IFC Index Data Sources

The following descriptions, definitions and important information explain how IFC Indexes are constructed to simulate similar risk and return characteristics back to 1928. The data for both the IFC Indexes and the model data for IFC Index portfolios is hypothetical backtested performance data that represents a combination of index data and live mutual fund data. This long-term data reduces the possible errors of interpreting past short-term returns as being representative of future short-term returns. Such errors are especially high for periods of 20 years or less. When IFC Indexes are shown in Index Portfolios, all return data reflects a deduction of all mutual fund fees and a 0.90% annual investment advisory fee, which is the maximum advisory fee charged by IFC. Unless indicated otherwise, data shown for each individual IFC Index is shown without a deduction of the IFC advisory fee. This method is used because the creation, choice, monitoring and rebalancing of diversified index portfolios are the services of the independent investment advisor. Therefore, fees are deducted from the whole portfolio data but not the individual index data. Live Dimensional Fund Advisors’ (DFA) fund data reflects the deduction of mutual fund advisory fees, brokerage fees, other expenses incurred by the mutual funds, incorporates actual trading results, and is sourced from DFA. Hypothetical backtested index data also reflects mutual fund expense ratios for the entire period. Both hypothetical backtested and live data reflect total returns, including dividends, except for IFC/NSDQ Index. For updates on sources and descriptions of data see ifcindexes.com.

Click Here to see a summary of history of changes made to the IFC Indexes and Index Portfolios.

All live mutual fund portfolios tracked in IFC indexes are net of all mutual fund fees.
Indexes and hypothetical backtested data are also net of estimated mutual fund fees.
IFC Advisory fees are deducted when IFC indexes are presented in the IFC Index Portfolios.


IFC US Social Core Equity IndexIFC Global REIT IndexIFC International Social Core Equity IndexIFC Emerging Markets Social Core Index IFC Social Fixed Income Index

1.

SCE

IFC US Social Core Equity Index


Time-Series Construction
Jan 1928 - Sep 2005: Dimensional Adjusted Market 2 Index minus 0.0233%/mo (mutual fund exp ratio)
Oct 2005 - Oct 2007: DFA US Core Equity 2 Portfolio (DFQTX) minus 0.005%/mo (mutual fund exp ratio)
Nov 2007 - present: DFA US Social Core Equity 2 Portfolio (DFUEX)


Definitions and other important information:

Dimensional Adjusted Market 2 Index: January 1928 - December 1974: Dimensional US Adjusted Market 2 Index Composition: Targets all the securities in the Eligible Market with an emphasis on companies with smaller capitalization and lower relative price. The Eligible Market is composed of securities of US companies traded on the NYSE, NYSE MKT (formerly AMEX), and Nasdaq Global Market. Exclusions: Non-US companies, REITs, UITs, and Investment Companies Source: CRSP and Compustat.

January 1975 - Sep 2005: Dimensional US Adjusted Market 2 Index Composition: Targets all the securities in the Eligible Market with an emphasis on companies with smaller capitalization, lower relative price, and higher profitability. Profitability is defined as operating income before depreciation and amortization minus interest expense divided by book equity. The Eligible Market is composed of securities of US companies traded on the NYSE, NYSE MKT (formerly AMEX), and Nasdaq Global Market. Exclusions: Non-US companies, REITs, UITs, and Investment Companies Source: CRSP and Compustat.

The Dimensional US Adjusted Market 2 Index has been retrospectively calculated by Dimensional Fund Advisors and did not exist prior to March 1st, 2007. Accordingly, the results shown during the periods prior to March 1st, 2007 do not represent actual returns of the Index. Other periods selected may have different results, including losses. Backtested index performance is hypothetical and is provided for informational purposes only to indicate historical performance had the index been calculated over the relevant time periods. Backtested performance results assume the reinvestment of dividends and capital gains. The index monthly returns are computed as the simple average of the monthly returns of 12 sub-indices, each one reconstituted once a year at the end of each month of the year. The index is unmanaged however a mutual fund expense ratio has been deducted from the index returns. Investments cannot be made directly in an index. Past performance is no guarantee of future results.The calculation methodology for the Dimensional US Adjusted Market 2 Index was amended on January 1st, 2014 to include profitability as a factor in selecting securities for inclusion in the index.


DFA US Core Equity 2 Portfolio (DFQTX):  Factsheet | Prospectus Oct 2005 - Oct 2007: The U.S. Core Equity 2 Portfolio purchases a broad and diverse group of securities of U.S. companies with a greater emphasis on small capitalization, value and high profitability companies as compared to theirrepresentation in the U.S. Universe. Dimensional Fund Advisors LP (the “Advisor”) generally defines the U.S. Universe as a market capitalization weighted portfolio of U.S. operating companies listed on the New York StockExchange (“NYSE”), NYSE American LLC, Nasdaq Global Market®, Nasdaq Capital Market®, or such other securities exchanges deemed appropriate by the Advisor.


DFA US Social Core Equity 2 Portfolio (DFUEX): Factsheet | Prospectus Nov 2007 - present: The U.S. Social Core Equity 2 Portfolio purchases a broad and diverse group of securities of U.S. companies with greater emphasis on small capitalization, value, and high profitability companies as compared to their representation in the U.S. Universe, while excluding companies based on the Portfolio’s social issue screens. Dimensional Fund Advisors LP (the “Advisor”) generally defines the U.S. Universe as a market capitalization weighted portfolio of U.S. operating companies listed on the New York Stock Exchange (“NYSE”), NYSE American LLC, Nasdaq Global Market®, Nasdaq Capital Market®, or such other securities exchanges deemed appropriate by the Advisor.


2.

RE

IFC Global REIT Index


Time-Series Construction
Jan 1928 - Dec 1977: 50% Dimensional Small Cap Index minus 0.0308%/mo (mutual fund exp ratio) + 50% Dimensional Targeted Value Index minus 0.0308%/mo (mutual fund exp ratio)
Jan 1978 - Jan 1993: Dow Jones US Select REIT Index minus 0.020%/mo (mutual fund exp ratio)
Feb 1993 - Jun 2008: DFA Real Estate Fund (DFREX)
Jul 2008 - Present: DFA Global Real Estate Fund (DFGEX)


Definitions and other important information:

Dimensional Small Cap Index: Jan 1928 - December 1974: Dimensional US Small Cap Index Composition: Market-capitalization-weighted index of securities of the smallest US companies whose market capitalization falls in the lowest 8% of the total market capitalization of the Eligible Market. The Eligible Market is composed of securities of US companies traded on the NYSE, NYSE MKT (formerly AMEX), and Nasdaq Global Market. Exclusions: Non-US companies, REITs, UITs, and Investment Companies Source: CRSP and Compustat.

January 1975 - Dec 1977: Dimensional US Small Cap Index Composition: Market-capitalization-weighted index of securities of the smallest US companies whose market capitalization falls in the lowest 8% of the total market capitalization of the Eligible Market. The Eligible Market is composed of securities of US companies traded on the NYSE, NYSE MKT (formerly AMEX), and Nasdaq Global Market. Exclusions: Non-US companies, REITs, UITs, and Investment Companies and companies with the lowest profitability and highest relative price within the small cap universe. Profitability is defined as operating income before depreciation and amortization minus interest expense divided by book equity. Source: CRSP and Compustat.

The Dimensional US Small Cap Index has been retrospectively calculated by Dimensional Fund Advisors and did not exist prior to March 1st, 2007. Accordingly, the results shown during the periods prior to March 1st, 2007 do not represent actual returns of the Index. Other periods selected may have different results, including losses. Backtested index performance is hypothetical and is provided for informational purposes only to indicate historical performance had the index been calculated over the relevant time periods. Backtested performance results assume the reinvestment of dividends and capital gains. The index monthly returns are computed as the simple average of the monthly returns of 12 sub-indices, each one reconstituted once a year at the end of each month of the year. The index is unmanaged however a mutual fund expense ratio has been deducted from the index returns. Past performance is no guarantee of future results.The calculation methodology for the Dimensional US Small Cap Index was amended on January 1st, 2014 to include profitability as a factor in selecting securities for inclusion in the index.


Dimensional Targeted Value Index: Jan 1928 - December 1974: Dimensional US Targeted Value Index Composition: Represents an index of small and mid cap securities with low relative price. Small cap companies with low relative price are generally defined as companies with market capitalizations below the 1000th company in the US Market whose relative price is in the bottom 50% of the small and mid cap universe after the exclusion of utilities, companies lacking financial data, and companies with negative relative price. Mid cap companies with low relative price are generally defined as companies whose market capitalization falls below that of the 500th largest company in the Eligible Market, and whose relative price is in the in the bottom 25% of the small and mid cap universe after the exclusion of utilities, companies lacking financial data, and companies with negative relative price. The Eligible Market is composed of securities of US companies traded on the NYSE, AMEX, and Nasdaq Global Market. Exclusions: Non-US companies, REITs, UITs, and Investment Companies Source: CRSP and Compustat.

January 1975 - Dec 1977: Dimensional US Adjusted Market Value Index Composition: Represents an index of small and mid cap securities with low relative price. Small and mid cap companies with low relative price are generally defined as companies with market capitalizations below the 500th company in the US Market whose relative price is in the bottom 50% of the small and mid cap universe after the exclusion of utilities, companies lacking financial data, and companies with negative relative price. The index emphasizes companies with higher profitability. Profitability is defined as operating income before depreciation and amortization minus interest expense divided by book equity. The Eligible Market is composed of securities of US companies traded on the NYSE, AMEX, and Nasdaq Global Market. Exclusions: Non-US companies, REITs, UITs, and Investment Companies Source: CRSP and Compustat.

The Dimensional US Targeted Value Index has been retrospectively calculated by Dimensional Fund Advisors and did not exist prior to March 1st, 2007. Accordingly, the results shown during the periods prior to March 1st, 2007 do not represent actual returns of the Index. Other periods selected may have different results, including losses. Backtested index performance is hypothetical and is provided for informational purposes only to indicate historical performance had the index been calculated over the relevant time periods. Backtested performance results assume the reinvestment of dividends and capital gains. The index monthly returns are computed as the simple average of the monthly returns of 12 sub-indices, each one reconstituted once a year at the end of each month of the year. The index is unmanaged however a mutual fund expense ratio has been deducted from the index returns. Investments cannot be made directly in an index. Past performance is no guarantee of future results.The calculation methodology for the Dimensional US Targeted Value Index was amended on January 1st, 2014 to include profitability as a factor in selecting securities for inclusion in the index.


Dow Jones US Select REIT: Jan 1978 - Jan 1993: Source: Dow Jones Indexes January 1978 - Jan 1993: Dow Jones Wilshire REIT Index Source: Dow Jones Wilshire Composition: U.S. publicly traded Real Estate Investment Trusts weighted by float-adjusted market capitalization.

Currency: USD Copyright 2018 S&P Dow Jones Indices LLC, a division of S&P Global. All rights reserved.


DFA Real Estate (DFREX):  Factsheet | Prospectus Feb 1993 - Jun 2008: The DFA Real Estate Securities Portfolio, using a market capitalization weighted approach, purchases readily marketable equity securities of companies whose principal activities include ownership, management, development, construction, or sale of residential, commercial or industrial real estate. The Portfolio will principally invest in equity securities of companies in certain real estate investment trusts (“REITs”) and companies engaged in residential construction and firms, except partnerships, whose principal business is to develop commercial property.


DFA Global Real Estate Securities Portfolio (DFGEX): Factsheet | Prospectus Jul 2008 - Present: The DFA Global Real Estate Securities Portfolio seeks to achieve exposure to a broad portfolio of securities of U.S. and non-U.S. companies in the real estate industry, with a focus on real estate investment trusts (“REITs”) or companies that the Advisor considers to be REIT-like entities.


3.

ISE

IFC International Social Core Equity Index


Time-Series Construction
Jan 1928 - Dec 1969: Dimensional Adjusted Market 2 Index minus 0.03%/mo (mutual fund exp ratio)
Jan 1970 - Jul 1981: 60% Dimensional UK Market Index minus 0.02%/mo (mutual fund exp ratio) + 40% Dimensional International Small Cap Index minus 0.0442%/mo (mutual fund exp ratio)
Aug 1981 - Dec 1993: 60% DFA Large Cap International Portfolio (DFALX) + 20% Dimensional International Small Cap Index minus 0.0442%/mo (mutual fund exp ratio) + 20% Dimensional Int'l Small Cap Value Index minus 0.0567%/mo (mutual fund exp ratio)
Jan 1994 - Sep 2005: DFA International Adjusted Market Index minus 0.03%/mo (mutual fund exp ratio)
Oct 2005 - Nov 2012: DFA International Core Equity Portfolio (DFIEX) minus 0.0058%/mo (mutual fund exp ratio)
Dec 2012 - Present: DFA International Social Core Equity Portfolio (DSCLX)


Definitions and other important information:

Dimensional Adjusted Market 2 Index : January 1928 - December 1969: Dimensional US Adjusted Market 2 Index Composition: Targets all the securities in the Eligible Market with an emphasis on companies with smaller capitalization and lower relative price. The Eligible Market is composed of securities of US companies traded on the NYSE, NYSE MKT (formerly AMEX), and Nasdaq Global Market. Exclusions: Non-US companies, REITs, UITs, and Investment Companies Source: CRSP and Compustat.

The Dimensional US Adjusted Market 2 Index has been retrospectively calculated by Dimensional Fund Advisors and did not exist prior to March 1st, 2007. Accordingly, the results shown during the periods prior to March 1st, 2007 do not represent actual returns of the Index. Other periods selected may have different results, including losses. Backtested index performance is hypothetical and is provided for informational purposes only to indicate historical performance had the index been calculated over the relevant time periods. Backtested performance results assume the reinvestment of dividends and capital gains. The index monthly returns are computed as the simple average of the monthly returns of 12 sub-indices, each one reconstituted once a year at the end of each month of the year. The index is unmanaged however a mutual fund expense ratio has been deducted from the index returns. Investments cannot be made directly in an index. Past performance is no guarantee of future results.The calculation methodology for the Dimensional US Adjusted Market 2 Index was amended on January 1st, 2014 to include profitability as a factor in selecting securities for inclusion in the index.


Dimensional UK Market Index : January 1970 - Jul 1981: Dimensional UK Market Index : Market cap-weighted index of all securities in the eligible markets. The index monthly returns are computed as the simple average of the monthly returns of four sub-indices, each one reconstituted once a year at the end of each quarter of the year. Maximum index weight of any one company is capped at 10%. The country currently included is United Kingdom. Exclusions: REITs and Investment Companies Source: Bloomberg, LSPDThe Dimensional UK Market Index has been retrospectively calculated by Dimensional Fund Advisors and did not exist prior to April 2008. Accordingly, the results shown during the periods prior to April 2008 do not represent actual returns of the Index. Backtested index performance is hypothetical and is provided for informational purposes only to indicate historical performance had the index been calculated over the relevant time periods. Backtested performance results assume the reinvestment of dividends and capital gains. The index is unmanaged however a mutual fund expense ratio has been deducted from the index returns. Investments cannot be made directly in an index. Past performance is no guarantee of future results.


Dimensional International Small Cap Index: January 1970 - June 1981, Aug 1981 - Dec 1993:: 50% Hoare Govett Small Companies Index (hgsmall.ind), 50% Nomura Small Companies Index (nomura.ind) July 1981 - December 1989: Created by Dimensional. Includes securities of MSCI EAFE countries in the bottom 10% of market capitalization, excluding the bottom 1%. All securities are market capitalization weighted. Each country is capped at 50%. Rebalanced semiannually. January 1990 - Present: Dimensional International Small Cap Index: Market-capitalization-weighted index of small company securities in the eligible markets, excluding those with the lowest profitability and highest relative price within the small cap universe. Profitability is defined as operating income before depreciation and amortization minus interest expense divided by book equity. The index monthly returns are computed as the simple average of the monthly returns of four sub-indices, each one reconstituted once a year at the end of each quarter of the year. Maximum index weight of any one company is capped at 5%. Countries currently included are Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and United Kingdom. Exclusions: REITs and Investment Companies Source: Bloomberg The Dimensional International Small Cap Index has been retrospectively calculated by Dimensional Fund Advisors and did not exist prior to April 2008. Accordingly, the results shown during the periods prior to April 2008 do not represent actual returns of the Index. Backtested index performance is hypothetical and is provided for informational purposes only to indicate historical performance had the index been calculated over the relevant time periods. Backtested performance results assume the reinvestment of dividends and capital gains. The index is unmanaged however a mutual fund expense ratio has been deducted from the index returns. Investments cannot be made directly in an index. Past performance is no guarantee of future results.The calculation methodology for the Dimensional International Small Cap Index was amended in January 2014 to include profitability as a factor in selecting securities for inclusion in the index.


DFA Large Cap International Portfolio (DFALX):  Factsheet | Prospectus Aug 1981 - Dec 1993: The Large Cap International Portfolio purchases securities of large non-U.S. companies in each country or region designated by Dimensional Fund Advisors LP (the “Advisor”) as an approved market for investment. The Advisor may consider a company’s size, value, and/or profitability relative to other eligible companies when making investment decisions for the Large Cap International Portfolio.


Dimensional International Small Cap Value Index: Aug 1981 - Dec 1993: Dimensional US Small Cap Value Index Composition: A subset of the US Small Cap Index. The subset is defined as companies whose relative price is in the bottom 35% of the US Small Cap Index after the exclusion of utilities, companies lacking financial data, and companies with negative relative price. The Eligible Market is composed of securities of US companies traded on the NYSE, NYSE MKT (formerly AMEX), and Nasdaq Global Market. Exclusions: Non-US companies, REITs, UITs, and Investment Companies and companies with the lowest profitability within the small cap value universe. Profitability is defined as operating income before depreciation and amortization minus interest expense divided by book equity. Source: CRSP and Compustat.

The Dimensional US Small Cap Value Index has been retrospectively calculated by Dimensional Fund Advisors and did not exist prior to March 1st, 2007. Accordingly, the results shown during the periods prior to March 1st, 2007 do not represent actual returns of the Index. Other periods selected may have different results, including losses. Backtested index performance is hypothetical and is provided for informational purposes only to indicate historical performance had the index been calculated over the relevant time periods. Backtested performance results assume the reinvestment of dividends and capital gains. The index monthly returns are computed as the simple average of the monthly returns of 12 sub-indices, each one reconstituted once a year at the end of each month of the year. The index is unmanaged however a mutual fund expense ratio has been deducted from the index returns. Investments cannot be made directly in an index. Past performance is no guarantee of future results.The calculation methodology for the Dimensional US Small Cap Value Index was amended on January 1st, 2014 to include profitability as a factor in selecting securities for inclusion in the index.


DFA International Adjusted Market Index : January 1994 - Sep 2005: Dimensional International Adjusted Market Index: Targets all of the securities in the eligible markets with an emphasis on companies with smaller capitalization, lower relative price, and higher profitability. Profitability is defined as operating income before depreciation and amortization minus interest expense divided by book equity. The index monthly returns are computed as the simple average of the monthly returns of four sub-indices, each one reconstituted once a year at the end of each quarter of the year. Maximum index weight of any one company is capped at 5%. Countries currently included are Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and United Kingdom. Exclusions: REITs and Investment Companies Source: Bloomberg The Dimensional International Adjusted Market Index has been retrospectively calculated by Dimensional Fund Advisors and did not exist prior to April 2008. Accordingly, the results shown during the periods prior to April 2008 do not represent actual returns of the Index. Backtested index performance is hypothetical and is provided for informational purposes only to indicate historical performance had the index been calculated over the relevant time periods. Backtested performance results assume the reinvestment of dividends and capital gains. The index is unmanaged however a mutual fund expense ratio has been deducted from the index returns. Investments cannot be made directly in an index. Past performance is no guarantee of future results.The calculation methodology for the Dimensional International Adjusted Market Index was amended in January 2014 to include profitability as a factor in selecting securities for inclusion in the index.


DFA International Core Equity Portfolio (DFIEX):  Factsheet | Prospectus October 2005 - Nov 2012: The International Core Equity Portfolio purchases a broad and diverse group of securities of non-U.S. companies in developed markets with a greater emphasis on small capitalization, value and high profitability companies as compared to their representation in the International Universe. For purposes of this Portfolio, Dimensional Fund Advisors LP (the “Advisor”) defines the International Universe as a market capitalization weighted portfolio of non-U.S. companies in developed markets that have been authorized as approved markets for investment by the Advisor’s Investment Committee.


DFA International Social Core Equity Portfolio (DSCLX): Factsheet | Prospectus Dec 2012 - Present: The International Social Core Equity Portfolio purchases a broad and diverse group of securities of non-U.S. companies in developed markets with a greater emphasis on small capitalization, value, and high profitability companies as compared to their representation in the International Universe, while excluding securities of certain companies based on the Portfolio’s social issue screens. For the purposes of this Portfolio, Dimensional Fund Advisors LP (the “Advisor”) defines the International Universe as a market capitalization weighted portfolio of 16 non-U.S. companies in developed markets that have been authorized as approved markets for investment by the Advisor’s Investment Committee.


4.

EMS

IFC Emerging Markets Social Core Index


Time-Series Construction
Jan 1928 - Dec 1969: 15% Dimensional Large Value Index minus 0.0225%/mo (mutual fund exp ratio) + 55% Dimensional Small Cap Index minus 0.0308%/mo (mutual fund exp ratio) + 30% Dimensional Targeted Value Index minus 0.0308%/mo (mutual fund exp ratio)
Jan 1970 - Dec 1974: 50% Dimensional UK Large Value minus 0.0358%/mo (mutual fund exp ratio) + 50% Dimensional International Small Cap Index minus 0.0442%/mo (mutual fund exp ratio)
Jan 1975 - Dec 1988: 50% Fama/French International Value minus 0.0358%/mo (mutual fund exp ratio) + 50% Dimensional International Small Cap Index minus 0.0442%/mo (mutual fund exp ratio)
Jan 1989 - Apr 1994: 30% Fama/French Emerging Markets Index minus 0.04%/mo (mutual fund exp ratio) + 30% Dimensional Emerging Value Index minus 0.0475%/mo (mutual fund exp ratio) + 40% Fama/French Emerging Markets Small minus 0.0608%/mo (mutual fund exp ratio)
May 1994 - Mar 1998: 30% DFA Emerging Markets Fund (DFEMX) + 30% Dimensional Emerging Value Index minus 0.0475%/mo (mutual fund exp ratio) + 40% Fama/French Emerging Markets Small minus 0.0608%/mo (mutual fund exp ratio)
Apr 1998: 30% DFA Emerging Markets Fund (DFEMX) + 30% Dimensional Emerging Value Index minus 0.0475%/mo (mutual fund exp ratio) + 40% DFA Emerging Markets Small Fund (DEMSX)
May 1998 - Apr 2005: 30% DFA Emerging Markets Fund (DFEMX) + 30% DFA Emerging Markets Value Fund (DFEVX) + 40% DFA Emerging Markets Small Fund (DEMSX)
May 2005 - Aug 2006: DFA Core Emerging Markets (DFCEX)
Sep 2006 - Present: DFA Social Core Emerging Markets (DFESX)


Definitions and other important information:

Dimensional Large Value Index: Jan 1928 - December 1969: Dimensional US Large Cap Value Index Composition: A subset of the US Large Cap Index. The subset is defined as companies whose relative price is in the bottom 25% of the US Large Cap Index after the exclusion of utilities, companies lacking financial data, and companies with negative relative price. The Eligible Market is composed of securities of US companies traded on the NYSE, NYSE MKT (formerly AMEX), and Nasdaq Global Market. Exclusions: Non-US companies, REITs, UITs, and Investment Companies Source: CRSP and Compustat.

The Dimensional US Large Cap Value Index has been retrospectively calculated by Dimensional Fund Advisors and did not exist prior to March 1st, 2007. Accordingly, the results shown during the periods prior to March 1st, 2007 do not represent actual returns of the Index. Other periods selected may have different results, including losses. Backtested index performance is hypothetical and is provided for informational purposes only to indicate historical performance had the index been calculated over the relevant time periods. Backtested performance results assume the reinvestment of dividends and capital gains. The index monthly returns are computed as the simple average of the monthly returns of 12 sub-indices, each one reconstituted once a year at the end of each month of the year. The index is unmanaged however a mutual fund expense ratio has been deducted from the index returns. Investments cannot be made directly in an index. Past performance is no guarantee of future results.The calculation methodology for the Dimensional US Large Cap Value Index was amended on January 1st, 2014 to include profitability as a factor in selecting securities for inclusion in the index.


Dimensional Small Cap Index : Jan 1928 - December 1969: Dimensional US Small Cap Index Composition: Market-capitalization-weighted index of securities of the smallest US companies whose market capitalization falls in the lowest 8% of the total market capitalization of the Eligible Market. The Eligible Market is composed of securities of US companies traded on the NYSE, NYSE MKT (formerly AMEX), and Nasdaq Global Market. Exclusions: Non-US companies, REITs, UITs, and Investment Companies Source: CRSP and Compustat.

The Dimensional US Small Cap Index has been retrospectively calculated by Dimensional Fund Advisors and did not exist prior to March 1st, 2007. Accordingly, the results shown during the periods prior to March 1st, 2007 do not represent actual returns of the Index. Other periods selected may have different results, including losses. Backtested index performance is hypothetical and is provided for informational purposes only to indicate historical performance had the index been calculated over the relevant time periods. Backtested performance results assume the reinvestment of dividends and capital gains. The index monthly returns are computed as the simple average of the monthly returns of 12 sub-indices, each one reconstituted once a year at the end of each month of the year. The index is unmanaged however a mutual fund expense ratio has been deducted from the index returns. Investments cannot be made directly in an index. Past performance is no guarantee of future results.The calculation methodology for the Dimensional US Small Cap Index was amended on January 1st, 2014 to include profitability as a factor in selecting securities for inclusion in the index.


Dimensional Targeted Value Index: Jan 1928 - December 1969: Dimensional US Targeted Value Index Composition: Represents an index of small and mid cap securities with low relative price. Small cap companies with low relative price are generally defined as companies with market capitalizations below the 1000th company in the US Market whose relative price is in the bottom 50% of the small and mid cap universe after the exclusion of utilities, companies lacking financial data, and companies with negative relative price. Mid cap companies with low relative price are generally defined as companies whose market capitalization falls below that of the 500th largest company in the Eligible Market, and whose relative price is in the in the bottom 25% of the small and mid cap universe after the exclusion of utilities, companies lacking financial data, and companies with negative relative price. The Eligible Market is composed of securities of US companies traded on the NYSE, AMEX, and Nasdaq Global Market. Exclusions: Non-US companies, REITs, UITs, and Investment Companies Source: CRSP and Compustat.

The Dimensional US Targeted Value Index has been retrospectively calculated by Dimensional Fund Advisors and did not exist prior to March 1st, 2007. Accordingly, the results shown during the periods prior to March 1st, 2007 do not represent actual returns of the Index. Other periods selected may have different results, including losses. Backtested index performance is hypothetical and is provided for informational purposes only to indicate historical performance had the index been calculated over the relevant time periods. Backtested performance results assume the reinvestment of dividends and capital gains. The index monthly returns are computed as the simple average of the monthly returns of 12 sub-indices, each one reconstituted once a year at the end of each month of the year. The index is unmanaged however a mutual fund expense ratio has been deducted from the index returns. Investments cannot be made directly in an index. Past performance is no guarantee of future results.The calculation methodology for the Dimensional US Targeted Value Index was amended on January 1st, 2014 to include profitability as a factor in selecting securities for inclusion in the index.


Dimensional UK Large Value : Jan 1970 - Dec 1974: UK Large Value Index Source: Elroy Dimson, Stefan Nagel and Garrett Quigley “Capturing the value premium in the UK”, Financial Analysts Journal 2003, 59(6): 35-45. Created Returns, converted from GBP to USD using the WM/Reuters at 4 p.m. EST (closing spot), from PFPC exchange rate Country Code EXJanuary 1990 - Present: Dimensional UK Large Value Index: Consists of large cap companies in eligible markets whose relative price is in the bottom 30% of their country’s large companies, after the exclusion of utilities and companies with either negative or missing relative price data. The index emphasizes companies with smaller capitalization, lower relative price, and higher profitability. The index also excludes those companies with the lowest profitability within their country’s large value universe. Profitability is defined as operating income before depreciation and amortization minus interest expense divided by book equity. The index monthly returns are computed as the simple average of the monthly returns of four sub-indices, each one reconstituted once a year at the end of each quarter of the year. Maximum index weight of any one company is capped at 10%. The country currently included is United Kingdom. Exclusions: REITs and Investment Companies Source: Bloomberg, LSPDThe Dimensional UK Large Value Index has been retrospectively calculated by Dimensional Fund Advisors and did not exist prior to April 2008. Accordingly, the results shown during the periods prior to April 2008 do not represent actual returns of the Index. Backtested index performance is hypothetical and is provided for informational purposes only to indicate historical performance had the index been calculated over the relevant time periods. Backtested performance results assume the reinvestment of dividends and capital gains.The index is unmanaged however a mutual fund expense ratio has been deducted from the index returns. Investments cannot be made directly in an index. Past performance is no guarantee of future results.The calculation methodology for the Dimensional UK Large Value Index was amended in January 2014 to include profitability as a factor in selecting securities for inclusion in the index.


Dimensional International Small Cap : Jan 1970 - Dec 1974: 50% Hoare Govett Small Companies Index (hgsmall.ind), 50% Nomura Small Companies Index (nomura.ind) July 1981 - December 1989: Created by Dimensional. Includes securities of MSCI EAFE countries in the bottom 10% of market capitalization, excluding the bottom 1%. All securities are market capitalization weighted. Each country is capped at 50%. Rebalanced semiannually. January 1990 - Present: Dimensional International Small Cap Index: Market-capitalization-weighted index of small company securities in the eligible markets, excluding those with the lowest profitability and highest relative price within the small cap universe. Profitability is defined as operating income before depreciation and amortization minus interest expense divided by book equity. The index monthly returns are computed as the simple average of the monthly returns of four sub-indices, each one reconstituted once a year at the end of each quarter of the year. Maximum index weight of any one company is capped at 5%. Countries currently included are Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and United Kingdom. Exclusions: REITs and Investment Companies Source: Bloomberg The Dimensional International Small Cap Index has been retrospectively calculated by Dimensional Fund Advisors and did not exist prior to April 2008. Accordingly, the results shown during the periods prior to April 2008 do not represent actual returns of the Index. Backtested index performance is hypothetical and is provided for informational purposes only to indicate historical performance had the index been calculated over the relevant time periods. Backtested performance results assume the reinvestment of dividends and capital gains. The index is unmanaged however a mutual fund expense ratio has been deducted from the index returns. Investments cannot be made directly in an index. Past performance is no guarantee of future results.The calculation methodology for the Dimensional International Small Cap Index was amended in January 2014 to include profitability as a factor in selecting securities for inclusion in the index.


Fama/French International Value: January 1975 - Dec 1988: Fama/French International Value Index Source: Ken French website. Simulated from MSCI and Bloomberg data.Currency: USDFama/French and multifactor data provided by Fama/French.


Dimensional International Small Cap Index : January 1975 - Dec 1988: 50% Hoare Govett Small Companies Index (hgsmall.ind), 50% Nomura Small Companies Index (nomura.ind) July 1981 - December 1989: Created by Dimensional. Includes securities of MSCI EAFE countries in the bottom 10% of market capitalization, excluding the bottom 1%. All securities are market capitalization weighted. Each country is capped at 50%. Rebalanced semiannually. January 1990 - Present: Dimensional International Small Cap Index: Market-capitalization-weighted index of small company securities in the eligible markets, excluding those with the lowest profitability and highest relative price within the small cap universe. Profitability is defined as operating income before depreciation and amortization minus interest expense divided by book equity. The index monthly returns are computed as the simple average of the monthly returns of four sub-indices, each one reconstituted once a year at the end of each quarter of the year. Maximum index weight of any one company is capped at 5%. Countries currently included are Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and United Kingdom. Exclusions: REITs and Investment Companies Source: Bloomberg The Dimensional International Small Cap Index has been retrospectively calculated by Dimensional Fund Advisors and did not exist prior to April 2008. Accordingly, the results shown during the periods prior to April 2008 do not represent actual returns of the Index. Backtested index performance is hypothetical and is provided for informational purposes only to indicate historical performance had the index been calculated over the relevant time periods. Backtested performance results assume the reinvestment of dividends and capital gains. The index is unmanaged however a mutual fund expense ratio has been deducted from the index returns. Investments cannot be made directly in an index. Past performance is no guarantee of future results.The calculation methodology for the Dimensional International Small Cap Index was amended in January 2014 to include profitability as a factor in selecting securities for inclusion in the index.Currency:


Fama/French Emerging Markets Index : January 1989 - Apr 1994: Fama/French Emerging Markets Simulated IndexCourtesy of Fama/French from IFC securities data. Simulated strategy of IFC investable universe countries; companies weighted by float-adjusted market cap; countries weighted by country float-adjusted market cap; rebalanced monthly. Source: "Value versus Growth: The International Evidence," Journal of Finance 53 (1998), 1975-99.Currency: USDFama/French and multifactor data provided by Fama/French.


Dimensional Emerging Value Index : January 1989 - Apr 1994, May 1994 - Mar 1998, Apr 1998: Fama/French Emerging Markets Value Index.January 1994 - Present: Dimensional Emerging Markets Value Index: Consists of companies whose relative price is in the bottom 33% of their country’s respective constituents, after the exclusion of utilities and companies with either negative or missing relative price data. The index emphasizes companies with smaller capitalization, lower relative price, and higher profitability. The index also excludes those companies with the lowest profitability and highest realtive price within their country’s small value universe. Profitability is defined as operating income before depreciation and amortization minus interest expense divided by book equity. The index monthly returns are computed as the simple average of the monthly returns of four sub-indices, each one reconstituted once a year at the end of each quarter of the year. Maximum index weight of any one company is capped at 5%. Countries currently included are Brazil, Chile, China, Colombia, Czech Republic, Hungary, India, Indonesia, Malaysia, Mexico, Peru, Philippines, Poland, Russia, South Africa, South Korea, Taiwan, Thailand, and Turkey. Exclusions: REITs and Investment Companies Source: Bloomberg The Dimensional Emerging Markets Value Index has been retrospectively calculated by Dimensional Fund Advisors and did not exist prior to April 2008. Accordingly, the results shown during the periods prior to April 2008 do not represent actual returns of the Index. Backtested index performance is hypothetical and is provided for informational purposes only to indicate historical performance had the index been calculated over the relevant time periods. Backtested performance results assume the reinvestment of dividends and capital gains.The index is unmanaged however a mutual fund expense ratio has been deducted from the index returns. Investments cannot be made directly in an index. Past performance is no guarantee of future results.The calculation methodology for the Dimensional Emerging Markets Value Index was amended in January 2014 to include profitability as a factor in selecting securities for inclusion in the index.


Fama/French Emerging Markets Small : January 1989 - Apr 1994, May 1994 - Mar 1998: Provided by Fama/French from Bloomberg securities data. Simulated strategy using IFC investable universe countries. Companies in the bottom 30% of aggregate market cap; companies weighted by float-adjusted market cap; countries weighted by country float-adjusted market cap; rebalanced monthly. 1989–2008: Provided by Fama/French from IFC securities data. IFC data provided by International Finance CorporationCurrency: USD Fama/French and multifactor data provided by Fama/French.


DFA Emerging Markets Fund (DFEMX) :  Factsheet | Prospectus May 1994 - Mar 1998, Apr 1998, May 1998 - Apr 2005: The Emerging Markets Portfolio pursues its investment objective by investing substantially all of its assets in the Emerging Markets Series. The Emerging Markets Series purchases a broad market coverage of larger companies associated with emerging markets, which may include frontier markets (emerging market countries in an earlier stage of development), authorized for investment by the Advisor’s Investment Committee (“Approved Markets”).


DFA Emerging Markets Small Fund (DEMSX):  Factsheet | Prospectus Apr 1998, May 1998 - Apr 2005: The Emerging Markets Small Cap Portfolio pursues its investment objective by investing substantially all of its assets in the Emerging Markets Small Cap Series. The Emerging Markets Small Cap Series purchases a broad market coverage of smaller companies associated with each emerging market, which may include frontier markets (emerging market countries in an earlier stage of development), authorized for investment by the Advisor’s Investment Committee (“Approved Markets”).


DFA Emerging Markets Value Fund (DFEVX):  Factsheet | Prospectus May 1998 - Apr 2005: The Emerging Markets Value Portfolio pursues its investment objective by investing substantially all of its assets in the Emerging Markets Value Fund. The Emerging Markets Value Fund purchases emerging market equity securities that are deemed by the Advisor to be value stocks at the time of purchase and associated with emerging markets, which may include frontier markets (emerging market countries in an earlier stage of development), authorized for investment by the Advisor’s Investment Committee (“Approved Markets”).


DFA Core Emerging Markets (DFCEX):  Factsheet | Prospectus May 2005 - Aug 2006: The Emerging Markets Core Equity Portfolio purchases a broad and diverse group of securities associated with emerging markets, which may include frontier markets (emerging market countries in an earlier stage of development), authorized for investment by Dimensional Fund Advisors LP’s (the “Advisor”) Investment Committee (“Approved Markets”), with a greater emphasis on small capitalization, value, and high profitability companies.


Emerging Markets Social Core Equity Portfolio (DFESX): Factsheet | Prospectus Sep 2006 - Present: The Emerging Markets Social Core Equity Portfolio purchases a broad and diverse group of securities associated with emerging markets, which may include frontier markets (emerging market countries in an earlier stage of development), authorized for investment by Dimensional Fund Advisors LP’s (the “Advisor”) Investment Committee (“Approved Markets”), with a greater emphasis on small capitalization, value, and high profitability companies while excluding securities of certain emerging markets companies based upon the Portfolio’s social issue screens.


5.

SF

IFC Social Fixed Income Index


Time-Series Construction
Jan 1928 - Dec 1975: Long-term Corporate Bonds minus 0.0225%/mo (mutual fund exp ratio)
Jan 1976 - Mar 2011: Barclays US Agg Bond Tr minus 0.0225%/mo
Apr 2011 - Apr 2016: DFA Investment Grade minus 0.00416%/mo
May 2016 - Present: DFA Social Fixed Income Portfolio (DSFIX)


Definitions and other important information:

Long-Term Corporate Bonds: January 1928 - Dec 1975: Long-Term Corporate Bonds. Source: Morningstar. Former Source: Stocks, Bonds, Bills, And Inflation, Chicago: Ibbotson And Sinquefield, 1986. Currency: USD. Mutual fund universe statistical data and non-Dimensional money managers' fund data provided by Morningstar, Inc.


Bloomberg Barclays U.S. Aggregate Bond Index: January 1976 - Mar 2011: Bloomberg Barclays U.S. Aggregate Bond Index. November 2008 - August 2016: Barclays U.S. Aggregate Bond Index January 1976 - October 2008: Lehman Brothers U.S. Aggregate Bond Index Total Returns in USD Maturity: 1-30+ Years Source: Bloomberg Currency: USD Bloomberg Barclays data provided by Bloomberg Finance L.P.


DFA Investment Grade (DFAPX):  Factsheet | Prospectus Apr 2011 - Apr 2016: The Investment Grade Portfolio seeks to achieve its investment objective through exposure to a broad portfolio of investment grade debt securities of U.S. and non-U.S. corporate and government issuers.


DFA Social Fixed Income Portfolio (DSFIX): Factsheet | Prospectus The Social Fixed Income Portfolio seeks to achieve its investment objective through exposure to a broad portfolio of investment grade debt securities of U.S. and non-U.S. corporate and government issuers.