367,541 * PAR Technology Corp. 32,181 155,434 # Park Electrochemical Corp. 33,564 894,816 PC Connection, Inc. 61,775 1,236,118 PC-Tel, Inc. 39,723 327,715 * PCM, Inc. 28,324 295,136 * PDF Solutions, Inc. 50,849 954,436 Pegasystems, Inc. 8,732 144,689 # Perceptron, Inc. 24,048 283,766 * Perficient, Inc. 83,237 1,520,740 * Pericom Semiconductor Corp. 55,754 449,935 * Photronics, Inc. 154,307 1,339,385 #* Pixelworks, Inc. 11,107 56,979 * Planar Systems, Inc. 29,908 65,798 Plantronics, Inc. 41,400 1,803,798 * Plexus Corp. 48,751 2,043,642 * PLX Technology, Inc. 25,471 147,732 * PMC-Sierra, Inc. 268,977 1,839,803 * Polycom, Inc. 123,151 1,514,757 Power Integrations, Inc. 32,553 1,537,478 #* PRGX Global, Inc. 59,283 381,190 #* Procera Networks, Inc. 19,180 177,607 * Progress Software Corp. 77,464 1,662,377 * PROS Holdings, Inc. 2,885 79,049 QAD, Inc. Class A 24,504 466,801 QAD, Inc. Class B 6,515 101,569 * QLogic Corp. 125,685 1,455,432 * Qualstar Corp. 12,400 18,724 * QuinStreet, Inc. 11,713 71,449 * Qumu Corp. 21,930 294,958 TAX-MANAGED U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Information Technology -- (Continued) #* Radisys Corp. 53,293 $ 170,538 #* Rambus, Inc. 64,861 784,169 #* RealD, Inc. 24,538 268,936 * RealNetworks, Inc. 69,142 521,331 #* RealPage, Inc. 8,327 147,804 #* Reis, Inc. 15,451 254,323 * Relm Wireless Corp. 29,676 95,557 #* Remark Media, Inc. 14,739 84,897 RF Industries, Ltd. 11,582 70,766 * RF Micro Devices, Inc. 279,572 2,359,588 Richardson Electronics, Ltd. 30,460 305,209 * Riverbed Technology, Inc. 59,203 1,151,498 #* Rofin-Sinar Technologies, Inc. 41,245 915,639 * Rogers Corp. 25,574 1,534,951 * Rosetta Stone, Inc. 44,961 535,485 * Rovi Corp. 65,626 1,462,804 #* Rubicon Technology, Inc. 44,265 448,404 * Rudolph Technologies, Inc. 78,100 711,491 * Saba Software, Inc. 8,099 89,089 * Sanmina Corp. 148,533 3,007,793 * Sapient Corp. 141,511 2,302,384 * ScanSource, Inc. 35,439 1,361,212 * Seachange International, Inc. 75,765 709,918 * Selectica, Inc. 1,042 6,200 * Semtech Corp. 65,709 1,575,702 #* ServiceSource International, Inc. 22,437 140,007 #* Sevcon, Inc. 4,832 52,620 * ShoreTel, Inc. 94,678 714,819 * Sigma Designs, Inc. 50,803 191,527 #* Silicon Graphics International Corp. 38,705 467,556 * Silicon Image, Inc. 204,281 1,146,016 * Silicon Laboratories, Inc. 26,414 1,187,309 * Smith Micro Software, Inc. 56,638 94,019 * SMTC Corp. 10,494 16,056 * Sonus Networks, Inc. 334,388 1,093,449 * Spansion, Inc. Class A 94,869 1,691,514 #* Spark Networks, Inc. 8,280 37,508 * Speed Commerce, Inc. 73,810 243,573 * SS&C Technologies Holdings, Inc. 31,641 1,231,468 * Stamps.com, Inc. 40,911 1,420,021 * StarTek, Inc. 25,558 177,628 #* Stratasys, Ltd. 11,636 1,127,179 #* SunPower Corp. 20,122 672,477 * Super Micro Computer, Inc. 63,327 1,289,338 * support.com, Inc. 114,161 281,978 * Sykes Enterprises, Inc. 57,379 1,135,530 #* Synaptics, Inc. 30,717 1,909,062 #* Synchronoss Technologies, Inc. 17,173 522,746 * SYNNEX Corp. 63,951 4,309,018 * Take-Two Interactive Software, Inc. 86,971 1,772,469 * Tech Data Corp. 34,004 2,124,910 * TeleCommunication Systems, Inc. Class A 114,939 293,094 TAX-MANAGED U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ------------ Information Technology -- (Continued) * Telenav, Inc. 58,543 $ 358,869 * TeleTech Holdings, Inc. 62,869 1,517,029 # Tessco Technologies, Inc. 19,593 644,414 Tessera Technologies, Inc. 67,342 1,476,810 TheStreet, Inc. 73,298 188,376 Transact Technologies, Inc. 21,556 230,434 #* Travelzoo, Inc. 4,818 86,435 * Trio Tech International 400 1,258 * TriQuint Semiconductor, Inc. 253,709 3,597,594 #* Trulia, Inc. 18 612 #* TSR, Inc. 300 909 #* TTM Technologies, Inc. 87,565 690,888 * Tyler Technologies, Inc. 34,175 2,790,389 * Ultimate Software Group, Inc. (The) 2,656 317,737 * Ultra Clean Holdings, Inc. 45,320 386,126 #* Ultratech, Inc. 37,859 1,007,807 * Unisys Corp. 66,897 1,630,280 United Online, Inc. 31,842 377,328 #* Universal Display Corp. 2,968 77,316 #* USA Technologies, Inc. 42,977 86,814 * UTStarcom Holdings Corp. 20,191 62,390 #* Veeco Instruments, Inc. 44,977 1,662,800 * Verint Systems, Inc. 43,373 1,898,436 #* ViaSat, Inc. 25,352 1,627,852 #* Viasystems Group, Inc. 29,280 351,946 * Vicon Industries, Inc. 12,267 35,820 * Video Display Corp. 29,556 102,559 * Virtusa Corp. 63,293 2,086,770 # Vishay Intertechnology, Inc. 228,809 3,253,664 * Vishay Precision Group, Inc. 22,019 357,368 #* VistaPrint NV 35,640 1,406,711 * Vocus, Inc. 7,642 137,403 # Wayside Technology Group, Inc. 12,677 204,860 * Web.com Group, Inc. 46,419 1,425,527 #* WebMD Health Corp. 18,247 804,510 * Westell Technologies, Inc. Class A 119,124 388,344 * WEX, Inc. 4,310 413,631 * XO Group, Inc. 64,966 689,939 * Zebra Technologies Corp. Class A 42,492 2,950,644 #* Zix Corp. 122,482 401,741 * Zygo Corp. 44,558 857,296 #* Zynga, Inc. Class A 596,255 2,414,833 ------------ Total Information Technology 333,521,064 ------------ Materials -- (4.4%) A Schulman, Inc. 39,823 1,430,442 * AEP Industries, Inc. 15,313 545,449 #* AM Castle & Co. 44,037 540,774 AMCOL International Corp. 33,527 1,537,213 # American Vanguard Corp. 64,951 1,156,777 Ampco-Pittsburgh Corp. 18,240 365,347 * Arabian American Development Co. 16,557 180,968 TAX-MANAGED U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Materials -- (Continued) # Axiall Corp. 31,063 $1,447,536 Balchem Corp. 27,300 1,691,235 * Boise Cascade Co. 14,554 364,141 Cabot Corp. 4,508 260,562 * Calgon Carbon Corp. 70,379 1,409,691 # Carpenter Technology Corp. 22,096 1,387,629 * Century Aluminum Co. 150,486 2,069,183 Chase Corp. 19,295 600,846 * Chemtura Corp. 65,682 1,464,709 * Clearwater Paper Corp. 22,117 1,357,763 #* Codexis, Inc. 17,017 28,929 * Coeur Mining, Inc. 27,200 235,552 Commercial Metals Co. 167,177 3,209,798 #* Contango ORE, Inc. 2,399 28,548 #* Continental Materials Corp. 1,135 21,003 * Core Molding Technologies, Inc. 24,525 294,545 Deltic Timber Corp. 11,217 681,433 Eagle Materials, Inc. 34,510 2,875,718 * Ferro Corp. 122,133 1,585,286 #* Flotek Industries, Inc. 43,975 1,231,740 Friedman Industries, Inc. 15,233 130,699 # FutureFuel Corp. 43,679 876,638 #* General Moly, Inc. 194,739 214,213 Globe Specialty Metals, Inc. 44,567 863,708 * Graphic Packaging Holding Co. 274,844 2,819,899 Greif, Inc. Class A 9,980 540,816 Hawkins, Inc. 22,677 820,907 Haynes International, Inc. 22,213 1,178,400 HB Fuller Co. 58,358 2,703,726 * Headwaters, Inc. 115,736 1,444,385 # Hecla Mining Co. 518 1,590 #* Horsehead Holding Corp. 89,222 1,390,971 Innophos Holdings, Inc. 31,850 1,797,614 Innospec, Inc. 37,252 1,604,071 # Kaiser Aluminum Corp. 24,077 1,695,021 * KapStone Paper and Packaging Corp. 152,404 4,020,418 # KMG Chemicals, Inc. 27,369 427,230 Koppers Holdings, Inc. 18,005 768,814 * Kraton Performance Polymers, Inc. 27,835 725,102 * Landec Corp. 62,597 742,400 #* Louisiana-Pacific Corp. 183,497 3,007,516 * LSB Industries, Inc. 32,790 1,252,250 Materion Corp. 42,709 1,437,158 #* McEwen Mining, Inc. 53,411 128,186 #* Mercer International, Inc. 90,527 749,564 #* Metabolix, Inc. 1,305 1,344 Minerals Technologies, Inc. 44,730 2,660,988 #* Mines Management, Inc. 23,303 29,595 Myers Industries, Inc. 89,037 1,664,992 Neenah Paper, Inc. 39,603 1,994,803 # NewMarket Corp. 4,561 1,698,152 Noranda Aluminum Holding Corp. 34,639 122,968 TAX-MANAGED U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ------------ Materials -- (Continued) * Northern Technologies International Corp. 7,993 $ 169,052 # Olin Corp. 95,706 2,689,339 # Olympic Steel, Inc. 24,946 657,577 # OM Group, Inc. 39,000 1,142,310 * OMNOVA Solutions, Inc. 96,462 879,733 * Penford Corp. 25,828 325,433 PH Glatfelter Co. 71,213 1,817,356 PolyOne Corp. 131,230 4,917,188 Quaker Chemical Corp. 33,824 2,517,520 * Resolute Forest Products, Inc. 12,487 222,768 * RTI International Metals, Inc. 40,049 1,127,780 # Schnitzer Steel Industries, Inc. Class A 39,343 1,104,358 Schweitzer-Mauduit International, Inc. 49,148 2,144,819 #* Senomyx, Inc. 600 4,914 Sensient Technologies Corp. 41,327 2,233,724 Stepan Co. 23,206 1,342,003 #* Stillwater Mining Co. 97,521 1,538,881 * SunCoke Energy, Inc. 44,714 933,181 # Synalloy Corp. 15,685 243,118 #* Texas Industries, Inc. 44,165 3,829,106 Tredegar Corp. 30,500 634,705 Tronox, Ltd. Class A 13,181 322,935 United States Lime & Minerals, Inc. 12,780 690,887 * Universal Stainless & Alloy Products, Inc. 17,848 640,565 # Wausau Paper Corp. 129,988 1,554,656 Westlake Chemical Corp. 23,000 1,637,600 Worthington Industries, Inc. 82,330 3,029,744 Zep, Inc. 46,908 811,039 ------------ Total Materials 106,679,246 ------------ Other -- (0.0%) (o)* Allen Organ Co. Escrow Shares 700 -- (o)#* Gerber Scientific, Inc. Escrow Shares 58,381 -- (o)* Petrocorp, Inc. Escrow Shares 5,200 -- ------------ Total Other -- ------------ Real Estate Investment Trusts -- (0.0%) Altisource Residential Corp. 7,311 205,585 Geo Group, Inc. (The) 2,790 93,549 Parkway Properties, Inc. 36,988 697,594 ------------ Total Real Estate Investment Trusts 996,728 ------------ Telecommunication Services -- (0.7%) #* 8x8, Inc. 64,747 628,046 #* Alaska Communications Systems Group, Inc. 42,815 80,920 # Alteva 6,834 41,346 Atlantic Tele-Network, Inc. 27,138 1,605,756 #* Boingo Wireless, Inc. 6,442 42,517 * Cbeyond, Inc. 33,970 335,963 * Cincinnati Bell, Inc. 322,663 1,080,921 Cogent Communications Group, Inc. 12,181 419,879 TAX-MANAGED U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Telecommunication Services -- (Continued) # Consolidated Communications Holdings, Inc. 56,694 $ 1,129,345 * General Communication, Inc. Class A 92,715 967,945 #* Hawaiian Telcom Holdco, Inc. 3,202 85,237 # HC2 Holdings, Inc. 7,442 29,247 HickoryTech Corp. 34,398 408,304 IDT Corp. Class B 53,817 852,461 Inteliquent, Inc. 86,522 1,180,160 #* Iridium Communications, Inc. 112,323 749,194 Lumos Networks Corp. 25,986 343,275 # NTELOS Holdings Corp. 25,251 348,211 * ORBCOMM, Inc. 95,669 599,845 * Premiere Global Services, Inc. 122,592 1,559,370 # Shenandoah Telecommunications Co. 38,563 1,080,921 #* Straight Path Communications, Inc. Class B 21,984 153,888 USA Mobility, Inc. 49,865 854,188 * Vonage Holdings Corp. 376,372 1,445,269 ----------- Total Telecommunication Services 16,022,208 ----------- Utilities -- (2.2%) # ALLETE, Inc. 49,687 2,571,799 American States Water Co. 51,072 1,550,546 # Artesian Resources Corp. Class A 17,365 382,377 # Avista Corp. 74,437 2,393,150 Black Hills Corp. 62,287 3,597,074 #* Cadiz, Inc. 1,246 8,012 California Water Service Group 75,987 1,709,707 Chesapeake Utilities Corp. 22,105 1,398,362 Cleco Corp. 10,981 577,052 # Connecticut Water Service, Inc. 20,421 663,682 # Consolidated Water Co., Ltd. 22,624 262,891 # Delta Natural Gas Co., Inc. 17,638 336,357 #* Dynegy, Inc. 13,946 396,764 El Paso Electric Co. 56,199 2,125,446 Empire District Electric Co. (The) 59,181 1,439,282 # Gas Natural, Inc. 18,750 204,375 * Genie Energy, Ltd. Class B 46,719 378,424 # Hawaiian Electric Industries, Inc. 25,967 622,948 IDACORP, Inc. 36,574 2,053,264 # Laclede Group, Inc. (The) 36,340 1,722,879 # MGE Energy, Inc. 43,046 1,645,218 Middlesex Water Co. 34,446 700,287 # New Jersey Resources Corp. 44,664 2,221,141 # Northwest Natural Gas Co. 33,918 1,501,550 # NorthWestern Corp. 47,686 2,307,049 # Ormat Technologies, Inc. 24,410 651,259 # Otter Tail Corp. 44,303 1,298,078 Piedmont Natural Gas Co., Inc. 15,000 536,850 PNM Resources, Inc. 99,752 2,761,135 Portland General Electric Co. 13,115 438,959 RGC Resources, Inc. 13,188 251,891 SJW Corp. 41,520 1,130,590 # South Jersey Industries, Inc. 35,408 2,034,190 TAX-MANAGED U.S. SMALL CAP PORTFOLIO CONTINUED SHARES VALUE+ ---------- -------------- Utilities -- (Continued) Southwest Gas Corp. 43,382 $ 2,386,444 # UIL Holdings Corp. 58,526 2,149,660 Unitil Corp. 30,882 1,025,282 UNS Energy Corp. 42,765 2,568,466 WGL Holdings, Inc. 36,505 1,452,534 # York Water Co. 26,879 537,849 -------------- Total Utilities 51,992,823 -------------- TOTAL COMMON STOCKS 1,974,828,377 -------------- RIGHTS/WARRANTS -- (0.0%) (o)* Capital Bank Corp. Contingent Value Rights 3,283 -- (o)* Community Health Systems, Inc. Rights 01/04/16 13,875 834 (o)* LGL Group, Inc. (The) Warrants 08/06/18 25,370 1,522 (o)#* Magnum Hunter Resources Corp. Warrants 04/15/16 20,175 -- (o)* Tejon Ranch Co. Warrants 08/31/16 5,443 18,506 (o)#* Trius Therapeutics, Inc. Contingent Value Rights 6,973 -- -------------- TOTAL RIGHTS/WARRANTS 20,862 -------------- TEMPORARY CASH INVESTMENTS -- (0.4%) State Street Institutional Liquid Reserves, 0.074% 9,743,419 9,743,419 -------------- SHARES/ FACE AMOUNT (000) ---------- SECURITIES LENDING COLLATERAL -- (17.5%) (S)@ DFA Short Term Investment Fund 36,412,899 421,297,246 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $1,515,539,876) $2,405,889,904 ============== TAX-MANAGED U.S. SMALL CAP PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, 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 $ 316,360,737 $ 35,337 -- $ 316,396,074 Consumer Staples 84,555,487 -- -- 84,555,487 Energy 126,102,009 -- -- 126,102,009 Financials 386,321,740 8,792 -- 386,330,532 Health Care 185,691,882 85,587 -- 185,777,469 Industrials 366,454,499 238 -- 366,454,737 Information Technology 333,521,064 -- -- 333,521,064 Materials 106,679,246 -- -- 106,679,246 Other -- -- -- -- Real Estate Investment Trusts 996,728 -- -- 996,728 Telecommunication Services 16,022,208 -- -- 16,022,208 Utilities 51,992,823 -- -- 51,992,823 Rights/Warrants -- 20,862 -- 20,862 Temporary Cash Investments 9,743,419 -- -- 9,743,419 Securities Lending Collateral -- 421,297,246 -- 421,297,246 -------------- ------------ -- -------------- TOTAL $1,984,441,842 $421,448,062 -- $2,405,889,904 ============== ============ == ============== T.A. U.S. CORE EQUITY 2 PORTFOLIO SCHEDULE OF INVESTMENTS APRIL 30, 2014 (UNAUDITED) SHARES VALUE+ ------- ---------- COMMON STOCKS -- (91.4%) Consumer Discretionary -- (12.3%) * 1-800-Flowers.com, Inc. Class A 19,117 $ 104,188 Aaron's, Inc. 51,310 1,512,106 # Abercrombie & Fitch Co. Class A 43,637 1,604,096 Advance Auto Parts, Inc. 6,678 809,975 #* Aeropostale, Inc. 55,059 273,643 AH Belo Corp. Class A 11,610 133,631 * Amazon.com, Inc. 23,806 7,240,119 * Ambassadors Group, Inc. 9,192 38,974 #* AMC Networks, Inc. Class A 16,215 1,064,839 # AMCON Distributing Co. 116 9,333 #* America's Car-Mart, Inc. 6,200 224,068 * American Axle & Manufacturing Holdings, Inc. 32,062 565,894 # American Eagle Outfitters, Inc. 115,622 1,336,590 #* American Public Education, Inc. 12,750 441,150 * ANN, Inc. 36,345 1,424,361 * Apollo Education Group, Inc. Class A 76,137 2,197,314 # Arctic Cat, Inc. 9,368 383,058 Ark Restaurants Corp. 2,015 42,778 * Asbury Automotive Group, Inc. 21,801 1,345,994 * Ascena Retail Group, Inc. 99,092 1,704,382 * Ascent Capital Group, Inc. Class A 8,599 591,353 # Autoliv, Inc. 19,907 2,030,116 * AutoNation, Inc. 47,039 2,492,597 * AutoZone, Inc. 2,600 1,388,114 * Ballantyne Strong, Inc. 7,721 34,899 #* Bally Technologies, Inc. 18,899 1,230,514 #* Barnes & Noble, Inc. 41,372 678,501 # Bassett Furniture Industries, Inc. 6,115 84,326 # Beasley Broadcasting Group, Inc. Class A 2,443 18,811 * Beazer Homes USA, Inc. 9,480 179,741 # bebe stores, Inc. 55,179 278,654 * Bed Bath & Beyond, Inc. 22,200 1,379,286 # Best Buy Co., Inc. 102,354 2,654,039 # Big 5 Sporting Goods Corp. 15,059 183,870 * Big Lots, Inc. 40,885 1,614,957 * Biglari Holdings, Inc. 1,275 547,001 #* BJ's Restaurants, Inc. 19,664 561,407 * Blue Nile, Inc. 2,200 76,406 # Blyth, Inc. 10,298 96,492 # Bob Evans Farms, Inc. 19,700 923,339 #* Body Central Corp. 5,492 5,712 # Bon-Ton Stores, Inc. (The) 9,305 102,355 * Books-A-Million, Inc. 7,576 17,879 BorgWarner, Inc. 42,214 2,623,178 Bowl America, Inc. Class A 1,280 18,848 * Boyd Gaming Corp. 35,300 417,246 * Bravo Brio Restaurant Group, Inc. 14,934 223,562 #* Bridgepoint Education, Inc. 28,872 457,621 Brinker International, Inc. 28,231 1,387,271 Brown Shoe Co., Inc. 31,203 736,079 Brunswick Corp. 10,869 436,825 T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Consumer Discretionary -- (Continued) # Buckle, Inc. (The) 14,000 $ 657,860 * Buffalo Wild Wings, Inc. 10,347 1,511,904 * Build-A-Bear Workshop, Inc. 11,127 124,845 #* Cabela's, Inc. 43,917 2,881,394 # Cablevision Systems Corp. Class A 55,454 926,082 #* Cache, Inc. 9,167 24,384 #* Caesars Acquisition Co. Class A 53,883 678,926 #* Caesars Entertainment Corp. 58,373 1,078,149 # Callaway Golf Co. 50,560 440,378 * Cambium Learning Group, Inc. 38,040 85,210 * Canterbury Park Holding Corp. 200 2,250 # Capella Education Co. 10,897 635,949 * Career Education Corp. 48,566 350,647 #* CarMax, Inc. 52,548 2,300,551 * Carmike Cinemas, Inc. 16,639 493,513 Carnival Corp. 116,169 4,566,603 Carriage Services, Inc. 10,721 172,501 #* Carrols Restaurant Group, Inc. 14,565 97,731 Carter's, Inc. 32,552 2,397,780 # Cato Corp. (The) Class A 19,051 542,763 * Cavco Industries, Inc. 5,352 417,188 CBS Corp. Class A 7,638 444,150 CBS Corp. Class B 191,185 11,042,846 * Central European Media Enterprises, Ltd. Class A 1,600 4,384 #* Charles & Colvard, Ltd. 12,152 26,370 * Charter Communications, Inc. Class A 5,215 706,789 Cheesecake Factory, Inc. (The) 40,174 1,803,411 Cherokee, Inc. 2,045 28,364 # Chico's FAS, Inc. 101,085 1,605,230 # Children's Place Retail Stores, Inc. (The) 16,085 772,080 * Chipotle Mexican Grill, Inc. 5,000 2,492,500 # Choice Hotels International, Inc. 18,102 799,746 * Christopher & Banks Corp. 18,597 116,045 Churchill Downs, Inc. 11,840 1,039,907 # Cinemark Holdings, Inc. 67,507 1,999,557 * Citi Trends, Inc. 10,014 170,138 Clear Channel Outdoor Holdings, Inc. Class A 22,155 177,683 # Coach, Inc. 15,500 692,075 * Cobra Electronics Corp. 2,859 9,435 # Collectors Universe, Inc. 4,045 94,977 Columbia Sportswear Co. 22,014 1,892,764 Comcast Corp. Class A 456,217 23,613,792 Comcast Corp. Special Class A 154,874 7,903,220 #* Conn's, Inc. 23,510 1,039,847 # Cooper Tire & Rubber Co. 43,496 1,093,924 Core-Mark Holding Co., Inc. 7,842 631,595 #* Corinthian Colleges, Inc. 51,768 59,533 Cracker Barrel Old Country Store, Inc. 16,648 1,577,232 * Crocs, Inc. 61,812 935,216 #* Crown Media Holdings, Inc. Class A 2,100 7,518 CSS Industries, Inc. 200 4,794 # CST Brands, Inc. 23,406 763,738 T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Consumer Discretionary -- (Continued) CTC Media, Inc. 104,371 $ 904,897 Culp, Inc. 7,429 134,093 * Cumulus Media, Inc. Class A 53,897 345,480 # Dana Holding Corp. 94,093 1,991,949 # Darden Restaurants, Inc. 23,139 1,150,240 #* Deckers Outdoor Corp. 24,392 1,925,748 #* dELiA*s, Inc. 3,569 3,016 Delphi Automotive P.L.C. 15,362 1,026,796 * Delta Apparel, Inc. 6,071 92,461 Destination Maternity Corp. 9,223 227,439 #* Destination XL Group, Inc. 35,319 190,723 DeVry Education Group, Inc. 40,839 1,838,980 * DGSE Cos., Inc. 2,601 6,971 Dick's Sporting Goods, Inc. 14,942 786,846 Dillard's, Inc. Class A 39,857 3,903,196 DineEquity, Inc. 13,201 1,000,768 * DIRECTV 57,283 4,445,161 * Discovery Communications, Inc. Class A 21,350 1,620,465 * Discovery Communications, Inc. Class B 1,077 80,904 * Discovery Communications, Inc. Class C 22,783 1,597,772 * DISH Network Corp. Class A 13,800 784,668 * Dixie Group, Inc. (The) 5,023 75,697 * Dollar General Corp. 17,616 994,247 * Dollar Tree, Inc. 30,600 1,593,342 Domino's Pizza, Inc. 24,441 1,817,922 #* Dorman Products, Inc. 22,606 1,300,975 * Dover Downs Gaming & Entertainment, Inc. 8,312 12,052 # DR Horton, Inc. 187,710 4,182,179 #* DreamWorks Animation SKG, Inc. Class A 53,577 1,287,455 Drew Industries, Inc. 16,094 809,850 DSW, Inc. Class A 33,114 1,105,676 # Dunkin' Brands Group, Inc. 25,284 1,150,675 #* Education Management Corp. 28,756 114,161 Educational Development Corp. 1,000 3,880 Einstein Noah Restaurant Group, Inc. 10,689 164,183 * Emerson Radio Corp. 11,467 23,278 * Emmis Communications Corp. Class A 4,200 13,566 #* Empire Resorts, Inc. 895 6,059 #* Entercom Communications Corp. Class A 14,466 156,233 * Entertainment Gaming Asia, Inc. 991 843 Entravision Communications Corp. Class A 26,167 138,947 # Escalade, Inc. 5,585 82,211 # Ethan Allen Interiors, Inc. 19,917 483,585 #* Ever-Glory International Group, Inc. 945 6,993 #* EW Scripps Co. Class A 30,612 524,384 Expedia, Inc. 11,934 847,195 * Express, Inc. 30,887 450,024 (o)#* FAB Universal Corp. 10,974 25,273 Family Dollar Stores, Inc. 13,459 790,716 * Famous Dave's Of America, Inc. 4,600 121,854 #* Federal-Mogul Holdings Corp. 56,680 976,030 * Fiesta Restaurant Group, Inc. 13,204 483,398 T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Consumer Discretionary -- (Continued) Finish Line, Inc. (The) Class A 35,607 $ 980,261 Flexsteel Industries, Inc. 1,903 65,311 Foot Locker, Inc. 105,409 4,904,681 Ford Motor Co. 327,501 5,289,141 * Fossil Group, Inc. 12,354 1,317,554 Fred's, Inc. Class A 23,700 431,814 Frisch's Restaurants, Inc. 2,647 62,681 * FTD Cos., Inc. 13,052 395,998 #* Fuel Systems Solutions, Inc. 13,533 141,826 * Full House Resorts, Inc. 5,091 10,157 #* G-III Apparel Group, Ltd. 14,776 1,060,474 * Gaiam, Inc. Class A 9,924 73,239 # GameStop Corp. Class A 87,958 3,490,173 * Gaming Partners International Corp. 3,430 28,984 Gannett Co., Inc. 152,595 4,146,006 Gap, Inc. (The) 94,475 3,712,867 # Garmin, Ltd. 56,321 3,215,929 * Geeknet, Inc. 3,343 49,476 General Motors Co. 170,801 5,889,218 #* Genesco, Inc. 16,655 1,271,942 Gentex Corp. 74,326 2,130,926 * Gentherm, Inc. 24,227 880,651 # Genuine Parts Co. 30,256 2,635,903 Goodyear Tire & Rubber Co. (The) 45,600 1,149,120 # Gordmans Stores, Inc. 4,712 21,157 Graham Holdings Co. Class B 4,575 3,070,877 * Grand Canyon Education, Inc. 21,184 913,454 #* Gray Television, Inc. 36,725 413,156 * Gray Television, Inc. Class A 2,300 21,287 # Group 1 Automotive, Inc. 17,276 1,246,118 #* Groupon, Inc. 11,275 78,812 Guess?, Inc. 51,018 1,372,894 H&R Block, Inc. 25,100 713,342 * Hallwood Group, Inc. (The) 242 2,967 Hanesbrands, Inc. 17,637 1,447,821 Harley-Davidson, Inc. 33,100 2,447,414 Harman International Industries, Inc. 19,815 2,171,922 Harte-Hanks, Inc. 38,047 305,898 # Hasbro, Inc. 10,470 578,572 Haverty Furniture Cos., Inc. 14,219 363,153 Haverty Furniture Cos., Inc. Class A 717 18,341 * Helen of Troy, Ltd. 22,083 1,384,604 #* hhgregg, Inc. 20,538 177,038 #* Hibbett Sports, Inc. 13,947 751,046 Hillenbrand, Inc. 44,731 1,359,822 #* Hollywood Media Corp. 3,306 4,133 Home Depot, Inc. (The) 110,670 8,799,372 Hooker Furniture Corp. 6,263 86,743 #* Hovnanian Enterprises, Inc. Class A 14,667 65,415 HSN, Inc. 25,360 1,471,894 * Hyatt Hotels Corp. Class A 10,629 598,200 #* Iconix Brand Group, Inc. 47,177 2,005,022 T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Consumer Discretionary -- (Continued) International Game Technology 67,629 $ 848,744 International Speedway Corp. Class A 18,292 575,100 Interpublic Group of Cos., Inc. (The) 130,592 2,274,913 Interval Leisure Group, Inc. 37,962 978,281 #* iRobot Corp. 20,396 683,266 * Isle of Capri Casinos, Inc. 16,560 112,608 #* ITT Educational Services, Inc. 3,700 99,900 * Jack in the Box, Inc. 34,761 1,861,104 # JAKKS Pacific, Inc. 11,057 96,859 * Jarden Corp. 56,010 3,200,971 #* JC Penney Co., Inc. 86,773 739,306 John Wiley & Sons, Inc. Class A 27,670 1,589,918 John Wiley & Sons, Inc. Class B 2,517 147,962 Johnson Controls, Inc. 122,657 5,536,737 Johnson Outdoors, Inc. Class A 3,145 65,825 * Jos A Bank Clothiers, Inc. 18,600 1,200,630 * Journal Communications, Inc. Class A 30,219 242,356 #* K12, Inc. 20,425 483,664 * Kate Spade & Co. 31,778 1,104,921 # KB Home 49,212 812,490 * Kirkland's, Inc. 12,017 205,611 Kohl's Corp. 54,942 3,010,272 * Kona Grill, Inc. 4,914 115,233 Koss Corp. 2,055 9,494 #* Krispy Kreme Doughnuts, Inc. 41,725 731,857 L Brands, Inc. 54,920 2,976,664 La-Z-Boy, Inc. 38,537 933,752 * Lakeland Industries, Inc. 2,263 16,067 * Lamar Advertising Co. Class A 32,452 1,620,004 #* Lands' End, Inc. 10,001 276,528 Las Vegas Sands Corp. 31,071 2,458,648 #* LeapFrog Enterprises, Inc. 37,280 255,368 Lear Corp. 25,594 2,125,838 * Learning Tree International, Inc. 7,899 24,092 # Leggett & Platt, Inc. 86,310 2,836,147 # Lennar Corp. Class A 96,883 3,738,715 Lennar Corp. Class B 14,859 483,215 * Libbey, Inc. 9,302 248,084 * Liberty Global P.L.C. Class A 19,217 765,221 * Liberty Global P.L.C. Class B 121 4,834 * Liberty Global P.L.C. Class C 62,998 2,421,013 * Liberty Interactive Corp. Class A 226,805 6,590,953 * Liberty Interactive Corp. Class B 1,100 33,138 * Liberty Media Corp. Class A 59,392 7,703,736 * Liberty Media Corp. Class B 581 72,884 * Liberty Ventures Series A 42,474 2,465,191 * Liberty Ventures Series B 110 6,555 #* Life Time Fitness, Inc. 29,350 1,408,800 Lifetime Brands, Inc. 6,949 132,726 * LIN Media LLC Class A 19,894 466,116 # Lincoln Educational Services Corp. 11,973 48,850 # Lions Gate Entertainment Corp. 8,465 224,576 T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Consumer Discretionary -- (Continued) Lithia Motors, Inc. Class A 16,513 $ 1,226,586 * Live Nation Entertainment, Inc. 131,406 2,743,757 * LKQ Corp. 117,166 3,411,874 * Loral Space & Communications, Inc. 12,243 881,374 Lowe's Cos., Inc. 255,861 11,746,579 #* Luby's, Inc. 15,643 84,785 #* Lululemon Athletica, Inc. 5,900 270,987 #* Lumber Liquidators Holdings, Inc. 14,465 1,260,769 * M/I Homes, Inc. 15,344 341,711 Macy's, Inc. 138,411 7,948,944 * Madison Square Garden Co. (The) Class A 45,325 2,474,745 Marcus Corp. (The) 12,065 201,847 Marine Products Corp. 19,424 137,910 * MarineMax, Inc. 16,534 265,536 # Marriott International, Inc. Class A 21,551 1,248,449 * Marriott Vacations Worldwide Corp. 4,633 252,406 * Martha Stewart Living Omnimedia, Inc. Class A 22,939 89,691 Mattel, Inc. 42,182 1,654,167 # Matthews International Corp. Class A 18,123 731,263 #* Mattress Firm Holding Corp. 256 11,569 #* McClatchy Co. (The) Class A 37,927 207,840 McDonald's Corp. 49,603 5,028,752 # MDC Holdings, Inc. 33,631 928,216 #* Media General, Inc. Class A 10,569 161,917 Men's Wearhouse, Inc. (The) 33,995 1,610,683 Meredith Corp. 23,856 1,051,334 * Meritage Homes Corp. 25,113 968,860 * MGM Resorts International 212,611 5,364,176 * Modine Manufacturing Co. 34,073 561,523 * Mohawk Industries, Inc. 33,285 4,407,267 * Monarch Casino & Resort, Inc. 11,770 188,791 # Monro Muffler Brake, Inc. 17,643 995,065 # Morningstar, Inc. 5,726 419,888 * Motorcar Parts of America, Inc. 7,897 216,694 Movado Group, Inc. 13,455 528,512 * MTR Gaming Group, Inc. 11,998 60,710 * Multimedia Games Holding Co., Inc. 18,101 528,549 * Murphy USA, Inc. 28,279 1,201,857 NACCO Industries, Inc. Class A 4,440 237,940 * Nathan's Famous, Inc. 2,894 142,616 # National CineMedia, Inc. 28,104 426,900 * Nautilus, Inc. 19,578 163,085 * Netflix, Inc. 9,300 2,994,972 * New York & Co., Inc. 46,014 192,799 # New York Times Co. (The) Class A 107,766 1,732,877 Newell Rubbermaid, Inc. 73,006 2,198,211 * News Corp. Class A 100,666 1,713,335 #* News Corp. Class B 33,381 552,122 # Nexstar Broadcasting Group, Inc. Class A 10,952 436,437 NIKE, Inc. Class B 38,660 2,820,247 * Nobility Homes, Inc. 1,152 12,672 # Nordstrom, Inc. 19,640 1,203,539 T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Consumer Discretionary -- (Continued) Nutrisystem, Inc. 12,467 $ 187,005 * NVR, Inc. 2,277 2,452,329 * O'Reilly Automotive, Inc. 38,194 5,682,885 #* Office Depot, Inc. 340,644 1,393,234 Omnicom Group, Inc. 23,600 1,597,248 #* Orbitz Worldwide, Inc. 39,493 290,274 * Orient-Express Hotels, Ltd. Class A 66,013 864,770 #* Outerwall, Inc. 20,048 1,390,329 * Overstock.com, Inc. 6,747 108,087 # Oxford Industries, Inc. 15,249 1,006,586 #* Pacific Sunwear of California, Inc. 18,409 53,018 #* Panera Bread Co. Class A 5,192 794,220 Papa John's International, Inc. 28,426 1,246,764 * Penn National Gaming, Inc. 55,512 619,514 Penske Automotive Group, Inc. 62,637 2,872,533 * Pep Boys-Manny, Moe & Jack (The) 35,528 363,096 * Perfumania Holdings, Inc. 1,922 12,743 #* Perry Ellis International, Inc. 10,487 158,354 # PetMed Express, Inc. 13,560 177,500 # PetSmart, Inc. 15,192 1,028,195 # Pier 1 Imports, Inc. 56,100 1,024,386 * Pinnacle Entertainment, Inc. 34,461 801,907 # Polaris Industries, Inc. 10,800 1,450,764 # Pool Corp. 23,478 1,385,672 * Popeyes Louisiana Kitchen, Inc. 10,282 391,744 * Priceline Group, Inc. (The) 3,200 3,704,800 PulteGroup, Inc. 244,547 4,497,219 PVH Corp. 35,211 4,421,445 #* Quiksilver, Inc. 116,388 747,211 #* Radio One, Inc. Class D 841 3,801 #* RadioShack Corp. 6,000 8,580 Ralph Lauren Corp. 9,100 1,377,467 * Reading International, Inc. Class A 4,671 33,071 * Red Lion Hotels Corp. 10,267 59,035 #* Red Robin Gourmet Burgers, Inc. 10,187 692,512 # Regal Entertainment Group Class A 35,714 671,423 Regis Corp. 38,861 510,634 Rent-A-Center, Inc. 40,650 1,187,387 #* Rentrak Corp. 5,384 306,834 RG Barry Corp. 7,961 145,527 * Rick's Cabaret International, Inc. 6,006 60,661 Rocky Brands, Inc. 3,771 55,207 Ross Stores, Inc. 25,604 1,743,120 Royal Caribbean Cruises, Ltd. 94,154 5,002,402 * Ruby Tuesday, Inc. 41,572 320,520 Ruth's Hospitality Group, Inc. 35,543 447,486 # Ryland Group, Inc. (The) 30,920 1,187,019 Saga Communications, Inc. Class A 1,505 66,672 # Salem Communications Corp. Class A 8,669 76,374 * Sally Beauty Holdings, Inc. 41,679 1,142,421 # Scholastic Corp. 7,300 240,243 * Scientific Games Corp. Class A 58,483 700,626 T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Consumer Discretionary -- (Continued) Scripps Networks Interactive, Inc. Class A 7,948 $ 596,656 #* Sears Holdings Corp. 33,250 1,456,682 * Select Comfort Corp. 18,500 340,400 Service Corp. International 157,874 2,963,295 * Shiloh Industries, Inc. 12,491 246,572 Shoe Carnival, Inc. 14,310 326,840 #* Shutterfly, Inc. 27,213 1,113,828 Signet Jewelers, Ltd. 48,553 4,919,390 # Sinclair Broadcast Group, Inc. Class A 13,900 371,547 Six Flags Entertainment Corp. 41,784 1,677,210 * Sizmek, Inc. 19,309 184,980 * Skechers U.S.A., Inc. Class A 27,202 1,115,010 * Skullcandy, Inc. 1,852 14,260 * Skyline Corp. 3,075 15,683 #* Smith & Wesson Holding Corp. 1,842 28,275 Sonic Automotive, Inc. Class A 30,575 744,196 * Sonic Corp. 33,893 645,323 # Sotheby's 37,090 1,560,005 Spartan Motors, Inc. 22,035 117,006 Speedway Motorsports, Inc. 25,143 457,351 * Sport Chalet, Inc. Class A 100 113 # Stage Stores, Inc. 21,291 408,361 Standard Motor Products, Inc. 16,019 608,562 #* Standard Pacific Corp. 132,350 1,057,477 * Stanley Furniture Co., Inc. 8,226 24,020 # Staples, Inc. 157,657 1,970,712 Starbucks Corp. 36,500 2,577,630 Starwood Hotels & Resorts Worldwide, Inc. 14,600 1,119,090 * Starz 62,748 2,024,878 * Starz Class B 581 18,772 # Stein Mart, Inc. 31,495 393,688 * Steiner Leisure, Ltd. 9,410 406,230 * Steven Madden, Ltd. 35,357 1,259,063 * Stoneridge, Inc. 20,270 216,686 Strattec Security Corp. 1,297 86,653 * Strayer Education, Inc. 1,182 50,389 # Sturm Ruger & Co., Inc. 10,514 676,576 Superior Industries International, Inc. 17,116 361,832 Superior Uniform Group, Inc. 4,706 76,520 #* Systemax, Inc. 21,834 377,510 * Tandy Leather Factory, Inc. 1,550 15,175 Target Corp. 62,379 3,851,903 #* Tempur Sealy International, Inc. 12,304 617,415 * Tenneco, Inc. 19,700 1,179,439 * Tesla Motors, Inc. 7,691 1,598,882 Texas Roadhouse, Inc. 49,665 1,228,712 # Thor Industries, Inc. 36,536 2,223,946 Tiffany & Co. 20,196 1,766,948 Time Warner Cable, Inc. 88,298 12,490,635 Time Warner, Inc. 218,287 14,507,354 TJX Cos., Inc. (The) 44,080 2,564,574 * Toll Brothers, Inc. 83,371 2,854,623 T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ------------ Consumer Discretionary -- (Continued) * Tower International, Inc. 4,228 $ 117,581 Town Sports International Holdings, Inc. 12,534 87,863 Tractor Supply Co. 49,600 3,335,104 # Trans World Entertainment Corp. 900 2,943 * Trinity Place Holdings, Inc. 699 4,439 #* TripAdvisor, Inc. 6,625 534,903 * TRW Automotive Holdings Corp. 54,943 4,414,670 #* Tuesday Morning Corp. 18,100 253,038 Tupperware Brands Corp. 8,681 737,104 Twenty-First Century Fox, Inc. Class A 262,906 8,418,250 Twenty-First Century Fox, Inc. Class B 61,450 1,924,614 * Ulta Salon Cosmetics & Fragrance, Inc. 22,200 1,947,162 #* Under Armour, Inc. Class A 25,200 1,232,028 * Unifi, Inc. 12,128 268,514 * Universal Electronics, Inc. 10,185 380,410 Universal Technical Institute, Inc. 15,126 181,663 #* UQM Technologies, Inc. 101 223 * Urban Outfitters, Inc. 13,255 472,607 * US Auto Parts Network, Inc. 16,002 49,926 Vail Resorts, Inc. 25,532 1,767,580 Value Line, Inc. 1,300 18,954 #* Valuevision Media, Inc. Class A 33,806 158,212 VF Corp. 66,160 4,041,714 Viacom, Inc. Class A 2,201 187,019 Viacom, Inc. Class B 50,371 4,280,528 * Visteon Corp. 31,772 2,758,127 #* Vitacost.com, Inc. 1,483 9,892 #* Vitamin Shoppe, Inc. 18,094 866,341 * VOXX International Corp. 14,415 169,376 Walt Disney Co. (The) 365,590 29,005,911 # Weight Watchers International, Inc. 12,265 242,847 * Wells-Gardner Electronics Corp. 2,033 3,476 # Wendy's Co. (The) 271,152 2,253,273 * West Marine, Inc. 14,715 157,451 #* Wet Seal, Inc. (The) Class A 61,826 69,863 Weyco Group, Inc. 4,889 122,665 Whirlpool Corp. 29,749 4,562,902 Williams-Sonoma, Inc. 26,276 1,650,658 Winmark Corp. 1,741 132,072 * Winnebago Industries, Inc. 18,259 436,390 # Wolverine World Wide, Inc. 50,426 1,416,971 # World Wrestling Entertainment, Inc. Class A 17,946 349,947 Wyndham Worldwide Corp. 81,926 5,844,601 Wynn Resorts, Ltd. 6,767 1,379,724 Yum! Brands, Inc. 27,571 2,122,691 * Zagg, Inc. 1,116 4,855 * Zale Corp. 20,547 439,500 #* Zumiez, Inc. 21,576 527,533 ------------ Total Consumer Discretionary 615,814,140 ------------ Consumer Staples -- (5.5%) Alico, Inc. 4,131 144,255 T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Consumer Staples -- (Continued) * Alliance One International, Inc. 58,487 $ 150,312 Altria Group, Inc. 115,174 4,619,629 Andersons, Inc. (The) 19,668 1,225,120 Archer-Daniels-Midland Co. 144,468 6,317,586 # Avon Products, Inc. 22,472 343,372 B&G Foods, Inc. 30,656 1,005,517 Beam, Inc. 61,417 5,126,477 #* Boston Beer Co., Inc. (The) Class A 1,616 397,601 #* Boulder Brands, Inc. 41,360 610,474 * Bridgford Foods Corp. 2,509 24,852 Brown-Forman Corp. Class A 5,843 520,787 Brown-Forman Corp. Class B 7,762 696,407 Bunge, Ltd. 66,121 5,266,538 Cal-Maine Foods, Inc. 14,046 837,563 # Calavo Growers, Inc. 10,534 327,502 # Campbell Soup Co. 30,248 1,375,981 # Casey's General Stores, Inc. 26,817 1,841,255 CCA Industries, Inc. 3,031 9,184 * Central Garden and Pet Co. 10,091 82,040 * Central Garden and Pet Co. Class A 23,515 194,469 #* Chefs' Warehouse, Inc. (The) 868 17,438 * Chiquita Brands International, Inc. 30,377 348,728 Church & Dwight Co., Inc. 39,888 2,752,671 # Clorox Co. (The) 7,339 665,647 # Coca-Cola Bottling Co. Consolidated 4,842 398,158 Coca-Cola Co. (The) 268,707 10,960,559 Coca-Cola Enterprises, Inc. 127,494 5,793,327 Colgate-Palmolive Co. 44,670 3,006,291 ConAgra Foods, Inc. 122,978 3,752,059 * Constellation Brands, Inc. Class A 80,514 6,428,238 #* Constellation Brands, Inc. Class B 1,902 150,087 Costco Wholesale Corp. 41,646 4,817,609 #* Craft Brew Alliance, Inc. 9,963 149,146 #* Crimson Wine Group, Ltd. 9,858 87,638 CVS Caremark Corp. 278,252 20,234,485 * Darling International, Inc. 83,386 1,668,554 # Dean Foods Co. 68,067 1,078,181 #* Diamond Foods, Inc. 11,403 348,590 Dr Pepper Snapple Group, Inc. 96,332 5,338,719 * Elizabeth Arden, Inc. 19,875 730,207 Energizer Holdings, Inc. 19,800 2,211,462 Estee Lauder Cos., Inc. (The) Class A 17,200 1,248,204 * Farmer Bros. Co. 10,619 209,300 Flowers Foods, Inc. 72,622 1,490,203 # Fresh Del Monte Produce, Inc. 39,237 1,133,557 #* Fresh Market, Inc. (The) 789 29,272 General Mills, Inc. 33,801 1,792,129 Golden Enterprises, Inc. 1,623 7,141 Griffin Land & Nurseries, Inc. 2,369 69,175 #* Hain Celestial Group, Inc. (The) 28,000 2,408,560 #* Harbinger Group, Inc. 907 10,576 # Herbalife, Ltd. 14,046 842,479 T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Consumer Staples -- (Continued) Hershey Co. (The) 7,117 $ 684,940 Hillshire Brands Co. (The) 15,325 546,336 Hormel Foods Corp. 49,862 2,377,919 Ingles Markets, Inc. Class A 8,911 204,864 Ingredion, Inc. 45,478 3,203,925 Inter Parfums, Inc. 21,664 792,686 * Inventure Foods, Inc. 4,836 58,129 J&J Snack Foods Corp. 13,087 1,224,943 JM Smucker Co. (The) 42,558 4,114,507 # John B. Sanfilippo & Son, Inc. 4,172 96,165 Kellogg Co. 12,976 867,186 # Keurig Green Mountain, Inc. 35,660 3,340,629 Kimberly-Clark Corp. 21,104 2,368,924 Kraft Foods Group, Inc. 101,669 5,780,899 Kroger Co. (The) 47,596 2,191,320 Lancaster Colony Corp. 16,564 1,571,592 Lifeway Foods, Inc. 2,867 43,034 # Limoneira Co. 124 2,848 Lorillard, Inc. 21,186 1,258,872 * Mannatech, Inc. 895 14,562 # McCormick & Co., Inc.(579780107) 1,238 88,344 # McCormick & Co., Inc.(579780206) 10,400 740,480 Mead Johnson Nutrition Co. 15,100 1,332,726 #* Medifast, Inc. 9,748 308,524 # MGP Ingredients, Inc. 8,250 48,180 Molson Coors Brewing Co. Class A 266 15,933 Molson Coors Brewing Co. Class B 68,183 4,088,934 Mondelez International, Inc. Class A 366,471 13,064,691 * Monster Beverage Corp. 19,500 1,305,720 * National Beverage Corp. 22,526 434,301 #* Natural Alternatives International, Inc. 2,465 14,050 Nu Skin Enterprises, Inc. Class A 24,814 2,158,818 * Nutraceutical International Corp. 6,531 162,753 # Oil-Dri Corp. of America 3,793 127,103 * Omega Protein Corp. 13,112 148,952 # Orchids Paper Products Co. 3,015 81,013 * Pantry, Inc. (The) 14,731 221,554 PepsiCo, Inc. 132,927 11,417,100 Philip Morris International, Inc. 76,123 6,503,188 * Pilgrim's Pride Corp. 77,033 1,683,941 * Post Holdings, Inc. 22,850 1,194,141 # Pricesmart, Inc. 15,543 1,492,750 Procter & Gamble Co. (The) 274,994 22,700,755 Reliv International, Inc. 2,118 4,681 * Revlon, Inc. Class A 18,061 544,359 Reynolds American, Inc. 39,700 2,240,271 * Rite Aid Corp. 267,434 1,952,268 Rocky Mountain Chocolate Factory, Inc. 4,490 53,655 Safeway, Inc. 95,306 3,246,122 # Sanderson Farms, Inc. 26,985 2,220,056 * Seaboard Corp. 346 843,548 * Seneca Foods Corp. Class A 5,987 170,031 T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ------------ Consumer Staples -- (Continued) * Seneca Foods Corp. Class B 283 $ 8,643 # Snyder's-Lance, Inc. 47,219 1,254,137 Spartan Stores, Inc. 23,083 497,208 Spectrum Brands Holdings, Inc. 34,470 2,648,330 #* Susser Holdings Corp. 15,292 1,183,295 Sysco Corp. 16,189 589,765 # Tootsie Roll Industries, Inc. 25,629 722,481 * TreeHouse Foods, Inc. 26,148 1,956,916 Tyson Foods, Inc. Class A 120,728 5,066,954 * United Natural Foods, Inc. 28,272 1,951,616 United-Guardian, Inc. 1,431 44,361 # Universal Corp. 14,346 782,861 #* USANA Health Sciences, Inc. 9,882 670,592 # Vector Group, Ltd. 34,299 730,569 Village Super Market, Inc. Class A 4,498 108,807 Wal-Mart Stores, Inc. 291,496 23,235,146 Walgreen Co. 131,162 8,905,900 WD-40 Co. 8,814 642,012 # Weis Markets, Inc. 17,134 789,706 * WhiteWave Foods Co. (The) Class A 61,832 1,712,128 Whole Foods Market, Inc. 43,218 2,147,935 ------------ Total Consumer Staples 278,297,895 ------------ Energy -- (11.2%) Adams Resources & Energy, Inc. 2,611 188,149 Alon USA Energy, Inc. 36,806 599,570 #* Alpha Natural Resources, Inc. 153,464 659,895 #* Amyris, Inc. 2,900 10,208 Anadarko Petroleum Corp. 112,874 11,176,784 Apache Corp. 82,445 7,156,226 #* Approach Resources, Inc. 20,858 432,804 * Atwood Oceanics, Inc. 44,773 2,218,950 Baker Hughes, Inc. 81,010 5,662,599 * Barnwell Industries, Inc. 1,657 5,095 #* Basic Energy Services, Inc. 29,515 779,786 * Bill Barrett Corp. 30,125 713,360 Bolt Technology Corp. 4,747 80,129 * Bonanza Creek Energy, Inc. 29,199 1,419,655 #* BPZ Resources, Inc. 78,116 210,913 Bristow Group, Inc. 24,557 1,885,978 #* C&J Energy Services, Inc. 36,581 1,099,625 Cabot Oil & Gas Corp. 111,368 4,374,535 #* Cal Dive International, Inc. 43,515 64,402 * Callon Petroleum Co. 27,570 253,093 * Cameron International Corp. 44,509 2,891,305 # CARBO Ceramics, Inc. 13,710 1,918,166 #* Carrizo Oil & Gas, Inc. 44,748 2,462,035 * Cheniere Energy, Inc. 39,587 2,234,686 Chesapeake Energy Corp. 274,586 7,894,348 Chevron Corp. 458,235 57,517,657 Cimarex Energy Co. 33,911 4,039,478 * Clayton Williams Energy, Inc. 8,913 1,287,750 T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ --------- ------------ Energy -- (Continued) #* Clean Energy Fuels Corp. 50,500 $ 446,925 * Cloud Peak Energy, Inc. 39,628 780,275 * Cobalt International Energy, Inc. 17,922 322,596 # Comstock Resources, Inc. 33,622 934,692 * Concho Resources, Inc. 24,523 3,199,025 ConocoPhillips 284,294 21,125,887 CONSOL Energy, Inc. 55,660 2,477,427 * Contango Oil & Gas Co. 12,181 585,175 #* Continental Resources, Inc. 3,452 478,171 Dawson Geophysical Co. 5,593 158,058 Delek US Holdings, Inc. 38,444 1,229,824 # Denbury Resources, Inc. 159,029 2,674,868 Devon Energy Corp. 79,797 5,585,790 # Diamond Offshore Drilling, Inc. 33,271 1,816,929 * Dresser-Rand Group, Inc. 34,300 2,073,092 * Dril-Quip, Inc. 20,370 2,304,254 #* Emerald Oil, Inc. 39,542 279,562 #* Endeavour International Corp. 20,038 68,931 Energen Corp. 19,342 1,506,935 # Energy XXI Bermuda, Ltd. 53,534 1,281,069 * ENGlobal Corp. 14,858 31,796 EnLink Midstream LLC 35,510 1,254,568 EOG Resources, Inc. 128,684 12,611,032 * EPL Oil & Gas, Inc. 27,531 1,077,563 EQT Corp. 15,391 1,677,465 * Era Group, Inc. 14,448 412,490 * Escalera Resources Co. 5,667 15,471 Evolution Petroleum Corp. 11,348 133,906 Exterran Holdings, Inc. 44,829 1,928,544 Exxon Mobil Corp. 1,219,337 124,872,302 #* FieldPoint Petroleum Corp. 3,800 20,976 * FMC Technologies, Inc. 19,828 1,124,248 #* Forbes Energy Services, Ltd. 815 3,374 #* Forest Oil Corp. 3,010 5,599 * Gastar Exploration, Inc. 65,052 431,295 #* Geospace Technologies Corp. 8,531 495,907 #* Goodrich Petroleum Corp. 5,238 131,736 Green Plains Renewable Energy, Inc. 20,071 600,123 * Gulf Coast Ultra Deep Royalty Trust 101,362 298,004 Gulf Island Fabrication, Inc. 9,119 182,927 Gulfmark Offshore, Inc. Class A 19,556 880,216 * Gulfport Energy Corp. 36,497 2,688,734 #* Halcon Resources Corp. 78,022 430,681 Halliburton Co. 68,975 4,350,253 #* Harvest Natural Resources, Inc. 26,317 118,690 * Helix Energy Solutions Group, Inc. 73,451 1,765,762 Helmerich & Payne, Inc. 47,022 5,108,940 #* Hercules Offshore, Inc. 103,682 463,459 Hess Corp. 67,481 6,016,606 * HKN, Inc. 132 8,251 HollyFrontier Corp. 105,180 5,531,416 #* Hornbeck Offshore Services, Inc. 24,379 1,010,022 T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Energy -- (Continued) * ION Geophysical Corp. 104,411 $ 459,408 * Key Energy Services, Inc. 108,235 1,086,679 Kinder Morgan, Inc. 96,514 3,152,147 Knightsbridge Tankers, Ltd. 16,860 201,477 * Kodiak Oil & Gas Corp. 180,759 2,297,447 * Kosmos Energy, Ltd. 1,798 19,634 #* Laredo Petroleum, Inc. 39,938 1,167,388 # LinnCo LLC 52,412 1,444,475 #* Magnum Hunter Resources Corp. 95,201 809,209 Marathon Oil Corp. 155,086 5,606,359 Marathon Petroleum Corp. 86,438 8,034,412 #* Matador Resources Co. 42,265 1,213,851 * Matrix Service Co. 18,951 586,913 #* McDermott International, Inc. 137,613 994,942 * Mitcham Industries, Inc. 7,579 104,590 Murphy Oil Corp. 85,117 5,398,971 Nabors Industries, Ltd. 208,158 5,312,192 National Oilwell Varco, Inc. 88,107 6,919,043 * Natural Gas Services Group, Inc. 8,446 259,208 * Newfield Exploration Co. 94,626 3,203,090 #* Newpark Resources, Inc. 62,100 747,684 Noble Corp. P.L.C. 108,224 3,334,381 Noble Energy, Inc. 82,164 5,897,732 #* Northern Oil and Gas, Inc. 39,922 615,997 #* Nuverra Environmental Solutions, Inc. 7,871 133,886 #* Oasis Petroleum, Inc. 45,453 2,114,019 Occidental Petroleum Corp. 187,825 17,984,244 Oceaneering International, Inc. 21,250 1,557,200 * Oil States International, Inc. 34,806 3,381,055 ONEOK, Inc. 87,909 5,557,607 Panhandle Oil and Gas, Inc. Class A 4,637 203,332 * Parker Drilling Co. 87,446 579,767 Patterson-UTI Energy, Inc. 100,324 3,263,540 * PDC Energy, Inc. 25,330 1,612,761 Peabody Energy Corp. 160,145 3,044,356 #* Penn Virginia Corp. 47,141 784,426 * PetroQuest Energy, Inc. 41,742 251,287 * PHI, Inc. Non-Voting 8,107 363,194 * PHI, Inc. Voting 212 8,968 Phillips 66 135,617 11,286,047 * Pioneer Energy Services Corp. 39,527 591,719 Pioneer Natural Resources Co. 26,405 5,103,294 #* PostRock Energy Corp. 450 617 * Pyramid Oil Co. 1,933 9,974 QEP Resources, Inc. 109,267 3,353,404 Range Resources Corp. 37,207 3,365,373 * Renewable Energy Group, Inc. 9,671 113,828 #* Rentech, Inc. 89,229 189,166 * REX American Resources Corp. 7,200 470,592 * Rex Energy Corp. 38,835 817,865 * RigNet, Inc. 1,465 68,503 * Rosetta Resources, Inc. 41,439 1,961,722 T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ------------ Energy -- (Continued) * Rowan Cos. P.L.C. Class A 87,137 $ 2,694,276 RPC, Inc. 108,670 2,415,734 #* SandRidge Energy, Inc. 341,369 2,341,791 Schlumberger, Ltd. 133,494 13,556,316 Scorpio Tankers, Inc. 45,878 413,361 #* SEACOR Holdings, Inc. 14,520 1,210,823 # SemGroup Corp. Class A 29,805 1,903,943 # Ship Finance International, Ltd. 56,229 991,317 SM Energy Co. 43,721 3,241,038 * Southwestern Energy Co. 115,241 5,517,739 Spectra Energy Corp. 36,389 1,445,007 * Steel Excel, Inc. 7,165 232,146 * Stone Energy Corp. 35,542 1,743,335 Superior Energy Services, Inc. 109,061 3,590,288 #* Swift Energy Co. 24,055 296,598 #* Synergy Resources Corp. 51,880 603,883 #* Synthesis Energy Systems, Inc. 19,454 33,655 Targa Resources Corp. 7,427 802,042 Teekay Corp. 49,426 2,773,293 * Tesco Corp. 26,906 538,120 Tesoro Corp. 90,159 5,075,050 * TETRA Technologies, Inc. 55,838 697,975 * TGC Industries, Inc. 12,632 63,918 Tidewater, Inc. 34,055 1,734,421 # Transocean, Ltd. 66,136 2,848,478 #* Triangle Petroleum Corp. 59,482 572,217 #* Ultra Petroleum Corp. 49,504 1,475,219 * Unit Corp. 33,742 2,225,285 #* Uranium Energy Corp. 8,045 8,608 * Vaalco Energy, Inc. 38,361 353,688 Valero Energy Corp. 171,420 9,800,081 # W&T Offshore, Inc. 52,972 1,017,062 * Warren Resources, Inc. 44,824 227,258 * Weatherford International, Ltd. 339,927 7,138,467 # Western Refining, Inc. 59,077 2,569,850 * Westmoreland Coal Co. 3,531 104,553 * Whiting Petroleum Corp. 52,127 3,842,802 * Willbros Group, Inc. 34,559 383,951 Williams Cos., Inc. (The) 44,890 1,893,011 # World Fuel Services Corp. 46,510 2,118,065 * WPX Energy, Inc. 138,785 2,953,345 * Zion Oil & Gas, Inc. 4,888 10,900 ------------ Total Energy 564,746,906 ------------ Financials -- (17.0%) 1st Source Corp. 16,813 495,815 1st United Bancorp, Inc. 14,998 109,785 Access National Corp. 2,539 37,450 ACE, Ltd. 64,934 6,644,047 * Affiliated Managers Group, Inc. 17,375 3,443,725 Aflac, Inc. 106,570 6,684,070 # Alexander & Baldwin, Inc. 29,277 1,092,325 T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Financials -- (Continued) * Alleghany Corp. 7,307 $ 2,981,110 Alliance Bancorp, Inc. of Pennsylvania 600 9,363 Allied World Assurance Co. Holdings AG 24,893 2,680,727 Allstate Corp. (The) 109,667 6,245,536 * Altisource Asset Management Corp. 743 726,840 #* Altisource Portfolio Solutions SA 7,433 770,876 * American Capital, Ltd. 216,897 3,251,286 # American Equity Investment Life Holding Co. 52,033 1,213,410 American Express Co. 101,212 8,848,965 American Financial Group, Inc. 68,646 4,010,986 * American Independence Corp. 75 820 American International Group, Inc. 316,145 16,796,784 # American National Bankshares, Inc. 3,215 68,512 American National Insurance Co. 10,370 1,165,692 * American River Bankshares 2,071 19,799 (o)* American Spectrum Realty, Inc. 450 756 Ameriprise Financial, Inc. 66,082 7,376,734 * Ameris Bancorp 15,044 319,986 AMERISAFE, Inc. 12,589 536,921 # AmeriServ Financial, Inc. 3,367 11,717 # Amtrust Financial Services, Inc. 51,416 1,988,257 Aon P.L.C. 47,566 4,037,402 * Arch Capital Group, Ltd. 57,133 3,274,864 Argo Group International Holdings, Ltd. 21,992 976,885 # Arrow Financial Corp. 7,916 198,137 Arthur J Gallagher & Co. 38,758 1,744,885 Aspen Insurance Holdings, Ltd. 46,525 2,129,914 Associated Banc-Corp 114,546 2,010,282 Assurant, Inc. 58,099 3,916,454 Assured Guaranty, Ltd. 130,351 3,116,692 * Asta Funding, Inc. 7,725 63,113 Astoria Financial Corp. 70,950 940,797 #* Atlantic Coast Financial Corp. 386 1,660 #* Atlanticus Holdings Corp. 12,895 31,335 Auburn National Bancorp., Inc. 757 18,028 #* AV Homes, Inc. 6,192 106,069 Axis Capital Holdings, Ltd. 65,306 2,987,749 Baldwin & Lyons, Inc. Class A 298 7,042 Baldwin & Lyons, Inc. Class B 6,095 158,531 Banc of California, Inc. 7,068 88,845 Bancfirst Corp. 10,199 593,684 * Bancorp, Inc. 25,866 409,200 # BancorpSouth, Inc. 67,104 1,567,549 Bank Mutual Corp. 29,001 174,586 Bank of America Corp. 2,305,089 34,899,047 Bank of Commerce Holdings 4,204 26,695 Bank of Hawaii Corp. 31,455 1,735,372 Bank of Kentucky Financial Corp. 1,229 42,413 Bank of New York Mellon Corp. (The) 244,851 8,293,103 Bank of the Ozarks, Inc. 24,984 1,496,542 BankFinancial Corp. 11,704 115,167 BankUnited, Inc. 70,311 2,319,560 T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Financials -- (Continued) Banner Corp. 13,951 $ 551,623 # Bar Harbor Bankshares 1,738 65,314 BB&T Corp. 151,028 5,637,875 BBCN Bancorp, Inc. 55,838 860,464 #* BBX Capital Corp. Class A 3,756 70,350 BCB Bancorp, Inc. 2,691 35,790 * Beneficial Mutual Bancorp, Inc. 49,649 647,423 * Berkshire Hathaway, Inc. Class B 103,179 13,294,614 Berkshire Hills Bancorp, Inc. 15,885 372,186 BGC Partners, Inc. Class A 174,769 1,253,094 BlackRock, Inc. 30,175 9,082,675 * BofI Holding, Inc. 9,544 769,342 # BOK Financial Corp. 41,136 2,691,117 Boston Private Financial Holdings, Inc. 54,787 685,385 Bridge Bancorp, Inc. 1,438 34,972 #* Bridge Capital Holdings 1,976 44,262 Brookline Bancorp, Inc. 50,470 458,268 Brown & Brown, Inc. 103,387 3,078,865 Bryn Mawr Bank Corp. 8,610 234,881 C&F Financial Corp. 353 11,031 Calamos Asset Management, Inc. Class A 13,731 167,244 # California First National Bancorp 1,859 27,569 # Camden National Corp. 5,283 201,652 Cape Bancorp, Inc. 1,253 13,344 * Capital Bank Financial Corp. Class A 1,021 24,351 # Capital City Bank Group, Inc. 9,989 138,847 Capital One Financial Corp. 121,877 9,006,710 Capital Southwest Corp. 7,820 274,482 Capitol Federal Financial, Inc. 105,789 1,273,700 # Cardinal Financial Corp. 21,461 360,545 * Carolina Bank Holdings, Inc. 900 8,658 # Cash America International, Inc. 19,401 844,914 Cathay General Bancorp 55,792 1,316,691 CBOE Holdings, Inc. 12,974 692,293 * CBRE Group, Inc. Class A 23,879 636,137 Center Bancorp, Inc. 10,030 185,655 Centerstate Banks, Inc. 17,638 193,489 Central Pacific Financial Corp. 10,528 197,611 Century Bancorp, Inc. Class A 1,308 43,818 Charles Schwab Corp. (The) 80,456 2,136,107 Chemical Financial Corp. 19,431 545,428 Chicopee Bancorp, Inc. 3,900 67,587 Chubb Corp. (The) 62,621 5,766,142 Cincinnati Financial Corp. 70,627 3,442,360 CIT Group, Inc. 87,478 3,765,928 Citigroup, Inc. 694,510 33,273,974 Citizens Community Bancorp, Inc. 1,100 8,833 Citizens Holding Co. 200 3,754 #* Citizens, Inc. 30,883 202,901 # City Holding Co. 10,680 459,133 # City National Corp. 37,948 2,753,886 CKX Lands, Inc. 39 596 T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Financials -- (Continued) Clifton Bancorp, Inc. 14,809 $ 171,636 CME Group, Inc. 68,158 4,797,642 CNA Financial Corp. 79,123 3,240,087 CNB Financial Corp. 5,633 93,057 CNO Financial Group, Inc. 150,916 2,603,301 CoBiz Financial, Inc. 26,544 266,502 Codorus Valley Bancorp, Inc. 539 11,508 # Cohen & Steers, Inc. 9,219 373,462 #* Colonial Financial Services, Inc. 721 8,407 * Colony Bankcorp, Inc. 327 2,018 Columbia Banking System, Inc. 34,354 852,666 Comerica, Inc. 87,157 4,204,454 Commerce Bancshares, Inc. 67,454 2,932,900 Commercial National Financial Corp. 923 19,198 # Community Bank System, Inc. 27,380 1,018,262 * Community Bankers Trust Corp. 700 2,884 Community Trust Bancorp, Inc. 10,746 396,205 # Consolidated-Tomoka Land Co. 2,770 109,498 * Consumer Portfolio Services, Inc. 8,379 58,485 * Cowen Group, Inc. Class A 83,302 342,371 Crawford & Co. Class A 15,180 146,487 # Crawford & Co. Class B 16,901 193,009 * Credit Acceptance Corp. 11,921 1,567,850 # Cullen/Frost Bankers, Inc. 42,390 3,239,020 # CVB Financial Corp. 71,868 1,039,211 #* DFC Global Corp. 27,468 256,002 # Diamond Hill Investment Group, Inc. 1,238 146,975 Dime Community Bancshares, Inc. 26,276 428,299 Discover Financial Services 122,509 6,848,253 Donegal Group, Inc. Class A 13,439 198,360 Donegal Group, Inc. Class B 1,947 42,016 * E*TRADE Financial Corp. 202,767 4,552,119 East West Bancorp, Inc. 98,614 3,403,169 * Eastern Virginia Bankshares, Inc. 889 6,001 Eaton Vance Corp. 15,711 566,696 #* eHealth, Inc. 13,257 555,336 EMC Insurance Group, Inc. 7,870 259,631 Employers Holdings, Inc. 25,610 521,163 #* Encore Capital Group, Inc. 18,113 782,844 Endurance Specialty Holdings, Ltd. 38,019 1,932,126 #* Enstar Group, Ltd. 9,740 1,257,434 # Enterprise Bancorp, Inc. 3,460 63,180 Enterprise Financial Services Corp. 10,250 183,167 Erie Indemnity Co. Class A 18,638 1,335,413 # ESB Financial Corp. 7,462 94,170 ESSA Bancorp, Inc. 9,762 101,427 Evans Bancorp, Inc. 807 18,218 Evercore Partners, Inc. Class A 22,315 1,192,290 Everest Re Group, Ltd. 24,621 3,890,857 * Ezcorp, Inc. Class A 34,570 360,565 #* Farmers Capital Bank Corp. 1,450 30,290 FBL Financial Group, Inc. Class A 19,223 859,460 T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Financials -- (Continued) Federal Agricultural Mortgage Corp. Class A 635 $ 17,478 Federal Agricultural Mortgage Corp. Class C 6,100 217,038 # Federated Investors, Inc. Class B 23,589 673,230 Federated National Holding Co. 5,775 112,208 # Fidelity National Financial, Inc. Class A 140,300 4,514,854 Fidelity Southern Corp. 4,488 59,286 Fifth Third Bancorp 332,750 6,857,977 Financial Institutions, Inc. 9,000 208,350 * First Acceptance Corp. 16,289 38,931 # First American Financial Corp. 70,958 1,887,483 First Bancorp 10,815 186,126 # First Bancorp, Inc. 3,162 50,371 * First BanCorp. 20,335 104,522 First Busey Corp. 58,980 324,390 First Business Financial Services, Inc. 1,140 51,539 * First Cash Financial Services, Inc. 17,272 842,355 First Citizens BancShares, Inc. Class A 5,557 1,249,714 First Commonwealth Financial Corp. 68,072 584,738 First Community Bancshares, Inc. 11,710 173,425 First Defiance Financial Corp. 5,122 138,396 * First Federal Bancshares of Arkansas, Inc. 99 878 First Financial Bancorp 40,700 658,933 # First Financial Bankshares, Inc. 21,113 1,246,723 First Financial Corp. 8,496 271,957 First Financial Holdings, Inc. 17,231 990,266 # First Financial Northwest, Inc. 11,880 121,176 #* First Financial Service Corp. 100 365 First Horizon National Corp. 173,396 1,992,320 First Interstate Bancsystem, Inc. 12,882 320,633 #* First Marblehead Corp. (The) 1,551 8,158 First Merchants Corp. 22,683 481,333 First Midwest Bancorp, Inc. 53,122 869,607 First Niagara Financial Group, Inc. 244,219 2,178,433 First Republic Bank 24,111 1,223,874 First South Bancorp, Inc. 4,040 32,441 * First United Corp. 1,100 9,086 Firstbank Corp. 1,136 20,028 FirstMerit Corp. 115,522 2,239,972 * Flagstar Bancorp, Inc. 23,065 405,944 Flushing Financial Corp. 20,605 396,028 FNB Corp. 110,464 1,374,172 * Forest City Enterprises, Inc. Class A 124,481 2,353,936 * Forest City Enterprises, Inc. Class B 4,120 77,868 * Forestar Group, Inc. 24,044 409,950 #* Fortegra Financial Corp. 203 1,466 Fox Chase Bancorp, Inc. 11,004 183,547 * Franklin Financial Corp. 1,410 28,144 Franklin Resources, Inc. 41,760 2,186,136 Fulton Financial Corp. 139,475 1,700,200 # FXCM, Inc. Class A 16,357 253,206 # Gain Capital Holdings, Inc. 18,826 190,143 # GAMCO Investors, Inc. Class A 4,294 326,043 T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Financials -- (Continued) * Genworth Financial, Inc. Class A 223,449 $ 3,988,565 # German American Bancorp, Inc. 7,495 195,170 GFI Group, Inc. 76,676 285,235 # Glacier Bancorp, Inc. 50,378 1,292,699 * Global Indemnity P.L.C. 10,235 274,298 Goldman Sachs Group, Inc. (The) 96,775 15,466,580 Great Southern Bancorp, Inc. 8,114 232,628 * Green Dot Corp. Class A 22,814 396,279 # Greenhill & Co., Inc. 9,862 494,579 * Greenlight Capital Re, Ltd. Class A 21,352 679,634 Guaranty Bancorp 1,008 12,691 #* Hallmark Financial Services, Inc. 10,784 90,586 Hampden Bancorp, Inc. 1,565 25,431 Hancock Holding Co. 57,308 1,932,999 Hanmi Financial Corp. 22,958 488,317 Hanover Insurance Group, Inc. (The) 30,986 1,811,132 Harleysville Savings Financial Corp. 1,326 22,409 * Harris & Harris Group, Inc. 17,939 64,401 Hartford Financial Services Group, Inc. (The) 207,987 7,460,494 Hawthorn Bancshares, Inc. 241 3,196 HCC Insurance Holdings, Inc. 70,243 3,226,963 # HCI Group, Inc. 8,272 319,961 Heartland Financial USA, Inc. 10,486 254,810 Heritage Commerce Corp. 14,694 119,315 # Heritage Financial Corp. 8,900 143,824 Heritage Financial Group, Inc. 782 15,053 HF Financial Corp. 761 10,426 HFF, Inc. Class A 22,355 760,070 * Hilltop Holdings, Inc. 58,405 1,304,768 # Hingham Institution for Savings 248 17,238 * HMN Financial, Inc. 212 2,362 #* Home Bancorp, Inc. 3,783 76,606 Home BancShares, Inc. 39,235 1,244,142 Home Federal Bancorp, Inc. 9,109 137,090 HopFed Bancorp, Inc. 1,664 18,936 Horace Mann Educators Corp. 24,083 724,176 Horizon Bancorp 1,417 28,326 * Howard Hughes Corp. (The) 27,641 3,946,029 Hudson City Bancorp, Inc. 285,251 2,841,100 Hudson Valley Holding Corp. 9,720 178,459 Huntington Bancshares, Inc. 359,754 3,295,347 Iberiabank Corp. 20,639 1,298,193 * ICG Group, Inc. 26,106 532,040 #* Imperial Holdings, Inc. 1,539 10,296 # Independence Holding Co. 6,304 82,330 # Independent Bank Corp. 15,440 573,133 Infinity Property & Casualty Corp. 7,323 469,917 Interactive Brokers Group, Inc. Class A 52,094 1,245,047 IntercontinentalExchange Group, Inc. 22,757 4,652,441 International Bancshares Corp. 46,277 1,062,520 #* Intervest Bancshares Corp. Class A 8,831 66,851 #* INTL. FCStone, Inc. 12,099 228,913 T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Financials -- (Continued) Invesco, Ltd. 173,396 $ 6,105,273 * Investment Technology Group, Inc. 19,534 403,182 Investors Bancorp, Inc. 90,852 2,428,474 * Investors Capital Holdings, Ltd. 1,190 8,467 # Investors Title Co. 675 47,763 # Janus Capital Group, Inc. 126,443 1,533,754 * Jefferson Bancshares, Inc. 200 1,570 JMP Group, Inc. 11,563 79,900 Jones Lang LaSalle, Inc. 28,960 3,356,174 JPMorgan Chase & Co. 899,243 50,339,623 * KCG Holdings, Inc. Class A 4,373 43,511 #* Kearny Financial Corp. 38,365 559,362 Kemper Corp. 39,371 1,551,611 Kennedy-Wilson Holdings, Inc. 46,271 1,010,559 # Kentucky First Federal Bancorp 1,549 13,306 KeyCorp 410,394 5,597,774 #* Ladenburg Thalmann Financial Services, Inc. 16,421 44,829 Lake Shore Bancorp, Inc. 125 1,548 Lakeland Bancorp, Inc. 19,241 200,876 Lakeland Financial Corp. 11,356 415,630 Landmark Bancorp, Inc. 1,274 24,614 Lazard, Ltd. Class A 1,636 76,974 # Legg Mason, Inc. 92,842 4,353,361 Leucadia National Corp. 202,517 5,168,234 # Life Partners Holdings, Inc. 6,612 18,051 Lincoln National Corp. 122,437 5,939,419 LNB Bancorp, Inc. 5,305 60,371 Loews Corp. 75,812 3,333,454 Louisiana Bancorp, Inc. 2,000 39,000 LPL Financial Holdings, Inc. 49,132 2,326,400 # M&T Bank Corp. 59,029 7,202,128 Macatawa Bank Corp. 17,866 87,007 # Maiden Holdings, Ltd. 50,364 594,295 MainSource Financial Group, Inc. 13,398 221,469 Manning & Napier, Inc. 2,274 37,794 * Markel Corp. 7,299 4,568,590 MarketAxess Holdings, Inc. 18,326 987,405 Marlin Business Services Corp. 8,715 149,637 Marsh & McLennan Cos., Inc. 49,464 2,439,070 #* Maui Land & Pineapple Co., Inc. 1,700 13,311 MB Financial, Inc. 39,378 1,056,906 * MBIA, Inc. 166,900 2,022,828 * MBT Financial Corp. 2,175 10,723 MCG Capital Corp. 48,844 164,116 McGraw Hill Financial, Inc. 12,448 920,281 # Meadowbrook Insurance Group, Inc. 23,313 130,553 # Medallion Financial Corp. 14,885 202,436 # Mercantile Bank Corp. 4,670 91,112 Merchants Bancshares, Inc. 2,632 76,512 Mercury General Corp. 38,157 1,826,194 #* Meridian Interstate Bancorp, Inc. 12,664 320,019 Meta Financial Group, Inc. 496 20,787 T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Financials -- (Continued) MetLife, Inc. 184,732 $9,670,720 * Metro Bancorp, Inc. 8,480 173,162 * MGIC Investment Corp. 111,894 962,288 MicroFinancial, Inc. 1,885 14,835 # MidSouth Bancorp, Inc. 3,894 65,108 # MidWestOne Financial Group, Inc. 2,909 71,649 Montpelier Re Holdings, Ltd. 40,003 1,223,292 Moody's Corp. 28,686 2,251,851 Morgan Stanley 291,710 9,022,590 * MSB Financial Corp. 687 5,602 * MSCI, Inc. 60,460 2,451,048 MutualFirst Financial, Inc. 1,660 31,208 NASDAQ OMX Group, Inc. (The) 75,383 2,781,633 # National Interstate Corp. 9,752 273,251 National Penn Bancshares, Inc. 104,628 1,022,216 National Western Life Insurance Co. Class A 577 134,585 * Navigators Group, Inc. (The) 12,200 695,034 NBT Bancorp, Inc. 29,666 671,935 Nelnet, Inc. Class A 24,222 1,023,622 New Hampshire Thrift Bancshares, Inc. 2,140 31,565 # New York Community Bancorp, Inc. 184,049 2,836,195 * NewBridge Bancorp 7,017 53,961 * NewStar Financial, Inc. 30,792 351,645 Nicholas Financial, Inc. 95 1,493 * North Valley Bancorp 67 1,514 Northeast Community Bancorp, Inc. 5,046 36,735 Northern Trust Corp. 63,758 3,841,419 Northfield Bancorp, Inc. 38,419 498,294 Northrim BanCorp, Inc. 2,509 60,191 Northwest Bancshares, Inc. 65,549 871,146 Norwood Financial Corp. 71 2,048 # Ocean Shore Holding Co. 3,233 48,463 OceanFirst Financial Corp. 11,544 187,244 * Ocwen Financial Corp. 70,820 2,684,078 OFG Bancorp 32,525 554,876 Ohio Valley Banc Corp. 1,078 23,446 # Old Line Bancshares, Inc. 98 1,663 Old National Bancorp 72,110 1,018,193 Old Republic International Corp. 177,794 2,944,269 * Old Second Bancorp, Inc. 3,572 17,003 OmniAmerican Bancorp, Inc. 7,163 178,072 OneBeacon Insurance Group, Ltd. Class A 17,121 264,348 Oppenheimer Holdings, Inc. Class A 5,904 150,316 Oritani Financial Corp. 34,723 514,942 Pacific Continental Corp. 8,942 117,856 * Pacific Mercantile Bancorp 4,434 29,043 PacWest Bancorp 83,360 3,281,883 Park National Corp. 9,540 691,841 Park Sterling Corp. 11,737 76,643 PartnerRe, Ltd. 37,587 3,961,670 Peapack Gladstone Financial Corp. 3,780 71,858 # Penns Woods Bancorp, Inc. 2,417 106,348 T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Financials -- (Continued) # People's United Financial, Inc. 223,318 $3,188,981 Peoples Bancorp of North Carolina, Inc. 126 2,167 Peoples Bancorp, Inc. 6,533 170,315 #* PHH Corp. 35,479 843,336 #* Phoenix Cos., Inc. (The) 3,177 139,852 * PICO Holdings, Inc. 15,600 362,700 Pinnacle Financial Partners, Inc. 24,158 835,142 * Piper Jaffray Cos. 10,445 458,118 Platinum Underwriters Holdings, Ltd. 22,758 1,427,154 PNC Financial Services Group, Inc. (The) 105,288 8,848,403 * Popular, Inc. 68,790 2,125,611 #* Porter Bancorp, Inc. 3,191 3,446 #* Portfolio Recovery Associates, Inc. 34,350 1,963,102 * Preferred Bank 1,871 40,133 Premier Financial Bancorp, Inc. 1,908 27,284 Primerica, Inc. 40,283 1,848,587 Primus Guaranty, Ltd. 7,320 58,853 Principal Financial Group, Inc. 133,424 6,249,580 PrivateBancorp, Inc. 52,930 1,459,280 ProAssurance Corp. 41,990 1,907,186 Progressive Corp. (The) 112,000 2,716,000 Prosperity Bancshares, Inc. 42,573 2,511,807 Protective Life Corp. 54,487 2,787,010 Provident Financial Holdings, Inc. 4,700 66,129 Provident Financial Services, Inc. 38,050 661,309 * Prudential Bancorp, Inc. 1,572 16,993 Prudential Financial, Inc. 98,538 7,950,046 Pulaski Financial Corp. 4,605 47,570 # Pzena Investment Management, Inc. Class A 3,610 39,241 QC Holdings, Inc. 6,412 13,273 QCR Holdings, Inc. 797 13,780 Radian Group, Inc. 80,134 1,120,273 Raymond James Financial, Inc. 55,106 2,738,768 * Regional Management Corp. 1,031 15,816 Regions Financial Corp. 622,936 6,316,571 Reinsurance Group of America, Inc. 49,681 3,811,029 # RenaissanceRe Holdings, Ltd. 32,375 3,276,674 Renasant Corp. 16,916 460,454 Republic Bancorp, Inc. Class A 11,604 278,612 * Republic First Bancorp, Inc. 8,744 38,648 Resource America, Inc. Class A 10,164 86,496 * Riverview Bancorp, Inc. 5,533 19,255 # RLI Corp. 30,442 1,310,833 * Royal Bancshares of Pennsylvania, Inc. Class A 2,289 5,974 S&T Bancorp, Inc. 20,660 480,552 #* Safeguard Scientifics, Inc. 14,319 300,842 Safety Insurance Group, Inc. 10,156 545,479 # Salisbury Bancorp, Inc. 300 9,046 Sandy Spring Bancorp, Inc. 17,405 418,590 # SB Financial Group, Inc. 600 4,740 * Seacoast Banking Corp. of Florida 6,302 66,801 SEI Investments Co. 31,179 1,009,576 T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Financials -- (Continued) Selective Insurance Group, Inc. 38,238 $ 877,180 * Shore Bancshares, Inc. 1,418 13,457 SI Financial Group, Inc. 4,396 51,873 Sierra Bancorp 6,986 109,051 * Signature Bank 25,983 3,087,300 Simmons First National Corp. Class A 10,999 397,724 Simplicity Bancorp, Inc. 4,666 80,908 SLM Corp. 140,466 3,616,999 * Southcoast Financial Corp. 1,309 9,412 (o) Southern Community Financial Corp. 4,210 926 * Southern First Bancshares, Inc. 18 246 Southern Missouri Bancorp, Inc. 65 2,294 # Southern National Bancorp of Virginia, Inc. 417 4,308 # Southside Bancshares, Inc. 12,877 355,153 Southwest Bancorp, Inc. 12,278 205,043 #* St Joe Co. (The) 51,029 910,868 StanCorp Financial Group, Inc. 30,591 1,869,110 State Auto Financial Corp. 23,350 477,741 State Street Corp. 107,296 6,927,030 Sterling Bancorp 49,484 591,829 Stewart Information Services Corp. 15,166 462,563 * Stifel Financial Corp. 44,332 2,073,408 Stock Yards Bancorp Inc 9,065 267,236 #* Stratus Properties, Inc. 271 4,499 * Suffolk Bancorp 7,798 171,010 Summit State Bank 361 4,188 #* Sun Bancorp, Inc. 21,767 82,715 SunTrust Banks, Inc. 118,016 4,515,292 Susquehanna Bancshares, Inc. 134,097 1,389,245 * SVB Financial Group 31,590 3,370,337 * SWS Group, Inc. 14,900 110,409 Symetra Financial Corp. 71,436 1,475,868 Synovus Financial Corp. 700,834 2,249,677 T Rowe Price Group, Inc. 11,700 960,921 * Taylor Capital Group, Inc. 17,856 380,154 TCF Financial Corp. 118,607 1,862,130 # TD Ameritrade Holding Corp. 99,756 3,182,216 Teche Holding Co. 651 47,458 * Tejon Ranch Co. 13,685 424,372 Territorial Bancorp, Inc. 7,203 147,373 # Teton Advisors, Inc. Class A 29 1,326 #* Texas Capital Bancshares, Inc. 28,176 1,583,209 TF Financial Corp. 840 26,342 * TFS Financial Corp. 140,255 1,878,014 Timberland Bancorp, Inc. 899 9,574 Tompkins Financial Corp. 8,371 394,609 # Torchmark Corp. 40,317 3,213,265 # TowneBank 18,870 291,164 #* Transcontinental Realty Investors, Inc. 860 12,298 Travelers Cos., Inc. (The) 100,570 9,109,631 * Tree.com, Inc. 7,617 221,502 # Trico Bancshares 10,187 247,035 T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Financials -- (Continued) TrustCo Bank Corp. 66,045 $ 436,557 Trustmark Corp. 48,324 1,105,170 U.S. Bancorp 381,670 15,564,503 # UMB Financial Corp. 27,606 1,620,748 Umpqua Holdings Corp. 77,381 1,286,846 Union Bankshares Corp. 28,735 735,329 Union Bankshares, Inc. 337 7,936 # United Bancshares, Inc. 606 9,278 United Bankshares, Inc. 44,813 1,310,780 * United Community Banks, Inc. 30,939 499,665 #* United Community Financial Corp. 1,551 5,165 United Financial Bancorp, Inc.(91030T109) 12,423 219,142 United Financial Bancorp, Inc.(910304104) 18,020 237,143 United Fire Group, Inc. 16,201 450,712 * United Security Bancshares 1,981 11,171 Unity Bancorp, Inc. 2,239 19,143 # Universal Insurance Holdings, Inc. 35,794 523,666 Univest Corp. of Pennsylvania 11,004 216,889 Unum Group 125,496 4,168,977 Validus Holdings, Ltd. 75,558 2,800,935 # Valley National Bancorp 131,681 1,319,444 * Vantagesouth Bancshares, Inc. 1,661 10,199 ViewPoint Financial Group, Inc. 34,190 891,333 * Virtus Investment Partners, Inc. 4,616 853,914 Waddell & Reed Financial, Inc. Class A 15,969 1,077,109 * Walker & Dunlop, Inc. 7,837 122,884 Washington Banking Co. 9,453 162,592 Washington Federal, Inc. 73,583 1,587,921 Washington Trust Bancorp, Inc. 10,829 370,352 Waterstone Financial, Inc. 12,495 130,073 Wayne Savings Bancshares, Inc. 243 2,824 Webster Financial Corp. 64,752 1,951,625 Wells Fargo & Co. 1,199,886 59,562,341 WesBanco, Inc. 18,711 565,821 # West Bancorporation, Inc. 9,721 141,052 # Westamerica Bancorporation 19,269 979,251 * Western Alliance Bancorp 63,101 1,455,740 Westfield Financial, Inc. 18,225 124,841 Westwood Holdings Group, Inc. 2,604 151,475 Willis Group Holdings P.L.C. 35,900 1,471,541 Wilshire Bancorp, Inc. 61,639 616,390 Wintrust Financial Corp. 28,441 1,274,726 #* WisdomTree Investments, Inc. 81,445 919,514 #* World Acceptance Corp. 10,120 734,712 WR Berkley Corp. 60,320 2,668,557 WSFS Financial Corp. 1,362 92,098 WVS Financial Corp. 757 9,027 XL Group P.L.C. 138,187 4,332,162 * Yadkin Financial Corp. 2,370 45,385 Zions Bancorp. 129,501 3,745,169 T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ------------ Financials -- (Continued) * ZipRealty, Inc. 9,538 $ 31,666 ------------ Total Financials 851,221,258 ------------ Health Care -- (9.9%) #* Abaxis, Inc. 8,090 328,535 Abbott Laboratories 188,846 7,315,894 AbbVie, Inc. 79,688 4,150,151 #* Acadia Healthcare Co., Inc. 16,804 706,104 #* Accretive Health, Inc. 4,574 36,821 #* Accuray, Inc. 47,276 397,118 * Acorda Therapeutics, Inc. 22,007 780,148 * Actavis P.L.C. 46,094 9,418,387 * Adcare Health Systems, Inc. 2,885 11,828 * Addus HomeCare Corp. 7,645 165,285 Aetna, Inc. 103,394 7,387,501 #* Affymax, Inc. 21,288 11,496 #* Affymetrix, Inc. 51,400 381,902 Agilent Technologies, Inc. 40,144 2,169,382 #* Air Methods Corp. 39,748 2,212,771 #* Akorn, Inc. 32,479 819,120 #* Albany Molecular Research, Inc. 19,802 318,020 #* Alere, Inc. 56,574 1,889,572 * Alexion Pharmaceuticals, Inc. 12,000 1,898,400 * Align Technology, Inc. 36,980 1,863,422 * Alkermes P.L.C. 28,447 1,315,958 Allergan, Inc. 15,701 2,603,854 * Alliance HealthCare Services, Inc. 2,580 73,427 * Allied Healthcare Products, Inc. 500 1,080 * Allscripts Healthcare Solutions, Inc. 129,109 1,965,039 * Almost Family, Inc. 5,870 126,029 * Alnylam Pharmaceuticals, Inc. 15,940 789,508 #* Alphatec Holdings, Inc. 36,305 49,012 #* AMAG Pharmaceuticals, Inc. 11,068 202,102 #* Amedisys, Inc. 23,177 315,903 AmerisourceBergen Corp. 46,200 3,011,316 Amgen, Inc. 85,813 9,589,603 * AMN Healthcare Services, Inc. 31,691 395,504 * Amsurg Corp. 21,900 948,489 Analogic Corp. 8,222 617,308 * AngioDynamics, Inc. 16,432 220,846 * Anika Therapeutics, Inc. 9,903 423,254 #* Arqule, Inc. 10,910 17,674 * ArthroCare Corp. 20,359 988,022 #* athenahealth, Inc. 2,911 359,916 * AtriCure, Inc. 3,000 46,200 Atrion Corp. 1,410 406,545 #* Auxilium Pharmaceuticals, Inc. 35,141 791,024 #* AVEO Pharmaceuticals, Inc. 6,456 7,941 #* Baxano Surgical, Inc. 11,970 10,175 Baxter International, Inc. 23,935 1,742,229 Becton Dickinson and Co. 12,012 1,357,716 * Bio-Rad Laboratories, Inc. Class A 14,801 1,823,631 T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Health Care -- (Continued) * Bio-Rad Laboratories, Inc. Class B 630 $ 81,059 #* Bio-Reference Labs, Inc. 15,232 386,893 * Biogen Idec, Inc. 16,395 4,707,332 * BioMarin Pharmaceutical, Inc. 15,781 918,928 #* BioScrip, Inc. 46,935 324,790 * Biospecifics Technologies Corp. 1,000 23,730 * Biota Pharmaceuticals, Inc. 1,431 5,280 * BioTelemetry, Inc. 16,060 127,516 * Boston Scientific Corp. 521,585 6,577,187 #* Bovie Medical Corp. 6,717 26,532 Bristol-Myers Squibb Co. 143,332 7,179,500 #* Brookdale Senior Living, Inc. 75,024 2,388,764 * Bruker Corp. 20,164 416,588 #* BSD Medical Corp. 1,100 1,221 * Cambrex Corp. 21,555 441,662 Cantel Medical Corp. 27,844 923,307 #* Capital Senior Living Corp. 18,189 449,814 Cardinal Health, Inc. 31,700 2,203,467 * CareFusion Corp. 96,862 3,783,430 #* CAS Medical Systems, Inc. 415 946 * Celgene Corp. 20,854 3,065,747 #* Celldex Therapeutics, Inc. 37,920 568,800 * Centene Corp. 30,879 2,050,366 #* Cepheid, Inc. 10,300 447,844 * Cerner Corp. 28,400 1,456,920 * Charles River Laboratories International, Inc. 29,465 1,582,860 # Chemed Corp. 13,161 1,095,916 #* Chindex International, Inc. 4,875 116,171 Cigna Corp. 70,425 5,636,817 * Community Health Systems, Inc. 72,816 2,758,998 Computer Programs & Systems, Inc. 5,299 334,526 CONMED Corp. 17,455 808,690 Cooper Cos., Inc. (The) 30,523 4,026,289 * Corvel Corp. 13,298 605,591 * Covance, Inc. 30,579 2,699,514 Covidien P.L.C. 44,304 3,156,660 CR Bard, Inc. 4,700 645,451 * Cross Country Healthcare, Inc. 21,341 151,308 CryoLife, Inc. 17,137 155,604 * Cubist Pharmaceuticals, Inc. 38,122 2,670,827 #* Cumberland Pharmaceuticals, Inc. 12,297 54,722 * Cutera, Inc. 8,996 92,749 #* Cyberonics, Inc. 8,655 512,030 * Cynosure, Inc. Class A 14,888 365,352 * DaVita HealthCare Partners, Inc. 97,946 6,787,658 Daxor Corp. 1,894 15,739 DENTSPLY International, Inc. 35,485 1,583,696 * Depomed, Inc. 9,997 140,058 Digirad Corp. 8,621 27,415 #* Durect Corp. 2,398 3,117 #* Edwards Lifesciences Corp. 10,600 863,582 Eli Lilly & Co. 48,746 2,880,889 T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Health Care -- (Continued) #* Emergent Biosolutions, Inc. 24,183 $ 637,464 * Emeritus Corp. 27,130 809,288 * Endo International P.L.C. 70,799 4,456,443 Ensign Group, Inc. (The) 15,555 661,087 * Enzo Biochem, Inc. 22,936 96,331 # Enzon Pharmaceuticals, Inc. 28,575 25,435 * Exactech, Inc. 8,140 180,871 * ExamWorks Group, Inc. 18,219 670,459 * Express Scripts Holding Co. 163,258 10,869,718 * Five Star Quality Care, Inc. 31,330 151,324 * Forest Laboratories, Inc. 76,015 6,986,539 #* Furiex Pharmaceuticals, Inc. 5,764 595,825 * Gentiva Health Services, Inc. 20,482 154,229 * Gilead Sciences, Inc. 92,268 7,242,115 * Globus Medical, Inc. Class A 15,164 370,305 * Greatbatch, Inc. 14,728 677,930 #* GTx, Inc. 8,578 13,210 * Haemonetics Corp. 37,242 1,130,667 * Hanger, Inc. 22,861 792,591 #* Harvard Apparatus Regenerative Technology, Inc. 4,721 40,837 #* Harvard Bioscience, Inc. 18,886 79,699 * HCA Holdings, Inc. 15,818 822,536 * Health Net, Inc. 56,130 1,926,943 HealthSouth Corp. 27,915 966,976 * HealthStream, Inc. 12,289 278,346 #* Healthways, Inc. 24,352 438,336 #* Henry Schein, Inc. 27,023 3,086,837 Hill-Rom Holdings, Inc. 42,471 1,586,717 #* HMS Holdings Corp. 7,613 123,102 * Hologic, Inc. 109,285 2,293,346 #* Horizon Pharma, Inc. 1,510 21,412 * Hospira, Inc. 48,274 2,210,949 Humana, Inc. 63,837 7,006,111 * ICU Medical, Inc. 10,064 561,370 #* Idera Pharmaceuticals, Inc. 12,551 35,645 #* IDEXX Laboratories, Inc. 8,700 1,100,028 #* Illumina, Inc. 8,304 1,128,098 * Impax Laboratories, Inc. 48,223 1,261,031 * Incyte Corp., Ltd. 40,400 1,961,824 #* Infinity Pharmaceuticals, Inc. 11,550 112,843 #* Insys Therapeutics, Inc. 1,441 59,167 * Integra LifeSciences Holdings Corp. 18,585 847,104 * Intuitive Surgical, Inc. 2,000 723,400 Invacare Corp. 22,030 348,074 #* IPC The Hospitalist Co., Inc. 11,809 478,264 * Iridex Corp. 1,074 8,946 #* Isis Pharmaceuticals, Inc. 351 9,340 * Jazz Pharmaceuticals P.L.C. 22,546 3,041,455 Johnson & Johnson 258,804 26,214,257 Kewaunee Scientific Corp. 674 11,289 Kindred Healthcare, Inc. 39,834 999,833 * Laboratory Corp. of America Holdings 21,084 2,080,991 T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Health Care -- (Continued) Landauer, Inc. 2,642 $ 114,240 * Lannett Co., Inc. 16,948 585,214 * LCA-Vision, Inc. 9,225 49,446 LeMaitre Vascular, Inc. 9,392 77,108 #* LHC Group, Inc. 11,292 234,648 * LifePoint Hospitals, Inc. 32,623 1,824,278 #* Ligand Pharmaceuticals, Inc. Class B 3,278 207,071 #* Luminex Corp. 22,722 436,490 * Magellan Health Services, Inc. 21,872 1,262,452 #* Mallinckrodt P.L.C. 19,215 1,368,684 #* Masimo Corp. 28,459 761,563 (o)* Maxygen, Inc. 19,082 572 McKesson Corp. 22,964 3,885,279 * MedAssets, Inc. 44,267 1,010,616 (o)* MedCath Corp. 9,997 19,994 * Medical Action Industries, Inc. 9,533 61,107 #* Medicines Co. (The) 43,337 1,152,764 * MediciNova, Inc. 4,504 8,468 * Medidata Solutions, Inc. 11,794 428,240 #* Medivation, Inc. 14,686 884,244 * MEDNAX, Inc. 68,640 4,066,920 Medtronic, Inc. 93,790 5,516,728 Merck & Co., Inc. 572,640 33,533,798 #* Merge Healthcare, Inc. 8,808 20,082 # Meridian Bioscience, Inc. 4,579 91,443 * Merit Medical Systems, Inc. 29,445 378,957 * Mettler-Toledo International, Inc. 2,600 606,112 * Misonix, Inc. 434 2,604 * Molina Healthcare, Inc. 31,992 1,196,501 * Momenta Pharmaceuticals, Inc. 36,572 417,652 * MWI Veterinary Supply, Inc. 6,659 1,043,066 * Mylan, Inc. 135,096 6,860,175 #* Myriad Genetics, Inc. 57,031 2,407,279 # National Healthcare Corp. 8,490 464,658 * National Research Corp. Class A 8,340 131,438 #* National Research Corp. Class B 1,390 60,993 * Natus Medical, Inc. 21,699 538,786 * Neogen Corp. 14,314 597,967 * NPS Pharmaceuticals, Inc. 11,849 315,420 * NuVasive, Inc. 31,805 1,072,147 Omnicare, Inc. 73,936 4,382,187 * Omnicell, Inc. 24,365 645,185 #* OncoGenex Pharmaceutical, Inc. 900 3,492 #* Opko Health, Inc. 39,780 328,981 * OraSure Technologies, Inc. 26,256 171,977 * Orthofix International NV 11,982 361,856 #* Osiris Therapeutics, Inc. 213 3,031 # Owens & Minor, Inc. 45,809 1,536,434 #* Pacific Biosciences of California, Inc. 18,247 80,652 #* Pain Therapeutics, Inc. 21,575 122,762 * PAREXEL International Corp. 39,643 1,797,810 # Patterson Cos., Inc. 58,491 2,380,584 T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Health Care -- (Continued) * PDI, Inc. 8,907 $ 42,041 # PDL BioPharma, Inc. 61,804 524,716 PerkinElmer, Inc. 79,819 3,350,003 #* Pernix Therapeutics Holdings 733 3,526 Perrigo Co. P.L.C. 13,081 1,894,914 Pfizer, Inc. 1,496,557 46,812,303 * PharMerica Corp. 21,494 584,422 #* PhotoMedex, Inc. 1,599 24,161 # Pozen, Inc. 19,179 160,336 * Prestige Brands Holdings, Inc. 37,083 1,243,022 #* Progenics Pharmaceuticals, Inc. 40,462 142,831 #* ProPhase Labs, Inc. 2,300 4,554 * Providence Service Corp. (The) 9,476 384,820 #* pSivida Corp. 8,193 29,823 # Quality Systems, Inc. 33,435 493,835 # Quest Diagnostics, Inc. 36,218 2,025,673 # Questcor Pharmaceuticals, Inc. 23,700 1,947,666 * Quidel Corp. 21,044 451,394 * RadNet, Inc. 10,798 53,666 * Regeneron Pharmaceuticals, Inc. 13,800 4,097,082 #* Repligen Corp. 22,589 358,036 # ResMed, Inc. 48,888 2,437,067 * Rigel Pharmaceuticals, Inc. 42,890 137,248 * RTI Surgical, Inc. 36,333 156,232 #* Sagent Pharmaceuticals, Inc. 10,885 225,211 #* Salix Pharmaceuticals, Ltd. 18,332 2,016,520 #* Sangamo Biosciences, Inc. 10,337 143,064 * Sciclone Pharmaceuticals, Inc. 36,986 176,793 #* Seattle Genetics, Inc. 19,300 742,664 Select Medical Holdings Corp. 83,479 1,165,367 * Sirona Dental Systems, Inc. 29,087 2,187,924 #* Skilled Healthcare Group, Inc. Class A 15,517 80,068 Span-America Medical Systems, Inc. 1,468 30,608 * Special Diversified Opportunities, Inc. 5,707 6,734 * Spectranetics Corp. 19,200 408,192 #* Spectrum Pharmaceuticals, Inc. 36,097 247,986 St Jude Medical, Inc. 73,363 4,656,350 * Staar Surgical Co. 10,301 175,220 * Stereotaxis, Inc. 260 1,006 STERIS Corp. 36,289 1,743,686 Stryker Corp. 22,435 1,744,321 #* Sucampo Pharmaceuticals, Inc. Class A 7,118 49,185 * SurModics, Inc. 11,126 242,102 * Symmetry Medical, Inc. 23,856 197,051 #* Targacept, Inc. 10,016 44,471 * Team Health Holdings, Inc. 15,305 741,986 Techne Corp. 4,502 402,074 # Teleflex, Inc. 27,140 2,770,723 #* Tenet Healthcare Corp. 68,727 3,098,213 #* Theravance, Inc. 5,192 139,769 Thermo Fisher Scientific, Inc. 80,154 9,137,556 * Thoratec Corp. 40,232 1,318,805 T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ------------ Health Care -- (Continued) * Tornier NV 8,248 $ 139,969 * Transcept Pharmaceuticals, Inc. 9,491 27,998 * Triple-S Management Corp. Class B 16,186 242,466 * United Therapeutics Corp. 27,117 2,711,971 UnitedHealth Group, Inc. 220,408 16,539,416 Universal American Corp. 57,129 409,615 Universal Health Services, Inc. Class B 53,642 4,387,379 US Physical Therapy, Inc. 8,202 253,032 # Utah Medical Products, Inc. 2,338 118,747 * Varian Medical Systems, Inc. 7,597 604,341 * Vascular Solutions, Inc. 10,690 234,218 * VCA Antech, Inc. 62,462 1,913,211 * Vertex Pharmaceuticals, Inc. 13,281 899,124 #* Vical, Inc. 7,615 8,605 #* Volcano Corp. 11,175 196,233 * Waters Corp. 7,000 689,780 * WellCare Health Plans, Inc. 30,440 2,053,787 WellPoint, Inc. 83,721 8,429,030 West Pharmaceutical Services, Inc. 44,772 1,942,209 * Wright Medical Group, Inc. 31,608 864,479 #* XenoPort, Inc. 9,539 38,728 #* Zalicus, Inc. 206 220 Zimmer Holdings, Inc. 54,916 5,315,869 Zoetis, Inc. 386,123 11,684,082 ------------ Total Health Care 495,645,635 ------------ Industrials -- (12.8%) 3M Co. 49,342 6,862,979 # AAON, Inc. 23,691 671,640 AAR Corp. 26,981 698,808 ABM Industries, Inc. 38,618 1,046,162 # Acacia Research Corp. 30,969 496,743 * ACCO Brands Corp. 53,691 329,126 #* Accuride Corp. 4,400 24,816 Aceto Corp. 20,102 439,832 Acme United Corp. 700 11,781 #* Acorn Energy, Inc. 7,525 17,458 Actuant Corp. Class A 50,752 1,718,463 Acuity Brands, Inc. 20,533 2,557,796 #* Adept Technology, Inc. 5,898 70,540 # ADT Corp. (The) 52,218 1,579,072 #* Advisory Board Co. (The) 11,167 639,422 * AECOM Technology Corp. 73,717 2,389,905 #* Aegion Corp. 27,957 712,624 * Aerovironment, Inc. 16,340 551,802 AGCO Corp. 59,739 3,327,462 * Air Transport Services Group, Inc. 40,475 316,919 Alamo Group, Inc. 8,210 436,115 Alaska Air Group, Inc. 48,438 4,557,047 Albany International Corp. Class A 19,909 716,326 Allegiant Travel Co. 12,938 1,519,568 Allegion P.L.C. 21,466 1,059,347 T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Industrials -- (Continued) # Alliant Techsystems, Inc. 22,859 $3,296,725 (o) Allied Defense Group, Inc. 2,821 226 Allied Motion Technologies, Inc. 3,866 43,840 Allison Transmission Holdings, Inc. 59,303 1,769,602 Altra Industrial Motion Corp. 18,847 643,814 AMERCO 12,397 3,100,614 #* Ameresco, Inc. Class A 16,123 103,348 * American Airlines Group, Inc. 69,511 2,437,751 # American Railcar Industries, Inc. 15,398 1,069,237 American Science & Engineering, Inc. 5,489 368,861 #* American Superconductor Corp. 2,515 3,219 * American Woodmark Corp. 10,604 318,226 AMETEK, Inc. 34,744 1,831,704 * AMREP Corp. 2,552 13,908 AO Smith Corp. 49,842 2,330,612 # Apogee Enterprises, Inc. 21,117 670,887 Applied Industrial Technologies, Inc. 30,229 1,448,574 * ARC Document Solutions, Inc. 32,499 207,994 ArcBest Corp. 18,043 711,255 Argan, Inc. 11,101 297,174 * Armstrong World Industries, Inc. 34,300 1,802,808 #* Arotech Corp. 3,575 12,405 Astec Industries, Inc. 15,187 606,721 * Astronics Corp. 7,969 455,189 * Astronics Corp. Class B 1,529 87,000 #* Atlas Air Worldwide Holdings, Inc. 18,103 633,424 * Avis Budget Group, Inc. 89,464 4,704,912 # AZZ, Inc. 17,593 763,888 * B/E Aerospace, Inc. 44,617 3,916,034 Babcock & Wilcox Co. (The) 37,883 1,317,950 Baltic Trading, Ltd. 10,262 61,469 Barnes Group, Inc. 35,773 1,377,976 Barrett Business Services, Inc. 5,822 293,487 * Beacon Roofing Supply, Inc. 33,648 1,197,196 * Blount International, Inc. 55,508 620,024 #* BlueLinx Holdings, Inc. 24,060 31,519 Boeing Co. (The) 39,413 5,085,065 Brady Corp. Class A 32,230 831,212 * Breeze-Eastern Corp. 3,679 36,422 # Briggs & Stratton Corp. 33,003 705,274 Brink's Co. (The) 38,894 989,463 #* Builders FirstSource, Inc. 27,781 218,081 * CAI International, Inc. 14,029 305,131 Carlisle Cos., Inc. 36,052 2,965,277 * Casella Waste Systems, Inc. Class A 16,083 82,023 Caterpillar, Inc. 94,581 9,968,837 #* CBIZ, Inc. 35,271 302,272 CDI Corp. 12,053 184,652 Ceco Environmental Corp. 12,718 202,089 Celadon Group, Inc. 16,017 368,551 # CH Robinson Worldwide, Inc. 7,700 453,530 #* Chart Industries, Inc. 18,319 1,249,722 T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Industrials -- (Continued) Chicago Bridge & Iron Co. NV 10,589 $ 847,861 Cintas Corp. 48,881 2,880,557 CIRCOR International, Inc. 12,463 1,012,120 # CLARCOR, Inc. 27,008 1,559,982 #* Clean Harbors, Inc. 25,998 1,559,880 #* Colfax Corp. 52,403 3,771,968 * Columbus McKinnon Corp. 13,765 364,635 Comfort Systems USA, Inc. 26,506 397,590 #* Command Security Corp. 800 1,580 #* Commercial Vehicle Group, Inc. 6,508 63,193 # Compx International, Inc. 294 2,705 Con-way, Inc. 39,213 1,665,768 * Copart, Inc. 49,606 1,799,210 Corporate Executive Board Co. (The) 22,062 1,522,719 Courier Corp. 6,202 90,115 Covanta Holding Corp. 93,374 1,722,750 * Covenant Transportation Group, Inc. Class A 6,552 67,158 #* CPI Aerostructures, Inc. 3,637 48,990 * CRA International, Inc. 6,409 139,524 Crane Co. 30,666 2,230,338 CSX Corp. 226,816 6,400,748 Cubic Corp. 17,270 819,116 Cummins, Inc. 12,936 1,951,396 Curtiss-Wright Corp. 32,577 2,082,973 Danaher Corp. 94,516 6,935,584 Deere & Co. 23,399 2,184,063 Delta Air Lines, Inc. 162,660 5,990,768 Deluxe Corp. 42,332 2,326,143 #* DigitalGlobe, Inc. 52,476 1,562,735 Donaldson Co., Inc. 12,200 513,498 Douglas Dynamics, Inc. 14,575 245,880 Dover Corp. 45,729 3,950,986 * Ducommun, Inc. 6,406 155,474 Dun & Bradstreet Corp. (The) 10,986 1,216,809 * DXP Enterprises, Inc. 10,684 1,209,536 * Dycom Industries, Inc. 23,221 729,139 Dynamic Materials Corp. 8,288 167,418 Eastern Co. (The) 1,960 33,104 Eaton Corp. P.L.C. 93,635 6,801,646 #* Echo Global Logistics, Inc. 16,716 326,965 Ecology and Environment, Inc. Class A 903 8,660 EMCOR Group, Inc. 44,935 2,066,561 Emerson Electric Co. 40,415 2,755,495 Encore Wire Corp. 15,183 739,868 #* Energy Recovery, Inc. 25,110 128,312 * EnerNOC, Inc. 20,527 484,437 EnerSys, Inc. 32,722 2,211,353 * Engility Holdings, Inc. 9,824 428,719 Ennis, Inc. 15,285 228,664 #* EnPro Industries, Inc. 14,948 1,064,447 Equifax, Inc. 42,708 3,024,153 ESCO Technologies, Inc. 18,258 610,182 T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Industrials -- (Continued) Espey Manufacturing & Electronics Corp. 1,611 $ 42,853 * Esterline Technologies Corp. 21,888 2,386,230 Exelis, Inc. 125,142 2,320,133 Expeditors International of Washington, Inc. 14,733 607,589 Exponent, Inc. 7,570 533,079 # Fastenal Co. 19,684 985,775 * Federal Signal Corp. 44,280 672,170 FedEx Corp. 65,853 8,972,471 Flowserve Corp. 42,720 3,120,696 Fluor Corp. 39,888 3,019,522 Fortune Brands Home & Security, Inc. 74,459 2,967,191 Forward Air Corp. 21,111 933,740 * Franklin Covey Co. 11,113 225,261 Franklin Electric Co., Inc. 34,022 1,315,631 # FreightCar America, Inc. 8,014 210,448 * FTI Consulting, Inc. 28,176 966,437 #* Fuel Tech, Inc. 14,209 86,533 * Furmanite Corp. 26,849 281,378 G&K Services, Inc. Class A 13,702 725,384 GATX Corp. 31,809 2,087,625 * Genco Shipping & Trading, Ltd. 24,121 39,800 * Gencor Industries, Inc. 1,500 15,735 #* GenCorp, Inc. 27,116 476,157 Generac Holdings, Inc. 33,070 1,947,162 # General Cable Corp. 34,348 879,996 General Dynamics Corp. 67,063 7,340,045 General Electric Co. 2,249,996 60,502,392 * Genesee & Wyoming, Inc. Class A 35,547 3,519,508 * Gibraltar Industries, Inc. 20,489 349,952 Global Power Equipment Group, Inc. 8,836 154,895 #* Goldfield Corp. (The) 6,617 13,631 # Gorman-Rupp Co. (The) 16,735 519,622 * GP Strategies Corp. 13,005 341,771 Graco, Inc. 10,621 770,022 #* GrafTech International, Ltd. 85,636 959,980 Graham Corp. 7,242 216,101 Granite Construction, Inc. 27,367 1,022,978 * Great Lakes Dredge & Dock Corp. 41,207 355,616 #* Greenbrier Cos., Inc. (The) 19,443 1,019,591 Griffon Corp. 40,850 434,644 * H&E Equipment Services, Inc. 22,012 848,563 Hardinge, Inc. 7,010 93,654 Harsco Corp. 62,570 1,497,300 #* Hawaiian Holdings, Inc. 36,991 534,520 # Healthcare Services Group, Inc. 14,672 426,955 # Heartland Express, Inc. 60,127 1,308,364 # HEICO Corp. 17,301 957,091 HEICO Corp. Class A 29,227 1,191,000 Heidrick & Struggles International, Inc. 10,647 200,696 #* Heritage-Crystal Clean, Inc. 1,500 24,000 Herman Miller, Inc. 24,203 746,178 * Hertz Global Holdings, Inc. 229,918 6,545,765 T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Industrials -- (Continued) * Hexcel Corp. 51,228 $2,135,695 * Hill International, Inc. 20,714 139,198 HNI Corp. 30,203 1,064,052 Honeywell International, Inc. 45,114 4,191,091 Houston Wire & Cable Co. 12,789 159,351 * Hub Group, Inc. Class A 25,672 1,146,255 # Hubbell, Inc. Class A 1,949 218,483 Hubbell, Inc. Class B 20,703 2,437,157 * Hudson Global, Inc. 18,692 66,357 Huntington Ingalls Industries, Inc. 32,121 3,308,463 Hurco Cos., Inc. 3,200 85,312 * Huron Consulting Group, Inc. 16,609 1,182,561 Hyster-Yale Materials Handling, Inc. 8,680 836,665 * ICF International, Inc. 12,843 500,492 IDEX Corp. 48,140 3,589,800 * IHS, Inc. Class A 7,882 950,806 Illinois Tool Works, Inc. 40,408 3,443,974 Ingersoll-Rand P.L.C. 64,400 3,851,120 #* InnerWorkings, Inc. 27,897 200,858 #* Innovative Solutions & Support, Inc. 12,137 81,682 Insperity, Inc. 17,395 557,684 Insteel Industries, Inc. 12,116 249,347 * Integrated Electrical Services, Inc. 2,632 16,345 Interface, Inc. 34,485 620,385 # International Shipholding Corp. 2,771 74,651 # Intersections, Inc. 12,990 73,004 Iron Mountain, Inc. 74,592 2,121,396 ITT Corp. 41,501 1,790,353 * Jacobs Engineering Group, Inc. 35,863 2,069,295 JB Hunt Transport Services, Inc. 9,866 750,803 #* JetBlue Airways Corp. 200,471 1,584,723 John Bean Technologies Corp. 17,411 504,745 # Joy Global, Inc. 38,103 2,300,659 Kadant, Inc. 6,702 232,895 # Kaman Corp. 34,833 1,461,941 Kansas City Southern 45,300 4,569,864 KAR Auction Services, Inc. 95,613 2,847,355 KBR, Inc. 102,511 2,600,704 Kelly Services, Inc. Class A 25,320 533,239 # Kennametal, Inc. 54,483 2,545,991 * Key Technology, Inc. 1,967 24,253 # Kforce, Inc. 24,155 558,464 Kimball International, Inc. Class B 21,552 361,212 * Kirby Corp. 40,855 4,110,830 # Knight Transportation, Inc. 55,536 1,317,869 Knoll, Inc. 32,833 597,232 * Korn/Ferry International 34,010 987,990 #* Kratos Defense & Security Solutions, Inc. 37,983 274,237 L-3 Communications Holdings, Inc. 42,513 4,904,725 Landstar System, Inc. 21,907 1,379,922 * Lawson Products, Inc. 3,994 66,900 #* Layne Christensen Co. 13,818 240,710 T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Industrials -- (Continued) LB Foster Co. Class A 6,848 $ 324,253 Lennox International, Inc. 10,022 840,144 Lincoln Electric Holdings, Inc. 41,455 2,769,609 # Lindsay Corp. 8,438 743,641 #* LMI Aerospace, Inc. 6,879 93,830 Lockheed Martin Corp. 19,853 3,258,671 LS Starrett Co. (The) Class A 2,592 40,487 LSI Industries, Inc. 16,278 123,876 * Lydall, Inc. 10,270 240,421 * Magnetek, Inc. 495 10,915 # Manitowoc Co., Inc. (The) 85,010 2,701,618 Manpowergroup, Inc. 52,187 4,244,891 Marten Transport, Ltd. 23,933 561,468 Masco Corp. 55,907 1,123,172 #* MasTec, Inc. 51,008 2,018,897 Matson, Inc. 29,425 697,078 McGrath RentCorp 16,449 519,459 * Meritor, Inc. 51,120 606,794 #* Metalico, Inc. 26,746 41,189 * Mfri, Inc. 2,769 30,154 #* Middleby Corp. (The) 8,298 2,095,079 Miller Industries, Inc. 7,049 136,539 * Mistras Group, Inc. 15,986 363,042 Mobile Mini, Inc. 32,075 1,417,073 * Moog, Inc. Class A 27,513 1,800,726 * Moog, Inc. Class B 2,629 172,147 * MRC Global, Inc. 39,851 1,163,251 MSA Safety, Inc. 24,195 1,276,286 # MSC Industrial Direct Co., Inc. Class A 7,500 682,950 Mueller Industries, Inc. 50,730 1,468,126 Mueller Water Products, Inc. Class A 111,361 1,015,612 # Multi-Color Corp. 8,140 283,679 * MYR Group, Inc. 14,348 336,604 # National Presto Industries, Inc. 4,062 293,520 * Navigant Consulting, Inc. 34,920 586,656 #* Navistar International Corp. 7,093 269,037 * NCI Building Systems, Inc. 2,024 31,655 Nielsen Holdings NV 31,354 1,472,070 # NL Industries, Inc. 27,435 275,173 NN, Inc. 11,956 233,979 Nordson Corp. 21,100 1,568,785 Norfolk Southern Corp. 68,570 6,481,922 * Nortek, Inc. 324 26,620 Northrop Grumman Corp. 56,649 6,883,420 * Northwest Pipe Co. 5,952 212,903 #* Ocean Power Technologies, Inc. 3,894 10,514 * Old Dominion Freight Line, Inc. 47,799 2,898,053 # Omega Flex, Inc. 3,089 62,305 * On Assignment, Inc. 38,185 1,336,475 * Orbital Sciences Corp. 41,401 1,217,189 #* Orion Energy Systems, Inc. 12,381 65,619 * Orion Marine Group, Inc. 5,067 59,436 T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Industrials -- (Continued) Oshkosh Corp. 62,281 $3,457,218 Owens Corning 79,942 3,265,631 PACCAR, Inc. 19,500 1,247,610 Pall Corp. 3,003 252,702 * PAM Transportation Services, Inc. 4,434 110,362 * Park-Ohio Holdings Corp. 9,906 578,411 Parker Hannifin Corp. 36,623 4,646,726 * Patrick Industries, Inc. 7,312 292,992 #* Patriot Transportation Holding, Inc. 4,416 154,030 #* Pendrell Corp. 18,245 30,104 Pentair, Ltd. 70,577 5,243,165 * PGT, Inc. 21,764 216,552 * Pike Corp. 23,738 227,885 # Pitney Bowes, Inc. 41,948 1,124,206 #* Polypore International, Inc. 32,177 1,115,898 Powell Industries, Inc. 7,854 497,315 * PowerSecure International, Inc. 14,855 330,227 Precision Castparts Corp. 13,600 3,442,024 Preformed Line Products Co. 3,262 194,937 Primoris Services Corp. 46,985 1,314,640 * Proto Labs, Inc. 6,599 399,503 Providence and Worcester Railroad Co. 361 6,296 Quad/Graphics, Inc. 962 20,827 * Quality Distribution, Inc. 13,962 175,502 Quanex Building Products Corp. 25,835 486,731 * Quanta Services, Inc. 83,190 2,934,943 # Raven Industries, Inc. 28,997 896,007 Raytheon Co. 50,572 4,828,615 * RBC Bearings, Inc. 15,860 987,444 * RCM Technologies, Inc. 6,052 41,033 #* Real Goods Solar, Inc. Class A 2,594 7,600 Regal-Beloit Corp. 30,979 2,315,061 * Republic Airways Holdings, Inc. 31,878 264,906 Republic Services, Inc. 117,619 4,127,251 Resources Connection, Inc. 28,136 382,931 * Rexnord Corp. 3,893 104,099 #* Roadrunner Transportation Systems, Inc. 25,148 619,395 Robert Half International, Inc. 25,616 1,147,597 Rockwell Automation, Inc. 21,300 2,538,534 Rockwell Collins, Inc. 12,594 977,924 Rollins, Inc. 15,685 471,805 Roper Industries, Inc. 27,889 3,875,177 * RPX Corp. 36,447 597,002 RR Donnelley & Sons Co. 107,422 1,890,627 #* Rush Enterprises, Inc. Class A 20,327 652,497 * Rush Enterprises, Inc. Class B 1,308 36,990 Ryder System, Inc. 37,176 3,055,124 * Saia, Inc. 21,463 883,632 Schawk, Inc. 15,296 305,920 SIFCO Industries, Inc. 1,400 45,990 Simpson Manufacturing Co., Inc. 34,017 1,115,417 SkyWest, Inc. 33,500 388,600 T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Industrials -- (Continued) * SL Industries, Inc. 4,400 $ 120,956 Snap-on, Inc. 35,034 4,063,944 Southwest Airlines Co. 327,864 7,924,473 #* SP Plus Corp. 8,787 214,579 * Sparton Corp. 5,343 145,116 * Spirit Aerosystems Holdings, Inc. Class A 83,702 2,513,571 * Spirit Airlines, Inc. 33,102 1,881,518 SPX Corp. 33,140 3,374,978 #* Standard Register Co. (The) 2,435 17,678 Standex International Corp. 9,071 538,545 Stanley Black & Decker, Inc. 54,497 4,680,747 Steelcase, Inc. Class A 61,953 1,020,985 * Stericycle, Inc. 7,200 838,368 #* Sterling Construction Co., Inc. 10,423 80,049 # Sun Hydraulics Corp. 13,632 557,276 #* Swift Transportation Co. 59,232 1,424,530 Sypris Solutions, Inc. 8,523 25,825 # TAL International Group, Inc. 23,766 1,002,450 #* Taser International, Inc. 35,700 576,555 #* Team, Inc. 13,373 573,568 #* Tecumseh Products Co. Class A 7,013 42,148 * Tecumseh Products Co. Class B 732 4,275 * Teledyne Technologies, Inc. 20,056 1,862,400 Tennant Co. 9,900 631,521 # Terex Corp. 78,722 3,407,875 * Tetra Tech, Inc. 43,289 1,241,096 # Textainer Group Holdings, Ltd. 36,115 1,419,319 Textron, Inc. 72,595 2,969,135 * Thermon Group Holdings, Inc. 15,179 361,564 Timken Co. (The) 56,700 3,576,636 # Titan International, Inc. 33,766 591,243 #* Titan Machinery, Inc. 13,896 245,125 Toro Co. (The) 20,800 1,321,632 Towers Watson & Co. Class A 13,522 1,517,439 TransDigm Group, Inc. 6,484 1,153,309 #* TRC Cos., Inc. 14,409 85,445 #* Trex Co., Inc. 8,812 691,918 * Trimas Corp. 27,814 997,410 Trinity Industries, Inc. 55,168 4,140,910 Triumph Group, Inc. 34,541 2,238,602 * TrueBlue, Inc. 29,296 783,668 * Tutor Perini Corp. 34,334 1,016,286 # Twin Disc, Inc. 8,316 240,582 Tyco International, Ltd. 79,518 3,252,286 * Ultralife Corp. 9,810 35,316 UniFirst Corp. 10,127 974,622 Union Pacific Corp. 105,422 20,075,511 * United Continental Holdings, Inc. 151,055 6,173,618 United Parcel Service, Inc. Class B 35,518 3,498,523 #* United Rentals, Inc. 46,294 4,343,766 # United Stationers, Inc. 27,489 1,031,662 United Technologies Corp. 77,336 9,151,169 T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ------------ Industrials -- (Continued) Universal Forest Products, Inc. 12,053 $ 608,556 # Universal Truckload Services, Inc. 8,839 217,970 URS Corp. 51,132 2,409,340 US Ecology, Inc. 14,860 663,499 #* USA Truck, Inc. 6,487 108,073 #* USG Corp. 45,809 1,367,857 # UTi Worldwide, Inc. 72,861 713,309 # Valmont Industries, Inc. 14,619 2,176,915 * Verisk Analytics, Inc. Class A 7,138 428,922 * Versar, Inc. 2,944 11,364 Viad Corp. 13,879 319,911 * Vicor Corp. 13,305 111,230 * Virco Manufacturing Corp. 2,861 6,280 * Volt Information Sciences, Inc. 9,139 72,929 VSE Corp. 2,232 139,433 #* Wabash National Corp. 48,869 652,890 * WABCO Holdings, Inc. 16,152 1,728,426 Wabtec Corp. 44,632 3,327,316 Waste Connections, Inc. 81,561 3,642,514 Waste Management, Inc. 99,177 4,408,418 Watsco, Inc. 16,211 1,668,274 Watsco, Inc. Class B 1,750 177,223 # Watts Water Technologies, Inc. Class A 19,431 1,033,729 # Werner Enterprises, Inc. 51,931 1,329,434 * Wesco Aircraft Holdings, Inc. 13,602 275,577 #* WESCO International, Inc. 31,146 2,733,996 * Willdan Group, Inc. 3,100 14,477 * Willis Lease Finance Corp. 4,123 83,120 Woodward, Inc. 38,733 1,736,400 WW Grainger, Inc. 5,290 1,345,776 #* Xerium Technologies, Inc. 1,334 18,009 #* XPO Logistics, Inc. 14,358 389,676 Xylem, Inc. 41,301 1,552,505 #* YRC Worldwide, Inc. 1,209 27,118 ------------ Total Industrials 643,648,142 ------------ Information Technology -- (13.9%) #* 3D Systems Corp. 35,217 1,667,173 Accenture P.L.C. Class A 42,489 3,408,468 * ACI Worldwide, Inc. 22,957 1,311,993 Activision Blizzard, Inc. 174,932 3,500,389 * Actuate Corp. 34,112 192,051 * Acxiom Corp. 52,793 1,490,874 * ADDvantage Technologies Group, Inc. 2,391 8,034 * Adobe Systems, Inc. 40,712 2,511,523 ADTRAN, Inc. 40,925 917,948 * Advanced Energy Industries, Inc. 28,122 615,309 #* Advanced Micro Devices, Inc. 48,497 198,353 # Advent Software, Inc. 25,003 720,586 * Aeroflex Holding Corp. 2,215 16,945 #* Aetrium, Inc. 171 864 * Agilysys, Inc. 14,908 186,946 T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Information Technology -- (Continued) * Akamai Technologies, Inc. 35,058 $ 1,860,528 * Alliance Data Systems Corp. 6,595 1,595,330 #* Alpha & Omega Semiconductor, Ltd. 7,964 57,341 Altera Corp. 53,398 1,736,503 Amdocs, Ltd. 55,413 2,578,367 American Software, Inc. Class A 15,060 145,178 * Amkor Technology, Inc. 95,301 757,643 Amphenol Corp. Class A 9,871 941,200 * Amtech Systems, Inc. 4,600 39,330 #* ANADIGICS, Inc. 44,528 55,660 Analog Devices, Inc. 70,713 3,626,870 Anixter International, Inc. 19,768 1,936,869 * ANSYS, Inc. 17,453 1,331,838 * AOL, Inc. 61,516 2,633,500 Apple, Inc. 120,852 71,313,557 Applied Materials, Inc. 175,155 3,338,454 * Applied Micro Circuits Corp. 27,372 265,782 * ARRIS Group, Inc. 86,767 2,263,751 * Arrow Electronics, Inc. 71,420 4,053,085 * Aspen Technology, Inc. 13,125 564,244 Astro-Med, Inc. 3,998 50,255 * Atmel Corp. 233,715 1,815,966 * Autodesk, Inc. 16,100 773,122 Automatic Data Processing, Inc. 30,228 2,356,575 Avago Technologies, Ltd. 11,700 742,950 #* AVG Technologies NV 7,962 149,128 #* Aviat Networks, Inc. 32,925 49,717 #* Avid Technology, Inc. 25,420 191,921 Avnet, Inc. 91,664 3,953,468 AVX Corp. 102,896 1,373,662 * Aware, Inc. 4,426 24,520 * Axcelis Technologies, Inc. 45,801 81,984 # Badger Meter, Inc. 9,582 474,788 * Bankrate, Inc. 46,445 813,716 * Bazaarvoice, Inc. 2,561 17,210 Bel Fuse, Inc. Class A 1,600 32,576 Bel Fuse, Inc. Class B 5,833 126,926 Belden, Inc. 30,033 2,216,736 * Benchmark Electronics, Inc. 42,700 989,786 Black Box Corp. 13,000 276,380 Blackbaud, Inc. 14,689 447,280 #* Blackhawk Network Holdings, Inc. Class B 15,657 360,581 * Blucora, Inc. 28,952 557,326 Booz Allen Hamilton Holding Corp. 19,867 461,709 #* Bottomline Technologies de, Inc. 26,059 824,507 Broadcom Corp. Class A 27,900 859,599 Broadridge Financial Solutions, Inc. 36,086 1,383,537 * Brocade Communications Systems, Inc. 309,349 2,880,039 Brooks Automation, Inc. 46,670 477,434 * Bsquare Corp. 5,039 16,125 * BTU International, Inc. 3,282 9,616 CA, Inc. 151,661 4,571,063 T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Information Technology -- (Continued) * Cabot Microelectronics Corp. 17,127 $ 742,798 #* CACI International, Inc. Class A 17,967 1,251,402 * Cadence Design Systems, Inc. 83,795 1,303,850 * CalAmp Corp. 8,625 153,094 * Calix, Inc. 34,797 306,562 * Cardtronics, Inc. 32,677 1,094,026 * Cascade Microtech, Inc. 3,846 41,075 # Cass Information Systems, Inc. 7,758 391,857 * Ceva, Inc. 14,352 232,933 * Checkpoint Systems, Inc. 28,197 360,076 * ChyronHego Corp. 1,964 4,694 * CIBER, Inc. 66,827 288,693 #* Ciena Corp. 47,298 935,081 #* Cinedigm Corp. 34,161 85,402 #* Cirrus Logic, Inc. 45,978 1,025,309 Cisco Systems, Inc. 1,252,046 28,934,783 #* Citrix Systems, Inc. 11,700 693,927 * Clearfield, Inc. 7,734 121,888 * Cognex Corp. 58,188 2,003,413 * Cognizant Technology Solutions Corp. Class A 22,496 1,077,671 * Coherent, Inc. 16,089 960,674 Cohu, Inc. 8,084 83,265 Communications Systems, Inc. 6,432 77,763 * CommVault Systems, Inc. 10,838 524,559 Computer Sciences Corp. 69,042 4,085,906 # Computer Task Group, Inc. 12,633 199,728 Compuware Corp. 140,073 1,451,156 * comScore, Inc. 6,858 214,861 Comtech Telecommunications Corp. 11,997 380,905 * Comverse, Inc. 2,678 66,789 #* Concur Technologies, Inc. 11,129 895,551 Concurrent Computer Corp. 5,474 45,927 * Constant Contact, Inc. 14,788 382,418 # Convergys Corp. 76,211 1,641,585 #* Conversant, Inc. 92,529 2,261,409 * CoreLogic, Inc. 68,056 1,907,610 Corning, Inc. 326,108 6,818,918 * CoStar Group, Inc. 16,429 2,643,262 #* Cray, Inc. 28,000 803,880 #* Cree, Inc. 52,552 2,478,878 * Crexendo, Inc. 4,869 15,483 CSG Systems International, Inc. 26,177 690,026 CTS Corp. 23,257 413,742 #* CyberOptics Corp. 1,680 12,634 Daktronics, Inc. 29,198 380,158 * Datalink Corp. 12,231 157,046 * Dealertrack Technologies, Inc. 30,974 1,415,202 #* Demand Media, Inc. 13,967 58,103 * Dice Holdings, Inc. 41,730 319,234 # Diebold, Inc. 44,429 1,670,975 * Digi International, Inc. 16,057 142,265 Digimarc Corp. 3,690 121,844 T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Information Technology -- (Continued) * Digital River, Inc. 24,491 $ 374,467 * Diodes, Inc. 31,176 822,111 #* Dolby Laboratories, Inc. Class A 24,663 982,821 * Dot Hill Systems Corp. 18,403 76,004 * DSP Group, Inc. 12,700 101,092 DST Systems, Inc. 29,737 2,741,454 * DTS, Inc. 10,231 190,399 EarthLink Holdings Corp. 68,533 233,698 * eBay, Inc. 111,862 5,797,807 # Ebix, Inc. 22,273 351,468 #* Echelon Corp. 3,518 9,112 * EchoStar Corp. Class A 27,545 1,238,423 * Edgewater Technology, Inc. 4,254 30,118 Electro Rent Corp. 16,270 262,760 # Electro Scientific Industries, Inc. 15,323 129,939 * Electronic Arts, Inc. 40,781 1,154,102 * Electronics for Imaging, Inc. 33,068 1,249,640 #* Ellie Mae, Inc. 7,987 194,803 #* eMagin Corp. 6,351 15,306 EMC Corp. 415,286 10,714,379 * Emcore Corp. 9,873 47,687 * Emulex Corp. 64,780 463,177 * Entegris, Inc. 95,408 1,058,075 #* Entropic Communications, Inc. 62,937 232,238 * Envestnet, Inc. 6,398 235,766 * EPAM Systems, Inc. 19,657 611,922 EPIQ Systems, Inc. 24,762 316,706 * ePlus, Inc. 5,292 264,812 #* Equinix, Inc. 13,520 2,539,191 * Euronet Worldwide, Inc. 34,192 1,572,490 * Exar Corp. 33,107 358,218 * ExlService Holdings, Inc. 22,324 631,658 * Extreme Networks, Inc. 65,643 375,478 * F5 Networks, Inc. 6,260 658,364 * Fabrinet 10,299 222,458 # FactSet Research Systems, Inc. 7,011 746,671 Fair Isaac Corp. 26,082 1,491,890 * Fairchild Semiconductor International, Inc. 86,101 1,096,066 * FalconStor Software, Inc. 19,668 29,895 * FARO Technologies, Inc. 11,101 442,930 FEI Co. 24,374 1,938,220 Fidelity National Information Services, Inc. 123,557 6,601,650 #* Finisar Corp. 67,866 1,774,696 #* First Solar, Inc. 65,568 4,425,184 * Fiserv, Inc. 84,000 5,105,520 * FleetCor Technologies, Inc. 1,400 159,782 FLIR Systems, Inc. 80,549 2,741,888 * FormFactor, Inc. 39,132 225,009 Forrester Research, Inc. 14,014 496,516 * Fortinet, Inc. 14,650 322,007 #* Freescale Semiconductor, Ltd. 32,917 723,186 * Frequency Electronics, Inc. 4,145 44,165 T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ --------- ----------- Information Technology -- (Continued) * Gartner, Inc. 13,847 $ 954,612 * Genpact, Ltd. 102,158 1,722,384 * Global Cash Access Holdings, Inc. 47,075 310,695 Global Payments, Inc. 42,703 2,853,841 # Globalscape, Inc. 3,392 8,378 * Google, Inc. Class A 13,528 7,235,857 * Google, Inc. Class C 12,928 6,808,660 * GSE Systems, Inc. 8,763 15,335 * GSI Group, Inc. 11,371 138,044 * GSI Technology, Inc. 15,322 97,295 #* GT Advanced Technologies, Inc. 59,499 988,278 * GTT Communications, Inc. 1,600 19,360 #* Guidance Software, Inc. 6,777 62,416 * Guidewire Software, Inc. 481 18,163 Hackett Group, Inc. (The) 24,377 146,262 * Harmonic, Inc. 73,129 514,097 Harris Corp. 24,426 1,795,799 # Heartland Payment Systems, Inc. 18,506 757,636 Hewlett-Packard Co. 707,815 23,400,364 Hittite Microwave Corp. 17,610 1,045,330 #* Hutchinson Technology, Inc. 15,007 41,719 IAC/InterActiveCorp 77,073 5,108,398 * ID Systems, Inc. 4,988 28,082 #* Identive Group, Inc. 18,368 15,613 * IEC Electronics Corp. 4,588 20,417 * iGATE Corp. 27,136 993,178 * II-VI, Inc. 40,830 587,952 * Imation Corp. 25,756 111,266 #* Immersion Corp. 13,356 151,457 #* Infinera Corp. 80,189 718,493 * Informatica Corp. 17,096 606,053 * Ingram Micro, Inc. Class A 106,394 2,868,382 * Innodata, Inc. 15,241 51,362 * Inphi Corp. 13,373 197,787 * Insight Enterprises, Inc. 34,350 897,222 * Integrated Device Technology, Inc. 100,218 1,169,544 * Integrated Silicon Solution, Inc. 19,298 279,049 Intel Corp. 1,402,548 37,434,006 * Intellicheck Mobilisa, Inc. 2,872 1,953 * Interactive Intelligence Group, Inc. 8,480 530,594 # InterDigital, Inc. 18,272 634,404 #* Internap Network Services Corp. 36,369 244,400 International Business Machines Corp. 64,884 12,747,759 * International Rectifier Corp. 51,167 1,332,389 * Interphase Corp. 2,400 13,080 Intersil Corp. Class A 88,652 1,093,966 * Intevac, Inc. 10,738 86,441 * IntraLinks Holdings, Inc. 25,699 235,146 * IntriCon Corp. 3,283 21,701 Intuit, Inc. 18,374 1,391,830 #* InvenSense, Inc. 1,102 23,726 #* IPG Photonics Corp. 19,699 1,273,146 T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Information Technology -- (Continued) * Iteris, Inc. 3,900 $ 7,566 #* Itron, Inc. 25,913 984,694 * Ixia 51,019 633,656 IXYS Corp. 20,163 217,559 # j2 Global, Inc. 35,246 1,634,005 Jabil Circuit, Inc. 144,108 2,487,304 Jack Henry & Associates, Inc. 34,105 1,881,232 * JDS Uniphase Corp. 113,461 1,437,551 * Juniper Networks, Inc. 215,215 5,313,658 * Kemet Corp. 25,026 125,380 * Key Tronic Corp. 5,745 60,208 KLA-Tencor Corp. 47,962 3,069,088 * Knowles Corp. 22,864 638,591 #* Kofax, Ltd. 4,619 35,012 #* Kopin Corp. 43,212 140,871 * Kulicke & Soffa Industries, Inc. 52,900 778,159 * KVH Industries, Inc. 10,836 146,394 * Lam Research Corp. 64,737 3,729,499 * Lattice Semiconductor Corp. 79,245 667,243 # Leidos Holdings, Inc. 53,283 1,984,259 Lexmark International, Inc. Class A 44,170 1,899,310 * LGL Group, Inc. (The) 1,209 5,924 * Limelight Networks, Inc. 53,816 111,399 Linear Technology Corp. 25,367 1,128,831 * Lionbridge Technologies, Inc. 41,227 242,415 * Liquidity Services, Inc. 1,628 28,083 Littelfuse, Inc. 16,057 1,453,961 * LogMeIn, Inc. 790 35,905 * LoJack Corp. 17,765 100,728 LSI Corp. 124,011 1,381,483 * LTX-Credence Corp. 31,104 299,531 * M/A-COM Technology Solutions Holdings, Inc. 2,356 41,254 * Magnachip Semiconductor Corp. 25,149 352,086 * Manhattan Associates, Inc. 45,480 1,433,984 # ManTech International Corp. Class A 14,962 446,316 Marchex, Inc. Class B 13,951 129,047 Marvell Technology Group, Ltd. 190,555 3,022,202 MasterCard, Inc. Class A 49,116 3,612,482 #* Mattersight Corp. 2,980 18,804 * Mattson Technology, Inc. 29,541 58,787 Maxim Integrated Products, Inc. 58,823 1,908,218 MAXIMUS, Inc. 44,800 1,907,136 * MaxLinear, Inc. Class A 5,479 43,120 #* Maxwell Technologies, Inc. 16,511 248,656 * Measurement Specialties, Inc. 10,785 694,015 Mentor Graphics Corp. 80,427 1,664,839 * Mercury Systems, Inc. 19,863 277,287 # Mesa Laboratories, Inc. 2,490 213,393 Methode Electronics, Inc. 26,314 729,950 Micrel, Inc. 40,728 405,651 # Microchip Technology, Inc. 37,893 1,801,433 * Micron Technology, Inc. 431,051 11,259,052 T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Information Technology -- (Continued) * MICROS Systems, Inc. 24,339 $ 1,253,458 * Microsemi Corp. 65,941 1,550,932 Microsoft Corp. 631,854 25,526,902 MKS Instruments, Inc. 37,714 1,061,649 MOCON, Inc. 3,290 52,574 #* ModusLink Global Solutions, Inc. 22,105 89,304 * MoneyGram International, Inc. 7,036 92,875 * Monolithic Power Systems, Inc. 24,423 906,093 Monotype Imaging Holdings, Inc. 24,397 644,325 * Monster Worldwide, Inc. 77,087 531,129 #* MoSys, Inc. 27,890 109,050 Motorola Solutions, Inc. 39,832 2,532,519 * Move, Inc. 25,547 273,097 # MTS Systems Corp. 10,207 658,045 * Multi-Fineline Electronix, Inc. 15,161 187,693 * Nanometrics, Inc. 15,684 255,022 * NAPCO Security Technologies, Inc. 4,744 27,705 # National Instruments Corp. 25,505 696,542 * NCI, Inc. Class A 2,997 29,880 * NCR Corp. 56,822 1,733,639 NetApp, Inc. 90,995 3,240,332 * NETGEAR, Inc. 25,741 831,434 #* Netlist, Inc. 4,619 7,483 * Netscout Systems, Inc. 28,771 1,120,918 * NetSuite, Inc. 9,300 718,983 #* NeuStar, Inc. Class A 20,843 536,082 * Newport Corp. 26,884 502,193 NIC, Inc. 16,205 297,200 #* Novatel Wireless, Inc. 20,282 36,710 #* Nuance Communications, Inc. 89,292 1,436,708 #* Numerex Corp. Class A 7,077 72,539 NVIDIA Corp. 158,800 2,933,036 * Oclaro, Inc. 17,570 59,738 * OmniVision Technologies, Inc. 37,945 741,066 * ON Semiconductor Corp. 243,090 2,287,477 #* Onvia, Inc. 521 2,717 #* OpenTable, Inc. 5,991 402,356 * Oplink Communications, Inc. 12,999 222,803 Optical Cable Corp. 2,727 10,335 Oracle Corp. 262,413 10,727,443 * OSI Systems, Inc. 14,423 804,948 #* Pandora Media, Inc. 1,538 36,020 * PAR Technology Corp. 6,291 30,386 Park Electrochemical Corp. 13,101 349,273 Paychex, Inc. 47,127 1,970,380 PC Connection, Inc. 15,200 304,152 PC-Tel, Inc. 9,651 79,621 * PCM, Inc. 6,559 68,345 * PDF Solutions, Inc. 16,779 314,942 Pegasystems, Inc. 14,838 245,866 Perceptron, Inc. 5,431 64,086 * Perficient, Inc. 23,915 436,927 T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Information Technology -- (Continued) * Pericom Semiconductor Corp. 14,990 $ 120,969 * Photronics, Inc. 40,446 351,071 #* Pixelworks, Inc. 4,735 24,291 #* Planar Systems, Inc. 8,372 18,418 Plantronics, Inc. 31,170 1,358,077 * Plexus Corp. 23,772 996,522 * PLX Technology, Inc. 23,024 133,539 * PMC-Sierra, Inc. 136,266 932,059 * Polycom, Inc. 104,302 1,282,915 Power Integrations, Inc. 18,346 866,482 * PRGX Global, Inc. 15,202 97,749 #* Procera Networks, Inc. 3,765 34,864 * Progress Software Corp. 39,983 858,035 * PROS Holdings, Inc. 4,254 116,560 * PTC, Inc. 59,372 2,099,988 * Pulse Electronics Corp. 1,070 3,531 QAD, Inc. Class A 6,498 123,787 QAD, Inc. Class B 1,920 29,933 * QLogic Corp. 62,252 720,878 QUALCOMM, Inc. 97,496 7,673,910 * Qualstar Corp. 500 755 #* QuickLogic Corp. 6,938 32,817 * QuinStreet, Inc. 8,681 52,954 * Qumu Corp. 5,408 72,738 #* Rackspace Hosting, Inc. 6,202 179,982 #* Radisys Corp. 17,046 54,547 #* Rambus, Inc. 79,978 966,934 * RealD, Inc. 14,528 159,227 #* RealNetworks, Inc. 20,921 157,744 #* RealPage, Inc. 9,062 160,850 * Red Hat, Inc. 14,800 720,020 * Reis, Inc. 6,463 106,381 * Relm Wireless Corp. 766 2,466 #* Remark Media, Inc. 418 2,408 # RF Industries, Ltd. 3,883 23,725 * RF Micro Devices, Inc. 194,407 1,640,795 # Richardson Electronics, Ltd. 8,608 86,252 * Riverbed Technology, Inc. 39,694 772,048 * Rofin-Sinar Technologies, Inc. 16,716 371,095 * Rogers Corp. 11,544 692,871 * Rosetta Stone, Inc. 15,557 185,284 * Rovi Corp. 64,011 1,426,805 * Rubicon Technology, Inc. 13,459 136,340 * Rudolph Technologies, Inc. 21,979 200,229 * Saba Software, Inc. 13,847 152,317 * Salesforce.com, Inc. 32,220 1,664,163 SanDisk Corp. 60,494 5,140,175 * Sanmina Corp. 58,782 1,190,335 * Sapient Corp. 93,937 1,528,355 * ScanSource, Inc. 18,185 698,486 Science Applications International Corp. 30,447 1,187,433 * Seachange International, Inc. 22,574 211,518 T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Information Technology -- (Continued) Seagate Technology P.L.C. 74,761 $3,930,933 * Semtech Corp. 46,323 1,110,826 * ShoreTel, Inc. 42,758 322,823 * Sigma Designs, Inc. 19,833 74,770 #* Silicon Graphics International Corp. 17,281 208,754 * Silicon Image, Inc. 55,585 311,832 * Silicon Laboratories, Inc. 29,305 1,317,260 * Skyworks Solutions, Inc. 112,578 4,621,327 * SMTC Corp. 8,334 12,751 * SolarWinds, Inc. 9,134 368,283 Solera Holdings, Inc. 5,888 381,425 #* Sonus Networks, Inc. 197,543 645,966 * Spansion, Inc. Class A 40,874 728,783 #* Spark Networks, Inc. 3,880 17,576 #* Speed Commerce, Inc. 15,685 51,760 * SS&C Technologies Holdings, Inc. 46,066 1,792,889 #* Stamps.com, Inc. 10,521 365,184 * StarTek, Inc. 7,712 53,598 #* Stratasys, Ltd. 22,554 2,184,806 * SunEdison, Inc. 141,140 2,714,122 #* SunPower Corp. 60,268 2,014,157 * Super Micro Computer, Inc. 25,605 521,318 #* support.com, Inc. 36,277 89,604 * Sykes Enterprises, Inc. 30,694 607,434 Symantec Corp. 166,806 3,382,826 #* Synaptics, Inc. 23,197 1,441,694 #* Synchronoss Technologies, Inc. 20,072 610,992 * SYNNEX Corp. 26,278 1,770,612 * Synopsys, Inc. 69,149 2,601,385 #* Syntel, Inc. 6,037 484,892 * Take-Two Interactive Software, Inc. 124,881 2,545,075 TE Connectivity, Ltd. 85,564 5,046,565 * Tech Data Corp. 28,563 1,784,902 * TeleCommunication Systems, Inc. Class A 33,220 84,711 * Telenav, Inc. 25,300 155,089 * TeleTech Holdings, Inc. 35,981 868,221 #* Teradata Corp. 22,000 1,000,120 #* Teradyne, Inc. 133,582 2,360,394 # Tessco Technologies, Inc. 5,854 192,538 Tessera Technologies, Inc. 37,392 820,007 Texas Instruments, Inc. 60,889 2,767,405 TheStreet, Inc. 12,656 32,526 * TIBCO Software, Inc. 77,066 1,512,806 * TiVo, Inc. 10,054 119,240 Total System Services, Inc. 80,762 2,565,809 Transact Technologies, Inc. 5,300 56,657 * Trimble Navigation, Ltd. 52,092 2,001,896 * TriQuint Semiconductor, Inc. 111,918 1,586,997 #* TTM Technologies, Inc. 47,667 376,093 * Tyler Technologies, Inc. 18,173 1,483,825 * Ultimate Software Group, Inc. (The) 3,200 382,816 * Ultra Clean Holdings, Inc. 17,635 150,250 T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ------------ Information Technology -- (Continued) * Ultratech, Inc. 19,109 $ 508,682 * Unisys Corp. 20,523 500,145 United Online, Inc. 9,323 110,478 #* Unwired Planet, Inc. 24,541 55,953 #* Veeco Instruments, Inc. 26,682 986,434 * VeriFone Systems, Inc. 60,130 2,010,747 * Verint Systems, Inc. 22,019 963,772 #* VeriSign, Inc. 14,100 665,238 #* ViaSat, Inc. 28,958 1,859,393 #* Viasystems Group, Inc. 10,620 127,652 * Vicon Industries, Inc. 916 2,675 * Video Display Corp. 3,247 11,267 * Virtusa Corp. 21,489 708,492 Visa, Inc. Class A 97,604 19,775,546 # Vishay Intertechnology, Inc. 131,644 1,871,978 * Vishay Precision Group, Inc. 9,403 152,611 #* VistaPrint NV 14,276 563,474 #* VMware, Inc. Class A 3,400 314,534 # Wayside Technology Group, Inc. 3,335 53,894 #* Web.com Group, Inc. 30,956 950,659 #* WebMD Health Corp. 28,628 1,262,208 * Westell Technologies, Inc. Class A 29,716 96,874 Western Digital Corp. 82,365 7,258,827 # Western Union Co. (The) 29,969 475,608 * WEX, Inc. 22,892 2,196,945 Xerox Corp. 576,168 6,965,871 Xilinx, Inc. 60,741 2,866,368 * XO Group, Inc. 17,814 189,185 * Yahoo!, Inc. 94,588 3,400,439 * Zebra Technologies Corp. Class A 35,863 2,490,327 * Zix Corp. 41,374 135,707 * Zygo Corp. 12,148 233,727 #* Zynga, Inc. Class A 421,209 1,705,896 ------------ Total Information Technology 699,959,617 ------------ Materials -- (4.7%) A Schulman, Inc. 19,913 715,275 * AEP Industries, Inc. 3,678 131,010 Air Products & Chemicals, Inc. 11,238 1,320,690 Airgas, Inc. 21,525 2,287,247 Albemarle Corp. 53,117 3,560,964 Alcoa, Inc. 462,297 6,227,141 Allegheny Technologies, Inc. 73,540 3,029,848 #* Allied Nevada Gold Corp. 8,534 28,930 #* AM Castle & Co. 15,119 185,661 AMCOL International Corp. 21,489 985,271 # American Vanguard Corp. 19,985 355,933 Ampco-Pittsburgh Corp. 4,586 91,858 # Aptargroup, Inc. 35,787 2,412,760 * Arabian American Development Co. 9,325 101,922 Ashland, Inc. 36,227 3,499,528 Avery Dennison Corp. 69,201 3,367,321 T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Materials -- (Continued) Axiall Corp. 32,379 $ 1,508,861 Balchem Corp. 11,392 705,734 Ball Corp. 22,000 1,236,180 Bemis Co., Inc. 66,895 2,691,855 Cabot Corp. 45,400 2,624,120 * Calgon Carbon Corp. 38,212 765,386 # Carpenter Technology Corp. 31,995 2,009,286 Celanese Corp. Series A 9,746 598,697 * Century Aluminum Co. 63,409 871,874 CF Industries Holdings, Inc. 29,832 7,313,911 Chase Corp. 3,920 122,069 * Chemtura Corp. 69,113 1,541,220 * Clearwater Paper Corp. 15,020 922,078 # Cliffs Natural Resources, Inc. 106,732 1,891,291 * Coeur Mining, Inc. 56,121 486,008 Commercial Metals Co. 81,961 1,573,651 Compass Minerals International, Inc. 5,629 515,616 #* Contango ORE, Inc. 780 9,282 * Core Molding Technologies, Inc. 4,878 58,585 * Crown Holdings, Inc. 12,300 580,191 Cytec Industries, Inc. 30,535 2,910,596 Deltic Timber Corp. 6,480 393,660 Domtar Corp. 23,271 2,172,581 Dow Chemical Co. (The) 264,593 13,203,191 Eagle Materials, Inc. 28,380 2,364,905 Eastman Chemical Co. 57,203 4,986,386 Ecolab, Inc. 24,109 2,522,766 EI du Pont de Nemours & Co. 47,793 3,217,425 * Ferro Corp. 66,118 858,212 #* Flotek Industries, Inc. 25,460 713,135 FMC Corp. 20,400 1,570,800 Freeport-McMoRan Copper & Gold, Inc. 227,006 7,802,196 Friedman Industries, Inc. 5,121 43,938 # FutureFuel Corp. 23,261 466,848 #* General Moly, Inc. 58,531 64,384 Globe Specialty Metals, Inc. 52,158 1,010,822 #* Golden Minerals Co. 7,078 4,955 * Graphic Packaging Holding Co. 223,749 2,295,665 Greif, Inc. Class A 17,510 948,867 Greif, Inc. Class B 8,861 521,115 Hawkins, Inc. 6,748 244,278 Haynes International, Inc. 8,262 438,299 # HB Fuller Co. 35,453 1,642,537 * Headwaters, Inc. 38,559 481,216 # Hecla Mining Co. 155,821 478,370 #* Horsehead Holding Corp. 32,234 502,528 Huntsman Corp. 155,050 3,884,003 Innophos Holdings, Inc. 15,788 891,075 Innospec, Inc. 16,438 707,820 International Flavors & Fragrances, Inc. 8,200 807,864 International Paper Co. 135,000 6,297,750 #* Intrepid Potash, Inc. 39,496 643,785 T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Materials -- (Continued) # Kaiser Aluminum Corp. 12,565 $ 884,576 * KapStone Paper and Packaging Corp. 67,210 1,773,000 KMG Chemicals, Inc. 7,438 116,107 Koppers Holdings, Inc. 8,940 381,738 * Kraton Performance Polymers, Inc. 21,810 568,151 Kronos Worldwide, Inc. 33,276 520,769 * Landec Corp. 18,470 219,054 #* Louisiana-Pacific Corp. 89,963 1,474,494 * LSB Industries, Inc. 15,430 589,272 LyondellBasell Industries NV Class A 77,049 7,127,032 # Martin Marietta Materials, Inc. 24,681 3,068,589 Materion Corp. 14,302 481,262 #* McEwen Mining, Inc. 111,948 268,675 MeadWestvaco Corp. 98,891 3,863,671 #* Mercer International, Inc. 23,114 191,384 #* Metabolix, Inc. 1,632 1,681 Minerals Technologies, Inc. 24,648 1,466,310 #* Mines Management, Inc. 1,064 1,351 #* Molycorp, Inc. 2,500 11,875 Monsanto Co. 31,073 3,439,781 Mosaic Co. (The) 65,440 3,274,618 Myers Industries, Inc. 24,254 453,550 Neenah Paper, Inc. 11,547 581,622 # NewMarket Corp. 6,400 2,382,848 Newmont Mining Corp. 68,775 1,707,683 * Northern Technologies International Corp. 929 19,648 Nucor Corp. 74,096 3,834,468 # Olin Corp. 54,726 1,537,801 Olympic Steel, Inc. 7,202 189,845 # OM Group, Inc. 21,791 638,258 * OMNOVA Solutions, Inc. 31,590 288,101 * Owens-Illinois, Inc. 107,040 3,401,731 Packaging Corp. of America 49,760 3,315,509 * Penford Corp. 8,331 104,971 PH Glatfelter Co. 27,085 691,209 PolyOne Corp. 63,384 2,374,998 PPG Industries, Inc. 10,790 2,089,160 Praxair, Inc. 24,504 3,198,997 Quaker Chemical Corp. 9,345 695,548 Reliance Steel & Aluminum Co. 49,302 3,491,568 * Resolute Forest Products, Inc. 2,286 40,782 Rock-Tenn Co. Class A 29,685 2,838,183 Rockwood Holdings, Inc. 42,536 3,022,183 # Royal Gold, Inc. 30,200 1,999,240 RPM International, Inc. 70,295 2,998,785 * RTI International Metals, Inc. 20,358 573,281 # Schnitzer Steel Industries, Inc. Class A 18,562 521,035 Schweitzer-Mauduit International, Inc. 22,274 972,037 Scotts Miracle-Gro Co. (The) Class A 13,406 820,581 Sealed Air Corp. 117,429 4,028,989 #* Senomyx, Inc. 11,087 90,803 Sensient Technologies Corp. 35,608 1,924,612 T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ --------- ------------ Materials -- (Continued) Sherwin-Williams Co. (The) 8,800 $ 1,758,592 Sigma-Aldrich Corp. 9,500 913,995 Silgan Holdings, Inc. 15,753 783,712 Sonoco Products Co. 55,927 2,353,408 # Southern Copper Corp. 11,634 350,649 Steel Dynamics, Inc. 154,389 2,820,687 Stepan Co. 14,992 866,987 #* Stillwater Mining Co. 82,167 1,296,595 * SunCoke Energy, Inc. 44,352 925,626 # Synalloy Corp. 4,403 68,247 #* Texas Industries, Inc. 19,423 1,683,974 Tredegar Corp. 12,950 269,490 Tronox, Ltd. Class A 35,449 868,501 # United States Lime & Minerals, Inc. 3,102 167,694 # United States Steel Corp. 100,605 2,617,742 * Universal Stainless & Alloy Products, Inc. 3,717 133,403 # US Silica Holdings, Inc. 11,672 527,224 Valspar Corp. (The) 43,597 3,184,325 * Verso Paper Corp. 1,800 4,896 Vulcan Materials Co. 30,506 1,968,552 # Walter Energy, Inc. 2,050 14,760 Wausau Paper Corp. 34,116 408,027 Westlake Chemical Corp. 88,480 6,299,776 Worthington Industries, Inc. 48,538 1,786,198 * WR Grace & Co. 16,004 1,473,968 Zep, Inc. 13,354 230,891 ------------ Total Materials 235,748,561 ------------ Other -- (0.0%) (o)* Brooklyn Federal Bancorp, Inc. Escrow Shares 2,600 -- (o)* Gerber Scientific, Inc. Escrow Shares 12,557 -- ------------ Total Other -- ------------ Real Estate Investment Trusts -- (0.0%) Crown Castle International Corp. 4,525 329,103 Parkway Properties, Inc. 11,571 218,229 ------------ Total Real Estate Investment Trusts 547,332 ------------ Telecommunication Services -- (2.3%) #* 8x8, Inc. 29,171 282,959 #* Alaska Communications Systems Group, Inc. 13,384 25,296 # Alteva 2,937 17,769 AT&T, Inc. 1,387,275 49,525,717 Atlantic Tele-Network, Inc. 10,116 598,564 #* Boingo Wireless, Inc. 5,464 36,062 * Cbeyond, Inc. 18,794 185,873 # CenturyLink, Inc. 135,938 4,745,596 * Cincinnati Bell, Inc. 98,493 329,952 Cogent Communications Group, Inc. 13,518 465,965 Consolidated Communications Holdings, Inc. 27,618 550,151 # Frontier Communications Corp. 690,273 4,107,124 T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ------------ Telecommunication Services -- (Continued) * General Communication, Inc. Class A 30,061 $ 313,837 #* Hawaiian Telcom Holdco, Inc. 200 5,324 # HC2 Holdings, Inc. 4,924 19,351 # HickoryTech Corp. 8,732 103,649 IDT Corp. Class B 14,987 237,394 Inteliquent, Inc. 22,759 310,433 #* Iridium Communications, Inc. 44,017 293,593 * Level 3 Communications, Inc. 28,896 1,243,395 Lumos Networks Corp. 14,973 197,793 #* NII Holdings, Inc. 6,140 5,280 # NTELOS Holdings Corp. 14,925 205,816 #* ORBCOMM, Inc. 25,932 162,594 * Premiere Global Services, Inc. 33,866 430,775 * SBA Communications Corp. Class A 17,264 1,549,617 Shenandoah Telecommunications Co. 15,922 446,294 #* Sprint Corp. 220,645 1,875,482 #* Straight Path Communications, Inc. Class B 7,493 52,451 T-Mobile US, Inc. 51,251 1,501,142 Telephone & Data Systems, Inc. 69,151 1,880,216 * tw telecom, Inc. 39,457 1,210,935 United States Cellular Corp. 19,296 801,556 USA Mobility, Inc. 13,772 235,914 Verizon Communications, Inc. 740,077 34,583,798 * Vonage Holdings Corp. 144,148 553,528 # Windstream Holdings, Inc. 423,128 3,837,771 ------------ Total Telecommunication Services 112,928,966 ------------ Utilities -- (1.8%) AES Corp. 273,611 3,953,679 AGL Resources, Inc. 28,112 1,518,048 # ALLETE, Inc. 18,861 976,245 Alliant Energy Corp. 11,246 657,666 Ameren Corp. 20,941 865,073 American Electric Power Co., Inc. 28,500 1,533,585 American States Water Co. 18,350 557,106 American Water Works Co., Inc. 9,578 436,086 # Aqua America, Inc. 43,146 1,082,533 # Artesian Resources Corp. Class A 3,453 76,035 Atmos Energy Corp. 23,008 1,174,328 # Avista Corp. 28,229 907,562 Black Hills Corp. 21,763 1,256,813 #* Cadiz, Inc. 2,488 15,998 California Water Service Group 23,030 518,175 * Calpine Corp. 153,092 3,510,400 CenterPoint Energy, Inc. 36,646 907,355 Chesapeake Utilities Corp. 4,988 315,541 Cleco Corp. 21,400 1,124,570 CMS Energy Corp. 35,800 1,085,098 # Connecticut Water Service, Inc. 4,859 157,918 # Consolidated Edison, Inc. 16,132 936,140 # Consolidated Water Co., Ltd. 8,030 93,309 # Delta Natural Gas Co., Inc. 2,958 56,409 T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ---------- Utilities -- (Continued) Dominion Resources, Inc. 34,465 $2,500,091 DTE Energy Co. 15,286 1,194,448 Duke Energy Corp. 40,796 3,038,894 #* Dynegy, Inc. 9,086 258,497 Edison International 18,676 1,056,315 El Paso Electric Co. 18,931 715,970 Empire District Electric Co. (The) 20,041 487,397 Entergy Corp. 12,810 928,725 Exelon Corp. 38,885 1,362,142 FirstEnergy Corp. 22,459 757,991 # Gas Natural, Inc. 1,847 20,132 * Genie Energy, Ltd. Class B 12,764 103,388 Great Plains Energy, Inc. 39,645 1,063,675 # Hawaiian Electric Industries, Inc. 43,152 1,035,217 IDACORP, Inc. 23,465 1,317,325 Integrys Energy Group, Inc. 19,386 1,187,974 ITC Holdings Corp. 41,154 1,521,463 Laclede Group, Inc. (The) 15,349 727,696 MDU Resources Group, Inc. 34,636 1,226,807 # MGE Energy, Inc. 15,789 603,456 Middlesex Water Co. 7,847 159,530 # National Fuel Gas Co. 6,167 454,138 # New Jersey Resources Corp. 19,815 985,400 NextEra Energy, Inc. 25,658 2,561,951 NiSource, Inc. 23,975 870,772 Northeast Utilities 29,182 1,379,141 # Northwest Natural Gas Co. 12,003 531,373 NorthWestern Corp. 18,067 874,081 NRG Energy, Inc. 152,955 5,004,688 OGE Energy Corp. 25,200 940,716 ONE Gas, Inc. 12,437 454,945 # Ormat Technologies, Inc. 22,819 608,811 # Otter Tail Corp. 15,851 464,434 Pepco Holdings, Inc. 32,515 870,101 PG&E Corp. 19,484 888,081 Piedmont Natural Gas Co., Inc. 22,546 806,921 Pinnacle West Capital Corp. 10,000 559,500 PNM Resources, Inc. 37,367 1,034,319 # Portland General Electric Co. 32,483 1,087,206 PPL Corp. 33,167 1,105,788 Public Service Enterprise Group, Inc. 99,549 4,078,523 Questar Corp. 96,766 2,349,479 RGC Resources, Inc. 678 12,950 # SCANA Corp. 11,266 604,759 Sempra Energy 13,294 1,310,921 SJW Corp. 10,844 295,282 South Jersey Industries, Inc. 14,834 852,213 Southern Co. (The) 45,273 2,074,862 Southwest Gas Corp. 22,336 1,228,703 # TECO Energy, Inc. 46,542 835,894 UGI Corp. 80,174 3,743,324 # UIL Holdings Corp. 23,073 847,471 T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ---------- -------------- Utilities -- (Continued) Unitil Corp. 6,897 $ 228,980 # UNS Energy Corp. 19,093 1,146,726 Vectren Corp. 18,943 768,518 # Westar Energy, Inc. 30,202 1,083,648 WGL Holdings, Inc. 23,022 916,045 # Wisconsin Energy Corp. 19,070 924,514 Xcel Energy, Inc. 42,246 1,346,380 # York Water Co. 5,802 116,098 -------------- Total Utilities 91,230,461 -------------- TOTAL COMMON STOCKS 4,589,788,913 -------------- RIGHTS/WARRANTS -- (0.0%) (o)* Community Health Systems, Inc. Rights 01/04/16 137,366 8,255 (o)* Leap Wireless International, Inc. Contingent Value Rights 42,008 105,860 (o)* LGL Group Inc (The) Warrants 08/06/18 6,045 363 (o)#* Magnum Hunter Resources Corp. Warrants 04/15/16 9,520 -- -------------- TOTAL RIGHTS/WARRANTS 114,478 -------------- TEMPORARY CASH INVESTMENTS -- (0.4%) State Street Institutional Liquid Reserves, 0.074% 19,562,306 19,562,306 -------------- SHARES/ FACE AMOUNT (000) ---------- SECURITIES LENDING COLLATERAL -- (8.2%) (S)@ DFA Short Term Investment Fund 35,677,419 412,787,742 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $3,171,512,565) $5,022,253,439 ============== T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, 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 $ 615,788,867 $ 25,273 -- $ 615,814,140 Consumer Staples 278,297,895 -- -- 278,297,895 Energy 564,746,906 -- -- 564,746,906 Financials 851,219,576 1,682 -- 851,221,258 Health Care 495,625,069 20,566 -- 495,645,635 Industrials 643,647,916 226 -- 643,648,142 Information Technology 699,959,617 -- -- 699,959,617 Materials 235,748,561 -- -- 235,748,561 Other -- -- -- -- Real Estate Investment Trusts 547,332 -- -- 547,332 Telecommunication Services 112,928,966 -- -- 112,928,966 Utilities 91,230,461 -- -- 91,230,461 Rights/Warrants -- 114,478 -- 114,478 Temporary Cash Investments 19,562,306 -- -- 19,562,306 Securities Lending Collateral -- 412,787,742 -- 412,787,742 -------------- ------------ -- -------------- TOTAL $4,609,303,472 $412,949,967 -- $5,022,253,439 ============== ============ == ============== TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO SCHEDULE OF INVESTMENTS APRIL 30, 2014 (UNAUDITED) SHARES VALUE++ --------- ------------ COMMON STOCKS -- (96.3%) AUSTRALIA -- (5.1%) Adelaide Brighton, Ltd. 28,536 $ 104,014 * Alumina, Ltd. 1,472,416 1,849,568 * Alumina, Ltd. Sponsored ADR 39,590 196,366 AMP, Ltd. 74,328 349,799 Asciano, Ltd. 1,224,528 6,179,435 Bank of Queensland, Ltd. 211,348 2,416,242 Beach Energy, Ltd. 42,299 67,694 Bendigo and Adelaide Bank, Ltd. 310,555 3,328,411 * BlueScope Steel, Ltd. 363,944 2,200,328 Boral, Ltd. 576,006 3,056,962 Caltex Australia, Ltd. 110,645 2,296,810 Downer EDI, Ltd. 138,773 647,836 Echo Entertainment Group, Ltd. 370,129 973,509 Fairfax Media, Ltd. 52,779 48,223 GrainCorp, Ltd. Class A 197,228 1,626,629 Harvey Norman Holdings, Ltd. 413,690 1,266,077 Incitec Pivot, Ltd. 1,245,981 3,344,548 Leighton Holdings, Ltd. 22,704 403,727 Lend Lease Group 203,104 2,454,713 Macquarie Group, Ltd. 251,147 13,530,771 Metcash, Ltd. 218,027 563,234 New Hope Corp., Ltd. 87,426 254,091 * Newcrest Mining, Ltd. 303,649 2,961,543 Origin Energy, Ltd. 942,278 13,090,025 Primary Health Care, Ltd. 275,866 1,205,735 * Qantas Airways, Ltd. 1,010,685 1,149,688 QBE Insurance Group, Ltd. 298,258 3,218,989 Rio Tinto, Ltd. 174,365 10,055,488 Santos, Ltd. 1,313,407 16,839,665 Seven Group Holdings, Ltd. 101,875 780,366 #* Sims Metal Management, Ltd. 83,499 763,656 * Sims Metal Management, Ltd. Sponsored ADR 7,228 65,197 Sonic Healthcare, Ltd. 41,394 682,801 Suncorp Group, Ltd. 1,046,263 12,706,009 Tabcorp Holdings, Ltd. 654,219 2,267,301 Tatts Group, Ltd. 1,172,928 3,298,947 Toll Holdings, Ltd. 754,060 3,719,472 Treasury Wine Estates, Ltd. 440,182 1,567,634 Wesfarmers, Ltd. 836,327 33,285,056 Woodside Petroleum, Ltd. 130,279 4,952,051 WorleyParsons, Ltd. 9,676 151,735 ------------ TOTAL AUSTRALIA 159,920,345 ------------ AUSTRIA -- (0.2%) Erste Group Bank AG 152,120 5,114,936 Raiffeisen Bank International AG 38,849 1,228,038 ------------ TOTAL AUSTRIA 6,342,974 ------------ BELGIUM -- (1.3%) Ageas 200,367 8,622,939 TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- BELGIUM -- (Continued) Delhaize Group SA 66,697 $ 4,966,476 Delhaize Group SA Sponsored ADR 42,400 792,032 KBC Groep NV 166,884 10,183,739 Solvay SA 60,195 9,754,903 UCB SA 99,152 8,133,101 ----------- TOTAL BELGIUM 42,453,190 ----------- CANADA -- (8.7%) Agnico Eagle Mines, Ltd. 49,793 1,471,881 Agrium, Inc. 17,441 1,675,557 * Athabasca Oil Corp. 1,661 12,336 Bank of Montreal 46,267 3,189,647 Barrick Gold Corp. 786,519 13,740,487 # Bell Aliant, Inc. 14,515 357,561 #* BlackBerry, Ltd.(09228F103) 71,901 550,762 #* BlackBerry, Ltd.(BCBHZ31) 211,699 1,616,642 Bonavista Energy Corp. 100,638 1,581,120 Cameco Corp.(2166160) 55,352 1,178,196 Cameco Corp.(13321L108) 154,117 3,281,151 Canadian Natural Resources, Ltd.(136385101) 420,627 17,148,963 Canadian Natural Resources, Ltd.(2171573) 440,539 17,950,341 Canadian Tire Corp., Ltd. Class A 83,955 8,245,751 # Crescent Point Energy Corp. 185,427 7,543,625 Eldorado Gold Corp. 122,985 750,209 Empire Co., Ltd. 20,496 1,296,462 Enerplus Corp.(292766102) 58,546 1,300,307 Enerplus Corp.(B584T89) 91,668 2,033,163 Ensign Energy Services, Inc. 70,294 1,106,310 Fairfax Financial Holdings, Ltd. 13,300 5,799,069 First Quantum Minerals, Ltd. 334,002 6,652,301 Genworth MI Canada, Inc. 27,305 957,873 George Weston, Ltd. 11,692 880,914 Goldcorp, Inc.(380956409) 212,269 5,247,290 Goldcorp, Inc.(2676302) 390,268 9,638,753 Husky Energy, Inc. 258,428 8,445,683 IAMGOLD Corp. 88,001 306,705 Industrial Alliance Insurance & Financial Services, Inc. 51,100 2,109,644 Kinross Gold Corp. 1,198,607 4,866,385 Loblaw Cos., Ltd. 74,387 3,233,922 Magna International, Inc. 73,759 7,226,168 Manulife Financial Corp. 1,149,080 21,575,719 * MEG Energy Corp. 43,709 1,573,612 * Osisko Mining Corp. 59,900 429,009 Pacific Rubiales Energy Corp. 191,230 3,121,303 Pan American Silver Corp.(697900108) 12,300 159,408 Pan American Silver Corp.(2669272) 82,200 1,064,951 # Pengrowth Energy Corp. 335,359 2,178,510 Penn West Petroleum, Ltd. 270,898 2,449,340 Precision Drilling Corp.(B5YPLH9) 177,274 2,304,780 Precision Drilling Corp.(74022D308) 20,100 261,300 Sun Life Financial, Inc. 399,858 13,534,722 Suncor Energy, Inc.(867224107) 108,486 4,187,560 TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO CONTINUED SHARES VALUE++ --------- ------------ CANADA -- (Continued) Suncor Energy, Inc.(B3NB1P2) 1,078,999 $ 41,622,260 Talisman Energy, Inc.(2068299) 689,216 7,124,508 Talisman Energy, Inc.(87425E103) 256,537 2,650,027 Teck Resources, Ltd. Class A 1,220 29,152 Teck Resources, Ltd. Class B(878742204) 6,531 148,711 Teck Resources, Ltd. Class B(2879327) 407,968 9,297,971 Thomson Reuters Corp. 335,015 12,125,400 TransAlta Corp. 186,436 2,277,613 Trican Well Service, Ltd. 6,535 93,608 * Turquoise Hill Resources, Ltd.(900435108) 62,800 244,920 * Turquoise Hill Resources, Ltd.(B7WJ1F5) 191,172 743,025 West Fraser Timber Co., Ltd. 31,173 1,393,620 Yamana Gold, Inc. 500,904 3,752,039 ------------ TOTAL CANADA 275,738,246 ------------ DENMARK -- (1.5%) AP Moeller - Maersk A.S. Class A 1,650 3,748,580 AP Moeller - Maersk A.S. Class B 5,120 12,222,761 Carlsberg A.S. Class B 86,521 8,654,899 Danske Bank A.S. 489,154 13,839,741 # FLSmidth & Co. A.S. 17,784 952,112 GN Store Nord A.S. 13,475 325,538 H Lundbeck A.S. 37,811 1,102,000 Rockwool International A.S. Class B 2,810 542,030 TDC A.S. 668,610 6,278,835 ------------ TOTAL DENMARK 47,666,496 ------------ FINLAND -- (1.2%) # Fortum Oyj 350,251 7,912,899 Kesko Oyj Class B 32,608 1,334,732 # Neste Oil Oyj 55,713 1,145,778 #* Nokia Oyj 1,745,242 13,067,622 Stora Enso Oyj Class R 526,010 5,371,409 UPM-Kymmene Oyj 485,229 8,498,202 ------------ TOTAL FINLAND 37,330,642 ------------ FRANCE -- (10.0%) # AXA SA 987,329 25,765,346 AXA SA Sponsored ADR 394,508 9,902,151 BNP Paribas SA 593,662 44,610,413 * Bollore SA(BDGTH22) 32 19,756 Bollore SA(4572709) 5,989 3,817,148 Bouygues SA 154,380 6,953,414 Cap Gemini SA 54,234 3,831,832 Casino Guichard Perrachon SA 44,834 5,712,892 * CGG SA 43,170 746,918 * CGG SA Sponsored ADR 28,903 497,132 Cie de St-Gobain 355,943 21,807,006 Cie Generale des Etablissements Michelin 61,394 7,528,793 CNP Assurances 114,259 2,635,903 * Credit Agricole SA 725,973 11,454,726 TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO CONTINUED SHARES VALUE++ --------- ------------ FRANCE -- (Continued) Eiffage SA 12,016 $ 908,314 Electricite de France SA 188,405 7,234,923 GDF Suez 1,112,207 28,031,425 Lafarge SA 130,242 11,916,991 Lagardere SCA 72,518 3,039,268 Natixis 572,256 4,062,248 Orange SA 1,431,646 23,194,485 #* Peugeot SA 98,768 1,747,497 Renault SA 246,024 24,053,729 Rexel SA 103,416 2,610,931 SCOR SE 29,014 1,061,702 Societe Generale SA 437,609 27,253,056 STMicroelectronics NV 517,564 4,935,589 Vallourec SA 52,820 3,121,423 Vivendi SA 1,017,849 27,346,296 ------------ TOTAL FRANCE 315,801,307 ------------ GERMANY -- (8.0%) # Allianz SE 145,482 25,318,210 Allianz SE ADR 716,588 12,504,461 Bayerische Motoren Werke AG 230,620 28,990,073 Celesio AG 36,473 1,267,595 * Commerzbank AG 420,377 7,495,808 Daimler AG 692,538 64,474,682 Deutsche Bank AG(D18190898) 206,997 9,114,078 Deutsche Bank AG(5750355) 285,291 12,565,776 Deutsche Lufthansa AG 174,041 4,370,661 Deutsche Telekom AG Sponsored ADR 59,214 991,835 # E.ON SE 1,187,081 22,738,354 Fraport AG Frankfurt Airport Services Worldwide 13,457 995,240 # HeidelbergCement AG 88,728 7,709,406 # K+S AG 62,005 2,172,662 * Metro AG 60,385 2,419,249 # Muenchener Rueckversicherungs AG 112,068 25,905,517 RWE AG 507,020 19,348,428 Volkswagen AG 20,821 5,583,120 # Wacker Chemie AG 4,762 559,661 ------------ TOTAL GERMANY 254,524,816 ------------ HONG KONG -- (2.5%) Cathay Pacific Airways, Ltd. 983,000 1,860,300 Cheung Kong Holdings, Ltd. 533,000 9,088,444 * FIH Mobile, Ltd. 777,000 419,687 Guoco Group, Ltd. 1,000 11,991 Hang Lung Group, Ltd. 87,000 472,476 # Henderson Land Development Co., Ltd. 1,074,383 6,449,882 Hongkong & Shanghai Hotels (The) 413,918 605,332 Hopewell Holdings, Ltd. 421,331 1,450,326 Hutchison Whampoa, Ltd. 1,722,000 23,624,968 * Kerry Logistics Network, Ltd. 140,250 206,372 Kerry Properties, Ltd. 465,500 1,538,918 MTR Corp., Ltd. 147,000 557,393 TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- HONG KONG -- (Continued) New World Development Co., Ltd. 5,563,201 $ 5,762,892 NWS Holdings, Ltd. 243,953 415,849 Orient Overseas International, Ltd. 178,048 851,725 Shangri-La Asia, Ltd. 436,000 715,416 Sino Land Co., Ltd. 568,357 852,245 Sun Hung Kai Properties, Ltd. 627,434 7,937,256 Swire Pacific, Ltd. Class A 256,000 2,955,020 Swire Pacific, Ltd. Class B 12,500 27,754 Tsim Sha Tsui Properties, Ltd. 259,630 605,519 Wharf Holdings, Ltd. 1,003,000 7,060,642 Wheelock & Co., Ltd. 1,083,000 4,484,233 ----------- TOTAL HONG KONG 77,954,640 ----------- IRELAND -- (0.1%) * Bank of Ireland 3,973,398 1,551,419 * Bank of Ireland Sponsored ADR 36,719 632,301 CRH P.L.C. Sponsored ADR 25,104 735,045 ----------- TOTAL IRELAND 2,918,765 ----------- ISRAEL -- (0.3%) Bank Hapoalim BM 859,067 4,852,863 * Bank Leumi Le-Israel BM 954,737 3,735,668 * Israel Discount Bank, Ltd. Class A 522,880 934,882 Mizrahi Tefahot Bank, Ltd. 24,799 331,510 ----------- TOTAL ISRAEL 9,854,923 ----------- ITALY -- (1.8%) #* Banca Monte dei Paschi di Siena SpA 817,667 273,281 * Banco Popolare SC 189,916 3,924,883 Intesa Sanpaolo SpA 3,543,009 12,124,279 * Telecom Italia SpA 9,177,488 11,793,330 Telecom Italia SpA Sponsored ADR 192,351 2,469,787 UniCredit SpA 2,940,970 26,350,043 Unione di Banche Italiane SCPA 161,302 1,539,707 ----------- TOTAL ITALY 58,475,310 ----------- JAPAN -- (19.3%) 77 Bank, Ltd. (The) 298,000 1,345,329 # Aeon Co., Ltd. 715,200 8,260,290 Aisin Seiki Co., Ltd. 131,500 4,647,127 Alfresa Holdings Corp. 26,400 1,643,580 Amada Co., Ltd. 248,000 1,793,585 Aoyama Trading Co., Ltd. 29,200 724,596 Asahi Glass Co., Ltd. 1,306,000 7,404,211 Asahi Kasei Corp. 1,494,000 10,157,403 Asatsu-DK, Inc. 5,000 113,107 Autobacs Seven Co., Ltd. 34,800 538,395 Azbil Corp. 2,900 65,809 Bank of Kyoto, Ltd. (The) 201,000 1,637,756 Bank of Yokohama, Ltd. (The) 755,000 3,794,702 Brother Industries, Ltd. 127,600 1,784,802 TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- JAPAN -- (Continued) Canon Marketing Japan, Inc. 39,500 $ 636,171 Chiba Bank, Ltd. (The) 463,000 2,943,018 Chugoku Bank, Ltd. (The) 109,400 1,450,245 Citizen Holdings Co., Ltd. 160,300 1,177,229 Coca-Cola West Co., Ltd. 40,800 710,087 COMSYS Holdings Corp. 67,800 1,111,516 Cosmo Oil Co., Ltd. 356,000 665,976 Dai Nippon Printing Co., Ltd. 462,000 4,161,398 Dai-ichi Life Insurance Co., Ltd. (The) 123,100 1,705,765 Daicel Corp. 255,000 2,135,569 Daido Steel Co., Ltd. 166,000 811,637 Denki Kagaku Kogyo K.K. 302,000 1,001,594 Fuji Electric Co., Ltd. 105,000 476,519 Fuji Media Holdings, Inc. 34,200 576,185 FUJIFILM Holdings Corp. 384,600 9,935,017 Fukuoka Financial Group, Inc. 480,000 1,960,323 Fukuyama Transporting Co., Ltd. 34,000 198,974 Furukawa Electric Co., Ltd. 263,000 592,134 Glory, Ltd. 29,700 768,381 Gunma Bank, Ltd. (The) 208,000 1,105,577 H2O Retailing Corp. 75,000 565,990 Hachijuni Bank, Ltd. (The) 364,000 1,989,963 Hakuhodo DY Holdings, Inc. 106,800 828,465 Hankyu Hanshin Holdings, Inc. 630,000 3,452,761 Higo Bank, Ltd. (The) 104,000 534,542 Hiroshima Bank, Ltd. (The) 141,000 580,108 Hitachi Capital Corp. 13,400 330,275 Hitachi Chemical Co., Ltd. 65,400 962,141 # Hitachi Construction Machinery Co., Ltd. 71,700 1,330,505 Hitachi High-Technologies Corp. 40,835 934,144 Hitachi Transport System, Ltd. 24,285 372,650 Hokuhoku Financial Group, Inc. 681,000 1,314,152 House Foods Group, Inc. 38,100 633,991 Ibiden Co., Ltd. 108,200 1,953,023 Idemitsu Kosan Co., Ltd. 82,500 1,824,365 Isetan Mitsukoshi Holdings, Ltd. 253,555 3,155,254 ITOCHU Corp. 1,159,000 12,992,147 Iyo Bank, Ltd. (The) 161,000 1,447,555 J Front Retailing Co., Ltd. 444,000 2,822,305 JFE Holdings, Inc. 381,900 7,057,991 Joyo Bank, Ltd. (The) 398,000 1,937,104 JTEKT Corp. 125,700 1,834,024 JX Holdings, Inc. 1,865,786 9,694,249 K's Holdings Corp. 12,000 348,244 Kagoshima Bank, Ltd. (The) 145,000 905,684 Kajima Corp. 608,000 2,314,963 Kamigumi Co., Ltd. 160,000 1,525,170 Kaneka Corp. 241,000 1,413,541 Kawasaki Kisen Kaisha, Ltd. 866,000 1,738,881 Keiyo Bank, Ltd. (The) 108,000 475,371 Kewpie Corp. 23,300 335,159 Kobe Steel, Ltd. 3,087,000 4,052,181 TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO CONTINUED SHARES VALUE++ ---------- ----------- JAPAN -- (Continued) Konica Minolta, Inc. 599,000 $ 5,581,557 Kuraray Co., Ltd. 356,700 4,010,651 Kurita Water Industries, Ltd. 11,000 231,661 Kyocera Corp. 256,600 12,067,870 Kyocera Corp. Sponsored ADR 3,558 167,724 Kyowa Hakko Kirin Co., Ltd. 178,000 2,027,014 Lintec Corp. 8,500 158,051 LIXIL Group Corp. 99,640 2,640,452 Maeda Road Construction Co., Ltd. 23,000 356,628 Marubeni Corp. 1,261,000 8,426,522 Marui Group Co., Ltd. 159,500 1,416,778 Matsumotokiyoshi Holdings Co., Ltd. 900 26,559 Medipal Holdings Corp. 93,500 1,315,120 MEIJI Holdings Co., Ltd. 41,900 2,571,270 Mitsubishi Chemical Holdings Corp. 1,819,000 7,279,687 Mitsubishi Corp. 1,136,600 20,353,439 Mitsubishi Gas Chemical Co., Inc. 246,000 1,420,278 Mitsubishi Logistics Corp. 70,000 1,004,288 Mitsubishi Materials Corp. 1,303,000 3,779,395 Mitsubishi Tanabe Pharma Corp. 155,300 2,129,517 Mitsubishi UFJ Financial Group, Inc. 7,531,834 40,065,545 Mitsubishi UFJ Financial Group, Inc. ADR 1,691,580 9,049,953 Mitsui & Co., Ltd. 1,287,200 18,255,547 Mitsui & Co., Ltd. Sponsored ADR 4,829 1,364,675 Mitsui Chemicals, Inc. 545,000 1,328,043 Mitsui Mining & Smelting Co., Ltd. 231,000 572,799 Mitsui OSK Lines, Ltd. 1,032,000 3,442,820 Mizuho Financial Group, Inc. 13,848,700 27,124,163 MS&AD Insurance Group Holdings 301,891 6,772,062 Nagase & Co., Ltd. 96,000 1,176,297 Nanto Bank, Ltd. (The) 58,000 217,696 NEC Corp. 3,343,000 9,403,845 NHK Spring Co., Ltd. 30,200 273,367 Nippo Corp. 37,000 565,341 Nippon Electric Glass Co., Ltd. 264,000 1,291,466 Nippon Express Co., Ltd. 608,000 2,874,208 Nippon Meat Packers, Inc. 123,397 2,138,640 # Nippon Paper Industries Co., Ltd. 77,200 1,410,884 Nippon Shokubai Co., Ltd. 86,000 992,291 Nippon Steel & Sumitomo Metal Corp. 6,147,000 16,127,497 Nippon Yusen K.K. 1,585,000 4,296,178 Nishi-Nippon City Bank, Ltd. (The) 368,000 837,051 Nissan Motor Co., Ltd. 1,792,200 15,464,169 Nissan Shatai Co., Ltd. 4,200 63,985 # Nisshin Seifun Group, Inc. 135,300 1,574,159 Nisshin Steel Co., Ltd. 28,800 295,788 Nisshinbo Holdings, Inc. 80,000 685,382 NKSJ Holdings, Inc. 141,600 3,532,755 NOK Corp. 65,500 1,070,845 Nomura Holdings, Inc. 15,200 88,021 * NTN Corp. 408,000 1,396,348 NTT DOCOMO, Inc. 1,212,400 19,338,437 TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- JAPAN -- (Continued) # NTT DOCOMO, Inc. Sponsored ADR 5,206 $ 83,192 Obayashi Corp. 470,000 3,034,739 Oji Holdings Corp. 939,000 3,945,198 Onward Holdings Co., Ltd. 84,000 564,990 Otsuka Holdings Co., Ltd. 46,100 1,328,039 Pola Orbis Holdings, Inc. 13,500 528,331 Rengo Co., Ltd. 93,000 415,591 Resona Holdings, Inc. 1,053,200 5,385,013 Ricoh Co., Ltd. 902,700 10,401,874 Sankyo Co., Ltd. 34,600 1,383,689 # SBI Holdings, Inc. 119,800 1,370,025 Seiko Epson Corp. 21,400 584,006 Seino Holdings Co., Ltd. 82,000 810,466 Sekisui Chemical Co., Ltd. 209,000 2,118,048 Sekisui House, Ltd. 467,400 5,610,481 Shiga Bank, Ltd. (The) 195,000 1,066,311 Shimadzu Corp. 76,000 649,230 Shimizu Corp. 405,000 2,295,799 Shinsei Bank, Ltd. 10,000 19,496 Shizuoka Bank, Ltd. (The) 303,000 2,895,167 Showa Denko K.K. 1,337,000 1,781,491 Showa Shell Sekiyu K.K. 113,100 1,147,333 SKY Perfect JSAT Holdings, Inc. 93,900 504,912 Sojitz Corp. 805,500 1,270,128 Sony Corp. 166,000 2,914,228 Sony Corp. Sponsored ADR 678,816 11,974,314 Sumitomo Bakelite Co., Ltd. 52,000 198,040 Sumitomo Chemical Co., Ltd. 2,058,000 7,720,881 Sumitomo Corp. 903,300 11,725,271 Sumitomo Electric Industries, Ltd. 598,800 8,288,095 Sumitomo Forestry Co., Ltd. 105,700 1,075,050 Sumitomo Heavy Industries, Ltd. 368,000 1,565,802 Sumitomo Metal Mining Co., Ltd. 462,000 6,978,285 Sumitomo Mitsui Financial Group, Inc. 739,027 29,213,962 Sumitomo Mitsui Trust Holdings, Inc. 1,692,000 6,972,221 Sumitomo Osaka Cement Co., Ltd. 133,000 528,958 Sumitomo Rubber Industries, Ltd. 67,300 935,326 Suzuken Co., Ltd. 45,600 1,643,657 Suzuki Motor Corp. 263,900 6,808,636 T&D Holdings, Inc. 271,400 3,239,510 Taisei Corp. 644,000 2,985,561 Taiyo Nippon Sanso Corp. 45,000 358,685 Takashimaya Co., Ltd. 192,000 1,819,045 Takata Corp. 19,600 461,815 TDK Corp. 154,300 6,579,579 Teijin, Ltd. 1,017,000 2,499,839 Toho Holdings Co., Ltd. 11,500 231,820 Tokai Rika Co., Ltd. 30,300 526,590 # Toppan Printing Co., Ltd. 408,000 2,802,083 Toshiba TEC Corp. 44,000 286,645 Tosoh Corp. 463,000 1,766,764 Toyo Seikan Group Holdings, Ltd. 118,200 1,757,856 TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO CONTINUED SHARES VALUE++ --------- ------------ JAPAN -- (Continued) Toyobo Co., Ltd. 129,000 $ 208,316 Toyoda Gosei Co., Ltd. 28,700 528,821 # Toyota Boshoku Corp. 10,400 107,508 Toyota Tsusho Corp. 230,400 6,068,553 Ube Industries, Ltd. 903,000 1,529,877 * Universal Entertainment Corp. 500 8,886 UNY Group Holdings Co., Ltd. 104,000 671,170 Ushio, Inc. 44,600 582,548 Wacoal Holdings Corp. 52,000 512,941 Yamada Denki Co., Ltd. 590,700 2,182,324 Yamaguchi Financial Group, Inc. 115,000 1,060,508 Yamaha Corp. 111,400 1,492,611 Yamato Kogyo Co., Ltd. 24,400 703,652 Yamazaki Baking Co., Ltd. 84,000 1,026,338 ------------ TOTAL JAPAN 609,481,743 ------------ NETHERLANDS -- (3.6%) Aegon NV 1,473,533 13,507,007 Akzo Nobel NV 161,513 12,446,527 ArcelorMittal(B03XPL1) 1,128,008 18,342,803 ArcelorMittal(B295F26) 188,842 3,068,683 * ING Groep NV 1,578,512 22,564,600 * ING Groep NV Sponsored ADR 207,810 2,971,683 Koninklijke Ahold NV 565,953 10,940,947 Koninklijke Boskalis Westminster NV 27,496 1,558,382 Koninklijke DSM NV 161,589 11,603,345 * Koninklijke KPN NV 621,739 2,208,956 Koninklijke Philips NV 429,882 13,761,877 Randstad Holding NV 5,794 338,599 ------------ TOTAL NETHERLANDS 113,313,409 ------------ NEW ZEALAND -- (0.1%) Auckland International Airport, Ltd. 108,003 369,900 Contact Energy, Ltd. 338,257 1,661,503 Fletcher Building, Ltd. 52,469 446,161 ------------ TOTAL NEW ZEALAND 2,477,564 ------------ NORWAY -- (0.7%) # Aker ASA Class A 12,658 428,759 # DNB ASA 628,280 11,136,588 # Norsk Hydro ASA 853,507 4,577,523 # Orkla ASA 105,903 875,880 # SpareBank 1 SR Bank ASA 8,247 79,988 Stolt-Nielsen, Ltd. 2,191 59,239 * Storebrand ASA 202,119 1,134,567 Subsea 7 SA 151,633 3,036,338 # Wilh Wilhelmsen Holding ASA Class A 99 3,141 # Yara International ASA 21,616 1,021,820 ------------ TOTAL NORWAY 22,353,843 ------------ TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- PORTUGAL -- (0.1%) * Banco Espirito Santo SA 865,680 $ 1,534,446 * EDP Renovaveis SA 166,881 1,144,410 ----------- TOTAL PORTUGAL 2,678,856 ----------- SINGAPORE -- (1.1%) CapitaLand, Ltd. 3,205,000 8,202,476 City Developments, Ltd. 86,000 745,105 DBS Group Holdings, Ltd. 184,797 2,503,475 Golden Agri-Resources, Ltd. 5,519,000 2,692,358 Hutchison Port Holdings Trust 1,850,000 1,259,030 Keppel Land, Ltd. 434,000 1,200,637 #* Neptune Orient Lines, Ltd. 271,000 219,801 Noble Group, Ltd. 5,005,000 5,153,545 # Olam International, Ltd. 1,073,000 1,914,680 OUE Hospitality Trust 39,167 27,187 # OUE, Ltd. 235,000 426,076 Singapore Airlines, Ltd. 658,400 5,458,419 # United Industrial Corp., Ltd. 428,000 1,144,588 UOL Group, Ltd. 22,000 112,953 Venture Corp., Ltd. 148,000 906,523 Wilmar International, Ltd. 1,432,000 3,891,909 ----------- TOTAL SINGAPORE 35,858,762 ----------- SPAIN -- (2.5%) # Acciona SA 41,333 3,362,266 Banco de Sabadell SA 1,436,790 4,888,364 Banco Popular Espanol SA 886,650 6,533,656 Banco Santander SA 2,192,883 21,809,683 Banco Santander SA Sponsored ADR 1,845 18,376 CaixaBank SA 1,351,127 8,234,750 Iberdrola SA 3,245,520 22,671,689 Repsol SA 431,929 11,629,450 ----------- TOTAL SPAIN 79,148,234 ----------- SWEDEN -- (3.1%) Boliden AB 144,602 2,208,404 Husqvarna AB Class B 12,955 108,169 ICA Gruppen AB 24,222 814,734 Meda AB Class A 84,422 1,517,480 Nordea Bank AB 1,822,627 26,410,954 Skandinaviska Enskilda Banken AB Class A 931,974 12,873,280 Skandinaviska Enskilda Banken AB Class C 6,988 95,050 * SSAB AB Class A 114,594 1,000,497 #* SSAB AB Class B 39,135 296,072 Svenska Cellulosa AB Class A 9,172 256,500 Svenska Cellulosa AB Class B 489,187 13,752,528 Svenska Handelsbanken AB Class A 9,617 483,735 Swedbank AB Class A 229,409 6,139,424 Tele2 AB Class B 25,345 323,886 Telefonaktiebolaget LM Ericsson Class B 1,777,471 21,433,559 Telefonaktiebolaget LM Ericsson Sponsored ADR 135,337 1,622,691 TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO CONTINUED SHARES VALUE++ ---------- ------------ SWEDEN -- (Continued) TeliaSonera AB 932,942 $ 6,790,936 Trelleborg AB Class B 38,840 831,041 ------------ TOTAL SWEDEN 96,958,940 ------------ SWITZERLAND -- (9.2%) ABB, Ltd. 82,282 1,981,028 Adecco SA 90,409 7,590,021 Aryzta AG 70,330 6,500,987 Baloise Holding AG 44,870 5,463,980 Banque Cantonale Vaudoise 100 59,359 Clariant AG 198,988 3,924,024 Credit Suisse Group AG 941,145 29,836,774 Credit Suisse Group AG Sponsored ADR 103,658 3,282,849 Givaudan SA 1,610 2,540,861 Holcim, Ltd. 241,079 22,110,899 Lonza Group AG 17,436 1,824,861 Novartis AG 811,428 70,539,462 Novartis AG ADR 189,650 16,488,171 Sika AG 134 542,190 Sulzer AG 14,697 2,267,781 Swiss Life Holding AG 30,648 7,550,920 Swiss Re AG 456,584 39,924,200 UBS AG(B18YFJ4) 1,543,793 32,286,677 UBS AG(H89231338) 214,814 4,491,761 Zurich Insurance Group AG 105,743 30,322,721 ------------ TOTAL SWITZERLAND 289,529,526 ------------ UNITED KINGDOM -- (15.9%) Anglo American P.L.C. 942,482 25,195,464 Barclays P.L.C. 4,222,955 18,032,198 Barclays P.L.C. Sponsored ADR 1,053,220 18,020,600 Barratt Developments P.L.C. 110,113 688,665 BP P.L.C. Sponsored ADR 2,374,137 120,178,814 Carnival P.L.C. 103,130 4,123,013 # Carnival P.L.C. ADR 91,252 3,641,867 Glencore Xstrata P.L.C. 2,714,417 14,646,353 HSBC Holdings P.L.C. 1,350,754 13,801,479 HSBC Holdings P.L.C. Sponsored ADR 684,845 35,146,245 Investec P.L.C. 278,720 2,459,360 J Sainsbury P.L.C. 1,193,358 6,769,683 Kingfisher P.L.C. 2,319,541 16,413,951 * Lloyds Banking Group P.L.C. 20,203,383 25,763,605 * Lloyds Banking Group P.L.C. ADR 172,033 889,411 Mondi P.L.C. 25,975 431,806 Old Mutual P.L.C. 3,367,105 11,381,097 Pearson P.L.C. Sponsored ADR 238,937 4,484,848 Resolution, Ltd. 946,610 4,775,500 * Royal Bank of Scotland Group P.L.C. 814,582 4,127,034 #* Royal Bank of Scotland Group P.L.C. Sponsored ADR 339,971 3,454,105 Royal Dutch Shell P.L.C. ADR(780259107) 943,951 79,905,452 Royal Dutch Shell P.L.C. ADR(780259206) 401,472 31,611,905 Royal Dutch Shell P.L.C. Class A 13,348 527,703 TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO CONTINUED SHARES VALUE++ --------- -------------- UNITED KINGDOM -- (Continued) RSA Insurance Group P.L.C. 723,892 $ 1,201,962 Vedanta Resources P.L.C. 53,978 864,362 Vodafone Group P.L.C. 8,067,235 30,628,119 Vodafone Group P.L.C. Sponsored ADR 465,674 17,676,971 WM Morrison Supermarkets P.L.C. 1,291,763 4,385,105 -------------- TOTAL UNITED KINGDOM 501,226,677 -------------- TOTAL COMMON STOCKS 3,042,009,208 -------------- PREFERRED STOCKS -- (0.2%) GERMANY -- (0.2%) Porsche Automobil Holding SE 46,252 5,115,239 -------------- RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) * Bank of Queensland, Ltd. Rights 05/09/14 21,864 -- -------------- FRANCE -- (0.0%) * Peugeot SA Warrants 04/29/17 98,768 188,959 -------------- HONG KONG -- (0.0%) * Sun Hung Kai Properties 04/22/16 51,750 35,377 -------------- SPAIN -- (0.0%) * Banco Santander SA 2,192,882 463,916 -------------- TOTAL RIGHTS/WARRANTS 688,252 -------------- SHARES/ FACE AMOUNT (000) VALUE+ --------- -------------- SECURITIES LENDING COLLATERAL -- (3.5%) (S)@ DFA Short Term Investment Fund 9,652,150 111,675,372 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $2,709,726,949) $3,159,488,071 ============== TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, 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 $ 261,563 $ 159,658,782 -- $ 159,920,345 Austria -- 6,342,974 -- 6,342,974 Belgium 792,032 41,661,158 -- 42,453,190 Canada 275,738,246 -- -- 275,738,246 Denmark -- 47,666,496 -- 47,666,496 Finland -- 37,330,642 -- 37,330,642 France 10,419,039 305,382,268 -- 315,801,307 Germany 22,610,374 231,914,442 -- 254,524,816 Hong Kong -- 77,954,640 -- 77,954,640 Ireland 1,367,346 1,551,419 -- 2,918,765 Israel -- 9,854,923 -- 9,854,923 Italy 2,469,787 56,005,523 -- 58,475,310 Japan 22,639,858 586,841,885 -- 609,481,743 Netherlands 6,040,366 107,273,043 -- 113,313,409 New Zealand -- 2,477,564 -- 2,477,564 Norway -- 22,353,843 -- 22,353,843 Portugal -- 2,678,856 -- 2,678,856 Singapore -- 35,858,762 -- 35,858,762 Spain 18,376 79,129,858 -- 79,148,234 Sweden 1,622,691 95,336,249 -- 96,958,940 Switzerland 24,262,781 265,266,745 -- 289,529,526 United Kingdom 315,010,218 186,216,459 -- 501,226,677 Preferred Stocks Germany -- 5,115,239 -- 5,115,239 Rights/Warrants Australia -- -- -- -- France -- 188,959 -- 188,959 Hong Kong -- 35,377 -- 35,377 Spain -- 463,916 -- 463,916 Securities Lending Collateral -- 111,675,372 -- 111,675,372 ------------ -------------- -- -------------- TOTAL $683,252,677 $2,476,235,394 -- $3,159,488,071 ============ ============== == ============== T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO SCHEDULE OF INVESTMENTS APRIL 30, 2014 (UNAUDITED) SHARES VALUE++ ------- ---------- COMMON STOCKS -- (96.6%) AUSTRALIA -- (4.7%) Acrux, Ltd. 8,981 $ 8,676 Adelaide Brighton, Ltd. 94,917 345,974 * Aditya Birla Minerals, Ltd. 7,401 1,616 AGL Energy, Ltd. 23,447 344,201 Ainsworth Game Technology, Ltd. 2,109 8,158 * AJ Lucas Group, Ltd. 8,887 7,586 # ALS, Ltd. 66,044 461,893 * Alumina, Ltd. 571,613 718,029 * Alumina, Ltd. Sponsored ADR 14,400 71,424 Amalgamated Holdings, Ltd. 22,951 187,659 Amcom Telecommunications, Ltd. 33,789 66,106 Amcor, Ltd. 147,315 1,413,776 AMP, Ltd. 357,663 1,683,219 Ansell, Ltd. 20,310 342,042 * Antares Energy, Ltd. 34,313 12,779 AP Eagers, Ltd. 15,769 74,114 APA Group 83,807 519,464 * APN News & Media, Ltd. 164,116 108,237 * Aquarius Platinum, Ltd. 41,410 14,841 #* Aquila Resources, Ltd. 22,801 53,187 ARB Corp., Ltd. 6,804 77,274 Aristocrat Leisure, Ltd. 37,336 175,165 Arrium, Ltd. 380,081 423,583 Asciano, Ltd. 156,632 790,425 * ASG Group, Ltd. 36,938 12,363 ASX, Ltd. 20,952 693,343 # Atlas Iron, Ltd. 248,992 211,176 Aurizon Holdings, Ltd. 79,406 383,390 * Aurora Oil & Gas, Ltd. 48,275 183,427 Ausdrill, Ltd. 76,045 65,975 Ausenco, Ltd. 31,177 16,103 * Austal, Ltd. 32,722 31,949 Austin Engineering, Ltd. 9,103 17,451 Australia & New Zealand Banking Group, Ltd. 185,705 5,971,859 * Australian Agricultural Co., Ltd. 97,204 115,662 Australian Infrastructure Fund, Ltd. 80,194 336 Australian Pharmaceutical Industries, Ltd. 99,134 53,480 Automotive Holdings Group, Ltd. 47,147 175,759 Aveo Group 83,543 158,054 * AVJennings, Ltd. 8,932 4,796 * AWE, Ltd. 171,641 250,742 Bank of Queensland, Ltd. 88,315 1,009,664 BC Iron, Ltd. 6,757 27,529 Beach Energy, Ltd. 358,445 573,642 Bega Cheese, Ltd. 2,584 12,380 Bendigo and Adelaide Bank, Ltd. 109,631 1,174,984 BHP Billiton, Ltd. 66,721 2,349,686 BHP Billiton, Ltd. Sponsored ADR 25,036 1,766,039 * Billabong International, Ltd. 109,846 48,582 Blackmores, Ltd. 1,011 25,255 * BlueScope Steel, Ltd. 140,180 847,499 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ---------- AUSTRALIA -- (Continued) #* Boart Longyear, Ltd. 112,356 $ 29,886 Boral, Ltd. 203,956 1,082,429 Bradken, Ltd. 54,874 216,564 Brambles, Ltd. 75,149 660,805 Breville Group, Ltd. 12,427 106,120 Brickworks, Ltd. 8,373 104,376 BT Investment Management, Ltd. 7,986 49,845 * Buru Energy, Ltd. 2,744 2,995 Cabcharge Australia, Ltd. 29,769 107,456 Caltex Australia, Ltd. 27,789 576,854 Cardno, Ltd. 40,096 261,130 * Carnarvon Petroleum, Ltd. 111,869 9,063 carsales.com, Ltd. 17,740 179,657 Cash Converters International, Ltd. 57,532 58,393 Cedar Woods Properties, Ltd. 3,273 22,044 Challenger, Ltd. 74,729 491,663 * Coal of Africa, Ltd. 52,185 3,606 Coca-Cola Amatil, Ltd. 27,735 239,429 Cochlear, Ltd. 5,210 284,794 * Cockatoo Coal, Ltd. 311,976 10,116 * Coffey International, Ltd. 48,876 10,269 Commonwealth Bank of Australia 54,418 4,003,037 Computershare, Ltd. 17,419 200,784 Credit Corp. Group, Ltd. 3,280 27,481 Crowe Horwath Australasia, Ltd. 37,000 12,721 Crown Resorts, Ltd. 29,598 442,897 CSG, Ltd. 16,337 13,295 CSL, Ltd. 12,786 815,111 CSR, Ltd. 134,036 456,474 Data#3, Ltd. 8,941 4,827 David Jones, Ltd. 140,183 513,538 Decmil Group, Ltd. 35,216 66,737 Domino's Pizza Enterprises, Ltd. 3,943 72,732 Downer EDI, Ltd. 122,529 572,004 * Drillsearch Energy, Ltd. 99,806 149,454 DuluxGroup, Ltd. 54,944 293,467 DWS, Ltd. 11,284 11,330 Echo Entertainment Group, Ltd. 193,405 508,692 #* Elders, Ltd. 103,979 10,644 * Emeco Holdings, Ltd. 196,879 47,954 * Energy Resources of Australia, Ltd. 55,774 68,716 * Energy World Corp., Ltd. 154,243 40,959 Envestra, Ltd. 186,216 202,094 ERM Power, Ltd. 1,889 3,220 Euroz, Ltd. 3,934 4,609 Evolution Mining, Ltd. 52,070 41,544 Fairfax Media, Ltd. 587,484 536,769 Fleetwood Corp., Ltd. 11,993 25,794 Flight Centre Travel Group, Ltd. 9,755 489,254 * Focus Minerals, Ltd. 1,002,633 11,270 * Forge Group, Ltd. 5,619 -- Fortescue Metals Group, Ltd. 69,828 330,282 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- AUSTRALIA -- (Continued) Funtastic, Ltd. 32,496 $ 3,630 G8 Education, Ltd. 7,983 34,817 Goodman Fielder, Ltd. 479,218 300,750 GrainCorp, Ltd. Class A 43,955 362,517 Grange Resources, Ltd. 167,580 40,730 * Gryphon Minerals, Ltd. 28,227 3,575 GUD Holdings, Ltd. 16,595 82,649 * Gunns, Ltd. 133,137 -- GWA Group, Ltd. 61,780 155,007 Harvey Norman Holdings, Ltd. 138,744 424,619 Helloworld, Ltd. 25,000 7,214 HFA Holdings, Ltd. 13,456 12,543 Hills, Ltd. 49,659 78,143 * Horizon Oil, Ltd. 251,263 88,989 * Icon Energy, Ltd. 52,698 6,612 iiNET, Ltd. 27,956 186,634 Iluka Resources, Ltd. 61,082 507,457 # Imdex, Ltd. 46,977 32,194 IMF Australia, Ltd. 1,965 3,392 Incitec Pivot, Ltd. 368,466 989,062 Independence Group NL 66,852 271,019 * Infigen Energy 86,150 14,827 Insurance Australia Group, Ltd. 300,135 1,604,149 Invocare, Ltd. 16,265 161,251 IOOF Holdings, Ltd. 42,129 333,094 Iress, Ltd. 16,798 129,600 James Hardie Industries P.L.C. 28,661 367,956 James Hardie Industries P.L.C. Sponsored ADR 1,236 79,277 JB Hi-Fi, Ltd. 20,325 365,239 * Kagara, Ltd. 60,876 1,301 * Kingsgate Consolidated, Ltd. 46,498 38,872 * Kingsrose Mining, Ltd. 26,359 9,925 Leighton Holdings, Ltd. 18,441 327,921 Lend Lease Group 88,111 1,064,909 M2 Group, Ltd. 24,717 129,875 * Macmahon Holdings, Ltd. 196,207 19,239 Macquarie Atlas Roads Group 61,956 179,750 Macquarie Group, Ltd. 34,431 1,855,013 Magellan Financial Group, Ltd. 1,039 12,142 * Matrix Composites & Engineering, Ltd. 2,049 2,356 MaxiTRANS Industries, Ltd. 33,340 29,748 * Mayne Pharma Group, Ltd. 28,592 22,655 McMillan Shakespeare, Ltd. 6,994 63,352 McPherson's, Ltd. 5,740 6,239 * Medusa Mining, Ltd. 20,739 34,847 Melbourne IT, Ltd. 27,781 37,310 Mermaid Marine Australia, Ltd. 55,476 110,513 * Mesoblast, Ltd. 7,732 33,549 * Metals X, Ltd. 100,801 19,291 Metcash, Ltd. 134,164 346,589 Mincor Resources NL 43,402 32,533 * Mineral Deposits, Ltd. 32,422 60,312 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- AUSTRALIA -- (Continued) Mineral Resources, Ltd. 36,554 $ 396,890 Monadelphous Group, Ltd. 12,173 198,472 Mortgage Choice, Ltd. 11,330 27,970 # Mount Gibson Iron, Ltd. 171,910 117,402 Myer Holdings, Ltd. 168,270 348,596 National Australia Bank, Ltd. 164,052 5,401,802 Navitas, Ltd. 20,111 137,910 New Hope Corp., Ltd. 32,366 94,067 * Newcrest Mining, Ltd. 88,170 859,938 * Nexus Energy, Ltd. 252,869 4,698 NIB Holdings, Ltd. 74,922 191,803 Northern Star Resources, Ltd. 58,501 63,993 NRW Holdings, Ltd. 64,898 67,893 Nufarm, Ltd. 54,209 209,707 Oakton, Ltd. 1,390 1,876 Oil Search, Ltd. 35,591 294,872 Orica, Ltd. 39,314 802,340 Origin Energy, Ltd. 166,079 2,307,152 Orora, Ltd. 147,315 191,015 OrotonGroup, Ltd. 2,881 11,007 OZ Minerals, Ltd. 86,694 298,361 Pacific Brands, Ltd. 226,091 106,450 #* Paladin Energy, Ltd. 209,906 85,369 PanAust, Ltd. 108,671 163,423 Panoramic Resources, Ltd. 75,563 44,327 Patties Foods, Ltd. 1,438 1,538 * Peet, Ltd. 30,792 36,904 Perpetual, Ltd. 6,618 289,713 * Perseus Mining, Ltd. 35,557 11,641 Platinum Asset Management, Ltd. 25,432 156,245 * PMP, Ltd. 73,062 28,953 Premier Investments, Ltd. 24,401 225,370 Primary Health Care, Ltd. 140,227 612,894 * Prime AET&D Holdings No.1, Ltd 4 -- Prime Media Group, Ltd. 39,708 36,530 Programmed Maintenance Services, Ltd. 30,695 81,276 * Qantas Airways, Ltd. 300,364 341,674 QBE Insurance Group, Ltd. 106,704 1,151,617 Qube Holdings, Ltd. 16,140 33,422 * Ramelius Resources, Ltd. 61,433 6,010 Ramsay Health Care, Ltd. 7,819 326,709 RCG Corp., Ltd. 4,861 3,371 RCR Tomlinson, Ltd. 36,471 92,874 REA Group, Ltd. 4,246 185,179 * Recall Holdings, Ltd. 5,744 24,268 #* Red Fork Energy, Ltd. 36,248 3,539 Redflex Holdings, Ltd. 4,333 4,132 Reece Australia, Ltd. 591 16,743 Regis Resources, Ltd. 35,116 79,636 Reject Shop, Ltd. (The) 2,325 21,657 * Resolute Mining, Ltd. 154,687 87,436 Retail Food Group, Ltd. 18,909 73,540 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- AUSTRALIA -- (Continued) Ridley Corp., Ltd. 50,890 $ 39,953 Rio Tinto, Ltd. 28,176 1,624,887 * Roc Oil Co., Ltd. 253,353 113,155 Ruralco Holdings, Ltd. 2,394 7,455 SAI Global, Ltd. 62,321 247,622 Salmat, Ltd. 11,000 19,562 #* Samson Oil & Gas, Ltd. Sponsored ADR 12,700 4,575 * Sandfire Resources NL 14,494 76,997 Santos, Ltd. 140,727 1,804,311 * Saracen Mineral Holdings, Ltd. 276,863 85,239 Sedgman, Ltd. 11,987 5,013 Seek, Ltd. 20,696 324,137 Select Harvests, Ltd. 2,843 16,674 * Senex Energy, Ltd. 185,711 115,353 Servcorp, Ltd. 9,992 43,104 Seven Group Holdings, Ltd. 24,235 185,641 Seven West Media, Ltd. 56,691 98,503 Sigma Pharmaceuticals, Ltd. 310,712 209,693 * Silex Systems, Ltd. 6,346 10,700 #* Silver Lake Resources, Ltd. 38,161 14,603 * Sims Metal Management, Ltd. 41,257 377,324 * Sims Metal Management, Ltd. Sponsored ADR 4,871 43,936 Sirtex Medical, Ltd. 4,162 61,088 Skilled Group, Ltd. 41,596 106,380 Slater & Gordon, Ltd. 2,645 11,605 SMS Management & Technology, Ltd. 19,539 68,250 Sonic Healthcare, Ltd. 35,568 586,700 Southern Cross Media Group, Ltd. 150,456 180,176 SP AusNet 164,938 214,940 Spark Infrastructure Group 228,215 375,024 Specialty Fashion Group, Ltd. 8,094 6,972 * St Barbara, Ltd. 138,569 27,854 * Starpharma Holdings, Ltd. 16,423 10,851 STW Communications Group, Ltd. 95,520 125,472 Suncorp Group, Ltd. 189,298 2,298,869 * Sundance Energy Australia, Ltd. 43,571 42,243 Sunland Group, Ltd. 21,844 33,948 Super Retail Group, Ltd. 25,199 238,516 Sydney Airport 73,615 289,268 Tabcorp Holdings, Ltd. 195,873 678,829 * Tap Oil, Ltd. 49,618 19,159 Tassal Group, Ltd. 24,227 93,482 Tatts Group, Ltd. 356,939 1,003,917 Technology One, Ltd. 15,964 37,476 Telstra Corp., Ltd. 95,545 464,550 Telstra Corp., Ltd. ADR 600 14,544 #* Ten Network Holdings, Ltd. 413,470 104,150 TFS Corp., Ltd. 27,337 43,298 Thorn Group, Ltd. 5,639 11,228 * Tiger Resources, Ltd. 95,365 31,718 Toll Holdings, Ltd. 176,291 869,572 Tox Free Solutions, Ltd. 30,708 98,890 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ----------- AUSTRALIA -- (Continued) TPG Telecom, Ltd. 80,192 $ 444,668 * Transfield Services, Ltd. 110,789 99,209 * Transpacific Industries Group, Ltd. 276,410 287,442 Transurban Group 56,923 384,448 Treasury Wine Estates, Ltd. 161,587 575,465 * Troy Resources, Ltd. 18,788 17,146 UGL, Ltd. 51,363 323,023 UXC, Ltd. 56,149 44,117 Village Roadshow, Ltd. 16,637 109,228 #* Virgin Australia Holdings, Ltd. 423,618 145,796 * Virgin Australia Holdings, Ltd. (ACI01NXR8) 312,963 -- Vocus Communications, Ltd. 7,450 31,235 Washington H Soul Pattinson & Co., Ltd. 9,507 130,937 Watpac, Ltd. 32,558 24,391 WDS, Ltd. 33,762 34,298 Webjet, Ltd. 13,416 34,304 Wesfarmers, Ltd. 81,540 3,245,231 Western Areas, Ltd. 30,429 117,457 Westpac Banking Corp. 166,809 5,463,748 * Whitehaven Coal, Ltd. 30,345 41,351 Wide Bay Australia, Ltd. 1,410 7,836 Woodside Petroleum, Ltd. 45,107 1,714,568 Woolworths, Ltd. 30,069 1,044,957 WorleyParsons, Ltd. 21,320 334,331 Wotif.com Holdings, Ltd. 1,468 3,653 ----------- TOTAL AUSTRALIA 94,297,373 ----------- AUSTRIA -- (0.4%) * A-TEC Industries AG 3,557 -- Agrana Beteiligungs AG 753 87,159 Andritz AG 6,281 390,170 Atrium European Real Estate, Ltd. 24,278 139,836 Austria Technologie & Systemtechnik AG 4,702 54,901 * BUWOG AG 4,739 87,015 CA Immobilien Anlagen AG 5,017 95,635 Conwert Immobilien Invest SE 2,687 38,714 Erste Group Bank AG 32,800 1,102,879 EVN AG 6,414 89,385 # Flughafen Wien AG 2,587 253,986 IMMOFINANZ AG 94,789 352,006 Kapsch TrafficCom AG 655 36,356 # Lenzing AG 871 55,602 Mayr Melnhof Karton AG 1,270 161,700 # Oesterreichische Post AG 3,595 183,731 OMV AG 26,952 1,260,125 Palfinger AG 452 16,727 POLYTEC Holding AG 1,501 15,086 Raiffeisen Bank International AG 16,030 506,717 RHI AG 4,013 140,470 Rosenbauer International AG 591 55,748 S IMMO AG 4,858 38,398 Schoeller-Bleckmann Oilfield Equipment AG 1,315 167,161 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- AUSTRIA -- (Continued) Semperit AG Holding 2,321 $ 129,582 Strabag SE 2,918 81,569 Telekom Austria AG 22,997 228,224 UNIQA Insurance Group AG 6,725 85,905 # Verbund AG 4,598 89,149 Vienna Insurance Group AG Wiener Versicherung Gruppe 7,150 382,397 Voestalpine AG 21,072 962,556 Wienerberger AG 30,218 560,889 Zumtobel AG 4,362 90,697 ---------- TOTAL AUSTRIA 7,940,475 ---------- BELGIUM -- (1.0%) * Ablynx NV 6,382 76,197 Ackermans & van Haaren NV 6,496 840,016 Ageas 53,583 2,305,975 * AGFA-Gevaert NV 63,356 242,736 Anheuser-Busch InBev NV 21,489 2,342,212 Anheuser-Busch InBev NV Sponsored ADR 13,736 1,453,544 Arseus NV 4,228 239,492 Atenor Group 67 3,710 Banque Nationale de Belgique 44 212,397 Barco NV 3,113 232,000 Belgacom SA 39,577 1,211,354 Cie d'Entreprises CFE 2,275 250,679 Cie Immobiliere de Belgique SA 189 10,807 Cie Maritime Belge SA 3,221 95,715 Colruyt SA 4,685 264,916 D'ieteren SA 6,011 278,088 * Deceuninck NV 18,601 63,894 Delhaize Group SA 15,783 1,175,254 Delhaize Group SA Sponsored ADR 46,556 869,666 # Econocom Group 8,566 91,865 Elia System Operator SA 4,186 222,030 #* Euronav NV 10,613 128,428 EVS Broadcast Equipment SA 1,521 96,315 Exmar NV 8,774 146,443 * Ion Beam Applications 6,562 90,764 Jensen-Group NV 324 6,290 KBC Groep NV 33,376 2,036,699 Kinepolis Group NV 1,570 307,364 Lotus Bakeries 19 21,105 Melexis NV 2,286 91,924 Mobistar SA 6,112 119,275 NV Bekaert SA 9,897 402,788 # Nyrstar NV 36,079 143,653 * RealDolmen NV/SA 455 12,897 Recticel SA 6,887 62,018 Resilux 348 51,591 * Roularta Media Group NV 1,508 26,897 Sioen Industries NV 4,172 51,212 Sipef SA 1,215 106,129 Solvay SA 9,078 1,471,136 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ----------- BELGIUM -- (Continued) Telenet Group Holding NV 5,482 $ 321,497 Tessenderlo Chemie NV 6,750 206,714 * ThromboGenics NV 2,876 91,631 UCB SA 15,172 1,244,507 # Umicore SA 22,735 1,114,440 Van de Velde NV 771 41,038 * Viohalco SA 20,959 131,318 ----------- TOTAL BELGIUM 21,006,620 ----------- BRAZIL -- (1.5%) Abril Educacao SA 1,849 23,633 AES Tiete SA 7,000 45,835 Aliansce Shopping Centers SA 19,156 158,076 ALL - America Latina Logistica SA 86,800 343,735 AMBEV SA 24,800 181,294 AMBEV SA ADR 63,002 456,765 Anhanguera Educacional Participacoes SA 78,051 483,060 Arezzo Industria e Comercio SA 5,000 55,948 Autometal SA 3,700 30,699 * B2W Cia Digital 10,800 120,024 Banco Alfa de Investimento SA 14,300 34,824 Banco Bradesco SA 61,212 940,245 Banco do Brasil SA 78,901 828,376 Banco Santander Brasil SA ADR 102,545 681,924 Bematech SA 6,000 22,442 * BHG SA - Brazil Hospitality Group 1,600 9,974 BM&FBovespa SA 246,373 1,259,627 BR Malls Participacoes SA 48,200 414,826 Brasil Brokers Participacoes SA 23,200 45,573 Brasil Insurance Participacoes e Administracao SA 10,700 47,795 Braskem SA Sponsored ADR 9,069 123,338 BRF SA 9,416 213,256 BRF SA ADR 12,343 278,952 * Brookfield Incorporacoes SA 87,670 56,225 CCR SA 40,300 315,387 Centrais Eletricas Brasileiras SA 42,400 147,941 CETIP SA - Mercados Organizados 23,194 295,523 Cia Brasileira de Distribuicao Grupo Pao de Acucar ADR 7,747 368,447 Cia de Saneamento Basico do Estado de Sao Paulo 6,900 65,356 Cia de Saneamento Basico do Estado de Sao Paulo ADR 25,800 244,584 Cia de Saneamento de Minas Gerais-COPASA 10,400 162,314 Cia Energetica de Minas Gerais 1,939 14,894 Cia Energetica de Minas Gerais Sponsored ADR 14,963 112,825 Cia Hering 19,177 202,628 Cia Paranaense de Energia 1,200 11,840 Cia Paranaense de Energia Sponsored ADR 7,845 112,576 Cia Providencia Industria e Comercio SA 1,300 4,717 Cia Siderurgica Nacional SA Sponsored ADR 141,918 549,223 Cielo SA 17,886 316,854 * Contax Participacoes SA 6,800 51,234 Cosan SA Industria e Comercio 29,400 504,207 CPFL Energia SA 8,400 71,238 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- BRAZIL -- (Continued) Cremer SA 10,900 $ 81,637 Cyrela Brazil Realty SA Empreendimentos e Participacoes 62,300 377,754 Cyrela Commercial Properties SA Empreendimentos e Participacoes 300 2,404 Direcional Engenharia SA 12,204 59,549 Duratex SA 77,906 337,165 EcoRodovias Infraestrutura e Logistica SA 16,954 101,355 EDP - Energias do Brasil SA 51,600 224,242 Embraer SA 44,200 382,185 Embraer SA ADR 20,543 706,679 Equatorial Energia SA 20,691 188,931 Estacio Participacoes SA 40,752 436,443 Eternit SA 24,972 97,323 Even Construtora e Incorporadora SA 57,800 186,121 Ez Tec Empreendimentos e Participacoes SA 13,000 159,574 * Fibria Celulose SA 12,383 123,289 * Fibria Celulose SA Sponsored ADR 45,289 449,720 Fleury SA 9,900 66,422 Gafisa SA 40,100 65,282 Gafisa SA ADR 54,377 179,988 * General Shopping Brasil SA 6,700 20,763 Gerdau SA 25,700 124,596 Gerdau SA Sponsored ADR 105,500 634,055 Grendene SA 20,200 127,736 Guararapes Confeccoes SA 1,200 55,970 Helbor Empreendimentos SA 35,575 121,256 Hypermarcas SA 71,798 529,046 Iguatemi Empresa de Shopping Centers SA 17,900 177,976 International Meal Co. Holdings SA 11,500 91,030 Iochpe-Maxion SA 20,600 186,345 Itau Unibanco Holding SA 15,040 231,696 JBS SA 129,264 446,388 JHSF Participacoes SA 23,200 37,769 JSL SA 17,600 95,351 Kepler Weber SA 4,800 78,143 Klabin SA 107,144 562,209 Kroton Educacional SA 25,358 543,154 Light SA 14,507 115,809 Localiza Rent a Car SA 19,345 288,906 * Log-in Logistica Intermodal SA 6,500 23,292 Lojas Americanas SA 22,863 146,114 Lojas Renner SA 14,167 416,798 LPS Brasil Consultoria de Imoveis SA 4,600 23,003 M Dias Branco SA 6,316 273,006 Magnesita Refratarios SA 23,138 49,187 Mahle-Metal Leve SA Industria e Comercio 9,900 97,724 * Marfrig Global Foods SA 36,867 68,782 Marisa Lojas SA 5,200 35,168 * MBAC Fertilizer Corp. 7,558 3,793 Mills Estruturas e Servicos de Engenharia SA 33,057 416,891 * Minerva SA 26,200 117,737 * MMX Mineracao e Metalicos SA 12,998 15,098 MRV Engenharia e Participacoes SA 73,269 231,990 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ----------- BRAZIL -- (Continued) Multiplan Empreendimentos Imobiliarios SA 9,675 $ 213,828 Multiplus SA 8,300 106,200 Natura Cosmeticos SA 10,300 176,413 Odontoprev SA 52,600 211,131 Oi SA 10,605 10,701 Oi SA ADR(670851104) 2,918 2,889 # Oi SA ADR(670851203) 71,973 66,841 * Paranapanema SA 51,280 84,403 * PDG Realty SA Empreendimentos e Participacoes 336,947 207,027 Petroleo Brasileiro SA 53,426 374,503 Petroleo Brasileiro SA ADR 90,141 1,251,157 Porto Seguro SA 28,377 413,613 Positivo Informatica SA 7,200 7,524 Profarma Distribuidora de Produtos Farmaceuticos SA 3,400 27,142 QGEP Participacoes SA 16,800 64,646 Raia Drogasil SA 14,250 121,426 Restoque Comercio e Confeccoes de Roupas SA 14,000 38,865 Rodobens Negocios Imobiliarios SA 4,000 20,738 * Rossi Residencial SA 88,154 63,257 Santos Brasil Participacoes SA 9,150 73,331 Sao Martinho SA 13,300 199,224 SLC Agricola SA 15,400 117,412 Sonae Sierra Brasil SA 3,937 31,729 Souza Cruz SA 22,000 200,785 * Springs Global Participacoes SA 24,200 13,567 Sul America SA 50,397 369,543 Tecnisa SA 24,255 75,384 Tegma Gestao Logistica 3,550 29,693 Telefonica Brasil SA 1,747 31,512 Telefonica Brasil SA ADR 12,260 259,912 Tempo Participacoes SA 15,600 30,294 Tim Participacoes SA 12,200 66,205 Tim Participacoes SA ADR 6,220 167,380 Totvs SA 17,500 285,761 Tractebel Energia SA 6,400 95,178 Transmissora Alianca de Energia Eletrica SA 32,933 294,658 Ultrapar Participacoes SA Sponsored ADR 28,612 712,153 * Usinas Siderurgicas de Minas Gerais SA 18,960 68,111 Vale SA 21,811 287,585 Vale SA Sponsored ADR 78,960 1,043,851 Valid Solucoes e Servicos de Seguranca em Meios de Pagamento e Identificacao S.A 15,075 233,587 * Vanguarda Agro SA 50,212 71,610 WEG SA 28,766 347,166 ----------- TOTAL BRAZIL 29,589,013 ----------- CANADA -- (6.8%) * 5N Plus, Inc. 7,800 34,373 Absolute Software Corp. 6,980 43,750 * Advantage Oil & Gas, Ltd. 47,364 299,901 Aecon Group, Inc. 17,400 292,262 * AEterna Zentaris, Inc. 893 1,010 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- CANADA -- (Continued) AG Growth International, Inc. 2,000 $ 79,157 AGF Management, Ltd. Class B 11,056 123,164 Agnico Eagle Mines, Ltd.(008474108) 3,806 112,505 Agnico Eagle Mines, Ltd.(2009823) 12,731 375,989 Agrium, Inc. 11,437 1,098,465 Aimia, Inc. 30,862 496,979 * Ainsworth Lumber Co., Ltd. 14,280 48,988 * Air Canada Class A 4,133 28,847 Alacer Gold Corp. 42,454 101,482 Alamos Gold, Inc. 16,300 152,434 * Alexco Resource Corp. 8,500 11,167 Algoma Central Corp. 3,600 51,403 Algonquin Power & Utilities Corp. 38,923 279,835 Alimentation Couche Tard, Inc. Class B 32,955 928,771 Alliance Grain Traders, Inc. 4,411 73,768 AltaGas, Ltd. 12,778 544,439 * Alterra Power Corp. 20,706 6,045 Altus Group, Ltd. 4,600 81,630 * Alvopetro Energy, Ltd. 16,874 14,626 * Amerigo Resources, Ltd. 42,500 19,000 Amica Mature Lifestyles, Inc. 2,600 18,621 * Antrim Energy, Inc. 36,800 2,182 ARC Resources, Ltd. 22,780 675,887 * Argonaut Gold, Inc. 27,267 100,754 Arsenal Energy, Inc. 4,200 25,674 * Artek Exploration, Ltd. 2,839 11,060 Atco, Ltd. Class I 7,200 351,510 * Athabasca Oil Corp. 57,322 425,712 * ATS Automation Tooling Systems, Inc. 19,657 254,669 AuRico Gold, Inc.(05155C105) 788 3,278 AuRico Gold, Inc.(2287317) 62,961 261,943 AutoCanada, Inc. 2,911 185,913 * Avigilon Corp. 5,838 137,474 * B2Gold Corp. 183,214 526,549 Badger Daylighting, Ltd. 6,090 212,251 #* Ballard Power Systems, Inc. 23,900 87,222 Bank of Montreal 43,167 2,975,473 Bank of Nova Scotia(064149107) 10,612 644,997 Bank of Nova Scotia(2076281) 46,481 2,824,355 * Bankers Petroleum, Ltd. 84,809 461,940 Barrick Gold Corp.(067901108) 67,958 1,187,226 Barrick Gold Corp.(2024644) 38,995 680,603 * Bauer Performance Sports, Ltd. 2,900 40,164 Baytex Energy Corp. 1,522 63,349 BCE, Inc. 21,200 943,899 Bell Aliant, Inc. 8,152 200,816 * Bellatrix Exploration, Ltd. 32,652 317,568 * Birchcliff Energy, Ltd. 25,586 296,700 Bird Construction, Inc. 2,700 34,734 Black Diamond Group, Ltd. 6,184 194,426 #* BlackBerry, Ltd.(09228F103) 22,561 172,817 #* BlackBerry, Ltd.(BCBHZ31) 29,269 223,513 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- CANADA -- (Continued) * BlackPearl Resources, Inc. 53,132 $ 149,306 * BNK Petroleum, Inc. 19,281 36,766 Bombardier, Inc. Class A 7,100 28,632 Bombardier, Inc. Class B 76,726 308,710 Bonavista Energy Corp. 44,877 705,061 Bonterra Energy Corp. 3,330 173,693 Boralex, Inc. Class A 6,300 73,343 Brookfield Asset Management, Inc. Class A 10,972 460,583 * Brookfield Residential Properties, Inc. 5,399 105,874 CAE, Inc. 26,952 355,819 Calfrac Well Services, Ltd. 8,087 280,007 Calian Technologies, Ltd. 1,800 31,121 * Calvalley Petroleums, Inc. Class A 6,494 9,361 Cameco Corp. 44,846 954,571 Canaccord Genuity Group, Inc. 25,763 222,597 * Canacol Energy, Ltd. 3,874 29,195 Canada Bread Co., Ltd. 900 59,318 Canadian Energy Services & Technology Corp. 6,175 182,087 Canadian Imperial Bank of Commerce 18,470 1,646,721 Canadian National Railway Co.(136375102) 4,036 236,389 Canadian National Railway Co.(2180632) 13,000 761,462 Canadian Natural Resources, Ltd.(136385101) 51,054 2,081,472 Canadian Natural Resources, Ltd.(2171573) 41,220 1,679,563 Canadian Oil Sands, Ltd. 35,296 765,141 Canadian Pacific Railway, Ltd. 9,072 1,416,525 Canadian Tire Corp., Ltd. Class A 11,243 1,104,246 Canadian Utilities, Ltd. Class A 20,814 768,906 Canadian Western Bank 16,747 567,477 Canam Group, Inc. Class A 9,166 117,246 CanElson Drilling, Inc. 8,925 66,934 Canexus Corp. 500 2,199 * Canfor Corp. 19,304 437,843 Canfor Pulp Products, Inc. 11,220 124,684 Canyon Services Group, Inc. 13,500 185,740 Capital Power Corp. 15,077 338,667 Capstone Infrastructure Corp. 19,238 71,086 * Capstone Mining Corp. 89,723 236,576 Cascades, Inc. 21,687 127,029 * Catamaran Corp 2,879 108,682 * Catamaran Corp. 12,320 468,049 Cathedral Energy Services, Ltd. 6,216 24,273 CCL Industries, Inc. Class B 5,735 521,464 * Celestica, Inc. 43,600 483,715 Cenovus Energy, Inc.(15135U109) 2,100 62,517 Cenovus Energy, Inc.(B57FG04) 20,055 597,414 Centerra Gold, Inc. 27,775 142,416 * Cequence Energy, Ltd. 33,148 91,334 * CGI Group, Inc. Class A 27,460 990,118 * China Gold International Resources Corp., Ltd. 36,717 94,468 * Chinook Energy, Inc. 5,456 9,558 Churchill Corp. Class A 4,006 40,460 CI Financial Corp. 6,052 196,571 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- CANADA -- (Continued) Cineplex, Inc. 8,595 $ 323,945 * Claude Resources, Inc. 32,900 5,403 Clearwater Seafoods, Inc. 2,100 14,561 Cogeco Cable, Inc. 4,666 255,426 Cogeco, Inc. 630 33,016 Colabor Group, Inc. 4,766 15,132 * COM DEV International, Ltd. 22,160 73,796 Computer Modelling Group, Ltd. 1,462 39,856 * Connacher Oil and Gas, Ltd. 111,132 32,953 Constellation Software, Inc. 700 155,034 Contrans Group, Inc. Class A 2,800 36,736 * Copper Mountain Mining Corp. 24,100 51,232 Corby Spirit and Wine, Ltd. 1,600 31,926 * Corridor Resources, Inc. 15,700 31,943 Corus Entertainment, Inc. Class B 17,462 392,240 Cott Corp.(22163N106) 1,202 9,760 Cott Corp.(2228952) 24,699 200,558 Crescent Point Energy Corp. 21,722 883,704 * Crew Energy, Inc. 28,272 320,367 * Crocotta Energy, Inc. 11,881 40,758 Davis + Henderson Corp. 13,498 390,882 * DeeThree Exploration, Ltd. 22,145 237,199 * Delphi Energy Corp. 36,700 112,171 * Denison Mines Corp. 103,818 142,080 * Descartes Systems Group, Inc. (The) 9,700 131,422 DHX Media, Ltd. 5,000 22,490 Dollarama, Inc. 4,957 412,281 * Dominion Diamond Corp. 20,000 251,266 Dorel Industries, Inc. Class B 7,913 283,584 #* DragonWave, Inc. 9,100 12,620 #* Dundee Precious Metals, Inc. 21,002 69,748 E-L Financial Corp., Ltd. 184 123,628 * Eastern Platinum, Ltd. 156,800 9,299 Eldorado Gold Corp.(284902103) 22,591 137,805 Eldorado Gold Corp.(2307873) 83,984 511,850 Emera, Inc. 3,544 109,613 Empire Co., Ltd. 7,212 456,191 Enbridge Income Fund Holdings, Inc. 8,314 202,076 Enbridge, Inc. 16,053 774,639 Encana Corp. 46,047 1,066,679 * Endeavour Mining Corp. 47,713 37,437 * Endeavour Silver Corp.(29258Y103) 2,098 9,588 * Endeavour Silver Corp.(2980003) 5,727 26,178 Enerflex, Ltd. 9,300 147,979 * Energy Fuels, Inc. 1,746 13,575 Enerplus Corp.(292766102) 24,292 539,525 Enerplus Corp.(B584T89) 25,858 573,521 Enghouse Systems, Ltd. 2,022 57,650 Ensign Energy Services, Inc. 30,744 483,859 * Epsilon Energy, Ltd. 14,800 54,012 Equal Energy, Ltd. 2,755 12,467 Equitable Group, Inc. 3,000 164,842 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- CANADA -- (Continued) * Essential Energy Services Trust 38,149 $ 99,545 Evertz Technologies, Ltd. 4,665 69,376 * Excellon Resources, Inc. 5,700 7,541 Exchange Income Corp. 857 14,520 Exco Technologies, Ltd. 5,190 43,800 * EXFO, Inc. 5,100 23,033 Extendicare, Inc. 11,807 72,605 Fairfax Financial Holdings, Ltd. 2,930 1,277,539 Finning International, Inc. 29,229 789,360 First Capital Realty, Inc. 9,200 150,668 * First Majestic Silver Corp. 19,978 189,564 First National Financial Corp. 800 17,379 First Quantum Minerals, Ltd. 81,242 1,618,088 FirstService Corp. 2,200 108,590 Fortis, Inc. 9,300 273,217 #* Fortress Paper, Ltd. Class A 1,649 4,739 * Fortuna Silver Mines, Inc. 28,530 118,175 Gamehost, Inc. 1,926 26,292 * Genesis Land Development Corp. 12,700 46,928 Genworth MI Canada, Inc. 12,859 451,100 George Weston, Ltd. 6,457 486,492 Gibson Energy, Inc. 14,900 397,768 Gildan Activewear, Inc. 12,714 649,939 Glacier Media, Inc. 1,400 1,827 Glentel, Inc. 800 8,357 #* GLG Life Tech Corp. 2,421 1,447 Gluskin Sheff + Associates, Inc. 2,966 89,138 * GLV, Inc. Class A 6,118 22,383 GMP Capital, Inc. 9,669 73,308 Goldcorp, Inc.(2676302) 32,117 793,218 Goldcorp, Inc.(380956409) 28,491 704,298 * Golden Star Resources, Ltd. 84,300 51,531 * Gran Tierra Energy, Inc.(38500T101) 444 3,175 * Gran Tierra Energy, Inc.(B2PPCS5) 71,956 511,416 * Great Canadian Gaming Corp. 11,000 152,046 * Great Panther Silver, Ltd. 14,400 15,766 Great-West Lifeco, Inc. 14,700 413,620 * Heroux-Devtek, Inc. 6,091 63,686 High Liner Foods, Inc. 212 8,569 HNZ Group, Inc. 700 14,383 Home Capital Group, Inc. 8,200 346,464 Horizon North Logistics, Inc. 17,983 131,093 HudBay Minerals, Inc.(443628102) 1,920 16,819 HudBay Minerals, Inc.(B05BDX1) 26,263 224,040 Husky Energy, Inc. 30,300 990,234 IAMGOLD Corp.(450913108) 35,221 122,921 IAMGOLD Corp.(2446646) 63,324 220,700 IGM Financial, Inc. 4,500 224,128 * Imax Corp.(45245E109) 1,700 43,588 * Imax Corp.(2014258) 5,500 140,956 * Imperial Metals Corp. 7,200 91,638 Imperial Oil, Ltd.(453038408) 900 43,920 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- CANADA -- (Continued) Imperial Oil, Ltd.(2454241) 5,500 $ 268,564 Indigo Books & Music, Inc. 1,800 16,094 Industrial Alliance Insurance & Financial Services, Inc. 24,089 994,505 Innergex Renewable Energy, Inc. 17,049 164,882 Intact Financial Corp. 14,100 925,849 Inter Pipeline, Ltd. 7,709 209,596 * International Forest Products, Ltd. Class A 17,104 259,357 Intertape Polymer Group, Inc. 12,470 146,311 * Ithaca Energy, Inc. 64,901 170,535 * Ivanhoe Energy, Inc. 22,467 11,274 Jean Coutu Group PJC, Inc. (The) Class A 14,900 300,297 Just Energy Group, Inc. 24,526 194,901 K-Bro Linen, Inc. 1,229 44,852 * Katanga Mining, Ltd. 78,989 33,511 * Kelt Exploration, Ltd. 5,900 74,123 Keyera Corp. 7,772 516,928 Killam Properties, Inc. 8,635 82,328 Kinross Gold Corp.(496902404) 7,412 30,093 Kinross Gold Corp.(B03Z841) 142,027 576,634 * Knight Therapeutics, Inc. 983 5,211 * Lake Shore Gold Corp. 78,745 63,223 Laurentian Bank of Canada 8,181 351,409 * Legacy Oil + Gas, Inc. 40,759 317,207 Leisureworld Senior Care Corp. 5,009 55,846 Leon's Furniture, Ltd. 4,744 65,184 Lightstream Resources, Ltd. 53,598 322,258 Linamar Corp. 14,854 743,615 Liquor Stores N.A., Ltd. 6,618 71,732 Loblaw Cos., Ltd. 17,687 768,912 Long Run Exploration, Ltd. 28,534 144,228 * Lucara Diamond Corp. 17,400 30,322 * Lundin Mining Corp. 5,884 30,063 MacDonald Dettwiler & Associates, Ltd. 5,145 399,001 Magna International, Inc. 34,872 3,416,409 * Mainstreet Equity Corp. 1,610 53,321 Major Drilling Group International, Inc. 22,524 177,142 Mandalay Resources Corp. 38,000 32,936 Manitoba Telecom Services, Inc. 8,338 230,426 Manulife Financial Corp. 119,013 2,234,649 Maple Leaf Foods, Inc. 24,058 397,510 Martinrea International, Inc. 14,801 149,084 McCoy Corp. 700 4,024 Medical Facilities Corp. 1,811 31,476 * MEG Energy Corp. 21,794 784,628 * MEGA Brands, Inc. 4,100 66,360 * Mercator Minerals, Ltd. 15,420 1,477 Methanex Corp. 18,500 1,145,901 Metro, Inc. 12,975 799,773 * Migao Corp. 14,924 19,743 * Mitel Networks Corp. 6,120 56,060 * Mood Media Corp. 8,100 4,434 Morneau Shepell, Inc. 7,575 110,855 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- CANADA -- (Continued) Mullen Group, Ltd. 21,343 $ 578,727 National Bank of Canada 36,544 1,516,707 Nevsun Resources, Ltd.(64156L101) 11,137 40,539 Nevsun Resources, Ltd.(2631486) 36,966 133,894 * New Gold, Inc. 92,688 468,493 * New Millennium Iron Corp. 7,500 2,806 Newalta Corp. 11,185 205,117 #* Niko Resources, Ltd. 11,538 21,685 Norbord, Inc. 7,059 172,925 * Nordion, Inc.(65563C105) 1,200 13,896 * Nordion, Inc.(2559696) 13,200 152,588 North American Energy Partners, Inc. 3,938 30,935 #* North American Palladium, Ltd. 57,773 16,736 North West Co., Inc. (The) 6,720 148,618 Northland Power, Inc. 17,148 268,004 * NuVista Energy, Ltd. 31,207 311,486 * OceanaGold Corp. 69,800 177,039 Onex Corp. 13,600 776,753 Open Text Corp. 9,200 453,684 * Orvana Minerals Corp. 32,351 18,890 * Osisko Mining Corp. 96,978 694,565 Pacific Rubiales Energy Corp. 70,194 1,145,719 * Painted Pony Petroleum, Ltd. 4,700 48,542 Pan American Silver Corp.(697900108) 6,100 79,056 Pan American Silver Corp.(2669272) 29,646 384,087 * Paramount Resources, Ltd. Class A 3,700 201,330 * Parex Resources, Inc. 28,833 288,317 Parkland Fuel Corp. 12,260 227,068 Pason Systems, Inc. 8,563 237,816 # Pembina Pipeline Corp. 20,514 806,112 Pengrowth Energy Corp. 135,755 881,872 Penn West Petroleum, Ltd.(707887105) 26,052 236,031 Penn West Petroleum, Ltd.(B63FY34) 67,814 613,144 * Perpetual Energy, Inc. 13,463 22,110 * Petaquilla Minerals, Ltd. 21,700 4,158 Peyto Exploration & Development Corp. 13,031 480,436 PHX Energy Services Corp. 2,917 40,213 #* Poseidon Concepts Corp. 2,591 6 Potash Corp. of Saskatchewan, Inc.(2696980) 10,800 390,398 Potash Corp. of Saskatchewan, Inc.(73755L107) 315 11,390 Precision Drilling Corp.(74022D308) 1,701 22,113 Precision Drilling Corp.(B5YPLH9) 57,500 747,571 Premium Brands Holdings Corp. 3,200 61,749 * Primero Mining Corp.(74164W106) 1,100 6,963 * Primero Mining Corp.(B4Z8FV2) 28,054 177,374 Progressive Waste Solutions, Ltd. 23,419 570,064 Pulse Seismic, Inc. 9,325 31,139 Pure Technologies, Ltd. 800 5,160 Quebecor, Inc. Class B 18,000 424,524 * Questerre Energy Corp. Class A 32,700 37,591 Reitmans Canada, Ltd. 2,400 14,321 Reitmans Canada, Ltd. Class A 9,700 58,852 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- CANADA -- (Continued) Richelieu Hardware, Ltd. 2,868 $ 128,452 * Richmont Mines, Inc. 2,400 3,087 Ritchie Bros Auctioneers, Inc.(2345390) 7,600 189,922 Ritchie Bros Auctioneers, Inc.(767744105) 500 12,500 * RMP Energy, Inc. 24,200 184,362 * Rock Energy, Inc. 4,232 25,290 Rocky Mountain Dealerships, Inc. 1,878 18,145 Rogers Communications, Inc. Class B(2169051) 4,600 182,691 Rogers Communications, Inc. Class B(775109200) 1,200 47,664 Rogers Sugar, Inc. 15,130 67,640 RONA, Inc. 31,000 312,531 Royal Bank of Canada 55,774 3,722,338 # Russel Metals, Inc. 13,475 396,486 * San Gold Corp. 24,300 3,658 * Sandstorm Gold, Ltd. 6,470 35,831 * Sandvine Corp. 27,400 97,496 Saputo, Inc. 6,270 335,281 Savanna Energy Services Corp. 23,922 194,030 * Scorpio Mining Corp. 21,755 5,161 Sears Canada, Inc. 2,976 43,579 Secure Energy Services, Inc. 14,037 251,784 SEMAFO, Inc. 59,628 223,051 Shaw Communications, Inc. Class B(82028K200) 7,114 172,372 Shaw Communications, Inc. Class B(2801836) 10,510 254,587 ShawCor, Ltd. 11,698 521,050 Sherritt International Corp. 88,603 375,091 * Sierra Wireless, Inc. 7,200 155,424 * Silver Standard Resources, Inc.(82823L106) 4,091 40,542 * Silver Standard Resources, Inc.(2218458) 20,044 198,419 Silver Wheaton Corp. 10,400 230,668 SNC-Lavalin Group, Inc. 3,784 171,653 * Sonde Resources Corp. 7,830 3,572 * Southern Pacific Resource Corp. 85,097 24,845 * SouthGobi Resources, Ltd. 15,700 10,027 Sprott Resource Corp. 13,760 31,762 Sprott, Inc. 10,297 30,533 Stantec, Inc. 8,271 490,200 Stella-Jones, Inc. 2,737 74,815 Strad Energy Services, Ltd. 100 410 Student Transportation, Inc. 8,498 52,490 Sun Life Financial, Inc. 51,457 1,741,759 Suncor Energy, Inc.(867224107) 41,518 1,602,595 Suncor Energy, Inc.(B3NB1P2) 108,988 4,204,199 * SunOpta, Inc.(8676EP108) 9,100 106,197 * SunOpta, Inc.(2817510) 4,800 55,749 Superior Plus Corp. 35,129 423,388 Surge Energy, Inc. 31,542 199,431 * TAG Oil, Ltd. 436 1,269 Talisman Energy, Inc.(87425E103) 27,169 280,656 Talisman Energy, Inc.(2068299) 104,679 1,082,079 * Taseko Mines, Ltd. 52,390 113,283 Teck Resources, Ltd. Class A 200 4,779 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- CANADA -- (Continued) Teck Resources, Ltd. Class B(2879327) 43,200 $ 984,568 Teck Resources, Ltd. Class B(878742204) 921 20,971 TELUS Corp. 24,664 869,051 * Tembec, Inc. 8,992 19,854 * Teranga Gold Corp.(B5TDK82) 7,980 5,242 #* Teranga Gold Corp.(B4L8QT1) 13,832 9,561 * Tethys Petroleum, Ltd. 4,500 2,053 * Thompson Creek Metals Co., Inc.(884768102) 11,912 31,924 #* Thompson Creek Metals Co., Inc.(2439806) 29,340 78,700 Thomson Reuters Corp. 24,281 878,817 Tim Hortons, Inc. 6,475 355,164 * Timmins Gold Corp. 21,920 30,799 TMX Group, Ltd. 575 30,291 TORC Oil & Gas, Ltd. 12,856 156,937 Toromont Industries, Ltd. 11,549 285,656 Toronto-Dominion Bank (The) 110,000 5,292,003 Torstar Corp. Class B 15,300 91,154 Total Energy Services, Inc. 6,165 121,494 * Tourmaline Oil Corp. 9,313 482,223 TransAlta Corp.(89346D107) 11,555 141,202 # TransAlta Corp.(2901628) 47,670 582,365 TransCanada Corp. 42,811 1,995,152 Transcontinental, Inc. Class A 17,832 259,821 TransForce, Inc. 19,514 426,048 * TransGlobe Energy Corp.(893662106) 1,119 8,728 * TransGlobe Energy Corp.(2470548) 16,078 125,274 Trican Well Service, Ltd. 26,989 386,595 Trilogy Energy Corp. 7,200 197,071 Trinidad Drilling, Ltd. 36,628 409,707 * Turquoise Hill Resources, Ltd.(900435108) 52,650 205,335 * Turquoise Hill Resources, Ltd.(B7WJ1F5) 51,442 199,939 Twin Butte Energy, Ltd. 77,227 166,284 Uni-Select, Inc. 4,296 117,703 * Valeant Pharmaceuticals International, Inc. 16,415 2,195,107 Valener, Inc. 6,285 89,511 Veresen, Inc. 21,550 318,713 Vermilion Energy, Inc. 3,800 252,848 Vicwest, Inc. 200 1,741 Wajax Corp. 3,384 109,450 * Wesdome Gold Mines, Ltd. 7,360 5,573 West Fraser Timber Co., Ltd. 12,954 579,121 Western Energy Services Corp. 13,855 142,336 Western Forest Products, Inc. 55,619 111,131 * Westport Innovations, Inc. 7,700 100,953 Westshore Terminals Investment Corp. 3,296 107,115 Whistler Blackcomb Holdings, Inc. 1,100 16,459 Whitecap Resources, Inc. 38,561 508,723 Wi-Lan, Inc. 26,423 81,242 Winpak, Ltd. 6,400 161,277 WSP Global, Inc. 8,595 294,146 * Xtreme Drilling and Coil Services Corp. 4,200 19,198 Yamana Gold, Inc.(98462Y100) 8,700 65,076 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ------------ CANADA -- (Continued) Yamana Gold, Inc.(2219279) 80,800 $ 605,235 Zargon Oil & Gas, Ltd. 5,025 44,288 ZCL Composites, Inc. 500 2,879 ------------ TOTAL CANADA 136,042,684 ------------ CHILE -- (0.3%) AES Gener SA 182,432 98,126 Aguas Andinas SA Class A 284,336 175,413 Banco de Chile ADR 2,017 156,072 Banco de Credito e Inversiones 4,777 264,140 Banco Santander Chile 1,227,899 74,206 Banco Santander Chile ADR 842 20,425 Banmedica SA 34,214 55,482 Besalco SA 67,710 59,279 CAP SA 5,896 88,400 Cencosud SA 81,417 271,267 CFR Pharmaceuticals SA 94,863 19,334 Cia Cervecerias Unidas SA ADR 8,000 188,560 Cia General de Electricidad SA 23,772 111,644 * Cia Sud Americana de Vapores SA 120,818 5,738 Colbun SA 415,803 102,879 Corpbanca SA 7,730,415 89,051 Corpbanca SA ADR 9,675 170,764 Cristalerias de Chile SA 2,000 14,710 E.CL SA 21,478 27,281 Embotelladora Andina SA Class B ADR 315 7,629 Empresa Nacional de Electricidad SA Sponsored ADR 5,400 237,978 Empresas CMPC SA 119,649 266,332 Empresas COPEC SA 17,893 230,855 Empresas Hites SA 30,027 16,768 Empresas Iansa SA 1,057,874 41,808 * Empresas La Polar SA 88,819 8,815 Enersis SA 368,503 119,187 Enersis SA Sponsored ADR 30,016 483,258 ENTEL Chile SA 26,056 319,873 Forus SA 7,930 33,448 Gasco SA 1,627 14,273 Grupo Security SA 142,214 49,652 Inversiones Aguas Metropolitanas SA 113,565 187,980 Latam Airlines Group SA 11,067 160,068 Latam Airlines Group SA Sponsored ADR 3,271 50,144 Masisa SA 586,512 29,104 Molibdenos y Metales SA 1,797 24,443 * Multiexport Foods SA 68,000 15,304 Parque Arauco SA 126,438 226,297 PAZ Corp. SA 30,769 17,232 Ripley Corp. SA 151,192 98,338 SACI Falabella 13,611 115,786 Salfacorp SA 22,708 19,518 Sigdo Koppers SA 67,237 109,628 Sociedad Quimica y Minera de Chile SA Sponsored ADR 800 25,520 Socovesa SA 110,770 20,613 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ---------- CHILE -- (Continued) Sonda SA 79,082 $ 182,900 Vina Concha y Toro SA 106,813 223,373 Vina Concha y Toro SA Sponsored ADR 800 33,520 ---------- TOTAL CHILE 5,362,415 ---------- CHINA -- (3.9%) 361 Degrees International, Ltd. 173,000 39,760 # Agile Property Holdings, Ltd. 396,000 321,143 Agricultural Bank of China, Ltd. Class H 1,543,000 647,267 Air China, Ltd. Class H 416,000 237,150 Ajisen China Holdings, Ltd. 69,000 58,262 #* Aluminum Corp. of China, Ltd. ADR 15,900 143,100 * Aluminum Corp. of China, Ltd. Class H 598,000 214,400 AMVIG Holdings, Ltd. 130,000 47,325 * Angang Steel Co., Ltd. Class H 272,000 165,179 # Anhui Conch Cement Co., Ltd. Class H 61,500 228,828 Anhui Expressway Co., Ltd. Class H 110,000 60,222 Anhui Tianda Oil Pipe Co., Ltd. 29,000 5,550 Anta Sports Products, Ltd. 176,000 257,080 # Anton Oilfield Services Group 338,000 224,462 Anxin-China Holdings, Ltd. 588,000 92,642 Asia Cement China Holdings Corp. 143,500 104,331 * AVIC International Holdings, Ltd. 16,000 5,793 AviChina Industry & Technology Co., Ltd. Class H 456,000 244,063 Bank of China, Ltd. Class H 5,711,800 2,523,989 Bank of Communications Co., Ltd. Class H 583,695 363,576 Baoye Group Co., Ltd. Class H 53,040 31,505 * BaWang International Group Holding, Ltd. 284,000 14,500 BBMG Corp. Class H 290,500 203,738 Beijing Capital International Airport Co., Ltd. Class H 456,000 318,587 Beijing Capital Land, Ltd. Class H 358,000 120,593 Beijing Enterprises Holdings, Ltd. 37,000 320,782 Beijing Enterprises Water Group, Ltd. 433,000 274,074 Beijing Jingneng Clean Energy Co., Ltd. Class H 104,000 44,965 Beijing North Star Co., Ltd. Class H 172,000 40,157 Belle International Holdings, Ltd. 312,000 325,233 Biostime International Holdings, Ltd. 18,000 119,736 Boer Power Holdings, Ltd. 43,000 56,443 # Bosideng International Holdings, Ltd. 724,000 106,853 Brilliance China Automotive Holdings, Ltd. 136,000 208,426 * Byd Co., Ltd. Class H 55,500 300,322 #* BYD Electronic International Co., Ltd. 245,500 151,323 C C Land Holdings, Ltd. 414,883 77,892 Central China Real Estate, Ltd. 203,696 50,291 * CGN Mining Co., Ltd. 80,000 8,277 Changshouhua Food Co., Ltd. 87,000 88,386 #* Chaoda Modern Agriculture Holdings, Ltd. 547,200 43,776 Chaowei Power Holdings, Ltd. 103,000 53,048 * Chigo Holding, Ltd. 822,000 18,691 Chiho-Tiande Group, Ltd. 34,000 16,643 China Aerospace International Holdings, Ltd. 590,000 59,554 China Agri-Industries Holdings, Ltd. 620,700 248,333 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ---------- CHINA -- (Continued) # China All Access Holdings, Ltd. 170,000 $ 70,434 China Aoyuan Property Group, Ltd. 301,000 51,291 China Automation Group, Ltd. 242,000 43,078 China BlueChemical, Ltd. 442,000 237,273 China CITIC Bank Corp., Ltd. Class H 1,055,000 630,214 China Coal Energy Co., Ltd. Class H 589,000 317,613 China Communications Construction Co., Ltd. Class H 655,000 427,186 China Communications Services Corp., Ltd. Class H 608,000 307,763 China Construction Bank Corp. Class H 6,169,200 4,271,387 #* China COSCO Holdings Co., Ltd. Class H 489,000 193,945 China Datang Corp. Renewable Power Co., Ltd. Class H 449,000 59,269 * China Dredging Environment Protection Holdings, Ltd. 44,000 15,153 * China Eastern Airlines Corp., Ltd. ADR 1,626 25,040 * China Eastern Airlines Corp., Ltd. Class H 212,000 65,517 * China Energine International Holdings, Ltd. 316,000 27,773 China Everbright International, Ltd. 281,000 351,444 China Fiber Optic Network System Group, Ltd. 56,000 13,118 #* China Foods, Ltd. 246,000 83,245 China Gas Holdings, Ltd. 248,000 402,412 * China Glass Holdings, Ltd. 134,000 16,119 * China Green Holdings, Ltd. 84,000 5,278 * China Haidian Holdings, Ltd. 450,000 57,010 * China High Precision Automation Group, Ltd. 127,000 19,985 * China High Speed Transmission Equipment Group Co., Ltd. 250,000 174,766 # China Hongqiao Group, Ltd. 438,000 300,420 * China Household Holdings, Ltd. 410,000 11,899 * China Huiyuan Juice Group, Ltd. 179,500 117,567 China International Marine Containers Group Co., Ltd. Class H 20,500 40,826 # China ITS Holdings Co., Ltd. 291,000 54,976 China Lesso Group Holdings, Ltd. 230,000 122,519 China Life Insurance Co., Ltd. ADR 8,269 323,153 China Lilang, Ltd. 87,000 56,181 China Longyuan Power Group Corp. Class H 162,000 166,651 # China Lumena New Materials Corp. 752,000 121,244 China Medical System Holdings, Ltd. 94,000 111,382 China Mengniu Dairy Co., Ltd. 69,000 354,638 China Merchants Bank Co., Ltd. Class H 320,201 572,072 China Merchants Holdings International Co., Ltd. 105,654 330,169 * China Metal Recycling Holdings, Ltd. 89,400 20,387 China Minsheng Banking Corp., Ltd. Class H 560,500 565,495 China Mobile, Ltd. 8,000 76,148 China Mobile, Ltd. Sponsored ADR 55,427 2,628,903 #* China Modern Dairy Holdings, Ltd. 270,000 116,593 China Molybdenum Co., Ltd. Class H 247,000 110,174 China National Building Material Co., Ltd. Class H 788,000 744,462 China National Materials Co., Ltd. 224,000 43,448 * China New Town Development Co., Ltd. 241,383 18,123 * China Nickel Resources Holdings Co., Ltd. 54,000 1,776 China Oil & Gas Group, Ltd. 1,500,000 248,261 China Oilfield Services, Ltd. Class H 86,000 205,733 China Overseas Grand Oceans Group, Ltd. 253,250 150,678 China Overseas Land & Investment, Ltd. 284,827 700,416 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- CHINA -- (Continued) China Pacific Insurance Group Co., Ltd. Class H 82,000 $ 256,757 China Petroleum & Chemical Corp. ADR 14,671 1,303,767 China Petroleum & Chemical Corp. Class H 541,400 479,228 # China Power International Development, Ltd. 450,000 162,028 * China Power New Energy Development Co., Ltd. 960,000 50,336 * China Precious Metal Resources Holdings Co., Ltd. 732,000 72,789 * China Properties Group, Ltd. 173,000 38,931 China Qinfa Group, Ltd. 116,000 4,942 China Railway Construction Corp., Ltd. Class H 301,000 247,836 China Railway Group, Ltd. Class H 560,000 250,816 * China Rare Earth Holdings, Ltd. 260,000 33,226 China Resources Cement Holdings, Ltd. 370,610 257,048 # China Resources Enterprise, Ltd. 228,000 647,763 China Resources Gas Group, Ltd. 68,000 201,711 China Resources Land, Ltd. 232,000 478,219 China Resources Power Holdings Co., Ltd. 122,000 306,630 #* China Rongsheng Heavy Industries Group Holdings, Ltd. 752,000 129,473 * China Ruifeng Renewable Energy Holdings, Ltd. 56,000 11,633 China Sanjiang Fine Chemicals Co., Ltd. 109,000 47,738 China SCE Property Holdings, Ltd. 363,600 78,853 China Shanshui Cement Group, Ltd. 465,000 180,475 China Shenhua Energy Co., Ltd. Class H 257,116 696,593 China Shineway Pharmaceutical Group, Ltd. 58,000 101,329 * China Shipping Container Lines Co., Ltd. Class H 943,000 222,187 * China Shipping Development Co., Ltd. Class H 453,752 248,731 China Singyes Solar Technologies Holdings, Ltd. 84,000 123,284 # China South City Holdings, Ltd. 450,000 188,999 China Southern Airlines Co., Ltd. Class H 286,000 85,406 China Southern Airlines Co., Ltd. Sponsored ADR 3,231 48,659 China State Construction International Holdings, Ltd. 137,600 229,457 China Suntien Green Energy Corp., Ltd. Class H 335,000 113,478 China Taifeng Beddings Holdings, Ltd. 44,000 4,895 * China Taiping Insurance Holdings Co., Ltd. 138,600 220,259 China Telecom Corp., Ltd. ADR 3,368 172,509 China Tianyi Holdings, Ltd. 136,000 18,304 China Unicom Hong Kong, Ltd. ADR 69,402 1,063,933 * China Vanadium Titano - Magnetite Mining Co., Ltd. 296,000 37,088 # China Water Affairs Group, Ltd. 310,000 104,913 * China WindPower Group, Ltd. 730,000 47,368 China XLX Fertiliser, Ltd. 83,000 27,212 #* China Yurun Food Group, Ltd. 345,000 166,761 * China ZhengTong Auto Services Holdings, Ltd. 199,000 108,476 #* China Zhongwang Holdings, Ltd. 508,400 158,908 * Chinasoft International, Ltd. 170,000 49,149 * Chinese People Holdings Co., Ltd. 318,000 8,410 * Chongqing Iron & Steel Co., Ltd. Class H 196,000 28,065 Chongqing Machinery & Electric Co., Ltd. Class H 327,925 42,423 Chongqing Rural Commercial Bank Class H 541,000 235,816 Chu Kong Petroleum & Natural Gas Steel Pipe Holdings, Ltd. 67,000 20,345 CIMC Enric Holdings, Ltd. 70,000 101,187 * Citic 21CN Co., Ltd. 30,000 16,733 * CITIC Dameng Holdings, Ltd. 56,000 3,989 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ---------- CHINA -- (Continued) # CITIC Pacific, Ltd. 341,000 $ 597,141 * CITIC Resources Holdings, Ltd. 922,000 134,611 CITIC Securities Co., Ltd. Class H 93,000 186,188 Clear Media, Ltd. 29,000 29,003 CNOOC, Ltd. 434,000 713,979 CNOOC, Ltd. ADR 11,530 1,904,641 * Coastal Greenland, Ltd. 123,000 3,851 #* Comba Telecom Systems Holdings, Ltd. 236,267 60,169 #* Comtec Solar Systems Group, Ltd. 208,000 33,137 Coolpad Group, Ltd. 248,000 107,658 COSCO Pacific, Ltd. 422,621 567,245 Country Garden Holdings Co., Ltd. 941,050 377,321 CP Pokphand Co., Ltd. 568,000 62,913 CPMC Holdings, Ltd. 118,000 93,405 CSPC Pharmaceutical Group, Ltd. 392,000 324,076 CSR Corp., Ltd. 66,000 48,561 * DaChan Food Asia, Ltd. 128,000 15,190 # Dah Chong Hong Holdings, Ltd. 157,000 99,524 Dalian Port PDA Co., Ltd. Class H 254,000 60,049 # Daphne International Holdings, Ltd. 192,000 77,085 Datang International Power Generation Co., Ltd. Class H 316,000 117,440 Dawnrays Pharmaceutical Holdings, Ltd. 56,000 42,150 #* DBA Telecommunication Asia Holdings, Ltd. 72,000 3,538 Digital China Holdings, Ltd. 192,000 177,831 Dongfang Electric Corp., Ltd. Class H 66,000 102,883 Dongfeng Motor Group Co., Ltd. Class H 202,000 269,527 Dongyue Group, Ltd. 325,000 130,417 #* Dynasty Fine Wines Group, Ltd. 114,000 3,970 ENN Energy Holdings, Ltd. 66,000 460,347 EVA Precision Industrial Holdings, Ltd. 284,000 47,693 # Evergrande Real Estate Group, Ltd. 1,658,000 740,625 # Fantasia Holdings Group Co., Ltd. 396,000 52,802 First Tractor Co., Ltd. Class H 130,000 76,132 Fosun International, Ltd. 315,000 381,505 Franshion Properties China, Ltd. 930,000 290,874 # Fufeng Group, Ltd. 201,600 76,815 #* GCL-Poly Energy Holdings, Ltd. 1,207,000 362,547 Geely Automobile Holdings, Ltd. 1,195,000 415,425 * Global Bio-Chem Technology Group Co., Ltd. 500,000 17,152 #* Glorious Property Holdings, Ltd. 667,000 95,611 # Golden Eagle Retail Group, Ltd. 90,000 116,409 # Golden Meditech Holdings, Ltd. 664,333 57,492 Goldlion Holdings, Ltd. 79,000 36,177 GOME Electrical Appliances Holding, Ltd. 2,608,060 489,009 Goodbaby International Holdings, Ltd. 141,000 77,213 Great Wall Motor Co., Ltd. Class H 135,000 613,278 * Great Wall Technology Co., Ltd. Class H 86,000 33,485 Greatview Aseptic Packaging Co., Ltd. 30,000 18,305 Greenland Hong Kong Holdings, Ltd. 14,350 6,566 Greentown China Holdings, Ltd. 191,500 192,867 # Guangdong Investment, Ltd. 316,000 343,965 Guangdong Land Holdings, Ltd. 208,000 41,064 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ---------- CHINA -- (Continued) Guangshen Railway Co., Ltd. Class H 98,000 $ 37,023 Guangshen Railway Co., Ltd. Sponsored ADR 6,099 115,515 Guangzhou Automobile Group Co., Ltd. Class H 548,259 553,481 Guangzhou Baiyunshan Pharmaceutical Holdings Co., Ltd. Class H 18,000 54,104 Guangzhou R&F Properties Co., Ltd. 207,200 270,378 Guangzhou Shipyard International Co., Ltd. Class H 57,200 100,929 Haier Electronics Group Co., Ltd. 127,000 311,746 Hainan Meilan International Airport Co., Ltd. Class H 27,000 25,636 Haitian International Holdings, Ltd. 50,000 100,602 #* Hanergy Solar Group, Ltd. 1,786,000 258,690 Harbin Electric Co., Ltd. Class H 216,236 127,661 * Heng Tai Consumables Group, Ltd. 644,962 11,811 Hengan International Group Co., Ltd. 37,500 394,843 # Hengdeli Holdings, Ltd. 477,400 91,829 #* Hi Sun Technology China, Ltd. 279,000 59,929 * Hidili Industry International Development, Ltd. 268,000 30,960 Hilong Holding, Ltd. 44,000 22,933 * Hisense Kelon Electrical Holdings Co., Ltd. Class H 65,000 76,825 * HKC Holdings, Ltd. 799,477 21,683 # Honghua Group, Ltd. 185,000 43,535 Hopewell Highway Infrastructure, Ltd. 180,300 88,168 * Hopson Development Holdings, Ltd. 182,000 178,849 Hua Han Bio-Pharmaceutical Holdings, Ltd. 629,913 131,599 # Huabao International Holdings, Ltd. 463,000 219,304 Huadian Power International Corp., Ltd. Class H 274,000 148,911 Huaneng Power International, Inc. Sponsored ADR 3,000 117,840 Huaneng Renewables Corp., Ltd. Class H 832,000 258,641 * Hunan Nonferrous Metal Corp., Ltd. Class H 300,000 87,075 Hutchison Harbour Ring, Ltd. 116,000 8,834 Industrial & Commercial Bank of China, Ltd. Class H 5,028,460 2,998,090 Intime Retail Group Co., Ltd. 162,500 159,586 * JES International Holdings, Ltd. 80,000 5,062 Jiangsu Expressway Co., Ltd. Class H 134,000 150,446 Jiangxi Copper Co., Ltd. Class H 324,000 535,155 #* Jinchuan Group International Resources Co., Ltd. 47,000 5,430 Jingwei Textile Machinery Class H 28,000 24,574 Ju Teng International Holdings, Ltd. 182,000 134,948 * Kai Yuan Holdings, Ltd. 1,980,000 36,766 Kaisa Group Holdings, Ltd. 530,000 167,934 * Kasen International Holdings, Ltd. 30,000 6,400 Kingboard Chemical Holdings, Ltd. 180,000 344,015 Kingboard Laminates Holdings, Ltd. 217,000 84,199 #* Kingdee International Software Group Co., Ltd. 371,600 111,612 # Kingsoft Corp., Ltd. 54,000 167,355 Kunlun Energy Co., Ltd. 252,000 393,108 KWG Property Holding, Ltd. 327,400 182,065 Lai Fung Holdings, Ltd. 1,378,000 29,388 Le Saunda Holdings, Ltd. 126,000 60,197 Lee & Man Chemical Co., Ltd. 48,300 23,090 Lee & Man Paper Manufacturing, Ltd. 328,600 178,215 # Lenovo Group, Ltd. 424,000 482,075 #* Li Ning Co., Ltd. 318,749 222,520 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ---------- CHINA -- (Continued) Lianhua Supermarket Holdings Co., Ltd. Class H 96,400 $ 53,445 Lijun International Pharmaceutical Holding Co., Ltd. 294,000 120,181 Lingbao Gold Co., Ltd. Class H 100,000 17,753 Longfor Properties Co., Ltd. 235,000 304,099 * Lonking Holdings, Ltd. 416,000 77,051 * Loudong General Nice Resources China Holdings, Ltd. 507,600 36,010 * Maanshan Iron & Steel Co., Ltd. Class H 538,000 112,776 Maoye International Holdings, Ltd. 311,000 44,616 * Metallurgical Corp. of China, Ltd. Class H 783,000 148,658 # Microport Scientific Corp. 56,000 38,081 MIE Holdings Corp. 304,000 57,285 MIN XIN Holdings, Ltd. 34,000 17,552 * Mingfa Group International Co., Ltd. 296,000 74,111 Minmetals Land, Ltd. 268,000 30,140 Minth Group, Ltd. 144,000 226,916 #* MMG, Ltd. 372,000 86,625 * Nan Hai Corp., Ltd. 5,150,000 33,222 Nature Flooring Holding Co., Ltd. 29,000 5,427 # NetDragon Websoft, Inc. 26,500 45,302 * New China Life Insurance Co., Ltd. Class H 24,000 70,649 # New World China Land, Ltd. 637,800 528,657 New World Department Store China, Ltd. 97,000 45,420 # Nine Dragons Paper Holdings, Ltd. 435,000 286,229 * North Mining Shares Co., Ltd. 1,510,000 70,205 # NVC Lighting Holdings, Ltd. 239,000 59,698 O-Net Communications Group, Ltd. 22,000 5,726 Overseas Chinese Town Asia Holdings, Ltd. 28,000 9,806 # Pacific Online, Ltd. 45,000 24,420 Parkson Retail Group, Ltd. 248,000 72,715 PetroChina Co., Ltd. ADR 9,000 1,037,880 PetroChina Co., Ltd. Class H 224,000 257,870 # Phoenix Satellite Television Holdings, Ltd. 226,000 80,892 PICC Property & Casualty Co., Ltd. Class H 193,140 255,300 Ping An Insurance Group Co. of China, Ltd. Class H 36,500 270,435 Poly Property Group Co., Ltd. 565,000 245,314 Ports Design, Ltd. 89,500 42,595 * Pou Sheng International Holdings, Ltd. 463,000 19,720 Powerlong Real Estate Holdings, Ltd. 259,000 39,135 # Prince Frog International Holdings, Ltd. 75,000 21,511 * Prosperity International Holdings HK, Ltd. 320,000 10,940 Qunxing Paper Holdings Co., Ltd. 147,174 38,308 * Real Gold Mining, Ltd. 19,000 645 Real Nutriceutical Group, Ltd. 205,000 43,653 Regent Manner International Holdings, Ltd. 223,000 39,118 #* Renhe Commercial Holdings Co., Ltd. 2,986,000 171,355 # REXLot Holdings, Ltd. 2,104,266 220,498 * Richly Field China Development, Ltd. 200,000 4,013 Road King Infrastructure, Ltd. 71,000 65,332 Samson Holding, Ltd. 191,000 25,152 Sany Heavy Equipment International Holdings Co., Ltd. 240,000 55,771 Sateri Holdings, Ltd. 194,000 36,014 * Semiconductor Manufacturing International Corp. 6,293,000 517,282 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- -------- CHINA -- (Continued) Shandong Chenming Paper Holdings, Ltd. Class H 60,500 $ 26,747 Shandong Molong Petroleum Machinery Co., Ltd. Class H 85,600 23,604 Shandong Weigao Group Medical Polymer Co., Ltd. Class H 72,000 72,950 Shanghai Electric Group Co., Ltd. Class H 590,000 229,117 Shanghai Fosun Pharmaceutical Group Co., Ltd. Class H 11,000 37,401 Shanghai Industrial Holdings, Ltd. 137,000 422,516 #* Shanghai Industrial Urban Development Group, Ltd. 512,000 97,876 Shanghai Jin Jiang International Hotels Group Co., Ltd. Class H 298,000 74,084 Shanghai Pharmaceuticals Holding Co., Ltd. Class H 158,200 290,197 Shanghai Prime Machinery Co., Ltd. Class H 82,000 12,363 * Shanghai Zendai Property, Ltd. 1,505,000 23,717 Shengli Oil & Gas Pipe Holdings, Ltd. 262,500 13,388 # Shenguan Holdings Group, Ltd. 134,000 57,394 Shenzhen Expressway Co., Ltd. Class H 100,000 45,370 Shenzhen International Holdings, Ltd. 218,750 265,763 Shenzhen Investment, Ltd. 606,391 198,971 Shenzhou International Group Holdings, Ltd. 78,000 268,104 Shimao Property Holdings, Ltd. 345,000 682,316 * Shougang Concord International Enterprises Co., Ltd. 924,000 43,052 # Shougang Fushan Resources Group, Ltd. 876,000 260,250 Shui On Land, Ltd. 1,078,156 287,063 Sichuan Expressway Co., Ltd. Class H 204,000 61,115 Sihuan Pharmaceutical Holdings Group, Ltd. 358,000 392,921 Sino Biopharmaceutical, Ltd. 583,999 457,554 * Sino Oil And Gas Holdings, Ltd. 3,690,000 102,506 Sino-Ocean Land Holdings, Ltd. 792,673 417,022 # Sinofert Holdings, Ltd. 628,000 77,143 SinoMedia Holding, Ltd. 111,276 97,709 # Sinopec Kantons Holdings, Ltd. 198,000 184,752 Sinopec Shanghai Petrochemical Co., Ltd. Sponsored ADR 4,950 120,631 #* Sinopec Yizheng Chemical Fibre Co., Ltd. Class H 516,000 114,850 Sinopharm Group Co., Ltd. Class H 99,200 260,669 * Sinopoly Battery, Ltd. 100,000 6,208 Sinotrans Shipping, Ltd. 314,500 90,988 Sinotrans, Ltd. Class H 441,000 242,832 Sinotruk Hong Kong, Ltd. 195,500 104,031 SITC International Holdings Co., Ltd. 197,000 87,477 Skyworth Digital Holdings, Ltd. 463,824 221,911 SOHO China, Ltd. 507,500 402,404 * Solargiga Energy Holdings, Ltd. 246,000 12,254 * Sparkle Roll Group, Ltd. 312,000 21,314 Springland International Holdings, Ltd. 82,000 32,260 SPT Energy Group, Inc. 116,000 63,429 * SRE Group, Ltd. 1,064,285 30,930 # Sun Art Retail Group, Ltd. 94,500 122,689 Sunac China Holdings, Ltd. 387,000 197,044 Sunny Optical Technology Group Co., Ltd. 61,000 71,388 * Superb Summit International Group, Ltd. 825,000 109,723 TCC International Holdings, Ltd. 482,000 236,395 TCL Communication Technology Holdings, Ltd. 135,000 144,522 #* TCL Multimedia Technology Holdings, Ltd. 208,000 70,310 * Tech Pro Technology Development, Ltd. 62,000 30,806 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ---------- CHINA -- (Continued) Tencent Holdings, Ltd. 25,800 $1,625,039 # Texhong Textile Group, Ltd. 138,000 101,939 Tian An China Investment 67,000 52,514 Tian Shan Development Holding, Ltd. 24,000 9,359 # Tiangong International Co., Ltd. 270,000 47,014 Tianjin Capital Environmental Protection Group Co., Ltd. Class H 96,000 50,841 Tianjin Port Development Holdings, Ltd. 590,000 92,330 Tianneng Power International, Ltd. 112,000 39,128 Tingyi Cayman Islands Holding Corp. 54,000 150,328 Tomson Group, Ltd. 98,360 29,025 # Tong Ren Tang Technologies Co., Ltd. Class H 43,000 125,285 Tongda Group Holdings, Ltd. 530,000 60,533 Tonly Electronics Holdings, Ltd. 20,800 15,825 Top Spring International Holdings, Ltd. 47,600 17,712 # Towngas China Co., Ltd. 168,000 191,388 TPV Technology, Ltd. 162,000 26,754 Travelsky Technology, Ltd. Class H 218,471 166,634 Trigiant Group, Ltd. 188,000 58,749 # Truly International Holdings, Ltd. 308,000 208,591 Tsingtao Brewery Co., Ltd. Class H 24,000 174,777 # Uni-President China Holdings, Ltd. 152,000 125,902 * United Energy Group, Ltd. 472,000 71,845 #* VODone, Ltd. 679,800 58,989 Want Want China Holdings, Ltd. 247,000 386,988 Wasion Group Holdings, Ltd. 84,000 59,942 Weichai Power Co., Ltd. Class H 84,720 295,445 Weiqiao Textile Co. Class H 116,000 64,787 Welling Holding, Ltd. 328,400 103,048 West China Cement, Ltd. 620,000 66,605 * Winsway Coking Coal Holdings, Ltd. 243,000 10,859 Wumart Stores, Inc. Class H 24,000 23,383 Xiamen International Port Co., Ltd. Class H 330,000 49,050 Xingda International Holdings, Ltd. 288,000 126,704 Xinjiang Goldwind Science & Technology Co., Ltd. Class H 51,400 55,921 * Xinjiang Xinxin Mining Industry Co., Ltd. Class H 144,000 26,141 XTEP International Holdings, Ltd. 157,000 63,474 * Yanchang Petroleum International, Ltd. 1,020,000 50,861 Yanlord Land Group, Ltd. 71,000 65,564 Yanzhou Coal Mining Co., Ltd. Class H 294,000 220,248 # Yanzhou Coal Mining Co., Ltd. Sponsored ADR 18,500 138,195 Yingde Gases Group Co., Ltd. 217,500 219,336 Yip's Chemical Holdings, Ltd. 96,000 68,047 Youyuan International Holdings, Ltd. 34,100 9,019 Yuanda China Holdings, Ltd. 466,000 42,780 Yuexiu Property Co., Ltd. 1,251,200 242,874 Yuexiu Transport Infrastructure, Ltd. 126,639 64,830 Yuzhou Properties Co., Ltd. 156,000 35,848 Zall Development Group, Ltd. 106,000 36,895 Zhaojin Mining Industry Co., Ltd. 203,500 122,761 Zhejiang Expressway Co., Ltd. Class H 136,000 117,677 Zhengzhou Coal Mining Machinery Group Co., Ltd. Class H 20,400 11,120 # Zhongsheng Group Holdings, Ltd. 77,500 93,615 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ----------- CHINA -- (Continued) Zhuzhou CSR Times Electric Co., Ltd. Class H 35,000 $ 102,471 # Zijin Mining Group Co., Ltd. Class H 711,000 172,789 Zoomlion Heavy Industry Science and Technology Co., Ltd. 304,800 204,676 * ZTE Corp. Class H 106,504 217,950 ----------- TOTAL CHINA 78,530,289 ----------- COLOMBIA -- (0.1%) Almacenes Exito SA 7,075 107,774 Banco de Bogota SA 1,306 47,140 Bancolombia SA 13,890 190,787 Bancolombia SA Sponsored ADR 4,755 270,702 Cementos Argos SA 14,282 79,649 # Ecopetrol SA Sponsored ADR 10,314 386,672 Empresa de Telecomunicaciones de Bogota 40,000 8,975 Grupo Aval Acciones y Valores 50,031 33,973 Grupo de Inversiones Suramericana SA 9,338 182,172 Interconexion Electrica SA ESP 13,642 63,963 Isagen SA ESP 74,180 121,234 ----------- TOTAL COLOMBIA 1,493,041 ----------- CZECH REPUBLIC -- (0.1%) CEZ A.S. 10,110 304,257 Komercni Banka A.S. 1,128 260,090 Pegas Nonwovens SA 2,000 60,171 Philip Morris CR A.S. 100 52,786 Telefonica Czech Republic A.S. 19,986 302,993 * Unipetrol A.S. 11,278 78,579 ----------- TOTAL CZECH REPUBLIC 1,058,876 ----------- DENMARK -- (1.1%) ALK-Abello A.S. 1,380 191,480 * Alm Brand A.S. 26,595 129,176 Ambu A.S. Class B 1,397 93,412 AP Moeller - Maersk A.S. Class A 205 465,733 AP Moeller - Maersk A.S. Class B 515 1,229,438 * Auriga Industries A.S. Class B 4,609 170,696 * Bang & Olufsen A.S. 12,488 128,985 * Bavarian Nordic A.S. 9,044 191,985 Carlsberg A.S. Class B 8,526 852,876 Chr Hansen Holding A.S. 16,187 729,787 Coloplast A.S. Class B 4,082 342,859 D/S Norden A.S. 6,453 258,103 Danske Bank A.S. 51,909 1,468,673 Dfds A.S. 1,310 103,587 DSV A.S. 39,297 1,312,487 East Asiatic Co., Ltd. A.S. 3,064 40,734 # FLSmidth & Co. A.S. 10,842 580,454 * Genmab A.S. 5,998 223,447 GN Store Nord A.S. 46,624 1,126,374 H Lundbeck A.S. 10,128 295,180 * H+H International A.S. Class B 2,233 19,384 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ----------- DENMARK -- (Continued) IC Companys A.S. 1,227 $ 36,634 Jeudan A.S. 397 44,756 * Jyske Bank A.S. 17,975 988,263 NKT Holding A.S. 6,877 433,877 Nordjyske Bank A.S. 2,430 52,513 Norresundby Bank A.S. 518 25,558 Novo Nordisk A.S. Class B 43,268 1,963,761 Novo Nordisk A.S. Sponsored ADR 20,820 945,020 Novozymes A.S. Class B 9,905 474,896 Pandora A.S. 14,174 955,477 * Parken Sport & Entertainment A.S. 1,975 26,248 PER Aarsleff A.S. Class B 555 100,622 Ringkjoebing Landbobank A.S. 802 183,505 Rockwool International A.S. Class B 1,847 356,274 * Royal UNIBREW 2,436 379,192 Schouw & Co. 3,987 222,554 SimCorp A.S. 7,461 286,456 Solar A.S. Class B 1,890 130,723 Spar Nord Bank A.S. 13,534 152,367 * Sydbank A.S. 18,084 482,334 TDC A.S. 116,112 1,090,394 Tivoli A.S. 8 4,520 * TK Development A.S. 29,745 51,226 * Topdanmark A.S. 22,511 658,665 * Torm A.S. 88,109 22,323 Tryg A.S. 4,113 390,626 United International Enterprises 349 69,772 * Vestas Wind Systems A.S. 38,569 1,712,891 * Vestjysk Bank A.S. 568 951 * William Demant Holding A.S. 3,328 298,229 * Zealand Pharma A.S. 827 10,224 ----------- TOTAL DENMARK 22,505,701 ----------- EGYPT -- (0.0%) Commercial International Bank Egypt S.A.E. GDR 6,598 33,263 * Global Telecom Holding GDR 18,270 68,071 ----------- TOTAL EGYPT 101,334 ----------- FINLAND -- (1.2%) Afarak Group Oyj 27,736 14,583 Ahlstrom Oyj 7,221 76,949 Alma Media Oyj 3,037 11,130 Amer Sports Oyj 35,121 726,150 Aspo Oyj 2,850 23,626 Atria P.L.C. 2,101 20,744 BasWare Oyj 805 38,144 * Biotie Therapies Oyj 19,018 6,099 # Cargotec Oyj 9,577 428,117 Caverion Corp. 19,094 212,132 Citycon Oyj 60,336 226,392 Cramo Oyj 7,537 168,406 Elektrobit Oyj 5,993 21,901 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ---------- FINLAND -- (Continued) Elisa Oyj 27,879 $ 833,169 F-Secure Oyj 13,689 46,203 * Finnair Oyj 18,798 78,434 * Finnlines Oyj 2,556 27,714 Fiskars Oyj Abp 5,715 155,066 Fortum Oyj 79,317 1,791,936 # HKScan Oyj Class A 5,623 29,833 Huhtamaki Oyj 20,874 548,865 Kemira Oyj 23,111 353,271 Kesko Oyj Class A 2,702 107,933 Kesko Oyj Class B 17,609 720,783 # Kone Oyj Class B 16,841 721,897 Konecranes Oyj 9,145 295,167 Lassila & Tikanoja Oyj 7,515 146,333 * Lemminkainen Oyj 823 15,946 Metsa Board Oyj 52,655 246,483 # Metso Oyj 18,052 726,589 Metso Oyj Sponsored ADR 200 8,030 Munksjo Oyj 3,996 32,320 # Neste Oil Oyj 35,044 720,705 #* Nokia Oyj 490,765 3,674,637 * Nokia Oyj Sponsored ADR 25,880 194,100 # Nokian Renkaat Oyj 19,181 763,287 Okmetic Oyj 4,178 26,743 Olvi Oyj Class A 1,959 66,061 * Oriola-KD Oyj Class B 28,965 96,027 Orion Oyj Class A 3,633 111,413 Orion Oyj Class B 15,360 468,828 * Outokumpu Oyj 1,334,945 408,448 # Outotec Oyj 12,352 138,434 PKC Group Oyj 3,374 111,922 Ponsse Oy 1,987 30,435 * Poyry Oyj 5,709 31,575 Raisio P.L.C. Class V 28,434 185,979 Ramirent Oyj 14,752 165,356 * Rautaruukki Oyj 27,399 341,341 Revenio Group Oyj 670 14,918 Saga Furs Oyj 230 9,076 Sampo Class A 44,645 2,218,837 Sanoma Oyj 18,535 124,808 SRV Group P.L.C. 2,131 11,275 Stockmann Oyj Abp(5462371) 937 13,402 Stockmann Oyj Abp(5462393) 6,600 93,733 # Stora Enso Oyj Class R 144,983 1,480,510 Stora Enso Oyj Sponsored ADR 1,800 18,180 * Talvivaara Mining Co. P.L.C. 136,822 16,055 Technopolis Oyj 16,329 99,402 Tieto Oyj 16,572 453,497 Tikkurila Oyj 6,252 155,163 UPM-Kymmene Oyj 136,856 2,396,868 UPM-Kymmene Oyj Sponsored ADR 1,300 22,594 Uponor Oyj 9,881 195,734 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ----------- FINLAND -- (Continued) Vacon P.L.C. 3,235 $ 134,222 Vaisala Oyj Class A 1,077 35,050 # Valmet Corp. 14,091 164,644 Wartsila Oyj Abp 11,365 634,451 # YIT Oyj 19,094 196,401 ----------- TOTAL FINLAND 24,884,456 ----------- FRANCE -- (6.4%) Accor SA 23,212 1,136,449 Aeroports de Paris 1,857 230,929 * Air France-KLM 36,000 517,897 Air Liquide SA 7,538 1,078,442 Airbus Group NV 24,049 1,653,131 Akka Technologies SA 1,175 42,574 Albioma 4,634 129,397 * Alcatel-Lucent 505,514 2,004,728 Alstom SA 19,684 813,422 Altamir 701 10,621 Alten SA 5,260 268,742 Altran Technologies SA 31,553 344,000 April 3,147 75,225 * Archos 2,165 9,921 Arkema SA 11,594 1,294,959 #* Artprice.com 549 13,975 Assystem 3,266 105,276 AtoS 14,947 1,291,301 * Audika Groupe 1,267 23,241 AXA SA 66,162 1,726,564 AXA SA Sponsored ADR 62,400 1,566,240 Axway Software SA 1,277 44,031 * Beneteau SA 6,084 105,396 * Bigben Interactive 1,060 11,001 * BioAlliance Pharma SA 4,611 51,024 BioMerieux 2,074 226,554 BNP Paribas SA 77,818 5,847,592 Boiron SA 1,642 138,509 * Bollore SA(BDGTH22) 5 3,087 Bollore SA(4572709) 1,087 692,810 Bonduelle SCA 4,965 143,999 Bongrain SA 920 80,442 Bourbon SA 13,074 431,425 * Boursorama 4,893 81,964 Bouygues SA 40,027 1,802,852 * Bull 19,152 101,642 Bureau Veritas SA 9,468 290,144 Burelle SA 45 48,446 Cap Gemini SA 22,824 1,612,600 Carrefour SA 46,355 1,806,966 Casino Guichard Perrachon SA 11,064 1,409,810 * Cegedim SA 878 32,219 Cegid Group 1,095 45,874 * CGG SA 7,670 132,705 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- FRANCE -- (Continued) * CGG SA Sponsored ADR 23,995 $ 412,714 * Chargeurs SA 5,828 45,579 Christian Dior SA 1,964 404,104 Cie de St-Gobain 60,070 3,680,215 Cie Generale des Etablissements Michelin 21,474 2,633,373 Ciments Francais SA 1,613 173,463 * Club Mediterranee SA 5,752 149,968 CNP Assurances 26,976 622,324 * Credit Agricole SA 139,774 2,205,416 Danone SA 6,485 478,846 Danone SA Sponsored ADR 600 8,904 Dassault Systemes 1,841 226,550 Dassault Systemes ADR 614 75,399 Derichebourg SA 31,806 123,997 Devoteam SA 2,730 69,599 Edenred 19,457 657,623 Eiffage SA 8,907 673,298 Electricite de France SA 23,508 902,729 Eramet 1,253 163,440 Essilor International SA 5,017 537,257 Esso SA Francaise 381 20,878 Etablissements Maurel et Prom 19,993 356,721 Euler Hermes SA 3,547 427,959 * Euro Disney SCA 2,831 16,475 Eurofins Scientific SE 1,065 295,747 Eutelsat Communications SA 17,087 587,768 Exel Industries Class A 289 25,393 Faiveley Transport SA 1,094 90,116 * Faurecia 16,894 760,443 Fimalac 1,023 87,151 * GameLoft SE 6,023 59,849 GDF Suez 109,186 2,751,861 GL Events 2,371 59,721 Groupe Crit 1,156 77,110 Groupe Eurotunnel SA 107,558 1,443,946 Groupe Flo 1,396 6,322 * Groupe Fnac 900 43,044 Groupe Steria SCA 8,462 238,343 Guerbet 785 37,255 * Haulotte Group SA 4,396 83,963 Havas SA 59,066 470,119 * Hi-Media SA 10,368 30,086 Iliad SA 1,366 368,257 Imerys SA 6,598 579,417 Ingenico 5,905 515,278 Interparfums SA 1,634 74,715 Ipsen SA 3,362 149,273 IPSOS 7,996 310,569 Jacquet Metal Service 2,748 58,912 JCDecaux SA 8,578 352,128 Kering 7,204 1,593,318 Korian-Medica 9,931 372,770 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- FRANCE -- (Continued) L'Oreal SA 3,076 $ 530,134 L.D.C. SA 204 37,641 Lafarge SA 25,334 2,318,031 Lafarge SA Sponsored ADR 1,300 29,705 Lagardere SCA 29,628 1,241,725 Laurent-Perrier 664 66,457 Lectra 1,700 17,914 Legrand SA 10,952 707,675 LISI 865 140,296 LVMH Moet Hennessy Louis Vuitton SA 8,219 1,619,096 Maisons France Confort 535 26,134 Manitou BF SA 2,706 51,194 Manutan International 734 55,897 Mersen 3,857 123,503 Metropole Television SA 10,628 227,776 MGI Coutier 230 44,515 Montupet 2,642 218,686 Natixis 137,478 975,909 Naturex 1,299 114,017 Neopost SA 7,546 619,625 Nexans SA 8,749 492,583 Nexity SA 6,971 312,702 NextRadioTV 290 9,694 #* NicOx SA 17,225 56,198 Norbert Dentressangle SA 880 150,864 * NRJ Group 4,409 54,489 Orange SA 182,484 2,956,473 Orange SA Sponsored ADR 26,020 418,922 Orpea 6,169 448,764 * Parrot SA 1,599 48,905 Pernod Ricard SA 6,336 760,373 #* Peugeot SA 49,592 877,429 * Pierre & Vacances SA 1,110 46,801 Plastic Omnium SA 22,695 772,205 Publicis Groupe SA 8,038 687,645 Publicis Groupe SA ADR 1,600 33,920 Rallye SA 6,472 329,187 * Recylex SA 5,815 21,872 Remy Cointreau SA 2,663 234,079 Renault SA 29,183 2,853,218 Rexel SA 43,351 1,094,477 Rubis SCA 5,654 402,586 Safran SA 13,595 914,973 Saft Groupe SA 6,538 232,515 Sanofi 41,470 4,475,436 Sanofi ADR 39,660 2,133,708 Sartorius Stedim Biotech 709 134,767 Schneider Electric SA(4834108) 30,730 2,884,653 Schneider Electric SA(B11BPS1) 1,444 135,561 SCOR SE 40,715 1,489,874 SEB SA 4,125 380,494 Seche Environnement SA 824 36,334 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ------------ FRANCE -- (Continued) #* Sequana SA 3,568 $ 26,332 SES SA 16,389 617,475 Societe BIC SA 3,399 450,955 Societe d'Edition de Canal + 10,759 94,679 Societe Generale SA 60,221 3,750,394 Societe Internationale de Plantations d'Heveas SA 245 15,821 Societe Television Francaise 1 27,609 470,126 Sodexo 4,433 477,943 #* SOITEC 46,036 139,067 * Solocal Group 24,084 54,987 Somfy SA 158 54,878 Sopra Group SA 846 97,391 Stallergenes SA 234 18,517 * Ste Industrielle d'Aviation Latecoere SA 1,049 19,382 Stef SA 951 75,210 STMicroelectronics NV(5962332) 115,993 1,106,131 # STMicroelectronics NV(861012102) 37,473 355,619 Suez Environnement Co. 27,501 540,382 Sword Group 1,588 41,700 Synergie SA 5,958 172,451 * Technicolor SA 47,505 355,179 Technip SA 4,264 479,950 Teleperformance 13,203 757,223 Thales SA 10,191 648,914 * Theolia SA 10,847 18,342 Total Gabon 81 49,352 Total SA 124,526 8,909,108 Total SA Sponsored ADR 85,482 6,089,738 Touax SA 25 690 * Transgene SA 1,606 20,763 * Trigano SA 2,400 66,493 * UBISOFT Entertainment 30,567 570,432 Valeo SA 12,678 1,741,060 Vallourec SA 25,397 1,500,848 * Valneva SE(B9B2YX8) 1,913 16,182 #* Valneva SE(B03KGM0) 1,267 10,598 Veolia Environnement SA 21,687 404,590 Veolia Environnement SA ADR 14,066 264,159 Vetoquinol SA 275 15,003 Vicat 2,827 245,338 VIEL & Cie SA 12,834 42,318 # Vilmorin & Cie SA 1,081 142,698 Vinci SA 24,668 1,862,590 Virbac SA 499 119,634 Vivendi SA 104,208 2,799,733 Vranken-Pommery Monopole SA 106 3,741 Zodiac Aerospace 31,035 1,031,841 ------------ TOTAL FRANCE 127,861,419 ------------ GERMANY -- (5.3%) * Aareal Bank AG 12,891 585,956 Adidas AG 9,188 982,213 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- GERMANY -- (Continued) Adler Modemaerkte AG 1,737 $ 28,362 * ADVA Optical Networking SE 17,734 79,561 * Air Berlin P.L.C. 7,620 18,352 * Aixtron SE 16,599 264,284 Allgeier SE 1,061 25,408 Allianz SE 29,681 5,165,380 Allianz SE ADR 69,550 1,213,648 Amadeus Fire AG 594 51,672 Aurubis AG 8,619 460,465 Axel Springer SE 9,141 558,167 BASF SE 31,183 3,617,406 BASF SE Sponsored ADR 1,000 112,750 Bauer AG 1,889 49,075 Bayer AG 22,361 3,109,111 Bayer AG Sponsored ADR 200 27,844 Bayerische Motoren Werke AG 33,795 4,248,198 BayWa AG 3,225 182,942 Bechtle AG 3,005 267,407 Beiersdorf AG 4,330 434,665 Bertrandt AG 886 134,216 Bijou Brigitte AG 670 65,229 Bilfinger SE 9,560 1,139,794 Biotest AG 355 43,799 Borussia Dortmund GmbH & Co. KGaA 14,645 76,375 Brenntag AG 5,243 949,772 CANCOM SE 3,759 165,749 Carl Zeiss Meditec AG 4,660 141,881 CAT Oil AG 9,812 205,863 Celesio AG 20,896 726,227 CENIT AG 767 12,661 CENTROTEC Sustainable AG 2,715 69,494 Cewe Stiftung & Co. KGAA 1,156 91,082 Comdirect Bank AG 12,756 147,049 * Commerzbank AG 138,710 2,473,358 CompuGroup Medical AG 2,685 71,617 * Constantin Medien AG 444 917 # Continental AG 10,531 2,477,992 CropEnergies AG 5,648 37,050 CTS Eventim AG 3,019 192,304 DAB Bank AG 1,539 8,333 Daimler AG 70,685 6,580,712 Data Modul AG 96 2,617 Delticom AG 575 27,380 Deutsche Bank AG(5750355) 5,709 251,456 Deutsche Bank AG(D18190898) 70,103 3,086,635 Deutsche Boerse AG 4,837 354,711 Deutsche Lufthansa AG 49,873 1,252,452 Deutsche Post AG 93,390 3,523,880 Deutsche Telekom AG 154,252 2,591,597 Deutsche Telekom AG Sponsored ADR 104,159 1,744,663 Deutsche Wohnen AG(B0YZ0Z5) 26,186 562,145 * Deutsche Wohnen AG(BFLR888) 8,757 183,444 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- GERMANY -- (Continued) * Deutz AG 26,297 $ 219,895 * Dialog Semiconductor P.L.C. 10,130 256,617 DMG MORI SEIKI AG 13,842 436,181 Draegerwerk AG & Co. KGaA 501 51,451 Drillisch AG 9,662 360,762 Duerr AG 5,414 428,387 E.ON SE 136,572 2,616,016 E.ON SE Sponsored ADR 3,600 65,880 Eckert & Ziegler AG 831 28,877 Elmos Semiconductor AG 2,338 47,100 ElringKlinger AG 5,878 237,313 Euromicron AG 1,356 24,858 #* Evotec AG 35,662 178,337 Fielmann AG 1,237 167,349 * First Sensor AG 945 14,113 * Francotyp-Postalia Holding AG Class A 1,682 11,199 Fraport AG Frankfurt Airport Services Worldwide 7,117 526,353 Freenet AG 24,178 837,359 Fresenius Medical Care AG & Co. KGaA 21,771 1,499,969 Fresenius Medical Care AG & Co. KGaA ADR 4,200 144,270 Fresenius SE & Co. KGaA 17,905 2,724,293 Fuchs Petrolub SE 1,737 160,142 * GAGFAH SA 11,791 186,488 GEA Group AG 27,139 1,215,511 Gerresheimer AG 10,666 724,080 Gerry Weber International AG 2,892 152,743 Gesco AG 578 60,156 GFK SE 3,236 167,021 GFT Technologies AG 3,080 36,783 Grammer AG 4,432 244,932 Grenkeleasing AG 1,850 193,830 * H&R AG 1,360 13,497 Hamburger Hafen und Logistik AG 4,131 100,183 Hannover Rueck SE 9,054 843,669 HeidelbergCement AG 20,379 1,770,692 * Heidelberger Druckmaschinen AG 66,125 209,730 Henkel AG & Co. KGaA 4,339 446,129 Highlight Communications AG 2,399 12,488 Hochtief AG 8,264 770,498 Homag Group AG 1,385 40,468 Hugo Boss AG 3,806 528,759 Indus Holding AG 5,695 267,278 Infineon Technologies AG 60,551 704,044 Infineon Technologies AG ADR 51,213 595,095 Isra Vision AG 711 52,791 Jenoptik AG 12,205 203,728 * Joyou AG 604 10,413 K+S AG 24,156 846,429 * Kloeckner & Co. SE 26,237 397,651 Koenig & Bauer AG 1,185 19,763 Kontron AG 11,542 80,581 Krones AG 3,333 319,088 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- GERMANY -- (Continued) KSB AG 38 $ 25,442 KUKA AG 6,263 321,096 KWS Saat AG 383 136,889 Lanxess AG 20,051 1,526,912 Leifheit AG 163 8,779 Leoni AG 10,226 762,241 Linde AG 15,298 3,177,162 LPKF Laser & Electronics AG 6,371 143,293 MAN SE 5,106 654,746 * Manz AG 880 79,047 Merck KGaA 6,483 1,095,911 * Metro AG 22,125 886,410 MLP AG 11,364 77,296 * Morphosys AG 3,702 317,536 MTU Aero Engines AG 12,306 1,160,289 Muenchener Rueckversicherungs AG 13,919 3,217,501 MVV Energie AG 1,519 48,523 Nemetschek AG 766 66,687 Nexus AG 982 15,269 * Nordex SE 13,855 221,828 Norma Group SE 5,589 293,312 OHB AG 1,076 30,369 * Osram Licht AG 15,733 825,977 * Patrizia Immobilien AG 8,889 105,107 Pfeiffer Vacuum Technology AG 797 94,803 PNE Wind AG 14,369 55,301 Puma SE 668 197,342 PVA TePla AG 1,103 4,798 * QIAGEN NV 45,871 1,007,037 QSC AG 23,436 120,600 R Stahl AG 597 35,443 Rational AG 368 117,537 Rheinmetall AG 10,922 727,620 Rhoen Klinikum AG 24,720 798,190 RWE AG 89,853 3,428,887 SAF-Holland SA 8,786 131,458 Salzgitter AG 10,471 444,764 SAP AG 11,432 924,014 # SAP AG Sponsored ADR 9,200 745,108 Schaltbau Holding AG 431 30,638 # SGL Carbon SE 5,895 196,312 SHW AG 500 30,008 Siemens AG 6,647 876,874 * Singulus Technologies AG 10,890 35,593 Sixt SE 3,720 150,418 SKW Stahl-Metallurgie Holding AG 2,207 33,098 * Sky Deutschland AG 48,268 414,239 # SMA Solar Technology AG 2,799 117,204 SMT Scharf AG 1,160 28,598 Software AG 14,399 542,353 #* Solarworld AG 184 8,169 Stada Arzneimittel AG 13,778 600,798 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ------------ GERMANY -- (Continued) STRATEC Biomedical AG 978 $ 44,793 * Stroeer Media AG 4,716 81,258 Suedzucker AG 17,539 374,791 Surteco SE 316 12,448 * Suss Microtec AG 4,115 39,989 Symrise AG 8,944 451,821 TAG Immobilien AG 31,339 398,443 Takkt AG 6,800 137,934 * Talanx AG 306 11,709 Telefonica Deutschland Holding AG 10,290 85,607 Telegate AG 3,104 24,165 * ThyssenKrupp AG 47,834 1,365,286 Tipp24 SE 1,644 118,616 * Tom Tailor Holding AG 3,636 70,725 Tomorrow Focus AG 3,932 22,678 TUI AG 39,692 660,918 United Internet AG 12,681 544,765 Volkswagen AG 2,309 619,155 Vossloh AG 1,614 159,526 VTG AG 2,388 52,789 # Wacker Chemie AG 3,935 462,561 Wacker Neuson SE 5,442 103,453 Washtec AG 1,256 21,545 Wincor Nixdorf AG 5,803 380,144 Wirecard AG 7,559 318,437 XING AG 354 45,356 ------------ TOTAL GERMANY 106,830,297 ------------ GREECE -- (0.2%) * Alpha Bank AE 81,161 78,616 Athens Water Supply & Sewage Co. SA (The) 6,973 90,028 * Bank of Cyprus PCL 229,580 -- Bank of Greece 2,794 57,658 * Ellaktor SA 21,206 112,013 * Folli Follie Group 7,975 276,819 * Fourlis Holdings SA 7,020 56,660 * Frigoglass SA 9,752 56,526 * GEK Terna Holding Real Estate Construction SA 6,564 34,312 Hellenic Exchanges - Athens Stock Exchange SA Holding 17,568 207,120 Hellenic Petroleum SA 17,587 150,994 * Hellenic Telecommunications Organization SA 24,316 388,466 Intralot SA-Integrated Lottery Systems & Services 26,355 76,561 * JUMBO SA 22,397 362,276 * Marfin Investment Group Holdings SA 175,597 121,653 Metka SA 6,384 114,412 Motor Oil Hellas Corinth Refineries SA 13,116 165,566 * Mytilineos Holdings SA 15,755 140,792 * National Bank of Greece SA 61,269 239,527 # National Bank of Greece SA ADR 2,823 11,066 OPAP SA 17,826 284,682 * Piraeus Bank SA 19,986 47,166 Piraeus Port Authority 2,736 71,081 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- GREECE -- (Continued) Public Power Corp. SA 13,423 $ 203,111 Terna Energy SA 4,910 29,336 * Titan Cement Co. SA 10,553 332,696 ---------- TOTAL GREECE 3,709,137 ---------- HONG KONG -- (1.9%) # AAC Technologies Holdings, Inc. 54,000 302,364 AIA Group, Ltd. 502,800 2,445,415 Alco Holdings, Ltd. 20,000 3,489 Allied Group, Ltd. 4,000 17,376 Allied Properties HK, Ltd. 636,068 111,810 * Apac Resources, Ltd. 520,000 11,266 APT Satellite Holdings, Ltd. 92,000 115,482 Asia Satellite Telecommunications Holdings, Ltd. 39,000 155,795 Asia Standard International Group, Ltd. 162,000 40,809 # ASM Pacific Technology, Ltd. 20,100 223,353 Associated International Hotels, Ltd. 38,000 105,561 Bank of East Asia, Ltd. 144,993 598,948 * Birmingham International Holdings, Ltd. 970,000 16,515 BOC Hong Kong Holdings, Ltd. 264,000 781,446 Bonjour Holdings, Ltd. 214,000 36,805 * Brightoil Petroleum Holdings, Ltd. 517,000 160,581 * Brockman Mining, Ltd. 896,780 45,639 * Burwill Holdings, Ltd. 478,000 18,267 Cafe de Coral Holdings, Ltd. 30,000 94,535 Cathay Pacific Airways, Ltd. 162,000 306,580 Chen Hsong Holdings 66,000 19,766 Cheuk Nang Holdings, Ltd. 20,212 18,615 Cheung Kong Holdings, Ltd. 105,000 1,790,407 Cheung Kong Infrastructure Holdings, Ltd. 49,000 319,901 Chevalier International Holdings, Ltd. 32,000 52,049 * China Daye Non-Ferrous Metals Mining, Ltd. 760,163 12,087 China Electronics Corp. Holdings Co., Ltd. 80,000 16,044 China Metal International Holdings, Inc. 190,000 64,338 * China Nuclear Industry 23 International Corp., Ltd. 22,000 3,729 Chong Hing Bank, Ltd. 12,463 43,564 Chow Sang Sang Holdings International, Ltd. 75,000 184,621 # Chow Tai Fook Jewellery Group, Ltd. 70,200 99,125 Chu Kong Shipping Enterprise Group Co., Ltd. 58,000 13,495 Chuang's Consortium International, Ltd. 152,000 18,438 CITIC Telecom International Holdings, Ltd. 282,000 98,457 CK Life Sciences International Holdings, Inc. 908,000 91,488 CLP Holdings, Ltd. 34,500 275,808 * CP Lotus Corp. 80,000 1,969 Cross-Harbour Holdings, Ltd. (The) 40,000 33,323 CSI Properties, Ltd. 579,674 20,238 Dah Sing Banking Group, Ltd. 111,596 166,804 Dah Sing Financial Holdings, Ltd. 43,900 194,560 Dan Form Holdings Co., Ltd. 99,000 8,961 Dickson Concepts International, Ltd. 55,000 33,175 Dorsett Hospitality International, Ltd. 87,000 15,507 Emperor Capital Group, Ltd. 126,000 6,425 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ---------- HONG KONG -- (Continued) Emperor Entertainment Hotel, Ltd. 215,000 $ 93,684 Emperor International Holdings 325,333 72,683 Emperor Watch & Jewellery, Ltd. 790,000 58,219 * EPI Holdings, Ltd. 2,080,000 51,913 Esprit Holdings, Ltd. 456,282 762,031 * eSun Holdings, Ltd. 128,000 14,852 Fairwood Holdings, Ltd. 21,000 42,927 # Far East Consortium International, Ltd. 258,682 93,936 * FIH Mobile, Ltd. 628,000 339,206 First Pacific Co., Ltd. 560,400 623,174 * Fountain SET Holdings, Ltd. 132,000 15,864 Future Bright Holdings, Ltd. 48,000 23,044 * G-Resources Group, Ltd. 6,640,800 183,114 * Galaxy Entertainment Group, Ltd. 59,000 466,139 #* Genting Hong Kong, Ltd. 281,000 111,738 Get Nice Holdings, Ltd. 1,122,000 50,068 Giordano International, Ltd. 272,000 182,587 Glorious Sun Enterprises, Ltd. 170,000 37,298 Gold Peak Industries Holding, Ltd. 262,000 22,676 # Haitong International Securities Group, Ltd. 63,000 31,673 Hang Lung Group, Ltd. 104,000 564,799 Hang Lung Properties, Ltd. 258,000 772,861 Hang Seng Bank, Ltd. 20,400 333,579 # Harbour Centre Development, Ltd. 21,000 36,721 Henderson Land Development Co., Ltd. 175,270 1,052,205 HKR International, Ltd. 186,400 76,485 Hon Kwok Land Investment Co., Ltd. 20,000 6,663 Hong Kong & China Gas Co., Ltd. 164,886 380,459 Hong Kong Aircraft Engineering Co., Ltd. 5,200 60,485 Hong Kong Exchanges and Clearing, Ltd. 43,219 777,221 * Hong Kong Television Network, Ltd. ADR 3,847 21,659 Hongkong & Shanghai Hotels (The) 118,000 172,568 Hongkong Chinese, Ltd. 184,495 44,821 Hopewell Holdings, Ltd. 145,500 500,847 Hung Hing Printing Group, Ltd. 92,000 14,580 Hutchison Telecommunications Hong Kong Holdings, Ltd. 359,000 117,660 Hutchison Whampoa, Ltd. 140,000 1,920,729 Hysan Development Co., Ltd. 67,000 289,088 * I-CABLE Communications, Ltd. 374,000 37,704 * Imagi International Holdings, Ltd. 728,000 8,185 * Integrated Waste Solutions Group Holdings, Ltd. 224,000 13,614 * IRC, Ltd. 266,000 25,788 IT, Ltd. 128,000 34,717 Johnson Electric Holdings, Ltd. 349,500 334,746 # K Wah International Holdings, Ltd. 271,167 181,114 * Kerry Logistics Network, Ltd. 53,250 78,355 Kerry Properties, Ltd. 121,500 401,673 * King Stone Energy Group, Ltd. 324,000 10,724 Kingmaker Footwear Holdings, Ltd. 186,000 36,272 Kingston Financial Group, Ltd. 717,000 77,781 Kowloon Development Co., Ltd. 103,000 125,991 # L'Occitane International SA 90,000 221,500 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- -------- HONG KONG -- (Continued) * L'sea Resources International Holdings, Ltd. 280,000 $ 14,287 * Lai Sun Development 3,134,000 73,343 Li & Fung, Ltd. 288,000 419,206 Lifestyle International Holdings, Ltd. 63,500 124,135 Lippo China Resources, Ltd. 794,000 39,457 # Liu Chong Hing Investment, Ltd. 60,000 115,274 Luk Fook Holdings International, Ltd. 114,000 323,698 Lung Kee Bermuda Holdings 40,000 14,618 Magnificent Estates 500,000 24,213 Man Wah Holdings, Ltd. 75,200 123,502 Melco Crown Entertainment, Ltd. 1,200 13,682 Melco International Development, Ltd. 152,000 466,800 MGM China Holdings, Ltd. 50,000 174,386 # Midland Holdings, Ltd. 166,666 70,043 * Ming Fung Jewellery Group, Ltd. 1,155,000 14,183 Miramar Hotel & Investment 9,000 11,130 #* Mongolian Mining Corp. 287,500 23,782 MTR Corp., Ltd. 70,789 268,417 NagaCorp, Ltd. 266,000 242,726 National Electronic Hldgs 28,000 3,142 * National United Resources Holdings, Ltd. 67,000 1,887 Natural Beauty Bio-Technology, Ltd. 100,000 5,172 * Neo-Neon Holdings, Ltd. 136,500 24,479 New World Development Co., Ltd. 789,527 817,867 # Newocean Energy Holdings, Ltd. 246,000 162,778 * Next Media, Ltd. 76,000 7,788 NWS Holdings, Ltd. 188,453 321,243 * Orange Sky Golden Harvest Entertainment Holdings, Ltd. 675,000 44,306 # Orient Overseas International, Ltd. 58,000 277,454 Oriental Watch Holdings 138,400 31,292 Pacific Andes International Holdings, Ltd. 752,405 30,655 Pacific Basin Shipping, Ltd. 445,000 261,410 Pacific Textiles Holdings, Ltd. 108,000 137,136 Paliburg Holdings, Ltd. 130,000 41,474 * Paradise Entertainment, Ltd. 32,000 23,884 PCCW, Ltd. 744,000 396,697 * Pearl Oriental Oil, Ltd. 389,000 10,698 Pico Far East Holdings, Ltd. 144,000 38,542 Playmates Holdings, Ltd. 22,000 29,817 * Playmates Toys, Ltd. 60,000 25,328 * PME Group, Ltd. 430,000 13,633 PNG Resources Holdings, Ltd. 352,000 3,189 Polytec Asset Holdings, Ltd. 275,000 40,116 Power Assets Holdings, Ltd. 53,000 458,151 Prada SpA 14,800 118,696 Public Financial Holdings, Ltd. 72,000 34,140 PYI Corp., Ltd. 766,000 16,712 Regal Hotels International Holdings, Ltd. 142,000 82,368 * Richfield Group Holdings, Ltd. 280,000 7,928 # SA SA International Holdings, Ltd. 190,000 159,400 Samsonite International SA 160,800 511,964 Sands China, Ltd. 53,200 390,582 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- HONG KONG -- (Continued) SAS Dragon Hldg, Ltd. 2,000 $ 1,324 SEA Holdings, Ltd. 90,000 50,570 Shangri-La Asia, Ltd. 325,166 533,553 Shenyin Wanguo HK, Ltd. 75,000 27,103 Shun Tak Holdings, Ltd. 483,499 237,526 #* Silver base Group Holdings, Ltd. 162,546 21,299 Singamas Container Holdings, Ltd. 404,000 87,642 Sino Land Co., Ltd. 469,644 704,226 * Sino-Tech International Holdings, Ltd. 760,000 3,929 Sitoy Group Holdings, Ltd. 21,000 12,643 SJM Holdings, Ltd. 104,301 290,833 # SmarTone Telecommunications Holdings, Ltd. 98,805 101,974 SOCAM Development, Ltd. 44,444 53,922 * South China China, Ltd. 464,000 37,637 Stella International Holdings, Ltd. 41,000 101,076 Stelux Holdings International, Ltd. 43,000 13,276 Sun Hung Kai & Co., Ltd. 165,529 115,633 Sun Hung Kai Properties, Ltd. 130,588 1,651,983 Swire Pacific, Ltd. Class A 13,000 150,060 Swire Properties, Ltd. 39,800 120,374 TAI Cheung Holdings 94,000 64,980 Tai Sang Land Development, Ltd. 20,710 9,559 Tan Chong International, Ltd. 24,000 9,890 Tao Heung Holdings, Ltd. 2,000 1,290 #* Taung Gold International, Ltd. 500,000 1,935 * Technovator International, Ltd. 18,000 9,548 Techtronic Industries Co. 204,500 653,402 Television Broadcasts, Ltd. 27,700 173,226 Texwinca Holdings, Ltd. 150,000 161,755 * Titan Petrochemicals Group, Ltd. 380,000 123 * Tom Group, Ltd. 60,000 9,716 Tradelink Electronic Commerce, Ltd. 64,000 15,696 Transport International Holdings, Ltd. 46,800 86,398 Trinity, Ltd. 274,000 70,480 * TSC Group Holdings, Ltd. 199,000 113,151 #* United Laboratories International Holdings, Ltd. (The) 152,500 98,707 Value Partners Group, Ltd. 132,000 85,112 Vanke Property Overseas, Ltd. 2,000 2,251 Varitronix International, Ltd. 113,000 125,302 Victory City International Holdings, Ltd. 289,094 42,136 Vitasoy International Holdings, Ltd. 80,000 109,367 VST Holdings, Ltd. 291,600 74,334 VTech Holdings, Ltd. 20,000 276,999 Wang On Group, Ltd. 500,000 11,788 Wharf Holdings, Ltd. 133,000 936,257 Wheelock & Co., Ltd. 142,000 587,960 Wing Hang Bank, Ltd. 40,980 660,693 Wing On Co. International, Ltd. 32,000 89,272 Wing Tai Properties, Ltd. 102,000 63,315 Wynn Macau, Ltd. 51,200 202,296 Xinyi Glass Holdings, Ltd. 478,000 377,154 * Xinyi Solar Holdings, Ltd. 370,000 100,347 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ----------- HONG KONG -- (Continued) YGM Trading, Ltd. 20,000 $ 43,878 Yue Yuen Industrial Holdings, Ltd. 158,500 490,013 ----------- TOTAL HONG KONG 38,365,073 ----------- HUNGARY -- (0.0%) * FHB Mortgage Bank P.L.C. 6,244 25,212 Magyar Telekom Telecommunications P.L.C. 53,358 76,125 Magyar Telekom Telecommunications P.L.C. Sponsored ADR 4,178 29,914 MOL Hungarian Oil and Gas P.L.C. 2,028 116,676 OTP Bank P.L.C. 22,297 425,784 * PannErgy 3,649 5,257 Richter Gedeon Nyrt 11,152 191,005 ----------- TOTAL HUNGARY 869,973 ----------- INDIA -- (1.4%) Aban Offshore, Ltd. 3,528 30,392 ABB India, Ltd. 3,501 49,289 * ABG Shipyard, Ltd. 7,485 28,437 ACC, Ltd. 9,459 205,202 Adani Enterprises, Ltd. 25,688 179,914 Adani Ports and Special Economic Zone, Ltd. 15,220 47,988 * Adani Power, Ltd. 133,476 106,584 Aditya Birla Nuvo, Ltd. 8,641 159,171 AIA Engineering, Ltd. 1,042 10,619 Ajanta Pharma, Ltd. 1,370 22,555 Akzo Nobel India, Ltd. 399 5,753 Alembic Pharmaceuticals, Ltd. 4,113 20,230 Allahabad Bank 40,781 67,795 Allcargo Logistics, Ltd. 986 2,355 Alok Industries, Ltd. 90,000 10,605 Alstom India, Ltd. 5,412 40,384 Amara Raja Batteries, Ltd. 6,651 45,803 Ambuja Cements, Ltd. 74,170 244,952 Amtek Auto, Ltd. 17,358 50,153 * Anant Raj, Ltd. 27,862 25,657 Andhra Bank 23,063 25,591 Apollo Hospitals Enterprise, Ltd. 9,322 138,401 Apollo Tyres, Ltd. 53,597 142,195 Arvind, Ltd. 42,552 129,382 Ashok Leyland, Ltd. 200,290 74,651 Asian Paints, Ltd. 15,640 131,140 Aurobindo Pharma, Ltd. 57,865 552,612 Axis Bank, Ltd. 19,120 483,338 Bajaj Auto, Ltd. 3,566 113,132 Bajaj Electricals, Ltd. 4,500 21,861 Bajaj Finance, Ltd. 2,807 86,673 Bajaj Finserv, Ltd. 7,080 97,583 * Bajaj Hindusthan, Ltd. 80,199 23,783 Bajaj Holdings and Investment, Ltd. 7,265 128,667 Ballarpur Industries, Ltd. 70,689 16,946 Balrampur Chini Mills, Ltd. 21,074 20,103 Bank of Baroda 10,597 143,931 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- INDIA -- (Continued) Bank of India 31,444 $122,494 Bank Of Maharashtra 32,893 20,998 BASF India, Ltd. 998 12,368 Bata India, Ltd. 6,548 116,208 BEML, Ltd. 2,355 15,105 Berger Paints India, Ltd. 26,560 107,248 BGR Energy Systems, Ltd. 2,982 6,789 Bharat Electronics, Ltd. 3,237 64,962 Bharat Forge, Ltd. 14,420 98,166 Bharat Heavy Electricals, Ltd. 52,635 158,346 Bharat Petroleum Corp., Ltd. 17,253 130,254 Bharti Airtel, Ltd. 41,564 226,307 Bhushan Steel, Ltd. 16,410 120,846 Biocon, Ltd. 8,934 69,886 Birla Corp., Ltd. 4,033 19,366 Bombay Dyeing & Manufacturing Co., Ltd. 13,374 12,990 Bosch, Ltd. 584 101,735 Britannia Industries, Ltd. 2,752 39,535 Cadila Healthcare, Ltd. 8,226 133,264 Cairn India, Ltd. 40,339 224,260 Canara Bank 19,638 93,380 Capital First, Ltd. 6,323 18,138 Carborundum Universal, Ltd. 4,300 10,063 Central Bank Of India 53,793 47,606 Century Plyboards India, Ltd. 6,288 4,004 Century Textiles & Industries, Ltd. 8,710 48,559 CESC, Ltd. 9,515 71,724 Chambal Fertilizers & Chemicals, Ltd. 26,495 17,808 * Chennai Petroleum Corp., Ltd. 11,326 15,112 Cipla, Ltd. 25,875 170,369 City Union Bank, Ltd. 51,975 50,715 CMC, Ltd. 1,382 32,835 Colgate-Palmolive India, Ltd. 3,054 72,987 Container Corp. Of India 9,341 148,990 Coromandel International, Ltd. 6,023 21,904 Corp. Bank 9,596 46,611 Crompton Greaves, Ltd. 47,273 129,654 Cummins India, Ltd. 6,720 61,096 Dabur India, Ltd. 30,848 91,898 * DB Realty, Ltd. 17,964 20,776 * DCB Bank, Ltd. 22,854 23,012 Dewan Housing Finance Corp., Ltd. 8,991 33,826 * Dish TV India, Ltd. 44,632 34,831 Divi's Laboratories, Ltd. 3,838 87,817 DLF, Ltd. 64,283 149,235 Dr Reddy's Laboratories, Ltd. ADR 5,899 265,868 * Educomp Solutions, Ltd. 10,613 4,523 Eicher Motors, Ltd. 2,071 213,649 * EID Parry India, Ltd. 10,009 25,279 EIH, Ltd. 19,189 24,167 Engineers India, Ltd. 1,072 4,061 Escorts, Ltd. 9,996 21,030 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- INDIA -- (Continued) * Essar Oil, Ltd. 61,934 $ 59,682 Essar Ports, Ltd. 11,170 11,025 Exide Industries, Ltd. 31,311 62,509 FAG Bearings India, Ltd. 182 6,381 FDC, Ltd. 3,431 7,519 Federal Bank, Ltd. 137,555 206,368 Financial Technologies India, Ltd. 3,882 20,337 Finolex Industries, Ltd. 8,558 31,784 * Fortis Healthcare, Ltd. 10,077 16,662 * Future Lifestyle Fashions, Ltd. 2,977 4,040 Future Retail, Ltd. 8,932 19,595 GAIL India, Ltd. 43,856 269,282 Gateway Distriparks, Ltd. 8,076 23,900 * Gitanjali Gems, Ltd. 9,642 9,993 Glenmark Pharmaceuticals, Ltd. 11,592 117,873 GMR Infrastructure, Ltd. 195,631 80,525 Godfrey Phillips India, Ltd. 51 2,816 Godrej Consumer Products, Ltd. 1,252 16,599 Godrej Industries, Ltd. 16,308 81,364 Godrej Properties, Ltd. 3,806 13,973 Graphite India, Ltd. 5,318 7,454 Grasim Industries, Ltd. 5,183 226,588 Great Eastern Shipping Co., Ltd. (The) 13,008 72,497 Greaves Cotton, Ltd. 4,904 6,819 Gujarat Alkalies & Chemicals, Ltd. 2,388 6,976 Gujarat Fluorochemicals, Ltd. 3,905 20,683 Gujarat Mineral Development Corp., Ltd. 12,483 27,371 Gujarat Narmada Valley Fertilizers & Chemicals, Ltd. 2,664 3,585 * Gujarat NRE Coke, Ltd. 49,906 8,803 Gujarat State Fertilisers & Chemicals, Ltd. 20,165 18,568 Gujarat State Petronet, Ltd. 28,545 34,528 * GVK Power & Infrastructure, Ltd. 63,703 12,966 * Hathway Cable & Datacom, Ltd. 1,703 6,892 Havells India, Ltd. 5,887 91,018 * HCL Infosystems, Ltd. 22,200 16,673 HCL Technologies, Ltd. 17,304 403,561 HDFC Bank, Ltd. 51,927 624,621 HDFC Bank, Ltd. ADR 2,000 80,100 Hero MotoCorp, Ltd. 2,790 102,723 * Hexa Tradex, Ltd. 5,313 1,875 Hexaware Technologies, Ltd. 34,366 87,311 * Himachal Futuristic Communications, Ltd. 88,611 13,450 Himadri Chemicals & Industries, Ltd. 19,864 6,727 Hindalco Industries, Ltd. 266,617 602,147 * Hindustan Construction Co., Ltd. 129,998 41,511 Hindustan Petroleum Corp., Ltd. 14,756 79,044 Honeywell Automation India, Ltd. 710 37,087 * Housing Development & Infrastructure, Ltd. 56,075 63,827 HSIL, Ltd. 19,048 47,135 HT Media, Ltd. 11,369 17,378 ICICI Bank, Ltd. 9,160 189,863 ICICI Bank, Ltd. Sponsored ADR 17,656 753,382 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- INDIA -- (Continued) IDBI Bank, Ltd. 42,786 $ 48,581 Idea Cellular, Ltd. 146,697 331,239 IDFC, Ltd. 142,144 264,462 IFCI, Ltd. 70,683 30,033 IIFL Holdings, Ltd. 56,463 75,207 India Cements, Ltd. (The) 55,740 63,688 Indian Bank 21,645 46,081 Indian Hotels Co., Ltd. 58,430 70,004 Indian Oil Corp., Ltd. 11,712 51,440 Indian Overseas Bank 44,957 46,464 Indraprastha Gas, Ltd. 3,321 15,868 IndusInd Bank, Ltd. 51,899 413,282 Infosys, Ltd. 11,137 592,009 Infosys, Ltd. Sponsored ADR 2,810 150,925 Infotech Enterprises, Ltd. 1,202 6,186 ING Vysya Bank, Ltd. 7,120 67,189 Ipca Laboratories, Ltd. 5,325 73,897 IRB Infrastructure Developers, Ltd. 12,168 23,223 ITC, Ltd. 42,124 237,845 Jagran Prakashan, Ltd. 14,570 25,350 Jain Irrigation Systems, Ltd. 62,508 85,116 Jaiprakash Associates, Ltd. 206,499 185,919 Jammu & Kashmir Bank, Ltd. (The) 3,646 101,482 Jaypee Infratech, Ltd. 5,551 2,259 * Jet Airways India, Ltd. 3,135 12,980 Jindal Saw, Ltd. 26,565 24,980 * Jindal Stainless, Ltd. 282 181 Jindal Steel & Power, Ltd. 32,951 139,889 JM Financial, Ltd. 45,037 21,000 JSW Energy, Ltd. 93,328 82,264 JSW Steel, Ltd. 20,426 369,148 * Jubilant Foodworks, Ltd. 1,135 17,844 Jubilant Life Sciences, Ltd. 5,040 13,967 Jyothy Laboratories, Ltd. 3,882 12,250 Kajaria Ceramics, Ltd. 392 2,913 Kakinada Fertilizers, Ltd. 69,051 2,406 Karnataka Bank, Ltd. 25,200 51,436 Karur Vysya Bank, Ltd. 6,700 43,254 Kotak Mahindra Bank, Ltd. 23,660 316,242 KPIT Technologies, Ltd. 24,990 71,446 * KSK Energy Ventures, Ltd. 4,226 4,911 Lakshmi Machine Works, Ltd. 692 34,135 * Lanco Infratech, Ltd. 138,520 17,289 Larsen & Toubro, Ltd. 22,814 491,949 Lupin, Ltd. 12,300 202,512 Maharashtra Seamless, Ltd. 6,338 22,524 Mahindra & Mahindra Financial Services, Ltd. 38,440 157,497 Mahindra & Mahindra, Ltd. 18,988 339,959 Mahindra & Mahindra, Ltd. GDR 12,272 219,564 Mahindra Lifespace Developers, Ltd. 3,460 22,844 * Mangalore Refinery & Petrochemicals, Ltd. 46,650 46,732 Maruti Suzuki India, Ltd. 7,420 237,522 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- INDIA -- (Continued) MAX India, Ltd. 16,870 $ 60,098 McLeod Russel India, Ltd. 12,761 57,082 MindTree, Ltd. 1,785 42,180 Monnet Ispat & Energy, Ltd. 3,882 5,418 Monsanto India, Ltd. 98 2,829 Motherson Sumi Systems, Ltd. 29,367 124,301 Motilal Oswal Financial Services, Ltd. 6,733 11,700 Mphasis, Ltd. 11,064 76,236 MRF, Ltd. 341 116,292 * Nagarjuna Oil Refinery, Ltd. 62,774 3,851 Natco Pharma, Ltd. 579 7,791 National Aluminium Co., Ltd. 104,971 66,510 Nava Bharat Ventures, Ltd. 1,957 5,302 Navneet Education, Ltd. 3,710 3,696 NCC, Ltd. 31,522 26,470 NHPC, Ltd. 121,665 38,252 NIIT Technologies, Ltd. 6,924 46,917 NTPC, Ltd. 9,275 17,876 Oil & Natural Gas Corp., Ltd. 19,773 107,195 Oil India, Ltd. 3,393 27,054 OMAXE, Ltd. 14,260 30,221 * Opto Circuits India, Ltd. 22,089 12,247 * Oracle Financial Services Software, Ltd. 2,009 99,987 Orient Cement, Ltd. 9,034 7,319 Oriental Bank of Commerce 16,218 66,755 * Pantaloons Fashions and Retail, Ltd. 1,786 3,605 * Parsvnath Developers, Ltd. 3,755 1,544 Peninsula Land, Ltd. 10,444 5,659 Persistent Systems, Ltd. 2,017 33,524 Petronet LNG, Ltd. 34,000 81,367 Phoenix Mills, Ltd. 5,631 23,405 Pidilite Industries, Ltd. 11,464 60,940 * Pipavav Defence & Offshore Engineering Co., Ltd. 25,205 20,028 Power Grid Corp. of India, Ltd. 37,509 65,957 PTC India, Ltd. 36,971 40,838 * Punj Lloyd, Ltd. 71,973 35,029 Punjab National Bank 1,815 23,592 Radico Khaitan, Ltd. 6,715 12,057 Rain Industries, Ltd. 12,419 8,147 Rallis India, Ltd. 3,585 10,868 Ramco Cements, Ltd. (The) 15,000 53,754 * Ranbaxy Laboratories, Ltd. 21,301 167,471 Raymond, Ltd. 6,963 35,844 Redington India, Ltd. 20,505 30,146 REI Agro, Ltd. 71,019 5,427 Reliance Communications, Ltd. 107,504 219,449 Reliance Industries, Ltd. 68,163 1,059,873 Reliance Industries, Ltd. GDR 9,355 290,529 Reliance Infrastructure, Ltd. 9,563 81,476 * Reliance Power, Ltd. 123,191 139,898 Rolta India, Ltd. 21,070 26,244 Ruchi Soya Industries, Ltd. 16,055 9,639 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- INDIA -- (Continued) Rural Electrification Corp., Ltd. 13,757 $ 54,182 Sadbhav Engineering, Ltd. 4,350 9,501 Sanofi India, Ltd. 1,238 60,955 Sesa Sterlite, Ltd. 106,201 327,628 Sesa Sterlite, Ltd. ADR 15,041 183,656 * Shipping Corp. of India, Ltd. 26,115 18,503 Shree Cement, Ltd. 1,212 114,739 Shree Renuka Sugars, Ltd. 66,795 24,277 Shriram Transport Finance Co., Ltd. 7,725 93,303 Sintex Industries, Ltd. 35,352 26,873 SKF India, Ltd. 3,176 42,837 Sobha Developers, Ltd. 6,400 39,529 South Indian Bank, Ltd. 100,340 38,327 SRF, Ltd. 8,369 53,719 Star Ferro and Cement, Ltd. 6,288 2,429 State Bank of India 6,398 221,080 State Bank of India GDR 2,351 161,558 Steel Authority of India, Ltd. 32,423 36,607 * Sterling Biotech, Ltd. 11,381 1,626 Sterlite Technologies, Ltd. 15,181 7,745 Strides Arcolab, Ltd. 6,009 52,010 * Sun Pharma Advanced Research Co., Ltd. 11,442 32,518 Sun Pharmaceutical Industries, Ltd. 13,022 137,491 Sun TV Network, Ltd. 9,869 61,283 Supreme Industries, Ltd. 13,945 105,408 * Suzlon Energy, Ltd. 194,587 42,356 Syndicate Bank 33,071 56,742 Tata Chemicals, Ltd. 15,664 73,996 Tata Communications, Ltd. 9,010 42,247 Tata Consultancy Services, Ltd. 9,718 353,057 Tata Global Beverages, Ltd. 71,709 178,642 Tata Motors, Ltd. 127,048 883,380 Tata Power Co., Ltd. 91,023 118,054 Tata Steel, Ltd. 51,333 342,276 * Tata Teleservices Maharashtra, Ltd. 65,868 9,762 Tech Mahindra, Ltd. 11,466 347,272 Thermax, Ltd. 3,559 43,272 Timken India, Ltd. 1,690 5,758 Titan Co., Ltd. 9,863 41,581 Torrent Pharmaceuticals, Ltd. 4,250 40,454 Torrent Power, Ltd. 10,757 18,650 Trent, Ltd. 655 10,710 Triveni Turbine, Ltd. 41,519 47,720 Tube Investments of India, Ltd. 18,724 59,376 TVS Motor Co., Ltd. 34,636 55,077 UCO Bank 44,038 56,063 Ultratech Cement, Ltd. 4,462 150,589 Unichem Laboratories, Ltd. 2,817 10,192 Union Bank of India 29,326 73,833 * Unitech, Ltd. 275,150 72,529 United Spirits, Ltd. 6,851 315,016 UPL, Ltd. 47,856 212,565 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- INDIA -- (Continued) * Vardhman Special Steels, Ltd. 555 $ 247 Vardhman Textiles, Ltd. 2,777 15,283 Videocon Industries, Ltd. 10,131 27,226 Vijaya Bank 34,615 23,675 Voltas, Ltd. 27,567 73,311 Welspun Corp., Ltd. 15,250 20,589 Welspun Infra Enterprises, Ltd. 763 190 Wipro, Ltd. 23,693 206,776 Wockhardt, Ltd. 5,875 74,964 Yes Bank, Ltd. 24,521 180,711 Zee Entertainment Enterprises, Ltd. 52,912 230,856 Zensar Technologies, Ltd. 4,461 26,660 ----------- TOTAL INDIA 28,368,588 ----------- INDONESIA -- (0.6%) Ace Hardware Indonesia Tbk PT 293,600 18,937 Adaro Energy Tbk PT 1,697,000 174,595 Adhi Karya Persero Tbk PT 247,500 64,080 AKR Corporindo Tbk PT 357,000 147,316 Alam Sutera Realty Tbk PT 1,969,500 90,765 Aneka Tambang Persero Tbk PT 1,060,000 108,078 Arwana Citramulia Tbk PT 200,000 17,064 Asahimas Flat Glass Tbk PT 86,500 52,453 Astra Agro Lestari Tbk PT 69,500 176,960 Astra International Tbk PT 723,500 466,145 * Bakrie and Brothers Tbk PT 5,212,000 22,540 * Bakrie Sumatera Plantations Tbk PT 1,417,000 6,124 * Bakrie Telecom Tbk PT 4,680,500 20,242 * Bakrieland Development Tbk PT 3,393,500 4,693 Bank Bukopin Tbk PT 1,009,700 55,949 Bank Central Asia Tbk PT 256,000 243,814 Bank Danamon Indonesia Tbk PT 560,263 198,615 Bank Mandiri Persero Tbk PT 681,409 582,207 Bank Negara Indonesia Persero Tbk PT 1,030,120 430,533 * Bank Pan Indonesia Tbk PT 1,316,000 99,121 Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk PT 738,500 61,619 * Bank Permata Tbk PT 1,500 174 Bank Rakyat Indonesia Persero Tbk PT 832,200 714,656 Bank Tabungan Negara Persero Tbk PT 1,141,541 114,213 * Bank Tabungan Pensiunan Nasional Tbk PT 54,000 19,060 * Barito Pacific Tbk PT 293,000 7,992 * Bayan Resources Tbk PT 16,000 11,080 * Berlian Laju Tanker Tbk PT 514,666 -- Bisi International PT 255,500 13,639 Bumi Serpong Damai PT 1,396,000 189,118 BW Plantation Tbk PT 436,500 53,147 * Central Proteinaprima Tbk PT 4,938,500 21,356 Charoen Pokphand Indonesia Tbk PT 659,000 215,479 Ciputra Development Tbk PT 2,037,576 179,380 Ciputra Property Tbk PT 144,800 9,115 Ciputra Surya Tbk PT 205,500 40,556 * Citra Marga Nusaphala Persada Tbk PT 348,000 104,441 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- -------- INDONESIA -- (Continued) * Darma Henwa Tbk PT 3,062,000 $ 4,767 Elnusa Tbk PT 230,400 10,178 * Energi Mega Persada Tbk PT 6,952,500 56,704 * Erajaya Swasembada Tbk PT 26,300 2,738 * Exploitasi Energi Indonesia Tbk PT 1,212,500 23,833 Gajah Tunggal Tbk PT 689,200 114,468 Global Mediacom Tbk PT 1,408,500 267,366 Gudang Garam Tbk PT 50,000 244,963 * Hanson International Tbk PT 744,500 39,961 Harum Energy Tbk PT 224,000 45,889 Hexindo Adiperkasa Tbk PT 75,000 24,637 Holcim Indonesia Tbk PT 435,500 107,246 * Indah Kiat Pulp & Paper Corp. Tbk PT 573,600 67,185 Indika Energy Tbk PT 388,000 20,869 Indo Tambangraya Megah Tbk PT 25,000 55,257 Indocement Tunggal Prakarsa Tbk PT 121,500 230,594 Indofood CBP Sukses Makmur Tbk PT 19,000 16,452 Indofood Sukses Makmur Tbk PT 675,000 412,919 Indosat Tbk PT 33,500 11,348 Indosat Tbk PT ADR 1,609 27,160 * Inovisi Infracom Tbk PT 7,778 957 Intiland Development Tbk PT 1,083,000 42,637 Japfa Comfeed Indonesia Tbk PT 1,126,300 123,559 Jasa Marga Persero Tbk PT 239,500 122,363 Kalbe Farma Tbk PT 2,130,000 285,273 Kawasan Industri Jababeka Tbk PT 4,401,605 97,410 * Lippo Cikarang Tbk PT 147,900 97,902 Lippo Karawaci Tbk PT 4,932,250 457,453 Malindo Feedmill Tbk PT 60,500 15,687 Matahari Putra Prima Tbk PT 395,700 95,025 Mayora Indah Tbk PT 124,833 303,352 Medco Energi Internasional Tbk PT 325,000 77,464 Media Nusantara Citra Tbk PT 613,000 144,523 Mitra Adiperkasa Tbk PT 300,500 165,978 MNC Investama Tbk PT 4,082,500 108,561 Pabrik Kertas Tjiwi Kimia Tbk PT 156,500 21,630 Pakuwon Jati Tbk PT 2,408,000 73,439 * Panin Financial Tbk PT 4,108,500 93,332 Pembangunan Perumahan Persero Tbk PT 475,000 76,150 Perusahaan Gas Negara Persero Tbk PT 192,500 88,907 Perusahaan Perkebunan London Sumatra Indonesia Tbk PT 647,500 137,581 * Polychem Indonesia Tbk PT 324,500 5,629 Ramayana Lestari Sentosa Tbk PT 834,824 92,559 Resource Alam Indonesia Tbk PT 57,000 8,567 Sampoerna Agro PT 136,000 28,831 Semen Indonesia Persero Tbk PT 133,500 172,107 * Sentul City Tbk PT 5,742,000 85,776 * Sugih Energy Tbk PT 1,174,500 45,971 Summarecon Agung Tbk PT 3,131,000 301,787 Surya Citra Media Tbk PT 205,000 55,916 Surya Semesta Internusa Tbk PT 683,700 49,333 Tambang Batubara Bukit Asam Persero Tbk PT 190,400 163,004 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- INDONESIA -- (Continued) Telekomunikasi Indonesia Persero Tbk PT 35,000 $ 6,879 Telekomunikasi Indonesia Persero Tbk PT Sponsored ADR 3,700 146,890 Tiga Pilar Sejahtera Food Tbk 669,000 127,641 Timah Persero Tbk PT 563,056 73,245 Total Bangun Persada Tbk PT 289,500 23,287 * Tower Bersama Infrastructure Tbk PT 102,500 57,738 * Trada Maritime Tbk PT 441,000 70,240 * Truba Alam Manunggal Engineering PT 2,841,000 1,229 Tunas Baru Lampung Tbk PT 326,500 14,433 Tunas Ridean Tbk PT 537,500 31,406 Unilever Indonesia Tbk PT 34,000 86,379 United Tractors Tbk PT 188,924 355,201 Vale Indonesia Tbk PT 589,000 181,428 * Visi Media Asia Tbk PT 176,200 4,327 Wijaya Karya Persero Tbk PT 754,500 148,343 XL Axiata Tbk PT 363,500 163,045 ----------- TOTAL INDONESIA 11,650,164 ----------- IRELAND -- (0.4%) * Anglo Irish Bank Corp. P.L.C. 114,377 -- * Bank of Ireland 2,450,883 956,951 * Bank of Ireland Sponsored ADR 1,400 24,108 C&C Group P.L.C. 80,495 478,923 CRH P.L.C. 32,264 939,320 CRH P.L.C. Sponsored ADR 54,717 1,602,114 Dragon Oil P.L.C. 53,618 570,476 FBD Holdings P.L.C. 5,858 141,343 Glanbia P.L.C. 16,089 240,282 IFG Group P.L.C. 10,052 23,882 Irish Continental Group P.L.C. 408 16,368 * Kenmare Resources P.L.C. 77,286 15,899 Kerry Group P.L.C. Class A 14,315 1,129,778 Kingspan Group P.L.C. 35,309 665,407 Paddy Power P.L.C. 5,036 388,561 Smurfit Kappa Group P.L.C. 35,058 781,011 ----------- TOTAL IRELAND 7,974,423 ----------- ISRAEL -- (0.5%) * Africa Israel Investments, Ltd. 44,725 98,224 * Africa Israel Properties, Ltd. 1,443 25,706 * Airport City, Ltd. 4,721 48,252 * AL-ROV Israel, Ltd. 1,214 51,325 * Allot Communications, Ltd. 931 12,062 Amot Investments, Ltd. 7,009 22,972 * AudioCodes, Ltd. 7,800 42,648 * Azorim-Investment Development & Construction Co., Ltd. 10,744 10,585 Azrieli Group 9,944 336,614 Bank Hapoalim BM 182,988 1,033,698 * Bank Leumi Le-Israel BM 207,956 813,684 Bayside Land Corp. 119 31,833 Bezeq The Israeli Telecommunication Corp., Ltd. 108,109 195,918 Big Shopping Centers 2004, Ltd. 8 340 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- ISRAEL -- (Continued) Blue Square Real Estate, Ltd. 229 $ 9,191 Cellcom Israel, Ltd. 4,883 61,916 * Ceragon Networks, Ltd. 2,962 7,873 * Clal Biotechnology Industries, Ltd. 9,977 29,333 Clal Insurance Enterprises Holdings, Ltd. 5,758 112,542 * Compugen, Ltd. 1,128 10,378 Delek Automotive Systems, Ltd. 7,070 71,541 Delek Group, Ltd. 760 308,021 Delta-Galil Industries, Ltd. 1,916 58,724 Direct Insurance Financial Investments, Ltd. 1,475 8,998 Elbit Systems, Ltd.(M3760D101) 900 53,289 Elbit Systems, Ltd.(6308913) 2,679 158,143 Electra, Ltd. 470 68,004 * Elron Electronic Industries, Ltd. 1,546 15,200 * Equital, Ltd. 537 8,982 * Evogene, Ltd. 952 16,743 * EZchip Semiconductor, Ltd.(M4146Y108) 1,887 45,194 * EZchip Semiconductor, Ltd.(6554998) 586 14,046 First International Bank Of Israel, Ltd. 8,214 132,487 Formula Systems 1985, Ltd. 2,025 61,338 Fox Wizel, Ltd. 752 20,695 Frutarom Industries, Ltd. 8,502 204,164 * Hadera Paper, Ltd. 279 13,932 Harel Insurance Investments & Financial Services, Ltd. 36,266 207,015 Industrial Buildings Corp. 4,213 8,827 Israel Chemicals, Ltd. 15,114 134,141 * Israel Discount Bank, Ltd. Class A 205,024 366,572 Ituran Location and Control, Ltd. 3,383 81,613 * Jerusalem Oil Exploration 3,161 136,167 * Kamada, Ltd. 1,185 17,212 Matrix IT, Ltd. 12,338 76,020 * Mazor Robotics, Ltd. 3,869 35,132 Meitav DS Investments, Ltd. 1,297 4,653 Melisron, Ltd. 3,598 95,899 Menorah Mivtachim Holdings, Ltd. 6,823 81,959 Migdal Insurance & Financial Holding, Ltd. 83,970 137,545 Mivtach Shamir Holdings, Ltd. 1,032 34,043 Mizrahi Tefahot Bank, Ltd. 35,717 477,460 * Naphtha Israel Petroleum Corp., Ltd. 3,530 26,452 Neto ME Holdings, Ltd. 124 6,925 NICE Systems, Ltd. Sponsored ADR 6,583 284,386 * Nitsba Holdings 1995, Ltd. 4,222 64,773 * Nova Measuring Instruments, Ltd. 2,874 29,632 * Oil Refineries, Ltd. 234,905 65,471 Ormat Industries 19,684 146,719 Osem Investments, Ltd. 3,812 90,529 * Partner Communications Co., Ltd. 9,556 85,568 * Partner Communications Co., Ltd. ADR 1,600 14,208 Paz Oil Co., Ltd. 770 120,312 Phoenix Holdings, Ltd. (The) 20,145 74,854 Rami Levi Chain Stores Hashikma Marketing 2006, Ltd. 948 49,098 Shikun & Binui, Ltd. 33,554 87,401 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- ISRAEL -- (Continued) Shufersal, Ltd. 7,747 $ 28,951 Strauss Group, Ltd. 4,340 78,549 Teva Pharmaceutical Industries, Ltd. Sponsored ADR 56,754 2,773,000 * Tower Semiconductor, Ltd. 4,323 33,638 * Union Bank of Israel 4,714 22,091 ----------- TOTAL ISRAEL 10,191,410 ----------- ITALY -- (2.1%) A2A SpA 209,722 256,637 ACEA SpA 8,786 126,083 Aeroporto di Venezia Marco Polo SpA - SAVE 1,232 23,302 Alerion Cleanpower SpA 2,885 14,856 Amplifon SpA 20,340 132,828 Ansaldo STS SpA 5,955 66,201 * Arnoldo Mondadori Editore SpA 30,438 56,319 Ascopiave SpA 6,261 20,080 Assicurazioni Generali SpA 79,557 1,860,145 Astaldi SpA 13,995 151,663 Atlantia SpA 19,495 507,812 * Autogrill SpA 22,109 212,230 Azimut Holding SpA 17,346 541,503 #* Banca Carige SpA 218,484 161,503 Banca Generali SpA 9,862 310,429 Banca IFIS SpA 1,654 35,714 #* Banca Monte dei Paschi di Siena SpA 1,285,743 429,722 * Banca Popolare dell'Emilia Romagna SC 93,045 1,072,522 #* Banca Popolare di Milano SCRL 735,065 743,373 Banca Popolare di Sondrio SCRL 66,240 475,725 Banca Profilo SpA 61,003 36,034 Banco di Desio e della Brianza SpA 12,951 58,709 * Banco Popolare SC 88,037 1,819,407 * BasicNet SpA 9,483 31,607 * Biesse SpA 3,608 32,330 Brembo SpA 7,759 286,765 * Brioschi Sviluppo Immobiliare SpA 129,433 21,262 Buzzi Unicem SpA 17,976 318,900 Cementir Holding SpA 16,325 155,540 * CIR-Compagnie Industriali Riunite SpA 95,822 147,746 CNH Industrial NV 25,864 302,122 Credito Bergamasco SpA 1,348 38,538 Credito Emiliano SpA 19,642 201,354 #* Credito Valtellinese SCRL 124,706 297,718 Danieli & C Officine Meccaniche SpA 4,275 153,537 Datalogic SpA 2,581 34,270 Davide Campari-Milano SpA 36,106 313,856 De'Longhi SpA 5,495 119,434 DiaSorin SpA 2,217 91,478 Ei Towers SpA 2,096 119,249 Enel Green Power SpA 144,312 413,021 Enel SpA 131,937 747,282 Engineering SpA 1,316 91,712 Eni SpA 102,058 2,643,232 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- ITALY -- (Continued) Eni SpA Sponsored ADR 35,048 $1,809,879 ERG SpA 16,108 278,195 Esprinet SpA 6,596 72,115 * Eurotech SpA 11,463 38,761 * Falck Renewables SpA 39,924 76,204 * Fiat SpA 177,559 2,143,622 * Finmeccanica SpA 105,670 977,916 FNM SpA 37,047 33,889 Geox SpA 12,742 55,455 * Gruppo Editoriale L'Espresso SpA 43,562 100,581 Gtech Spa 13,722 402,770 Hera SpA 95,251 280,691 * IMMSI SpA 36,255 38,705 Indesit Co. SpA 11,542 164,828 Industria Macchine Automatiche SpA 1,478 72,681 * Intek Group SpA 131,121 84,899 Interpump Group SpA 17,064 241,932 Intesa Sanpaolo SpA 823,245 2,817,168 Intesa Sanpaolo SpA Sponsored ADR 200 4,085 Iren SpA 108,074 183,643 Italcementi SpA 21,848 265,434 * Italmobiliare SpA 1,963 89,248 * Juventus Football Club SpA 149,340 51,023 La Doria SpA 3,099 26,424 * Landi Renzo SpA 9,013 17,218 Luxottica Group SpA 1,046 59,995 Luxottica Group SpA Sponsored ADR 2,300 131,652 * Maire Tecnimont SpA 12,128 44,238 MARR SpA 4,985 96,548 * Mediaset SpA 170,153 941,655 * Mediobanca SpA 118,910 1,319,790 Mediolanum SpA 29,726 267,552 Nice SpA 1,842 8,159 Parmalat SpA 139,282 483,896 Piaggio & C SpA 25,772 106,631 * Pininfarina SpA 1,514 8,948 Pirelli & C. SpA 31,874 536,635 #* Prelios SpA 16,550 14,680 Prysmian SpA 18,624 485,057 * RCS MediaGroup SpA 1,319 3,032 Recordati SpA 15,638 273,746 Reply SpA 882 79,699 #* Retelit SpA 5,709 5,537 Sabaf SpA 1,349 28,923 * Safilo Group SpA 8,987 205,235 Saipem SpA 14,589 391,320 Salini Impregilo SpA 3,360 21,464 #* Saras SpA 48,658 84,424 * Snai SpA 8,960 27,378 Snam SpA 78,601 472,781 Societa Cattolica di Assicurazioni SCRL 9,954 246,191 Societa Iniziative Autostradali e Servizi SpA 15,025 178,670 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- ITALY -- (Continued) * Sogefi SpA 11,540 $ 73,344 SOL SpA 11,034 92,414 * Sorin SpA 55,777 170,252 * Telecom Italia Media SpA 35,176 6,425 * Telecom Italia SpA 1,063,500 1,366,627 Telecom Italia SpA Sponsored ADR 48,868 627,465 # Tenaris SA ADR 8,006 352,664 Terna Rete Elettrica Nazionale SpA 152,247 824,826 * Tiscali SpA 208,539 21,349 # Tod's SpA 719 100,755 Trevi Finanziaria Industriale SpA 12,943 149,272 UniCredit SpA 315,538 2,827,108 Unione di Banche Italiane SCPA 217,272 2,073,968 Unipol Gruppo Finanziario SpA 59,905 433,947 * UnipolSai SpA 122,904 452,234 Vittoria Assicurazioni SpA 8,898 130,725 * World Duty Free SpA 12,573 168,911 * Yoox SpA 5,058 181,631 Zignago Vetro SpA 3,258 26,826 ----------- TOTAL ITALY 42,605,695 ----------- JAPAN -- (14.4%) 77 Bank, Ltd. (The) 102,000 460,482 A&D Co., Ltd. 5,400 23,063 ABC-Mart, Inc. 3,400 152,682 Accordia Golf Co., Ltd. 26,100 334,817 Achilles Corp. 43,000 56,964 Adastria Holdings Co., Ltd. 4,040 87,919 ADEKA Corp. 25,200 276,874 Aderans Co., Ltd. 7,900 112,385 Advan Co., Ltd. 3,500 37,149 Advantest Corp. 7,800 85,985 Advantest Corp. ADR 3,900 42,978 Aeon Co., Ltd. 108,800 1,256,599 Aeon Delight Co., Ltd. 4,900 108,086 Aeon Fantasy Co., Ltd. 3,700 45,915 Aeon Mall Co., Ltd. 1,980 47,207 Agrex, Inc. 600 6,170 Ahresty Corp. 5,200 44,264 Ai Holdings Corp. 8,200 130,818 Aica Kogyo Co., Ltd. 9,000 188,211 Aichi Bank, Ltd. (The) 2,400 117,079 Aichi Corp. 8,300 35,348 Aichi Steel Corp. 33,000 121,699 Aichi Tokei Denki Co., Ltd. 7,000 19,595 Aida Engineering, Ltd. 17,000 162,278 Ain Pharmaciez, Inc. 2,100 92,347 Aiphone Co., Ltd. 2,500 40,870 Air Water, Inc. 30,000 420,940 Airport Facilities Co., Ltd. 10,300 71,342 Aisan Industry Co., Ltd. 10,600 84,344 Aisin Seiki Co., Ltd. 24,100 851,679 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- JAPAN -- (Continued) Aizawa Securities Co., Ltd. 8,700 $ 48,075 Ajinomoto Co., Inc. 66,000 971,377 Akebono Brake Industry Co., Ltd. 16,100 81,898 Akita Bank, Ltd. (The) 47,000 130,715 Alconix Corp. 2,100 42,238 Alfresa Holdings Corp. 6,300 392,218 Allied Telesis Holdings K.K. 38,200 30,753 Alpen Co., Ltd. 4,500 82,907 Alpha Systems, Inc. 1,080 15,780 Alpine Electronics, Inc. 15,000 178,837 Alps Electric Co., Ltd. 45,300 512,228 Alps Logistics Co., Ltd. 2,200 22,720 Altech Corp. 300 2,915 Amada Co., Ltd. 87,000 629,201 Amano Corp. 18,800 181,021 Amiyaki Tei Co., Ltd. 1,300 36,521 ANA Holdings, Inc. 51,000 111,371 Anest Iwata Corp. 5,000 30,238 Anritsu Corp. 21,900 245,249 AOI Electronic Co., Ltd. 400 7,799 AOKI Holdings, Inc. 8,700 118,539 Aomori Bank, Ltd. (The) 51,000 140,269 Aoyama Trading Co., Ltd. 14,700 364,779 Aozora Bank, Ltd. 85,000 252,858 Arakawa Chemical Industries, Ltd. 3,900 32,848 Arata Corp. 3,000 9,593 Arcland Sakamoto Co., Ltd. 5,400 106,920 Arcs Co., Ltd. 7,500 150,465 Argo Graphics, Inc. 700 11,067 Ariake Japan Co., Ltd. 3,200 77,295 Arisawa Manufacturing Co., Ltd. 7,400 34,599 * Arrk Corp. 13,300 30,646 Artnature, Inc. 2,100 60,063 As One Corp. 4,200 110,344 Asahi Co., Ltd. 3,800 50,554 Asahi Diamond Industrial Co., Ltd. 14,400 194,880 Asahi Glass Co., Ltd. 155,000 878,754 Asahi Group Holdings, Ltd. 12,200 337,120 Asahi Holdings, Inc. 5,700 90,014 Asahi Intecc Co., Ltd. 2,100 76,859 Asahi Kasei Corp. 139,000 945,033 Asahi Kogyosha Co., Ltd. 6,000 21,927 Asahi Organic Chemicals Industry Co., Ltd. 15,000 32,590 * Asanuma Corp. 9,000 12,083 Asatsu-DK, Inc. 8,900 201,331 Asax Co., Ltd. 100 1,167 * Ashimori Industry Co., Ltd. 8,000 9,694 Asics Corp. 5,000 97,317 ASKA Pharmaceutical Co., Ltd. 6,000 53,682 ASKUL Corp. 2,300 57,394 Astellas Pharma, Inc. 28,000 312,186 Asunaro Aoki Construction Co., Ltd. 2,000 11,478 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- JAPAN -- (Continued) Atom Corp. 3,700 $ 18,834 Autobacs Seven Co., Ltd. 15,900 245,991 Avex Group Holdings, Inc. 10,900 201,888 Awa Bank, Ltd. (The) 58,000 310,581 Axell Corp. 2,500 38,824 Axial Retailing, Inc. 2,200 34,071 Azbil Corp. 12,500 283,659 Bando Chemical Industries, Ltd. 25,000 96,194 Bank of Iwate, Ltd. (The) 4,000 177,646 Bank of Kyoto, Ltd. (The) 61,000 497,031 Bank of Nagoya, Ltd. (The) 48,000 180,372 Bank of Okinawa, Ltd. (The) 5,500 230,602 Bank of Saga, Ltd. (The) 33,000 68,856 Bank of the Ryukyus, Ltd. 10,100 133,694 Bank of Yokohama, Ltd. (The) 176,000 884,593 Belc Co., Ltd. 3,600 71,139 Belluna Co., Ltd. 11,900 57,768 Benefit One, Inc. 1,600 13,964 Benesse Holdings, Inc. 3,200 121,754 Best Bridal, Inc. 2,000 11,904 Best Denki Co., Ltd. 13,000 17,687 Bic Camera, Inc. 19,700 143,688 Biofermin Pharmaceutical Co., Ltd. 600 15,351 # Bit-isle, Inc. 5,500 35,845 BML, Inc. 3,600 137,527 Bookoff Corp. 3,500 29,084 Bridgestone Corp. 26,600 952,426 Brother Industries, Ltd. 45,100 630,835 Bunka Shutter Co., Ltd. 20,000 116,726 C Uyemura & Co., Ltd. 600 27,761 Calbee, Inc. 7,900 193,738 Calsonic Kansei Corp. 44,000 216,750 Can Do Co., Ltd. 1,100 16,882 Canon Electronics, Inc. 5,300 89,580 Canon Marketing Japan, Inc. 14,100 227,089 Canon, Inc. 39,900 1,250,265 Canon, Inc. Sponsored ADR 9,399 294,001 Capcom Co., Ltd. 8,000 139,338 Carlit Holdings Co., Ltd. 700 3,219 Casio Computer Co., Ltd. 41,200 470,143 Cawachi, Ltd. 5,200 94,809 Central Glass Co., Ltd. 64,000 209,876 Central Japan Railway Co. 2,700 331,630 Central Sports Co., Ltd. 400 6,019 Century Tokyo Leasing Corp. 11,500 332,807 Chiba Bank, Ltd. (The) 113,000 718,274 * Chiba Kogyo Bank, Ltd. (The) 13,800 89,648 Chino Corp. 5,000 10,586 Chiyoda Co., Ltd. 7,200 170,945 Chiyoda Integre Co., Ltd. 3,700 51,018 Chori Co., Ltd. 3,500 38,638 * Chubu Electric Power Co., Inc. 28,000 318,936 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- JAPAN -- (Continued) Chubu Shiryo Co., Ltd. 6,000 $ 34,737 Chuetsu Pulp & Paper Co., Ltd. 20,000 37,656 Chugai Pharmaceutical Co., Ltd. 2,800 70,669 Chugai Ro Co., Ltd. 14,000 30,111 Chugoku Bank, Ltd. (The) 40,300 534,231 Chugoku Electric Power Co., Inc. (The) 15,000 196,544 Chugoku Marine Paints, Ltd. 16,000 102,066 Chukyo Bank, Ltd. (The) 26,000 44,266 Chuo Denki Kogyo Co., Ltd. 5,100 16,268 Chuo Spring Co., Ltd. 4,000 12,093 Citizen Holdings Co., Ltd. 67,700 497,183 CKD Corp. 19,600 178,549 * Clarion Co., Ltd. 73,000 137,352 Cleanup Corp. 5,500 50,114 CMIC Holdings Co., Ltd. 3,700 59,245 * CMK Corp. 11,500 28,632 Coca-Cola East Japan Co., Ltd. 9,418 212,249 Coca-Cola West Co., Ltd. 17,000 295,870 Cocokara fine, Inc. 4,300 121,914 Colowide Co., Ltd. 6,800 68,228 Computer Engineering & Consulting, Ltd. 6,400 37,803 COMSYS Holdings Corp. 23,600 386,899 CONEXIO Corp. 900 6,944 #* COOKPAD, Inc. 1,100 22,041 Corona Corp. 2,600 26,270 Cosel Co., Ltd. 5,000 57,001 Cosmo Oil Co., Ltd. 178,000 332,988 * Cosmos Initia Co., Ltd. 2,200 10,852 Cosmos Pharmaceutical Corp. 900 96,268 CREATE SD HOLDINGS Co., Ltd. 1,600 52,819 Credit Saison Co., Ltd. 23,000 489,974 CROOZ, Inc. 1,200 48,194 CTI Engineering Co., Ltd. 500 5,323 * DA Consortium, Inc. 2,600 10,469 Dai Nippon Printing Co., Ltd. 88,000 792,647 Dai Nippon Toryo Co., Ltd. 43,000 63,990 Dai-Dan Co., Ltd. 9,000 47,573 Dai-ichi Life Insurance Co., Ltd. (The) 66,500 921,473 Dai-ichi Seiko Co., Ltd. 3,500 44,497 Daibiru Corp. 15,600 155,673 Daicel Corp. 70,000 586,235 Daido Kogyo Co., Ltd. 11,553 34,726 Daido Metal Co., Ltd. 14,000 148,772 Daido Steel Co., Ltd. 68,000 332,478 Daidoh, Ltd. 4,000 24,415 * Daiei, Inc. (The) 43,500 122,112 Daifuku Co., Ltd. 21,000 242,122 Daihatsu Diesel Manufacturing Co., Ltd. 3,000 19,728 Daihatsu Motor Co., Ltd. 30,800 510,168 Daihen Corp. 31,000 117,485 Daiho Corp. 8,000 31,199 * Daiichi Chuo K.K. 24,000 21,872 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- JAPAN -- (Continued) Daiichi Jitsugyo Co., Ltd. 12,000 $ 50,517 Daiichi Sankyo Co., Ltd. 37,100 622,326 Daiichikosho Co., Ltd. 5,100 146,960 Daiken Corp. 20,000 48,924 Daiki Aluminium Industry Co., Ltd. 10,000 23,498 Daikin Industries, Ltd. 7,000 404,909 Daikoku Denki Co., Ltd. 2,100 37,535 Daikokutenbussan Co., Ltd. 1,800 46,735 Daikyo, Inc. 81,000 157,923 Dainichiseika Color & Chemicals Manufacturing Co., Ltd. 18,000 76,074 Dainippon Sumitomo Pharma Co., Ltd. 11,200 169,857 Daio Paper Corp. 30,000 314,734 Daisan Bank, Ltd. (The) 34,000 56,933 Daiseki Co., Ltd. 9,100 144,985 Daishi Bank, Ltd. (The) 94,000 339,500 Daishinku Corp. 13,000 50,334 Daiso Co., Ltd. 15,000 49,785 Daisyo Corp. 2,500 29,407 Daito Bank, Ltd. (The) 19,000 20,239 Daito Pharmaceutical Co., Ltd. 1,100 15,986 Daito Trust Construction Co., Ltd. 4,200 427,395 Daiwa House Industry Co., Ltd. 46,000 777,203 Daiwa Securities Group, Inc. 212,000 1,589,669 Daiwabo Holdings Co., Ltd. 55,000 94,704 DC Co., Ltd. 3,800 20,028 DCM Holdings Co., Ltd. 22,000 148,836 # Dena Co., Ltd. 7,300 123,374 Denki Kagaku Kogyo K.K. 150,000 497,480 Denso Corp. 16,200 737,955 Dentsu, Inc. 12,200 500,355 Denyo Co., Ltd. 5,400 80,472 Descente, Ltd. 11,000 83,375 DIC Corp. 168,000 445,843 Disco Corp. 2,700 164,078 DKS Co., Ltd. 6,000 18,211 DMG Mori Seiki Co., Ltd. 21,000 261,975 Don Quijote Holdings Co., Ltd. 3,200 168,775 Doshisha Co., Ltd. 6,000 89,961 Doutor Nichires Holdings Co., Ltd. 6,300 112,917 Dowa Holdings Co., Ltd. 41,000 343,735 Dr Ci:Labo Co., Ltd. 2,300 73,618 DTS Corp. 4,500 74,622 Dunlop Sports Co., Ltd. 3,300 40,200 Duskin Co., Ltd. 11,700 216,278 # Dwango Co., Ltd. 4,400 122,745 Eagle Industry Co., Ltd. 6,000 94,967 East Japan Railway Co. 6,700 488,867 Ebara Corp. 83,000 493,697 Ebara Jitsugyo Co., Ltd. 200 2,788 EDION Corp. 26,100 152,096 Ehime Bank, Ltd. (The) 33,000 72,302 Eidai Co., Ltd. 7,000 37,850 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- JAPAN -- (Continued) Eighteenth Bank, Ltd. (The) 44,000 $ 98,282 Eiken Chemical Co., Ltd. 6,200 100,513 Eisai Co., Ltd. 4,200 162,200 Eizo Corp. 5,800 157,253 Elecom Co., Ltd. 3,700 66,826 Electric Power Development Co., Ltd. 4,600 121,984 Elematec Corp. 1,652 28,235 Emori Group Holdings Co., Ltd. 2,500 37,245 en-japan, Inc. 2,800 49,353 Endo Lighting Corp. 3,500 55,635 Enplas Corp. 3,500 201,103 * Enshu, Ltd. 3,000 3,762 EPS Corp. 3,600 34,395 Excel Co., Ltd. 1,900 20,121 Exedy Corp. 9,700 259,521 Ezaki Glico Co., Ltd. 19,000 250,237 F-Tech, Inc. 1,300 15,361 F@N Communications, Inc. 2,900 48,790 Faith, Inc. 760 7,480 FALCO SD HOLDINGS Co., Ltd. 500 5,659 FamilyMart Co., Ltd. 4,200 174,406 Fancl Corp. 11,500 127,536 FANUC Corp. 2,000 360,872 Fast Retailing Co., Ltd. 1,300 403,961 FCC Co., Ltd. 9,100 155,552 #* FDK Corp. 21,000 24,522 Felissimo Corp. 600 5,904 Ferrotec Corp. 13,000 70,114 FIDEA Holdings Co., Ltd. 25,800 48,235 Fields Corp. 3,000 40,319 Financial Products Group Co., Ltd. 1,600 15,491 Foster Electric Co., Ltd. 5,300 64,197 FP Corp. 6,100 189,717 France Bed Holdings Co., Ltd. 27,000 48,655 Fudo Tetra Corp. 19,500 43,549 Fuji Co., Ltd. 3,500 66,246 Fuji Corp., Ltd. 4,000 23,468 Fuji Electric Co., Ltd. 120,000 544,593 Fuji Electronics Co., Ltd. 1,500 17,893 Fuji Furukawa Engineering & Construction Co., Ltd. 1,000 2,510 Fuji Heavy Industries, Ltd. 72,200 1,898,475 Fuji Kiko Co., Ltd. 4,000 15,750 Fuji Kyuko Co., Ltd. 9,000 90,085 Fuji Media Holdings, Inc. 9,400 158,367 Fuji Oil Co., Ltd.(6356848) 16,300 220,226 Fuji Oil Co., Ltd.(6581361) 10,500 32,524 Fuji Pharma Co., Ltd. 1,300 25,346 Fuji Seal International, Inc. 7,000 227,752 Fuji Soft, Inc. 5,200 108,776 Fujibo Holdings, Inc. 23,000 52,948 Fujicco Co., Ltd. 6,000 70,138 FUJIFILM Holdings Corp. 36,800 950,620 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- JAPAN -- (Continued) Fujikura Kasei Co., Ltd. 5,300 $ 28,966 Fujikura, Ltd. 97,000 417,679 Fujimi, Inc. 4,600 53,192 Fujimori Kogyo Co., Ltd. 2,700 75,801 * Fujisash Co., Ltd. 19,900 30,445 Fujita Kanko, Inc. 11,000 36,127 Fujitec Co., Ltd. 16,000 184,487 Fujitsu Frontech, Ltd. 5,600 62,467 Fujitsu General, Ltd. 10,000 115,399 Fujitsu, Ltd. 250,500 1,472,997 FuKoKu Co., Ltd. 1,400 12,732 Fukuda Corp. 3,000 13,931 Fukui Bank, Ltd. (The) 53,000 125,810 Fukuoka Financial Group, Inc. 123,400 503,966 Fukushima Bank, Ltd. (The) 51,000 41,931 Fukushima Industries Corp. 2,700 38,393 # Fukuyama Transporting Co., Ltd. 39,000 228,235 Funai Consulting, Inc. 3,700 28,854 Furukawa Battery Co., Ltd. (The) 3,000 20,638 Furukawa Co., Ltd. 73,000 132,414 Furukawa Electric Co., Ltd. 176,000 396,257 Furuno Electric Co., Ltd. 5,900 39,812 Furusato Industries, Ltd. 1,500 15,269 Furuya Metal Co., Ltd. 100 2,592 Fuso Pharmaceutical Industries, Ltd. 14,000 45,021 Futaba Industrial Co., Ltd. 16,700 74,812 Fuyo General Lease Co., Ltd. 3,100 106,673 G-Tekt Corp. 4,200 47,011 Gakken Holdings Co., Ltd. 21,000 56,938 GCA Savvian Corp. 5,700 44,021 Gecoss Corp. 3,400 31,863 Geo Holdings Corp. 12,700 116,357 GLOBERIDE, Inc. 28,000 35,603 Glory, Ltd. 15,800 408,768 GMO internet, Inc. 16,400 144,888 GMO Payment Gateway, Inc. 1,900 59,558 Godo Steel, Ltd. 32,000 45,059 Goldcrest Co., Ltd. 6,610 138,374 Goldwin, Inc. 13,000 67,126 Gourmet Kineya Co., Ltd. 3,000 21,688 Gree, Inc. 13,300 130,058 GS Yuasa Corp. 63,000 356,491 GSI Creos Corp. 29,000 38,646 Gulliver International Co., Ltd. 13,700 112,125 Gun-Ei Chemical Industry Co., Ltd. 10,000 36,100 # GungHo Online Entertainment, Inc. 15,500 88,172 Gunma Bank, Ltd. (The) 94,000 499,636 Gunze, Ltd. 39,000 106,496 Gurunavi, Inc. 5,600 72,990 H-One Co., Ltd. 3,700 28,668 H2O Retailing Corp. 37,000 279,222 Hachijuni Bank, Ltd. (The) 98,000 535,759 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- JAPAN -- (Continued) Hagihara Industries, Inc. 500 $ 6,619 Hakudo Co., Ltd. 2,800 24,468 Hakuhodo DY Holdings, Inc. 42,700 331,231 Hakuto Co., Ltd. 5,400 49,854 Hamakyorex Co., Ltd. 2,400 66,474 Hamamatsu Photonics K.K. 5,500 247,818 Hankyu Hanshin Holdings, Inc. 137,000 750,838 Hanwa Co., Ltd. 54,000 211,207 Happinet Corp. 5,000 50,759 Hard Off Corp. Co., Ltd. 700 5,405 Harima Chemicals Group, Inc. 700 3,012 Harmonic Drive Systems, Inc. 800 22,716 Haseko Corp. 34,200 216,580 Hazama Ando Corp. 41,220 181,921 Heiwa Corp. 11,000 183,039 Heiwa Real Estate Co., Ltd. 10,500 164,841 Heiwado Co., Ltd. 9,300 131,654 HI-LEX Corp. 1,500 37,090 Hibiya Engineering, Ltd. 4,600 59,318 Hiday Hidaka Corp. 3,456 79,582 Higashi Nihon House Co., Ltd. 7,000 33,554 Higashi-Nippon Bank, Ltd. (The) 31,000 77,744 Higo Bank, Ltd. (The) 45,000 231,292 Hikari Tsushin, Inc. 4,000 337,207 Hino Motors, Ltd. 13,000 171,264 Hioki EE Corp. 2,200 34,627 Hiramatsu, Inc. 900 5,987 Hiroshima Bank, Ltd. (The) 130,000 534,851 Hisaka Works, Ltd. 2,000 17,757 Hisamitsu Pharmaceutical Co., Inc. 1,500 62,778 Hitachi Capital Corp. 11,100 273,586 Hitachi Chemical Co., Ltd. 17,500 257,454 Hitachi Construction Machinery Co., Ltd. 15,500 287,627 Hitachi High-Technologies Corp. 12,800 292,814 Hitachi Koki Co., Ltd. 17,900 133,342 Hitachi Kokusai Electric, Inc. 10,000 114,316 Hitachi Metals, Ltd. 22,010 298,880 Hitachi Transport System, Ltd. 12,600 193,345 Hitachi Zosen Corp. 45,000 220,796 Hitachi, Ltd. 144,000 1,026,567 Hitachi, Ltd. ADR 10,080 717,595 Hodogaya Chemical Co., Ltd. 8,000 15,719 Hogy Medical Co., Ltd. 2,700 139,255 #* Hokkaido Electric Power Co., Inc. 21,100 129,079 Hokkaido Gas Co., Ltd. 7,000 18,645 Hokkan Holdings, Ltd. 15,000 39,088 Hokko Chemical Industry Co., Ltd. 7,000 23,625 Hokkoku Bank, Ltd. (The) 85,000 284,630 Hokuetsu Bank, Ltd. (The) 58,000 118,635 Hokuetsu Kishu Paper Co., Ltd. 33,000 156,948 Hokuhoku Financial Group, Inc. 276,000 532,608 Hokuriku Electric Industry Co., Ltd. 15,000 19,954 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- JAPAN -- (Continued) Hokuriku Electric Power Co. 17,800 $ 221,054 Hokuto Corp. 5,300 106,469 Honda Motor Co., Ltd. 97,900 3,248,779 Honda Motor Co., Ltd. Sponsored ADR 37,467 1,247,651 Honeys Co., Ltd. 2,170 20,316 Hoosiers Holdings Co., Ltd. 4,800 26,320 Horiba, Ltd. 8,200 283,444 Hoshizaki Electric Co., Ltd. 4,100 165,900 Hosokawa Micron Corp. 5,000 30,180 House Foods Group, Inc. 17,300 287,875 Howa Machinery, Ltd. 4,600 32,662 Hoya Corp. 16,300 482,110 Hyakugo Bank, Ltd. (The) 66,000 255,722 Hyakujushi Bank, Ltd. (The) 66,000 221,074 Ibiden Co., Ltd. 28,600 516,233 IBJ Leasing Co., Ltd. 3,700 84,668 Ichibanya Co., Ltd. 1,600 64,729 Ichigo Group Holdings Co., Ltd. 6,400 18,978 * Ichikoh Industries, Ltd. 6,000 8,018 ICHINEN HOLDINGS Co., Ltd. 1,900 13,985 Ichiyoshi Securities Co., Ltd. 5,400 64,409 Idec Corp. 6,400 56,250 Idemitsu Kosan Co., Ltd. 19,500 431,214 Ihara Chemical Industry Co., Ltd. 11,000 85,961 IHI Corp. 115,000 458,532 Iida Group Holdings Co., Ltd. 20,916 312,139 Iino Kaiun Kaisha, Ltd. 20,100 98,874 * IJT Technology Holdings Co., Ltd. 3,000 12,244 Imasen Electric Industrial 3,000 37,625 Imperial Hotel, Ltd. 1,100 23,828 Inaba Denki Sangyo Co., Ltd. 5,800 178,121 Inaba Seisakusho Co., Ltd. 200 2,524 Inabata & Co., Ltd. 12,900 121,399 Inageya Co., Ltd. 5,200 50,841 Ines Corp. 8,100 53,220 Infocom Corp. 4,900 41,207 Information Services International-Dentsu, Ltd. 3,600 45,033 Innotech Corp. 2,100 8,918 Intage Holdings, Inc. 3,800 47,547 Internet Initiative Japan, Inc. 8,700 201,855 Inui Warehouse Co., Ltd. 1,800 16,535 Iriso Electronics Co., Ltd. 1,000 50,333 Ise Chemical Corp. 3,000 20,062 Iseki & Co., Ltd. 56,000 144,719 Isetan Mitsukoshi Holdings, Ltd. 50,600 629,670 * Ishihara Sangyo Kaisha, Ltd. 73,000 69,442 Isuzu Motors, Ltd. 91,000 528,487 IT Holdings Corp. 22,100 342,594 Ito En, Ltd. 3,400 72,692 ITOCHU Corp. 85,300 956,195 Itochu Enex Co., Ltd. 13,500 75,800 Itochu Techno-Solutions Corp. 5,600 234,019 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- JAPAN -- (Continued) Itochu-Shokuhin Co., Ltd. 900 $ 30,312 Itoham Foods, Inc. 44,000 199,419 Itoki Corp. 10,000 75,086 Iwai Cosmo Holdings, Inc. 3,300 32,143 Iwasaki Electric Co., Ltd. 16,000 38,691 Iwatani Corp. 62,000 363,834 Iyo Bank, Ltd. (The) 57,543 517,371 Izumi Co., Ltd. 6,200 181,429 Izumiya Co., Ltd. 15,000 71,161 * Izutsuya Co., Ltd. 9,000 6,178 J Front Retailing Co., Ltd. 62,000 394,106 J-Oil Mills, Inc. 27,000 72,184 Jalux, Inc. 800 8,404 Jamco Corp. 2,000 35,798 * Janome Sewing Machine Co., Ltd. 51,000 40,938 Japan Airport Terminal Co., Ltd. 9,100 209,974 Japan Aviation Electronics Industry, Ltd. 18,000 306,395 Japan Cash Machine Co., Ltd. 4,900 83,580 Japan Digital Laboratory Co., Ltd. 4,000 58,279 # Japan Drilling Co., Ltd. 2,000 78,430 Japan Electronic Materials Corp. 2,100 8,737 Japan Exchange Group, Inc. 10,900 215,666 Japan Pulp & Paper Co., Ltd. 19,000 64,718 * Japan Radio Co., Ltd. 23,000 89,540 Japan Steel Works, Ltd. (The) 81,000 342,236 Japan Tobacco, Inc. 28,500 936,754 Japan Transcity Corp. 15,000 45,672 Japan Vilene Co., Ltd. 10,000 55,093 Japan Wool Textile Co., Ltd. (The) 13,000 96,548 JBCC Holdings, Inc. 2,800 21,244 JCU Corp. 100 5,766 Jeol, Ltd. 17,000 63,134 JFE Holdings, Inc. 39,632 732,449 JGC Corp. 5,000 161,907 # Jin Co., Ltd. 3,200 93,291 JK Holdings Co., Ltd. 700 3,625 JMS Co., Ltd. 5,000 14,286 Joban Kosan Co., Ltd. 9,000 12,147 Joshin Denki Co., Ltd. 11,000 89,144 Jowa Holdings Co., Ltd. 2,900 100,757 Joyo Bank, Ltd. (The) 99,000 481,842 JP-Holdings, Inc. 7,700 34,009 JSP Corp. 6,600 99,107 JSR Corp. 18,500 303,156 JTEKT Corp. 35,700 520,880 * Juki Corp. 31,000 63,759 Juroku Bank, Ltd. (The) 82,000 286,444 * Justsystems Corp. 8,400 55,053 * JVC Kenwood Corp. 28,100 59,401 JX Holdings, Inc. 223,368 1,160,575 * K&O Energy Group, Inc. 3,000 41,642 K's Holdings Corp. 11,780 341,860 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- JAPAN -- (Continued) kabu.com Securities Co., Ltd. 21,200 $ 94,060 Kadokawa Corp. 7,400 242,979 Kaga Electronics Co., Ltd. 5,000 59,876 Kagome Co., Ltd. 13,000 219,991 Kagoshima Bank, Ltd. (The) 45,000 281,074 Kajima Corp. 86,000 327,445 Kakaku.com, Inc. 8,800 125,546 Kaken Pharmaceutical Co., Ltd. 12,000 206,788 Kakiyasu Honten Co., Ltd. 1,200 17,624 Kameda Seika Co., Ltd. 2,500 71,085 Kamei Corp. 7,000 51,545 Kamigumi Co., Ltd. 56,000 533,809 Kanagawa Chuo Kotsu Co., Ltd. 7,000 34,179 Kanamoto Co., Ltd. 8,000 251,310 Kandenko Co., Ltd. 28,000 150,200 Kaneka Corp. 71,000 416,437 Kanematsu Corp. 115,000 176,971 Kanematsu Electronics, Ltd. 1,800 24,038 * Kansai Electric Power Co., Inc. (The) 26,000 218,014 Kansai Paint Co., Ltd. 27,000 377,483 Kansai Urban Banking Corp. 60,000 75,254 #* Kanto Denka Kogyo Co., Ltd. 12,000 28,718 Kao Corp. 11,100 417,886 * Kappa Create Holdings Co., Ltd. 2,900 27,968 Kasai Kogyo Co., Ltd. 7,000 45,875 Kasumi Co., Ltd. 9,600 67,731 Katakura Industries Co., Ltd. 8,100 104,138 Kato Sangyo Co., Ltd. 5,700 118,553 Kato Works Co., Ltd. 15,000 86,515 KAWADA TECHNOLOGIES, Inc. 2,400 71,150 Kawai Musical Instruments Manufacturing Co., Ltd. 21,000 37,424 Kawasaki Heavy Industries, Ltd. 150,000 556,734 Kawasaki Kisen Kaisha, Ltd. 245,000 491,947 Kawasumi Laboratories, Inc. 1,000 5,969 KDDI Corp. 15,900 847,973 Keihan Electric Railway Co., Ltd. 77,000 317,427 Keihanshin Building Co., Ltd. 12,700 64,411 Keihin Co., Ltd. 5,000 7,163 Keihin Corp. 13,300 193,015 Keikyu Corp. 19,000 157,710 Keio Corp. 24,000 169,862 Keisei Electric Railway Co., Ltd. 26,000 226,278 Keiyo Bank, Ltd. (The) 72,000 316,914 Keiyo Co., Ltd. 6,000 27,659 * Kenedix, Inc. 54,500 188,384 Kewpie Corp. 17,800 256,044 KEY Coffee, Inc. 5,200 80,164 Keyence Corp. 452 174,364 Kikkoman Corp. 23,000 467,320 Kimoto Co., Ltd. 9,200 28,983 Kintetsu Corp. 66,000 231,942 Kintetsu World Express, Inc. 3,500 138,905 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- JAPAN -- (Continued) Kinugawa Rubber Industrial Co., Ltd. 14,000 $ 58,444 Kirin Holdings Co., Ltd. 68,940 954,820 Kisoji Co., Ltd. 2,100 37,880 Kita-Nippon Bank, Ltd. (The) 1,700 44,581 Kitagawa Iron Works Co., Ltd. 27,000 43,973 Kitano Construction Corp. 11,000 27,186 Kito Corp. 2,300 42,172 Kitz Corp. 25,900 122,302 Kiyo Bank, Ltd. (The) 15,700 184,742 * KNT-CT Holdings Co., Ltd. 29,000 47,713 Koa Corp. 8,500 81,695 Koatsu Gas Kogyo Co., Ltd. 8,000 41,218 Kobayashi Pharmaceutical Co., Ltd. 2,600 157,874 Kobe Steel, Ltd. 489,000 641,891 Kohnan Shoji Co., Ltd. 6,600 66,813 Kohsoku Corp. 2,200 19,417 Koito Manufacturing Co., Ltd. 19,000 413,241 * Kojima Co., Ltd. 8,800 28,179 Kokusai Co., Ltd. 800 8,869 Kokuyo Co., Ltd. 23,900 182,766 KOMAIHALTEC, Inc. 12,000 33,574 Komatsu Seiren Co., Ltd. 4,000 20,158 Komatsu, Ltd. 28,400 625,262 Komeri Co., Ltd. 8,300 224,750 Konaka Co., Ltd. 5,400 37,945 Konami Corp. 16,200 369,433 Konami Corp. ADR 1,900 43,035 Kondotec, Inc. 4,500 30,749 Konica Minolta, Inc. 73,500 684,882 Konishi Co., Ltd. 4,800 85,876 Kose Corp. 7,000 232,658 Kosei Securities Co., Ltd. 9,000 16,763 Krosaki Harima Corp. 10,000 20,890 KRS Corp. 600 5,939 Kubota Corp. 12,000 154,662 Kubota Corp. Sponsored ADR 4,000 255,920 #* Kumagai Gumi Co., Ltd. 39,000 100,864 Kumiai Chemical Industry Co., Ltd. 14,000 95,194 Kura Corp. 4,200 84,475 Kurabo Industries, Ltd. 63,000 107,312 Kuraray Co., Ltd. 31,900 358,676 Kureha Corp. 39,000 184,427 Kurimoto, Ltd. 31,000 64,667 Kurita Water Industries, Ltd. 22,000 463,322 Kuroda Electric Co., Ltd. 9,100 146,201 Kusuri No Aoki Co., Ltd. 900 60,227 KYB Co., Ltd. 48,000 195,529 Kyocera Corp. 5,932 278,981 Kyocera Corp. Sponsored ADR 10,644 501,758 Kyodo Printing Co., Ltd. 22,000 59,270 Kyodo Shiryo Co., Ltd. 26,000 27,476 Kyoei Steel, Ltd. 4,000 69,337 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- JAPAN -- (Continued) Kyokuto Kaihatsu Kogyo Co., Ltd. 11,000 $144,614 # Kyokuto Securities Co., Ltd. 6,300 98,812 Kyokuyo Co., Ltd. 24,000 62,031 KYORIN Holdings, Inc. 10,700 206,243 Kyoritsu Maintenance Co., Ltd. 3,100 105,878 Kyosan Electric Manufacturing Co., Ltd. 12,000 41,505 Kyoto Kimono Yuzen Co., Ltd. 1,300 12,873 Kyowa Exeo Corp. 19,600 253,540 Kyowa Hakko Kirin Co., Ltd. 33,000 375,795 Kyudenko Corp. 11,000 94,854 * Kyushu Electric Power Co., Inc. 19,000 191,702 Lasertec Corp. 8,600 85,566 Lawson, Inc. 3,500 243,080 LEC, Inc. 1,400 14,332 * Leopalace21 Corp. 71,100 367,707 Life Corp. 4,600 70,307 Lintec Corp. 12,200 226,849 Lion Corp. 33,000 180,781 LIXIL Group Corp. 24,100 638,648 Look, Inc. 8,000 20,775 M3, Inc. 8,600 117,980 Macnica, Inc. 2,900 85,988 Maeda Corp. 29,000 215,808 Maeda Kosen Co., Ltd. 700 10,423 Maeda Road Construction Co., Ltd. 18,000 279,100 Maezawa Kyuso Industries Co., Ltd. 2,600 34,086 Makino Milling Machine Co., Ltd. 31,000 230,793 Makita Corp. 4,500 239,348 Makita Corp. Sponsored ADR 5,012 267,641 Mamiya-Op Co., Ltd. 8,000 15,509 Mandom Corp. 3,000 105,358 Mani, Inc. 800 35,787 Mars Engineering Corp. 2,700 50,427 Marubeni Corp. 108,000 721,701 Marudai Food Co., Ltd. 27,000 80,365 * Maruei Department Store Co., Ltd. 5,000 6,871 Maruetsu, Inc. (The) 8,000 26,616 * Maruha Nichiro Corp. 8,500 134,690 Marui Group Co., Ltd. 57,400 509,862 Maruka Machinery Co., Ltd. 400 5,212 Marusan Securities Co., Ltd. 17,800 124,576 Maruwa Co., Ltd. 3,400 120,636 Maruyama Manufacturing Co., Inc. 14,000 29,720 * Maruzen CHI Holdings Co., Ltd. 3,700 11,414 Maruzen Showa Unyu Co., Ltd. 13,000 40,782 Marvelous AQL, Inc. 3,000 19,986 Matsuda Sangyo Co., Ltd. 5,700 63,353 Matsui Securities Co., Ltd. 8,000 73,653 Matsumotokiyoshi Holdings Co., Ltd. 7,100 209,517 Matsuya Co., Ltd. 2,000 18,103 Matsuya Foods Co., Ltd. 3,000 53,897 Max Co., Ltd. 8,000 87,767 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- JAPAN -- (Continued) Maxvalu Tokai Co., Ltd. 1,600 $ 21,029 Mazda Motor Corp. 282,000 1,260,890 McDonald's Holdings Co. Japan, Ltd. 1,900 52,570 MEC Co., Ltd. 1,600 13,547 Medipal Holdings Corp. 17,600 247,552 * Megachips Corp. 5,300 62,469 Megmilk Snow Brand Co., Ltd. 12,300 163,209 Meidensha Corp. 61,000 252,531 MEIJI Holdings Co., Ltd. 8,887 545,367 Meiko Network Japan Co., Ltd. 2,000 21,619 Meisei Industrial Co., Ltd. 10,000 47,495 Meitec Corp. 2,700 71,883 Meito Sangyo Co., Ltd. 1,500 15,869 Meiwa Corp. 3,900 15,511 Meiwa Estate Co., Ltd. 2,200 8,688 Melco Holdings, Inc. 2,200 33,454 Message Co., Ltd. 2,200 70,606 Michinoku Bank, Ltd. (The) 30,000 63,179 Micronics Japan Co., Ltd. 2,200 60,547 Mie Bank, Ltd. (The) 22,000 47,368 Milbon Co., Ltd. 1,196 39,454 Mimasu Semiconductor Industry Co., Ltd. 4,300 39,036 Minato Bank, Ltd. (The) 44,000 74,884 Minebea Co., Ltd. 70,000 567,278 Ministop Co., Ltd. 3,500 53,007 Miraca Holdings, Inc. 7,500 325,105 Mirait Holdings Corp. 15,380 135,283 Misawa Homes Co., Ltd. 9,700 119,058 MISUMI Group, Inc. 6,500 158,172 Mitani Corp. 3,700 83,354 Mitani Sekisan Co., Ltd. 1,200 17,907 Mito Securities Co., Ltd. 13,000 45,414 Mitsuba Corp. 11,100 162,951 Mitsubishi Chemical Holdings Corp. 262,500 1,050,532 Mitsubishi Corp. 111,800 2,002,036 Mitsubishi Electric Corp. 62,000 705,984 Mitsubishi Estate Co., Ltd. 11,000 249,594 Mitsubishi Gas Chemical Co., Inc. 82,000 473,426 Mitsubishi Heavy Industries, Ltd. 183,500 966,117 * Mitsubishi Kakoki Kaisha, Ltd. 13,000 19,732 Mitsubishi Logistics Corp. 34,000 487,797 Mitsubishi Materials Corp. 186,000 539,499 Mitsubishi Motors Corp. 37,700 408,604 Mitsubishi Nichiyu Forklift Co., Ltd. 7,000 48,777 * Mitsubishi Paper Mills, Ltd. 62,000 53,337 Mitsubishi Pencil Co., Ltd. 3,400 101,049 Mitsubishi Research Institute, Inc. 200 4,245 Mitsubishi Shokuhin Co., Ltd. 2,100 47,022 Mitsubishi Steel Manufacturing Co., Ltd. 34,000 68,151 Mitsubishi Tanabe Pharma Corp. 26,500 363,375 Mitsubishi UFJ Financial Group, Inc. 577,500 3,072,008 Mitsubishi UFJ Financial Group, Inc. ADR 441,377 2,361,367 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ---------- JAPAN -- (Continued) Mitsuboshi Belting Co., Ltd. 12,000 $ 62,694 Mitsui & Co., Ltd. 84,300 1,195,574 Mitsui & Co., Ltd. Sponsored ADR 2,651 749,173 Mitsui Chemicals, Inc. 211,000 514,160 Mitsui Engineering & Shipbuilding Co., Ltd. 197,000 382,225 Mitsui Fudosan Co., Ltd. 35,000 1,036,060 Mitsui High-Tec, Inc. 5,600 35,320 Mitsui Home Co., Ltd. 9,000 41,482 Mitsui Knowledge Industry Co., Ltd. 22,100 32,451 Mitsui Matsushima Co., Ltd. 36,000 52,182 Mitsui Mining & Smelting Co., Ltd. 172,000 426,499 Mitsui OSK Lines, Ltd. 159,000 530,435 Mitsui Sugar Co., Ltd. 31,000 128,625 Mitsui-Soko Co., Ltd. 33,000 130,928 Mitsuuroko Group Holdings Co., Ltd. 3,800 20,693 Miura Co., Ltd. 5,600 159,074 Miyaji Engineering Group, Inc. 17,000 37,947 Miyazaki Bank, Ltd. (The) 43,000 131,374 Miyoshi Oil & Fat Co., Ltd. 18,000 24,159 Mizuho Financial Group, Inc. 1,822,055 3,568,690 Mizuho Financial Group, Inc. ADR 5,047 19,734 Mizuno Corp. 25,000 136,420 Mochida Pharmaceutical Co., Ltd. 2,200 155,018 Modec, Inc. 3,000 66,478 Monex Group, Inc. 48,000 160,920 Monogatari Corp. (The) 200 7,211 MonotaRO Co., Ltd. 6,200 125,103 MORESCO Corp. 1,900 31,327 Morinaga & Co., Ltd. 49,000 108,005 Morinaga Milk Industry Co., Ltd. 46,000 171,709 Morita Holdings Corp. 9,000 74,959 Morozoff, Ltd. 6,000 19,015 Mory Industries, Inc. 2,000 7,543 MOS Food Services, Inc. 3,200 63,775 Moshi Moshi Hotline, Inc. 7,700 77,947 Mr Max Corp. 8,300 26,590 MS&AD Insurance Group Holdings 39,213 879,632 MTI, Ltd. 7,100 39,497 Murata Manufacturing Co., Ltd. 6,600 550,201 Musashi Seimitsu Industry Co., Ltd. 6,800 150,055 Musashino Bank, Ltd. (The) 8,300 265,973 Mutoh Holdings Co., Ltd. 8,000 34,904 Nabtesco Corp. 11,800 254,742 NAC Co., Ltd. 1,900 28,030 Nachi-Fujikoshi Corp. 34,000 210,280 Nagaileben Co., Ltd. 4,800 92,385 Nagano Bank, Ltd. (The) 15,000 26,297 Nagase & Co., Ltd. 30,400 372,494 Nagatanien Co., Ltd. 3,000 28,935 Nagoya Railroad Co., Ltd. 81,000 257,005 Nakabayashi Co., Ltd. 4,000 7,863 Nakamuraya Co., Ltd. 8,917 34,675 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- JAPAN -- (Continued) Nakanishi, Inc. 400 $ 13,703 * Nakayama Steel Works, Ltd. 26,000 19,347 Namco Bandai Holdings, Inc. 18,800 406,176 Namura Shipbuilding Co., Ltd. 1,800 13,554 Nankai Electric Railway Co., Ltd. 48,000 186,189 Nanto Bank, Ltd. (The) 69,000 258,983 Natori Co., Ltd. 500 5,407 NDS Co., Ltd. 9,000 25,028 NEC Capital Solutions, Ltd. 800 13,845 NEC Corp. 389,000 1,094,255 NEC Networks & System Integration Corp. 5,600 118,307 NET One Systems Co., Ltd. 20,800 169,228 Neturen Co., Ltd. 10,000 68,608 #* New Japan Chemical Co., Ltd. 8,500 17,725 Nexon Co., Ltd. 16,100 125,397 Next Co., Ltd. 4,900 42,593 NGK Insulators, Ltd. 26,000 491,685 NGK Spark Plug Co., Ltd. 29,000 663,944 NHK Spring Co., Ltd. 40,500 366,601 Nice Holdings, Inc. 16,000 32,338 Nichi-iko Pharmaceutical Co., Ltd. 10,700 165,966 Nichia Steel Works, Ltd. 6,000 15,552 Nichias Corp. 18,000 121,925 Nichiban Co., Ltd. 1,000 3,375 Nichicon Corp. 13,100 97,169 Nichiden Corp. 1,100 26,336 Nichiha Corp. 5,100 58,758 Nichii Gakkan Co. 10,600 93,496 Nichimo Co., Ltd. 7,000 12,478 Nichirei Corp. 66,000 320,494 Nichireki Co., Ltd. 5,000 48,895 Nidec Copal Electronics Corp. 3,800 30,106 Nidec Corp. 3,094 174,921 # Nidec Corp. ADR 8,634 121,826 Nifco, Inc. 11,300 315,621 NIFTY Corp. 1,300 18,440 Nihon Chouzai Co., Ltd. 130 3,610 Nihon Dempa Kogyo Co., Ltd. 4,400 35,357 Nihon Eslead Corp. 1,000 10,169 Nihon Kohden Corp. 6,200 253,911 Nihon M&A Center, Inc. 5,300 123,910 Nihon Nohyaku Co., Ltd. 9,000 112,146 Nihon Parkerizing Co., Ltd. 9,000 196,166 Nihon Shokuhin Kako Co., Ltd. 1,000 3,355 Nihon Trim Co., Ltd. 900 31,263 Nihon Unisys, Ltd. 14,000 142,170 Nihon Yamamura Glass Co., Ltd. 19,000 31,627 Nikkiso Co., Ltd. 9,000 100,873 Nikko Co., Ltd. 5,000 21,507 Nikon Corp. 35,500 556,585 Nippo Corp. 17,000 259,751 Nippon Beet Sugar Manufacturing Co., Ltd. 22,000 41,396 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- JAPAN -- (Continued) Nippon Carbide Industries Co., Inc. 16,000 $ 33,277 Nippon Carbon Co., Ltd. 22,000 38,806 * Nippon Chemi-Con Corp. 45,000 143,845 * Nippon Chemical Industrial Co., Ltd. 16,000 20,843 Nippon Chemiphar Co., Ltd. 9,000 43,319 Nippon Chutetsukan K.K. 4,000 8,612 Nippon Coke & Engineering Co., Ltd. 48,000 55,953 Nippon Concrete Industries Co., Ltd. 8,000 32,675 Nippon Denko Co., Ltd. 22,000 61,207 Nippon Densetsu Kogyo Co., Ltd. 9,600 142,470 Nippon Electric Glass Co., Ltd. 103,000 503,868 Nippon Express Co., Ltd. 114,000 538,914 Nippon Fine Chemical Co., Ltd. 1,900 11,663 Nippon Flour Mills Co., Ltd. 36,000 200,858 Nippon Formula Feed Manufacturing Co., Ltd. 15,000 18,212 Nippon Gas Co., Ltd. 7,500 124,217 Nippon Hume Corp. 3,000 21,856 Nippon Jogesuido Sekkei Co., Ltd. 800 9,718 Nippon Kanzai Co., Ltd. 2,200 44,594 Nippon Kayaku Co., Ltd. 32,000 380,801 * Nippon Kinzoku Co., Ltd. 14,000 17,682 Nippon Koei Co., Ltd. 18,000 86,242 Nippon Konpo Unyu Soko Co., Ltd. 15,700 265,284 * Nippon Koshuha Steel Co., Ltd. 20,000 17,848 Nippon Light Metal Holdings Co., Ltd. 148,700 209,678 Nippon Meat Packers, Inc. 33,000 571,935 Nippon Paint Co., Ltd. 23,000 355,841 Nippon Paper Industries Co., Ltd. 24,600 449,582 Nippon Parking Development Co., Ltd. 4,900 5,212 Nippon Pillar Packing Co., Ltd. 9,000 64,607 Nippon Piston Ring Co., Ltd. 19,000 33,196 Nippon Road Co., Ltd. (The) 23,000 117,086 Nippon Seisen Co., Ltd. 4,000 15,813 Nippon Sharyo, Ltd. 11,000 39,456 * Nippon Sheet Glass Co., Ltd. 243,000 311,682 Nippon Shinyaku Co., Ltd. 11,000 193,775 Nippon Shokubai Co., Ltd. 32,000 369,225 Nippon Signal Co., Ltd. (The) 10,300 85,409 Nippon Soda Co., Ltd. 41,000 227,794 Nippon Steel & Sumikin Bussan Corp. 33,520 118,422 Nippon Steel & Sumikin Texeng Co., Ltd. 12,000 46,442 Nippon Steel & Sumitomo Metal Corp. 637,120 1,671,572 * Nippon Suisan Kaisha, Ltd. 85,300 196,290 Nippon Synthetic Chemical Industry Co., Ltd. (The) 15,000 99,943 Nippon Telegraph & Telephone Corp. 900 49,943 # Nippon Telegraph & Telephone Corp. ADR 12,740 354,682 Nippon Television Holdings, Inc. 4,000 59,630 Nippon Thompson Co., Ltd. 18,000 82,033 Nippon Valqua Industries, Ltd. 16,000 42,592 #* Nippon Yakin Kogyo Co., Ltd. 27,000 75,102 Nippon Yusen K.K. 248,000 672,210 Nipro Corp. 37,500 324,645 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- JAPAN -- (Continued) Nishi-Nippon City Bank, Ltd. (The) 160,000 $ 363,935 Nishi-Nippon Railroad Co., Ltd. 63,000 242,291 Nishikawa Rubber Co., Ltd. 200 3,298 Nishimatsu Construction Co., Ltd. 69,000 248,286 Nishimatsuya Chain Co., Ltd. 15,500 111,106 Nishio Rent All Co., Ltd. 4,000 147,174 Nissan Chemical Industries, Ltd. 19,100 284,654 Nissan Motor Co., Ltd. 220,100 1,899,154 Nissan Shatai Co., Ltd. 18,000 274,223 Nissan Tokyo Sales Holdings Co., Ltd. 3,000 9,739 Nissei ASB Machine Co., Ltd. 3,100 49,329 Nissei Build Kogyo Co., Ltd. 22,000 49,623 Nissei Plastic Industrial Co., Ltd. 3,900 21,979 #* Nissha Printing Co., Ltd. 6,700 87,332 Nisshin Oillio Group, Ltd. (The) 26,000 87,053 # Nisshin Seifun Group, Inc. 53,700 624,777 Nisshin Steel Co., Ltd. 20,340 208,900 Nisshinbo Holdings, Inc. 40,000 342,691 Nissin Corp. 17,000 47,936 Nissin Electric Co., Ltd. 12,000 66,737 Nissin Foods Holdings Co., Ltd. 5,000 239,334 Nissin Kogyo Co., Ltd. 11,700 215,947 Nissin Sugar Co., Ltd. 900 19,151 Nissui Pharmaceutical Co., Ltd. 3,000 30,974 Nitori Holdings Co., Ltd. 3,700 169,714 Nitta Corp. 4,200 86,280 Nittetsu Mining Co., Ltd. 13,000 48,525 * Nitto Boseki Co., Ltd. 32,000 133,525 Nitto Denko Corp. 16,700 723,044 Nitto Kogyo Corp. 6,000 124,401 Nitto Kohki Co., Ltd. 2,500 45,518 Nittoc Construction Co., Ltd. 1,500 5,369 Nittoku Engineering Co., Ltd. 2,100 18,092 NKSJ Holdings, Inc. 32,075 800,234 NOF Corp. 31,000 214,997 Nohmi Bosai, Ltd. 4,000 45,846 NOK Corp. 26,500 433,243 Nomura Co., Ltd. 4,000 28,433 Nomura Holdings, Inc. 184,600 1,068,995 Nomura Holdings, Inc. ADR 119,749 701,729 Nomura Real Estate Holdings, Inc. 18,200 340,053 Nomura Research Institute, Ltd. 3,300 95,691 Noritake Co., Ltd. 22,000 53,835 Noritz Corp. 7,400 131,468 North Pacific Bank, Ltd. 81,400 329,725 NS Solutions Corp. 3,400 85,066 NS United Kaiun Kaisha, Ltd. 32,000 71,906 NSD Co., Ltd. 6,300 77,887 NSK, Ltd. 45,000 473,073 * NTN Corp. 131,000 448,337 NTT Data Corp. 10,600 409,537 NTT DOCOMO, Inc. 133,700 2,132,587 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- JAPAN -- (Continued) NTT DOCOMO, Inc. Sponsored ADR 9,600 $153,408 NTT Urban Development Corp. 11,300 99,389 Nuflare Technology, Inc. 400 24,884 Obara Group, Inc. 2,900 108,944 Obayashi Corp. 85,000 548,836 Obayashi Road Corp. 10,000 55,481 OBIC Business Consultants, Ltd. 2,500 81,007 Obic Co., Ltd. 9,700 291,065 Odakyu Electric Railway Co., Ltd. 23,000 201,923 Odelic Co., Ltd. 100 2,717 Oenon Holdings, Inc. 13,000 32,924 Ogaki Kyoritsu Bank, Ltd. (The) 83,000 224,187 Ohara, Inc. 1,600 9,405 Ohsho Food Service Corp. 2,900 107,181 Oiles Corp. 5,320 119,818 Oita Bank, Ltd. (The) 46,000 167,482 Oji Holdings Corp. 140,000 588,208 Okabe Co., Ltd. 9,000 123,751 Okamoto Industries, Inc. 13,000 42,733 Okamura Corp. 15,000 128,312 Oki Electric Industry Co., Ltd. 137,000 268,188 Okinawa Cellular Telephone Co. 2,300 58,738 Okinawa Electric Power Co., Inc. (The) 3,400 111,124 OKK Corp. 21,000 26,981 OKUMA Corp. 29,000 248,222 Okumura Corp. 49,000 223,871 Okura Industrial Co., Ltd. 12,000 34,389 Okuwa Co., Ltd. 4,000 36,513 Olympic Group Corp. 1,500 13,520 * Olympus Corp. 12,800 390,969 Omron Corp. 11,800 417,890 ONO Sokki Co., Ltd. 5,000 22,728 Onoken Co., Ltd. 4,100 43,172 Onward Holdings Co., Ltd. 35,000 235,413 Optex Co., Ltd. 1,300 21,190 Oracle Corp. Japan 1,000 46,086 Organo Corp. 12,000 57,096 Oriental Land Co., Ltd. 1,200 179,776 Origin Electric Co., Ltd. 6,000 16,726 Osaka Gas Co., Ltd. 77,000 290,236 Osaka Organic Chemical Industry, Ltd. 1,400 5,981 Osaka Steel Co., Ltd. 3,300 52,171 OSAKA Titanium Technologies Co., Ltd. 3,200 65,725 Osaki Electric Co., Ltd. 5,000 30,266 OSG Corp. 8,800 141,841 Otsuka Corp. 1,100 130,218 Otsuka Holdings Co., Ltd. 13,600 391,786 Pacific Industrial Co., Ltd. 10,000 69,947 * Pacific Metals Co., Ltd. 45,000 209,314 Pack Corp. (The) 2,600 49,073 Pal Co., Ltd. 2,700 51,524 Paltac Corp. 10,350 127,848 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- JAPAN -- (Continued) PanaHome Corp. 24,000 $ 159,586 Panasonic Corp. 88,300 962,475 Panasonic Corp. Sponsored ADR 64,414 704,689 Panasonic Industrial Devices SUNX Co., Ltd. 5,800 26,261 Paramount Bed Holdings Co., Ltd. 3,800 114,688 Parco Co., Ltd. 6,300 50,452 Paris Miki Holdings, Inc. 6,500 32,346 Park24 Co., Ltd. 10,500 191,931 * Pasco Corp. 1,000 3,850 Pasona Group, Inc. 2,700 13,774 Penta-Ocean Construction Co., Ltd. 55,000 179,886 Pigeon Corp. 3,900 174,607 Pilot Corp. 3,300 138,708 Piolax, Inc. 2,600 89,999 * Pioneer Corp. 87,200 188,412 Plenus Co., Ltd. 6,400 146,058 Pola Orbis Holdings, Inc. 4,200 164,370 Press Kogyo Co., Ltd. 32,000 117,359 Pressance Corp. 1,900 47,130 Prestige International, Inc. 100 938 Prima Meat Packers, Ltd. 49,000 108,088 Pronexus, Inc. 4,500 30,661 Proto Corp. 3,600 49,707 PS Mitsubishi Construction Co., Ltd. 5,200 23,170 Raito Kogyo Co., Ltd. 9,000 77,499 Rakuten, Inc. 16,400 212,800 * Rasa Industries, Ltd. 4,000 4,898 Relo Holdings, Inc. 1,300 71,286 Renaissance, Inc. 500 3,972 * Renesas Electronics Corp. 25,800 188,399 Rengo Co., Ltd. 58,000 259,186 * Renown, Inc. 7,000 8,097 Resona Holdings, Inc. 175,200 895,798 Resorttrust, Inc. 14,600 229,072 Rhythm Watch Co., Ltd. 18,000 26,612 Ricoh Co., Ltd. 101,381 1,168,220 Ricoh Leasing Co., Ltd. 3,900 101,798 Right On Co., Ltd. 1,900 13,457 Riken Corp. 22,000 90,011 Riken Keiki Co., Ltd. 1,500 14,534 Riken Technos Corp. 6,000 31,066 Riken Vitamin Co., Ltd. 1,700 40,309 Ringer Hut Co., Ltd. 2,600 38,642 Rinnai Corp. 1,400 116,674 Riso Kagaku Corp. 3,680 90,779 Riso Kyoiku Co., Ltd. 7,600 16,558 Rock Field Co., Ltd. 2,800 50,034 Rohm Co., Ltd. 400 19,129 Rohto Pharmaceutical Co., Ltd. 14,000 246,981 Rokko Butter Co., Ltd. 2,100 17,818 Roland Corp. 2,900 41,222 Roland DG Corp. 2,300 77,740 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- JAPAN -- (Continued) Round One Corp. 26,200 $188,190 Royal Holdings Co., Ltd. 6,300 91,891 Ryobi, Ltd. 28,000 82,949 Ryoden Trading Co., Ltd. 5,000 33,729 Ryohin Keikaku Co., Ltd. 2,500 280,958 Ryosan Co., Ltd. 7,300 154,302 S Foods, Inc. 2,000 26,694 Sagami Chain Co., Ltd. 5,000 45,337 Saibu Gas Co., Ltd. 43,000 107,812 Saizeriya Co., Ltd. 8,300 95,099 Sakai Chemical Industry Co., Ltd. 21,000 59,190 Sakai Heavy Industries, Ltd. 5,000 17,760 Sakai Moving Service Co., Ltd. 300 10,141 Sakai Ovex Co., Ltd. 19,000 32,801 Sakata INX Corp. 12,000 105,842 Sakata Seed Corp. 9,400 131,314 Sala Corp. 3,000 15,282 San-A Co., Ltd. 5,000 144,102 San-Ai Oil Co., Ltd. 11,000 73,220 San-In Godo Bank, Ltd. (The) 38,000 250,806 Sanden Corp. 25,000 119,415 Sanei Architecture Planning Co., Ltd. 1,300 10,236 Sangetsu Co., Ltd. 7,800 200,983 #* Sanix, Inc. 17,500 207,171 Sanken Electric Co., Ltd. 38,000 264,724 Sanko Marketing Foods Co., Ltd. 700 6,274 Sanko Metal Industrial Co., Ltd. 4,000 9,136 Sankyo Co., Ltd. 6,000 239,946 Sankyo Seiko Co., Ltd. 6,300 21,760 Sankyo Tateyama, Inc. 6,500 128,648 Sankyu, Inc. 75,000 285,886 Sanoh Industrial Co., Ltd. 6,500 40,130 Sanrio Co., Ltd. 6,100 193,393 Sanshin Electronics Co., Ltd. 7,000 43,936 Santen Pharmaceutical Co., Ltd. 3,100 138,166 Sanwa Holdings Corp. 57,000 348,226 Sanyo Chemical Industries, Ltd. 15,000 91,883 Sanyo Denki Co., Ltd. 10,000 67,356 Sanyo Electric Railway Co., Ltd. 3,000 13,835 Sanyo Housing Nagoya Co., Ltd. 1,000 9,461 Sanyo Shokai, Ltd. 20,000 54,574 Sanyo Special Steel Co., Ltd. 36,000 140,411 Sapporo Holdings, Ltd. 109,000 462,162 Sato Holdings Corp. 5,700 123,714 Satori Electric Co., Ltd. 2,700 17,088 # Sawada Holdings Co., Ltd. 6,700 56,828 Sawai Pharmaceutical Co., Ltd. 4,100 253,743 Saxa Holdings, Inc. 6,000 8,975 SBI Holdings, Inc. 59,430 679,638 SBS Holdings, Inc. 900 15,239 Scroll Corp. 8,200 22,018 SCSK Corp. 4,900 129,613 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- JAPAN -- (Continued) Secom Co., Ltd. 5,900 $ 338,737 Sega Sammy Holdings, Inc. 13,600 274,138 Seika Corp. 16,000 37,289 * Seikitokyu Kogyo Co., Ltd. 11,000 13,509 Seiko Epson Corp. 32,700 892,383 Seiko Holdings Corp. 48,000 175,400 Seino Holdings Co., Ltd. 33,000 326,163 Seiren Co., Ltd. 10,500 88,222 Sekisui Chemical Co., Ltd. 58,000 587,784 Sekisui House, Ltd. 71,000 852,255 Sekisui Jushi Corp. 7,000 93,200 Sekisui Plastics Co., Ltd. 13,000 34,700 # Senko Co., Ltd. 33,000 150,830 Senshu Electric Co., Ltd. 1,300 16,657 Senshu Ikeda Holdings, Inc. 59,440 272,917 Senshukai Co., Ltd. 6,400 54,454 Seria Co., Ltd. 1,900 74,307 Seven & I Holdings Co., Ltd. 29,900 1,179,742 Seven Bank, Ltd. 28,400 107,670 * Sharp Corp. 122,000 305,826 Shibusawa Warehouse Co., Ltd. (The) 8,000 26,566 Shibuya Kogyo Co., Ltd. 2,600 70,266 Shidax Corp. 1,700 8,254 Shiga Bank, Ltd. (The) 67,000 366,374 Shikibo, Ltd. 29,000 31,769 Shikoku Bank, Ltd. (The) 45,000 90,763 Shikoku Chemicals Corp. 11,000 75,395 * Shikoku Electric Power Co., Inc. 15,600 182,599 Shima Seiki Manufacturing, Ltd. 6,100 101,800 Shimachu Co., Ltd. 11,800 259,277 Shimadzu Corp. 48,000 410,040 Shimamura Co., Ltd. 3,400 316,738 Shimano, Inc. 2,400 239,908 Shimizu Bank, Ltd. (The) 1,800 43,986 Shimizu Corp. 97,000 549,858 Shimojima Co., Ltd. 700 7,133 Shin Nippon Air Technologies Co., Ltd. 3,500 21,422 Shin-Etsu Chemical Co., Ltd. 19,600 1,149,776 Shin-Keisei Electric Railway Co., Ltd. 7,000 25,881 Shinagawa Refractories Co., Ltd. 17,000 33,811 Shindengen Electric Manufacturing Co., Ltd. 22,000 89,879 Shinko Electric Industries Co., Ltd. 20,000 131,714 Shinko Plantech Co., Ltd. 7,800 58,720 Shinko Shoji Co., Ltd. 5,300 48,831 Shinmaywa Industries, Ltd. 24,000 211,943 Shinnihon Corp. 4,500 13,224 Shinsei Bank, Ltd. 217,000 423,068 Shinsho Corp. 8,000 18,020 Shionogi & Co., Ltd. 26,400 462,750 Ship Healthcare Holdings, Inc. 6,800 231,897 Shiroki Corp. 13,000 24,948 Shiseido Co., Ltd. 20,400 364,464 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- JAPAN -- (Continued) Shizuoka Bank, Ltd. (The) 85,000 $ 812,175 Shizuoka Gas Co., Ltd. 16,500 99,285 SHO-BOND Holdings Co., Ltd. 2,100 94,648 Shochiku Co., Ltd. 9,000 74,481 Shoko Co., Ltd. 5,000 6,664 Showa Aircraft Industry Co., Ltd. 2,000 23,369 Showa Corp. 14,900 163,854 Showa Denko K.K. 365,000 486,346 Showa Sangyo Co., Ltd. 18,000 58,107 Showa Shell Sekiyu K.K. 43,000 436,210 Siix Corp. 4,500 66,079 Sinanen Co., Ltd. 10,000 37,968 Sinfonia Technology Co., Ltd. 20,000 30,765 Sinko Industries, Ltd. 1,900 18,063 Sintokogio, Ltd. 9,900 71,142 SKY Perfect JSAT Holdings, Inc. 39,000 209,708 SMC Corp. 900 214,250 SMK Corp. 14,000 52,228 SMS Co., Ltd. 2,100 44,750 Soda Nikka Co., Ltd. 3,000 12,866 Sodick Co., Ltd. 11,700 43,444 Softbank Corp. 25,496 1,898,891 Software Service, Inc. 100 3,547 Sogo Medical Co., Ltd. 1,300 53,780 Sojitz Corp. 294,700 464,689 Sony Corp. 48,500 851,446 Sony Corp. Sponsored ADR 52,202 920,843 Sony Financial Holdings, Inc. 16,500 264,580 Sotetsu Holdings, Inc. 48,000 171,546 Space Co., Ltd. 600 5,585 Square Enix Holdings Co., Ltd. 12,200 196,232 ST Corp. 1,500 14,543 St Marc Holdings Co., Ltd. 2,200 104,267 Stanley Electric Co., Ltd. 18,100 401,168 Star Micronics Co., Ltd. 8,400 103,706 Starbucks Coffee Japan, Ltd. 4,800 51,048 Start Today Co., Ltd. 6,000 125,739 Starts Corp., Inc. 3,000 37,941 Starzen Co., Ltd. 12,000 31,877 Stella Chemifa Corp. 2,500 31,725 Studio Alice Co., Ltd. 2,500 34,765 Sugi Holdings Co., Ltd. 3,300 148,432 Sumco Corp. 21,700 166,537 Sumida Corp. 2,700 16,283 Suminoe Textile Co., Ltd. 13,000 39,357 Sumitomo Bakelite Co., Ltd. 48,000 182,806 Sumitomo Chemical Co., Ltd. 251,355 942,994 Sumitomo Corp. 88,800 1,152,667 Sumitomo Densetsu Co., Ltd. 4,600 56,725 Sumitomo Electric Industries, Ltd. 59,800 827,702 Sumitomo Forestry Co., Ltd. 31,400 319,362 Sumitomo Heavy Industries, Ltd. 140,000 595,686 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- JAPAN -- (Continued) Sumitomo Metal Mining Co., Ltd. 77,000 $1,163,048 * Sumitomo Mitsui Construction Co., Ltd. 164,300 169,248 Sumitomo Mitsui Financial Group, Inc. 101,283 4,003,748 Sumitomo Mitsui Trust Holdings, Inc. 249,440 1,027,867 Sumitomo Osaka Cement Co., Ltd. 109,000 433,507 Sumitomo Precision Products Co., Ltd. 7,000 25,687 Sumitomo Real Estate Sales Co., Ltd. 2,200 65,988 Sumitomo Realty & Development Co., Ltd. 7,000 271,596 Sumitomo Rubber Industries, Ltd. 26,600 369,683 Sumitomo Seika Chemicals Co., Ltd. 14,000 88,078 Sumitomo Warehouse Co., Ltd. (The) 39,000 189,103 Sun Frontier Fudousan Co., Ltd. 6,100 61,083 Sun-Wa Technos Corp. 3,400 29,342 Sundrug Co., Ltd. 4,500 184,107 Suruga Bank, Ltd. 31,000 531,773 Suzuken Co., Ltd. 16,600 598,349 Suzuki Motor Corp. 28,200 727,562 * SWCC Showa Holdings Co., Ltd. 45,000 43,186 Sysmex Corp. 7,800 247,275 Systena Corp. 2,400 16,652 T Hasegawa Co., Ltd. 3,800 56,376 T RAD Co., Ltd. 14,000 36,557 T&D Holdings, Inc. 86,200 1,028,908 T&K Toka Co., Ltd. 2,200 45,631 T-Gaia Corp. 4,000 35,224 Tabuchi Electric Co., Ltd. 6,000 39,623 Tachi-S Co., Ltd. 7,300 114,193 Tachibana Eletech Co., Ltd. 2,600 34,700 Tadano, Ltd. 18,000 254,516 Taiheiyo Cement Corp. 119,000 417,439 Taiheiyo Kouhatsu, Inc. 10,000 9,294 Taiho Kogyo Co., Ltd. 6,900 65,241 Taikisha, Ltd. 5,600 121,166 Taiko Bank, Ltd. (The) 1,000 2,065 Taiko Pharmaceutical Co., Ltd. 1,400 20,387 Taisei Corp. 137,000 635,127 Taisei Lamick Co., Ltd. 1,100 26,802 Taiyo Holdings Co., Ltd. 2,400 72,539 Taiyo Nippon Sanso Corp. 54,000 430,421 Taiyo Yuden Co., Ltd. 32,300 399,371 Takagi Securities Co., Ltd. 6,000 14,438 Takaoka Toko Co., Ltd. 1,980 28,269 Takara Holdings, Inc. 32,000 244,994 Takara Leben Co., Ltd. 33,200 91,060 Takara Standard Co., Ltd. 21,000 149,996 Takasago International Corp. 15,000 73,329 Takasago Thermal Engineering Co., Ltd. 14,600 142,745 Takashima & Co., Ltd. 16,000 35,009 Takashimaya Co., Ltd. 60,000 568,452 Takata Corp. 8,000 188,496 Take And Give Needs Co., Ltd. 1,020 19,258 Takeda Pharmaceutical Co., Ltd. 15,700 706,188 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- JAPAN -- (Continued) Takeei Corp. 5,400 $ 52,861 Takeuchi Manufacturing Co., Ltd. 3,300 95,859 Takihyo Co., Ltd. 5,000 19,857 Takiron Co., Ltd. 10,000 40,551 Takisawa Machine Tool Co., Ltd. 14,000 19,609 Takuma Co., Ltd. 21,000 169,899 Tamron Co., Ltd. 3,700 92,549 Tamura Corp. 19,000 45,315 Tanseisha Co., Ltd. 5,200 19,706 Tatsuta Electric Wire and Cable Co., Ltd. 15,000 75,058 Tayca Corp. 5,000 13,759 TBK Co., Ltd. 7,000 34,222 TDK Corp. 11,700 498,905 TDK Corp. Sponsored ADR 7,012 298,992 Teijin, Ltd. 239,000 587,474 Teikoku Electric Manufacturing Co., Ltd. 1,300 37,033 Teikoku Tsushin Kogyo Co., Ltd. 2,000 3,291 # Tekken Corp. 24,000 70,238 Terumo Corp. 12,500 248,070 THK Co., Ltd. 19,200 405,821 Toa Corp.(6894508) 43,000 80,890 Toa Corp.(6894434) 6,000 60,393 Toa Oil Co., Ltd. 6,000 9,210 TOA ROAD Corp. 8,000 36,514 Toabo Corp. 9,000 6,170 Toagosei Co., Ltd. 57,000 238,515 * Tobishima Corp. 20,000 29,217 Tobu Railway Co., Ltd. 43,000 210,312 Tobu Store Co., Ltd. 10,000 25,718 TOC Co., Ltd. 16,400 111,553 Tocalo Co., Ltd. 2,800 43,775 Tochigi Bank, Ltd. (The) 25,000 97,456 Toda Corp. 53,000 185,743 Toda Kogyo Corp. 6,000 16,222 Toei Animation Co., Ltd. 1,900 49,638 Toei Co., Ltd. 20,000 111,969 Toenec Corp. 7,000 33,887 Toho Bank, Ltd. (The) 59,000 197,606 Toho Co., Ltd.(6895200) 5,200 100,112 Toho Co., Ltd.(6895211) 6,000 21,596 Toho Gas Co., Ltd. 44,000 215,888 Toho Holdings Co., Ltd. 12,100 243,915 * Toho Titanium Co., Ltd. 8,100 50,532 Toho Zinc Co., Ltd. 30,000 95,450 Tohoku Bank, Ltd. (The) 19,000 27,162 Tohoku Electric Power Co., Inc. 19,900 189,384 Tokai Carbon Co., Ltd. 61,000 195,704 Tokai Corp/Gifu 1,300 33,049 TOKAI Holdings Corp. 15,600 54,083 Tokai Lease Co., Ltd. 2,000 3,585 Tokai Rika Co., Ltd. 14,600 253,736 Tokai Rubber Industries, Ltd. 10,200 105,506 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- JAPAN -- (Continued) Token Corp. 2,220 $ 98,547 Tokio Marine Holdings, Inc. 51,500 1,517,495 Tokio Marine Holdings, Inc. ADR 1,000 29,460 Toko, Inc. 1,000 2,909 Tokushu Tokai Paper Co., Ltd. 22,000 48,501 Tokuyama Corp. 94,000 272,617 Tokyo Derica Co., Ltd. 1,700 24,753 Tokyo Dome Corp. 53,000 237,352 * Tokyo Electric Power Co., Inc. 61,688 233,319 Tokyo Electron, Ltd. 17,400 989,639 Tokyo Energy & Systems, Inc. 6,000 31,285 Tokyo Gas Co., Ltd. 39,000 204,337 Tokyo Keiki, Inc. 12,000 33,549 Tokyo Rakutenchi Co., Ltd. 7,000 32,190 * Tokyo Rope Manufacturing Co., Ltd. 27,000 39,419 Tokyo Sangyo Co., Ltd. 4,000 15,713 Tokyo Seimitsu Co., Ltd. 8,100 136,500 Tokyo Steel Manufacturing Co., Ltd. 27,700 135,429 Tokyo Tatemono Co., Ltd. 63,000 502,412 Tokyo Tekko Co., Ltd. 12,000 45,071 Tokyo Theatres Co., Inc. 21,000 28,578 Tokyo Tomin Bank, Ltd. (The) 7,826 81,195 # Tokyotokeiba Co., Ltd. 31,000 82,293 Tokyu Construction Co., Ltd. 30,830 136,507 Tokyu Corp. 43,000 270,824 Tokyu Fudosan Holdings Corp. 104,925 762,800 Toli Corp. 17,000 32,811 Tomato Bank, Ltd. 11,000 18,179 Tomen Devices Corp. 100 1,661 Tomen Electronics Corp. 1,700 27,240 Tomoe Corp. 9,500 41,157 Tomoe Engineering Co., Ltd. 2,100 33,122 Tomoku Co., Ltd. 21,000 56,403 TOMONY Holdings, Inc. 42,800 181,994 Tomy Co., Ltd. 19,300 91,585 Tonami Holdings Co., Ltd. 16,000 29,147 TonenGeneral Sekiyu K.K. 14,000 132,242 Topcon Corp. 12,700 221,484 Toppan Forms Co., Ltd. 14,500 133,230 Toppan Printing Co., Ltd. 80,000 549,428 Topre Corp. 9,700 98,153 Topy Industries, Ltd. 43,000 72,810 Toray Industries, Inc. 145,000 946,381 Toridoll.corp 4,800 47,460 Torishima Pump Manufacturing Co., Ltd. 9,100 111,580 Tosei Corp. 9,800 59,291 Toshiba Corp. 154,000 603,197 Toshiba Machine Co., Ltd. 21,000 94,314 Toshiba Plant Systems & Services Corp. 9,000 132,414 Toshiba TEC Corp. 40,000 260,586 Tosho Printing Co., Ltd. 11,000 42,188 Tosoh Corp. 126,000 480,804 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- JAPAN -- (Continued) Totetsu Kogyo Co., Ltd. 6,000 $ 121,830 TOTO, Ltd. 25,000 353,634 Tottori Bank, Ltd. (The) 13,000 23,142 Towa Bank, Ltd. (The) 66,000 62,685 Towa Corp. 4,000 20,323 Towa Pharmaceutical Co., Ltd. 3,100 132,448 Toyo Construction Co., Ltd. 18,700 66,285 Toyo Denki Seizo - Toyo Electric Manufacturing Co., Ltd. 8,000 28,789 Toyo Engineering Corp. 22,000 97,074 Toyo Ink SC Holdings Co., Ltd. 59,000 240,682 Toyo Kanetsu K.K. 27,000 64,272 Toyo Kohan Co., Ltd. 9,000 43,594 Toyo Securities Co., Ltd. 21,000 57,851 Toyo Seikan Group Holdings, Ltd. 30,300 450,618 Toyo Suisan Kaisha, Ltd. 9,000 288,281 Toyo Tanso Co., Ltd. 2,500 60,190 Toyo Tire & Rubber Co., Ltd. 43,000 320,645 Toyo Wharf & Warehouse Co., Ltd. 10,000 20,049 Toyobo Co., Ltd. 232,000 374,646 Toyoda Gosei Co., Ltd. 17,700 326,137 Toyota Boshoku Corp. 14,000 144,723 Toyota Motor Corp. 91,655 4,951,950 Toyota Motor Corp. Sponsored ADR 50,053 5,426,746 Toyota Tsusho Corp. 28,200 742,766 TPR Co., Ltd. 5,700 84,100 Trancom Co., Ltd. 2,000 70,328 Transcosmos, Inc. 5,800 108,131 Trend Micro, Inc. 6,100 197,317 Trusco Nakayama Corp. 6,100 137,476 TS Tech Co., Ltd. 12,700 338,707 Tsubakimoto Chain Co. 43,000 306,885 #* Tsudakoma Corp. 12,000 15,944 Tsugami Corp. 15,000 85,226 Tsukishima Kikai Co., Ltd. 6,000 63,852 Tsukuba Bank, Ltd. 21,400 77,218 Tsukui Corp. 5,100 57,265 Tsumura & Co. 11,000 261,459 Tsuruha Holdings, Inc. 2,500 251,616 Tsurumi Manufacturing Co., Ltd. 4,000 48,858 UACJ Corp. 51,908 205,327 Ube Industries, Ltd. 259,200 439,141 Uchida Yoko Co., Ltd. 8,000 22,372 UKC Holdings Corp. 2,700 43,439 * Ulvac, Inc. 14,100 267,225 Unicharm Corp. 1,800 97,610 * Uniden Corp. 12,000 27,828 Union Tool Co. 3,600 84,394 Unipres Corp. 10,900 210,600 United Arrows, Ltd. 3,800 146,976 * Unitika, Ltd. 143,000 81,122 * Universal Entertainment Corp. 4,600 81,755 UNY Group Holdings Co., Ltd. 64,000 413,028 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- JAPAN -- (Continued) * Usen Corp. 18,570 $ 68,516 Ushio, Inc. 26,400 344,827 USS Co., Ltd. 12,400 180,744 UT Holdings Co., Ltd. 5,700 34,673 Utoc Corp. 2,600 9,058 Valor Co., Ltd. 9,800 127,018 Vital KSK Holdings, Inc. 7,300 51,691 VT Holdings Co., Ltd. 9,600 55,037 Wacoal Holdings Corp. 29,000 286,063 Wacom Co., Ltd. 30,900 202,082 Wakachiku Construction Co., Ltd. 18,000 27,470 Wakita & Co., Ltd. 8,000 90,804 Warabeya Nichiyo Co., Ltd. 3,200 59,742 WATAMI Co., Ltd. 5,400 78,644 Weathernews, Inc. 1,800 47,223 Welcia Holdings Co., Ltd. 2,000 120,986 Wellnet Corp. 600 9,595 West Holdings Corp. 2,400 32,308 West Japan Railway Co. 6,400 259,539 Wood One Co., Ltd. 7,000 19,590 Wowow, Inc. 1,700 57,117 Xebio Co., Ltd. 5,500 101,718 Yachiyo Bank, Ltd. (The) 3,500 94,610 Yahagi Construction Co., Ltd. 5,000 49,124 Yahoo Japan Corp. 22,000 96,107 Yaizu Suisankagaku Industry Co., Ltd. 500 4,667 Yakult Honsha Co., Ltd. 1,900 102,695 YAMABIKO Corp. 1,100 40,962 # Yamada Denki Co., Ltd. 145,200 536,437 #* Yamada SxL Home Co., Ltd. 4,000 4,502 Yamagata Bank, Ltd. (The) 43,000 184,049 Yamaguchi Financial Group, Inc. 50,000 461,090 Yamaha Corp. 36,400 487,711 Yamaha Motor Co., Ltd. 27,900 430,687 Yamanashi Chuo Bank, Ltd. (The) 39,000 168,984 Yamatane Corp. 21,000 30,941 Yamato Holdings Co., Ltd. 29,700 611,172 Yamato Kogyo Co., Ltd. 8,700 250,892 Yamaya Corp. 400 7,306 Yamazaki Baking Co., Ltd. 26,000 317,676 Yamazen Corp. 13,000 83,984 Yaoko Co., Ltd. 1,900 86,126 Yaskawa Electric Corp. 19,000 214,238 Yasuda Warehouse Co., Ltd. (The) 4,900 50,684 Yellow Hat, Ltd. 3,300 63,267 Yokogawa Bridge Holdings Corp. 7,000 92,821 Yokogawa Electric Corp. 24,900 340,427 Yokohama Reito Co., Ltd. 14,100 114,137 Yokohama Rubber Co., Ltd. (The) 47,000 419,805 Yokowo Co., Ltd. 3,300 16,419 Yomiuri Land Co., Ltd. 11,000 42,485 Yondoshi Holdings, Inc. 3,500 62,318 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ------------ JAPAN -- (Continued) Yorozu Corp. 4,600 $ 85,981 Yoshinoya Holdings Co., Ltd. 6,400 81,050 Yuasa Trading Co., Ltd. 40,000 76,109 Yuken Kogyo Co., Ltd. 9,000 18,389 Yumeshin Holdings Co., Ltd. 2,500 21,458 Yurtec Corp. 7,000 32,671 Yusen Logistics Co., Ltd. 5,100 58,733 Yushiro Chemical Industry Co., Ltd. 1,900 19,163 Zenrin Co., Ltd. 5,000 51,000 Zensho Holdings Co., Ltd. 16,400 165,790 Zeon Corp. 46,000 427,724 ZERIA Pharmaceutical Co., Ltd. 4,000 83,863 Zuiko Corp. 500 27,841 ------------ TOTAL JAPAN 289,938,713 ------------ MALAYSIA -- (0.8%) Aeon Co. M Bhd 30,000 135,324 Affin Holdings Bhd 84,300 97,483 AirAsia Bhd 284,100 193,303 Alam Maritim Resources Bhd 106,700 48,472 Alliance Financial Group Bhd 229,200 314,809 AMMB Holdings Bhd 185,200 407,613 APM Automotive Holdings Bhd 47,200 87,673 Astro Malaysia Holdings Bhd 6,900 7,042 Axiata Group Bhd 136,425 281,381 Batu Kawan Bhd 27,600 165,552 Benalec Holdings Bhd 48,100 13,272 Berjaya Corp. Bhd 481,300 73,757 Berjaya Land Bhd 76,000 19,326 Berjaya Sports Toto Bhd 54,570 65,015 BIMB Holdings Bhd 71,100 92,686 Boustead Holdings Bhd 112,704 191,623 British American Tobacco Malaysia Bhd 3,400 63,762 * Bumi Armada Bhd 142,800 175,135 Bursa Malaysia Bhd 38,400 89,310 Cahya Mata Sarawak Bhd 44,700 130,757 Carlsberg Brewery Malaysia Bhd Class B 13,700 52,734 CB Industrial Product Holding Bhd 51,400 74,060 CIMB Group Holdings Bhd 275,728 635,164 Coastal Contracts Bhd 42,800 65,709 CSC Steel Holdings Bhd 47,300 19,422 Cypark Resources Bhd 22,100 19,642 Dayang Enterprise Holdings Bhd 54,439 61,913 Dialog Group Bhd 193,779 213,391 DiGi.Com Bhd 61,000 103,655 DKSH Holdings Malaysia Bhd 22,800 56,533 DRB-Hicom Bhd 258,300 197,909 Dutch Lady Milk Industries Bhd 2,400 34,120 Eastern & Oriental Bhd 194,500 141,431 Eversendai Corp. Bhd 46,800 15,912 Faber Group Bhd 98,900 90,166 Gamuda Bhd 277,000 391,544 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- MALAYSIA -- (Continued) Genting Bhd 132,500 $398,258 Genting Malaysia Bhd 376,500 486,986 Genting Plantations Bhd 47,900 162,976 Globetronics Technology Bhd 28,100 31,045 Glomac Bhd 86,600 29,194 Guinness Anchor Bhd 23,000 101,519 HAP Seng Consolidated Bhd 242,580 235,546 Hap Seng Plantations Holdings Bhd 77,600 66,669 Hartalega Holdings Bhd 32,000 62,161 Hong Leong Bank Bhd 38,280 164,234 Hong Leong Financial Group Bhd 41,700 195,628 Hong Leong Industries Bhd 31,400 63,854 Hua Yang Bhd 4,800 2,751 IGB Corp. Bhd 196,794 166,868 IJM Corp. Bhd 287,860 563,252 IJM Land Bhd 143,000 132,325 IJM Plantations Bhd 80,200 86,988 Insas Bhd 128,000 47,545 IOI Corp. Bhd 81,326 124,442 * IOI Properties Group Bhd 25,012 20,564 Iris Corp. Bhd 271,500 38,328 Kian JOO CAN Factory Bhd 56,700 59,253 * Kinsteel Bhd 144,000 7,971 KLCC Property Holdings Bhd 52,600 107,184 * KNM Group Bhd 240,325 61,226 Kossan Rubber Industries 48,600 61,033 KPJ Healthcare Bhd 60,450 59,988 * KSL Holdings Bhd 26,100 17,189 Kuala Lumpur Kepong Bhd 27,100 200,992 * Kulim Malaysia Bhd 119,700 129,519 Kumpulan Perangsang Selangor Bhd 43,300 20,178 Lafarge Malaysia Bhd 44,800 124,845 * Landmarks Bhd 74,700 25,461 LBS Bina Group Bhd 88,200 48,139 Lingkaran Trans Kota Holdings Bhd 39,000 46,544 Lion Industries Corp. Bhd 118,500 23,809 LPI Capital Bhd 8,480 44,168 Mah Sing Group Bhd 197,048 136,558 Malayan Banking Bhd 267,497 811,988 Malayan Flour Mills Bhd 9,500 4,601 Malaysia Airports Holdings Bhd 85,625 211,229 Malaysia Building Society Bhd 91,950 63,693 Malaysia Marine and Heavy Engineering Holdings Bhd 31,800 38,547 * Malaysian Airline System Bhd 877,500 62,059 Malaysian Bulk Carriers Bhd 61,200 35,667 Malaysian Pacific Industries Bhd 14,375 18,434 Malaysian Resources Corp. Bhd 349,350 168,134 # Maxis Bhd 21,200 45,146 MBM Resources Bhd 42,310 41,782 Media Prima Bhd 143,900 109,748 * MISC Bhd 47,380 94,661 MKH Bhd 27,900 37,438 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- MALAYSIA -- (Continued) MMC Corp. Bhd 195,100 $167,265 MNRB Holdings Bhd 9,100 10,578 Mudajaya Group Bhd 54,900 43,577 Muhibbah Engineering M Bhd 115,700 102,975 * Mulpha International Bhd 518,800 68,479 My EG Services Bhd 35,900 30,341 Naim Holdings Bhd 48,600 59,497 Nestle Malaysia Bhd 5,100 107,068 OSK Holdings Bhd 178,863 90,963 Padini Holdings Bhd 112,900 69,233 Parkson Holdings Bhd 124,639 112,183 * Perdana Petroleum Bhd 74,760 43,311 * Perisai Petroleum Teknologi Bhd 109,200 52,566 Petronas Chemicals Group Bhd 61,400 126,658 Petronas Dagangan Bhd 17,100 158,904 Petronas Gas Bhd 25,100 180,820 Pharmaniaga Bhd 6,900 9,931 Pos Malaysia Bhd 93,000 128,353 PPB Group Bhd 59,840 302,001 Press Metal Bhd 15,200 16,187 Prestariang Bhd 37,600 23,302 Public Bank Bhd 12,400 76,547 QL Resources Bhd 84,050 80,657 RCE Capital Bhd 430,500 40,961 RHB Capital Bhd 103,709 263,511 Salcon Bhd 181,700 41,215 * Sapurakencana Petroleum Bhd 195,143 257,969 Sarawak Oil Palms Bhd 31,000 61,849 Scientex Bhd 5,900 10,486 * Scomi Energy Services Bhd 144,900 42,967 * Scomi Group Bhd 335,900 43,871 Selangor Properties Bhd 24,800 40,282 * Shell Refining Co. Federation of Malaya Bhd 25,800 47,298 Sime Darby Bhd 71,219 206,021 SP Setia Bhd 19,400 17,931 Star Publications Malaysia Bhd 50,500 40,000 Sunway Bhd 219,800 209,148 Supermax Corp. Bhd 125,800 94,366 Syarikat Takaful Malaysia Bhd 1,200 4,626 Ta Ann Holdings Bhd 40,781 52,472 TA Enterprise Bhd 253,700 63,004 TA Global Bhd 152,220 14,455 Tambun Indah Land Bhd 15,700 9,574 TAN Chong Motor Holdings Bhd 100,000 174,425 TDM Bhd 124,400 36,990 * Tebrau Teguh Bhd 91,000 37,975 Telekom Malaysia Bhd 96,800 183,947 Tenaga Nasional Bhd 46,850 170,780 * TH Heavy Engineering Bhd 191,000 52,750 TH Plantations Bhd 2,640 1,641 Top Glove Corp. Bhd 104,800 154,259 Tropicana Corp. Bhd 2,700 1,274 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- MALAYSIA -- (Continued) TSH Resources Bhd 109,400 $ 112,266 UEM Sunrise Bhd 329,458 232,624 UMW Holdings Bhd 92,300 304,502 Unisem M Bhd 147,200 53,278 United Plantations Bhd 11,300 87,501 UOA Development Bhd 13,900 10,013 Uzma Bhd 5,500 10,309 Wah Seong Corp. Bhd 53,261 32,132 WCT Holdings Bhd 223,210 153,977 WTK Holdings Bhd 72,500 29,591 YNH Property Bhd 99,848 60,299 YTL Corp. Bhd 1,060,583 523,220 * YTL Power International Bhd 196,350 94,485 Zhulian Corp. Bhd 45,600 40,538 ----------- TOTAL MALAYSIA 17,107,095 ----------- MEXICO -- (1.1%) Alfa S.A.B. de C.V. Class A 588,810 1,555,428 Alpek S.A. de C.V. 5,900 10,147 Alsea S.A.B. de C.V. 102,947 356,069 America Movil S.A.B. de C.V. Series L 441,714 445,335 America Movil S.A.B. de C.V. Series L ADR 23,684 475,575 Arca Continental S.A.B. de C.V. 136,212 866,243 * Axtel S.A.B. de C.V. 260,900 86,749 Banregio Grupo Financiero S.A.B. de C.V. 8,124 47,063 Bolsa Mexicana de Valores S.A.B. de C.V. 78,971 162,074 #* Cemex S.A.B. de C.V. 1,866,721 2,371,436 Coca-Cola Femsa S.A.B. de C.V. Sponsored ADR 2,300 257,508 Compartamos S.A.B. de C.V. 106,000 184,894 * Consorcio ARA S.A.B. de C.V. Series * 204,900 90,212 Controladora Comercial Mexicana S.A.B. de C.V. 116,084 434,691 * Corp. GEO S.A.B. de C.V. Series B 105,000 1,575 Corp. Inmobiliaria Vesta S.A.B. de C.V. 7,050 14,334 Corp. Moctezuma S.A.B. de C.V. Series * 73,800 225,641 El Puerto de Liverpool S.A.B. de C.V. 10,156 104,791 * Empresas ICA S.A.B. de C.V. 84,759 151,731 * Empresas ICA S.A.B. de C.V. Sponsored ADR 16,200 116,802 * Financiera Independencia S.A.B. de C.V. 32,800 12,937 Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR 21,098 1,915,065 #* Genomma Lab Internacional S.A.B. de C.V. Class B 140,343 356,469 * Gruma S.A.B. de C.V. Class B 70,384 622,455 * Gruma S.A.B. de C.V. Sponsored ADR 500 17,610 Grupo Aeroportuario del Centro Norte S.A.B. de C.V. 34,200 125,321 Grupo Aeroportuario del Pacifico S.A.B. de C.V. ADR 9,537 575,081 Grupo Aeroportuario del Sureste S.A.B. de C.V. ADR 5,100 623,475 Grupo Aeroportuario del Sureste S.A.B. de C.V. Class B 2,400 29,372 Grupo Bimbo S.A.B. de C.V. Series A 157,200 433,531 Grupo Carso S.A.B. de C.V. Series A1 97,100 494,750 Grupo Cementos de Chihuahua S.A.B. de C.V. 1,100 3,278 # Grupo Comercial Chedraui S.A. de C.V. 50,411 154,862 * Grupo Famsa S.A.B. de C.V. Class A 51,200 70,053 Grupo Financiero Banorte S.A.B. de C.V. 220,386 1,463,709 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ----------- MEXICO -- (Continued) Grupo Financiero Inbursa S.A.B. de C.V. 219,640 $ 562,583 Grupo Financiero Santander Mexico S.A.B. de C.V. Class B 76,094 181,761 Grupo Herdez S.A.B. de C.V. Series * 44,800 133,927 Grupo Lamosa S.A.B. de C.V. 34,239 70,191 Grupo Mexico S.A.B. de C.V. Series B 355,138 1,069,533 * Grupo Pochteca S.A.B. de C.V. 3,616 4,505 * Grupo Simec S.A.B. de C.V. Series B 23,900 90,008 * Grupo Simec S.A.B. de C.V. Sponsored ADR 1,049 12,210 Grupo Televisa S.A.B. Series CPO 143,094 937,572 Grupo Televisa S.A.B. Sponsored ADR 23,672 776,678 * Impulsora del Desarrollo y El Empleo en America Latina S.A.B. de C.V. 126,300 290,680 #* Industrias CH S.A.B. de C.V. Series B 40,800 216,432 Industrias Penoles S.A.B. de C.V. 5,130 119,436 * Inmuebles Carso S.A.B. de C.V. 86,291 89,967 Kimberly-Clark de Mexico S.A.B. de C.V. Class A 168,512 439,739 Megacable Holdings S.A.B. de C.V. 34,300 135,624 Mexichem S.A.B. de C.V. 163,737 610,130 * Minera Frisco S.A.B. de C.V. 70,600 129,082 * Organizacion Soriana S.A.B. de C.V. Class B 175,027 507,177 * Promotora y Operadora de Infraestructura S.A.B. de C.V. 27,519 384,302 Qualitas Controladora S.A.B. de C.V. 36,600 106,448 TV Azteca S.A.B. de C.V. 261,900 143,134 * Urbi Desarrollos Urbanos S.A.B. de C.V. 84,222 34 Wal-Mart de Mexico S.A.B. de C.V. Series V 155,904 394,445 ----------- TOTAL MEXICO 22,261,864 ----------- NETHERLANDS -- (2.1%) Aalberts Industries NV 22,273 741,953 Accell Group 4,405 87,543 Aegon NV(5927375) 168,021 1,540,149 Aegon NV(007924103) 78,384 722,701 * AFC Ajax NV 546 6,969 Akzo Nobel NV 30,253 2,331,359 Akzo Nobel NV Sponsored ADR 1,500 38,355 * AMG Advanced Metallurgical Group NV 5,989 60,242 Amsterdam Commodities NV 3,713 92,282 * APERAM 13,939 362,673 Arcadis NV 14,547 517,031 ArcelorMittal(B295F26) 125,783 2,043,974 ArcelorMittal(B03XPL1) 14,754 239,918 ASM International NV 9,809 429,275 ASML Holding NV 9,664 786,512 BE Semiconductor Industries NV 8,284 141,360 Beter Bed Holding NV 2,192 51,804 BinckBank NV 18,266 206,386 Brunel International NV 1,779 120,512 Corbion NV 9,443 219,008 Delta Lloyd NV 53,236 1,401,063 Exact Holding NV 1,884 66,444 Fugro NV 16,532 1,095,487 * Galapagos NV 6,113 132,302 # Gemalto NV 9,713 1,085,967 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ----------- NETHERLANDS -- (Continued) * Grontmij 11,563 $ 61,871 Heijmans NV 7,697 138,084 Heineken NV 6,853 475,992 Hunter Douglas NV 788 39,577 * ING Groep NV 35,589 508,740 * ING Groep NV Sponsored ADR 263,004 3,760,957 KAS Bank NV 3,541 52,315 Kendrion NV 1,972 67,169 Koninklijke Ahold NV 121,038 2,339,903 Koninklijke Ahold NV Sponsored ADR 369 7,123 Koninklijke BAM Groep NV 66,852 362,486 Koninklijke Boskalis Westminster NV 18,614 1,054,980 Koninklijke DSM NV 23,232 1,668,238 * Koninklijke KPN NV 513,436 1,824,170 Koninklijke Philips NV(5986622) 66,468 2,127,850 Koninklijke Philips NV(500472303) 70,516 2,253,691 Koninklijke Ten Cate NV 8,211 244,639 Koninklijke Vopak NV 10,662 531,619 Koninklijke Wessanen NV 21,473 126,864 * Macintosh Retail Group NV 861 9,357 Nederland Apparatenfabriek 514 22,849 Nutreco NV 15,351 714,637 * Ordina NV 31,120 89,969 * PostNL NV 89,555 393,624 Randstad Holding NV 23,595 1,378,884 Reed Elsevier NV 30,000 612,325 Reed Elsevier NV Sponsored ADR 4,200 176,568 #* Royal Imtech NV 25,220 49,170 * SBM Offshore NV 44,105 807,311 Sligro Food Group NV 3,537 148,036 * SNS Reaal NV 38,309 -- Telegraaf Media Groep NV 4,962 46,610 TKH Group NV 9,665 336,835 TNT Express NV 90,904 819,185 * TomTom NV 29,467 208,939 Unilever NV(904784709) 22,345 956,813 Unilever NV(B12T3J1) 13,702 587,557 USG People NV 19,791 342,413 Wolters Kluwer NV 40,505 1,129,113 # Ziggo NV 11,269 489,332 ----------- TOTAL NETHERLANDS 41,487,064 ----------- NEW ZEALAND -- (0.2%) * a2 Milk Co., Ltd. 18,321 12,824 Air New Zealand, Ltd. 103,799 188,091 Auckland International Airport, Ltd. 226,161 774,583 * Bathurst Resources, Ltd. 47,311 2,736 Chorus, Ltd. 30,341 46,358 Chorus, Ltd. ADR 2,187 16,337 Contact Energy, Ltd. 77,371 380,043 * Diligent Board Member Services, Inc. 2,839 11,148 Ebos Group, Ltd. 2,762 22,390 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- NEW ZEALAND -- (Continued) Fisher & Paykel Healthcare Corp., Ltd. 52,968 $ 186,708 Fletcher Building, Ltd.(6341606) 68,043 578,592 Fletcher Building, Ltd.(6341617) 12,299 104,017 Freightways, Ltd. 8,295 35,786 Hallenstein Glasson Holdings, Ltd. 609 1,824 Infratil, Ltd. 73,154 145,186 Kathmandu Holdings, Ltd. 9,448 29,709 Mainfreight, Ltd. 14,201 164,116 Metlifecare, Ltd. 3,194 11,337 New Zealand Oil & Gas, Ltd. 63,818 42,679 New Zealand Refining Co., Ltd. (The) 1,518 2,460 Nuplex Industries, Ltd. 37,267 112,616 NZX, Ltd. 14,855 16,045 PGG Wrightson, Ltd. 8,757 3,067 Port of Tauranga, Ltd. 16,991 210,993 Restaurant Brands New Zealand, Ltd. 7,686 20,885 Ryman Healthcare, Ltd. 48,303 360,830 Sanford, Ltd. 12,229 43,999 Sky Network Television, Ltd. 36,345 209,775 SKYCITY Entertainment Group, Ltd. 84,443 308,351 Telecom Corp. of New Zealand, Ltd. 142,981 341,576 Tower, Ltd. 34,208 47,875 Trade Me Group, Ltd. 3,087 10,534 TrustPower, Ltd. 13,045 75,353 Vector, Ltd. 28,655 63,346 Warehouse Group, Ltd. (The) 19,445 56,877 * Xero, Ltd. 673 18,516 ---------- TOTAL NEW ZEALAND 4,657,562 ---------- NORWAY -- (0.8%) ABG Sundal Collier Holding ASA 85,601 79,453 * Agasti Holding ASA 94,082 21,043 # Aker ASA Class A 5,345 181,049 Aker Solutions ASA 13,798 221,078 * American Shipping ASA 1,649 12,419 * Archer, Ltd. 76,555 104,420 # Atea ASA 11,808 135,723 Austevoll Seafood ASA 25,809 167,182 Bakkafrost P/F 1,985 31,085 Bonheur ASA 2,286 44,448 BW Offshore, Ltd. 101,935 133,307 * BWG Homes ASA 13,773 27,131 Cermaq ASA 11,307 133,647 * Deep Sea Supply P.L.C. 23,563 35,150 #* Det Norske Oljeselskap ASA 4,455 48,718 # DNB ASA 77,190 1,368,233 * DNO International ASA 107,000 371,610 * DOF ASA 10,562 48,582 * Dolphin Group A.S. 13,257 12,926 Ekornes ASA 3,811 60,302 * Electromagnetic GeoServices A.S. 12,748 15,264 # Eltek ASA 90,615 124,340 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- NORWAY -- (Continued) Evry ASA 1,921 $ 3,320 Farstad Shipping ASA 1,296 26,697 Fred Olsen Energy ASA 3,872 123,512 #* Frontline, Ltd. 23,196 75,704 Ganger Rolf ASA 2,992 55,885 # Gjensidige Forsikring ASA 16,151 298,061 Golar LNG, Ltd. 3,007 132,909 Golden Ocean Group, Ltd. 57,922 102,718 * Grieg Seafood ASA 4,605 18,782 Hexagon Composites ASA 6,549 40,656 * Hoegh LNG Holdings, Ltd. 3,672 35,864 * Hurtigruten ASA 56,344 41,661 * Kongsberg Automotive Holding ASA 118,714 119,344 # Kongsberg Gruppen A.S. 2,160 50,703 Kvaerner ASA 42,055 84,239 Leroy Seafood Group ASA 3,689 130,657 Marine Harvest ASA 48,781 598,294 #* Nordic Semiconductor ASA 18,887 105,965 Norsk Hydro ASA 128,798 690,768 Norsk Hydro ASA Sponsored ADR 800 4,304 * Norske Skogindustrier ASA 49,653 37,645 Northern Offshore, Ltd. 17,133 26,397 #* Norwegian Air Shuttle A.S. 5,579 222,109 #* Norwegian Energy Co. ASA 210,708 6,029 * Odfjell SE Class A 2,716 13,577 Opera Software ASA 7,998 103,382 # Orkla ASA 78,567 649,795 * Panoro Energy ASA 83,120 46,467 Petroleum Geo-Services ASA 62,041 749,064 * PhotoCure ASA 1,301 5,508 Prosafe SE 23,074 203,373 * Q-Free ASA 7,768 19,267 #* REC Silicon ASA 403,112 225,478 * REC Solar ASA 5,399 81,537 * Salmar ASA 1,610 23,305 # Schibsted ASA 3,700 212,900 Seadrill, Ltd. 11,860 414,990 #* Sevan Drilling A.S. 53,462 28,299 * Sevan Marine ASA 7,182 28,768 * Siem Offshore, Inc. 52,788 79,900 Solstad Offshore ASA 465 8,561 * Songa Offshore 71,183 29,274 SpareBank 1 SMN 19,156 170,121 # SpareBank 1 SR Bank ASA 18,148 176,019 Statoil ASA 35,341 1,077,384 Statoil ASA Sponsored ADR 50,912 1,551,289 Stolt-Nielsen, Ltd. 4,090 110,583 * Storebrand ASA 94,746 531,844 Subsea 7 SA 40,253 806,036 Telenor ASA 17,451 410,046 # TGS Nopec Geophysical Co. ASA 5,657 195,135 # Tomra Systems ASA 19,927 185,418 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- NORWAY -- (Continued) TTS Group ASA 1,076 $ 1,178 Veidekke ASA 8,986 96,407 Wilh Wilhelmsen ASA 13,121 127,001 # Wilh Wilhelmsen Holding ASA Class A 3,396 107,745 # Yara International ASA 17,535 828,905 ----------- TOTAL NORWAY 15,707,889 ----------- PERU -- (0.0%) Cia de Minas Buenaventura SAA ADR 1,800 23,400 Credicorp, Ltd. 3,175 473,869 ----------- TOTAL PERU 497,269 ----------- PHILIPPINES -- (0.3%) Aboitiz Equity Ventures, Inc. 96,000 122,124 Aboitiz Power Corp. 248,200 203,201 Alliance Global Group, Inc. 717,600 502,579 Atlas Consolidated Mining & Development 82,100 27,357 Ayala Corp. 14,200 199,198 Ayala Land, Inc. 354,100 239,963 Bank of the Philippine Islands 165,365 337,089 BDO Unibank, Inc. 208,945 414,676 * Belle Corp. 565,000 75,881 Cebu Air, Inc. 39,000 45,932 Century Properties Group, Inc. 605,000 20,156 China Banking Corp. 74,877 92,623 DMCI Holdings, Inc. 172,530 278,422 EEI Corp. 32,000 8,548 * Empire East Land Holdings, Inc. 1,000,000 22,462 Energy Development Corp. 1,370,600 172,044 Filinvest Land, Inc. 2,923,000 104,588 First Gen Corp. 170,000 72,473 First Philippine Holdings Corp. 75,400 120,094 * Global-Estate Resorts, Inc. 202,000 8,949 Globe Telecom, Inc. 5,830 216,762 International Container Terminal Services, Inc. 91,130 221,430 JG Summit Holdings, Inc. 12,100 13,736 Jollibee Foods Corp. 30,800 118,960 Lafarge Republic, Inc. 270,509 61,083 * Lepanto Consolidated Mining Co. 269,000 2,484 Lopez Holdings Corp. 511,000 52,282 Manila Electric Co. 11,290 71,132 Manila Water Co., Inc. 100,000 59,858 Megaworld Corp. 3,054,000 319,755 Metro Pacific Investments Corp. 1,038,000 118,429 Metropolitan Bank & Trust Co. 240,597 458,217 Pepsi-Cola Products Philippines, Inc. 129,700 14,566 Philippine Long Distance Telephone Co. Sponsored ADR 1,000 64,500 * Philippine National Bank 89,495 175,250 Philippine Stock Exchange, Inc. (The) 312 2,077 Philweb Corp. 57,200 6,557 RFM Corp. 196,000 28,606 Rizal Commercial Banking Corp. 81,200 87,511 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- PHILIPPINES -- (Continued) Robinsons Land Corp. 386,900 $ 194,156 San Miguel Corp. 56,330 105,591 Security Bank Corp. 103,824 279,765 Semirara Mining Corp. 15,960 147,301 SM Investments Corp. 10,050 163,828 SM Prime Holdings, Inc. 606,126 222,511 * Top Frontier Investment Holdings, Inc. 3,465 7,273 Union Bank Of Philippines, Inc. 42,900 122,518 Universal Robina Corp. 160,890 528,324 Vista Land & Lifescapes, Inc. 802,800 108,734 ---------- TOTAL PHILIPPINES 7,041,555 ---------- POLAND -- (0.4%) * Agora SA 9,107 31,300 * AmRest Holdings SE 2,020 54,600 Asseco Poland SA 12,917 192,338 Bank Handlowy w Warszawie SA 6,525 242,804 * Bank Millennium SA 101,959 299,533 Bank Pekao SA 5,415 347,537 * Bioton SA 9,806 22,192 * Boryszew SA 21,466 31,264 Budimex SA 1,885 87,655 CCC SA 1,963 82,489 * CD Projekt SA 4,949 24,526 * Ciech SA 10,050 107,673 * Cyfrowy Polsat SA 7,701 52,335 * Echo Investment SA 73,042 144,639 Emperia Holding SA 2,574 57,016 Eurocash SA 12,021 158,963 * Famur SA 6,474 9,394 * Farmacol SA 2,588 43,210 Getin Holding SA 67,301 70,949 * Getin Noble Bank SA 192,131 233,848 * Global City Holdings NV 36 417 Grupa Azoty SA 3,245 64,357 Grupa Kety SA 1,179 84,923 * Grupa Lotos SA 18,333 236,416 * Impexmetal SA 16,373 13,976 * ING Bank Slaski SA 3,600 161,619 * Inter Cars SA 1,521 94,913 Jastrzebska Spolka Weglowa SA 4,685 64,501 * Kernel Holding SA 11,292 104,945 * KGHM Polska Miedz SA 12,051 436,342 Kopex SA 7,393 31,671 * LC Corp. SA 51,834 33,260 LPP SA 62 160,639 Lubelski Wegiel Bogdanka SA 4,305 176,224 mBank 1,468 240,220 * Netia SA 76,189 136,243 Orange Polska SA 78,041 266,651 Orbis SA 4,643 60,124 Pelion SA 1,918 48,812 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ---------- POLAND -- (Continued) PGE SA 78,607 $ 546,224 * Polimex-Mostostal SA 147,517 4,398 * Polnord SA 3,672 10,997 Polski Koncern Naftowy Orlen SA 49,567 742,211 Polskie Gornictwo Naftowe i Gazownictwo SA 73,242 113,840 Powszechna Kasa Oszczednosci Bank Polski SA 54,530 748,336 Powszechny Zaklad Ubezpieczen SA 1,281 181,711 * Rafako SA 2,291 4,106 * Rovese SA 67,230 31,142 * Sygnity SA 4,962 28,198 Synthos SA 105,358 166,057 Tauron Polska Energia SA 57,260 101,438 TVN SA 5,494 29,936 Warsaw Stock Exchange 5,032 62,867 ---------- TOTAL POLAND 7,481,979 ---------- PORTUGAL -- (0.3%) Altri SGPS SA 42,109 143,101 * Banco BPI SA 117,003 300,317 * Banco Comercial Portugues SA 2,664,352 809,682 * Banco Espirito Santo SA 462,423 819,660 EDP - Energias de Portugal SA 95,804 465,383 * EDP Renovaveis SA 53,361 365,930 Galp Energia SGPS SA 17,799 308,493 Jeronimo Martins SGPS SA 14,138 247,265 Mota-Engil SGPS SA 17,204 131,699 Portucel SA 45,738 216,870 Portugal Telecom SGPS SA 129,611 538,491 REN - Redes Energeticas Nacionais SGPS SA 39,285 147,747 Semapa-Sociedade de Investimento e Gestao 14,845 222,537 Sonae 252,625 475,252 * Sonae Industria SGPS SA 24,422 20,715 Teixeira Duarte SA 25,644 39,451 ZON Optimus SGPS SA 35,634 257,792 ---------- TOTAL PORTUGAL 5,510,385 ---------- RUSSIA -- (0.5%) * Etalon Group, Ltd. GDR 2,879 10,091 Eurasia Drilling Co., Ltd. GDR 5,283 130,171 Gazprom OAO Sponsored ADR 420,808 3,041,152 Globaltrans Investment P.L.C. GDR 6,002 57,203 * Integra Group Holdings GDR 510 9,791 Lukoil OAO Sponsored ADR 34,765 1,840,439 * Magnitogorsk Iron & Steel Works GDR 23,119 48,794 * Mail.ru Group, Ltd. GDR 2,256 61,446 #* Mechel Sponsored ADR 32,520 65,690 MMC Norilsk Nickel OJSC ADR 13,841 250,234 Novolipetsk Steel OJSC GDR 7,015 81,787 Phosagro OAO GDR 6,202 72,281 * PIK Group GDR 13,885 31,989 Rosneft OAO GDR 84,408 530,681 Rostelecom OJSC Sponsored ADR 900 11,723 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ---------- RUSSIA -- (Continued) RusHydro JSC ADR 218,605 $ 340,149 Sberbank of Russia Sponsored ADR 72,827 613,500 Severstal OAO GDR 32,370 228,818 Tatneft OAO Sponsored ADR 24,677 848,803 TMK OAO GDR 5,886 46,858 Uralkali OJSC GDR 12,598 279,429 VimpelCom, Ltd. Sponsored ADR 19,936 167,462 VTB Bank OJSC GDR 110,386 234,820 * X5 Retail Group NV GDR 12,244 215,818 ---------- TOTAL RUSSIA 9,219,129 ---------- SINGAPORE -- (1.0%) * Abterra, Ltd. 32,000 15,038 Amara Holdings, Ltd. 25,000 10,695 Amtek Engineering, Ltd. 45,000 22,289 ASL Marine Holdings, Ltd. 32,200 18,550 #* Ausgroup, Ltd. 184,000 67,101 Banyan Tree Holdings, Ltd. 54,000 27,186 Biosensors International Group, Ltd. 206,000 156,455 Bonvests Holdings, Ltd. 22,000 23,720 Boustead Singapore, Ltd. 50,000 75,632 Breadtalk Group, Ltd. 27,000 30,203 * Broadway Industrial Group, Ltd. 49,000 10,775 Bukit Sembawang Estates, Ltd. 22,000 102,587 Bund Center Investment, Ltd. 259,000 42,408 CapitaLand, Ltd. 381,500 976,363 CH Offshore, Ltd. 60,000 20,127 China Aviation Oil Singapore Corp., Ltd. 33,600 23,360 # China Merchants Holdings Pacific, Ltd. 26,000 20,018 Chip Eng Seng Corp., Ltd. 158,000 96,564 City Developments, Ltd. 59,000 511,176 ComfortDelGro Corp., Ltd. 221,000 374,776 # Cosco Corp. Singapore, Ltd. 291,000 167,586 CSC Holdings, Ltd. 97,000 6,587 CSE Global, Ltd. 137,000 65,060 CWT, Ltd. 80,000 92,982 DBS Group Holdings, Ltd. 128,035 1,734,511 Del Monte Pacific, Ltd. 37,000 18,190 Elec & Eltek International Co., Ltd. 5,000 7,928 Eu Yan Sang International, Ltd. 10,000 6,587 # Ezion Holdings, Ltd. 128,400 233,412 Ezra Holdings, Ltd. 185,200 155,556 Far East Orchard, Ltd. 34,076 50,896 First Resources, Ltd. 104,000 213,587 FJ Benjamin Holdings, Ltd. 34,000 5,852 Food Empire Holdings, Ltd. 19,000 5,977 #* Forterra Trust 8,000 11,333 Fragrance Group, Ltd. 146,000 29,138 * Gallant Venture, Ltd. 119,000 28,535 Genting Singapore P.L.C. 135,000 143,047 GMG Global, Ltd. 775,000 55,663 Golden Agri-Resources, Ltd. 1,085,000 529,300 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- SINGAPORE -- (Continued) Goodpack, Ltd. 61,000 $116,857 Great Eastern Holdings, Ltd. 4,000 60,691 GuocoLand, Ltd. 69,666 118,529 GuocoLeisure, Ltd. 132,000 101,788 * Healthway Medical Corp., Ltd. 221,000 11,280 Hi-P International, Ltd. 139,000 64,421 Hiap Hoe, Ltd. 39,000 28,375 Ho Bee Land, Ltd. 102,000 186,678 Hong Fok Corp., Ltd. 109,200 70,669 Hong Leong Asia, Ltd. 42,000 53,498 Hongkong Land Holdings, Ltd. 22,000 154,187 Hotel Grand Central, Ltd. 33,304 31,812 Hotel Properties, Ltd. 65,000 192,796 HTL International Holdings, Ltd. 66,000 15,564 Hutchison Port Holdings Trust 521,000 354,570 Hyflux, Ltd. 140,000 134,047 Indofood Agri Resources, Ltd. 175,000 149,037 InnoTek, Ltd. 46,000 11,741 * International Healthway Corp., Ltd. 18,186 4,420 * Interra Resources, Ltd. 59,000 18,156 IPC Corp., Ltd. 72,000 8,625 Jardine Cycle & Carriage, Ltd. 5,000 187,480 Jaya Holdings, Ltd. 23,000 14,628 K1 Ventures, Ltd. 375,000 59,051 Keppel Corp., Ltd. 40,000 336,561 Keppel Infrastructure Trust 40,000 33,507 Keppel Land, Ltd. 147,000 406,668 Keppel Telecommunications & Transportation, Ltd. 10,000 14,255 Koh Brothers Group, Ltd. 48,000 11,879 Lee Kim Tah Holdings, Ltd. 18,000 13,315 Lian Beng Group, Ltd. 112,000 62,650 * Linc Energy, Ltd. 79,821 75,125 Low Keng Huat Singapore, Ltd. 66,000 36,626 M1, Ltd. 38,000 102,102 * Manhattan Resources, Ltd. 32,000 15,860 Marco Polo Marine, Ltd. 72,000 21,576 Mermaid Maritime PCL 89,000 34,508 Mewah International, Inc. 113,000 42,431 Midas Holdings, Ltd. 291,000 109,394 Nam Cheong Ltd 310,000 87,955 #* Neptune Orient Lines, Ltd. 223,000 180,869 Noble Group, Ltd. 655,000 674,440 NSL, Ltd. 12,000 15,087 * Oceanus Group, Ltd. 461,000 6,255 # Olam International, Ltd. 362,000 645,959 # OSIM International, Ltd. 49,000 113,528 # OUE Hospitality Trust 14,167 9,833 OUE, Ltd. 85,000 154,113 # Oversea-Chinese Banking Corp., Ltd. 128,296 989,442 Pan-United Corp., Ltd. 17,000 14,060 Petra Foods, Ltd. 3,000 8,499 Popular Holdings, Ltd. 34,000 7,323 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- SINGAPORE -- (Continued) QAF, Ltd. 27,167 $ 19,519 * Raffles Education Corp., Ltd. 153,370 36,160 Raffles Medical Group, Ltd. 29,000 84,029 Rotary Engineering, Ltd. 55,000 31,233 * S I2I, Ltd. 468,000 2,994 # SATS, Ltd. 98,870 250,293 SBS Transit, Ltd. 11,500 11,475 See Hup Seng, Ltd. 97,000 23,703 SembCorp Industries, Ltd. 66,000 283,347 # SembCorp Marine, Ltd. 46,000 149,602 Sheng Siong Group, Ltd. 27,000 13,694 SIA Engineering Co., Ltd. 10,000 38,240 Sim Lian Group, Ltd. 42,000 29,429 Sinarmas Land, Ltd. 304,000 129,006 Sing Holdings, Ltd. 16,000 4,858 Singapore Airlines, Ltd. 84,000 696,396 Singapore Exchange, Ltd. 47,000 259,923 Singapore Post, Ltd. 135,000 152,518 # Singapore Press Holdings, Ltd. 46,000 153,823 Singapore Technologies Engineering, Ltd. 77,000 235,185 Singapore Telecommunications, Ltd. 218,000 667,759 * Sino Grandness Food Industry Group, Ltd. 97,000 53,513 # SMRT Corp., Ltd. 83,000 80,812 Stamford Land Corp., Ltd. 150,000 71,259 StarHub, Ltd. 22,000 72,980 Sunningdale Tech, Ltd. 65,000 8,460 * SunVic Chemical Holdings, Ltd. 69,000 26,480 # Super Group, Ltd. 83,000 232,209 Swiber Holdings, Ltd. 141,000 72,149 Swissco Holdings, Ltd. 28,000 9,516 Tat Hong Holdings, Ltd. 151,000 97,701 * Tiger Airways Holdings, Ltd. 87,600 30,766 Tiong Woon Corp. Holding, Ltd. 31,000 8,051 Triyards holdings, Ltd. 18,520 9,400 Tuan Sing Holdings, Ltd. 136,107 38,057 UMS Holdings, Ltd. 56,000 38,442 United Engineers, Ltd. 114,000 196,516 # United Envirotech, Ltd. 117,125 122,059 United Industrial Corp., Ltd. 113,000 302,193 United Overseas Bank, Ltd. 70,190 1,221,665 UOB-Kay Hian Holdings, Ltd. 68,000 91,400 UOL Group, Ltd. 95,000 487,753 UPP Holdings, Ltd. 64,000 12,799 * Vard Holdings, Ltd. 157,000 121,296 Venture Corp., Ltd. 71,000 434,886 Vibrant Group, Ltd. 117,000 9,524 Wee Hur Holdings, Ltd. 112,500 32,315 Wheelock Properties Singapore, Ltd. 40,000 59,981 Wilmar International, Ltd. 154,000 418,543 Wing Tai Holdings, Ltd. 108,221 173,091 Yeo Hiap Seng, Ltd. 7,068 13,203 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ----------- SINGAPORE -- (Continued) Yongnam Holdings, Ltd. 333,000 $ 63,950 ----------- TOTAL SINGAPORE 20,443,625 ----------- SOUTH AFRICA -- (1.6%) # Adcock Ingram Holdings, Ltd. 22,992 133,223 Adcorp Holdings, Ltd. 5,991 18,220 Advtech, Ltd. 35,787 29,339 Aeci, Ltd. 31,955 356,912 # African Bank Investments, Ltd. 160,097 189,845 African Oxygen, Ltd. 21,153 41,575 African Rainbow Minerals, Ltd. 26,932 507,106 Allied Electronics Corp., Ltd. 8,984 20,778 * Anglo American Platinum, Ltd. 3,203 152,511 * AngloGold Ashanti, Ltd. 2,804 50,688 * AngloGold Ashanti, Ltd. Sponsored ADR 47,736 864,022 * ArcelorMittal South Africa, Ltd. 37,213 130,970 Aspen Pharmacare Holdings, Ltd. 16,002 426,507 Assore, Ltd. 2,714 105,046 Astral Foods, Ltd. 6,105 55,438 * Aveng, Ltd. 91,367 196,312 AVI, Ltd. 87,255 481,447 Barclays Africa Group, Ltd. 32,573 477,164 Barloworld, Ltd. 54,414 593,613 Basil Read Holdings, Ltd. 24,073 21,146 Bidvest Group, Ltd. 28,202 774,366 Blue Label Telecoms, Ltd. 41,700 36,136 * Brait SE 46,461 250,361 Business Connexion Group, Ltd. 66,747 35,856 Capitec Bank Holdings, Ltd. 8,651 187,229 Cashbuild, Ltd. 6,497 77,698 Caxton and CTP Publishers and Printers, Ltd. 3,193 4,847 City Lodge Hotels, Ltd. 3,620 42,434 Clicks Group, Ltd. 49,243 300,253 Coronation Fund Managers, Ltd. 26,724 258,061 DataTec, Ltd. 39,062 196,307 Discovery, Ltd. 34,939 303,326 Distell Group, Ltd. 1,845 21,931 Distribution and Warehousing Network, Ltd. 53,514 51,882 DRDGOLD, Ltd. 84,168 26,802 EOH Holdings, Ltd. 30,399 242,999 Eqstra Holdings, Ltd. 14,728 10,225 * Evraz Highveld Steel and Vanadium, Ltd. 4,215 3,662 Exxaro Resources, Ltd. 14,577 198,962 Famous Brands, Ltd. 5,805 58,230 FirstRand, Ltd. 192,122 706,892 Foschini Group, Ltd. (The) 36,860 380,948 Gold Fields, Ltd. 4,836 20,525 Gold Fields, Ltd. Sponsored ADR 160,895 680,586 Grindrod, Ltd. 113,853 269,609 Group Five, Ltd. 29,546 121,532 Growthpoint Properties, Ltd. 113,715 262,871 * Harmony Gold Mining Co., Ltd. Sponsored ADR 75,494 248,375 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- SOUTH AFRICA -- (Continued) Hudaco Industries, Ltd. 8,650 $ 86,230 Iliad Africa, Ltd. 2,000 1,218 Illovo Sugar, Ltd. 50,775 140,014 Impala Platinum Holdings, Ltd. 52,981 597,270 Imperial Holdings, Ltd. 47,916 893,663 Investec, Ltd. 33,743 296,986 # JD Group, Ltd. 32,550 85,051 JSE, Ltd. 17,413 159,755 Kumba Iron Ore, Ltd. 468 16,668 Lewis Group, Ltd. 25,332 150,375 Liberty Holdings, Ltd. 26,840 321,948 Life Healthcare Group Holdings, Ltd. 108,374 430,954 Massmart Holdings, Ltd. 2,482 32,898 Mediclinic International, Ltd. 50,950 356,387 * Merafe Resources, Ltd. 389,559 41,110 Metair Investments, Ltd. 25,311 102,307 MMI Holdings, Ltd. 230,172 578,691 Mondi, Ltd. 24,210 403,135 Mpact, Ltd. 26,884 71,091 Mr Price Group, Ltd. 30,720 462,891 MTN Group, Ltd. 65,972 1,323,517 * Murray & Roberts Holdings, Ltd. 94,705 221,764 Nampak, Ltd. 124,408 464,124 Naspers, Ltd. Class N 9,419 890,088 Nedbank Group, Ltd. 29,201 625,979 Netcare, Ltd. 187,557 454,983 * Northam Platinum, Ltd. 67,705 264,285 Oceana Group, Ltd. 2,261 19,371 Omnia Holdings, Ltd. 14,984 322,144 Peregrine Holdings, Ltd. 23,080 42,364 Pick n Pay Stores, Ltd. 24,445 139,677 Pinnacle Holdings, Ltd. 38,098 47,345 Pioneer Foods, Ltd. 16,853 150,563 PPC, Ltd. 54,886 159,692 PSG Group, Ltd. 41,983 415,823 Raubex Group, Ltd. 27,230 56,287 * RCL Foods, Ltd. 37,465 54,843 Reunert, Ltd. 42,465 279,060 * Royal Bafokeng Platinum, Ltd. 3,899 25,204 Sanlam, Ltd. 202,244 1,083,450 Santam, Ltd. 4,312 87,061 * Sappi, Ltd. 124,408 394,365 * Sappi, Ltd. Sponsored ADR 35,009 109,928 Sasol, Ltd. 3,423 191,840 Sasol, Ltd. Sponsored ADR 36,452 2,019,805 Shoprite Holdings, Ltd. 21,217 354,935 Sibanye Gold, Ltd. 47,031 121,483 Sibanye Gold, Ltd. Sponsored ADR 20,552 212,302 Spar Group, Ltd. (The) 37,112 436,041 Spur Corp., Ltd. 10,572 30,154 Standard Bank Group, Ltd. 103,268 1,356,833 * Stefanutti Stocks Holdings, Ltd. 21,041 17,385 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ----------- SOUTH AFRICA -- (Continued) Steinhoff International Holdings, Ltd. 190,415 $ 989,461 Sun International, Ltd. 7,701 76,120 * Super Group, Ltd. 80,896 217,968 * Telkom SA SOC, Ltd. 71,387 255,431 * Telkom SA SOC, Ltd. Sponsored ADR 1,800 25,659 Tiger Brands, Ltd. 7,899 211,314 Times Media Group, Ltd. 254 509 Tongaat Hulett, Ltd. 24,098 286,503 Trencor, Ltd. 20,950 148,479 Truworths International, Ltd. 27,314 219,448 Tsogo Sun Holdings, Ltd. 43,296 113,184 Vodacom Group, Ltd. 6,820 81,391 Wilson Bayly Holmes-Ovcon, Ltd. 12,652 163,612 Woolworths Holdings, Ltd. 37,736 256,820 ----------- TOTAL SOUTH AFRICA 31,272,003 ----------- SOUTH KOREA -- (3.6%) #* 3S Korea Co., Ltd. 3,180 17,225 * Actoz Soft Co., Ltd. 735 24,120 #* Advanced Process Systems Corp. 4,039 34,103 Aekyung Petrochemical Co., Ltd. 652 43,180 Agabang&Company 8,724 45,742 Ahnlab, Inc. 492 25,298 * AJ Rent A Car Co., Ltd. 1,260 20,239 AK Holdings, Inc. 1,160 59,927 Amorepacific Corp. 132 170,693 AMOREPACIFIC Group 563 291,273 * Amotech Co., Ltd. 3,651 48,641 Anapass, Inc. 1,105 12,325 Asia Cement Co., Ltd. 566 60,424 ASIA Holdings Co., Ltd, 247 34,710 Asia Paper Manufacturing Co., Ltd. 600 11,129 * Asiana Airlines, Inc. 22,240 106,109 AtlasBX Co., Ltd. 2,108 85,688 Basic House Co., Ltd. (The) 1,300 29,567 #* BH Co., Ltd. 3,736 36,234 Binggrae Co., Ltd. 1,160 105,657 Boryung Pharmaceutical Co., Ltd. 294 10,963 BS Financial Group, Inc. 39,050 597,895 Bukwang Pharmaceutical Co., Ltd. 3,854 54,365 * Capro Corp. 5,800 26,140 * Celltrion Pharm, Inc. 2,035 23,681 * Celltrion, Inc. 2,567 119,702 * Chabio & Diostech Co., Ltd. 3,843 60,250 Cheil Industries, Inc. 8,679 554,228 * Cheil Worldwide, Inc. 9,650 234,886 * Chin Hung International, Inc. 11,856 17,288 * China Great Star International, Ltd. 7,878 23,966 * China Ocean Resources Co., Ltd. 12,390 28,577 Chong Kun Dang Pharmaceutical Corp. 2,545 181,144 Chongkundang Holdings Corp. 984 47,513 CJ CGV Co., Ltd. 2,736 127,559 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- SOUTH KOREA -- (Continued) CJ CheilJedang Corp. 1,826 $548,242 CJ Corp. 3,789 458,896 * CJ E&M Corp. 5,469 267,042 * CJ Korea Express Co., Ltd. 1,607 169,837 CJ O Shopping Co., Ltd. 386 136,456 * CNK International Co., Ltd. 7,639 17,464 * Cosmochemical Co., Ltd. 3,760 25,725 Coway Co., Ltd. 5,146 406,748 Crown Confectionery Co., Ltd. 181 51,811 * CTC BIO, Inc. 1,039 18,159 #* D.I Corp. 5,590 61,902 Dae Han Flour Mills Co., Ltd. 349 50,027 Dae Won Kang Up Co., Ltd. 9,910 63,378 Dae-Il Corp. 7,510 32,710 * Daechang Co., Ltd. 10,260 9,409 Daeduck Electronics Co. 11,360 83,909 Daeduck GDS Co., Ltd. 4,570 75,706 * Daekyung Machinery & Engineering Co., Ltd. 4,760 9,343 Daelim Industrial Co., Ltd. 6,172 503,622 Daesang Corp. 4,120 162,978 Daesang Holdings Co., Ltd. 5,320 65,681 Daewon Pharmaceutical Co., Ltd. 2,131 25,432 #* Daewoo Engineering & Construction Co., Ltd. 28,310 234,851 Daewoo International Corp. 3,736 131,039 * Daewoo Securities Co., Ltd. 39,392 323,649 Daewoo Shipbuilding & Marine Engineering Co., Ltd. 13,150 381,649 Daewoong Pharmaceutical Co., Ltd. 603 40,906 Daishin Securities Co., Ltd. 12,340 111,666 * Danal Co., Ltd. 1,611 15,814 Daou Technology, Inc. 12,540 175,368 * Dasan Networks, Inc. 2,912 17,477 Daum Communications Corp. 2,249 163,242 DGB Financial Group, Inc. 34,430 522,325 * Digitech Systems Co., Ltd. 4,897 10,047 Dong-A Socio Holdings Co., Ltd. 392 49,358 Dongaone Co., Ltd. 3,570 9,844 * Dongbu CNI Co., Ltd. 1,110 4,707 * Dongbu Corp. 1,240 3,067 * Dongbu HiTek Co., Ltd. 5,940 40,094 Dongbu Insurance Co., Ltd. 8,866 490,013 Dongbu Securities Co., Ltd. 7,220 25,910 #* Dongbu Steel Co., Ltd. 4,740 14,282 Dongjin Semichem Co., Ltd. 2,909 10,950 Dongkuk Steel Mill Co., Ltd. 9,210 88,595 Dongsung Holdings Co., Ltd. 3,090 17,472 Dongwha Pharm Co., Ltd. 8,350 48,618 Dongwon F&B Co., Ltd. 458 89,376 Dongwon Industries Co., Ltd. 550 172,784 Dongyang Mechatronics Corp. 7,950 76,694 Doosan Corp. 2,164 278,934 * Doosan Engine Co., Ltd. 5,570 46,860 * Doosan Engineering & Construction Co., Ltd. 1,201 17,425 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- SOUTH KOREA -- (Continued) Doosan Heavy Industries & Construction Co., Ltd. 11,414 $ 385,807 * Doosan Infracore Co., Ltd. 24,790 299,764 DRB Holding Co., Ltd. 8,282 86,913 * Duksan Hi-Metal Co., Ltd. 1,235 22,960 DuzonBIzon Co., Ltd. 4,560 53,979 e-LITECOM Co., Ltd. 1,023 18,607 E-Mart Co., Ltd. 3,033 693,544 E1 Corp. 840 57,132 Eagon Industries Co., Ltd. 2,350 40,361 Easy Bio, Inc. 7,164 39,430 EG Corp. 1,007 23,297 ENF Technology Co., Ltd. 1,186 10,562 Eo Technics Co., Ltd. 1,515 101,408 Eugene Corp. 22,437 83,012 * Eugene Investment & Securities Co., Ltd. 6,878 17,500 Eugene Technology Co., Ltd. 1,560 33,753 Fila Korea, Ltd. 1,477 128,608 * Flexcom, Inc. 2,681 29,287 * Foosung Co., Ltd. 4,830 15,829 Fursys, Inc. 2,447 68,038 Gaon Cable Co., Ltd. 930 27,483 * GemVax & Kael Co., Ltd. 444 8,250 Global & Yuasa Battery Co., Ltd. 2,050 98,442 Golfzon Co., Ltd. 2,670 48,697 Grand Korea Leisure Co., Ltd. 2,950 123,361 Green Cross Corp. 899 111,108 Green Cross Holdings Corp. 5,200 71,600 #* GS Engineering & Construction Corp. 10,036 354,093 GS Global Corp. 2,780 25,951 GS Holdings 12,583 587,173 GS Home Shopping, Inc. 332 75,099 GS retail Co., Ltd. 5,370 149,562 Gwangju Shinsegae Co., Ltd. 95 21,876 * Halla Corp. 3,187 22,353 # Halla Visteon Climate Control Corp. 4,010 167,789 Han Kuk Carbon Co., Ltd. 9,360 67,128 Hana Financial Group, Inc. 37,202 1,312,704 Hana Tour Service, Inc. 1,057 67,824 Handsome Co., Ltd. 3,640 92,159 Hanil Cement Co., Ltd. 775 89,488 Hanil E-Hwa Co., Ltd. 4,890 100,052 * Hanjin Heavy Industries & Construction Co., Ltd. 12,525 147,945 * Hanjin Kal Corp. 3,344 71,795 * Hanjin Shipping Co., Ltd. 18,851 110,522 * Hanjin Shipping Holdings Co., Ltd. 3,611 23,459 Hanjin Transportation Co., Ltd. 2,170 53,354 Hankook Shell Oil Co., Ltd. 110 49,862 Hankook Tire Co., Ltd. 11,436 663,492 Hankook Tire Worldwide Co., Ltd. 2,614 53,023 * Hanmi Pharm Co., Ltd. 1,429 161,308 * Hanmi Science Co., Ltd. 4,273 61,628 Hansae Co., Ltd. 1,440 29,945 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- SOUTH KOREA -- (Continued) Hansae Yes24 Holdings Co., Ltd. 3,090 $ 20,974 Hansol Chemical Co., Ltd. 1,170 33,662 Hansol CSN Co., Ltd. 15,480 44,179 Hansol Paper Co. 13,790 151,886 #* Hansol Technics Co., Ltd. 5,924 126,162 Hanssem Co., Ltd. 1,492 122,070 # Hanwha Chemical Corp. 21,230 376,231 Hanwha Corp. 11,570 337,254 * Hanwha General Insurance Co., Ltd. 7,534 37,221 * Hanwha Investment & Securities Co., Ltd. 14,239 51,515 Hanwha Life Insurance Co., Ltd. 45,527 296,733 Hanwha Timeworld Co., Ltd. 700 21,735 Hanyang Securities Co., Ltd. 1,630 10,857 * Harim Holdings Co., Ltd. 2,717 13,702 Heung-A Shipping Co., Ltd. 22,060 29,226 Hite Jinro Co., Ltd. 5,572 135,104 Hitejinro Holdings Co., Ltd. 1,300 16,457 HMC Investment Securities Co., Ltd. 3,246 34,317 Hotel Shilla Co., Ltd. 5,490 462,320 Huchems Fine Chemical Corp. 2,620 55,312 Humax Co., Ltd. 4,280 51,895 Huons Co., Ltd. 1,093 48,362 Husteel Co., Ltd. 2,170 42,709 Huvis Corp. 4,510 50,314 Hwa Shin Co., Ltd. 4,730 55,503 Hy-Lok Corp. 2,898 84,453 Hyosung Corp. 6,041 431,588 * Hyundai BNG Steel Co., Ltd. 2,150 45,162 Hyundai Corp. 3,840 117,267 Hyundai Department Store Co., Ltd. 3,027 390,339 Hyundai Development Co. 16,047 460,076 * Hyundai Elevator Co., Ltd. 3,022 116,982 Hyundai Engineering & Construction Co., Ltd. 7,327 396,682 Hyundai Glovis Co., Ltd. 440 103,784 Hyundai Greenfood Co., Ltd. 11,600 195,064 Hyundai Heavy Industries Co., Ltd. 3,201 601,833 Hyundai Home Shopping Network Corp. 625 93,863 Hyundai Hy Communications & Networks Co., Ltd. 2,170 10,860 Hyundai Livart Co., Ltd. 4,100 70,369 Hyundai Marine & Fire Insurance Co., Ltd. 11,570 339,458 * Hyundai Merchant Marine Co., Ltd. 5,821 58,535 Hyundai Mobis 3,472 991,893 Hyundai Motor Co. 10,982 2,448,618 * Hyundai Securities Co., Ltd. 32,690 220,398 Hyundai Steel Co. 7,754 508,076 Hyundai Wia Corp. 1,026 169,167 Iljin Display Co., Ltd. 1,940 26,108 Iljin Electric Co., Ltd. 5,010 40,850 #* Iljin Materials Co., Ltd. 1,650 17,824 Ilshin Spinning Co., Ltd. 271 35,323 Ilyang Pharmaceutical Co., Ltd. 2,042 49,770 iMarketKorea, Inc. 640 19,374 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- SOUTH KOREA -- (Continued) Industrial Bank of Korea 35,640 $438,988 * Infopia Co., Ltd. 1,599 21,166 * InkTec Co., Ltd. 909 18,181 * InnoWireless, Inc. 699 9,140 * Innox Corp. 1,728 38,893 * Interflex Co., Ltd. 1,357 28,314 Interpark Corp. 13,064 146,633 INTOPS Co., Ltd. 1,368 32,097 Inzi Controls Co., Ltd. 2,340 12,979 INZI Display Co., Ltd. 6,794 12,192 * IS Dongseo Co., Ltd. 1,150 26,066 ISU Chemical Co., Ltd. 3,690 50,007 # IsuPetasys Co., Ltd. 14,830 82,252 Jahwa Electronics Co., Ltd. 6,340 113,643 JB Financial Group Co., Ltd. 25,544 188,400 Jeil Pharmaceutical Co. 1,820 33,023 JW Holdings Co., Ltd. 4,368 12,434 JW Pharmaceutical Corp. 3,087 52,232 Kangwon Land, Inc. 8,480 245,284 KB Capital Co., Ltd. 3,043 60,562 KB Financial Group, Inc. 15,280 522,710 KB Financial Group, Inc. ADR 16,955 582,065 KC Green Holdings Co., Ltd. 5,380 42,056 KC Tech Co., Ltd. 4,453 34,139 KEPCO Engineering & Construction Co., Inc. 1,061 63,263 KEPCO Plant Service & Engineering Co., Ltd. 1,610 104,606 Kginicis Co., Ltd. 1,312 20,069 KH Vatec Co., Ltd. 3,928 73,424 Kia Motors Corp. 13,987 776,029 Kishin Corp. 5,120 38,149 KISWIRE, Ltd. 2,160 77,670 KIWOOM Securities Co., Ltd. 2,319 114,143 * KMW Co., Ltd. 1,841 31,418 Koh Young Technology, Inc. 552 13,165 Kolao Holdings 3,520 87,675 * Kolon Global Corp. 5,710 14,229 Kolon Industries, Inc. 4,288 284,526 Kolon Life Science, Inc. 571 29,066 #* Komipharm International Co., Ltd. 4,315 36,831 # KONA I Co., Ltd. 1,526 56,997 Korea Aerospace Industries, Ltd. 2,430 77,558 Korea Circuit Co., Ltd. 3,237 40,197 Korea District Heating Corp. 772 54,028 * Korea Electric Power Corp. Sponsored ADR 9,600 183,744 Korea Electric Terminal Co., Ltd. 1,750 73,827 * Korea Gas Corp. 3,822 228,887 Korea Investment Holdings Co., Ltd. 10,480 384,932 Korea Petrochemical Ind Co., Ltd. 712 43,006 Korea United Pharm, Inc. 1,346 15,813 Korea Zinc Co., Ltd. 994 327,547 * Korean Air Lines Co., Ltd. 8,180 263,023 Korean Reinsurance Co. 25,089 247,965 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- SOUTH KOREA -- (Continued) Kortek Corp. 1,982 $ 29,628 KPX Chemical Co., Ltd. 220 13,647 KT Corp. Sponsored ADR 5,400 85,914 * KT Hitel Co., Ltd. 1,589 12,196 KT Skylife Co., Ltd. 3,050 71,417 KT&G Corp. 10,257 822,017 * KTB Investment & Securities Co., Ltd. 12,690 31,657 Kukdo Chemical Co., Ltd. 1,090 53,612 Kumho Electric Co., Ltd. 690 16,304 * Kumho Industrial Co., Ltd. 137 1,574 Kumho Petro chemical Co., Ltd. 931 78,944 * Kumho Tire Co., Inc. 9,343 117,789 Kumkang Kind Co., Ltd. 850 34,506 Kunsul Chemical Industrial Co., Ltd. 960 40,890 Kwang Dong Pharmaceutical Co., Ltd. 15,340 137,160 * Kwang Myung Electric Engineering Co., Ltd. 4,580 9,972 * Kyobo Securities Co. 5,430 36,285 Kyung Dong Navien Co., Ltd. 590 14,202 Kyungchang Industrial Co., Ltd. 2,833 31,725 KyungDong City Gas Co., Ltd. 197 22,303 Kyungdong Pharm Co., Ltd. 1,450 26,125 * LB Semicon, Inc. 4,067 8,275 LEENO Industrial, Inc. 1,048 30,231 LF Corp. 4,880 126,878 LG Chem, Ltd. 1,616 412,497 LG Corp. 10,961 611,203 * LG Display Co., Ltd. 4,840 128,907 * LG Display Co., Ltd. ADR 83,785 1,115,178 LG Electronics, Inc. 18,556 1,235,940 LG Hausys, Ltd. 1,425 251,570 LG Household & Health Care, Ltd. 437 200,101 * LG Innotek Co., Ltd. 2,590 286,633 LG International Corp. 7,550 223,703 * LG Life Sciences, Ltd. 1,620 56,137 LG Uplus Corp. 54,660 538,338 LIG Insurance Co., Ltd. 12,850 376,692 Lock & Lock Co., Ltd. 3,170 48,124 Lotte Chemical Corp. 3,981 630,201 Lotte Chilsung Beverage Co., Ltd. 157 237,795 Lotte Confectionery Co., Ltd. 176 301,762 Lotte Food Co., Ltd. 89 66,733 LOTTE Himart Co., Ltd. 1,430 100,537 * Lotte Non-Life Insurance Co., Ltd. 2,500 9,197 Lotte Shopping Co., Ltd. 1,627 504,648 LS Corp. 3,920 307,473 LS Industrial Systems Co., Ltd. 1,605 102,658 * Lumens Co., Ltd. 7,572 101,851 Macquarie Korea Infrastructure Fund 51,254 317,405 * Macrogen, Inc. 656 26,790 Maeil Dairy Industry Co., Ltd. 1,665 63,031 Mando Corp. 3,395 408,411 * Medipost Co., Ltd. 460 30,793 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- SOUTH KOREA -- (Continued) Medy-Tox, Inc. 997 $ 147,704 MegaStudy Co., Ltd. 1,386 93,706 * Melfas, Inc. 5,717 51,942 Meritz Financial Group, Inc. 7,827 56,302 Meritz Fire & Marine Insurance Co., Ltd. 14,482 180,335 Meritz Securities Co., Ltd. 69,570 152,994 Mirae Asset Securities Co., Ltd. 6,006 246,770 MK Electron Co., Ltd. 5,177 27,371 * MNTech Co., Ltd. 5,018 33,074 Modetour Network, Inc. 692 15,426 Moorim P&P Co., Ltd. 8,640 41,748 Motonic Corp. 2,210 25,700 * Muhak Co., Ltd. 3,546 104,194 Namhae Chemical Corp. 9,970 93,855 Naver Corp. 717 516,324 NCSoft Corp. 1,100 218,877 * Neowiz Games Corp. 4,290 68,055 * NEPES Corp. 6,920 63,216 Nexen Corp. 310 23,140 Nexen Tire Corp. 5,140 70,540 NH Investment & Securities Co., Ltd. 9,052 58,765 * NHN Entertainment Corp. 306 25,032 NICE Holdings Co., Ltd. 4,060 54,921 NICE Information Service Co., Ltd. 130 454 * NK Co., Ltd. 1,680 6,646 Nong Shim Holdings Co., Ltd. 792 77,420 NongShim Co., Ltd. 643 191,395 * OCI Co., Ltd. 2,810 493,777 OCI Materials Co., Ltd. 1,887 64,765 * OPTRON-TEC, Inc. 1,515 11,166 Orion Corp. 374 285,749 * Osstem Implant Co., Ltd. 3,554 88,513 * Osung LST Co., Ltd. 2,355 9,527 Ottogi Corp. 244 96,796 #* Pan Ocean Co., Ltd. 1,452 4,844 Paradise Co., Ltd. 2,315 86,242 Partron Co., Ltd. 8,861 120,308 Poongsan Corp. 5,180 127,844 Poongsan Holdings Corp. 690 20,841 POSCO ADR 18,551 1,365,354 POSCO Chemtech Co., Ltd. 461 66,592 Posco ICT Co., Ltd. 7,848 65,269 * Posco Plantec Co., Ltd. 3,608 14,274 * Power Logics Co., Ltd. 6,846 30,241 Pyeong Hwa Automotive Co., Ltd. 3,427 69,985 S&T Dynamics Co., Ltd. 5,750 66,566 S&T Motiv Co., Ltd. 2,830 76,446 S-1 Corp. 1,719 130,752 S-MAC Co., Ltd. 1,630 13,867 S-Oil Corp. 3,490 204,245 Saeron Automotive Corp. 3,700 37,841 * Sajo Industries Co., Ltd. 870 29,488 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- SOUTH KOREA -- (Continued) Sam Yung Trading Co., Ltd. 3,760 $ 71,460 Samchully Co., Ltd. 607 91,181 SAMHWA Paints Industrial Co., Ltd. 1,500 22,364 Samick THK Co., Ltd. 1,380 10,485 Samjin Pharmaceutical Co., Ltd. 380 6,853 Samkwang Glass 530 25,125 Samlip General Foods Co., Ltd. 205 14,771 Samsung Electro-Mechanics Co., Ltd. 15,522 997,620 Samsung Electronics Co., Ltd. 4,072 5,309,716 Samsung Electronics Co., Ltd. GDR 1,801 1,162,660 * Samsung Engineering Co., Ltd. 1,437 107,871 Samsung Fine Chemicals Co., Ltd. 3,638 145,330 Samsung Fire & Marine Insurance Co., Ltd. 4,584 1,088,841 Samsung Heavy Industries Co., Ltd. 22,890 627,013 Samsung Life Insurance Co., Ltd. 3,127 291,031 Samsung SDI Co., Ltd. 5,030 738,638 Samsung Securities Co., Ltd. 12,452 475,853 Samsung Techwin Co., Ltd. 3,840 215,596 Samyang Foods Co., Ltd. 870 26,905 Samyang Holdings Corp. 1,808 126,063 SBS Media Holdings Co., Ltd. 17,020 72,191 Seah Besteel Corp. 4,160 112,384 SeAH Holdings Corp. 341 35,901 SeAH Steel Corp. 470 56,008 Sebang Co., Ltd. 2,650 45,919 * Seegene, Inc. 1,050 57,579 Sejong Industrial Co., Ltd. 4,410 74,095 * Seohee Construction Co., Ltd. 59,786 34,989 Seoul Semiconductor Co., Ltd. 2,704 108,842 * Seowon Co., Ltd. 880 1,339 * Sewon Cellontech Co., Ltd. 9,690 26,390 Sewon Precision Industry Co., Ltd. 410 10,542 SFA Engineering Corp. 595 25,724 * SG Corp. 18,100 10,756 Shin Poong Pharmaceutical Co., Ltd. 816 3,620 Shinhan Financial Group Co., Ltd. 11,050 482,315 Shinhan Financial Group Co., Ltd. ADR 21,150 922,140 Shinsegae Co., Ltd. 1,834 398,179 Shinsegae International Co., Ltd. 500 35,887 * Shinsung Solar Energy Co., Ltd. 8,513 12,256 Silicon Works Co., Ltd. 3,171 70,808 Silla Co., Ltd. 1,850 44,500 * Simm Tech Co., Ltd. 5,984 34,605 * SK Broadband Co., Ltd. 45,962 190,633 SK C&C Co., Ltd. 1,247 171,172 SK Chemicals Co., Ltd. 3,118 181,850 #* SK Communications Co., Ltd. 5,796 41,986 SK Gas, Ltd. 1,624 149,211 SK Holdings Co., Ltd. 5,718 1,014,260 * SK Hynix, Inc. 23,180 903,868 SK Innovation Co., Ltd. 5,204 596,167 * SK Networks Co., Ltd. 32,770 302,127 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ ----------- SOUTH KOREA -- (Continued) * SK Securities Co., Ltd. 97,610 $ 69,941 SK Telecom Co., Ltd. 191 39,547 SK Telecom Co., Ltd. ADR 6,000 138,540 SKC Co., Ltd. 5,040 167,118 SL Corp. 5,700 98,303 * SM Entertainment Co. 2,832 134,151 Songwon Industrial Co., Ltd. 2,850 28,057 Soulbrain Co., Ltd. 1,192 47,602 * Ssangyong Cement Industrial Co., Ltd. 4,260 38,980 #* STS Semiconductor & Telecommunications 9,264 21,179 #* STX Corp. Co., Ltd. 8,910 10,865 * STX Engine Co., Ltd. 4,720 16,033 Suheung Co., Ltd. 930 34,500 Sung Kwang Bend Co., Ltd. 3,846 90,197 * Sungshin Cement Co., Ltd. 3,440 38,051 Sungwoo Hitech Co., Ltd. 10,091 163,000 * Suprema, Inc. 1,355 33,622 * Synopex, Inc. 20,990 37,514 Taekwang Industrial Co., Ltd. 100 128,860 * Taewoong Co., Ltd. 3,281 79,311 * Taeyoung Engineering & Construction Co., Ltd. 14,580 91,232 #* Taihan Electric Wire Co., Ltd. 20,377 41,823 Tongyang Life Insurance 9,040 88,004 * Top Engineering Co., Ltd. 1,477 6,401 * Toray Chemical Korea, Inc. 10,460 146,871 TS Corp. 1,160 35,436 Uju Electronics Co., Ltd. 629 11,173 Unid Co., Ltd. 1,490 96,064 Vieworks Co., Ltd. 893 22,607 * WeMade Entertainment Co., Ltd. 537 23,411 * WillBes & Co. (The) 12,360 13,791 * Wonik IPS Co., Ltd. 8,326 83,386 Woojeon & Handan Co., Ltd. 5,947 37,093 * Woongjin Energy Co., Ltd. 11,640 26,339 * Woongjin Thinkbig Co., Ltd. 2,400 18,732 Wooree ETI Co., Ltd. 9,835 26,899 * Woori Finance Holdings Co., Ltd. 45,560 499,793 * Woori Finance Holdings Co., Ltd. ADR 1,400 46,207 Woori Investment & Securities Co., Ltd. 30,977 262,356 * Woori Investment Bank 63,070 27,734 Y G-1 Co., Ltd. 4,426 49,383 YG Entertainment, Inc. 904 54,161 Youlchon Chemical Co., Ltd. 1,990 27,222 Young Poong Corp. 198 228,047 Young Poong Precision Corp. 2,267 21,336 Youngone Corp. 8,136 332,547 Youngone Holdings Co., Ltd. 2,034 144,989 Yuhan Corp. 1,428 251,189 ----------- TOTAL SOUTH KOREA 73,408,882 ----------- SPAIN -- (2.1%) Abengoa SA(BLM7FQ6) 214 1,191 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- SPAIN -- (Continued) Abengoa SA(BLM7FS8) 1,643 $ 7,319 Abengoa SA(7174823) 8,363 46,531 Abengoa SA Class B 54,248 241,526 Abertis Infraestructuras SA 27,334 615,265 # Acciona SA 6,947 565,109 Acerinox SA 20,003 349,782 ACS Actividades de Construccion y Servicios SA 9,674 415,248 Adveo Group International SA 1,759 41,875 Almirall SA 9,125 152,833 Amadeus IT Holding SA Class A 22,329 928,674 * Atresmedia Corp de Medios de Comunicaion SA 8,289 119,271 Banco Bilbao Vizcaya Argentaria SA 103,536 1,275,329 Banco Bilbao Vizcaya Argentaria SA Sponsored ADR 159,880 1,974,521 Banco de Sabadell SA 567,939 1,932,288 Banco Popular Espanol SA 228,593 1,684,481 Banco Santander SA 756,343 7,522,335 Banco Santander SA Sponsored ADR 183,902 1,831,664 * Bankia SA 88,620 181,017 Bankinter SA 101,786 779,321 * Baron de Ley 336 35,350 Bolsas y Mercados Espanoles SA 12,510 545,003 CaixaBank SA 155,897 950,150 #* Caja de Ahorros del Mediterraneo 4,397 -- * Campofrio Food Group SA 6,611 63,271 * Cementos Portland Valderrivas SA 33 338 Cie Automotive SA 3,451 43,950 Construcciones y Auxiliar de Ferrocarriles SA 239 114,476 * Deoleo SA 133,169 73,025 Distribuidora Internacional de Alimentacion SA 42,274 378,161 Duro Felguera SA 8,737 59,611 Ebro Foods SA 12,200 281,117 Elecnor SA 4,850 69,715 Enagas SA 29,255 901,310 Ence Energia y Celulosa SA 33,113 97,529 * Ercros SA 16,413 10,951 Faes Farma SA 37,476 116,122 Ferrovial SA 36,757 817,047 Fluidra SA 4,609 20,945 * Fomento de Construcciones y Contratas SA 13,309 293,582 * Gamesa Corp. Tecnologica SA 59,173 588,169 Gas Natural SDG SA 33,472 959,810 Grifols SA 11,550 617,433 Grupo Catalana Occidente SA 9,075 355,087 * Grupo Ezentis SA 21,173 34,681 Iberdrola SA 408,687 2,854,897 Inditex SA 4,905 736,961 Indra Sistemas SA 26,609 499,771 * Jazztel P.L.C. 44,224 679,192 Mapfre SA 105,197 443,669 * Mediaset Espana Comunicacion SA 31,136 345,501 Melia Hotels International SA 10,462 132,345 Miquel y Costas & Miquel SA 1,408 58,707 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ----------- SPAIN -- (Continued) * Natra SA 13,809 $ 36,411 * NH Hoteles SA 37,446 239,237 Obrascon Huarte Lain SA 13,193 611,641 Papeles y Cartones de Europa SA 10,190 56,375 * Pescanova SA 2,936 -- * Promotora de Informaciones SA Class A 188,894 105,496 Prosegur Cia de Seguridad SA 32,569 218,081 * Realia Business SA 20,311 37,550 Red Electrica Corp. SA 11,186 920,788 Repsol SA 39,448 1,062,121 Repsol SA Sponsored ADR 41,596 1,120,596 * Sacyr SA 70,688 465,578 Tecnicas Reunidas SA 4,798 289,001 * Telecomunicaciones y Energia 8,716 20,927 Telefonica SA 91,157 1,529,807 # Telefonica SA Sponsored ADR 43,078 721,556 Tubacex SA 36,604 179,509 Tubos Reunidos SA 23,354 72,356 Vidrala SA 2,797 148,044 Viscofan SA 6,063 315,946 * Vocento SA 6,696 21,572 Zardoya Otis SA 17,271 302,980 * Zeltia SA 14,916 56,271 ----------- TOTAL SPAIN 42,375,299 ----------- SWEDEN -- (2.5%) AarhusKarlshamn AB 5,900 395,083 Acando AB 11,914 27,545 * Active Biotech AB 2,646 14,016 AddTech AB Class B 3,391 51,985 AF AB Class B 7,438 270,123 Alfa Laval AB 15,412 410,628 Assa Abloy AB Class B 22,199 1,178,202 Atlas Copco AB Class A 14,335 416,902 Atlas Copco AB Class B 6,716 183,181 Atrium Ljungberg AB Class B 1,150 18,235 Avanza Bank Holding AB 1,371 51,471 Axfood AB 2,798 149,098 Axis Communications AB 7,382 220,119 B&B Tools AB Class B 5,450 100,007 Beijer AB G&L Class B 2,908 59,152 Beijer Alma AB 2,767 78,256 Beijer Electronics AB 1,176 11,473 Betsson AB 6,273 229,329 Bilia AB Class A 7,100 235,744 BillerudKorsnas AB 42,063 614,722 BioGaia AB Class B 1,910 57,397 * Bjoern Borg AB(B8ZRVS6) 4,436 1,016 Bjoern Borg AB(BLP5VH0) 4,436 17,183 Boliden AB 68,765 1,050,199 Byggmax Group AB 11,405 95,555 Castellum AB 27,670 471,849 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- SWEDEN -- (Continued) * CDON Group AB 5,064 $ 20,707 Clas Ohlson AB Class B 4,200 93,156 * Cloetta AB Class B 6,849 22,625 # Concentric AB 13,233 187,228 Corem Property Group AB Class B 1,440 5,534 Dios Fastigheter AB 9,517 77,307 Duni AB 7,223 120,652 Electrolux AB Series B 43,531 1,209,977 # Elekta AB Class B 27,690 386,433 Enea AB 6,373 61,441 * Eniro AB 30,646 245,213 Fabege AB 22,205 311,934 * Fastighets AB Balder 6,448 82,722 FinnvedenBulten AB 2,763 32,033 Getinge AB Class B 20,538 601,943 Gunnebo AB 11,036 62,986 Haldex AB 16,177 207,504 Hennes & Mauritz AB Class B 21,987 899,992 Hexagon AB Class B 37,053 1,186,275 Hexpol AB 5,500 521,118 HIQ International AB(BLNMLM8) 11,814 71,774 * HIQ International AB(B97F1H4) 11,814 4,706 Holmen AB Class B 14,678 518,765 Hufvudstaden AB Class A 6,318 92,626 Husqvarna AB Class A 20,121 166,534 Husqvarna AB Class B 88,274 737,051 ICA Gruppen AB 10,953 368,417 Industrial & Financial Systems Class B 3,666 105,164 Indutrade AB 3,105 135,119 Intrum Justitia AB 12,456 361,116 JM AB 18,653 633,827 * KappAhl AB 16,275 99,871 Klovern AB 9,524 52,376 # KNOW IT AB 4,124 43,779 Kungsleden AB 24,285 198,361 Lagercrantz AB Class B 3,024 60,909 * Lindab International AB 18,482 230,412 Loomis AB Class B 13,853 377,872 * Lundin Petroleum AB 23,533 505,165 Meda AB Class A 59,494 1,069,401 * Medivir AB Class B 6,391 113,447 Mekonomen AB 1,820 48,837 * Micronic Mydata AB 28,090 79,851 Millicom International Cellular SA 3,786 375,249 Modern Times Group AB Class B 11,891 530,543 NCC AB Class A 1,616 57,535 NCC AB Class B 24,626 862,784 Nederman Holding AB 53 1,367 Net Entertainment AB 5,323 2,456 Net Entertainment AB B Shares 5,323 128,118 * Net Insight AB Class B 22,728 6,293 New Wave Group AB Class B 9,339 63,521 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- SWEDEN -- (Continued) Nibe Industrier AB Class B 15,558 $ 436,841 Nobia AB 40,048 364,547 Nolato AB Class B 7,292 166,504 Nordea Bank AB 222,773 3,228,114 Nordnet AB Class B 25,543 125,713 * Orexo AB 4,807 78,045 Oriflame Cosmetics SA 2,373 60,765 * PA Resources AB 1,989 2,086 Peab AB 51,796 401,046 * Pricer AB Class B 33,823 30,618 Proffice AB Class B 13,012 47,439 Ratos AB Class B 31,065 316,912 ReadSoft AB Class B 781 2,103 * Rezidor Hotel Group AB 15,502 96,069 Saab AB Class B 15,995 491,493 Sagax AB Class B 4,530 21,646 Sandvik AB 83,367 1,184,805 * SAS AB 49,484 106,416 Scania AB Class B 11,384 346,829 Securitas AB Class B 62,693 757,873 Semcon AB 3,284 35,468 Skandinaviska Enskilda Banken AB Class A 146,352 2,021,548 Skandinaviska Enskilda Banken AB Class C 886 12,051 Skanska AB Class B 72,846 1,672,492 SKF AB Class A 1,000 25,759 SKF AB Class B 26,278 682,390 SkiStar AB 3,440 45,416 * SSAB AB Class A 27,273 238,115 #* SSAB AB Class B 19,718 149,175 Svenska Cellulosa AB Class A 8,697 243,216 Svenska Cellulosa AB Class B 79,422 2,232,793 Svenska Handelsbanken AB Class A 37,121 1,867,184 Svenska Handelsbanken AB Class B 808 39,449 Sweco AB Class B 3,342 52,145 Swedbank AB Class A 71,036 1,901,059 Swedish Match AB 18,087 620,508 * Swedish Orphan Biovitrum AB 30,705 337,645 Systemair AB 682 11,114 Tele2 AB Class B 87,300 1,115,616 Telefonaktiebolaget LM Ericsson Class A 12,842 148,030 Telefonaktiebolaget LM Ericsson Class B 123,302 1,486,832 Telefonaktiebolaget LM Ericsson Sponsored ADR 90,500 1,085,095 TeliaSonera AB 197,026 1,434,163 * TradeDoubler AB 13,109 29,251 * Transcom WorldWide SA 83,981 18,651 Transmode AB 682 9,102 Trelleborg AB Class B 54,244 1,160,633 Unibet Group P.L.C. 5,257 283,197 Vitrolife AB 4,005 70,542 Volvo AB Class A 24,295 391,150 Volvo AB Class B 75,408 1,194,021 Volvo AB Sponsored ADR 1,200 18,888 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ----------- SWEDEN -- (Continued) Wallenstam AB Class B 13,425 $ 220,369 Wihlborgs Fastigheter AB 9,465 182,485 ----------- TOTAL SWEDEN 50,149,912 ----------- SWITZERLAND -- (5.4%) ABB, Ltd. 141,970 3,418,082 # ABB, Ltd. Sponsored ADR 55,400 1,325,168 Actelion, Ltd. 10,350 1,018,995 Adecco SA 23,752 1,994,029 AFG Arbonia-Forster Holding AG 3,805 126,845 Allreal Holding AG 3,692 520,647 Alpiq Holding AG 648 79,519 ams AG 2,507 377,987 APG SGA SA 145 49,845 Aryzta AG 22,161 2,048,462 Ascom Holding AG 10,841 201,677 Autoneum Holding AG 562 119,229 Bachem Holding AG Class B 894 50,481 Baloise Holding AG 12,070 1,469,807 Bank Coop AG 1,545 75,554 Banque Cantonale de Geneve 133 33,978 Banque Cantonale Vaudoise 768 455,874 Banque Privee Edmond de Rothschild SA 1 18,426 Barry Callebaut AG 404 549,055 * Basilea Pharmaceutica 1,544 161,777 Basler Kantonalbank 1,030 89,037 Belimo Holding AG 41 115,482 Bell AG 22 60,472 Berner Kantonalbank AG 1,080 264,959 BKW AG 1,558 57,237 * Bobst Group SA 1,950 99,253 Bossard Holding AG Class A 1,456 200,557 Bucher Industries AG 1,604 522,464 Burckhardt Compression Holding AG 583 302,179 Burkhalter Holding AG 533 50,289 Calida Holding AG 792 33,296 Carlo Gavazzi Holding AG 41 10,667 * Charles Voegele Holding AG 1,422 23,413 Cie Financiere Richemont SA 25,724 2,617,160 Cie Financiere Tradition SA 475 25,858 Clariant AG 74,334 1,465,859 Coltene Holding AG 641 41,376 Conzzeta AG 35 138,480 Credit Suisse Group AG 133,018 4,217,021 Credit Suisse Group AG Sponsored ADR 90,936 2,879,943 Daetwyler Holding AG 1,803 285,081 DKSH Holding AG 1,081 89,210 * Dufry AG 5,262 870,843 EFG International AG 14,116 178,864 Emmi AG 576 211,349 EMS-Chemie Holding AG 886 345,715 Energiedienst Holding AG 1,334 48,339 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ----------- SWITZERLAND -- (Continued) Flughafen Zuerich AG 1,026 $ 647,284 Forbo Holding AG 467 483,391 Galenica AG 942 959,219 GAM Holding AG 41,481 755,498 Gategroup Holding AG 6,127 190,911 Geberit AG 3,490 1,165,625 Georg Fischer AG 1,369 1,086,034 Givaudan SA 993 1,567,127 Gurit Holding AG 121 63,219 Helvetia Holding AG 1,543 769,106 Holcim, Ltd. 29,548 2,710,036 Huber & Suhner AG 2,687 147,806 Implenia AG 3,047 223,427 Inficon Holding AG 385 137,893 Interroll Holding AG 127 79,017 Intershop Holdings AG 193 74,598 Julius Baer Group, Ltd. 54,162 2,536,970 Kaba Holding AG Class B 866 417,160 Kardex AG 1,417 72,588 Komax Holding AG 1,188 183,886 Kudelski SA 11,129 191,932 Kuehne + Nagel International AG 2,593 354,569 Kuoni Reisen Holding AG 886 391,269 LEM Holding SA 55 45,431 Liechtensteinische Landesbank AG 1,899 94,004 * LifeWatch AG 1,022 12,372 Lindt & Spruengli AG 5 291,692 # Logitech International SA(H50430232) 5,400 72,630 Logitech International SA(B18ZRK2) 30,755 417,120 Lonza Group AG 14,498 1,517,369 Luzerner Kantonalbank AG 753 309,876 Metall Zug AG 40 120,620 #* Meyer Burger Technology AG 22,889 282,990 Micronas Semiconductor Holding AG 7,468 66,484 * Mobilezone Holding AG 4,831 54,987 Mobimo Holding AG 1,608 345,601 * Myriad Group AG 8,397 12,594 Nestle SA 127,298 9,838,132 Nobel Biocare Holding AG 12,275 171,225 Novartis AG 9,303 808,733 Novartis AG ADR 117,451 10,211,190 OC Oerlikon Corp. AG 45,072 717,983 * Orascom Development Holding AG 924 14,393 * Orell Fuessli Holding AG 152 17,585 Orior AG 1,175 75,925 Panalpina Welttransport Holding AG 1,841 289,102 Partners Group Holding AG 2,070 566,802 Phoenix Mecano AG 178 114,534 PSP Swiss Property AG 2,990 287,384 PubliGroupe AG 443 88,751 Rieter Holding AG 1,014 229,287 Roche Holding AG(7108918) 424 123,773 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ------------ SWITZERLAND -- (Continued) Roche Holding AG(7110388) 17,635 $ 5,173,158 Romande Energie Holding SA 49 63,989 Schaffner Holding AG 144 42,254 Schindler Holding AG 1,376 210,033 * Schmolz + Bickenbach AG 160,352 230,059 Schweiter Technologies AG 241 182,181 Schweizerische National-Versicherungs-Gesellschaft AG 3,503 242,761 SGS SA 275 686,977 Siegfried Holding AG 806 151,037 Sika AG 398 1,610,386 Sonova Holding AG 3,736 539,720 St Galler Kantonalbank AG 653 280,474 Straumann Holding AG 472 104,742 Sulzer AG 5,816 897,422 Swatch Group AG (The)(7184725) 3,316 2,132,321 Swatch Group AG (The)(7184736) 4,098 494,464 Swiss Life Holding AG 8,107 1,997,367 Swiss Re AG 51,583 4,510,473 Swisscom AG 1,386 843,213 * Swisslog Holding AG 61,788 71,033 Swissquote Group Holding SA 2,565 101,110 Syngenta AG ADR 13,102 1,029,162 Tamedia AG 430 56,664 Tecan Group AG 1,906 238,376 Temenos Group AG 13,356 478,880 * Tornos Holding AG 1,468 10,428 U-Blox AG 1,839 225,151 UBS AG(H89231338) 159,324 3,331,465 UBS AG(B18YFJ4) 124,654 2,606,997 Valiant Holding AG 3,018 334,148 Valora Holding AG 795 224,799 Vaudoise Assurances Holding SA Class B 195 89,095 Verwaltungs- und Privat-Bank AG 851 84,844 Vetropack Holding AG 57 109,804 * Von Roll Holding AG 14,867 28,891 Vontobel Holding AG 6,359 249,243 * Walter Meier AG 480 25,930 WM Technologie, Ltd. 480 11,453 Ypsomed Holding AG 537 57,432 Zehnder Group AG 2,160 94,193 * Zueblin Immobilien Holding AG 4,474 8,741 Zug Estates Holding AG 36 48,457 Zuger Kantonalbank AG 25 135,224 Zurich Insurance Group AG 21,258 6,095,916 ------------ TOTAL SWITZERLAND 107,887,441 ------------ TAIWAN -- (3.5%) # A-DATA Technology Co., Ltd. 48,000 114,654 Ability Enterprise Co., Ltd. 120,530 76,057 AcBel Polytech, Inc. 108,540 142,620 Accton Technology Corp. 113,929 67,851 #* Acer, Inc. 647,810 400,603 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- -------- TAIWAN -- (Continued) ACES Electronic Co., Ltd. 6,000 $ 6,935 ACHEM Technology Corp. 61,579 44,579 * Acme Electronics Corp. 19,000 31,981 Acter Co., Ltd. 10,000 38,465 * Action Electronics Co., Ltd. 61,921 12,358 Actron Technology Corp. 10,000 42,330 Adlink Technology, Inc. 17,000 31,353 Advanced Ceramic X Corp. 8,000 39,586 Advanced International Multitech Co., Ltd. 7,000 7,170 Advanced Semiconductor Engineering, Inc. 509,644 593,462 Advanced Semiconductor Engineering, Inc. ADR 36,804 217,512 Advancetek Enterprise Co., Ltd. 36,000 39,340 Advantech Co., Ltd. 28,600 185,238 * AGV Products Corp. 114,969 36,247 Airtac International Group 3,000 32,267 ALI Corp. 66,000 68,607 Allis Electric Co., Ltd. 8,000 2,527 Alpha Networks, Inc. 70,000 55,532 Altek Corp. 110,498 111,587 Ambassador Hotel (The) 55,000 50,749 AMPOC Far-East Co., Ltd. 24,000 20,329 AmTRAN Technology Co., Ltd. 244,823 169,541 Anpec Electronics Corp. 35,000 28,541 Apacer Technology, Inc. 25,450 25,214 APCB, Inc. 39,000 26,737 Apex Biotechnology Corp. 31,226 67,482 Arcadyan Technology Corp. 25,561 40,127 Ardentec Corp. 78,780 66,955 * Arima Communications Corp. 58,708 34,648 Asia Cement Corp. 251,009 330,226 * Asia Optical Co., Inc. 90,000 89,830 # Asia Plastic Recycling Holding, Ltd. 18,240 38,689 Asia Polymer Corp. 99,000 76,766 Asia Vital Components Co., Ltd. 82,053 52,499 ASROCK, Inc. 6,000 22,865 Asustek Computer, Inc. 79,502 821,974 Aten International Co., Ltd. 19,000 59,857 * AU Optronics Corp. 2,025,980 770,210 * AU Optronics Corp. Sponsored ADR 21,622 81,299 Audix Corp. 16,000 15,452 Aurora Corp. 33,000 60,892 AV Tech Corp. 12,000 32,437 Avermedia Technologies 35,000 14,436 Bank of Kaohsiung 56,753 17,882 * BenQ Materials Corp. 9,000 11,052 BES Engineering Corp. 426,000 111,904 Bizlink Holding, Inc. 8,000 42,152 Boardtek Electronics Corp. 47,000 52,893 * Bright Led Electronics Corp. 22,000 11,482 C Sun Manufacturing, Ltd. 26,000 24,817 Capella Microsystems Taiwan, Inc. 14,591 55,778 Capital Securities Corp. 433,448 148,670 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- -------- TAIWAN -- (Continued) Career Technology MFG. Co., Ltd. 96,000 $135,543 Carnival Industrial Corp. 28,000 7,485 # Catcher Technology Co., Ltd. 59,360 501,210 Cathay Financial Holding Co., Ltd. 348,279 492,461 Cathay Real Estate Development Co., Ltd. 223,000 129,402 #* Center Laboratories, Inc. 16,933 41,134 Central Reinsurance Co., Ltd. 28,560 15,271 * Champion Building Materials Co., Ltd. 74,526 26,435 Chang Hwa Commercial Bank 799,975 465,090 Chang Wah Electromaterials, Inc. 8,682 22,790 Charoen Pokphand Enterprise 64,000 56,579 Chaun-Choung Technology Corp. 25,000 66,500 CHC Resources Corp. 22,000 51,233 Chenbro Micom Co., Ltd. 8,000 12,295 Cheng Loong Corp. 244,360 106,104 Cheng Shin Rubber Industry Co., Ltd. 97,341 279,582 Cheng Uei Precision Industry Co., Ltd. 110,051 221,514 * Chenming Mold Industry Corp. 20,000 24,815 Chia Chang Co., Ltd. 24,000 28,482 * Chia Hsin Cement Corp. 61,338 32,197 Chicony Electronics Co., Ltd. 68,018 177,131 Chien Kuo Construction Co., Ltd. 75,250 34,065 Chilisin Electronics Corp. 18,400 14,139 Chimei Materials Technology Corp. 62,000 72,210 Chin-Poon Industrial Co., Ltd. 126,126 236,739 * China Airlines, Ltd. 745,019 249,347 China Chemical & Pharmaceutical Co., Ltd. 99,000 73,054 China Development Financial Holding Corp. 1,704,573 488,887 China Ecotek Corp. 11,000 27,679 China Electric Manufacturing Corp. 73,000 30,744 China General Plastics Corp. 60,420 30,550 China Glaze Co., Ltd. 29,599 15,119 China Life Insurance Co., Ltd. 445,653 390,426 China Metal Products 102,246 117,939 China Motor Corp. 80,000 72,462 China Petrochemical Development Corp. 529,031 208,592 China Steel Chemical Corp. 8,000 46,159 China Steel Corp. 679,296 570,820 China Steel Structure Co., Ltd. 24,000 26,470 China Synthetic Rubber Corp. 118,224 113,167 * China Wire & Cable Co., Ltd. 61,000 24,062 Chinese Maritime Transport, Ltd. 41,000 48,319 # Chipbond Technology Corp. 155,000 265,476 # Chong Hong Construction Co. 48,625 134,318 Chroma ATE, Inc. 65,560 169,111 * Chun YU Works & Co., Ltd. 8,000 3,374 Chun Yuan Steel 160,570 67,320 Chung Hsin Electric & Machinery Manufacturing Corp. 99,000 66,661 * Chung Hung Steel Corp. 163,212 42,124 * Chung Hwa Pulp Corp. 161,470 48,273 Chunghwa Chemical Synthesis & Biotech Co., Ltd. 11,000 15,562 * Chunghwa Picture Tubes, Ltd. 951,656 59,128 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- -------- TAIWAN -- (Continued) Chunghwa Telecom Co., Ltd. 47,727 $149,245 Chunghwa Telecom Co., Ltd. ADR 3,011 94,515 Cleanaway Co., Ltd. 6,000 33,933 Clevo Co. 71,401 131,617 * CMC Magnetics Corp. 757,000 116,737 Collins Co., Ltd. 54,802 20,429 Compal Electronics, Inc. 1,063,747 758,911 Compeq Manufacturing Co., Ltd. 288,000 188,853 Continental Holdings Corp. 124,000 47,059 Coretronic Corp. 211,000 251,979 * Cosmos Bank Taiwan 129,195 63,734 Coxon Precise Industrial Co., Ltd. 27,000 45,709 CSBC Corp. Taiwan 86,740 52,655 CTBC Financial Holding Co., Ltd. 1,243,134 739,627 CTCI Corp. 134,444 214,708 Cub Elecparts, Inc. 2,000 17,741 Cyberlink Corp. 23,535 72,313 # CyberTAN Technology, Inc. 42,424 41,381 D-Link Corp. 186,062 121,913 DA CIN Construction Co., Ltd. 36,000 33,514 Dafeng TV, Ltd. 8,200 14,057 * Danen Technology Corp. 65,000 32,932 Darfon Electronics Corp. 51,000 35,489 Daxin Materials Corp. 24,000 42,955 Delpha Construction Co., Ltd. 53,321 29,729 Delta Electronics, Inc. 45,320 278,250 Depo Auto Parts Ind Co., Ltd. 32,000 128,900 * Dynamic Electronics Co., Ltd. 68,183 25,600 # Dynapack International Technology Corp. 27,000 70,444 #* E Ink Holdings, Inc. 192,000 127,964 E-Lead Electronic Co., Ltd. 21,000 50,268 E-LIFE MALL Corp. 18,000 38,044 * E-Ton Solar Tech Co., Ltd. 60,022 37,125 E.Sun Financial Holding Co., Ltd.() 86,878 9,350 E.Sun Financial Holding Co., Ltd.(6433912) 953,734 576,876 * Eastern Media International Corp. 136,330 59,356 Eclat Textile Co., Ltd. 33,308 365,200 Edimax Technology Co., Ltd. 52,313 25,269 Edison Opto Corp. 20,000 23,820 eGalax_eMPIA Technology, Inc. 6,000 17,006 Elan Microelectronics Corp. 104,000 192,617 Elite Advanced Laser Corp. 13,000 48,810 Elite Material Co., Ltd. 84,162 75,267 Elite Semiconductor Memory Technology, Inc. 70,000 127,652 Elitegroup Computer Systems Co., Ltd. 127,100 94,197 eMemory Technology, Inc. 13,000 91,812 ENG Electric Co., Ltd. 50,000 40,738 EnTie Commercial Bank 112,000 49,726 * Episil Technologies, Inc. 131,000 51,093 Epistar Corp. 235,169 514,633 Eternal Chemical Co., Ltd. 146,140 152,591 * Etron Technology, Inc. 155,000 84,090 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- TAIWAN -- (Continued) * Eva Airways Corp. 344,380 $174,690 * Everest Textile Co., Ltd. 13,000 4,812 Evergreen International Storage & Transport Corp. 161,000 98,811 * Evergreen Marine Corp. Taiwan, Ltd. 441,399 250,948 Everlight Chemical Industrial Corp. 99,477 91,351 # Everlight Electronics Co., Ltd. 105,225 246,582 * Everspring Industry Co., Ltd. 16,000 22,858 Excelsior Medical Co., Ltd. 19,172 35,799 Far Eastern Department Stores, Ltd. 225,343 209,920 Far Eastern International Bank 298,048 104,681 Far Eastern New Century Corp. 377,225 386,526 Far EasTone Telecommunications Co., Ltd. 116,000 250,813 Faraday Technology Corp. 69,395 94,591 Farglory Land Development Co., Ltd. 89,575 146,915 Federal Corp. 155,232 110,907 Feng Hsin Iron & Steel Co. 96,000 160,959 Feng TAY Enterprise Co., Ltd. 37,470 103,757 # Firich Enterprises Co., Ltd. 37,777 187,962 * First Copper Technology Co., Ltd. 49,000 17,145 First Financial Holding Co., Ltd. 849,650 498,414 First Hotel 49,097 31,153 First Insurance Co., Ltd. 35,000 21,821 First Steamship Co., Ltd. 83,509 48,740 # FLEXium Interconnect, Inc. 51,588 140,433 Flytech Technology Co., Ltd. 9,862 37,942 Forhouse Corp. 82,000 33,339 Formosa Advanced Technologies Co., Ltd. 24,000 18,474 Formosa Chemicals & Fibre Corp. 161,821 391,861 #* Formosa Epitaxy, Inc. 88,000 50,546 Formosa International Hotels Corp. 4,400 51,750 #* Formosa Laboratories, Inc. 12,191 30,773 Formosa Optical Technology Co., Ltd. 9,000 30,732 Formosa Petrochemical Corp. 14,000 35,213 Formosa Plastics Corp. 116,927 301,716 Formosan Rubber Group, Inc. 117,000 109,570 Formosan Union Chemical 67,167 32,715 Founding Construction & Development Co., Ltd. 38,685 24,114 Foxconn Technology Co., Ltd. 166,312 413,822 Foxlink Image Technology Co., Ltd. 30,000 22,209 * Froch Enterprise Co., Ltd. 29,000 10,203 FSP Technology, Inc. 34,782 37,365 Fubon Financial Holding Co., Ltd. 521,019 674,345 Fullerton Technology Co., Ltd. 19,000 17,134 * Fulltech Fiber Glass Corp. 120,965 49,765 Fwusow Industry Co., Ltd. 68,394 34,452 G Shank Enterprise Co., Ltd. 89,000 67,044 # G Tech Optoelectronics Corp. 45,000 51,501 * Gamania Digital Entertainment Co., Ltd. 2,000 2,388 Gemtek Technology Corp. 83,348 75,339 #* Genesis Photonics, Inc. 56,408 38,170 Genius Electronic Optical Co., Ltd. 9,625 33,085 Genmont Biotech, Inc. 5,000 7,618 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- TAIWAN -- (Continued) GeoVision, Inc. 4,400 $ 23,970 Getac Technology Corp. 95,000 50,640 Giant Manufacturing Co., Ltd. 18,760 146,888 Giga Solar Materials Corp. 3,000 69,504 #* Gigastorage Corp. 91,450 111,122 * Gintech Energy Corp. 81,394 83,776 Global Mixed Mode Technology, Inc. 12,000 37,810 Global Unichip Corp. 11,000 30,642 * Globe Union Industrial Corp. 41,000 27,103 Gloria Material Technology Corp. 150,150 121,798 * Gold Circuit Electronics, Ltd. 71,070 19,509 Goldsun Development & Construction Co., Ltd. 310,624 109,670 Gourmet Master Co., Ltd. 8,000 64,851 Grand Pacific Petrochemical 206,000 131,163 Grape King Bio, Ltd. 14,000 62,776 Great China Metal Industry 26,000 33,793 Great Taipei Gas Co., Ltd. 41,000 32,146 Great Wall Enterprise Co., Ltd. 108,252 112,154 #* Green Energy Technology, Inc. 62,581 52,060 * GTM Corp. 27,000 17,273 Hannstar Board Corp. 49,096 17,763 #* HannStar Display Corp. 643,000 223,038 * HannsTouch Solution, Inc. 218,026 59,776 * Harvatek Corp. 22,663 13,535 Hey Song Corp. 83,500 87,712 Highwealth Construction Corp. 75,118 167,716 Hitron Technology, Inc. 42,000 26,077 Hiwin Technologies Corp. 11,416 108,732 Ho Tung Chemical Corp. 251,386 112,176 * Hocheng Corp. 66,000 22,232 Holiday Entertainment Co., Ltd. 12,000 15,234 Holtek Semiconductor, Inc. 35,000 63,022 Holy Stone Enterprise Co., Ltd. 48,878 65,969 Hon Hai Precision Industry Co., Ltd. 745,498 2,141,042 Hon Hai Precision Industry Co., Ltd. GDR 37,872 217,602 Hong TAI Electric Industrial 72,000 24,821 Horizon Securities Co., Ltd. 142,000 41,949 # Hota Industrial Manufacturing Co., Ltd. 21,038 33,746 Hotai Motor Co., Ltd. 28,000 328,544 * Howarm Construction Co., Ltd. 30,000 26,220 Hsin Kuang Steel Co., Ltd. 51,000 32,443 Hsin Yung Chien Co., Ltd. 4,000 12,345 # HTC Corp. 78,522 403,811 Hu Lane Associate, Inc. 6,431 21,364 HUA ENG Wire & Cable 87,000 33,732 Hua Nan Financial Holdings Co., Ltd. 775,992 437,169 Huaku Development Co., Ltd. 75,540 185,111 Huang Hsiang Construction Co. 25,000 38,036 Hung Poo Real Estate Development Corp. 73,695 65,976 Hung Sheng Construction, Ltd. 137,500 89,131 * Hwa Fong Rubber Co., Ltd. 95,397 66,292 I-Chiun Precision Industry Co., Ltd. 61,000 44,071 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- -------- TAIWAN -- (Continued) I-Sheng Electric Wire & Cable Co., Ltd. 25,000 $ 37,528 Ibase Technology, Inc. 4,195 8,147 Ichia Technologies, Inc. 63,000 77,371 IEI Integration Corp. 44,625 64,171 ILI Technology Corp. 7,349 14,451 Infortrend Technology, Inc. 60,320 37,861 #* Innolux Corp. 1,683,477 581,558 #* Inotera Memories, Inc. 452,634 464,939 Integrated Memory Logic, Ltd. 16,000 43,828 International Games System Co., Ltd. 6,000 17,122 Inventec Corp. 553,945 510,784 ITE Technology, Inc. 53,193 58,480 ITEQ Corp. 68,835 79,475 #* J Touch Corp. 19,000 14,506 Jentech Precision Industrial Co., Ltd. 23,000 77,407 Jess-Link Products Co., Ltd. 25,000 23,608 Jih Sun Financial Holdings Co., Ltd. 316,659 85,592 Johnson Health Tech Co., Ltd. 7,247 17,643 Kao Hsing Chang Iron & Steel 44,850 19,355 # Kaori Heat Treatment Co., Ltd. 13,115 31,328 Kaulin Manufacturing Co., Ltd. 25,000 22,013 KD Holding Corp. 7,000 40,794 KEE TAI Properties Co., Ltd. 63,790 43,455 Kenda Rubber Industrial Co., Ltd. 142,083 330,461 * Kenmec Mechanical Engineering Co., Ltd. 68,000 31,416 Kerry TJ Logistics Co., Ltd. 38,000 45,686 King Slide Works Co., Ltd. 9,000 117,367 King Yuan Electronics Co., Ltd. 360,545 275,327 King's Town Bank 212,000 196,855 Kingdom Construction Co. 76,000 78,569 Kinik Co. 26,000 71,646 Kinko Optical Co., Ltd. 62,000 57,117 Kinpo Electronics 338,000 126,107 Kinsus Interconnect Technology Corp. 50,000 189,053 KMC Kuei Meng International, Inc. 4,000 17,529 KS Terminals, Inc. 15,162 25,301 Kung Long Batteries Industrial Co., Ltd. 16,000 52,492 Kung Sing Engineering Corp. 91,000 41,306 Kuo Toong International Co., Ltd. 40,000 67,969 Kuoyang Construction Co., Ltd. 71,387 36,306 Kwong Fong Industries 53,200 34,718 KYE Systems Corp. 67,040 28,939 LAN FA Textile 28,922 8,946 Largan Precision Co., Ltd. 5,000 313,044 LCY Chemical Corp. 84,286 86,754 Leader Electronics, Inc. 40,000 18,447 Lealea Enterprise Co., Ltd. 206,584 72,580 LEE CHI Enterprises Co., Ltd. 96,000 53,867 Lelon Electronics Corp. 35,000 34,066 * Leofoo Development Co. 34,417 13,008 # LES Enphants Co., Ltd. 22,025 14,858 Lextar Electronics Corp. 46,500 45,521 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- -------- TAIWAN -- (Continued) * Li Peng Enterprise Co., Ltd. 132,092 $ 61,796 Lian HWA Food Corp. 7,560 9,787 Lien Hwa Industrial Corp. 152,284 96,356 Lingsen Precision Industries, Ltd. 142,000 93,705 Lite-On Semiconductor Corp. 62,000 45,541 Lite-On Technology Corp. 404,672 619,056 Long Bon International Co., Ltd. 93,000 57,838 Long Chen Paper Co., Ltd. 191,546 83,800 Longwell Co. 23,000 30,466 Lotes Co., Ltd. 16,000 52,030 Lumax International Corp., Ltd. 23,705 56,145 Lung Yen Life Service Corp. 20,000 54,476 Macroblock, Inc. 4,000 10,498 * Macronix International 1,127,909 266,013 MacroWell OMG Digital Entertainment Co., Ltd. 6,000 16,846 Makalot Industrial Co., Ltd. 28,000 147,240 Marketech International Corp. 22,000 15,972 Masterlink Securities Corp. 246,000 80,356 Mayer Steel Pipe Corp. 29,700 13,472 Maywufa Co., Ltd. 49,000 24,097 MediaTek, Inc. 25,048 392,502 * Medigen Biotechnology Corp. 6,298 75,882 Mega Financial Holding Co., Ltd. 932,748 714,095 Mercuries & Associates, Ltd. 54,322 35,989 * Mercuries Life Insurance Co., Ltd. 103,000 57,677 Merida Industry Co., Ltd. 19,800 132,747 Merry Electronics Co., Ltd. 37,842 205,754 Micro-Star International Co., Ltd. 220,394 241,536 #* Microbio Co., Ltd. 52,881 54,027 #* Microelectronics Technology, Inc. 87,213 46,478 Microlife Corp. 9,000 24,432 # MIN AIK Technology Co., Ltd. 17,000 92,132 Mirle Automation Corp. 46,505 42,278 * Mitac Holdings Corp. 145,520 117,743 #* Motech Industries, Inc. 69,000 116,939 MPI Corp. 21,000 51,648 Nak Sealing Technologies Corp. 10,000 45,433 Namchow Chemical Industrial Co., Ltd. 36,000 69,417 * Nan Kang Rubber Tire Co., Ltd. 91,183 103,662 Nan Ya Plastics Corp. 246,187 539,851 #* Nan Ya Printed Circuit Board Corp. 43,214 61,020 Nantex Industry Co., Ltd. 41,445 26,020 * Nanya Technology Corp. 152,000 24,939 National Petroleum Co., Ltd. 67,000 59,910 #* Neo Solar Power Corp. 110,640 131,382 Netronix, Inc. 18,000 46,988 New Era Electronics Co., Ltd. 16,000 19,780 * Newmax Technology Co., Ltd. 12,523 27,747 Nien Hsing Textile Co., Ltd. 60,271 59,473 Novatek Microelectronics Corp. 74,000 343,022 #* Ocean Plastics Co., Ltd. 29,000 38,915 #* Oneness Biotech Co., Ltd. 31,000 64,647 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- TAIWAN -- (Continued) OptoTech Corp. 184,000 $ 88,851 * Orient Semiconductor Electronics, Ltd. 103,000 29,091 Oriental Union Chemical Corp. 146,992 146,164 Orise Technology Co., Ltd. 15,000 27,081 Pacific Hospital Supply Co., Ltd. 8,000 20,681 * Pan Jit International, Inc. 158,940 72,298 Pan-International Industrial Corp. 77,620 57,226 Parade Technologies, Ltd. 6,000 51,321 Paragon Technologies Co., Ltd. 7,423 20,280 PChome Online, Inc. 11,000 75,626 Pegatron Corp. 408,261 619,536 * PharmaEngine, Inc. 6,000 50,296 Phihong Technology Co., Ltd. 69,000 46,237 Phison Electronics Corp. 39,000 265,587 Phoenix Tours International, Inc. 7,000 11,602 #* Phytohealth Corp. 30,000 36,580 #* Pihsiang Machinery Manufacturing Co., Ltd. 29,000 29,374 # Pixart Imaging, Inc. 28,000 54,871 Polytronics Technology Corp. 8,000 19,089 Portwell, Inc. 18,000 19,381 Posiflex Technologies, Inc. 8,000 41,641 Pou Chen Corp. 416,528 530,359 * Power Quotient International Co., Ltd. 50,000 23,197 * Powercom Co., Ltd. 16,150 2,514 Powertech Technology, Inc. 195,900 317,050 Poya Co., Ltd. 9,070 56,601 President Chain Store Corp. 25,768 191,743 President Securities Corp. 204,422 112,144 Prime Electronics Satellitics, Inc. 29,400 21,043 Prince Housing & Development Corp. 224,900 104,103 Promate Electronic Co., Ltd. 33,000 38,715 Promise Technology, Inc. 34,874 46,158 * Qisda Corp. 466,875 151,754 Quanta Computer, Inc. 97,007 266,166 * Quintain Steel Co., Ltd. 73,000 16,138 Radiant Opto-Electronics Corp. 59,782 241,029 # Radium Life Tech Co., Ltd. 195,532 153,248 Realtek Semiconductor Corp. 77,098 220,120 Rechi Precision Co., Ltd. 72,996 78,464 Rich Development Co., Ltd. 171,814 80,852 Richtek Technology Corp. 22,000 126,409 * Ritek Corp. 908,759 142,382 Ruentex Development Co., Ltd. 105,550 187,054 Ruentex Engineering & Construction Co. 13,000 30,143 Ruentex Industries, Ltd. 105,501 250,905 # Run Long Construction Co., Ltd. 17,000 16,281 Sampo Corp. 82,155 31,594 San Fang Chemical Industry Co., Ltd. 10,502 10,277 San Shing Fastech Corp. 21,000 61,401 Sanyang Industry Co., Ltd. 227,900 208,694 Scientech Corp. 8,000 14,929 SDI Corp. 19,000 28,162 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- -------- TAIWAN -- (Continued) Senao International Co., Ltd. 13,000 $ 34,242 Sercomm Corp. 61,000 123,011 Sesoda Corp. 38,850 40,508 ShenMao Technology, Inc. 14,922 19,959 Shih Wei Navigation Co., Ltd. 83,100 55,930 Shihlin Electric & Engineering Corp. 57,000 68,906 #* Shihlin Paper Corp. 16,000 22,667 Shin Kong Financial Holding Co., Ltd. 1,789,133 541,904 Shin Zu Shing Co., Ltd. 33,549 91,073 * Shining Building Business Co., Ltd. 47,960 38,334 Shinkong Insurance Co., Ltd. 75,000 58,310 Shinkong Synthetic Fibers Corp. 410,799 132,262 Shinkong Textile Co., Ltd. 70,000 88,260 Shuttle, Inc. 166,000 65,006 Sigurd Microelectronics Corp. 75,000 74,673 Siliconware Precision Industries Co. 302,000 447,494 Silitech Technology Corp. 30,442 41,262 Simplo Technology Co., Ltd. 44,000 229,221 Sinbon Electronics Co., Ltd. 72,000 107,356 Sincere Navigation Corp. 79,125 68,909 Sinmag Equipment Corp. 8,000 44,569 * Sino-American Silicon Products, Inc. 116,000 194,640 Sinon Corp. 74,000 43,259 SinoPac Financial Holdings Co., Ltd. 1,266,848 565,495 # Sinphar Pharmaceutical Co., Ltd. 25,586 43,359 Sinyi Realty Co. 38,303 68,297 Sirtec International Co., Ltd. 34,000 61,855 Sitronix Technology Corp. 21,000 41,691 * Siward Crystal Technology Co., Ltd. 22,000 12,797 Solar Applied Materials Technology Co. 103,000 91,570 #* Solartech Energy Corp. 60,296 45,311 * Solytech Enterprise Corp. 31,000 10,479 Sonix Technology Co., Ltd. 63,000 118,496 Southeast Cement Co., Ltd. 33,000 17,508 Sporton International, Inc. 10,100 44,461 St Shine Optical Co., Ltd. 9,000 191,081 Standard Chemical & Pharmaceutical Co., Ltd. 20,330 27,577 Standard Foods Corp. 33,961 93,433 Stark Technology, Inc. 41,000 39,467 Sunonwealth Electric Machine Industry Co., Ltd. 39,000 30,132 Sunrex Technology Corp. 80,000 35,712 Sunspring Metal Corp. 9,000 18,231 Supreme Electronics Co., Ltd. 69,151 37,930 Sweeten Construction Co., Ltd. 25,500 16,617 Syncmold Enterprise Corp. 16,000 27,833 # Synmosa Biopharma Corp. 16,971 22,363 Synnex Technology International Corp. 237,248 369,219 T-Mac Techvest PCB Co., Ltd. 42,000 31,292 TA Chen Stainless Pipe 154,827 86,224 * Ta Chong Bank, Ltd. 420,892 140,246 Ta Ya Electric Wire & Cable 86,860 21,190 TA-I Technology Co., Ltd. 25,202 13,906 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ---------- TAIWAN -- (Continued) Tah Hsin Industrial Co., Ltd. 11,000 $ 10,466 Taichung Commercial Bank 360,706 120,173 TaiDoc Technology Corp. 10,000 29,605 Taiflex Scientific Co., Ltd. 49,000 95,249 Taimide Tech, Inc. 21,000 21,782 Tainan Enterprises Co., Ltd. 48,000 50,808 Tainan Spinning Co., Ltd. 246,845 166,078 Taishin Financial Holding Co., Ltd. 1,675,880 761,183 * Taisun Enterprise Co., Ltd. 47,741 20,239 * Taita Chemical Co., Ltd. 116,424 39,179 Taiwan Acceptance Corp. 21,000 53,247 * Taiwan Business Bank 791,085 230,822 Taiwan Cement Corp. 495,137 786,742 Taiwan Chinsan Electronic Industrial Co., Ltd. 14,000 26,949 Taiwan Cogeneration Corp. 100,993 67,066 Taiwan Cooperative Financial Holding Co., Ltd. 709,544 377,454 Taiwan Fertilizer Co., Ltd. 193,000 384,065 Taiwan Fire & Marine Insurance Co. 50,040 38,908 Taiwan FU Hsing Industrial Co., Ltd. 17,000 17,514 Taiwan Glass Industry Corp. 178,142 163,088 Taiwan Hon Chuan Enterprise Co., Ltd. 66,492 137,161 Taiwan Hopax Chemicals Manufacturing Co., Ltd. 29,000 23,505 * Taiwan Land Development Corp. 142,703 52,507 * Taiwan Life Insurance Co., Ltd. 100,006 76,945 Taiwan Line Tek Electronic 10,000 9,491 Taiwan Mobile Co., Ltd. 19,800 63,912 Taiwan Navigation Co., Ltd. 34,000 25,015 Taiwan Paiho, Ltd. 80,892 106,343 Taiwan PCB Techvest Co., Ltd. 41,800 59,496 # Taiwan Prosperity Chemical Corp. 40,000 39,145 * Taiwan Pulp & Paper Corp. 93,280 35,085 Taiwan Sakura Corp. 58,140 41,737 Taiwan Sanyo Electric Co., Ltd. 12,750 14,531 Taiwan Secom Co., Ltd. 22,000 55,774 Taiwan Semiconductor Co., Ltd. 108,000 119,196 Taiwan Semiconductor Manufacturing Co., Ltd. 454,465 1,785,754 Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored ADR 42,673 857,727 Taiwan Sogo Shin Kong SEC 27,000 36,532 * Taiwan Styrene Monomer 161,127 90,651 Taiwan Surface Mounting Technology Co., Ltd. 44,100 65,950 * Taiwan TEA Corp. 168,704 104,636 Taiwan Union Technology Corp. 43,000 42,022 Taiyen Biotech Co., Ltd. 23,733 20,207 * Tatung Co., Ltd. 728,452 230,847 Te Chang Construction Co., Ltd. 10,000 10,079 Teco Electric and Machinery Co., Ltd. 399,000 433,896 Test Research, Inc. 47,532 79,787 Test-Rite International Co., Ltd. 99,389 71,369 Thinking Electronic Industrial Co., Ltd. 15,000 24,890 Thye Ming Industrial Co., Ltd. 34,850 40,164 Ton Yi Industrial Corp. 130,200 138,725 Tong Hsing Electronic Industries, Ltd. 38,000 204,306 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- -------- TAIWAN -- (Continued) Tong Yang Industry Co., Ltd. 88,041 $126,359 Tong-Tai Machine & Tool Co., Ltd. 48,305 48,925 Topco Scientific Co., Ltd. 42,443 79,279 Topoint Technology Co., Ltd. 25,494 18,308 Toung Loong Textile Manufacturing 8,000 22,901 Transcend Information, Inc. 45,483 150,240 Tripod Technology Corp. 120,970 238,438 Tsann Kuen Enterprise Co., Ltd. 12,913 18,255 TSRC Corp. 107,350 157,637 Ttet Union Corp. 10,000 25,149 # TTY Biopharm Co., Ltd. 15,246 47,725 Tung Ho Steel Enterprise Corp. 157,254 134,222 Tung Thih Electronic Co., Ltd. 5,492 22,463 TXC Corp. 82,411 119,073 * TYC Brother Industrial Co., Ltd. 67,000 42,526 * Tycoons Group Enterprise 127,354 22,577 * Tyntek Corp. 69,319 23,396 TZE Shin International Co., Ltd. 36,729 13,581 U-Ming Marine Transport Corp. 69,000 116,192 # Ubright Optronics Corp. 16,000 38,036 Uni-President Enterprises Corp. 311,864 527,985 Unimicron Technology Corp. 364,356 310,129 * Union Bank Of Taiwan 252,441 89,931 * Unitech Printed Circuit Board Corp. 157,629 61,489 United Integrated Services Co., Ltd. 69,000 75,412 United Microelectronics Corp. 1,706,453 744,039 # Unity Opto Technology Co., Ltd. 62,929 77,805 Universal Cement Corp. 84,000 80,474 * Unizyx Holding Corp. 107,000 59,403 UPC Technology Corp. 159,472 70,851 USI Corp. 195,518 123,750 Vanguard International Semiconductor Corp. 129,000 176,780 #* Via Technologies, Inc. 41,800 30,095 Visual Photonics Epitaxy Co., Ltd. 49,300 52,493 Vivotek, Inc. 5,175 24,921 #* Wafer Works Corp. 94,000 48,093 Wah Hong Industrial Corp. 3,423 3,481 Wah Lee Industrial Corp. 35,000 66,996 * Walsin Lihwa Corp. 805,000 264,443 * Walsin Technology Corp. 144,632 43,206 * Walton Advanced Engineering, Inc. 69,385 28,801 Wan Hai Lines, Ltd. 226,557 113,052 Ways Technical Corp., Ltd. 9,000 14,138 Wei Chuan Foods Corp. 71,000 105,641 * Wei Mon Industry Co., Ltd. 52,647 16,676 Weikeng Industrial Co., Ltd. 86,300 67,937 Well Shin Technology Co., Ltd. 15,000 27,462 Win Semiconductors Corp. 107,000 95,661 * Winbond Electronics Corp. 869,000 261,874 #* Wintek Corp. 546,087 183,024 # Wisdom Marine Lines Co., Ltd. 47,950 57,668 Wistron Corp. 553,142 462,208 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- TAIWAN -- (Continued) Wistron NeWeb Corp. 70,507 $ 164,743 WPG Holdings, Ltd. 258,301 317,769 WT Microelectronics Co., Ltd. 76,518 104,482 WUS Printed Circuit Co., Ltd. 65,000 34,548 XAC Automation Corp. 33,000 48,739 Xxentria Technology Materials Corp. 18,000 50,968 Yageo Corp. 313,600 149,326 * Yang Ming Marine Transport Corp. 349,558 143,163 YC Co., Ltd. 76,596 55,707 YC INOX Co., Ltd. 70,000 65,003 # YeaShin International Development Co., Ltd. 26,995 18,996 Yeong Guan Energy Technology Group Co., Ltd. 3,000 13,255 YFY, Inc. 272,344 120,070 * Yieh Phui Enterprise Co., Ltd. 202,930 62,737 Yonyu Plastics Co., Ltd 8,000 10,085 Young Fast Optoelectronics Co., Ltd. 25,400 24,720 Young Optics, Inc. 9,000 17,865 Youngtek Electronics Corp. 25,245 53,596 Yuanta Financial Holding Co., Ltd. 1,057,246 527,761 Yulon Motor Co., Ltd. 207,223 322,464 Yung Chi Paint & Varnish Manufacturing Co., Ltd. 16,000 42,429 Yungshin Construction & Development Co. 20,000 50,980 YungShin Global Holding Corp. 39,000 71,524 Yungtay Engineering Co., Ltd. 104,000 306,838 Zeng Hsing Industrial Co., Ltd. 16,423 92,640 Zenitron Corp. 49,000 28,979 Zhen Ding Technology Holding, Ltd. 13,650 39,640 * Zig Sheng Industrial Co., Ltd. 138,543 42,277 Zinwell Corp. 79,000 81,253 Zippy Technology Corp. 12,000 21,951 ----------- TOTAL TAIWAN 70,653,941 ----------- THAILAND -- (0.6%) Advanced Info Service PCL 16,300 121,897 Airports of Thailand PCL 55,800 336,248 * AJ Plast PCL 42,900 13,191 Amata Corp. PCL 77,000 37,358 AP Thailand PCL 281,640 49,609 Asia Plus Securities PCL 247,700 26,791 Bangchak Petroleum PCL (The) 166,300 164,450 Bangkok Aviation Fuel Services PCL 35,400 34,459 Bangkok Bank PCL 48,000 280,346 Bangkok Chain Hospital PCL 245,675 55,801 Bangkok Dusit Medical Services PCL 503,000 230,049 Bangkok Expressway PCL 112,000 118,541 Bangkok Land PCL 2,553,800 128,637 Bangkok Life Assurance PCL 56,000 122,435 * Bangkok Metro PCL 677,607 18,846 Banpu PCL(6368348) 136,500 126,545 Banpu PCL(BJFHBT4) 126,000 116,811 BEC World PCL 65,200 110,312 Berli Jucker PCL 22,000 32,463 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- -------- THAILAND -- (Continued) Big C Supercenter PCL 46,100 $270,674 Bumrungrad Hospital PCL 14,200 43,004 Cal-Comp Electronics Thailand PCL 403,000 32,130 Central Pattana PCL 136,400 190,732 Central Plaza Hotel PCL 177,700 170,232 CH Karnchang PCL 152,300 87,069 Charoen Pokphand Foods PCL 253,500 211,511 CP ALL PCL 36,100 46,854 Delta Electronics Thailand PCL 155,700 274,255 Diamond Building Products PCL 23,900 4,468 DSG International Thailand PCL 51,400 18,108 Dynasty Ceramic PCL 31,800 51,591 Eastern Water Resources Development and Management PCL 230,000 78,183 Electricity Generating PCL 22,000 89,400 Erawan Group PCL (The) 152,700 18,026 * Esso Thailand PCL 313,000 60,453 GFPT PCL 120,600 52,548 Glow Energy PCL 46,000 110,522 * GMM Grammy PCL 35,880 18,184 * Golden Land Property Development PCL 40,700 8,993 Hana Microelectronics PCL 59,200 58,999 Hemaraj Land and Development PCL 1,110,400 122,158 Home Product Center PCL 272,637 75,405 Indorama Ventures PCL 281,100 206,742 IRPC PCL 2,076,100 236,095 * Italian-Thai Development PCL 719,854 81,862 Jasmine International PCL 543,900 139,505 Kasikornbank PCL(6364766) 34,700 205,348 Kasikornbank PCL(6888794) 26,900 163,345 KGI Securities Thailand PCL 120,600 10,808 Khon Kaen Sugar Industry PCL 100,600 43,523 Kiatnakin Bank PCL 83,300 110,689 Krung Thai Bank PCL 601,375 336,369 Land and Houses PCL 212,200 66,231 Lanna Resources PCL 48,450 19,314 Loxley PCL 282,094 34,869 LPN Development PCL 159,800 85,925 Major Cineplex Group PCL 122,200 72,504 MBK PCL 183,000 85,958 MCOT PCL 36,000 31,706 Minor International PCL 182,960 139,086 Precious Shipping PCL 165,000 140,219 Property Perfect PCL 613,500 17,821 Pruksa Real Estate PCL 168,300 116,499 PTT Exploration & Production PCL 93,585 461,273 PTT Global Chemical PCL 110,845 238,920 PTT PCL(6420390) 66,794 646,061 PTT PCL(6420408) 18,900 182,809 Quality Houses PCL 521,408 52,528 Ratchaburi Electricity Generating Holding PCL 49,600 81,619 Robinson Department Store PCL 53,100 82,866 Rojana Industrial Park PCL 149,500 33,263 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- THAILAND -- (Continued) Saha-Union PCL 7,000 $ 8,166 Samart Corp. PCL 159,200 101,345 Samart I-Mobile PCL 467,600 49,130 Samart Telcoms PCL 79,600 39,357 Sansiri PCL 852,600 50,323 SC Asset Corp PCL 299,812 31,871 Siam Cement PCL (The) 10,400 139,481 Siam City Cement PCL 13,200 157,454 Siam Commercial Bank PCL (The)(6363172) 30,100 153,942 Siam Commercial Bank PCL (The)(6889935) 15,700 80,295 Siam Future Development PCL 117,703 20,369 Siam Global House PCL 69,008 28,789 Siamgas & Petrochemicals PCL 130,200 83,689 Sino Thai Engineering & Construction PCL 83,571 48,035 SNC Former PCL 8,800 4,596 Somboon Advance Technology PCL 37,250 19,914 * SPCG PCL 54,700 35,836 Sri Trang Agro-Industry PCL(B05BPF7) 14,300 6,540 Sri Trang Agro-Industry PCL(B05BPH9) 105,300 48,159 Srithai Superware PCL 37,200 29,027 STP & I PCL 245,200 161,396 Supalai PCL 222,900 134,319 * Tata Steel Thailand PCL 1,030,600 24,841 * Thai Airways International PCL(6364971) 60,600 24,345 * Thai Airways International PCL(6888868) 105,000 42,182 Thai Oil PCL 94,000 151,777 * Thai Reinsurance PCL 345,900 34,633 Thai Stanley Electric PCL 9,600 63,189 Thai Union Frozen Products PCL 95,760 207,145 Thai Vegetable Oil PCL 59,100 43,649 Thaicom PCL 175,300 219,396 Thanachart Capital PCL 94,500 101,479 * Thoresen Thai Agencies PCL 165,965 106,164 Ticon Industrial Connection PCL 86,625 42,831 Tipco Asphalt PCL 7,400 12,520 Tisco Financial Group PCL 70,800 86,968 TMB Bank PCL 1,842,900 130,985 Total Access Communication PCL 114,100 440,745 Toyo-Thai Corp. PCL 19,363 22,738 TPI Polene PCL 242,100 89,029 * True Corp. PCL(6363923) 530,800 110,720 * True Corp. PCL(6877071) 540,290 112,700 TTW PCL 294,200 90,915 Union Mosaic Industry PCL (The) 76,125 19,290 Univentures PCL 39,200 9,509 * Vanachai Group PCL 41,100 5,080 Vibhavadi Medical Center PCL 87,600 35,733 Vinythai PCL 124,200 41,067 * Workpoint Entertainment PCL 55,400 45,796 ----------- TOTAL THAILAND 12,089,504 ----------- T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- TURKEY -- (0.4%) Adana Cimento Sanayii TAS Class A 12,989 $ 25,167 Akbank TAS 137,568 482,963 Akcansa Cimento A.S. 12,544 73,292 * Akenerji Elektrik Uretim A.S. 69,462 42,562 Akfen Holding A.S. 21,328 44,757 Aksa Akrilik Kimya Sanayii 33,706 117,551 Aksigorta A.S. 34,947 48,194 Alarko Holding A.S. 14,460 33,306 Albaraka Turk Katilim Bankasi A.S. 85,750 68,082 * Anadolu Anonim Tuerk Sigorta Sirketi 54,184 37,285 Anadolu Cam Sanayii A.S. 21,831 19,595 Anadolu Efes Biracilik Ve Malt Sanayii A.S. 4,187 50,216 Arcelik A.S. 44,449 274,749 Aselsan Elektronik Sanayi Ve Ticaret A.S. 28,662 127,623 #* Asya Katilim Bankasi A.S. 130,758 100,931 * Bagfas Bandirma Gubre Fabrik 1,050 21,220 * Baticim Bati Anadolu Cimento Sanayii A.S. 8,723 25,030 BIM Birlesik Magazalar A.S. 8,239 190,721 Bizim Toptan Satis Magazalari A.S. 2,396 22,741 Bolu Cimento Sanayii A.S. 10,352 12,528 Borusan Mannesmann Boru Sanayi ve Ticaret A.S. 6,760 22,075 * Boyner Perakende Ve Tekstil Yatirimlari AS 1,996 50,737 Bursa Cimento Fabrikasi A.S. 1,341 2,676 Cimsa Cimento Sanayi VE Tica 13,328 77,851 Coca-Cola Icecek A.S. 4,509 105,899 * Deva Holding A.S. 41,856 35,183 * Dogan Sirketler Grubu Holding A.S. 254,721 87,167 * Dogan Yayin Holding A.S. 107,583 26,082 Dogus Otomotiv Servis ve Ticaret A.S. 31,661 120,328 EGE Seramik Sanayi ve Ticaret A.S. 19,423 26,581 EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve Ticaret A.S. 49,361 54,108 Eregli Demir ve Celik Fabrikalari TAS 345,925 481,347 Ford Otomotiv Sanayi A.S. 9,472 107,179 Global Yatirim Holding A.S. 67,511 39,701 Goltas Goller Bolgesi Cimento Sanayi ve Ticaret A.S. 2,317 60,575 Goodyear Lastikleri TAS 1,597 50,700 * GSD Holding 50,000 35,632 * Gubre Fabrikalari TAS 42,998 85,617 * Hurriyet Gazetecilik A.S. 31,589 9,005 * Ihlas Holding A.S. 197,201 31,811 * Ipek Dogal Enerji Kaynaklari Ve Uretim A.S. 24,649 31,277 Is Finansal Kiralama A.S. 27,329 12,692 * Izmir Demir Celik Sanayi A.S. 67,134 91,161 * Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class A 37,361 42,298 * Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class B 23,378 36,110 * Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class D 213,256 153,174 * Kerevitas Gida Sanayi ve Ticaret A.S. 440 8,036 KOC Holding A.S. 49,633 222,413 Mardin Cimento Sanayii ve Ticaret A.S. 5,073 11,159 * Migros Ticaret A.S. 6,594 59,605 NET Holding A.S. 8,365 9,482 Netas Telekomunikasyon A.S. 11,580 39,907 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- TURKEY -- (Continued) Nuh Cimento Sanayi A.S. 9,068 $ 43,109 Otokar Otomotiv Ve Savunma Sanayi A.S. 1,350 33,531 * Park Elektrik Uretim Madencilik Sanayi ve Ticaret A.S. 8,727 16,349 * Petkim Petrokimya Holding A.S. 113,021 161,168 Pinar Entegre Et ve Un Sanayi A.S. 487 2,285 Pinar SUT Mamulleri Sanayii A.S. 5,677 49,136 * Sasa Polyester Sanayi A.S. 49,109 29,152 * Sekerbank TAS 82,699 77,371 Selcuk Ecza Deposu Ticaret ve Sanayi A.S. 33,531 31,680 Soda Sanayii A.S. 53,900 79,814 * Tat Gida Sanayi A.S. 14,877 15,266 TAV Havalimanlari Holding A.S. 18,112 145,424 Tekfen Holding A.S. 39,421 99,825 Teknosa Ic Ve Dis Ticaret A.S. 3,806 21,696 * Tekstil Bankasi A.S. 35,952 33,158 Tofas Turk Otomobil Fabrikasi A.S. 14,097 86,524 Trakya Cam Sanayi A.S. 76,989 87,811 Tupras Turkiye Petrol Rafinerileri A.S. 2,925 66,172 Turcas Petrol A.S. 14,616 17,864 Turk Hava Yollari 157,299 505,055 Turk Traktor ve Ziraat Makineleri A.S. 443 12,772 * Turkcell Iletisim Hizmetleri A.S. 1,136 6,635 * Turkcell Iletisim Hizmetleri A.S. ADR 9,157 132,593 Turkiye Garanti Bankasi A.S. 146,300 538,925 Turkiye Halk Bankasi A.S. 47,307 318,074 Turkiye Is Bankasi 130,797 309,333 Turkiye Sinai Kalkinma Bankasi A.S. 158,735 144,201 Turkiye Sise ve Cam Fabrikalari A.S. 124,385 156,135 Turkiye Vakiflar Bankasi Tao 114,786 241,064 Ulker Biskuvi Sanayi A.S. 18,064 138,430 * Vestel Beyaz Esya Sanayi ve Ticaret A.S. 14,500 25,060 * Vestel Elektronik Sanayi ve Ticaret A.S. 24,328 21,888 Yapi ve Kredi Bankasi A.S. 59,093 123,547 * Zorlu Enerji Elektrik Uretim A.S. 29,476 15,947 ---------- TOTAL TURKEY 7,833,075 ---------- UNITED KINGDOM -- (15.1%) 4imprint Group P.L.C. 532 6,072 888 Holdings P.L.C. 92,692 230,249 A.G. Barr P.L.C. 12,390 129,460 Aberdeen Asset Management P.L.C. 174,405 1,289,975 Acal P.L.C. 3,957 23,883 Admiral Group P.L.C. 24,851 586,869 * Afren P.L.C. 357,576 949,801 African Barrick Gold P.L.C. 24,832 104,171 * Aga Rangemaster Group P.L.C. 23,457 68,956 Aggreko P.L.C. 32,385 864,333 Alent P.L.C. 67,651 364,011 AMEC P.L.C. 74,486 1,555,653 Amlin P.L.C. 122,939 929,502 Anglo American P.L.C. 139,396 3,726,487 Anglo Pacific Group P.L.C. 6,015 19,366 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ----------- UNITED KINGDOM -- (Continued) Anglo-Eastern Plantations 542 $ 6,512 Anite P.L.C. 25,991 36,118 Antofagasta P.L.C. 47,754 636,427 ARM Holdings P.L.C. 33,625 508,921 ARM Holdings P.L.C. Sponsored ADR 7,813 355,648 Ashmore Group P.L.C. 66,829 396,955 Ashtead Group P.L.C. 118,226 1,751,658 Associated British Foods P.L.C. 32,004 1,606,935 AstraZeneca P.L.C. 1,641 129,532 AstraZeneca P.L.C. Sponsored ADR 53,810 4,253,680 Aveva Group P.L.C. 4,741 169,041 Aviva P.L.C. 420,432 3,746,801 Aviva P.L.C. Sponsored ADR 19,934 357,417 AZ Electronic Materials SA 12,705 86,483 Babcock International Group P.L.C. 53,786 1,085,614 BAE Systems P.L.C. 284,146 1,922,381 Balfour Beatty P.L.C. 168,670 801,026 Bank of Georgia Holdings P.L.C. 5,762 253,429 Barclays P.L.C. 632,712 2,701,707 Barclays P.L.C. Sponsored ADR 142,701 2,441,606 Barratt Developments P.L.C. 260,366 1,628,371 BBA Aviation P.L.C. 117,727 617,641 Beazley P.L.C. 125,442 520,380 Bellway P.L.C. 30,947 753,644 Berendsen P.L.C. 43,757 764,695 Berkeley Group Holdings P.L.C. 26,743 1,037,673 Betfair Group P.L.C. 5,713 93,311 BG Group P.L.C. 258,899 5,237,347 BHP Billiton P.L.C. 51,865 1,683,765 BHP Billiton P.L.C. ADR 34,059 2,203,617 Bloomsbury Publishing P.L.C. 1,910 5,179 Bodycote P.L.C. 57,105 704,647 Booker Group P.L.C. 263,783 656,181 Bovis Homes Group P.L.C. 34,061 455,495 BP P.L.C. 1,306 11,027 BP P.L.C. Sponsored ADR 261,163 13,220,071 Braemar Shipping Services P.L.C. 660 5,827 Brammer P.L.C. 10,094 79,809 Brewin Dolphin Holdings P.L.C. 58,746 320,453 British American Tobacco P.L.C. 12,488 721,119 British American Tobacco P.L.C. Sponsored ADR 7,041 809,856 British Polythene Industries P.L.C. 3,700 39,436 British Sky Broadcasting Group P.L.C. 33,203 494,152 British Sky Broadcasting Group P.L.C. Sponsored ADR 4,853 291,714 Britvic P.L.C. 47,390 580,411 BT Group P.L.C. 112,078 699,663 BT Group P.L.C. Sponsored ADR 17,500 1,096,725 * BTG P.L.C. 50,010 449,689 Bunzl P.L.C. 35,708 1,017,383 Burberry Group P.L.C. 48,041 1,206,514 Bwin.Party Digital Entertainment P.L.C. 118,209 254,463 Cable & Wireless Communications P.L.C. 592,799 529,383 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- UNITED KINGDOM -- (Continued) * Cairn Energy P.L.C. 88,355 $ 275,205 Cape P.L.C. 27,360 138,732 Capita P.L.C. 39,768 729,243 Capital & Counties Properties P.L.C. 14,668 82,740 Capital & Regional P.L.C. 19,615 15,229 Carillion P.L.C. 112,937 706,466 Carnival P.L.C. 14,078 562,822 Carnival P.L.C. ADR 5,490 219,106 Castings P.L.C. 1,976 15,388 Catlin Group, Ltd. 95,519 853,101 * Centamin P.L.C. 246,447 269,345 Centrica P.L.C. 288,733 1,610,275 Charles Stanley Group P.L.C. 382 3,063 Chemring Group P.L.C. 44,696 169,165 Chesnara P.L.C. 25,292 140,512 Chime Communications P.L.C. 5,226 30,807 Cineworld Group P.L.C. 35,464 193,405 Clarkson P.L.C. 1,031 46,457 Close Brothers Group P.L.C. 36,597 864,467 Cobham P.L.C. 252,109 1,315,218 Coca-Cola HBC AG ADR 23,155 583,274 * Colt Group SA 82,024 181,522 Communisis P.L.C. 17,311 19,065 Compass Group P.L.C. 102,109 1,626,488 Computacenter P.L.C. 17,877 196,802 Connect Group P.L.C. 38,588 117,491 Consort Medical P.L.C. 6,285 93,654 Costain Group P.L.C. 10,133 46,058 Cranswick P.L.C. 10,799 218,097 Croda International P.L.C. 16,231 706,933 CSR P.L.C. 49,128 477,349 Daily Mail & General Trust P.L.C. 49,748 685,733 Dairy Crest Group P.L.C. 40,543 316,320 Darty P.L.C. 87,142 151,033 DCC P.L.C. 16,837 863,303 De La Rue P.L.C. 16,121 223,391 Debenhams P.L.C. 311,419 422,949 Dechra Pharmaceuticals P.L.C. 9,579 111,583 Development Securities P.L.C. 24,901 102,322 Devro P.L.C. 37,983 135,602 Diageo P.L.C. 19,831 607,618 Diageo P.L.C. Sponsored ADR 6,738 827,292 Dialight P.L.C. 1,657 26,772 Dignity P.L.C. 4,896 118,379 Diploma P.L.C. 26,182 292,197 * Dixons Retail P.L.C. 761,844 579,441 Domino Printing Sciences P.L.C. 24,080 315,408 Domino's Pizza Group P.L.C. 5,403 46,946 Drax Group P.L.C. 101,341 1,134,411 DS Smith P.L.C. 283,642 1,511,542 E2V Technologies P.L.C. 21,031 59,230 easyJet P.L.C. 35,052 969,878 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ----------- UNITED KINGDOM -- (Continued) Electrocomponents P.L.C. 119,737 $ 590,233 Elementis P.L.C. 156,661 735,428 * EnQuest P.L.C. 186,738 433,415 * Enterprise Inns P.L.C. 131,686 303,984 * Essar Energy P.L.C. 60,098 68,197 Essentra P.L.C. 63,189 857,098 Euromoney Institutional Investor P.L.C. 10,525 189,957 * Evraz P.L.C. 26,252 42,817 * Exillon Energy P.L.C. 3,012 7,197 Experian P.L.C. 61,660 1,185,535 F&C Asset Management P.L.C. 103,600 209,066 Fenner P.L.C. 54,652 382,373 Ferrexpo P.L.C. 39,241 96,791 Fidessa Group P.L.C. 3,492 132,330 * Findel P.L.C. 9,252 42,235 * Firstgroup P.L.C. 285,804 624,531 Fortune Oil P.L.C. 131,020 28,758 Fresnillo P.L.C. 4,140 59,699 Fuller, Smith & Turner P.L.C. 1,188 19,336 G4S P.L.C. 315,066 1,257,892 Galliford Try P.L.C. 18,127 364,885 * Gem Diamonds, Ltd. 27,156 76,192 Genus P.L.C. 11,662 199,434 GKN P.L.C. 322,582 2,097,105 GlaxoSmithKline P.L.C. 15,015 414,872 GlaxoSmithKline P.L.C. Sponsored ADR 56,544 3,130,841 Glencore Xstrata P.L.C. 553,539 2,986,766 Go-Ahead Group P.L.C. 6,895 229,943 Grafton Group P.L.C. 54,607 537,111 Greencore Group P.L.C. 136,929 604,782 Greene King P.L.C. 55,591 836,932 Greggs P.L.C. 27,640 250,009 Halfords Group P.L.C. 63,601 477,245 Halma P.L.C. 67,669 642,907 Hargreaves Lansdown P.L.C. 27,113 536,721 Hays P.L.C. 288,353 735,646 Headlam Group P.L.C. 8,095 66,028 Helical Bar P.L.C. 26,244 161,028 Henderson Group P.L.C. 203,613 865,064 * Heritage Oil P.L.C. 31,684 169,136 Hikma Pharmaceuticals P.L.C. 31,813 834,832 Hill & Smith Holdings P.L.C. 16,930 159,918 Hiscox, Ltd. 72,944 870,259 Hochschild Mining P.L.C. 1,348 3,762 Hogg Robinson Group P.L.C. 5,845 7,324 Home Retail Group P.L.C. 227,236 785,171 Homeserve P.L.C. 48,357 275,862 Howden Joinery Group P.L.C. 133,281 733,778 HSBC Holdings P.L.C. 343,562 3,510,383 HSBC Holdings P.L.C. Sponsored ADR 225,098 11,552,029 Hunting P.L.C. 33,518 479,857 Huntsworth P.L.C. 53,480 54,222 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ---------- UNITED KINGDOM -- (Continued) Hyder Consulting P.L.C. 2,420 $ 19,286 ICAP P.L.C. 158,612 1,111,058 IG Group Holdings P.L.C. 98,435 1,058,530 * Imagination Technologies Group P.L.C. 28,730 95,602 IMI P.L.C. 34,975 887,046 Imperial Tobacco Group P.L.C. 55,627 2,403,886 Inchcape P.L.C. 105,746 1,148,740 Informa P.L.C. 185,435 1,514,324 Inmarsat P.L.C. 89,775 1,104,630 * Innovation Group P.L.C. 161,760 86,697 InterContinental Hotels Group P.L.C. 15,276 522,080 InterContinental Hotels Group P.L.C. ADR 13,160 452,967 * International Consolidated Airlines Group SA(B5282K0) 10,448 71,496 * International Consolidated Airlines Group SA(B5M6XQ7) 239,765 1,639,759 * International Ferro Metals, Ltd. 99,556 15,705 Interserve P.L.C. 36,274 406,527 Intertek Group P.L.C. 16,645 819,917 Investec P.L.C. 142,484 1,257,247 * IP Group P.L.C. 26,845 77,895 ITE Group P.L.C. 15,759 61,286 ITV P.L.C. 517,943 1,593,244 J Sainsbury P.L.C. 207,186 1,175,325 James Fisher & Sons P.L.C. 8,415 183,510 Jardine Lloyd Thompson Group P.L.C. 12,350 220,379 JD Sports Fashion P.L.C. 4,648 137,932 JD Wetherspoon P.L.C. 23,870 340,075 * JKX Oil & Gas P.L.C. 20,803 19,181 John Menzies P.L.C. 16,607 180,756 John Wood Group P.L.C. 74,616 989,387 Johnson Matthey P.L.C. 30,197 1,670,496 * Johnston Press P.L.C. 11,897 5,077 Jupiter Fund Management P.L.C. 79,103 519,802 * Kazakhmys P.L.C. 61,084 246,137 Kcom Group P.L.C. 71,027 112,989 Keller Group P.L.C. 17,976 303,275 Kentz Corp., Ltd. 10,687 130,217 Kier Group P.L.C. 8,732 245,426 Kingfisher P.L.C. 398,044 2,816,710 Ladbrokes P.L.C. 106,544 276,287 Laird P.L.C. 63,232 297,176 * Lamprell P.L.C. 37,039 96,049 Lancashire Holdings, Ltd. 39,807 470,674 Laura Ashley Holdings P.L.C. 51,893 22,540 Lavendon Group P.L.C. 42,045 161,119 Legal & General Group P.L.C. 989,741 3,543,016 * Lloyds Banking Group P.L.C. 1,689,496 2,154,466 #* Lloyds Banking Group P.L.C. ADR 453,021 2,342,119 London Stock Exchange Group P.L.C. 31,289 958,897 * Lonmin P.L.C. 119,930 575,395 Lookers P.L.C. 50,073 118,200 Low & Bonar P.L.C. 44,867 63,023 Man Group P.L.C. 458,309 764,849 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- UNITED KINGDOM -- (Continued) Management Consulting Group P.L.C. 25,041 $ 10,511 Marks & Spencer Group P.L.C. 181,594 1,357,653 Marshalls P.L.C. 34,860 104,363 Marston's P.L.C. 158,665 394,515 McBride P.L.C. 42,318 70,285 Mears Group P.L.C. 17,616 149,308 Mecom Group P.L.C. 28,027 62,384 Meggitt P.L.C. 159,098 1,283,302 Melrose Industries P.L.C. 239,421 1,156,180 Michael Page International P.L.C. 29,561 234,798 Micro Focus International P.L.C. 11,685 153,236 Millennium & Copthorne Hotels P.L.C. 41,215 386,908 * Mitchells & Butlers P.L.C. 50,711 377,822 Mitie Group P.L.C. 110,094 593,038 Mondi P.L.C. 84,604 1,406,449 Moneysupermarket.com Group P.L.C. 76,979 237,472 Morgan Advanced Materials P.L.C. 74,015 418,913 Morgan Sindall Group P.L.C. 8,523 113,938 * Mothercare P.L.C. 19,114 60,387 N Brown Group P.L.C. 29,289 253,849 National Express Group P.L.C. 133,590 630,200 National Grid P.L.C. 3,445 48,965 National Grid P.L.C. Sponsored ADR 17,429 1,238,505 * New World Resources P.L.C. Class A 5,481 3,583 Next P.L.C. 12,985 1,432,529 Northgate P.L.C. 33,867 296,459 Novae Group P.L.C. 10,009 91,621 * Ocado Group P.L.C. 25,424 144,722 Old Mutual P.L.C. 633,171 2,140,170 Oxford Instruments P.L.C. 7,793 169,816 Pace P.L.C. 94,530 582,493 PayPoint P.L.C. 4,568 87,873 Pearson P.L.C. 3,121 58,525 Pearson P.L.C. Sponsored ADR 67,350 1,264,159 Pendragon P.L.C. 223,487 117,357 Pennon Group P.L.C. 69,038 883,801 * Persimmon P.L.C. 70,131 1,556,346 * Petra Diamonds, Ltd. 60,663 167,341 Petrofac, Ltd. 32,247 791,420 Petropavlovsk P.L.C. 48,787 56,152 Phoenix Group Holdings 19,643 226,518 Phoenix IT Group, Ltd. 2,221 4,136 Photo-Me International P.L.C. 46,648 106,322 Playtech P.L.C. 917 10,350 Premier Farnell P.L.C. 61,011 229,527 * Premier Foods P.L.C. 153,723 149,407 Premier Oil P.L.C. 116,002 664,233 Provident Financial P.L.C. 8,011 269,347 Prudential P.L.C. 133,912 3,078,517 Prudential P.L.C. ADR 32,786 1,514,385 * Punch Taverns P.L.C. 158,338 37,510 PV Crystalox Solar P.L.C. 14,968 5,511 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- UNITED KINGDOM -- (Continued) PZ Cussons P.L.C. 33,649 $ 196,938 QinetiQ Group P.L.C. 184,953 658,937 * Quintain Estates & Development P.L.C. 122,680 210,160 Randgold Resources, Ltd. 5,226 420,082 Rank Group P.L.C. 4,468 12,154 * Raven Russia, Ltd. 32,006 35,167 Reckitt Benckiser Group P.L.C. 15,321 1,236,802 Redrow P.L.C. 69,547 336,589 Reed Elsevier P.L.C. 19,573 288,655 Reed Elsevier P.L.C. Sponsored ADR 6,110 361,345 Regus P.L.C. 180,829 639,442 Renishaw P.L.C. 6,315 194,227 * Renold P.L.C. 4,231 3,710 Rentokil Initial P.L.C. 296,746 597,930 Resolution, Ltd. 360,639 1,819,367 Restaurant Group P.L.C. (The) 37,585 396,857 Rexam P.L.C. 193,099 1,618,926 Ricardo P.L.C. 11,315 129,561 Rightmove P.L.C. 20,854 849,577 Rio Tinto P.L.C. 18,769 1,020,427 # Rio Tinto P.L.C. Sponsored ADR 72,416 3,931,465 RM P.L.C. 10,751 25,153 Robert Walters P.L.C. 18,804 101,493 Rolls-Royce Holdings P.L.C. 127,711 2,268,464 Rotork P.L.C. 12,381 542,986 * Royal Bank of Scotland Group P.L.C. 102,482 519,221 * Royal Bank of Scotland Group P.L.C. Sponsored ADR 19,222 195,296 Royal Dutch Shell P.L.C. ADR(780259206) 34,685 2,731,097 # Royal Dutch Shell P.L.C. ADR(780259107) 185,909 15,737,197 Royal Dutch Shell P.L.C. Class A 6,278 248,196 Royal Dutch Shell P.L.C. Class B 59,695 2,534,709 RPC Group P.L.C. 38,385 389,022 RPS Group P.L.C. 56,373 281,943 RSA Insurance Group P.L.C. 1,271,896 2,111,875 SABMiller P.L.C. 28,245 1,537,967 Sage Group P.L.C. (The) 217,428 1,568,412 * Salamander Energy P.L.C. 51,404 116,454 Savills P.L.C. 30,035 304,361 Schroders P.L.C.(0239581) 8,995 296,357 Schroders P.L.C.(0240549) 10,666 461,261 SDL P.L.C. 19,688 100,315 Senior P.L.C. 107,367 518,899 Sepura P.L.C. 3,814 8,557 Serco Group P.L.C. 42,024 239,525 * Severfield-Rowen P.L.C. 55,690 57,563 Severn Trent P.L.C. 26,383 822,397 Shanks Group P.L.C. 126,383 218,179 Shire P.L.C. 16,942 968,946 Shire P.L.C. ADR 3,900 669,825 SIG P.L.C. 143,879 466,298 Smith & Nephew P.L.C. 22,900 357,083 Smith & Nephew P.L.C. Sponsored ADR 6,600 514,404 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- UNITED KINGDOM -- (Continued) Smiths Group P.L.C. 66,353 $1,497,832 Soco International P.L.C. 58,038 424,180 Spectris P.L.C. 36,237 1,363,477 Speedy Hire P.L.C. 108,594 103,397 Spirax-Sarco Engineering P.L.C. 14,221 697,146 Spirent Communications P.L.C. 84,310 135,724 Spirit Pub Co. P.L.C. 176,470 233,953 * Sports Direct International P.L.C. 38,350 508,508 SSE P.L.C. 58,762 1,515,266 St Ives P.L.C. 14,743 49,397 St James's Place P.L.C. 84,117 1,096,269 ST Modwen Properties P.L.C. 42,148 264,657 Stagecoach Group P.L.C. 84,618 530,625 Standard Chartered P.L.C. 170,094 3,683,766 Standard Life P.L.C. 361,783 2,338,924 Sthree P.L.C. 10,289 70,291 * SuperGroup P.L.C. 6,063 136,292 Synergy Health P.L.C. 14,056 294,575 Synthomer P.L.C. 45,022 200,689 TalkTalk Telecom Group P.L.C. 105,838 512,921 Tate & Lyle P.L.C. 76,820 910,672 Taylor Wimpey P.L.C. 741,551 1,318,808 Ted Baker P.L.C. 2,017 63,038 Telecity Group P.L.C. 21,324 258,626 Telecom Plus P.L.C. 9,064 237,286 Tesco P.L.C. 713,147 3,532,877 * Thomas Cook Group P.L.C. 431,076 1,274,303 * Thorntons P.L.C. 5,196 10,662 Topps Tiles P.L.C. 17,420 37,903 Travis Perkins P.L.C. 54,536 1,574,473 Trifast P.L.C. 8,295 12,949 * Trinity Mirror P.L.C. 79,975 234,377 TT electronics P.L.C. 41,933 148,266 TUI Travel P.L.C. 105,022 759,650 Tullett Prebon P.L.C. 58,399 313,901 Tullow Oil P.L.C. 28,875 429,524 UBM P.L.C. 37,493 417,067 UDG Healthcare P.L.C. 68,807 417,160 Ultra Electronics Holdings P.L.C. 12,312 353,038 Unilever P.L.C. 9,090 406,623 Unilever P.L.C. Sponsored ADR 15,908 711,724 Unite Group P.L.C. (The) 41,394 295,589 United Utilities Group P.L.C. 74,985 1,008,624 United Utilities Group P.L.C. ADR 154 4,132 UTV Media P.L.C. 16,663 67,487 * Vectura Group P.L.C. 57,716 137,311 Vedanta Resources P.L.C. 28,255 452,454 Vesuvius P.L.C. 67,651 477,181 Victrex P.L.C. 10,851 341,646 Vitec Group P.L.C. (The) 9,130 94,965 Vodafone Group P.L.C. 1,739 6,604 Vodafone Group P.L.C. Sponsored ADR 187,163 7,104,725 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- -------------- UNITED KINGDOM -- (Continued) Volex P.L.C. 1,054 $ 1,841 Weir Group P.L.C. (The) 35,036 1,593,685 WH Smith P.L.C. 21,971 407,465 Whitbread P.L.C. 31,532 2,174,950 William Hill P.L.C. 173,966 1,042,411 Wilmington Group P.L.C. 2,776 10,656 * Wincanton P.L.C. 14,780 29,578 WM Morrison Supermarkets P.L.C. 391,883 1,330,312 * Wolfson Microelectronics P.L.C. 35,460 140,788 Wolseley P.L.C. 47,032 2,725,238 Wolseley P.L.C. ADR 925 5,403 WPP P.L.C. 34,286 739,261 WPP P.L.C. Sponsored ADR 20,117 2,171,228 WS Atkins P.L.C. 18,725 406,114 Xaar P.L.C. 4,665 62,147 Xchanging P.L.C. 53,555 144,054 -------------- TOTAL UNITED KINGDOM 304,512,020 -------------- UNITED STATES -- (0.0%) * Chaparral Gold Corp. 4,500 2,628 * Endo International P.L.C. 1,605 100,616 * Kofax, Ltd. 15,022 112,849 * McEwen Mining - Minera Andes Acquisition Corp. 19,800 47,149 -------------- TOTAL UNITED STATES 263,242 -------------- TOTAL COMMON STOCKS 1,943,037,904 -------------- PREFERRED STOCKS -- (0.7%) BRAZIL -- (0.6%) AES Tiete SA 12,900 101,302 Alpargatas SA 14,907 73,541 Banco ABC Brasil SA 18,962 110,978 Banco Bradesco SA 24,040 357,837 Banco Bradesco SA ADR 151,693 2,255,679 Banco Daycoval SA 11,200 45,207 Banco do Estado do Rio Grande do Sul SA Class B 41,950 235,360 Banco Industrial e Comercial SA 13,600 48,734 * Banco Panamericano SA 32,000 53,244 Braskem SA Class A 14,800 101,023 Centrais Eletricas Brasileiras SA Class B 28,900 163,439 Centrais Eletricas de Santa Catarina SA 2,600 18,295 Cia Brasileira de Distribuicao Grupo Pao de Acucar 2,800 132,481 Cia de Gas de Sao Paulo Class A 2,800 61,594 Cia de Saneamento do Parana 200 518 Cia de Transmissao de Energia Eletrica Paulista 5,500 60,803 Cia Energetica de Minas Gerais 42,848 326,488 Cia Energetica de Sao Paulo Class B 16,000 189,654 Cia Energetica do Ceara Class A 2,332 36,605 Cia Ferro Ligas da Bahia - Ferbasa 11,500 65,501 Cia Paranaense de Energia 2,305 33,028 Eletropaulo Metropolitana Eletricidade de Sao Paulo SA 14,146 57,796 Eucatex SA Industria e Comercio 4,600 11,037 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ---------- ----------- BRAZIL -- (Continued) Gerdau SA 8,687 $ 52,089 * Gol Linhas Aereas Inteligentes SA 18,600 119,204 Itau Unibanco Holding SA 107,612 1,776,039 Itau Unibanco Holding SA ADR 27,755 454,075 Lojas Americanas SA 37,728 285,784 Marcopolo SA 90,600 166,186 Oi SA 4,430 4,252 Parana Banco SA 12,000 56,778 Petroleo Brasileiro SA 81,035 602,198 Petroleo Brasileiro SA Sponsored ADR 126,710 1,875,308 Randon Participacoes SA 33,000 106,559 Saraiva SA Livreiros Editores 5,100 36,253 Suzano Papel e Celulose SA Class A 72,725 237,117 * Usinas Siderurgicas de Minas Gerais SA Class A 108,705 425,118 Vale SA 22,600 267,784 Vale SA Sponsored ADR 104,605 1,241,661 ----------- TOTAL BRAZIL 12,246,549 ----------- CHILE -- (0.0%) Embotelladora Andina SA Class B 17,884 71,947 ----------- COLOMBIA -- (0.0%) Avianca Holdings SA 40,395 83,749 Banco Davivienda SA 6,782 96,587 ----------- TOTAL COLOMBIA 180,336 ----------- GERMANY -- (0.1%) Porsche Automobil Holding SE 12,175 1,346,494 ----------- INDIA -- (0.0%) Zee Entertainment Enterprises, Ltd., 6.000% 1,111,152 14,185 ----------- UNITED KINGDOM -- (0.0%) McBride P.L.C. 719,406 1,215 Rolls-Royce Holdings P.L.C. 17,113,274 28,894 ----------- TOTAL UNITED KINGDOM 30,109 ----------- TOTAL PREFERRED STOCKS 13,889,620 ----------- RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) * Aquarius Platinum, Ltd. Rights 05/14/14 82,820 8,848 * Bank of Queensland, Ltd. Rights 05/09/14 9,136 -- ----------- TOTAL AUSTRALIA 8,848 ----------- AUSTRIA -- (0.0%) * Intercell AG 4,255 -- ----------- BRAZIL -- (0.0%) * AMBEV SA Rights 05/27/14 35 4 * Cia De Gas De Sao Paulo Comgas Rights 05/28/14 48 -- T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- BRAZIL -- (Continued) * Klabin SA Rights 05/23/14 3,248 $ 146 -------- TOTAL BRAZIL 150 -------- FRANCE -- (0.0%) * Groupe Fnac 4 20 * Peugeot SA Warrants 04/29/17 49,592 94,877 -------- TOTAL FRANCE 94,897 -------- HONG KONG -- (0.0%) * Fosun International, Ltd. Rights 05/12/14 30,927 155 * Haitong International Securities Group, Ltd. Rights 05/23/14 31,500 366 * Sun Hung Kai Properties 04/22/16 10,771 7,363 -------- TOTAL HONG KONG 7,884 -------- ISRAEL -- (0.0%) * Africa Israel Investments, Ltd. Rights 05/01/14 1,242 1,070 -------- PHILIPPINES -- (0.0%) * China Banking Corp. Rights 05/07/14 8,476 1,055 -------- PORTUGAL -- (0.0%) * Mota-Engil SGPS SA Rights 12/31/49 17,204 13,578 -------- SOUTH KOREA -- (0.0%) * GS Engineering & Construction Corp. Rights 06/03/14 3,240 27,280 * STS Semiconductor & Telecommunications Rights 05/23/14 3,798 2,444 -------- TOTAL SOUTH KOREA 29,724 -------- SPAIN -- (0.0%) * Banco Santander SA 756,342 160,008 -------- SWEDEN -- (0.0%) * Rezidor Hotel Group Rights 05/21/14 15,502 7,192 -------- TAIWAN -- (0.0%) Mercuries Life Insurance Co. Rights 06/17/14 3,265 11 YeaShin International Development Co., Ltd. Rights 05/13/14 1,109 25 -------- TOTAL TAIWAN 36 -------- THAILAND -- (0.0%) * Lanna Resources PCL Rights 06/30/14 9,690 90 * LH W3 Warrants 04/29/17 42,440 8,656 * Samart Corp. PCL Rights 05/31/14 1,540 -- * Ticon Industrial Connection PCL Rights 04/28/14 17,325 535 -------- TOTAL THAILAND 9,281 -------- UNITED KINGDOM -- (0.0%) * Babcock International Group P.L.C. Rights 05/06/14 20,687 139,711 -------- TOTAL RIGHTS/WARRANTS 473,434 -------- T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED SHARES/ FACE AMOUNT (000) VALUE+ --------- -------------- SECURITIES LENDING COLLATERAL -- (2.7%) (S)@ DFA Short Term Investment Fund 4,598,159 $ 53,200,695 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $1,586,331,166) $2,010,601,653 ============== T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, based on their valuation inputs, is as follows (See Security Valuation Note): INVESTMENTS IN SECURITIES (MARKET VALUE) ---------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL ------------ ------------ ------- ------------ Common Stocks Australia $ 1,981,411 $ 92,315,962 -- $ 94,297,373 Austria 87,015 7,853,460 -- 7,940,475 Belgium 2,323,210 18,683,410 -- 21,006,620 Brazil 29,589,013 -- -- 29,589,013 Canada 136,033,117 9,567 -- 136,042,684 Chile 5,362,415 -- -- 5,362,415 China 9,143,766 69,386,523 -- 78,530,289 Colombia 1,493,041 -- -- 1,493,041 Czech Republic -- 1,058,876 -- 1,058,876 Denmark 945,020 21,560,681 -- 22,505,701 Egypt -- 101,334 -- 101,334 Finland 258,959 24,625,497 -- 24,884,456 France 11,392,115 116,469,304 -- 127,861,419 Germany 7,919,337 98,910,960 -- 106,830,297 Greece 11,066 3,698,071 -- 3,709,137 Hong Kong 38,174 38,326,899 -- 38,365,073 Hungary 29,914 840,059 -- 869,973 India 1,445,988 26,922,600 -- 28,368,588 Indonesia 222,828 11,427,336 -- 11,650,164 Ireland 1,626,222 6,348,201 -- 7,974,423 Israel 3,231,993 6,959,417 -- 10,191,410 Italy 2,925,745 39,679,950 -- 42,605,695 Japan 15,532,660 274,406,053 -- 289,938,713 Malaysia -- 17,107,095 -- 17,107,095 Mexico 22,260,255 1,609 -- 22,261,864 Netherlands 10,878,996 30,608,068 -- 41,487,064 New Zealand 16,337 4,641,225 -- 4,657,562 Norway 1,688,502 14,019,387 -- 15,707,889 Peru 497,269 -- -- 497,269 Philippines 64,500 6,977,055 -- 7,041,555 Poland -- 7,481,979 -- 7,481,979 Portugal -- 5,510,385 -- 5,510,385 Russia 233,152 8,985,977 -- 9,219,129 Singapore -- 20,443,625 -- 20,443,625 South Africa 4,164,339 27,107,664 -- 31,272,003 South Korea 4,439,142 68,969,740 -- 73,408,882 Spain 5,656,847 36,718,452 -- 42,375,299 Sweden 1,240,279 48,909,633 -- 50,149,912 Switzerland 18,849,558 89,037,883 -- 107,887,441 Taiwan 1,260,403 69,393,538 -- 70,653,941 Thailand 12,089,504 -- -- 12,089,504 Turkey 132,593 7,700,482 -- 7,833,075 United Kingdom 82,321,610 222,190,410 -- 304,512,020 United States 150,393 112,849 -- 263,242 Preferred Stocks Brazil 12,246,549 -- -- 12,246,549 Chile 71,947 -- -- 71,947 Colombia 180,336 -- -- 180,336 Germany -- 1,346,494 -- 1,346,494 India 14,185 -- -- 14,185 United Kingdom -- 30,109 -- 30,109 Rights/Warrants Australia -- 8,848 -- 8,848 Austria -- -- -- -- Brazil -- 150 -- 150 France -- 94,897 -- 94,897 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED Hong Kong -- 7,884 -- 7,884 Israel -- 1,070 -- 1,070 Philippines -- 1,055 -- 1,055 Portugal -- 13,578 -- 13,578 South Korea -- 29,724 -- 29,724 Spain -- 160,008 -- 160,008 Sweden -- 7,192 -- 7,192 Taiwan 36 -- -- 36 Thailand -- 9,281 -- 9,281 United Kingdom -- 139,711 -- 139,711 Securities Lending Collateral -- 53,200,695 -- 53,200,695 ------------ -------------- -- -------------- TOTAL $410,049,741 $1,600,551,912 -- $2,010,601,653 ============ ============== == ============== THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES SCHEDULE OF INVESTMENTS APRIL 30, 2014 (UNAUDITED)
SHARES VALUE+ --------- ------------ COMMON STOCKS -- (95.2%) Consumer Discretionary -- (16.9%) * 1-800-Flowers.com, Inc. Class A 44,330 $ 241,599 Aaron's, Inc. 4,830 142,340 # AH Belo Corp. Class A 14,556 167,540 #* ALCO Stores, Inc. 700 7,063 # Arctic Cat, Inc. 3,436 140,498 #* Ascent Capital Group, Inc. Class A 8,564 588,946 # Autoliv, Inc. 9,404 959,020 * Ballantyne Strong, Inc. 9,030 40,816 #* Barnes & Noble, Inc. 12,200 200,080 Bassett Furniture Industries, Inc. 2,900 39,991 # Beasley Broadcasting Group, Inc. Class A 9,471 72,927 * Beazer Homes USA, Inc. 12,516 237,303 # bebe stores, Inc. 19,551 98,733 Best Buy Co., Inc. 197,800 5,128,954 Big 5 Sporting Goods Corp. 8,501 103,797 * Biglari Holdings, Inc. 1,953 837,876 # Bob Evans Farms, Inc. 52,387 2,455,379 # Bon-Ton Stores, Inc. (The) 2,986 32,846 * Books-A-Million, Inc. 14,887 35,133 Brown Shoe Co., Inc. 74,697 1,762,102 * Build-A-Bear Workshop, Inc. 25,874 290,306 #* Cabela's, Inc. 53,051 3,480,676 #* Cache, Inc. 26,610 70,783 # Callaway Golf Co. 122,359 1,065,747 #* Cambium Learning Group, Inc. 37,733 84,522 * Canterbury Park Holding Corp. 2,755 30,994 Carnival Corp. 489,649 19,248,102 # Carriage Services, Inc. 20,916 336,538 * Cavco Industries, Inc. 7,600 592,420 CBS Corp. Class A 28,263 1,643,493 CBS Corp. Class B 201,625 11,645,860 * Christopher & Banks Corp. 56,231 350,881 Churchill Downs, Inc. 7,682 674,710 * Citi Trends, Inc. 3,415 58,021 * Coast Distribution System, Inc. (The) 547 1,750 Columbia Sportswear Co. 4,317 371,176 Comcast Corp. Class A 3,446,875 178,410,250 Comcast Corp. Special Class A 1,088,341 55,538,041 #* Conn's, Inc. 25,450 1,125,653 Core-Mark Holding Co., Inc. 24,059 1,937,712 #* Corinthian Colleges, Inc. 36,345 41,797 CSS Industries, Inc. 13,050 312,809 # CST Brands, Inc. 50,181 1,637,406 Culp, Inc. 10,036 181,150 #* dELiA*s, Inc. 22,143 18,711 #* Delta Apparel, Inc. 7,532 114,712 Destination Maternity Corp. 200 4,932 #* Destination XL Group, Inc. 15,601 84,245 DeVry Education Group, Inc. 8,757 394,328 Dillard's, Inc. Class A 120,300 11,780,979 * Discovery Communications, Inc. Class B 3,762 282,601
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
SHARES VALUE+ ------- ----------- Consumer Discretionary -- (Continued) * Dixie Group, Inc. (The) 11,800 $ 177,826 #* Dorman Products, Inc. 20,712 1,191,976 * Dover Downs Gaming & Entertainment, Inc. 5,935 8,606 Dover Motorsports, Inc. 15,098 35,329 # DR Horton, Inc. 208,125 4,637,025 #* DreamWorks Animation SKG, Inc. Class A 46,429 1,115,689 #* Education Management Corp. 13,202 52,412 # Educational Development Corp. 1,679 6,515 Escalade, Inc. 277 4,077 #* EW Scripps Co. Class A 41,061 703,375 * Federal-Mogul Holdings Corp. 38,585 664,434 #* Flanigan's Enterprises, Inc. 865 12,067 Flexsteel Industries, Inc. 2,068 70,974 Foot Locker, Inc. 15,700 730,521 Fred's, Inc. Class A 47,275 861,350 Frisch's Restaurants, Inc. 600 14,208 #* FTD Cos., Inc. 24,893 755,254 #* Fuel Systems Solutions, Inc. 3,398 35,611 * Full House Resorts, Inc. 2,574 5,135 #* G-III Apparel Group, Ltd. 11,394 817,747 * Gaiam, Inc. Class A 5,988 44,191 # GameStop Corp. Class A 104,752 4,156,559 #* Gaming Partners International Corp. 500 4,225 Gannett Co., Inc. 119,639 3,250,592 General Motors Co. 674,707 23,263,897 #* Genesco, Inc. 7,056 538,867 Graham Holdings Co. Class B 5,780 3,879,709 #* Gray Television, Inc. 46,874 527,333 # Group 1 Automotive, Inc. 57,936 4,178,924 * Hallwood Group, Inc. (The) 296 3,629 Harte-Hanks, Inc. 12,432 99,953 * Hastings Entertainment, Inc. 300 885 Haverty Furniture Cos., Inc. 33,479 855,054 * Helen of Troy, Ltd. 64,389 4,037,190 #* hhgregg, Inc. 36,388 313,665 * Hollywood Media Corp. 19,037 23,796 # Hooker Furniture Corp. 14,814 205,174 * Hyatt Hotels Corp. Class A 14,601 821,744 #* Iconix Brand Group, Inc. 95,618 4,063,765 International Speedway Corp. Class A 24,844 781,095 * Isle of Capri Casinos, Inc. 15,434 104,951 # JAKKS Pacific, Inc. 13,103 114,782 * Jarden Corp. 162,075 9,262,586 #* JC Penney Co., Inc. 85,215 726,032 # Johnson Outdoors, Inc. Class A 15,588 326,257 * Journal Communications, Inc. Class A 77,674 622,945 # KB Home 30,800 508,508 Kohl's Corp. 14,353 786,401 La-Z-Boy, Inc. 56,332 1,364,924 * Lakeland Industries, Inc. 11,757 83,475 #* Lands' End, Inc. 21,055 582,171 #* Lee Enterprises, Inc. 38,128 153,275
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
SHARES VALUE+ ------- ----------- Consumer Discretionary -- (Continued) # Lennar Corp. Class A 224,100 $ 8,648,019 Lennar Corp. Class B 7,868 255,867 * Liberty Interactive Corp. Class A 882,463 25,644,375 #* Liberty Interactive Corp. Class B 35,706 1,075,643 * Liberty Media Corp. Class A 96,383 12,501,839 * Liberty Media Corp. Class B 7,622 956,142 * Liberty Ventures Series A 76,802 4,457,588 * Liberty Ventures Series B 3,570 212,754 #* Life Time Fitness, Inc. 13,317 639,216 Lifetime Brands, Inc. 16,431 313,832 Lithia Motors, Inc. Class A 34,933 2,594,823 * Live Nation Entertainment, Inc. 145,347 3,034,845 * Loral Space & Communications, Inc. 26,050 1,875,339 Lowe's Cos., Inc. 139,546 6,406,557 #* Luby's, Inc. 44,415 240,729 * M/I Homes, Inc. 37,930 844,701 * Madison Square Garden Co. (The) Class A 29,558 1,613,867 Marcus Corp. (The) 18,899 316,180 * MarineMax, Inc. 29,164 468,374 * Marriott Vacations Worldwide Corp. 662 36,066 * Martha Stewart Living Omnimedia, Inc. Class A 980 3,832 # Matthews International Corp. Class A 3,202 129,201 #* McClatchy Co. (The) Class A 60,603 332,104 # MDC Holdings, Inc. 18,400 507,840 #* Media General, Inc. Class A 25,196 386,003 Men's Wearhouse, Inc. (The) 52,860 2,504,507 # Meredith Corp. 32,676 1,440,031 * Meritage Homes Corp. 28,156 1,086,258 * MGM Resorts International 251,100 6,335,253 * Modine Manufacturing Co. 14,650 241,432 * Mohawk Industries, Inc. 98,740 13,074,163 * Monarch Casino & Resort, Inc. 1,103 17,692 * Motorcar Parts of America, Inc. 13,074 358,751 Movado Group, Inc. 36,900 1,449,432 * MTR Gaming Group, Inc. 24,536 124,152 * Multimedia Games Holding Co., Inc. 23,224 678,141 * Murphy USA, Inc. 47,356 2,012,630 NACCO Industries, Inc. Class A 6,832 366,127 * New York & Co., Inc. 6,926 29,020 * News Corp. Class A 402,247 6,846,244 #* News Corp. Class B 99,903 1,652,396 #* Office Depot, Inc. 181,609 742,781 * Orient-Express Hotels, Ltd. Class A 75,198 985,094 #* Pacific Sunwear of California, Inc. 43,900 126,432 * Penn National Gaming, Inc. 63,446 708,057 Penske Automotive Group, Inc. 43,845 2,010,732 * Pep Boys-Manny, Moe & Jack (The) 75,098 767,502 * Perfumania Holdings, Inc. 537 3,560 * Perry Ellis International, Inc. 21,492 324,529 #* Pinnacle Entertainment, Inc. 71,930 1,673,811 PulteGroup, Inc. 143,221 2,633,834 PVH Corp. 31,964 4,013,719
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
SHARES VALUE+ --------- ------------ Consumer Discretionary -- (Continued) #* Quiksilver, Inc. 74,010 $ 475,144 #* Radio One, Inc. Class D 13,955 63,077 #* RadioShack Corp. 46,847 66,991 * Red Lion Hotels Corp. 8,907 51,215 #* Red Robin Gourmet Burgers, Inc. 31,175 2,119,276 # Regis Corp. 54,292 713,397 # Rent-A-Center, Inc. 76,435 2,232,666 #* Rick's Cabaret International, Inc. 12,026 121,463 Rocky Brands, Inc. 8,729 127,793 Royal Caribbean Cruises, Ltd. 322,500 17,134,425 #* Ruby Tuesday, Inc. 70,361 542,483 # Saga Communications, Inc. Class A 8,693 385,100 # Salem Communications Corp. Class A 10,922 96,223 # Scholastic Corp. 30,900 1,016,919 * Scientific Games Corp. Class A 41,635 498,787 #* Sears Holdings Corp. 70,001 3,066,744 Service Corp. International 274,069 5,144,275 #* Shiloh Industries, Inc. 24,793 489,414 Shoe Carnival, Inc. 33,450 763,998 * Sizmek, Inc. 8,748 83,806 * Skechers U.S.A., Inc. Class A 49,610 2,033,514 Spartan Motors, Inc. 16,820 89,314 # Speedway Motorsports, Inc. 52,187 949,282 * Sport Chalet, Inc. Class A 875 989 * Sport Chalet, Inc. Class B 299 380 # Stage Stores, Inc. 53,575 1,027,568 Standard Motor Products, Inc. 37,342 1,418,623 * Stanley Furniture Co., Inc. 15,798 46,130 # Staples, Inc. 497,525 6,219,062 * Starz 84,255 2,718,909 * Starz Class B 7,622 246,267 Stein Mart, Inc. 22,915 286,438 * Steiner Leisure, Ltd. 2,225 96,053 * Stoneridge, Inc. 19,361 206,969 Strattec Security Corp. 5,224 349,015 # Superior Industries International, Inc. 37,089 784,061 # Superior Uniform Group, Inc. 8,978 145,982 #* Systemax, Inc. 11,750 203,158 #* Tandy Leather Factory, Inc. 500 4,895 Time Warner Cable, Inc. 693,942 98,165,035 Time Warner, Inc. 1,534,860 102,006,796 * Toll Brothers, Inc. 203,299 6,960,958 # Trans World Entertainment Corp. 5,781 18,904 #* Tuesday Morning Corp. 60,500 845,790 Twenty-First Century Fox, Inc. Class A 1,287,383 41,222,004 Twenty-First Century Fox, Inc. Class B 550,972 17,256,443 * Unifi, Inc. 43,422 961,363 * Universal Electronics, Inc. 3,206 119,744 Vail Resorts, Inc. 11,600 803,068 #* Valuevision Media, Inc. Class A 3,998 18,711 #* VOXX International Corp. 24,496 287,828 Walt Disney Co. (The) 26,220 2,080,295
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
SHARES VALUE+ --------- ------------ Consumer Discretionary -- (Continued) # Wendy's Co. (The) 242,704 $ 2,016,870 * West Marine, Inc. 26,468 283,208 #* Wet Seal, Inc. (The) Class A 13,619 15,389 Whirlpool Corp. 30,049 4,608,916 Wyndham Worldwide Corp. 144,114 10,281,093 #* Zale Corp. 23,799 509,061 ------------ Total Consumer Discretionary 848,874,230 ------------ Consumer Staples -- (7.0%) # Alico, Inc. 960 33,523 * Alliance One International, Inc. 35,084 90,166 # Andersons, Inc. (The) 23,660 1,473,781 Archer-Daniels-Midland Co. 813,476 35,573,306 Beam, Inc. 131,553 10,980,729 #* Boulder Brands, Inc. 76,099 1,123,221 Bunge, Ltd. 121,368 9,666,961 CCA Industries, Inc. 8,323 25,219 #* Central Garden and Pet Co. 25,184 204,746 * Central Garden and Pet Co. Class A 54,453 450,326 * Chiquita Brands International, Inc. 69,284 795,380 * Constellation Brands, Inc. Class A 249,042 19,883,513 * Constellation Brands, Inc. Class B 12,715 1,003,341 #* Craft Brew Alliance, Inc. 9,754 146,017 CVS Caremark Corp. 1,510,745 109,861,376 #* Farmer Bros. Co. 6,695 131,959 # Fresh Del Monte Produce, Inc. 39,437 1,139,335 # Griffin Land & Nurseries, Inc. 1,500 43,800 #* Hain Celestial Group, Inc. (The) 43,646 3,754,429 Ingles Markets, Inc. Class A 11,437 262,937 Ingredion, Inc. 62,117 4,376,143 JM Smucker Co. (The) 108,204 10,461,163 # John B. Sanfilippo & Son, Inc. 10,428 240,365 Kraft Foods Group, Inc. 209,706 11,923,883 #* Mannatech, Inc. 717 11,666 # MGP Ingredients, Inc. 4,788 27,962 # Molson Coors Brewing Co. Class A 1,908 114,289 Molson Coors Brewing Co. Class B 186,550 11,187,404 Mondelez International, Inc. Class A 2,081,099 74,191,179 * Nutraceutical International Corp. 14,615 364,206 # Oil-Dri Corp. of America 5,047 169,125 * Omega Protein Corp. 25,852 293,679 * Pantry, Inc. (The) 22,475 338,024 * Post Holdings, Inc. 50,201 2,623,504 Safeway, Inc. 157,807 5,374,906 # Sanderson Farms, Inc. 16,100 1,324,547 * Seaboard Corp. 1,812 4,417,656 * Seneca Foods Corp. Class A 6,301 178,948 * Seneca Foods Corp. Class B 300 9,162 # Snyder's-Lance, Inc. 28,337 752,631 Spartan Stores, Inc. 34,281 738,413 Spectrum Brands Holdings, Inc. 46,130 3,544,168 #* Susser Holdings Corp. 12,360 956,417
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
SHARES VALUE+ --------- ------------ Consumer Staples -- (Continued) * TreeHouse Foods, Inc. 24,190 $ 1,810,380 Tyson Foods, Inc. Class A 405,030 16,999,109 # Universal Corp. 22,290 1,216,365 # Weis Markets, Inc. 11,602 534,736 ------------ Total Consumer Staples 350,824,095 ------------ Energy -- (16.2%) Adams Resources & Energy, Inc. 6,004 432,648 Alon USA Energy, Inc. 33,484 545,454 #* Alpha Natural Resources, Inc. 170,794 734,414 Anadarko Petroleum Corp. 845,068 83,678,633 Apache Corp. 289,715 25,147,262 #* Approach Resources, Inc. 6,883 142,822 # Arch Coal, Inc. 60,743 278,203 * Atwood Oceanics, Inc. 4,600 227,976 Baker Hughes, Inc. 84,672 5,918,573 * Barnwell Industries, Inc. 8,038 24,717 #* Bill Barrett Corp. 51,500 1,219,520 Bolt Technology Corp. 9,574 161,609 # Bristow Group, Inc. 43,589 3,347,635 #* C&J Energy Services, Inc. 37,416 1,124,725 Cabot Oil & Gas Corp. 568 22,311 * Callon Petroleum Co. 13,214 121,305 Chesapeake Energy Corp. 624,655 17,958,831 Chevron Corp. 696,706 87,450,537 * Cloud Peak Energy, Inc. 33,115 652,034 # Comstock Resources, Inc. 32,421 901,304 ConocoPhillips 1,766,829 131,293,063 * Contango Oil & Gas Co. 1,064 51,115 # Dawson Geophysical Co. 17,055 481,974 Delek US Holdings, Inc. 52,256 1,671,669 # Denbury Resources, Inc. 289,460 4,868,717 Devon Energy Corp. 42,463 2,972,410 #* Emerald Oil, Inc. 32,065 226,700 #* Endeavour International Corp. 4,300 14,792 EOG Resources, Inc. 12,090 1,184,820 * EPL Oil & Gas, Inc. 27,489 1,075,919 * Era Group, Inc. 36,653 1,046,443 #* Escalera Resources Co. 7,844 21,414 # Exterran Holdings, Inc. 69,200 2,976,984 Exxon Mobil Corp. 510,224 52,252,040 # Green Plains Renewable Energy, Inc. 26,534 793,367 Gulf Island Fabrication, Inc. 15,018 301,261 Gulfmark Offshore, Inc. Class A 35,505 1,598,080 #* Harvest Natural Resources, Inc. 48,645 219,389 * Helix Energy Solutions Group, Inc. 103,010 2,476,360 Helmerich & Payne, Inc. 108,670 11,806,995 #* Hercules Offshore, Inc. 107,413 480,136 Hess Corp. 378,130 33,714,071 * HKN, Inc. 564 35,253 HollyFrontier Corp. 26,505 1,393,898 #* Hornbeck Offshore Services, Inc. 29,719 1,231,258
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
SHARES VALUE+ ------- ----------- Energy -- (Continued) * Key Energy Services, Inc. 49,745 $ 499,440 Knightsbridge Tankers, Ltd. 14,861 177,589 #* Magnum Hunter Resources Corp. 82,198 698,683 Marathon Oil Corp. 903,937 32,677,323 Marathon Petroleum Corp. 451,968 42,010,426 #* Matador Resources Co. 6,400 183,808 * Matrix Service Co. 15,423 477,650 #* McDermott International, Inc. 63,698 460,537 Murphy Oil Corp. 189,426 12,015,291 Nabors Industries, Ltd. 272,782 6,961,397 National Oilwell Varco, Inc. 250,948 19,706,946 * Natural Gas Services Group, Inc. 15,026 461,148 * Newfield Exploration Co. 48,506 1,641,928 #* Newpark Resources, Inc. 97,395 1,172,636 Noble Corp. P.L.C. 74,243 2,287,427 Noble Energy, Inc. 133,794 9,603,733 #* Northern Oil and Gas, Inc. 16,372 252,620 Occidental Petroleum Corp. 114,368 10,950,736 #* Overseas Shipholding Group, Inc. 2,355 13,424 * Parker Drilling Co. 142,573 945,259 Patterson-UTI Energy, Inc. 152,325 4,955,132 * PDC Energy, Inc. 24,103 1,534,638 #* Penn Virginia Corp. 35,279 587,043 * PHI, Inc. Non-Voting 21,843 978,566 #* PHI, Inc. Voting 1,099 46,488 Phillips 66 883,414 73,517,713 * Pioneer Energy Services Corp. 98,221 1,470,368 Pioneer Natural Resources Co. 88,400 17,085,068 QEP Resources, Inc. 33,043 1,014,090 * Renewable Energy Group, Inc. 2,882 33,921 * REX American Resources Corp. 4,050 264,708 * Rex Energy Corp. 35,100 739,206 * Rowan Cos. P.L.C. Class A 121,858 3,767,849 #* SEACOR Holdings, Inc. 36,653 3,056,494 # SemGroup Corp. Class A 4,727 301,961 # Ship Finance International, Ltd. 40,467 713,433 * Stone Energy Corp. 1,115 54,691 Superior Energy Services, Inc. 75,686 2,491,583 #* Swift Energy Co. 34,900 430,317 Teekay Corp. 37,720 2,116,469 #* Tesco Corp. 3,745 74,900 Tesoro Corp. 168,807 9,502,146 * TETRA Technologies, Inc. 25,510 318,875 * TGC Industries, Inc. 1,787 9,042 Tidewater, Inc. 49,127 2,502,038 # Transocean, Ltd. 274,265 11,812,594 #* Triangle Petroleum Corp. 7,779 74,834 * Unit Corp. 57,000 3,759,150 Valero Energy Corp. 605,899 34,639,246 * Weatherford International, Ltd. 281,383 5,909,043 # Western Refining, Inc. 68,485 2,979,098 * Whiting Petroleum Corp. 16,007 1,180,036
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
SHARES VALUE+ --------- ------------ Energy -- (Continued) * Willbros Group, Inc. 18,620 $ 206,868 ------------ Total Energy 815,604,250 ------------ Financials -- (17.8%) 1st Source Corp. 41,187 1,214,605 # 1st United Bancorp, Inc. 863 6,317 ACE, Ltd. 46,348 4,742,327 Alexander & Baldwin, Inc. 66,838 2,493,726 * Alleghany Corp. 2,626 1,071,355 Allied World Assurance Co. Holdings AG 25,477 2,743,618 Allstate Corp. (The) 157,339 8,960,456 * American Capital, Ltd. 422,803 6,337,817 # American Equity Investment Life Holding Co. 88,700 2,068,484 American Financial Group, Inc. 173,596 10,143,214 * American Independence Corp. 173 1,891 American International Group, Inc. 899,581 47,794,738 American National Insurance Co. 37,287 4,191,432 * Ameris Bancorp 12,022 255,708 AmeriServ Financial, Inc. 33,075 115,101 Argo Group International Holdings, Ltd. 42,675 1,895,623 Aspen Insurance Holdings, Ltd. 102,623 4,698,081 # Associated Banc-Corp 31,434 551,667 # Assurant, Inc. 65,820 4,436,926 Assured Guaranty, Ltd. 122,989 2,940,667 * Asta Funding, Inc. 7,527 61,496 Astoria Financial Corp. 19,344 256,501 #* Atlanticus Holdings Corp. 19,218 46,700 #* AV Homes, Inc. 15,767 270,089 Axis Capital Holdings, Ltd. 800 36,600 # Baldwin & Lyons, Inc. Class A 300 7,089 Baldwin & Lyons, Inc. Class B 6,556 170,522 Banc of California, Inc. 810 10,182 * Bancorp, Inc. 459 7,261 Bank Mutual Corp. 51,232 308,417 Bank of America Corp. 6,542,656 99,055,812 Bank of New York Mellon Corp. (The) 491,755 16,655,742 # BankFinancial Corp. 39,867 392,291 Banner Corp. 7,943 314,066 BCB Bancorp, Inc. 1,059 14,085 Berkshire Hills Bancorp, Inc. 25,980 608,711 * BofI Holding, Inc. 8,208 661,647 * Capital Bank Financial Corp. Class A 233 5,557 # Capital City Bank Group, Inc. 16,844 234,132 Capital One Financial Corp. 356,632 26,355,105 Capital Southwest Corp. 27,628 969,743 Cathay General Bancorp 17,730 418,428 Centerstate Banks, Inc. 747 8,195 # Century Bancorp, Inc. Class A 495 16,582 Chicopee Bancorp, Inc. 1,000 17,330 CIT Group, Inc. 39,411 1,696,644 Citigroup, Inc. 2,248,344 107,718,161 Citizens Community Bancorp, Inc. 10,355 83,151
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
SHARES VALUE+ ------- ----------- Financials -- (Continued) CME Group, Inc. 414,385 $29,168,560 CNA Financial Corp. 277,671 11,370,627 CNO Financial Group, Inc. 301,264 5,196,804 Codorus Valley Bancorp, Inc. 126 2,690 * Community West Bancshares 400 2,772 * Cowen Group, Inc. Class A 15,961 65,600 Donegal Group, Inc. Class A 27,472 405,487 # Donegal Group, Inc. Class B 300 6,474 * E*TRADE Financial Corp. 89,699 2,013,743 East West Bancorp, Inc. 671 23,156 * Eastern Virginia Bankshares, Inc. 307 2,072 EMC Insurance Group, Inc. 18,341 605,070 #* Encore Capital Group, Inc. 627 27,099 Endurance Specialty Holdings, Ltd. 76,288 3,876,956 Enterprise Financial Services Corp. 3,235 57,809 # ESB Financial Corp. 432 5,452 ESSA Bancorp, Inc. 8,217 85,375 Evans Bancorp, Inc. 1,681 37,949 Everest Re Group, Ltd. 34,913 5,517,301 #* Farmers Capital Bank Corp. 302 6,309 FBL Financial Group, Inc. Class A 24,660 1,102,549 # Federal Agricultural Mortgage Corp. Class A 177 4,872 Federal Agricultural Mortgage Corp. Class C 9,200 327,336 Federated National Holding Co. 13,665 265,511 Fidelity National Financial, Inc. Class A 46,321 1,490,610 # Fidelity Southern Corp. 7,213 95,284 * First Acceptance Corp. 39,006 93,224 # First American Financial Corp. 61,982 1,648,721 First Bancorp 16,138 277,735 #* First BanCorp. 7,500 38,550 * First Bancshares, Inc. 400 3,300 First Business Financial Services, Inc. 482 21,791 First Citizens BancShares, Inc. Class A 8,627 1,940,126 # First Commonwealth Financial Corp. 30,547 262,399 First Community Bancshares, Inc. 183 2,710 First Defiance Financial Corp. 10,880 293,978 # First Federal of Northern Michigan Bancorp, Inc. 900 4,473 First Financial Holdings, Inc. 8,549 491,311 # First Financial Northwest, Inc. 25,371 258,784 First Merchants Corp. 46,827 993,669 First Midwest Bancorp, Inc. 7,168 117,340 First Niagara Financial Group, Inc. 77,106 687,785 # First South Bancorp, Inc. 2,278 18,292 Fox Chase Bancorp, Inc. 351 5,855 * Genworth Financial, Inc. Class A 34,964 624,107 # German American Bancorp, Inc. 7,459 194,232 # GFI Group, Inc. 2,875 10,695 #* Gleacher & Co., Inc. 450 5,175 * Global Indemnity P.L.C. 8,282 221,958 Goldman Sachs Group, Inc. (The) 143,685 22,963,737 Great Southern Bancorp, Inc. 1,616 46,331 # Guaranty Bancorp 15,867 199,765
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
SHARES VALUE+ --------- ----------- Financials -- (Continued) * Guaranty Federal Bancshares, Inc. 1,684 $ 21,286 * Hallmark Financial Services, Inc. 25,666 215,594 # Hampden Bancorp, Inc. 5,886 95,647 Hanover Insurance Group, Inc. (The) 88,829 5,192,055 Hartford Financial Services Group, Inc. (The) 308,762 11,075,293 HCC Insurance Holdings, Inc. 17,700 813,138 Heartland Financial USA, Inc. 465 11,299 Heritage Commerce Corp. 14,483 117,602 HF Financial Corp. 400 5,480 * Hilltop Holdings, Inc. 26,171 584,660 # Hingham Institution for Savings 500 34,755 * HMN Financial, Inc. 3,456 38,500 #* Home Bancorp, Inc. 719 14,560 Home Federal Bancorp, Inc. 9,420 141,771 HopFed Bancorp, Inc. 6,781 77,168 Horace Mann Educators Corp. 58,206 1,750,254 Hudson City Bancorp, Inc. 28,191 280,782 * ICG Group, Inc. 1,184 24,130 #* Imperial Holdings, Inc. 2,882 19,281 # Independence Holding Co. 24,172 315,686 Infinity Property & Casualty Corp. 15,800 1,013,886 IntercontinentalExchange Group, Inc. 1,479 302,367 International Bancshares Corp. 800 18,368 #* Intervest Bancshares Corp. Class A 2,078 15,730 * Investment Technology Group, Inc. 23,677 488,693 # Investors Title Co. 1,169 82,718 # Janus Capital Group, Inc. 24,840 301,309 JPMorgan Chase & Co. 1,591,818 89,109,972 Kemper Corp. 67,002 2,640,549 # Kentucky First Federal Bancorp 2,800 24,052 KeyCorp 526,210 7,177,504 Lakeland Bancorp, Inc. 8,324 86,903 # Landmark Bancorp, Inc. 1,968 38,022 # Legg Mason, Inc. 93,283 4,374,040 Lincoln National Corp. 378,093 18,341,291 LNB Bancorp, Inc. 13,395 152,435 Loews Corp. 243,798 10,719,798 # Louisiana Bancorp, Inc. 5,606 109,317 # Macatawa Bank Corp. 18,892 92,004 * Magyar Bancorp, Inc. 500 4,135 # Maiden Holdings, Ltd. 5,792 68,346 MainSource Financial Group, Inc. 45,000 743,850 Marlin Business Services Corp. 14,241 244,518 MB Financial, Inc. 19,678 528,157 #* MBIA, Inc. 82,267 997,076 #* MBT Financial Corp. 24,724 121,889 # MCG Capital Corp. 11,930 40,085 # Meadowbrook Insurance Group, Inc. 26,353 147,577 # Medallion Financial Corp. 9,550 129,880 # Mercantile Bank Corp. 4,422 86,273 # Meta Financial Group, Inc. 1,083 45,389 MetLife, Inc. 1,125,923 58,942,069
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
SHARES VALUE+ --------- ----------- Financials -- (Continued) * Metro Bancorp, Inc. 26,598 $ 543,131 #* MGIC Investment Corp. 72,733 625,504 MicroFinancial, Inc. 5,900 46,433 MidWestOne Financial Group, Inc. 346 8,522 # Montpelier Re Holdings, Ltd. 38,746 1,184,853 Morgan Stanley 1,476,248 45,660,351 MutualFirst Financial, Inc. 2,300 43,240 NASDAQ OMX Group, Inc. (The) 42,129 1,554,560 National Western Life Insurance Co. Class A 900 209,925 * Navigators Group, Inc. (The) 3,685 209,934 * New Century Bancorp, Inc. 600 4,446 # New Hampshire Thrift Bancshares, Inc. 3,667 54,088 * NewBridge Bancorp 11,413 87,766 #* NewStar Financial, Inc. 41,166 470,116 * North Valley Bancorp 907 20,498 Northeast Community Bancorp, Inc. 18,190 132,423 Northrim BanCorp, Inc. 5,734 137,559 OFG Bancorp 30,191 515,058 Old Republic International Corp. 280,714 4,648,624 * Old Second Bancorp, Inc. 4,874 23,200 Oppenheimer Holdings, Inc. Class A 3,097 78,850 * Pacific Mercantile Bancorp 16,236 106,346 PacWest Bancorp 1,076 42,362 Park Sterling Corp. 3,253 21,242 PartnerRe, Ltd. 52,224 5,504,410 # People's United Financial, Inc. 68,700 981,036 Peoples Bancorp of North Carolina, Inc. 250 4,300 Peoples Bancorp, Inc. 17,608 459,041 #* PHH Corp. 91,804 2,182,181 #* Phoenix Cos., Inc. (The) 2,631 115,817 Pinnacle Financial Partners, Inc. 23,924 827,053 * Piper Jaffray Cos. 312 13,684 Platinum Underwriters Holdings, Ltd. 21,715 1,361,748 * Popular, Inc. 56,536 1,746,962 * Porter Bancorp, Inc. 1,737 1,876 #* Portfolio Recovery Associates, Inc. 28,203 1,611,801 Premier Financial Bancorp, Inc. 4,434 63,406 Principal Financial Group, Inc. 217,722 10,198,098 Protective Life Corp. 98,037 5,014,593 Provident Financial Holdings, Inc. 544 7,654 Provident Financial Services, Inc. 21,059 366,005 Prudential Financial, Inc. 497,625 40,148,385 Pulaski Financial Corp. 4,550 47,001 Radian Group, Inc. 161,945 2,263,991 Regions Financial Corp. 1,302,555 13,207,908 Reinsurance Group of America, Inc. 169,166 12,976,724 # Renasant Corp. 42,102 1,146,016 #* Republic First Bancorp, Inc. 2,174 9,609 # Resource America, Inc. Class A 21,051 179,144 * Riverview Bancorp, Inc. 15,319 53,310 Safety Insurance Group, Inc. 11,042 593,066 Sandy Spring Bancorp, Inc. 9,125 219,456
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
SHARES VALUE+ ------- ------------ Financials -- (Continued) Selective Insurance Group, Inc. 45,200 $ 1,036,888 SI Financial Group, Inc. 5,661 66,800 (o)* Southern Community Financial Corp. 29,890 6,576 * Southern First Bancshares, Inc. 1,216 16,611 Southwest Bancorp, Inc. 16,974 283,466 StanCorp Financial Group, Inc. 15,636 955,360 State Auto Financial Corp. 56,823 1,162,599 Sterling Bancorp 70,552 843,802 # Stewart Information Services Corp. 12,271 374,265 * Stratus Properties, Inc. 3,069 50,945 #* Suffolk Bancorp 205 4,496 #* Sun Bancorp, Inc. 4,075 15,485 SunTrust Banks, Inc. 491,691 18,812,098 Susquehanna Bancshares, Inc. 97,547 1,010,587 Symetra Financial Corp. 20,319 419,791 Synovus Financial Corp. 159,578 512,245 Teche Holding Co. 600 43,740 TF Financial Corp. 630 19,757 Timberland Bancorp, Inc. 2,500 26,625 Travelers Cos., Inc. (The) 28,000 2,536,240 #* Tree.com, Inc. 5,635 163,866 # Trustmark Corp. 4,194 95,917 Umpqua Holdings Corp. 34,932 580,919 #* Unico American Corp. 1,900 25,099 Union Bankshares Corp. 37,042 947,905 United Bankshares, Inc. 12,121 354,539 United Financial Bancorp, Inc. 6,824 120,375 United Fire Group, Inc. 38,612 1,074,186 * United Security Bancshares 396 2,233 Unity Bancorp, Inc. 3,306 28,266 Unum Group 517,445 17,189,523 Validus Holdings, Ltd. 4,399 163,071 Washington Federal, Inc. 1,243 26,824 Waterstone Financial, Inc. 1,426 14,845 WesBanco, Inc. 31,462 951,411 # West Bancorporation, Inc. 13,957 202,516 # Westfield Financial, Inc. 10,811 74,055 Wintrust Financial Corp. 24,224 1,085,720 XL Group P.L.C. 240,766 7,548,014 * Yadkin Financial Corp. 5,570 106,665 Zions Bancorp. 53,325 1,542,159 * ZipRealty, Inc. 10,028 33,293 ------------ Total Financials 892,533,728 ------------ Health Care -- (9.5%) * Addus HomeCare Corp. 2,044 44,191 Aetna, Inc. 558,462 39,902,110 #* Affymetrix, Inc. 42,297 314,267 #* Albany Molecular Research, Inc. 34,587 555,467 #* Alere, Inc. 74,130 2,475,942 * Allied Healthcare Products, Inc. 1,000 2,160 #* Allscripts Healthcare Solutions, Inc. 187,470 2,853,293
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
SHARES VALUE+ --------- ----------- Health Care -- (Continued) #* Alphatec Holdings, Inc. 5,644 $ 7,619 #* Amedisys, Inc. 19,727 268,879 * AMN Healthcare Services, Inc. 8,600 107,328 * Amsurg Corp. 30,743 1,331,479 Analogic Corp. 2,988 224,339 * AngioDynamics, Inc. 44,530 598,483 * Anika Therapeutics, Inc. 14,671 627,039 * Arrhythmia Research Technology, Inc. 1,200 5,820 #* Baxano Surgical, Inc. 5,997 5,098 #* BioScrip, Inc. 36,570 253,064 * BioTelemetry, Inc. 5,328 42,304 * Boston Scientific Corp. 1,204,199 15,184,949 * Cambrex Corp. 43,567 892,688 #* Capital Senior Living Corp. 54,559 1,349,244 * CareFusion Corp. 207,163 8,091,787 #* Celldex Therapeutics, Inc. 4,759 71,385 Cigna Corp. 42,954 3,438,038 * Community Health Systems, Inc. 105,314 3,990,348 CONMED Corp. 43,239 2,003,263 Cooper Cos., Inc. (The) 13,956 1,840,936 * Cross Country Healthcare, Inc. 28,968 205,383 CryoLife, Inc. 17,502 158,918 #* Cumberland Pharmaceuticals, Inc. 23,319 103,770 * Cutera, Inc. 23,864 246,038 * Cynosure, Inc. Class A 34,622 849,624 # Daxor Corp. 545 4,529 Digirad Corp. 29,111 92,573 * Emergent Biosolutions, Inc. 8,678 228,752 #* Endo International P.L.C. 54,588 3,436,042 * Enzo Biochem, Inc. 47,997 201,587 * Exactech, Inc. 3,390 75,326 * Express Scripts Holding Co. 493,239 32,839,853 * Five Star Quality Care, Inc. 28,953 139,843 * Forest Laboratories, Inc. 78,471 7,212,270 * Gentiva Health Services, Inc. 31,640 238,249 * Greatbatch, Inc. 41,672 1,918,162 * Hanger, Inc. 16,897 585,819 #* Harvard Apparatus Regenerative Technology, Inc. 8,026 69,425 #* Harvard Bioscience, Inc. 32,107 135,492 * Health Net, Inc. 44,958 1,543,408 #* Healthways, Inc. 46,297 833,346 #* Hologic, Inc. 305,036 6,401,181 Humana, Inc. 236,814 25,990,337 * Impax Laboratories, Inc. 4,700 122,905 Invacare Corp. 30,851 487,446 Kewaunee Scientific Corp. 1,631 27,319 Kindred Healthcare, Inc. 59,114 1,483,761 * Lannett Co., Inc. 3,649 126,000 * LCA-Vision, Inc. 700 3,752 LeMaitre Vascular, Inc. 5,100 41,871 #* LHC Group, Inc. 1,418 29,466 * LifePoint Hospitals, Inc. 82,208 4,597,071
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
SHARES VALUE+ --------- ------------ Health Care -- (Continued) * Magellan Health Services, Inc. 17,899 $ 1,033,130 (o)* Maxygen, Inc. 43,105 1,293 * MedAssets, Inc. 44,682 1,020,090 (o)* MedCath Corp. 29,240 58,480 * Medical Action Industries, Inc. 24,509 157,103 #* Merit Medical Systems, Inc. 13,395 172,394 * Misonix, Inc. 4,083 24,498 #* Molina Healthcare, Inc. 24,941 932,793 # National Healthcare Corp. 6,484 354,869 * Natus Medical, Inc. 15,698 389,781 * NuVasive, Inc. 2,045 68,937 Omnicare, Inc. 197,388 11,699,187 * Omnicell, Inc. 35,405 937,524 * PDI, Inc. 14,978 70,696 PerkinElmer, Inc. 76,500 3,210,705 Pfizer, Inc. 3,950,849 123,582,557 * PharMerica Corp. 33,305 905,563 * Prestige Brands Holdings, Inc. 111,489 3,737,111 #* Repligen Corp. 21,271 337,145 * RTI Surgical, Inc. 73,086 314,270 #* Sciclone Pharmaceuticals, Inc. 13,028 62,274 Select Medical Holdings Corp. 42,204 589,168 #* Skilled Healthcare Group, Inc. Class A 9,380 48,401 #* SunLink Health Systems, Inc. 1,750 2,643 * SurModics, Inc. 5,593 121,704 * Symmetry Medical, Inc. 77,051 636,441 # Teleflex, Inc. 37,223 3,800,096 Thermo Fisher Scientific, Inc. 499,520 56,945,280 * Triple-S Management Corp. Class B 20,684 309,846 UnitedHealth Group, Inc. 89,716 6,732,289 # Universal American Corp. 84,328 604,632 * VCA Antech, Inc. 69,140 2,117,758 * WellCare Health Plans, Inc. 18,375 1,239,761 WellPoint, Inc. 504,640 50,807,155 * Wright Medical Group, Inc. 32,357 884,964 Zoetis, Inc. 805,208 24,365,594 ------------ Total Health Care 475,187,170 ------------ Industrials -- (13.6%) # AAR Corp. 32,906 852,265 ABM Industries, Inc. 64,500 1,747,305 Aceto Corp. 31,686 693,290 # Acme United Corp. 1,030 17,335 Actuant Corp. Class A 44,986 1,523,226 * Adept Technology, Inc. 20,476 244,893 # ADT Corp. (The) 197,193 5,963,116 * AECOM Technology Corp. 23,177 751,398 #* Aegion Corp. 83,805 2,136,189 #* Aerovironment, Inc. 35,065 1,184,145 AGCO Corp. 58,973 3,284,796 * Air Transport Services Group, Inc. 6,308 49,392 Alamo Group, Inc. 22,751 1,208,533
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
SHARES VALUE+ --------- ----------- Industrials -- (Continued) Alaska Air Group, Inc. 52,626 $ 4,951,054 Albany International Corp. Class A 20,551 739,425 Allegion P.L.C. 71,036 3,505,627 Alliant Techsystems, Inc. 38,805 5,596,457 (o)* Allied Defense Group, Inc. 2,645 212 AMERCO 29,431 7,360,987 #* Ameresco, Inc. Class A 981 6,288 # American Railcar Industries, Inc. 20,003 1,389,008 * AMREP Corp. 1,159 6,317 # Apogee Enterprises, Inc. 36,374 1,155,602 * ArcBest Corp. 12,135 478,362 Argan, Inc. 21 562 #* Ascent Solar Technologies, Inc. 1,951 985 Astec Industries, Inc. 22,925 915,854 #* Atlas Air Worldwide Holdings, Inc. 36,746 1,285,743 * Avis Budget Group, Inc. 94,608 4,975,435 Baltic Trading, Ltd. 40 240 Barnes Group, Inc. 36,400 1,402,128 Barrett Business Services, Inc. 12,955 653,062 #* BlueLinx Holdings, Inc. 17,052 22,338 Brady Corp. Class A 38,500 992,915 # Briggs & Stratton Corp. 41,033 876,875 #* Builders FirstSource, Inc. 12,182 95,629 #* CAI International, Inc. 17,082 371,534 * Casella Waste Systems, Inc. Class A 14,362 73,246 #* CBIZ, Inc. 38,149 326,937 CDI Corp. 39,837 610,303 # Ceco Environmental Corp. 3,773 59,953 Celadon Group, Inc. 24,642 567,012 # Chicago Rivet & Machine Co. 700 27,125 CIRCOR International, Inc. 6,849 556,207 * Columbus McKinnon Corp. 17,542 464,688 Comfort Systems USA, Inc. 44,560 668,400 # Compx International, Inc. 500 4,600 Courier Corp. 8,245 119,800 Covanta Holding Corp. 94,292 1,739,687 * Covenant Transportation Group, Inc. Class A 7,080 72,570 #* CPI Aerostructures, Inc. 4,626 62,312 * CRA International, Inc. 7,613 165,735 CSX Corp. 1,242,950 35,076,049 Curtiss-Wright Corp. 46,353 2,963,811 * DigitalGlobe, Inc. 21,971 654,296 Douglas Dynamics, Inc. 30,234 510,048 * Ducommun, Inc. 16,645 403,974 * Dycom Industries, Inc. 39,867 1,251,824 Dynamic Materials Corp. 1,436 29,007 Eastern Co. (The) 10,193 172,160 Eaton Corp. P.L.C. 78,508 5,702,821 Ecology and Environment, Inc. Class A 900 8,631 EMCOR Group, Inc. 50,540 2,324,335 Encore Wire Corp. 19,966 972,943 #* Energy Recovery, Inc. 1,783 9,111
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
SHARES VALUE+ --------- ------------ Industrials -- (Continued) #* EnerNOC, Inc. 13,197 $ 311,449 # EnerSys, Inc. 43,239 2,922,092 #* Engility Holdings, Inc. 7,988 348,596 # Ennis, Inc. 48,483 725,306 #* EnPro Industries, Inc. 17,635 1,255,788 ESCO Technologies, Inc. 17,601 588,225 # Espey Manufacturing & Electronics Corp. 1,671 44,449 * Esterline Technologies Corp. 44,968 4,902,411 Exelis, Inc. 73,253 1,358,111 * Federal Signal Corp. 65,358 992,134 FedEx Corp. 142,324 19,391,645 Fortune Brands Home & Security, Inc. 149,626 5,962,596 * Franklin Covey Co. 3,046 61,742 FreightCar America, Inc. 9,404 246,949 * FTI Consulting, Inc. 25,736 882,745 * Furmanite Corp. 31,044 325,341 G&K Services, Inc. Class A 29,714 1,573,059 GATX Corp. 65,445 4,295,155 #* Genco Shipping & Trading, Ltd. 7,630 12,590 * Gencor Industries, Inc. 8,766 91,955 General Cable Corp. 8,357 214,106 General Dynamics Corp. 28,674 3,138,369 General Electric Co. 5,021,489 135,027,839 * Genesee & Wyoming, Inc. Class A 1,200 118,812 * Gibraltar Industries, Inc. 42,111 719,256 * GP Strategies Corp. 18,583 488,361 # Granite Construction, Inc. 27,179 1,015,951 * Great Lakes Dredge & Dock Corp. 69,820 602,547 #* Greenbrier Cos., Inc. (The) 22,451 1,177,330 # Griffon Corp. 67,323 716,317 * H&E Equipment Services, Inc. 59,629 2,298,698 Hardinge, Inc. 19,132 255,604 Harsco Corp. 54,094 1,294,469 * Hawaiian Holdings, Inc. 18,070 261,112 Heidrick & Struggles International, Inc. 18,234 343,711 * Hertz Global Holdings, Inc. 278,411 7,926,361 * Hill International, Inc. 27,154 182,475 * Hudson Global, Inc. 15,880 56,374 Huntington Ingalls Industries, Inc. 47,666 4,909,598 Hurco Cos., Inc. 7,910 210,881 * Huron Consulting Group, Inc. 4,001 284,871 Hyster-Yale Materials Handling, Inc. 12,246 1,180,392 * ICF International, Inc. 31,660 1,233,790 Ingersoll-Rand P.L.C. 213,109 12,743,918 Insteel Industries, Inc. 17,578 361,755 # International Shipholding Corp. 11,354 305,877 # Intersections, Inc. 26,279 147,688 #* JetBlue Airways Corp. 324,893 2,568,279 Kadant, Inc. 5,786 201,064 KAR Auction Services, Inc. 18,100 539,018 KBR, Inc. 3,600 91,332 Kelly Services, Inc. Class A 41,722 878,665
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
SHARES VALUE+ ------- ----------- Industrials -- (Continued) # Kennametal, Inc. 1,000 $ 46,730 * Key Technology, Inc. 3,199 39,444 Kimball International, Inc. Class B 31,258 523,884 * Korn/Ferry International 33,148 962,949 #* Kratos Defense & Security Solutions, Inc. 2,711 19,573 L-3 Communications Holdings, Inc. 100,470 11,591,224 #* Lawson Products, Inc. 8,847 148,187 #* Layne Christensen Co. 31,561 549,793 LB Foster Co. Class A 6,682 316,393 #* LMI Aerospace, Inc. 13,807 188,328 LS Starrett Co. (The) Class A 4,097 63,995 LSI Industries, Inc. 27,715 210,911 * Lydall, Inc. 14,605 341,903 Manpowergroup, Inc. 22,886 1,861,547 Marten Transport, Ltd. 47,782 1,120,966 # Matson, Inc. 62,316 1,476,266 # McGrath RentCorp 17,552 554,292 * Metalico, Inc. 27,024 41,617 * Mfri, Inc. 8,900 96,921 Miller Industries, Inc. 20,099 389,318 Mobile Mini, Inc. 54,461 2,406,087 * Moog, Inc. Class A 35,339 2,312,938 Mueller Industries, Inc. 30,912 894,593 Mueller Water Products, Inc. Class A 185,957 1,695,928 # Multi-Color Corp. 308 10,734 * MYR Group, Inc. 19,582 459,394 # National Presto Industries, Inc. 571 41,260 * Navigant Consulting, Inc. 12,297 206,590 # NL Industries, Inc. 51,251 514,048 NN, Inc. 18,396 360,010 Norfolk Southern Corp. 545,229 51,540,497 Northrop Grumman Corp. 337,038 40,953,487 * Northwest Pipe Co. 8,801 314,812 #* Ocean Power Technologies, Inc. 8,400 22,680 * On Assignment, Inc. 53,951 1,888,285 * Orbital Sciences Corp. 39,656 1,165,886 * Orion Energy Systems, Inc. 1,043 5,528 Oshkosh Corp. 14,466 803,008 Owens Corning 149,300 6,098,905 * PAM Transportation Services, Inc. 19,428 483,563 Pentair, Ltd. 117,934 8,761,317 * Pike Corp. 22,013 211,325 Powell Industries, Inc. 7,529 476,736 #* PowerSecure International, Inc. 19,459 432,574 # Providence and Worcester Railroad Co. 850 14,824 Quad/Graphics, Inc. 2,390 51,744 # Quanex Building Products Corp. 21,431 403,760 * Quanta Services, Inc. 168,307 5,937,871 Raytheon Co. 96,954 9,257,168 * RCM Technologies, Inc. 20,293 137,587 Regal-Beloit Corp. 16,070 1,200,911 * Republic Airways Holdings, Inc. 48,736 404,996
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
SHARES VALUE+ ------- ----------- Industrials -- (Continued) Republic Services, Inc. 429,755 $15,080,103 Resources Connection, Inc. 25,955 353,248 #* Roadrunner Transportation Systems, Inc. 879 21,650 RR Donnelley & Sons Co. 19,825 348,920 #* Rush Enterprises, Inc. Class A 32,603 1,046,556 #* Rush Enterprises, Inc. Class B 18,522 523,802 Ryder System, Inc. 89,844 7,383,380 * Saia, Inc. 8,925 367,442 Schawk, Inc. 44,631 892,620 SIFCO Industries, Inc. 6,623 217,566 SkyWest, Inc. 38,506 446,670 * SL Industries, Inc. 300 8,247 Southwest Airlines Co. 645,761 15,608,043 * Sparton Corp. 9,132 248,025 SPX Corp. 12,803 1,303,858 #* Standard Register Co. (The) 6,086 44,184 Standex International Corp. 22,341 1,326,385 Stanley Black & Decker, Inc. 154,919 13,305,993 Steelcase, Inc. Class A 55,469 914,129 #* Sterling Construction Co., Inc. 18,633 143,101 * Supreme Industries, Inc. Class A 1,433 8,125 Sypris Solutions, Inc. 8,460 25,634 # TAL International Group, Inc. 24,053 1,014,556 #* Tecumseh Products Co. Class A 12,600 75,726 * Tecumseh Products Co. Class B 1,400 8,176 Terex Corp. 27,578 1,193,852 #* Tetra Tech, Inc. 45,222 1,296,515 #* Titan Machinery, Inc. 2,883 50,856 #* TRC Cos., Inc. 28,708 170,238 Trinity Industries, Inc. 91,907 6,898,539 Triumph Group, Inc. 57,456 3,723,723 * Tutor Perini Corp. 33,844 1,001,782 # Twin Disc, Inc. 900 26,037 Tyco International, Ltd. 240,619 9,841,317 * Ultralife Corp. 10,710 38,556 UniFirst Corp. 18,705 1,800,169 Union Pacific Corp. 444,064 84,563,108 United Stationers, Inc. 24,021 901,508 # Universal Forest Products, Inc. 31,800 1,605,582 # URS Corp. 84,698 3,990,970 #* USA Truck, Inc. 15,105 251,649 # UTi Worldwide, Inc. 16,157 158,177 * Versar, Inc. 5,526 21,330 Viad Corp. 27,114 624,978 * Virco Manufacturing Corp. 12,601 27,659 # VSE Corp. 305 19,053 Waste Connections, Inc. 2,800 125,048 Watts Water Technologies, Inc. Class A 53,615 2,852,318 # Werner Enterprises, Inc. 34,105 873,088 #* Wesco Aircraft Holdings, Inc. 6,228 126,179 #* WESCO International, Inc. 11,687 1,025,885 * Willdan Group, Inc. 1,000 4,670
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
SHARES VALUE+ --------- ------------ Industrials -- (Continued) * Willis Lease Finance Corp. 6,713 $ 135,334 #* XPO Logistics, Inc. 12,216 331,542 ------------ Total Industrials 684,232,353 ------------ Information Technology -- (6.5%) Activision Blizzard, Inc. 982,162 19,653,062 * Acxiom Corp. 7,769 219,397 * Advanced Energy Industries, Inc. 47,985 1,049,912 * Agilysys, Inc. 16,899 211,913 * Alpha & Omega Semiconductor, Ltd. 419 3,017 * Amtech Systems, Inc. 8,571 73,282 #* ANADIGICS, Inc. 33,721 42,151 * AOL, Inc. 105,592 4,520,394 * ARRIS Group, Inc. 140,787 3,673,133 * Arrow Electronics, Inc. 182,170 10,338,147 Astro-Med, Inc. 6,285 79,002 #* Aviat Networks, Inc. 44,931 67,846 Avnet, Inc. 139,400 6,012,322 AVX Corp. 172,540 2,303,409 #* Aware, Inc. 14,326 79,366 * Axcelis Technologies, Inc. 17,951 32,132 * AXT, Inc. 20,506 44,293 * Bankrate, Inc. 4,453 78,017 Bel Fuse, Inc. Class A 4,174 84,983 Bel Fuse, Inc. Class B 18,286 397,903 * Benchmark Electronics, Inc. 93,903 2,176,672 Black Box Corp. 26,448 562,284 #* Blackhawk Network Holdings, Inc. Class B 25,926 597,076 #* Blucora, Inc. 81,156 1,562,253 * Brocade Communications Systems, Inc. 461,513 4,296,686 Brooks Automation, Inc. 50,847 520,165 * Bsquare Corp. 4,065 13,008 * BTU International, Inc. 1,600 4,688 #* CACI International, Inc. Class A 24,830 1,729,409 #* Calix, Inc. 16,027 141,198 * Cascade Microtech, Inc. 24,071 257,078 * Ceva, Inc. 3,580 58,103 * Checkpoint Systems, Inc. 27,235 347,791 * CIBER, Inc. 85,855 370,894 Cisco Systems, Inc. 117,637 2,718,591 Cohu, Inc. 40,815 420,394 Communications Systems, Inc. 12,612 152,479 Computer Sciences Corp. 205,559 12,164,982 # Comtech Telecommunications Corp. 15,569 494,316 Concurrent Computer Corp. 13,740 115,279 Convergys Corp. 197,364 4,251,221 * CoreLogic, Inc. 96,545 2,706,156 Corning, Inc. 1,201,485 25,123,051 #* Cray, Inc. 12,866 369,383 # CSP, Inc. 2,414 18,298 CTS Corp. 66,936 1,190,791 #* CyberOptics Corp. 9,134 68,688
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
SHARES VALUE+ ------- ----------- Information Technology -- (Continued) * Datalink Corp. 1,412 $ 18,130 #* Dataram Corp. 1,257 3,369 * Digi International, Inc. 31,089 275,449 * Digital River, Inc. 22,145 338,597 * Diodes, Inc. 4,709 124,176 * DSP Group, Inc. 46,713 371,835 EarthLink Holdings Corp. 83,735 285,536 * EchoStar Corp. Class A 23,551 1,058,853 * Edgewater Technology, Inc. 13,603 96,309 Electro Rent Corp. 40,561 655,060 Electro Scientific Industries, Inc. 36,298 307,807 * Electronics for Imaging, Inc. 58,110 2,195,977 * Emcore Corp. 744 3,594 * Emulex Corp. 52,269 373,723 * Entegris, Inc. 300 3,327 * Entropic Communications, Inc. 3,600 13,284 EPIQ Systems, Inc. 23,453 299,964 * ePlus, Inc. 8,745 437,600 * Euronet Worldwide, Inc. 23,278 1,070,555 #* Exar Corp. 51,341 555,510 * Fabrinet 4,055 87,588 * Fairchild Semiconductor International, Inc. 118,008 1,502,242 Fidelity National Information Services, Inc. 151,857 8,113,720 #* Finisar Corp. 61,526 1,608,905 * First Solar, Inc. 28,266 1,907,672 * FormFactor, Inc. 30,568 175,766 * Frequency Electronics, Inc. 16,953 180,634 * GSE Systems, Inc. 17,638 30,866 #* GSI Technology, Inc. 9,236 58,649 Hackett Group, Inc. (The) 53,321 319,926 * Harmonic, Inc. 35,712 251,055 Hewlett-Packard Co. 443,760 14,670,706 #* Hutchinson Technology, Inc. 22,425 62,341 IAC/InterActiveCorp 125,298 8,304,751 #* ID Systems, Inc. 17,291 97,348 * Identive Group, Inc. 10,175 8,649 #* Imation Corp. 28,996 125,263 * Ingram Micro, Inc. Class A 277,679 7,486,226 * Insight Enterprises, Inc. 42,100 1,099,652 * Integrated Device Technology, Inc. 177,893 2,076,011 * Integrated Silicon Solution, Inc. 42,178 609,894 Intel Corp. 176,618 4,713,934 #* Internap Network Services Corp. 32,386 217,634 * International Rectifier Corp. 79,000 2,057,160 #* Interphase Corp. 2,999 16,345 Intersil Corp. Class A 119,798 1,478,307 * Intevac, Inc. 7,954 64,030 * IntraLinks Holdings, Inc. 3,070 28,090 * IntriCon Corp. 2,835 18,739 #* Itron, Inc. 33,397 1,269,086 IXYS Corp. 3,055 32,963 * Juniper Networks, Inc. 212,100 5,236,749
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
SHARES VALUE+ ------- ----------- Information Technology -- (Continued) #* Kemet Corp. 2,700 $ 13,527 * Key Tronic Corp. 17,623 184,689 * Kulicke & Soffa Industries, Inc. 71,688 1,054,530 * KVH Industries, Inc. 35,149 474,863 * Lattice Semiconductor Corp. 108,469 913,309 # Leidos Holdings, Inc. 10,850 404,054 # Lexmark International, Inc. Class A 35,849 1,541,507 * Limelight Networks, Inc. 18,463 38,218 * LTX-Credence Corp. 20,165 194,189 # ManTech International Corp. Class A 12,385 369,445 Marchex, Inc. Class B 32,883 304,168 Marvell Technology Group, Ltd. 166,418 2,639,389 #* Maxwell Technologies, Inc. 2,521 37,966 #* Measurement Specialties, Inc. 251 16,152 Mentor Graphics Corp. 35,620 737,334 * Mercury Systems, Inc. 2,055 28,688 Methode Electronics, Inc. 79,272 2,199,005 * Micron Technology, Inc. 758,908 19,822,677 MKS Instruments, Inc. 61,200 1,722,780 #* ModusLink Global Solutions, Inc. 68,955 278,578 #* Nanometrics, Inc. 13,265 215,689 * NCI, Inc. Class A 686 6,839 * NETGEAR, Inc. 428 13,824 * Newport Corp. 64,756 1,209,642 #* Novatel Wireless, Inc. 22,113 40,025 * OmniVision Technologies, Inc. 37,132 725,188 * Oplink Communications, Inc. 38,456 659,136 Optical Cable Corp. 10,793 40,905 * PAR Technology Corp. 22,705 109,665 # Park Electrochemical Corp. 1,642 43,776 PC Connection, Inc. 39,267 785,733 PC-Tel, Inc. 33,870 279,427 * PCM, Inc. 10,471 109,108 Perceptron, Inc. 8,428 99,450 * Pericom Semiconductor Corp. 37,284 300,882 * Photronics, Inc. 79,712 691,900 #* Planar Systems, Inc. 3,449 7,588 * Plexus Corp. 10,626 445,442 * PMC-Sierra, Inc. 102,988 704,438 * Polycom, Inc. 36,977 454,817 * Qualstar Corp. 12,400 18,724 * Qumu Corp. 800 10,760 #* Radisys Corp. 9,762 31,238 #* Rambus, Inc. 1,069 12,924 * RealNetworks, Inc. 30,402 229,231 #* Reis, Inc. 13,511 222,391 # RF Industries, Ltd. 2,823 17,249 # Richardson Electronics, Ltd. 24,525 245,740 * Rofin-Sinar Technologies, Inc. 4,978 110,512 * Rogers Corp. 7,543 452,731 * Rosetta Stone, Inc. 1,466 17,460 * Rovi Corp. 19,000 423,510
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
SHARES VALUE+ --------- ------------ Information Technology -- (Continued) * Rudolph Technologies, Inc. 45,996 $ 419,024 SanDisk Corp. 13,097 1,112,852 * Sanmina Corp. 39,846 806,881 * ScanSource, Inc. 14,745 566,355 Science Applications International Corp. 6,199 241,761 * Seachange International, Inc. 39,044 365,842 * ShoreTel, Inc. 3,200 24,160 * Sigma Designs, Inc. 11,784 44,426 * Smith Micro Software, Inc. 500 830 #* SMTC Corp. 1,200 1,836 * Sonus Networks, Inc. 33,110 108,270 * Spansion, Inc. Class A 21,173 377,515 * Speed Commerce, Inc. 336 1,109 * SS&C Technologies Holdings, Inc. 25,793 1,003,864 * StarTek, Inc. 27,060 188,067 #* SunEdison, Inc. 154,224 2,965,728 #* SunPower Corp. 18,322 612,321 * Super Micro Computer, Inc. 5,886 119,839 #* support.com, Inc. 25,400 62,738 * Sykes Enterprises, Inc. 20,292 401,579 * SYNNEX Corp. 55,900 3,766,542 * Tech Data Corp. 82,952 5,183,670 * TeleCommunication Systems, Inc. Class A 54,047 137,820 * Telenav, Inc. 9,865 60,472 #* Teradyne, Inc. 26,789 473,362 # Tessco Technologies, Inc. 8,689 285,781 # Tessera Technologies, Inc. 48,635 1,066,566 TheStreet, Inc. 35,273 90,652 * TriQuint Semiconductor, Inc. 59,493 843,611 * TSR, Inc. 550 1,667 #* TTM Technologies, Inc. 62,635 494,190 United Online, Inc. 17,780 210,693 #* Veeco Instruments, Inc. 15,978 590,707 #* Viasystems Group, Inc. 11,376 136,740 * Vicon Industries, Inc. 5,787 16,898 * Video Display Corp. 600 2,082 * Virtusa Corp. 30,064 991,210 # Vishay Intertechnology, Inc. 228,349 3,247,123 * Vishay Precision Group, Inc. 24,277 394,016 * Westell Technologies, Inc. Class A 16,329 53,233 Western Digital Corp. 212,781 18,752,390 Xerox Corp. 1,188,277 14,366,269 * XO Group, Inc. 6,284 66,736 * Yahoo!, Inc. 1,048,770 37,703,281 * Zygo Corp. 18,732 360,404 #* Zynga, Inc. Class A 170,882 692,072 ------------ Total Information Technology 324,918,367 ------------ Materials -- (3.1%) A Schulman, Inc. 32,960 1,183,923 Alcoa, Inc. 888,828 11,972,513 # Allegheny Technologies, Inc. 22,777 938,412
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
SHARES VALUE+ ------- ----------- Materials -- (Continued) #* AM Castle & Co. 36,370 $ 446,624 Ampco-Pittsburgh Corp. 4,007 80,260 Ashland, Inc. 112,560 10,873,296 # Axiall Corp. 26,423 1,231,312 Bemis Co., Inc. 24,092 969,462 Cabot Corp. 46,280 2,674,984 * Century Aluminum Co. 15,822 217,553 * Chemtura Corp. 49,368 1,100,906 * Clearwater Paper Corp. 16,822 1,032,703 # Cliffs Natural Resources, Inc. 35,738 633,277 * Coeur Mining, Inc. 128,160 1,109,866 Commercial Metals Co. 85,208 1,635,994 * Continental Materials Corp. 100 1,851 * Core Molding Technologies, Inc. 11,847 142,283 Cytec Industries, Inc. 64,700 6,167,204 Domtar Corp. 30,917 2,886,411 Dow Chemical Co. (The) 14,000 698,600 * Ferro Corp. 42,247 548,366 Freeport-McMoRan Copper & Gold, Inc. 147,916 5,083,873 Friedman Industries, Inc. 16,110 138,224 # FutureFuel Corp. 6,104 122,507 * Graphic Packaging Holding Co. 154,000 1,580,040 Greif, Inc. Class A 4,885 264,718 * Headwaters, Inc. 23,663 295,314 # Hecla Mining Co. 203,366 624,334 #* Horsehead Holding Corp. 49,015 764,144 Huntsman Corp. 50,242 1,258,562 International Paper Co. 493,615 23,027,140 # Kaiser Aluminum Corp. 27,181 1,913,542 * KapStone Paper and Packaging Corp. 80,984 2,136,358 * Kraton Performance Polymers, Inc. 5,435 141,582 # Kronos Worldwide, Inc. 4,331 67,780 * Landec Corp. 37,056 439,484 #* Louisiana-Pacific Corp. 173,457 2,842,960 LyondellBasell Industries NV Class A 71,793 6,640,853 Materion Corp. 18,497 622,424 MeadWestvaco Corp. 188,451 7,362,781 * Mercer International, Inc. 21,725 179,883 Minerals Technologies, Inc. 34,280 2,039,317 Myers Industries, Inc. 64,720 1,210,264 Neenah Paper, Inc. 7,684 387,043 * Northern Technologies International Corp. 3,035 64,190 Nucor Corp. 83,945 4,344,154 # Olin Corp. 62,261 1,749,534 Olympic Steel, Inc. 9,986 263,231 # OM Group, Inc. 42,299 1,238,938 #* Penford Corp. 26,122 329,137 PH Glatfelter Co. 50,600 1,291,312 PolyOne Corp. 8,983 336,593 Reliance Steel & Aluminum Co. 93,801 6,642,987 * Resolute Forest Products, Inc. 1,817 32,415 Rock-Tenn Co. Class A 26,305 2,515,021
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
SHARES VALUE+ --------- ------------ Materials -- (Continued) * RTI International Metals, Inc. 50,032 $ 1,408,901 # Schnitzer Steel Industries, Inc. Class A 14,397 404,124 Sealed Air Corp. 46,499 1,595,381 Sensient Technologies Corp. 38,101 2,059,359 Steel Dynamics, Inc. 94,919 1,734,170 * Stillwater Mining Co. 59,549 939,683 * SunCoke Energy, Inc. 62,210 1,298,323 # Synalloy Corp. 5,144 79,732 #* Texas Industries, Inc. 33,762 2,927,165 Tredegar Corp. 40,177 836,083 Tronox, Ltd. Class A 1,600 39,200 #* Universal Stainless & Alloy Products, Inc. 9,093 326,348 Vulcan Materials Co. 58,246 3,758,614 # Wausau Paper Corp. 13,070 156,317 Westlake Chemical Corp. 158,152 11,260,422 Worthington Industries, Inc. 47,320 1,741,376 ------------ Total Materials 155,061,637 ------------ Other -- (0.0%) (o)* Gerber Scientific, Inc. Escrow Shares 47,409 -- (o)* Petrocorp, Inc. Escrow Shares 900 -- ------------ Total Other -- ------------ Real Estate Investment Trusts -- (0.0%) Geo Group, Inc. (The) 5,052 169,393 ------------ Telecommunication Services -- (4.3%) AT&T, Inc. 4,065,906 145,152,844 Atlantic Tele-Network, Inc. 84 4,970 * Cbeyond, Inc. 11,274 111,500 # CenturyLink, Inc. 510,163 17,809,790 # Frontier Communications Corp. 696,949 4,146,847 * General Communication, Inc. Class A 45,867 478,851 #* Iridium Communications, Inc. 14,800 98,716 Lumos Networks Corp. 500 6,605 * ORBCOMM, Inc. 44,499 279,009 * Premiere Global Services, Inc. 2,000 25,440 # Shenandoah Telecommunications Co. 3,026 84,819 #* Sprint Corp. 824,326 7,006,771 T-Mobile US, Inc. 113,786 3,332,792 Telephone & Data Systems, Inc. 154,629 4,204,362 # United States Cellular Corp. 33,568 1,394,415 USA Mobility, Inc. 12,522 214,502 Verizon Communications, Inc. 644,888 30,135,616 * Vonage Holdings Corp. 85,934 329,987 ------------ Total Telecommunication Services 214,817,836 ------------ Utilities -- (0.3%) * Calpine Corp. 62,921 1,442,778 # Consolidated Water Co., Ltd. 6,656 77,343 * Genie Energy, Ltd. Class B 5,000 40,500 NRG Energy, Inc. 367,799 12,034,383
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
SHARES VALUE+ ---------- -------------- Utilities -- (Continued) Ormat Technologies, Inc. 20,134 $ 537,175 # SJW Corp. 6,569 178,874 UGI Corp. 52,659 2,458,649 -------------- Total Utilities 16,769,702 -------------- TOTAL COMMON STOCKS 4,778,992,761 -------------- RIGHTS/WARRANTS -- (0.0%) (o)* Leap Wireless International, Inc. Contingent Value Rights 8,393 21,150 (o)#* Magnum Hunter Resources Corp. Warrants 04/15/16 8,220 -- -------------- TOTAL RIGHTS/WARRANTS 21,150 -------------- TEMPORARY CASH INVESTMENTS -- (0.2%) State Street Institutional Liquid Reserves, 0.074% 11,873,516 11,873,516 -------------- SHARES/ FACE AMOUNT (000) ---------- SECURITIES LENDING COLLATERAL -- (4.6%) (S)@ DFA Short Term Investment Fund 19,872,417 229,923,863 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $2,914,575,678) $5,020,811,290 ==============
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED Summary of the Series' investments as of April 30, 2014, 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 $ 848,874,230 -- -- $ 848,874,230 Consumer Staples 350,824,095 -- -- 350,824,095 Energy 815,604,250 -- -- 815,604,250 Financials 892,527,152 $ 6,576 -- 892,533,728 Health Care 475,127,397 59,773 -- 475,187,170 Industrials 684,232,141 212 -- 684,232,353 Information Technology 324,918,367 -- -- 324,918,367 Materials 155,061,637 -- -- 155,061,637 Other -- -- -- -- Real Estate Investment Trusts 169,393 -- -- 169,393 Telecommunication Services 214,817,836 -- -- 214,817,836 Utilities 16,769,702 -- -- 16,769,702 Rights/Warrants -- 21,150 -- 21,150 Temporary Cash Investments 11,873,516 -- -- 11,873,516 Securities Lending Collateral -- 229,923,863 -- 229,923,863 -------------- ------------ -- -------------- TOTAL $4,790,799,716 $230,011,574 -- $5,020,811,290 ============== ============ == ==============
CSTG&E U.S. SOCIAL CORE EQUITY 2 PORTFOLIO SCHEDULE OF INVESTMENTS APRIL 30, 2014 (UNAUDITED) SHARES VALUE+ ------ -------- COMMON STOCKS -- (90.3%) Consumer Discretionary -- (13.3%) * 1-800-Flowers.com, Inc. Class A 600 $ 3,270 Aaron's, Inc. 1,900 55,993 # Abercrombie & Fitch Co. Class A 400 14,704 Advance Auto Parts, Inc. 200 24,258 #* Aeropostale, Inc. 1,830 9,095 AH Belo Corp. Class A 600 6,906 * Amazon.com, Inc. 700 212,891 #* AMC Networks, Inc. Class A 150 9,851 #* America's Car-Mart, Inc. 400 14,456 * American Axle & Manufacturing Holdings, Inc. 800 14,120 # American Eagle Outfitters, Inc. 2,800 32,368 #* ANN, Inc. 1,000 39,190 * Apollo Education Group, Inc. Class A 400 11,544 * Asbury Automotive Group, Inc. 900 55,566 #* Ascena Retail Group, Inc. 1,500 25,800 * Ascent Capital Group, Inc. Class A 200 13,754 # Autoliv, Inc. 600 61,188 * AutoNation, Inc. 300 15,897 * Ballantyne Strong, Inc. 500 2,260 #* Barnes & Noble, Inc. 1,693 27,765 Beasley Broadcasting Group, Inc. Class A 300 2,310 * Bed Bath & Beyond, Inc. 500 31,065 Best Buy Co., Inc. 2,340 60,676 # Big 5 Sporting Goods Corp. 600 7,326 * Big Lots, Inc. 1,158 45,741 * Biglari Holdings, Inc. 60 25,741 * Blue Nile, Inc. 47 1,632 # Bob Evans Farms, Inc. 1,000 46,870 #* Body Central Corp. 200 208 * Books-A-Million, Inc. 600 1,416 BorgWarner, Inc. 800 49,712 * Bravo Brio Restaurant Group, Inc. 181 2,710 * Bridgepoint Education, Inc. 721 11,428 Brinker International, Inc. 525 25,799 Brown Shoe Co., Inc. 1,300 30,667 Brunswick Corp. 622 24,998 # Buckle, Inc. (The) 400 18,796 * Buffalo Wild Wings, Inc. 400 58,448 * Build-A-Bear Workshop, Inc. 500 5,610 #* Cabela's, Inc. 1,300 85,293 #* Cache, Inc. 815 2,168 # Callaway Golf Co. 980 8,536 * Cambium Learning Group, Inc. 1,078 2,415 # Capella Education Co. 39 2,276 * CarMax, Inc. 1,241 54,331 * Carmike Cinemas, Inc. 300 8,898 Carnival Corp. 1,760 69,186 Carriage Services, Inc. 700 11,263 * Carrols Restaurant Group, Inc. 433 2,905 Carter's, Inc. 1,000 73,660 Cato Corp. (The) Class A 700 19,943 CSTG&E U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Consumer Discretionary -- (Continued) * Cavco Industries, Inc. 200 $ 15,590 CBS Corp. Class B 1,600 92,416 Cheesecake Factory, Inc. (The) 1,265 56,786 Chico's FAS, Inc. 2,100 33,348 # Children's Place Retail Stores, Inc. (The) 500 24,000 Choice Hotels International, Inc. 700 30,926 * Christopher & Banks Corp. 700 4,368 Cinemark Holdings, Inc. 1,436 42,534 Coach, Inc. 500 22,325 Columbia Sportswear Co. 800 68,784 Comcast Corp. Class A 11,509 595,706 # Comcast Corp. Special Class A 2,900 147,987 #* Conn's, Inc. 989 43,743 Cooper Tire & Rubber Co. 1,440 36,216 Core-Mark Holding Co., Inc. 200 16,108 #* Corinthian Colleges, Inc. 1,155 1,328 Cracker Barrel Old Country Store, Inc. 400 37,896 * Crocs, Inc. 1,976 29,897 CST Brands, Inc. 554 18,077 CTC Media, Inc. 1,350 11,705 Culp, Inc. 500 9,025 * Cumulus Media, Inc. Class A 400 2,564 # Dana Holding Corp. 4,036 85,442 # Darden Restaurants, Inc. 500 24,855 #* Deckers Outdoor Corp. 400 31,580 Destination Maternity Corp. 400 9,864 # DeVry Education Group, Inc. 1,197 53,901 Dick's Sporting Goods, Inc. 300 15,798 Dillard's, Inc. Class A 1,400 137,102 DineEquity, Inc. 566 42,908 * DIRECTV 802 62,235 * Discovery Communications, Inc. Class A 300 22,770 * Discovery Communications, Inc. Class C 300 21,039 * DISH Network Corp. Class A 200 11,372 * Dixie Group, Inc. (The) 400 6,028 * Dollar Tree, Inc. 986 51,341 Domino's Pizza, Inc. 600 44,628 * Dorman Products, Inc. 800 46,040 # DR Horton, Inc. 3,300 73,524 #* DreamWorks Animation SKG, Inc. Class A 700 16,821 Drew Industries, Inc. 407 20,480 DSW, Inc. Class A 600 20,034 # Ethan Allen Interiors, Inc. 800 19,424 * EW Scripps Co. Class A 1,151 19,717 Expedia, Inc. 571 40,535 * Express, Inc. 1,624 23,662 Family Dollar Stores, Inc. 500 29,375 * Federal-Mogul Holdings Corp. 1,897 32,666 * Fiesta Restaurant Group, Inc. 433 15,852 Finish Line, Inc. (The) Class A 700 19,271 Foot Locker, Inc. 3,300 153,549 Ford Motor Co. 3,820 61,693 CSTG&E U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Consumer Discretionary -- (Continued) * Fossil Group, Inc. 200 $ 21,330 Frisch's Restaurants, Inc. 100 2,368 * FTD Cos., Inc. 440 13,350 #* G-III Apparel Group, Ltd. 600 43,062 # GameStop Corp. Class A 3,194 126,738 Gannett Co., Inc. 2,462 66,893 Gap, Inc. (The) 300 11,790 Garmin, Ltd. 1,300 74,230 General Motors Co. 3,315 114,301 * Genesco, Inc. 600 45,822 Gentex Corp. 487 13,962 * Gentherm, Inc. 750 27,263 # Genuine Parts Co. 500 43,560 Goodyear Tire & Rubber Co. (The) 700 17,640 Graham Holdings Co. Class B 167 112,095 * Grand Canyon Education, Inc. 866 37,342 * Gray Television, Inc. 1,180 13,275 # Group 1 Automotive, Inc. 500 36,065 Guess?, Inc. 1,374 36,974 Hanesbrands, Inc. 700 57,463 Harley-Davidson, Inc. 800 59,152 Harman International Industries, Inc. 700 76,727 Harte-Hanks, Inc. 1,200 9,648 # Hasbro, Inc. 400 22,104 Haverty Furniture Cos., Inc. 600 15,324 * Helen of Troy, Ltd. 709 44,454 #* hhgregg, Inc. 800 6,896 * Hibbett Sports, Inc. 267 14,378 Hillenbrand, Inc. 1,103 33,531 #* Hollywood Media Corp. 300 375 Home Depot, Inc. (The) 2,736 217,539 Hooker Furniture Corp. 200 2,770 HSN, Inc. 400 23,216 * Hyatt Hotels Corp. Class A 442 24,876 #* Iconix Brand Group, Inc. 1,500 63,750 International Speedway Corp. Class A 600 18,864 Interpublic Group of Cos., Inc. (The) 1,600 27,872 Interval Leisure Group, Inc. 900 23,193 #* iRobot Corp. 500 16,750 #* ITT Educational Services, Inc. 200 5,400 * Jack in the Box, Inc. 900 48,186 # JAKKS Pacific, Inc. 662 5,799 #* JC Penney Co., Inc. 1,671 14,237 John Wiley & Sons, Inc. Class A 940 54,012 John Wiley & Sons, Inc. Class B 70 4,115 Johnson Controls, Inc. 2,000 90,280 * Jos A Bank Clothiers, Inc. 400 25,820 * Journal Communications, Inc. Class A 1,600 12,832 * K12, Inc. 700 16,576 * Kate Spade & Co. 728 25,313 # KB Home 2,000 33,020 * Kirkland's, Inc. 474 8,110 CSTG&E U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Consumer Discretionary -- (Continued) # Kohl's Corp. 1,498 $ 82,075 * Kona Grill, Inc. 280 6,566 #* Krispy Kreme Doughnuts, Inc. 900 15,786 L Brands, Inc. 400 21,680 La-Z-Boy, Inc. 800 19,384 * Lakeland Industries, Inc. 200 1,420 * Lamar Advertising Co. Class A 602 30,052 * Lands' End, Inc. 270 7,466 * LeapFrog Enterprises, Inc. 1,200 8,220 Lear Corp. 1,021 84,804 * Learning Tree International, Inc. 500 1,525 #* Lee Enterprises, Inc. 2,000 8,040 # Leggett & Platt, Inc. 2,900 95,294 # Lennar Corp. Class A 1,200 46,308 * Liberty Global P.L.C. Class A 200 7,964 * Liberty Global P.L.C. Class C 792 30,437 * Liberty Interactive Corp. Class A 2,169 63,031 * Liberty Media Corp. Class A 740 95,985 * Liberty Ventures Series A 620 35,985 #* Life Time Fitness, Inc. 1,034 49,632 Lifetime Brands, Inc. 500 9,550 * LIN Media LLC Class A 746 17,479 # Lincoln Educational Services Corp. 300 1,224 # Lions Gate Entertainment Corp. 105 2,786 Lithia Motors, Inc. Class A 600 44,568 * Live Nation Entertainment, Inc. 3,800 79,344 * LKQ Corp. 3,200 93,184 * Loral Space & Communications, Inc. 400 28,796 Lowe's Cos., Inc. 1,600 73,456 * Luby's, Inc. 1,000 5,420 #* Lululemon Athletica, Inc. 200 9,186 #* Lumber Liquidators Holdings, Inc. 171 14,904 #* M/I Homes, Inc. 500 11,135 Macy's, Inc. 1,400 80,402 * Madison Square Garden Co. (The) Class A 1,250 68,250 Marcus Corp. (The) 500 8,365 Marine Products Corp. 1,100 7,810 #* MarineMax, Inc. 15 241 # Marriott International, Inc. Class A 600 34,758 * Marriott Vacations Worldwide Corp. 70 3,814 * Martha Stewart Living Omnimedia, Inc. Class A 1,000 3,910 Mattel, Inc. 500 19,608 # Matthews International Corp. Class A 700 28,245 #* McClatchy Co. (The) Class A 127 696 McDonald's Corp. 1,800 182,484 # MDC Holdings, Inc. 1,300 35,880 Men's Wearhouse, Inc. (The) 1,222 57,898 Meredith Corp. 1,100 48,477 * Meritage Homes Corp. 1,000 38,580 #* Modine Manufacturing Co. 1,100 18,128 * Mohawk Industries, Inc. 832 110,165 # Monro Muffler Brake, Inc. 575 32,430 CSTG&E U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Consumer Discretionary -- (Continued) # Morningstar, Inc. 600 $ 43,998 Movado Group, Inc. 600 23,568 * Murphy USA, Inc. 566 24,055 NACCO Industries, Inc. Class A 200 10,718 * Nathan's Famous, Inc. 200 9,856 * Nautilus, Inc. 477 3,973 * Netflix, Inc. 200 64,408 # New York Times Co. (The) Class A 2,379 38,254 NIKE, Inc. Class B 1,400 102,130 Nordstrom, Inc. 500 30,640 * NVR, Inc. 13 14,001 * O'Reilly Automotive, Inc. 700 104,153 #* Office Depot, Inc. 10,039 41,060 Omnicom Group, Inc. 600 40,608 * Orbitz Worldwide, Inc. 1,300 9,555 * Orient-Express Hotels, Ltd. Class A 1,713 22,440 * Outerwall, Inc. 758 52,567 * Overstock.com, Inc. 300 4,806 Oxford Industries, Inc. 400 26,404 * Panera Bread Co. Class A 100 15,297 Papa John's International, Inc. 1,000 43,860 Penske Automotive Group, Inc. 2,600 119,236 #* Pep Boys-Manny, Moe & Jack (The) 1,200 12,264 # PetSmart, Inc. 500 33,840 # Pier 1 Imports, Inc. 500 9,130 Polaris Industries, Inc. 402 54,001 Pool Corp. 553 32,638 * Popeyes Louisiana Kitchen, Inc. 300 11,430 #* Premier Exhibitions, Inc. 300 262 * Priceline Group, Inc. (The) 100 115,775 PVH Corp. 616 77,351 #* Quiksilver, Inc. 4,300 27,606 #* RadioShack Corp. 3,000 4,290 Ralph Lauren Corp. 100 15,137 * Red Lion Hotels Corp. 600 3,450 * Red Robin Gourmet Burgers, Inc. 400 27,192 # Regal Entertainment Group Class A 600 11,280 Regis Corp. 1,700 22,338 # Rent-A-Center, Inc. 1,700 49,657 * Rentrak Corp. 200 11,398 Rocky Brands, Inc. 200 2,928 Ross Stores, Inc. 400 27,232 Royal Caribbean Cruises, Ltd. 2,514 133,569 #* Ruby Tuesday, Inc. 1,500 11,565 Ruth's Hospitality Group, Inc. 695 8,750 # Ryland Group, Inc. (The) 1,048 40,233 Saga Communications, Inc. Class A 133 5,892 Salem Communications Corp. Class A 400 3,524 * Sally Beauty Holdings, Inc. 900 24,669 Scripps Networks Interactive, Inc. Class A 400 30,028 #* Sears Holdings Corp. 900 39,429 #* Select Comfort Corp. 580 10,672 CSTG&E U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Consumer Discretionary -- (Continued) Service Corp. International 6,100 $114,497 #* Shiloh Industries, Inc. 600 11,844 #* Shutterfly, Inc. 873 35,732 Signet Jewelers, Ltd. 1,263 127,967 # Sinclair Broadcast Group, Inc. Class A 600 16,038 Six Flags Entertainment Corp. 1,800 72,252 * Skechers U.S.A., Inc. Class A 709 29,062 * Skyline Corp. 400 2,040 # Sonic Automotive, Inc. Class A 900 21,906 * Sonic Corp. 1,000 19,040 Sotheby's 932 39,200 Spartan Motors, Inc. 1,100 5,841 # Speedway Motorsports, Inc. 1,314 23,902 Stage Stores, Inc. 900 17,262 Standard Motor Products, Inc. 448 17,020 * Standard Pacific Corp. 3,900 31,161 # Staples, Inc. 4,555 56,937 Starbucks Corp. 900 63,558 Starwood Hotels & Resorts Worldwide, Inc. 500 38,325 * Starz 1,690 54,536 Stein Mart, Inc. 1,300 16,250 * Steven Madden, Ltd. 1,023 36,429 Strattec Security Corp. 40 2,672 # Sturm Ruger & Co., Inc. 300 19,305 Superior Industries International, Inc. 800 16,912 Superior Uniform Group, Inc. 200 3,252 * Systemax, Inc. 988 17,083 * Tandy Leather Factory, Inc. 300 2,937 Target Corp. 2,600 160,550 #* Tempur Sealy International, Inc. 600 30,108 * Tenneco, Inc. 1,000 59,870 #* Tesla Motors, Inc. 200 41,578 Texas Roadhouse, Inc. 1,500 37,110 # Thor Industries, Inc. 1,040 63,305 Tiffany & Co. 400 34,996 Time Warner Cable, Inc. 2,380 336,675 Time Warner, Inc. 5,166 343,332 TJX Cos., Inc. (The) 885 51,489 * Toll Brothers, Inc. 1,300 44,512 Town Sports International Holdings, Inc. 288 2,019 Tractor Supply Co. 800 53,792 * TRW Automotive Holdings Corp. 770 61,869 #* Tuesday Morning Corp. 600 8,388 Tupperware Brands Corp. 400 33,964 Twenty-First Century Fox, Inc. Class A 2,500 80,050 Twenty-First Century Fox, Inc. Class B 895 28,031 * Ulta Salon Cosmetics & Fragrance, Inc. 200 17,542 #* Under Armour, Inc. Class A 400 19,556 #* Unifi, Inc. 666 14,745 * Universal Electronics, Inc. 300 11,205 * Urban Outfitters, Inc. 400 14,262 Vail Resorts, Inc. 1,000 69,230 CSTG&E U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ ----------- Consumer Discretionary -- (Continued) # Value Line, Inc. 106 $ 1,545 VF Corp. 800 48,872 Viacom, Inc. Class B 1,000 84,980 * Visteon Corp. 910 78,997 #* VOXX International Corp. 850 9,988 Walt Disney Co. (The) 7,200 571,248 # Wendy's Co. (The) 9,318 77,433 * West Marine, Inc. 500 5,350 Whirlpool Corp. 1,100 168,718 Williams-Sonoma, Inc. 500 31,410 Winmark Corp. 30 2,276 * Winnebago Industries, Inc. 478 11,424 Wolverine World Wide, Inc. 1,128 31,697 Wyndham Worldwide Corp. 2,200 156,948 Yum! Brands, Inc. 600 46,194 * Zale Corp. 600 12,834 * Zumiez, Inc. 696 17,017 ----------- Total Consumer Discretionary 13,432,393 ----------- Consumer Staples -- (4.9%) # Alico, Inc. 200 6,984 Andersons, Inc. (The) 750 46,717 Archer-Daniels-Midland Co. 2,600 113,698 B&G Foods, Inc. 1,000 32,800 * Boulder Brands, Inc. 1,229 18,140 Bunge, Ltd. 1,475 117,484 Cal-Maine Foods, Inc. 600 35,778 Calavo Growers, Inc. 300 9,327 # Campbell Soup Co. 800 36,392 Casey's General Stores, Inc. 807 55,409 * Chiquita Brands International, Inc. 861 9,884 Church & Dwight Co., Inc. 600 41,406 # Clorox Co. (The) 500 45,350 Coca-Cola Bottling Co. Consolidated 200 16,446 Coca-Cola Co. (The) 5,690 232,095 Coca-Cola Enterprises, Inc. 1,297 58,936 Colgate-Palmolive Co. 1,400 94,220 ConAgra Foods, Inc. 3,453 105,351 Costco Wholesale Corp. 800 92,544 * Darling International, Inc. 2,800 56,028 # Dean Foods Co. 2,340 37,066 Dr Pepper Snapple Group, Inc. 884 48,991 * Elizabeth Arden, Inc. 1,000 36,740 Energizer Holdings, Inc. 633 70,700 Estee Lauder Cos., Inc. (The) Class A 400 29,028 * Farmer Bros. Co. 500 9,855 Flowers Foods, Inc. 3,300 67,716 # Fresh Del Monte Produce, Inc. 837 24,181 General Mills, Inc. 1,144 60,655 Griffin Land & Nurseries, Inc. 93 2,716 #* Hain Celestial Group, Inc. (The) 800 68,816 Hershey Co. (The) 300 28,872 CSTG&E U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Consumer Staples -- (Continued) Hillshire Brands Co. (The) 220 $ 7,843 Hormel Foods Corp. 900 42,921 Ingles Markets, Inc. Class A 300 6,897 Ingredion, Inc. 818 57,628 Inter Parfums, Inc. 750 27,442 J&J Snack Foods Corp. 400 37,440 JM Smucker Co. (The) 1,420 137,285 John B. Sanfilippo & Son, Inc. 200 4,610 Kellogg Co. 300 20,049 Keurig Green Mountain, Inc. 500 46,840 Kimberly-Clark Corp. 700 78,575 Kraft Foods Group, Inc. 634 36,049 Kroger Co. (The) 700 32,228 Lancaster Colony Corp. 500 47,440 # Lifeway Foods, Inc. 200 3,002 McCormick & Co., Inc. 500 35,600 * Medifast, Inc. 300 9,495 Mondelez International, Inc. Class A 6,403 228,267 * Monster Beverage Corp. 400 26,784 * National Beverage Corp. 400 7,712 * Omega Protein Corp. 700 7,952 Orchids Paper Products Co. 98 2,633 PepsiCo, Inc. 3,179 273,044 * Pilgrim's Pride Corp. 3,873 84,664 * Post Holdings, Inc. 760 39,718 # Pricesmart, Inc. 300 28,812 Procter & Gamble Co. (The) 9,400 775,970 * Revlon, Inc. Class A 505 15,221 Rocky Mountain Chocolate Factory, Inc. 200 2,390 Safeway, Inc. 1,200 40,872 # Sanderson Farms, Inc. 600 49,362 Snyder's-Lance, Inc. 800 21,248 Spartan Stores, Inc. 700 15,078 Spectrum Brands Holdings, Inc. 1,343 103,183 #* Susser Holdings Corp. 800 61,904 Sysco Corp. 1,100 40,073 # Tootsie Roll Industries, Inc. 1,031 29,064 #* TreeHouse Foods, Inc. 642 48,047 Tyson Foods, Inc. Class A 2,989 125,448 #* United Natural Foods, Inc. 900 62,127 Wal-Mart Stores, Inc. 5,291 421,746 WD-40 Co. 200 14,568 # Weis Markets, Inc. 788 36,319 * WhiteWave Foods Co. (The) Class A 791 21,903 Whole Foods Market, Inc. 800 39,760 ---------- Total Consumer Staples 4,965,538 ---------- Energy -- (13.1%) Adams Resources & Energy, Inc. 49 3,531 Alon USA Energy, Inc. 1,630 26,553 #* Alpha Natural Resources, Inc. 4,329 18,615 Anadarko Petroleum Corp. 3,500 346,570 CSTG&E U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Energy -- (Continued) Apache Corp. 2,351 $ 204,067 #* Approach Resources, Inc. 597 12,388 # Arch Coal, Inc. 3,052 13,978 * Atwood Oceanics, Inc. 1,150 56,994 Baker Hughes, Inc. 2,161 151,054 * Basic Energy Services, Inc. 800 21,136 * Bill Barrett Corp. 1,012 23,964 * Bonanza Creek Energy, Inc. 363 17,649 Bristow Group, Inc. 1,060 81,408 #* C&J Energy Services, Inc. 1,602 48,156 Cabot Oil & Gas Corp. 5,600 219,968 * Cameron International Corp. 716 46,511 # CARBO Ceramics, Inc. 428 59,881 * Carrizo Oil & Gas, Inc. 704 38,734 Chesapeake Energy Corp. 5,992 172,270 Chevron Corp. 17,800 2,234,256 Cimarex Energy Co. 1,000 119,120 * Clayton Williams Energy, Inc. 400 57,792 #* Clean Energy Fuels Corp. 1,421 12,576 * Cloud Peak Energy, Inc. 906 17,839 # Comstock Resources, Inc. 900 25,020 * Concho Resources, Inc. 828 108,013 ConocoPhillips 8,900 661,359 CONSOL Energy, Inc. 1,392 61,958 * Contango Oil & Gas Co. 400 19,216 Dawson Geophysical Co. 200 5,652 Delek US Holdings, Inc. 900 28,791 Devon Energy Corp. 2,409 168,630 # Diamond Offshore Drilling, Inc. 800 43,688 * Dresser-Rand Group, Inc. 400 24,176 * Dril-Quip, Inc. 500 56,560 #* Endeavour International Corp. 824 2,835 Energen Corp. 300 23,373 Energy XXI Bermuda, Ltd. 677 16,201 EnLink Midstream LLC 1,400 49,462 EOG Resources, Inc. 3,542 347,116 * EPL Oil & Gas, Inc. 859 33,621 EQT Corp. 400 43,596 * Era Group, Inc. 500 14,275 #* Escalera Resources Co. 200 546 Exterran Holdings, Inc. 1,611 69,305 Exxon Mobil Corp. 20,079 2,056,290 * FMC Technologies, Inc. 900 51,030 #* Geospace Technologies Corp. 222 12,905 Green Plains Renewable Energy, Inc. 700 20,930 * Gulf Coast Ultra Deep Royalty Trust 2,475 7,277 Gulfmark Offshore, Inc. Class A 900 40,509 * Gulfport Energy Corp. 1,061 78,164 Halliburton Co. 1,200 75,684 * Helix Energy Solutions Group, Inc. 1,500 36,060 Helmerich & Payne, Inc. 1,200 130,380 * Hercules Offshore, Inc. 3,605 16,114 CSTG&E U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Energy -- (Continued) Hess Corp. 1,780 $158,705 HollyFrontier Corp. 1,937 101,867 #* Hornbeck Offshore Services, Inc. 922 38,198 * ION Geophysical Corp. 2,100 9,240 * Key Energy Services, Inc. 1,500 15,060 Kinder Morgan, Inc. 1,123 36,677 # LinnCo LLC 1,680 46,301 Marathon Oil Corp. 4,400 159,060 Marathon Petroleum Corp. 2,400 223,080 * Matador Resources Co. 1,100 31,592 * Matrix Service Co. 500 15,485 Murphy Oil Corp. 763 48,397 Nabors Industries, Ltd. 2,343 59,793 National Oilwell Varco, Inc. 1,700 133,501 * Natural Gas Services Group, Inc. 200 6,138 * Newfield Exploration Co. 1,580 53,483 #* Newpark Resources, Inc. 1,700 20,468 Noble Corp. P.L.C. 1,866 57,491 Noble Energy, Inc. 1,800 129,204 #* Northern Oil and Gas, Inc. 494 7,622 #* Nuverra Environmental Solutions, Inc. 242 4,116 * Oasis Petroleum, Inc. 400 18,604 Occidental Petroleum Corp. 2,800 268,100 Oceaneering International, Inc. 600 43,968 * Oil States International, Inc. 781 75,866 ONEOK, Inc. 1,284 81,175 #* Overseas Shipholding Group, Inc. 200 1,140 * Parker Drilling Co. 3,152 20,898 Patterson-UTI Energy, Inc. 2,320 75,470 * PDC Energy, Inc. 600 38,202 #* Penn Virginia Corp. 420 6,989 #* PHI, Inc. Non-Voting 400 17,920 Phillips 66 4,450 370,329 * Pioneer Energy Services Corp. 1,900 28,443 Pioneer Natural Resources Co. 510 98,568 QEP Resources, Inc. 2,300 70,587 Range Resources Corp. 600 54,270 #* Rentech, Inc. 1,935 4,102 * Rex Energy Corp. 1,300 27,378 * Rosetta Resources, Inc. 700 33,138 #* Rowan Cos. P.L.C. Class A 2,000 61,840 RPC, Inc. 1,200 26,676 #* SandRidge Energy, Inc. 5,159 35,391 Schlumberger, Ltd. 2,905 295,003 Scorpio Tankers, Inc. 1,738 15,659 #* SEACOR Holdings, Inc. 500 41,695 SemGroup Corp. Class A 751 47,974 Ship Finance International, Ltd. 1,848 32,580 SM Energy Co. 1,072 79,467 * Southwestern Energy Co. 600 28,728 Spectra Energy Corp. 945 37,526 #* Steel Excel, Inc. 350 11,340 CSTG&E U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ ----------- Energy -- (Continued) * Stone Energy Corp. 1,000 $ 49,050 Superior Energy Services, Inc. 2,641 86,942 #* Swift Energy Co. 991 12,219 * Synergy Resources Corp. 800 9,312 Targa Resources Corp. 300 32,397 Teekay Corp. 1,700 95,387 #* Tesco Corp. 818 16,360 Tesoro Corp. 2,703 152,152 #* TETRA Technologies, Inc. 1,700 21,250 * TGC Industries, Inc. 636 3,218 # Tidewater, Inc. 1,500 76,395 # Transocean, Ltd. 1,100 47,377 #* Triangle Petroleum Corp. 854 8,215 * Unit Corp. 1,100 72,545 * Vaalco Energy, Inc. 1,200 11,064 Valero Energy Corp. 5,000 285,850 W&T Offshore, Inc. 1,613 30,970 * Weatherford International, Ltd. 5,083 106,743 # Western Refining, Inc. 1,947 84,695 * Westmoreland Coal Co. 200 5,922 * Whiting Petroleum Corp. 1,400 103,208 * Willbros Group, Inc. 427 4,744 Williams Cos., Inc. (The) 1,024 43,182 World Fuel Services Corp. 1,600 72,864 ----------- Total Energy 13,170,311 ----------- Financials -- (19.5%) 1st Source Corp. 700 20,643 # 1st United Bancorp, Inc. 500 3,660 ACE, Ltd. 1,537 157,266 * Affiliated Managers Group, Inc. 300 59,460 # Alexander & Baldwin, Inc. 1,017 37,944 * Alleghany Corp. 216 88,124 Allied World Assurance Co. Holdings AG 714 76,891 Allstate Corp. (The) 2,800 159,460 #* Altisource Asset Management Corp. 21 20,543 #* Altisource Portfolio Solutions SA 218 22,609 * American Capital, Ltd. 6,228 93,358 # American Equity Investment Life Holding Co. 1,496 34,887 American Express Co. 2,100 183,603 American Financial Group, Inc. 2,700 157,761 American International Group, Inc. 8,485 450,808 American National Insurance Co. 200 22,482 Ameriprise Financial, Inc. 1,850 206,515 * Ameris Bancorp 730 15,527 AMERISAFE, Inc. 500 21,325 AmeriServ Financial, Inc. 560 1,949 # Amtrust Financial Services, Inc. 1,694 65,507 Aon P.L.C. 900 76,392 #* Arch Capital Group, Ltd. 1,532 87,814 Argo Group International Holdings, Ltd. 879 39,045 Arthur J Gallagher & Co. 500 22,510 CSTG&E U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Financials -- (Continued) Aspen Insurance Holdings, Ltd. 1,450 $ 66,381 Associated Banc-Corp 2,772 48,649 Assured Guaranty, Ltd. 2,829 67,641 * Asta Funding, Inc. 300 2,451 Astoria Financial Corp. 2,600 34,476 Axis Capital Holdings, Ltd. 1,300 59,475 Bancfirst Corp. 497 28,930 * Bancorp, Inc. 400 6,328 # BancorpSouth, Inc. 2,400 56,064 Bank Mutual Corp. 1,000 6,020 Bank of America Corp. 36,276 549,219 Bank of Hawaii Corp. 900 49,653 Bank of Kentucky Financial Corp. 108 3,727 Bank of New York Mellon Corp. (The) 4,100 138,867 Bank of the Ozarks, Inc. 800 47,920 BankUnited, Inc. 1,201 39,621 Banner Corp. 471 18,623 BB&T Corp. 2,800 104,524 BBCN Bancorp, Inc. 1,500 23,115 #* Beneficial Mutual Bancorp, Inc. 1,200 15,648 * Berkshire Hathaway, Inc. Class B 2,400 309,240 Berkshire Hills Bancorp, Inc. 852 19,962 BGC Partners, Inc. Class A 3,707 26,579 BlackRock, Inc. 600 180,600 * BofI Holding, Inc. 218 17,573 BOK Financial Corp. 631 41,280 Boston Private Financial Holdings, Inc. 1,500 18,765 * Bridge Capital Holdings 114 2,554 Brookline Bancorp, Inc. 1,601 14,537 Brown & Brown, Inc. 2,525 75,194 Bryn Mawr Bank Corp. 100 2,728 # California First National Bancorp 3 44 * Capital Bank Financial Corp. Class A 36 859 Capital One Financial Corp. 2,200 162,580 Capitol Federal Financial, Inc. 3,561 42,874 Cardinal Financial Corp. 700 11,760 # Cash America International, Inc. 1,000 43,550 Cathay General Bancorp 2,147 50,669 CBOE Holdings, Inc. 300 16,008 Centerstate Banks, Inc. 371 4,070 Central Pacific Financial Corp. 1,228 23,050 Charles Schwab Corp. (The) 1,200 31,860 Chemical Financial Corp. 800 22,456 Chicopee Bancorp, Inc. 89 1,542 Chubb Corp. (The) 1,012 93,185 Cincinnati Financial Corp. 1,560 76,034 CIT Group, Inc. 1,871 80,547 Citigroup, Inc. 11,644 557,864 Citizens Community Bancorp, Inc. 300 2,409 #* Citizens, Inc. 1,400 9,198 # City Holding Co. 400 17,196 # City National Corp. 1,300 94,341 CSTG&E U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Financials -- (Continued) Clifton Bancorp, Inc. 214 $ 2,480 # CME Group, Inc. 2,000 140,780 CNA Financial Corp. 721 29,525 CNO Financial Group, Inc. 5,921 102,137 Columbia Banking System, Inc. 1,146 28,444 Comerica, Inc. 1,707 82,346 Commerce Bancshares, Inc. 1,777 77,264 # Community Bank System, Inc. 700 26,033 Community Trust Bancorp, Inc. 500 18,435 Crawford & Co. Class A 200 1,930 Crawford & Co. Class B 200 2,284 * Credit Acceptance Corp. 162 21,306 # Cullen/Frost Bankers, Inc. 1,320 100,861 # CVB Financial Corp. 3,160 45,694 #* DFC Global Corp. 1,049 9,777 Dime Community Bancshares, Inc. 700 11,410 Discover Financial Services 1,400 78,260 Donegal Group, Inc. Class A 700 10,332 * E*TRADE Financial Corp. 4,367 98,039 East West Bancorp, Inc. 3,323 114,677 # Eaton Vance Corp. 600 21,642 EMC Insurance Group, Inc. 235 7,753 #* Encore Capital Group, Inc. 608 26,278 Endurance Specialty Holdings, Ltd. 1,100 55,902 #* Enstar Group, Ltd. 200 25,820 Enterprise Bancorp, Inc. 41 749 Erie Indemnity Co. Class A 500 35,825 # ESB Financial Corp. 685 8,645 Evercore Partners, Inc. Class A 500 26,715 Everest Re Group, Ltd. 700 110,621 * Ezcorp, Inc. Class A 700 7,301 FBL Financial Group, Inc. Class A 800 35,768 Federal Agricultural Mortgage Corp. Class C 200 7,116 # Federated Investors, Inc. Class B 1,900 54,226 Federated National Holding Co. 200 3,886 Fidelity National Financial, Inc. Class A 4,855 156,234 * First Acceptance Corp. 1,000 2,390 First American Financial Corp. 2,633 70,038 First Bancorp 600 10,326 First Bancorp, Inc. 147 2,342 * First BanCorp. 200 1,028 * First Cash Financial Services, Inc. 644 31,408 First Citizens BancShares, Inc. Class A 250 56,222 First Commonwealth Financial Corp. 2,703 23,219 First Financial Bancorp 1,800 29,142 # First Financial Bankshares, Inc. 802 47,358 First Financial Corp. 300 9,603 First Financial Holdings, Inc. 469 26,953 First Financial Northwest, Inc. 100 1,020 First Horizon National Corp. 6,126 70,388 First Midwest Bancorp, Inc. 1,160 18,989 First Niagara Financial Group, Inc. 4,158 37,089 CSTG&E U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Financials -- (Continued) First Republic Bank 203 $ 10,304 First South Bancorp, Inc. 400 3,212 FirstMerit Corp. 1,386 26,875 Flushing Financial Corp. 700 13,454 FNB Corp. 3,468 43,142 * Forest City Enterprises, Inc. Class A 1,874 35,437 #* Forest City Enterprises, Inc. Class B 409 7,730 #* Forestar Group, Inc. 900 15,345 Franklin Resources, Inc. 1,200 62,820 Fulton Financial Corp. 4,893 59,646 # FXCM, Inc. Class A 151 2,337 * Genworth Financial, Inc. Class A 978 17,457 German American Bancorp, Inc. 482 12,551 GFI Group, Inc. 3,664 13,630 Glacier Bancorp, Inc. 1,900 48,754 * Global Indemnity P.L.C. 550 14,740 Goldman Sachs Group, Inc. (The) 2,540 405,943 Great Southern Bancorp, Inc. 500 14,335 * Green Dot Corp. Class A 141 2,449 # Greenhill & Co., Inc. 170 8,526 * Greenlight Capital Re, Ltd. Class A 700 22,281 Hancock Holding Co. 1,936 65,301 Hanmi Financial Corp. 469 9,976 Hanover Insurance Group, Inc. (The) 1,300 75,985 Hartford Financial Services Group, Inc. (The) 4,918 176,409 HCC Insurance Holdings, Inc. 2,600 119,444 # HCI Group, Inc. 253 9,786 # Heartland Financial USA, Inc. 493 11,980 Heritage Financial Group, Inc. 114 2,195 HF Financial Corp. 99 1,356 HFF, Inc. Class A 650 22,100 * Hilltop Holdings, Inc. 1,200 26,808 #* Home Bancorp, Inc. 200 4,050 Home BancShares, Inc. 1,200 38,052 Horace Mann Educators Corp. 1,200 36,084 Hudson City Bancorp, Inc. 7,639 76,084 # Hudson Valley Holding Corp. 110 2,020 Iberiabank Corp. 700 44,030 #* ICG Group, Inc. 900 18,342 Independent Bank Corp. 618 22,940 Interactive Brokers Group, Inc. Class A 900 21,510 IntercontinentalExchange Group, Inc. 574 117,349 International Bancshares Corp. 1,757 40,341 * Intervest Bancshares Corp. Class A 200 1,514 Invesco, Ltd. 4,026 141,755 * Investment Technology Group, Inc. 1,300 26,832 Investors Bancorp, Inc. 2,932 78,372 # Janus Capital Group, Inc. 3,400 41,242 Jones Lang LaSalle, Inc. 900 104,301 JPMorgan Chase & Co. 21,909 1,226,466 * KCG Holdings, Inc. Class A 207 2,060 #* Kearny Financial Corp. 1,400 20,412 CSTG&E U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Financials -- (Continued) Kemper Corp. 1,700 $ 66,997 Kennedy-Wilson Holdings, Inc. 930 20,311 KeyCorp 4,995 68,132 # Lakeland Financial Corp. 508 18,593 # Legg Mason, Inc. 2,652 124,352 Leucadia National Corp. 3,371 86,028 Lincoln National Corp. 2,505 121,518 LNB Bancorp, Inc. 200 2,276 Loews Corp. 2,000 87,940 # M&T Bank Corp. 1,288 157,149 # Maiden Holdings, Ltd. 1,300 15,340 MainSource Financial Group, Inc. 700 11,571 * Markel Corp. 181 113,292 MarketAxess Holdings, Inc. 696 37,500 Marsh & McLennan Cos., Inc. 1,000 49,310 #* Maui Land & Pineapple Co., Inc. 240 1,879 # MB Financial, Inc. 1,304 34,999 * MBIA, Inc. 3,887 47,110 MCG Capital Corp. 2,300 7,728 McGraw Hill Financial, Inc. 300 22,179 # Meadowbrook Insurance Group, Inc. 1,400 7,840 Merchants Bancshares, Inc. 114 3,314 Mercury General Corp. 1,600 76,576 MetLife, Inc. 3,728 195,161 * Metro Bancorp, Inc. 84 1,715 * MGIC Investment Corp. 5,400 46,440 MidSouth Bancorp, Inc. 72 1,204 # Montpelier Re Holdings, Ltd. 1,781 54,463 Moody's Corp. 600 47,100 Morgan Stanley 4,000 123,720 * MSCI, Inc. 400 16,216 NASDAQ OMX Group, Inc. (The) 2,199 81,143 National Interstate Corp. 500 14,010 National Penn Bancshares, Inc. 3,425 33,462 National Western Life Insurance Co. Class A 11 2,566 * Navigators Group, Inc. (The) 400 22,788 NBT Bancorp, Inc. 1,078 24,417 Nelnet, Inc. Class A 1,000 42,260 * NewStar Financial, Inc. 868 9,913 Northeast Community Bancorp, Inc. 500 3,640 Northern Trust Corp. 1,700 102,425 Northwest Bancshares, Inc. 2,350 31,231 # Ocean Shore Holding Co. 183 2,743 OceanFirst Financial Corp. 600 9,732 * Ocwen Financial Corp. 3,500 132,650 OFG Bancorp 1,300 22,178 Old National Bancorp 2,280 32,194 Old Republic International Corp. 3,800 62,928 # OneBeacon Insurance Group, Ltd. Class A 140 2,162 Oppenheimer Holdings, Inc. Class A 400 10,184 Oritani Financial Corp. 1,400 20,762 Pacific Continental Corp. 357 4,705 CSTG&E U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Financials -- (Continued) * Pacific Mercantile Bancorp 91 $ 596 PacWest Bancorp 2,790 109,842 Park National Corp. 540 39,161 PartnerRe, Ltd. 970 102,238 Peapack Gladstone Financial Corp. 234 4,448 Penns Woods Bancorp, Inc. 71 3,124 # People's United Financial, Inc. 3,487 49,794 * PHH Corp. 1,109 26,361 * PICO Holdings, Inc. 700 16,275 Pinnacle Financial Partners, Inc. 630 21,779 Platinum Underwriters Holdings, Ltd. 933 58,508 PNC Financial Services Group, Inc. (The) 2,100 176,484 * Popular, Inc. 1,838 56,794 #* Portfolio Recovery Associates, Inc. 1,500 85,725 Primerica, Inc. 1,519 69,707 Principal Financial Group, Inc. 2,798 131,058 PrivateBancorp, Inc. 1,429 39,398 ProAssurance Corp. 1,800 81,756 Progressive Corp. (The) 900 21,825 Prosperity Bancshares, Inc. 1,262 74,458 Protective Life Corp. 2,200 112,530 Provident Financial Services, Inc. 1,800 31,284 Prudential Financial, Inc. 1,800 145,224 Pulaski Financial Corp. 143 1,477 QC Holdings, Inc. 500 1,035 Radian Group, Inc. 1,100 15,378 Raymond James Financial, Inc. 1,529 75,991 Regions Financial Corp. 2,091 21,203 Reinsurance Group of America, Inc. 1,271 97,498 # RenaissanceRe Holdings, Ltd. 779 78,843 Renasant Corp. 700 19,054 Resource America, Inc. Class A 500 4,255 * Riverview Bancorp, Inc. 500 1,740 # RLI Corp. 1,320 56,839 S&T Bancorp, Inc. 700 16,282 Safety Insurance Group, Inc. 500 26,855 Sandy Spring Bancorp, Inc. 600 14,430 SEI Investments Co. 954 30,891 Selective Insurance Group, Inc. 1,010 23,169 * Signature Bank 442 52,518 Simmons First National Corp. Class A 600 21,696 SLM Corp. 731 18,823 (o) Southern Community Financial Corp. 401 88 # Southside Bancshares, Inc. 566 15,609 #* St Joe Co. (The) 800 14,280 StanCorp Financial Group, Inc. 1,300 79,430 # State Auto Financial Corp. 1,300 26,598 State Street Corp. 1,694 109,365 # Stewart Information Services Corp. 400 12,200 * Stifel Financial Corp. 1,502 70,249 * Suffolk Bancorp 200 4,386 #* Sun Bancorp, Inc. 722 2,744 CSTG&E U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Financials -- (Continued) SunTrust Banks, Inc. 2,080 $ 79,581 Susquehanna Bancshares, Inc. 3,894 40,342 * SVB Financial Group 900 96,021 * SWS Group, Inc. 600 4,446 Symetra Financial Corp. 1,723 35,597 Synovus Financial Corp. 15,496 49,742 T Rowe Price Group, Inc. 400 32,852 # TCF Financial Corp. 2,700 42,390 TD Ameritrade Holding Corp. 1,900 60,610 * Tejon Ranch Co. 451 13,986 * Texas Capital Bancshares, Inc. 900 50,571 * TFS Financial Corp. 2,603 34,854 Tompkins Financial Corp. 305 14,378 Torchmark Corp. 700 55,790 Tower Group International, Ltd. 1,359 3,343 TowneBank 721 11,125 Travelers Cos., Inc. (The) 3,008 272,465 * Tree.com, Inc. 500 14,540 TrustCo Bank Corp. 2,597 17,166 # Trustmark Corp. 1,700 38,879 U.S. Bancorp 8,200 334,396 # UMB Financial Corp. 1,200 70,452 Umpqua Holdings Corp. 3,092 51,420 Union Bankshares Corp. 1,129 28,891 Union Bankshares, Inc. 64 1,507 United Bankshares, Inc. 1,707 49,930 * United Community Banks, Inc. 223 3,601 United Financial Bancorp, Inc.(91030T109) 711 12,542 United Financial Bancorp, Inc.(910304104) 910 11,976 United Fire Group, Inc. 700 19,474 Universal Insurance Holdings, Inc. 1,300 19,019 Univest Corp. of Pennsylvania 600 11,826 Unum Group 2,772 92,086 Validus Holdings, Ltd. 2,319 85,965 # Valley National Bancorp 3,926 39,339 ViewPoint Financial Group, Inc. 571 14,886 Waddell & Reed Financial, Inc. Class A 600 40,470 * Walker & Dunlop, Inc. 600 9,408 Washington Federal, Inc. 3,000 64,740 Washington Trust Bancorp, Inc. 517 17,681 Waterstone Financial, Inc. 1,097 11,420 Webster Financial Corp. 1,903 57,356 Wells Fargo & Co. 28,843 1,431,767 WesBanco, Inc. 680 20,563 # Westamerica Bancorporation 530 26,935 * Western Alliance Bancorp 1,825 42,103 Westwood Holdings Group, Inc. 77 4,479 Willis Group Holdings P.L.C. 1,454 59,599 Wilshire Bancorp, Inc. 1,608 16,080 Wintrust Financial Corp. 1,001 44,865 #* World Acceptance Corp. 300 21,780 WR Berkley Corp. 2,300 101,752 CSTG&E U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ ----------- Financials -- (Continued) XL Group P.L.C. 2,623 $ 82,231 # Zions Bancorp. 3,500 101,220 ----------- Total Financials 19,672,375 ----------- Industrials -- (15.8%) 3M Co. 1,200 166,908 AAON, Inc. 960 27,216 AAR Corp. 800 20,720 ABM Industries, Inc. 800 21,672 * ACCO Brands Corp. 759 4,653 #* Acorn Energy, Inc. 100 232 Actuant Corp. Class A 1,900 64,334 Acuity Brands, Inc. 400 49,828 # ADT Corp. (The) 1,422 43,001 #* Advisory Board Co. (The) 400 22,904 * AECOM Technology Corp. 1,444 46,814 * Aegion Corp. 700 17,843 * Aerovironment, Inc. 700 23,639 AGCO Corp. 1,100 61,270 Alamo Group, Inc. 400 21,248 Alaska Air Group, Inc. 1,600 150,528 Albany International Corp. Class A 486 17,486 Allegiant Travel Co. 400 46,980 Allegion P.L.C. 433 21,369 Alliant Techsystems, Inc. 848 122,299 (o) Allied Defense Group, Inc. 300 24 Altra Industrial Motion Corp. 800 27,328 AMERCO 600 150,066 * American Airlines Group, Inc. 1,900 66,633 American Railcar Industries, Inc. 600 41,664 # American Science & Engineering, Inc. 200 13,440 * American Woodmark Corp. 490 14,705 # AMETEK, Inc. 675 35,586 AO Smith Corp. 1,700 79,492 Apogee Enterprises, Inc. 600 19,062 Applied Industrial Technologies, Inc. 900 43,128 * ARC Document Solutions, Inc. 900 5,760 ArcBest Corp. 600 23,652 * Armstrong World Industries, Inc. 549 28,855 Astec Industries, Inc. 500 19,975 * Astronics Corp. 506 28,903 #* Astronics Corp. Class B 101 5,747 #* Atlas Air Worldwide Holdings, Inc. 850 29,742 * Avis Budget Group, Inc. 2,700 141,993 AZZ, Inc. 600 26,052 * B/E Aerospace, Inc. 1,100 96,547 Babcock & Wilcox Co. (The) 1,200 41,748 Barnes Group, Inc. 1,620 62,402 Barrett Business Services, Inc. 300 15,123 * Beacon Roofing Supply, Inc. 1,200 42,696 * Blount International, Inc. 500 5,585 #* BlueLinx Holdings, Inc. 2,778 3,639 CSTG&E U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Industrials -- (Continued) Boeing Co. (The) 1,000 $129,020 Brady Corp. Class A 1,100 28,369 # Briggs & Stratton Corp. 1,200 25,644 Brink's Co. (The) 997 25,364 * CAI International, Inc. 600 13,050 Carlisle Cos., Inc. 1,000 82,250 #* Casella Waste Systems, Inc. Class A 700 3,570 Caterpillar, Inc. 1,000 105,400 CDI Corp. 700 10,724 Ceco Environmental Corp. 329 5,228 # Celadon Group, Inc. 500 11,505 # CH Robinson Worldwide, Inc. 300 17,670 Chicago Bridge & Iron Co. NV 112 8,968 Cintas Corp. 1,600 94,288 CIRCOR International, Inc. 500 40,605 CLARCOR, Inc. 900 51,984 #* Clean Harbors, Inc. 400 24,000 * Colfax Corp. 900 64,782 * Columbus McKinnon Corp. 500 13,245 Comfort Systems USA, Inc. 1,200 18,000 #* Commercial Vehicle Group, Inc. 400 3,884 # Con-way, Inc. 1,428 60,661 * Copart, Inc. 760 27,565 Corporate Executive Board Co. (The) 400 27,608 Covanta Holding Corp. 2,083 38,431 * Covenant Transportation Group, Inc. Class A 100 1,025 * CRA International, Inc. 300 6,531 Crane Co. 900 65,457 CSX Corp. 6,100 172,142 # Cubic Corp. 600 28,458 Cummins, Inc. 300 45,255 Curtiss-Wright Corp. 1,200 76,728 Danaher Corp. 2,000 146,760 Deere & Co. 600 56,004 Delta Air Lines, Inc. 5,168 190,337 Deluxe Corp. 1,100 60,445 #* DigitalGlobe, Inc. 1,670 49,733 Donaldson Co., Inc. 800 33,672 Dover Corp. 1,000 86,400 Dun & Bradstreet Corp. (The) 224 24,810 * DXP Enterprises, Inc. 200 22,642 * Dycom Industries, Inc. 700 21,980 Eastern Co. (The) 142 2,398 Eaton Corp. P.L.C. 1,916 139,178 EMCOR Group, Inc. 1,600 73,584 Emerson Electric Co. 1,500 102,270 Encore Wire Corp. 700 34,111 #* Energy Recovery, Inc. 992 5,069 * EnerNOC, Inc. 785 18,526 EnerSys, Inc. 1,200 81,096 * Engility Holdings, Inc. 266 11,608 #* EnPro Industries, Inc. 600 42,726 CSTG&E U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Industrials -- (Continued) Equifax, Inc. 900 $ 63,729 # ESCO Technologies, Inc. 700 23,394 #* Esterline Technologies Corp. 800 87,216 Exelis, Inc. 5,124 94,999 Expeditors International of Washington, Inc. 700 28,868 Exponent, Inc. 300 21,126 # Fastenal Co. 600 30,048 * Federal Signal Corp. 1,700 25,806 FedEx Corp. 2,068 281,765 Flowserve Corp. 600 43,830 Fluor Corp. 785 59,425 Fortune Brands Home & Security, Inc. 270 10,760 Forward Air Corp. 500 22,115 * Franklin Covey Co. 700 14,189 Franklin Electric Co., Inc. 1,000 38,670 FreightCar America, Inc. 300 7,878 * FTI Consulting, Inc. 1,200 41,160 * Fuel Tech, Inc. 600 3,654 G&K Services, Inc. Class A 500 26,470 GATX Corp. 1,400 91,882 #* GenCorp, Inc. 1,200 21,072 Generac Holdings, Inc. 1,093 64,356 General Cable Corp. 1,052 26,952 General Dynamics Corp. 1,200 131,340 General Electric Co. 38,178 1,026,606 * Genesee & Wyoming, Inc. Class A 800 79,208 #* Gibraltar Industries, Inc. 800 13,664 Gorman-Rupp Co. (The) 625 19,406 * GP Strategies Corp. 600 15,768 Graco, Inc. 400 29,000 #* GrafTech International, Ltd. 2,352 26,366 Graham Corp. 250 7,460 Granite Construction, Inc. 1,100 41,118 #* Great Lakes Dredge & Dock Corp. 1,000 8,630 #* Greenbrier Cos., Inc. (The) 700 36,708 Griffon Corp. 1,100 11,704 * H&E Equipment Services, Inc. 375 14,456 Hardinge, Inc. 300 4,008 Harsco Corp. 2,094 50,109 Heartland Express, Inc. 1,500 32,640 HEICO Corp. 262 14,494 HEICO Corp. Class A 471 19,193 #* Heritage-Crystal Clean, Inc. 99 1,584 Herman Miller, Inc. 900 27,747 * Hertz Global Holdings, Inc. 2,888 82,221 * Hexcel Corp. 900 37,521 * Hill International, Inc. 900 6,048 # HNI Corp. 932 32,834 Honeywell International, Inc. 1,400 130,060 Houston Wire & Cable Co. 221 2,754 * Hub Group, Inc. Class A 700 31,255 Hubbell, Inc. Class A 100 11,210 CSTG&E U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Industrials -- (Continued) Hubbell, Inc. Class B 300 $ 35,316 * Hudson Global, Inc. 700 2,485 Huntington Ingalls Industries, Inc. 999 102,897 Hurco Cos., Inc. 200 5,332 * Huron Consulting Group, Inc. 413 29,406 Hyster-Yale Materials Handling, Inc. 400 38,556 * ICF International, Inc. 350 13,640 IDEX Corp. 1,520 113,346 #* IHS, Inc. Class A 300 36,189 Illinois Tool Works, Inc. 1,200 102,276 Ingersoll-Rand P.L.C. 1,300 77,740 #* InnerWorkings, Inc. 640 4,608 #* Innovative Solutions & Support, Inc. 400 2,692 Insteel Industries, Inc. 400 8,232 #* Integrated Electrical Services, Inc. 500 3,105 Interface, Inc. 1,285 23,117 Iron Mountain, Inc. 1,135 32,279 ITT Corp. 1,500 64,710 * Jacobs Engineering Group, Inc. 833 48,064 JB Hunt Transport Services, Inc. 420 31,962 #* JetBlue Airways Corp. 7,800 61,659 # Joy Global, Inc. 300 18,114 Kaman Corp. 600 25,182 Kansas City Southern 1,200 121,056 KAR Auction Services, Inc. 1,819 54,170 KBR, Inc. 800 20,296 Kelly Services, Inc. Class A 632 13,310 Kennametal, Inc. 1,500 70,095 * Key Technology, Inc. 200 2,466 Kforce, Inc. 856 19,791 * Kirby Corp. 1,300 130,806 Knight Transportation, Inc. 2,000 47,460 Knoll, Inc. 628 11,423 * Korn/Ferry International 806 23,414 L-3 Communications Holdings, Inc. 1,200 138,444 Landstar System, Inc. 400 25,196 * Lawson Products, Inc. 185 3,099 #* Layne Christensen Co. 500 8,710 LB Foster Co. Class A 200 9,470 Lennox International, Inc. 560 46,945 Lincoln Electric Holdings, Inc. 608 40,620 # Lindsay Corp. 300 26,439 #* LMI Aerospace, Inc. 300 4,092 Lockheed Martin Corp. 324 53,181 LSI Industries, Inc. 700 5,327 Manitowoc Co., Inc. (The) 2,048 65,085 # Manpowergroup, Inc. 1,514 123,149 Marten Transport, Ltd. 900 21,114 #* MasTec, Inc. 1,477 58,460 Mastech Holdings, Inc. 55 950 # Matson, Inc. 1,017 24,093 # McGrath RentCorp 700 22,106 CSTG&E U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Industrials -- (Continued) * Metalico, Inc. 1,567 $ 2,413 * Mfri, Inc. 200 2,178 * Middleby Corp. (The) 215 54,283 # Miller Industries, Inc. 300 5,811 # Mobile Mini, Inc. 1,081 47,759 * Moog, Inc. Class A 1,100 71,995 #* Moog, Inc. Class B 138 9,036 MSA Safety, Inc. 1,000 52,750 Mueller Industries, Inc. 2,200 63,668 Mueller Water Products, Inc. Class A 3,445 31,418 Multi-Color Corp. 432 15,055 * Navigant Consulting, Inc. 1,100 18,480 # NL Industries, Inc. 941 9,438 # Nordson Corp. 400 29,740 Norfolk Southern Corp. 3,180 300,605 Northrop Grumman Corp. 1,795 218,110 * Northwest Pipe Co. 100 3,577 * Old Dominion Freight Line, Inc. 1,800 109,134 Omega Flex, Inc. 169 3,409 * On Assignment, Inc. 1,100 38,500 * Orbital Sciences Corp. 1,000 29,400 * Orion Energy Systems, Inc. 900 4,770 * Orion Marine Group, Inc. 1,000 11,730 Oshkosh Corp. 1,336 74,161 Owens Corning 2,256 92,158 PACCAR, Inc. 350 22,393 * PAM Transportation Services, Inc. 300 7,467 * Park-Ohio Holdings Corp. 200 11,678 Parker Hannifin Corp. 500 63,440 * Patrick Industries, Inc. 117 4,688 Pentair, Ltd. 1,788 132,831 * PGT, Inc. 148 1,473 # Pitney Bowes, Inc. 300 8,040 #* PMFG, Inc. 256 1,452 Powell Industries, Inc. 300 18,996 #* PowerSecure International, Inc. 500 11,115 Precision Castparts Corp. 200 50,618 Preformed Line Products Co. 191 11,414 Primoris Services Corp. 1,216 34,024 #* Proto Labs, Inc. 146 8,839 Quad/Graphics, Inc. 200 4,330 Quanex Building Products Corp. 1,000 18,840 * Quanta Services, Inc. 1,500 52,920 # Raven Industries, Inc. 600 18,540 Raytheon Co. 1,600 152,768 * RBC Bearings, Inc. 700 43,582 * RCM Technologies, Inc. 400 2,712 Regal-Beloit Corp. 1,000 74,730 * Republic Airways Holdings, Inc. 1,000 8,310 Republic Services, Inc. 2,910 102,112 * Roadrunner Transportation Systems, Inc. 799 19,679 Robert Half International, Inc. 500 22,400 CSTG&E U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Industrials -- (Continued) Rockwell Automation, Inc. 500 $ 59,590 Rockwell Collins, Inc. 500 38,825 Rollins, Inc. 1,060 31,885 Roper Industries, Inc. 1,300 180,635 RR Donnelley & Sons Co. 4,395 77,352 #* Rush Enterprises, Inc. Class A 750 24,075 Ryder System, Inc. 1,300 106,834 * Saia, Inc. 450 18,527 Simpson Manufacturing Co., Inc. 1,400 45,906 SkyWest, Inc. 900 10,440 * SL Industries, Inc. 200 5,498 Snap-on, Inc. 1,000 116,000 * Spirit Aerosystems Holdings, Inc. Class A 1,500 45,045 * Spirit Airlines, Inc. 800 45,472 SPX Corp. 746 75,973 Standex International Corp. 300 17,811 Stanley Black & Decker, Inc. 1,100 94,479 Steelcase, Inc. Class A 2,300 37,904 * Stericycle, Inc. 300 34,932 Sun Hydraulics Corp. 462 18,887 #* Swift Transportation Co. 1,700 40,885 Sypris Solutions, Inc. 700 2,121 TAL International Group, Inc. 900 37,962 #* Taser International, Inc. 1,471 23,757 #* Team, Inc. 500 21,445 * Tecumseh Products Co. Class A 300 1,803 * Teledyne Technologies, Inc. 800 74,288 Tennant Co. 300 19,137 # Terex Corp. 1,939 83,939 * Tetra Tech, Inc. 1,600 45,872 # Textainer Group Holdings, Ltd. 800 31,440 Textron, Inc. 2,314 94,643 Timken Co. (The) 1,100 69,388 # Titan International, Inc. 755 13,220 * Titan Machinery, Inc. 261 4,604 Toro Co. (The) 400 25,416 Towers Watson & Co. Class A 400 44,888 TransDigm Group, Inc. 100 17,787 * Trex Co., Inc. 222 17,431 * Trimas Corp. 456 16,352 Trinity Industries, Inc. 1,900 142,614 # Triumph Group, Inc. 1,120 72,587 * TrueBlue, Inc. 575 15,381 * Tutor Perini Corp. 624 18,470 Twin Disc, Inc. 400 11,572 Tyco International, Ltd. 1,405 57,465 * Ultralife Corp. 400 1,440 UniFirst Corp. 440 42,346 Union Pacific Corp. 2,900 552,247 * United Continental Holdings, Inc. 1,700 69,479 United Parcel Service, Inc. Class B 1,100 108,350 #* United Rentals, Inc. 425 39,878 CSTG&E U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ ----------- Industrials -- (Continued) # United Stationers, Inc. 900 $ 33,777 United Technologies Corp. 1,655 195,836 Universal Forest Products, Inc. 600 30,294 # Universal Truckload Services, Inc. 325 8,015 URS Corp. 1,700 80,104 US Ecology, Inc. 400 17,860 #* USG Corp. 1,447 43,207 # UTi Worldwide, Inc. 1,678 16,428 # Valmont Industries, Inc. 500 74,455 * Verisk Analytics, Inc. Class A 350 21,032 * Versar, Inc. 300 1,158 Viad Corp. 600 13,830 * Vicor Corp. 655 5,476 * Virco Manufacturing Corp. 285 626 #* Volt Information Sciences, Inc. 900 7,182 #* Wabash National Corp. 600 8,016 * WABCO Holdings, Inc. 200 21,402 Wabtec Corp. 600 44,730 Waste Connections, Inc. 2,000 89,320 Waste Management, Inc. 1,174 52,184 Watsco, Inc. 400 41,164 Watts Water Technologies, Inc. Class A 800 42,560 Werner Enterprises, Inc. 1,700 43,520 * Wesco Aircraft Holdings, Inc. 52 1,054 #* WESCO International, Inc. 649 56,969 Woodward, Inc. 1,000 44,830 WW Grainger, Inc. 120 30,528 Xylem, Inc. 1,471 55,295 ----------- Total Industrials 15,891,499 ----------- Information Technology -- (13.6%) #* 3D Systems Corp. 900 42,606 Accenture P.L.C. Class A 500 40,110 * ACI Worldwide, Inc. 561 32,061 * Acxiom Corp. 2,300 64,952 * ADDvantage Technologies Group, Inc. 400 1,344 * Adobe Systems, Inc. 824 50,833 # ADTRAN, Inc. 600 13,458 * Advanced Energy Industries, Inc. 1,100 24,068 #* Advanced Micro Devices, Inc. 3,816 15,607 # Advent Software, Inc. 859 24,756 * Akamai Technologies, Inc. 612 32,479 * Alliance Data Systems Corp. 100 24,190 Altera Corp. 500 16,260 Amdocs, Ltd. 1,200 55,836 American Software, Inc. Class A 900 8,676 * Amkor Technology, Inc. 4,400 34,980 Amphenol Corp. Class A 600 57,210 * Amtech Systems, Inc. 400 3,420 Analog Devices, Inc. 1,343 68,882 Anixter International, Inc. 736 72,113 * ANSYS, Inc. 300 22,893 CSTG&E U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Information Technology -- (Continued) * AOL, Inc. 2,187 $ 93,625 Apple, Inc. 2,199 1,297,608 Applied Materials, Inc. 602 11,474 * Applied Micro Circuits Corp. 1,196 11,613 * ARRIS Group, Inc. 2,960 77,226 * Arrow Electronics, Inc. 1,426 80,925 * Aspen Technology, Inc. 1,102 47,375 #* Atmel Corp. 1,400 10,878 * Autodesk, Inc. 700 33,614 Automatic Data Processing, Inc. 1,000 77,960 Avago Technologies, Ltd. 600 38,100 #* Aviat Networks, Inc. 210 317 Avnet, Inc. 1,633 70,431 AVX Corp. 3,100 41,385 #* Aware, Inc. 900 4,986 * AXT, Inc. 300 648 Badger Meter, Inc. 300 14,865 Belden, Inc. 1,200 88,572 * Benchmark Electronics, Inc. 1,800 41,724 # Black Box Corp. 600 12,756 Blackbaud, Inc. 350 10,658 #* Blackhawk Network Holdings, Inc. Class B 197 4,537 * Blucora, Inc. 1,000 19,250 * Bottomline Technologies de, Inc. 822 26,008 Broadcom Corp. Class A 1,212 37,342 Broadridge Financial Solutions, Inc. 813 31,170 * Brocade Communications Systems, Inc. 4,903 45,647 Brooks Automation, Inc. 1,100 11,253 * Bsquare Corp. 300 960 * BTU International, Inc. 300 879 CA, Inc. 2,509 75,621 * Cabot Microelectronics Corp. 600 26,022 * CACI International, Inc. Class A 606 42,208 * Cadence Design Systems, Inc. 600 9,336 #* CalAmp Corp. 500 8,875 * Calix, Inc. 993 8,748 * Cardtronics, Inc. 710 23,771 * Ceva, Inc. 95 1,542 * Checkpoint Systems, Inc. 567 7,241 #* Cirrus Logic, Inc. 417 9,299 Cisco Systems, Inc. 14,702 339,763 #* Citrix Systems, Inc. 400 23,724 * Cognex Corp. 2,280 78,500 * Cognizant Technology Solutions Corp. Class A 800 38,324 * Coherent, Inc. 700 41,797 Cohu, Inc. 600 6,180 * CommVault Systems, Inc. 200 9,680 Computer Sciences Corp. 2,500 147,950 Computer Task Group, Inc. 500 7,905 Compuware Corp. 3,943 40,849 # Comtech Telecommunications Corp. 587 18,637 #* Concur Technologies, Inc. 600 48,282 CSTG&E U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Information Technology -- (Continued) # Convergys Corp. 2,800 $ 60,312 * Conversant, Inc. 1,849 45,190 * CoreLogic, Inc. 2,743 76,886 * CoStar Group, Inc. 183 29,443 #* Cray, Inc. 985 28,279 #* Cree, Inc. 861 40,613 * Crexendo, Inc. 200 636 CSG Systems International, Inc. 860 22,670 * CyberOptics Corp. 300 2,256 Daktronics, Inc. 587 7,643 * Dealertrack Technologies, Inc. 1,000 45,690 # Diebold, Inc. 1,200 45,132 Digimarc Corp. 128 4,227 * Diodes, Inc. 900 23,733 * DSP Group, Inc. 600 4,776 DST Systems, Inc. 620 57,158 EarthLink Holdings Corp. 3,100 10,571 * eBay, Inc. 2,200 114,026 # Ebix, Inc. 762 12,024 * EchoStar Corp. Class A 422 18,973 Electro Rent Corp. 677 10,934 Electro Scientific Industries, Inc. 800 6,784 * Electronic Arts, Inc. 800 22,640 * Electronics for Imaging, Inc. 1,016 38,395 EMC Corp. 4,800 123,840 * Emcore Corp. 300 1,449 * Emulex Corp. 1,500 10,725 * Entegris, Inc. 3,153 34,967 * Envestnet, Inc. 684 25,205 EPIQ Systems, Inc. 900 11,511 * ePlus, Inc. 109 5,454 #* Equinix, Inc. 238 44,699 * Euronet Worldwide, Inc. 1,400 64,386 * Exar Corp. 1,140 12,335 * ExlService Holdings, Inc. 500 14,148 * Extreme Networks, Inc. 2,847 16,285 * F5 Networks, Inc. 300 31,551 * Fabrinet 700 15,120 # FactSet Research Systems, Inc. 100 10,650 Fair Isaac Corp. 900 51,480 #* Fairchild Semiconductor International, Inc. 3,216 40,940 #* FalconStor Software, Inc. 700 1,064 * FARO Technologies, Inc. 300 11,970 FEI Co. 600 47,712 Fidelity National Information Services, Inc. 2,549 136,193 #* Finisar Corp. 2,200 57,530 * First Solar, Inc. 1,130 76,264 * Fiserv, Inc. 3,000 182,340 FLIR Systems, Inc. 800 27,232 # Forrester Research, Inc. 400 14,172 * Fortinet, Inc. 500 10,990 * Frequency Electronics, Inc. 300 3,197 CSTG&E U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Information Technology -- (Continued) #* Gartner, Inc. 300 $ 20,682 * Genpact, Ltd. 2,845 47,967 Global Payments, Inc. 675 45,110 * Google, Inc. Class A 400 213,952 * Google, Inc. Class C 400 210,664 * Guidewire Software, Inc. 500 18,880 * Harmonic, Inc. 1,360 9,561 Harris Corp. 300 22,056 # Heartland Payment Systems, Inc. 628 25,710 Hewlett-Packard Co. 8,701 287,655 Hittite Microwave Corp. 617 36,625 IAC/InterActiveCorp 1,207 80,000 * ID Systems, Inc. 400 2,252 * Identive Group, Inc. 1,108 942 * iGATE Corp. 600 21,960 #* II-VI, Inc. 1,177 16,949 * Ikanos Communications, Inc. 410 244 * Imation Corp. 400 1,728 #* Immersion Corp. 800 9,072 #* Infinera Corp. 1,900 17,024 * Informatica Corp. 400 14,180 * Ingram Micro, Inc. Class A 2,108 56,832 * Innodata, Inc. 200 674 * Insight Enterprises, Inc. 900 23,508 * Integrated Device Technology, Inc. 3,014 35,173 * Interactive Intelligence Group, Inc. 200 12,514 # InterDigital, Inc. 694 24,096 * Internap Network Services Corp. 1,600 10,752 International Business Machines Corp. 2,000 392,940 * International Rectifier Corp. 1,127 29,347 * Interphase Corp. 200 1,090 Intersil Corp. Class A 3,200 39,488 * Intevac, Inc. 700 5,635 * IntraLinks Holdings, Inc. 96 878 * IntriCon Corp. 200 1,322 Intuit, Inc. 400 30,300 #* IPG Photonics Corp. 260 16,804 #* Itron, Inc. 1,000 38,000 * Ixia 1,573 19,537 # j2 Global, Inc. 1,050 48,678 Jabil Circuit, Inc. 1,000 17,260 Jack Henry & Associates, Inc. 1,056 58,249 * JDS Uniphase Corp. 1,700 21,539 * Juniper Networks, Inc. 1,189 29,356 KLA-Tencor Corp. 900 57,591 * Knowles Corp. 500 13,965 * Kulicke & Soffa Industries, Inc. 1,300 19,123 * Lam Research Corp. 1,187 68,383 * Lattice Semiconductor Corp. 2,800 23,576 # Leidos Holdings, Inc. 748 27,856 Lexmark International, Inc. Class A 1,000 43,000 Linear Technology Corp. 740 32,930 CSTG&E U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Information Technology -- (Continued) * Lionbridge Technologies, Inc. 322 $ 1,893 Littelfuse, Inc. 600 54,330 * LoJack Corp. 600 3,402 LSI Corp. 1,600 17,824 * Magnachip Semiconductor Corp. 652 9,128 * Manhattan Associates, Inc. 1,280 40,358 # ManTech International Corp. Class A 600 17,898 MasterCard, Inc. Class A 2,000 147,100 Maxim Integrated Products, Inc. 1,178 38,214 MAXIMUS, Inc. 1,600 68,112 * Measurement Specialties, Inc. 500 32,175 Mentor Graphics Corp. 3,300 68,310 Methode Electronics, Inc. 707 19,612 Micrel, Inc. 552 5,498 # Microchip Technology, Inc. 600 28,524 * Micron Technology, Inc. 10,475 273,607 * MICROS Systems, Inc. 200 10,300 * Microsemi Corp. 2,307 54,261 Microsoft Corp. 14,774 596,870 MKS Instruments, Inc. 1,500 42,225 #* ModusLink Global Solutions, Inc. 900 3,636 * Monolithic Power Systems, Inc. 1,260 46,746 Monotype Imaging Holdings, Inc. 800 21,128 * Monster Worldwide, Inc. 3,200 22,048 Motorola Solutions, Inc. 347 22,062 * Move, Inc. 523 5,591 # MTS Systems Corp. 300 19,341 * Multi-Fineline Electronix, Inc. 800 9,904 * NAPCO Security Technologies, Inc. 600 3,504 National Instruments Corp. 1,500 40,965 * NCR Corp. 800 24,408 # NetApp, Inc. 1,861 66,270 #* NETGEAR, Inc. 825 26,648 * Netscout Systems, Inc. 1,100 42,856 #* NetSuite, Inc. 148 11,442 #* NeuStar, Inc. Class A 700 18,004 * Newport Corp. 800 14,944 NIC, Inc. 700 12,838 * Oclaro, Inc. 500 1,700 * OmniVision Technologies, Inc. 800 15,624 * ON Semiconductor Corp. 3,364 31,655 * OpenTable, Inc. 132 8,865 Oracle Corp. 6,000 245,280 * OSI Systems, Inc. 500 27,905 * PAR Technology Corp. 400 1,932 Park Electrochemical Corp. 600 15,996 Paychex, Inc. 800 33,448 PC Connection, Inc. 1,000 20,010 PC-Tel, Inc. 700 5,775 * PCM, Inc. 400 4,168 * PDF Solutions, Inc. 800 15,016 Pegasystems, Inc. 426 7,059 CSTG&E U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Information Technology -- (Continued) * Planar Systems, Inc. 569 $ 1,252 Plantronics, Inc. 800 34,856 * Plexus Corp. 700 29,344 * PMC-Sierra, Inc. 4,949 33,851 * Polycom, Inc. 1,800 22,140 # Power Integrations, Inc. 428 20,214 * Progress Software Corp. 1,500 32,190 * PTC, Inc. 700 24,759 QAD, Inc. Class B 101 1,575 * QLogic Corp. 1,500 17,370 QUALCOMM, Inc. 3,200 251,872 * Qumu Corp. 400 5,380 * Rackspace Hosting, Inc. 300 8,706 * Rambus, Inc. 2,047 24,748 #* RealNetworks, Inc. 1,200 9,048 * Red Hat, Inc. 800 38,920 * Reis, Inc. 200 3,292 * RF Micro Devices, Inc. 3,801 32,080 * Rofin-Sinar Technologies, Inc. 400 8,880 * Rogers Corp. 400 24,008 * Rovi Corp. 515 11,479 * Rubicon Technology, Inc. 590 5,977 * Rudolph Technologies, Inc. 1,000 9,110 * Salesforce.com, Inc. 500 25,825 SanDisk Corp. 1,900 161,443 * Sanmina Corp. 1,100 22,275 * Sapient Corp. 2,855 46,451 * ScanSource, Inc. 700 26,887 # Science Applications International Corp. 827 32,253 * Seachange International, Inc. 516 4,835 # Seagate Technology P.L.C. 640 33,651 * Semtech Corp. 1,100 26,378 * ServiceSource International, Inc. 89 555 * Sigma Designs, Inc. 300 1,131 * Silicon Laboratories, Inc. 700 31,465 * Skyworks Solutions, Inc. 600 24,630 * SolarWinds, Inc. 200 8,064 * Sonus Networks, Inc. 5,500 17,985 * SS&C Technologies Holdings, Inc. 1,365 53,126 * Stamps.com, Inc. 300 10,413 * StarTek, Inc. 300 2,085 #* Stratasys, Ltd. 200 19,374 * SunEdison, Inc. 3,868 74,382 #* SunPower Corp. 1,332 44,515 * support.com, Inc. 1,000 2,470 * Sykes Enterprises, Inc. 1,080 21,373 Symantec Corp. 700 14,196 #* Synaptics, Inc. 750 46,613 #* Synchronoss Technologies, Inc. 162 4,931 * SYNNEX Corp. 900 60,642 * Synopsys, Inc. 1,853 69,710 #* Syntel, Inc. 300 24,096 CSTG&E U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ ----------- Information Technology -- (Continued) * Take-Two Interactive Software, Inc. 2,201 $ 44,856 TE Connectivity, Ltd. 1,113 65,645 * Tech Data Corp. 1,200 74,988 * Telenav, Inc. 500 3,065 * TeleTech Holdings, Inc. 1,009 24,347 * Teradata Corp. 800 36,368 * Teradyne, Inc. 2,728 48,204 Tessco Technologies, Inc. 150 4,934 Tessera Technologies, Inc. 1,453 31,864 Texas Instruments, Inc. 1,900 86,355 #* TIBCO Software, Inc. 600 11,778 Transact Technologies, Inc. 400 4,276 #* Trimble Navigation, Ltd. 900 34,587 * TriQuint Semiconductor, Inc. 3,000 42,540 * TTM Technologies, Inc. 1,700 13,413 #* Tyler Technologies, Inc. 400 32,660 #* Ultratech, Inc. 600 15,972 * Unisys Corp. 810 19,740 United Online, Inc. 314 3,721 #* Veeco Instruments, Inc. 700 25,879 * VeriFone Systems, Inc. 1,800 60,192 * Verint Systems, Inc. 500 21,885 #* VeriSign, Inc. 500 23,590 #* ViaSat, Inc. 800 51,368 * Viasystems Group, Inc. 180 2,164 * Video Display Corp. 300 1,041 * Virtusa Corp. 632 20,837 Visa, Inc. Class A 1,400 283,654 # Vishay Intertechnology, Inc. 3,100 44,082 #* VistaPrint NV 519 20,485 * Web.com Group, Inc. 966 29,666 #* WebMD Health Corp. 412 18,165 Western Digital Corp. 2,700 237,951 * WEX, Inc. 500 47,985 Xilinx, Inc. 800 37,752 * XO Group, Inc. 900 9,558 * Yahoo!, Inc. 2,200 79,090 * Zebra Technologies Corp. Class A 849 58,955 * Zix Corp. 1,300 4,264 ----------- Total Information Technology 13,697,873 ----------- Materials -- (5.7%) A Schulman, Inc. 719 25,826 * AEP Industries, Inc. 200 7,124 Air Products & Chemicals, Inc. 500 58,760 Airgas, Inc. 1,000 106,260 Albemarle Corp. 300 20,112 Allegheny Technologies, Inc. 843 34,732 AMCOL International Corp. 711 32,599 # American Vanguard Corp. 800 14,248 Ampco-Pittsburgh Corp. 300 6,009 # Aptargroup, Inc. 1,200 80,904 CSTG&E U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Materials -- (Continued) Ashland, Inc. 1,241 $119,881 Avery Dennison Corp. 1,602 77,953 Axiall Corp. 1,023 47,672 Ball Corp. 600 33,714 Bemis Co., Inc. 2,200 88,528 # Cabot Corp. 1,200 69,360 * Calgon Carbon Corp. 1,200 24,036 # Carpenter Technology Corp. 800 50,240 Celanese Corp. Series A 500 30,715 * Century Aluminum Co. 2,502 34,402 CF Industries Holdings, Inc. 400 98,068 * Chemtura Corp. 2,194 48,926 * Clearwater Paper Corp. 600 36,834 # Cliffs Natural Resources, Inc. 1,248 22,115 * Coeur Mining, Inc. 1,988 17,216 Commercial Metals Co. 3,400 65,280 Compass Minerals International, Inc. 300 27,480 * Core Molding Technologies, Inc. 300 3,603 * Crown Holdings, Inc. 500 23,585 # Cytec Industries, Inc. 1,100 104,852 Deltic Timber Corp. 300 18,225 Domtar Corp. 802 74,875 Dow Chemical Co. (The) 3,400 169,660 Eagle Materials, Inc. 1,100 91,663 Eastman Chemical Co. 900 78,453 Ecolab, Inc. 592 61,947 EI du Pont de Nemours & Co. 1,400 94,248 * Ferro Corp. 2,200 28,556 FMC Corp. 600 46,200 Freeport-McMoRan Copper & Gold, Inc. 2,808 96,511 Friedman Industries, Inc. 300 2,574 # FutureFuel Corp. 180 3,613 Globe Specialty Metals, Inc. 1,322 25,620 * Graphic Packaging Holding Co. 5,411 55,517 Greif, Inc. Class A 600 32,514 Greif, Inc. Class B 234 13,762 Hawkins, Inc. 233 8,435 Haynes International, Inc. 259 13,740 HB Fuller Co. 1,200 55,596 # Hecla Mining Co. 6,909 21,211 #* Horsehead Holding Corp. 233 3,632 Huntsman Corp. 2,700 67,635 Innophos Holdings, Inc. 408 23,028 Innospec, Inc. 558 24,027 International Flavors & Fragrances, Inc. 300 29,556 International Paper Co. 2,500 116,625 #* Intrepid Potash, Inc. 917 14,947 Kaiser Aluminum Corp. 500 35,200 * KapStone Paper and Packaging Corp. 2,800 73,864 KMG Chemicals, Inc. 300 4,683 Koppers Holdings, Inc. 225 9,608 * Kraton Performance Polymers, Inc. 400 10,420 CSTG&E U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Materials -- (Continued) # Kronos Worldwide, Inc. 564 $ 8,827 * Landec Corp. 800 9,488 #* Louisiana-Pacific Corp. 3,715 60,889 LyondellBasell Industries NV Class A 962 88,985 Martin Marietta Materials, Inc. 747 92,875 Materion Corp. 491 16,522 MeadWestvaco Corp. 2,000 78,140 Minerals Technologies, Inc. 1,200 71,388 Monsanto Co. 900 99,630 Mosaic Co. (The) 960 48,038 Myers Industries, Inc. 775 14,492 # NewMarket Corp. 300 111,696 Newmont Mining Corp. 2,600 64,558 Nucor Corp. 1,975 102,206 # Olin Corp. 1,700 47,770 Olympic Steel, Inc. 300 7,908 OM Group, Inc. 900 26,361 * Owens-Illinois, Inc. 1,196 38,009 Packaging Corp. of America 1,039 69,229 #* Penford Corp. 200 2,520 PH Glatfelter Co. 800 20,416 # PolyOne Corp. 2,422 90,752 PPG Industries, Inc. 340 65,831 Praxair, Inc. 400 52,220 # Quaker Chemical Corp. 400 29,772 Reliance Steel & Aluminum Co. 1,607 113,808 Rock-Tenn Co. Class A 827 79,069 Rockwood Holdings, Inc. 1,200 85,260 # Royal Gold, Inc. 800 52,960 RPM International, Inc. 2,900 123,714 * RTI International Metals, Inc. 400 11,264 # Schnitzer Steel Industries, Inc. Class A 600 16,842 Scotts Miracle-Gro Co. (The) Class A 300 18,363 Sealed Air Corp. 2,662 91,333 Sensient Technologies Corp. 1,248 67,454 Sherwin-Williams Co. (The) 200 39,968 Silgan Holdings, Inc. 600 29,850 Sonoco Products Co. 1,434 60,343 Steel Dynamics, Inc. 3,710 67,782 # Stepan Co. 600 34,698 * Stillwater Mining Co. 2,900 45,762 * SunCoke Energy, Inc. 938 19,576 #* Texas Industries, Inc. 700 60,690 Tredegar Corp. 800 16,648 Tronox, Ltd. Class A 516 12,642 United States Lime & Minerals, Inc. 200 10,812 # United States Steel Corp. 2,069 53,835 # US Silica Holdings, Inc. 438 19,784 Valspar Corp. (The) 500 36,520 Vulcan Materials Co. 1,494 96,408 # Walter Energy, Inc. 300 2,160 Wausau Paper Corp. 1,700 20,332 CSTG&E U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Materials -- (Continued) Westlake Chemical Corp. 2,562 $ 182,414 Worthington Industries, Inc. 1,900 69,920 * WR Grace & Co. 400 36,840 ---------- Total Materials 5,712,752 ---------- Other -- (0.0%) (o)* Brooklyn Federal Bancorp, Inc. Escrow Shares 100 -- (o)#* Gerber Scientific, Inc. Escrow Shares 900 -- (o)* Softbrands, Inc. Escrow Shares 600 -- ---------- Total Other -- ---------- Real Estate Investment Trusts -- (0.0%) Parkway Properties, Inc. 128 2,414 ---------- Telecommunication Services -- (2.2%) Alteva 86 520 AT&T, Inc. 31,480 1,123,836 Atlantic Tele-Network, Inc. 400 23,668 * Cbeyond, Inc. 60 593 CenturyLink, Inc. 3,600 125,676 * Cincinnati Bell, Inc. 3,500 11,725 Consolidated Communications Holdings, Inc. 642 12,789 # Frontier Communications Corp. 13,649 81,212 * General Communication, Inc. Class A 1,100 11,484 # HC2 Holdings, Inc. 69 271 HickoryTech Corp. 250 2,968 IDT Corp. Class B 504 7,983 Inteliquent, Inc. 300 4,092 #* Iridium Communications, Inc. 1,497 9,985 Lumos Networks Corp. 200 2,642 #* NII Holdings, Inc. 900 774 * ORBCOMM, Inc. 1,200 7,524 #* Premiere Global Services, Inc. 1,000 12,720 * SBA Communications Corp. Class A 500 44,880 #* Sprint Corp. 8,034 68,289 * Straight Path Communications, Inc. Class B 251 1,757 T-Mobile US, Inc. 916 26,830 Telephone & Data Systems, Inc. 2,313 62,891 * tw telecom, Inc. 900 27,621 United States Cellular Corp. 324 13,459 Verizon Communications, Inc. 10,681 499,123 * Vonage Holdings Corp. 3,429 13,167 Windstream Holdings, Inc. 4,192 38,021 ---------- Total Telecommunication Services 2,236,500 ---------- Utilities -- (2.2%) AGL Resources, Inc. 500 27,000 # ALLETE, Inc. 600 31,056 Alliant Energy Corp. 400 23,392 Ameren Corp. 900 37,179 American Electric Power Co., Inc. 600 32,286 # American States Water Co. 600 18,216 CSTG&E U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Utilities -- (Continued) American Water Works Co., Inc. 300 $ 13,659 Aqua America, Inc. 1,625 40,771 Atmos Energy Corp. 700 35,728 # Avista Corp. 800 25,720 Black Hills Corp. 700 40,425 California Water Service Group 600 13,500 CenterPoint Energy, Inc. 1,600 39,616 Chesapeake Utilities Corp. 241 15,246 Cleco Corp. 800 42,040 Consolidated Edison, Inc. 400 23,212 Dominion Resources, Inc. 1,200 87,048 DTE Energy Co. 700 54,698 Duke Energy Corp. 1,596 118,886 Edison International 700 39,592 El Paso Electric Co. 800 30,256 Empire District Electric Co. (The) 500 12,160 Entergy Corp. 300 21,750 Exelon Corp. 1,149 40,249 FirstEnergy Corp. 500 16,875 * Genie Energy, Ltd. Class B 400 3,240 Great Plains Energy, Inc. 1,400 37,562 # Hawaiian Electric Industries, Inc. 1,100 26,389 IDACORP, Inc. 600 33,684 Integrys Energy Group, Inc. 200 12,256 ITC Holdings Corp. 690 25,509 Laclede Group, Inc. (The) 300 14,223 MGE Energy, Inc. 600 22,932 Middlesex Water Co. 300 6,099 National Fuel Gas Co. 300 22,092 New Jersey Resources Corp. 500 24,865 NextEra Energy, Inc. 900 89,865 NiSource, Inc. 1,000 36,320 Northeast Utilities 787 37,194 # Northwest Natural Gas Co. 400 17,708 NorthWestern Corp. 500 24,190 NRG Energy, Inc. 3,025 98,978 OGE Energy Corp. 800 29,864 ONE Gas, Inc. 321 11,742 Ormat Technologies, Inc. 900 24,012 # Otter Tail Corp. 600 17,580 PG&E Corp. 600 27,348 Piedmont Natural Gas Co., Inc. 800 28,632 Pinnacle West Capital Corp. 300 16,785 PNM Resources, Inc. 1,400 38,752 # Portland General Electric Co. 700 23,429 PPL Corp. 800 26,672 Public Service Enterprise Group, Inc. 900 36,873 Questar Corp. 2,700 65,556 # SCANA Corp. 400 21,472 Sempra Energy 400 39,444 SJW Corp. 600 16,338 # South Jersey Industries, Inc. 400 22,980 CSTG&E U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED SHARES VALUE+ ------- ------------ Utilities -- (Continued) Southern Co. (The) 1,400 $ 64,162 Southwest Gas Corp. 600 33,006 # TECO Energy, Inc. 760 13,650 UGI Corp. 1,324 61,817 UIL Holdings Corp. 670 24,609 Unitil Corp. 100 3,320 UNS Energy Corp. 400 24,024 Vectren Corp. 600 24,342 # Westar Energy, Inc. 800 28,704 WGL Holdings, Inc. 600 23,874 # Wisconsin Energy Corp. 800 38,784 Xcel Energy, Inc. 900 28,683 York Water Co. 360 7,204 ------------ Total Utilities 2,237,324 ------------ TOTAL COMMON STOCKS 91,018,979 ------------ RIGHTS/WARRANTS -- (0.0%) (o)* Leap Wireless International, Inc. Contingent Value Rights 2,100 5,292 ------------ TEMPORARY CASH INVESTMENTS -- (0.3%) State Street Institutional Liquid Reserves, 0.074% 309,848 309,848 ------------ SHARES/ FACE AMOUNT (000) ------- SECURITIES LENDING COLLATERAL -- (9.4%) (S)@ DFA Short Term Investment Fund 816,608 9,448,153 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $69,361,946) $100,782,272 ============ CSTG&E U.S. SOCIAL CORE EQUITY 2 PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, 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 $13,432,393 -- -- $ 13,432,393 Consumer Staples 4,965,538 -- -- 4,965,538 Energy 13,170,311 -- -- 13,170,311 Financials 19,672,287 $ 88 -- 19,672,375 Industrials 15,891,475 24 -- 15,891,499 Information Technology 13,697,873 -- -- 13,697,873 Materials 5,712,752 -- -- 5,712,752 Other -- -- -- -- Real Estate Investment Trusts 2,414 -- -- 2,414 Telecommunication Services 2,236,500 -- -- 2,236,500 Utilities 2,237,324 -- -- 2,237,324 Rights/Warrants -- 5,292 -- 5,292 Temporary Cash Investments 309,848 -- -- 309,848 Securities Lending Collateral -- 9,448,153 -- 9,448,153 ----------- ---------- -- ------------ TOTAL $91,328,715 $9,453,557 -- $100,782,272 =========== ========== == ============ CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO SCHEDULE OF INVESTMENTS APRIL 30, 2014 (UNAUDITED) SHARES VALUE++ ------ -------- COMMON STOCKS -- (88.6%) AUSTRALIA -- (5.6%) Adelaide Brighton, Ltd. 12,382 $ 45,133 AGL Energy, Ltd. 2,045 30,021 # ALS, Ltd. 3,243 22,682 #* Alumina, Ltd. 61,450 77,190 Amalgamated Holdings, Ltd. 1,588 12,984 Amcor, Ltd. 5,096 48,906 AMP, Ltd. 39,318 185,037 APA Group 9,066 56,194 * APN News & Media, Ltd. 8,425 5,556 #* Aquarius Platinum, Ltd. 10,812 3,875 #* Aquila Resources, Ltd. 2,666 6,219 Arrium, Ltd. 16,452 18,335 Asciano, Ltd. 19,708 99,454 ASX, Ltd. 2,082 68,898 # Atlas Iron, Ltd. 21,286 18,053 Aurizon Holdings, Ltd. 6,244 30,147 * Aurora Oil & Gas, Ltd. 10,097 38,365 # Ausdrill, Ltd. 3,727 3,233 Australia & New Zealand Banking Group, Ltd. 11,691 375,957 #* Australian Agricultural Co., Ltd. 10,040 11,947 Australian Infrastructure Fund, Ltd. 11,625 49 Automotive Holdings Group, Ltd. 7,603 28,343 * AWE, Ltd. 11,677 17,058 Bank of Queensland, Ltd. 8,894 101,681 Beach Energy, Ltd. 31,283 50,064 Bega Cheese, Ltd. 1,674 8,020 Bendigo and Adelaide Bank, Ltd. 11,348 121,624 BHP Billiton, Ltd. 2,740 96,493 BHP Billiton, Ltd. Sponsored ADR 2,200 155,188 * Billabong International, Ltd. 13,021 5,759 * BlueScope Steel, Ltd. 14,516 87,763 Boral, Ltd. 16,241 86,194 # Bradken, Ltd. 4,982 19,662 Brambles, Ltd. 6,266 55,099 Breville Group, Ltd. 2,941 25,115 Brickworks, Ltd. 846 10,546 # Cabcharge Australia, Ltd. 1,270 4,584 Caltex Australia, Ltd. 3,088 64,102 # Cardno, Ltd. 1,832 11,931 carsales.com, Ltd. 2,372 24,022 Cash Converters International, Ltd. 15,872 16,110 Challenger, Ltd. 9,885 65,036 Coca-Cola Amatil, Ltd. 1,741 15,030 Commonwealth Bank of Australia 3,519 258,861 Computershare, Ltd. 2,217 25,555 # Credit Corp. Group, Ltd. 1,551 12,995 Crowe Horwath Australasia, Ltd. 9,975 3,429 CSR, Ltd. 16,074 54,742 # David Jones, Ltd. 9,317 34,131 Downer EDI, Ltd. 7,987 37,286 #* Drillsearch Energy, Ltd. 10,492 15,711 CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- AUSTRALIA -- (Continued) DuluxGroup, Ltd. 4,720 $ 25,211 #* Elders, Ltd. 9,306 953 * Emeco Holdings, Ltd. 13,587 3,309 * Energy World Corp., Ltd. 12,801 3,399 Envestra, Ltd. 24,469 26,555 Fairfax Media, Ltd. 35,852 32,757 # Flight Centre Travel Group, Ltd. 646 32,400 # Forge Group, Ltd. 2,644 -- # Fortescue Metals Group, Ltd. 9,269 43,842 Goodman Fielder, Ltd. 37,692 23,655 GrainCorp, Ltd. Class A 2,948 24,314 # GUD Holdings, Ltd. 1,903 9,478 GWA Group, Ltd. 5,833 14,635 Harvey Norman Holdings, Ltd. 12,250 37,491 * Hillgrove Resources, Ltd. 86,879 5,505 Hills, Ltd. 5,255 8,269 * Horizon Oil, Ltd. 29,979 10,618 Iluka Resources, Ltd. 2,000 16,616 Incitec Pivot, Ltd. 38,777 104,088 Independence Group NL 3,743 15,174 Insurance Australia Group, Ltd. 27,821 148,697 IOOF Holdings, Ltd. 4,072 32,195 Iress, Ltd. 3,256 25,121 James Hardie Industries P.L.C. Sponsored ADR 600 38,484 # JB Hi-Fi, Ltd. 833 14,969 * Kingsgate Consolidated, Ltd. 631 528 # Leighton Holdings, Ltd. 1,517 26,976 Lend Lease Group 9,659 116,739 * Macmahon Holdings, Ltd. 39,034 3,827 Macquarie Group, Ltd. 3,143 169,324 Melbourne IT, Ltd. 5,334 7,164 Mermaid Marine Australia, Ltd. 8,708 17,347 * Metals X, Ltd. 2,482 475 # Metcash, Ltd. 17,754 45,864 Mincor Resources NL 4,393 3,293 * Mineral Deposits, Ltd. 4,284 7,969 Mineral Resources, Ltd. 3,218 34,940 # Monadelphous Group, Ltd. 1,985 32,364 # Mount Gibson Iron, Ltd. 8,762 5,984 # Myer Holdings, Ltd. 21,690 44,934 National Australia Bank, Ltd. 13,973 460,094 Navitas, Ltd. 5,275 36,173 New Hope Corp., Ltd. 3,628 10,544 * Newcrest Mining, Ltd. 6,100 59,494 Northern Star Resources, Ltd. 9,219 10,084 NRW Holdings, Ltd. 4,098 4,287 # Nufarm, Ltd. 5,093 19,702 Oil Search, Ltd. 5,931 49,138 Orica, Ltd. 1,903 38,837 Origin Energy, Ltd. 14,106 195,959 Orora, Ltd. 5,096 6,608 OZ Minerals, Ltd. 8,700 29,941 CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- AUSTRALIA -- (Continued) Pacific Brands, Ltd. 16,041 $ 7,553 #* Paladin Energy, Ltd. 5,796 2,357 PanAust, Ltd. 15,035 22,610 Panoramic Resources, Ltd. 3,668 2,152 * Peet, Ltd. 7,973 9,556 Perpetual, Ltd. 334 14,621 Platinum Asset Management, Ltd. 5,068 31,136 * PMP, Ltd. 15,111 5,988 Premier Investments, Ltd. 1,327 12,256 Prime AET&D Holdings No.1, Ltd 1 -- Programmed Maintenance Services, Ltd. 2,001 5,298 #* Qantas Airways, Ltd. 25,039 28,483 QBE Insurance Group, Ltd. 8,481 91,532 #* Ramelius Resources, Ltd. 23,490 2,298 RCR Tomlinson, Ltd. 7,109 18,103 * Recall Holdings, Ltd. 574 2,425 Reece Australia, Ltd. 772 21,870 * Resolute Mining, Ltd. 10,174 5,751 Retail Food Group, Ltd. 3,267 12,706 Rio Tinto, Ltd. 2,680 154,553 * Roc Oil Co., Ltd. 10,705 4,781 # SAI Global, Ltd. 5,683 22,580 Salmat, Ltd. 4,935 8,776 * Sandfire Resources NL 1,850 9,828 Santos, Ltd. 13,316 170,729 Seek, Ltd. 2,182 34,174 * Senex Energy, Ltd. 31,081 19,306 Seven Group Holdings, Ltd. 3,972 30,426 Seven West Media, Ltd. 3,546 6,161 * Sims Metal Management, Ltd. 2,982 27,272 Skilled Group, Ltd. 3,600 9,207 Slater & Gordon, Ltd. 317 1,391 # SMS Management & Technology, Ltd. 2,472 8,635 Southern Cross Media Group, Ltd. 18,980 22,729 SP AusNet 21,363 27,839 Spark Infrastructure Group 13,957 22,935 #* St Barbara, Ltd. 2,817 566 STW Communications Group, Ltd. 10,662 14,005 Suncorp Group, Ltd. 12,672 153,891 Sunland Group, Ltd. 7,830 12,169 # Sydney Airport 3,330 13,085 Tassal Group, Ltd. 6,365 24,560 Telstra Corp., Ltd. 7,576 36,835 #* Ten Network Holdings, Ltd. 53,821 13,557 Toll Holdings, Ltd. 16,034 79,089 Tox Free Solutions, Ltd. 2,799 9,014 * Transfield Services, Ltd. 16,892 15,126 * Transpacific Industries Group, Ltd. 19,482 20,260 Transurban Group 5,036 34,012 # UGL, Ltd. 6,513 40,960 UXC, Ltd. 5,788 4,548 Village Roadshow, Ltd. 1,430 9,388 CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- AUSTRALIA -- (Continued) #* Virgin Australia Holdings, Ltd. 62,673 $ 21,570 Virgin Australia Holdings, Ltd. (ACI01NXR8) 46,180 -- # Washington H Soul Pattinson & Co., Ltd. 987 13,594 Wesfarmers, Ltd. 7,672 305,326 Westpac Banking Corp. 8,282 271,273 Westpac Banking Corp. Sponsored ADR 9,000 294,210 #* Whitehaven Coal, Ltd. 1,338 1,823 Woodside Petroleum, Ltd. 3,692 140,337 Woolworths, Ltd. 2,113 73,431 WorleyParsons, Ltd. 1,103 17,297 ---------- TOTAL AUSTRALIA 7,304,636 ---------- AUSTRIA -- (0.6%) * A-TEC Industries AG 464 -- Agrana Beteiligungs AG 116 13,427 Andritz AG 480 29,817 * BUWOG AG 481 8,832 Erste Group Bank AG 3,948 132,749 EVN AG 660 9,198 # Flughafen Wien AG 116 11,389 IMMOFINANZ AG 9,625 35,743 # Mayr Melnhof Karton AG 204 25,974 # Oesterreichische Post AG 380 19,421 OMV AG 2,090 97,717 Raiffeisen Bank International AG 1,461 46,183 RHI AG 422 14,772 # Schoeller-Bleckmann Oilfield Equipment AG 121 15,381 Semperit AG Holding 156 8,709 Strabag SE 412 11,517 Telekom Austria AG 2,696 26,755 # Verbund AG 1,435 27,822 Voestalpine AG 2,493 113,879 Wienerberger AG 4,304 79,888 Zumtobel AG 642 13,349 ---------- TOTAL AUSTRIA 742,522 ---------- BELGIUM -- (1.0%) Ackermans & van Haaren NV 593 76,682 Ageas 4,207 181,030 Banque Nationale de Belgique 6 28,963 Barco NV 294 21,911 # Belgacom SA 3,128 95,740 Cie d'Entreprises CFE 220 24,241 Cie Maritime Belge SA 293 8,707 Colruyt SA 136 7,690 D'ieteren SA 477 22,067 Delhaize Group SA 1,408 104,844 Delhaize Group SA Sponsored ADR 4,400 82,192 Elia System Operator SA 330 17,504 * Euronav NV 852 10,310 EVS Broadcast Equipment SA 132 8,359 Exmar NV 649 10,832 CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- BELGIUM -- (Continued) KBC Groep NV 3,113 $ 189,964 Kinepolis Group NV 99 19,382 Mobistar SA 1,400 27,321 # NV Bekaert SA 1,371 55,797 # Nyrstar NV 6,869 27,350 Sipef SA 98 8,560 Solvay SA 901 146,012 Telenet Group Holding NV 543 31,845 Tessenderlo Chemie NV 834 25,541 # Umicore SA 2,013 98,675 Van de Velde NV 446 23,739 * Viohalco SA 1,602 10,037 ---------- TOTAL BELGIUM 1,365,295 ---------- CANADA -- (8.4%) Absolute Software Corp. 500 3,134 * Advantage Oil & Gas, Ltd. 4,612 29,202 Aecon Group, Inc. 1,800 30,234 AGF Management, Ltd. Class B 1,754 19,540 Agnico Eagle Mines, Ltd.(008474108) 897 26,515 Agnico Eagle Mines, Ltd.(2009823) 802 23,686 Agrium, Inc.(008916108) 180 17,293 Agrium, Inc.(2213538) 800 76,836 Aimia, Inc. 2,960 47,666 * Ainsworth Lumber Co., Ltd. 2,900 9,948 Alacer Gold Corp. 4,256 10,174 Alamos Gold, Inc. 1,800 16,833 #* Alexco Resource Corp. 3,400 4,467 # Algonquin Power & Utilities Corp. 3,600 25,882 Alimentation Couche Tard, Inc. Class B 1,200 33,820 Alliance Grain Traders, Inc. 615 10,285 # AltaGas, Ltd. 1,500 63,911 * Amerigo Resources, Ltd. 6,500 2,906 * Antrim Energy, Inc. 3,100 184 # ARC Resources, Ltd. 1,900 56,373 * Argonaut Gold, Inc. 172 636 * ATS Automation Tooling Systems, Inc. 2,500 32,389 # AuRico Gold, Inc. 6,408 26,660 * Avigilon Corp. 678 15,966 * B2Gold Corp. 12,300 35,350 #* Ballard Power Systems, Inc. 2,600 9,489 # Bank of Montreal 3,168 218,368 Bank of Nova Scotia(064149107) 2,877 174,864 Bank of Nova Scotia(2076281) 4,072 247,429 * Bankers Petroleum, Ltd. 10,000 54,468 Barrick Gold Corp.(067901108) 3,151 55,048 Barrick Gold Corp.(2024644) 2,100 36,652 # Baytex Energy Corp. 400 16,649 BCE, Inc.(05534B760) 604 26,902 # BCE, Inc.(B188TH2) 118 5,254 # Bell Aliant, Inc. 700 17,244 * Bellatrix Exploration, Ltd. 1,758 17,098 CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- CANADA -- (Continued) * Birchcliff Energy, Ltd. 2,200 $ 25,512 Black Diamond Group, Ltd. 1,000 31,440 #* BlackBerry, Ltd.(09228F103) 3,177 24,336 #* BlackBerry, Ltd.(BCBHZ31) 3,458 26,407 * BlackPearl Resources, Inc. 5,400 15,174 # Bombardier, Inc. Class B 7,800 31,384 # Bonavista Energy Corp. 4,473 70,275 Boralex, Inc. Class A 2,474 28,802 Brookfield Asset Management, Inc. Class A 1,100 46,176 CAE, Inc. 3,740 49,375 Calfrac Well Services, Ltd. 720 24,929 Cameco Corp.(13321L108) 2,707 57,632 Cameco Corp.(2166160) 3,700 78,756 Canaccord Genuity Group, Inc. 1,669 14,423 Canada Bread Co., Ltd. 400 26,364 Canadian Imperial Bank of Commerce 1,527 136,142 Canadian National Railway Co. 1,200 70,289 Canadian Natural Resources, Ltd.(136385101) 5,429 221,340 Canadian Natural Resources, Ltd.(2171573) 2,400 97,791 Canadian Oil Sands, Ltd. 2,140 46,391 Canadian Pacific Railway, Ltd. 300 46,843 Canadian Tire Corp., Ltd. Class A 1,200 117,860 Canadian Utilities, Ltd. Class A 600 22,165 Canadian Western Bank 1,800 60,994 Canam Group, Inc. Class A 1,300 16,629 CanElson Drilling, Inc. 2,100 15,749 * Canfor Corp. 830 18,826 Canfor Pulp Products, Inc. 2,100 23,336 # Canyon Services Group, Inc. 898 12,355 # Capital Power Corp. 1,079 24,237 Capstone Infrastructure Corp. 4,729 17,474 * Capstone Mining Corp. 9,500 25,049 Cascades, Inc. 2,400 14,058 CCL Industries, Inc. Class B 700 63,649 * Celestica, Inc. 5,200 57,691 Cenovus Energy, Inc. 1,090 32,470 Centerra Gold, Inc. 2,615 13,408 * Cequence Energy, Ltd. 3,200 8,817 * CGI Group, Inc. Class A 900 32,451 * China Gold International Resources Corp., Ltd. 10,100 25,986 * Chinook Energy, Inc. 61 107 CI Financial Corp. 600 19,488 # Cineplex, Inc. 800 30,152 # Clarke, Inc. 1,100 8,711 Cogeco Cable, Inc. 200 10,948 * COM DEV International, Ltd. 3,200 10,656 * Connacher Oil and Gas, Ltd. 5,200 1,542 #* Corridor Resources, Inc. 500 1,017 # Corus Entertainment, Inc. Class B 1,500 33,694 Cott Corp. 300 2,436 # Crescent Point Energy Corp. 2,356 95,848 * Crew Energy, Inc. 2,714 30,754 CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- CANADA -- (Continued) Davis + Henderson Corp. 1,084 $ 31,391 #* Denison Mines Corp. 4,500 6,158 Dollarama, Inc. 350 29,110 * Dominion Diamond Corp.(257287102) 1,691 21,290 * Dominion Diamond Corp.(B95LX89) 500 6,282 Dorel Industries, Inc. Class B 1,200 43,005 * DragonWave, Inc. 1,657 2,298 * Dundee Precious Metals, Inc. 2,800 9,299 E-L Financial Corp., Ltd. 34 22,844 Eldorado Gold Corp. 17,004 103,633 # Emera, Inc. 656 20,290 Empire Co., Ltd. 300 18,976 # Enbridge Income Fund Holdings, Inc. 500 12,153 Enbridge, Inc.(29250N105) 604 29,167 Enbridge, Inc.(2466149) 1,248 60,222 Encana Corp. 3,890 90,112 Enerflex, Ltd. 600 9,547 #* Energy Fuels, Inc. 100 774 Enerplus Corp.(292766102) 3,726 82,754 Enerplus Corp.(B584T89) 1,585 35,155 Ensign Energy Services, Inc. 3,401 53,526 Equitable Group, Inc. 500 27,474 * Essential Energy Services Trust 4,177 10,899 Fairfax Financial Holdings, Ltd. 300 130,806 Finning International, Inc. 2,100 56,713 First Capital Realty, Inc. 722 11,824 # First Quantum Minerals, Ltd. 7,857 156,482 FirstService Corp. 400 19,744 # Fortis, Inc. 900 26,440 * Fortuna Silver Mines, Inc. 3,500 14,497 # Genworth MI Canada, Inc. 1,089 38,203 George Weston, Ltd. 400 30,137 Gibson Energy, Inc. 1,728 46,130 Gildan Activewear, Inc. 1,009 51,580 Goldcorp, Inc.(380956409) 2,420 59,822 Goldcorp, Inc.(2676302) 3,938 97,260 #* Golden Star Resources, Ltd. 8,100 4,951 * Gran Tierra Energy, Inc. 5,979 42,495 Great-West Lifeco, Inc. 1,400 39,392 * Heroux-Devtek, Inc. 1,000 10,456 # Home Capital Group, Inc. 800 33,801 HudBay Minerals, Inc. 4,699 40,085 Husky Energy, Inc. 2,500 81,702 IAMGOLD Corp.(450913108) 326 1,138 IAMGOLD Corp.(2446646) 2,605 9,079 IGM Financial, Inc. 400 19,922 * Imax Corp.(45245E109) 533 13,666 #* Imax Corp.(2014258) 200 5,126 * Imperial Metals Corp. 2,300 29,273 Imperial Oil, Ltd.(453038408) 698 34,062 Imperial Oil, Ltd.(2454241) 600 29,298 Industrial Alliance Insurance & Financial Services, Inc. 1,873 77,326 CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- CANADA -- (Continued) # Innergex Renewable Energy, Inc. 1,785 $ 17,263 Intact Financial Corp. 1,500 98,495 * International Forest Products, Ltd. Class A 2,000 30,327 * Ithaca Energy, Inc. 14,100 37,049 #* Ivanhoe Energy, Inc. 1,300 652 #* Jaguar Mining, Inc. 3,400 171 # Just Energy Group, Inc. 2,100 16,688 * Kelt Exploration, Ltd. 700 8,794 # Keyera Corp. 500 33,256 # Killam Properties, Inc. 1,172 11,174 * Kingsway Financial Services, Inc. 425 2,509 Kinross Gold Corp. 10,480 42,549 #* Kirkland Lake Gold, Inc. 500 1,410 Laurentian Bank of Canada 1,000 42,954 * Legacy Oil + Gas, Inc. 4,196 32,655 # Leon's Furniture, Ltd. 400 5,496 # Lightstream Resources, Ltd. 5,418 32,573 Linamar Corp. 1,500 75,092 # Liquor Stores N.A., Ltd. 758 8,216 Loblaw Cos., Ltd. 1,300 56,517 # Long Run Exploration, Ltd. 2,737 13,834 MacDonald Dettwiler & Associates, Ltd. 366 28,384 Magna International, Inc. 1,900 186,143 Major Drilling Group International, Inc. 1,200 9,438 Manitoba Telecom Services, Inc. 500 13,818 Manulife Financial Corp.(56501R106) 5,745 107,719 Manulife Financial Corp.(2492519) 6,300 118,292 Maple Leaf Foods, Inc. 2,300 38,003 Martinrea International, Inc. 3,400 34,247 #* Maxim Power Corp. 1,600 4,387 * MEG Energy Corp. 2,343 84,353 # Methanex Corp. 2,179 134,969 # Metro, Inc. 800 49,312 # Morneau Shepell, Inc. 911 13,332 # Mullen Group, Ltd. 1,600 43,385 National Bank of Canada 1,200 49,804 # New Flyer Industries, Inc. 2,600 27,564 * New Gold, Inc.(2826947) 3,199 16,169 * New Gold, Inc.(644535106) 1,500 7,605 Newalta Corp. 1,319 24,189 #* Niko Resources, Ltd. 200 376 Norbord, Inc. 330 8,084 #* North American Palladium, Ltd. 2,000 579 North West Co., Inc. (The) 1,200 26,539 # Northland Power, Inc. 1,200 18,755 #* Novagold Resources, Inc. 5,164 18,186 * NuVista Energy, Ltd. 2,462 24,574 * OceanaGold Corp. 6,600 16,740 # Open Text Corp. 1,200 59,176 * Osisko Mining Corp. 8,479 60,727 Pacific Rubiales Energy Corp. 3,000 48,967 Pan American Silver Corp.(697900108) 2,197 28,473 CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- CANADA -- (Continued) Pan American Silver Corp.(2669272) 1,530 $ 19,825 * Paramount Resources, Ltd. Class A 600 32,648 * Parex Resources, Inc. 3,300 32,998 # Parkland Fuel Corp. 1,600 29,634 # Pason Systems, Inc. 400 11,109 * Pembina Pipeline Corp.(B4PPQG5) 1,314 51,666 # Pembina Pipeline Corp.(B4PT2P8) 300 11,789 # Pengrowth Energy Corp. 13,918 90,409 Penn West Petroleum, Ltd.(707887105) 2,097 18,999 # Penn West Petroleum, Ltd.(B63FY34) 4,010 36,257 # Peyto Exploration & Development Corp. 217 7,997 #* Pilot Gold, Inc. 333 441 #* Poseidon Concepts Corp. 2,652 6 Potash Corp. of Saskatchewan, Inc. 900 32,533 Precision Drilling Corp.(74022D308) 3,099 40,287 Precision Drilling Corp.(B5YPLH9) 3,406 44,282 Premium Brands Holdings Corp. 700 13,508 * Primero Mining Corp. 2,884 18,235 Progressive Waste Solutions, Ltd.(74339G101) 400 9,748 Progressive Waste Solutions, Ltd.(B3DJGB7) 1,163 28,310 Quebecor, Inc. Class B 2,400 56,603 Reitmans Canada, Ltd. Class A 1,944 11,795 * RMP Energy, Inc. 6,200 47,233 # Rogers Communications, Inc. Class B 600 23,829 # Rogers Sugar, Inc. 100 447 # RONA, Inc. 3,000 30,245 Royal Bank of Canada 4,751 317,080 # Russel Metals, Inc. 1,600 47,078 * Sandvine Corp. 5,500 19,570 Saputo, Inc. 600 32,084 Savanna Energy Services Corp. 4,900 39,744 Secure Energy Services, Inc. 840 15,067 SEMAFO, Inc. 4,000 14,963 Shaw Communications, Inc. Class B 700 16,961 ShawCor, Ltd. 752 33,495 Sherritt International Corp. 7,600 32,174 #* Sierra Wireless, Inc. 900 19,428 * Silver Standard Resources, Inc. 400 3,960 Silver Wheaton Corp. 1,000 22,180 SNC-Lavalin Group, Inc. 600 27,218 #* Southern Pacific Resource Corp. 600 175 Sprott Resource Corp. 700 1,616 # Sprott, Inc. 9,450 28,021 Stantec, Inc. 500 29,634 # Student Transportation, Inc. 127 784 Suncor Energy, Inc.(867224107) 4,814 185,820 Suncor Energy, Inc.(B3NB1P2) 6,401 246,918 * SunOpta, Inc.(8676EP108) 1,500 17,505 * SunOpta, Inc.(2817510) 300 3,484 # Superior Plus Corp. 2,984 35,964 # Surge Energy, Inc. 5,100 32,246 #* TAG Oil, Ltd. 1,728 5,029 CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ ----------- CANADA -- (Continued) Talisman Energy, Inc. 6,200 $ 64,090 * Taseko Mines, Ltd. 4,300 9,298 Teck Resources, Ltd. Class B(878742204) 389 8,858 Teck Resources, Ltd. Class B(2879327) 3,938 89,751 # TELUS Corp. 712 25,088 #* Teranga Gold Corp. 6,408 4,429 #* Thompson Creek Metals Co., Inc. 5,100 13,680 # Thomson Reuters Corp. 2,357 85,308 Tim Hortons, Inc. 400 21,941 * Timmins Gold Corp. 4,500 6,323 TORC Oil & Gas, Ltd. 2,700 32,960 Toromont Industries, Ltd. 600 14,841 Toronto-Dominion Bank (The)(891160509) 2,806 134,941 Toronto-Dominion Bank (The)(2897222) 8,800 423,360 Torstar Corp. Class B 1,100 6,554 Total Energy Services, Inc. 194 3,823 * Tourmaline Oil Corp. 1,095 56,702 TransAlta Corp.(89346D107) 777 9,495 # TransAlta Corp.(2901628) 4,501 54,987 TransCanada Corp. 2,965 138,180 Transcontinental, Inc. Class A 1,600 23,313 TransForce, Inc. 1,800 39,299 * TransGlobe Energy Corp. 1,844 14,368 Trican Well Service, Ltd. 4,600 65,891 Trinidad Drilling, Ltd. 3,327 37,215 * Turquoise Hill Resources, Ltd. 10,608 41,230 # Twin Butte Energy, Ltd. 4,316 9,293 Uni-Select, Inc. 300 8,219 Valener, Inc. 1,300 18,515 # Veresen, Inc. 3,293 48,702 # Vermilion Energy, Inc. 200 13,308 * Wesdome Gold Mines, Ltd. 8,700 6,588 West Fraser Timber Co., Ltd. 1,200 53,647 Westshore Terminals Investment Corp. 318 10,334 Whistler Blackcomb Holdings, Inc. 1,100 16,459 # Whitecap Resources, Inc. 4,196 55,357 Wi-Lan, Inc. 2,661 8,182 Winpak, Ltd. 1,142 28,778 WSP Global, Inc. 800 27,378 Yamana Gold, Inc. 3,188 23,880 # Zargon Oil & Gas, Ltd. 1,452 12,797 ----------- TOTAL CANADA 11,021,818 ----------- CHINA -- (0.0%) * Hanfeng Evergreen, Inc. 1,400 881 ----------- DENMARK -- (1.0%) * Alm Brand A.S. 3,000 14,571 AP Moeller - Maersk A.S. Class A 10 22,719 AP Moeller - Maersk A.S. Class B 40 95,490 * Auriga Industries A.S. Class B 600 22,221 * Bang & Olufsen A.S. 670 6,920 CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- DENMARK -- (Continued) Chr Hansen Holding A.S. 1,563 $ 70,468 D/S Norden A.S. 429 17,159 Danske Bank A.S. 5,084 143,843 DSV A.S. 3,217 107,445 East Asiatic Co., Ltd. A.S. 400 5,318 # FLSmidth & Co. A.S. 581 31,105 * Jyske Bank A.S. 1,470 80,820 NKT Holding A.S. 984 62,082 Pandora A.S. 1,128 76,039 PER Aarsleff A.S. Class B 65 11,785 Ringkjoebing Landbobank A.S. 160 36,609 Rockwool International A.S. Class B 132 25,462 Schouw & Co. 300 16,746 SimCorp A.S. 600 23,036 Solar A.S. Class B 125 8,646 Spar Nord Bank A.S. 3,439 38,717 * Sydbank A.S. 2,214 59,052 TDC A.S. 7,360 69,117 * Topdanmark A.S. 1,775 51,936 Tryg A.S. 401 38,084 United International Enterprises 32 6,397 * Vestas Wind Systems A.S. 4,833 214,639 * Vestjysk Bank A.S. 250 418 ---------- TOTAL DENMARK 1,356,844 ---------- FINLAND -- (1.7%) Afarak Group Oyj 3,453 1,816 # Ahlstrom Oyj 445 4,742 Alma Media Oyj 1,213 4,445 Amer Sports Oyj 2,045 42,282 Atria P.L.C. 595 5,875 # Cargotec Oyj 1,344 60,080 Caverion Corp. 1,551 17,231 Citycon Oyj 6,944 26,055 Cramo Oyj 564 12,602 Elisa Oyj 3,528 105,435 * Finnair Oyj 1,332 5,558 Fiskars Oyj Abp 868 23,552 # Fortum Oyj 6,581 148,678 Huhtamaki Oyj 2,364 62,159 Kemira Oyj 1,740 26,597 Kesko Oyj Class A 401 16,018 Kesko Oyj Class B 1,158 47,400 # Kone Oyj Class B 1,636 70,128 Konecranes Oyj 1,023 33,019 Lassila & Tikanoja Oyj 596 11,605 Metsa Board Oyj 1,433 6,708 # Metso Oyj 809 32,562 Metso Oyj Sponsored ADR 700 28,105 Munksjo Oyj 245 1,982 # Neste Oil Oyj 4,368 89,831 #* Nokia Oyj 43,552 326,099 CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- FINLAND -- (Continued) * Nokia Oyj Sponsored ADR 5,300 $ 39,750 # Nokian Renkaat Oyj 1,186 47,196 * Outokumpu Oyj 148,600 45,467 PKC Group Oyj 691 22,922 * Poyry Oyj 726 4,015 Raisio P.L.C. Class V 7,337 47,989 Ramirent Oyj 1,350 15,132 * Rautaruukki Oyj 1,270 15,822 Sampo Class A 4,618 229,513 Sanoma Oyj 2,100 14,141 Stockmann Oyj Abp(5462371) 1,273 18,208 Stockmann Oyj Abp(5462393) 646 9,174 Stora Enso Oyj Class R 3,612 36,884 Stora Enso Oyj Sponsored ADR 9,200 92,920 Technopolis Oyj 2,391 14,555 Tieto Oyj 1,332 36,450 Tikkurila Oyj 1,187 29,459 UPM-Kymmene Oyj 7,347 128,674 UPM-Kymmene Oyj Sponsored ADR 7,100 123,398 Uponor Oyj 782 15,491 Vaisala Oyj Class A 214 6,964 Valmet Corp. 809 9,453 Wartsila Oyj Abp 576 32,155 # YIT Oyj 1,551 15,954 ---------- TOTAL FINLAND 2,262,250 ---------- FRANCE -- (7.6%) # Accor SA 1,753 85,826 Aeroports de Paris 265 32,954 #* Air France-KLM 4,185 60,206 Airbus Group NV 752 51,707 Albioma 1,126 31,442 * Alcatel-Lucent 50,457 200,098 Alcatel-Lucent Sponsored ADR 4,700 18,330 Alstom SA 1,737 71,780 Alten SA 652 33,312 Altran Technologies SA 3,293 35,901 April 199 4,757 Arkema SA 901 100,635 Assystem 430 13,861 AtoS 762 65,831 AXA SA 9,253 241,466 AXA SA Sponsored ADR 4,900 122,990 #* Beneteau SA 2,360 40,883 BNP Paribas SA 6,949 522,179 Bollore SA 75 47,802 Bonduelle SCA 159 4,611 Bongrain SA 112 9,793 Bourbon SA 1,222 40,324 # Bouygues SA 2,541 114,449 * Bull 4,839 25,681 Cap Gemini SA 3,040 214,787 CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- FRANCE -- (Continued) # Carrefour SA 2,937 $114,487 Casino Guichard Perrachon SA 624 79,512 Cegid Group 257 10,767 * CGG SA Sponsored ADR 3,000 51,600 Christian Dior SA 181 37,242 Cie de St-Gobain 5,953 364,713 Cie Generale des Etablissements Michelin 2,255 276,532 Ciments Francais SA 162 17,422 * Club Mediterranee SA 316 8,239 CNP Assurances 3,201 73,846 * Credit Agricole SA 12,013 189,546 Danone SA 787 58,111 Dassault Systemes 280 34,456 Derichebourg SA 2,685 10,468 Edenred 1,631 55,126 Eiffage SA 799 60,398 Electricite de France SA 2,202 84,559 # Eramet 65 8,479 Esso SA Francaise 76 4,165 Etablissements Maurel et Prom 1,811 32,312 Euler Hermes SA 391 47,176 Eutelsat Communications SA 458 15,755 Faiveley Transport SA 384 31,631 * Faurecia 1,599 71,975 Fimalac 48 4,089 # GDF Suez 10,842 273,255 Groupe Eurotunnel SA 11,589 155,580 * Groupe Fnac 77 3,683 Groupe Steria SCA 727 20,477 Havas SA 6,503 51,759 Iliad SA 17 4,583 Imerys SA 787 69,112 Ingenico 457 39,878 IPSOS 595 23,110 JCDecaux SA 1,391 57,101 Kering 763 168,754 # L'Oreal SA 377 64,974 Lafarge SA 1,506 137,797 Lafarge SA Sponsored ADR 5,400 123,390 Lagardere SCA 2,488 104,273 Legrand SA 952 61,514 LISI 78 12,651 LVMH Moet Hennessy Louis Vuitton SA 459 90,420 Manitou BF SA 989 18,710 Mersen 561 17,963 Metropole Television SA 1,252 26,832 Montupet 686 56,782 Natixis 13,035 92,531 # Naturex 235 20,627 # Neopost SA 479 39,332 Nexans SA 414 23,309 Nexity SA 653 29,292 CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- FRANCE -- (Continued) Norbert Dentressangle SA 187 $ 32,059 Orange SA 5,295 85,786 Orange SA Sponsored ADR 7,400 119,140 #* Orco Property Group 4,822 4,162 #* Peugeot SA 5,792 102,478 * Pierre & Vacances SA 114 4,807 Plastic Omnium SA 2,948 100,307 Publicis Groupe SA ADR 2,600 55,120 Rallye SA 796 40,487 Renault SA 2,603 254,495 Rexel SA 3,287 82,986 Rubis SCA 429 30,546 Safran SA 1,095 73,696 Saft Groupe SA 295 10,491 Schneider Electric SA(B11BPS1) 213 19,956 Schneider Electric SA(4834108) 2,657 249,415 SCOR SE 4,162 152,299 SEB SA 276 25,459 * Sequana SA 218 1,609 SES SA 387 14,581 Societe BIC SA 279 37,016 Societe Generale SA 4,016 250,105 # Societe Television Francaise 1 3,651 62,169 Sodexo 415 44,743 #* SOITEC 1,744 5,268 #* Solocal Group 1,400 3,196 Somfy SA 55 19,103 Stef SA 282 22,302 # STMicroelectronics NV(861012102) 6,800 64,532 STMicroelectronics NV(5962332) 12,325 117,534 Suez Environnement Co. 3,732 73,332 Technip SA ADR 1,900 53,295 Teleperformance 1,286 73,755 Thales SA 513 32,665 Total SA 6,697 479,131 Total SA Sponsored ADR 6,258 445,820 * Trigano SA 655 18,147 * UBISOFT Entertainment 1,606 29,971 Valeo SA 790 108,490 Vallourec SA 2,783 164,463 # Veolia Environnement SA 1,035 19,309 Veolia Environnement SA ADR 635 11,925 Vicat 469 40,702 # Vilmorin & Cie SA 194 25,609 Vinci SA 2,770 209,152 Vivendi SA 11,384 305,849 Zodiac Aerospace 1,760 58,516 ---------- TOTAL FRANCE 9,957,878 ---------- GERMANY -- (5.6%) * Aareal Bank AG 1,390 63,182 Adidas AG 1,038 110,964 CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- GERMANY -- (Continued) * Aixtron SE Sponsored ADR 300 $ 4,737 # Allianz SE 2,730 475,101 Aurubis AG 1,028 54,920 Axel Springer SE 1,266 77,304 # BASF SE 3,847 446,274 Bauer AG 343 8,911 Bayerische Motoren Werke AG 1,995 250,781 BayWa AG 360 20,421 Bechtle AG 202 17,975 Beiersdorf AG 364 36,540 Bertrandt AG 72 10,907 Bijou Brigitte AG 112 10,904 Bilfinger SE 761 90,730 Brenntag AG 409 74,091 # CANCOM SE 1,324 58,380 CAT Oil AG 551 11,560 Cewe Stiftung & Co. KGAA 287 22,613 Comdirect Bank AG 1,445 16,658 * Commerzbank AG 12,344 220,101 # Continental AG 660 155,301 Daimler AG 6,932 645,363 Deutsche Bank AG(5750355) 258 11,364 Deutsche Bank AG(D18190898) 7,500 330,225 Deutsche Boerse AG 826 60,573 # Deutsche Lufthansa AG 3,959 99,422 Deutsche Post AG 2,363 89,163 Deutsche Telekom AG 17,467 293,464 # Deutsche Wohnen AG 3,071 65,926 * Deutz AG 2,362 19,751 * Dialog Semiconductor P.L.C. 1,528 38,708 DMG MORI SEIKI AG 1,383 43,580 # Duerr AG 272 21,522 # E.ON SE 4,589 87,902 E.ON SE Sponsored ADR 8,830 161,589 ElringKlinger AG 969 39,122 Fielmann AG 139 18,805 Fraport AG Frankfurt Airport Services Worldwide 799 59,092 Freenet AG 2,927 101,371 # Fuchs Petrolub SE 215 19,822 GEA Group AG 2,174 97,370 GFK SE 297 15,329 Grammer AG 836 46,201 Grenkeleasing AG 247 25,879 # Hannover Rueck SE 1,159 107,998 # HeidelbergCement AG 1,914 166,304 #* Heidelberger Druckmaschinen AG 4,410 13,987 Henkel AG & Co. KGaA 266 27,350 # Hochtief AG 436 40,651 Indus Holding AG 565 26,517 Infineon Technologies AG 6,969 81,031 Infineon Technologies AG ADR 4,980 57,868 Jenoptik AG 847 14,138 CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- GERMANY -- (Continued) # K+S AG 2,243 $ 78,595 * Kloeckner & Co. SE 2,316 35,102 Kontron AG 1,112 7,763 Krones AG 229 21,924 # KUKA AG 521 26,711 KWS Saat AG 62 22,160 Lanxess AG 1,026 78,131 # Leoni AG 483 36,003 Linde AG 1,084 225,130 MAN SE 252 32,314 * Metro AG 1,430 57,291 MLP AG 505 3,435 MTU Aero Engines AG 322 30,360 # Muenchener Rueckversicherungs AG 1,328 306,979 MVV Energie AG 213 6,804 * Nordex SE 312 4,995 * Osram Licht AG 1,507 79,095 * Patrizia Immobilien AG 2,827 33,429 Pfeiffer Vacuum Technology AG 303 36,042 # Puma SE 101 29,838 QSC AG 4,809 24,747 # Rational AG 59 18,844 # Rheinmetall AG 925 61,623 RWE AG 5,475 208,932 SAF-Holland SA 2,417 36,164 Salzgitter AG 1,496 63,544 # SAP AG Sponsored ADR 1,200 97,188 # SGL Carbon SE 525 17,483 #* Singulus Technologies AG 2,333 7,625 Sixt SE 1,140 46,096 * Sky Deutschland AG 6,216 53,346 # SMA Solar Technology AG 845 35,383 Software AG 1,169 44,032 Suedzucker AG 686 14,659 Symrise AG 578 29,199 TAG Immobilien AG 1,284 16,325 # Takkt AG 583 11,826 * ThyssenKrupp AG 2,208 63,021 #* Tom Tailor Holding AG 936 18,206 # TUI AG 2,519 41,944 United Internet AG 1,164 50,004 Volkswagen AG 291 78,031 Vossloh AG 324 32,024 # Wacker Chemie AG 142 16,692 Wincor Nixdorf AG 382 25,024 ---------- TOTAL GERMANY 7,429,805 ---------- GREECE -- (0.0%) * T Bank SA 8,910 -- ---------- HONG KONG -- (2.4%) # AAC Technologies Holdings, Inc. 5,500 30,796 CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- -------- HONG KONG -- (Continued) APT Satellite Holdings, Ltd. 13,000 $ 16,318 ASM Pacific Technology, Ltd. 2,800 31,114 Associated International Hotels, Ltd. 6,000 16,667 Bank of East Asia, Ltd. 14,264 58,923 BOC Hong Kong Holdings, Ltd. 22,500 66,601 * Brightoil Petroleum Holdings, Ltd. 140,000 43,484 Cafe de Coral Holdings, Ltd. 10,000 31,512 Cathay Pacific Airways, Ltd. 12,000 22,710 Cheung Kong Holdings, Ltd. 11,000 187,566 Cheung Kong Infrastructure Holdings, Ltd. 6,000 39,172 * China Billion Resources, Ltd. 112,480 -- * China Energy Development Holdings, Ltd. 176,000 2,381 Chong Hing Bank, Ltd. 463 1,618 Chow Sang Sang Holdings International, Ltd. 5,000 12,308 # Chow Tai Fook Jewellery Group, Ltd. 22,000 31,065 Chuang's Consortium International, Ltd. 93,642 11,359 CLP Holdings, Ltd. 5,000 39,972 Dah Sing Banking Group, Ltd. 8,960 13,393 Dah Sing Financial Holdings, Ltd. 4,576 20,280 Esprit Holdings, Ltd. 43,000 71,814 Far East Consortium International, Ltd. 37,000 13,436 * FIH Mobile, Ltd. 55,000 29,708 First Pacific Co., Ltd. 55,600 61,828 * G-Resources Group, Ltd. 1,184,400 32,659 # Giordano International, Ltd. 20,000 13,425 Guangnan Holdings, Ltd. 40,000 5,220 Hang Lung Group, Ltd. 12,000 65,169 Hang Lung Properties, Ltd. 26,000 77,885 Hang Seng Bank, Ltd. 3,100 50,691 Henderson Land Development Co., Ltd. 16,066 96,450 Hong Kong & China Gas Co., Ltd. 13,420 30,965 Hong Kong Exchanges and Clearing, Ltd. 4,060 73,012 Hongkong & Shanghai Hotels (The) 11,096 16,227 Hopewell Holdings, Ltd. 17,500 60,239 Hutchison Telecommunications Hong Kong Holdings, Ltd. 15,000 4,916 Hysan Development Co., Ltd. 8,000 34,518 Johnson Electric Holdings, Ltd. 37,500 35,917 K Wah International Holdings, Ltd. 45,000 30,056 * Kerry Logistics Network, Ltd. 6,500 9,564 Kerry Properties, Ltd. 13,000 42,977 Kowloon Development Co., Ltd. 10,000 12,232 # L'Occitane International SA 9,250 22,765 * Lai Sun Development 143,000 3,347 Li & Fung, Ltd. 30,000 43,667 Lifestyle International Holdings, Ltd. 4,500 8,797 Luk Fook Holdings International, Ltd. 8,000 22,716 Man Wah Holdings, Ltd. 16,000 26,277 # Midland Holdings, Ltd. 46,000 19,332 #* Mongolian Mining Corp. 122,000 10,092 MTR Corp., Ltd. 7,053 26,744 New World Development Co., Ltd. 74,518 77,193 # Newocean Energy Holdings, Ltd. 42,000 27,791 CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- HONG KONG -- (Continued) NWS Holdings, Ltd. 40,571 $ 69,158 Orient Overseas International, Ltd. 6,000 28,702 Pacific Basin Shipping, Ltd. 42,000 24,672 Pacific Textiles Holdings, Ltd. 15,000 19,047 PCCW, Ltd. 87,000 46,388 Pico Far East Holdings, Ltd. 14,000 3,747 Power Assets Holdings, Ltd. 6,500 56,188 Prada SpA 2,700 21,654 Regal Hotels International Holdings, Ltd. 24,600 14,269 # SA SA International Holdings, Ltd. 28,000 23,490 Samsonite International SA 21,000 66,861 Shangri-La Asia, Ltd. 33,500 54,969 Shun Tak Holdings, Ltd. 27,500 13,510 Singamas Container Holdings, Ltd. 42,000 9,111 Sino Land Co., Ltd. 48,800 73,175 SmarTone Telecommunications Holdings, Ltd. 2,500 2,580 SOCAM Development, Ltd. 4,000 4,853 Stella International Holdings, Ltd. 500 1,233 Sun Hung Kai & Co., Ltd. 11,619 8,117 Sun Hung Kai Properties, Ltd. 13,134 166,150 Swire Pacific, Ltd. Class B 5,000 11,102 Swire Properties, Ltd. 10,000 30,245 Techtronic Industries Co. 22,000 70,293 Television Broadcasts, Ltd. 5,100 31,894 Texwinca Holdings, Ltd. 14,000 15,097 Transport International Holdings, Ltd. 4,000 7,384 Trinity, Ltd. 64,000 16,462 Value Partners Group, Ltd. 40,000 25,792 Varitronix International, Ltd. 17,000 18,851 Victory City International Holdings, Ltd. 14,000 2,041 Vitasoy International Holdings, Ltd. 18,000 24,608 VTech Holdings, Ltd. 2,200 30,470 Wharf Holdings, Ltd. 12,625 88,874 Wheelock & Co., Ltd. 13,000 53,827 Wing Hang Bank, Ltd. 5,000 80,612 Xinyi Glass Holdings, Ltd. 32,000 25,249 * Xinyi Solar Holdings, Ltd. 32,000 8,679 Yue Yuen Industrial Holdings, Ltd. 15,000 46,373 ---------- TOTAL HONG KONG 3,130,595 ---------- IRELAND -- (0.5%) * Bank of Ireland 496,536 193,873 * Bank of Ireland Sponsored ADR 330 5,683 CRH P.L.C. 3,670 106,847 CRH P.L.C. Sponsored ADR 4,265 124,879 Dragon Oil P.L.C. 4,125 43,888 FBD Holdings P.L.C. 158 3,812 Glanbia P.L.C. 538 8,035 Kerry Group P.L.C. Class A 667 52,316 Kingspan Group P.L.C.(0492793) 1,183 22,271 Kingspan Group P.L.C.(4491235) 1,108 20,880 CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- IRELAND -- (Continued) Smurfit Kappa Group P.L.C. 3,976 $ 88,576 -------- TOTAL IRELAND 671,060 -------- ISRAEL -- (0.4%) * Africa Israel Investments, Ltd. 1,545 3,394 * AudioCodes, Ltd. 614 3,357 Azrieli Group 825 27,927 Bank Hapoalim BM 14,543 82,153 * Bank Leumi Le-Israel BM 14,810 57,948 Bezeq The Israeli Telecommunication Corp., Ltd. 5,997 10,868 Delek Group, Ltd. 45 18,238 Elbit Systems, Ltd. 649 38,311 Electra, Ltd. 59 8,537 Harel Insurance Investments & Financial Services, Ltd. 4,420 25,230 Israel Chemicals, Ltd. 1,084 9,621 * Israel Discount Bank, Ltd. Class A 20,541 36,726 Ituran Location and Control, Ltd. 538 12,979 * Jerusalem Oil Exploration 300 12,923 Menorah Mivtachim Holdings, Ltd. 894 10,739 Migdal Insurance & Financial Holding, Ltd. 7,718 12,642 Mizrahi Tefahot Bank, Ltd. 3,321 44,395 NICE Systems, Ltd. Sponsored ADR 863 37,282 * Nitsba Holdings 1995, Ltd. 1,262 19,361 * Oil Refineries, Ltd. 7,964 2,220 Ormat Industries 270 2,012 Osem Investments, Ltd. 565 13,418 Paz Oil Co., Ltd. 198 30,937 Phoenix Holdings, Ltd. (The) 1,952 7,253 Shikun & Binui, Ltd. 5,298 13,800 * Union Bank of Israel 1,193 5,591 -------- TOTAL ISRAEL 547,862 -------- ITALY -- (2.6%) A2A SpA 7,105 8,694 ACEA SpA 1,354 19,430 * Arnoldo Mondadori Editore SpA 1,773 3,281 Assicurazioni Generali SpA 2,086 48,773 Astaldi SpA 1,321 14,316 Atlantia SpA 1,065 27,742 * Autogrill SpA 1,015 9,743 Azimut Holding SpA 2,125 66,338 #* Banca Carige SpA 17,321 12,804 Banca Generali SpA 1,007 31,698 #* Banca Monte dei Paschi di Siena SpA 21,946 7,335 * Banca Popolare dell'Emilia Romagna SC 7,293 84,064 #* Banca Popolare dell'Etruria e del Lazio 424 493 #* Banca Popolare di Milano SCRL 75,800 76,657 # Banca Popolare di Sondrio SCRL 6,476 46,510 * Banco Popolare SC 8,657 178,913 Brembo SpA 1,194 44,129 Buzzi Unicem SpA 2,983 52,919 Cementir Holding SpA 2,563 24,420 CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- ITALY -- (Continued) * CIR-Compagnie Industriali Riunite SpA 7,131 $ 10,995 CNH Industrial NV 2,621 30,616 Credito Emiliano SpA 1,807 18,524 #* Credito Valtellinese SCRL 17,272 41,235 De'Longhi SpA 720 15,649 Enel Green Power SpA 16,762 47,973 Enel SpA 16,916 95,811 Eni SpA 1,271 32,918 Eni SpA Sponsored ADR 3,700 191,068 ERG SpA 1,082 18,687 Esprinet SpA 2,121 23,189 * Fiat SpA 16,569 200,033 * Fiat SpA Sponsored ADR 1,600 19,360 * Finmeccanica SpA 6,992 64,707 # Geox SpA 852 3,708 * Gruppo Editoriale L'Espresso SpA 3,978 9,185 Hera SpA 12,421 36,603 * IMMSI SpA 4,196 4,480 Indesit Co. SpA 2,901 41,428 Interpump Group SpA 1,758 24,925 Intesa Sanpaolo SpA 84,234 288,251 Iren SpA 8,189 13,915 Italcementi SpA 1,415 17,191 * Italmobiliare SpA 246 11,184 Luxottica Group SpA Sponsored ADR 600 34,344 MARR SpA 686 13,286 * Mediaset SpA 14,069 77,860 * Mediobanca SpA 14,179 157,374 Mediolanum SpA 2,157 19,414 Parmalat SpA 8,313 28,881 # Piaggio & C SpA 2,131 8,817 Pirelli & C. SpA 3,639 61,267 #* Prelios SpA 750 665 Prysmian SpA 1,062 27,659 * Safilo Group SpA 1,177 26,879 Saipem SpA 800 21,458 #* Saras SpA 3,877 6,727 Snam SpA 8,606 51,765 Societa Cattolica di Assicurazioni SCRL 1,391 34,402 Societa Iniziative Autostradali e Servizi SpA 1,213 14,424 Telecom Italia SpA Sponsored ADR 8,020 102,977 Tenaris SA ADR 331 14,581 Terna Rete Elettrica Nazionale SpA 10,316 55,889 # Tod's SpA 194 27,186 UniCredit SpA 36,110 323,533 Unione di Banche Italiane SCPA 19,647 187,540 Unipol Gruppo Finanziario SpA 8,580 62,153 * UnipolSai SpA 12,846 47,267 * World Duty Free SpA 1,015 13,636 ---------- TOTAL ITALY 3,439,878 ---------- CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- JAPAN -- (17.1%) 77 Bank, Ltd. (The) 7,000 $ 31,602 # ABC-Mart, Inc. 700 31,434 # Accordia Golf Co., Ltd. 2,400 30,788 Adastria Holdings Co., Ltd. 300 6,529 ADEKA Corp. 2,100 23,073 # Advantest Corp. 2,200 24,252 Aeon Co., Ltd. 4,300 49,663 Ahresty Corp. 800 6,810 Ai Holdings Corp. 1,200 19,144 Aica Kogyo Co., Ltd. 1,000 20,912 Aichi Bank, Ltd. (The) 200 9,757 Aichi Steel Corp. 4,000 14,751 Aida Engineering, Ltd. 2,800 26,728 Aisin Seiki Co., Ltd. 1,600 56,543 # Akebono Brake Industry Co., Ltd. 6,000 30,521 Akita Bank, Ltd. (The) 5,000 13,906 Alpine Electronics, Inc. 1,300 15,499 Alps Electric Co., Ltd. 2,800 31,661 Amada Co., Ltd. 10,000 72,322 Amano Corp. 1,700 16,369 ANA Holdings, Inc. 3,000 6,551 Anritsu Corp. 2,000 22,397 AOKI Holdings, Inc. 2,200 29,975 # Aomori Bank, Ltd. (The) 2,000 5,501 Aoyama Trading Co., Ltd. 1,700 42,185 # Aozora Bank, Ltd. 10,000 29,748 Arakawa Chemical Industries, Ltd. 900 7,580 Arcs Co., Ltd. 1,300 26,081 Ariake Japan Co., Ltd. 1,000 24,155 Asahi Diamond Industrial Co., Ltd. 1,000 13,533 Asahi Glass Co., Ltd. 14,000 79,371 Asahi Holdings, Inc. 1,600 25,267 Asahi Kasei Corp. 15,000 101,982 Asatsu-DK, Inc. 700 15,835 Asics Corp. 2,000 38,927 Autobacs Seven Co., Ltd. 2,200 34,036 Avex Group Holdings, Inc. 1,200 22,226 Awa Bank, Ltd. (The) 5,000 26,774 Azbil Corp. 1,400 31,770 Bank of Iwate, Ltd. (The) 400 17,765 Bank of Kyoto, Ltd. (The) 7,000 57,036 Bank of Nagoya, Ltd. (The) 4,000 15,031 Bank of Okinawa, Ltd. (The) 600 25,157 Bank of the Ryukyus, Ltd. 1,400 18,532 Bank of Yokohama, Ltd. (The) 19,000 95,496 Benesse Holdings, Inc. 700 26,634 Best Denki Co., Ltd. 8,100 11,020 Bookoff Corp. 1,500 12,465 Bridgestone Corp. 900 32,225 Brother Industries, Ltd. 4,600 64,342 Calsonic Kansei Corp. 6,000 29,557 Canon Electronics, Inc. 600 10,141 CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- JAPAN -- (Continued) Canon Marketing Japan, Inc. 1,200 $ 19,327 Canon, Inc. 194 6,079 Canon, Inc. Sponsored ADR 2,596 81,203 Casio Computer Co., Ltd. 6,600 75,314 Central Glass Co., Ltd. 4,000 13,117 Central Japan Railway Co. 300 36,848 Century Tokyo Leasing Corp. 800 23,152 Chiba Bank, Ltd. (The) 12,000 76,277 * Chiba Kogyo Bank, Ltd. (The) 1,500 9,744 Chiyoda Co., Ltd. 700 16,620 * Chubu Electric Power Co., Inc. 1,800 20,503 Chuetsu Pulp & Paper Co., Ltd. 6,000 11,297 Chugoku Bank, Ltd. (The) 5,000 66,282 # Chugoku Electric Power Co., Inc. (The) 1,200 15,724 Chugoku Marine Paints, Ltd. 2,000 12,758 Chukyo Bank, Ltd. (The) 7,000 11,918 Citizen Holdings Co., Ltd. 7,900 58,017 CKD Corp. 2,200 20,041 * CMK Corp. 2,100 5,229 Coca-Cola East Japan Co., Ltd. 1,927 43,428 Coca-Cola West Co., Ltd. 1,500 26,106 COMSYS Holdings Corp. 2,000 32,788 Cosmo Oil Co., Ltd. 15,000 28,061 Dai Nippon Printing Co., Ltd. 8,000 72,059 # Dai-ichi Life Insurance Co., Ltd. (The) 7,300 101,154 Daibiru Corp. 300 2,994 Daicel Corp. 7,000 58,623 Daido Steel Co., Ltd. 10,000 48,894 * Daiei, Inc. (The) 2,650 7,439 Daifuku Co., Ltd. 2,000 23,059 Daihatsu Motor Co., Ltd. 2,100 34,784 Daikin Industries, Ltd. 700 40,491 Daikyo, Inc. 5,000 9,748 Dainichiseika Color & Chemicals Manufacturing Co., Ltd. 4,000 16,905 # Daio Paper Corp. 3,000 31,473 Daisan Bank, Ltd. (The) 7,000 11,721 Daiseki Co., Ltd. 200 3,186 Daishi Bank, Ltd. (The) 8,000 28,894 Daito Trust Construction Co., Ltd. 300 30,528 Daiwa House Industry Co., Ltd. 3,000 50,687 Daiwa Securities Group, Inc. 5,000 37,492 Daiwabo Holdings Co., Ltd. 8,000 13,775 DCM Holdings Co., Ltd. 1,800 12,178 # Dena Co., Ltd. 1,200 20,281 Denki Kagaku Kogyo K.K. 11,000 36,482 Denso Corp. 1,500 68,329 Dentsu, Inc. 800 32,810 Descente, Ltd. 3,000 22,739 DIC Corp. 10,000 26,538 Disco Corp. 400 24,308 DMG Mori Seiki Co., Ltd. 1,100 13,723 Doutor Nichires Holdings Co., Ltd. 400 7,169 CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- JAPAN -- (Continued) Dowa Holdings Co., Ltd. 2,000 $ 16,768 Dunlop Sports Co., Ltd. 1,100 13,400 East Japan Railway Co. 900 65,669 Ebara Corp. 11,000 65,430 # EDION Corp. 1,800 10,489 Ehime Bank, Ltd. (The) 6,000 13,146 Eighteenth Bank, Ltd. (The) 8,000 17,869 Eizo Corp. 500 13,556 Electric Power Development Co., Ltd. 600 15,911 Exedy Corp. 1,000 26,755 FamilyMart Co., Ltd. 600 24,915 FANUC Corp. 300 54,131 FCC Co., Ltd. 1,000 17,094 Felissimo Corp. 400 3,936 # FIDEA Holdings Co., Ltd. 5,200 9,722 Foster Electric Co., Ltd. 500 6,056 France Bed Holdings Co., Ltd. 6,000 10,812 Fuji Electric Co., Ltd. 10,000 45,383 Fuji Heavy Industries, Ltd. 1,000 26,295 Fuji Oil Co., Ltd.(6356848) 1,100 14,862 Fuji Oil Co., Ltd.(6581361) 2,200 6,815 Fuji Seal International, Inc. 400 13,014 Fuji Soft, Inc. 1,100 23,010 # Fujibo Holdings, Inc. 5,000 11,510 FUJIFILM Holdings Corp. 4,400 113,661 Fujikura, Ltd. 7,000 30,142 Fujimori Kogyo Co., Ltd. 300 8,422 Fujitec Co., Ltd. 3,000 34,591 Fujitsu General, Ltd. 1,000 11,540 Fujitsu, Ltd. 18,000 105,844 Fukui Bank, Ltd. (The) 7,000 16,616 Fukuoka Financial Group, Inc. 12,000 49,008 # Fukuyama Transporting Co., Ltd. 5,000 29,261 Furukawa Electric Co., Ltd. 18,000 40,526 Futaba Industrial Co., Ltd. 900 4,032 Geo Holdings Corp. 900 8,246 Glory, Ltd. 1,000 25,871 GMO internet, Inc. 2,700 23,854 Godo Steel, Ltd. 6,000 8,449 # Gree, Inc. 1,200 11,735 GungHo Online Entertainment, Inc. 3,500 19,910 Gunma Bank, Ltd. (The) 9,000 47,837 Gunze, Ltd. 5,000 13,653 H2O Retailing Corp. 4,000 30,186 Hachijuni Bank, Ltd. (The) 11,000 60,136 Hakuhodo DY Holdings, Inc. 5,300 41,113 Hankyu Hanshin Holdings, Inc. 16,000 87,689 Hanwa Co., Ltd. 4,000 15,645 Haseko Corp. 2,200 13,932 Hazama Ando Corp. 6,200 27,363 Heiwa Corp. 800 13,312 Heiwa Real Estate Co., Ltd. 500 7,850 CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- JAPAN -- (Continued) Heiwado Co., Ltd. 1,200 $ 16,988 Higashi-Nippon Bank, Ltd. (The) 6,000 15,047 Higo Bank, Ltd. (The) 3,000 15,419 Hino Motors, Ltd. 1,000 13,174 Hiroshima Bank, Ltd. (The) 11,000 45,257 Hitachi Capital Corp. 1,300 32,042 Hitachi Chemical Co., Ltd. 1,300 19,125 # Hitachi Construction Machinery Co., Ltd. 900 16,701 Hitachi High-Technologies Corp. 1,400 32,027 # Hitachi Koki Co., Ltd. 600 4,470 Hitachi Metals, Ltd. 1,000 13,579 Hitachi Transport System, Ltd. 1,100 16,879 Hitachi Zosen Corp. 3,800 18,645 Hitachi, Ltd. 24,000 171,095 Hitachi, Ltd. ADR 800 56,952 #* Hokkaido Electric Power Co., Inc. 1,600 9,788 Hokkan Holdings, Ltd. 5,000 13,029 Hokkoku Bank, Ltd. (The) 7,000 23,440 Hokuetsu Bank, Ltd. (The) 4,000 8,182 Hokuetsu Kishu Paper Co., Ltd. 6,000 28,536 Hokuhoku Financial Group, Inc. 31,000 59,822 Hokuriku Electric Power Co. 1,800 22,354 Hokuto Corp. 1,400 28,124 Honda Motor Co., Ltd. 6,900 228,974 Honda Motor Co., Ltd. Sponsored ADR 3,554 118,348 Horiba, Ltd. 300 10,370 House Foods Group, Inc. 1,900 31,616 Hoya Corp. 2,400 70,986 Hyakugo Bank, Ltd. (The) 4,000 15,498 Hyakujushi Bank, Ltd. (The) 4,000 13,398 Ibiden Co., Ltd. 3,500 63,175 * Ichikoh Industries, Ltd. 10,000 13,364 Ichiyoshi Securities Co., Ltd. 2,000 23,855 Idec Corp. 1,300 11,426 Idemitsu Kosan Co., Ltd. 1,600 35,382 IHI Corp. 7,000 27,911 Iida Group Holdings Co., Ltd. 1,624 24,235 Inaba Denki Sangyo Co., Ltd. 600 18,426 Inabata & Co., Ltd. 100 941 Inageya Co., Ltd. 2,000 19,554 Internet Initiative Japan, Inc. 500 11,601 # Iseki & Co., Ltd. 5,000 12,921 Isetan Mitsukoshi Holdings, Ltd. 5,840 72,673 * Ishihara Sangyo Kaisha, Ltd. 13,000 12,366 # Isuzu Motors, Ltd. 4,000 23,230 IT Holdings Corp. 1,200 18,602 Ito En, Ltd. 1,000 21,380 ITOCHU Corp. 12,800 143,485 Itochu Enex Co., Ltd. 1,800 10,107 # Itochu Techno-Solutions Corp. 400 16,716 Itoham Foods, Inc. 5,000 22,661 Iwai Cosmo Holdings, Inc. 900 8,766 CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ ------- JAPAN -- (Continued) # Iwatani Corp. 7,000 $41,078 Iyo Bank, Ltd. (The) 6,000 53,946 Izumiya Co., Ltd. 3,000 14,232 J Front Retailing Co., Ltd. 6,800 43,224 # J-Oil Mills, Inc. 3,000 8,020 Japan Airport Terminal Co., Ltd. 1,100 25,381 Japan Aviation Electronics Industry, Ltd. 3,000 51,066 Japan Exchange Group, Inc. 1,500 29,679 Japan Pulp & Paper Co., Ltd. 5,000 17,031 # Japan Steel Works, Ltd. (The) 10,000 42,251 Japan Wool Textile Co., Ltd. (The) 3,000 22,280 JFE Holdings, Inc. 4,000 73,925 JGC Corp. 1,000 32,381 Joshin Denki Co., Ltd. 1,000 8,104 Joyo Bank, Ltd. (The) 12,000 58,405 JSR Corp. 2,100 34,412 JTEKT Corp. 3,200 46,690 Juroku Bank, Ltd. (The) 6,000 20,959 #* JVC Kenwood Corp. 1,500 3,171 JX Holdings, Inc. 16,790 87,237 K's Holdings Corp. 700 20,314 Kadokawa Corp. 800 26,268 Kaga Electronics Co., Ltd. 1,200 14,370 Kagoshima Bank, Ltd. (The) 3,000 18,738 # Kajima Corp. 8,000 30,460 Kakaku.com, Inc. 1,200 17,120 Kameda Seika Co., Ltd. 300 8,530 Kamigumi Co., Ltd. 7,000 66,726 # Kanamoto Co., Ltd. 1,000 31,414 Kandenko Co., Ltd. 4,000 21,457 Kaneka Corp. 8,000 46,923 Kanematsu Corp. 12,000 18,467 * Kansai Electric Power Co., Inc. (The) 1,200 10,062 # Kansai Paint Co., Ltd. 1,000 13,981 Kao Corp. 1,000 37,647 Kato Works Co., Ltd. 2,000 11,535 # Kawasaki Heavy Industries, Ltd. 5,000 18,558 Kawasaki Kisen Kaisha, Ltd. 28,000 56,222 KDDI Corp. 800 42,665 # Keihan Electric Railway Co., Ltd. 10,000 41,224 Keihin Corp. 1,100 15,964 # Keikyu Corp. 3,000 24,902 # Keio Corp. 3,000 21,233 Keisei Electric Railway Co., Ltd. 2,000 17,406 Keiyo Bank, Ltd. (The) 9,000 39,614 Kewpie Corp. 2,200 31,646 KEY Coffee, Inc. 300 4,625 Keyence Corp. 100 38,576 Kintetsu Corp. 7,000 24,600 Kintetsu World Express, Inc. 300 11,906 Kitz Corp. 3,000 14,166 Kiyo Bank, Ltd. (The) 1,500 17,651 CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- JAPAN -- (Continued) Koa Corp. 1,400 $ 13,456 Kobe Steel, Ltd. 30,000 39,380 # Kohnan Shoji Co., Ltd. 1,300 13,160 Koito Manufacturing Co., Ltd. 1,000 21,750 Kokuyo Co., Ltd. 2,300 17,588 Komatsu, Ltd. 1,100 24,218 # Komeri Co., Ltd. 500 13,539 # Konami Corp. 2,400 54,731 Konica Minolta, Inc. 5,500 51,250 Konishi Co., Ltd. 600 10,735 Kose Corp. 800 26,590 Kubota Corp. Sponsored ADR 500 31,990 Kurabo Industries, Ltd. 8,000 13,627 Kuraray Co., Ltd. 4,400 49,473 Kureha Corp. 5,000 23,644 Kurita Water Industries, Ltd. 2,100 44,226 # Kuroda Electric Co., Ltd. 1,300 20,886 KYB Co., Ltd. 4,000 16,294 Kyocera Corp. Sponsored ADR 1,800 84,852 Kyokuto Kaihatsu Kogyo Co., Ltd. 1,900 24,979 Kyoritsu Maintenance Co., Ltd. 900 30,739 Kyowa Exeo Corp. 2,000 25,871 #* Kyushu Electric Power Co., Inc. 1,800 18,161 Lawson, Inc. 300 20,835 #* Leopalace21 Corp. 4,000 20,687 Lintec Corp. 1,100 20,454 Lion Corp. 4,000 21,913 LIXIL Group Corp. 3,200 84,800 Maeda Corp. 5,000 37,208 Maeda Road Construction Co., Ltd. 2,000 31,011 Makino Milling Machine Co., Ltd. 2,000 14,890 Makita Corp. 500 26,594 Marubeni Corp. 14,000 93,554 * Maruha Nichiro Corp. 1,200 19,015 Marui Group Co., Ltd. 4,900 43,525 Marusan Securities Co., Ltd. 2,100 14,697 Maruwa Co., Ltd. 500 17,741 # Matsui Securities Co., Ltd. 2,300 21,175 Max Co., Ltd. 1,000 10,971 Mazda Motor Corp. 9,000 40,241 McDonald's Holdings Co. Japan, Ltd. 1,000 27,668 Megmilk Snow Brand Co., Ltd. 1,400 18,577 Meitec Corp. 700 18,636 Michinoku Bank, Ltd. (The) 2,000 4,212 Mimasu Semiconductor Industry Co., Ltd. 500 4,539 Minebea Co., Ltd. 5,000 40,520 Ministop Co., Ltd. 800 12,116 Mirait Holdings Corp. 2,000 17,592 MISUMI Group, Inc. 1,200 29,201 Mito Securities Co., Ltd. 3,000 10,480 Mitsuba Corp. 2,000 29,361 Mitsubishi Corp. 11,900 213,097 CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- JAPAN -- (Continued) Mitsubishi Electric Corp. 9,000 $102,481 Mitsubishi Estate Co., Ltd. 2,000 45,381 Mitsubishi Gas Chemical Co., Inc. 4,000 23,094 Mitsubishi Heavy Industries, Ltd. 18,598 97,917 # Mitsubishi Logistics Corp. 4,000 57,388 Mitsubishi Materials Corp. 15,000 43,508 Mitsubishi Motors Corp. 3,700 40,102 * Mitsubishi Paper Mills, Ltd. 10,000 8,603 Mitsubishi Pencil Co., Ltd. 600 17,832 Mitsubishi Shokuhin Co., Ltd. 400 8,957 Mitsubishi Steel Manufacturing Co., Ltd. 2,000 4,009 Mitsubishi UFJ Financial Group, Inc. 105,370 560,515 Mitsuboshi Belting Co., Ltd. 3,000 15,673 Mitsui & Co., Ltd. 11,700 165,934 Mitsui & Co., Ltd. Sponsored ADR 125 35,325 # Mitsui Chemicals, Inc. 18,000 43,862 Mitsui Engineering & Shipbuilding Co., Ltd. 18,000 34,924 Mitsui Fudosan Co., Ltd. 2,000 59,203 Mitsui High-Tec, Inc. 2,000 12,614 Mitsui Mining & Smelting Co., Ltd. 14,000 34,715 Mitsui OSK Lines, Ltd. 20,000 66,721 Mitsui Sugar Co., Ltd. 3,000 12,448 Mitsui-Soko Co., Ltd. 2,000 7,935 Miura Co., Ltd. 700 19,884 Miyazaki Bank, Ltd. (The) 5,000 15,276 Mizuho Financial Group, Inc. 169,200 331,396 # Mizuno Corp. 4,000 21,827 Morinaga & Co., Ltd. 9,000 19,838 Morinaga Milk Industry Co., Ltd. 4,000 14,931 Morita Holdings Corp. 1,000 8,329 MOS Food Services, Inc. 1,400 27,902 # Moshi Moshi Hotline, Inc. 900 9,111 MS&AD Insurance Group Holdings 4,764 106,867 Murata Manufacturing Co., Ltd. 400 33,346 # Musashi Seimitsu Industry Co., Ltd. 900 19,860 Musashino Bank, Ltd. (The) 600 19,227 Nachi-Fujikoshi Corp. 4,000 24,739 Nagase & Co., Ltd. 3,400 41,661 Nagoya Railroad Co., Ltd. 9,000 28,556 Namco Bandai Holdings, Inc. 1,900 41,050 Nankai Electric Railway Co., Ltd. 7,000 27,153 Nanto Bank, Ltd. (The) 5,000 18,767 NEC Corp. 36,000 101,268 NEC Networks & System Integration Corp. 1,200 25,352 # NET One Systems Co., Ltd. 1,400 11,390 Neturen Co., Ltd. 1,500 10,291 NGK Insulators, Ltd. 3,000 56,733 NGK Spark Plug Co., Ltd. 2,000 45,789 NHK Spring Co., Ltd. 2,000 18,104 Nichias Corp. 3,000 20,321 Nichicon Corp. 2,400 17,802 Nichiha Corp. 900 10,369 CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- JAPAN -- (Continued) Nichirei Corp. 6,000 $ 29,136 Nifco, Inc. 900 25,138 NIFTY Corp. 500 7,092 # Nihon Dempa Kogyo Co., Ltd. 400 3,214 Nihon M&A Center, Inc. 1,000 23,379 Nihon Nohyaku Co., Ltd. 1,000 12,461 Nihon Parkerizing Co., Ltd. 1,000 21,796 Nihon Unisys, Ltd. 3,000 30,465 # Nikon Corp. 2,800 43,900 Nippo Corp. 1,000 15,280 Nippon Beet Sugar Manufacturing Co., Ltd. 9,000 16,935 # Nippon Carbon Co., Ltd. 7,000 12,347 * Nippon Chemi-Con Corp. 3,000 9,590 Nippon Denko Co., Ltd. 4,000 11,129 # Nippon Densetsu Kogyo Co., Ltd. 2,000 29,681 Nippon Electric Glass Co., Ltd. 8,000 39,135 Nippon Express Co., Ltd. 9,000 42,546 Nippon Flour Mills Co., Ltd. 6,000 33,476 Nippon Gas Co., Ltd. 1,100 18,218 Nippon Konpo Unyu Soko Co., Ltd. 1,700 28,725 Nippon Light Metal Holdings Co., Ltd. 10,000 14,101 Nippon Meat Packers, Inc. 2,000 34,663 # Nippon Paper Industries Co., Ltd. 2,300 42,034 Nippon Road Co., Ltd. (The) 2,000 10,181 Nippon Sharyo, Ltd. 5,000 17,935 * Nippon Sheet Glass Co., Ltd. 20,000 25,653 # Nippon Shokubai Co., Ltd. 4,000 46,153 Nippon Signal Co., Ltd. (The) 1,500 12,438 Nippon Soda Co., Ltd. 5,000 27,780 Nippon Steel & Sumitomo Metal Corp. 43,675 114,587 * Nippon Suisan Kaisha, Ltd. 5,500 12,656 Nippon Synthetic Chemical Industry Co., Ltd. (The) 2,000 13,326 Nippon Telegraph & Telephone Corp. 500 27,746 Nippon Telegraph & Telephone Corp. ADR 1,600 44,544 Nippon Thompson Co., Ltd. 3,000 13,672 #* Nippon Yakin Kogyo Co., Ltd. 2,500 6,954 Nippon Yusen K.K. 29,000 78,605 Nishi-Nippon City Bank, Ltd. (The) 18,000 40,943 Nishi-Nippon Railroad Co., Ltd. 6,000 23,075 Nishimatsu Construction Co., Ltd. 7,000 25,188 Nishimatsuya Chain Co., Ltd. 2,500 17,920 Nissan Chemical Industries, Ltd. 1,400 20,865 Nissan Motor Co., Ltd. 14,500 125,115 Nissan Shatai Co., Ltd. 3,000 45,704 # Nisshin Oillio Group, Ltd. (The) 5,000 16,741 # Nisshin Seifun Group, Inc. 6,050 70,389 Nisshin Steel Co., Ltd. 2,100 21,568 Nisshinbo Holdings, Inc. 2,000 17,135 Nissin Foods Holdings Co., Ltd. 500 23,933 Nissin Kogyo Co., Ltd. 1,000 18,457 Nitta Corp. 1,000 20,543 Nittetsu Mining Co., Ltd. 3,000 11,198 CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- JAPAN -- (Continued) * Nitto Boseki Co., Ltd. 6,000 $ 25,036 Nitto Denko Corp. 1,200 51,955 Nitto Kogyo Corp. 1,000 20,733 NKSJ Holdings, Inc. 4,400 109,775 NOF Corp. 5,000 34,677 NOK Corp. 3,000 49,046 Nomura Holdings, Inc. 18,800 108,868 Nomura Holdings, Inc. ADR 3,400 19,924 Nomura Real Estate Holdings, Inc. 1,800 33,632 Nomura Research Institute, Ltd. 600 17,398 Noritake Co., Ltd. 5,000 12,235 Noritz Corp. 700 12,436 North Pacific Bank, Ltd. 8,000 32,405 NSK, Ltd. 6,000 63,076 * NTN Corp. 12,000 41,069 NTT Data Corp. 900 34,772 NTT DOCOMO, Inc. 9,900 157,910 NTT Urban Development Corp. 2,100 18,470 # Obayashi Corp. 9,000 58,112 Obic Co., Ltd. 800 24,005 Odakyu Electric Railway Co., Ltd. 2,000 17,559 Ogaki Kyoritsu Bank, Ltd. (The) 10,000 27,010 # Oiles Corp. 1,200 27,027 Oita Bank, Ltd. (The) 4,000 14,564 Oji Holdings Corp. 14,000 58,821 Okamura Corp. 2,000 17,108 Oki Electric Industry Co., Ltd. 15,000 29,364 Okinawa Electric Power Co., Inc. (The) 400 13,073 OKUMA Corp. 2,000 17,119 Okumura Corp. 4,000 18,275 Omron Corp. 900 31,873 Onoken Co., Ltd. 1,500 15,795 Onward Holdings Co., Ltd. 4,000 26,904 Oracle Corp. Japan 600 27,651 Oriental Land Co., Ltd. 100 14,981 Osaka Gas Co., Ltd. 8,000 30,154 OSG Corp. 700 11,283 #* Pacific Metals Co., Ltd. 6,000 27,909 Paltac Corp. 300 3,706 PanaHome Corp. 2,000 13,299 Panasonic Corp. 9,000 98,101 Parco Co., Ltd. 300 2,402 Park24 Co., Ltd. 600 10,967 Penta-Ocean Construction Co., Ltd. 7,000 22,895 Pigeon Corp. 600 26,863 Pilot Corp. 400 16,813 * Pioneer Corp. 2,500 5,402 Pola Orbis Holdings, Inc. 500 19,568 Press Kogyo Co., Ltd. 5,000 18,337 Prima Meat Packers, Ltd. 5,000 11,029 # Raito Kogyo Co., Ltd. 2,500 21,528 # Rakuten, Inc. 2,100 27,249 CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ ------- JAPAN -- (Continued) Relo Holdings, Inc. 400 $21,934 Rengo Co., Ltd. 4,000 17,875 * Renown, Inc. 2,700 3,123 Resona Holdings, Inc. 15,200 77,718 Resorttrust, Inc. 2,000 31,380 Ricoh Co., Ltd. 8,000 92,185 Ricoh Leasing Co., Ltd. 500 13,051 Riken Corp. 4,000 16,366 Riso Kagaku Corp. 1,100 27,135 Roland DG Corp. 400 13,520 # Round One Corp. 900 6,465 # Ryohin Keikaku Co., Ltd. 400 44,953 Ryosan Co., Ltd. 1,000 21,137 Saibu Gas Co., Ltd. 6,000 15,044 # Saizeriya Co., Ltd. 1,200 13,749 Sakai Chemical Industry Co., Ltd. 3,000 8,456 Sakata Seed Corp. 1,200 16,763 San-Ai Oil Co., Ltd. 2,000 13,313 San-In Godo Bank, Ltd. (The) 3,000 19,800 Sangetsu Co., Ltd. 500 12,884 Sanken Electric Co., Ltd. 4,000 27,866 Sankyo Co., Ltd. 700 27,994 Sankyo Tateyama, Inc. 1,200 23,750 Sankyu, Inc. 4,000 15,247 # Sanrio Co., Ltd. 500 15,852 Sanshin Electronics Co., Ltd. 1,500 9,415 Sanwa Holdings Corp. 4,000 24,437 Sanyo Chemical Industries, Ltd. 2,000 12,251 Sanyo Special Steel Co., Ltd. 3,000 11,701 # Sato Holdings Corp. 1,100 23,875 SBI Holdings, Inc. 5,570 63,698 Scroll Corp. 2,100 5,639 SCSK Corp. 1,000 26,452 Sega Sammy Holdings, Inc. 1,200 24,189 Seiko Epson Corp. 2,200 60,038 Seiko Holdings Corp. 6,000 21,925 Seino Holdings Co., Ltd. 4,000 39,535 Seiren Co., Ltd. 2,600 21,846 Sekisui Chemical Co., Ltd. 4,000 40,537 Sekisui House, Ltd. 7,000 84,025 # Senko Co., Ltd. 5,000 22,853 Senshu Ikeda Holdings, Inc. 1,000 4,591 Senshukai Co., Ltd. 1,200 10,210 Seven & I Holdings Co., Ltd. 2,300 90,749 #* Sharp Corp. 2,000 5,014 Shiga Bank, Ltd. (The) 7,000 38,278 Shikoku Bank, Ltd. (The) 5,000 10,085 #* Shikoku Electric Power Co., Inc. 800 9,364 Shima Seiki Manufacturing, Ltd. 400 6,675 Shimachu Co., Ltd. 1,000 21,973 Shimamura Co., Ltd. 300 27,947 Shimano, Inc. 300 29,989 CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- JAPAN -- (Continued) Shimizu Corp. 10,000 $ 56,686 Shin-Etsu Chemical Co., Ltd. 1,900 111,458 Shindengen Electric Manufacturing Co., Ltd. 3,000 12,256 Shinko Electric Industries Co., Ltd. 2,300 15,147 Shinko Plantech Co., Ltd. 1,300 9,787 Shinko Shoji Co., Ltd. 900 8,292 Shinmaywa Industries, Ltd. 4,000 35,324 # Shinsei Bank, Ltd. 29,000 56,539 Shiseido Co., Ltd. 1,000 17,866 Shizuoka Bank, Ltd. (The) 7,000 66,885 Shizuoka Gas Co., Ltd. 2,100 12,636 Shoko Co., Ltd. 5,000 6,664 Showa Corp. 800 8,798 # Showa Denko K.K. 38,000 50,633 Showa Shell Sekiyu K.K. 2,300 23,332 Sinanen Co., Ltd. 4,000 15,187 Sintokogio, Ltd. 1,500 10,779 SKY Perfect JSAT Holdings, Inc. 3,500 18,820 SMC Corp. 200 47,611 # SMK Corp. 3,000 11,192 # Sodick Co., Ltd. 1,500 5,570 Softbank Corp. 1,561 116,260 Sojitz Corp. 27,200 42,889 # Sony Corp. 3,300 57,933 Sony Corp. Sponsored ADR 5,400 95,256 Sony Financial Holdings, Inc. 1,400 22,449 Sotetsu Holdings, Inc. 6,000 21,443 # Square Enix Holdings Co., Ltd. 1,000 16,085 Stanley Electric Co., Ltd. 1,300 28,813 Star Micronics Co., Ltd. 700 8,642 Starts Corp., Inc. 1,000 12,647 # Sumco Corp. 2,800 21,489 Sumitomo Bakelite Co., Ltd. 5,000 19,042 Sumitomo Corp. 9,600 124,613 Sumitomo Electric Industries, Ltd. 8,100 112,114 Sumitomo Forestry Co., Ltd. 3,600 36,615 # Sumitomo Heavy Industries, Ltd. 15,000 63,823 Sumitomo Metal Mining Co., Ltd. 8,000 120,836 Sumitomo Mitsui Financial Group, Inc. 8,564 338,538 Sumitomo Mitsui Trust Holdings, Inc. 23,940 98,650 Sumitomo Osaka Cement Co., Ltd. 7,000 27,840 Sumitomo Realty & Development Co., Ltd. 1,000 38,799 Sumitomo Rubber Industries, Ltd. 1,800 25,016 Sumitomo Warehouse Co., Ltd. (The) 4,000 19,395 # Suzuki Motor Corp. 2,300 59,340 * SWCC Showa Holdings Co., Ltd. 14,000 13,436 T Hasegawa Co., Ltd. 800 11,869 T&D Holdings, Inc. 8,700 103,846 # Tachi-S Co., Ltd. 1,000 15,643 Tadano, Ltd. 2,000 28,280 Taiheiyo Cement Corp. 15,000 52,618 Taiho Kogyo Co., Ltd. 1,300 12,292 CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- JAPAN -- (Continued) Taikisha, Ltd. 1,500 $ 32,455 Taisei Corp. 10,000 46,360 # Taiyo Nippon Sanso Corp. 7,000 55,795 Taiyo Yuden Co., Ltd. 2,000 24,729 Takara Standard Co., Ltd. 2,000 14,285 Takasago International Corp. 1,000 4,889 Takasago Thermal Engineering Co., Ltd. 2,000 19,554 Takashimaya Co., Ltd. 7,000 66,319 Takata Corp. 1,000 23,562 Takuma Co., Ltd. 4,000 32,362 TDK Corp. 1,000 42,641 TDK Corp. Sponsored ADR 400 17,056 # Teijin, Ltd. 19,000 46,703 THK Co., Ltd. 3,200 67,637 Toa Corp. 6,000 11,287 Toagosei Co., Ltd. 6,000 25,107 Tobu Railway Co., Ltd. 3,000 14,673 TOC Co., Ltd. 1,200 8,162 Tochigi Bank, Ltd. (The) 4,000 15,593 Toda Corp. 6,000 21,028 Toei Co., Ltd. 1,000 5,598 Toho Bank, Ltd. (The) 5,000 16,746 Toho Gas Co., Ltd. 5,000 24,533 Toho Zinc Co., Ltd. 9,000 28,635 Tohoku Electric Power Co., Inc. 2,400 22,840 Tokai Carbon Co., Ltd. 2,000 6,417 Tokai Rika Co., Ltd. 900 15,641 Tokai Rubber Industries, Ltd. 500 5,172 Token Corp. 270 11,985 Tokio Marine Holdings, Inc. 6,000 176,796 Tokuyama Corp. 8,000 23,201 * Tokyo Electric Power Co., Inc. 6,200 23,450 Tokyo Electron, Ltd. 1,500 85,314 Tokyo Gas Co., Ltd. 5,000 26,197 Tokyo Seimitsu Co., Ltd. 700 11,796 Tokyo Steel Manufacturing Co., Ltd. 3,900 19,068 Tokyo Tatemono Co., Ltd. 9,000 71,773 Tokyo Tomin Bank, Ltd. (The) 700 7,263 Tokyu Corp. 4,000 25,193 TOMONY Holdings, Inc. 7,000 29,765 Tomy Co., Ltd. 2,600 12,338 TonenGeneral Sekiyu K.K. 2,000 18,892 Toppan Forms Co., Ltd. 2,100 19,295 # Toppan Printing Co., Ltd. 10,000 68,679 Topre Corp. 2,200 22,261 Topy Industries, Ltd. 7,000 11,853 # Toray Industries, Inc. 18,000 117,482 Toshiba Corp. 10,000 39,169 Toshiba Machine Co., Ltd. 3,000 13,473 Toshiba Plant Systems & Services Corp. 2,000 29,425 Toshiba TEC Corp. 4,000 26,059 Tosoh Corp. 12,000 45,791 CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- JAPAN -- (Continued) Totetsu Kogyo Co., Ltd. 1,100 $ 22,336 Towa Bank, Ltd. (The) 18,000 17,096 # Toyo Engineering Corp. 4,000 17,650 Toyo Ink SC Holdings Co., Ltd. 6,000 24,476 Toyo Kanetsu K.K. 5,000 11,902 Toyo Kohan Co., Ltd. 4,000 19,375 Toyo Seikan Group Holdings, Ltd. 3,000 44,616 Toyo Suisan Kaisha, Ltd. 1,000 32,031 Toyo Tire & Rubber Co., Ltd. 4,000 29,827 Toyobo Co., Ltd. 19,000 30,682 Toyoda Gosei Co., Ltd. 1,600 29,481 # Toyota Boshoku Corp. 1,100 11,371 Toyota Motor Corp. 1,860 100,492 Toyota Motor Corp. Sponsored ADR 4,548 493,094 Toyota Tsusho Corp. 3,200 84,285 Transcosmos, Inc. 1,200 22,372 Trend Micro, Inc. 500 16,174 Trusco Nakayama Corp. 300 6,761 Tsubakimoto Chain Co. 3,000 21,411 # Tsugami Corp. 2,000 11,363 Tsukuba Bank, Ltd. 2,900 10,464 UACJ Corp. 3,114 12,318 Ube Industries, Ltd. 29,000 49,132 * Ulvac, Inc. 1,300 24,638 Unicharm Corp. 500 27,114 Union Tool Co. 600 14,066 Unipres Corp. 1,100 21,253 UNY Group Holdings Co., Ltd. 3,700 23,878 #* Usen Corp. 2,900 10,700 Ushio, Inc. 1,700 22,205 USS Co., Ltd. 1,500 21,864 Valor Co., Ltd. 500 6,481 Wacoal Holdings Corp. 2,000 19,728 Wacom Co., Ltd. 2,900 18,966 Wakita & Co., Ltd. 1,000 11,351 West Japan Railway Co. 500 20,276 Xebio Co., Ltd. 700 12,946 Yahoo Japan Corp. 5,300 23,153 # Yamada Denki Co., Ltd. 20,500 75,737 # Yamagata Bank, Ltd. (The) 4,000 17,121 Yamaguchi Financial Group, Inc. 6,000 55,331 Yamaha Corp. 4,800 64,314 Yamaha Motor Co., Ltd. 4,100 63,291 Yamanashi Chuo Bank, Ltd. (The) 4,000 17,332 Yamatane Corp. 11,000 16,207 Yamato Holdings Co., Ltd. 1,200 24,694 Yamato Kogyo Co., Ltd. 900 25,954 # Yamazaki Baking Co., Ltd. 2,000 24,437 # Yaskawa Electric Corp. 1,000 11,276 Yokohama Reito Co., Ltd. 1,900 15,380 Yokohama Rubber Co., Ltd. (The) 5,000 44,660 CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ ----------- JAPAN -- (Continued) # Zensho Holdings Co., Ltd. 1,300 $ 13,142 ----------- TOTAL JAPAN 22,527,573 ----------- NETHERLANDS -- (2.3%) Aalberts Industries NV 1,726 57,496 # Accell Group 814 16,177 Aegon NV 21,943 201,139 Akzo Nobel NV 2,421 186,567 * AMG Advanced Metallurgical Group NV 1,751 17,613 * APERAM 1,479 38,481 Arcadis NV 1,414 50,257 # ArcelorMittal(B295F26) 10,210 165,913 ArcelorMittal(B03XPL1) 5,343 86,884 ASM International NV 792 34,661 ASML Holding NV(B908F01) 154 12,534 # ASML Holding NV(B929F46) 870 71,012 # BE Semiconductor Industries NV 935 15,955 BinckBank NV 1,231 13,909 Brunel International NV 136 9,213 Corbion NV 916 21,244 Delta Lloyd NV 5,490 144,486 Exact Holding NV 330 11,638 Fugro NV 1,470 97,409 # Gemalto NV 679 75,916 * Grontmij 1,062 5,682 Heijmans NV 1,418 25,439 * ING Groep NV 7,270 103,924 * ING Groep NV Sponsored ADR 15,410 220,363 KAS Bank NV 70 1,034 Koninklijke Ahold NV 10,990 212,461 # Koninklijke BAM Groep NV 8,796 47,694 Koninklijke Boskalis Westminster NV 1,434 81,274 * Koninklijke KPN NV 30,302 107,659 Koninklijke Ten Cate NV 885 26,368 # Koninklijke Vopak NV 984 49,063 Koninklijke Wessanen NV 3,571 21,098 Nutreco NV 1,320 61,450 * PostNL NV 9,281 40,793 Randstad Holding NV 2,267 132,483 # Reed Elsevier NV Sponsored ADR 952 40,022 #* Royal Imtech NV 9,393 18,313 * SBM Offshore NV 4,189 76,677 Sligro Food Group NV 627 26,242 # SNS Reaal NV 3,557 -- Telegraaf Media Groep NV 853 8,013 TKH Group NV 877 30,564 TNT Express NV 6,592 59,404 #* TomTom NV 3,459 24,526 Unilever NV(904784709) 623 26,677 # Unilever NV(B12T3J1) 2,259 96,868 USG People NV 877 15,173 # Wolters Kluwer NV 3,664 102,137 CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- NETHERLANDS -- (Continued) # Ziggo NV 1,452 $ 63,050 ---------- TOTAL NETHERLANDS 3,052,955 ---------- NEW ZEALAND -- (0.3%) Air New Zealand, Ltd. 11,327 20,525 Auckland International Airport, Ltd. 16,707 57,219 Chorus, Ltd. 10,565 16,142 Contact Energy, Ltd. 7,971 39,153 Fletcher Building, Ltd.(6341606) 6,671 56,726 Fletcher Building, Ltd.(6341617) 913 7,722 Infratil, Ltd. 10,572 20,982 Kathmandu Holdings, Ltd. 4,918 15,465 New Zealand Oil & Gas, Ltd. 729 487 New Zealand Refining Co., Ltd. (The) 4,103 6,649 Nuplex Industries, Ltd. 4,883 14,756 Port of Tauranga, Ltd. 2,031 25,221 Sky Network Television, Ltd. 3,260 18,816 Telecom Corp. of New Zealand, Ltd. 18,634 44,516 TrustPower, Ltd. 2,795 16,145 * Xero, Ltd. 3 83 ---------- TOTAL NEW ZEALAND 360,607 ---------- NORWAY -- (1.1%) # Aker ASA Class A 482 16,327 Aker Solutions ASA 750 12,017 # Atea ASA 2,400 27,586 Austevoll Seafood ASA 1,422 9,211 Bonheur ASA 128 2,489 BW Offshore, Ltd. 7,600 9,939 Cermaq ASA 1,600 18,912 #* Det Norske Oljeselskap ASA 799 8,738 # DNB ASA 7,134 126,454 * DNO International ASA 13,801 47,931 * DOF ASA 1,400 6,440 Ekornes ASA 300 4,747 # Eltek ASA 1,600 2,195 Evry ASA 2,789 4,820 Fred Olsen Energy ASA 566 18,055 # Gjensidige Forsikring ASA 1,999 36,891 Golden Ocean Group, Ltd. 21,290 37,756 * Hoegh LNG Holdings, Ltd. 100 977 * Kongsberg Automotive Holding ASA 28,148 28,297 # Kongsberg Gruppen A.S. 640 15,023 Kvaerner ASA 13,700 27,442 Leroy Seafood Group ASA 851 30,141 Marine Harvest ASA 5,000 61,325 # Norsk Hydro ASA 12,914 69,260 # Norsk Hydro ASA Sponsored ADR 3,400 18,292 * Norske Skogindustrier ASA 7,052 5,347 #* Norwegian Air Shuttle A.S. 891 35,472 # Orkla ASA 7,600 62,856 Prosafe SE 3,000 26,442 CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- NORWAY -- (Continued) #* REC Silicon ASA 60,049 $ 33,588 * REC Solar ASA 1,034 15,616 * Salmar ASA 616 8,917 # Schibsted ASA 342 19,679 Seadrill, Ltd. 818 28,622 * Sevan Marine ASA 744 2,980 * Songa Offshore 1,759 723 # SpareBank 1 SR Bank ASA 3,295 31,958 Statoil ASA 4,628 141,086 Statoil ASA Sponsored ADR 3,231 98,449 Stolt-Nielsen, Ltd. 218 5,894 * Storebrand ASA 9,866 55,381 Subsea 7 SA 3,474 69,564 # TGS Nopec Geophysical Co. ASA 305 10,521 # Tomra Systems ASA 2,200 20,471 # Veidekke ASA 1,440 15,449 # Wilh Wilhelmsen ASA 2,050 19,842 # Wilh Wilhelmsen Holding ASA Class A 350 11,104 # Yara International ASA 1,855 87,688 ---------- TOTAL NORWAY 1,448,914 ---------- PORTUGAL -- (0.3%) Altri SGPS SA 9,817 33,362 * Banco BPI SA 5,001 12,836 #* Banco Comercial Portugues SA 287,395 87,338 #* Banco Espirito Santo SA 30,233 53,589 EDP - Energias de Portugal SA 9,374 45,536 * EDP Renovaveis SA 2,445 16,767 Galp Energia SGPS SA 1,753 30,383 Jeronimo Martins SGPS SA 1,019 17,822 Mota-Engil SGPS SA 2,737 20,952 Portucel SA 3,351 15,889 Portugal Telecom SGPS SA 4,899 20,354 # Portugal Telecom SGPS SA Sponsored ADR 2,949 12,238 # REN - Redes Energeticas Nacionais SGPS SA 3,580 13,464 Semapa-Sociedade de Investimento e Gestao 897 13,446 Sonae 13,955 26,253 #* Sonae Industria SGPS SA 1,680 1,425 ZON Optimus SGPS SA 3,274 23,688 ---------- TOTAL PORTUGAL 445,342 ---------- SINGAPORE -- (1.4%) Boustead Singapore, Ltd. 24,000 36,303 * Broadway Industrial Group, Ltd. 3,000 660 Bukit Sembawang Estates, Ltd. 2,000 9,326 CapitaLand, Ltd. 34,000 87,015 City Developments, Ltd. 5,000 43,320 ComfortDelGro Corp., Ltd. 21,000 35,612 Cosco Corp. Singapore, Ltd. 14,000 8,063 CSE Global, Ltd. 19,000 9,023 DBS Group Holdings, Ltd. 10,453 141,608 * Delong Holdings, Ltd. 10,000 3,060 CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- SINGAPORE -- (Continued) Ezion Holdings, Ltd. 20,400 $ 37,084 Ezra Holdings, Ltd. 9,600 8,063 Far East Orchard, Ltd. 8,000 11,949 First Resources, Ltd. 12,000 24,645 Golden Agri-Resources, Ltd. 121,000 59,028 Goodpack, Ltd. 9,000 17,241 GuocoLand, Ltd. 12,000 20,417 Hongkong Land Holdings, Ltd. 3,000 21,026 Hotel Properties, Ltd. 7,000 20,763 Hutchison Port Holdings Trust 50,000 34,028 Indofood Agri Resources, Ltd. 6,000 5,110 Jardine Cycle & Carriage, Ltd. 1,000 37,496 Keppel Corp., Ltd. 3,300 27,766 Keppel Infrastructure Trust 600 503 Keppel Land, Ltd. 17,000 47,030 Keppel Telecommunications & Transportation, Ltd. 6,000 8,553 #* Linc Energy, Ltd. 3,880 3,652 M1, Ltd. 7,000 18,808 Midas Holdings, Ltd. 30,000 11,278 * Neptune Orient Lines, Ltd. 19,250 15,613 Noble Group, Ltd. 70,000 72,078 Olam International, Ltd. 35,000 62,455 OUE Hospitality Trust 833 578 OUE, Ltd. 5,000 9,065 Oversea-Chinese Banking Corp., Ltd. 10,291 79,366 * Raffles Education Corp., Ltd. 6,127 1,445 * S I2I, Ltd. 492,000 3,148 SATS, Ltd. 6,278 15,893 SembCorp Industries, Ltd. 9,000 38,638 # SembCorp Marine, Ltd. 4,400 14,310 Sinarmas Land, Ltd. 33,000 14,004 Singapore Airlines, Ltd. 8,600 71,298 Singapore Exchange, Ltd. 6,000 33,182 Singapore Post, Ltd. 14,000 15,817 # Singapore Press Holdings, Ltd. 6,000 20,064 Singapore Technologies Engineering, Ltd. 9,000 27,489 Singapore Telecommunications, Ltd. 22,000 67,389 # SMRT Corp., Ltd. 15,000 14,604 Stamford Land Corp., Ltd. 9,000 4,276 Swiber Holdings, Ltd. 3,000 1,535 Tat Hong Holdings, Ltd. 10,000 6,470 Triyards holdings, Ltd. 960 487 United Engineers, Ltd. 12,000 20,686 United Industrial Corp., Ltd. 15,000 40,114 United Overseas Bank, Ltd. 8,068 140,424 UOB-Kay Hian Holdings, Ltd. 12,000 16,129 UOL Group, Ltd. 9,000 46,208 * Vard Holdings, Ltd. 41,000 31,676 Venture Corp., Ltd. 9,000 55,126 Wilmar International, Ltd. 18,000 48,921 Wing Tai Holdings, Ltd. 10,000 15,994 Yeo Hiap Seng, Ltd. 1,767 3,301 CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- SINGAPORE -- (Continued) Yongnam Holdings, Ltd. 83,000 $ 15,939 ---------- TOTAL SINGAPORE 1,812,152 ---------- SPAIN -- (2.6%) Abengoa SA(BLM7FQ6) 12 67 Abengoa SA(BLM7FS8) 61 272 Abengoa SA(7174823) 505 2,810 Abengoa SA Class B 2,020 8,993 Abertis Infraestructuras SA 1,916 43,128 Acciona SA 375 30,505 Acerinox SA 2,857 49,967 ACS Actividades de Construccion y Servicios SA 947 40,633 Amadeus IT Holding SA Class A 1,745 72,575 * Atresmedia Corp de Medios de Comunicaion SA 1,085 15,612 Banco Bilbao Vizcaya Argentaria SA 15,903 195,888 # Banco Bilbao Vizcaya Argentaria SA Sponsored ADR 15,556 192,114 Banco de Sabadell SA 60,257 205,012 Banco Popular Espanol SA 19,619 144,568 Banco Santander SA 27,792 276,410 Banco Santander SA Sponsored ADR 38,868 387,125 * Bankia SA 8,460 17,281 Bankinter SA 9,264 70,929 Bolsas y Mercados Espanoles SA 711 30,975 # CaixaBank SA 17,918 109,205 * Cementos Portland Valderrivas SA 228 2,333 Cie Automotive SA 590 7,514 Construcciones y Auxiliar de Ferrocarriles SA 22 10,538 * Deoleo SA 3,188 1,748 Distribuidora Internacional de Alimentacion SA 4,398 39,342 Ebro Foods SA 994 22,904 Elecnor SA 157 2,257 Enagas SA 1,894 58,352 Ence Energia y Celulosa SA 3,302 9,726 Ferrovial SA 1,427 31,720 * Fomento de Construcciones y Contratas SA 1,348 29,735 * Gamesa Corp. Tecnologica SA 6,353 63,148 Gas Natural SDG SA 1,964 56,318 Grupo Catalana Occidente SA 923 36,115 #* Grupo Ezentis SA 4,029 6,599 Iberdrola SA 38,628 269,837 Inditex SA 347 52,136 Indra Sistemas SA 2,869 53,886 * Jazztel P.L.C. 3,054 46,903 Mapfre SA 5,877 24,786 * Mediaset Espana Comunicacion SA 4,163 46,195 Melia Hotels International SA 953 12,055 * NH Hoteles SA 2,275 14,535 Obrascon Huarte Lain SA 753 34,910 Papeles y Cartones de Europa SA 1,427 7,895 * Pescanova SA 468 -- * Promotora de Informaciones SA Class A 28,996 16,194 * Realia Business SA 10,596 19,589 CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- SPAIN -- (Continued) Red Electrica Corp. SA 667 $ 54,905 Repsol SA 4,683 126,074 Repsol SA Sponsored ADR 2,800 75,432 * Sacyr SA 3,026 19,933 Tecnicas Reunidas SA 630 37,947 Telefonica SA 1,427 23,948 # Telefonica SA Sponsored ADR 5,849 97,971 Tubacex SA 1,844 9,043 Tubos Reunidos SA 4,346 13,465 Vidrala SA 371 19,637 Viscofan SA 735 38,301 Zardoya Otis SA 1,361 23,869 ---------- TOTAL SPAIN 3,411,864 ---------- SWEDEN -- (2.9%) AarhusKarlshamn AB 500 33,482 AF AB Class B 785 28,509 # Alfa Laval AB 1,044 27,816 Assa Abloy AB Class B 1,322 70,165 # Atlas Copco AB Class A 705 20,503 # Atlas Copco AB Class B 777 21,193 Axfood AB 350 18,651 # Axis Communications AB 730 21,767 B&B Tools AB Class B 600 11,010 Beijer Alma AB 381 10,775 BillerudKorsnas AB 3,418 49,952 # Boliden AB 5,232 79,905 Castellum AB 2,708 46,179 Clas Ohlson AB Class B 566 12,554 # Concentric AB 1,052 14,884 Duni AB 1,648 27,528 Electrolux AB Series B 1,570 43,639 * Eniro AB 3,302 26,421 Fabege AB 1,782 25,033 # Haldex AB 2,000 25,654 Hennes & Mauritz AB Class B 1,528 62,545 Hexagon AB Class B 1,041 33,328 Hexpol AB 484 45,858 HIQ International AB(BLNMLM8) 4,169 25,328 * HIQ International AB(B97F1H4) 4,169 1,661 Holmen AB Class B 995 35,166 Husqvarna AB Class A 841 6,961 Husqvarna AB Class B 10,700 89,341 ICA Gruppen AB 1,767 59,435 Industrial & Financial Systems Class B 854 24,498 # Indutrade AB 472 20,540 # Intrum Justitia AB 596 17,279 # JM AB 1,200 40,776 * KappAhl AB 3,182 19,526 # Kungsleden AB 1,161 9,483 * Lindab International AB 3,397 42,350 Loomis AB Class B 1,195 32,596 CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- SWEDEN -- (Continued) * Lundin Petroleum AB 1,361 $ 29,216 Mekonomen AB 827 22,191 Millicom International Cellular SA 425 42,124 Modern Times Group AB Class B 763 34,043 NCC AB Class B 1,600 56,057 Nibe Industrier AB Class B 999 28,050 Nobia AB 4,200 38,231 Nordea Bank AB 21,743 315,069 # Nordnet AB Class B 4,500 22,147 #* PA Resources AB 48 50 Peab AB 6,107 47,285 # Ratos AB Class B 5,146 52,497 Saab AB Class B 1,066 32,756 Sandvik AB 1,412 20,067 #* SAS AB 13,509 29,051 Scania AB Class B 2,410 73,424 Securitas AB Class B 6,521 78,830 Skandinaviska Enskilda Banken AB Class A 12,952 178,905 Skanska AB Class B 7,733 177,544 SKF AB Class B 1,600 41,549 SkiStar AB 883 11,658 #* SSAB AB Class A 6,154 53,729 #* SSAB AB Class B 4,334 32,788 Svenska Cellulosa AB Class A 306 8,557 Svenska Cellulosa AB Class B 5,296 148,887 Svenska Handelsbanken AB Class A 3,640 183,092 Swedbank AB Class A 5,771 154,443 Tele2 AB Class B 6,791 86,783 Telefonaktiebolaget LM Ericsson Class A 436 5,026 Telefonaktiebolaget LM Ericsson Class B 3,149 37,972 Telefonaktiebolaget LM Ericsson Sponsored ADR 19,000 227,810 TeliaSonera AB 15,758 114,703 # Trelleborg AB Class B 5,898 126,197 Volvo AB Class A 1,258 20,254 Volvo AB Class B 3,023 47,867 # Wallenstam AB Class B 1,976 32,436 # Wihlborgs Fastigheter AB 1,441 27,782 ---------- TOTAL SWEDEN 3,821,361 ---------- SWITZERLAND -- (5.7%) ABB, Ltd. 14,101 339,497 # ABB, Ltd. Sponsored ADR 6,088 145,625 Adecco SA 1,572 131,973 AFG Arbonia-Forster Holding AG 555 18,502 Allreal Holding AG 202 28,486 Alpiq Holding AG 27 3,313 ams AG 403 60,761 Aryzta AG 2,090 193,190 Ascom Holding AG 1,836 34,155 Autoneum Holding AG 124 26,307 Baloise Holding AG 826 100,585 Bank Coop AG 87 4,254 CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- SWITZERLAND -- (Continued) Banque Cantonale Vaudoise 54 $ 32,054 Barry Callebaut AG 34 46,208 Belimo Holding AG 7 19,716 Bell AG 2 5,497 Berner Kantonalbank AG 107 26,251 BKW AG 158 5,805 * Bobst Group SA 277 14,099 Bucher Industries AG 173 56,351 Burckhardt Compression Holding AG 85 44,057 Cie Financiere Richemont SA 2,146 218,334 Clariant AG 5,437 107,217 Credit Suisse Group AG 10,947 347,049 Credit Suisse Group AG Sponsored ADR 6,711 212,537 Daetwyler Holding AG 116 18,341 * Dufry AG 437 72,322 # EFG International AG 1,159 14,686 Emmi AG 98 35,959 EMS-Chemie Holding AG 77 30,045 Energiedienst Holding AG 604 21,887 Flughafen Zuerich AG 73 46,054 Forbo Holding AG 27 27,948 GAM Holding AG 2,951 53,747 Gategroup Holding AG 383 11,934 Geberit AG 144 48,095 Georg Fischer AG 69 54,738 Givaudan SA 77 121,519 Gurit Holding AG 16 8,360 Helvetia Holding AG 171 85,235 Holcim, Ltd. 2,867 262,951 Huber & Suhner AG 120 6,601 Implenia AG 250 18,332 Inficon Holding AG 82 29,370 Intershop Holdings AG 72 27,829 Julius Baer Group, Ltd. 4,397 205,957 Kaba Holding AG Class B 37 17,823 Komax Holding AG 248 38,387 Kudelski SA 1,531 26,404 Kuehne + Nagel International AG 127 17,366 Kuoni Reisen Holding AG 105 46,369 Liechtensteinische Landesbank AG 96 4,752 Lindt & Spruengli AG 1 58,338 Logitech International SA 1,706 23,138 Luzerner Kantonalbank AG 70 28,807 Metall Zug AG 2 6,031 #* Meyer Burger Technology AG 1,488 18,397 Micronas Semiconductor Holding AG 845 7,523 Mobimo Holding AG 102 21,922 Nestle SA 15,515 1,199,065 OC Oerlikon Corp. AG 3,935 62,683 #* Orell Fuessli Holding AG 31 3,586 Panalpina Welttransport Holding AG 158 24,812 Partners Group Holding AG 164 44,906 CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- SWITZERLAND -- (Continued) PubliGroupe AG 64 $ 12,822 Rieter Holding AG 89 20,125 Romande Energie Holding SA 7 9,141 Schindler Holding AG 52 7,937 * Schmolz + Bickenbach AG 7,007 10,053 Schweiter Technologies AG 17 12,766 SGS SA 17 42,468 Sika AG 30 121,386 St Galler Kantonalbank AG 45 19,328 Sulzer AG 460 70,979 Swatch Group AG (The)(7184725) 248 159,474 Swatch Group AG (The)(7184736) 611 73,723 Swiss Life Holding AG 551 135,753 Swiss Re AG 4,151 362,968 Swisscom AG 118 71,789 * Swisslog Holding AG 12,929 14,864 Swissquote Group Holding SA 779 30,707 Syngenta AG 248 98,206 Syngenta AG ADR 700 54,985 Temenos Group AG 726 26,031 U-Blox AG 393 48,115 UBS AG(H89231338) 8,192 171,295 UBS AG(B18YFJ4) 12,111 253,288 Valiant Holding AG 297 32,883 Valora Holding AG 83 23,470 Vaudoise Assurances Holding SA Class B 16 7,310 Vetropack Holding AG 1 1,926 #* Von Roll Holding AG 3,134 6,090 Vontobel Holding AG 600 23,517 Zehnder Group AG 360 15,699 Zug Estates Holding AG 2 2,692 Zurich Insurance Group AG 1,668 478,313 ---------- TOTAL SWITZERLAND 7,494,145 ---------- UNITED KINGDOM -- (17.5%) Aberdeen Asset Management P.L.C. 11,695 86,501 Admiral Group P.L.C. 2,727 64,400 * Afren P.L.C. 28,429 75,514 African Barrick Gold P.L.C. 948 3,977 * Aga Rangemaster Group P.L.C. 1,374 4,039 Aggreko P.L.C. 1,200 32,027 Alent P.L.C. 5,870 31,585 AMEC P.L.C. 6,221 129,927 Amlin P.L.C. 11,811 89,299 Anglo American P.L.C. 7,706 206,005 Anglo Pacific Group P.L.C. 2,760 8,886 Anite P.L.C. 6,078 8,446 Antofagasta P.L.C. 2,036 27,134 ARM Holdings P.L.C. Sponsored ADR 1,864 84,849 Ashmore Group P.L.C. 4,410 26,195 Ashtead Group P.L.C. 11,656 172,697 Associated British Foods P.L.C. 1,573 78,981 CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- UNITED KINGDOM -- (Continued) Aviva P.L.C. 31,314 $ 279,064 Babcock International Group P.L.C. 4,864 98,175 BAE Systems P.L.C. 14,793 100,082 Balfour Beatty P.L.C. 19,493 92,574 Bank of Georgia Holdings P.L.C. 560 24,630 Barclays P.L.C. Sponsored ADR 29,855 510,819 Barratt Developments P.L.C. 27,835 174,085 BBA Aviation P.L.C. 10,853 56,939 Beazley P.L.C. 16,162 67,046 Bellway P.L.C. 3,060 74,519 Berendsen P.L.C. 4,540 79,341 Berkeley Group Holdings P.L.C. 2,385 92,542 BG Group P.L.C. 15,156 306,595 BG Group P.L.C. Sponsored ADR 7,000 142,520 BHP Billiton P.L.C. ADR 1,847 119,501 Bodycote P.L.C. 3,492 43,090 Booker Group P.L.C. 14,954 37,199 Bovis Homes Group P.L.C. 3,407 45,562 BP P.L.C. Sponsored ADR 27,397 1,386,836 Brewin Dolphin Holdings P.L.C. 8,248 44,992 British Polythene Industries P.L.C. 199 2,121 British Sky Broadcasting Group P.L.C. 2,334 34,736 British Sky Broadcasting Group P.L.C. Sponsored ADR 650 39,072 Britvic P.L.C. 2,726 33,387 BT Group P.L.C. 2,000 12,485 BT Group P.L.C. Sponsored ADR 2,400 150,408 Bunzl P.L.C. 2,322 66,158 Burberry Group P.L.C. 1,344 33,754 Cable & Wireless Communications P.L.C. 46,271 41,321 * Cairn Energy P.L.C. 5,769 17,968 Capita P.L.C. 3,947 72,378 Carillion P.L.C. 11,571 72,381 Carnival P.L.C. 367 14,672 Carnival P.L.C. ADR 1,600 63,856 Catlin Group, Ltd. 10,223 91,304 * Centamin P.L.C. 1,892 2,068 Centrica P.L.C. 24,920 138,980 Chemring Group P.L.C. 6,635 25,112 Chesnara P.L.C. 3,877 21,539 Cineworld Group P.L.C. 6,417 34,995 Clarkson P.L.C. 451 20,322 Close Brothers Group P.L.C. 2,986 70,533 Cobham P.L.C. 19,869 103,654 Coca-Cola HBC AG 765 19,387 Coca-Cola HBC AG ADR 810 20,404 * Colt Group SA 10,617 23,496 Compass Group P.L.C. 8,230 131,095 Computacenter P.L.C. 2,953 32,508 Connect Group P.L.C. 2,892 8,805 Cranswick P.L.C. 855 17,268 Croda International P.L.C. 1,303 56,751 CSR P.L.C. 4,055 39,400 CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- UNITED KINGDOM -- (Continued) Daily Mail & General Trust P.L.C. 4,069 $ 56,088 Dairy Crest Group P.L.C. 3,272 25,528 DCC P.L.C. 1,532 78,552 De La Rue P.L.C. 1,308 18,125 Debenhams P.L.C. 22,081 29,989 Development Securities P.L.C. 8,967 36,847 Devro P.L.C. 5,357 19,125 Dignity P.L.C. 535 12,931 Diploma P.L.C. 2,852 31,829 * Dixons Retail P.L.C. 62,916 47,852 Domino Printing Sciences P.L.C. 2,941 38,522 Drax Group P.L.C. 11,314 126,649 DS Smith P.L.C. 16,910 90,114 E2V Technologies P.L.C. 3,334 9,390 easyJet P.L.C. 2,947 81,545 Electrocomponents P.L.C. 6,138 30,257 Elementis P.L.C. 8,326 39,086 * EnQuest P.L.C. 22,302 51,763 * Enterprise Inns P.L.C. 21,041 48,571 * Essar Energy P.L.C. 4,852 5,506 Essentra P.L.C. 4,670 63,344 Euromoney Institutional Investor P.L.C. 183 3,303 * Evraz P.L.C. 3,308 5,395 Experian P.L.C. 3,075 59,123 F&C Asset Management P.L.C. 6,813 13,749 Fenner P.L.C. 7,156 50,067 Fidessa Group P.L.C. 721 27,322 * Findel P.L.C. 841 3,840 * Firstgroup P.L.C. 31,411 68,638 G4S P.L.C. 19,492 77,821 Galliford Try P.L.C. 1,931 38,870 * Gem Diamonds, Ltd. 2,700 7,575 GKN P.L.C. 23,695 154,041 Glencore Xstrata P.L.C. 51,395 277,314 Go-Ahead Group P.L.C. 487 16,241 Grafton Group P.L.C. 4,956 48,747 Greencore Group P.L.C. 15,232 67,276 Greggs P.L.C. 1,490 13,477 Halfords Group P.L.C. 4,424 33,197 Hargreaves Lansdown P.L.C. 1,598 31,634 Hays P.L.C. 7,814 19,935 Helical Bar P.L.C. 3,459 21,224 Henderson Group P.L.C. 19,149 81,356 * Heritage Oil P.L.C. 4,505 24,049 Hill & Smith Holdings P.L.C. 3,928 37,103 Hiscox, Ltd. 8,198 97,806 Home Retail Group P.L.C. 24,821 85,764 Homeserve P.L.C. 6,831 38,969 Howden Joinery Group P.L.C. 9,342 51,432 HSBC Holdings P.L.C. Sponsored ADR 25,824 1,325,288 Hunting P.L.C. 2,655 38,010 Huntsworth P.L.C. 9,410 9,541 CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- UNITED KINGDOM -- (Continued) ICAP P.L.C. 12,772 $ 89,466 IG Group Holdings P.L.C. 5,689 61,177 IMI P.L.C. 2,461 62,427 Inchcape P.L.C. 9,922 107,785 Informa P.L.C. 9,967 81,394 Inmarsat P.L.C. 7,512 92,431 * Innovation Group P.L.C. 35,464 19,007 InterContinental Hotels Group P.L.C. ADR 1,493 51,389 * International Consolidated Airlines Group SA 22,557 154,268 Interserve P.L.C. 2,216 24,835 Intertek Group P.L.C. 1,135 55,909 Investec P.L.C. 12,086 106,644 * IP Group P.L.C. 50 145 ITV P.L.C. 22,994 70,732 J Sainsbury P.L.C. 17,515 99,359 James Fisher & Sons P.L.C. 588 12,823 Jardine Lloyd Thompson Group P.L.C. 1,972 35,189 JD Sports Fashion P.L.C. 489 14,511 JD Wetherspoon P.L.C. 1,890 26,927 * JKX Oil & Gas P.L.C. 3,242 2,989 John Wood Group P.L.C. 5,971 79,174 Johnson Matthey P.L.C. 2,129 117,761 * Johnston Press P.L.C. 9,724 4,150 Jupiter Fund Management P.L.C. 4,951 32,534 * Kazakhmys P.L.C. 3,030 12,209 Kcom Group P.L.C. 8,494 13,512 Keller Group P.L.C. 1,423 24,008 Kier Group P.L.C. 385 10,821 Kingfisher P.L.C. 26,248 185,741 Laird P.L.C. 6,889 32,377 * Lamprell P.L.C. 2,548 6,607 Lancashire Holdings, Ltd. 2,958 34,975 Legal & General Group P.L.C. 68,955 246,841 * Lloyds Banking Group P.L.C. 26,361 33,616 #* Lloyds Banking Group P.L.C. ADR 66,758 345,139 London Stock Exchange Group P.L.C. 2,568 78,700 * Lonmin P.L.C. 13,958 66,967 Lookers P.L.C. 4,741 11,191 Low & Bonar P.L.C. 7,100 9,973 Man Group P.L.C. 41,451 69,175 Marks & Spencer Group P.L.C. 10,233 76,505 Marshalls P.L.C. 2,962 8,868 McBride P.L.C. 5,164 8,577 Mears Group P.L.C. 3,694 31,309 Meggitt P.L.C. 16,309 131,550 Melrose Industries P.L.C. 25,409 122,703 Michael Page International P.L.C. 4,900 38,920 Millennium & Copthorne Hotels P.L.C. 4,587 43,061 * Mitchells & Butlers P.L.C. 6,562 48,890 Mitie Group P.L.C. 7,518 40,497 Mondi P.L.C. 7,295 121,271 Moneysupermarket.com Group P.L.C. 1,933 5,963 CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- UNITED KINGDOM -- (Continued) Morgan Advanced Materials P.L.C. 5,206 $ 29,465 Morgan Sindall Group P.L.C. 778 10,401 N Brown Group P.L.C. 2,652 22,985 National Express Group P.L.C. 13,863 65,398 National Grid P.L.C. Sponsored ADR 2,716 192,999 Next P.L.C. 805 88,809 Northgate P.L.C. 3,835 33,570 Novae Group P.L.C. 2,345 21,466 Old Mutual P.L.C. 57,194 193,319 Pace P.L.C. 6,191 38,149 # Pearson P.L.C. Sponsored ADR 9,414 176,701 Pendragon P.L.C. 30,527 16,030 Pennon Group P.L.C. 8,133 104,116 * Persimmon P.L.C. 6,375 141,474 * Petra Diamonds, Ltd. 4,104 11,321 Petrofac, Ltd. 300 7,363 Petropavlovsk P.L.C. 3,187 3,668 Phoenix Group Holdings 4,723 54,464 Phoenix IT Group, Ltd. 1,920 3,576 Premier Farnell P.L.C. 3,194 12,016 * Premier Foods P.L.C. 28,858 28,047 Premier Oil P.L.C. 13,691 78,395 Prudential P.L.C. ADR 6,900 318,711 * Punch Taverns P.L.C. 12,288 2,911 PZ Cussons P.L.C. 1,245 7,287 QinetiQ Group P.L.C. 15,195 54,136 * Quintain Estates & Development P.L.C. 14,008 23,997 Randgold Resources, Ltd. 235 18,890 Redrow P.L.C. 6,636 32,117 Reed Elsevier P.L.C. Sponsored ADR 1,125 66,532 Regus P.L.C. 13,221 46,752 Renishaw P.L.C. 991 30,480 Rentokil Initial P.L.C. 26,515 53,427 Resolution, Ltd. 41,151 207,600 Restaurant Group P.L.C. (The) 1,638 17,296 Rexam P.L.C. 14,185 118,924 Rio Tinto P.L.C. 948 51,541 # Rio Tinto P.L.C. Sponsored ADR 7,139 387,576 Rolls-Royce Holdings P.L.C. 2,292 40,712 Rotork P.L.C. 944 41,400 * Royal Bank of Scotland Group P.L.C. Sponsored ADR 9,206 93,533 Royal Dutch Shell P.L.C. ADR(780259206) 10,328 813,227 # Royal Dutch Shell P.L.C. ADR(780259107) 15,447 1,307,589 RPC Group P.L.C. 4,520 45,809 RPS Group P.L.C. 5,472 27,368 RSA Insurance Group P.L.C. 103,143 171,260 Sage Group P.L.C. (The) 15,590 112,458 * Salamander Energy P.L.C. 2,521 5,711 Savills P.L.C. 3,502 35,488 Schroders P.L.C.(0239581) 320 10,543 Schroders P.L.C.(0240549) 817 35,332 SDL P.L.C. 2,030 10,343 CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- UNITED KINGDOM -- (Continued) Senior P.L.C. 9,084 $ 43,903 Serco Group P.L.C. 7,406 42,212 * Severfield-Rowen P.L.C. 5,353 5,533 Severn Trent P.L.C. 2,170 67,642 Shanks Group P.L.C. 13,706 23,661 SIG P.L.C. 12,895 41,791 Soco International P.L.C. 7,337 53,624 Spectris P.L.C. 1,856 69,835 Speedy Hire P.L.C. 20,261 19,291 Spirax-Sarco Engineering P.L.C. 764 37,472 Spirent Communications P.L.C. 19,193 30,897 Spirit Pub Co. P.L.C. 26,574 35,230 * Sports Direct International P.L.C. 1,936 25,671 SSE P.L.C. 4,486 115,678 St Ives P.L.C. 388 1,300 St James's Place P.L.C. 6,128 79,864 ST Modwen Properties P.L.C. 7,361 46,221 Stagecoach Group P.L.C. 10,969 68,785 Standard Chartered P.L.C. 12,061 261,208 Standard Life P.L.C. 23,988 155,082 * SuperGroup P.L.C. 668 15,016 Synthomer P.L.C. 9,204 41,028 TalkTalk Telecom Group P.L.C. 8,160 39,546 Tate & Lyle P.L.C. 6,232 73,878 Taylor Wimpey P.L.C. 80,611 143,362 Telecity Group P.L.C. 2,044 24,790 Tesco P.L.C. 77,518 384,018 * Thomas Cook Group P.L.C. 24,336 71,940 Topps Tiles P.L.C. 4,341 9,445 Travis Perkins P.L.C. 6,328 182,691 * Trinity Mirror P.L.C. 7,656 22,437 TT electronics P.L.C. 3,593 12,704 TUI Travel P.L.C. 7,598 54,958 Tullett Prebon P.L.C. 4,980 26,768 Tullow Oil P.L.C. 2,740 40,758 UBM P.L.C. 921 10,245 Ultra Electronics Holdings P.L.C. 1,481 42,467 Unilever P.L.C. Sponsored ADR 1,800 80,532 Unite Group P.L.C. (The) 361 2,578 United Utilities Group P.L.C. 8,388 112,827 Vedanta Resources P.L.C. 2,812 45,029 Vesuvius P.L.C. 6,354 44,818 Vodafone Group P.L.C. 16,629 63,135 Vodafone Group P.L.C. Sponsored ADR 15,694 595,758 Weir Group P.L.C. (The) 945 42,985 WH Smith P.L.C. 2,310 42,840 Whitbread P.L.C. 1,943 134,020 WM Morrison Supermarkets P.L.C. 46,223 156,912 Wolseley P.L.C. 1,318 76,374 Wolseley P.L.C. ADR 2,684 15,672 # WPP P.L.C. Sponsored ADR 2,100 226,653 WS Atkins P.L.C. 1,777 38,540 CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED SHARES VALUE++ --------- ------------ UNITED KINGDOM -- (Continued) Xchanging P.L.C. 9,112 $ 24,510 ------------ TOTAL UNITED KINGDOM 23,098,419 ------------ UNITED STATES -- (0.0%) * Chaparral Gold Corp. 500 292 * Kofax, Ltd. 1,336 10,036 ------------ TOTAL UNITED STATES 10,328 ------------ TOTAL COMMON STOCKS 116,714,984 ------------ PREFERRED STOCKS -- (0.0%) UNITED KINGDOM -- (0.0%) McBride P.L.C. 87,788 148 Rolls-Royce Holdings P.L.C. 307,128 519 ------------ TOTAL UNITED KINGDOM 667 ------------ TOTAL PREFERRED STOCKS 667 ------------ RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) #* Aquarius Platinum, Ltd. Rights 05/14/14 21,624 2,310 * Bank of Queensland, Ltd. Rights 05/09/14 920 -- ------------ TOTAL AUSTRALIA 2,310 ------------ FRANCE -- (0.0%) * Peugeot SA Warrants 04/29/17 5,792 11,081 ------------ HONG KONG -- (0.0%) * Sun Hung Kai Properties 04/22/16 1,083 741 ------------ ISRAEL -- (0.0%) * Africa Israel Investments, Ltd. Rights 05/01/14 43 37 ------------ PORTUGAL -- (0.0%) * Mota-Engil SGPS SA Rights 12/31/49 2,737 2,160 ------------ SPAIN -- (0.0%) * Banco Santander SA 27,792 5,880 ------------ UNITED KINGDOM -- (0.0%) * Babcock International Group P.L.C. Rights 05/06/14 1,871 12,634 ------------ TOTAL RIGHTS/WARRANTS 34,843 ------------ SHARES/ FACE AMOUNT (000) VALUE+ --------- ------------ SECURITIES LENDING COLLATERAL -- (11.4%) (S)@ DFA Short Term Investment Fund 1,293,622 14,967,209 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $127,583,520) $131,717,703 ============ CSTG&E INTERNATIONAL SOCIAL CORE EQUITY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, 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 $ 487,882 $ 6,816,754 -- $ 7,304,636 Austria 8,832 733,690 -- 742,522 Belgium 82,192 1,283,103 -- 1,365,295 Canada 11,017,212 4,606 -- 11,021,818 China -- 881 -- 881 Denmark -- 1,356,844 -- 1,356,844 Finland 284,173 1,978,077 -- 2,262,250 France 1,066,142 8,891,736 -- 9,957,878 Germany 651,607 6,778,198 -- 7,429,805 Greece -- -- -- -- Hong Kong -- 3,130,595 -- 3,130,595 Ireland 130,562 540,498 -- 671,060 Israel 37,282 510,580 -- 547,862 Italy 362,330 3,077,548 -- 3,439,878 Japan 1,115,210 21,412,363 -- 22,527,573 Netherlands 465,509 2,587,446 -- 3,052,955 New Zealand -- 360,607 -- 360,607 Norway 116,741 1,332,173 -- 1,448,914 Portugal 12,238 433,104 -- 445,342 Singapore -- 1,812,152 -- 1,812,152 Spain 752,981 2,658,883 -- 3,411,864 Sweden 229,471 3,591,890 -- 3,821,361 Switzerland 584,442 6,909,703 -- 7,494,145 United Kingdom 8,515,564 14,582,855 -- 23,098,419 United States 292 10,036 -- 10,328 Preferred Stocks United Kingdom -- 667 -- 667 Rights/Warrants Australia -- 2,310 -- 2,310 France -- 11,081 -- 11,081 Hong Kong -- 741 -- 741 Israel -- 37 -- 37 Portugal -- 2,160 -- 2,160 Spain -- 5,880 -- 5,880 United Kingdom -- 12,634 -- 12,634 Securities Lending Collateral -- 14,967,209 -- 14,967,209 ----------- ------------ -- ------------ TOTAL $25,920,662 $105,797,041 -- $131,717,703 =========== ============ == ============ VA U.S. TARGETED VALUE PORTFOLIO SCHEDULE OF INVESTMENTS APRIL 30, 2014 (UNAUDITED) SHARES VALUE+ ------ -------- COMMON STOCKS -- (82.0%) Consumer Discretionary -- (10.1%) * 1-800-Flowers.com, Inc. Class A 6,817 $ 37,153 Aaron's, Inc. 7,861 231,664 AH Belo Corp. Class A 5,125 58,989 #* ALCO Stores, Inc. 1,100 11,099 * Ambassadors Group, Inc. 113 479 #* America's Car-Mart, Inc. 312 11,276 Ark Restaurants Corp. 411 8,726 * Ascena Retail Group, Inc. 1,315 22,618 #* Ascent Capital Group, Inc. Class A 1,823 125,368 * Ballantyne Strong, Inc. 3,604 16,290 #* Barnes & Noble, Inc. 12,543 205,705 Bassett Furniture Industries, Inc. 2,400 33,096 # Beasley Broadcasting Group, Inc. Class A 1,850 14,245 * Beazer Homes USA, Inc. 246 4,664 # bebe stores, Inc. 16,300 82,315 # Big 5 Sporting Goods Corp. 547 6,679 * Biglari Holdings, Inc. 372 159,595 Bob Evans Farms, Inc. 6,934 324,997 #* Books-A-Million, Inc. 2,707 6,389 # Bowl America, Inc. Class A 120 1,767 #* Boyd Gaming Corp. 10,794 127,585 #* Bridgepoint Education, Inc. 166 2,631 Brown Shoe Co., Inc. 10,800 254,772 * Build-A-Bear Workshop, Inc. 4,475 50,209 #* Cabela's, Inc. 536 35,167 #* Cache, Inc. 4,063 10,808 #* Caesars Entertainment Corp. 570 10,528 # Callaway Golf Co. 8,120 70,725 #* Cambium Learning Group, Inc. 2,293 5,136 * Canterbury Park Holding Corp. 332 3,735 * Career Education Corp. 18,900 136,458 # Carriage Services, Inc. 4,499 72,389 * Carrols Restaurant Group, Inc. 5,482 36,784 * Cavco Industries, Inc. 1,469 114,509 #* Central European Media Enterprises, Ltd. Class A 13,696 37,527 #* Charles & Colvard, Ltd. 863 1,873 Chico's FAS, Inc. 9,946 157,942 # Children's Place Retail Stores, Inc. (The) 900 43,200 * Christopher & Banks Corp. 350 2,184 Churchill Downs, Inc. 3,200 281,056 Cinemark Holdings, Inc. 942 27,902 * Citi Trends, Inc. 3,458 58,751 * Coast Distribution System, Inc. (The) 800 2,560 * Cobra Electronics Corp. 1,000 3,300 Columbia Sportswear Co. 121 10,404 #* Conn's, Inc. 100 4,423 Core-Mark Holding Co., Inc. 3,111 250,560 #* Corinthian Colleges, Inc. 20,453 23,521 * Crocs, Inc. 5,263 79,629 CSS Industries, Inc. 2,542 60,932 CTC Media, Inc. 908 7,872 VA U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Consumer Discretionary -- (Continued) Culp, Inc. 907 $ 16,371 * Cumulus Media, Inc. Class A 27,627 177,089 # Darden Restaurants, Inc. 6,546 325,402 #* dELiA*s, Inc. 4,300 3,633 * Delta Apparel, Inc. 1,640 24,977 #* Destination XL Group, Inc. 6,300 34,020 # DeVry Education Group, Inc. 14,803 666,579 Dillard's, Inc. Class A 7,314 716,260 DineEquity, Inc. 1,621 122,888 * Dixie Group, Inc. (The) 3,300 49,731 * Dover Downs Gaming & Entertainment, Inc. 937 1,359 Dover Motorsports, Inc. 3,360 7,862 #* Education Management Corp. 848 3,367 * Emerson Radio Corp. 2,934 5,956 #* Entercom Communications Corp. Class A 2,272 24,538 * Entertainment Gaming Asia, Inc. 800 681 # Escalade, Inc. 794 11,688 #* EW Scripps Co. Class A 9,017 154,461 (o)#* FAB Universal Corp. 1,050 2,418 #* Federal-Mogul Holdings Corp. 11,873 204,453 Finish Line, Inc. (The) Class A 2,811 77,387 Flexsteel Industries, Inc. 745 25,568 Foot Locker, Inc. 5,621 261,545 Fred's, Inc. Class A 8,542 155,635 Frisch's Restaurants, Inc. 439 10,396 #* Fuel Systems Solutions, Inc. 5,203 54,527 * Full House Resorts, Inc. 1,609 3,210 #* G-III Apparel Group, Ltd. 2,120 152,152 * Gaiam, Inc. Class A 1,255 9,262 # GameStop Corp. Class A 13,945 553,338 * Gaming Partners International Corp. 300 2,535 Gannett Co., Inc. 15,332 416,570 #* Genesco, Inc. 2,288 174,735 Graham Holdings Co. Class B 910 610,819 #* Gray Television, Inc. 16,055 180,619 * Gray Television, Inc. Class A 700 6,478 # Group 1 Automotive, Inc. 4,731 341,247 # Harte-Hanks, Inc. 8,095 65,084 * Hastings Entertainment, Inc. 3,200 9,440 Haverty Furniture Cos., Inc. 5,157 131,710 * Helen of Troy, Ltd. 7,600 476,520 * Here Media, Inc. 340 -- * Here Media, Inc. Special Shares 340 -- #* hhgregg, Inc. 1,188 10,241 * Hollywood Media Corp. 1,384 1,730 # Hooker Furniture Corp. 2,723 37,714 #* Iconix Brand Group, Inc. 10,945 465,162 International Speedway Corp. Class A 5,584 175,561 * Isle of Capri Casinos, Inc. 5,803 39,460 # JAKKS Pacific, Inc. 539 4,722 John Wiley & Sons, Inc. Class A 404 23,214 Johnson Outdoors, Inc. Class A 2,148 44,958 VA U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Consumer Discretionary -- (Continued) * Journal Communications, Inc. Class A 10,623 $ 85,196 * Kirkland's, Inc. 108 1,848 La-Z-Boy, Inc. 1,226 29,706 #* Lakeland Industries, Inc. 2,120 15,052 * Lazare Kaplan International, Inc. 1,563 3,087 Lear Corp. 5,247 435,816 Lennar Corp. Class B 1,698 55,219 * Liberty Ventures Series A 3,806 220,900 Lifetime Brands, Inc. 3,674 70,173 Lithia Motors, Inc. Class A 341 25,329 * Live Nation Entertainment, Inc. 18,518 386,656 #* Luby's, Inc. 7,944 43,056 * M/I Homes, Inc. 2,943 65,541 Marcus Corp. (The) 4,702 78,664 * MarineMax, Inc. 7,157 114,941 * Marriott Vacations Worldwide Corp. 6,176 336,468 # Matthews International Corp. Class A 32 1,291 * McClatchy Co. (The) Class A 4,850 26,578 # MDC Holdings, Inc. 5,405 149,178 #* Media General, Inc. Class A 5,800 88,856 Men's Wearhouse, Inc. (The) 12,021 569,555 Meredith Corp. 6,754 297,649 * Meritage Homes Corp. 3,241 125,038 * Modine Manufacturing Co. 13,495 222,398 * Monarch Casino & Resort, Inc. 2,145 34,406 * Motorcar Parts of America, Inc. 1,030 28,263 Movado Group, Inc. 4,151 163,051 * MTR Gaming Group, Inc. 5,500 27,830 * Murphy USA, Inc. 2,346 99,705 NACCO Industries, Inc. Class A 1,777 95,229 #* Office Depot, Inc. 20,531 83,972 * Orient-Express Hotels, Ltd. Class A 19,121 250,485 Penske Automotive Group, Inc. 5,143 235,858 #* Pep Boys-Manny, Moe & Jack (The) 13,680 139,810 #* Perfumania Holdings, Inc. 1,390 9,216 * Perry Ellis International, Inc. 3,987 60,204 #* Pinnacle Entertainment, Inc. 2,795 65,040 PulteGroup, Inc. 5,475 100,685 #* Quiksilver, Inc. 14,008 89,931 * Radio One, Inc. Class D 3,383 15,291 #* RadioShack Corp. 3,671 5,250 #* Reading International, Inc. Class A 1,086 7,689 * Red Lion Hotels Corp. 4,230 24,322 # Regis Corp. 13,290 174,631 # Rent-A-Center, Inc. 10,115 295,459 RG Barry Corp. 958 17,512 #* Rick's Cabaret International, Inc. 2,700 27,270 Rocky Brands, Inc. 1,900 27,816 #* Ruby Tuesday, Inc. 17,122 132,011 # Ryland Group, Inc. (The) 4,168 160,009 Saga Communications, Inc. Class A 2,276 100,827 Salem Communications Corp. Class A 4,900 43,169 VA U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------ ----------- Consumer Discretionary -- (Continued) # Scholastic Corp. 6,726 $ 221,353 Service Corp. International 3,887 72,959 #* Shiloh Industries, Inc. 5,891 116,288 Shoe Carnival, Inc. 5,209 118,974 Signet Jewelers, Ltd. 1,789 181,261 * Sizmek, Inc. 7,844 75,145 * Skechers U.S.A., Inc. Class A 9,134 374,403 * Skullcandy, Inc. 6,409 49,349 * Skyline Corp. 1,691 8,624 # Sonic Automotive, Inc. Class A 5,187 126,252 #* Spanish Broadcasting System, Inc. Class A 78 495 Spartan Motors, Inc. 7,754 41,174 # Speedway Motorsports, Inc. 10,592 192,668 * Sport Chalet, Inc. Class A 4,484 5,067 * Sport Chalet, Inc. Class B 150 190 # Stage Stores, Inc. 6,632 127,202 Standard Motor Products, Inc. 5,844 222,014 * Stanley Furniture Co., Inc. 3,305 9,651 Stein Mart, Inc. 4,258 53,225 * Stoneridge, Inc. 7,811 83,500 # Superior Industries International, Inc. 5,967 126,142 # Superior Uniform Group, Inc. 2,295 37,317 #* Systemax, Inc. 2,377 41,098 * Toll Brothers, Inc. 3,252 111,348 Trans World Entertainment Corp. 8,600 28,122 #* Tuesday Morning Corp. 1,300 18,174 * Unifi, Inc. 4,872 107,866 * Universal Electronics, Inc. 1,453 54,270 * Visteon Corp. 392 34,030 #* Vitamin Shoppe, Inc. 726 34,761 #* VOXX International Corp. 4,853 57,023 * Wells-Gardner Electronics Corp. 1,121 1,917 # Wendy's Co. (The) 87,792 729,551 * West Marine, Inc. 6,279 67,185 #* Wet Seal, Inc. (The) Class A 910 1,028 Weyco Group, Inc. 493 12,369 #* Zale Corp. 4,817 103,036 ----------- Total Consumer Discretionary 20,031,625 ----------- Consumer Staples -- (2.6%) # Alico, Inc. 767 26,784 * Alliance One International, Inc. 17,363 44,623 Andersons, Inc. (The) 6,189 385,513 #* Boulder Brands, Inc. 10,495 154,906 # Cal-Maine Foods, Inc. 2,400 143,112 # Casey's General Stores, Inc. 2,430 166,844 CCA Industries, Inc. 400 1,212 * Central Garden and Pet Co. 2,954 24,016 * Central Garden and Pet Co. Class A 9,618 79,541 * Chiquita Brands International, Inc. 10,547 121,079 * Constellation Brands, Inc. Class A 2,229 177,963 * Craft Brew Alliance, Inc. 3,112 46,587 VA U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Consumer Staples -- (Continued) # Dean Foods Co. 7,569 $ 119,893 Energizer Holdings, Inc. 1,180 131,794 * Farmer Bros. Co. 4,300 84,753 # Fresh Del Monte Produce, Inc. 13,128 379,268 Golden Enterprises, Inc. 678 2,983 # Griffin Land & Nurseries, Inc. 390 11,388 Ingles Markets, Inc. Class A 3,539 81,362 Ingredion, Inc. 2,636 185,706 Inter Parfums, Inc. 1,206 44,127 # John B. Sanfilippo & Son, Inc. 1,796 41,398 * Mannatech, Inc. 682 11,096 # MGP Ingredients, Inc. 4,280 24,995 * Nutraceutical International Corp. 2,600 64,792 Oil-Dri Corp. of America 882 29,556 * Omega Protein Corp. 5,772 65,570 # Orchids Paper Products Co. 795 21,362 * Pantry, Inc. (The) 7,260 109,190 #* Post Holdings, Inc. 7,545 394,302 # Sanderson Farms, Inc. 1,861 153,104 #* Seaboard Corp. 196 477,848 #* Seneca Foods Corp. Class A 1,129 32,064 # Snyder's-Lance, Inc. 3,100 82,336 Spartan Stores, Inc. 8,866 190,974 Spectrum Brands Holdings, Inc. 2,026 155,657 #* Susser Holdings Corp. 2,447 189,349 * TreeHouse Foods, Inc. 4,163 311,559 # Universal Corp. 3,612 197,107 # Village Super Market, Inc. Class A 726 17,562 # Weis Markets, Inc. 6,017 277,323 ---------- Total Consumer Staples 5,260,598 ---------- Energy -- (9.8%) Adams Resources & Energy, Inc. 489 35,237 Alon USA Energy, Inc. 6,477 105,510 #* Alpha Natural Resources, Inc. 24,338 104,653 # Arch Coal, Inc. 4,886 22,378 * Atwood Oceanics, Inc. 6,568 325,510 * Barnwell Industries, Inc. 480 1,476 * Basic Energy Services, Inc. 9,941 262,641 #* Bill Barrett Corp. 4,418 104,618 Bolt Technology Corp. 1,400 23,632 * Bonanza Creek Energy, Inc. 164 7,974 #* BPZ Resources, Inc. 16,646 44,944 Bristow Group, Inc. 5,612 431,002 * C&J Energy Services, Inc. 349 10,491 #* Cal Dive International, Inc. 15,652 23,165 * Callon Petroleum Co. 13,558 124,462 * Carrizo Oil & Gas, Inc. 649 35,708 #* Clayton Williams Energy, Inc. 624 90,155 * Cloud Peak Energy, Inc. 8,161 160,690 # Comstock Resources, Inc. 11,486 319,311 * Contango Oil & Gas Co. 1,493 71,724 VA U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Energy -- (Continued) # Dawson Geophysical Co. 2,215 $ 62,596 Delek US Holdings, Inc. 14,271 456,529 # Denbury Resources, Inc. 38,940 654,971 DHT Holdings, Inc. 775 6,053 #* Endeavour International Corp. 10,559 36,323 # Energy XXI Bermuda, Ltd. 11,876 284,193 * ENGlobal Corp. 2,200 4,708 * EPL Oil & Gas, Inc. 6,069 237,541 * Era Group, Inc. 4,052 115,685 * Escalera Resources Co. 1,300 3,549 Exterran Holdings, Inc. 15,632 672,489 * Forum Energy Technologies, Inc. 838 25,023 # Green Plains Renewable Energy, Inc. 8,643 258,426 Gulf Island Fabrication, Inc. 2,703 54,222 Gulfmark Offshore, Inc. Class A 5,554 249,985 #* Harvest Natural Resources, Inc. 7,276 32,815 #* Helix Energy Solutions Group, Inc. 15,510 372,860 #* Hercules Offshore, Inc. 20,035 89,556 #* Hornbeck Offshore Services, Inc. 6,159 255,167 * Key Energy Services, Inc. 34,852 349,914 Knightsbridge Tankers, Ltd. 8,200 97,990 * Kodiak Oil & Gas Corp. 2,174 27,632 #* Lucas Energy, Inc. 3,400 2,132 #* Magnum Hunter Resources Corp. 10,110 85,935 #* Matador Resources Co. 1,648 47,331 * Matrix Service Co. 3,683 114,062 #* McDermott International, Inc. 1,307 9,450 * Mexco Energy Corp. 100 725 #* Miller Energy Resources, Inc. 2,236 10,777 * Mitcham Industries, Inc. 1,387 19,141 Nabors Industries, Ltd. 43,157 1,101,367 * Natural Gas Services Group, Inc. 2,866 87,958 * Newfield Exploration Co. 14,215 481,178 #* Newpark Resources, Inc. 19,591 235,876 # Nordic American Tankers, Ltd. 841 7,258 #* Northern Oil and Gas, Inc. 6,036 93,135 * Oil States International, Inc. 775 75,283 #* Overseas Shipholding Group, Inc. 2,316 13,201 * Pacific Drilling SA 1,847 18,304 * Parker Drilling Co. 30,804 204,230 Patterson-UTI Energy, Inc. 21,500 699,395 * PDC Energy, Inc. 6,007 382,466 Peabody Energy Corp. 2,205 41,917 * Penn Virginia Corp. 21,837 363,368 * PHI, Inc. Non-Voting 3,000 134,400 * Pioneer Energy Services Corp. 14,053 210,373 QEP Resources, Inc. 16,286 499,817 * Renewable Energy Group, Inc. 11,223 132,095 * REX American Resources Corp. 2,075 135,622 * Rex Energy Corp. 8,678 182,759 #* Rosetta Resources, Inc. 1,668 78,963 * Rowan Cos. P.L.C. Class A 18,242 564,043 VA U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------ ----------- Energy -- (Continued) #* SandRidge Energy, Inc. 34,689 $ 237,966 Scorpio Tankers, Inc. 367 3,307 * SEACOR Holdings, Inc. 4,516 376,589 Ship Finance International, Ltd. 6,844 120,660 SM Energy Co. 2,112 156,563 * Steel Excel, Inc. 3,594 116,446 * Stone Energy Corp. 11,822 579,869 Superior Energy Services, Inc. 21,870 719,960 #* Swift Energy Co. 8,400 103,572 #* Synthesis Energy Systems, Inc. 6,200 10,726 # Teekay Corp. 6,873 385,644 * Tesco Corp. 11,009 220,180 Tesoro Corp. 10,151 571,400 * TETRA Technologies, Inc. 16,858 210,725 Tidewater, Inc. 7,300 371,789 #* Triangle Petroleum Corp. 6,236 59,990 * Unit Corp. 8,595 566,840 #* Vaalco Energy, Inc. 7,136 65,794 # W&T Offshore, Inc. 6,873 131,962 * Warren Resources, Inc. 2,458 12,462 # Western Refining, Inc. 11,599 504,556 * Whiting Petroleum Corp. 6,926 510,585 * Willbros Group, Inc. 13,791 153,218 * WPX Energy, Inc. 23,225 494,228 ----------- Total Energy 19,371,100 ----------- Financials -- (19.5%) 1st Source Corp. 6,821 201,151 # 1st United Bancorp, Inc. 4,000 29,280 # Access National Corp. 535 7,891 * Alleghany Corp. 27 11,015 Allied World Assurance Co. Holdings AG 3,850 414,606 #* Ambac Financial Group, Inc. 1,200 36,216 * American Capital, Ltd. 32,505 487,250 # American Equity Investment Life Holding Co. 8,844 206,242 American Financial Group, Inc. 13,215 772,152 # American National Bankshares, Inc. 702 14,960 American National Insurance Co. 2,880 323,741 * Ameris Bancorp 4,419 93,992 AMERISAFE, Inc. 3,543 151,109 AmeriServ Financial, Inc. 6,300 21,924 * Arch Capital Group, Ltd. 1,408 80,707 Argo Group International Holdings, Ltd. 5,290 234,982 Arrow Financial Corp. 714 17,871 Aspen Insurance Holdings, Ltd. 9,731 445,485 # Associated Banc-Corp 24,661 432,801 Assurant, Inc. 11,316 762,812 Assured Guaranty, Ltd. 4,775 114,170 * Asta Funding, Inc. 1,714 14,003 Astoria Financial Corp. 23,083 306,081 #* Atlanticus Holdings Corp. 2,898 7,042 Auburn National Bancorp., Inc. 44 1,048 VA U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Financials -- (Continued) #* AV Homes, Inc. 1,654 $ 28,333 Axis Capital Holdings, Ltd. 13,382 612,226 Baldwin & Lyons, Inc. Class B 3,050 79,330 Banc of California, Inc. 1,000 12,570 # Bancfirst Corp. 1,600 93,136 * Bancorp, Inc. 3,204 50,687 # BancorpSouth, Inc. 6,014 140,487 Bank Mutual Corp. 7,255 43,675 Bank of Commerce Holdings 1,233 7,830 Bank of Kentucky Financial Corp. 168 5,798 # BankFinancial Corp. 5,991 58,951 Banner Corp. 4,189 165,633 # Bar Harbor Bankshares 320 12,026 BBCN Bancorp, Inc. 5,526 85,156 #* BBX Capital Corp. Class A 2,035 38,116 # BCB Bancorp, Inc. 194 2,580 * Beneficial Mutual Bancorp, Inc. 8,224 107,241 Berkshire Hills Bancorp, Inc. 6,204 145,360 * BofI Holding, Inc. 1,782 143,647 Boston Private Financial Holdings, Inc. 13,091 163,768 Brookline Bancorp, Inc. 19,020 172,702 Bryn Mawr Bank Corp. 634 17,296 C&F Financial Corp. 179 5,594 Calamos Asset Management, Inc. Class A 3,248 39,561 # California First National Bancorp 1,000 14,830 # Camden National Corp. 573 21,871 Cape Bancorp, Inc. 439 4,675 # Capital City Bank Group, Inc. 1,869 25,979 Capital Southwest Corp. 1,200 42,120 # Capitol Federal Financial, Inc. 15,220 183,249 Cardinal Financial Corp. 8,121 136,433 Cathay General Bancorp 9,920 234,112 Center Bancorp, Inc. 601 11,125 Centerstate Banks, Inc. 2,568 28,171 Central Pacific Financial Corp. 777 14,584 # Century Bancorp, Inc. Class A 134 4,489 Chemical Financial Corp. 5,945 166,876 Citizens Community Bancorp, Inc. 2,054 16,494 Citizens Holding Co. 171 3,210 # City Holding Co. 711 30,566 Clifton Bancorp, Inc. 816 9,457 CNB Financial Corp. 439 7,252 CNO Financial Group, Inc. 32,460 559,935 CoBiz Financial, Inc. 4,891 49,106 Columbia Banking System, Inc. 5,478 135,964 # Community Bank System, Inc. 6,629 246,533 # Community Trust Bancorp, Inc. 3,145 115,956 # Consolidated-Tomoka Land Co. 558 22,058 * Cowen Group, Inc. Class A 19,975 82,097 CVB Financial Corp. 5,456 78,894 Dime Community Bancshares, Inc. 4,564 74,393 Donegal Group, Inc. Class A 6,209 91,645 VA U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Financials -- (Continued) # Donegal Group, Inc. Class B 592 $ 12,775 * E*TRADE Financial Corp. 42,087 944,853 EMC Insurance Group, Inc. 4,544 149,907 Employers Holdings, Inc. 1,402 28,531 #* Encore Capital Group, Inc. 300 12,966 Endurance Specialty Holdings, Ltd. 9,916 503,931 * Enstar Group, Ltd. 1,095 141,364 # Enterprise Bancorp, Inc. 338 6,172 Enterprise Financial Services Corp. 2,589 46,265 # ESB Financial Corp. 1,813 22,880 ESSA Bancorp, Inc. 2,833 29,435 # EverBank Financial Corp. 3,736 69,938 #* Farmers Capital Bank Corp. 1,442 30,123 FBL Financial Group, Inc. Class A 6,070 271,390 Federal Agricultural Mortgage Corp. Class C 1,100 39,138 Federated National Holding Co. 2,400 46,632 # Fidelity Southern Corp. 1,385 18,296 Financial Institutions, Inc. 1,451 33,591 * First Acceptance Corp. 5,500 13,145 # First American Financial Corp. 4,094 108,900 First Bancorp 3,069 52,817 First Bancorp, Inc. 842 13,413 #* First BanCorp. 9,765 50,192 First Busey Corp. 9,462 52,041 First Citizens BancShares, Inc. Class A 648 145,729 # First Commonwealth Financial Corp. 27,101 232,798 First Community Bancshares, Inc. 2,358 34,922 First Connecticut Bancorp, Inc. 408 6,467 First Defiance Financial Corp. 2,422 65,442 #* First Federal Bancshares of Arkansas, Inc. 560 4,967 First Federal of Northern Michigan Bancorp, Inc. 200 994 First Financial Bancorp 1,999 32,364 First Financial Corp. 1,400 44,814 First Financial Holdings, Inc. 854 49,079 # First Financial Northwest, Inc. 3,232 32,966 First Horizon National Corp. 4,326 49,706 First Interstate Bancsystem, Inc. 1,111 27,653 #* First Marblehead Corp. (The) 786 4,134 First Merchants Corp. 10,208 216,614 First Midwest Bancorp, Inc. 6,483 106,127 First Niagara Financial Group, Inc. 51,915 463,082 First South Bancorp, Inc. 720 5,782 Firstbank Corp. 105 1,851 FirstMerit Corp. 692 13,418 * Flagstar Bancorp, Inc. 4,983 87,701 Flushing Financial Corp. 4,584 88,104 # FNB Corp. 5,666 70,485 * Forestar Group, Inc. 2,222 37,885 Fox Chase Bancorp, Inc. 289 4,821 #* Franklin Financial Corp. 703 14,032 Fulton Financial Corp. 16,156 196,942 # Gain Capital Holdings, Inc. 955 9,646 VA U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Financials -- (Continued) * Genworth Financial, Inc. Class A 66,323 $1,183,866 # German American Bancorp, Inc. 2,620 68,225 # GFI Group, Inc. 12,679 47,166 Glacier Bancorp, Inc. 2,185 56,067 * Global Indemnity P.L.C. 1,977 52,984 Great Southern Bancorp, Inc. 2,001 57,369 #* Green Dot Corp. Class A 5,815 101,007 * Greenlight Capital Re, Ltd. Class A 3,046 96,954 # Guaranty Bancorp 2,411 30,354 #* Guaranty Federal Bancshares, Inc. 100 1,264 * Hallmark Financial Services, Inc. 3,963 33,289 # Hampden Bancorp, Inc. 1,000 16,250 Hancock Holding Co. 5,047 170,235 Hanmi Financial Corp. 4,991 106,159 Hanover Insurance Group, Inc. (The) 10,024 585,903 #* Harris & Harris Group, Inc. 6,066 21,777 HCC Insurance Holdings, Inc. 6,979 320,615 Heartland Financial USA, Inc. 1,331 32,343 Heritage Commerce Corp. 4,200 34,104 # Heritage Financial Corp. 621 10,035 HF Financial Corp. 363 4,973 * Hilltop Holdings, Inc. 496 11,081 # Hingham Institution for Savings 94 6,534 * HMN Financial, Inc. 750 8,355 #* Home Bancorp, Inc. 724 14,661 Home Federal Bancorp, Inc. 2,400 36,120 HopFed Bancorp, Inc. 683 7,773 Horace Mann Educators Corp. 5,408 162,619 # Horizon Bancorp 401 8,016 Hudson City Bancorp, Inc. 2,681 26,703 Hudson Valley Holding Corp. 460 8,446 # Iberiabank Corp. 5,155 324,249 * ICG Group, Inc. 288 5,869 #* Imperial Holdings, Inc. 147 983 # Independence Holding Co. 6,112 79,823 # Independent Bank Corp.(453836108) 2,014 74,760 Independent Bank Corp.(453838609) 340 4,427 Infinity Property & Casualty Corp. 2,703 173,452 Interactive Brokers Group, Inc. Class A 2,962 70,792 International Bancshares Corp. 12,488 286,724 #* Intervest Bancshares Corp. Class A 1,700 12,869 #* INTL. FCStone, Inc. 1,000 18,920 * Investment Technology Group, Inc. 2,856 58,948 # Investors Title Co. 125 8,845 # Janus Capital Group, Inc. 21,703 263,257 JMP Group, Inc. 2,603 17,987 * KCG Holdings, Inc. Class A 1,392 13,850 #* Kearny Financial Corp. 219 3,193 Kemper Corp. 10,935 430,948 Kentucky First Federal Bancorp 120 1,031 # Lakeland Bancorp, Inc. 6,398 66,795 Lakeland Financial Corp. 1,842 67,417 VA U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Financials -- (Continued) # Landmark Bancorp, Inc. 171 $ 3,304 # Legg Mason, Inc. 18,412 863,339 LNB Bancorp, Inc. 2,597 29,554 # Louisiana Bancorp, Inc. 696 13,572 # Macatawa Bank Corp. 2,700 13,149 # Maiden Holdings, Ltd. 14,988 176,858 MainSource Financial Group, Inc. 4,441 73,410 Marlin Business Services Corp. 2,600 44,642 # MB Financial, Inc. 9,300 249,612 * MBIA, Inc. 44,886 544,018 * MBT Financial Corp. 4,052 19,976 # MCG Capital Corp. 11,371 38,207 # Meadowbrook Insurance Group, Inc. 11,385 63,756 # Medallion Financial Corp. 4,208 57,229 # Mercantile Bank Corp. 1,115 21,754 Merchants Bancshares, Inc. 591 17,180 * Meridian Interstate Bancorp, Inc. 1,033 26,104 # Meta Financial Group, Inc. 85 3,562 * Metro Bancorp, Inc. 2,783 56,829 #* MGIC Investment Corp. 1,733 14,904 MicroFinancial, Inc. 2,400 18,888 # MidSouth Bancorp, Inc. 2,318 38,757 MidWestOne Financial Group, Inc. 88 2,167 Montpelier Re Holdings, Ltd. 3,614 110,516 MutualFirst Financial, Inc. 414 7,783 NASDAQ OMX Group, Inc. (The) 24,288 896,227 # National Interstate Corp. 347 9,723 National Penn Bancshares, Inc. 18,842 184,086 National Western Life Insurance Co. Class A 130 30,322 * Navigators Group, Inc. (The) 3,481 198,313 NBT Bancorp, Inc. 4,602 104,235 Nelnet, Inc. Class A 4,590 193,973 # New Hampshire Thrift Bancshares, Inc. 200 2,950 # New York Community Bancorp, Inc. 15,579 240,072 * NewBridge Bancorp 2,400 18,456 #* NewStar Financial, Inc. 5,045 57,614 Nicholas Financial, Inc. 247 3,883 * North Valley Bancorp 40 904 Northeast Community Bancorp, Inc. 4,700 34,216 Northfield Bancorp, Inc. 9,784 126,898 Northrim BanCorp, Inc. 474 11,371 Northwest Bancshares, Inc. 17,292 229,811 Norwood Financial Corp. 44 1,269 OceanFirst Financial Corp. 2,040 33,089 OFG Bancorp 10,765 183,651 Ohio Valley Banc Corp. 197 4,285 Old Republic International Corp. 37,481 620,685 OmniAmerican Bancorp, Inc. 1,963 48,800 OneBeacon Insurance Group, Ltd. Class A 4,000 61,760 # Oppenheimer Holdings, Inc. Class A 1,595 40,609 Oritani Financial Corp. 600 8,898 Pacific Continental Corp. 1,612 21,246 VA U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Financials -- (Continued) * Pacific Mercantile Bancorp 2,264 $ 14,829 #* Pacific Premier Bancorp, Inc. 800 10,920 PacWest Bancorp 8,942 352,047 Park National Corp. 370 26,832 Park Sterling Corp. 4,531 29,587 PartnerRe, Ltd. 8,404 885,782 * Patriot National Bancorp, Inc. 600 774 # Peapack Gladstone Financial Corp. 1,044 19,846 # People's United Financial, Inc. 38,981 556,649 Peoples Bancorp, Inc. 2,919 76,098 #* PHH Corp. 5,778 137,343 * PICO Holdings, Inc. 3,461 80,468 Pinnacle Financial Partners, Inc. 2,584 89,329 * Piper Jaffray Cos. 2,190 96,053 Platinum Underwriters Holdings, Ltd. 5,728 359,203 * Preferred Bank 1,052 22,565 Premier Financial Bancorp, Inc. 658 9,409 Primerica, Inc. 3,004 137,854 PrivateBancorp, Inc. 5,100 140,607 ProAssurance Corp. 8,238 374,170 Protective Life Corp. 11,192 572,471 Provident Financial Holdings, Inc. 2,100 29,547 Provident Financial Services, Inc. 9,873 171,593 #* Prudential Bancorp, Inc. 88 951 # Pulaski Financial Corp. 1,241 12,820 # QC Holdings, Inc. 800 1,656 QCR Holdings, Inc. 225 3,890 Radian Group, Inc. 1,858 25,975 Reinsurance Group of America, Inc. 10,860 833,071 # RenaissanceRe Holdings, Ltd. 1,905 192,805 Renasant Corp. 5,526 150,418 Republic Bancorp, Inc. Class A 2,281 54,767 * Republic First Bancorp, Inc. 425 1,879 # Resource America, Inc. Class A 6,061 51,579 * Riverview Bancorp, Inc. 4,200 14,616 # RLI Corp. 2,270 97,746 # S&T Bancorp, Inc. 4,563 106,135 #* Safeguard Scientifics, Inc. 2,322 48,785 Safety Insurance Group, Inc. 3,321 178,371 Sandy Spring Bancorp, Inc. 4,334 104,233 Selective Insurance Group, Inc. 7,600 174,344 #* Shore Bancshares, Inc. 479 4,546 SI Financial Group, Inc. 1,191 14,054 Sierra Bancorp 974 15,204 # Simmons First National Corp. Class A 2,031 73,441 Simplicity Bancorp, Inc. 735 12,745 (o) Southern Community Financial Corp. 6,200 1,364 #* Southern First Bancshares, Inc. 266 3,634 # Southern Missouri Bancorp, Inc. 160 5,648 # Southside Bancshares, Inc. 518 14,277 # Southwest Bancorp, Inc. 5,301 88,527 Southwest Georgia Financial Corp. 98 1,406 VA U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Financials -- (Continued) StanCorp Financial Group, Inc. 7,052 $430,877 State Auto Financial Corp. 10,929 223,607 Sterling Bancorp 6,957 83,206 # Stewart Information Services Corp. 5,277 160,948 Stock Yards Bancorp Inc 300 8,844 #* Stratus Properties, Inc. 650 10,790 #* Suffolk Bancorp 2,821 61,865 #* Sun Bancorp, Inc. 8,064 30,643 Susquehanna Bancshares, Inc. 43,190 447,448 * SWS Group, Inc. 2,700 20,007 Symetra Financial Corp. 19,802 409,109 Synovus Financial Corp. 23,500 75,435 #* Taylor Capital Group, Inc. 3,278 69,789 TCF Financial Corp. 11,787 185,056 Teche Holding Co. 27 1,968 # Territorial Bancorp, Inc. 408 8,348 TF Financial Corp. 187 5,864 Timberland Bancorp, Inc. 400 4,260 Tompkins Financial Corp. 492 23,193 # Tower Group International, Ltd. 9,767 24,027 # TowneBank 2,237 34,517 #* Tree.com, Inc. 400 11,632 # Trico Bancshares 2,644 64,117 # TrustCo Bank Corp. 11,652 77,020 # Trustmark Corp. 7,506 171,662 UMB Financial Corp. 831 48,788 Umpqua Holdings Corp. 24,165 401,864 * Unico American Corp. 1,400 18,494 Union Bankshares Corp. 8,400 214,956 United Bankshares, Inc. 2,666 77,980 * United Community Banks, Inc. 233 3,763 #* United Community Financial Corp. 1,067 3,553 United Financial Bancorp, Inc.(91030T109) 3,624 63,927 United Financial Bancorp, Inc.(910304104) 2,777 36,545 United Fire Group, Inc. 5,738 159,631 Unity Bancorp, Inc. 540 4,617 # Universal Insurance Holdings, Inc. 5,192 75,959 Univest Corp. of Pennsylvania 2,456 48,408 Validus Holdings, Ltd. 8,860 328,440 ViewPoint Financial Group, Inc. 1,550 40,408 * Walker & Dunlop, Inc. 2,479 38,871 Washington Banking Co. 1,905 32,766 Washington Federal, Inc. 21,207 457,647 # Washington Trust Bancorp, Inc. 1,732 59,234 Waterstone Financial, Inc. 1,967 20,476 Webster Financial Corp. 9,213 277,680 WesBanco, Inc. 6,027 182,256 # West Bancorporation, Inc. 5,550 80,530 * Western Alliance Bancorp 158 3,645 # Westfield Financial, Inc. 5,949 40,751 Wintrust Financial Corp. 8,054 360,980 WR Berkley Corp. 657 29,066 VA U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------ ----------- Financials -- (Continued) * Wright Investors' Service Holdings, Inc. 1,000 $ 1,740 WSFS Financial Corp. 648 43,818 * Yadkin Financial Corp. 1,126 21,563 Zions Bancorp. 22,916 662,731 #* ZipRealty, Inc. 1,200 3,984 ----------- Total Financials 38,734,496 ----------- Health Care -- (4.8%) * Addus HomeCare Corp. 201 4,346 #* Affymetrix, Inc. 17,435 129,542 #* Albany Molecular Research, Inc. 7,139 114,652 #* Alere, Inc. 19,422 648,695 * Allied Healthcare Products, Inc. 1,700 3,672 * Almost Family, Inc. 2,016 43,284 #* Alphatec Holdings, Inc. 4,114 5,554 #* Amedisys, Inc. 10,397 141,711 * American Shared Hospital Services 400 1,116 * Amsurg Corp. 7,140 309,233 Analogic Corp. 1,500 112,620 * AngioDynamics, Inc. 7,576 101,821 * Anika Therapeutics, Inc. 1,025 43,808 * Arrhythmia Research Technology, Inc. 291 1,411 #* Baxano Surgical, Inc. 3,545 3,013 #* BioScrip, Inc. 8,822 61,048 * BioTelemetry, Inc. 3,176 25,217 * Cambrex Corp. 844 17,294 * Capital Senior Living Corp. 2,324 57,473 #* Chindex International, Inc. 128 3,050 * Community Health Systems, Inc. 13,817 523,526 CONMED Corp. 6,090 282,150 * Cross Country Healthcare, Inc. 9,348 66,277 CryoLife, Inc. 5,333 48,424 #* Cumberland Pharmaceuticals, Inc. 3,402 15,139 * Cutera, Inc. 2,803 28,899 * Cynosure, Inc. Class A 1,633 40,074 Digirad Corp. 3,300 10,494 #* Emergent Biosolutions, Inc. 6,746 177,825 * Enzo Biochem, Inc. 4,925 20,685 Enzon Pharmaceuticals, Inc. 4,494 4,000 * Exactech, Inc. 1,341 29,797 * ExamWorks Group, Inc. 103 3,790 * Five Star Quality Care, Inc. 10,700 51,681 #* Gentiva Health Services, Inc. 1,754 13,208 * Greatbatch, Inc. 5,343 245,938 * Hanger, Inc. 2,204 76,413 #* Harvard Apparatus Regenerative Technology, Inc. 1,766 15,276 #* Harvard Bioscience, Inc. 7,065 29,814 * Health Net, Inc. 4,074 139,860 #* Healthways, Inc. 5,311 95,598 Hill-Rom Holdings, Inc. 1,706 63,736 #* Hologic, Inc. 4,867 102,134 #* Idera Pharmaceuticals, Inc. 320 909 VA U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Health Care -- (Continued) * Impax Laboratories, Inc. 472 $ 12,343 * Integra LifeSciences Holdings Corp. 65 2,963 Invacare Corp. 8,389 132,546 #* Iridex Corp. 593 4,940 Kewaunee Scientific Corp. 170 2,847 Kindred Healthcare, Inc. 12,870 323,037 * Lannett Co., Inc. 4,245 146,580 LeMaitre Vascular, Inc. 3,115 25,574 * LHC Group, Inc. 2,425 50,391 * LifePoint Hospitals, Inc. 10,900 609,528 * Magellan Health Services, Inc. 5,679 327,792 (o)#* Maxygen, Inc. 6,309 189 * MedAssets, Inc. 6,089 139,012 (o)#* MedCath Corp. 5,455 10,910 * Medical Action Industries, Inc. 5,500 35,255 * Medicines Co. (The) 3,295 87,647 #* Merit Medical Systems, Inc. 4,548 58,533 #* Misonix, Inc. 2,000 12,000 #* Molina Healthcare, Inc. 5,838 218,341 # National Healthcare Corp. 1,778 97,310 * Natus Medical, Inc. 9,044 224,563 #* NuVasive, Inc. 3,207 108,108 Omnicare, Inc. 15,345 909,498 * Omnicell, Inc. 3,595 95,196 # Owens & Minor, Inc. 5,863 196,645 #* Pacific Biosciences of California, Inc. 6,481 28,646 * PDI, Inc. 3,900 18,408 * PharMerica Corp. 7,727 210,097 # Pozen, Inc. 2,709 22,647 * Prestige Brands Holdings, Inc. 11,035 369,893 * Providence Service Corp. (The) 1,272 51,656 #* Repligen Corp. 2,675 42,399 #* RTI Surgical, Inc. 11,548 49,656 #* Sciclone Pharmaceuticals, Inc. 7,214 34,483 Select Medical Holdings Corp. 14,870 207,585 * Skilled Healthcare Group, Inc. Class A 298 1,538 Span-America Medical Systems, Inc. 363 7,569 STERIS Corp. 1,073 51,558 #* Sucampo Pharmaceuticals, Inc. Class A 928 6,412 #* SunLink Health Systems, Inc. 887 1,339 * Symmetry Medical, Inc. 8,513 70,317 #* Targacept, Inc. 4,500 19,980 Teleflex, Inc. 3,123 318,827 * Tornier NV 882 14,968 * Triple-S Management Corp. Class B 4,208 63,036 # Universal American Corp. 19,798 141,952 * VCA Antech, Inc. 4,674 143,165 * Wright Medical Group, Inc. 509 13,921 ---------- Total Health Care 9,636,007 ---------- Industrials -- (15.4%) # AAR Corp. 7,598 196,788 VA U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Industrials -- (Continued) ABM Industries, Inc. 12,768 $ 345,885 #* ACCO Brands Corp. 8,840 54,189 #* Accuride Corp. 2,376 13,401 Aceto Corp. 7,911 173,093 Acme United Corp. 100 1,683 * Acorn Energy, Inc. 1,057 2,452 * Adept Technology, Inc. 2,183 26,109 * AECOM Technology Corp. 11,652 377,758 #* Aegion Corp. 8,741 222,808 * Aerovironment, Inc. 463 15,635 AGCO Corp. 13,971 778,185 * Air Transport Services Group, Inc. 13,995 109,581 Aircastle, Ltd. 1,000 17,570 Alamo Group, Inc. 2,616 138,962 Alaska Air Group, Inc. 4,976 468,142 Albany International Corp. Class A 3,666 131,903 Alliant Techsystems, Inc. 1,999 288,296 (o) Allied Defense Group, Inc. 2,400 192 Allied Motion Technologies, Inc. 400 4,536 Altra Industrial Motion Corp. 3,339 114,060 AMERCO 5,363 1,341,340 #* Ameresco, Inc. Class A 2,474 15,858 # American Railcar Industries, Inc. 3,877 269,219 American Science & Engineering, Inc. 163 10,954 #* American Superconductor Corp. 1,994 2,552 * AMREP Corp. 600 3,270 Apogee Enterprises, Inc. 466 14,805 Applied Industrial Technologies, Inc. 1,236 59,229 * ARC Document Solutions, Inc. 6,626 42,406 ArcBest Corp. 7,417 292,378 * Arotech Corp. 3,700 12,839 # Astec Industries, Inc. 5,179 206,901 #* Atlas Air Worldwide Holdings, Inc. 5,799 202,907 * Avalon Holdings Corp. Class A 262 1,174 #* Avis Budget Group, Inc. 21,045 1,106,757 # AZZ, Inc. 942 40,902 Baltic Trading, Ltd. 10,469 62,709 Barnes Group, Inc. 3,932 151,461 Barrett Business Services, Inc. 703 35,438 * Beacon Roofing Supply, Inc. 2,772 98,628 Brady Corp. Class A 2,636 67,982 # Briggs & Stratton Corp. 9,608 205,323 # Brink's Co. (The) 607 15,442 * CAI International, Inc. 2,583 56,180 #* Casella Waste Systems, Inc. Class A 1,546 7,885 #* CBIZ, Inc. 11,257 96,472 CDI Corp. 5,340 81,809 Ceco Environmental Corp. 722 11,473 Celadon Group, Inc. 3,852 88,635 CIRCOR International, Inc. 1,000 81,210 * Columbus McKinnon Corp. 4,617 122,304 Comfort Systems USA, Inc. 3,476 52,140 VA U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Industrials -- (Continued) Compx International, Inc. 200 $ 1,840 Con-way, Inc. 709 30,118 Courier Corp. 1,913 27,796 Covanta Holding Corp. 5,844 107,822 * Covenant Transportation Group, Inc. Class A 3,300 33,825 #* CPI Aerostructures, Inc. 1,700 22,899 * CRA International, Inc. 1,273 27,713 Curtiss-Wright Corp. 10,861 694,452 Douglas Dynamics, Inc. 3,360 56,683 * Ducommun, Inc. 2,731 66,281 * Dycom Industries, Inc. 5,686 178,540 Dynamic Materials Corp. 1,500 30,300 #* Eagle Bulk Shipping, Inc. 4,189 12,232 Eastern Co. (The) 510 8,614 Ecology and Environment, Inc. Class A 210 2,014 Encore Wire Corp. 4,620 225,133 #* Energy Recovery, Inc. 2,946 15,054 * EnerNOC, Inc. 1,244 29,358 EnerSys, Inc. 4,364 294,919 #* Engility Holdings, Inc. 3,674 160,333 Ennis, Inc. 5,808 86,888 #* EnPro Industries, Inc. 3,739 266,254 # ESCO Technologies, Inc. 3,497 116,870 Espey Manufacturing & Electronics Corp. 172 4,575 * Esterline Technologies Corp. 7,459 813,180 Exelis, Inc. 5,540 102,712 * Federal Signal Corp. 14,257 216,421 * Franklin Covey Co. 4,000 81,080 FreightCar America, Inc. 3,408 89,494 #* FTI Consulting, Inc. 8,053 276,218 #* Fuel Tech, Inc. 1,990 12,119 * Furmanite Corp. 3,245 34,008 G&K Services, Inc. Class A 5,010 265,229 GATX Corp. 10,799 708,738 #* Gencor Industries, Inc. 600 6,294 General Cable Corp. 2,608 66,817 * Genesee & Wyoming, Inc. Class A 2,281 225,842 * Gibraltar Industries, Inc. 6,948 118,672 Global Power Equipment Group, Inc. 800 14,024 #* Goldfield Corp. (The) 2,600 5,356 * GP Strategies Corp. 4,100 107,748 #* GrafTech International, Ltd. 29,852 334,641 Granite Construction, Inc. 6,794 253,960 * Great Lakes Dredge & Dock Corp. 16,521 142,576 #* Greenbrier Cos., Inc. (The) 7,936 416,164 Griffon Corp. 14,026 149,237 * H&E Equipment Services, Inc. 3,272 126,136 Hardinge, Inc. 3,769 50,354 #* Hawaiian Holdings, Inc. 14,927 215,695 Heidrick & Struggles International, Inc. 3,465 65,315 * Hill International, Inc. 5,419 36,416 # Houston Wire & Cable Co. 4,919 61,291 VA U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Industrials -- (Continued) * Hub Group, Inc. Class A 2,997 $133,816 * Hudson Global, Inc. 4,736 16,813 Hurco Cos., Inc. 1,730 46,122 * Huron Consulting Group, Inc. 1,421 101,175 Hyster-Yale Materials Handling, Inc. 1,660 160,007 * ICF International, Inc. 5,016 195,474 #* Innovative Solutions & Support, Inc. 573 3,856 Insteel Industries, Inc. 3,260 67,091 # International Shipholding Corp. 1,600 43,104 # Intersections, Inc. 2,527 14,202 #* JetBlue Airways Corp. 57,197 452,142 # Joy Global, Inc. 3,843 232,040 Kadant, Inc. 2,642 91,809 Kaman Corp. 661 27,742 KBR, Inc. 1,200 30,444 Kelly Services, Inc. Class A 10,362 218,224 * Key Technology, Inc. 987 12,170 Kforce, Inc. 2,183 50,471 Kimball International, Inc. Class B 6,951 116,499 # Knight Transportation, Inc. 4,359 103,439 * Korn/Ferry International 11,096 322,339 * Kratos Defense & Security Solutions, Inc. 12,683 91,571 * Lawson Products, Inc. 2,008 33,634 #* Layne Christensen Co. 5,272 91,838 LB Foster Co. Class A 1,738 82,294 #* LMI Aerospace, Inc. 2,100 28,644 LS Starrett Co. (The) Class A 489 7,638 LSI Industries, Inc. 5,575 42,426 * Lydall, Inc. 3,900 91,299 Marten Transport, Ltd. 9,879 231,761 # Matson, Inc. 5,382 127,500 # McGrath RentCorp 4,406 139,141 * Meritor, Inc. 198 2,350 #* Metalico, Inc. 6,688 10,300 * Mfri, Inc. 1,500 16,335 Miller Industries, Inc. 2,674 51,795 Mobile Mini, Inc. 11,000 485,980 Mueller Industries, Inc. 1,168 33,802 # Multi-Color Corp. 1,827 63,671 * MYR Group, Inc. 3,754 88,069 # National Presto Industries, Inc. 238 17,198 * Navigant Consulting, Inc. 14,008 235,334 # NL Industries, Inc. 15,300 153,459 NN, Inc. 3,495 68,397 * Northwest Pipe Co. 2,813 100,621 #* Ocean Power Technologies, Inc. 100 270 * Orbital Sciences Corp. 11,173 328,486 * Orion Energy Systems, Inc. 5,713 30,279 * Orion Marine Group, Inc. 3,785 44,398 Oshkosh Corp. 4,795 266,170 Owens Corning 17,148 700,496 * PAM Transportation Services, Inc. 3,545 88,235 VA U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Industrials -- (Continued) * Park-Ohio Holdings Corp. 347 $ 20,261 #* Patriot Transportation Holding, Inc. 211 7,360 #* Pendrell Corp. 4,995 8,242 #* Pike Corp. 8,910 85,536 Powell Industries, Inc. 1,718 108,784 * PowerSecure International, Inc. 964 21,430 Preformed Line Products Co. 707 42,250 Providence and Worcester Railroad Co. 200 3,488 Quad/Graphics, Inc. 4,792 103,747 Quanex Building Products Corp. 11,219 211,366 * Quanta Services, Inc. 23,786 839,170 * RCM Technologies, Inc. 4,177 28,320 Regal-Beloit Corp. 3,597 268,804 * Republic Airways Holdings, Inc. 11,023 91,601 Resources Connection, Inc. 8,698 118,380 * Roadrunner Transportation Systems, Inc. 861 21,206 #* Rush Enterprises, Inc. Class A 6,802 218,344 #* Rush Enterprises, Inc. Class B 1,650 46,662 Ryder System, Inc. 9,234 758,850 * Saia, Inc. 5,262 216,637 Schawk, Inc. 3,203 64,060 SIFCO Industries, Inc. 659 21,648 Simpson Manufacturing Co., Inc. 1,151 37,741 SkyWest, Inc. 11,060 128,296 * SL Industries, Inc. 502 13,800 #* SP Plus Corp. 703 17,167 * Sparton Corp. 2,441 66,298 * Spirit Aerosystems Holdings, Inc. Class A 10,873 326,516 #* Standard Register Co. (The) 969 7,035 Standex International Corp. 2,444 145,100 Steelcase, Inc. Class A 1,814 29,895 #* Sterling Construction Co., Inc. 1,634 12,549 * Supreme Industries, Inc. Class A 1,383 7,842 Sypris Solutions, Inc. 6,800 20,604 # TAL International Group, Inc. 8,064 340,139 #* Tecumseh Products Co. Class A 3,200 19,232 * Tecumseh Products Co. Class B 100 584 # Terex Corp. 11,903 515,281 * Tetra Tech, Inc. 3,334 95,586 * Thermon Group Holdings, Inc. 527 12,553 # Titan International, Inc. 200 3,502 #* Titan Machinery, Inc. 2,923 51,562 #* TRC Cos., Inc. 1,013 6,007 Trinity Industries, Inc. 10,389 779,798 Triumph Group, Inc. 5,678 367,991 * Tutor Perini Corp. 11,031 326,518 * Ultralife Corp. 969 3,488 * Ultrapetrol Bahamas, Ltd. 200 566 UniFirst Corp. 3,100 298,344 United Stationers, Inc. 1,362 51,116 Universal Forest Products, Inc. 4,248 214,482 URS Corp. 11,000 518,320 VA U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------ ----------- Industrials -- (Continued) #* USA Truck, Inc. 3,004 $ 50,047 # UTi Worldwide, Inc. 2,419 23,682 # Valmont Industries, Inc. 171 25,464 * Versar, Inc. 700 2,702 Viad Corp. 5,190 119,629 * Virco Manufacturing Corp. 4,400 9,658 * Volt Information Sciences, Inc. 2,881 22,990 # VSE Corp. 471 29,423 Watts Water Technologies, Inc. Class A 6,750 359,100 Werner Enterprises, Inc. 2,731 69,914 * Wesco Aircraft Holdings, Inc. 2,662 53,932 * Willis Lease Finance Corp. 2,293 46,227 #* XPO Logistics, Inc. 470 12,756 ----------- Total Industrials 30,578,012 ----------- Information Technology -- (12.4%) * Acxiom Corp. 1,408 39,762 #* ADDvantage Technologies Group, Inc. 1,399 4,701 * Advanced Energy Industries, Inc. 10,467 229,018 * Aeroflex Holding Corp. 4,299 32,887 * Agilysys, Inc. 5,370 67,340 * Alpha & Omega Semiconductor, Ltd. 1,389 10,001 #* Amkor Technology, Inc. 2,808 22,324 * Amtech Systems, Inc. 2,300 19,665 #* ANADIGICS, Inc. 4,700 5,875 * AOL, Inc. 7,672 328,438 * ARRIS Group, Inc. 23,100 602,679 * Arrow Electronics, Inc. 15,959 905,673 Astro-Med, Inc. 1,475 18,541 #* Aviat Networks, Inc. 8,260 12,473 Avnet, Inc. 19,346 834,393 AVX Corp. 12,955 172,949 #* Aware, Inc. 2,090 11,579 * Axcelis Technologies, Inc. 15,008 26,864 * AXT, Inc. 7,116 15,371 * Bankrate, Inc. 5,689 99,671 Bel Fuse, Inc. Class B 2,447 53,247 * Benchmark Electronics, Inc. 14,030 325,215 Black Box Corp. 4,026 85,593 #* Blucora, Inc. 9,800 188,650 * Bogen Communications International 1,000 1,030 (o)* Bogen Corp. 1,000 -- #* BroadVision, Inc. 1,325 13,144 * Brocade Communications Systems, Inc. 2,139 19,914 Brooks Automation, Inc. 21,013 214,963 * Bsquare Corp. 300 960 #* CACI International, Inc. Class A 4,064 283,058 * Calix, Inc. 555 4,890 * Cascade Microtech, Inc. 3,735 39,890 * Checkpoint Systems, Inc. 10,016 127,904 * CIBER, Inc. 17,728 76,585 * Coherent, Inc. 6,367 380,174 VA U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Information Technology -- (Continued) # Cohu, Inc. 5,574 $ 57,412 (o)#* Commerce One, LLC 4,310 -- Communications Systems, Inc. 2,300 27,807 Compuware Corp. 3,000 31,080 # Comtech Telecommunications Corp. 3,556 112,903 # Convergys Corp. 15,672 337,575 * CoreLogic, Inc. 8,461 237,162 #* Cray, Inc. 235 6,747 CSG Systems International, Inc. 2,515 66,295 CSP, Inc. 66 500 CTS Corp. 7,318 130,187 * CyberOptics Corp. 1,991 14,972 Daktronics, Inc. 1,473 19,178 * Dealertrack Technologies, Inc. 213 9,732 * Digi International, Inc. 5,952 52,735 * Digital River, Inc. 11,477 175,483 * Diodes, Inc. 6,961 183,562 * DSP Group, Inc. 5,313 42,291 DST Systems, Inc. 612 56,420 EarthLink Holdings Corp. 19,938 67,989 * EchoStar Corp. Class A 5,300 238,288 * Edgewater Technology, Inc. 3,967 28,086 # Electro Rent Corp. 7,110 114,826 Electro Scientific Industries, Inc. 6,690 56,731 * Electronics for Imaging, Inc. 9,550 360,894 * Emcore Corp. 3,590 17,340 * Emulex Corp. 25,374 181,424 * Entegris, Inc. 6,934 76,898 #* Entropic Communications, Inc. 17,686 65,261 EPIQ Systems, Inc. 7,601 97,217 * ePlus, Inc. 1,865 93,325 * Exar Corp. 9,593 103,796 * ExlService Holdings, Inc. 1,946 55,062 * Extreme Networks, Inc. 8,844 50,588 * Fabrinet 1,700 36,720 #* Fairchild Semiconductor International, Inc. 23,505 299,219 #* Finisar Corp. 4,561 119,270 #* First Solar, Inc. 13,314 898,562 * FormFactor, Inc. 18,291 105,173 * Frequency Electronics, Inc. 3,104 33,073 * GigOptix, Inc. 613 975 * GSE Systems, Inc. 2,922 5,114 * GSI Group, Inc. 2,330 28,286 * GSI Technology, Inc. 4,398 27,927 Hackett Group, Inc. (The) 8,522 51,132 * Harmonic, Inc. 26,943 189,409 #* Hutchinson Technology, Inc. 7,181 19,963 IAC/InterActiveCorp 9,617 637,415 * ID Systems, Inc. 2,201 12,392 * Identive Group, Inc. 6,294 5,350 #* IEC Electronics Corp. 490 2,181 * II-VI, Inc. 640 9,216 VA U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Information Technology -- (Continued) * Ikanos Communications, Inc. 9,896 $ 5,888 #* Imation Corp. 9,733 42,047 * Ingram Micro, Inc. Class A 24,100 649,736 * Innodata, Inc. 290 977 * Insight Enterprises, Inc. 10,115 264,204 #* Integrated Silicon Solution, Inc. 8,560 123,778 #* Internap Network Services Corp. 13,820 92,870 * International Rectifier Corp. 16,153 420,624 Intersil Corp. Class A 23,351 288,151 * Intevac, Inc. 5,464 43,985 * IntraLinks Holdings, Inc. 5,167 47,278 #* IntriCon Corp. 700 4,627 * Itron, Inc. 2,617 99,446 IXYS Corp. 7,733 83,439 * Kemet Corp. 5,338 26,743 * Key Tronic Corp. 2,718 28,485 #* Kopin Corp. 7,138 23,270 * Kulicke & Soffa Industries, Inc. 12,945 190,421 * KVH Industries, Inc. 4,246 57,363 * Lattice Semiconductor Corp. 31,134 262,148 # Lexmark International, Inc. Class A 13,503 580,629 * LGL Group, Inc. (The) 200 980 * Limelight Networks, Inc. 11,505 23,815 * LoJack Corp. 676 3,833 * LTX-Credence Corp. 613 5,903 * Magnachip Semiconductor Corp. 4,300 60,200 # ManTech International Corp. Class A 4,084 121,826 Marvell Technology Group, Ltd. 70,113 1,111,992 * Measurement Specialties, Inc. 558 35,907 # Mentor Graphics Corp. 13,686 283,300 * Mercury Systems, Inc. 6,310 88,088 Methode Electronics, Inc. 7,986 221,532 * Microsemi Corp. 3,733 87,800 MKS Instruments, Inc. 12,591 354,437 #* ModusLink Global Solutions, Inc. 11,199 45,244 * Monster Worldwide, Inc. 11,431 78,760 #* MoSys, Inc. 1,329 5,196 * Multi-Fineline Electronix, Inc. 2,514 31,123 * NAPCO Security Technologies, Inc. 1,627 9,502 * NCI, Inc. Class A 266 2,652 * NeoPhotonics Corp. 1,818 10,490 * NETGEAR, Inc. 5,300 171,190 * Newport Corp. 6,601 123,307 #* Novatel Wireless, Inc. 9,975 18,055 * Oclaro, Inc. 3,894 13,240 * OmniVision Technologies, Inc. 12,822 250,414 * Oplink Communications, Inc. 5,262 90,191 Optical Cable Corp. 1,600 6,064 * PAR Technology Corp. 4,662 22,517 # Park Electrochemical Corp. 2,600 69,316 PC Connection, Inc. 6,131 122,681 PC-Tel, Inc. 4,282 35,327 VA U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Information Technology -- (Continued) * PCM, Inc. 2,562 $ 26,696 Perceptron, Inc. 2,288 26,998 * Perficient, Inc. 3,984 72,788 * Pericom Semiconductor Corp. 6,875 55,481 * Photronics, Inc. 16,490 143,133 #* Planar Systems, Inc. 1,620 3,564 * Plexus Corp. 5,229 219,200 * PMC-Sierra, Inc. 33,280 227,635 * Polycom, Inc. 12,148 149,420 * QLogic Corp. 18,699 216,534 * Qualstar Corp. 4,358 6,581 * QuinStreet, Inc. 2,787 17,001 * Qumu Corp. 1,285 17,283 * Radisys Corp. 6,105 19,536 * RealNetworks, Inc. 9,390 70,801 * Reis, Inc. 442 7,275 RF Industries, Ltd. 681 4,161 * RF Micro Devices, Inc. 3,400 28,696 # Richardson Electronics, Ltd. 3,224 32,304 * Rofin-Sinar Technologies, Inc. 4,086 90,709 * Rogers Corp. 3,014 180,900 * Rosetta Stone, Inc. 2,793 33,265 #* Rovi Corp. 17,138 382,006 * Rudolph Technologies, Inc. 8,400 76,524 * Sanmina Corp. 19,093 386,633 * ScanSource, Inc. 4,730 181,679 * Seachange International, Inc. 8,900 83,393 * ShoreTel, Inc. 4,806 36,285 * Sigma Designs, Inc. 7,808 29,436 #* Smith Micro Software, Inc. 9,200 15,272 #* SMTC Corp. 1,377 2,107 * Spansion, Inc. Class A 5,057 90,166 * Speed Commerce, Inc. 4,987 16,457 * StarTek, Inc. 5,100 35,445 #* SunEdison, Inc. 23,816 457,982 #* SunPower Corp. 1,416 47,323 * Super Micro Computer, Inc. 6,433 130,976 #* support.com, Inc. 1,190 2,939 * Sykes Enterprises, Inc. 8,532 168,848 * SYNNEX Corp. 8,357 563,095 * Take-Two Interactive Software, Inc. 503 10,251 * Tech Data Corp. 10,139 633,586 #* TechTarget, Inc. 2,025 13,001 #* TeleCommunication Systems, Inc. Class A 15,528 39,596 * Telenav, Inc. 3,850 23,601 * TeleTech Holdings, Inc. 76 1,834 # Tessco Technologies, Inc. 2,100 69,069 Tessera Technologies, Inc. 2,398 52,588 TheStreet, Inc. 6,043 15,531 * TriQuint Semiconductor, Inc. 38,852 550,921 #* TTM Technologies, Inc. 13,304 104,969 * Ultra Clean Holdings, Inc. 3,812 32,478 VA U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------ ----------- Information Technology -- (Continued) United Online, Inc. 3,447 $ 40,847 * VeriFone Systems, Inc. 1,038 34,711 #* Viasystems Group, Inc. 4,052 48,705 * Vicon Industries, Inc. 1,400 4,088 #* Video Display Corp. 314 1,090 * Virtusa Corp. 4,803 158,355 # Vishay Intertechnology, Inc. 30,254 430,212 * Vishay Precision Group, Inc. 2,563 41,597 * Westell Technologies, Inc. Class A 6,981 22,758 * XO Group, Inc. 3,862 41,014 * Zygo Corp. 3,426 65,916 #* Zynga, Inc. Class A 6,034 24,438 ----------- Total Information Technology 24,585,238 ----------- Materials -- (5.7%) A Schulman, Inc. 6,700 240,664 #* AM Castle & Co. 5,552 68,179 Ampco-Pittsburgh Corp. 1,688 33,811 Ashland, Inc. 1,332 128,671 # Axiall Corp. 5,009 233,419 Bemis Co., Inc. 3,762 151,383 * Boise Cascade Co. 91 2,277 Cabot Corp. 3,058 176,752 * Calgon Carbon Corp. 1,969 39,439 * Century Aluminum Co. 21,149 290,799 Chase Corp. 1,329 41,385 #* Chemtura Corp. 8,527 190,152 * Clearwater Paper Corp. 602 36,957 # Cliffs Natural Resources, Inc. 22,141 392,339 #* Codexis, Inc. 714 1,214 * Coeur Mining, Inc. 10,835 93,831 Commercial Metals Co. 22,697 435,782 * Core Molding Technologies, Inc. 1,192 14,316 Domtar Corp. 3,932 367,092 * Ferro Corp. 3,432 44,547 Friedman Industries, Inc. 1,905 16,345 # FutureFuel Corp. 3,364 67,515 #* General Moly, Inc. 3,502 3,852 * Graphic Packaging Holding Co. 43,447 445,766 HB Fuller Co. 3,827 177,305 * Headwaters, Inc. 369 4,605 # Hecla Mining Co. 1,648 5,059 #* Horsehead Holding Corp. 2,992 46,645 Huntsman Corp. 16,873 422,669 Innophos Holdings, Inc. 489 27,599 # Kaiser Aluminum Corp. 2,000 140,800 * KapStone Paper and Packaging Corp. 12,650 333,707 # KMG Chemicals, Inc. 301 4,699 * Kraton Performance Polymers, Inc. 3,337 86,929 #* Landec Corp. 7,144 84,728 #* Louisiana-Pacific Corp. 14,071 230,624 Materion Corp. 4,579 154,083 VA U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------ ----------- Materials -- (Continued) #* McEwen Mining, Inc. 15,310 $ 36,744 MeadWestvaco Corp. 14,871 581,010 #* Mercer International, Inc. 7,115 58,912 Minerals Technologies, Inc. 3,878 230,702 Myers Industries, Inc. 5,764 107,787 Neenah Paper, Inc. 293 14,758 Noranda Aluminum Holding Corp. 1,889 6,706 * Northern Technologies International Corp. 211 4,463 # Olin Corp. 12,649 355,437 Olympic Steel, Inc. 2,514 66,269 # OM Group, Inc. 4,801 140,621 * OMNOVA Solutions, Inc. 3,923 35,778 #* Penford Corp. 2,600 32,760 PH Glatfelter Co. 9,725 248,182 PolyOne Corp. 134 5,021 Reliance Steel & Aluminum Co. 11,310 800,974 * Resolute Forest Products, Inc. 8,243 147,055 Rock-Tenn Co. Class A 4,619 441,623 Royal Gold, Inc. 253 16,749 * RTI International Metals, Inc. 5,940 167,270 # Schnitzer Steel Industries, Inc. Class A 5,896 165,501 Sensient Technologies Corp. 4,717 254,954 Sonoco Products Co. 3,869 162,808 Steel Dynamics, Inc. 31,853 581,954 Stepan Co. 370 21,397 #* Stillwater Mining Co. 11,660 183,995 * SunCoke Energy, Inc. 11,986 250,148 # Synalloy Corp. 142 2,201 #* Texas Industries, Inc. 294 25,490 Tredegar Corp. 6,824 142,007 # Tronox, Ltd. Class A 4,417 108,216 # United States Lime & Minerals, Inc. 301 16,272 # United States Steel Corp. 21,092 548,814 #* Universal Stainless & Alloy Products, Inc. 1,734 62,233 Vulcan Materials Co. 884 57,045 # Walter Energy, Inc. 1,600 11,520 # Wausau Paper Corp. 1,147 13,718 ----------- Total Materials 11,343,033 ----------- Other -- (0.0%) (o)* Big 4 Ranch, Inc. 300 -- (o)* Concord Camera Corp. Escrow Shares 2,105 -- (o)#* Gerber Scientific, Inc. Escrow Shares 6,375 -- (o)* Petrocorp, Inc. Escrow Shares 1,700 -- ----------- Total Other -- ----------- Real Estate Investment Trusts -- (0.0%) Geo Group, Inc. (The) 2,299 77,085 ----------- Telecommunication Services -- (1.1%) Atlantic Tele-Network, Inc. 31 1,834 * Cbeyond, Inc. 6,180 61,120 VA U.S. TARGETED VALUE PORTFOLIO CONTINUED SHARES VALUE+ --------- ------------ Telecommunication Services -- (Continued) # Frontier Communications Corp. 112,833 $ 671,356 #* General Communication, Inc. Class A 10,157 106,039 #* Hawaiian Telcom Holdco, Inc. 204 5,431 # HickoryTech Corp. 2,281 27,075 Inteliquent, Inc. 7,413 101,113 #* Iridium Communications, Inc. 12,006 80,080 #* NII Holdings, Inc. 1,695 1,458 #* ORBCOMM, Inc. 13,700 85,899 * Premiere Global Services, Inc. 5,187 65,979 Shenandoah Telecommunications Co. 1,364 38,233 Telephone & Data Systems, Inc. 13,865 376,989 United States Cellular Corp. 5,355 222,447 USA Mobility, Inc. 5,883 100,776 * Vonage Holdings Corp. 7,197 27,637 Windstream Holdings, Inc. 17,029 154,453 ------------ Total Telecommunication Services 2,127,919 ------------ Utilities -- (0.6%) # Consolidated Water Co., Ltd. 3,650 42,413 #* Dynegy, Inc. 9,288 264,244 * Genie Energy, Ltd. Class B 1,745 14,135 # Ormat Technologies, Inc. 5,153 137,482 SJW Corp. 318 8,659 UGI Corp. 14,418 673,176 ------------ Total Utilities 1,140,109 ------------ TOTAL COMMON STOCKS 162,885,222 ------------ RIGHTS/WARRANTS -- (0.0%) (o)* LGL Group, Inc. (The) Warrants 08/06/18 1,000 60 (o)#* Magnum Hunter Resources Corp. Warrants 04/15/16 1,011 -- ------------ TOTAL RIGHTS/WARRANTS 60 ------------ TEMPORARY CASH INVESTMENTS -- (0.4%) State Street Institutional Liquid Reserves, 0.074% 888,610 888,610 ------------ SHARES/ FACE AMOUNT (000) --------- SECURITIES LENDING COLLATERAL -- (17.6%) (S)@ DFA Short Term Investment Fund 3,010,835 34,835,365 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $157,210,221) $198,609,257 ============ VA U.S. TARGETED VALUE PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, 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 $ 20,029,207 $ 2,418 -- $ 20,031,625 Consumer Staples 5,260,598 -- -- 5,260,598 Energy 19,371,100 -- -- 19,371,100 Financials 38,733,132 1,364 -- 38,734,496 Health Care 9,624,908 11,099 -- 9,636,007 Industrials 30,577,820 192 -- 30,578,012 Information Technology 24,585,238 -- -- 24,585,238 Materials 11,343,033 -- -- 11,343,033 Other -- -- -- -- Real Estate Investment Trusts 77,085 -- -- 77,085 Telecommunication Services 2,127,919 -- -- 2,127,919 Utilities 1,140,109 -- -- 1,140,109 Rights/Warrants -- 60 -- 60 Temporary Cash Investments 888,610 -- -- 888,610 Securities Lending Collateral -- 34,835,365 -- 34,835,365 ------------ ----------- -- ------------ TOTAL $163,758,759 $34,850,498 -- $198,609,257 ============ =========== == ============ VA U.S. LARGE VALUE PORTFOLIO SCHEDULE OF INVESTMENTS APRIL 30, 2014 (UNAUDITED) SHARES VALUE+ ------- ----------- COMMON STOCKS -- (95.3%) Consumer Discretionary -- (11.7%) # Autoliv, Inc. 129 $ 13,155 # Best Buy Co., Inc. 244 6,327 Carnival Corp. 29,167 1,146,555 CBS Corp. Class A 1,014 58,964 Comcast Corp. Class A 139,605 7,225,955 Comcast Corp. Special Class A 35,244 1,798,501 Dillard's, Inc. Class A 2,669 261,375 # DR Horton, Inc. 4,478 99,770 # GameStop Corp. Class A 8,463 335,812 General Motors Co. 54,630 1,883,642 Graham Holdings Co. Class B 493 330,916 * Hyatt Hotels Corp. Class A 971 54,648 # Kohl's Corp. 7,764 425,390 #* Lands' End, Inc. 1,794 49,604 Lear Corp. 4,168 346,194 * Liberty Global P.L.C. Class C 900 34,587 * Liberty Interactive Corp. Class A 38,618 1,122,239 * Liberty Media Corp. Class A 2,140 277,579 * Liberty Ventures Series A 3,424 198,729 * MGM Resorts International 39,570 998,351 * Mohawk Industries, Inc. 2,918 386,372 * News Corp. Class A 4,308 73,322 #* News Corp. Class B 1,165 19,269 PVH Corp. 971 121,928 Royal Caribbean Cruises, Ltd. 15,066 800,457 #* Sears Holdings Corp. 5,966 261,370 Service Corp. International 3,280 61,566 # Staples, Inc. 24,277 303,463 Target Corp. 14,203 877,035 Time Warner Cable, Inc. 25,682 3,632,976 Time Warner, Inc. 71,600 4,758,536 #* Toll Brothers, Inc. 3,219 110,219 * TRW Automotive Holdings Corp. 499 40,095 # Wendy's Co. (The) 16,731 139,035 ----------- Total Consumer Discretionary 28,253,936 ----------- Consumer Staples -- (6.6%) Archer-Daniels-Midland Co. 45,882 2,006,420 Bunge, Ltd. 9,326 742,816 CVS Caremark Corp. 95,713 6,960,249 JM Smucker Co. (The) 8,276 800,124 Molson Coors Brewing Co. Class B 12,839 769,955 Mondelez International, Inc. Class A 107,008 3,814,835 Tyson Foods, Inc. Class A 22,360 938,449 ----------- Total Consumer Staples 16,032,848 ----------- Energy -- (21.6%) Anadarko Petroleum Corp. 36,543 3,618,488 Apache Corp. 26,682 2,315,998 Baker Hughes, Inc. 27,445 1,918,406 VA U.S. LARGE VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Energy -- (Continued) # Chesapeake Energy Corp. 45,371 $ 1,304,416 Chevron Corp. 68,050 8,541,636 Cimarex Energy Co. 1,703 202,861 ConocoPhillips 95,487 7,095,639 # Denbury Resources, Inc. 25,234 424,436 Devon Energy Corp. 24,476 1,713,320 Exxon Mobil Corp. 17,803 1,823,205 # Helmerich & Payne, Inc. 8,243 895,602 Hess Corp. 24,374 2,173,186 HollyFrontier Corp. 4,754 250,013 Marathon Oil Corp. 51,214 1,851,386 Marathon Petroleum Corp. 23,311 2,166,757 Murphy Oil Corp. 12,268 778,159 Nabors Industries, Ltd. 23,648 603,497 National Oilwell Varco, Inc. 26,397 2,072,956 Noble Corp. P.L.C. 12,851 395,939 Occidental Petroleum Corp. 30,706 2,940,100 Patterson-UTI Energy, Inc. 11,657 379,202 Peabody Energy Corp. 3,849 73,170 Phillips 66 41,103 3,420,592 QEP Resources, Inc. 8,316 255,218 * Rowan Cos. P.L.C. Class A 10,039 310,406 Superior Energy Services, Inc. 5,259 173,126 Tesoro Corp. 8,670 488,034 # Transocean, Ltd. 18,610 801,533 Valero Energy Corp. 39,957 2,284,342 * Weatherford International, Ltd. 26,999 566,979 * Whiting Petroleum Corp. 3,824 281,905 ----------- Total Energy 52,120,507 ----------- Financials -- (20.7%) Aflac, Inc. 1,580 99,098 * Alleghany Corp. 178 72,620 Allied World Assurance Co. Holdings AG 2,463 265,240 Allstate Corp. (The) 4,771 271,708 * American Capital, Ltd. 18,064 270,779 American Financial Group, Inc. 6,402 374,069 American International Group, Inc. 82,674 4,392,470 American National Insurance Co. 871 97,909 Assurant, Inc. 5,877 396,169 Assured Guaranty, Ltd. 3,170 75,795 Axis Capital Holdings, Ltd. 8,009 366,412 Bank of America Corp. 371,178 5,619,635 Bank of New York Mellon Corp. (The) 50,605 1,713,991 BB&T Corp. 5,140 191,876 Capital One Financial Corp. 23,935 1,768,797 Citigroup, Inc. 101,521 4,863,871 # CME Group, Inc. 22,092 1,555,056 CNA Financial Corp. 6,933 283,906 * E*TRADE Financial Corp. 3,394 76,195 Everest Re Group, Ltd. 2,218 350,511 * Genworth Financial, Inc. Class A 39,942 712,965 VA U.S. LARGE VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Financials -- (Continued) Goldman Sachs Group, Inc. (The) 9,063 $ 1,448,449 Hartford Financial Services Group, Inc. (The) 31,104 1,115,700 JPMorgan Chase & Co. 128,347 7,184,865 # Legg Mason, Inc. 9,200 431,388 Leucadia National Corp. 1,845 47,084 Lincoln National Corp. 21,377 1,036,998 Loews Corp. 27,718 1,218,760 MetLife, Inc. 50,375 2,637,131 Morgan Stanley 87,548 2,707,860 # NASDAQ OMX Group, Inc. (The) 12,952 477,929 PartnerRe, Ltd. 3,863 407,160 # People's United Financial, Inc. 7,468 106,643 PNC Financial Services Group, Inc. (The) 4,531 380,785 Principal Financial Group, Inc. 2,175 101,877 Protective Life Corp. 1,161 59,385 Prudential Financial, Inc. 8,742 705,305 Regions Financial Corp. 95,676 970,155 Reinsurance Group of America, Inc. 5,596 429,269 SunTrust Banks, Inc. 35,215 1,347,326 Travelers Cos., Inc. (The) 2,311 209,330 Unum Group 18,980 630,516 Validus Holdings, Ltd. 3,689 136,751 Wells Fargo & Co. 25,126 1,247,255 XL Group P.L.C. 21,170 663,680 # Zions Bancorp. 12,934 374,051 ----------- Total Financials 49,894,724 ----------- Health Care -- (9.8%) Aetna, Inc. 29,702 2,122,208 * Bio-Rad Laboratories, Inc. Class A 250 30,803 * Boston Scientific Corp. 105,902 1,335,424 * CareFusion Corp. 16,484 643,865 Cigna Corp. 2,622 209,865 * Community Health Systems, Inc. 1,999 75,742 * Express Scripts Holding Co. 47,317 3,150,366 * Forest Laboratories, Inc. 7,849 721,402 #* Hologic, Inc. 20,932 439,258 Humana, Inc. 11,026 1,210,103 Omnicare, Inc. 8,170 484,236 Pfizer, Inc. 230,509 7,210,322 Teleflex, Inc. 1,338 136,596 Thermo Fisher Scientific, Inc. 28,431 3,241,134 UnitedHealth Group, Inc. 9,903 743,121 WellPoint, Inc. 19,421 1,955,306 ----------- Total Health Care 23,709,751 ----------- Industrials -- (9.5%) # ADT Corp. (The) 9,036 273,249 AGCO Corp. 5,687 316,766 #* Avis Budget Group, Inc. 1,163 61,162 CSX Corp. 81,927 2,311,980 Eaton Corp. P.L.C. 31,678 2,301,090 VA U.S. LARGE VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Industrials -- (Continued) FedEx Corp. 10,397 $ 1,416,591 General Electric Co. 171,495 4,611,501 * Genesee & Wyoming, Inc. Class A 1,120 110,891 * Hertz Global Holdings, Inc. 18,247 519,492 #* Jacobs Engineering Group, Inc. 2,328 134,326 KBR, Inc. 6,170 156,533 L-3 Communications Holdings, Inc. 6,492 748,982 Manpowergroup, Inc. 1,634 132,910 Norfolk Southern Corp. 23,455 2,217,201 Northrop Grumman Corp. 14,791 1,797,254 Oshkosh Corp. 2,278 126,452 Owens Corning 7,765 317,200 Pentair, Ltd. 6,882 511,264 * Quanta Services, Inc. 12,579 443,787 Republic Services, Inc. 23,807 835,388 Ryder System, Inc. 1,316 108,149 Southwest Airlines Co. 56,310 1,361,013 * Spirit Aerosystems Holdings, Inc. Class A 418 12,552 SPX Corp. 2,016 205,309 Stanley Black & Decker, Inc. 9,927 852,630 # Terex Corp. 1,518 65,714 Trinity Industries, Inc. 3,124 234,487 Union Pacific Corp. 1,662 316,495 #* United Rentals, Inc. 2,568 240,955 #* WESCO International, Inc. 1,377 120,873 ----------- Total Industrials 22,862,196 ----------- Information Technology -- (7.7%) Activision Blizzard, Inc. 38,274 765,863 Amdocs, Ltd. 4,450 207,059 * Arrow Electronics, Inc. 7,934 450,254 Avnet, Inc. 10,809 466,192 * Brocade Communications Systems, Inc. 14,480 134,809 Corning, Inc. 82,181 1,718,405 * EchoStar Corp. Class A 2,361 106,151 EMC Corp. 3,948 101,858 Fidelity National Information Services, Inc. 19,960 1,066,463 #* First Solar, Inc. 4,386 296,011 Hewlett-Packard Co. 134,639 4,451,165 * Ingram Micro, Inc. Class A 11,931 321,660 Intel Corp. 79,570 2,123,723 Jabil Circuit, Inc. 7,081 122,218 * Juniper Networks, Inc. 13,624 336,377 * Lam Research Corp. 4,689 270,133 # Leidos Holdings, Inc. 638 23,759 Marvell Technology Group, Ltd. 8,368 132,716 * Micron Technology, Inc. 66,760 1,743,771 # NVIDIA Corp. 9,264 171,106 #* Teradyne, Inc. 16,873 298,146 Western Digital Corp. 3,344 294,707 Xerox Corp. 83,434 1,008,717 * Yahoo!, Inc. 56,989 2,048,755 VA U.S. LARGE VALUE PORTFOLIO CONTINUED SHARES VALUE+ ------- ------------ Information Technology -- (Continued) #* Zynga, Inc. Class A 5,736 $ 23,231 ------------ Total Information Technology 18,683,249 ------------ Materials -- (3.4%) Alcoa, Inc. 86,347 1,163,094 Ashland, Inc. 6,253 604,040 Freeport-McMoRan Copper & Gold, Inc. 60,591 2,082,513 International Paper Co. 23,394 1,091,330 MeadWestvaco Corp. 13,118 512,520 Mosaic Co. (The) 4,887 244,545 Newmont Mining Corp. 5,866 145,653 Nucor Corp. 9,457 489,400 Reliance Steel & Aluminum Co. 6,250 442,625 Rock-Tenn Co. Class A 2,943 281,380 Steel Dynamics, Inc. 16,928 309,275 # United States Steel Corp. 6,332 164,759 # Vulcan Materials Co. 10,250 661,432 ------------ Total Materials 8,192,566 ------------ Telecommunication Services -- (3.9%) AT&T, Inc. 213,744 7,630,661 # CenturyLink, Inc. 38,023 1,327,383 # Frontier Communications Corp. 33,885 201,616 #* Sprint Corp. 13,022 110,687 # United States Cellular Corp. 2,591 107,630 # Windstream Holdings, Inc. 4,737 42,964 ------------ Total Telecommunication Services 9,420,941 ------------ Utilities -- (0.4%) NRG Energy, Inc. 25,467 833,280 UGI Corp. 1,713 79,980 ------------ Total Utilities 913,260 ------------ TOTAL COMMON STOCKS 230,083,978 ------------ TEMPORARY CASH INVESTMENTS -- (0.4%) State Street Institutional Liquid Reserves, 0.074% 950,580 950,580 ------------ SHARES/ FACE AMOUNT (000) ------- SECURITIES LENDING COLLATERAL -- (4.3%) (S)@ DFA Short Term Investment Fund 892,716 10,328,726 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $170,943,267) $241,363,284 ============ VA U.S. LARGE VALUE PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, 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 $ 28,253,936 -- -- $ 28,253,936 Consumer Staples 16,032,848 -- -- 16,032,848 Energy 52,120,507 -- -- 52,120,507 Financials 49,894,724 -- -- 49,894,724 Health Care 23,709,751 -- -- 23,709,751 Industrials 22,862,196 -- -- 22,862,196 Information Technology 18,683,249 -- -- 18,683,249 Materials 8,192,566 -- -- 8,192,566 Telecommunication Services 9,420,941 -- -- 9,420,941 Utilities 913,260 -- -- 913,260 Temporary Cash Investments 950,580 -- -- 950,580 Securities Lending Collateral -- $10,328,726 -- 10,328,726 ------------ ----------- -- ------------ TOTAL $231,034,558 $10,328,726 -- $241,363,284 ============ =========== == ============ VA INTERNATIONAL VALUE PORTFOLIO SCHEDULE OF INVESTMENTS APRIL 30, 2014 (UNAUDITED) SHARES VALUE++ ------ ---------- COMMON STOCKS -- (89.9%) AUSTRALIA -- (4.7%) #* Alumina, Ltd. 82,818 $ 104,031 AMP, Ltd. 3,443 16,203 Asciano, Ltd. 64,510 325,542 Bank of Queensland, Ltd. 12,131 138,688 Beach Energy, Ltd. 4,690 7,506 Bendigo and Adelaide Bank, Ltd. 14,667 157,195 * BlueScope Steel, Ltd. 19,752 119,416 # Boral, Ltd. 32,205 170,917 Caltex Australia, Ltd. 4,636 96,236 Echo Entertainment Group, Ltd. 17,525 46,094 # Harvey Norman Holdings, Ltd. 33,784 103,394 Incitec Pivot, Ltd. 57,564 154,517 # Leighton Holdings, Ltd. 1,909 33,946 Lend Lease Group 13,961 168,732 Macquarie Group, Ltd. 11,053 595,482 # Metcash, Ltd. 16,815 43,439 New Hope Corp., Ltd. 2,727 7,926 * Newcrest Mining, Ltd. 35,752 348,696 Origin Energy, Ltd. 48,731 676,966 Primary Health Care, Ltd. 19,378 84,696 #* Qantas Airways, Ltd. 32,996 37,534 QBE Insurance Group, Ltd. 29,779 321,394 Rio Tinto, Ltd. 6,041 348,380 Santos, Ltd. 60,170 771,461 Seven Group Holdings, Ltd. 9,893 75,781 Seven West Media, Ltd. 4,165 7,237 #* Sims Metal Management, Ltd. 3,933 35,970 Sonic Healthcare, Ltd. 5,515 90,971 Suncorp Group, Ltd. 50,266 610,439 Tabcorp Holdings, Ltd. 30,020 104,039 Tatts Group, Ltd. 42,566 119,720 # Toll Holdings, Ltd. 39,495 194,813 Treasury Wine Estates, Ltd. 22,039 78,488 # Washington H Soul Pattinson & Co., Ltd. 924 12,726 Wesfarmers, Ltd. 41,405 1,647,894 Woodside Petroleum, Ltd. 6,815 259,046 WorleyParsons, Ltd. 733 11,495 ---------- TOTAL AUSTRALIA 8,127,010 ---------- AUSTRIA -- (0.2%) Erste Group Bank AG 7,366 247,677 Raiffeisen Bank International AG 2,147 67,868 ---------- TOTAL AUSTRIA 315,545 ---------- BELGIUM -- (1.4%) Ageas 10,641 457,934 # Belgacom SA 4,459 136,479 Delhaize Group SA 4,481 333,670 KBC Groep NV 9,090 554,698 Solvay SA 3,156 511,446 VA INTERNATIONAL VALUE PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- BELGIUM -- (Continued) # UCB SA 5,259 $ 431,378 ---------- TOTAL BELGIUM 2,425,605 ---------- CANADA -- (7.8%) Agnico Eagle Mines, Ltd. 2,711 80,137 Agrium, Inc. 2,547 244,690 Bank of Montreal 1,896 130,710 Barrick Gold Corp. 43,584 761,412 # Bell Aliant, Inc. 605 14,904 * BlackBerry, Ltd.(09228F103) 8,930 68,404 #* BlackBerry, Ltd.(BCBHZ31) 4,071 31,088 # Bonavista Energy Corp. 3,588 56,371 Cameco Corp. 10,896 231,976 Canadian Natural Resources, Ltd.(136385101) 38,757 1,580,123 Canadian Natural Resources, Ltd.(2171573) 2,781 113,316 Canadian Tire Corp., Ltd. Class A 3,100 304,471 # Crescent Point Energy Corp. 11,518 468,580 Eldorado Gold Corp. 18,295 111,600 Empire Co., Ltd. 1,200 75,905 Enerplus Corp.(292766102) 2,400 53,304 Enerplus Corp.(B584T89) 5,540 122,875 Ensign Energy Services, Inc. 3,653 57,492 Fairfax Financial Holdings, Ltd. 700 305,214 # First Quantum Minerals, Ltd. 12,163 242,249 # Genworth MI Canada, Inc. 1,085 38,062 George Weston, Ltd. 485 36,541 Goldcorp, Inc.(380956409) 27,477 679,231 Goldcorp, Inc.(2676302) 4,600 113,610 # Husky Energy, Inc. 12,910 421,912 IAMGOLD Corp. 6,674 23,292 Industrial Alliance Insurance & Financial Services, Inc. 2,300 94,955 Kinross Gold Corp. 31,183 126,604 Loblaw Cos., Ltd. 1,429 62,125 #* Lundin Mining Corp. 17,290 88,339 Magna International, Inc. 4,166 408,143 Manulife Financial Corp.(56501R106) 3,000 56,250 Manulife Financial Corp.(2492519) 41,820 785,234 * MEG Energy Corp. 3,498 125,935 Pacific Rubiales Energy Corp. 7,197 117,471 Pan American Silver Corp.(697900108) 3,470 44,971 Pan American Silver Corp.(2669272) 1,700 22,025 # Pengrowth Energy Corp. 13,282 86,281 # Penn West Petroleum, Ltd. 13,997 126,555 Precision Drilling Corp. 8,434 109,652 # Sun Life Financial, Inc. 20,608 697,556 Suncor Energy, Inc.(867224107) 9,758 376,659 Suncor Energy, Inc.(B3NB1P2) 51,054 1,969,402 Talisman Energy, Inc.(87425E103) 25,587 264,314 Talisman Energy, Inc.(2068299) 13,939 144,089 Teck Resources, Ltd. Class B(878742204) 3,149 71,703 # Teck Resources, Ltd. Class B(2879327) 17,290 394,055 # Thomson Reuters Corp. 17,778 643,450 VA INTERNATIONAL VALUE PORTFOLIO CONTINUED SHARES VALUE++ ------ ----------- CANADA -- (Continued) TransAlta Corp.(89346D107) 1,138 $ 13,906 # TransAlta Corp.(2901628) 7,800 95,289 Trican Well Service, Ltd. 3,300 47,270 #* Turquoise Hill Resources, Ltd. 3,220 12,515 Yamana Gold, Inc. 27,400 205,241 ----------- TOTAL CANADA 13,557,458 ----------- DENMARK -- (1.6%) AP Moeller - Maersk A.S. Class A 130 295,343 AP Moeller - Maersk A.S. Class B 285 680,369 Carlsberg A.S. Class B 4,898 489,958 Danske Bank A.S. 24,724 699,521 # FLSmidth & Co. A.S. 1,010 54,073 H Lundbeck A.S. 1,633 47,594 Rockwool International A.S. Class B 152 29,320 TDC A.S. 36,035 338,400 * Vestas Wind Systems A.S. 3,016 133,944 ----------- TOTAL DENMARK 2,768,522 ----------- FINLAND -- (1.0%) # Fortum Oyj 20,229 457,015 Kesko Oyj Class B 2,106 86,204 # Neste Oil Oyj 2,910 59,847 * Nokia Oyj 52,157 390,529 Stora Enso Oyj Class R 29,113 297,291 UPM-Kymmene Oyj 25,565 447,740 ----------- TOTAL FINLAND 1,738,626 ----------- FRANCE -- (9.5%) * Alcatel-Lucent 25,244 100,111 AXA SA 59,061 1,541,256 BNP Paribas SA 30,023 2,256,062 Bollore SA(4572709) 269 171,450 * Bollore SA(BDGTH22) 1 617 # Bouygues SA 9,642 434,284 Cap Gemini SA 3,195 225,738 Casino Guichard Perrachon SA 3,012 383,799 * CGG SA Sponsored ADR 3,650 62,780 Cie de St-Gobain 19,618 1,201,905 Cie Generale des Etablissements Michelin 1,605 196,822 CNP Assurances 8,773 202,389 * Credit Agricole SA 48,568 766,328 Electricite de France SA 7,006 269,037 # GDF Suez 56,467 1,423,162 Lafarge SA 9,061 829,071 Lagardere SCA 3,821 160,140 Natixis 40,470 287,283 Orange SA 68,037 1,102,286 #* Peugeot SA 8,828 156,193 Renault SA 12,684 1,240,113 Rexel SA 6,558 165,569 VA INTERNATIONAL VALUE PORTFOLIO CONTINUED SHARES VALUE++ ------- ----------- FRANCE -- (Continued) SCOR SE 1,398 $ 51,157 Societe Generale SA 21,148 1,317,038 STMicroelectronics NV 28,793 274,576 Vallourec SA 4,445 262,679 Vicat 80 6,943 Vivendi SA 53,030 1,424,757 ----------- TOTAL FRANCE 16,513,545 ----------- GERMANY -- (7.7%) # Allianz SE 7,745 1,347,861 Allianz SE ADR 42,793 746,738 Bayerische Motoren Werke AG 11,585 1,456,292 * Commerzbank AG 21,161 377,325 Daimler AG 33,999 3,165,277 Deutsche Bank AG 24,639 1,085,236 # Deutsche Lufthansa AG 11,388 285,985 Deutsche Telekom AG Sponsored ADR 6,917 115,860 # E.ON SE 59,606 1,141,744 Fraport AG Frankfurt Airport Services Worldwide 408 30,175 # Hannover Rueck SE 900 83,864 # HeidelbergCement AG 5,477 475,886 # K+S AG 4,545 159,257 * Metro AG 2,948 118,108 # Muenchener Rueckversicherungs AG 5,893 1,362,219 RWE AG 28,761 1,097,551 * Talanx AG 858 32,832 Telefonica Deutschland Holding AG 6,209 51,655 Volkswagen AG 1,078 289,064 ----------- TOTAL GERMANY 13,422,929 ----------- HONG KONG -- (2.2%) Cathay Pacific Airways, Ltd. 50,001 94,627 Cheung Kong Holdings, Ltd. 29,000 494,493 Hang Lung Group, Ltd. 10,000 54,308 Henderson Land Development Co., Ltd. 40,675 244,186 Hongkong & Shanghai Hotels (The) 19,052 27,862 Hopewell Holdings, Ltd. 19,000 65,403 Hutchison Whampoa, Ltd. 78,000 1,070,120 * Kerry Logistics Network, Ltd. 7,750 11,404 Kerry Properties, Ltd. 16,500 54,548 MTR Corp., Ltd. 3,500 13,271 New World Development Co., Ltd. 249,744 258,709 NWS Holdings, Ltd. 6,000 10,228 Orient Overseas International, Ltd. 6,500 31,094 Shangri-La Asia, Ltd. 44,000 72,198 Sino Land Co., Ltd. 38,000 56,981 Sun Hung Kai Properties, Ltd. 39,362 497,943 Swire Pacific, Ltd. Class A 19,000 219,318 Swire Pacific, Ltd. Class B 7,500 16,652 Wharf Holdings, Ltd. 35,635 250,853 VA INTERNATIONAL VALUE PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- HONG KONG -- (Continued) Wheelock & Co., Ltd. 52,000 $ 215,309 ---------- TOTAL HONG KONG 3,759,507 ---------- IRELAND -- (0.2%) * Bank of Ireland 380,321 148,497 * Bank of Ireland Sponsored ADR 5,075 87,391 CRH P.L.C. Sponsored ADR 4,156 121,688 ---------- TOTAL IRELAND 357,576 ---------- ISRAEL -- (0.4%) Bank Hapoalim BM 74,220 419,268 * Bank Leumi Le-Israel BM 49,152 192,321 * Israel Discount Bank, Ltd. Class A 34,311 61,346 Mizrahi Tefahot Bank, Ltd. 782 10,454 ---------- TOTAL ISRAEL 683,389 ---------- ITALY -- (1.6%) #* Banca Monte dei Paschi di Siena SpA 227,814 76,140 * Finmeccanica SpA 4,820 44,606 Intesa Sanpaolo SpA 175,921 602,007 * Telecom Italia SpA 281,418 361,630 Telecom Italia SpA Sponsored ADR 24,800 318,432 UniCredit SpA 132,894 1,190,683 Unione di Banche Italiane SCPA 17,460 166,664 ---------- TOTAL ITALY 2,760,162 ---------- JAPAN -- (17.6%) 77 Bank, Ltd. (The) 9,000 40,631 Aeon Co., Ltd. 31,600 364,968 Aisin Seiki Co., Ltd. 7,500 265,045 Alfresa Holdings Corp. 1,400 87,160 Amada Co., Ltd. 17,000 122,947 Aoyama Trading Co., Ltd. 1,900 47,148 Asahi Glass Co., Ltd. 63,000 357,171 Asahi Kasei Corp. 71,000 482,715 Azbil Corp. 2,200 49,924 Bank of Kyoto, Ltd. (The) 9,000 73,332 Bank of Yokohama, Ltd. (The) 35,000 175,913 Brother Industries, Ltd. 9,400 131,482 Canon Marketing Japan, Inc. 2,000 32,211 Chiba Bank, Ltd. (The) 25,000 158,910 Chugoku Bank, Ltd. (The) 5,400 71,584 Citizen Holdings Co., Ltd. 13,400 98,408 # Coca-Cola West Co., Ltd. 2,800 48,731 COMSYS Holdings Corp. 2,400 39,346 Cosmo Oil Co., Ltd. 34,000 63,604 Dai Nippon Printing Co., Ltd. 24,000 216,177 # Dai-ichi Life Insurance Co., Ltd. (The) 7,700 106,697 Daicel Corp. 12,000 100,497 # Daido Steel Co., Ltd. 15,000 73,341 Denki Kagaku Kogyo K.K. 16,000 53,065 VA INTERNATIONAL VALUE PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- JAPAN -- (Continued) Fuji Media Holdings, Inc. 1,800 $ 30,326 FUJIFILM Holdings Corp. 20,900 539,890 Fukuoka Financial Group, Inc. 25,000 102,100 # Fukuyama Transporting Co., Ltd. 8,000 46,817 Furukawa Electric Co., Ltd. 19,000 42,778 Glory, Ltd. 1,200 31,046 Gunma Bank, Ltd. (The) 12,000 63,783 H2O Retailing Corp. 6,000 45,279 Hachijuni Bank, Ltd. (The) 17,000 92,938 Hankyu Hanshin Holdings, Inc. 30,000 164,417 Hiroshima Bank, Ltd. (The) 12,000 49,371 Hitachi Capital Corp. 1,100 27,112 Hitachi Chemical Co., Ltd. 4,600 67,674 # Hitachi Construction Machinery Co., Ltd. 3,800 70,515 Hitachi High-Technologies Corp. 1,500 34,314 Hitachi Transport System, Ltd. 900 13,810 Hokkoku Bank, Ltd. (The) 2,000 6,697 Hokuhoku Financial Group, Inc. 26,000 50,173 House Foods Group, Inc. 1,600 26,624 Ibiden Co., Ltd. 4,800 86,641 Idemitsu Kosan Co., Ltd. 3,200 70,763 Inpex Corp. 29,600 431,669 Isetan Mitsukoshi Holdings, Ltd. 11,700 145,596 ITOCHU Corp. 62,400 699,491 Iyo Bank, Ltd. (The) 8,000 71,928 J Front Retailing Co., Ltd. 22,000 139,844 JFE Holdings, Inc. 20,700 382,562 Joyo Bank, Ltd. (The) 14,000 68,139 JTEKT Corp. 7,500 109,429 JX Holdings, Inc. 93,427 485,428 K's Holdings Corp. 700 20,314 Kagoshima Bank, Ltd. (The) 5,000 31,230 Kajima Corp. 36,000 137,070 Kamigumi Co., Ltd. 8,000 76,258 Kaneka Corp. 8,000 46,923 Kawasaki Kisen Kaisha, Ltd. 26,000 52,207 Keiyo Bank, Ltd. (The) 4,000 17,606 Kewpie Corp. 2,600 37,400 Kinden Corp. 2,000 18,413 Kobe Steel, Ltd. 122,000 160,145 Konica Minolta, Inc. 28,500 265,567 Kuraray Co., Ltd. 22,400 251,860 Kurita Water Industries, Ltd. 1,700 35,802 Kyocera Corp. 13,400 630,201 Kyowa Hakko Kirin Co., Ltd. 8,000 91,102 LIXIL Group Corp. 800 21,200 Marubeni Corp. 71,000 474,451 Marui Group Co., Ltd. 6,000 53,296 Matsumotokiyoshi Holdings Co., Ltd. 1,400 41,313 Medipal Holdings Corp. 4,200 59,075 MEIJI Holdings Co., Ltd. 2,302 141,266 Mitsubishi Chemical Holdings Corp. 82,600 330,567 VA INTERNATIONAL VALUE PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- JAPAN -- (Continued) Mitsubishi Corp. 49,800 $ 891,784 Mitsubishi Gas Chemical Co., Inc. 13,000 75,055 # Mitsubishi Logistics Corp. 6,000 86,082 Mitsubishi Materials Corp. 57,000 165,330 Mitsubishi Tanabe Pharma Corp. 7,800 106,956 Mitsubishi UFJ Financial Group, Inc. 459,000 2,441,648 Mitsui & Co., Ltd. 72,300 1,025,385 # Mitsui Chemicals, Inc. 29,000 70,667 Mitsui Mining & Smelting Co., Ltd. 21,000 52,073 Mitsui OSK Lines, Ltd. 61,000 203,500 Mizuho Financial Group, Inc. 737,600 1,444,669 MS&AD Insurance Group Holdings 15,250 342,090 Nagase & Co., Ltd. 2,000 24,506 Nanto Bank, Ltd. (The) 3,000 11,260 NEC Corp. 167,000 469,770 NHK Spring Co., Ltd. 400 3,621 Nippo Corp. 2,000 30,559 Nippon Electric Glass Co., Ltd. 16,000 78,271 Nippon Express Co., Ltd. 41,000 193,820 Nippon Meat Packers, Inc. 5,000 86,657 # Nippon Paper Industries Co., Ltd. 4,100 74,930 # Nippon Shokubai Co., Ltd. 3,000 34,615 Nippon Steel & Sumitomo Metal Corp. 322,185 845,297 # Nippon Yusen K.K. 79,000 214,131 Nishi-Nippon City Bank, Ltd. (The) 18,000 40,943 Nissan Motor Co., Ltd. 89,900 775,711 # Nisshin Seifun Group, Inc. 6,600 76,788 Nisshin Steel Co., Ltd. 2,300 23,622 Nisshinbo Holdings, Inc. 3,000 25,702 NKSJ Holdings, Inc. 8,000 199,591 NOK Corp. 2,800 45,777 * NTN Corp. 19,000 65,026 # NTT DOCOMO, Inc. 58,700 936,297 # Obayashi Corp. 26,000 167,879 Oji Holdings Corp. 40,000 168,060 Onward Holdings Co., Ltd. 2,000 13,452 Otsuka Holdings Co., Ltd. 2,800 80,662 Rengo Co., Ltd. 6,000 26,812 Resona Holdings, Inc. 36,100 184,579 Ricoh Co., Ltd. 44,300 510,472 Rohm Co., Ltd. 3,300 157,812 Sankyo Co., Ltd. 1,800 71,984 SBI Holdings, Inc. 8,180 93,546 Seino Holdings Co., Ltd. 5,000 49,419 Sekisui Chemical Co., Ltd. 7,000 70,939 Sekisui House, Ltd. 29,500 354,106 Shiga Bank, Ltd. (The) 4,000 21,873 Shimizu Corp. 20,000 113,373 # Shinsei Bank, Ltd. 5,000 9,748 Shizuoka Bank, Ltd. (The) 9,000 85,995 # Showa Denko K.K. 49,000 65,290 Showa Shell Sekiyu K.K. 5,500 55,794 VA INTERNATIONAL VALUE PORTFOLIO CONTINUED SHARES VALUE++ ------- ----------- JAPAN -- (Continued) SKY Perfect JSAT Holdings, Inc. 2,300 $ 12,367 Sohgo Security Services Co., Ltd. 2,000 42,402 Sojitz Corp. 34,370 54,195 # Sony Corp. 12,400 217,689 Sony Corp. Sponsored ADR 29,100 513,324 Sumitomo Bakelite Co., Ltd. 2,000 7,617 Sumitomo Chemical Co., Ltd. 88,000 330,145 Sumitomo Corp. 49,200 638,640 Sumitomo Electric Industries, Ltd. 32,500 449,838 Sumitomo Forestry Co., Ltd. 3,000 30,512 # Sumitomo Heavy Industries, Ltd. 13,000 55,314 Sumitomo Metal Mining Co., Ltd. 25,000 377,613 Sumitomo Mitsui Financial Group, Inc. 25,700 1,015,929 Sumitomo Mitsui Trust Holdings, Inc. 48,030 197,917 Sumitomo Osaka Cement Co., Ltd. 14,000 55,680 Sumitomo Rubber Industries, Ltd. 1,400 19,457 Suzuken Co., Ltd. 3,000 108,135 Suzuki Motor Corp. 15,200 392,161 T&D Holdings, Inc. 22,800 272,147 Taiyo Nippon Sanso Corp. 1,000 7,971 Takashimaya Co., Ltd. 12,000 113,690 TDK Corp. 7,300 311,283 Teijin, Ltd. 36,000 88,490 Tokai Rika Co., Ltd. 2,400 41,710 Tokio Marine Holdings, Inc. 5,300 156,169 Tokyo Broadcasting System Holdings, Inc. 1,700 18,467 # Toppan Printing Co., Ltd. 24,000 164,828 Tosoh Corp. 21,000 80,134 Toyo Seikan Group Holdings, Ltd. 5,100 75,847 Toyoda Gosei Co., Ltd. 1,400 25,796 Toyota Tsusho Corp. 12,800 337,142 TV Asahi Holdings Corp. 700 12,197 Ube Industries, Ltd. 42,000 71,157 UNY Group Holdings Co., Ltd. 5,300 34,204 Ushio, Inc. 4,100 53,553 Wacoal Holdings Corp. 2,000 19,728 # Yamada Denki Co., Ltd. 35,300 130,415 # Yamaguchi Financial Group, Inc. 7,000 64,553 Yamaha Corp. 5,000 66,993 Yamato Kogyo Co., Ltd. 1,600 46,141 # Yamazaki Baking Co., Ltd. 5,000 61,092 ----------- TOTAL JAPAN 30,687,997 ----------- NETHERLANDS -- (3.5%) Aegon NV 66,432 608,943 Akzo Nobel NV 6,147 473,701 # ArcelorMittal(B295F26) 19,572 318,045 ArcelorMittal(B03XPL1) 41,451 674,044 Fugro NV 1,469 97,343 * ING Groep NV 109,394 1,563,771 * ING Groep NV Sponsored ADR 20,692 295,896 Koninklijke Ahold NV 24,349 470,711 VA INTERNATIONAL VALUE PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- NETHERLANDS -- (Continued) Koninklijke Boskalis Westminster NV 3,210 $ 181,932 Koninklijke DSM NV 8,456 607,206 * Koninklijke KPN NV 25,088 89,134 Koninklijke Philips NV 21,366 683,993 TNT Express NV 3,513 31,658 ---------- TOTAL NETHERLANDS 6,096,377 ---------- NEW ZEALAND -- (0.1%) Auckland International Airport, Ltd. 7,235 24,780 Contact Energy, Ltd. 20,560 100,990 Fletcher Building, Ltd. 299 2,542 ---------- TOTAL NEW ZEALAND 128,312 ---------- NORWAY -- (0.7%) # DNB ASA 33,491 593,645 # Norsk Hydro ASA 44,745 239,976 # Orkla ASA 5,458 45,141 * Storebrand ASA 11,463 64,346 Subsea 7 SA 8,201 164,219 # Yara International ASA 2,875 135,905 ---------- TOTAL NORWAY 1,243,232 ---------- PORTUGAL -- (0.1%) #* Banco Espirito Santo SA 40,541 71,860 * EDP Renovaveis SA 22,018 150,992 ---------- TOTAL PORTUGAL 222,852 ---------- SINGAPORE -- (1.0%) CapitaLand, Ltd. 105,000 268,724 City Developments, Ltd. 4,000 34,656 DBS Group Holdings, Ltd. 29,449 398,950 Golden Agri-Resources, Ltd. 277,000 135,130 Hutchison Port Holdings Trust 72,000 49,000 Keppel Land, Ltd. 25,000 69,161 #* Neptune Orient Lines, Ltd. 7,000 5,678 Noble Group, Ltd. 199,000 204,906 Olam International, Ltd. 39,000 69,592 OUE Hospitality Trust 500 347 # OUE, Ltd. 3,000 5,439 Singapore Airlines, Ltd. 28,800 238,764 United Industrial Corp., Ltd. 24,000 64,183 UOL Group, Ltd. 12,400 63,665 Venture Corp., Ltd. 3,000 18,376 Wilmar International, Ltd. 58,000 157,633 ---------- TOTAL SINGAPORE 1,784,204 ---------- SPAIN -- (2.4%) Acciona SA 930 75,651 Banco de Sabadell SA 51,765 176,118 Banco Popular Espanol SA 40,563 298,903 Banco Santander SA 159,735 1,588,671 VA INTERNATIONAL VALUE PORTFOLIO CONTINUED SHARES VALUE++ ------- ----------- SPAIN -- (Continued) # CaixaBank SA 22,381 $ 136,406 Iberdrola SA 163,978 1,145,475 Repsol SA 25,545 687,774 ----------- TOTAL SPAIN 4,108,998 ----------- SWEDEN -- (2.7%) # Boliden AB 9,316 142,277 ICA Gruppen AB 1,636 55,029 Meda AB Class A 7,966 143,188 Nordea Bank AB 85,572 1,239,989 Skandinaviska Enskilda Banken AB Class A 54,182 748,411 #* SSAB AB Class A 5,533 48,307 #* SSAB AB Class B 2,545 19,254 Svenska Cellulosa AB Class A 318 8,893 Svenska Cellulosa AB Class B 11,224 315,541 Svenska Handelsbanken AB Class A 6,120 307,836 Swedbank AB Class A 12,557 336,049 Tele2 AB Class B 7,621 97,390 Telefonaktiebolaget LM Ericsson Class A 164 1,890 Telefonaktiebolaget LM Ericsson Class B 47,807 576,479 Telefonaktiebolaget LM Ericsson Sponsored ADR 30,813 369,448 TeliaSonera AB 38,350 279,152 ----------- TOTAL SWEDEN 4,689,133 ----------- SWITZERLAND -- (8.1%) Adecco SA 4,123 346,134 Aryzta AG 4,655 430,287 Baloise Holding AG 2,199 267,780 Clariant AG 13,890 273,909 Credit Suisse Group AG 51,115 1,620,480 Givaudan SA 56 88,378 Holcim, Ltd. 10,715 982,741 Julius Baer Group, Ltd. 229 10,726 Lonza Group AG 799 83,624 Novartis AG 38,719 3,365,939 Novartis AG ADR 10,786 937,735 OC Oerlikon Corp. AG 1,284 20,454 Sulzer AG 1,072 165,412 Swiss Life Holding AG 1,200 295,651 Swiss Re AG 22,063 1,929,213 UBS AG(H89231338) 14,791 309,280 UBS AG(B18YFJ4) 63,790 1,334,095 Zurich Insurance Group AG 5,596 1,604,702 ----------- TOTAL SWITZERLAND 14,066,540 ----------- UNITED KINGDOM -- (15.4%) Anglo American P.L.C. 50,374 1,346,653 Barclays P.L.C. 293 1,251 Barclays P.L.C. Sponsored ADR 119,644 2,047,102 Barratt Developments P.L.C. 10,851 67,864 BP P.L.C. Sponsored ADR 128,132 6,486,042 VA INTERNATIONAL VALUE PORTFOLIO CONTINUED SHARES VALUE++ --------- ------------ UNITED KINGDOM -- (Continued) Carnival P.L.C. 3,014 $ 120,496 # Carnival P.L.C. ADR 2,954 117,894 Glencore Xstrata P.L.C. 124,948 674,189 HSBC Holdings P.L.C. Sponsored ADR 66,182 3,396,460 Investec P.L.C. 6,563 57,910 J Sainsbury P.L.C. 44,505 252,468 Kingfisher P.L.C. 66,999 474,106 * Lloyds Banking Group P.L.C. 71,659 91,380 * Lloyds Banking Group P.L.C. ADR 176,409 912,034 Old Mutual P.L.C. 101,877 344,351 Resolution, Ltd. 48,633 245,346 * Royal Bank of Scotland Group P.L.C. 28,132 142,529 * Royal Bank of Scotland Group P.L.C. Sponsored ADR 18,812 191,130 # Royal Dutch Shell P.L.C. ADR(780259107) 38,739 3,279,256 Royal Dutch Shell P.L.C. ADR(780259206) 47,974 3,777,473 RSA Insurance Group P.L.C. 64,390 106,914 Vedanta Resources P.L.C. 3,221 51,579 Vodafone Group P.L.C. 367,083 1,393,669 Vodafone Group P.L.C. Sponsored ADR 25,108 953,093 WM Morrison Supermarkets P.L.C. 99,891 339,097 ------------ TOTAL UNITED KINGDOM 26,870,286 ------------ TOTAL COMMON STOCKS 156,327,805 ------------ PREFERRED STOCKS -- (0.0%) GERMANY -- (0.0%) Porsche Automobil Holding SE 398 44,017 ------------ RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) * Bank of Queensland, Ltd. Rights 05/09/14 1,255 -- ------------ FRANCE -- (0.0%) * Peugeot SA Warrants 04/29/17 8,828 16,889 ------------ HONG KONG -- (0.0%) * Sun Hung Kai Properties 04/22/16 2,917 1,994 ------------ SPAIN -- (0.0%) * Banco Santander SA 159,735 33,793 ------------ TOTAL RIGHTS/WARRANTS 52,676 ------------ SHARES/ FACE AMOUNT (000) VALUE+ --------- ------------ SECURITIES LENDING COLLATERAL -- (10.1%) (S)@ DFA Short Term Investment Fund 1,510,546 17,477,019 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $161,384,052) $173,901,517 ============ VA INTERNATIONAL VALUE PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, 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 -- $ 8,127,010 -- $ 8,127,010 Austria -- 315,545 -- 315,545 Belgium -- 2,425,605 -- 2,425,605 Canada $13,557,458 -- -- 13,557,458 Denmark -- 2,768,522 -- 2,768,522 Finland -- 1,738,626 -- 1,738,626 France 63,397 16,450,148 -- 16,513,545 Germany 862,598 12,560,331 -- 13,422,929 Hong Kong -- 3,759,507 -- 3,759,507 Ireland 209,079 148,497 -- 357,576 Israel -- 683,389 -- 683,389 Italy 318,432 2,441,730 -- 2,760,162 Japan 513,324 30,174,673 -- 30,687,997 Netherlands 613,941 5,482,436 -- 6,096,377 New Zealand -- 128,312 -- 128,312 Norway -- 1,243,232 -- 1,243,232 Portugal -- 222,852 -- 222,852 Singapore -- 1,784,204 -- 1,784,204 Spain -- 4,108,998 -- 4,108,998 Sweden 369,448 4,319,685 -- 4,689,133 Switzerland 1,247,015 12,819,525 -- 14,066,540 United Kingdom 21,160,484 5,709,802 -- 26,870,286 Preferred Stocks Germany -- 44,017 -- 44,017 Rights/Warrants Australia -- -- -- -- France -- 16,889 -- 16,889 Hong Kong -- 1,994 -- 1,994 Spain -- 33,793 -- 33,793 Securities Lending Collateral -- 17,477,019 -- 17,477,019 ----------- ------------ -- ------------ TOTAL $38,915,176 $134,986,341 -- $173,901,517 =========== ============ == ============ VA INTERNATIONAL SMALL PORTFOLIO SCHEDULE OF INVESTMENTS APRIL 30, 2014 (UNAUDITED) SHARES VALUE++ ------- -------- COMMON STOCKS -- (87.8%) AUSTRALIA -- (4.8%) Adelaide Brighton, Ltd. 25,479 $ 92,871 * AED Oil, Ltd. 4,139 -- Ainsworth Game Technology, Ltd. 752 2,909 #* Alkane Resources, Ltd. 19,700 5,600 * Alliance Resources, Ltd. 21,658 4,638 Amalgamated Holdings, Ltd. 5,533 45,241 Amcom Telecommunications, Ltd. 11,807 23,100 Ansell, Ltd. 6,552 110,343 * Antares Energy, Ltd. 12,881 4,797 * APN News & Media, Ltd. 73,867 48,716 #* Aquarius Platinum, Ltd. 18,485 6,625 #* Aquila Resources, Ltd. 5,368 12,522 * Arafura Resources, Ltd. 7,863 541 ARB Corp., Ltd. 3,547 40,284 Aristocrat Leisure, Ltd. 22,664 106,330 Arrium, Ltd. 105,647 117,739 # Atlas Iron, Ltd. 49,744 42,189 * Aurora Oil & Gas, Ltd. 28,855 109,639 # Ausdrill, Ltd. 21,215 18,406 Ausenco, Ltd. 6,384 3,297 * Austal, Ltd. 6,527 6,373 Austbrokers Holdings, Ltd. 3,717 35,135 # Austin Engineering, Ltd. 1,943 3,725 #* Australian Agricultural Co., Ltd. 35,981 42,813 # Australian Infrastructure Fund, Ltd. 40,779 171 Australian Pharmaceutical Industries, Ltd. 21,680 11,696 Automotive Holdings Group, Ltd. 14,160 52,787 * AVJennings, Ltd. 30,044 16,131 * AWE, Ltd. 35,889 52,428 BC Iron, Ltd. 12,894 52,533 Beach Energy, Ltd. 87,341 139,777 * Beadell Resources, Ltd. 69,221 42,616 Bega Cheese, Ltd. 8,293 39,733 * Billabong International, Ltd. 11,908 5,267 Blackmores, Ltd. 382 9,542 #* Boart Longyear, Ltd. 30,454 8,101 * Boom Logistics, Ltd. 20,098 3,005 # Bradken, Ltd. 11,422 45,078 # Breville Group, Ltd. 5,880 50,212 # Brickworks, Ltd. 2,046 25,505 BT Investment Management, Ltd. 3,396 21,196 # Cabcharge Australia, Ltd. 9,538 34,429 # Cardno, Ltd. 10,002 65,139 * Carnarvon Petroleum, Ltd. 6,703 543 carsales.com, Ltd. 12,426 125,841 # Cash Converters International, Ltd. 15,875 16,113 Cedar Woods Properties, Ltd. 2,100 14,144 * Citigold Corp., Ltd. 58,895 2,192 #* Coal of Africa, Ltd. 22,474 1,553 #* Coalspur Mines, Ltd. 21,206 3,555 #* Cockatoo Coal, Ltd. 92,097 2,986 VA INTERNATIONAL SMALL PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- AUSTRALIA -- (Continued) # Codan, Ltd. 2,725 $ 1,699 Crowe Horwath Australasia, Ltd. 9,562 3,287 # CSG, Ltd. 14,081 11,459 CSR, Ltd. 39,692 135,176 #* Cudeco, Ltd. 4,262 7,473 # David Jones, Ltd. 33,723 123,539 Decmil Group, Ltd. 8,327 15,780 # Domino's Pizza Enterprises, Ltd. 3,237 59,709 Downer EDI, Ltd. 36,327 169,586 #* Drillsearch Energy, Ltd. 45,211 67,701 DuluxGroup, Ltd. 29,222 156,081 Echo Entertainment Group, Ltd. 50,672 133,277 #* Elders, Ltd. 15,828 1,620 * Emeco Holdings, Ltd. 37,864 9,223 * Energy World Corp., Ltd. 50,545 13,422 Envestra, Ltd. 91,701 99,520 # Evolution Mining, Ltd. 9,266 7,393 Fairfax Media, Ltd. 140,008 127,922 # Fleetwood Corp., Ltd. 6,315 13,582 FlexiGroup, Ltd. 6,860 24,699 * Flinders Mines, Ltd. 135,740 2,657 # Forge Group, Ltd. 2,468 -- G8 Education, Ltd. 4,894 21,345 * Galaxy Resources, Ltd. 21,890 1,179 #* Gindalbie Metals, Ltd. 27,192 1,470 Goodman Fielder, Ltd. 127,846 80,234 GrainCorp, Ltd. Class A 11,240 92,701 #* Gryphon Minerals, Ltd. 13,245 1,678 # GUD Holdings, Ltd. 5,383 26,809 #* Gunns, Ltd. 32,848 -- GWA Group, Ltd. 14,186 35,593 Hills, Ltd. 26,079 41,038 #* Horizon Oil, Ltd. 75,236 26,646 iiNET, Ltd. 9,099 60,745 # Imdex, Ltd. 13,781 9,444 Independence Group NL 15,853 64,268 #* Infigen Energy 14,000 2,409 * Intrepid Mines, Ltd. 7,169 1,835 Invocare, Ltd. 7,742 76,754 IOOF Holdings, Ltd. 13,685 108,201 Iress, Ltd. 9,257 71,420 * Iron Ore Holdings, Ltd. 7,983 6,982 # JB Hi-Fi, Ltd. 7,902 141,999 * Kagara, Ltd. 27,762 593 #* Karoon Gas Australia, Ltd. 5,930 13,628 #* Kingsgate Consolidated, Ltd. 11,507 9,620 #* Lynas Corp., Ltd. 10,000 1,533 # M2 Group, Ltd. 13,520 71,040 MACA, Ltd. 3,463 6,920 * Macmahon Holdings, Ltd. 69,831 6,847 Macquarie Atlas Roads Group 10,938 31,734 Magellan Financial Group, Ltd. 3,957 46,243 VA INTERNATIONAL SMALL PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- AUSTRALIA -- (Continued) * Mayne Pharma Group, Ltd. 52,407 $ 41,525 # McMillan Shakespeare, Ltd. 4,394 39,801 * Medusa Mining, Ltd. 7,354 12,357 Mermaid Marine Australia, Ltd. 18,410 36,674 #* Mesoblast, Ltd. 7,543 32,729 Metcash, Ltd. 35,507 91,726 Mincor Resources NL 14,047 10,529 * Mineral Deposits, Ltd. 3,797 7,063 Mineral Resources, Ltd. 9,849 106,937 * Molopo Energy, Ltd. 15,907 2,445 # Monadelphous Group, Ltd. 7,985 130,190 Mortgage Choice, Ltd. 10,500 25,921 # Mount Gibson Iron, Ltd. 38,346 26,187 # Myer Holdings, Ltd. 44,787 92,783 Navitas, Ltd. 19,169 131,450 # NIB Holdings, Ltd. 27,676 70,851 Northern Star Resources, Ltd. 35,899 39,269 NRW Holdings, Ltd. 16,092 16,835 # Nufarm, Ltd. 20,029 77,482 Oakton, Ltd. 7,474 10,085 #* Orocobre, Ltd. 7,187 14,924 OZ Minerals, Ltd. 19,289 66,384 Pacific Brands, Ltd. 63,194 29,753 #* Paladin Energy, Ltd. 45,144 18,360 PanAust, Ltd. 15,632 23,508 Panoramic Resources, Ltd. 8,860 5,197 * Peet, Ltd. 8,023 9,616 Perpetual, Ltd. 2,899 126,908 #* Perseus Mining, Ltd. 28,599 9,363 #* Pharmaxis, Ltd. 18,394 1,354 #* Platinum Australia, Ltd. 23,193 129 * PMP, Ltd. 17,571 6,963 Premier Investments, Ltd. 8,397 77,555 Primary Health Care, Ltd. 40,299 176,136 Prime Media Group, Ltd. 5,377 4,947 Programmed Maintenance Services, Ltd. 4,827 12,781 Qube Holdings, Ltd. 7,121 14,746 #* Ramelius Resources, Ltd. 16,758 1,640 RCR Tomlinson, Ltd. 10,693 27,230 # Reckon, Ltd. 1,448 2,652 * Red Fork Energy, Ltd. 6,630 647 # Regis Resources, Ltd. 22,571 51,186 # Reject Shop, Ltd. (The) 1,897 17,670 * Resolute Mining, Ltd. 79,046 44,680 Retail Food Group, Ltd. 13,321 51,807 * Rex Minerals, Ltd. 7,834 2,442 Ridley Corp., Ltd. 33,330 26,167 * Roc Oil Co., Ltd. 66,001 29,478 # SAI Global, Ltd. 14,562 57,860 Salmat, Ltd. 3,642 6,477 #* Samson Oil & Gas, Ltd. 76,724 1,326 * Sandfire Resources NL 2,891 15,358 VA INTERNATIONAL SMALL PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- AUSTRALIA -- (Continued) * Saracen Mineral Holdings, Ltd. 36,822 $ 11,336 Select Harvests, Ltd. 3,697 21,683 * Senex Energy, Ltd. 69,792 43,351 # Servcorp, Ltd. 1,569 6,768 Service Stream, Ltd. 25,993 4,969 Seven West Media, Ltd. 34,883 60,611 Sigma Pharmaceuticals, Ltd. 129,270 87,242 * Silex Systems, Ltd. 1,112 1,875 * Silver Lake Resources, Ltd. 25,841 9,889 #* Sims Metal Management, Ltd. 13,980 127,857 Sirtex Medical, Ltd. 2,800 41,097 Skilled Group, Ltd. 14,670 37,518 Slater & Gordon, Ltd. 6,880 30,186 # SMS Management & Technology, Ltd. 6,207 21,681 Southern Cross Media Group, Ltd. 67,418 80,735 Spark Infrastructure Group 72,465 119,081 Specialty Fashion Group, Ltd. 19,600 16,883 #* St Barbara, Ltd. 26,761 5,379 * Starpharma Holdings, Ltd. 8,008 5,291 STW Communications Group, Ltd. 29,890 39,262 * Sundance Energy Australia, Ltd. 47,232 45,793 Sunland Group, Ltd. 14,139 21,974 Super Retail Group, Ltd. 11,908 112,713 #* Tap Oil, Ltd. 20,587 7,949 Tassal Group, Ltd. 7,976 30,776 Technology One, Ltd. 23,020 54,041 #* Ten Network Holdings, Ltd. 107,739 27,139 TFS Corp., Ltd. 1,025 1,623 * Tiger Resources, Ltd. 96,920 32,235 Tox Free Solutions, Ltd. 8,871 28,567 * Transfield Services, Ltd. 28,963 25,936 * Transpacific Industries Group, Ltd. 81,277 84,521 # Treasury Wine Estates, Ltd. 7,763 27,647 #* Troy Resources, Ltd. 2,843 2,595 # UGL, Ltd. 8,011 50,381 UXC, Ltd. 17,099 13,435 Village Roadshow, Ltd. 10,695 70,216 #* Virgin Australia Holdings, Ltd. 149,153 51,334 Virgin Australia Holdings, Ltd. (ACI01NXR8) 110,192 -- # Vocus Communications, Ltd. 4,713 19,760 Watpac, Ltd. 6,412 4,804 Western Areas, Ltd. 13,924 53,747 #* White Energy Co., Ltd. 9,723 1,536 #* Whitehaven Coal, Ltd. 10,803 14,721 Wide Bay Australia, Ltd. 777 4,318 # Wotif.com Holdings, Ltd. 5,438 13,533 ---------- TOTAL AUSTRALIA 7,483,890 ---------- AUSTRIA -- (0.9%) Agrana Beteiligungs AG 319 36,924 Atrium European Real Estate, Ltd. 11,257 64,838 * BUWOG AG 358 6,573 VA INTERNATIONAL SMALL PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- AUSTRIA -- (Continued) Conwert Immobilien Invest SE 5,431 $ 78,249 EVN AG 2,083 29,028 # Flughafen Wien AG 669 65,681 IMMOFINANZ AG 7,160 26,589 # Kapsch TrafficCom AG 127 7,049 # Lenzing AG 468 29,876 # Mayr Melnhof Karton AG 840 106,951 Oberbank AG 1,045 72,418 # Oesterreichische Post AG 1,954 99,864 Palfinger AG 904 33,453 RHI AG 2,079 72,773 S IMMO AG 2,718 21,483 # Schoeller-Bleckmann Oilfield Equipment AG 838 106,526 Semperit AG Holding 778 43,436 Strabag SE 1,012 28,289 Telekom Austria AG 7,445 73,885 UNIQA Insurance Group AG 7,858 100,378 # Wienerberger AG 9,089 168,705 Zumtobel AG 2,862 59,508 ---------- TOTAL AUSTRIA 1,332,476 ---------- BELGIUM -- (1.3%) * Ablynx NV 4,354 51,984 Ackermans & van Haaren NV 2,145 277,376 * AGFA-Gevaert NV 15,370 58,887 Arseus NV 1,959 110,966 Banque Nationale de Belgique 20 96,544 Barco NV 1,156 86,152 Cie d'Entreprises CFE 616 67,876 Cie Immobiliere de Belgique SA 200 11,436 Cie Maritime Belge SA 1,500 44,574 D'ieteren SA 2,276 105,295 * Deceuninck NV 6,500 22,328 # Econocom Group 7,084 75,972 Elia System Operator SA 2,024 107,355 * Euronav NV 3,684 44,580 EVS Broadcast Equipment SA 1,309 82,890 Exmar NV 1,500 25,036 * Ion Beam Applications 675 9,336 Kinepolis Group NV 400 78,309 Lotus Bakeries 6 6,665 Melexis NV 1,570 63,133 Mobistar SA 2,853 55,676 # NV Bekaert SA 3,021 122,949 # Nyrstar NV 6,040 24,049 Recticel SA 1,421 12,796 * Roularta Media Group NV 455 8,115 Sipef SA 540 47,169 # Tessenderlo Chemie NV 2,881 88,229 #* ThromboGenics NV 2,924 93,160 Van de Velde NV 393 20,918 VA INTERNATIONAL SMALL PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- BELGIUM -- (Continued) * Viohalco SA 9,200 $ 57,642 ---------- TOTAL BELGIUM 1,957,397 ---------- CANADA -- (8.2%) * 5N Plus, Inc. 2,300 10,135 Absolute Software Corp. 2,400 15,043 # Acadian Timber Corp. 500 5,748 * Advantage Oil & Gas, Ltd. 12,979 82,181 Aecon Group, Inc. 5,091 85,512 # AG Growth International, Inc. 1,006 39,816 AGF Management, Ltd. Class B 7,733 86,146 * Ainsworth Lumber Co., Ltd. 5,800 19,897 Akita Drilling, Ltd. Class A 1,200 19,247 Alacer Gold Corp. 10,187 24,351 Alamos Gold, Inc. 8,069 75,459 # Alaris Royalty Corp. 900 21,965 #* Alexco Resource Corp. 2,700 3,547 # Algonquin Power & Utilities Corp. 11,549 83,031 Alliance Grain Traders, Inc. 462 7,726 #* Altius Minerals Corp. 1,000 13,138 Altus Group, Ltd. 2,300 40,815 * Alvopetro Energy, Ltd. 5,292 4,587 #* Argonaut Gold, Inc. 9,592 35,443 #* Asanko Gold, Inc. 2,901 6,167 * ATS Automation Tooling Systems, Inc. 6,360 82,398 # AuRico Gold, Inc. 18,382 76,476 AutoCanada, Inc. 1,300 83,025 * Avigilon Corp. 1,700 40,032 Axia NetMedia Corp. 4,000 9,416 #* B2Gold Corp. 45,718 131,392 Badger Daylighting, Ltd. 1,800 62,734 #* Ballard Power Systems, Inc. 3,700 13,503 * Bankers Petroleum, Ltd. 24,596 133,970 * Bauer Performance Sports, Ltd. 2,972 41,161 * Bellatrix Exploration, Ltd. 8,056 78,351 * Birchcliff Energy, Ltd. 7,200 83,493 # Bird Construction, Inc. 2,238 28,790 # Black Diamond Group, Ltd. 1,800 56,592 #* BlackPearl Resources, Inc. 20,370 57,242 # BMTC Group, Inc. Class A 850 12,214 #* BNK Petroleum, Inc. 3,400 6,483 # Bonterra Energy Corp. 1,261 65,774 Boralex, Inc. Class A 2,200 25,612 * Brookfield Residential Properties, Inc. 3,570 70,224 Calfrac Well Services, Ltd. 2,622 90,785 * Calvalley Petroleums, Inc. Class A 2,013 2,902 # Canaccord Genuity Group, Inc. 5,950 51,409 * Canacol Energy, Ltd. 8,550 64,434 Canada Bread Co., Ltd. 800 52,728 # Canadian Energy Services & Technology Corp. 4,711 138,917 Canadian Western Bank 3,569 120,937 Canam Group, Inc. Class A 2,100 26,862 VA INTERNATIONAL SMALL PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- CANADA -- (Continued) CanElson Drilling, Inc. 7,191 $ 53,930 Canexus Corp. 7,454 32,780 * Canfor Corp. 3,167 71,832 Canfor Pulp Products, Inc. 3,143 34,927 # Canyon Services Group, Inc. 5,900 81,175 # Capital Power Corp. 5,245 117,816 # Capstone Infrastructure Corp. 10,094 37,298 * Capstone Mining Corp. 22,812 60,149 Cascades, Inc. 3,900 22,844 * Cash Store Financial Services, Inc. (The) 605 64 Cathedral Energy Services, Ltd. 511 1,995 CCL Industries, Inc. Class B 1,500 136,390 * Celestica, Inc. 20,200 224,107 Centerra Gold, Inc. 7,311 37,487 * Cequence Energy, Ltd. 7,268 20,026 * China Gold International Resources Corp., Ltd. 9,700 24,957 * Chinook Energy, Inc. 1,124 1,969 Churchill Corp. Class A 1,045 10,554 # Cineplex, Inc. 3,352 126,336 Cogeco Cable, Inc. 1,000 54,742 Cogeco, Inc. 400 20,963 * COM DEV International, Ltd. 4,500 14,986 Computer Modelling Group, Ltd. 2,681 73,088 * Connacher Oil and Gas, Ltd. 18,200 5,397 Contrans Group, Inc. Class A 1,122 14,720 #* Copper Mountain Mining Corp. 3,835 8,152 Corby Spirit and Wine, Ltd. 900 17,958 #* Corridor Resources, Inc. 2,900 5,900 # Corus Entertainment, Inc. Class B 5,600 125,790 Cott Corp. 9,010 73,162 * Crew Energy, Inc. 7,852 88,976 Davis + Henderson Corp. 5,466 158,287 * DeeThree Exploration, Ltd. 5,400 57,840 * Delphi Energy Corp. 7,188 21,970 * Denison Mines Corp. 20,344 27,842 * Descartes Systems Group, Inc. (The) 5,100 69,098 # DirectCash Payments, Inc. 100 1,347 * Dominion Diamond Corp. 6,354 79,827 Dorel Industries, Inc. Class B 2,700 96,762 #* DragonWave, Inc. 1,751 2,428 * Duluth Metals, Ltd. 6,500 3,677 * Dundee Precious Metals, Inc. 5,755 19,112 E-L Financial Corp., Ltd. 104 69,877 #* Eastern Platinum, Ltd. 39,900 2,366 # Enbridge Income Fund Holdings, Inc. 4,695 114,114 * Endeavour Mining Corp. 3,313 2,599 * Endeavour Silver Corp. 4,916 22,471 Enerflex, Ltd. 3,109 49,469 * Energy Fuels, Inc. 331 2,570 Enghouse Systems, Ltd. 1,500 42,767 Equitable Group, Inc. 400 21,979 * Essential Energy Services Trust 11,693 30,511 VA INTERNATIONAL SMALL PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- CANADA -- (Continued) Evertz Technologies, Ltd. 3,700 $ 55,025 * Excellon Resources, Inc. 1,910 2,527 # Exchange Income Corp. 743 12,588 # Extendicare, Inc. 9,010 55,406 * First Majestic Silver Corp. 7,600 72,113 FirstService Corp. 2,646 130,604 * Forsys Metals Corp. 2,500 1,169 #* Fortress Paper, Ltd. Class A 500 1,437 * Fortuna Silver Mines, Inc. 8,500 35,208 #* Fortune Bay Corp. 1,164 319 Glacier Media, Inc. 1,800 2,348 Gluskin Sheff + Associates, Inc. 1,900 57,101 * GLV, Inc. Class A 781 2,857 GMP Capital, Inc. 2,541 19,265 #* Golden Star Resources, Ltd. 13,100 8,008 * Gran Tierra Energy, Inc. 18,587 132,104 * Great Canadian Gaming Corp. 5,600 77,405 * Great Panther Silver, Ltd. 9,200 10,073 #* Guyana Goldfields, Inc. 3,229 7,070 * Heroux-Devtek, Inc. 2,400 25,094 # Home Capital Group, Inc. 3,700 156,331 Horizon North Logistics, Inc. 8,717 63,545 HudBay Minerals, Inc. 12,631 107,750 #* Imax Corp. 4,384 112,355 * Imperial Metals Corp. 5,000 63,638 * Imris, Inc. 1,500 1,793 # Innergex Renewable Energy, Inc. 4,910 47,485 * International Forest Products, Ltd. Class A 5,200 78,850 #* International Tower Hill Mines, Ltd. 1,260 851 Intertape Polymer Group, Inc. 4,444 52,142 * Ithaca Energy, Inc. 22,911 60,201 #* Ivanhoe Energy, Inc. 3,367 1,690 #* Jaguar Mining, Inc. 4,030 202 # Just Energy Group, Inc. 10,855 86,262 * Kelt Exploration, Ltd. 1,500 18,845 # Killam Properties, Inc. 3,268 31,158 * Kingsway Financial Services, Inc. 600 3,542 #* Kirkland Lake Gold, Inc. 5,200 14,660 * Knight Therapeutics, Inc. 787 4,172 #* Lake Shore Gold Corp. 15,400 12,364 Laurentian Bank of Canada 3,100 133,158 * Le Chateau, Inc. Class A 1,200 2,989 * Legacy Oil + Gas, Inc. 16,233 126,333 # Leisureworld Senior Care Corp. 1,171 13,056 # Leon's Furniture, Ltd. 2,400 32,977 # Lightstream Resources, Ltd. 14,201 85,382 Linamar Corp. 4,388 219,670 # Liquor Stores N.A., Ltd. 966 10,470 # Long Run Exploration, Ltd. 5,150 26,031 * Lucara Diamond Corp. 25,900 45,134 Major Drilling Group International, Inc. 6,773 53,267 Manitoba Telecom Services, Inc. 1,732 47,865 VA INTERNATIONAL SMALL PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- CANADA -- (Continued) Maple Leaf Foods, Inc. 7,600 $125,575 Martinrea International, Inc. 5,233 52,710 #* Maxim Power Corp. 1,300 3,564 # Medical Facilities Corp. 3,200 55,618 * Mercator Minerals, Ltd. 8,400 805 * Mitel Networks Corp. 2,880 26,381 #* Mood Media Corp. 7,900 4,325 # Morneau Shepell, Inc. 3,901 57,089 MTY Food Group, Inc. 1,000 27,645 # Mullen Group, Ltd. 6,351 172,211 * Nautilus Minerals, Inc. 5,100 2,745 Nevsun Resources, Ltd. 16,235 58,805 # New Flyer Industries, Inc. 400 4,241 Newalta Corp. 2,753 50,486 #* Niko Resources, Ltd. 1,800 3,383 Norbord, Inc. 1,690 41,400 * Nordion, Inc. 8,500 98,257 North American Energy Partners, Inc. 1,500 11,783 #* North American Palladium, Ltd. 5,795 1,679 North West Co., Inc. (The) 4,181 92,466 * Northern Dynasty Minerals, Ltd. 2,375 1,798 # Northland Power, Inc. 6,054 94,617 #* Novagold Resources, Inc. 12,550 44,198 * NuVista Energy, Ltd. 11,660 116,382 * OceanaGold Corp. 18,753 47,565 * Osisko Mining Corp. 9,936 71,162 * Painted Pony Petroleum, Ltd. 4,934 50,958 Pan American Silver Corp. 9,243 119,749 * Parex Resources, Inc. 7,640 76,397 # Parkland Fuel Corp. 3,959 73,325 # Pason Systems, Inc. 5,800 161,080 #* Perpetual Energy, Inc. 4,555 7,480 * Petrobank Energy & Resources, Ltd. 6,259 2,741 # PHX Energy Services Corp. 1,600 22,057 #* Pilot Gold, Inc. 2,374 3,141 #* Polymet Mining Corp. 10,894 13,716 #* Poseidon Concepts Corp. 2,814 7 Premium Brands Holdings Corp. 1,330 25,664 * Primero Mining Corp. 6,154 38,909 QLT, Inc. 5,800 33,550 #* Questerre Energy Corp. Class A 6,950 7,990 Reitmans Canada, Ltd. Class A 4,500 27,303 #* Resverlogix Corp. 1,300 795 Richelieu Hardware, Ltd. 1,000 44,788 # Ritchie Bros Auctioneers, Inc. 6,300 157,435 * RMP Energy, Inc. 11,827 90,101 # Rogers Sugar, Inc. 5,100 22,800 # RONA, Inc. 13,485 135,951 #* Rubicon Minerals Corp. 8,300 8,860 # Russel Metals, Inc. 6,400 188,313 #* Sabina Gold & Silver Corp. 5,619 3,742 #* San Gold Corp. 10,700 1,611 VA INTERNATIONAL SMALL PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- CANADA -- (Continued) #* Sandstorm Gold, Ltd. 7,400 $ 40,982 * Sandvine Corp. 10,800 38,429 # Savanna Energy Services Corp. 6,382 51,764 * Scorpio Mining Corp. 6,390 1,516 Secure Energy Services, Inc. 3,394 60,879 SEMAFO, Inc. 18,100 67,707 ShawCor, Ltd. 1,961 87,346 Sherritt International Corp. 22,637 95,831 * Shore Gold, Inc. 15,000 3,216 #* Sierra Wireless, Inc. 2,200 47,491 #* Silver Standard Resources, Inc. 6,506 64,404 #* Southern Pacific Resource Corp. 28,100 8,204 #* SouthGobi Resources, Ltd. 9,305 5,943 Sprott Resource Corp. 6,554 15,129 # Sprott, Inc. 5,388 15,976 # Spyglass Resources Corp. 683 1,127 * St Andrew Goldfields, Ltd. 13,300 3,944 Stantec, Inc. 3,000 177,802 Stella-Jones, Inc. 2,800 76,537 # Student Transportation, Inc. 5,497 33,953 * Sulliden Gold Corp., Ltd. 10,800 7,489 * SunOpta, Inc. 4,443 51,603 # Superior Plus Corp. 9,714 117,077 # Surge Energy, Inc. 5,000 31,614 #* TAG Oil, Ltd. 4,231 12,314 * Taseko Mines, Ltd. 16,000 34,597 * Tembec, Inc. 1,115 2,462 #* Teranga Gold Corp. 1,000 657 #* Thompson Creek Metals Co., Inc. 14,933 40,056 Timminco, Ltd. 6,400 6 * Timmins Gold Corp. 6,306 8,860 TORC Oil & Gas, Ltd. 5,006 61,113 Toromont Industries, Ltd. 3,709 91,739 Torstar Corp. Class B 4,700 28,001 Total Energy Services, Inc. 1,737 34,231 * Tourmaline Oil Corp. 163 8,421 Transcontinental, Inc. Class A 6,505 94,781 TransForce, Inc. 4,951 108,095 * TransGlobe Energy Corp. 6,000 46,750 Trican Well Service, Ltd. 11,624 166,504 Trinidad Drilling, Ltd. 10,700 119,686 * TVA Group, Inc. Class B 1,200 9,580 # Twin Butte Energy, Ltd. 24,297 52,316 * Uex Corp. 6,400 2,540 Uni-Select, Inc. 1,100 30,138 Valener, Inc. 3,700 52,696 # Vicwest, Inc. 400 3,482 * Virginia Mines, Inc. 1,215 12,637 # Wajax Corp. 1,263 40,850 WaterFurnace Renewable Energy, Inc. 300 6,282 * Wesdome Gold Mines, Ltd. 3,085 2,336 West Fraser Timber Co., Ltd. 2,983 133,358 VA INTERNATIONAL SMALL PORTFOLIO CONTINUED SHARES VALUE++ ------ ----------- CANADA -- (Continued) Western Energy Services Corp. 4,624 $ 47,504 Western Forest Products, Inc. 6,000 11,988 Whistler Blackcomb Holdings, Inc. 1,600 23,941 # Whitecap Resources, Inc. 7,919 104,474 Wi-Lan, Inc. 10,900 33,514 Winpak, Ltd. 2,400 60,479 WSP Global, Inc. 2,117 72,450 * Xtreme Drilling and Coil Services Corp. 1,900 8,685 # Zargon Oil & Gas, Ltd. 1,612 14,207 Zenith Epigenetics Corp. 1,300 96 ----------- TOTAL CANADA 12,580,224 ----------- CHINA -- (0.0%) * Hanfeng Evergreen, Inc. 2,400 1,511 ----------- DENMARK -- (1.6%) # ALK-Abello A.S. 529 73,400 * Alm Brand A.S. 7,780 37,789 Ambu A.S. Class B 519 34,704 * Auriga Industries A.S. Class B 950 35,184 * Bang & Olufsen A.S. 2,970 30,676 * Bavarian Nordic A.S. 1,311 27,830 D/S Norden A.S. 1,594 63,756 Dfds A.S. 512 40,486 East Asiatic Co., Ltd. A.S. 1,200 15,953 FLSmidth & Co. A.S. 1,410 75,488 * Genmab A.S. 2,656 98,945 GN Store Nord A.S. 5,086 122,871 IC Companys A.S. 310 9,256 * Jyske Bank A.S. 4,088 224,758 NKT Holding A.S. 2,336 147,381 Nordjyske Bank A.S. 422 9,120 * Parken Sport & Entertainment A.S. 400 5,316 PER Aarsleff A.S. Class B 150 27,195 Ringkjoebing Landbobank A.S. 346 79,168 Rockwool International A.S. Class B 427 82,365 * Royal UNIBREW 746 116,124 Schouw & Co. 1,700 94,894 SimCorp A.S. 2,680 102,895 Solar A.S. Class B 268 18,536 Spar Nord Bank A.S. 6,407 72,130 * Sydbank A.S. 4,782 127,545 * TK Development A.S. 5,947 10,242 * Topdanmark A.S. 5,080 148,639 United International Enterprises 127 25,390 * Vestas Wind Systems A.S. 10,145 450,550 * Vestjysk Bank A.S. 725 1,213 #* Zealand Pharma A.S. 93 1,150 ----------- TOTAL DENMARK 2,410,949 ----------- FINLAND -- (2.3%) Afarak Group Oyj 13,258 6,971 VA INTERNATIONAL SMALL PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- FINLAND -- (Continued) Ahlstrom Oyj 1,260 $ 13,427 Alma Media Oyj 4,469 16,378 Amer Sports Oyj 9,945 205,620 Aspo Oyj 2,685 22,258 BasWare Oyj 466 22,081 # Cargotec Oyj 2,589 115,735 Caverion Corp. 6,484 72,036 Citycon Oyj 29,509 110,723 Cramo Oyj 1,300 29,047 Elektrobit Oyj 7,600 27,774 Elisa Oyj 7,803 233,194 F-Secure Oyj 5,200 17,551 * Finnair Oyj 6,835 28,519 * Finnlines Oyj 2,099 22,759 Fiskars Oyj Abp 3,740 101,478 HKScan Oyj Class A 1,550 8,224 Huhtamaki Oyj 9,505 249,926 Kemira Oyj 9,436 144,237 Kesko Oyj Class A 203 8,109 Kesko Oyj Class B 4,446 181,987 Konecranes Oyj 3,400 109,739 Lassila & Tikanoja Oyj 2,281 44,416 * Lemminkainen Oyj 500 9,688 Metsa Board Oyj 19,786 92,620 Metso Oyj 3,218 129,524 Munksjo Oyj 697 5,637 # Neste Oil Oyj 8,097 166,521 Olvi Oyj Class A 1,278 43,096 * Oriola-KD Oyj Class B 3,288 10,901 Orion Oyj Class A 3,462 106,169 Orion Oyj Class B 5,451 166,379 #* Outokumpu Oyj 381,600 116,757 # Outotec Oyj 8,533 95,633 PKC Group Oyj 1,500 49,758 Ponsse Oy 1,180 18,074 * Poyry Oyj 3,314 18,329 Raisio P.L.C. Class V 5,928 38,773 Ramirent Oyj 4,968 55,687 Rapala VMC Oyj 1,900 13,576 * Rautaruukki Oyj 8,019 99,902 # Sanoma Oyj 5,315 35,789 Stockmann Oyj Abp(5462371) 1,299 18,580 # Stockmann Oyj Abp(5462393) 2,495 35,434 * Talvivaara Mining Co. P.L.C. 22,722 2,666 Technopolis Oyj 1,982 12,065 Tieto Oyj 5,481 149,989 Tikkurila Oyj 2,294 56,933 Uponor Oyj 4,079 80,801 Vacon P.L.C. 1,650 68,459 Vaisala Oyj Class A 700 22,781 VA INTERNATIONAL SMALL PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- FINLAND -- (Continued) # YIT Oyj 5,529 $ 56,871 ---------- TOTAL FINLAND 3,569,581 ---------- FRANCE -- (4.2%) #* Air France-KLM 11,593 166,777 Albioma 1,311 36,608 * Alcatel-Lucent 44,691 177,232 Alten SA 2,004 102,388 Altran Technologies SA 11,612 126,597 April 1,417 33,871 Assystem 808 26,045 Axway Software SA 500 17,240 * Beneteau SA 3,012 52,178 BioMerieux 790 86,296 Boiron SA 712 60,060 Bonduelle SCA 1,088 31,555 Bongrain SA 669 58,495 Bourbon SA 3,889 128,332 * Boursorama 623 10,436 * Bull 5,843 31,010 * Cegedim SA 83 3,046 Cegid Group 250 10,474 Ciments Francais SA 198 21,293 * Club Mediterranee SA 2,223 57,959 Derichebourg SA 7,894 30,775 Eiffage SA 763 57,677 Electricite de Strasbourg 132 20,810 # Eramet 179 23,349 Esso SA Francaise 197 10,795 Etablissements Maurel et Prom 6,624 118,187 Euler Hermes SA 353 42,591 Eurofins Scientific SE 452 125,519 Faiveley Transport SA 472 38,880 * Faurecia 3,612 162,586 Fimalac 506 43,107 * GameLoft SE 4,962 49,306 Gaumont SA 129 7,115 GL Events 619 15,591 Groupe Crit 450 30,017 Groupe Steria SCA 1,768 49,798 Guerbet 488 23,160 * Haulotte Group SA 1,014 19,367 Havas SA 23,582 187,694 # Ingenico 2,369 206,722 Interparfums SA 393 17,969 Ipsen SA 1,261 55,988 IPSOS 2,545 98,849 Korian-Medica 3,447 129,387 Lagardere SCA 5,112 214,247 Laurent-Perrier 195 19,517 LISI 500 81,096 Manitou BF SA 1,600 30,270 VA INTERNATIONAL SMALL PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- FRANCE -- (Continued) Manutan International 508 $ 38,686 Mersen 1,047 33,525 Metropole Television SA 4,736 101,501 Montupet 764 63,238 # Naturex 415 36,426 # Neopost SA 3,793 311,455 # Nexans SA 2,122 119,472 Nexity SA 2,323 104,204 Norbert Dentressangle SA 170 29,144 * NRJ Group 2,200 27,189 #* Orco Property Group 4,471 3,859 Orpea 1,967 143,089 * Parrot SA 570 17,433 #* Peugeot SA 13,023 230,415 * Pierre & Vacances SA 387 16,317 Plastic Omnium SA 4,089 139,130 Rallye SA 1,707 86,824 #* Recylex SA 1,500 5,642 Rubis SCA 2,979 212,116 Saft Groupe SA 2,000 71,127 Samse SA 132 16,974 Sartorius Stedim Biotech 306 58,165 Schneider Electric SA 396 37,224 SEB SA 370 34,129 Societe d'Edition de Canal + 4,537 39,925 Societe des Bains de Mer et du Cercle des Etrangers a Monaco 210 11,772 # Societe Television Francaise 1 8,353 142,235 #* SOITEC 17,755 53,635 #* Solocal Group 6,991 15,961 Somfy SA 212 73,633 Sopra Group SA 500 57,560 * Ste Industrielle d'Aviation Latecoere SA 468 8,647 Stef SA 287 22,698 Synergie SA 659 19,074 * Technicolor SA 21,266 158,999 Teleperformance 4,525 259,519 TFF Group 12 965 * Theolia SA 1,674 2,832 Thermador Groupe 40 4,416 Total Gabon 25 15,232 * Trigano SA 1,363 37,763 * UBISOFT Entertainment 8,018 149,630 * Valneva SE 927 7,842 Vicat 1,207 104,748 VIEL & Cie SA 4,111 13,555 # Vilmorin & Cie SA 378 49,898 Virbac SA 328 78,637 * VM Materiaux SA 186 9,252 ---------- TOTAL FRANCE 6,423,973 ---------- GERMANY -- (4.5%) * Aareal Bank AG 4,482 203,728 VA INTERNATIONAL SMALL PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- GERMANY -- (Continued) * ADVA Optical Networking SE 1,887 $ 8,466 * Aixtron SE 8,383 133,472 Amadeus Fire AG 148 12,875 Aurubis AG 3,300 176,301 # Balda AG 916 4,267 Bauer AG 422 10,963 BayWa AG 789 44,757 Bechtle AG 1,649 146,740 Bertrandt AG 316 47,869 Bijou Brigitte AG 274 26,676 # Biotest AG 393 48,488 Borussia Dortmund GmbH & Co. KGaA 5,999 31,285 # CANCOM SE 803 35,408 Carl Zeiss Meditec AG 1,889 57,513 CAT Oil AG 1,950 40,913 Celesio AG 6,779 235,600 CENTROTEC Sustainable AG 1,248 31,944 Cewe Stiftung & Co. KGAA 476 37,504 Comdirect Bank AG 2,500 28,819 CompuGroup Medical AG 1,737 46,331 * Constantin Medien AG 3,300 6,818 CTS Eventim AG 1,412 89,942 # Delticom AG 212 10,095 # Deutsche Wohnen AG(B0YZ0Z5) 11,908 255,634 * Deutsche Wohnen AG(BFLR888) 8,836 185,100 * Deutz AG 7,018 58,684 * Dialog Semiconductor P.L.C. 4,334 109,790 DMG MORI SEIKI AG 5,368 169,153 Drillisch AG 3,457 129,078 # Duerr AG 1,674 132,457 ElringKlinger AG 2,610 105,374 #* Evotec AG 4,738 23,694 Fielmann AG 206 27,869 Freenet AG 6,791 235,193 * GAGFAH SA 2,491 39,398 # Gerresheimer AG 1,899 128,917 Gerry Weber International AG 1,926 101,723 Gesco AG 111 11,552 GFK SE 1,560 80,517 Grammer AG 863 47,693 # Grenkeleasing AG 327 34,261 Hamburger Hafen und Logistik AG 2,121 51,438 #* Heidelberger Druckmaschinen AG 27,925 88,570 Indus Holding AG 1,360 63,828 Jenoptik AG 3,249 54,233 * Kloeckner & Co. SE 8,318 126,069 Koenig & Bauer AG 1,126 18,779 Kontron AG 2,224 15,527 Krones AG 1,381 132,212 KSB AG 31 20,755 # KUKA AG 1,860 95,360 KWS Saat AG 150 53,612 VA INTERNATIONAL SMALL PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- GERMANY -- (Continued) # Leoni AG 2,315 $ 172,559 LPKF Laser & Electronics AG 1,968 44,263 * Manz AG 20 1,797 MLP AG 3,534 24,038 * Morphosys AG 1,083 92,893 MTU Aero Engines AG 766 72,223 # MVV Energie AG 485 15,493 Nemetschek AG 707 61,550 * Nordex SE 5,275 84,456 Norma Group SE 2,295 120,442 * Osram Licht AG 1,156 60,689 * Patrizia Immobilien AG 2,241 26,500 Pfeiffer Vacuum Technology AG 841 100,037 # PNE Wind AG 4,418 17,003 Puma Brandenburg, Ltd. 1,000 -- Puma Brandenburg, Ltd. A Shares 1,000 -- QSC AG 8,683 44,682 # Rational AG 151 48,228 # Rheinmetall AG 3,691 245,893 Rhoen Klinikum AG 8,742 282,273 SAF-Holland SA 4,399 65,819 Salzgitter AG 1,569 66,645 # Schaltbau Holding AG 176 12,511 # SGL Carbon SE 2,674 89,048 * Singulus Technologies AG 831 2,716 Sixt SE 1,800 72,783 # SMA Solar Technology AG 1,123 47,024 # Software AG 3,562 134,166 #* Solarworld AG 26 1,168 Stada Arzneimittel AG 5,765 251,386 * Stroeer Media AG 2,406 41,456 * Suss Microtec AG 651 6,326 TAG Immobilien AG 4,348 55,280 # Takkt AG 1,500 30,427 Technotrans AG 637 7,170 Tipp24 SE 472 34,055 #* Tom Tailor Holding AG 856 16,650 # TUI AG 11,176 186,093 Vossloh AG 727 71,856 VTG AG 287 6,344 Wacker Neuson SE 819 15,569 Wincor Nixdorf AG 2,263 148,245 ---------- TOTAL GERMANY 6,991,000 ---------- GREECE -- (0.0%) * Bank of Cyprus PCL 72,063 -- * Marfin Investment Group Holdings SA 20,116 13,936 * National Bank of Greece SA 7,399 28,926 ---------- TOTAL GREECE 42,862 ---------- HONG KONG -- (2.6%) Alco Holdings, Ltd. 68,000 11,862 VA INTERNATIONAL SMALL PORTFOLIO CONTINUED SHARES VALUE++ --------- -------- HONG KONG -- (Continued) Allied Group, Ltd. 17,600 $ 76,453 Allied Properties HK, Ltd. 219,416 38,570 * Apac Resources, Ltd. 320,000 6,933 APT Satellite Holdings, Ltd. 29,000 36,402 Asia Financial Holdings, Ltd. 54,874 22,166 Asia Satellite Telecommunications Holdings, Ltd. 11,500 45,940 Asia Standard International Group, Ltd. 24,940 6,283 Associated International Hotels, Ltd. 28,000 77,782 Bonjour Holdings, Ltd. 56,000 9,631 * Brightoil Petroleum Holdings, Ltd. 214,000 66,469 * Brockman Mining, Ltd. 256,330 13,045 Cafe de Coral Holdings, Ltd. 16,000 50,419 Century City International Holdings, Ltd. 43,340 3,184 Champion Technology Holdings, Ltd. 88,591 2,062 Chen Hsong Holdings 30,000 8,985 Chevalier International Holdings, Ltd. 4,000 6,506 * China Daye Non-Ferrous Metals Mining, Ltd. 216,000 3,435 China Electronics Corp. Holdings Co., Ltd. 68,000 13,638 * China Energy Development Holdings, Ltd. 162,000 2,191 * China Strategic Holdings, Ltd. 245,000 5,195 China-Hongkong Photo Products Holdings, Ltd. 90,000 6,615 Chong Hing Bank, Ltd. 4,340 15,170 Chow Sang Sang Holdings International, Ltd. 19,000 46,771 CITIC Telecom International Holdings, Ltd. 139,000 48,530 CK Life Sciences International Holdings, Inc. 152,000 15,315 * CP Lotus Corp. 290,000 7,136 Cross-Harbour Holdings, Ltd. (The) 30,658 25,540 CSI Properties, Ltd. 89,543 3,126 * CST Mining Group, Ltd. 1,088,000 7,158 Dah Sing Banking Group, Ltd. 38,528 57,588 Dah Sing Financial Holdings, Ltd. 17,006 75,369 Dickson Concepts International, Ltd. 14,500 8,746 EganaGoldpfeil Holdings, Ltd. 85,130 -- Emperor Entertainment Hotel, Ltd. 40,000 17,430 Emperor International Holdings 100,333 22,415 Emperor Watch & Jewellery, Ltd. 210,000 15,476 * EPI Holdings, Ltd. 713 18 Esprit Holdings, Ltd. 130,050 217,195 Far East Consortium International, Ltd. 48,560 17,634 * Fountain SET Holdings, Ltd. 28,000 3,365 * G-Resources Group, Ltd. 1,911,000 52,694 Get Nice Holdings, Ltd. 150,000 6,694 # Giordano International, Ltd. 86,000 57,730 Glorious Sun Enterprises, Ltd. 48,000 10,531 #* Goldin Financial Holdings, Ltd. 60,000 26,330 #* Goldin Properties Holdings, Ltd. 42,000 19,018 * Grande Holdings, Ltd. (The) 28,000 278 # Guotai Junan International Holdings, Ltd. 4,000 2,070 # Haitong International Securities Group, Ltd. 12,115 6,091 Harbour Centre Development, Ltd. 13,500 23,607 HKR International, Ltd. 37,733 15,483 Hong Kong Aircraft Engineering Co., Ltd. 2,400 27,916 VA INTERNATIONAL SMALL PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- HONG KONG -- (Continued) Hong Kong Ferry Holdings Co., Ltd. 12,000 $ 11,764 * Hong Kong Television Network, Ltd. 32,239 9,253 Hongkong & Shanghai Hotels (The) 2,000 2,925 Hongkong Chinese, Ltd. 90,000 21,864 Hopewell Holdings, Ltd. 42,166 145,146 Hung Hing Printing Group, Ltd. 29,815 4,725 Hutchison Telecommunications Hong Kong Holdings, Ltd. 118,000 38,674 IT, Ltd. 54,000 14,646 Johnson Electric Holdings, Ltd. 109,500 104,877 K Wah International Holdings, Ltd. 89,078 59,496 * King Stone Energy Group, Ltd. 59,000 1,953 Kingston Financial Group, Ltd. 148,000 16,055 Kowloon Development Co., Ltd. 28,000 34,250 # L'Occitane International SA 35,750 87,985 * Lai Sun Development 885,416 20,721 Lifestyle International Holdings, Ltd. 24,000 46,917 Lippo China Resources, Ltd. 586,000 29,120 Liu Chong Hing Investment, Ltd. 18,000 34,582 Luk Fook Holdings International, Ltd. 20,000 56,789 Lung Kee Bermuda Holdings 26,000 9,502 Magnificent Estates 336,000 16,271 Man Wah Holdings, Ltd. 17,600 28,905 # Midland Holdings, Ltd. 60,000 25,215 Ming Fai International Holdings, Ltd. 44,000 4,268 * Ming Fung Jewellery Group, Ltd. 150,000 1,842 Miramar Hotel & Investment 20,000 24,733 #* Mongolian Mining Corp. 68,500 5,666 NagaCorp, Ltd. 92,000 83,950 * Neo-Neon Holdings, Ltd. 25,000 4,483 * New Times Energy Corp., Ltd. 23,200 1,183 # Newocean Energy Holdings, Ltd. 110,000 72,787 * Next Media, Ltd. 38,000 3,894 * Orange Sky Golden Harvest Entertainment Holdings, Ltd. 115,000 7,548 Orient Overseas International, Ltd. 17,000 81,323 Oriental Watch Holdings 14,000 3,165 Pacific Andes International Holdings, Ltd. 84,000 3,422 Pacific Basin Shipping, Ltd. 117,000 68,730 Pacific Textiles Holdings, Ltd. 29,000 36,824 Paliburg Holdings, Ltd. 26,000 8,295 * Paradise Entertainment, Ltd. 40,000 29,855 PCCW, Ltd. 208,000 110,904 Pico Far East Holdings, Ltd. 96,000 25,695 * Playmates Toys, Ltd. 60,000 25,328 Polytec Asset Holdings, Ltd. 30,000 4,376 Public Financial Holdings, Ltd. 24,000 11,380 PYI Corp., Ltd. 169,839 3,705 Regal Hotels International Holdings, Ltd. 29,000 16,822 * Rising Development Holdings, Ltd. 30,000 16,247 # SA SA International Holdings, Ltd. 110,000 92,284 SEA Holdings, Ltd. 38,000 21,352 Shun Tak Holdings, Ltd. 130,000 63,864 Sing Tao News Corp., Ltd. 14,000 1,913 VA INTERNATIONAL SMALL PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- HONG KONG -- (Continued) Singamas Container Holdings, Ltd. 132,000 $ 28,636 # SmarTone Telecommunications Holdings, Ltd. 34,000 35,091 SOCAM Development, Ltd. 12,127 14,713 * Solomon Systech International, Ltd. 58,000 2,852 Soundwill Holdings, Ltd. 4,000 6,925 Stella International Holdings, Ltd. 31,000 76,423 Sun Hung Kai & Co., Ltd. 50,464 35,253 TAI Cheung Holdings 25,000 17,282 Tao Heung Holdings, Ltd. 17,000 10,968 Television Broadcasts, Ltd. 21,700 135,704 Texwinca Holdings, Ltd. 42,000 45,292 * Titan Petrochemicals Group, Ltd. 160,000 52 Transport International Holdings, Ltd. 15,200 28,061 Trinity, Ltd. 58,000 14,919 * United Laboratories International Holdings, Ltd. (The) 45,000 29,127 Upbest Group, Ltd. 74,000 8,592 Value Partners Group, Ltd. 53,000 34,174 Varitronix International, Ltd. 20,009 22,187 Victory City International Holdings, Ltd. 36,937 5,384 Vitasoy International Holdings, Ltd. 56,000 76,557 VST Holdings, Ltd. 33,600 8,565 VTech Holdings, Ltd. 8,200 113,569 Wai Kee Holdings, Ltd. 52,000 14,779 Wing On Co. International, Ltd. 18,000 50,215 Wing Tai Properties, Ltd. 6,000 3,724 Xinyi Glass Holdings, Ltd. 102,000 80,480 * Xinyi Solar Holdings, Ltd. 102,000 27,663 YGM Trading, Ltd. 4,000 8,776 ---------- TOTAL HONG KONG 3,959,626 ---------- IRELAND -- (0.4%) Aer Lingus Group P.L.C. 12,225 25,767 C&C Group P.L.C. 18,373 109,314 FBD Holdings P.L.C.(0329028) 1,308 31,537 FBD Holdings P.L.C.(4330231) 1,355 32,694 Glanbia P.L.C. 7,611 113,667 Irish Continental Group P.L.C.(3339455) 13 521 Irish Continental Group P.L.C.(3333651) 376 15,149 * Kenmare Resources P.L.C. 51,008 10,493 Kingspan Group P.L.C.(0492793) 7,217 135,865 Kingspan Group P.L.C.(4491235) 841 15,849 Paddy Power P.L.C.(4828974) 123 9,490 Paddy Power P.L.C.(0258810) 859 66,494 Smurfit Kappa Group P.L.C. 5,921 131,906 ---------- TOTAL IRELAND 698,746 ---------- ISRAEL -- (0.6%) * Africa Israel Investments, Ltd. 2,097 4,606 * Airport City, Ltd. 1,949 19,920 * Allot Communications, Ltd. 809 10,481 * AudioCodes, Ltd. 1,200 6,561 Cellcom Israel, Ltd. 2,985 37,844 VA INTERNATIONAL SMALL PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- ISRAEL -- (Continued) * Clal Biotechnology Industries, Ltd. 4,323 $ 12,709 Clal Insurance Enterprises Holdings, Ltd. 1,159 22,653 * Compugen, Ltd. 1,403 12,909 Delek Automotive Systems, Ltd. 1,389 14,055 Delta-Galil Industries, Ltd. 357 10,942 Elbit Systems, Ltd. 1,466 86,539 * EZchip Semiconductor, Ltd. 1,586 38,015 First International Bank Of Israel, Ltd. 990 15,967 Frutarom Industries, Ltd. 2,470 59,314 * Hadera Paper, Ltd. 146 7,290 Harel Insurance Investments & Financial Services, Ltd. 11,530 65,816 * Israel Discount Bank, Ltd. Class A 18,996 33,964 Ituran Location and Control, Ltd. 828 19,975 * Jerusalem Oil Exploration 300 12,923 * Kamada, Ltd. 1,265 18,374 Matrix IT, Ltd. 1,899 11,701 * Mazor Robotics, Ltd. 1,564 14,202 Melisron, Ltd. 778 20,738 Menorah Mivtachim Holdings, Ltd. 1,117 13,418 Migdal Insurance & Financial Holding, Ltd. 14,636 23,974 * Nitsba Holdings 1995, Ltd. 1,363 20,911 * Nova Measuring Instruments, Ltd. 1,136 11,712 * Oil Refineries, Ltd. 86,916 24,225 Ormat Industries 2,690 20,051 Osem Investments, Ltd. 740 17,574 * Partner Communications Co., Ltd. 7,236 64,794 Paz Oil Co., Ltd. 314 49,062 Phoenix Holdings, Ltd. (The) 4,361 16,204 Rami Levi Chain Stores Hashikma Marketing 2006, Ltd. 415 21,493 Shikun & Binui, Ltd. 16,842 43,870 Shufersal, Ltd. 4,123 15,408 Strauss Group, Ltd. 3,088 55,889 * Tower Semiconductor, Ltd. 486 3,785 -------- TOTAL ISRAEL 959,868 -------- ITALY -- (3.2%) A2A SpA 100,330 122,774 ACEA SpA 3,393 48,691 Amplifon SpA 9,533 62,254 Ansaldo STS SpA 6,197 68,892 * Arnoldo Mondadori Editore SpA 7,418 13,725 Astaldi SpA 3,158 34,223 * Autogrill SpA 9,775 93,836 Azimut Holding SpA 8,914 278,275 #* Banca Carige SpA 36,773 27,182 Banca Generali SpA 2,496 78,567 * Banca Popolare dell'Emilia Romagna SC 22,456 258,848 #* Banca Popolare dell'Etruria e del Lazio 25,255 29,383 #* Banca Popolare di Milano SCRL 240,454 243,172 # Banca Popolare di Sondrio SCRL 19,733 141,719 Banca Profilo SpA 12,870 7,602 Banco di Desio e della Brianza SpA 5,000 22,666 VA INTERNATIONAL SMALL PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- ITALY -- (Continued) * Banco Popolare SC 9,603 $198,451 Brembo SpA 1,837 67,894 Brunello Cucinelli SpA 962 27,685 # Buzzi Unicem SpA 4,209 74,669 * Caltagirone Editore SpA 3,000 5,553 * Carraro SpA 1,070 4,642 Cementir Holding SpA 3,618 34,471 * CIR-Compagnie Industriali Riunite SpA 26,265 40,498 Credito Bergamasco SpA 555 15,867 Credito Emiliano SpA 5,091 52,189 #* Credito Valtellinese SCRL 30,346 72,447 Danieli & C Officine Meccaniche SpA 2,142 76,930 De'Longhi SpA 4,801 104,350 # DiaSorin SpA 1,751 72,250 Ei Towers SpA 747 42,500 Engineering SpA 287 20,001 ERG SpA 3,547 61,259 Esprinet SpA 1,098 12,005 * Falck Renewables SpA 2,864 5,467 * Finmeccanica SpA 29,283 270,998 # Geox SpA 3,764 16,381 * Gruppo Editoriale L'Espresso SpA 7,849 18,123 Hera SpA 55,107 162,391 * IMMSI SpA 8,658 9,243 Indesit Co. SpA 2,500 35,702 Industria Macchine Automatiche SpA 1,436 70,616 * Intek Group SpA 17,854 11,560 Interpump Group SpA 6,485 91,944 Iren SpA 50,122 85,169 Italcementi SpA 4,664 56,663 * Italmobiliare SpA 273 12,412 * Landi Renzo SpA 1,740 3,324 * Maire Tecnimont SpA 9,016 32,887 MARR SpA 2,329 45,107 * Mediaset SpA 37,118 205,417 # Piaggio & C SpA 8,902 36,832 #* Prelios SpA 3,444 3,055 Prysmian SpA 3,539 92,172 # Recordati SpA 9,617 168,347 Reply SpA 276 24,940 Sabaf SpA 217 4,653 SAES Getters SpA 616 7,123 * Safilo Group SpA 2,996 68,419 # Salini Impregilo SpA 5,069 32,382 #* Saras SpA 16,283 28,252 Societa Cattolica di Assicurazioni SCRL 3,361 83,127 Societa Iniziative Autostradali e Servizi SpA 5,499 65,391 * Sogefi SpA 3,015 19,162 SOL SpA 2,651 22,203 * Sorin SpA 28,294 86,364 * Tiscali SpA 110,959 11,359 Trevi Finanziaria Industriale SpA 2,562 29,547 VA INTERNATIONAL SMALL PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- ITALY -- (Continued) Unipol Gruppo Finanziario SpA 15,136 $ 109,644 * UnipolSai SpA 20,443 75,223 Vianini Lavori SpA 3,006 25,850 Vittoria Assicurazioni SpA 2,848 41,841 * World Duty Free SpA 9,775 131,321 * Yoox SpA 3,918 140,694 Zignago Vetro SpA 1,896 15,610 ---------- TOTAL ITALY 4,972,385 ---------- JAPAN -- (17.7%) 77 Bank, Ltd. (The) 20,000 90,291 # Accordia Golf Co., Ltd. 7,000 89,798 Achilles Corp. 6,000 7,948 Adastria Holdings Co., Ltd. 1,020 22,197 ADEKA Corp. 7,200 79,107 Advan Co., Ltd. 2,000 21,228 # Aeon Fantasy Co., Ltd. 1,152 14,296 # Ahresty Corp. 700 5,959 Ai Holdings Corp. 3,200 51,051 Aica Kogyo Co., Ltd. 3,000 62,737 Aichi Bank, Ltd. (The) 600 29,270 Aichi Steel Corp. 7,000 25,815 Aichi Tokei Denki Co., Ltd. 3,000 8,398 Aida Engineering, Ltd. 4,000 38,183 Ain Pharmaciez, Inc. 600 26,385 # Aiphone Co., Ltd. 1,100 17,983 Aisan Industry Co., Ltd. 1,570 12,492 # Akebono Brake Industry Co., Ltd. 6,500 33,064 Akita Bank, Ltd. (The) 15,000 41,717 Alpen Co., Ltd. 800 14,739 Alpine Electronics, Inc. 3,800 45,305 Alps Electric Co., Ltd. 11,600 131,167 Alps Logistics Co., Ltd. 1,000 10,327 Amano Corp. 4,200 40,441 # Anritsu Corp. 4,300 48,154 AOI Electronic Co., Ltd. 900 17,548 AOKI Holdings, Inc. 3,200 43,601 Aomori Bank, Ltd. (The) 17,000 46,756 Aoyama Trading Co., Ltd. 3,200 79,408 Arakawa Chemical Industries, Ltd. 1,800 15,161 Arata Corp. 2,000 6,395 Arcland Sakamoto Co., Ltd. 1,500 29,700 Arcs Co., Ltd. 2,200 44,137 Ariake Japan Co., Ltd. 900 21,739 # Arisawa Manufacturing Co., Ltd. 1,000 4,676 As One Corp. 990 26,010 Asahi Diamond Industrial Co., Ltd. 5,000 67,666 Asahi Holdings, Inc. 1,100 17,371 # Asahi Intecc Co., Ltd. 900 32,940 Asahi Kogyosha Co., Ltd. 3,000 10,963 Asahi Organic Chemicals Industry Co., Ltd. 3,000 6,518 Asatsu-DK, Inc. 2,100 47,505 VA INTERNATIONAL SMALL PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- JAPAN -- (Continued) * Ashimori Industry Co., Ltd. 3,000 $ 3,635 ASKA Pharmaceutical Co., Ltd. 2,000 17,894 # ASKUL Corp. 1,100 27,449 Asunaro Aoki Construction Co., Ltd. 4,000 22,956 Atsugi Co., Ltd. 15,000 16,613 Autobacs Seven Co., Ltd. 4,500 69,620 Avex Group Holdings, Inc. 2,100 38,896 Awa Bank, Ltd. (The) 11,000 58,903 Axial Retailing, Inc. 1,200 18,584 Azbil Corp. 2,200 49,924 Bando Chemical Industries, Ltd. 5,000 19,239 # Bank of Iwate, Ltd. (The) 1,300 57,735 Bank of Nagoya, Ltd. (The) 9,000 33,820 Bank of Okinawa, Ltd. (The) 1,300 54,506 Bank of Saga, Ltd. (The) 9,000 18,779 # Bank of the Ryukyus, Ltd. 4,000 52,948 Belluna Co., Ltd. 2,800 13,592 Best Denki Co., Ltd. 2,500 3,401 # Bic Camera, Inc. 4,500 32,822 BML, Inc. 1,000 38,202 # Bookoff Corp. 1,000 8,310 Bunka Shutter Co., Ltd. 2,984 17,415 CAC Holdings Corp. 1,700 16,601 Calsonic Kansei Corp. 16,000 78,818 Canon Electronics, Inc. 1,500 25,353 # Capcom Co., Ltd. 1,800 31,351 Cawachi, Ltd. 1,300 23,702 Central Glass Co., Ltd. 17,000 55,748 * Chiba Kogyo Bank, Ltd. (The) 3,200 20,788 Chiyoda Co., Ltd. 1,700 40,362 Chofu Seisakusho Co., Ltd. 1,800 45,196 Chori Co., Ltd. 500 5,520 Chuetsu Pulp & Paper Co., Ltd. 8,000 15,062 * Chugai Mining Co., Ltd. 5,000 1,614 Chugai Ro Co., Ltd. 7,000 15,056 Chugoku Marine Paints, Ltd. 4,000 25,517 Chukyo Bank, Ltd. (The) 7,000 11,918 Chuo Spring Co., Ltd. 5,000 15,116 CKD Corp. 4,700 42,815 #* Clarion Co., Ltd. 13,000 24,460 Cleanup Corp. 2,000 18,223 CMIC Holdings Co., Ltd. 600 9,607 * CMK Corp. 2,000 4,980 Coca-Cola East Japan Co., Ltd. 4,770 107,499 Cocokara fine, Inc. 879 24,921 Computer Engineering & Consulting, Ltd. 1,500 8,860 CONEXIO Corp. 1,300 10,030 * COOKPAD, Inc. 1,000 20,037 Corona Corp. 1,300 13,135 Cosel Co., Ltd. 1,600 18,240 Cosmo Oil Co., Ltd. 34,000 63,604 CREATE SD HOLDINGS Co., Ltd. 1,000 33,012 VA INTERNATIONAL SMALL PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- JAPAN -- (Continued) CROOZ, Inc. 600 $ 24,097 # Cybozu, Inc. 4,100 14,110 Dai Nippon Toryo Co., Ltd. 11,000 16,370 Dai-Dan Co., Ltd. 3,000 15,858 Daibiru Corp. 5,200 51,891 Daido Metal Co., Ltd. 3,000 31,880 #* Daiei, Inc. (The) 11,850 33,265 Daifuku Co., Ltd. 7,000 80,707 Daihen Corp. 11,000 41,688 Daiichi Jitsugyo Co., Ltd. 4,000 16,839 Daiichikosho Co., Ltd. 1,100 31,697 Daiken Corp. 9,000 22,016 Daiki Aluminium Industry Co., Ltd. 3,000 7,049 Daikoku Denki Co., Ltd. 900 16,086 Daikyo, Inc. 30,000 58,490 Dainichiseika Color & Chemicals Manufacturing Co., Ltd. 4,000 16,905 # Dainippon Screen Manufacturing Co., Ltd. 12,000 52,340 # Daio Paper Corp. 6,000 62,947 Daisan Bank, Ltd. (The) 8,000 13,396 Daiseki Co., Ltd. 2,130 33,936 Daishi Bank, Ltd. (The) 23,000 83,069 Daiso Co., Ltd. 1,000 3,319 Daisyo Corp. 1,600 18,821 Daito Bank, Ltd. (The) 10,000 10,652 Daiwa Industries, Ltd. 3,000 18,504 Daiwabo Holdings Co., Ltd. 22,000 37,882 DCM Holdings Co., Ltd. 5,100 34,503 Denki Kagaku Kogyo K.K. 11,000 36,482 Denki Kogyo Co., Ltd. 3,000 17,852 Denyo Co., Ltd. 2,000 29,804 Descente, Ltd. 5,000 37,898 DMG Mori Seiki Co., Ltd. 9,600 119,760 Doshisha Co., Ltd. 1,200 17,992 Doutor Nichires Holdings Co., Ltd. 2,212 39,646 # Dr Ci:Labo Co., Ltd. 700 22,405 DTS Corp. 1,200 19,899 # Duskin Co., Ltd. 2,700 49,910 # Dwango Co., Ltd. 2,300 64,162 Dydo Drinco, Inc. 500 20,316 Eagle Industry Co., Ltd. 2,000 31,656 EDION Corp. 5,000 29,137 # Ehime Bank, Ltd. (The) 10,000 21,910 Eighteenth Bank, Ltd. (The) 16,000 35,739 Eiken Chemical Co., Ltd. 2,000 32,424 Eizo Corp. 1,100 29,824 en-japan, Inc. 800 14,101 Enplas Corp. 700 40,221 # EPS Corp. 2,000 19,109 ESPEC Corp. 2,000 15,280 Exedy Corp. 2,800 74,913 Ezaki Glico Co., Ltd. 3,000 39,511 # F@N Communications, Inc. 1,800 30,283 VA INTERNATIONAL SMALL PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- JAPAN -- (Continued) # Fancl Corp. 2,700 $ 29,943 FCC Co., Ltd. 2,100 35,897 # FIDEA Holdings Co., Ltd. 7,400 13,835 Fields Corp. 1,100 14,784 Foster Electric Co., Ltd. 2,000 24,225 # FP Corp. 1,800 55,982 France Bed Holdings Co., Ltd. 8,000 14,416 Fudo Tetra Corp. 7,300 16,303 # Fuji Co., Ltd. 1,500 28,391 Fuji Corp., Ltd. 3,000 17,601 Fuji Kosan Co., Ltd. 600 3,727 # Fuji Kyuko Co., Ltd. 4,000 40,038 Fuji Oil Co., Ltd.(6581361) 1,800 5,576 Fuji Oil Co., Ltd.(6356848) 3,500 47,288 Fuji Seal International, Inc. 1,200 39,043 Fuji Soft, Inc. 2,700 56,480 # Fujibo Holdings, Inc. 8,000 18,417 Fujicco Co., Ltd. 1,400 16,365 Fujikura Kasei Co., Ltd. 2,000 10,931 Fujikura, Ltd. 29,000 124,873 Fujimi, Inc. 1,400 16,189 Fujimori Kogyo Co., Ltd. 800 22,460 Fujitec Co., Ltd. 4,000 46,122 Fujitsu Frontech, Ltd. 2,000 22,310 Fujitsu General, Ltd. 6,000 69,239 # Fujiya Co., Ltd. 2,000 3,660 Fukuda Corp. 3,000 13,931 Fukui Bank, Ltd. (The) 16,000 37,980 Fukushima Bank, Ltd. (The) 14,000 11,510 # Fukuyama Transporting Co., Ltd. 7,000 40,965 * Funai Electric Co., Ltd. 600 6,443 Furukawa Co., Ltd. 18,000 32,650 Furukawa Electric Co., Ltd. 20,000 45,029 Furusato Industries, Ltd. 1,000 10,180 Fuso Pharmaceutical Industries, Ltd. 5,000 16,079 Futaba Corp. 1,500 23,575 Futaba Industrial Co., Ltd. 3,500 15,679 Future Architect, Inc. 2,600 15,379 Fuyo General Lease Co., Ltd. 1,000 34,411 G-Tekt Corp. 1,800 20,148 # Gakken Holdings Co., Ltd. 3,000 8,134 Gecoss Corp. 3,500 32,800 Geo Holdings Corp. 1,800 16,491 # GLOBERIDE, Inc. 10,000 12,715 Glory, Ltd. 2,100 54,330 GMO internet, Inc. 2,700 23,854 # GMO Payment Gateway, Inc. 400 12,539 Godo Steel, Ltd. 6,000 8,449 Goldcrest Co., Ltd. 1,190 24,911 Goldwin, Inc. 2,000 10,327 Gulliver International Co., Ltd. 2,200 18,006 # Gun-Ei Chemical Industry Co., Ltd. 7,000 25,270 VA INTERNATIONAL SMALL PORTFOLIO CONTINUED SHARES VALUE++ ------ ------- JAPAN -- (Continued) Gunze, Ltd. 19,000 $51,883 Gurunavi, Inc. 1,000 13,034 H2O Retailing Corp. 6,000 45,279 Hakuto Co., Ltd. 1,400 12,925 Hamakyorex Co., Ltd. 400 11,079 Hanwa Co., Ltd. 10,000 39,112 Happinet Corp. 1,800 18,273 Haruyama Trading Co., Ltd. 1,400 9,795 # Hazama Ando Corp. 7,210 31,821 Heiwa Corp. 3,200 53,248 Heiwa Real Estate Co., Ltd. 2,600 40,818 Heiwado Co., Ltd. 2,500 35,391 HI-LEX Corp. 1,100 27,200 # Hibiya Engineering, Ltd. 3,000 38,686 Hiday Hidaka Corp. 600 13,816 Higashi Nihon House Co., Ltd. 2,000 9,587 # Higashi-Nippon Bank, Ltd. (The) 9,000 22,571 Higo Bank, Ltd. (The) 14,000 71,958 Hioki EE Corp. 300 4,722 HIS Co., Ltd. 1,400 38,826 Hisaka Works, Ltd. 2,000 17,757 # Hitachi Koki Co., Ltd. 4,100 30,542 Hitachi Kokusai Electric, Inc. 2,000 22,863 Hitachi Transport System, Ltd. 800 12,276 Hitachi Zosen Corp. 9,600 47,103 Hodogaya Chemical Co., Ltd. 4,000 7,860 Hogy Medical Co., Ltd. 1,100 56,734 Hokkaido Coca-Cola Bottling Co., Ltd. 3,000 14,815 Hokkaido Gas Co., Ltd. 4,000 10,655 Hokkan Holdings, Ltd. 6,000 15,635 Hokkoku Bank, Ltd. (The) 18,000 60,275 Hokuetsu Bank, Ltd. (The) 16,000 32,727 Hokuetsu Kishu Paper Co., Ltd. 11,500 54,694 Hokuriku Electric Industry Co., Ltd. 4,000 5,321 Hokuto Corp. 1,600 32,142 # Honeys Co., Ltd. 770 7,209 # Hoosiers Holdings Co., Ltd. 700 3,838 Horiba, Ltd. 2,200 76,046 Hosiden Corp. 3,100 14,103 Hosokawa Micron Corp. 2,000 12,072 House Foods Group, Inc. 5,200 86,529 Howa Machinery, Ltd. 500 3,550 Hyakugo Bank, Ltd. (The) 19,000 73,617 Hyakujushi Bank, Ltd. (The) 15,000 50,244 IBJ Leasing Co., Ltd. 900 20,595 # Ichibanya Co., Ltd. 400 16,182 * Ichikoh Industries, Ltd. 4,000 5,346 Ichiyoshi Securities Co., Ltd. 4,100 48,903 Icom, Inc. 700 16,112 Idec Corp. 1,600 14,062 Ihara Chemical Industry Co., Ltd. 4,000 31,259 Iida Group Holdings Co., Ltd. 3,132 46,740 VA INTERNATIONAL SMALL PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- JAPAN -- (Continued) Iino Kaiun Kaisha, Ltd. 7,300 $ 35,909 # Imasen Electric Industrial 801 10,046 Inaba Denki Sangyo Co., Ltd. 1,400 42,995 Inaba Seisakusho Co., Ltd. 1,200 15,143 Inabata & Co., Ltd. 4,000 37,643 Inageya Co., Ltd. 2,000 19,554 Ines Corp. 3,600 23,653 # Infomart Corp. 700 11,089 # Internet Initiative Japan, Inc. 2,600 60,324 Inui Steamship Co., Ltd. 1,500 4,616 Iriso Electronics Co., Ltd. 900 45,300 # Iseki & Co., Ltd. 14,000 36,180 * Ishihara Sangyo Kaisha, Ltd. 24,000 22,830 IT Holdings Corp. 8,200 127,116 Itochu Enex Co., Ltd. 4,000 22,459 Itochu-Shokuhin Co., Ltd. 600 20,208 Itoham Foods, Inc. 8,631 39,118 Itoki Corp. 3,000 22,526 Iwasaki Electric Co., Ltd. 4,000 9,673 # Iwatani Corp. 11,000 64,551 Iwatsu Electric Co., Ltd. 3,000 2,641 Izumiya Co., Ltd. 7,000 33,209 # J-Oil Mills, Inc. 6,000 16,041 Jamco Corp. 2,000 35,798 Japan Airport Terminal Co., Ltd. 2,400 55,378 Japan Aviation Electronics Industry, Ltd. 5,000 85,110 # Japan Cash Machine Co., Ltd. 1,700 28,997 #* Japan Communications, Inc. 7,100 30,657 Japan Digital Laboratory Co., Ltd. 2,300 33,511 # Japan Drilling Co., Ltd. 600 23,529 Japan Medical Dynamic Marketing, Inc. 770 2,205 Japan Pulp & Paper Co., Ltd. 5,000 17,031 # Japan Steel Works, Ltd. (The) 18,000 76,052 Japan Transcity Corp. 3,000 9,134 # Japan Vilene Co., Ltd. 3,000 16,528 Japan Wool Textile Co., Ltd. (The) 6,000 44,561 JBCC Holdings, Inc. 2,000 15,174 Jeol, Ltd. 4,000 14,855 Jimoto Holdings, Inc. 10,000 19,788 # Jin Co., Ltd. 1,100 32,069 Joshin Denki Co., Ltd. 2,000 16,208 JSP Corp. 1,900 28,531 * Juki Corp. 11,000 22,624 Juroku Bank, Ltd. (The) 25,000 87,331 #* JVC Kenwood Corp. 13,070 27,629 * K&O Energy Group, Inc. 1,000 13,880 # K's Holdings Corp. 2,700 78,355 kabu.com Securities Co., Ltd. 7,800 34,607 # Kadokawa Corp. 1,600 52,536 Kaga Electronics Co., Ltd. 900 10,778 # Kagome Co., Ltd. 2,300 38,921 Kagoshima Bank, Ltd. (The) 11,000 68,707 VA INTERNATIONAL SMALL PORTFOLIO CONTINUED SHARES VALUE++ ------ ------- JAPAN -- (Continued) Kaken Pharmaceutical Co., Ltd. 5,000 $86,162 Kameda Seika Co., Ltd. 1,200 34,121 Kamei Corp. 2,000 14,727 Kanaden Corp. 3,000 21,100 Kanagawa Chuo Kotsu Co., Ltd. 4,000 19,531 # Kanamoto Co., Ltd. 2,000 62,828 Kandenko Co., Ltd. 9,000 48,279 # Kanematsu Corp. 37,025 56,977 Kanematsu Electronics, Ltd. 500 6,677 Kansai Urban Banking Corp. 11,000 13,797 #* Kanto Denka Kogyo Co., Ltd. 4,000 9,573 * Kappa Create Holdings Co., Ltd. 400 3,858 Kasumi Co., Ltd. 1,900 13,405 Katakura Industries Co., Ltd. 900 11,571 Kato Sangyo Co., Ltd. 2,000 41,597 Kato Works Co., Ltd. 4,000 23,071 KAWADA TECHNOLOGIES, Inc. 200 5,929 Kawai Musical Instruments Manufacturing Co., Ltd. 5,000 8,910 Keihin Corp. 2,900 42,086 Keiyo Bank, Ltd. (The) 7,000 30,811 # Keiyo Co., Ltd. 2,000 9,220 KEY Coffee, Inc. 1,300 20,041 KFC Holdings Japan, Ltd. 1,000 20,628 Kintetsu World Express, Inc. 1,200 47,624 Kinugawa Rubber Industrial Co., Ltd. 3,000 12,524 Kissei Pharmaceutical Co., Ltd. 1,100 25,761 Kita-Nippon Bank, Ltd. (The) 400 10,490 Kitagawa Iron Works Co., Ltd. 7,000 11,400 Kitz Corp. 4,800 22,666 Kiyo Bank, Ltd. (The) 4,800 56,482 * KNT-CT Holdings Co., Ltd. 6,000 9,872 Koa Corp. 1,500 14,417 Koatsu Gas Kogyo Co., Ltd. 4,000 20,609 # Kohnan Shoji Co., Ltd. 2,000 20,246 Koike Sanso Kogyo Co., Ltd. 4,000 8,394 #* Kojima Co., Ltd. 2,300 7,365 Kokuyo Co., Ltd. 5,900 45,118 Komatsu Seiren Co., Ltd. 4,000 20,158 Komeri Co., Ltd. 1,800 48,741 Komori Corp. 3,200 40,700 Konaka Co., Ltd. 1,760 12,367 Konishi Co., Ltd. 2,000 35,782 Kose Corp. 2,000 66,474 #* Kumagai Gumi Co., Ltd. 8,000 20,690 Kumiai Chemical Industry Co., Ltd. 2,481 16,870 Kura Corp. 1,200 24,136 Kurabo Industries, Ltd. 18,000 30,661 Kureha Corp. 12,000 56,747 Kurimoto, Ltd. 11,000 22,946 # Kuroda Electric Co., Ltd. 2,000 32,132 KYB Co., Ltd. 20,000 81,470 Kyodo Printing Co., Ltd. 9,000 24,247 VA INTERNATIONAL SMALL PORTFOLIO CONTINUED SHARES VALUE++ ------ ------- JAPAN -- (Continued) Kyodo Shiryo Co., Ltd. 5,000 $ 5,284 # Kyoei Steel, Ltd. 1,200 20,801 Kyokuto Kaihatsu Kogyo Co., Ltd. 2,300 30,237 # Kyokuto Securities Co., Ltd. 1,100 17,253 Kyokuyo Co., Ltd. 3,000 7,754 KYORIN Holdings, Inc. 2,900 55,898 Kyoritsu Maintenance Co., Ltd. 1,000 34,154 Kyosan Electric Manufacturing Co., Ltd. 5,000 17,294 Kyowa Exeo Corp. 6,200 80,201 Kyudenko Corp. 3,000 25,869 Lasertec Corp. 800 7,960 * Leopalace21 Corp. 13,100 67,749 # Life Corp. 2,000 30,568 Lintec Corp. 2,700 50,204 Lion Corp. 14,000 76,695 Macnica, Inc. 800 23,721 Maeda Corp. 11,000 81,858 Maeda Road Construction Co., Ltd. 6,000 93,033 Maezawa Kasei Industries Co., Ltd. 1,200 12,510 Maezawa Kyuso Industries Co., Ltd. 1,200 15,732 Makino Milling Machine Co., Ltd. 7,000 52,114 Mandom Corp. 1,100 38,631 Mani, Inc. 500 22,367 # Mars Engineering Corp. 700 13,074 Marubun Corp. 1,900 10,488 Marudai Food Co., Ltd. 5,000 14,882 Maruetsu, Inc. (The) 5,000 16,635 #* Maruha Nichiro Corp. 2,253 35,693 Marukyu Co., Ltd. 2,000 21,528 Marusan Securities Co., Ltd. 6,000 41,992 Maruwa Co., Ltd. 700 24,837 Maruyama Manufacturing Co., Inc. 3,000 6,369 * Maruzen CHI Holdings Co., Ltd. 400 1,234 # Maruzen Showa Unyu Co., Ltd. 6,000 18,822 Matsuda Sangyo Co., Ltd. 1,225 13,615 Matsumotokiyoshi Holdings Co., Ltd. 1,700 50,166 # Matsuya Foods Co., Ltd. 1,000 17,966 Max Co., Ltd. 4,000 43,884 Maxvalu Tokai Co., Ltd. 1,000 13,143 Megmilk Snow Brand Co., Ltd. 3,900 51,749 Meidensha Corp. 12,000 49,678 Meitec Corp. 1,900 50,584 Meito Sangyo Co., Ltd. 1,200 12,696 # Meiwa Corp. 3,000 11,931 Meiwa Estate Co., Ltd. 1,700 6,713 # Melco Holdings, Inc. 1,400 21,289 Message Co., Ltd. 1,100 35,303 Michinoku Bank, Ltd. (The) 9,000 18,954 # Micronics Japan Co., Ltd. 700 19,265 Mie Bank, Ltd. (The) 5,000 10,765 Milbon Co., Ltd. 600 19,793 Mimasu Semiconductor Industry Co., Ltd. 1,219 11,066 VA INTERNATIONAL SMALL PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- JAPAN -- (Continued) Minato Bank, Ltd. (The) 21,000 $ 35,740 Ministop Co., Ltd. 1,500 22,717 Mirait Holdings Corp. 4,400 38,703 Misawa Homes Co., Ltd. 2,000 24,548 Mitani Corp. 1,200 27,034 Mito Securities Co., Ltd. 4,000 13,974 Mitsuba Corp. 4,000 58,721 * Mitsubishi Paper Mills, Ltd. 13,000 11,184 Mitsubishi Pencil Co., Ltd. 300 8,916 Mitsubishi Shokuhin Co., Ltd. 800 17,913 Mitsubishi Steel Manufacturing Co., Ltd. 14,000 28,062 Mitsuboshi Belting Co., Ltd. 5,000 26,122 Mitsui Engineering & Shipbuilding Co., Ltd. 58,000 112,533 Mitsui High-Tec, Inc. 3,300 20,814 Mitsui Matsushima Co., Ltd. 10,000 14,495 Mitsui Mining & Smelting Co., Ltd. 32,000 79,349 Mitsui Sugar Co., Ltd. 6,000 24,895 Mitsui-Soko Co., Ltd. 10,000 39,675 # Mitsumi Electric Co., Ltd. 7,500 48,059 Mitsuuroko Group Holdings Co., Ltd. 3,000 16,337 # Miura Co., Ltd. 2,000 56,812 Miyazaki Bank, Ltd. (The) 11,000 33,607 # Mizuno Corp. 9,000 49,111 Mochida Pharmaceutical Co., Ltd. 600 42,278 Modec, Inc. 1,500 33,239 # Monex Group, Inc. 10,200 34,196 # MonotaRO Co., Ltd. 1,000 20,178 Morinaga & Co., Ltd. 16,000 35,267 Morinaga Milk Industry Co., Ltd. 14,000 52,259 Morita Holdings Corp. 4,000 33,315 MOS Food Services, Inc. 2,000 39,859 # Moshi Moshi Hotline, Inc. 3,700 37,455 # Musashi Seimitsu Industry Co., Ltd. 1,200 26,480 Musashino Bank, Ltd. (The) 2,900 92,930 Nachi-Fujikoshi Corp. 13,000 80,401 Nafco Co., Ltd. 400 5,950 Nagaileben Co., Ltd. 800 15,397 Nagano Bank, Ltd. (The) 6,000 10,519 Nagase & Co., Ltd. 3,500 42,886 Nagatanien Co., Ltd. 2,000 19,290 Nakamuraya Co., Ltd. 3,000 11,666 Nakanishi, Inc. 1,000 34,257 * Nakayama Steel Works, Ltd. 5,000 3,721 # Namura Shipbuilding Co., Ltd. 3,200 24,096 Nanto Bank, Ltd. (The) 14,000 52,547 NDS Co., Ltd. 5,000 13,904 NEC Networks & System Integration Corp. 1,700 35,915 # NET One Systems Co., Ltd. 6,200 50,443 Neturen Co., Ltd. 2,600 17,838 Nichi-iko Pharmaceutical Co., Ltd. 2,850 44,206 Nichia Steel Works, Ltd. 4,000 10,368 # Nichias Corp. 6,000 40,642 VA INTERNATIONAL SMALL PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- JAPAN -- (Continued) Nichicon Corp. 4,800 $ 35,604 Nichiha Corp. 1,500 17,282 Nichii Gakkan Co. 2,900 25,579 Nichirei Corp. 20,000 97,119 Nichireki Co., Ltd. 2,000 19,558 Nidec Corp. 532 30,077 Nifco, Inc. 2,800 78,207 # Nihon Dempa Kogyo Co., Ltd. 600 4,821 Nihon Eslead Corp. 1,000 10,169 Nihon Kohden Corp. 1,900 77,812 Nihon M&A Center, Inc. 1,200 28,055 Nihon Nohyaku Co., Ltd. 5,000 62,303 Nihon Parkerizing Co., Ltd. 2,000 43,592 Nihon Trim Co., Ltd. 500 17,368 Nihon Unisys, Ltd. 4,200 42,651 Nihon Yamamura Glass Co., Ltd. 8,000 13,317 Nikkiso Co., Ltd. 4,000 44,833 Nippo Corp. 3,000 45,838 Nippon Beet Sugar Manufacturing Co., Ltd. 5,000 9,408 # Nippon Carbon Co., Ltd. 5,000 8,820 # Nippon Ceramic Co., Ltd. 1,000 15,681 * Nippon Chemi-Con Corp. 10,000 31,965 * Nippon Chemical Industrial Co., Ltd. 2,000 2,605 Nippon Chemiphar Co., Ltd. 3,000 14,440 Nippon Coke & Engineering Co., Ltd. 12,500 14,571 # Nippon Concrete Industries Co., Ltd. 3,000 12,253 # Nippon Denko Co., Ltd. 6,000 16,693 Nippon Densetsu Kogyo Co., Ltd. 4,000 59,362 Nippon Filcon Co., Ltd. 2,000 8,261 Nippon Flour Mills Co., Ltd. 12,000 66,953 Nippon Gas Co., Ltd. 2,000 33,124 Nippon Kasei Chemical Co., Ltd. 5,000 6,308 * Nippon Kinzoku Co., Ltd. 3,000 3,789 Nippon Koei Co., Ltd. 5,000 23,956 Nippon Konpo Unyu Soko Co., Ltd. 4,000 67,588 * Nippon Koshuha Steel Co., Ltd. 10,000 8,924 Nippon Light Metal Holdings Co., Ltd. 31,000 43,712 # Nippon Paper Industries Co., Ltd. 7,100 129,757 Nippon Pillar Packing Co., Ltd. 2,000 14,357 Nippon Piston Ring Co., Ltd. 7,000 12,230 Nippon Road Co., Ltd. (The) 8,000 40,726 Nippon Seiki Co., Ltd. 2,000 34,971 # Nippon Sharyo, Ltd. 4,000 14,348 #* Nippon Sheet Glass Co., Ltd. 79,000 101,329 Nippon Shinyaku Co., Ltd. 3,000 52,848 Nippon Signal Co., Ltd. (The) 4,500 37,314 Nippon Soda Co., Ltd. 13,000 72,227 Nippon Steel & Sumikin Bussan Corp. 6,480 22,893 * Nippon Suisan Kaisha, Ltd. 31,700 72,947 Nippon Synthetic Chemical Industry Co., Ltd. (The) 3,000 19,989 Nippon Thompson Co., Ltd. 3,000 13,672 Nippon Valqua Industries, Ltd. 6,000 15,972 VA INTERNATIONAL SMALL PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- JAPAN -- (Continued) #* Nippon Yakin Kogyo Co., Ltd. 15,000 $ 41,723 # Nipro Corp. 9,000 77,915 Nishi-Nippon Railroad Co., Ltd. 25,000 96,147 Nishimatsu Construction Co., Ltd. 25,000 89,959 Nishimatsuya Chain Co., Ltd. 3,000 21,504 # Nishio Rent All Co., Ltd. 1,500 55,190 Nissei Corp. 400 3,780 * Nissha Printing Co., Ltd. 2,900 37,801 Nisshin Fudosan Co. 2,800 9,816 # Nisshin Oillio Group, Ltd. (The) 10,000 33,482 Nisshin Steel Co., Ltd. 7,348 75,467 Nisshinbo Holdings, Inc. 8,000 68,538 Nissin Corp. 5,000 14,099 # Nissin Electric Co., Ltd. 2,000 11,123 # Nissin Kogyo Co., Ltd. 2,100 38,760 Nitta Corp. 1,300 26,706 Nittan Valve Co., Ltd. 2,000 5,996 Nittetsu Mining Co., Ltd. 3,000 11,198 * Nitto Boseki Co., Ltd. 4,000 16,691 Nitto Kogyo Corp. 3,000 62,200 Nitto Kohki Co., Ltd. 100 1,821 Nitto Seiko Co., Ltd. 3,000 8,658 Noevir Holdings Co., Ltd. 1,100 20,918 NOF Corp. 12,000 83,225 # Nomura Co., Ltd. 4,000 28,433 Noritake Co., Ltd. 8,000 19,576 Noritsu Koki Co., Ltd. 1,200 8,600 Noritz Corp. 2,000 35,532 North Pacific Bank, Ltd. 26,500 107,343 NS Solutions Corp. 1,400 35,027 NS United Kaiun Kaisha, Ltd. 9,000 20,224 NSD Co., Ltd. 2,400 29,671 Nuflare Technology, Inc. 300 18,663 Obara Group, Inc. 600 22,540 Oenon Holdings, Inc. 5,000 12,663 Ogaki Kyoritsu Bank, Ltd. (The) 22,000 59,423 # Ohsho Food Service Corp. 1,100 40,655 # Oiles Corp. 1,728 38,918 Oita Bank, Ltd. (The) 13,000 47,332 Okabe Co., Ltd. 4,000 55,000 Okamoto Industries, Inc. 6,000 19,723 Okamura Corp. 3,000 25,662 Oki Electric Industry Co., Ltd. 29,000 56,770 Okinawa Electric Power Co., Inc. (The) 1,077 35,200 # OKK Corp. 5,000 6,424 # OKUMA Corp. 11,000 94,153 Okumura Corp. 12,000 54,826 Okura Industrial Co., Ltd. 4,000 11,463 Okuwa Co., Ltd. 2,000 18,257 Olympic Group Corp. 1,800 16,224 ONO Sokki Co., Ltd. 3,000 13,637 # Onoken Co., Ltd. 2,000 21,059 VA INTERNATIONAL SMALL PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- JAPAN -- (Continued) Onward Holdings Co., Ltd. 9,000 $ 60,535 Organo Corp. 4,000 19,032 # Origin Electric Co., Ltd. 3,000 8,363 Osaka Steel Co., Ltd. 900 14,229 # OSAKA Titanium Technologies Co., Ltd. 1,600 32,862 # Osaki Electric Co., Ltd. 3,000 18,160 OSG Corp. 5,300 85,427 Oyo Corp. 900 12,485 Pacific Industrial Co., Ltd. 4,000 27,979 #* Pacific Metals Co., Ltd. 8,000 37,211 Pack Corp. (The) 700 13,212 Pal Co., Ltd. 900 17,175 Paltac Corp. 2,500 30,881 PanaHome Corp. 6,000 39,897 Panasonic Industrial Devices SUNX Co., Ltd. 2,700 12,225 Panasonic Information Systems 400 10,508 # Paramount Bed Holdings Co., Ltd. 1,100 33,199 Parco Co., Ltd. 400 3,203 Paris Miki Holdings, Inc. 1,000 4,976 * Pasco Corp. 1,000 3,850 Penta-Ocean Construction Co., Ltd. 18,000 58,872 Pigeon Corp. 2,600 116,405 Pilot Corp. 1,500 63,049 Piolax, Inc. 1,000 34,615 #* Pioneer Corp. 21,000 45,374 Plenus Co., Ltd. 1,900 43,361 Press Kogyo Co., Ltd. 9,000 33,007 Prima Meat Packers, Ltd. 15,000 33,088 Raito Kogyo Co., Ltd. 4,700 40,472 #* Rasa Industries, Ltd. 3,000 3,674 Relo Holdings, Inc. 600 32,901 Rengo Co., Ltd. 17,000 75,968 #* Renown, Inc. 3,000 3,470 Resort Solution Co., Ltd. 4,000 8,853 Resorttrust, Inc. 2,000 31,380 Rheon Automatic Machinery Co., Ltd. 2,000 11,150 Rhythm Watch Co., Ltd. 10,000 14,785 Ricoh Leasing Co., Ltd. 1,000 26,102 Right On Co., Ltd. 1,125 7,968 Riken Corp. 7,000 28,640 Riken Technos Corp. 5,000 25,888 Riken Vitamin Co., Ltd. 2,000 47,422 Ringer Hut Co., Ltd. 1,400 20,807 Riso Kagaku Corp. 1,400 34,535 # Rock Field Co., Ltd. 300 5,361 Rohto Pharmaceutical Co., Ltd. 3,000 52,925 Roland Corp. 2,000 28,429 Roland DG Corp. 1,200 40,560 Round One Corp. 5,300 38,069 Royal Holdings Co., Ltd. 2,000 29,172 Ryobi, Ltd. 11,000 32,587 Ryoden Trading Co., Ltd. 3,000 20,237 VA INTERNATIONAL SMALL PORTFOLIO CONTINUED SHARES VALUE++ ------ ------- JAPAN -- (Continued) Ryosan Co., Ltd. 2,800 $59,184 Ryoyo Electro Corp. 2,000 24,029 S Foods, Inc. 2,000 26,694 Saibu Gas Co., Ltd. 24,000 60,174 # Saizeriya Co., Ltd. 2,400 27,499 Sakai Chemical Industry Co., Ltd. 7,000 19,730 Sakata INX Corp. 3,000 26,460 Sakata Seed Corp. 2,000 27,939 Sala Corp. 4,000 20,375 San-A Co., Ltd. 1,000 28,820 San-Ai Oil Co., Ltd. 4,000 26,625 San-In Godo Bank, Ltd. (The) 14,000 92,402 # Sanden Corp. 10,000 47,766 Sangetsu Co., Ltd. 2,100 54,111 * Sanix, Inc. 2,900 34,331 Sanken Electric Co., Ltd. 10,000 69,664 Sanki Engineering Co., Ltd. 5,000 30,687 Sankyo Seiko Co., Ltd. 4,000 13,816 Sankyo Tateyama, Inc. 1,600 31,667 Sankyu, Inc. 19,000 72,425 Sanoh Industrial Co., Ltd. 3,000 18,521 Sanshin Electronics Co., Ltd. 2,000 12,553 Sanwa Holdings Corp. 9,000 54,983 Sanyo Chemical Industries, Ltd. 7,000 42,879 Sanyo Denki Co., Ltd. 4,000 26,942 Sanyo Electric Railway Co., Ltd. 6,000 27,670 Sanyo Shokai, Ltd. 11,000 30,016 Sanyo Special Steel Co., Ltd. 6,000 23,402 Sapporo Holdings, Ltd. 16,000 67,840 #* Sasebo Heavy Industries Co., Ltd. 7,000 7,820 # Sato Holdings Corp. 300 6,511 Sato Shoji Corp. 2,000 12,681 Satori Electric Co., Ltd. 1,000 6,329 # Sawada Holdings Co., Ltd. 3,300 27,990 Saxa Holdings, Inc. 4,000 5,983 Secom Joshinetsu Co., Ltd. 900 22,030 Seika Corp. 8,000 18,644 Seikagaku Corp. 1,700 20,355 Seiko Holdings Corp. 10,000 36,542 Seino Holdings Co., Ltd. 5,000 49,419 Seiren Co., Ltd. 5,300 44,531 Sekisui Jushi Corp. 2,000 26,629 Sekisui Plastics Co., Ltd. 7,000 18,685 # Senko Co., Ltd. 6,000 27,424 # Senshu Electric Co., Ltd. 1,000 12,813 Senshu Ikeda Holdings, Inc. 14,100 64,740 # Senshukai Co., Ltd. 3,000 25,525 # Seria Co., Ltd. 600 23,465 Shibaura Mechatronics Corp. 4,000 10,049 Shibusawa Warehouse Co., Ltd. (The) 6,000 19,925 # Shibuya Kogyo Co., Ltd. 1,200 32,430 Shiga Bank, Ltd. (The) 5,000 27,341 VA INTERNATIONAL SMALL PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- JAPAN -- (Continued) # Shikibo, Ltd. 9,000 $ 9,859 Shikoku Bank, Ltd. (The) 12,000 24,204 Shikoku Chemicals Corp. 3,000 20,562 Shima Seiki Manufacturing, Ltd. 2,100 35,046 Shimachu Co., Ltd. 3,300 72,510 Shimizu Bank, Ltd. (The) 400 9,775 Shin-Etsu Polymer Co., Ltd. 5,000 18,720 Shinagawa Refractories Co., Ltd. 5,000 9,944 Shindengen Electric Manufacturing Co., Ltd. 8,000 32,683 #* Shinkawa, Ltd. 1,000 5,497 Shinko Electric Industries Co., Ltd. 6,300 41,490 Shinko Plantech Co., Ltd. 3,000 22,585 Shinko Shoji Co., Ltd. 2,000 18,427 Shinmaywa Industries, Ltd. 8,000 70,648 Shinnihon Corp. 4,000 11,755 Ship Healthcare Holdings, Inc. 1,800 61,384 Shiroki Corp. 7,000 13,433 Shizuoka Gas Co., Ltd. 5,000 30,086 Shobunsha Publications, Inc. 1,300 8,031 Showa Corp. 2,400 26,393 Showa Sangyo Co., Ltd. 10,000 32,282 Siix Corp. 2,400 35,242 Sinanen Co., Ltd. 3,000 11,390 Sinfonia Technology Co., Ltd. 6,000 9,229 Sintokogio, Ltd. 3,938 28,299 SKY Perfect JSAT Holdings, Inc. 2,100 11,292 # SMK Corp. 5,000 18,653 Sodick Co., Ltd. 4,100 15,224 Sotetsu Holdings, Inc. 20,000 71,477 Square Enix Holdings Co., Ltd. 4,800 77,206 SRA Holdings 1,000 14,359 St Marc Holdings Co., Ltd. 500 23,697 Star Micronics Co., Ltd. 3,100 38,272 Starbucks Coffee Japan, Ltd. 1,200 12,762 Starts Corp., Inc. 1,500 18,970 Starzen Co., Ltd. 4,000 10,626 Stella Chemifa Corp. 900 11,421 # Sumco Corp. 3,500 26,861 Sumida Corp. 1,100 6,634 Suminoe Textile Co., Ltd. 5,000 15,137 Sumitomo Bakelite Co., Ltd. 18,000 68,552 Sumitomo Densetsu Co., Ltd. 1,100 13,565 #* Sumitomo Mitsui Construction Co., Ltd. 9,660 9,951 Sumitomo Osaka Cement Co., Ltd. 30,000 119,314 Sumitomo Precision Products Co., Ltd. 2,000 7,339 Sumitomo Real Estate Sales Co., Ltd. 1,200 35,993 Sumitomo Seika Chemicals Co., Ltd. 4,000 25,165 Sumitomo Warehouse Co., Ltd. (The) 11,000 53,337 Sun Frontier Fudousan Co., Ltd. 1,500 15,020 #* SWCC Showa Holdings Co., Ltd. 12,000 11,516 Systena Corp. 1,300 9,020 T Hasegawa Co., Ltd. 1,600 23,737 VA INTERNATIONAL SMALL PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- JAPAN -- (Continued) T RAD Co., Ltd. 5,000 $ 13,056 T&K Toka Co., Ltd. 500 10,371 T-Gaia Corp. 2,100 18,493 # Tachi-S Co., Ltd. 2,100 32,850 Tadano, Ltd. 6,000 84,839 Taihei Dengyo Kaisha, Ltd. 3,000 19,697 Taiho Kogyo Co., Ltd. 1,900 17,965 Taikisha, Ltd. 2,000 43,274 Taiko Bank, Ltd. (The) 4,000 8,260 Taiyo Holdings Co., Ltd. 400 12,090 # Taiyo Yuden Co., Ltd. 8,000 98,915 Takamatsu Construction Group Co., Ltd. 1,600 27,432 Takaoka Toko Co., Ltd. 400 5,711 Takara Leben Co., Ltd. 10,600 29,073 Takara Standard Co., Ltd. 7,000 49,999 Takasago International Corp. 7,000 34,220 Takasago Thermal Engineering Co., Ltd. 6,000 58,662 Takeei Corp. 1,900 18,599 Takeuchi Manufacturing Co., Ltd. 500 14,524 Takiron Co., Ltd. 3,000 12,165 Takuma Co., Ltd. 6,000 48,543 # Tamron Co., Ltd. 1,500 37,520 Tamura Corp. 4,000 9,540 Tatsuta Electric Wire and Cable Co., Ltd. 2,000 10,008 #* Teac Corp. 5,000 3,328 TECHNO ASSOCIE Co., Ltd. 1,800 18,374 Tecmo Koei Holdings Co., Ltd. 3,000 35,838 Teikoku Tsushin Kogyo Co., Ltd. 4,000 6,583 # Tekken Corp. 11,000 32,193 Temp Holdings Co., Ltd. 1,700 43,247 Tenma Corp. 2,000 26,144 TKC Corp. 1,600 32,357 Toa Corp. 12,000 22,574 TOA ROAD Corp. 3,000 13,693 Toagosei Co., Ltd. 25,000 104,612 * Tobishima Corp. 2,400 3,506 TOC Co., Ltd. 5,000 34,010 Tocalo Co., Ltd. 1,000 15,634 Tochigi Bank, Ltd. (The) 10,000 38,982 Toda Corp. 17,000 59,578 Toei Co., Ltd. 5,000 27,992 Toenec Corp. 3,000 14,523 Toho Bank, Ltd. (The) 21,000 70,334 Toho Holdings Co., Ltd. 3,000 60,475 #* Toho Titanium Co., Ltd. 2,900 18,092 Toho Zinc Co., Ltd. 6,000 19,090 Tohoku Bank, Ltd. (The) 8,000 11,437 Tokai Carbon Co., Ltd. 13,000 41,707 Tokai Corp/Gifu 200 5,085 TOKAI Holdings Corp. 5,000 17,334 Tokai Rika Co., Ltd. 2,600 45,186 # Tokai Rubber Industries, Ltd. 2,700 27,928 VA INTERNATIONAL SMALL PORTFOLIO CONTINUED SHARES VALUE++ ------ ------- JAPAN -- (Continued) # Token Corp. 480 $21,307 Tokushu Tokai Paper Co., Ltd. 5,189 11,440 # Tokuyama Corp. 20,000 58,004 Tokyo Dome Corp. 16,000 71,654 Tokyo Energy & Systems, Inc. 2,000 10,428 #* Tokyo Kikai Seisakusho, Ltd. 6,000 4,941 Tokyo Ohka Kogyo Co., Ltd. 2,700 61,749 Tokyo Rakutenchi Co., Ltd. 5,000 22,993 #* Tokyo Rope Manufacturing Co., Ltd. 4,000 5,840 Tokyo Seimitsu Co., Ltd. 2,300 38,759 Tokyo Steel Manufacturing Co., Ltd. 9,000 44,002 Tokyo Tekko Co., Ltd. 3,000 11,268 Tokyo Theatres Co., Inc. 6,000 8,165 Tokyo Tomin Bank, Ltd. (The) 1,300 13,488 # Tokyu Recreation Co., Ltd. 3,000 17,571 Toli Corp. 6,000 11,580 Tomato Bank, Ltd. 9,000 14,873 Tomen Electronics Corp. 800 12,819 TOMONY Holdings, Inc. 10,000 42,522 Tomy Co., Ltd. 5,617 26,655 Tonami Holdings Co., Ltd. 3,000 5,465 Topcon Corp. 2,800 48,831 Toppan Forms Co., Ltd. 2,600 23,889 Topre Corp. 2,100 21,250 Topy Industries, Ltd. 16,000 27,092 # Toridoll.corp 1,200 11,865 # Torishima Pump Manufacturing Co., Ltd. 2,000 24,523 Toshiba Machine Co., Ltd. 10,000 44,911 Toshiba Plant Systems & Services Corp. 4,000 58,851 Toshiba TEC Corp. 8,000 52,117 Tosho Printing Co., Ltd. 5,000 19,176 # Totetsu Kogyo Co., Ltd. 3,000 60,915 Tottori Bank, Ltd. (The) 6,000 10,681 Towa Bank, Ltd. (The) 10,000 9,498 # Towa Pharmaceutical Co., Ltd. 900 38,453 # Toyo Construction Co., Ltd. 3,200 11,343 Toyo Corp. 3,000 33,209 Toyo Denki Seizo - Toyo Electric Manufacturing Co., Ltd. 5,000 17,993 # Toyo Engineering Corp. 9,000 39,712 Toyo Ink SC Holdings Co., Ltd. 15,000 61,190 Toyo Kanetsu K.K. 12,000 28,565 Toyo Kohan Co., Ltd. 3,000 14,531 Toyo Securities Co., Ltd. 5,000 13,774 # Toyo Tanso Co., Ltd. 300 7,223 Toyo Tire & Rubber Co., Ltd. 11,205 83,554 Toyobo Co., Ltd. 51,000 82,357 TPR Co., Ltd. 2,100 30,984 Trancom Co., Ltd. 200 7,033 Transcosmos, Inc. 1,900 35,422 Trusco Nakayama Corp. 1,400 31,552 TSI Holdings Co., Ltd. 6,525 44,002 Tsubakimoto Chain Co. 9,000 64,232 VA INTERNATIONAL SMALL PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- JAPAN -- (Continued) # Tsugami Corp. 5,000 $ 28,409 Tsukishima Kikai Co., Ltd. 3,000 31,926 Tsukuba Bank, Ltd. 5,500 19,846 Tsukui Corp. 600 6,737 # Tsumura & Co. 2,100 49,915 Tsurumi Manufacturing Co., Ltd. 2,000 24,429 Tsutsumi Jewelry Co., Ltd. 800 18,136 # U-Shin, Ltd. 2,000 11,975 UACJ Corp. 16,034 63,424 Ube Industries, Ltd. 8,400 14,231 Uchida Yoko Co., Ltd. 4,000 11,186 UKC Holdings Corp. 300 4,827 * Ulvac, Inc. 4,900 92,866 * Uniden Corp. 2,000 4,638 Union Tool Co. 400 9,377 Unipres Corp. 2,300 44,438 United Arrows, Ltd. 1,200 46,413 * Unitika, Ltd. 52,000 29,499 * Universal Entertainment Corp. 2,600 46,209 UNY Group Holdings Co., Ltd. 15,800 101,966 * Usen Corp. 4,870 17,968 Ushio, Inc. 2,400 31,348 Valor Co., Ltd. 2,000 25,922 Vital KSK Holdings, Inc. 2,800 19,827 VT Holdings Co., Ltd. 6,900 39,558 Wacoal Holdings Corp. 6,000 59,185 Wacom Co., Ltd. 6,000 39,239 Wakita & Co., Ltd. 2,000 22,701 Warabeya Nichiyo Co., Ltd. 1,200 22,403 # WATAMI Co., Ltd. 1,400 20,389 # Welcia Holdings Co., Ltd. 400 24,197 # West Holdings Corp. 1,800 24,231 Wood One Co., Ltd. 3,000 8,396 Xebio Co., Ltd. 1,500 27,741 Yachiyo Bank, Ltd. (The) 600 16,219 Yahagi Construction Co., Ltd. 1,500 14,737 YAMABIKO Corp. 615 22,902 Yamagata Bank, Ltd. (The) 11,000 47,082 # Yamaichi Electronics Co., Ltd. 1,600 6,432 Yamanashi Chuo Bank, Ltd. (The) 14,000 60,661 Yamazen Corp. 3,000 19,381 Yaoko Co., Ltd. 500 22,665 Yasuda Warehouse Co., Ltd. (The) 2,000 20,687 Yellow Hat, Ltd. 1,800 34,509 Yodogawa Steel Works, Ltd. 9,000 35,481 Yokogawa Bridge Holdings Corp. 2,000 26,520 Yokohama Reito Co., Ltd. 3,000 24,284 Yokowo Co., Ltd. 1,700 8,458 Yomeishu Seizo Co., Ltd. 2,000 18,655 Yondenko Corp. 2,100 7,461 Yondoshi Holdings, Inc. 1,159 20,636 Yorozu Corp. 1,900 35,514 VA INTERNATIONAL SMALL PORTFOLIO CONTINUED SHARES VALUE++ ------ ----------- JAPAN -- (Continued) Yuasa Trading Co., Ltd. 18,000 $ 34,249 Yurtec Corp. 4,000 18,669 Yusen Logistics Co., Ltd. 600 6,910 Yushiro Chemical Industry Co., Ltd. 1,000 10,086 # Zenrin Co., Ltd. 1,800 18,360 Zensho Holdings Co., Ltd. 3,800 38,415 ZERIA Pharmaceutical Co., Ltd. 2,200 46,124 # Zuken, Inc. 2,000 15,661 ----------- TOTAL JAPAN 27,253,185 ----------- NETHERLANDS -- (2.0%) Aalberts Industries NV 5,881 195,907 # Accell Group 1,850 36,766 * AFC Ajax NV 864 11,028 * AMG Advanced Metallurgical Group NV 1,768 17,784 Amsterdam Commodities NV 600 14,912 * APERAM 3,991 103,840 Arcadis NV 4,256 151,267 ASM International NV 5,088 222,668 # BE Semiconductor Industries NV 1,755 29,948 Beter Bed Holding NV 1,357 32,070 BinckBank NV 4,652 52,563 Brunel International NV 1,388 94,025 Corbion NV 2,931 67,978 Delta Lloyd NV 14,060 370,030 Exact Holding NV 931 32,834 * Galapagos NV 1,948 42,160 #* Grontmij 2,730 14,607 # Heijmans NV 418 7,499 Hunter Douglas NV 130 6,529 KAS Bank NV 488 7,210 Kendrion NV 133 4,530 # Koninklijke BAM Groep NV 25,585 138,728 Koninklijke Ten Cate NV 1,992 59,350 Koninklijke Wessanen NV 5,920 34,976 * Macintosh Retail Group NV 944 10,260 Nutreco NV 8,732 406,502 #* Ordina NV 2,349 6,791 * PostNL NV 43,334 190,467 #* Royal Imtech NV 19,232 37,495 * SBM Offshore NV 11,207 205,136 Sligro Food Group NV 1,362 57,005 # SNS Reaal NV 15,156 -- Telegraaf Media Groep NV 1,964 18,449 TKH Group NV 2,994 104,344 TNT Express NV 15,709 141,562 #* TomTom NV 8,009 56,789 USG People NV 4,526 78,306 ----------- TOTAL NETHERLANDS 3,062,315 ----------- NEW ZEALAND -- (0.9%) * a2 Milk Co., Ltd. 16,703 11,691 VA INTERNATIONAL SMALL PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- NEW ZEALAND -- (Continued) Air New Zealand, Ltd. 25,682 $ 46,538 * Bathurst Resources, Ltd. 5,351 310 Briscoe Group, Ltd. 15,371 31,583 Cavalier Corp., Ltd. 8,600 11,525 Chorus, Ltd. 8,097 12,371 Contact Energy, Ltd. 6,004 29,491 Ebos Group, Ltd. 4,432 35,928 Fisher & Paykel Healthcare Corp., Ltd. 31,547 111,200 Freightways, Ltd. 8,779 37,874 Hallenstein Glasson Holdings, Ltd. 5,327 15,955 Heartland New Zealand, Ltd. 5,841 4,433 Infratil, Ltd. 38,003 75,423 Kathmandu Holdings, Ltd. 5,643 17,744 Mainfreight, Ltd. 6,252 72,252 # Metlifecare, Ltd. 11,376 40,377 New Zealand Refining Co., Ltd. (The) 13,533 21,932 Nuplex Industries, Ltd. 14,414 43,557 NZX, Ltd. 4,430 4,785 PGG Wrightson, Ltd. 10,577 3,704 # Port of Tauranga, Ltd. 7,100 88,168 * Pumpkin Patch, Ltd. 7,400 3,448 Restaurant Brands New Zealand, Ltd. 9,560 25,977 Ryman Healthcare, Ltd. 27,532 205,668 Sanford, Ltd. 6,562 23,609 Sky Network Television, Ltd. 21,050 121,496 SKYCITY Entertainment Group, Ltd. 36,975 135,017 Steel & Tube Holdings, Ltd. 5,579 14,783 Tower, Ltd. 6,822 9,547 Trade Me Group, Ltd. 4,281 14,609 # TrustPower, Ltd. 4,827 27,883 Vector, Ltd. 16,069 35,523 Warehouse Group, Ltd. (The) 5,475 16,015 #* Xero, Ltd. 2,284 62,838 ---------- TOTAL NEW ZEALAND 1,413,254 ---------- NORWAY -- (1.0%) # ABG Sundal Collier Holding ASA 8,171 7,584 * American Shipping ASA 2,165 16,305 * Archer, Ltd. 29,102 39,695 # Atea ASA 5,000 57,471 Austevoll Seafood ASA 5,800 37,570 Bakkafrost P/F 2,040 31,946 Bonheur ASA 83 1,614 BW Offshore, Ltd. 18,600 24,324 * BWG Homes ASA 7,338 14,455 Cermaq ASA 3,800 44,915 #* Det Norske Oljeselskap ASA 3,842 42,015 * DNO International ASA 7,034 24,429 * DOF ASA 2,500 11,499 Ekornes ASA 1,600 25,317 * Electromagnetic GeoServices A.S. 4,467 5,349 Evry ASA 3,410 5,893 VA INTERNATIONAL SMALL PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- NORWAY -- (Continued) Farstad Shipping ASA 800 $ 16,480 #* Frontline, Ltd. 1,361 4,442 Ganger Rolf ASA 1,960 36,609 Golden Ocean Group, Ltd. 12,836 22,763 * Hoegh LNG Holdings, Ltd. 790 7,716 * Kongsberg Automotive Holding ASA 47,061 47,311 Kvaerner ASA 10,879 21,791 Leroy Seafood Group ASA 1,503 53,233 #* Nordic Semiconductor ASA 10,897 61,137 * Norske Skogindustrier ASA 7,000 5,307 #* Norwegian Air Shuttle A.S. 1,507 59,996 #* Norwegian Energy Co. ASA 9,584 274 * Odfjell SE Class A 1,000 4,999 Opera Software ASA 4,010 51,833 * Panoro Energy ASA 1,501 839 Prosafe SE 13,000 114,581 * REC Silicon ASA 140,159 78,397 * REC Solar ASA 2,416 36,487 * Salmar ASA 1,975 28,589 * Sevan Drilling A.S. 16,161 8,555 * Sevan Marine ASA 1,337 5,355 * Siem Offshore, Inc. 9,787 14,814 Solstad Offshore ASA 1,000 18,410 * Songa Offshore 22,582 9,287 SpareBank 1 SMN 8,057 71,553 # SpareBank 1 SR Bank ASA 3,861 37,448 Stolt-Nielsen, Ltd. 1,022 27,632 # Tomra Systems ASA 14,102 131,217 TTS Group ASA 1,100 1,204 # Veidekke ASA 4,900 52,570 # Wilh Wilhelmsen ASA 1,741 16,852 # Wilh Wilhelmsen Holding ASA Class A 2,050 65,040 ---------- TOTAL NORWAY 1,503,102 ---------- PORTUGAL -- (0.4%) Altri SGPS SA 7,954 27,031 * Banco BPI SA 21,554 55,324 #* Banco Comercial Portugues SA 345,630 105,035 Mota-Engil SGPS SA 4,552 34,846 Portucel SA 20,700 98,150 # REN - Redes Energeticas Nacionais SGPS SA 15,049 56,598 Semapa-Sociedade de Investimento e Gestao 6,200 92,942 Sonae 70,140 131,951 #* Sonae Industria SGPS SA 2,500 2,121 ZON Optimus SGPS SA 11,746 84,978 ---------- TOTAL PORTUGAL 688,976 ---------- SINGAPORE -- (1.3%) #* Ausgroup, Ltd. 44,000 16,046 Banyan Tree Holdings, Ltd. 7,000 3,524 # Biosensors International Group, Ltd. 111,000 84,303 Boustead Singapore, Ltd. 22,000 33,278 VA INTERNATIONAL SMALL PORTFOLIO CONTINUED SHARES VALUE++ ------- ------- SINGAPORE -- (Continued) Bukit Sembawang Estates, Ltd. 10,500 $48,962 Bund Center Investment, Ltd. 108,000 17,684 CH Offshore, Ltd. 17,400 5,837 China Aviation Oil Singapore Corp., Ltd. 9,600 6,674 Chip Eng Seng Corp., Ltd. 45,000 27,502 Chuan Hup Holdings, Ltd. 87,000 18,776 # Cosco Corp. Singapore, Ltd. 76,000 43,768 Creative Technology, Ltd. 2,650 5,116 CSE Global, Ltd. 40,000 18,996 CWT, Ltd. 12,000 13,947 * Delong Holdings, Ltd. 17,000 5,203 Ezra Holdings, Ltd. 49,600 41,661 Falcon Energy Group, Ltd. 21,000 5,882 Far East Orchard, Ltd. 11,239 16,787 Fragrance Group, Ltd. 82,000 16,365 GK Goh Holdings, Ltd. 17,000 11,483 GMG Global, Ltd. 275,000 19,751 Goodpack, Ltd. 43,000 82,375 GuocoLand, Ltd. 5,000 8,507 GuocoLeisure, Ltd. 53,000 40,870 Hi-P International, Ltd. 23,000 10,660 Ho Bee Land, Ltd. 14,000 25,622 Hong Fok Corp., Ltd. 49,200 31,840 Hong Leong Asia, Ltd. 8,000 10,190 Hotel Grand Central, Ltd. 34,631 33,079 Hotel Properties, Ltd. 17,200 51,017 Hwa Hong Corp., Ltd. 59,000 14,364 Hyflux, Ltd. 27,500 26,331 Indofood Agri Resources, Ltd. 28,000 23,846 Jaya Holdings, Ltd. 22,000 13,992 K1 Ventures, Ltd. 120,000 18,896 Keppel Infrastructure Trust 29,000 24,292 #* Linc Energy, Ltd. 38,912 36,623 * Manhattan Resources, Ltd. 23,000 11,399 Metro Holdings, Ltd. 49,200 36,153 Midas Holdings, Ltd. 114,000 42,855 * Oceanus Group, Ltd. 40,000 543 # OSIM International, Ltd. 18,000 41,704 * Otto Marine, Ltd. 48,000 3,078 # OUE Hospitality Trust 3,833 2,661 # OUE, Ltd. 23,000 41,701 Oxley Holdings, Ltd. 57,000 35,370 Petra Foods, Ltd. 20,000 56,658 * Raffles Education Corp., Ltd. 49,200 11,600 Raffles Medical Group, Ltd. 9,000 26,078 Rotary Engineering, Ltd. 17,000 9,654 SBS Transit, Ltd. 23,000 22,949 Sheng Siong Group, Ltd. 37,000 18,766 Sinarmas Land, Ltd. 108,000 45,831 Singapore Post, Ltd. 52,000 58,748 # SMRT Corp., Ltd. 56,000 54,524 Stamford Land Corp., Ltd. 21,000 9,976 VA INTERNATIONAL SMALL PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- SINGAPORE -- (Continued) * SunVic Chemical Holdings, Ltd. 40,000 $ 15,351 Super Group, Ltd. 13,000 36,370 Swiber Holdings, Ltd. 23,000 11,769 Tat Hong Holdings, Ltd. 35,000 22,646 Triyards holdings, Ltd. 4,960 2,518 Tuan Sing Holdings, Ltd. 44,628 12,478 United Engineers, Ltd. 34,000 58,610 United Envirotech, Ltd. 17,000 17,716 UOB-Kay Hian Holdings, Ltd. 30,000 40,324 * Vard Holdings, Ltd. 33,000 25,495 Venture Corp., Ltd. 23,000 140,878 Wheelock Properties Singapore, Ltd. 20,000 29,990 Wing Tai Holdings, Ltd. 45,970 73,525 Yeo Hiap Seng, Ltd. 2,482 4,637 Yongnam Holdings, Ltd. 70,000 13,443 ---------- TOTAL SINGAPORE 1,950,047 ---------- SPAIN -- (2.1%) Abengoa SA(BLM7FQ6) 54 301 Abengoa SA(BLM7FS8) 461 2,055 Abengoa SA(7174823) 2,121 11,801 Abengoa SA Class B 19,279 85,835 Acciona SA 1,455 118,358 # Acerinox SA 6,365 111,303 Adveo Group International SA 733 17,450 Almirall SA 3,614 60,530 * Atresmedia Corp de Medios de Comunicaion SA 3,640 52,376 * Azkoyen SA 2,184 7,759 Bankinter SA 17,883 136,920 * Baron de Ley 67 7,049 Bolsas y Mercados Espanoles SA 4,485 195,391 * Campofrio Food Group SA 1,577 15,093 * Cementos Portland Valderrivas SA 1,167 11,940 Cie Automotive SA 1,757 22,376 Construcciones y Auxiliar de Ferrocarriles SA 137 65,620 * Deoleo SA 8,137 4,462 Duro Felguera SA 4,252 29,011 Ebro Foods SA 8,515 196,206 Elecnor SA 1,707 24,537 Ence Energia y Celulosa SA 9,815 28,909 * Ercros SA 3,027 2,020 Faes Farma SA 14,082 43,635 * Fomento de Construcciones y Contratas SA 2,730 60,221 * Gamesa Corp. Tecnologica SA 13,178 130,987 Grupo Catalana Occidente SA 3,722 145,635 #* Grupo Ezentis SA 4,728 7,744 Iberpapel Gestion SA 936 18,396 Indra Sistemas SA 8,172 153,487 * Inmobiliaria Colonial SA 25 23 * Jazztel P.L.C. 16,693 256,371 * Mediaset Espana Comunicacion SA 12,622 140,060 Melia Hotels International SA 4,123 52,156 VA INTERNATIONAL SMALL PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- SPAIN -- (Continued) Miquel y Costas & Miquel SA 740 $ 30,854 * NH Hoteles SA 11,351 72,520 Obrascon Huarte Lain SA 3,159 146,454 Papeles y Cartones de Europa SA 2,764 15,291 * Pescanova SA 1,077 -- * Promotora de Informaciones SA Class A 12,732 7,111 Prosegur Cia de Seguridad SA 22,000 147,311 * Realia Business SA 4,187 7,741 * Sacyr SA 17,768 117,028 Tecnicas Reunidas SA 2,032 122,395 Tubacex SA 5,465 26,801 Tubos Reunidos SA 8,287 25,675 Vidrala SA 1,160 61,398 Viscofan SA 4,280 223,033 * Zeltia SA 12,166 45,896 ---------- TOTAL SPAIN 3,265,525 ---------- SWEDEN -- (3.5%) AarhusKarlshamn AB 1,961 131,315 AddTech AB Class B 7,500 114,977 AF AB Class B 2,682 97,401 Atrium Ljungberg AB Class B 798 12,654 # Avanza Bank Holding AB 1,713 64,311 Axfood AB 1,800 95,917 # Axis Communications AB 3,030 90,350 B&B Tools AB Class B 2,500 45,875 #* BE Group AB 2,600 5,065 # Beijer AB G&L Class B 1,786 36,329 Beijer Alma AB 1,700 48,079 Betsson AB 3,029 110,735 Bilia AB Class A 2,065 68,565 BillerudKorsnas AB 10,868 158,828 BioGaia AB Class B 1,689 50,756 # Bure Equity AB 1,767 7,804 Byggmax Group AB 2,856 23,928 Castellum AB 10,137 172,863 Catena AB 1,487 24,584 #* CDON Group AB 3,088 12,627 # Clas Ohlson AB Class B 2,530 56,115 * Cloetta AB Class B 12,785 42,234 # Concentric AB 3,360 47,539 # Dios Fastigheter AB 3,244 26,351 Duni AB 2,632 43,965 * Eniro AB 10,222 81,791 Fabege AB 8,688 122,048 * Fastighets AB Balder 2,430 31,175 Gunnebo AB 3,000 17,122 # Haldex AB 3,360 43,099 Hexpol AB 2,066 195,751 HIQ International AB(BLNMLM8) 4,214 25,601 * HIQ International AB(B97F1H4) 4,214 1,679 Holmen AB Class B 5,220 184,491 VA INTERNATIONAL SMALL PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- SWEDEN -- (Continued) Husqvarna AB Class B 24,298 $ 202,878 Industrial & Financial Systems Class B 1,799 51,607 # Indutrade AB 1,543 67,146 # Intrum Justitia AB 5,500 159,452 # JM AB 5,312 180,501 * KappAhl AB 6,122 37,568 #* Karolinska Development AB Class B 1,741 6,659 Klovern AB 1,714 9,426 # Kungsleden AB 11,062 90,355 Lagercrantz AB Class B 2,500 50,354 * Lindab International AB 5,462 68,094 Loomis AB Class B 3,493 95,280 Meda AB Class A 13,817 248,360 #* Medivir AB Class B 1,986 35,254 Mekonomen AB 1,400 37,567 * Micronic Mydata AB 2,400 6,822 Modern Times Group AB Class B 3,527 157,365 NCC AB Class B 8,486 297,311 Net Entertainment AB 1,952 901 Net Entertainment AB B Shares 1,952 46,982 * Net Insight AB Class B 11,409 3,159 # New Wave Group AB Class B 2,000 13,603 Nibe Industrier AB Class B 5,299 148,787 Nobia AB 8,067 73,432 # Nolato AB Class B 1,100 25,117 # Nordnet AB Class B 3,919 19,288 #* PA Resources AB 127 134 Peab AB 14,480 112,116 Proffice AB Class B 2,061 7,514 # Ratos AB Class B 12,136 123,806 * Rezidor Hotel Group AB 6,630 41,087 Saab AB Class B 3,366 103,430 Sagax AB Class B 1,910 9,127 #* SAS AB 7,999 17,202 SkiStar AB 1,500 19,804 #* SSAB AB Class A 10,488 91,569 #* SSAB AB Class B 5,703 43,145 Sweco AB Class B 1,500 23,404 * Swedish Orphan Biovitrum AB 9,932 109,216 Systemair AB 107 1,744 Transmode AB 734 9,796 Unibet Group P.L.C. 1,751 94,327 # Wallenstam AB Class B 5,304 87,064 # Wihlborgs Fastigheter AB 3,900 75,192 ---------- TOTAL SWEDEN 5,394,869 ---------- SWITZERLAND -- (4.0%) AFG Arbonia-Forster Holding AG 1,105 36,837 Allreal Holding AG 856 120,713 # Alpiq Holding AG 101 12,394 ams AG 575 86,694 APG SGA SA 64 22,000 VA INTERNATIONAL SMALL PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- SWITZERLAND -- (Continued) Ascom Holding AG 2,468 $ 45,913 Autoneum Holding AG 254 53,886 # Bachem Holding AG Class B 343 19,368 Bank Coop AG 580 28,363 Banque Cantonale de Geneve 85 21,715 Banque Cantonale Vaudoise 190 112,781 Banque Privee Edmond de Rothschild SA 1 18,426 Belimo Holding AG 34 95,765 Bell AG 8 21,990 Bellevue Group AG 298 4,526 Berner Kantonalbank AG 278 68,202 BKW AG 405 14,879 * Bobst Group SA 800 40,719 Bossard Holding AG Class A 477 65,704 Bucher Industries AG 416 135,502 Burckhardt Compression Holding AG 221 114,548 Burkhalter Holding AG 185 17,455 * Charles Voegele Holding AG 750 12,348 Cie Financiere Tradition SA 66 3,593 Clariant AG 8,020 158,154 Coltene Holding AG 250 16,137 Conzzeta AG 27 106,827 Daetwyler Holding AG 296 46,802 * Dufry AG 1,071 177,247 # EFG International AG 3,568 45,210 Emmi AG 111 40,729 Energiedienst Holding AG 1,000 36,236 Flughafen Zuerich AG 262 165,291 Forbo Holding AG 150 155,265 GAM Holding AG 12,356 225,041 Gategroup Holding AG 1,678 52,285 Georg Fischer AG 344 272,897 Gurit Holding AG 25 13,062 Helvetia Holding AG 456 227,292 Huber & Suhner AG 649 35,700 Implenia AG 1,185 86,892 Inficon Holding AG 149 53,367 Intershop Holdings AG 59 22,804 Jungfraubahn Holding AG 31 2,558 Kaba Holding AG Class B 194 93,452 Kardex AG 430 22,027 Komax Holding AG 205 31,731 Kudelski SA 3,314 57,154 Kuoni Reisen Holding AG 311 137,342 LEM Holding SA 42 34,693 Liechtensteinische Landesbank AG 380 18,811 Logitech International SA 10,861 147,304 Lonza Group AG 3,804 398,129 Luzerner Kantonalbank AG 200 82,304 MCH Group AG 12 867 Metall Zug AG 12 36,186 #* Meyer Burger Technology AG 5,000 61,818 VA INTERNATIONAL SMALL PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- SWITZERLAND -- (Continued) Micronas Semiconductor Holding AG 800 $ 7,122 * Mobilezone Holding AG 827 9,413 Mobimo Holding AG 416 89,409 Nobel Biocare Holding AG 5,712 79,677 OC Oerlikon Corp. AG 15,998 254,843 Panalpina Welttransport Holding AG 751 117,933 Phoenix Mecano AG 50 32,172 PSP Swiss Property AG 148 14,225 PubliGroupe AG 72 14,425 Rieter Holding AG 254 57,435 Romande Energie Holding SA 27 35,259 * Schmolz + Bickenbach AG 33,680 48,321 Schweiter Technologies AG 84 63,499 Schweizerische National-Versicherungs-Gesellschaft AG 1,103 76,439 Siegfried Holding AG 280 52,469 St Galler Kantonalbank AG 170 73,018 Straumann Holding AG 532 118,057 * Swisslog Holding AG 16,104 18,514 Swissquote Group Holding SA 538 21,207 Tamedia AG 24 3,163 Tecan Group AG 860 107,557 Temenos Group AG 3,482 124,847 U-Blox AG 398 48,728 Valartis Group AG 200 4,885 Valiant Holding AG 1,090 120,683 Valora Holding AG 224 63,340 Vaudoise Assurances Holding SA Class B 41 18,733 Verwaltungs- und Privat-Bank AG 198 19,740 Vetropack Holding AG 9 17,338 #* Von Roll Holding AG 1,435 2,789 # Vontobel Holding AG 1,700 66,632 Walliser Kantonalbank 15 12,717 Ypsomed Holding AG 227 24,278 Zehnder Group AG 480 20,932 Zug Estates Holding AG 12 16,152 Zuger Kantonalbank AG 8 43,272 ---------- TOTAL SWITZERLAND 6,135,158 ---------- UNITED KINGDOM -- (20.2%) 888 Holdings P.L.C. 5,052 12,549 A.G. Barr P.L.C. 6,780 70,843 * Afren P.L.C. 57,931 153,877 African Barrick Gold P.L.C. 12,404 52,035 * Aga Rangemaster Group P.L.C. 7,312 21,495 Alent P.L.C. 15,912 85,618 AMEC P.L.C. 10,912 227,899 Amlin P.L.C. 30,535 230,865 Anglo Pacific Group P.L.C. 9,858 31,739 Anglo-Eastern Plantations 186 2,235 Anite P.L.C. 19,453 27,032 Ashmore Group P.L.C. 19,064 113,238 Ashtead Group P.L.C. 49,721 736,675 VA INTERNATIONAL SMALL PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- UNITED KINGDOM -- (Continued) AZ Electronic Materials SA 11,423 $ 77,756 Balfour Beatty P.L.C. 79,585 377,955 Bank of Georgia Holdings P.L.C. 1,674 73,627 Barratt Developments P.L.C. 88,920 556,120 BBA Aviation P.L.C. 33,952 178,125 Beazley P.L.C. 44,533 184,740 Bellway P.L.C. 14,389 350,411 Berendsen P.L.C. 12,354 215,898 Berkeley Group Holdings P.L.C. 7,459 289,422 Betfair Group P.L.C. 3,513 57,378 Bloomsbury Publishing P.L.C. 3,174 8,607 Bodycote P.L.C. 14,936 184,303 Booker Group P.L.C. 79,442 197,618 Boot Henry P.L.C. 3,595 13,248 Bovis Homes Group P.L.C. 15,767 210,851 Brammer P.L.C. 4,499 35,572 Brewin Dolphin Holdings P.L.C. 31,599 172,369 British Polythene Industries P.L.C. 2,000 21,317 Britvic P.L.C. 16,185 198,226 * BTG P.L.C. 30,003 269,786 Bwin.Party Digital Entertainment P.L.C. 45,519 97,987 Cable & Wireless Communications P.L.C. 169,320 151,207 * Cairn Energy P.L.C. 13,593 42,339 Cape P.L.C. 6,374 32,320 Capital & Counties Properties P.L.C. 4,420 24,933 Carillion P.L.C. 52,138 326,144 Castings P.L.C. 4,744 36,943 Catlin Group, Ltd. 24,393 217,859 * Centamin P.L.C. 57,143 62,452 Chemring Group P.L.C. 11,470 43,411 Chesnara P.L.C. 3,745 20,806 Chime Communications P.L.C. 1,262 7,439 Cineworld Group P.L.C. 9,964 54,339 Clarkson P.L.C. 606 27,307 Close Brothers Group P.L.C. 16,179 382,168 Cobham P.L.C. 75,745 395,151 * Colt Group SA 19,039 42,134 Communisis P.L.C. 4,956 5,458 Computacenter P.L.C. 5,989 65,928 Connect Group P.L.C. 10,824 32,956 Consort Medical P.L.C. 1,541 22,963 Cranswick P.L.C. 4,147 83,753 Croda International P.L.C. 3,580 155,925 CSR P.L.C. 17,258 167,686 Daily Mail & General Trust P.L.C. 19,287 265,855 Dairy Crest Group P.L.C. 14,462 112,834 Darty P.L.C. 16,202 28,081 DCC P.L.C. 10,180 521,971 De La Rue P.L.C. 5,731 79,415 Debenhams P.L.C. 94,976 128,990 Dechra Pharmaceuticals P.L.C. 4,618 53,793 Development Securities P.L.C. 5,838 23,989 VA INTERNATIONAL SMALL PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- UNITED KINGDOM -- (Continued) Devro P.L.C. 13,974 $ 49,888 Dignity P.L.C. 3,781 91,417 Diploma P.L.C. 11,860 132,360 * Dixons Retail P.L.C. 442,969 336,912 Domino Printing Sciences P.L.C. 11,678 152,962 Domino's Pizza Group P.L.C. 4,910 42,662 Drax Group P.L.C. 25,834 289,186 DS Smith P.L.C. 72,474 386,218 Dunelm Group P.L.C. 394 6,238 E2V Technologies P.L.C. 8,031 22,618 Electrocomponents P.L.C. 49,099 242,029 Elementis P.L.C. 53,498 251,141 * EnQuest P.L.C. 53,104 123,253 * Enterprise Inns P.L.C. 32,204 74,340 * Essar Energy P.L.C. 16,540 18,769 Essentra P.L.C. 13,325 180,741 Euromoney Institutional Investor P.L.C. 4,036 72,842 * Exillon Energy P.L.C. 1,581 3,778 F&C Asset Management P.L.C. 30,246 61,037 Fenner P.L.C. 20,377 142,568 Ferrexpo P.L.C. 14,004 34,542 Fidessa Group P.L.C. 3,093 117,210 * Findel P.L.C. 2,049 9,351 * Firstgroup P.L.C. 136,135 297,478 Fortune Oil P.L.C. 16,855 3,700 Fuller, Smith & Turner P.L.C. 3,070 49,968 Future P.L.C. 13,448 1,875 Galliford Try P.L.C. 4,383 88,227 Games Workshop Group P.L.C. 510 4,930 * Gem Diamonds, Ltd. 5,200 14,590 Genus P.L.C. 6,192 105,890 Go-Ahead Group P.L.C. 4,167 138,966 Grafton Group P.L.C. 14,368 141,323 Greencore Group P.L.C. 43,018 190,000 Greene King P.L.C. 16,409 247,040 Greggs P.L.C. 6,400 57,889 Halfords Group P.L.C. 18,086 135,712 Halma P.L.C. 44,457 422,375 Hays P.L.C. 172,819 440,895 Headlam Group P.L.C. 3,793 30,938 Helical Bar P.L.C. 9,778 59,996 Helphire Group P.L.C. 99,204 10,271 Henderson Group P.L.C. 54,868 233,111 * Heritage Oil P.L.C. 10,769 57,487 Hikma Pharmaceuticals P.L.C. 7,919 207,809 Hill & Smith Holdings P.L.C. 7,437 70,249 Hilton Food Group P.L.C. 123 1,109 Hiscox, Ltd. 19,631 234,208 Hochschild Mining P.L.C. 16,117 44,982 Home Retail Group P.L.C. 36,030 124,495 Homeserve P.L.C. 15,750 89,849 Howden Joinery Group P.L.C. 61,666 339,502 VA INTERNATIONAL SMALL PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- UNITED KINGDOM -- (Continued) Hunting P.L.C. 13,564 $194,188 Huntsworth P.L.C. 6,947 7,043 Hyder Consulting P.L.C. 2,034 16,209 ICAP P.L.C. 24,454 171,297 IG Group Holdings P.L.C. 19,766 212,556 #* Imagination Technologies Group P.L.C. 19,329 64,319 Inchcape P.L.C. 24,576 266,974 Informa P.L.C. 33,824 276,218 Inmarsat P.L.C. 22,705 279,372 * Innovation Group P.L.C. 75,120 40,261 Intermediate Capital Group P.L.C. 5,754 43,188 * International Ferro Metals, Ltd. 5,038 795 International Personal Finance P.L.C. 14,134 133,672 Interserve P.L.C. 15,845 177,577 * IP Group P.L.C. 26,402 76,610 ITE Group P.L.C. 21,958 85,394 James Fisher & Sons P.L.C. 4,977 108,536 Jardine Lloyd Thompson Group P.L.C. 14,271 254,658 JD Sports Fashion P.L.C. 149 4,422 JD Wetherspoon P.L.C. 10,217 145,561 * JKX Oil & Gas P.L.C. 6,993 6,448 John Menzies P.L.C. 3,000 32,653 John Wood Group P.L.C. 16,551 219,462 * Johnston Press P.L.C. 34,674 14,798 Jupiter Fund Management P.L.C. 18,826 123,709 * Kazakhmys P.L.C. 4,200 16,924 Kcom Group P.L.C. 43,178 68,687 Keller Group P.L.C. 6,344 107,030 Kentz Corp., Ltd. 4,471 54,478 Kier Group P.L.C. 5,248 147,503 Ladbrokes P.L.C. 55,207 143,161 Laird P.L.C. 23,635 111,079 * Lamprell P.L.C. 11,550 29,951 Lancashire Holdings, Ltd. 10,414 123,134 Lavendon Group P.L.C. 5,479 20,996 * Lonmin P.L.C. 21,646 103,852 Lookers P.L.C. 23,097 54,522 Low & Bonar P.L.C. 8,760 12,305 Macfarlane Group P.L.C. 6,000 4,911 Man Group P.L.C. 98,343 164,120 Management Consulting Group P.L.C. 25,424 10,672 Marshalls P.L.C. 11,710 35,057 Marston's P.L.C. 47,029 116,936 McBride P.L.C. 6,500 10,796 Mears Group P.L.C. 4,261 36,115 Mecom Group P.L.C. 3,550 7,902 Melrose Industries P.L.C. 4,304 20,786 Michael Page International P.L.C. 24,143 191,764 Micro Focus International P.L.C. 7,646 100,271 Millennium & Copthorne Hotels P.L.C. 15,711 147,488 * Mitchells & Butlers P.L.C. 13,334 99,345 Mitie Group P.L.C. 39,781 214,286 VA INTERNATIONAL SMALL PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- UNITED KINGDOM -- (Continued) Mondi P.L.C. 2,246 $ 37,337 Moneysupermarket.com Group P.L.C. 11,145 34,381 Morgan Advanced Materials P.L.C. 31,862 180,334 Morgan Sindall Group P.L.C. 1,492 19,945 N Brown Group P.L.C. 9,038 78,333 National Express Group P.L.C. 52,227 246,377 NCC Group P.L.C. 12,054 38,468 #* New World Resources P.L.C. Class A 1,390 909 Northgate P.L.C. 7,897 69,127 Novae Group P.L.C. 1,706 15,616 * Ocado Group P.L.C. 13,470 76,676 * Oxford Biomedica P.L.C. 36,513 1,371 Oxford Instruments P.L.C. 5,479 119,392 Pace P.L.C. 32,061 197,559 PayPoint P.L.C. 3,824 73,561 Pendragon P.L.C. 44,542 23,390 Pennon Group P.L.C. 19,316 247,277 * Persimmon P.L.C. 23,193 514,699 * Petra Diamonds, Ltd. 36,270 100,052 Petropavlovsk P.L.C. 9,965 11,469 Phoenix Group Holdings 6,002 69,213 Photo-Me International P.L.C. 11,000 25,072 Playtech P.L.C. 6,314 71,263 Premier Farnell P.L.C. 39,625 149,071 * Premier Foods P.L.C. 23,961 23,288 Premier Oil P.L.C. 28,641 164,000 * Punch Taverns P.L.C. 41,074 9,730 PZ Cussons P.L.C. 15,366 89,933 QinetiQ Group P.L.C. 41,865 149,154 * Quintain Estates & Development P.L.C. 43,964 75,314 Rank Group P.L.C. 218 593 Rathbone Brothers P.L.C. 3,114 101,877 * Raven Russia, Ltd. 14,971 16,450 Redrow P.L.C. 21,681 104,930 Regus P.L.C. 52,449 185,469 Renishaw P.L.C. 3,483 107,125 Rentokil Initial P.L.C. 105,628 212,836 Restaurant Group P.L.C. (The) 10,370 109,496 Ricardo P.L.C. 432 4,947 Rightmove P.L.C. 5,294 215,674 RM P.L.C. 5,224 12,221 Rotork P.L.C. 7,996 350,675 RPC Group P.L.C. 17,286 175,189 RPS Group P.L.C. 22,972 114,892 * Salamander Energy P.L.C. 17,914 40,584 Savills P.L.C. 8,558 86,723 SDL P.L.C. 6,280 31,998 Senior P.L.C. 31,980 154,558 Serco Group P.L.C. 35,283 201,103 * Severfield-Rowen P.L.C. 6,026 6,229 Shanks Group P.L.C. 42,387 73,174 SIG P.L.C. 61,841 200,421 VA INTERNATIONAL SMALL PORTFOLIO CONTINUED SHARES VALUE++ ------- ----------- UNITED KINGDOM -- (Continued) Soco International P.L.C. 14,452 $ 105,625 Spectris P.L.C. 13,919 523,725 Speedy Hire P.L.C. 25,705 24,475 Spirax-Sarco Engineering P.L.C. 6,360 311,793 Spirent Communications P.L.C. 59,785 96,243 Spirit Pub Co. P.L.C. 41,074 54,453 St Ives P.L.C. 3,000 10,052 St James's Place P.L.C. 12,336 160,771 ST Modwen Properties P.L.C. 18,933 118,885 Stagecoach Group P.L.C. 28,753 180,305 Sthree P.L.C. 10,382 70,926 * SuperGroup P.L.C. 986 22,165 Synergy Health P.L.C. 4,624 96,906 Synthomer P.L.C. 17,421 77,656 T Clarke P.L.C. 3,989 5,485 TalkTalk Telecom Group P.L.C. 24,936 120,847 Tate & Lyle P.L.C. 2,825 33,489 Taylor Wimpey P.L.C. 237,041 421,564 Ted Baker P.L.C. 2,598 81,197 Telecity Group P.L.C. 3,805 46,149 Telecom Plus P.L.C. 4,277 111,967 * Thomas Cook Group P.L.C. 73,578 217,504 Topps Tiles P.L.C. 5,775 12,565 Tribal Group P.L.C. 1,493 5,059 * Trinity Mirror P.L.C. 25,964 76,091 TT electronics P.L.C. 10,027 35,453 Tullett Prebon P.L.C. 18,538 99,644 UBM P.L.C. 14,281 158,860 UDG Healthcare P.L.C. 18,534 112,367 Ultra Electronics Holdings P.L.C. 6,855 196,562 Unite Group P.L.C. (The) 19,712 140,761 UTV Media P.L.C. 2,430 9,842 * Vectura Group P.L.C. 20,878 49,671 Vesuvius P.L.C. 19,194 135,386 Victrex P.L.C. 7,670 241,492 Vitec Group P.L.C. (The) 2,000 20,803 Volex P.L.C. 1,125 1,965 WH Smith P.L.C. 9,800 181,747 Wilmington Group P.L.C. 6,879 26,406 * Wincanton P.L.C. 5,790 11,587 * Wolfson Microelectronics P.L.C. 7,866 31,231 WS Atkins P.L.C. 11,038 239,396 Xaar P.L.C. 7,251 96,598 Xchanging P.L.C. 11,978 32,219 XP Power, Ltd. 132 3,655 ----------- TOTAL UNITED KINGDOM 31,181,899 ----------- UNITED STATES -- (0.1%) * Chaparral Gold Corp. 1,000 584 * Endo International P.L.C. 1,285 80,555 * Kofax, Ltd. 3,752 28,186 VA INTERNATIONAL SMALL PORTFOLIO CONTINUED SHARES VALUE++ --------- ------------ UNITED STATES -- (Continued) * McEwen Mining--Minera Andes Acquisition Corp. 3,741 $ 8,908 ------------ TOTAL UNITED STATES 118,233 ------------ TOTAL COMMON STOCKS 135,351,051 ------------ PREFERRED STOCKS -- (0.0%) UNITED KINGDOM -- (0.0%) McBride P.L.C. 110,500 187 ------------ RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) #* Aquarius Platinum, Ltd. Rights 05/14/14 36,970 3,950 ------------ AUSTRIA -- (0.0%) * Intercell AG 2,073 -- ------------ FRANCE -- (0.0%) * Peugeot SA Warrants 04/29/17 13,023 24,915 ------------ HONG KONG -- (0.0%) * Haitong International Securities Group, Ltd. Rights 05/23/14 6,058 70 ------------ ISRAEL -- (0.0%) * Africa Israel Investments, Ltd. Rights 05/01/14 58 50 ------------ PORTUGAL -- (0.0%) * Mota-Engil SGPS SA Rights 12/31/49 4,552 3,592 ------------ SINGAPORE -- (0.0%) * Falcon Energy Group, Ltd. Rights 06/18/16 2,100 54 ------------ SPAIN -- (0.0%) * Inmobiliaria Colonial SA 25 108 ------------ SWEDEN -- (0.0%) * Rezidor Hotel Group Rights 05/21/14 6,630 3,076 ------------ TOTAL RIGHTS/WARRANTS 35,815 ------------ SHARES/ FACE AMOUNT (000) VALUE+ --------- ------------ SECURITIES LENDING COLLATERAL -- (12.2%) (S)@ DFA Short Term Investment Fund 1,622,330 18,770,355 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $131,475,177) $154,157,408 ============ VA INTERNATIONAL SMALL PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, based on their valuation inputs, is as follows (See Security Valuation Note): INVESTMENTS IN SECURITIES (MARKET VALUE) --------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL ----------- ------------ ------- ------------ Common Stocks Australia $ 1,179 $ 7,482,711 -- $ 7,483,890 Austria 6,573 1,325,903 -- 1,332,476 Belgium -- 1,957,397 -- 1,957,397 Canada 12,579,849 375 -- 12,580,224 China -- 1,511 -- 1,511 Denmark -- 2,410,949 -- 2,410,949 Finland 2,666 3,566,915 -- 3,569,581 France -- 6,423,973 -- 6,423,973 Germany 185,100 6,805,900 -- 6,991,000 Greece -- 42,862 -- 42,862 Hong Kong -- 3,959,626 -- 3,959,626 Ireland -- 698,746 -- 698,746 Israel -- 959,868 -- 959,868 Italy -- 4,972,385 -- 4,972,385 Japan 92,175 27,161,010 -- 27,253,185 Netherlands 42,160 3,020,155 -- 3,062,315 New Zealand -- 1,413,254 -- 1,413,254 Norway -- 1,503,102 -- 1,503,102 Portugal -- 688,976 -- 688,976 Singapore -- 1,950,047 -- 1,950,047 Spain 2,356 3,263,169 -- 3,265,525 Sweden 49,562 5,345,307 -- 5,394,869 Switzerland -- 6,135,158 -- 6,135,158 United Kingdom 3,700 31,178,199 -- 31,181,899 United States 90,047 28,186 -- 118,233 Preferred Stocks United Kingdom -- 187 -- 187 Rights/Warrants Australia -- 3,950 -- 3,950 Austria -- -- -- -- France -- 24,915 -- 24,915 Hong Kong -- 70 -- 70 Israel -- 50 -- 50 Portugal -- 3,592 -- 3,592 Singapore -- 54 -- 54 Spain -- 108 -- 108 Sweden -- 3,076 -- 3,076 Securities Lending Collateral -- 18,770,355 -- 18,770,355 ----------- ------------ -- ------------ TOTAL $13,055,367 $141,102,041 -- $154,157,408 =========== ============ == ============ U.S. LARGE CAP GROWTH PORTFOLIO SCHEDULE OF INVESTMENTS APRIL 30, 2014 (UNAUDITED) SHARES VALUE+ ------- ---------- COMMON STOCKS -- (94.3%) Consumer Discretionary -- (20.0%) Advance Auto Parts, Inc. 7,280 $ 882,991 * Amazon.com, Inc. 10,821 3,290,991 * AutoNation, Inc. 2,307 122,248 * Bed Bath & Beyond, Inc. 9,795 608,563 Best Buy Co., Inc. 44,412 1,151,603 BorgWarner, Inc. 11,224 697,459 Brunswick Corp. 6,754 271,443 Carter's, Inc. 4,606 339,278 CBS Corp. Class B 11,017 636,342 * Charter Communications, Inc. Class A 9,268 1,256,092 * Chipotle Mexican Grill, Inc. 1,512 753,732 # Cinemark Holdings, Inc. 8,808 260,893 Coach, Inc. 24,930 1,113,125 Delphi Automotive P.L.C. 10,293 687,984 # Dick's Sporting Goods, Inc. 8,684 457,299 * Discovery Communications, Inc. Class A 1,190 90,321 * DISH Network Corp. Class A 7,927 450,729 * Dollar General Corp. 7,582 427,928 * Dollar Tree, Inc. 19,320 1,005,992 DSW, Inc. Class A 2,910 97,165 # Dunkin' Brands Group, Inc. 4,433 201,746 Expedia, Inc. 4,970 352,820 Family Dollar Stores, Inc. 13,494 792,773 Ford Motor Co. 194,181 3,136,023 * Fossil Group, Inc. 5,336 569,084 Gap, Inc. (The) 20,281 797,043 # Genuine Parts Co. 14,845 1,293,296 GNC Holdings, Inc. Class A 7,935 357,075 Goodyear Tire & Rubber Co. (The) 21,311 537,037 H&R Block, Inc. 27,674 786,495 Hanesbrands, Inc. 8,277 679,459 Harley-Davidson, Inc. 20,884 1,544,163 # Hasbro, Inc. 8,571 473,633 Home Depot, Inc. (The) 63,822 5,074,487 HSN, Inc. 1,014 58,853 International Game Technology 29,718 372,961 Interpublic Group of Cos., Inc. (The) 21,381 372,457 * Lamar Advertising Co. Class A 2,645 132,038 Las Vegas Sands Corp. 16,903 1,337,534 #* Liberty Global P.L.C. Class A 4,272 170,111 * Liberty Global P.L.C. Class C 9,832 377,844 # Lions Gate Entertainment Corp. 10,860 288,116 Lowe's Cos., Inc. 45,536 2,090,558 #* Lululemon Athletica, Inc. 4,960 227,813 Macy's, Inc. 19,202 1,102,771 Mattel, Inc. 16,758 657,165 McDonald's Corp. 42,158 4,273,978 * Michael Kors Holdings, Ltd. 18,882 1,722,038 Newell Rubbermaid, Inc. 25,422 765,456 NIKE, Inc. Class B 8,907 649,766 Nordstrom, Inc. 18,067 1,107,146 U.S. LARGE CAP GROWTH PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Consumer Discretionary -- (Continued) * NVR, Inc. 13 $ 14,001 * O'Reilly Automotive, Inc. 9,797 1,457,696 Omnicom Group, Inc. 169 11,438 #* Panera Bread Co. Class A 2,251 344,335 # PetSmart, Inc. 9,112 616,700 Polaris Industries, Inc. 6,470 869,115 * Priceline Group, Inc. (The) 1,038 1,201,744 Ralph Lauren Corp. 2,310 349,665 Ross Stores, Inc. 20,047 1,364,800 Scripps Networks Interactive, Inc. Class A 10,322 774,873 #* Sirius XM Holdings, Inc. 73,056 233,049 # Six Flags Entertainment Corp. 1,324 53,145 Starbucks Corp. 32,035 2,262,312 Starwood Hotels & Resorts Worldwide, Inc. 9,707 744,042 #* Starz 1,350 43,565 * Tenneco, Inc. 2,442 146,203 Tiffany & Co. 6,191 541,651 TJX Cos., Inc. (The) 31,239 1,817,485 Tractor Supply Co. 13,765 925,559 #* TripAdvisor, Inc. 6,376 514,798 # Tupperware Brands Corp. 4,463 378,953 Twenty-First Century Fox, Inc. Class A 40,801 1,306,448 * Ulta Salon Cosmetics & Fragrance, Inc. 3,153 276,550 #* Under Armour, Inc. Class A 4,196 205,142 * Urban Outfitters, Inc. 2,065 73,628 VF Corp. 7,788 475,769 # Viacom, Inc. Class A 167 14,190 Viacom, Inc. Class B 16,382 1,392,142 Williams-Sonoma, Inc. 6,246 392,374 Wyndham Worldwide Corp. 7,070 504,374 Wynn Resorts, Ltd. 91 18,554 Yum! Brands, Inc. 18,863 1,452,262 ----------- Total Consumer Discretionary 67,680,479 ----------- Consumer Staples -- (13.0%) Altria Group, Inc. 86,751 3,479,583 Avon Products, Inc. 31,452 480,587 Brown-Forman Corp. Class A 418 37,256 Brown-Forman Corp. Class B 11,023 988,984 # Campbell Soup Co. 24,679 1,122,648 Church & Dwight Co., Inc. 5,048 348,362 # Clorox Co. (The) 12,835 1,164,134 Coca-Cola Co. (The) 114,125 4,655,159 Coca-Cola Enterprises, Inc. 20,852 947,515 Colgate-Palmolive Co. 38,419 2,585,599 Costco Wholesale Corp. 11,753 1,359,587 # Dean Foods Co. 4,672 74,004 Dr Pepper Snapple Group, Inc. 17,840 988,693 Estee Lauder Cos., Inc. (The) Class A 9,270 672,724 Flowers Foods, Inc. 5,602 114,953 General Mills, Inc. 16,048 850,865 # Herbalife, Ltd. 9,018 540,900 U.S. LARGE CAP GROWTH PORTFOLIO CONTINUED SHARES VALUE+ ------ ----------- Consumer Staples -- (Continued) Hershey Co. (The) 5,760 $ 554,342 Hillshire Brands Co. (The) 8,429 300,494 Kellogg Co. 7,773 519,470 # Keurig Green Mountain, Inc. 7,700 721,336 Kimberly-Clark Corp. 16,601 1,863,462 Kraft Foods Group, Inc. 24,689 1,403,816 Kroger Co. (The) 25,505 1,174,250 # McCormick & Co., Inc.(579780206) 5,026 357,851 # McCormick & Co., Inc.(579780107) 100 7,136 Mead Johnson Nutrition Co. 20,453 1,805,182 * Monster Beverage Corp. 16,281 1,090,176 Nu Skin Enterprises, Inc. Class A 3,901 339,387 PepsiCo, Inc. 63,698 5,471,021 * Pilgrim's Pride Corp. 12,478 272,769 Reynolds American, Inc. 16,351 922,687 Sysco Corp. 23,274 847,872 Wal-Mart Stores, Inc. 69,459 5,536,577 * WhiteWave Foods Co. (The) Class A 2,386 66,068 # Whole Foods Market, Inc. 3,645 181,156 ----------- Total Consumer Staples 43,846,605 ----------- Energy -- (3.2%) Cabot Oil & Gas Corp. 9,548 375,045 #* Continental Resources, Inc. 1,458 201,962 Core Laboratories NV 4,391 824,103 #* Dresser-Rand Group, Inc. 3,896 235,474 * FMC Technologies, Inc. 9,925 562,748 Halliburton Co. 35,602 2,245,418 * Kosmos Energy, Ltd. 4,548 49,664 #* Laredo Petroleum, Inc. 6,030 176,257 #* Oasis Petroleum, Inc. 12,223 568,492 Oceaneering International, Inc. 4,982 365,081 ONEOK, Inc. 8,590 543,060 RPC, Inc. 11,609 258,068 Schlumberger, Ltd. 26,012 2,641,519 * Southwestern Energy Co. 25,901 1,240,140 Targa Resources Corp. 2,416 260,904 # Teekay Corp. 4,093 229,658 ----------- Total Energy 10,777,593 ----------- Financials -- (3.0%) #* Altisource Portfolio Solutions SA 1,149 119,163 American Express Co. 28,586 2,499,274 CBOE Holdings, Inc. 7,104 379,069 * CBRE Group, Inc. Class A 27,170 723,809 # Eaton Vance Corp. 9,156 330,257 Erie Indemnity Co. Class A 3,760 269,404 Franklin Resources, Inc. 10,445 546,796 LPL Financial Holdings, Inc. 5,196 246,031 Marsh & McLennan Cos., Inc. 13,719 676,484 McGraw Hill Financial, Inc. 9,856 728,654 Moody's Corp. 19,935 1,564,897 U.S. LARGE CAP GROWTH PORTFOLIO CONTINUED SHARES VALUE+ ------ ----------- Financials -- (Continued) * Ocwen Financial Corp. 6,934 $ 262,799 * Realogy Holdings Corp. 3,354 141,036 T Rowe Price Group, Inc. 6,602 542,222 TD Ameritrade Holding Corp. 16,378 522,458 Waddell & Reed Financial, Inc. Class A 7,322 493,869 Willis Group Holdings P.L.C. 5,843 239,504 ----------- Total Financials 10,285,726 ----------- Health Care -- (11.7%) Abbott Laboratories 1,464 56,715 AbbVie, Inc. 67,894 3,535,920 Allergan, Inc. 3,487 578,284 AmerisourceBergen Corp. 20,641 1,345,380 Amgen, Inc. 19,638 2,194,547 Baxter International, Inc. 14,333 1,043,299 Becton Dickinson and Co. 7,471 844,447 * Biogen Idec, Inc. 3,016 865,954 * Bruker Corp. 1,069 22,086 Cardinal Health, Inc. 8,110 563,726 * Celgene Corp. 11,862 1,743,833 Covidien P.L.C. 11,761 837,971 CR Bard, Inc. 7,535 1,034,782 * DaVita HealthCare Partners, Inc. 6,582 456,133 #* Edwards Lifesciences Corp. 2,647 215,651 Eli Lilly & Co. 42,655 2,520,910 * Endo International P.L.C. 15,034 946,315 * Gilead Sciences, Inc. 44,774 3,514,311 #* IDEXX Laboratories, Inc. 4,639 586,555 * Incyte Corp., Ltd. 14,108 685,084 Johnson & Johnson 81,181 8,222,823 * Laboratory Corp. of America Holdings 6,606 652,012 McKesson Corp. 7,184 1,215,461 Medtronic, Inc. 7,445 437,915 * Mettler-Toledo International, Inc. 2,613 609,143 * Mylan, Inc. 25,791 1,309,667 Perrigo Co. P.L.C. 1,975 286,099 # Questcor Pharmaceuticals, Inc. 5,432 446,402 * Regeneron Pharmaceuticals, Inc. 1,855 550,731 * Salix Pharmaceuticals, Ltd. 1,980 217,800 St Jude Medical, Inc. 11,872 753,516 #* Tenet Healthcare Corp. 10,841 488,712 #* United Therapeutics Corp. 2,092 209,221 * Varian Medical Systems, Inc. 4,694 373,408 * Waters Corp. 1,795 176,879 ----------- Total Health Care 39,541,692 ----------- Industrials -- (14.7%) 3M Co. 17,920 2,492,493 Allison Transmission Holdings, Inc. 6,142 183,277 AMETEK, Inc. 4,986 262,862 # Babcock & Wilcox Co. (The) 4,857 168,975 Boeing Co. (The) 31,031 4,003,620 U.S. LARGE CAP GROWTH PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Industrials -- (Continued) Caterpillar, Inc. 30,155 $3,178,337 # CH Robinson Worldwide, Inc. 13,831 814,646 Chicago Bridge & Iron Co. NV 5,392 431,737 Copa Holdings SA Class A 1,442 195,074 * Copart, Inc. 5,256 190,635 Crane Co. 2,623 190,771 Cummins, Inc. 4,939 745,048 Deere & Co. 19,158 1,788,208 Delta Air Lines, Inc. 35,835 1,319,803 Donaldson Co., Inc. 4,505 189,615 Dover Corp. 3,224 278,554 Emerson Electric Co. 30,065 2,049,832 Equifax, Inc. 2,807 198,764 # Fastenal Co. 15,291 765,773 Flowserve Corp. 6,291 459,557 Fluor Corp. 14,751 1,116,651 Generac Holdings, Inc. 3,978 234,225 Graco, Inc. 5,141 372,722 * Hexcel Corp. 4,050 168,844 Honeywell International, Inc. 21,500 1,997,350 # Hubbell, Inc. Class A 200 22,420 Hubbell, Inc. Class B 2,194 258,278 Huntington Ingalls Industries, Inc. 5,816 599,048 Illinois Tool Works, Inc. 10,755 916,649 Iron Mountain, Inc. 17,474 496,960 ITT Corp. 2,878 124,157 # JB Hunt Transport Services, Inc. 10,427 793,495 # Lennox International, Inc. 4,125 345,799 Lincoln Electric Holdings, Inc. 3,510 234,503 Lockheed Martin Corp. 11,245 1,845,754 # Manitowoc Co., Inc. (The) 7,146 227,100 Masco Corp. 18,358 368,812 #* Middleby Corp. (The) 378 95,437 # MSC Industrial Direct Co., Inc. Class A 1,629 148,337 Nordson Corp. 4,675 347,586 * Old Dominion Freight Line, Inc. 6,222 377,240 PACCAR, Inc. 8,818 564,176 Pall Corp. 2,203 185,382 Parker Hannifin Corp. 6,253 793,381 # Pitney Bowes, Inc. 15,041 403,099 Raytheon Co. 9,003 859,606 Robert Half International, Inc. 11,886 532,493 Rockwell Automation, Inc. 12,420 1,480,216 Rockwell Collins, Inc. 12,069 937,158 Rollins, Inc. 11,399 342,882 * Sensata Technologies Holding NV 3,679 156,247 Snap-on, Inc. 2,487 288,492 * Spirit Airlines, Inc. 1,671 94,980 Toro Co. (The) 3,844 244,248 TransDigm Group, Inc. 4,919 874,942 Tyco International, Ltd. 8,330 340,697 * United Continental Holdings, Inc. 45,920 1,876,750 U.S. LARGE CAP GROWTH PORTFOLIO CONTINUED SHARES VALUE+ ------- ----------- Industrials -- (Continued) United Parcel Service, Inc. Class B 31,474 $ 3,100,189 United Technologies Corp. 24,586 2,909,261 # Valmont Industries, Inc. 839 124,935 * Verisk Analytics, Inc. Class A 15,223 914,750 * WABCO Holdings, Inc. 5,428 580,850 Wabtec Corp. 4,352 324,442 Watsco, Inc. 604 62,158 WW Grainger, Inc. 2,155 548,232 ----------- Total Industrials 49,538,514 ----------- Information Technology -- (18.8%) Accenture P.L.C. Class A 27,006 2,166,421 #* Alliance Data Systems Corp. 4,899 1,185,068 Amphenol Corp. Class A 6,691 637,987 Apple, Inc. 23,706 13,988,674 * Aspen Technology, Inc. 5,977 256,951 Automatic Data Processing, Inc. 12,478 972,785 Avago Technologies, Ltd. 2,553 162,116 Broadridge Financial Solutions, Inc. 9,287 356,064 * Cadence Design Systems, Inc. 100 1,556 * Cognizant Technology Solutions Corp. Class A 7,446 356,701 * F5 Networks, Inc. 3,406 358,209 # FactSet Research Systems, Inc. 3,394 361,461 * Fiserv, Inc. 13,176 800,837 * FleetCor Technologies, Inc. 3,784 431,868 * Gartner, Inc. 7,879 543,178 * Genpact, Ltd. 6,193 104,414 Global Payments, Inc. 5,772 385,743 Harris Corp. 14,420 1,060,158 International Business Machines Corp. 28,223 5,544,973 Intuit, Inc. 11,010 834,007 #* IPG Photonics Corp. 634 40,975 Jack Henry & Associates, Inc. 3,535 194,991 KLA-Tencor Corp. 1,003 64,182 * Knowles Corp. 1,612 45,023 Linear Technology Corp. 22,701 1,010,194 LSI Corp. 25,436 283,357 MasterCard, Inc. Class A 42,060 3,093,513 Maxim Integrated Products, Inc. 8,156 264,581 Microsoft Corp. 306,281 12,373,752 Motorola Solutions, Inc. 13,929 885,606 * NCR Corp. 7,729 235,812 #* NeuStar, Inc. Class A 2,440 62,757 Oracle Corp. 145,160 5,934,141 Paychex, Inc. 36,155 1,511,641 * PTC, Inc. 3,551 125,599 #* Rackspace Hosting, Inc. 5,521 160,219 Seagate Technology P.L.C. 46,479 2,443,866 Solera Holdings, Inc. 2,016 130,596 Symantec Corp. 10,673 216,448 #* Syntel, Inc. 1,201 96,464 #* Teradata Corp. 4,561 207,343 U.S. LARGE CAP GROWTH PORTFOLIO CONTINUED SHARES VALUE+ ------ ----------- Information Technology -- (Continued) Texas Instruments, Inc. 45,809 $ 2,082,019 Total System Services, Inc. 8,119 257,941 #* Ubiquiti Networks, Inc. 2,379 92,139 * Ultimate Software Group, Inc. (The) 470 56,226 #* Vantiv, Inc. Class A 12,986 399,319 #* VeriSign, Inc. 100 4,718 # Western Union Co. (The) 49,326 782,804 #* WEX, Inc. 1,008 96,738 ----------- Total Information Technology 63,662,135 ----------- Materials -- (6.3%) Air Products & Chemicals, Inc. 5,154 605,698 Airgas, Inc. 5,377 571,360 Albemarle Corp. 3,493 234,171 Avery Dennison Corp. 4,284 208,459 # Axiall Corp. 201 9,367 Ball Corp. 14,008 787,110 Celanese Corp. Series A 13,706 841,960 Eastman Chemical Co. 19,376 1,689,006 Ecolab, Inc. 7,465 781,138 EI du Pont de Nemours & Co. 36,570 2,461,892 FMC Corp. 12,925 995,225 International Flavors & Fragrances, Inc. 3,370 332,012 LyondellBasell Industries NV Class A 18,427 1,704,497 Monsanto Co. 14,483 1,603,268 # NewMarket Corp. 1,016 378,277 * Owens-Illinois, Inc. 21,070 669,605 Packaging Corp. of America 8,226 548,098 PPG Industries, Inc. 3,517 680,962 Praxair, Inc. 11,964 1,561,900 Rockwood Holdings, Inc. 5,695 404,630 RPM International, Inc. 6,791 289,704 Scotts Miracle-Gro Co. (The) Class A 4,620 282,790 Sealed Air Corp. 18,321 628,593 Sherwin-Williams Co. (The) 3,139 627,298 Sigma-Aldrich Corp. 6,257 601,986 Silgan Holdings, Inc. 1,647 81,938 # Southern Copper Corp. 6,178 186,205 Valspar Corp. (The) 7,489 546,997 Westlake Chemical Corp. 2,806 199,787 * WR Grace & Co. 6,694 616,517 ----------- Total Materials 21,130,450 ----------- Real Estate Investment Trusts -- (0.1%) Crown Castle International Corp. 6,127 445,617 ----------- Telecommunication Services -- (3.5%) * Level 3 Communications, Inc. 24,040 1,034,441 * SBA Communications Corp. Class A 11,982 1,075,504 * tw telecom, Inc. 11,157 342,408 U.S. LARGE CAP GROWTH PORTFOLIO CONTINUED SHARES VALUE+ --------- ------------ Telecommunication Services -- (Continued) Verizon Communications, Inc. 204,031 $ 9,534,369 ------------ Total Telecommunication Services 11,986,722 ------------ Utilities -- (0.0%) ONE Gas, Inc. 2,147 78,537 ------------ TOTAL COMMON STOCKS 318,974,070 ------------ TEMPORARY CASH INVESTMENTS -- (0.2%) State Street Institutional Liquid Reserves, 0.074% 679,508 679,508 ------------ SHARES/ FACE AMOUNT (000) --------- SECURITIES LENDING COLLATERAL -- (5.5%) (S)@ DFA Short Term Investment Fund 1,600,691 18,519,994 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $300,892,578) $338,173,572 ============ U.S. LARGE CAP GROWTH PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, 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 $ 67,680,479 -- --... $ 67,680,479 Consumer Staples 43,846,605 -- --... 43,846,605 Energy 10,777,593 -- --... 10,777,593 Financials 10,285,726 -- --... 10,285,726 Health Care 39,541,692 -- --... 39,541,692 Industrials 49,538,514 -- --... 49,538,514 Information Technology 63,662,135 -- --... 63,662,135 Materials 21,130,450 -- --... 21,130,450 Real Estate Investment Trusts 445,617 -- --... 445,617 Telecommunication Services 11,986,722 -- --... 11,986,722 Utilities 78,537 -- --... 78,537 Temporary Cash Investments 679,508 -- --... 679,508 Securities Lending Collateral -- $18,519,994 --... 18,519,994 ------------ ----------- -- ------------ TOTAL $319,653,578 $18,519,994 --... $338,173,572 ============ =========== == ============ U.S. SMALL CAP GROWTH PORTFOLIO SCHEDULE OF INVESTMENTS APRIL 30, 2014 (UNAUDITED) SHARES VALUE+ ------ -------- COMMON STOCKS -- (73.0%) Consumer Discretionary -- (16.9%) * American Axle & Manufacturing Holdings, Inc. 17,006 $300,156 #* American Public Education, Inc. 4,671 161,617 #* ANN, Inc. 15,041 589,457 # Arctic Cat, Inc. 4,496 183,841 * Asbury Automotive Group, Inc. 10,685 659,692 #* Bally Technologies, Inc. 8,612 560,727 * Big Lots, Inc. 15,261 602,809 * Bloomin' Brands, Inc. 30,261 645,165 * Blue Nile, Inc. 3,481 120,895 # Bob Evans Farms, Inc. 6,857 321,388 * Bravo Brio Restaurant Group, Inc. 4,755 71,182 * Bright Horizons Family Solutions, Inc. 4,526 184,570 Brown Shoe Co., Inc. 11,120 262,321 # Buckle, Inc. (The) 12,177 572,197 #* Buffalo Wild Wings, Inc. 5,523 807,021 # Capella Education Co. 3,381 197,315 * Carmike Cinemas, Inc. 5,593 165,888 # Carriage Services, Inc. 4,360 70,152 # Cato Corp. (The) Class A 4,749 135,299 #* Cavco Industries, Inc. 400 31,180 # Cheesecake Factory, Inc. (The) 18,039 809,771 Cherokee, Inc. 640 8,877 # Chico's FAS, Inc. 43,860 696,497 * Christopher & Banks Corp. 1,001 6,246 Churchill Downs, Inc. 1,571 137,981 #* Chuy's Holdings, Inc. 2,688 96,634 #* Conn's, Inc. 10,232 452,561 # Cracker Barrel Old Country Store, Inc. 6,757 640,158 #* Crown Media Holdings, Inc. Class A 5,366 19,210 # CST Brands, Inc. 21,491 701,251 # Culp, Inc. 2,228 40,215 #* Deckers Outdoor Corp. 9,818 775,131 #* Del Frisco's Restaurant Group, Inc. 3,987 103,702 Destination Maternity Corp. 2,990 73,733 DineEquity, Inc. 5,639 427,493 * Dixie Group, Inc. (The) 700 10,549 #* Dorman Products, Inc. 10,161 584,766 Drew Industries, Inc. 6,265 315,255 # Einstein Noah Restaurant Group, Inc. 2,769 42,532 # Ethan Allen Interiors, Inc. 2,112 51,279 * Express, Inc. 30,112 438,732 * Famous Dave's Of America, Inc. 600 15,894 * Fiesta Restaurant Group, Inc. 7,554 276,552 Finish Line, Inc. (The) Class A 10,262 282,513 #* Five Below, Inc. 16,963 683,779 #* G-III Apparel Group, Ltd. 6,499 466,433 * Gentherm, Inc. 9,184 333,838 # Gordmans Stores, Inc. 4,293 19,276 * Grand Canyon Education, Inc. 13,189 568,710 # Guess?, Inc. 18,192 489,547 #* Hibbett Sports, Inc. 7,216 388,582 U.S. SMALL CAP GROWTH PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Consumer Discretionary -- (Continued) Hillenbrand, Inc. 18,258 $555,043 # Interval Leisure Group, Inc. 16,287 419,716 #* iRobot Corp. 7,459 249,877 * Jack in the Box, Inc. 11,778 630,594 * JTH Holding, Inc. Class A 400 10,880 # KB Home 23,379 385,987 #* Kirkland's, Inc. 4,328 74,052 * Kona Grill, Inc. 500 11,725 La-Z-Boy, Inc. 14,286 346,150 #* LeapFrog Enterprises, Inc. 3,441 23,571 #* Libbey, Inc. 4,937 131,670 * LIN Media LLC Class A 9,187 215,251 Lithia Motors, Inc. Class A 6,631 492,551 #* Lumber Liquidators Holdings, Inc. 7,844 683,683 Matthews International Corp. Class A 124 5,003 #* Mattress Firm Holding Corp. 4,220 190,702 #* Modine Manufacturing Co. 10,123 166,827 * Monarch Casino & Resort, Inc. 800 12,832 # Monro Muffler Brake, Inc. 8,736 492,710 Movado Group, Inc. 3,449 135,477 #* Murphy USA, Inc. 12,245 520,412 #* Nathan's Famous, Inc. 1,228 60,516 #* Nautilus, Inc. 7,490 62,392 #* New York & Co., Inc. 14,303 59,930 # New York Times Co. (The) Class A 44,565 716,605 Nutrisystem, Inc. 7,237 108,555 #* Office Depot, Inc. 52,792 215,919 * Orbitz Worldwide, Inc. 27,307 200,706 #* Outerwall, Inc. 4,206 291,686 * Overstock.com, Inc. 5,980 95,800 # Oxford Industries, Inc. 4,464 294,669 # Papa John's International, Inc. 11,326 496,758 # PetMed Express, Inc. 1,588 20,787 # Pier 1 Imports, Inc. 24,195 441,801 # Pool Corp. 13,059 770,742 * Popeyes Louisiana Kitchen, Inc. 8,179 311,620 #* Red Robin Gourmet Burgers, Inc. 3,855 262,063 # Ruth's Hospitality Group, Inc. 10,280 129,425 # Ryland Group, Inc. (The) 13,884 533,007 * Scientific Games Corp. Class A 23,889 286,190 * Select Comfort Corp. 14,529 267,334 #* Shiloh Industries, Inc. 437 8,626 #* Shutterfly, Inc. 6,157 252,006 # Sinclair Broadcast Group, Inc. Class A 17,070 456,281 #* Smith & Wesson Holding Corp. 16,238 249,253 * Sonic Corp. 19,100 363,664 Sotheby's 891 37,475 # Standard Motor Products, Inc. 6,075 230,789 # Stein Mart, Inc. 1,200 15,000 * Steven Madden, Ltd. 18,745 667,509 # Sturm Ruger & Co., Inc. 1,130 72,716 # Texas Roadhouse, Inc. 20,052 496,086 U.S. SMALL CAP GROWTH PORTFOLIO CONTINUED SHARES VALUE+ ------ ----------- Consumer Discretionary -- (Continued) # Thor Industries, Inc. 7,201 $ 438,325 #* Tile Shop Holdings, Inc. 13,943 196,527 * Tower International, Inc. 5,574 155,013 #* Tumi Holdings, Inc. 13,837 282,552 Vail Resorts, Inc. 10,372 718,054 * Valuevision Media, Inc. Class A 4,380 20,498 #* Vera Bradley, Inc. 2,379 67,326 #* Vitamin Shoppe, Inc. 8,645 413,923 * William Lyon Homes Class A 2,921 76,238 # Winmark Corp. 1,277 96,873 #* Winnebago Industries, Inc. 7,349 175,641 # Wolverine World Wide, Inc. 26,204 736,332 # World Wrestling Entertainment, Inc. Class A 1,300 25,350 #* Zale Corp. 5,406 115,634 #* Zumiez, Inc. 8,253 201,786 ----------- Total Consumer Discretionary 34,551,264 ----------- Consumer Staples -- (3.1%) # Alico, Inc. 1,296 45,256 #* Annie's, Inc. 3,519 114,403 # B&G Foods, Inc. 15,026 492,853 #* Boston Beer Co., Inc. (The) Class A 2,557 629,124 * Boulder Brands, Inc. 4,100 60,516 # Cal-Maine Foods, Inc. 2,312 137,865 # Calavo Growers, Inc. 2,243 69,735 # Casey's General Stores, Inc. 10,917 749,561 #* Chefs' Warehouse, Inc. (The) 6,450 129,581 Coca-Cola Bottling Co. Consolidated 600 49,338 #* Farmer Bros. Co. 1,211 23,869 #* Fresh Market, Inc. (The) 13,191 489,386 Inter Parfums, Inc. 8,653 316,613 #* Inventure Foods, Inc. 2,960 35,579 J&J Snack Foods Corp. 4,982 466,315 # Lancaster Colony Corp. 7,976 756,763 #* Medifast, Inc. 3,714 117,548 #* National Beverage Corp. 2,900 55,912 #* Natural Grocers by Vitamin Cottage, Inc. 4,417 157,245 # Oil-Dri Corp. of America 1,477 49,494 Orchids Paper Products Co. 1,600 42,992 Rocky Mountain Chocolate Factory, Inc. 400 4,780 # Sanderson Farms, Inc. 7,068 581,485 #* Susser Holdings Corp. 5,978 462,578 # WD-40 Co. 3,898 283,930 ----------- Total Consumer Staples 6,322,721 ----------- Energy -- (2.4%) Bolt Technology Corp. 700 11,816 * Bonanza Creek Energy, Inc. 12,054 586,065 # CARBO Ceramics, Inc. 4,070 569,434 #* Carrizo Oil & Gas, Inc. 14,226 782,715 EnLink Midstream LLC 13,004 459,431 # EXCO Resources, Inc. 45,637 289,795 U.S. SMALL CAP GROWTH PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Energy -- (Continued) * Gastar Exploration, Inc. 13,440 $ 89,107 #* Geospace Technologies Corp. 3,681 213,977 #* Goodrich Petroleum Corp. 7,442 187,166 #* Matador Resources Co. 17,380 499,154 * Matrix Service Co. 3,883 120,256 # Panhandle Oil and Gas, Inc. Class A 360 15,786 PBF Energy, Inc. Class A 740 22,777 * PDC Energy, Inc. 5,516 351,204 * PetroQuest Energy, Inc. 7,428 44,717 #* Rex Energy Corp. 14,624 307,981 * RigNet, Inc. 2,886 134,949 #* Synergy Resources Corp. 15,645 182,108 * Willbros Group, Inc. 9,816 109,056 ---------- Total Energy 4,977,494 ---------- Financials -- (5.4%) #* Altisource Portfolio Solutions SA 4,397 456,013 # Bank of Hawaii Corp. 13,434 741,154 # Bank of the Ozarks, Inc. 10,069 603,133 # BGC Partners, Inc. Class A 38,107 273,227 * BofI Holding, Inc. 3,743 301,723 Bridge Bancorp, Inc. 412 10,020 # Cohen & Steers, Inc. 2,284 92,525 * Consumer Portfolio Services, Inc. 3,825 26,699 # Crawford & Co. Class B 1,463 16,707 * Credit Acceptance Corp. 4,028 529,763 # Diamond Hill Investment Group, Inc. 909 107,917 #* eHealth, Inc. 1,006 42,141 Evercore Partners, Inc. Class A 10,397 555,512 # Federated Investors, Inc. Class B 3,143 89,701 Fidelity National Financial, Inc. Class A 4,647 149,541 * First Cash Financial Services, Inc. 8,360 407,717 # FXCM, Inc. Class A 7,560 117,029 # GAMCO Investors, Inc. Class A 1,340 101,746 #* Green Dot Corp. Class A 8,788 152,648 # Greenhill & Co., Inc. 7,883 395,332 # HCI Group, Inc. 2,858 110,547 HFF, Inc. Class A 10,675 362,950 Home BancShares, Inc. 18,182 576,551 # Investors Bancorp, Inc. 11,389 304,428 #* Ladenburg Thalmann Financial Services, Inc. 11,507 31,414 # MarketAxess Holdings, Inc. 11,163 601,462 #* Portfolio Recovery Associates, Inc. 14,421 824,160 # Pzena Investment Management, Inc. Class A 1,700 18,479 * Regional Management Corp. 1,775 27,229 # RLI Corp. 1,616 69,585 #* Texas Capital Bancshares, Inc. 13,144 738,561 Union Bankshares Corp. 7,719 197,529 # Universal Insurance Holdings, Inc. 4,917 71,936 * Virtus Investment Partners, Inc. 2,604 481,714 # Westamerica Bancorporation 7,165 364,125 * Western Alliance Bancorp 25,406 586,116 U.S. SMALL CAP GROWTH PORTFOLIO CONTINUED SHARES VALUE+ ------ ----------- Financials -- (Continued) # Westwood Holdings Group, Inc. 2,094 $ 121,808 #* WisdomTree Investments, Inc. 36,788 415,337 #* World Acceptance Corp. 644 46,754 ----------- Total Financials 11,120,933 ----------- Health Care -- (8.7%) #* Addus HomeCare Corp. 544 11,761 #* Air Methods Corp. 11,163 621,444 #* Akorn, Inc. 26,465 667,447 * Albany Molecular Research, Inc. 3,181 51,087 * AMN Healthcare Services, Inc. 11,065 138,091 Analogic Corp. 1,034 77,633 #* Anika Therapeutics, Inc. 3,667 156,728 #* ArthroCare Corp. 6,290 305,254 # Atrion Corp. 547 157,717 #* Auxilium Pharmaceuticals, Inc. 12,467 280,632 #* Biospecifics Technologies Corp. 700 16,611 * Cambrex Corp. 6,603 135,295 Cantel Medical Corp. 11,163 370,165 * Capital Senior Living Corp. 2,116 52,329 * Charles River Laboratories International, Inc. 13,386 719,096 # Chemed Corp. 4,205 350,150 # Computer Programs & Systems, Inc. 2,892 182,572 * Corvel Corp. 5,008 228,064 #* Cyberonics, Inc. 7,670 453,757 * Emeritus Corp. 5,728 170,866 # Ensign Group, Inc. (The) 5,859 249,008 * ExamWorks Group, Inc. 8,229 302,827 #* Gentiva Health Services, Inc. 7,822 58,900 * Globus Medical, Inc. Class A 18,057 440,952 # HealthSouth Corp. 24,154 836,695 # Hill-Rom Holdings, Inc. 16,248 607,025 #* HMS Holdings Corp. 19,439 314,329 * ICU Medical, Inc. 4,112 229,367 #* Integra LifeSciences Holdings Corp. 8,972 408,944 #* IPC The Hospitalist Co., Inc. 4,355 176,378 # Landauer, Inc. 390 16,864 * Lannett Co., Inc. 5,622 194,128 #* Ligand Pharmaceuticals, Inc. Class B 4,949 312,628 #* Masimo Corp. 16,427 439,587 * MedAssets, Inc. 15,555 355,121 * Medidata Solutions, Inc. 13,642 495,341 # Meridian Bioscience, Inc. 10,642 212,521 #* MWI Veterinary Supply, Inc. 3,632 568,916 #* Myriad Genetics, Inc. 20,459 863,574 * National Research Corp. Class A 900 14,184 #* National Research Corp. Class B 150 6,582 * Natus Medical, Inc. 9,168 227,641 * NuVasive, Inc. 13,107 441,837 * Omnicell, Inc. 6,935 183,639 # Owens & Minor, Inc. 18,780 629,881 #* PAREXEL International Corp. 12,937 586,693 U.S. SMALL CAP GROWTH PORTFOLIO CONTINUED SHARES VALUE+ ------ ----------- Health Care -- (Continued) * Prestige Brands Holdings, Inc. 13,098 $ 439,045 * Providence Service Corp. (The) 3,480 141,323 # Quality Systems, Inc. 15,407 227,561 #* Quidel Corp. 6,071 130,223 #* Repligen Corp. 11,086 175,713 * Sagent Pharmaceuticals, Inc. 4,817 99,664 STERIS Corp. 17,568 844,142 #* Sucampo Pharmaceuticals, Inc. Class A 4,300 29,713 #* SurModics, Inc. 104 2,263 * Team Health Holdings, Inc. 3,355 162,650 #* Thoratec Corp. 16,195 530,872 US Physical Therapy, Inc. 2,600 80,210 # Utah Medical Products, Inc. 680 34,537 * Vascular Solutions, Inc. 2,653 58,127 West Pharmaceutical Services, Inc. 13,062 566,630 ----------- Total Health Care 17,842,934 ----------- Industrials -- (14.9%) # AAON, Inc. 9,516 269,779 # Aceto Corp. 6,574 143,839 # Allegiant Travel Co. 4,859 570,690 # Altra Industrial Motion Corp. 7,369 251,725 # American Science & Engineering, Inc. 1,649 110,813 #* American Woodmark Corp. 2,409 72,294 # Apogee Enterprises, Inc. 7,822 248,505 Applied Industrial Technologies, Inc. 11,356 544,180 * ARC Document Solutions, Inc. 7,889 50,490 Argan, Inc. 31 830 * Astronics Corp. 2,681 153,139 #* Astronics Corp. Class B 535 30,441 # AZZ, Inc. 6,479 281,318 Barrett Business Services, Inc. 1,943 97,947 * Beacon Roofing Supply, Inc. 10,985 390,846 * Blount International, Inc. 12,308 137,480 # Brink's Co. (The) 13,224 336,419 #* Casella Waste Systems, Inc. Class A 8,881 45,293 # Ceco Environmental Corp. 4,293 68,216 #* Chart Industries, Inc. 1,640 111,881 CIRCOR International, Inc. 4,828 392,082 CLARCOR, Inc. 11,435 660,486 #* Columbus McKinnon Corp. 958 25,377 # Comfort Systems USA, Inc. 1,078 16,170 # Corporate Executive Board Co. (The) 10,526 726,504 # Deluxe Corp. 15,754 865,682 * DXP Enterprises, Inc. 3,939 445,934 #* Echo Global Logistics, Inc. 5,918 115,756 #* EnPro Industries, Inc. 5,841 415,938 Exelis, Inc. 25,596 474,550 Exponent, Inc. 3,549 249,921 * Federal Signal Corp. 13,816 209,727 Forward Air Corp. 8,784 388,516 * Franklin Covey Co. 2,550 51,688 U.S. SMALL CAP GROWTH PORTFOLIO CONTINUED SHARES VALUE+ ------ ---------- Industrials -- (Continued) Franklin Electric Co., Inc. 14,289 $ 552,556 * Furmanite Corp. 3,400 35,632 G&K Services, Inc. Class A 4,440 235,054 # Generac Holdings, Inc. 3,713 218,621 #* Goldfield Corp. (The) 4,847 9,985 # Gorman-Rupp Co. (The) 2,601 80,761 * GP Strategies Corp. 4,449 116,920 # Graham Corp. 1,961 58,516 * Greenbrier Cos., Inc. (The) 365 19,141 * H&E Equipment Services, Inc. 11,322 436,463 Harsco Corp. 27,489 657,812 # Healthcare Services Group, Inc. 20,415 594,076 # Heartland Express, Inc. 25,768 560,712 # HEICO Corp. 5,207 288,051 HEICO Corp. Class A 1,875 76,406 Herman Miller, Inc. 1,900 58,577 # HNI Corp. 11,829 416,736 * Hub Group, Inc. Class A 9,512 424,711 * Huron Consulting Group, Inc. 6,508 463,370 # Hyster-Yale Materials Handling, Inc. 3,205 308,930 Insperity, Inc. 6,456 206,979 # Interface, Inc. 19,260 346,487 # John Bean Technologies Corp. 7,164 207,684 # Kaman Corp. 6,838 286,991 # Kforce, Inc. 8,877 205,236 # Knight Transportation, Inc. 22,997 545,719 Knoll, Inc. 12,528 227,884 # Landstar System, Inc. 13,750 866,112 # Lindsay Corp. 3,120 274,966 Manitowoc Co., Inc. (The) 25,015 794,977 #* MasTec, Inc. 27,352 1,082,592 * Mistras Group, Inc. 3,432 77,941 # MSA Safety, Inc. 9,946 524,651 # Mueller Industries, Inc. 16,076 465,239 Mueller Water Products, Inc. Class A 58,845 536,666 * Nortek, Inc. 3,010 247,302 # Omega Flex, Inc. 1,000 20,170 * On Assignment, Inc. 14,541 508,935 #* Park-Ohio Holdings Corp. 2,510 146,559 * Patrick Industries, Inc. 2,577 103,260 * PGT, Inc. 14,388 143,161 * Polypore International, Inc. 2,735 94,850 #* PowerSecure International, Inc. 5,600 124,488 Primoris Services Corp. 17,895 500,702 #* Proto Labs, Inc. 6,913 418,513 # Raven Industries, Inc. 10,131 313,048 #* RBC Bearings, Inc. 6,690 416,519 * Rexnord Corp. 16,905 452,040 #* Roadrunner Transportation Systems, Inc. 6,567 161,745 #* Saia, Inc. 6,614 272,298 #* SP Plus Corp. 1,472 35,946 * Spirit Airlines, Inc. 18,235 1,036,477 U.S. SMALL CAP GROWTH PORTFOLIO CONTINUED SHARES VALUE+ ------ ----------- Industrials -- (Continued) Standex International Corp. 3,096 $ 183,810 Steelcase, Inc. Class A 22,100 364,208 # Sun Hydraulics Corp. 6,626 270,871 #* Swift Transportation Co. 20,364 489,754 #* Taser International, Inc. 12,845 207,447 #* Team, Inc. 5,057 216,895 # Tennant Co. 4,452 283,993 # Textainer Group Holdings, Ltd. 6,887 270,659 * Thermon Group Holdings, Inc. 7,289 173,624 #* Trex Co., Inc. 4,515 354,518 * Trimas Corp. 12,787 458,542 * TrueBlue, Inc. 11,162 298,583 # Twin Disc, Inc. 300 8,679 # Universal Truckload Services, Inc. 3,003 74,054 US Ecology, Inc. 5,783 258,211 #* Wabash National Corp. 26,093 348,602 ----------- Total Industrials 30,476,073 ----------- Information Technology -- (15.8%) * ACI Worldwide, Inc. 10,836 619,277 #* Actuate Corp. 11,100 62,493 #* Acxiom Corp. 21,895 618,315 # ADTRAN, Inc. 4,587 102,886 * Advanced Energy Industries, Inc. 3,947 86,360 # American Software, Inc. Class A 5,886 56,741 Anixter International, Inc. 653 63,981 #* AVG Technologies NV 14,132 264,692 # Badger Meter, Inc. 3,193 158,213 Belden, Inc. 4,429 326,905 # Blackbaud, Inc. 12,283 374,017 # Booz Allen Hamilton Holding Corp. 33,225 772,149 #* Cabot Microelectronics Corp. 6,175 267,810 #* CalAmp Corp. 6,482 115,056 * Cardtronics, Inc. 12,915 432,394 #* Cascade Microtech, Inc. 1,200 12,816 # Cass Information Systems, Inc. 1,275 64,400 #* Cirrus Logic, Inc. 15,263 340,365 #* Clearfield, Inc. 1,000 15,760 * Cognex Corp. 19,266 663,328 * Coherent, Inc. 367 21,914 # Computer Task Group, Inc. 3,013 47,636 * Comverse, Inc. 4,695 117,093 Concurrent Computer Corp. 1,757 14,741 * Constant Contact, Inc. 6,390 165,245 #* Conversant, Inc. 17,193 420,197 * CoreLogic, Inc. 24,271 680,316 * Cray, Inc. 10,357 297,349 # CSG Systems International, Inc. 9,078 239,296 Daktronics, Inc. 10,902 141,944 #* Datalink Corp. 5,009 64,316 * Dealertrack Technologies, Inc. 11,669 533,157 #* Dice Holdings, Inc. 11,156 85,343 U.S. SMALL CAP GROWTH PORTFOLIO CONTINUED SHARES VALUE+ ------ -------- Information Technology -- (Continued) # Diebold, Inc. 18,251 $686,420 # Digimarc Corp. 497 16,411 * Electronics for Imaging, Inc. 13,905 525,470 #* Ellie Mae, Inc. 1,500 36,585 * EPAM Systems, Inc. 11,607 361,326 #* Euronet Worldwide, Inc. 14,572 670,166 * ExlService Holdings, Inc. 6,684 189,124 * Extreme Networks, Inc. 12,768 73,033 Fair Isaac Corp. 10,987 628,456 #* FARO Technologies, Inc. 4,372 174,443 #* Finisar Corp. 34,468 901,338 # Forrester Research, Inc. 5,058 179,205 * Global Cash Access Holdings, Inc. 18,341 121,051 # Heartland Payment Systems, Inc. 11,549 472,816 * Higher One Holdings, Inc. 41 246 # Hittite Microwave Corp. 8,876 526,879 * iGATE Corp. 16,877 617,698 #* Internap Network Services Corp. 1,494 10,040 #* Ixia 15,516 192,709 # j2 Global, Inc. 12,999 602,634 * Kofax, Ltd. 4,165 31,571 * Lionbridge Technologies, Inc. 14,471 85,089 Littelfuse, Inc. 6,368 576,622 #* M/A-COM Technology Solutions Holdings, Inc. 4,008 70,180 #* Manhattan Associates, Inc. 21,076 664,526 MAXIMUS, Inc. 2,786 118,600 #* Measurement Specialties, Inc. 4,165 268,018 # Mentor Graphics Corp. 31,074 643,232 # Mesa Laboratories, Inc. 787 67,446 Methode Electronics, Inc. 10,627 294,793 Micrel, Inc. 5,907 58,834 #* Microsemi Corp. 24,078 566,315 * MicroStrategy, Inc. Class A 1,846 224,160 # Monotype Imaging Holdings, Inc. 10,652 281,319 # MTS Systems Corp. 4,258 274,513 * NAPCO Security Technologies, Inc. 3,838 22,414 #* Netscout Systems, Inc. 10,788 420,300 * Newport Corp. 4,953 92,522 NIC, Inc. 18,032 330,707 #* OpenTable, Inc. 7,288 489,462 * OSI Systems, Inc. 5,264 293,784 # Pegasystems, Inc. 20,732 343,529 * Perficient, Inc. 6,905 126,154 Plantronics, Inc. 13,153 573,076 * PMC-Sierra, Inc. 28,100 192,204 #* Progress Software Corp. 17,932 384,821 * RealD, Inc. 768 8,417 #* Reis, Inc. 1,500 24,690 * RF Micro Devices, Inc. 70,040 591,138 * Riverbed Technology, Inc. 41,999 816,881 * Sapient Corp. 46,955 763,958 Science Applications International Corp. 3,842 149,838 U.S. SMALL CAP GROWTH PORTFOLIO CONTINUED SHARES VALUE+ ------ ----------- Information Technology -- (Continued) #* Semtech Corp. 12,743 $ 305,577 * Shutterstock, Inc. 9,185 666,004 * Silicon Image, Inc. 27,157 152,351 * Silicon Laboratories, Inc. 12,383 556,616 * Stamps.com, Inc. 960 33,322 #* Synaptics, Inc. 10,032 623,489 #* Synchronoss Technologies, Inc. 11,394 346,833 * Take-Two Interactive Software, Inc. 34,387 700,807 * TeleTech Holdings, Inc. 12,565 303,193 # Tessco Technologies, Inc. 800 26,312 #* Travelzoo, Inc. 608 10,908 #* Tyler Technologies, Inc. 7,401 604,292 #* Ubiquiti Networks, Inc. 1,306 50,581 * Verint Systems, Inc. 15,424 675,108 #* Virtusa Corp. 7,812 257,562 * Web.com Group, Inc. 12,491 383,599 #* WebMD Health Corp. 11,051 487,239 * Zebra Technologies Corp. Class A 16,366 1,136,455 #* Zix Corp. 1,980 6,494 ----------- Total Information Technology 32,408,410 ----------- Materials -- (5.2%) * AEP Industries, Inc. 798 28,425 AMCOL International Corp. 3,922 179,824 # American Vanguard Corp. 6,861 122,194 #* Arabian American Development Co. 900 9,837 * Berry Plastics Group, Inc. 33,793 760,005 * Boise Cascade Co. 5,681 142,139 #* Calgon Carbon Corp. 14,797 296,384 # Chase Corp. 400 12,456 * Chemtura Corp. 28,386 633,008 Compass Minerals International, Inc. 8,095 741,502 # Deltic Timber Corp. 2,558 155,398 #* Ferro Corp. 24,619 319,555 #* Flotek Industries, Inc. 14,085 394,521 # FutureFuel Corp. 5,822 116,847 Globe Specialty Metals, Inc. 21,409 414,906 # Hawkins, Inc. 560 20,272 HB Fuller Co. 14,787 685,082 * Headwaters, Inc. 19,916 248,552 # Innophos Holdings, Inc. 5,110 288,408 # Innospec, Inc. 6,466 278,426 * KapStone Paper and Packaging Corp. 32,658 861,518 Koppers Holdings, Inc. 5,780 246,806 Minerals Technologies, Inc. 9,301 553,316 Myers Industries, Inc. 8,079 151,077 # Neenah Paper, Inc. 4,124 207,726 * OMNOVA Solutions, Inc. 6,309 57,538 #* Penford Corp. 1,600 20,160 # PolyOne Corp. 8,049 301,596 # Quaker Chemical Corp. 3,455 257,156 Schweitzer-Mauduit International, Inc. 8,318 362,997 U.S. SMALL CAP GROWTH PORTFOLIO CONTINUED SHARES VALUE+ --------- ------------ Materials -- (Continued) # Stepan Co. 5,843 $ 337,901 # United States Lime & Minerals, Inc. 1,260 68,116 # US Silica Holdings, Inc. 16,741 756,191 Worthington Industries, Inc. 19,725 725,880 ------------ Total Materials 10,755,719 ------------ Telecommunication Services -- (0.6%) # Cogent Communications Group, Inc. 13,233 456,142 # Consolidated Communications Holdings, Inc. 8,859 176,471 IDT Corp. Class B 5,146 81,513 # Inteliquent, Inc. 8,251 112,544 # Lumos Networks Corp. 4,959 65,508 # NTELOS Holdings Corp. 4,994 68,867 * Vonage Holdings Corp. 42,642 163,745 ------------ Total Telecommunication Services 1,124,790 ------------ TOTAL COMMON STOCKS 149,580,338 ------------ TEMPORARY CASH INVESTMENTS -- (0.2%) State Street Institutional Liquid Reserves, 0.074% 498,655 498,655 ------------ SHARES/ FACE AMOUNT (000) --------- SECURITIES LENDING COLLATERAL -- (26.8%) (S)@ DFA Short Term Investment Fund 4,743,845 54,886,286 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $185,815,511) $204,965,279 ============ U.S. SMALL CAP GROWTH PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, 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 $ 34,551,264 -- -- $ 34,551,264 Consumer Staples 6,322,721 -- -- 6,322,721 Energy 4,977,494 -- -- 4,977,494 Financials 11,120,933 -- -- 11,120,933 Health Care 17,842,934 -- -- 17,842,934 Industrials 30,476,073 -- -- 30,476,073 Information Technology 32,408,410 -- -- 32,408,410 Materials 10,755,719 -- -- 10,755,719 Telecommunication Services 1,124,790 -- -- 1,124,790 Temporary Cash Investments 498,655 -- -- 498,655 Securities Lending Collateral -- $54,886,286 -- 54,886,286 ------------ ----------- -- ------------ TOTAL $150,078,993 $54,886,286 -- $204,965,279 ============ =========== == ============ INTERNATIONAL LARGE CAP GROWTH PORTFOLIO SCHEDULE OF INVESTMENTS APRIL 30, 2014 (UNAUDITED) SHARES VALUE++ ------ ---------- COMMON STOCKS -- (89.0%) AUSTRALIA -- (6.7%) # ALS, Ltd. 3,363 $ 23,521 Amcor, Ltd. 46,376 445,069 Aristocrat Leisure, Ltd. 16,955 79,546 # BHP Billiton, Ltd. Sponsored ADR 20,200 1,424,908 Brambles, Ltd. 60,035 527,904 Caltex Australia, Ltd. 2,965 61,549 carsales.com, Ltd. 7,310 74,030 Coca-Cola Amatil, Ltd. 22,010 190,007 Cochlear, Ltd. 1,254 68,547 Commonwealth Bank of Australia 13,481 991,674 Computershare, Ltd. 10,382 119,670 CSL, Ltd. 7,974 508,345 # Flight Centre Travel Group, Ltd. 635 31,848 # Fortescue Metals Group, Ltd. 48,079 227,410 Iluka Resources, Ltd. 7,906 65,681 Insurance Australia Group, Ltd. 41,964 224,287 James Hardie Industries P.L.C. 17,058 218,994 # Leighton Holdings, Ltd. 837 14,884 # Monadelphous Group, Ltd. 597 9,734 Navitas, Ltd. 5,081 34,843 Orica, Ltd. 5,425 110,716 Platinum Asset Management, Ltd. 4,203 25,822 Ramsay Health Care, Ltd. 2,884 120,505 REA Group, Ltd. 2,024 88,272 Rio Tinto, Ltd. 5,466 315,220 Seek, Ltd. 3,571 55,928 Telstra Corp., Ltd. 71,734 348,778 TPG Telecom, Ltd. 2,160 11,977 Woolworths, Ltd. 20,666 718,184 ---------- TOTAL AUSTRALIA 7,137,853 ---------- AUSTRIA -- (0.2%) Andritz AG 2,299 142,812 Erste Group Bank AG 159 5,346 Voestalpine AG 493 22,520 ---------- TOTAL AUSTRIA 170,678 ---------- CANADA -- (8.5%) Agrium, Inc. 1,100 105,649 Alimentation Couche Tard, Inc. Class B 6,000 169,098 # ARC Resources, Ltd. 6,000 178,021 Baytex Energy Corp. 5,461 227,178 # BCE, Inc. 3,700 164,737 # Bombardier, Inc. Class B 47,603 191,533 CAE, Inc. 2,900 38,286 Canadian Imperial Bank of Commerce 3,801 339,239 Canadian National Railway Co. 8,780 514,245 Canadian Oil Sands, Ltd. 22,498 487,708 Canadian Pacific Railway, Ltd. 1,700 265,149 * Canfor Corp. 4,000 90,726 INTERNATIONAL LARGE CAP GROWTH PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- CANADA -- (Continued) CCL Industries, Inc. Class B 500 $ 45,463 Cenovus Energy, Inc. 10,607 315,770 * CGI Group, Inc. Class A 6,800 245,186 CI Financial Corp. 5,100 165,649 Cineplex, Inc. 500 18,845 Constellation Software, Inc. 500 110,739 Dollarama, Inc. 2,100 174,660 Encana Corp. 10,466 242,916 Finning International, Inc. 6,652 179,644 George Weston, Ltd. 1,415 106,611 Gibson Energy, Inc. 2,400 64,070 # Inter Pipeline, Ltd. 4,944 134,420 Jean Coutu Group PJC, Inc. (The) Class A 2,800 56,432 # Keyera Corp. 1,300 86,465 Linamar Corp. 2,253 112,789 Loblaw Cos., Ltd. 492 21,407 MacDonald Dettwiler & Associates, Ltd. 500 38,776 Magna International, Inc. 3,200 313,504 # Manitoba Telecom Services, Inc. 900 24,872 Methanex Corp. 3,193 197,966 # Metro, Inc. 1,600 98,623 National Bank of Canada 2,000 83,007 Onex Corp. 1,900 108,517 Open Text Corp. 1,200 59,208 # Peyto Exploration & Development Corp. 2,600 95,859 Potash Corp. of Saskatchewan, Inc. 11,304 408,753 Progressive Waste Solutions, Ltd. 5,496 133,783 Quebecor, Inc. Class B 1,800 42,452 Rogers Communications, Inc. Class B 5,202 206,623 Royal Bank of Canada 11,667 778,652 Saputo, Inc. 4,100 219,243 Shaw Communications, Inc. Class B 17,289 418,912 ShawCor, Ltd. 1,900 84,629 Stantec, Inc. 685 40,598 TELUS Corp. 1,002 35,341 Tim Hortons, Inc. 4,600 252,494 Trilogy Energy Corp. 2,300 62,953 * Valeant Pharmaceuticals International, Inc. 1,500 200,588 # Vermilion Energy, Inc. 3,300 219,579 West Fraser Timber Co., Ltd. 1,300 58,118 ---------- TOTAL CANADA 9,035,685 ---------- FINLAND -- (0.6%) Elisa Oyj 737 22,025 # Kone Oyj Class B 4,844 207,640 #* Nokia Oyj 25,703 192,453 * Nokia Oyj Sponsored ADR 10,599 79,493 # Nokian Renkaat Oyj 1,003 39,913 Orion Oyj Class B 507 15,475 Wartsila Oyj Abp 1,572 87,757 ---------- TOTAL FINLAND 644,756 ---------- INTERNATIONAL LARGE CAP GROWTH PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- FRANCE -- (8.7%) # Accor SA 4,312 $ 211,114 Aeroports de Paris 500 62,178 Air Liquide SA 4,552 651,243 Airbus Group NV 6,003 412,647 Arkema SA 3,058 341,555 AtoS 3,571 308,506 Bureau Veritas SA 7,490 229,529 Cap Gemini SA 2,225 157,204 # Carrefour SA 29,842 1,163,272 Christian Dior SA 1,056 217,278 Cie Generale des Etablissements Michelin 6,307 773,432 Danone SA 2,755 203,427 Dassault Systemes 616 75,804 Eiffage SA 1,082 81,791 Essilor International SA 3,956 423,637 Eutelsat Communications SA 4,558 156,789 Iliad SA 882 237,776 Imerys SA 1,165 102,307 JCDecaux SA 2,948 121,016 Legrand SA 3,554 229,645 LVMH Moet Hennessy Louis Vuitton SA 2,461 484,803 Plastic Omnium SA 1,842 62,675 Publicis Groupe SA 3,516 300,791 Safran SA 5,258 353,875 SEB SA 146 13,467 # SES SA 10,314 388,592 Societe BIC SA 306 40,598 Sodexo 1,826 196,870 Technip SA 1,356 152,629 Thales SA 3,063 195,037 Valeo SA 2,562 351,837 Vinci SA 7,028 530,658 Zodiac Aerospace 1,465 48,708 ---------- TOTAL FRANCE 9,280,690 ---------- GERMANY -- (7.7%) # BASF SE 17,660 2,048,661 Bayer AG 15,071 2,095,497 Beiersdorf AG 1,225 122,971 Brenntag AG 705 127,711 Continental AG 2,005 471,786 Deutsche Boerse AG 2,344 171,892 Deutsche Post AG 16,525 623,537 Fielmann AG 205 27,734 Fresenius SE & Co. KGaA 1,225 186,387 # Fuchs Petrolub SE 204 18,808 Henkel AG & Co. KGaA 1,447 148,778 Hugo Boss AG 1,348 187,275 Lanxess AG 830 63,206 MAN SE 137 17,568 Merck KGaA 304 51,389 MTU Aero Engines AG 713 67,226 INTERNATIONAL LARGE CAP GROWTH PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- GERMANY -- (Continued) SAP AG 6,668 $ 538,954 # SAP AG Sponsored ADR 7,462 604,347 Symrise AG 2,728 137,809 * ThyssenKrupp AG 11,002 314,021 United Internet AG 3,642 156,457 ---------- TOTAL GERMANY 8,182,014 ---------- HONG KONG -- (2.1%) # AAC Technologies Holdings, Inc. 15,000 83,990 # ASM Pacific Technology, Ltd. 4,400 48,893 # Chow Tai Fook Jewellery Group, Ltd. 33,600 47,445 * Galaxy Entertainment Group, Ltd. 33,000 260,722 Hong Kong & China Gas Co., Ltd. 60,000 138,444 Hong Kong Exchanges and Clearing, Ltd. 19,807 356,196 Li & Fung, Ltd. 80,000 116,446 Melco Crown Entertainment, Ltd. 5,700 64,991 MGM China Holdings, Ltd. 34,000 118,582 PCCW, Ltd. 179,000 95,442 Prada SpA 11,400 91,428 Samsonite International SA 39,000 124,170 Sands China, Ltd. 37,200 273,113 SJM Holdings, Ltd. 39,000 108,748 Techtronic Industries Co. 24,000 76,683 Television Broadcasts, Ltd. 3,500 21,888 VTech Holdings, Ltd. 5,900 81,715 Wynn Macau, Ltd. 20,400 80,602 Xinyi Glass Holdings, Ltd. 22,000 17,358 * Xinyi Solar Holdings, Ltd. 22,000 5,967 ---------- TOTAL HONG KONG 2,212,823 ---------- ISRAEL -- (0.4%) # Bezeq The Israeli Telecommunication Corp., Ltd. 67,434 122,206 Delek Group, Ltd. 28 11,348 Israel Chemicals, Ltd. 3,113 27,629 Teva Pharmaceutical Industries, Ltd. 4,513 221,227 ---------- TOTAL ISRAEL 382,410 ---------- ITALY -- (2.3%) Atlantia SpA 20,314 529,158 Enel Green Power SpA 54,665 156,451 Eni SpA Sponsored ADR 3,010 155,436 * Fiat SpA 47,860 577,801 * Finmeccanica SpA 11,346 105,001 Gtech Spa 1,461 42,884 Luxottica Group SpA 5,221 299,458 * Mediaset SpA 31,334 173,408 Mediolanum SpA 6,896 62,068 Pirelli & C. SpA 4,588 77,244 Prysmian SpA 5,038 131,213 Salvatore Ferragamo SpA 992 31,441 Tenaris SA 7,055 155,957 INTERNATIONAL LARGE CAP GROWTH PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- ITALY -- (Continued) # Tod's SpA 17 $ 2,382 ---------- TOTAL ITALY 2,499,902 ---------- JAPAN -- (16.5%) # ABC-Mart, Inc. 600 26,944 Air Water, Inc. 1,000 14,031 Alps Electric Co., Ltd. 5,200 58,799 Anritsu Corp. 1,000 11,199 # Asahi Group Holdings, Ltd. 4,200 116,058 Asics Corp. 2,000 38,927 Astellas Pharma, Inc. 6,600 73,587 # Benesse Holdings, Inc. 3,000 114,145 Bridgestone Corp. 11,700 418,924 # Calbee, Inc. 800 19,619 Canon, Inc. 13,500 423,022 Cosmos Pharmaceutical Corp. 200 21,393 Daihatsu Motor Co., Ltd. 3,000 49,692 Daiichikosho Co., Ltd. 500 14,408 Daikin Industries, Ltd. 3,400 196,670 Daito Trust Construction Co., Ltd. 3,100 315,459 Daiwa House Industry Co., Ltd. 4,000 67,583 Daiwa Securities Group, Inc. 6,000 44,991 # Dena Co., Ltd. 6,400 108,164 Denso Corp. 5,800 264,206 DIC Corp. 21,000 55,730 # Don Quijote Holdings Co., Ltd. 1,000 52,742 Dowa Holdings Co., Ltd. 10,000 83,838 # Ebara Corp. 11,000 65,430 # Eisai Co., Ltd. 1,500 57,929 FamilyMart Co., Ltd. 2,400 99,660 Fast Retailing Co., Ltd. 700 217,517 Fuji Electric Co., Ltd. 24,000 108,919 Fuji Heavy Industries, Ltd. 10,600 278,723 Fujitsu, Ltd. 45,000 264,610 # Gree, Inc. 2,800 27,381 GS Yuasa Corp. 9,000 50,927 # GungHo Online Entertainment, Inc. 11,000 62,574 Haseko Corp. 7,300 46,229 Hikari Tsushin, Inc. 200 16,860 Hino Motors, Ltd. 10,800 142,281 Hitachi Metals, Ltd. 5,000 67,896 Hitachi, Ltd. 92,000 655,862 Honda Motor Co., Ltd. 2,900 96,236 # Hoshizaki Electric Co., Ltd. 300 12,139 Hoya Corp. 9,600 283,942 IHI Corp. 56,000 223,285 Isuzu Motors, Ltd. 71,000 412,336 Ito En, Ltd. 1,100 23,518 Izumi Co., Ltd. 1,300 38,042 # Japan Steel Works, Ltd. (The) 2,000 8,450 Japan Tobacco, Inc. 19,700 647,510 JGC Corp. 3,000 97,144 INTERNATIONAL LARGE CAP GROWTH PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- JAPAN -- (Continued) # Kakaku.com, Inc. 3,100 $ 44,227 Kao Corp. 6,100 229,649 # Kawasaki Heavy Industries, Ltd. 59,000 218,982 KDDI Corp. 12,800 682,645 Koito Manufacturing Co., Ltd. 1,000 21,750 Komatsu, Ltd. 11,200 246,582 # Kubota Corp. 13,000 167,551 # Lawson, Inc. 2,800 194,464 M3, Inc. 6,000 82,311 Mazda Motor Corp. 32,000 143,080 # McDonald's Holdings Co. Japan, Ltd. 700 19,368 MEIJI Holdings Co., Ltd. 1,500 92,050 Minebea Co., Ltd. 8,000 64,832 Miraca Holdings, Inc. 2,300 99,699 # MISUMI Group, Inc. 300 7,300 Mitsubishi Electric Corp. 17,000 193,576 Mitsubishi Motors Corp. 26,400 286,131 MonotaRO Co., Ltd. 400 8,071 Murata Manufacturing Co., Ltd. 1,200 100,037 Nabtesco Corp. 1,200 25,906 Namco Bandai Holdings, Inc. 7,400 159,878 Nexon Co., Ltd. 1,500 11,683 NGK Spark Plug Co., Ltd. 3,000 68,684 Nidec Corp. 1,200 67,843 Nihon Kohden Corp. 800 32,763 # Nikon Corp. 400 6,271 Nippon Kayaku Co., Ltd. 3,000 35,700 # Nippon Paint Co., Ltd. 3,000 46,414 Nissan Chemical Industries, Ltd. 2,400 35,768 Nissan Shatai Co., Ltd. 2,000 30,469 Nitori Holdings Co., Ltd. 1,500 68,803 # Nitto Denko Corp. 4,000 173,184 Nomura Research Institute, Ltd. 1,300 37,696 NSK, Ltd. 19,000 199,742 NTT Data Corp. 2,200 84,998 Oki Electric Industry Co., Ltd. 17,000 33,279 #* Olympus Corp. 4,600 140,505 Omron Corp. 1,800 63,746 Oracle Corp. Japan 1,500 69,128 Oriental Land Co., Ltd. 600 89,888 Otsuka Corp. 200 23,676 Panasonic Corp. 41,600 453,442 Park24 Co., Ltd. 4,100 74,944 Pigeon Corp. 400 17,908 # Rakuten, Inc. 13,000 168,683 Resorttrust, Inc. 1,400 21,966 Rinnai Corp. 400 33,335 Rohto Pharmaceutical Co., Ltd. 1,000 17,642 # Ryohin Keikaku Co., Ltd. 300 33,715 # Sanrio Co., Ltd. 2,100 66,578 Sanwa Holdings Corp. 2,000 12,218 Sawai Pharmaceutical Co., Ltd. 400 24,755 INTERNATIONAL LARGE CAP GROWTH PORTFOLIO CONTINUED SHARES VALUE++ ------ ----------- JAPAN -- (Continued) SCSK Corp. 700 $ 18,516 Secom Co., Ltd. 2,600 149,274 Sega Sammy Holdings, Inc. 4,500 90,707 Seiko Epson Corp. 7,800 212,862 Sekisui Chemical Co., Ltd. 4,000 40,537 Seven & I Holdings Co., Ltd. 13,600 536,605 Seven Bank, Ltd. 8,700 32,984 #* Sharp Corp. 92,000 230,623 Shimamura Co., Ltd. 300 27,947 Shimano, Inc. 700 69,973 Shiseido Co., Ltd. 7,300 130,421 # Softbank Corp. 16,400 1,221,439 Sony Financial Holdings, Inc. 3,500 56,123 Stanley Electric Co., Ltd. 2,200 48,761 Start Today Co., Ltd. 1,500 31,435 # Sugi Holdings Co., Ltd. 600 26,988 # Sumco Corp. 2,500 19,186 Sumitomo Realty & Development Co., Ltd. 4,000 155,197 Sumitomo Rubber Industries, Ltd. 1,500 20,847 Sundrug Co., Ltd. 900 36,821 # Suzuki Motor Corp. 700 18,060 Sysmex Corp. 3,400 107,787 Taiheiyo Cement Corp. 46,000 161,363 Terumo Corp. 5,400 107,166 # Toray Industries, Inc. 4,000 26,107 # Toshiba Corp. 72,000 282,014 TOTO, Ltd. 6,000 84,872 # Toyo Suisan Kaisha, Ltd. 3,000 96,094 Toyota Motor Corp. Sponsored ADR 7,062 765,662 Trend Micro, Inc. 2,600 84,102 TS Tech Co., Ltd. 700 18,669 # Tsumura & Co. 800 19,015 Tsuruha Holdings, Inc. 500 50,323 # Unicharm Corp. 1,300 70,496 United Arrows, Ltd. 400 15,471 USS Co., Ltd. 5,200 75,796 # Wacom Co., Ltd. 2,700 17,658 # Yahoo Japan Corp. 25,700 112,270 Yakult Honsha Co., Ltd. 1,100 59,455 # Yamaha Motor Co., Ltd. 6,700 103,427 Yamato Holdings Co., Ltd. 2,700 55,561 # Yaskawa Electric Corp. 6,000 67,654 Yokohama Rubber Co., Ltd. (The) 2,000 17,864 Zeon Corp. 3,000 27,895 ----------- TOTAL JAPAN 17,531,073 ----------- NETHERLANDS -- (2.3%) Akzo Nobel NV 4,916 378,837 ASML Holding NV 712 58,109 Heineken NV 2,335 162,183 Koninklijke Ahold NV 635 12,277 Koninklijke Boskalis Westminster NV 141 7,992 INTERNATIONAL LARGE CAP GROWTH PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- NETHERLANDS -- (Continued) * Koninklijke KPN NV 33,578 $ 119,298 # Koninklijke Vopak NV 917 45,723 # Reed Elsevier NV 27,691 565,197 Unilever NV 16,507 707,838 # Wolters Kluwer NV 9,196 256,347 # Ziggo NV 3,794 164,746 ---------- TOTAL NETHERLANDS 2,478,547 ---------- NORWAY -- (1.3%) Aker Solutions ASA 3,517 56,351 * DNO International ASA 19,807 68,789 Fred Olsen Energy ASA 1,174 37,449 Prosafe SE 1,899 16,738 # Schibsted ASA 643 36,998 Seadrill, Ltd. 3,798 133,766 Statoil ASA 22,445 684,245 Telenor ASA 10,295 241,902 # TGS Nopec Geophysical Co. ASA 3,315 114,349 ---------- TOTAL NORWAY 1,390,587 ---------- SINGAPORE -- (0.9%) First Resources, Ltd. 9,000 18,483 Great Eastern Holdings, Ltd. 1,000 15,173 Jardine Cycle & Carriage, Ltd. 4,000 149,984 Keppel Corp., Ltd. 12,000 100,968 M1, Ltd. 7,000 18,808 SembCorp Industries, Ltd. 23,000 98,742 # SembCorp Marine, Ltd. 16,000 52,036 Singapore Exchange, Ltd. 24,000 132,727 Singapore Post, Ltd. 22,000 24,855 # Singapore Press Holdings, Ltd. 4,000 13,376 Singapore Technologies Engineering, Ltd. 44,000 134,391 Singapore Telecommunications, Ltd. 64,000 196,039 StarHub, Ltd. 11,000 36,490 ---------- TOTAL SINGAPORE 992,072 ---------- SPAIN -- (3.1%) Abertis Infraestructuras SA 13,539 304,767 ACS Actividades de Construccion y Servicios SA 3,244 139,237 Amadeus IT Holding SA Class A 7,645 317,959 Distribuidora Internacional de Alimentacion SA 16,675 149,166 Enagas SA 3,838 118,244 Ferrovial SA 8,085 179,716 Gas Natural SDG SA 12,317 353,190 Grifols SA 2,997 160,212 Inditex SA 1,380 207,341 Mapfre SA 13,637 57,514 Red Electrica Corp. SA 2,174 178,955 # Telefonica SA 61,731 1,035,977 INTERNATIONAL LARGE CAP GROWTH PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- SPAIN -- (Continued) Zardoya Otis SA 3,260 $ 57,192 ---------- TOTAL SPAIN 3,259,470 ---------- SWEDEN -- (2.4%) # Alfa Laval AB 2,707 72,124 # Atlas Copco AB Class A 5,568 161,933 # Atlas Copco AB Class B 3,236 88,263 Electrolux AB Series B 10,573 293,884 # Elekta AB Class B 4,305 60,079 Getinge AB Class B 2,302 67,469 Hennes & Mauritz AB Class B 12,744 521,649 * Lundin Petroleum AB 6,457 138,607 # Millicom International Cellular SA 1,847 183,065 NCC AB Class B 881 30,866 Sandvik AB 32,543 462,499 Scania AB Class B 3,426 104,378 Securitas AB Class B 9,088 109,861 Volvo AB Class A 2,396 38,576 Volvo AB Class B 13,723 217,292 ---------- TOTAL SWEDEN 2,550,545 ---------- SWITZERLAND -- (7.9%) ABB, Ltd. 18,435 443,843 Actelion, Ltd. 2,250 221,520 DKSH Holding AG 266 21,952 * Dufry AG 558 92,347 # Galenica AG 174 177,181 Geberit AG 832 277,880 Kuehne + Nagel International AG 1,140 155,884 Nestle SA 28,949 2,237,302 Partners Group Holding AG 382 104,598 Roche Holding AG(7108918) 438 127,860 Roche Holding AG(7110388) 9,483 2,781,801 Schindler Holding AG 468 71,436 SGS SA 120 299,772 Sika AG 58 234,679 Swatch Group AG (The) 361 232,137 Swisscom AG 445 270,729 Syngenta AG 1,536 608,243 ---------- TOTAL SWITZERLAND 8,359,164 ---------- UNITED KINGDOM -- (17.4%) Aberdeen Asset Management P.L.C. 21,891 161,915 Admiral Group P.L.C. 4,804 113,449 Aggreko P.L.C. 9,026 240,898 Ashtead Group P.L.C. 12,759 189,040 AstraZeneca P.L.C. Sponsored ADR 18,110 1,431,595 BAE Systems P.L.C. 152,677 1,032,932 British American Tobacco P.L.C. Sponsored ADR 13,632 1,567,953 British Sky Broadcasting Group P.L.C. 34,357 511,327 BT Group P.L.C. Sponsored ADR 1,771 110,989 INTERNATIONAL LARGE CAP GROWTH PORTFOLIO CONTINUED SHARES VALUE++ --------- ----------- UNITED KINGDOM -- (Continued) Bunzl P.L.C. 2,373 $ 67,611 Burberry Group P.L.C. 8,506 213,622 Capita P.L.C. 15,070 276,345 Centrica P.L.C. 231,751 1,292,484 Compass Group P.L.C. 34,314 546,586 Croda International P.L.C. 2,435 106,055 Daily Mail & General Trust P.L.C. 1,645 22,675 Diageo P.L.C. Sponsored ADR 4,164 511,256 Experian P.L.C. 25,196 484,443 G4S P.L.C. 52,059 207,844 GKN P.L.C. 30,063 195,439 GlaxoSmithKline P.L.C. Sponsored ADR 34,738 1,923,443 Hargreaves Lansdown P.L.C. 7,162 141,777 IMI P.L.C. 5,204 131,977 Imperial Tobacco Group P.L.C. 18,459 797,694 Informa P.L.C. 2,667 21,780 Inmarsat P.L.C. 3,568 43,902 InterContinental Hotels Group P.L.C. 5,914 202,120 * International Consolidated Airlines Group SA 31,220 213,514 Intertek Group P.L.C. 3,094 152,408 ITV P.L.C. 87,258 268,414 Johnson Matthey P.L.C. 3,927 217,241 London Stock Exchange Group P.L.C. 3,379 103,554 Marks & Spencer Group P.L.C. 31,252 233,650 Mondi P.L.C. 6,585 109,468 Next P.L.C. 4,864 536,605 Petrofac, Ltd. 8,704 213,617 Reckitt Benckiser Group P.L.C. 4,153 335,255 Reed Elsevier P.L.C. 38,986 574,951 Rio Tinto P.L.C. 7,240 393,622 Rio Tinto P.L.C. Sponsored ADR 4,165 226,118 Rolls-Royce Holdings P.L.C. 36,050 640,337 Sage Group P.L.C. (The) 27,262 196,654 Shire P.L.C. 5,267 301,230 Smiths Group P.L.C. 12,377 279,394 St James's Place P.L.C. 6,209 80,920 Tate & Lyle P.L.C. 10,279 121,854 TUI Travel P.L.C. 15,005 108,535 Unilever P.L.C. Sponsored ADR 12,307 550,615 William Hill P.L.C. 6,186 37,100 ----------- TOTAL UNITED KINGDOM 18,442,207 ----------- TOTAL COMMON STOCKS 94,550,476 ----------- PREFERRED STOCKS -- (0.0%) UNITED KINGDOM -- (0.0%) Rolls-Royce Holdings P.L.C. 4,830,700 8,156 ----------- INTERNATIONAL LARGE CAP GROWTH PORTFOLIO CONTINUED SHARES/ FACE AMOUNT (000) VALUE+ --------- ------------ SECURITIES LENDING COLLATERAL --(11.0%) (S)@ DFA Short Term Investment Fund 1,007,831 $ 11,660,601 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $100,196,177) $106,219,233 ============ INTERNATIONAL LARGE CAP GROWTH PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, based on their valuation inputs, is as follows (See Security Valuation Note): INVESTMENTS IN SECURITIES (MARKET VALUE) -------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL ----------- ----------- ------- ------------ Common Stocks Australia $ 1,424,908 $ 5,712,945 -- $ 7,137,853 Austria -- 170,678 -- 170,678 Canada 9,035,685 -- -- 9,035,685 Finland 79,493 565,263 -- 644,756 France -- 9,280,690 -- 9,280,690 Germany 604,347 7,577,667 -- 8,182,014 Hong Kong -- 2,212,823 -- 2,212,823 Israel -- 382,410 -- 382,410 Italy 155,436 2,344,466 -- 2,499,902 Japan 765,662 16,765,411 -- 17,531,073 Netherlands -- 2,478,547 -- 2,478,547 Norway 133,766 1,256,821 -- 1,390,587 Singapore -- 992,072 -- 992,072 Spain -- 3,259,470 -- 3,259,470 Sweden -- 2,550,545 -- 2,550,545 Switzerland -- 8,359,164 -- 8,359,164 United Kingdom 6,321,969 12,120,238 -- 18,442,207 Preferred Stocks United Kingdom -- 8,156 -- 8,156 Securities Lending Collateral -- 11,660,601 -- 11,660,601 ----------- ----------- -- ------------ TOTAL $18,521,266 $87,697,967 -- $106,219,233 =========== =========== == ============ INTERNATIONAL SMALL CAP GROWTH PORTFOLIO SCHEDULE OF INVESTMENTS APRIL 30, 2014 (UNAUDITED) SHARES VALUE++ ------ -------- COMMON STOCKS -- (86.8%) AUSTRALIA -- (5.3%) Acrux, Ltd. 11,401 $ 11,013 Adelaide Brighton, Ltd. 33,313 121,426 Ainsworth Game Technology, Ltd. 6,491 25,108 # Amcom Telecommunications, Ltd. 6,962 13,621 ARB Corp., Ltd. 4,230 48,041 Aristocrat Leisure, Ltd. 37,034 173,748 * Aurora Oil & Gas, Ltd. 27,304 103,745 # Austin Engineering, Ltd. 2,240 4,294 Automotive Holdings Group, Ltd. 10,302 38,405 BC Iron, Ltd. 6,971 28,401 Bega Cheese, Ltd. 10,311 49,402 Blackmores, Ltd. 455 11,366 Breville Group, Ltd. 5,038 43,022 # Cardno, Ltd. 6,981 45,465 carsales.com, Ltd. 15,304 154,987 # Cash Converters International, Ltd. 8,625 8,754 Cedar Woods Properties, Ltd. 2,176 14,656 # David Jones, Ltd. 55,013 201,532 Decmil Group, Ltd. 4,061 7,696 # Domino's Pizza Enterprises, Ltd. 5,867 108,222 #* Drillsearch Energy, Ltd. 15,703 23,514 DuluxGroup, Ltd. 36,820 196,663 # Fleetwood Corp., Ltd. 1,564 3,364 GUD Holdings, Ltd. 2,900 14,443 GWA Group, Ltd. 24,576 61,662 Hills, Ltd. 3,596 5,659 iiNET, Ltd. 10,405 69,464 Invocare, Ltd. 7,791 77,240 IOOF Holdings, Ltd. 16,929 133,850 Iress, Ltd. 10,145 78,271 # JB Hi-Fi, Ltd. 10,084 181,209 # M2 Group, Ltd. 10,498 55,161 MACA, Ltd. 7,407 14,801 Magellan Financial Group, Ltd. 9,611 112,318 * Mayne Pharma Group, Ltd. 25,061 19,857 # McMillan Shakespeare, Ltd. 2,990 27,083 Mineral Resources, Ltd. 11,405 123,831 # Monadelphous Group, Ltd. 6,459 105,309 Mortgage Choice, Ltd. 3,804 9,391 # Myer Holdings, Ltd. 50,776 105,190 Navitas, Ltd. 16,160 110,816 NIB Holdings, Ltd. 30,997 79,353 Northern Star Resources, Ltd. 39,666 43,390 Perpetual, Ltd. 4,797 209,996 RCR Tomlinson, Ltd. 5,152 13,120 # Reckon, Ltd. 656 1,201 # Regis Resources, Ltd. 25,978 58,913 # Reject Shop, Ltd. (The) 1,182 11,010 # SAI Global, Ltd. 18,141 72,080 * Sandfire Resources NL 7,522 39,959 Sirtex Medical, Ltd. 3,345 49,096 INTERNATIONAL SMALL CAP GROWTH PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- AUSTRALIA -- (Continued) Slater & Gordon, Ltd. 6,882 $ 30,195 # SMS Management & Technology, Ltd. 2,109 7,367 # Super Retail Group, Ltd. 11,938 112,997 Tabcorp Holdings, Ltd. 6,462 22,395 Tassal Group, Ltd. 5,221 20,146 Technology One, Ltd. 14,360 33,711 * Tiger Resources, Ltd. 55,946 18,607 Tox Free Solutions, Ltd. 8,865 28,548 #* Troy Resources, Ltd. 2,572 2,347 Village Roadshow, Ltd. 4,694 30,818 Vocus Communications, Ltd. 3,323 13,932 Webjet, Ltd. 2,304 5,891 # Western Areas, Ltd. 18,306 70,662 # Wotif.com Holdings, Ltd. 5,744 14,294 ---------- TOTAL AUSTRALIA 3,732,028 ---------- AUSTRIA -- (0.8%) DO & CO AG 8 468 # Oesterreichische Post AG 3,575 182,709 RHI AG 1,810 63,357 Rosenbauer International AG 176 16,602 # Schoeller-Bleckmann Oilfield Equipment AG 507 64,449 Semperit AG Holding 681 38,020 Telekom Austria AG 22,751 225,783 ---------- TOTAL AUSTRIA 591,388 ---------- BELGIUM -- (0.8%) * AGFA-Gevaert NV 9,286 35,578 Arseus NV 2,018 114,308 Econocom Group 3,958 42,447 EVS Broadcast Equipment SA 1,049 66,426 Exmar NV 1,163 19,411 Kinepolis Group NV 212 41,504 Lotus Bakeries 12 13,329 Melexis NV 1,867 75,076 Mobistar SA 2,253 43,967 Sipef SA 163 14,238 Tessenderlo Chemie NV 1,534 46,978 Van de Velde NV 362 19,268 ---------- TOTAL BELGIUM 532,530 ---------- CANADA -- (8.3%) # AG Growth International, Inc. 1,100 43,536 * Ainsworth Lumber Co., Ltd. 3,243 11,125 Altus Group, Ltd. 2,400 42,589 AutoCanada, Inc. 1,400 89,412 * Avigilon Corp. 2,920 68,761 Badger Daylighting, Ltd. 3,000 104,557 * Bankers Petroleum, Ltd. 19,700 107,303 * Bauer Performance Sports, Ltd. 884 12,243 # Bird Construction, Inc. 2,100 27,015 INTERNATIONAL SMALL CAP GROWTH PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- CANADA -- (Continued) Black Diamond Group, Ltd. 3,537 $111,204 # BMTC Group, Inc. Class A 100 1,437 # Bonterra Energy Corp. 1,800 93,888 # Canadian Energy Services & Technology Corp. 3,880 114,412 CanElson Drilling, Inc. 2,616 19,619 # Canexus Corp. 5,800 25,506 Canfor Pulp Products, Inc. 1,800 20,003 CCL Industries, Inc. Class B 1,100 100,019 # Cineplex, Inc. 7,209 271,706 Cogeco Cable, Inc. 442 24,196 Computer Modelling Group, Ltd. 2,400 65,428 Contrans Group, Inc. Class A 1,000 13,120 #* Copper Mountain Mining Corp. 3,000 6,377 # Corus Entertainment, Inc. Class B 4,100 92,096 Davis + Henderson Corp. 8,043 232,913 * DeeThree Exploration, Ltd. 6,300 67,480 # DirectCash Payments, Inc. 200 2,693 # Enghouse Systems, Ltd. 907 25,860 # Extendicare, Inc. 7,771 47,787 FirstService Corp. 2,991 147,633 Gluskin Sheff + Associates, Inc. 1,818 54,637 * Great Canadian Gaming Corp. 3,200 44,232 High Liner Foods, Inc. 300 12,125 Horizon North Logistics, Inc. 7,940 57,881 * Imax Corp. 5,400 138,393 * Imperial Metals Corp. 4,438 56,485 # Innergex Renewable Energy, Inc. 7,400 71,566 * International Forest Products, Ltd. Class A 6,000 90,981 Intertape Polymer Group, Inc. 2,900 34,026 * Knight Therapeutics, Inc. 200 1,060 Leon's Furniture, Ltd. 932 12,806 Linamar Corp. 3,827 191,586 * Lucara Diamond Corp. 15,900 27,708 MacDonald Dettwiler & Associates, Ltd. 1,000 77,551 Manitoba Telecom Services, Inc. 1,515 41,868 Maple Leaf Foods, Inc. 9,289 153,482 Martinrea International, Inc. 7,385 74,386 # Medical Facilities Corp. 1,647 28,626 MTY Food Group, Inc. 400 11,058 # Mullen Group, Ltd. 9,054 245,504 Norbord, Inc. 2,330 57,078 North West Co., Inc. (The) 3,594 79,484 # Northland Power, Inc. 8,100 126,594 # Parkland Fuel Corp. 6,500 120,387 # Pason Systems, Inc. 6,129 170,217 PHX Energy Services Corp. 900 12,407 Premium Brands Holdings Corp. 600 11,578 Richelieu Hardware, Ltd. 1,600 71,661 # Ritchie Bros Auctioneers, Inc. 8,500 212,413 * RMP Energy, Inc. 10,200 77,706 # Rogers Sugar, Inc. 5,200 23,247 # Russel Metals, Inc. 3,100 91,214 INTERNATIONAL SMALL CAP GROWTH PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- CANADA -- (Continued) * Sandvine Corp. 6,700 $ 23,840 ShawCor, Ltd. 3,617 161,108 Stantec, Inc. 2,700 160,022 Stella-Jones, Inc. 2,800 76,537 # Student Transportation, Inc. 3,500 21,619 # Superior Plus Corp. 11,638 140,265 Toromont Industries, Ltd. 6,299 155,801 Total Energy Services, Inc. 1,161 22,880 TransForce, Inc. 7,000 152,831 * TransGlobe Energy Corp. 2,300 17,921 # Twin Butte Energy, Ltd. 9,719 20,927 # Vicwest, Inc. 400 3,482 # Wajax Corp. 1,200 38,812 Western Forest Products, Inc. 8,478 16,940 Westshore Terminals Investment Corp. 3,534 114,850 # Whitecap Resources, Inc. 17,351 228,909 Winpak, Ltd. 1,600 40,319 ---------- TOTAL CANADA 5,866,928 ---------- DENMARK -- (1.9%) # Ambu A.S. Class B 459 30,692 * Auriga Industries A.S. Class B 740 27,406 # FLSmidth & Co. A.S. 4,893 261,959 GN Store Nord A.S. 13,128 317,155 IC Companys A.S. 105 3,135 Rockwool International A.S. Class A 58 11,225 Rockwool International A.S. Class B 505 97,411 * Royal UNIBREW 927 144,298 SimCorp A.S. 3,906 149,966 * Topdanmark A.S. 10,580 309,568 ---------- TOTAL DENMARK 1,352,815 ---------- FINLAND -- (2.6%) Alma Media Oyj 294 1,077 Elisa Oyj 13,157 393,200 Huhtamaki Oyj 7,480 196,680 Lassila & Tikanoja Oyj 2,121 41,300 # Metso Oyj 5,759 231,798 Olvi Oyj Class A 1,139 38,409 Orion Oyj Class A 2,936 90,038 Orion Oyj Class B 9,907 302,388 # Outotec Oyj 15,384 172,415 PKC Group Oyj 982 32,575 Ramirent Oyj 4,342 48,670 Tieto Oyj 1,031 28,214 Tikkurila Oyj 2,557 63,460 Uponor Oyj 4,075 80,722 Vacon P.L.C. 1,992 82,649 ---------- TOTAL FINLAND 1,803,595 ---------- INTERNATIONAL SMALL CAP GROWTH PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- FRANCE -- (4.0%) Albioma 566 $ 15,805 Alten SA 2,218 113,321 Assystem 239 7,704 BioMerieux 1,292 141,132 Boiron SA 464 39,140 * Bull 6,256 33,201 Burelle SA 13 13,996 Etablissements Maurel et Prom 8,085 144,255 Eurofins Scientific SE 811 225,212 * Faurecia 4,784 215,340 * GameLoft SE 4,857 48,263 # Ingenico 4,005 349,482 Interparfums SA 709 32,417 Ipsen SA 2,537 112,643 LISI 253 41,034 Metropole Television SA 5,668 121,475 Montupet 256 21,190 Neopost SA 3,527 289,613 Norbert Dentressangle SA 145 24,858 Plastic Omnium SA 5,020 170,807 Schneider Electric SA 811 76,187 SEB SA 2,236 206,251 Societe d'Edition de Canal + 3,505 30,844 Sopra Group SA 382 43,975 Stallergenes SA 98 7,755 Stef SA 43 3,401 Synergie SA 1,429 41,362 * Technicolor SA 26,619 199,021 Thermador Groupe 49 5,410 Virbac SA 344 82,473 ---------- TOTAL FRANCE 2,857,567 ---------- GERMANY -- (5.0%) Amadeus Fire AG 314 27,315 Bechtle AG 286 25,450 Bertrandt AG 327 49,536 Bijou Brigitte AG 184 17,914 # CANCOM SE 1,290 56,881 CAT Oil AG 792 16,617 Cewe Stiftung & Co. KGAA 239 18,831 CompuGroup Medical AG 1,703 45,424 CTS Eventim AG 1,991 126,823 # Delticom AG 277 13,190 * Dialog Semiconductor P.L.C. 6,115 154,907 # Duerr AG 2,323 183,809 ElringKlinger AG 2,770 111,833 Fielmann AG 1,048 141,780 Freenet AG 7,869 272,528 # Gerresheimer AG 3,203 217,441 # Gerry Weber International AG 2,521 133,148 GFK SE 66 3,406 Hamburger Hafen und Logistik AG 1,964 47,630 INTERNATIONAL SMALL CAP GROWTH PORTFOLIO CONTINUED SHARES VALUE++ ------- ---------- GERMANY -- (Continued) Krones AG 272 $ 26,040 # KUKA AG 2,743 140,630 KWS Saat AG 212 75,772 LPKF Laser & Electronics AG 1,773 39,877 MTU Aero Engines AG 4,854 457,667 Nemetschek AG 227 19,762 Norma Group SE 2,854 149,779 Pfeiffer Vacuum Technology AG 784 93,257 QSC AG 7,481 38,497 # Rational AG 335 106,997 SAF-Holland SA 2,742 41,026 # Schaltbau Holding AG 103 7,322 Software AG 5,610 211,307 Stada Arzneimittel AG 4,810 209,743 # Takkt AG 879 17,830 #* Tom Tailor Holding AG 145 2,820 Wincor Nixdorf AG 2,973 194,756 ---------- TOTAL GERMANY 3,497,545 ---------- HONG KONG -- (2.8%) APT Satellite Holdings, Ltd. 20,000 25,105 Asia Satellite Telecommunications Holdings, Ltd. 500 1,997 Bonjour Holdings, Ltd. 70,000 12,039 Cafe de Coral Holdings, Ltd. 36,000 113,442 Chow Sang Sang Holdings International, Ltd. 23,000 56,617 Emperor Entertainment Hotel, Ltd. 45,000 19,608 Giordano International, Ltd. 86,000 57,730 Hutchison Telecommunications Hong Kong Holdings, Ltd. 84,000 27,530 IT, Ltd. 16,000 4,340 Johnson Electric Holdings, Ltd. 107,500 102,962 # L'Occitane International SA 38,500 94,753 Lifestyle International Holdings, Ltd. 42,500 83,082 Luk Fook Holdings International, Ltd. 26,000 73,826 Man Wah Holdings, Ltd. 27,200 44,671 NagaCorp, Ltd. 118,000 107,675 Pacific Textiles Holdings, Ltd. 44,000 55,870 * Paradise Entertainment, Ltd. 36,000 26,870 PCCW, Ltd. 345,000 183,952 # SA SA International Holdings, Ltd. 76,000 63,760 # SmarTone Telecommunications Holdings, Ltd. 18,000 18,577 Stella International Holdings, Ltd. 43,500 107,239 Television Broadcasts, Ltd. 28,300 176,978 Texwinca Holdings, Ltd. 14,000 15,097 Value Partners Group, Ltd. 59,000 38,043 Varitronix International, Ltd. 17,000 18,851 Vitasoy International Holdings, Ltd. 72,000 98,431 VTech Holdings, Ltd. 15,600 216,059 Xinyi Glass Holdings, Ltd. 164,000 129,400 * Xinyi Solar Holdings, Ltd. 122,000 33,087 ---------- TOTAL HONG KONG 2,007,591 ---------- INTERNATIONAL SMALL CAP GROWTH PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- IRELAND -- (0.5%) Irish Continental Group P.L.C. 798 $ 32,015 Paddy Power P.L.C. 4,425 341,419 ---------- TOTAL IRELAND 373,434 ---------- ISRAEL -- (0.6%) Cellcom Israel, Ltd. 3,470 43,993 Delek Automotive Systems, Ltd. 1,434 14,511 Elbit Systems, Ltd. 312 18,417 Frutarom Industries, Ltd. 3,959 95,070 Ituran Location and Control, Ltd. 960 23,159 * Kamada, Ltd. 1,521 22,093 * Naphtha Israel Petroleum Corp., Ltd. 1,629 12,207 Osem Investments, Ltd. 718 17,051 * Partner Communications Co., Ltd. 6,476 57,989 Paz Oil Co., Ltd. 149 23,281 Rami Levi Chain Stores Hashikma Marketing 2006, Ltd. 276 14,294 Shikun & Binui, Ltd. 13,092 34,102 Shufersal, Ltd. 3,032 11,331 Strauss Group, Ltd. 1,581 28,614 ---------- TOTAL ISRAEL 416,112 ---------- ITALY -- (2.4%) Amplifon SpA 5,596 36,544 Ansaldo STS SpA 9,597 106,689 Astaldi SpA 2,818 30,538 * Autogrill SpA 9,819 94,255 Banca Generali SpA 5,741 180,711 # Banca IFIS SpA 623 13,452 Brembo SpA 1,939 71,664 Brunello Cucinelli SpA 1,668 48,003 De'Longhi SpA 2,529 54,968 # DiaSorin SpA 1,713 70,681 Indesit Co. SpA 1,371 19,579 Industria Macchine Automatiche SpA 649 31,915 * Maire Tecnimont SpA 7,684 28,028 MARR SpA 2,776 53,765 * Mediaset SpA 40,963 226,696 # Piaggio & C SpA 7,170 29,666 Prysmian SpA 1,673 43,573 #* RCS MediaGroup SpA 722 1,660 # Recordati SpA 8,158 142,807 Reply SpA 270 24,398 * Sogefi SpA 2,339 14,866 # Tod's SpA 627 87,863 Trevi Finanziaria Industriale SpA 1,208 13,932 * World Duty Free SpA 7,856 105,541 * Yoox SpA 4,042 145,147 Zignago Vetro SpA 1,559 12,836 ---------- TOTAL ITALY 1,689,777 ---------- INTERNATIONAL SMALL CAP GROWTH PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- JAPAN -- (17.1%) # Accordia Golf Co., Ltd. 9,600 $123,151 Adastria Holdings Co., Ltd. 1,500 32,643 Aeon Delight Co., Ltd. 800 17,647 Ai Holdings Corp. 2,800 44,669 # Aica Kogyo Co., Ltd. 4,300 89,923 Ain Pharmaciez, Inc. 900 39,577 # Akebono Brake Industry Co., Ltd. 3,100 15,769 Alps Electric Co., Ltd. 14,000 158,304 Anritsu Corp. 13,800 154,541 AOKI Holdings, Inc. 1,800 24,525 Arcs Co., Ltd. 1,200 24,074 As One Corp. 1,000 26,272 Asahi Holdings, Inc. 1,100 17,371 # Asahi Intecc Co., Ltd. 1,800 65,879 # ASKUL Corp. 1,700 42,422 # Atom Corp. 2,000 10,181 Avex Group Holdings, Inc. 2,500 46,305 # Bic Camera, Inc. 2,600 18,964 BML, Inc. 800 30,562 C Uyemura & Co., Ltd. 300 13,880 Canon Electronics, Inc. 1,500 25,353 # Capcom Co., Ltd. 3,900 67,927 # Chiyoda Co., Ltd. 1,100 26,117 CKD Corp. 5,100 46,459 Colowide Co., Ltd. 3,500 35,117 # COOKPAD, Inc. 500 10,018 CREATE SD HOLDINGS Co., Ltd. 600 19,807 Daido Metal Co., Ltd. 2,000 21,253 Daifuku Co., Ltd. 9,500 109,531 Daihen Corp. 7,000 26,529 Daiichikosho Co., Ltd. 3,700 106,618 Daikyo, Inc. 25,000 48,742 # Daio Paper Corp. 9,000 94,420 Daiseki Co., Ltd. 2,200 35,051 # Dr Ci:Labo Co., Ltd. 500 16,004 DTS Corp. 800 13,266 # Dwango Co., Ltd. 1,200 33,476 Eagle Industry Co., Ltd. 3,000 47,483 # Earth Chemical Co., Ltd. 700 25,042 Eiken Chemical Co., Ltd. 800 12,969 en-japan, Inc. 900 15,864 # Enplas Corp. 700 40,221 EPS Corp. 800 7,643 # F@N Communications, Inc. 2,400 40,378 FCC Co., Ltd. 1,800 30,768 Fields Corp. 300 4,032 # FP Corp. 1,800 55,982 France Bed Holdings Co., Ltd. 11,000 19,822 # Fudo Tetra Corp. 11,800 26,352 # Fuji Kyuko Co., Ltd. 5,000 50,047 Fuji Oil Co., Ltd. 5,000 67,554 Fuji Seal International, Inc. 2,200 71,579 INTERNATIONAL SMALL CAP GROWTH PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- JAPAN -- (Continued) Fuji Soft, Inc. 700 $ 14,643 Fujimori Kogyo Co., Ltd. 500 14,037 Fujitec Co., Ltd. 6,000 69,182 Fujitsu General, Ltd. 4,000 46,160 Geo Holdings Corp. 1,300 11,911 GMO internet, Inc. 4,900 43,290 # GMO Payment Gateway, Inc. 700 21,942 # Gree, Inc. 4,500 44,004 Gulliver International Co., Ltd. 2,600 21,279 Gurunavi, Inc. 2,200 28,675 Haseko Corp. 6,800 43,063 Hazama Ando Corp. 17,000 75,028 # Heiwa Corp. 2,800 46,592 Hitachi Kokusai Electric, Inc. 5,000 57,158 Hogy Medical Co., Ltd. 1,000 51,576 Hokuto Corp. 900 18,080 # Ichibanya Co., Ltd. 600 24,274 Ichiyoshi Securities Co., Ltd. 2,100 25,048 Iida Group Holdings Co., Ltd. 2,034 30,354 Iino Kaiun Kaisha, Ltd. 6,100 30,007 # Ikyu Corp. 1,400 15,209 # Infomart Corp. 800 12,673 # Internet Initiative Japan, Inc. 2,300 53,364 Iriso Electronics Co., Ltd. 600 30,200 # Iwatani Corp. 15,000 88,024 Japan Airport Terminal Co., Ltd. 2,900 66,915 Japan Aviation Electronics Industry, Ltd. 5,000 85,110 #* Japan Communications, Inc. 8,400 36,270 # Japan Drilling Co., Ltd. 400 15,686 # Japan Steel Works, Ltd. (The) 37,000 156,330 Jeol, Ltd. 4,000 14,855 # Jin Co., Ltd. 1,100 32,069 * Juki Corp. 11,000 22,624 K's Holdings Corp. 4,000 116,081 kabu.com Securities Co., Ltd. 4,100 18,191 # Kaken Pharmaceutical Co., Ltd. 8,000 137,858 Kameda Seika Co., Ltd. 800 22,747 Kanamoto Co., Ltd. 3,000 94,241 Kanematsu Corp. 36,000 55,400 #* Kappa Create Holdings Co., Ltd. 1,000 9,644 Kinugawa Rubber Industrial Co., Ltd. 2,000 8,349 Komeri Co., Ltd. 3,100 83,943 Kose Corp. 2,100 69,798 KYB Co., Ltd. 9,000 36,662 # Kyokuto Securities Co., Ltd. 800 12,548 KYORIN Holdings, Inc. 4,900 94,448 Kyoritsu Maintenance Co., Ltd. 700 23,908 Kyowa Exeo Corp. 8,000 103,486 * Leopalace21 Corp. 21,700 112,226 # Life Corp. 700 10,699 Lion Corp. 18,000 98,608 #* Livesense, Inc. 1,000 9,281 INTERNATIONAL SMALL CAP GROWTH PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- JAPAN -- (Continued) Maeda Road Construction Co., Ltd. 4,000 $ 62,022 Mandom Corp. 1,500 52,679 * Maruha Nichiro Corp. 3,000 47,538 Marusan Securities Co., Ltd. 4,300 30,094 Matsumotokiyoshi Holdings Co., Ltd. 2,400 70,823 Megmilk Snow Brand Co., Ltd. 900 11,942 Meidensha Corp. 14,000 57,958 Meitec Corp. 2,200 58,571 Message Co., Ltd. 1,200 38,512 # Micronics Japan Co., Ltd. 1,300 35,777 Milbon Co., Ltd. 480 15,835 Minebea Co., Ltd. 19,000 153,976 Misawa Homes Co., Ltd. 1,100 13,501 Mitsuba Corp. 2,000 29,361 Mitsubishi Pencil Co., Ltd. 1,500 44,580 Mitsubishi Shokuhin Co., Ltd. 400 8,957 Mitsui-Soko Co., Ltd. 5,000 19,838 Mochida Pharmaceutical Co., Ltd. 1,300 91,602 MonotaRO Co., Ltd. 2,100 42,373 Morinaga & Co., Ltd. 10,000 22,042 Morita Holdings Corp. 2,000 16,657 # Moshi Moshi Hotline, Inc. 1,900 19,234 Musashi Seimitsu Industry Co., Ltd. 900 19,860 # Nachi-Fujikoshi Corp. 14,000 86,586 Nagaileben Co., Ltd. 1,200 23,096 Nakanishi, Inc. 1,500 51,386 NEC Networks & System Integration Corp. 1,400 29,577 Next Co., Ltd. 2,100 18,254 Nichi-iko Pharmaceutical Co., Ltd. 4,900 76,003 Nichias Corp. 7,000 47,415 Nichiha Corp. 1,100 12,673 Nichii Gakkan Co. 1,800 15,877 Nichirei Corp. 18,000 87,407 Nichireki Co., Ltd. 3,000 29,337 Nifco, Inc. 4,900 136,862 Nihon Kohden Corp. 2,900 118,765 Nihon M&A Center, Inc. 2,700 63,124 Nihon Nohyaku Co., Ltd. 4,000 49,843 Nihon Parkerizing Co., Ltd. 4,600 100,262 Nihon Trim Co., Ltd. 400 13,895 Nihon Unisys, Ltd. 4,500 45,698 Nikkiso Co., Ltd. 4,000 44,833 # Nippon Carbide Industries Co., Inc. 3,000 6,239 Nippon Coke & Engineering Co., Ltd. 9,500 11,074 Nippon Gas Co., Ltd. 500 8,281 * Nippon Suisan Kaisha, Ltd. 17,900 41,191 Nippon Synthetic Chemical Industry Co., Ltd. (The) 2,000 13,326 # Nipro Corp. 10,000 86,572 Nishio Rent All Co., Ltd. 1,500 55,190 Nissan Shatai Co., Ltd. 3,000 45,704 # Nissha Printing Co., Ltd. 3,000 39,104 Nissin Kogyo Co., Ltd. 2,900 53,525 INTERNATIONAL SMALL CAP GROWTH PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- JAPAN -- (Continued) Nitto Boseki Co., Ltd. 14,000 $ 58,417 Nitto Kogyo Corp. 2,600 53,907 NOF Corp. 12,000 83,225 # Nomura Co., Ltd. 3,000 21,325 # NS United Kaiun Kaisha, Ltd. 8,000 17,977 Nuflare Technology, Inc. 300 18,663 Obara Group, Inc. 700 26,297 Ohsho Food Service Corp. 600 22,175 Okabe Co., Ltd. 2,000 27,500 Oki Electric Industry Co., Ltd. 75,000 146,818 Okinawa Cellular Telephone Co. 600 15,323 # OSAKA Titanium Technologies Co., Ltd. 600 12,323 OSG Corp. 5,700 91,875 Pal Co., Ltd. 900 17,175 Paramount Bed Holdings Co., Ltd. 1,400 42,254 Penta-Ocean Construction Co., Ltd. 27,000 88,308 Pigeon Corp. 3,400 152,222 Pilot Corp. 1,300 54,642 Plenus Co., Ltd. 1,800 41,079 Pressance Corp. 800 19,844 Prima Meat Packers, Ltd. 5,000 11,029 Raito Kogyo Co., Ltd. 5,300 45,638 Relo Holdings, Inc. 800 43,869 Resorttrust, Inc. 7,200 112,967 Ringer Hut Co., Ltd. 1,000 14,862 Rohto Pharmaceutical Co., Ltd. 7,000 123,491 Roland DG Corp. 900 30,420 Round One Corp. 5,300 38,069 Royal Holdings Co., Ltd. 1,400 20,420 # Saizeriya Co., Ltd. 1,200 13,749 Sakata INX Corp. 2,000 17,640 San-A Co., Ltd. 800 23,056 Sanden Corp. 12,000 57,319 * Sanix, Inc. 1,000 11,838 # Sanken Electric Co., Ltd. 9,000 62,698 Sankyu, Inc. 29,000 110,543 Sanwa Holdings Corp. 18,000 109,966 Sapporo Holdings, Ltd. 34,000 144,161 # Sato Holdings Corp. 900 19,534 Sawada Holdings Co., Ltd. 1,800 15,267 Seiko Holdings Corp. 9,000 32,887 # Senko Co., Ltd. 5,000 22,853 Seria Co., Ltd. 1,300 50,842 # Shibuya Kogyo Co., Ltd. 1,100 29,728 Shindengen Electric Manufacturing Co., Ltd. 6,000 24,513 # Shinko Plantech Co., Ltd. 700 5,270 # Ship Healthcare Holdings, Inc. 3,400 115,948 Shizuoka Gas Co., Ltd. 1,500 9,026 Showa Corp. 3,000 32,991 St Marc Holdings Co., Ltd. 400 18,958 Starbucks Coffee Japan, Ltd. 1,500 15,953 Start Today Co., Ltd. 1,300 27,243 INTERNATIONAL SMALL CAP GROWTH PORTFOLIO CONTINUED SHARES VALUE++ ------ -------- JAPAN -- (Continued) Starts Corp., Inc. 1,500 $ 18,970 Sumitomo Densetsu Co., Ltd. 1,400 17,264 #* Sumitomo Mitsui Construction Co., Ltd. 56,500 58,201 Sumitomo Osaka Cement Co., Ltd. 42,000 167,039 Sumitomo Real Estate Sales Co., Ltd. 1,400 41,992 Sumitomo Seika Chemicals Co., Ltd. 4,000 25,165 Sun Frontier Fudousan Co., Ltd. 1,900 19,026 T-Gaia Corp. 1,700 14,970 Tadano, Ltd. 11,000 155,538 Taiyo Holdings Co., Ltd. 1,500 45,337 # Taiyo Yuden Co., Ltd. 8,900 110,043 # Takeei Corp. 1,400 13,705 Takuma Co., Ltd. 5,000 40,452 Tamron Co., Ltd. 600 15,008 #* tella, Inc. 700 7,568 #* Toho Titanium Co., Ltd. 1,300 8,110 Tokai Corp/Gifu 400 10,169 TOKAI Holdings Corp. 2,800 9,707 # Token Corp. 640 28,410 Tokyo Dome Corp. 19,000 85,089 Tokyo Seimitsu Co., Ltd. 3,000 50,556 Tomy Co., Ltd. 2,400 11,389 # Topcon Corp. 4,800 83,710 Toshiba TEC Corp. 12,000 78,176 # Totetsu Kogyo Co., Ltd. 1,700 34,519 # Towa Pharmaceutical Co., Ltd. 700 29,908 Toyo Tire & Rubber Co., Ltd. 15,000 111,853 Toyobo Co., Ltd. 91,000 146,952 TPR Co., Ltd. 600 8,853 Trancom Co., Ltd. 600 21,098 Transcosmos, Inc. 1,700 31,693 TS Tech Co., Ltd. 1,800 48,006 Tsubakimoto Chain Co. 15,000 107,053 # Tsugami Corp. 2,000 11,363 Tsukui Corp. 900 10,106 # Tsumura & Co. 4,700 111,714 UACJ Corp. 20,000 79,112 * Ulvac, Inc. 4,300 81,494 United Arrows, Ltd. 1,300 50,281 * Unitika, Ltd. 21,000 11,913 * Usen Corp. 8,350 30,808 Valor Co., Ltd. 1,700 22,034 VT Holdings Co., Ltd. 3,300 18,919 # Wacom Co., Ltd. 11,600 75,863 # WATAMI Co., Ltd. 700 10,195 # Welcia Holdings Co., Ltd. 700 42,345 # West Holdings Corp. 1,300 17,500 Xebio Co., Ltd. 1,000 18,494 YAMABIKO Corp. 900 33,514 # Yaoko Co., Ltd. 300 13,599 Yellow Hat, Ltd. 700 13,420 Yomiuri Land Co., Ltd. 3,000 11,587 INTERNATIONAL SMALL CAP GROWTH PORTFOLIO CONTINUED SHARES VALUE++ ------ ----------- JAPAN -- (Continued) Yoshinoya Holdings Co., Ltd. 3,200 $ 40,525 Yuasa Trading Co., Ltd. 8,000 15,222 # Zenrin Co., Ltd. 800 8,160 # Zensho Holdings Co., Ltd. 11,100 112,212 ZERIA Pharmaceutical Co., Ltd. 2,200 46,124 ----------- TOTAL JAPAN 12,052,794 ----------- NETHERLANDS -- (1.7%) Aalberts Industries NV 9,733 324,223 * AMG Advanced Metallurgical Group NV 1,976 19,876 Amsterdam Commodities NV 393 9,768 Arcadis NV 6,575 233,689 Beter Bed Holding NV 659 15,574 Brunel International NV 579 39,222 Exact Holding NV 649 22,889 Kendrion NV 411 13,999 Koninklijke Wessanen NV 2,459 14,528 Nutreco NV 6,540 304,458 Sligro Food Group NV 2,057 86,093 TKH Group NV 2,698 94,028 ----------- TOTAL NETHERLANDS 1,178,347 ----------- NEW ZEALAND -- (0.8%) #* Diligent Board Member Services, Inc. 1,244 4,885 Ebos Group, Ltd. 3,037 24,619 Fisher & Paykel Healthcare Corp., Ltd. 58,343 205,654 Freightways, Ltd. 7,491 32,317 Mainfreight, Ltd. 7,422 85,774 NZX, Ltd. 13,154 14,208 SKYCITY Entertainment Group, Ltd. 58,358 213,099 # Warehouse Group, Ltd. (The) 3,001 8,778 ----------- TOTAL NEW ZEALAND 589,334 ----------- NORWAY -- (1.0%) * American Shipping ASA 1,641 12,358 Bakkafrost P/F 1,775 27,796 #* Electromagnetic GeoServices A.S. 790 946 # Hexagon Composites ASA 3,240 20,114 #* Norwegian Air Shuttle A.S. 2,486 98,972 Opera Software ASA 9,733 125,809 Prosafe SE 23,384 206,105 * Salmar ASA 2,816 40,763 # Tomra Systems ASA 12,983 120,805 # Veidekke ASA 5,334 57,226 ----------- TOTAL NORWAY 710,894 ----------- PORTUGAL -- (0.7%) Altri SGPS SA 4,416 15,007 Mota-Engil SGPS SA 4,405 33,721 Portugal Telecom SGPS SA 46,437 192,931 Sonae 99,826 187,798 INTERNATIONAL SMALL CAP GROWTH PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- PORTUGAL -- (Continued) ZON Optimus SGPS SA 6,131 $ 44,354 ---------- TOTAL PORTUGAL 473,811 ---------- SINGAPORE -- (1.0%) Boustead Singapore, Ltd. 13,000 19,664 # Cosco Corp. Singapore, Ltd. 81,000 46,648 CSE Global, Ltd. 16,000 7,598 Ezion Holdings, Ltd. 56,400 102,527 First Resources, Ltd. 17,000 34,913 Fragrance Group, Ltd. 47,000 9,380 Goodpack, Ltd. 31,000 59,386 M1, Ltd. 21,000 56,425 Nam Cheong Ltd 80,000 22,698 # OSIM International, Ltd. 18,000 41,704 Petra Foods, Ltd. 20,000 56,658 Raffles Medical Group, Ltd. 18,000 52,156 Singapore Post, Ltd. 74,000 83,603 Super Group, Ltd. 16,000 44,763 * Tiger Airways Holdings, Ltd. 45,000 15,804 United Envirotech, Ltd. 31,000 32,306 * Vard Holdings, Ltd. 34,000 26,268 ---------- TOTAL SINGAPORE 712,501 ---------- SPAIN -- (2.1%) Abengoa SA 786 3,501 Abengoa SA Class B 25,964 115,598 Bolsas y Mercados Espanoles SA 6,783 295,504 Cie Automotive SA 1,382 17,601 Duro Felguera SA 5,839 39,839 Elecnor SA 1,783 25,629 * Fomento de Construcciones y Contratas SA 4,447 98,096 * Jazztel P.L.C. 21,422 328,999 Prosegur Cia de Seguridad SA 13,996 93,717 Tecnicas Reunidas SA 2,867 172,690 Vidrala SA 1,146 60,658 Viscofan SA 4,050 211,047 * Zeltia SA 12,804 48,303 ---------- TOTAL SPAIN 1,511,182 ---------- SWEDEN -- (3.2%) AarhusKarlshamn AB 2,672 178,926 AddTech AB Class B 4,674 71,654 # Avanza Bank Holding AB 1,534 57,591 Axfood AB 1,354 72,151 # Axis Communications AB 3,595 107,197 Betsson AB 2,881 105,324 # Clas Ohlson AB Class B 1,233 27,348 # Concentric AB 2,564 36,277 Hexpol AB 2,438 230,997 # Indutrade AB 1,621 70,540 # Intrum Justitia AB 9,133 264,778 INTERNATIONAL SMALL CAP GROWTH PORTFOLIO CONTINUED SHARES VALUE++ ------ ---------- SWEDEN -- (Continued) # JM AB 7,570 $ 257,228 Lagercrantz AB Class B 1,041 20,968 # Modern Times Group AB Class B 5,994 267,435 * Net Entertainment AB 1,716 792 Net Entertainment AB B Shares 1,716 41,302 Nobia AB 9,280 84,473 # Oriflame Cosmetics SA 3,313 84,836 * Rezidor Hotel Group AB 3,721 23,060 Securitas AB Class B 5,417 65,484 Sweco AB Class B 2,398 37,416 Unibet Group P.L.C. 2,788 150,191 ---------- TOTAL SWEDEN 2,255,968 ---------- SWITZERLAND -- (4.5%) ams AG 817 123,181 APG SGA SA 124 42,626 Ascom Holding AG 2,153 40,053 Autoneum Holding AG 303 64,282 Belimo Holding AG 40 112,665 Bossard Holding AG Class A 296 40,773 Bucher Industries AG 552 179,800 Burckhardt Compression Holding AG 253 131,134 Burkhalter Holding AG 168 15,851 Daetwyler Holding AG 558 88,228 DKSH Holding AG 1,722 142,109 * Dufry AG 1,755 290,446 Emmi AG 40 14,677 Forbo Holding AG 70 72,457 # Galenica AG 269 273,917 Georg Fischer AG 360 285,590 Implenia AG 1,199 87,919 Inficon Holding AG 138 49,427 Interroll Holding AG 8 4,977 Kaba Holding AG Class B 255 122,836 Kardex AG 456 23,359 Kuoni Reisen Holding AG 316 139,550 LEM Holding SA 25 20,651 Logitech International SA 3,668 49,748 * Mobilezone Holding AG 1,731 19,702 Nobel Biocare Holding AG 11,460 159,857 OC Oerlikon Corp. AG 13,071 208,217 * Swisslog Holding AG 4,879 5,609 Tecan Group AG 797 99,678 Temenos Group AG 5,768 206,812 U-Blox AG 326 39,912 ---------- TOTAL SWITZERLAND 3,156,043 ---------- UNITED KINGDOM -- (19.7%) 4imprint Group P.L.C. 185 2,112 888 Holdings P.L.C. 6,410 15,923 AMEC P.L.C. 21,346 445,815 # Ashmore Group P.L.C. 32,745 194,501 INTERNATIONAL SMALL CAP GROWTH PORTFOLIO CONTINUED SHARES VALUE++ ------- -------- UNITED KINGDOM -- (Continued) Ashtead Group P.L.C. 25,048 $371,116 Aveva Group P.L.C. 5,427 193,500 Avon Rubber P.L.C. 285 3,018 AZ Electronic Materials SA 15,116 102,895 Berendsen P.L.C. 14,749 257,753 Betfair Group P.L.C. 4,471 73,025 British Polythene Industries P.L.C. 1,060 11,298 Britvic P.L.C. 22,232 272,287 Cable & Wireless Communications P.L.C. 160,113 142,985 * Carpetright P.L.C. 1,887 18,654 Cineworld Group P.L.C. 16,531 90,153 Cobham P.L.C. 69,733 363,787 Croda International P.L.C. 11,761 512,244 Daily Mail & General Trust P.L.C. 16,738 230,719 Dechra Pharmaceuticals P.L.C. 5,819 67,784 Devro P.L.C. 11,169 39,874 Dignity P.L.C. 4,001 96,739 Diploma P.L.C. 1,482 16,539 * Dixons Retail P.L.C. 309,482 235,385 Domino Printing Sciences P.L.C. 791 10,361 Domino's Pizza Group P.L.C. 11,238 97,646 Dunelm Group P.L.C. 5,826 92,243 Electrocomponents P.L.C. 40,692 200,588 Euromoney Institutional Investor P.L.C. 3,159 57,014 Fidessa Group P.L.C. 3,031 114,860 G4S P.L.C. 65,120 259,990 Go-Ahead Group P.L.C. 2,789 93,011 Greencore Group P.L.C. 35,900 158,561 Halfords Group P.L.C. 12,675 95,110 Halma P.L.C. 33,450 317,800 Hays P.L.C. 130,180 332,115 Hikma Pharmaceuticals P.L.C. 11,504 301,886 Hilton Food Group P.L.C. 327 2,947 Homeserve P.L.C. 3,544 20,217 Howden Joinery Group P.L.C. 55,243 304,140 ICAP P.L.C. 29,044 203,450 IG Group Holdings P.L.C. 31,203 335,544 Inmarsat P.L.C. 37,827 465,440 ITE Group P.L.C. 17,790 69,185 Jardine Lloyd Thompson Group P.L.C. 10,863 193,844 JD Sports Fashion P.L.C. 413 12,256 JD Wetherspoon P.L.C. 7,689 109,545 John Menzies P.L.C. 2,747 29,899 Kcom Group P.L.C. 34,629 55,087 Kentz Corp., Ltd. 6,823 83,136 Kier Group P.L.C. 4,128 116,024 Ladbrokes P.L.C. 79,725 206,740 LSL Property Services P.L.C. 592 4,008 Michael Page International P.L.C. 22,599 179,500 Micro Focus International P.L.C. 10,633 139,446 Mitie Group P.L.C. 29,705 160,010 Moneysupermarket.com Group P.L.C. 27,838 85,877 INTERNATIONAL SMALL CAP GROWTH PORTFOLIO CONTINUED SHARES VALUE++ ------- ----------- UNITED KINGDOM -- (Continued) Morgan Advanced Materials P.L.C. 25,149 $ 142,339 * Mothercare P.L.C. 3,164 9,996 NCC Group P.L.C. 5,700 18,191 Oxford Instruments P.L.C. 4,649 101,306 Pace P.L.C. 25,518 157,242 PayPoint P.L.C. 3,185 61,269 Photo-Me International P.L.C. 5,407 12,324 Premier Farnell P.L.C. 28,703 107,982 QinetiQ Group P.L.C. 56,857 202,566 Rank Group P.L.C. 810 2,203 Regus P.L.C. 11,333 40,075 Restaurant Group P.L.C. (The) 17,025 179,766 Ricardo P.L.C. 2,717 31,111 Rightmove P.L.C. 8,774 357,446 Rotork P.L.C. 8,038 352,517 RPC Group P.L.C. 13,960 141,481 Senior P.L.C. 35,955 173,769 Spirax-Sarco Engineering P.L.C. 6,459 316,631 * Sports Direct International P.L.C. 9,111 120,809 Stagecoach Group P.L.C. 27,492 172,398 Sthree P.L.C. 5,297 36,187 * SuperGroup P.L.C. 1,286 28,908 Synthomer P.L.C. 16,217 72,289 TalkTalk Telecom Group P.L.C. 48,625 235,650 Ted Baker P.L.C. 1,963 61,351 Telecity Group P.L.C. 18,065 219,100 Telecom Plus P.L.C. 5,193 135,947 * Thomas Cook Group P.L.C. 130,723 386,430 UBM P.L.C. 20,926 232,778 Ultra Electronics Holdings P.L.C. 6,239 178,899 Victrex P.L.C. 7,465 235,037 WH Smith P.L.C. 10,117 187,626 William Hill P.L.C. 50,527 302,760 WS Atkins P.L.C. 8,292 179,840 Xaar P.L.C. 4,908 65,384 XP Power, Ltd. 307 8,502 ----------- TOTAL UNITED KINGDOM 13,933,695 ----------- UNITED STATES -- (0.0%) * Endo International P.L.C. 327 20,499 ----------- TOTAL COMMON STOCKS 61,316,378 ----------- RIGHTS/WARRANTS -- (0.0%) PORTUGAL -- (0.0%) * Mota-Engil SGPS SA Rights 12/31/49 4,405 3,477 ----------- SWEDEN -- (0.0%) * Rezidor Hotel Group Rights 05/21/14 3,721 1,726 ----------- TOTAL RIGHTS/WARRANTS 5,203 ----------- INTERNATIONAL SMALL CAP GROWTH PORTFOLIO CONTINUED SHARES/ FACE AMOUNT (000) VALUE+ ------- ----------- SECURITIES LENDING COLLATERAL -- (13.2%) (S)@ DFA Short Term Investment Fund 804,377 $ 9,306,640 ----------- TOTAL INVESTMENTS -- (100.0%) (Cost $63,247,161) $70,628,221 =========== INTERNATIONAL SMALL CAP GROWTH PORTFOLIO CONTINUED Summary of the Portfolio's investments as of April 30, 2014, based on their valuation inputs, is as follows (See Security Valuation Note): INVESTMENTS IN SECURITIES (MARKET VALUE) ------------------------------------------ LEVEL 1 LEVEL 2 LEVEL 3 TOTAL ---------- ----------- ------- ----------- Common Stocks Australia -- $ 3,732,028 -- $ 3,732,028 Austria -- 591,388 -- 591,388 Belgium -- 532,530 -- 532,530 Canada $5,866,928 -- -- 5,866,928 Denmark -- 1,352,815 -- 1,352,815 Finland -- 1,803,595 -- 1,803,595 France -- 2,857,567 -- 2,857,567 Germany -- 3,497,545 -- 3,497,545 Hong Kong -- 2,007,591 -- 2,007,591 Ireland -- 373,434 -- 373,434 Israel -- 416,112 -- 416,112 Italy -- 1,689,777 -- 1,689,777 Japan 47,538 12,005,256 -- 12,052,794 Netherlands -- 1,178,347 -- 1,178,347 New Zealand -- 589,334 -- 589,334 Norway -- 710,894 -- 710,894 Portugal -- 473,811 -- 473,811 Singapore -- 712,501 -- 712,501 Spain 3,501 1,507,681 -- 1,511,182 Sweden 42,094 2,213,874 -- 2,255,968 Switzerland -- 3,156,043 -- 3,156,043 United Kingdom -- 13,933,695 -- 13,933,695 United States 20,499 -- -- 20,499 Rights/Warrants Portugal -- 3,477 -- 3,477 Sweden -- 1,726 -- 1,726 Securities Lending Collateral -- 9,306,640 -- 9,306,640 ---------- ----------- -- ----------- TOTAL $5,980,560 $64,647,661 -- $70,628,221 ========== =========== == =========== (b)Not applicable. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. This item is not applicable to the Registrant, which is an open-end management investment company. ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. This item is not applicable to the Registrant, which is an open-end management investment company. ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. This item is not applicable to the Registrant, which is an open-end management investment company. ITEM 10.SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. None. ITEM 11.CONTROLS AND PROCEDURES. (a)Based on their evaluation of the Registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this Form N-CSR (the "Report"), the Registrant's Principal Executive Officer and Principal Financial Officer believe that the disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) are effectively designed to ensure that information required to be disclosed by the Registrant in the Report is recorded, processed, summarized and reported by the filing date, including ensuring that information required to be disclosed in the Report is accumulated and communicated to the Registrant's officers that are making certifications in the Report, as appropriate, to allow timely decisions regarding required disclosure. The Registrant's management, including the Principal Executive Officer and the Principal Financial Officer, recognizes that any set of controls and procedures, no matter how well designed and operated, can provide only reasonable assurance of achieving the desired control objectives. (b)There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended) that occurred during the second fiscal quarter of the period covered by this Report that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting. ITEM 12.EXHIBITS. (a)(1) This item is not applicable. (a)(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 are filed herewith. (a)(3) This item is not applicable. (b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 are filed herewith. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this Report to be signed on its behalf by the undersigned, thereunto duly authorized. DFA Investment Dimensions Group Inc. By: /s/ David G. Booth --------------------------------- David G. Booth Chairman, Director, President and Co-Chief Executive Officer Date: July 1, 2014 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this Report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated. By: /s/ David G. Booth --------------------------- David G. Booth Principal Executive Officer DFA Investment Dimensions Group Inc. Date: July 1, 2014 By: /s/ David R. Martin --------------------------- David R. Martin Principal Financial Officer DFA Investment Dimensions Group Inc. Date: July 1, 2014