Imperial County Employees Retirement System

Transcription

1 Imperial County Employees Retirement System November 16, 2015 Mitchell Firestein, Portfolio Manager Ted Simpson, CFA, Vice President This information is provided for registered investment advisors and institutional investors and is not intended for public use. Dimensional Fund Advisors LP is an investment advisor registered with the Securities and Exchange Commission. Consider the investment objectives, risks, and charges and expenses of the Dimensional funds carefully before investing. For this and other information about the Dimensional funds, please read the prospectus carefully before investing. Prospectuses are available by calling Dimensional Fund Advisors collect at (512) or at us.dimensional.com/prospectus. Dimensional funds are distributed by DFA Securities LLC. #

2 Agenda 1. Performance 2. Characteristics 3. Investment Philosophy 4. Emerging Markets Value Portfolio 5. Dimensional 6. Summary 7. Appendix

3 Performance

4 Performance As of September 30, 2015 Annualized Returns 1 (%) 3rd Quarter 2015 Year to Date 1 Year 3 Years 5 Years 10 Years Since 2/07 Account 1st Full Month Since 5/98 Portfolio 1st Full Month EMERGING MARKETS VALUE PORTFOLIO MSCI Emerging Markets Index (net dividends) MSCI Emerging Markets Value Index (net dividends) Calendar Year Returns (%) EMERGING MARKETS VALUE PORTFOLIO MSCI Emerging Markets Index (net dividends) MSCI Emerging Markets Value Index (net dividends) Account Value EMERGING MARKETS VALUE PORTFOLIO $16,966,153 Performance data shown represents past performance and is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor s shares, when redeemed, may be worth more or less than their original cost. To obtain the most current month-end performance data, visit us.dimensional.com. 1. Returns for periods shorter than one year are not annualized. 2. Emerging Markets Value prospectus benchmark is MSCI Emerging Markets Index (net dividends). Due to unavailability of returns data from inception date, performance is that of MSCI Emerging Markets Index (gross dividends) from 5/98 to 12/98 and MSCI Emerging Markets Index (net dividends) from 1/99 forward. MSCI data copyright MSCI 2015, all rights reserved. Indices are not available for direct investment. See Appendix: Standardized Performance Data & Disclosures to learn how to obtain complete information on performance, investment objectives, risks, advisory fees, and expenses of Dimensional s funds. 4 #

5 Consistently Targeting Premiums Emerging Markets Value Portfolio 40.00% MSCI EM Value Index MSCI EM Index MSCI EM Small Index MSCI EM Index EM Value Portfolio MSCI EM Index 30.00% Calendar Year Returns 20.00% 10.00% 0.00% % % Calendar year returns for the period January 2004 to December Performance data shown represents past performance and is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month- end, visit us.dimensional.com. Legend represents: MSCI Emerging Markets Value minus MSCI Emerging Markets Index, MSCI Emerging Markets Small Index minus MSCI Emerging Index, and Emerging Markets Value Portfolio minus MSCI Emerging Markets Index. Collectively, the MSCI indices used herein are referred to as the "Index" or "Indices". Emerging Markets Value Portfolio and Index performance are in USD and are net dividends. Indices are not available for direct investment; therefore, their performance does not reflect the expenses associated with the management of an actual portfolio. MSCI data copyright MSCI 2015, all rights reserved. See Appendix: Standardized Performance Data & Disclosures to learn how to obtain complete information on performance, investment objectives, risks, advisory fees, and expenses of Dimensional s funds. 5

6 Emerging Markets by Price-to-Book Quartiles MSCI Emerging Markets Index (net dividends), % High Price-to-Book (Growth) 2 3 Low Price-to-Book (Value) 30% 20% Calendar Year Returns 10% 0% -10% -20% -30% Cumulative Return In USD. Price-to-book quartiles are defined as High Price-to-Book (Growth) = highest 25% by price-to-book, 2 = next 25% by price-to-book, 3 = next 25% by price-to-book, Low Price-to-Book (Value) = lowest 25% by price-to-book. Weights within the price-to-book quartiles are the beginning weight monthly averages for the period. Price-to-book quartile returns are the compounded monthly return for the period. MSCI data copyright MSCI 2015, all rights reserved. An index is not available for direct investment. Its performance does not reflect the expenses associated with the management of an actual portfolio. Past performance is no guarantee of future results. 6 #

7 Emerging Markets by Price-to-Book Quartiles January 2010 December 2014 CUMULATIVE RETURNS MSCI EMERGING MARKETS INDEX (net dividends) 80% 70% 60% 50% 40% 30% 20% 10% 0% AVERAGE WEIGHTS 80% 70% 60% 50% 40% 30% 20% 10% 0% MSCI Emerging Markets Index MSCI Emerging Markets Value Index DFA Emerging Markets Value Portfolio -10% High Price-to- Book (Growth) 2 3 Low Price-to- Book (Value) -10% High Price-to- Book (Growth) 2 3 Low Price-to- Book (Value) CUMULATIVE RETURNS (JANUARY 2010 DECEMBER 2014) MSCI Emerging Markets IMI Index (net dividends) 10.0% MSCI Emerging Markets Index (net dividends) 9.2% MSCI Emerging Markets Value Index (net dividends) 2.6% DFA Emerging Markets Value Portfolio -0.4% In USD. Performance data shown represents past performance and is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month- end, visit us.dimensional.com. Price-to-book quartiles are defined as High Price-to-Book (Growth) = highest 25% by price-to-book, 2 = next 25% by price-to-book, 3 = next 25% by price-to-book, Low Price-to-Book (Value) = lowest 25% by price-to-book. Weights within the price-to-book quartiles are the beginning weight monthly averages for the period. Price-to-book quartile returns are the compounded monthly return for the period. MSCI data copyright MSCI 2015, all rights reserved. Indices are not available for direct investment. Their performance does not reflect the expenses associated with the management of an actual portfolio. See Appendix: Standardized Performance Data & Disclosures to learn how to obtain complete information on performance, investment objectives, risks, advisory fees, and expenses of Dimensional s funds. 7 #

8 Emerging Markets Environment MSCI Emerging Markets IMI Index (net dividends) 1 YEAR AS OF SEPTEMBER 30, 2015 Value Neutral Growth Large % % % Mid % % % Small % % -9.07% 3 YEARS AS OF SEPTEMBER 30, 2015 Value Neutral Growth Large % % 2.37% Mid % % 1.43% Small % % 3.87% 5 YEARS AS OF SEPTEMBER 30, 2015 Value Neutral Growth Large % % 4.99% Mid % % 7.89% Small % % -5.21% Companies are classified as small, mid, and large by computing breakpoints based on total market capitalization in each country or region. Within the US, large is defined as the largest 70% of market cap, mid is the next 20%, and small is the smallest 10%. Within the non-us developed markets, large is the largest 70% of market cap, mid is the next 17.5%, and small is the smallest 12.5%. Within emerging markets, large is the largest 70% of market cap, mid is the next 15%, and small is the smallest 15%. Designations between value, neutral, and growth are constructed in each country or region based on price to book ratios. Value is defined as the 30% of market cap with the lowest price to book ratios, neutral is the next 40%, and growth is the highest 30%. Returns are the average of the first of each month for the specified time periods. MSCI data copyright MSCI 2015, all rights reserved. Indices are not available for direct investment. Their performance does not reflect the expenses associated with the management of an actual portfolio. 8

9 Characteristics

10 Characteristics As of September 30, 2015 MARKET CHARACTERISTICS EMERGING MARKETS VALUE PORTFOLIO MSCI Emerging Markets Index MSCI Emerging Markets Value Index Total Value of Eligible Universe (millions) $1,081,875 $3,291,251 $1,588,345 Number of Holdings 2, SIZE CHARACTERISTICS Wtd. Average Market Cap (millions) $20,776 $42,274 $49,329 Median Market Cap (millions) $336 $4,935 $4,519 VALUATION CHARACTERISTICS Aggregate Price-to-Book Wtd. Average Dividend-to-Price 3.29% 2.81% 3.84% PROFITABILITY CHARACTERISTICS Wtd. Average Profitability Operating income before depreciation and amortization minus interest expense scaled by book. Holdings are subject to change. MSCI data copyright MSCI 2015, all rights reserved. 10 #

11 Country Allocations As of September 30, 2015 EMERGING MARKETS VALUE PORTFOLIO MSCI Emerging Markets Index MSCI Emerging Markets Value Index PORTFOLIO WEIGHTS (%) Korea Taiwan China India South Africa Brazil Mexico Malaysia Thailand Indonesia Russia Poland Turkey Chile Philippines Hungary Czech Republic Colombia Greece Qatar UAE Peru Egypt REGIONAL SNAPSHOT Asia Pacific Latin America Europe Middle East and Africa Emerging Markets Value Portfolio 68.5% 69.4% 70.0% 16.0% MSCI Emerging Markets Index MSCI Emerging Markets Value Index 13.1% 12.9% 7.2% 7.5% 7.0% 8.4% 10.0% 10.1% Holdings are subject to change. Numbers may not total 100% due to rounding. MSCI data copyright MSCI 2015, all rights reserved. 11 #

12 Sector Allocations As of September 30, 2015 PORTFOLIO WEIGHTS (%) EMERGING MARKETS VALUE PORTFOLIO MSCI Emerging Markets Index MSCI Emerging Markets Value Index Financials Materials Industrials Energy Consumer Discretionary Information Technology Consumer Staples Utilities Telecommunication Services Health Care REITs Numbers may not total 100% due to rounding. Sectors defined by MSCI. MSCI data copyright MSCI 2015, all rights reserved. The REITs industry, a member of the Financials sector, is shown separately to illustrate its exclusion from certain funds. 12 #

13 Investment Philosophy

14 Dimensional Fund Advisors Putting financial science to work for clients We use information in market prices throughout our investment process to build solutions that pursue higher expected returns. We add value by identifying relevant dimensions of expected returns and continually balancing the tradeoffs among competing premiums, diversification, and costs. We work with clients to understand their long-term needs and to add to their success. 14 #

15 Dimensions of Expected Returns Expected returns are driven by prices investors pay and cash flows they expect to receive DIMENSIONS POINT TO SYSTEMATIC DIFFERENCES IN EXPECTED RETURNS EQUITIES Market Equity premium stocks vs bonds Company Size Market Cap (Small Cap Premium) Company Size Small cap premium small vs large companies Relative Price Price-to-Book (Value Premium) Relative Price 1 Value premium value vs growth companies Profitability Profitability 1 (Profitability Premium) 2 Profitability premium high vs low profitability companies To be considered a dimension of expected return, a premium must be: Sensible Persistent across time periods Pervasive across markets Robust to alternative specifications Cost-effective to capture in well-diversified portfolios Diversification does not eliminate the risk of market loss. 1. Relative price as measured by the price-to-book ratio; value stocks are those with lower price-to-book ratios. 2. Profitability is a measure of current profitability, based on information from individual companies income statements. 15 #

16 Dimensions of Expected Returns Illustrative index performance: Annualized compound returns (%) in US dollars US STOCKS DEVELOPED EX US MARKETS STOCKS EMERGING MARKETS STOCKS SMALL LARGE SMALL LARGE SMALL LARGE Profitability Relative Price Size Dimensional US Small Cap Index LOW Fama/French US Value Index HIGH Dimensional US High Profitability Index S&P 500 Index HIGH 9.04 Fama/French US Growth Index LOW Dimensional US Low Profitability Index Dimensional Intl. Small Cap Index LOW HIGH LOW HIGH Fama/French International Value Index HIGH Dimensional International High Profitability Index MSCI World ex USA Index (gross div.) Fama/French International Growth Index Dimensional Emerging Markets High Profitability Index Dimensional Emerging Markets Low Profitability Index Profitability is measured as operating income before depreciation and amortization minus interest expense scaled by book. Indices are not available for direct investment. Their performance does not reflect the expenses associated with the management of an actual portfolio. Past performance is not a guarantee of future results. Index returns are not representative of actual portfolios and do not reflect costs and fees associated with an actual investment. Actual returns may be lower. See Index Descriptions in the appendix for descriptions of Dimensional and Fama/French index data. Eugene Fama and Ken French are members of the Board of Directors for and provide consulting services to Dimensional Fund Advisors LP. The S&P data are provided by Standard & Poor s Index Services Group. MSCI data MSCI 2015, all rights reserved LOW 2.79 Dimensional International Low Profitability Index Dimensional Emerging Markets Small Cap Index Fama/French Emerging Markets Value Index HIGH MSCI Emerging Markets Index (gross div.) 9.80 Fama/French Emerging Markets Growth Index LOW #

17 Value vs. Growth Performance across Markets Cumulative Trailing 5 Year 1 Return Differences, Fama/French Indexes 200% US Large Value minus US Large Growth International Value minus International Growth US Small Value minus US Small Growth Emerging Markets Value minus Emerging Markets Growth 150% 100% 50% 0% -50% -100% -150% -200% 1929 (3 Yrs) In USD. 1. Except where noted. Indices are not available for direct investment. Their performance does not reflect the expenses associated with the management of an actual portfolio. Past performance is not a guarantee of future results. Index returns are not representative of actual portfolios and do not reflect costs and fees associated with an actual investment. Actual returns may be lower. See Index Descriptions in the appendix for descriptions of Fama/French index data. Eugene Fama and Ken French are members of the Board of Directors for and provide consulting services to Dimensional Fund Advisors LP. Emerging Markets Value is Fama/French Emerging Markets Value Index. Emerging Markets Growth is Fama/French Emerging Markets Growth Index. International Value is Fama/French International Value Index. International Growth is Fama/French International Growth Index. US Large Value is Fama/French US Large Value Research Index. US Large Growth is Fama/French US Large Growth Research Index. US Small Value is Fama/French US Small Value Research Index. US Small Growth is Fama/French US Small Growth Research Index. 17 #

18 Yearly Observations of Premiums Equity, size, relative price, and profitability: Emerging Markets MARKET minus BILLS Premiums 90% 60% 30% 0% -30% -60% SMALL CAP minus LARGE CAP Premiums 90% 60% 30% 0% -30% -60% VALUE minus GROWTH Premiums 90% 60% 30% 0% -30% -60% HIGH PROF minus LOW PROF Premiums 90% 60% 30% 0% -30% -60% Equity premium: Fama/French Emerging Markets Index minus one-month US Treasury Bills. Size premium: Dimensional Emerging Markets Small Cap Index minus MSCI Emerging Markets Index (gross dividends). Relative price premium: Fama/French Emerging Markets Value Index minus Fama/French Emerging Markets Growth Index. Profitability premium: Dimensional Emerging Markets High Profitability Index minus the Dimensional Emerging Markets Low Profitability Index. Profitability is measured as operating income before depreciation and amortization minus interest expense, scaled by book. Dimensional indices use Bloomberg data. Fama/French indices provided by Ken French. MSCI data copyright MSCI 2015, all rights reserved. Index descriptions available upon request. Indices are not available for direct investment. Their performance does not reflect the expenses associated with the management of an actual portfolio. Past performance is no guarantee of future results. Eugene Fama and Ken French are members of the Board of Directors for and provide consulting services to Dimensional Fund Advisors LP. 18

19 Five-Year Moving Average of Premiums Equity, size, relative price, and profitability: Emerging Markets 40% MARKET minus BILLS Premiums 20% 0% -20% SMALL CAP minus LARGE CAP Premiums 40% 20% 0% -20% VALUE minus GROWTH Premiums 40% 20% 0% -20% HIGH PROF minus LOW PROF Premiums 40% 20% 0% -20% Five-year rolling equity premium is computed as the five-year annualized compound return on the Fama/French Emerging Markets Index minus the five-year annualized compound return of the one-month US Treasury Bill. Five-year rolling size premium is computed as the five-year annualized compound return on the Dimensional Emerging Markets Small Cap Index minus the five-year annualized compound return on the MSCI Emerging Markets Index (gross dividends). Five-year rolling relative price premium is computed as the five-year annualized compound return on the Fama/French Emerging Markets Value Index minus the five-year annualized compound return on the Fama/French Emerging Markets Growth Index. The five-year rolling profitability premium is computed as the five-year annualized compound return on the Dimensional Emerging Markets High Profitability Index minus the five-year annualized compound return on the Dimensional Emerging Markets Low Profitability Index. Dimensional indices use Bloomberg data. Fama/French indices provided by Ken French. MSCI data copyright MSCI 2015, all rights reserved. Index descriptions available upon request. Indices are not available for direct investment. Their performance does not reflect the expenses associated with the management of an actual portfolio. Past performance is no guarantee of future results. Eugene Fama and Ken French are members of the Board of Directors for and provide consulting services to Dimensional Fund Advisors LP. 19

20 Emerging Markets Value Portfolio

21 Emerging Markets Value Portfolio Using an integrated approach to add value across all aspects of the investment process Structured based on systematic expected premiums: Market Company size Relative price (value) Profitability Offers broad sector and security diversification Balances competing premiums and manages implementation costs by using a disciplined and patient trading strategy Number of names shown are as of September 30, Holdings are subject to change. Number of countries shown include approved markets for investment as of the most recent published prospectus, February 28, Additional countries may be designated as approved markets for future investment. 21 #

22 Portfolio Construction: Security Selection and Weighting Emerging Markets Value Portfolio SIZE LARGE SMALL RELATIVE PRICE LOW HIGH Stocks with lowest 33% of P/B ratios 2 Stocks below 15% market cap 2 SIZE MID MEGA LOWEST HIGH LOW RELATIVE PRICE PROFITABILITY 1 LOW Focus on deep value securities In large caps, increased emphasis on higher expected return securities: Lower relative price, higher profitability, lower market cap In small caps, exclude companies with lowest expected returns: Low profitability and higher relative price PROFITABILITY 1 LOW HIGH LOWEST LOW As of 9/30/2015 Weighted Average Market Cap (millions) Aggregate Price-to-Book Weighted Average Profitability Emerging Markets Value Portfolio $20, MSCI Emerging Markets Index $42, MSCI Emerging Markets Value Index $49, RELATIVE PRICE 1. Profitability is measured as operating income before depreciation and amortization minus interest expense scaled by book. 2. Actual size and relative price breaks are determined at the country or region level. Holdings are subject to change. MSCI data copyright MSCI 2015, all rights reserved. 22 #

23 Refining the Universe Considerations and potential exclusions Structural REITs 1 Highly regulated utilities 1 Event-Driven Merger or target of acquisition Upcoming announcements Share classes with foreign restrictions and with significant premiums Recent IPO Bankruptcy Extraordinary events Ongoing Listing requirements Limited operating history Insufficient data Insufficient float or liquidity Considerations and potential exclusions apply to securities Dimensional determines to fall within these categories at the time of potential purchase. This is not a complete list of all possible considerations and potential exclusions, and is subject to change in all respects. 1. Not applicable to all strategies; also may not apply to certain companies organized as REITs. 23 #

24 Managing Momentum We incorporate momentum when making buy and sell decisions NEGATIVE MOMENTUM POSITIVE MOMENTUM PAST TODAY FUTURE PAST TODAY FUTURE Stock returns may exhibit momentum: RELATIVE RETURN Stocks with large relative underperformance tend to have negative excess returns in the next period. Stocks with large relative outperformance tend to have positive excess returns in the next period. Delay buys of securities otherwise eligible for purchase. Delay sells of securities otherwise eligible for sale. Charts for illustrative purposes only. 24 #

25 Integrated Portfolio Implementation Efficiently balancing expected premiums with the costs of turnover on a daily basis We continuously evaluate the portfolio: Buy/sell decisions consider expected daily premiums versus transactions costs. Spread trading over time to minimize market impact. Our process is built to focus on higher expected returns every day while considering costs. 25 #

26 Relative Price Advantages of Patient Trading Dimensional seeks to avoid demanding immediacy when trading Relative Price Advantage (bps) Sell Buy US Large US Small Non-US Developed Emerging Markets A trader who uses a flexible and patient approach should be able to achieve more favorable execution prices than a trader who demands immediacy. Data shows that over the 12 months ending December 2013, Dimensional generally bought at lower prices and sold at higher prices than a trader seeking immediacy. -25 Relative price advantage represents the difference between Dimensional s execution prices and execution prices based on other trades in the same security on the same date. 1 Past performance is not a guarantee of future results. The performance returns calculated for the Dimensional Strategies already reflect trading costs. 1. Fixed costs are excluded from the analysis. One year ending December 31, Source: Dimensional Fund Advisors LP. For more information and a description of the methodology used, see Dave Twardowski and Ryan J. Wiley, Global Trading Advantage of Flexible Equity Portfolios, April Market cap percentages for each region are as follows: US Large ( Top 87%), Small (next 7%). Non-US Developed and Emerging Markets include both large and small caps. 26 #

27 Dimensional

28 Global Investment Team, One Dynamic Process Investment Personnel Client Service Founded in 1981 Vancouver Toronto London Amsterdam Berlin Santa Monica Charlotte Tokyo Austin $376B in global AUM Singapore Melbourne Sydney More than 950 employees globally Dimensional Fund Advisors LP founded in Global AUM and number of employees as of September 30, Locations with offices operated by Dimensional. Dimensional refers to the Dimensional separate but affiliated entities generally, rather than to one particular entity. These entities are Dimensional Fund Advisors LP, Dimensional Fund Advisors Ltd., DFA Australia Limited, Dimensional Fund Advisors Canada ULC, Dimensional Fund Advisors Pte. Ltd., and Dimensional Japan Ltd. 28

29 Leading Financial Economists and Researchers Academics on Dimensional Fund Advisors LP s Board of Directors Eugene Fama 1, PhD, Nobel laureate University of Chicago Kenneth French 1, PhD Dartmouth College Academics on Dimensional s US Mutual Funds Board of Directors 2 George Constantinides, PhD University of Chicago John Gould, PhD University of Chicago Edward Lazear, PhD Stanford University Roger Ibbotson, PhD Yale University Myron Scholes, PhD, Nobel laureate Stanford University Abbie Smith, PhD University of Chicago Academics Providing Ongoing Consulting Services to Dimensional Robert Merton 1, PhD, Nobel laureate Massachusetts Institute of Technology Robert Novy-Marx, PhD University of Rochester Sunil Wahal, PhD Arizona State University Leaders of Dimensional s 3 Internal Research Staff Eduardo Repetto, PhD, Director, Co-Chief Executive Officer, and Co-Chief Investment Officer Gerard O Reilly, PhD, Co-Chief Investment Officer and Head of Research James Davis, PhD, Vice President Marlena Lee, PhD, Vice President Savina Rizova, PhD, Vice President Stanley Black, PhD, Vice President Massi De Santis, PhD, Vice President Dave Twardowski, PhD, Vice President As of May 20, Provide consulting services to Dimensional Fund Advisors LP. 2. Dimensional s US Mutual Funds refer to The DFA Investment Trust Company, DFA Investment Dimensions Group Inc., Dimensional Investment Group Inc. and Dimensional Emerging Markets Value Fund Inc. 3. "Dimensional refers to the Dimensional separate but affiliated entities generally, rather than to one particular entity. These entities are Dimensional Fund Advisors LP, Dimensional Fund Advisors Ltd., DFA Australia Limited, Dimensional Fund Advisors Canada ULC, Dimensional Fund Advisors Pte. Ltd., and Dimensional Japan Ltd. 29 #

30 Experienced Teams Ensure Consistency # Eduardo Repetto, 1 Director, Co-Chief Executive Officer, and Co-Chief Investment Officer David Booth, 1 Chairman and Co-Chief Executive Officer Stephen Clark, 1 Head of Global Institutional Services Gerard O Reilly, 1 Co-Chief Investment Officer and Head of Research Global Portfolio Management Joseph Chi, 1 Co-Head of Portfolio Management Jed Fogdall, 1 Co-Head of Portfolio Management Robert Deere, 1 Investment Director and Senior Portfolio Manager Graham Lennon, Head of Retirement Investment Strategies and Senior Portfolio Manager Arthur Barlow, Chairman, Managing Director, and Senior Portfolio Manager Bhanu Singh, Head of Asia Pacific Portfolio Management and Senior Portfolio Manager Akbar Ali, Senior Portfolio Manager Grady Smith, Senior Portfolio Manager Karen Umland, 1 Senior Portfolio Manager Stephen Garth, Portfolio Manager Fixed Income Portfolio Management David Plecha, 1 Global Head of Fixed Income Joseph Kolerich, 1 Senior Portfolio Manager Portfolio Managers: Alexander Fridman, Stephen Garth, Didier Haenecour, Kotaro Hama, Alan Hutchison, Travis Meldau, Pamela Noble, David Shao, Gillian Wilson As of September 30, Investment Committee Member. Equity Portfolio Management Senior Portfolio Managers: Arun Keswani, Nathan Lacaze, Robert Ness, Daniel Ong, Mary Phillips, Allen Pu, Joel Schneider, Lukas Smart Portfolio Managers: Marcus Axthelm, Murray Cockerell, Mitchell Firestein, Paul Foley, Jason Ha, Joe Hohn, Kotaro Hama, David Kershner, John Law, Slava Platkov, Stephen Quance, David Quinn, Adam Ward, Brian Walsh, Jim Whittington, Craig Wright Associate Portfolio Managers: Ashish Bhagwanjee, Joshua Clifford, Will Collins-Dean, Emily Cornell, Gavin Crabb, Damian Dormer, Krati Gokharu, Edward Grace, John Hertzer, Sunil Suri, Althea Trevor Trading Henry Gray, 1 Head of Global Equity Trading Jason Lapping, Head of Asia Pacific Trading John Romiza, Head of International Trading Ryan Wiley, Head of Americas Trading Global Equity Trading Senior Traders: Mark Butterworth, Christian Gunther, Le Tran, Sam Willis Traders: William Letheren, Richard Mar, Erhan Oktay, Chris Rink, Frances Ritter, James Simpson, Jonathan Smith, Scott Van Pelt, David Vrolyk, Hayato Yonemori Fixed Income Trading David LaRusso, Senior Trader Claudette Higdon, Trader Robert Richardson, Trader Polly Weiss, Trader 30

31 Dimensional Global Investment Solutions $376 billion in global AUM as of September 30, 2015 (in billions) US $123.6 All Cap Core $38.8 All Cap Value $4.9 Growth $0.9 Large Cap $9.9 Large Cap Value $19.3 SMID Cap Value $12.2 Small Cap $16.5 Small Cap Value $15.0 Micro Cap $6.1 Emerging Markets $52.3 All Cap Core $18.5 Value $23.9 Large Cap $5.1 Small Cap $4.8 Global Equity $23.1 All Cap/Large Cap $14.1 Value $6.8 Small/SMID Cap $2.2 Developed ex US $73.7 All Cap Core $19.3 All Cap Value $3.9 Growth $0.2 Large Cap $6.1 Large Cap Value $16.0 Small Cap $14.4 Small Cap Value $13.7 Other $18.2 Real Estate $11.4 Commodities $1.2 Global Balanced $5.6 Fixed Income $85.2 US $47.2 US Tax-Exempt $4.3 Non-US & Global $30.0 Inflation-Protected $3.6 REITs & Commodities 3.3% Global Balanced 1.5% Global Equity 6.1% US Equities 32.9% Fixed Income 22.7% Developed ex US Equities 19.6% Emerging Markets 13.9% Dimensional refers to the Dimensional separate but affiliated entities generally, rather than to one particular entity. These entities are Dimensional Fund Advisors LP, Dimensional Fund Advisors Ltd., DFA Australia Limited, Dimensional Fund Advisors Canada ULC, Dimensional Fund Advisors Pte. Ltd., and Dimensional Japan Ltd. All assets in US dollars. Numbers may not total 100% due to rounding. 31 #

32 Summary

33 Strong Track Record of Equity Performance Long-term outperformance relative to benchmarks with reasonable tracking error Dimensional Strategy Inception Benchmark 1 Years Last 5 NON-US Last 10 Years Since 1st Full Month R 2 International Small Company Portfolio 1996 MSCI World ex USA Small Cap International Small Cap Value Portfolio 1995 MSCI World ex USA Small Cap International Value Portfolio 1994 MSCI World ex USA International Core Equity Portfolio 2005 MSCI World ex USA Emerging Markets Small Cap Portfolio 1998 MSCI Emerging Markets Emerging Markets Value Portfolio 1998 MSCI Emerging Markets Emerging Markets Portfolio 1994 MSCI Emerging Markets Emerging Markets Core Equity Portfolio 2005 MSCI Emerging Markets US As of September 30, 2015 Annualized Difference (basis points) US Micro Cap Portfolio 1982 Russell 2000 / Russell Microcap 158 / 97 4 / / 0.93 / US Small Cap Portfolio 1992 Russell US Small Cap Value Portfolio 1993 Russell 2000 Value US Targeted Value Portfolio 2000 Russell 2000 Value US Large Cap Value Portfolio 1993 Russell 1000 Value US Core Equity 1 Portfolio 2005 Russell Performance data shown represents past performance and is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor s shares, when redeemed, may be worth more or less than their original cost. To obtain the most current month-end performance data, visit us.dimensional.com. Basis Point: One hundredth of a percentage point (0.01%). R2: A high R2 (between 85 and 100) indicates the fund's performance patterns have been in line with the index. 1. For the US Micro Cap Portfolio, the Russell Microcap Index is listed in addition to its prospectus benchmark, the Russell 2000 Index. 2. Due to index data availability, MSCI All Country World ex USA Small Cap Index (net dividends) is used from: 10/96 to 12/98 for International Small Company Portfolio and 1/95 to 12/98 for International Small Cap Value Portfolio. The portfolios prospectus benchmark, MSCI World ex USA Small Cap Index (net dividends), is used from 1/99 forward. 3. Due to index data availability, the MSCI Emerging Markets Index (gross dividends) is used from: 5/94 to 12/98 for Emerging Markets Portfolio; 4/98 to 12/98 for Emerging Markets Small Cap Portfolio; and 5/98 to 12/98 for Emerging Markets Value Portfolio. The portfolios prospectus benchmark, MSCI Emerging Markets Index (net dividends), is used from 1/99 forward. Except as noted above, MSCI indices are net of foreign withholding taxes on dividends. Dimensional portfolios are net of all fees. R2 are since the Dimensional strategy s first full month of performance. Russell data Russell Investment Group , all rights reserved. MSCI data MSCI 2015, all rights reserved. Indices are not available for direct investment. See Appendix: Standardized Performance Data & Disclosures to learn how to obtain complete information on performance, investment objectives, risks, advisory fees, and expenses of Dimensional s funds. 33 #

34 Dimensional Fund Advisors A global investment firm 1 with a research-based, transparent, and process-driven approach An investment philosophy based on sound academic research An investment process that adds value through portfolio structure and implementation Investment solutions that provide access to sources of higher expected returns A firmwide commitment to our clients 1. Refers to the Dimensional separate but affiliated entities generally, rather than to one particular entity. These entities are Dimensional Fund Advisors LP, Dimensional Fund Advisors Ltd., DFA Australia Limited, Dimensional Fund Advisors Canada ULC, Dimensional Fund Advisors Pte. Ltd., and Dimensional Japan Ltd. 34 #

35 Appendix

36 Firm Update As of September 30, 2015 Organizational Updates More than 950 employees firmwide; $376 billion in assets under management Morningstar recently issued a new Stewardship Grade for Dimensional. The firm s overall grade which considers corporate culture, fund board quality, fund manager incentives, fees, and regulatory history is an A. Announced plans to open an East Coast office in Charlotte, North Carolina New Products: Municipal Bond Portfolio (March 2015), Targeted Credit Portfolio (May 2015), and NY Municipal Bond Portfolio (June 2015) Upcoming Events Defined Contributions Regional: Nov. 19 (Charlotte) Institutional Luncheons: Oct. 28 breakfast (Phoenix), Nov. 4 (Dallas), Nov. 5 (Houston), and Nov. 12 (Palo Alto) Annual Symposium: April 25-27, 2016 Recently Published Articles A Review of the Empirical Evidence on the Dimensions of Expected Stock Returns reviews the recent empirical studies on the cross-section of expected stock returns and discusses their practical implications. Classifying Countries: The Emerging-Developed Continuum finds that investors desiring an allocation to emerging markets may benefit from an approach that integrates emerging and developed markets Emerging Markets Doubts considers the role of emerging markets in a well-diversified global portfolio 36 #

37 Fees Net Expense Ratio 1 Total (Gross) Expense Ratio 1 Management Fee 1 Emerging Markets Value Portfolio Actual fees as of October 31, 2014, amended July 21, The net expense ratio takes into account contractual management fee waivers/caps and expense assumption agreements that are in effect through 2/28/2016. The fund's prospectus, contains more information on fees and expenses 37 #

38 Standardized Performance Data & Disclosures Performance data shown represents past performance. Past performance is no guarantee of future results, and current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor s shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month end, access our website at us.dimensional.com. Consider the investment objectives, risks, and charges and expenses of the Dimensional funds carefully before investing. For this and other information about the Dimensional funds, please read the prospectus carefully before investing. Prospectuses are available by calling Dimensional Fund Advisors collect at (512) or at us.dimensional.com/prospectus. Dimensional funds are distributed by DFA Securities LLC. Dimensional Fund Advisors LP is an investment advisor registered with the Securities and Exchange Commission. Risks include loss of principal and fluctuating value. Investment value will fluctuate, and shares, when redeemed, may be worth more or less than original cost. Small and micro cap securities are subject to greater volatility than those in other asset categories. International and emerging markets investing involves special risks such as currency fluctuation and political instability. Investing in emerging markets may accentuate these risks. Sector-specific investments focus on a specific segment of the market, which can increase investment risks. Fixed income securities are subject to increased loss of principal during periods of rising interest rates. Fixed income investments are subject to various other risks, including changes in credit quality, liquidity, prepayments, call risk and other factors. Municipal securities are subject to the risks of adverse economic and regulatory changes in their issuing states. Real estate investment risks include changes in real estate values and property taxes, interest rates, cash flow of underlying real estate assets, supply and demand, and the management skill and creditworthiness of the issuer. Sustainability funds use environmental and social screens that may limit investment opportunities for the fund. Commodities include increased risks, such as political, economic, and currency instability, and may not be suitable for all investors. The Portfolio may be more volatile than a diversified fund because the Portfolio invests in a smaller number of issuers and commodity sectors. The fund prospectuses contain more information about investment risks. 38 #

39 # Standardized Performance Data & Disclosures Net Expense Ratio 1 (%) Total (Gross) Expense Ratio 1 (%) As of September 30, 2015 Average Annual Total Returns (%) Symbol 1 Year 5 Years 10 Years Since Inception Management Fee Inception Date US Equity Portfolios US Core Equity 1 Portfolio 2 DFEOX /15/2005 US Core Equity 2 Portfolio 2 DFQTX /15/2005 US Vector Equity Portfolio 2 DFVEX /30/2005 US Micro Cap Portfolio 2,4 DFSCX /23/1981 US Small Cap Portfolio 2 DFSTX /19/1992 US Small Cap Value Portfolio 2,4 DFSVX /2/1993 US Small Cap Growth Portfolio 2 DSCGX /20/2012 US Targeted Value Portfolio 2,4 DFFVX /23/2000 US Large Cap Value Portfolio 2,4 DFLVX /19/1993 US Large Cap Growth Portfolio 2 DUSLX /20/2012 US Large Company Portfolio 2 DFUSX /23/1999 US Large Cap Equity Portfolio 2 DUSQX /25/2013 Enhanced US Large Company Portfolio 2 DFELX /2/1996 Non-US Equity Portfolios International Core Equity Portfolio 2 DFIEX /15/2005 International Vector Equity Portfolio 2 DFVQX /14/2008 International Small Company Portfolio 2 DFISX /30/1996 International Small Cap Value Portfolio 2 DISVX /29/1994 International Small Cap Growth Portfolio 2 DISMX /20/2012 International Value Portfolio 2,4 DFIVX /15/1994 International Large Cap Growth Portfolio 2 DILRX /20/2012 Large Cap International Portfolio 2 DFALX /17/1991 Emerging Markets Core Equity Portfolio 2 DFCEX /5/2005 Emerging Markets Small Cap Portfolio 2,4 DEMSX /5/1998 Emerging Markets Value Portfolio 2,4 DFEVX /1/1998 Emerging Markets Portfolio 2,4 DFEMX /25/1994 World ex US Value Portfolio 2 DFWVX /23/2010 World ex US Targeted Value Portfolio 2 DWUSX /1/2012 World ex US Core Equity Portfolio 2 DFWIX /9/2013 Global Portfolios Global Allocation 25/75 Portfolio 2 DGTSX /24/2003 Global Allocation 60/40 Portfolio 2 DGSIX /24/2003 Global Equity Portfolio 2 DGEIX /24/2003 Selectively Hedged Global Equity Portfolio 2 DSHGX /14/2011 World Core Equity Portfolio 2,3 DREIX /7/ Actual fees as of October 31, The net expense ratio takes into account contractual management fee waivers/caps and expense assumption agreements that are in effect through 2/28/2016. The fund's prospectus contains more information on fees and expenses. 3. The net expense ratio takes into account the previous contractual management fee waivers/caps and expense assumption agreements that was in effect through 6/26/2014. Effective 6/27/2014, pursuant to an Amended and Restated Fee Waiver and Expense Assumption Agreement, the adviser will assume expenses to the extent necessary so that expenses will not exceed 0.35% of the average net assets of the class of the portfolio on an annualized basis. The Amended and Restated Fee Waiver and Expense Assumption Agreement will remain in effect through 2/28/2016. The fund's prospectus contains more information on fees and expenses. 4. Fees amended as of July 21, See prospectus. 39

40 Standardized Performance Data & Disclosures As of September 30, 2015 Average Annual Total Returns (%) Symbol 1 Year 5 Years 10 Years Since Inception Net Expense Ratio 1 (%) Total (Gross) Expense Ratio 1 (%) Management Fee Inception Date Tax Managed Portfolios 2 Tax-Managed US Small Cap Portfolio 3 DFTSX /15/1998 After Taxes on Distributions After Taxes on Distributions and Sale of Fund Shares Tax-Managed US Targeted Value Portfolio 3,6 DTMVX /11/1998 After Taxes on Distributions After Taxes on Distributions and Sale of Fund Shares Tax-Managed US Equity Portfolio 3 DTMEX /25/2001 After Taxes on Distributions After Taxes on Distributions and Sale of Fund Shares Tax-Managed US Marketwide Value Portfolio 3,6 DTMMX /14/1998 After Taxes on Distributions After Taxes on Distributions and Sale of Fund Shares Tax-Managed International Value Portfolio 3 DTMIX /16/1999 After Taxes on Distributions After Taxes on Distributions and Sale of Fund Shares TA US Core Equity 2 Portfolio 3 DFTCX /4/2007 After Taxes on Distributions After Taxes on Distributions and Sale of Fund Shares TA World ex US Core Equity Portfolio 3 DFTWX /6/2008 After Taxes on Distributions After Taxes on Distributions and Sale of Fund Shares Real Estate Portfolios Real Estate Securities Portfolio 3 DFREX /5/1993 International Real Estate Securities Portfolio 4,6 DFITX /1/2007 Global Real Estate Securities Portfolio 5,6 DFGEX /4/ Actual fees as of October 31, Assumed highest marginal tax rate in effect for capital gains and ordinary income. Income from funds managed for tax efficiency may be subject to an alternative minimum tax and/or any applicable state and local taxes. 3. The net expense ratio takes into account contractual management fee waivers/caps and expense assumption agreements that are in effect through 2/28/2016. The fund's prospectus contains more information on fees and expenses. 4. The Management Fee and Total Annual Fund Operating Expenses have been adjusted to reflect the estimated management fee and estimated fund operating expenses to be paid by the Portfolio for the fiscal year ended October 31, 2015, as a result of a decrease in the management fee payable by the Portfolio from 0.35% to 0.25% and an amendment to the Fee Waiver and Expense Assumption Agreement effective as of February 28, The Advisor has agreed to waive certain fees and in certain instances, assume certain expenses of the Portfolio. The Fee Waiver and Expense Assumption Agreement for the Portfolio will remain in effect through February 28, The fund's prospectus contains more information on fees and expenses. 5. The Management Fee and Total Annual Fund Operating Expenses have been adjusted to reflect the estimated management fee to be paid by the Portfolio for the fiscal year ended October 31, 2015, as a result of a decrease in the management fee payable by the Portfolio from 0.27% to 0.20% effective as of February 28, Total Annual Fund Operating Expenses After Fee Waiver and/or Expense Reimbursement has been adjusted to reflect an amendment to the Fee Waiver and Expense Assumption Agreement for the Portfolio with the Advisor effective as of February 28, 2015, which reduced the expense limitation amount for the Portfolio. The Advisor has agreed to waive certain fees and in certain instances, assume certain expenses of the Portfolio. The Fee Waiver and Expense Assumption Agreement for the Portfolio will remain in effect through February 28, The fund's prospectus contains more information on fees and expenses. 6. Fees amended as of July 21, See prospectus. 40 #

41 Standardized Performance Data & Disclosures As of September 30, 2015 Average Annual Total Returns (%) Symbol 1 Year 5 Years 10 Years Since Inception Net Expense Ratio 1 (%) Total (Gross) Expense Ratio 1 (%) Management Fee Inception Date Social and Sustainability Portfolios US Sustainability Core 1 Portfolio 2 DFSIX /12/2008 International Sustainability Core 1 Portfolio 2 DFSPX /12/2008 US Social Core Equity 2 Portfolio 2 DFUEX /1/2007 International Social Core Equity Portfolio 2 DSCLX /1/2012 Emerging Markets Social Core Equity Portfolio 2 DFESX /31/2006 Fixed Income Portfolios One-Year Fixed Income Portfolio 2 DFIHX /25/1983 Short-Term Government Portfolio 2 DFFGX /1/1987 Short-Term Extended Quality Portfolio 2 DFEQX /4/2009 California Short-Term Municipal Bond Portfolio 2 DFCMX /2/2007 Short-Term Municipal Bond Portfolio 2 DFSMX /20/2002 Short-Duration Real Return Porfolio 2 DFAIX /5/2013 Two-Year Global Fixed Income Portfolio 2 DFGFX /9/1996 Selectively Hedged Global Fixed Income Portfolio 2 DFSHX /9/2008 Five-Year Global Fixed Income Portfolio 2 DFGBX /6/1990 Municipal Real Return Portfolio 3 DMREX /4/2014 Municipal Bond Portfolio 3 DFMPX /10/2015 California Intermediate-Term Municipal Bond Portfolio 2 DCIBX /29/2011 NY Municipal Bond Portfolio 3 DNYMX /16/2015 Intermediate-Term Municipal Bond Portfolio 2 DFTIX /1/2012 Targeted Credit Portfolio 4 DTCPX /20/2015 Intermediate Government Fixed Income Portfolio 2,6 DFIGX /19/1990 Intermediate-Term Extended Quality Portfolio 2 DFTEX /20/2010 Investment Grade Portfolio 2 DFAPX /7/2011 Inflation-Protected Securities Portfolio 2 DIPSX /18/2006 LTIP Portfolio 2,5 DRXIX /7/2012 World ex US Government Fixed Income Portfolio 2 DWFIX /6/2011 Commodities Portfolio Commodity Strategy Portfolio 2 DCMSX /9/ Actual fees as of October 31, The net expense ratio takes into account contractual management fee waivers/caps and expense assumption agreements that are in effect through 2/28/2016. The fund's prospectus contains more information on fees and expenses. 3. The net expense ratio takes into account a fee waiver and expense assumption agreement that will remain in effect through 2/28/2016. Expense ratios are based on anticipated fees and expenses for the first full fiscal year. 4. Expense ratio is based on anticipated fees and expenses for the first full fiscal year and takes into account contractual management fee waivers/caps and expense assumption agreements that are in effect through 2/28/2017. The fund's prospectus contains more information on fees and expenses. 5. Prior to February 28, 2015, the DFA LTIP Portfolio was the Dimensional Retirement Fixed Income Fund III. The Advisor has agreed to waive certain fees and in certain instances, assume certain expenses of the DFA LTIP Portfolio. Total Annual Fund Operating Expenses After Fee Waiver and/or Expense Reimbursement has been adjusted to reflect an amendment to the Amended and Restated Fee Waiver and Expense Assumption Agreement for the Portfolio with the Advisor effective as of February 28, 2015, which reduced the expense limitation amount for the Portfolio. The Amended and Restated Fee Waiver and Expense Assumption Agreement for the Portfolio will remain in effect through February 28, 2016, and may only be terminated by the Fund s Board of Directors prior to that date. Under certain circumstances the Advisor retains the right to seek reimbursement for any fees previously waived and/or expenses previously assumed up to thirty-six months after such fee waiver and/or expense assumption. 6. Fees amended as of July 21, See prospectus. 41 #