Certain DFA Mutual Funds have entered into fee waiver and/or expense assumption arrangements with Dimensional Fund Advisors LP. In these cases, Dimensional Fund Advisors LP has contractually agreed, under certain circumstances, to waive certain fees and/or assume certain expenses of the portfolio. Unless otherwise stated in the prospectus, Dimensional Fund Advisors LP may amend or discontinue these arrangements at any time, one year from the date of the prospectus. The net expense ratio reflects the total annual fund operating expenses of the portfolio after taking into account any such fee waiver and/or expense assumption arrangements. Please read the portfolio's prospectus for details and more information.
All live mutual fund portfolios tracked in IFC indexes are net of all mutual fund fees. Indexes and hypothetical backt-ested data are also net of estimated mutual fund fees. IFC Advisory fees are deducted when IFC indexes are presented in the IFC Index Portfolios.
Time-Series Construction
Jan 1928 - Sep 2005: Dimensional Adjusted Market 2 Index minus 0.0183%/mo (net expense ratio)
Oct 2005 - Oct 2007: DFA US Core Equity 2 Portfolio (DFQTX) minus 0.0033%/mo (net expense ratio)
Nov 2007 - present: DFA US Social Core Equity 2 Portfolio (DFUEX)
Definitions and other important information:
Dimensional US Core Equity 2 Index: Jan 1928 - Dimensional US Core Equity 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.
Jan 1975 - Sep 2005: Dimensional US Core Equity 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, excluding those with the lowest profitability and highest relative price within the small cap universe. The index also excludes those companies with the highest asset growth within the small cap universe. Profitability is defined as operating income before depreciation and amortization minus interest expense divided by book equity. Asset growth is defined as change in total assets from the prior fiscal year to current fiscal year. 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 Core Equity 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. Back-tested 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. Back-tested performance results assume the reinvestment of dividends and capital gains. The monthly index 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 and is not subject to fees and expenses typically associated with managed accounts or investment funds. Investments cannot be made directly in an index. Past performance is no guarantee of future results. The calculation methodology for the Dimensional US Core Equity 2 Index was amended on January 1st, 2014 to include profitability as a factor in selecting securities for inclusion in the index. The calculation methodology for the Dimensional US Core Equity 2 Index was amended in December 2019 to include asset growth as a factor in selecting securities for inclusion in the index. Dimensional Index data compiled by Dimensional.
DFA US Core Equity 2 Portfolio (DFQTX): Factsheet | Prospectus Oct 2005 - Oct 2007: The U.S. Core Equity 2 Portfolio is designed to purchase a broad and diverse group of securities of U.S. companies. The Portfolio invests in companies of all sizes, with increased exposure to smaller capitalization, lower relative price and higher profitability companies as compared to their representation in the U.S. Universe. Dimensional Fund Advisors LP (the "Advisor") generally defines the U.S. Universe as a market capitalization weighted set (e.g., the larger the company, the greater the proportion of the U.S. Universe it represents) of U.S. operating companies listed on a securities exchange in the United States that is deemed appropriate by the Advisor. Actual performance results assume the reinvestment of dividends and capital gains.
DFA US Social Core Equity 2 Portfolio (DFUEX): Factsheet | Prospectus Nov 2007 - present: The U.S. Social Core Equity 2 Portfolio is designed to purchase a broad and diverse group of securities of U.S. companies. The Portfolio invests in companies of all sizes, with increased exposure to smaller capitalization, lower relative price, and higher 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 set (e.g., the larger the company, the greater the proportion of the U.S. Universe it represents) of U.S. operating companies listed on a securities exchange in the United States that is deemed appropriate by the Advisor. Actual performance results assume the reinvestment of dividends and capital gains.
Time-Series Construction
Jan 1928 - Dec 1977: 50% Dimensional Small Cap Index minus 0.0216%/mo (net expense ratio) + 50% Dimensional US Small Cap Value Index minus 0.0216%/mo (net expense ratio)
Jan 1978 - Jan 1993: Dow Jones US Select REIT Index minus 0.0183%/mo (net expense ratio)
Feb 1993 - Jun 2008: DFA Real Estate Fund (DFREX)
Jul 2008 - Dec 2022: DFA Global Real Estate Fund (DFGEX)
Jan 2023 - Present: DFA Global Real Estate Fund (DFGR)
Definitions and other important information:
Dimensional Small Cap Index: Jan 1928 - Dec 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.
Jan 1975 - Mar 1992: 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. The index also excludes those companies with the highest asset growth within the small cap universe. Profitability is defined as operating income before depreciation and amortization minus interest expense divided by book equity. Asset growth is defined as change in total assets from the prior fiscal year to current fiscal year. 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. Back-tested 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. Back-tested performance results assume the reinvestment of dividends and capital gains. The monthly index 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 and is not subject to fees and expenses typically associated with managed accounts or investment funds. Investments cannot be made directly in an index. Past performance is no guarantee of future results.
Dimensional U.S. Small Cap Value Index: Jan 1928 - Dec 1974: 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 25% 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. Source: CRSP and Compustat.
Jan 1975 - Mar 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. The index also excludes those companies with the highest asset growth within the small cap universe. Profitability is defined as operating income before depreciation and amortization minus interest expense divided by book equity. Asset growth is defined as change in total assets from the prior fiscal year to current fiscal year. 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. Back-tested 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. Back-tested performance results assume the reinvestment of dividends and capital gains. The monthly index 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 and is not subject to fees and expenses typically associated with managed accounts or investment funds. 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. The calculation methodology for the Dimensional US Small Cap Value Index was amended in December 2019 to include asset growth as a factor in selecting securities for inclusion in the index. Dimensional Index data compiled by Dimensional.
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. Actual and back-tested performance results assume the reinvestment of dividends and capital gains.
Total Returns in USD. Copyright 2023 S&P Dow Jones Indices LLC, a division of S&P Global. All rights reserved.
DFA Real Estate (DFREX): Factsheet | Prospectus February 1993 - June 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. Back-tested performance results assume the reinvestment of dividends and capital gains.
DFA Global Real Estate Securities Portfolio (DFGEX): Factsheet | Prospectus Jul 2008 - Dec 2022: 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 Dimensional Fund Advisors LP (the "Advisor") considers to be REIT-like entities. The Portfolio may pursue its investment objective by investing its assets in the DFA Real Estate Securities Portfolio, DFA International Real Estate Securities Portfolio (the "Underlying Funds"), and/or directly in securities of companies in the real estate industry. Back-tested performance results assume the reinvestment of dividends and capital gains.
DFA Global Real Estate ETF (DFGR): Fact Sheet | Prospectus Jan 2023 - Present: The Portfolio, using a market capitalization weighted approach, purchases a broad and diverse set of securities of U.S. and non-U.S. companies principally engaged in the real estate industry, including developed and emerging markets, with a particular focus on real estate investment trusts ("REITs") and companies the Advisor considers to be REIT-like entities. The Portfolio invests in companies of all sizes. As a non-fundamental policy, under normal circumstances, at least 80% of the Portfolio's net assets will be invested in securities of companies in the real estate industry. The Portfolio concentrates (i.e., invests more than 25% of its net assets) its investments in securities of companies in the real estate industry. The Portfolio generally considers a company to be principally engaged in the real estate industry if the company (i) derives at least 50% of its revenue or profits from the ownership, management, development, construction, or sale of residential, commercial, industrial, or other real estate; (ii) has at least 50% of the value of its assets invested in residential, commercial, industrial, or other real estate; or (iii) is organized as a REIT or REIT-like entity. The Portfolio intends to invest its assets to gain exposure to at least three different countries, including the United States. The Advisor will generally seek to set country weights based on the relative market capitalizations of eligible companies within each approved market. As of the date of the Prospectus, the Portfolio invests approximately 65% of its net assets in U.S. companies. This percentage will change due to market conditions. The Portfolio is an actively managed exchange traded fund and does not seek to replicate the performance of a specific index and may have a higher degree of portfolio turnover than such index funds. Net Asset Value (NAV) returns derived from Morningstar Direct and Dimensional Fund Advisors Returns Program are used in the calculation of returns.
Time-Series Construction
Jan 1928 - Dec 1969: Dimensional Adjusted Market 2 Index minus 0.0217%/mo (net expense ratio)
Jan 1970 - Jul 1981: 60% Dimensional UK Market Index minus 0.020%/mo (net expense ratio) + 40% Dimensional International Small Cap Index minus 0.0325%/mo (net expense ratio)
Aug 1981 - Dec 1993: 60% DFA Large Cap International Portfolio (DFALX) + 20% Dimensional International Small Cap Index minus 0.0325%/mo (net expense ratio) + 20% Dimensional Int'l Small Cap Value Index minus 0.035%/mo (net expense ratio)
Jan 1994 - Sep 2005: DFA International Adjusted Market Index minus 0.0217%/mo (net expense ratio)
Oct 2005 - Nov 2012: DFA International Core Equity Portfolio (DFIEX) minus 0.0025%/mo (net expense ratio)
Dec 2012 - Present: DFA International Social Core Equity Portfolio (DSCLX)
Definitions and other important information:
Dimensional US Core Equity 2 Index : Jan 1928 - Dec 1969: Dimensional US Core Equity 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 Core Equity 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. Back-tested 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. Back-tested performance results assume the reinvestment of dividends and capital gains. The monthly index 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 and is not subject to fees and expenses typically associated with managed accounts or investment funds. Investments cannot be made directly in an index. Past performance is no guarantee of future results. The calculation methodology for the Dimensional US Core Equity 2 Index was amended on January 1st, 2014 to include profitability as a factor in selecting securities for inclusion in the index. The calculation methodology for the Dimensional US Core Equity 2 Index was amended in December 2019 to include asset growth as a factor in selecting securities for inclusion in the index. Dimensional Index data compiled by Dimensional.
Dimensional UK Market Index: Jan 1970 - Jul 1981: Dimensional UK Market Index : Market cap-weighted index of all securities in the eligible markets. The monthly index 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, LSPD.
The 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. Back-tested 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. Back-tested performance results assume the reinvestment of dividends and capital gains. The Index is unmanaged and is not subject to fees and expenses typically associated with managed accounts or investment funds. Investments cannot be made directly in an index. Past performance is no guarantee of future results.
Dimensional International Small Cap Index: Jan 1970 - June 1981, Aug 1981 - Dec 1993: 50% Hoare Govett Small Companies Index (hgsmall.ind), 50% Nomura Small Companies Index (nomura.ind).
Jul 1981 - Dec 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.
Jan 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 their country's small cap universe. The index also excludes those companies with the highest asset growth within their country's small cap universe. Profitability is defined as operating income before depreciation and amortization minus interest expense divided by book equity. Asset growth is defined as change in total assets from the prior fiscal year to current fiscal year. 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. Back-tested 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. Back-tested performance results assume the reinvestment of dividends and capital gains. The Index is unmanaged and is not subject to fees and expenses typically associated with managed accounts or investment funds. 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. The calculation methodology for the Dimensional International Small Cap Index was amended in November 2019 to include asset growth as a factor in selecting securities for inclusion in the index. Dimensional Index data compiled by Dimensional.
DFA Large Cap International Portfolio (DFALX): Factsheet | Prospectus Aug 1981 - Dec 1993: The Large Cap International Portfolio is designed to purchase securities of large non-U.S. companies in countries or regions designated by Dimensional Fund Advisors LP (the "Advisor") as an approved market for investment. The Advisor may consider a company's size, relative price, and/or profitability relative to other eligible companies when making investment decisions for the Portfolio. Actual and back-tested performance results assume the reinvestment of dividends and capital gains.
Dimensional International Small Cap Value Index: Aug 1981 - Dec 1993: Created by Dimensional. Includes securities, of MSCI EAFE countries, in the top 30% of Book-to-Market by market capitalization conditional on the securities being 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.
Jan 1990 - Present: Dimensional International Small Cap Value Index: Consists of small cap companies in eligible markets whose relative price is in the bottom 35% of their country's respective constituents, after the exclusion of utilities and companies with either negative or missing relative price data. The index excludes securities with the lowest profitability within their country's small cap universe. The index also excludes those companies with the highest asset growth within their country's small cap universe. Profitability is defined as operating income before depreciation and amortization minus interest expense divided by book equity. Asset growth is defined as change in total assets from the prior fiscal year to current fiscal year. The monthly index 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 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. Back-tested 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. Back-tested performance results assume the reinvestment of dividends and capital gains. The Index is unmanaged and is not subject to fees and expenses typically associated with managed accounts or investment funds. 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 Value Index was amended in January 2014 to include profitability as a factor in selecting securities for inclusion in the index. The calculation methodology for the Dimensional International Small Cap Value Index was amended in November 2019 to include asset growth as a factor in selecting securities for inclusion in the index. Dimensional Index data compiled by Dimensional.
DFA International Adjusted Market Index: Jan 1994 - Sep 2005: Targets all of the securities in the eligible markets with an emphasis on companies with smaller capitalization, lower relative price, and higher profitability, excluding those with the lowest profitability and highest relative price within their country's small cap universe. The index also excludes those companies with the highest asset growth within their country's small cap universe. Profitability is defined as operating income before depreciation and amortization minus interest expense divided by book equity. Asset growth is defined as change in total assets from the prior fiscal year to current fiscal year. The monthly index 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. Back-tested 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. Back-tested performance results assume the reinvestment of dividends and capital gains. The Index is unmanaged and is not subject to fees and expenses typically associated with managed accounts or investment funds. 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. The calculation methodology for the Dimensional International Adjusted Market Index was amended in November 2019 to include asset growth as a factor in selecting securities for inclusion in the index. Dimensional Index data compiled by Dimensional.
DFA International Core Equity Portfolio (DFIEX): Factsheet | Prospectus Oct 2005 - Nov 2012: The International Core Equity Portfolio is designed to purchase a broad and diverse group of securities of non-U.S. companies in developed markets. The Portfolio invests in companies of all sizes, with increased exposure to smaller capitalization, lower relative price, and higher 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 set (e.g., the larger the company, the greater the proportion of the International Universe it represents) of non-U.S. companies in developed markets that have been authorized as approved markets for investment by the Advisor's Investment Committee. Actual performance results assume the reinvestment of dividends and capital gains.
DFA International Social Core Equity Portfolio (DSCLX): Factsheet | Prospectus Dec 2012 - Present: The International Social Core Equity Portfolio is designed to purchase a broad and diverse group of securities of non-U.S. companies in developed markets. The Portfolio invests in companies of all sizes, with increased exposure to smaller capitalization, lower relative price, and higher 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 set (e.g., the larger the company, the greater the proportion of the International Universe it represents) of non-U.S. companies in developed markets that have been authorized as approved markets for investment by the Advisor's Investment Committee. Actual performance results assume the reinvestment of dividends and capital gains.
Time-Series Construction
Jan 1928 - Dec 1969: 15% Dimensional Large Value Index minus 0.0183%/mo (net expense ratio) + 55% Dimensional US Small Cap Index minus 0.0225%/mo (net expense ratio) + 30% Dimensional US Small Cap Value Index minus 0.025%/mo (net expense ratio)
Jan 1970 - Dec 1974: 50% Dimensional UK Large Value minus 0.0242%/mo (net expense ratio) + 50% Dimensional International Small Cap Index minus 0.0325%/mo (net expense ratio)
Jan 1975 - Dec 1988: 50% Fama/French International Value minus 0.0283%/mo (net expense ratio) + 50% Dimensional International Small Cap Index minus 0.0367%/mo (net expense ratio)
Jan 1989 - Apr 1994: 30% Fama/French Emerging Markets Index minus 0.0242%/mo (net expense ratio) + 30% Dimensional Emerging Value Index minus 0.030%/mo (net expense ratio) + 40% Fama/French Emerging Markets Small minus 0.0500%/mo (net expense ratio)
May 1994 - Mar 1998: 30% DFA Emerging Markets Fund (DFEMX) + 30% Dimensional Emerging Value Index minus 0.0383%/mo (net expense ratio) + 40% Fama/French Emerging Markets Small minus 0.0500%/mo (net expense ratio)
Apr 1998: 30% DFA Emerging Markets Fund (DFEMX) + 30% Dimensional Emerging Value Index minus 0.030%/mo (net expense 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 US Large Cap Value Index: Jan 1928 - Dec 1969: 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. Back-tested 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. Back-tested performance results assume the reinvestment of dividends and capital gains. The monthly index 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 and is not subject to fees and expenses typically associated with managed accounts or investment funds. 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 Index data compiled by Dimensional.
Dimensional Small Cap Index: Jan 1928 - Dec 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. Back-tested 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. Back-tested performance results assume the reinvestment of dividends and capital gains. The monthly index 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 and is not subject to fees and expenses typically associated with managed accounts or investment funds. 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. The calculation methodology for the Dimensional US Small Cap Index was amended in December 2019 to include asset growth as a factor in selecting securities for inclusion in the index. Dimensional Index data compiled by Dimensional.
Dimensional U.S. Small Cap Value Index: Jan 1928 - Dec 1974: 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 25% 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. 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. Back-tested 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. Back-tested performance results assume the reinvestment of dividends and capital gains. The monthly index 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 and is not subject to fees and expenses typically associated with managed accounts or investment funds. 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. The calculation methodology for the Dimensional US Small Cap Value Index was amended in December 2019 to include asset growth as a factor in selecting securities for inclusion in the index. Dimensional Index data compiled by Dimensional.
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 EX. The 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. Back-tested 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. Back-tested performance results assume the reinvestment of dividends and capital gains. The Index is unmanaged and is not subject to fees and expenses typically associated with managed accounts or investment funds. 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 Index data compiled by Dimensional.
Dimensional International Small Cap Index: Jan 1970 - Dec 1974: 50% Hoare Govett Small Companies Index (hgsmall.ind), 50% Nomura Small Companies Index (nomura.ind). July 1981 - Dec 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. 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. Back-tested 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. Back-tested performance results assume the reinvestment of dividends and capital gains. The Index is unmanaged and is not subject to fees and expenses typically associated with managed accounts or investment funds. 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. The calculation methodology for the Dimensional International Small Cap Index was amended in November 2019 to include asset growth as a factor in selecting securities for inclusion in the index. Dimensional Index data compiled by Dimensional.
Fama/French International Value Index: Jan 1975 - Dec 1988: Consists of companies whose relative price is in the bottom 30% for the region. The index is reconstituted once a year at the end of December. Source: Ken French website. Simulated from MSCI and Bloomberg data. Fama/French and multifactor data provided by Fama/French. Actual and back-tested performance results assume the reinvestment of dividends and capital gains.
Fama/French Emerging Markets Index: Jan 1989 - Apr 1994: Courtesy of Fama/French from Bloomberg and IFC securities data. Includes stocks in the upper 30% book-to-market range in each country; companies weighted by float-adjusted market cap; rebalanced annually in June. Total Returns in USD. Fama/French and multifactor data provided by Fama/French. Actual and back-tested performance results assume the reinvestment of dividends and capital gains.
Dimensional Emerging Value Index: Jan 1989 - Present: 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, excluding those with the lowest profitability within their country's small cap universe. The index also excludes those companies with the highest asset growth within their country's small cap universe. Profitability is defined as operating income before depreciation and amortization minus interest expense divided by book equity. Asset growth is defined as change in total assets from the prior fiscal year to current fiscal year. The monthly index 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, 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. Back-tested 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. Back-tested performance results assume the reinvestment of dividends and capital gains. The Index is unmanaged and is not subject to fees and expenses typically associated with managed accounts or investment funds. 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. The calculation methodology for the Dimensional Emerging Markets Value Index was amended in November 2019 to include asset growth as a factor in selecting securities for inclusion in the index. Dimensional Index data compiled by Dimensional.
Fama/French Emerging Markets Small Index: Jan 1989 - March 1998: Courtesy of Fama/French from Bloomberg and IFC securities data. Includes stocks in the bottom 10% of aggregate marketcap in each country; companies weighted by float-adjusted market cap; rebalanced annually in June. Total Returns in USD. Back-tested performance results assume the reinvestment of dividends and capital gains. Fama/French and multifactor data provided by Fama/French.
DFA Emerging Markets Fund (DFEMX): Factsheet | Prospectus May 1994 - Present: The Emerging Markets Portfolio invests substantially all of its assets in the Emerging Markets Series. The Emerging Markets Series is designed to purchase 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 Dimensional Fund Advisors LP's (the "Advisor") Investment Committee ("Approved Markets"). Back-tested performance results assume the reinvestment of dividends and capital gains.
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 Series is designed to purchase 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 Dimensional Fund Advisors LP's (the "Advisor") Investment Committee ("Approved Markets"). Actual performance results assume the reinvestment of dividends and capital gains.
DFA Emerging Markets Value Fund (DFEVX): Factsheet | Prospectus May 1998 - Apr 2005: The Emerging Markets Value Portfolio invests substantially all of its assets in the Emerging Markets Value Fund. The Emerging Markets Value Fund. The Emerging Markets Value Fund is designed to purchase emerging market equity securities that are deemed by Dimensional Fund Advisors LP (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"). Actual performance results assume the reinvestment of dividends and capital gains.
DFA Core Emerging Markets (DFCEX): Factsheet | Prospectus May 2005 - Aug 2006: The Emerging Markets Core Equity Portfolio is designed to purchase 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"). The Portfolio invests in companies of all sizes, with increased exposure to smaller capitalization, lower relative price, and higher profitability companies. Actual performance results assume the reinvestment of dividends and capital gains.
Emerging Markets Social Core Equity Portfolio (DFESX): Factsheet | Prospectus Sep 2006 - Present: The Emerging Markets Social Core Equity Portfolio is designed to purchase 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 the Dimensional Fund Advisors LP's (the "Advisor") Investment Committee ("Approved Markets"). The Portfolio invests in companies of all sizes, with increased exposure to smaller capitalization, lower relative price, and higher profitability companies while excluding securities of certain emerging markets companies based upon the Portfolio's social issue screens. Actual performance results assume the reinvestment of dividends and capital gains.
Time-Series Construction
Jan 1928 - Dec 1975: Long-term Corporate Bonds minus 0.0183%/mo (net expense ratio)
Jan 1976 - Mar 2011: Barclays US Agg Bond Tr minus 0.0183%/mo
Apr 2011 - Apr 2016: DFA Investment Grade minus 0.0025%/mo
May 2016 - Present: DFA Social Fixed Income Portfolio (DSFIX)
Definitions and other important information:
Long-Term Corporate Bonds: Jan 1928 - Dec 1975: Long-Term Corporate Bonds. Back-tested performance results assume the reinvestment of earnings. Source: Morningstar. Former Source: Stocks, Bonds, Bills, And Inflation, Chicago: Ibbotson And Sinquefield, 1986. Total Returns in USD. Mutual fund universe statistical data and non-Dimensional money managers' fund data provided by Morningstar, Inc.
Bloomberg U.S. Aggregate Bond Index: Jan 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. Actual and back-tested performance results assume the reinvestment of earnings. Source: Bloomberg. 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 (e.g., rated BBB- or above by S&P Global Ratings ("S&P") or Fitch Ratings Ltd. ("Fitch") or Baa3 or above by Moody's Investor's Service, Inc. ("Moody's")) of U.S. and non-U.S. corporate and government issuers. Dimensional Fund Advisors LP (the "Advisor") expects that the Portfolio will primarily invest in the obligations of issuers that are in developed countries.
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 (e.g., rated BBB- or above by S&P Global Ratings ("S&P") or Fitch Ratings Ltd. ("Fitch") or Baa3 or above by Moody's Investor's Service, Inc. ("Moody's")) of U.S. and non-U.S. corporate and government issuers while excluding securities of corporate and certain non-sovereign government issuers based upon the Portfolio's social issue screens. Dimensional Fund Advisors LP (the "Advisor") expects that the Portfolio will primarily invest in the obligations of issuers that are in developed countries.
Last Updated 05-01-2025