DFA Investment Dimensions Group Inc.

Transcription

1 PROSPECTUS February 28, 2016 Please carefully read the important information it contains before investing. DFA Investment Dimensions Group Inc. PORTFOLIO FOR LONG-TERM INVESTORS: DFA COMMODITY STRATEGY PORTFOLIO Ticker: DCMSX This Prospectus describes the Institutional Class shares of the DFA Commodity Strategy Portfolio which: Is generally only available to institutional investors and clients of registered investment advisors. Does not charge a sales commission or load. The Securities and Exchange Commission and the Commodity Futures Trading Commission have not approved or disapproved these securities or passed upon the adequacy of this Prospectus. Any representation to the contrary is a criminal offense.

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3 Table of Contents DFA COMMODITY STRATEGY PORTFOLIO... 1 Investment Objective... 1 Fees and Expenses of the Portfolio... 1 Principal Investment Strategies... 1 Principal Risks... 2 Performance... 5 Investment Advisor/Portfolio Management... 6 Purchase and Redemption of Fund Shares... 7 Tax Information... 7 ADDITIONAL INFORMATION ON INVESTMENT OBJECTIVE AND POLICIES... 8 Investments in Commodity-Linked Derivative Instruments... 8 Investments in the Subsidiary... 9 Investments in Fixed Income Securities OTHER INFORMATION Commodity Pool Operator Information SECURITIES LOANS SECURITIES LENDING REVENUE MANAGEMENT OF THE FUND Management Fees Investment Services Fee Waiver and Expense Assumption Agreement DIVIDENDS, CAPITAL GAINS DISTRIBUTIONS AND TAXES PURCHASE OF SHARES Cash Purchases In-Kind Purchases POLICY REGARDING EXCESSIVE OR SHORT-TERM TRADING VALUATION OF SHARES Net Asset Value Public Offering Price EXCHANGE OF SHARES REDEMPTION OF SHARES Redemption Procedure Redemption of Small Accounts In-Kind Redemptions DISCLOSURE OF PORTFOLIO HOLDINGS DELIVERY OF SHAREHOLDER DOCUMENTS FINANCIAL HIGHLIGHTS i

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5 DFA Commodity Strategy Portfolio Investment Objective The investment objective of the DFA Commodity Strategy Portfolio (the Portfolio ) is to seek total return consisting of capital appreciation and current income. Fees and Expenses of the Portfolio This table describes the fees and expenses you may pay if you buy and hold shares of the Portfolio. Shareholder Fees (fees paid directly from your investment): None Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment) Management Fee 0.30% Other Expenses 0.04% Total Annual Fund Operating Expenses 0.34% EXAMPLE This Example is meant to help you compare the cost of investing in the Portfolio with the cost of investing in other mutual funds. The Example assumes that you invest $10,000 in the Portfolio for the time periods indicated and then redeem all of your shares at the end of those periods. The Example also assumes that your investment has a 5% return each year and that the Portfolio s operating expenses remain the same. Although your actual costs may be higher or lower, based on these assumptions, your costs would be: 1 YEAR 3 YEARS 5 YEARS 10 YEARS $35 $109 $191 $431 PORTFOLIO TURNOVER The Portfolio pays transaction costs, such as commissions, when it buys and sells securities (or turns over its portfolio). A higher portfolio turnover may indicate higher transaction costs and may result in higher taxes when Portfolio shares are held in a taxable account. These costs, which are not reflected in Annual Fund Operating Expenses or in the Example, affect the Portfolio s performance. During the most recent fiscal year, the Portfolio s portfolio turnover rate was 124% of the average of its investment portfolio. Principal Investment Strategies The Portfolio seeks to achieve its investment objective by generally investing in a universe of allowable commodity-linked derivative instruments and fixed income investment opportunities. The Portfolio gains exposure to commodities markets by investing in derivative instruments, such as structured notes whose principal and/or coupon payments are linked to commodities or commodity indices, in swap agreements, and/or in other commodity-linked instruments (such as futures contracts on individual commodities or commodity indices). The Portfolio may invest up to 25% of its total assets in Dimensional Cayman Commodity Fund I Ltd. (the Subsidiary ), a wholly-owned subsidiary of the Portfolio formed in the Cayman Islands, which has the same investment objective as the Portfolio and has a strategy of investing in derivative instruments, such as commodity-linked swap agreements and other commodity-linked instruments, futures contracts on individual 1

6 commodities or commodity indices, and options on these instruments. The Portfolio, directly and/or through its investment in the Subsidiary, expects to use such derivatives extensively as part of its investment strategy. The Portfolio will invest in obligations issued or guaranteed by the U.S. and foreign governments, their agencies and instrumentalities, bank obligations, commercial paper, repurchase agreements, obligations of other domestic and foreign issuers having investment grade ratings (e.g., rated AAA to BBB- by Standard & Poor s Rating Group ( S&P ) or Fitch Ratings Ltd. ( Fitch ) or Aaa to Baa3 by Moody s Investors Service, Inc. ( Moody s )), securities of domestic or foreign issuers denominated in U.S. dollars but not trading in the United States, and obligations of supranational organizations. At the present time, Dimensional Fund Advisors LP (the Advisor ) expects that most fixed income investments will be made in the obligations of issuers that are located in developed countries. However, in the future, the Advisor anticipates investing in issuers located in other countries as well. The fixed income securities in which the Portfolio invests are considered investment grade at the time of purchase. The Portfolio s fixed income securities primarily will mature within five years from the date of settlement, and the Portfolio maintains an average portfolio duration of three years or less. Duration is a measure of the expected life of a fixed income security that is used to determine the sensitivity of a security s price to changes in interest rates. The longer a security s duration, the more sensitive it will be to changes in interest rates. Similarly, a portfolio with a longer average portfolio duration will be more sensitive to changes in interest rates than a fund with a shorter average portfolio duration. In making purchase decisions, if the anticipated maturity risk premium is greater for longer-term securities in the eligible maturity range, the Advisor will focus investment in the longer-term area, otherwise, the Portfolio will focus investment in the shorter-term area of the eligible maturity range. The Portfolio s investments may include foreign securities denominated in foreign currencies. The Portfolio intends to hedge foreign currency exposure to protect against uncertainty in the level of future foreign currency rates, to hedge against fluctuations in currency exchange rates or to transfer balances from one currency to another. The Portfolio may hedge such currency exposure by entering into foreign forward currency contracts. In regard to currency hedging, it is generally not possible to precisely match the foreign currency exposure of such forward foreign currency contracts to the value of the securities involved due to fluctuations in the market values of such securities and cash flows into and out of the Portfolio between the date a forward foreign currency contract is entered into and the date it expires. The Portfolio also may enter into credit default swaps on issuers or indices to buy or sell credit protection to hedge its credit exposure, gain market or issuer exposure without owning the underlying securities, or increase the Portfolio s expected total return. The Portfolio may also use futures contracts and options on futures contracts to adjust market exposure based on actual or expected cash inflows to or outflows from the Portfolio. The Portfolio may lend its portfolio securities to generate additional income. Principal Risks Market Risk: Even a long-term investment approach cannot guarantee a profit. Economic, political, and issuerspecific events will cause the value of securities, and the Portfolio that owns them, to rise or fall. Because the value of your investment in the Portfolio will fluctuate, there is the risk that you will lose money. Commodity Risk: The value of commodity-linked derivative instruments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs, and international economic, political, and regulatory developments. Use of leveraged commodity-linked derivatives creates an opportunity for increased return but, at the same time, creates the possibility for greater loss (including the likelihood of greater volatility of the Portfolio s net asset value), and there can be no assurance that the Portfolio s use of leverage will be successful. Derivatives Risk: Derivatives can be used for hedging (attempting to reduce risk by offsetting one investment position with another) or non-hedging purposes. While hedging can reduce or eliminate losses, it also can reduce 2

7 or eliminate gains or cause losses if the market moves in a manner different from that anticipated by the Portfolio or if the cost of the derivative outweighs the benefit of the hedge. The use of derivatives for non-hedging purposes may be considered more speculative than other types of investments. When the Portfolio uses derivatives, the Portfolio will be directly exposed to the risks of those derivatives. Derivative instruments are subject to a number of risks, including commodity, counterparty, correlation, interest rate, liquidity, market, credit and management risks, and the risk of improper valuation. The Portfolio also may use derivatives for leverage. The Portfolio s use of derivatives, particularly commodity-linked derivatives, involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Changes in the value of a derivative may not correlate perfectly with the underlying asset, rate, or index, and the Portfolio could lose more than the principal amount invested. For example, potential losses from commoditylinked notes or swap agreements can be unlimited. Additional risks are associated with the use of credit default swaps, including counterparty and credit risk (the risk that the other party to a swap agreement will not fulfill its contractual obligations, whether because of bankruptcy or other default) and liquidity risk (the possible lack of a secondary market for the swap agreement). Also, suitable derivative transactions may not be available in all circumstances and there can be no assurance that the Portfolio will engage in these transactions to reduce exposure to other risks when that would be beneficial. Focus Risk: The Portfolio may be exposed, from time to time, to the performance of a small number of commodity sectors (e.g., energy, metals or agricultural), which may represent a large portion of the Portfolio. As a result, the Portfolio may be subject to greater volatility than if the Portfolio were more broadly diversified among commodity sectors. Foreign Securities and Currencies Risk: Foreign securities prices may decline or fluctuate because of: (a) economic or political actions of foreign governments, and/or (b) less regulated or liquid securities markets. Investors holding these securities may also be exposed to foreign currency risk (the possibility that foreign currency will fluctuate in value against the U.S. dollar or that a foreign government will convert, or be forced to convert, its currency to another currency, changing its value against the U.S. dollar). The Portfolio seeks to hedge foreign currency exposure. Foreign Government Debt Risk: The risk that: (a) the governmental entity that controls the repayment of government debt may not be willing or able to repay the principal and/or to pay the interest when it becomes due, due to factors such as political considerations, the relative size of the governmental entity s debt position in relation to the economy, cash flow problems, insufficient foreign currency reserves, the failure to put in place economic reforms required by the International Monetary Fund or other multilateral agencies, and/or other national economic factors; (b) governments may default on their debt securities, which may require holders of such securities to participate in debt rescheduling; and (c) there is no legal or bankruptcy process by which defaulted government debt may be collected in whole or in part. Interest Rate Risk: Fixed income securities are subject to interest rate risk because the prices of fixed income securities tend to move in the opposite direction of interest rates. When interest rates rise, fixed income security prices fall. When interest rates fall, fixed income security prices rise. In general, fixed income securities with longer maturities are more sensitive to changes in interest rates. Credit Risk: Credit risk is the risk that the issuer of a security, or the counterparty to an agreement or contract, including a derivative instrument, such as a credit default swap, may be unable or unwilling to meet its financial obligations. A downgrade to an issuer s credit rating or a perceived change in an issuer s financial strength may affect a security s value, and thus, impact the Portfolio s performance. Government agency obligations have different levels of credit support and, therefore, different degrees of credit risk. Securities issued by agencies and instrumentalities of the U.S. Government that are supported by the full faith and credit of the United States, such as the Federal Housing Administration and Ginnie Mae, present little credit risk. Other securities issued by agencies and instrumentalities sponsored by the U.S. Government, that are supported only by the issuer s right to borrow from the U.S. Treasury, subject to certain limitations, and securities issued by agencies and instrumentalities sponsored by the U.S. Government that are sponsored by the credit of the issuing agencies, such as Freddie Mac and Fannie Mae, are subject to a greater degree of credit risk. U.S. government agency securities issued or guaranteed by the credit of the agency may still involve a risk of non-payment of principal and/or interest. 3

8 Call Risk: Call risk is the risk that during periods of falling interest rates, a bond issuer will call or repay a higheryielding bond before its maturity date, forcing the Portfolio to reinvest in bonds with lower interest rates than the original obligations. Liquidity Risk: Certain portfolio holdings, such as commodity-linked derivative instruments and swap agreements, may be difficult or impossible to sell at the time and the price that the Portfolio would like. The Portfolio may have to lower the price, sell other holdings instead, or forego an investment opportunity. Any of these could have a negative effect on management of the Portfolio or the Portfolio s performance. Subsidiary Risk: By investing in the Subsidiary, the Portfolio is indirectly exposed to the risks associated with the Subsidiary s investments. The derivatives and other investments held by the Subsidiary are generally similar to those that are permitted to be held by the Portfolio and are subject to the same risks that apply to similar investments if held directly by the Portfolio. These risks are described elsewhere in this Prospectus. There can be no assurance that the investment objective of the Subsidiary will be achieved. The Subsidiary is not registered under the Investment Company Act of 1940, as amended (the 1940 Act ), and, unless otherwise noted in this Prospectus, is not subject to all of the investor protections of the 1940 Act. However, the Portfolio wholly owns and controls the Subsidiary, and the Portfolio and the Subsidiary are both managed by the Advisor, making it unlikely that the Subsidiary will take action contrary to the interests of the Portfolio and its shareholders. The Board of Directors of DFA Investment Dimensions Group Inc. (the Fund ) has oversight responsibility for the investment activities of the Portfolio, including its investment in the Subsidiary, and the Portfolio s role as the sole shareholder of the Subsidiary. The Subsidiary will be subject to investment restrictions and limitations and compliance policies and procedures substantially similar to those imposed on the Portfolio by the 1940 Act. Changes in the laws of the United States and/or the Cayman Islands could result in the inability of the Portfolio and/or the Subsidiary to continue to operate as it does currently and could adversely affect the Portfolio. For example, the Cayman Islands currently do not impose any income, corporate, or capital gains tax, estate duty, inheritance tax, gift tax, or withholding tax on the Subsidiary. If Cayman Islands law changes, such that the Subsidiary must pay Cayman Islands taxes, Portfolio shareholders likely would suffer decreased investment returns. Tax Risk: The tax treatment of commodity-linked derivative instruments may be adversely affected by changes in legislation, regulations or other legally binding authority. If, as a result of any such adverse action, the income of the Portfolio from certain commodity-linked derivatives was treated as non-qualifying income, the Portfolio might fail to qualify as a regulated investment company and be subject to federal income tax at the Portfolio level. As a regulated investment company, the Portfolio must derive at least 90% of its gross income for each taxable year from sources treated as qualifying income under the Internal Revenue Code of 1986, as amended (the Code ). The Portfolio has obtained private letter rulings from the Internal Revenue Service confirming that the income the Portfolio derives from a form of commodity-linked note and the Subsidiary constitutes qualifying income under the Code. However, the Internal Revenue Service suspended the issuance of further such rulings in July 2011 pending a review of its position, but has taken no action to revoke any such previously issued rulings. Should the Internal Revenue Service issue guidance, or Congress enact legislation, that adversely affects the tax treatment of the Portfolio s investment in the commodity-linked notes and/or the Subsidiary, it could limit the Portfolio s ability to pursue its investment strategy and the Portfolio might not qualify as a regulated investment company for one or more years. In this event, the Portfolio s Board of Trustees may authorize a significant change in investment strategy or Portfolio liquidation. The Portfolio will notify shareholders in advance of any significant change in investment strategy or a liquidation of the Portfolio. In lieu of potential disqualification, the Portfolio is permitted to pay a tax for certain failures to satisfy the income requirement, which, in general, are limited to those due to reasonable cause and not willful neglect. The Portfolio also may incur transaction and other costs to comply with any new or additional guidance from the Internal Revenue Service. For more information, please see the TAXATION OF THE PORTFOLIO AND ITS SHAREHOLDERS section in the Portfolio s Statement of Additional Information. Leveraging Risk: Certain transactions that the Portfolio may enter into may give rise to a form of leverage. Such transactions may include, among others, structured notes, swap agreements, futures contracts, and loans of portfolio securities. The use of leverage may cause the Portfolio to liquidate portfolio positions when it may not be advantageous to do so to satisfy its obligations or to meet segregation requirements. Leverage may cause the 4

9 Portfolio to be more volatile than if the Portfolio had not been leveraged. This is because leverage tends to exaggerate the effect of any increase or decrease in the value of the Portfolio s portfolio securities. Regulatory Risk: Governments, agencies, or other regulatory bodies may adopt or change laws or regulations that could adversely affect the issuer, the market value of the security, or the Portfolio s performance. Valuation Risk: The lack of an active trading market may make it difficult to obtain an accurate price for a security held by the Portfolio. Many commodity-linked derivative instruments are not actively traded. Securities Lending Risk: Securities lending involves the risk that the borrower may fail to return the securities in a timely manner or at all. As a result, the Portfolio may lose money and there may be a delay in recovering the loaned securities. The Portfolio could also lose money if the Portfolio does not recover the securities and/or the value of the collateral falls, including the value of investments made with cash collateral. Securities lending also may have certain adverse tax consequences. Cyber Security Risk: The Portfolio s and its service providers use of internet, technology and information systems may expose the Portfolio to potential risks linked to cyber security breaches of those technological or information systems. Cyber security breaches, amongst other things, could allow an unauthorized party to gain access to proprietary information, customer data, or fund assets, or cause the Portfolio and/or its service providers to suffer data corruption or lose operational functionality. Performance The bar chart and table immediately following illustrate the variability of the Portfolio s returns and are meant to provide some indication of the risks of investing in the Portfolio. The bar chart shows the changes in the Portfolio s performance from year to year. The table illustrates how annualized one year, five year and since inception returns, both before and after taxes, compare with those of a broad measure of market performance. The Portfolio s past performance (before and after taxes) is not an indication of future results. Updated performance information for the Portfolio can be obtained by visiting The after-tax returns presented in the table for the Portfolio are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on an investor s tax situation and may differ from those shown in the table. In addition, the after-tax returns shown are not relevant to investors who hold shares of the Portfolio through tax-deferred arrangements, such as 401(k) plans or individual retirement accounts. 5

10 DFA Commodity Strategy Portfolio Institutional Class Shares Total Returns (%) % % -9.09% % % January 2011-December 2015 Highest Quarter Lowest Quarter 10.71% (7/12 9/12) % (7/15 9/15) Annualized Returns (%) Periods ending December 31, YEAR 5 YEARS SINCE 11/09/2010 INCEPTION DFA Commodity Strategy Portfolio Return Before Taxes % % % Return After Taxes on Distributions % % % Return After Taxes on Distributions and Sale of Portfolio Shares % -8.59% -7.85% Bloomberg Commodity Index Total Return (reflects no deduction for fees, expenses, or taxes on sales) % % % Investment Advisor/Portfolio Management Dimensional Fund Advisors LP serves as the investment advisor for the Portfolio. Dimensional Fund Advisors Ltd. and DFA Australia Limited serve as the sub-advisors for the Portfolio. The following individuals are responsible for coordinating the day-to-day management of the Portfolio: David A. Plecha, Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since Joseph F. Kolerich, Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since Alan R. Hutchison, Portfolio Manager of the Advisor, has been a portfolio manager since

11 Purchase and Redemption of Fund Shares Investors may purchase or redeem shares of the Portfolio on each day that the NYSE is scheduled to be open for business by first contacting the Portfolio s transfer agent at (888) Shareholders that invest in the Portfolio through a financial intermediary should contact their financial intermediary regarding purchase and redemption procedures. The Portfolio generally is available for investment only by institutional clients, clients of registered investment advisors, clients of financial institutions and a limited number of certain other investors as approved from time to time by the Advisor. All investments are subject to approval of the Advisor. Tax Information The dividends and distributions you receive from the Portfolio are taxable and generally will be taxed as ordinary income, capital gains, or some combination of both, unless you are investing through a tax-deferred arrangement, such as a 401(k) plan or an individual retirement account, in which case distributions generally will be taxed as ordinary income when withdrawn from the plan or account. 7

12 Additional Information on Investment Objective and Policies The investment company described in this Prospectus offers a variety of investment portfolios. Each of the investment company s portfolios has its own investment objective and is the equivalent of a separate mutual fund. The Portfolio described in this Prospectus is designed for long-term investors. The investment objective of the Portfolio is to seek total return consisting of capital appreciation and current income. The Portfolio invests in commodity-linked derivative instruments, such as commodity-linked structured notes, swap agreements, commodity options, futures, and options on futures that provide exposure to the investment returns of the commodities markets without investing directly in physical commodities. The Portfolio will limit its direct investments in commodity-linked derivatives, including swaps, futures, and options, such that the income derived from such commodity-linked derivatives is limited to a maximum of 10% of the Portfolio s annual gross income. If future regulatory or legislative changes alter the tax treatment of commodity-linked derivatives, the Portfolio may no longer be required to limit its direct investments in these instruments. The Portfolio also may gain exposure to commodity markets by investing up to 25% of the Portfolio s total assets in the Subsidiary. The Subsidiary is advised by the Advisor and has the same investment objective as the Portfolio. The Subsidiary (unlike the Portfolio) may invest without certain limitations in commodity-linked notes, swap agreements, and other commodity-linked derivative instruments, including futures contracts on individual commodities or a subset of commodities and options on commodities. However, the Subsidiary will be subject to fundamental, non-fundamental, and certain investment restrictions and limitations substantially similar to those imposed on the Portfolio by the 1940 Act. If future regulatory or legislative changes alter the tax treatment of commodity-linked derivatives, the Portfolio may no longer invest in the Subsidiary. The remainder of the Portfolio s assets (other than amounts invested in structured notes, swaps and other derivatives or the Subsidiary) is expected to consist predominantly of fixed income instruments. For the fixed income securities the Portfolio may purchase, please refer to Investments in Fixed Income Securities, below. Under normal market conditions, the Portfolio will maintain an average duration of the fixed income portion of the Portfolio (excluding structured notes) of three years or less. In determining the credit quality of a security, the Advisor will use the highest rating assigned to the security. Duration is a measure of the expected life of a fixed income security that is used to determine the sensitivity of a security s price to changes in interest rates. The longer a security s duration, the more sensitive it will be to changes in interest rates. Similarly, a portfolio with a longer average portfolio duration will be more sensitive to changes in interest rates than a fund with a shorter average portfolio duration. In making purchase decisions, if the anticipated maturity risk premium is greater for longer-term securities in the eligible maturity range, the Advisor will focus investment in the longer-term area, otherwise, the Portfolio will focus investment in the shorter-term area of the eligible maturity range. INVESTMENTS IN COMMODITY-LINKED DERIVATIVE INSTRUMENTS The Portfolio s investments in commodity-linked derivative instruments will give the Portfolio exposure to the performance of a basket of commodity futures. The Portfolio s investment in commodity-linked derivative instruments may subject the Portfolio to greater volatility than investments in traditional securities, particularly if the instruments involve leverage. The prices of commodity-linked instruments may move in different directions than investments in traditional equity and debt securities or commodity spot prices. There can be no guarantee that the Portfolio s commodity-linked investments will not be correlated with traditional financial assets under any particular market conditions or correlated with commodity spot prices. Commodity-linked derivative instruments may not track the performance of commodity spot prices. In fact, commodity-linked structured notes may be structured in a way that results in the Portfolio s performance diverging from a commodity or commodity-index, perhaps materially. For example, a note can be structured to limit the loss or the gain on the investment, which would result in the Portfolio not participating in declines or increases in the underlying commodity or commodity index that exceed the limits. In addition, 25% or more of the Portfolio s total assets may be indirectly exposed to industries in one or more commodity sectors. Further, the Portfolio can invest more than 25% of its total assets in instruments (such as 8

13 structured notes) issued by companies in the financial services sector (which includes the banking, brokerage, and insurance industries). In that case, the Portfolio s values will fluctuate in response to events affecting issuers in those sectors. The Portfolio invests in commodity-linked derivatives that are structured notes, futures, swaps and hybrid instruments. The Portfolio typically will seek to gain exposure to the commodities markets by investing in commodity-linked structured notes with principal and/or coupon payments linked to the value of a commodity or a commodity index. These notes may be issued by U.S. and foreign banks, brokerage firms, insurance companies, and other corporations. These notes are debt securities of the issuer and so, in addition to fluctuating in response to changes in the underlying commodity, commodities, or commodity index, will be subject to credit and interest rate risks that typically affect debt securities. While structured notes typically are not rated, the Portfolio does not intend to enter into structured notes with issuers that do not have debt ratings of investment grade. The use of commodity-linked structured notes and other derivatives strategies, such as swaps or futures, is a principal strategy of the Portfolio. Derivatives strategies and the writing of uncovered (or so-called naked ) options are speculative and may hurt the Portfolio s performance. The Portfolio may attempt to hedge its investments in order to mitigate risk, but the Portfolio is not required to do so. In the event that the Portfolio s direct investment in commodity-linked derivatives is not limited in the future due to regulatory or legislative changes in the tax treatment of such derivatives, the Portfolio s investment in commodity-linked derivatives may result in it having greater or lesser exposure to commodities than the value of the Portfolio s net assets. Additional information about the Portfolio s derivatives and options strategy and related risks is included in the Statement of Additional Information (the SAI ). INVESTMENTS IN THE SUBSIDIARY The Portfolio may also gain exposure to commodity markets by investing up to 25% of its total assets in the Subsidiary. The Subsidiary invests primarily in commodity-linked derivative instruments, including swap agreements, commodity options, futures, and options on futures. Although the Portfolio may invest in these commodity-linked derivative instruments directly, the Portfolio may gain exposure to these derivative instruments indirectly by investing in the Subsidiary. To the extent that the Advisor believes that investing in the Subsidiary to provide exposure to these commodity-linked derivative instruments is better suited to provide exposure to the commodity market than commodity index-linked notes, the Portfolio s investment in the Subsidiary likely will increase. The Subsidiary also will invest in fixed income instruments, some of which are intended to serve as margin or collateral for the Subsidiary s derivatives position. The derivative instruments in which the Portfolio and the Subsidiary intend to invest include instruments linked to commodity indices. Additionally, the Portfolio or the Subsidiary may invest in derivative instruments linked to the value of a particular commodity or commodity futures contract, or a subset of commodities or commodity futures contracts, including swaps on commodity futures. The Portfolio s or the Subsidiary s investments in commoditylinked derivative instruments may specify exposure to commodity futures with different roll dates, reset dates, or contract months than those specified by a particular commodity index. As a result, the commodity-linked derivatives component of the Portfolio s investment portfolio may deviate from the returns of any particular commodity index. The Portfolio or the Subsidiary also may overweight or underweight its exposure to a particular commodity or a subset of commodities, such that the Portfolio has greater or lesser exposure than is represented by a particular commodity index. The portion of the Portfolio s or Subsidiary s assets exposed to any particular commodity or commodity sector will vary based on market conditions, but from time to time the portion could be substantial. To the extent that the Portfolio invests in the Subsidiary, the Portfolio may be subject to the risks associated with those derivative instruments and other securities, which are discussed elsewhere in this Prospectus. The Subsidiary is managed pursuant to substantial similar compliance policies and procedures, as the policies and procedures adopted by the Portfolio pursuant to the 1940 Act. As a result, the Advisor, in managing the Subsidiary s portfolio, is subject to the same 1940 Act investment policies and restrictions that apply to the management of the Portfolio and, in particular, to the requirements relating to portfolio leverage, liquidity, 9

14 brokerage, and the timing and method of the valuation of the Subsidiary s portfolio investments and shares of the Subsidiary. These policies and restrictions are described in detail in the Portfolio s SAI. The Fund s Chief Compliance Officer oversees implementation of the Subsidiary s policies and procedures, and makes periodic reports to the Fund s Board of Directors (the Board ) regarding the Subsidiary s compliance with its policies and procedures. The internal guidelines of the Portfolio may be more restrictive than the investment policies described in this Prospectus. The Portfolio and Subsidiary will test for compliance with certain investment restrictions on a consolidated basis, except that with respect to the Subsidiary s investments that may involve leverage, the Subsidiary will comply with asset segregation requirements under the 1940 Act and the SEC s interpretations thereof to the same extent as the Portfolio. The Subsidiary s investments in commodity-linked derivatives may result in the Subsidiary having greater or lesser exposure to commodities than the value of the Subsidiary s net assets. A greater exposure to commodities than the value of the Subsidiary s net assets may require the Portfolio to make additional contributions of capital to the Subsidiary so that the Subsidiary can comply with the asset segregation requirements of the 1940 Act. The Subsidiary has entered into a separate contract with the Advisor whereby the Advisor or its affiliates provide investment advisory and other services to the Subsidiary. For the investment advisory services it provides, the Advisor is entitled to a fee from the Subsidiary equal to 0.30% of the Subsidiary s average net assets on an annualized basis; however, pursuant to a contractual agreement, the Advisor has agreed to waive the management fee of the Subsidiary. Neither the Advisor nor any affiliate receives separate compensation from the Subsidiary for providing it with administrative services. The Portfolio pays the Advisor and its affiliates based on the Portfolio s assets, including the assets invested in the Subsidiary. The Subsidiary also has entered into separate contracts for the provision of custody, administrative, and accounting services with the same or with affiliates of the same service providers that provide those services to the Portfolio. The financial statements of the Subsidiary are available in the Portfolio s annual and semi-annual reports on a consolidated basis with the Portfolio s financial statements. Please refer to the SAI for additional information about the organization and management of the Subsidiary. INVESTMENTS IN FIXED INCOME SECURITIES The following is a description of the categories of fixed income investments that may be acquired by the Portfolio: 1. U.S. Government Obligations Debt securities issued by the U.S. Treasury that are direct obligations of the U.S. Government, including bills, notes and bonds. 2. U.S. Government Agency Obligations Issued or guaranteed by U.S. government-sponsored instrumentalities and federal agencies, which have different levels of credit support. The U.S. government agency obligations include, but are not limited to, securities issued by agencies and instrumentalities of the U.S. Government that are supported by the full faith and credit of the United States, such as the Federal Housing Administration and Ginnie Mae, including Ginnie Mae pass-through certificates. Other securities issued by agencies and instrumentalities sponsored by the U.S. Government may be supported only by the issuer s right to borrow from the U.S. Treasury, subject to certain limits, such as securities issued by Federal Home Loan Banks, or are supported only by the credit of such agencies, such as Freddie Mac and Fannie Mae. 3. Corporate Debt Obligations Nonconvertible corporate debt securities (e.g., bonds and debentures) and commodity-linked structured notes, which have received an investment grade rating by Moody s, Fitch, or S&P, or an equivalent rating assigned by another nationally recognized statistical rating organization ( NRSRO ), or if unrated, have been determined by the Advisor to be of comparable quality. 4. Bank Obligations Obligations of U.S. banks and savings and loan associations and dollar-denominated obligations of U.S. subsidiaries and branches of foreign banks, such as commodity-linked structured notes, certificates of deposit (including marketable variable rate certificates of deposit), time deposits and bankers acceptances. Bank certificates of deposit will be acquired only from banks having assets in excess of $1,000,000,

15 5. Commercial Paper Rated, at the time of purchase, A3 or better by S&P or Prime3 or better by Moody s or F3 or better by Fitch, or an equivalent rating assigned by another NRSRO, or, if unrated, issued by a corporation having an outstanding unsecured debt issue rated at least Baa3 by Moody s or BBB- by S&P or Fitch. 6. Repurchase Agreements Instruments through which the Portfolio purchases securities ( underlying securities ) from a bank or a registered U.S. government securities dealer, with an agreement by the seller to repurchase the securities at an agreed price, plus interest, at a specified rate. The underlying securities will be limited to U.S. government and agency obligations described in (1) and (2) above. The Portfolio will not enter into a repurchase agreement with a duration of more than seven days if, as a result, more than 10% of the value of the Portfolio s total assets would be so invested. In addition, a repurchase agreement with a duration of more than seven days will be subject to the Portfolio s illiquid securities policy. Also, the Portfolio only will invest in repurchase agreements with a bank if the bank has at least $1,000,000,000 in assets and is approved by the Investment Committee of the Advisor. The Advisor will monitor the market value of the securities plus any accrued interest thereon so that they will at least equal the repurchase price. 7. Foreign Government and Agency Obligations Bills, notes, bonds, and other debt securities issued or guaranteed by foreign governments, or their agencies and instrumentalities. 8. Supranational Organization Obligations Debt securities of supranational organizations such as the European Investment Bank, the Inter-American Development Bank or the World Bank, which are chartered to promote economic development. 9. Foreign Issuer Obligations Debt securities of non-u.s. issuers rated BBB- or better by S&P or Fitch, or Baa3 or better by Moody s, or an equivalent rating assigned by another NRSRO, or, if unrated, have been determined by the Advisor to be of comparable quality. 10. Eurodollar Obligations Debt securities of domestic or foreign issuers denominated in U.S. dollars but not trading in the United States. 11. Money Market Funds The Portfolio may invest in affiliated and unaffiliated registered and unregistered money market funds. The Portfolio also may invest in exchange-traded funds ( ETFs ) and similarly structured pooled investments for the purpose of gaining exposure to commodity markets while maintaining liquidity. The Portfolio s investments in the securities of other investment companies, including ETFs and money market funds, may involve the duplication of certain fees and expenses. The categories of investments that may be acquired by the Portfolio may include both fixed and floating rate securities. Floating rate securities bear interest at rates that vary with prevailing market rates. Interest rate adjustments are made periodically (e.g., every six months), usually based on a money market index such as the London Interbank Offered Rate (LIBOR) or the Treasury bill rate. The Portfolio s fixed income investments will be managed with a view to capturing credit risk premiums and term or maturity premiums. The term credit risk premium means the anticipated incremental return on investment for holding obligations considered to have greater credit risk than direct obligations of the U.S. Treasury, and maturity risk premium means the anticipated incremental return on investment for holding securities having maturities of longer than one month compared to securities having a maturity of one month. The Advisor believes that credit risk premiums are available largely through investment in commercial paper, certificates of deposit, and corporate obligations. The holding period for assets of the Portfolio will be chosen with a view to maximizing anticipated returns, net of trading costs. The Portfolio may engage in frequent trading of portfolio securities and, therefore, is expected to have a high portfolio turnover rate. The rate of portfolio turnover will depend upon market and other conditions; it will not be a limiting factor when management believes that portfolio changes are appropriate. While the Portfolio generally acquires securities in principal transactions and, therefore, does not pay brokerage commissions, the spread between the bid and asked prices of a security may be considered to be a cost of trading. Such costs ordinarily increase with trading activity. However, securities ordinarily will be sold when, in the Advisor s judgment, the monthly return of the Portfolio will be increased as a result of portfolio transactions after taking into account the 11

16 cost of trading. It is anticipated that short-term instruments will be acquired in the primary and secondary markets. A high portfolio turnover rate may have negative tax consequences to shareholders and may result in increased trading costs. The Portfolio normally will seek to hedge its exposure to foreign currencies to reduce the risk of loss due to fluctuations in currency exchange rates. The Portfolio will hedge its exposure to foreign currencies through the use of currency futures and options on futures, forward currency contracts, and currency options. Other Information COMMODITY POOL OPERATOR INFORMATION The Advisor is registered as a commodity pool operator ( CPO ) under the Commodity Exchange Act and the rules of the Commodity Futures Trading Commission ( CFTC ) and is subject to CFTC regulation with respect to the Portfolio. The CFTC has recently adopted rules regarding the disclosure, reporting and recordkeeping requirements that will apply with respect to the Portfolio as a result of the Advisor s registration as a CPO. Generally, these rules allow for substituted compliance with CFTC disclosure and shareholder reporting requirements, based on the Advisor s compliance with comparable SEC requirements. This means that for most of the CFTC s disclosure and shareholder reporting requirements applicable to the Advisor as the Portfolio s CPO, the Advisor s compliance with SEC disclosure and shareholder reporting requirements will be deemed to fulfill the Advisor s CFTC compliance obligations. However, as a result of CFTC regulation with respect to the Portfolio, the Portfolio may incur additional compliance and other expenses. The CFTC has neither reviewed nor approved the Portfolio, its investment strategies, or this Prospectus. Securities Loans The Portfolio is authorized to lend securities to qualified brokers, dealers, banks and other financial institutions for the purpose of earning additional income. While the Portfolio may earn additional income from lending securities, such activity is incidental to the investment objective of the Portfolio. The value of securities loaned may not exceed 33 1/3% of the value of the Portfolio s total assets, which includes the value of collateral received. To the extent the Portfolio loans a portion of its securities, the Portfolio will receive collateral consisting generally of cash or U.S. government securities. Collateral received will be maintained by marking to market daily and (i) in an amount equal to at least 100% of the current market value of the loaned securities with respect to securities of the U.S. Government or its agencies; (ii) in an amount generally equal to 102% of the current market value of the loaned securities with respect to U.S. securities; and (iii) in an amount generally equal to 105% of the current market value of the loaned securities with respect to foreign securities. Subject to its stated investment policies, the Portfolio will generally invest the cash collateral it receives for its loaned securities in The DFA Short Term Investment Fund (the Money Market Series ), an affiliated registered money market fund advised by the Advisor for which the Advisor receives a management fee of 0.05% of the average daily net assets of the Money Market Series. The Portfolio may also invest such collateral in securities of the U.S. Government or its agencies, repurchase agreements collateralized by securities of the U.S. Government or its agencies, and unaffiliated registered and unregistered money market funds. For purposes of this paragraph, agencies include both agency debentures and agency mortgage backed securities. In addition, the Portfolio will be able to terminate the loan at any time and will receive reasonable interest on the loan, as well as amounts equal to any dividends, interest, or other distributions on the loaned securities. However, dividend income received from loaned securities may not be eligible to be taxed at qualified dividend income rates. The Portfolio will be entitled to recall a loaned security in time to vote proxies or otherwise obtain rights to vote proxies of loaned securities if the Portfolio knows a material event will occur. In the event of the bankruptcy of the borrower of the Portfolio s securities, the Fund could experience delay in recovering the loaned securities or only recover cash or a security of equivalent value. See Principal Risks Securities Lending Risk for a discussion of the risks related to securities lending. 12

17 Securities Lending Revenue For fiscal year ended October 31, 2015, the Portfolio received the following net revenues from a securities lending program (see SECURITIES LOANS ), which constituted a percentage of the average daily net assets of the Portfolio: NET REVENUE PERCENTAGE OF NET ASSETS DFA Commodity Strategy Portfolio $16, % Management of the Fund The Advisor serves as investment advisor to the Portfolio. Pursuant to an Investment Management Agreement with the Portfolio, the Advisor is responsible for the management of the Portfolio s assets. The Portfolio is managed using a team approach. The investment team includes the Investment Committee of the Advisor, portfolio managers, and trading personnel. The Investment Committee is composed primarily of certain officers and directors of the Advisor who are appointed annually. As of the date of this Prospectus, the Investment Committee has ten members. Investment strategies for the Portfolio are set by the Investment Committee, which meets on a regular basis and also as needed to consider investment issues. The Investment Committee also sets and reviews all investment-related policies and procedures and approves any changes in regards to approved countries, security types, and brokers. In accordance with the team approach used to manage the Portfolio, the portfolio managers and portfolio traders implement the policies and procedures established by the Investment Committee. The portfolio managers and portfolio traders also make daily investment decisions regarding the Portfolio based on the parameters established by the Investment Committee. The individuals named in the Portfolio s INVESTMENT ADVISOR/ PORTFOLIO MANAGEMENT section coordinate the efforts of all other portfolio managers or trading personnel with respect to the day to day management of the Portfolio. Mr. Plecha is a Senior Portfolio Manager and Vice President of the Advisor and a member of the Investment Committee. Mr. Plecha received his BS from the University of Michigan at Ann Arbor in 1983 and his MBA from the University of California at Los Angeles in Mr. Plecha has been a portfolio manager since 1989 and responsible for the Portfolio since the end of Mr. Kolerich is a Senior Portfolio Manager and Vice President of the Advisor and a member of the Investment Committee. Mr. Kolerich has an MBA from the University of Chicago Booth School of Business and a BS from Northern Illinois University. Mr. Kolerich joined the Advisor as a portfolio manager in 2001 and has been responsible for the Portfolio since Mr. Hutchison is a Portfolio Manager of the Advisor. Mr. Hutchison holds an MBA from Drake University and a BBA from Texas Tech University. Mr. Hutchison joined the Advisor in 2006, has been a portfolio manager since 2013, and has been responsible for the DFA Commodity Strategy Portfolio since The Portfolio s SAI provides information about each portfolio manager s compensation, other accounts managed by the portfolio manager, and the portfolio manager s ownership of Fund shares. The Advisor provides the Portfolio with a trading department and selects brokers and dealers to effect securities transactions. Securities transactions are placed with a view to obtaining best price and execution. The Advisor s address is 6300 Bee Cave Road, Building One, Austin, TX A discussion regarding the basis for the Board approving the new Investment Management Agreement with respect to the Portfolio is available in the semiannual report for the Portfolio for the fiscal period ending April 30,