Systematic Value Investing

and Beyond
Insights From 40+ Years of Research and Real-World
Experience

Emily Cornell
Senior Portfolio Manager and Vice President,
Dimensional Fund Advisors
October 2022

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 • Why Value
Agenda • Untangling Intangibles
• Going Beyond Value

2
Why Value

3
Valuation Equation
Not all securities have the same expected return

Expected returns are

driven by prices investors
pay and cash flows they
expect to receive.
Expected
Future Cash Flows

Market Value =
Discount Rate

For illustrative purposes only.

4
Yearly Observations of Premiums
Value minus growth: US Markets, 1928–2021

In many years, the realized

premiums look different
from the long run average

Past performance is no guarantee of future results. Actual returns may be lower.

In USD. Indices are not available for direct investment. Index returns are not representative of actual portfolios and do not reflect costs and fees associated with an actual investment. Yearly premiums are calculated as the difference in one-year returns between the two indices
described. Value minus Growth: Fama/French US Value Research Index minus the Fama/French US Growth Research Index. See “Index Descriptions” in the appendix for descriptions of Dimensional and Fama/French index data.

5
How Often Have Premiums Been Negative?
Percentage of 1-, 5-, and 10-year periods with negative premiums,
US equity market through December 31, 2021
1 Year 5 Years 10 Years

30%
Market 21%
14%

44%
Size 39%
30%

40%
Value 29%
19%

34%
Profitability 19%
8%

Past performance is no guarantee of future results.

Percentage of rolling 1-, 5-, and 10-year periods with negative premiums is calculated using monthly return data from June 1927 to December 2021 for market, size, and value, and from July 1963 to December 2021 for profitability. Market: Fama/French Total US Market Research
Index minus the One-Month US Treasury Bill. Size: Dimensional US Small Cap Index minus the S&P 500 Index. Value: Fama/French US Value Research Index minus the Fama/French US Growth Research Index. Profitability: Fama/French US High Profitability Index minus the
Fama/French US Low Profitability Index. Profitability is measured as operating income before depreciation and amortization minus interest expense scaled by book. One-Month US Treasury Bills is the IA SBBI US 30 Day TBill TR USD provided by Ibbotson Associates via
Morningstar Direct. Dimensional indices use CRSP and Compustat data. Indices are not available for direct investment; therefore, their performance does not reflect the expenses associated with the management of an actual portfolio. See “Index Descriptions” in the appendix for
descriptions of Dimensional and Fama/French index data. S&P data © 2022 S&P Dow Jones Indices LLC, a division of S&P Global.

6
Value Outperformed Across Regions
As of June 30, 2022

YTD 2022 Q2 2022

Large Value – Large Growth Small Value – Small Growth

11.8% 13.1%
US
7.0% 5.7%

12.9% 9.7%
Developed ex US
3.6% 4.1%

10.1% 7.6%
Emerging Markets
2.6% -1.1%

Past performance is no guarantee of future results.

Returns are derived by Dimensional using constituent data from index providers, Dimensional computed security returns, and Dimensional classification of securities based on size and value parameters. Index representation as follows: US (Russell 3000 Index), Developed ex US
(MSCI World ex USA IMI Index), and Emerging Markets (MSCI Emerging Markets IMI Index). MSCI index returns are net dividend. Within the US, Large Cap is defined as approximately the largest 90% of market capitalization in each country or region; Small Cap is approximately
the smallest 10%. Within the non-US developed markets, Large Cap is defined as approximately the largest 87.5% of market capitalization in each country or region; Small Cap is approximately the smallest 12.5%. Within emerging markets, Large Cap is defined as approximately
the largest 85% of market capitalization in each country or region; Small Cap is approximately the smallest 15%. Designations between value and growth are based on price-to-book ratios. Value is defined as the 50% of market cap with the lowest price-to-book ratios by size
category and growth is the highest 50%. REITs and utilities, identified by GICS code, and stocks without size, relative price, or profitability metrics are excluded from this analysis. GICS was developed by and is the exclusive property of MSCI and S&P Dow Jones Indices LLC, a
division of S&P Global. Countries not in the Dimensional investable universe are excluded from the analysis. Indices are not available for direct investment. Their performance does not reflect the expenses associated with the management of an actual portfolio. Frank Russell
Company is the source and owner of the trademarks, service marks, and copyrights related to the Russell Indexes. MSCI data © MSCI 2022, all rights reserved.

7
Does Value Last Year Tell Us About This Year?
Annual value premiums and subsequent year value premium, US Market 1927–2021

Annual US Bottom Quartile Top Quartile

100%
Value Premium
50%

0%

-50%

Value Premium 100% Years Following Years Following

Bottom Quartile Top Quartile
in Subsequent Year
50%

0%

-50%
Average: Average:
4.25% 4.74%
In USD. Past performance is no guarantee of future results. Actual returns may be lower. Annual value premium is the return difference between the Fama/French US Value Research Index and the Fama/French US Growth Research Index. Indices are not available for direct
investment. Index returns are not representative of actual portfolios and do not reflect costs and fees associated with an actual investment. Source: CRSP and Compustat data calculated by Dimensional. Fama/French data provided by Fama/French. Eugene Fama and Ken French
are members of the Board of Directors of the general partner of, and provide consulting services to, Dimensional Fund Advisors LP. See "Index Descriptions" in the appendix for descriptions of Fama/French index data.

8
Historical Valuations Across Regions
Price-to-book ratio, As of July 2022

US Market Developed ex US Markets Emerging Markets

14 Value 14 14
Value Value
Growth Growth Growth
12 12 12
Growth–Value Spread Growth–Value Spread Growth–Value Spread

10 10 10

8 8 8

6 6 6

4 4 4

2 2 2

0 0 0

In USD. Source: CRSP and Compustat data calculated by Dimensional. Fama/French data provided by Fama/French.
For US Market: Value stocks represented by the Fama/French US Value Research Index. Growth stocks represented by the Fama/French US Growth Research Index. Monthly aggregate price-to-book ratios are computed as the inverse of the weighted average book-to-market
value as of month-end, where book equity used from July of year t through June of year t+1 is the book equity for the last fiscal year end in t-1, and market equity is as of month-end for each month. Firms with negative book value are excluded.
For Developed ex US and Emerging Markets: Developed ex US Markets (Emerging Markets) value stocks represented by the Fama/French International (Emerging Markets) Value Research Index. Developed ex US Markets (Emerging Markets) growth stocks represented by the
Fama/French International (Emerging Markets) Growth Research Index.
Eugene Fama and Ken French are members of the Board of Directors of the general partner of, and provide consulting services to, Dimensional Fund Advisors LP. See "Index Descriptions" in the appendix for descriptions of Fama/French index data.

9
Untangling
Intangibles

10
What Are Intangibles?

• Patents, licenses, trademarks, franchises, computer software as well as branding, reputation,

and goodwill.

• Externally acquired intangibles: reported on the balance sheet as assets.

• Internally developed intangibles: generally expensed as incurred on the income statement.

11
Comparing Tangible and Intangible Assets Over Time
Weighted Average PP&E, Internally Developed Intangibles, and Externally Acquired Intangibles,
Scaled by Assets, US Market, 1963–2018
0.6 Internally Developed Intangibles-to-Assets Similar ratio of estimated
Externally Acquired Intangibles-to-Assets internally developed
PP&E-to-Assets intangibles to assets over
0.5 many decades.

0.4
While PP&E has dropped
over time as a share of total
assets, externally acquired
0.3
intangibles have grown.

0.2

0.1

0.0
1963 1968 1973 1978 1983 1988 1993 1998 2003 2008 2013 2018

The series shown in the line graph above are ratios. The weighted average characteristics are evaluated annually at the end of June, assuming zero when the data are missing. Total assets are unadjusted for internally developed intangibles. Property, plant, and equipment (PP&E)
is net of accumulated depreciation. See “Intangibles Research” in the Appendix for additional information.

12
Internally Developed Intangibles Over Time
Evolution of Internally Developed Intangibles Relative to Total Assets, by Sector
US Market, 1963–2018
0.8 Consumers Manufacturing Technology Financials Health Care

0.7

0.6

0.5

0.4

0.3

0.2

0.1

0.0
1963 1968 1973 1978 1983 1988 1993 1998 2003 2008 2013 2018

The weighted average characteristics are evaluated annually at the end of June, assuming zero when the data are missing. Total assets are unadjusted for internally developed intangibles. Sectors are collapsed to broader categories according to “Sector Definitions” in the
Appendix. Bloomberg does not have a separate sector for health care, and the group of firms in related sub-sectors such as health care products, health care services, and biotechnology represents a small cross-section. Therefore, we do not carve them out from the consumer
non-cyclical sector. See “Intangible Research” in the Appendix for additional information.

13
Practical Caveats in Estimating Internally Developed Intangibles

Approach
• Accumulate research and development (R&D) expenses and a fraction of selling, general, and administrative (SG&A)
expenses, applying constant amortization rates.

Caveats
• Lack of market valuation
• Extracting internally developed intangibles only from R&D and SG&A
• Data availability and quality
• Constant amortization
• Lack of impairments
• Dependence on the length of public presence

14
Intangibles are Noisier Than You Think
Distribution of recognized and estimated intangibles (scaled by assets)

4
There is a substantial
amount of noise in the
estimates.
3

Likely little information

about the amount of off-
balance sheet intangibles
Recognized

2 capital.

0
0 1 2 3 4

Estimated
See “Noise in Intangibles Appendix” for details.

15
Testing the Impact of Intangibles on Value and Profitability
US Equity Average Monthly Return (%), July 1963–December 2018

Similar spreads in average

Sorted by Price/Book and Profitability Sorted by Price/Book and Profitability monthly returns between
Unadjusted for Intangibles Adjusted for Intangibles
high and low expected
return stocks.
PROFITABILITY PROFITABILITY

LOW HIGH Profitability LOW HIGH Profitability

Premium Premium
PRICE/BOOK

PRICE/BOOK
GROWTH 0.75 0.91 0.17 GROWTH 0.71 0.88 0.17

VALUE 0.92 1.07 0.15 VALUE 0.98 1.05 0.07

Value Value
0.18 0.16 0.33 0.27 0.17 0.34
Premium Premium

Past performance, including hypothetical performance, is no guarantee of future results. Actual investment returns may be lower.
Filters were applied to data retroactively and with the benefit of hindsight. Groups of stocks and their returns are hypothetical, are not representative of indices, actual investments or actual strategies managed by Dimensional, and do not reflect costs and fees associated with an
actual investment. Eligible firms are sorted into two groups representing the lower half (value) and upper half (growth) of the market based on relative price. Similarly, firms are also sorted into two groups based on profitability. We show the annualized compound return delivered by
firms in each of the four intersections that result from these two independent sorts. See “Intangibles Research” in the Appendix for additional information.

16
Testing the Impact of Intangibles on Value and Profitability
Developed ex US Equity Average Monthly Return (%), January 2000–December 2018

Similar spreads in average

Sorted by Price/Book and Profitability Sorted by Price/Book and Profitability monthly returns between
Unadjusted for Intangibles Adjusted for Intangibles
high and low expected
return stocks.
PROFITABILITY PROFITABILITY

LOW HIGH Profitability LOW HIGH Profitability

Premium Premium
PRICE/BOOK

PRICE/BOOK
GROWTH 0.11 0.35 0.24 GROWTH 0.10 0.30 0.20

VALUE 0.50 0.66 0.16 VALUE 0.54 0.63 0.08

Value Value
0.38 0.30 0.54 0.45 0.33 0.53
Premium Premium

Past performance, including hypothetical performance, is no guarantee of future results. Actual investment returns may be lower.
Filters were applied to data retroactively and with the benefit of hindsight. Groups of stocks and their returns are hypothetical, are not representative of indices, actual investments or actual strategies managed by Dimensional, and do not reflect costs and fees associated with an
actual investment. Eligible firms are sorted into two groups representing the lower half (value) and upper half (growth) of the market based on relative price. Similarly, firms are also sorted into two groups based on profitability. We show the annualized compound return delivered by
firms in each of the four intersections that result from these two independent sorts. See “Intangibles Research” in the Appendix for additional information.

17
Testing the Impact of Intangibles on Value and Profitability
Emerging Markets Equity Average Monthly Return (%), January 2000–December 2018

Similar spreads in average

Sorted by Price/Book and Profitability Sorted by Price/Book and Profitability monthly returns between
Unadjusted for Intangibles Adjusted for Intangibles
high and low expected
return stocks.
PROFITABILITY PROFITABILITY

LOW HIGH Profitability LOW HIGH Profitability

Premium Premium
PRICE/BOOK

PRICE/BOOK
GROWTH 0.40 0.70 0.29 GROWTH 0.33 0.71 0.39

VALUE 0.75 0.97 0.22 VALUE 0.79 0.88 0.09

Value Value
0.34 0.27 0.56 0.46 0.17 0.56
Premium Premium

Past performance, including hypothetical performance, is no guarantee of future results. Actual investment returns may be lower.
Filters were applied to data retroactively and with the benefit of hindsight. Groups of stocks and their returns are hypothetical, are not representative of indices, actual investments or actual strategies managed by Dimensional, and do not reflect costs and fees associated with an
actual investment. Eligible firms are sorted into two groups representing the lower half (value) and upper half (growth) of the market based on relative price. Similarly, firms are also sorted into two groups based on profitability. We show the annualized compound return delivered by
firms in each of the four intersections that result from these two independent sorts. See “Intangibles Research” in the Appendix for additional information.

18
Intangibles: Takeaways

• Lots of noise estimating internal intangibles

• Estimated internal intangibles have been a steady % of firm assets over many decades

• Adjusting for internal intangibles would have generated similar spreads between value/high
profitability and growth/low profitability over the full sample period

• Incorporating estimates of internal intangibles is likely to add a lot of noise to implementation

process with no compelling benefit for higher expected returns

19
Going Beyond
Value

20
The Importance of Integrating Multiple Premiums
Estimated probability of outperforming the S&P 500 Index

Integrating multiple
Size Tilt Value Tilt Profitability Tilt Integrated premiums can help
increase the reliability
of outperformance.
79%
75% 74%
68% 71%
65% 63% 65% 63% 65%
59% 57%

YEARS 1 3 5 1 3 5 1 3 5 1 3 5

These returns are calculated retrospectively with the benefit of hindsight. The projections or other information generated by bootstrapped samples regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results, and are not
guarantees of future results. Results will vary with each use and over time.
Indices are not available for direct investment; therefore, their performance does not reflect the expenses associated with the management of an actual portfolio. Estimated probability of outperformance is computed by performing one hundred thousand bootstrapped runs of
monthly returns from January 1975 to December 2021. For each return comparison, returns are bootstrapped jointly for the S&P 500 Index and tilted US portfolios, and the probability of outperformance is calculated as the percentage of sample return trajectories in which the
annualized compound return of the tilted portfolio is greater than that of the S&P 500 Index. The simulations account for the impact of unknown expected returns following the methodology of Fama and French (2018). Integrated represented by Dimensional US Adjusted Market 1
Index without exclusions. Size tilt: Emphasizes stocks in the Integrated index with lower market capitalization. Value tilt: Emphasizes stocks in the Integrated index with lower price-to-book ratio. Profitability tilt: Emphasizes stocks in the Integrated index with higher profitability.
Profitability is measured as operating income before depreciation and amortization minus interest expense scaled by book. S&P data © 2022 S&P Dow Jones Indices LLC, a division of S&P Global. All rights reserved. Please see “Appendix: US All Cap Simulations” for descriptions
of Dimensional index data and the size, value, and profitability tilt hypothetical illustrations.

21
Targeting Higher Expected Returns
Simulated return statistics, July 1974–December 2019

Market-plus-Single- Market-plus-Satellite Despite similar historical

Market Integrated Core Factors Combination Combination average outperformance,
integrated core approach
Annualized Compound Return (%) 11.8 13.0 12.9 13.2 has the lowest tracking
error—less uncertainty
Annualized Standard Deviation (%) 15.5 15.7 16.3 15.9 around the expected
excess return.
Average Monthly Return (%) 1.0 1.1 1.1 1.1

t-Statistic vs. Market -- 3.5 2.5 3.3

Annualized Tracking Error vs. Market (%) -- 2.1 3.0 2.6

Past performance, including simulated performance, is no guarantee of future results, and there is always the risk that a client may lose money.
In USD. Simulated data for research purposes only. This does not reflect actual performance of a live or proposed strategy. Results of an actual account may vary significantly. Simulated returns are hypothetical, are subject to numerous limitations and do not reflect costs or fees
associated with an actual investment. See Appendix "Important Disclosures" for important information on simulated performance. Source: Dimensional, using CRSP and Compustat data. See Integrated Core vs Combination Appendix for more information on the simulated
strategies.

22
Estimated Probability of Outperformance
Based on simulated returns, July 1974–December 2019

Market-plus-Single-Factors Market-plus-Satellite The integrated core

Integrated Core Combination Combination approach can lead to
higher reliability of
outperformance.
84% 82%
79% 79% 77%
73%
68% 67%
64%

1 3 5 1 3 5 1 3 5
Year Years Years Year Years Years Year Years Years

Past performance, including simulated performance, is no guarantee of future results, and there is always the risk that a client may lose money. Simulated data for research purposes only. This does not reflect actual performance of a live or proposed strategy. Results of an actual
account may vary significantly. Simulated returns are hypothetical, are subject to numerous limitations and do not reflect costs or fees associated with an actual investment. Source: Dimensional, using CRSP and Compustat data. Estimated probability of outperformance is
computed by performing 10,000 bootstrapped runs of monthly returns from July 1974 to December 2019. For each simulated strategy, returns are bootstrapped jointly for the simulated strategy and the market, and the probability of outperformance is calculated as the percentage of
sample return trajectories in which the annualized compound return of the simulated strategy is greater than that of the market. The bootstrap simulations account for the impact of unknown expected returns following the methodology of Fama and French (2018). See Appendix
"Important Disclosures" for important information on simulated performance. See “Disclosure: Integrated Core vs. Combination” for additional information

23
We Conduct Research to Better Understand
Returns Over Varying Time Horizons

OBJECTIVE: Increase expected returns and manage risk every day

APPROACH: Use current information to balance premiums and costs over multiple time scales

Long-term Short-term Intra-day

Size, Relative Price, Profitability Investment, Momentum, Market Microstructure
Securities Lending

Identify, monitor, and refine robust Efficiently use variables that contain Analyze market microstructure to gain
multi-year drivers of differences in information about differences in insights that inform trading algorithms
expected returns across stocks. expected quarterly, monthly, or daily designed to reduce market impact
stock returns

24
TRANSLATING RESEARCH INSIGHTS INTO REAL-WORLD PORTFOLIOS

“Ideas alone are cheap—

implementation is what really counts.”
Myron Scholes

Myron Scholes, Frank E. Buck Professor Emeritus of Finance at Stanford University, is a Nobel laureate and was an Independent Director of the Dimensional US Mutual Fund Board from 1981-2021.

25
Appendix

26
Intangibles Research

Source: Dimensional, using CRSP and Compustat data for the US; Bloomberg and FactSet data for developed ex US and emerging markets.
The eligible universe includes firms of all market capitalization, excluding REITs, tracking stocks, and investment companies. The value and
profitability sorts as well as the regressions also exclude utilities. Sector-agnostic sorts rank firms across the market, while sector-by-sector
sorts rank firms within each broad sector category. Sorts are rebalanced semiannually and based on market capitalization. The market
includes all eligible firms at their market cap weight.
Following Peters and Taylor (2017), internally developed intangible capital for each firm at a point in time is estimated by accumulating the
historical spending on research and development (R&D) and a fraction of selling, general, and administrative (SG&A) expenses less R&D
while amortizing it at constant rates.
Profits are measured as operating income before depreciation and amortization minus interest expense. Profitability is measured as profits
scaled by book equity.
Book equity is adjusted for internally developed intangibles or its components by adding relevant components of estimated internally
developed intangibles to unadjusted book equity. Adjusted price-to-book is defined as market capitalization scaled by adjusted book equity.
Profits are adjusted for internally developed intangibles by adding R&D and 30% of SG&A to unadjusted profits. Profits are adjusted for
knowledge capital by adding R&D to unadjusted profits. Profits are adjusted for organizational capital by adding 30% of SG&A to unadjusted
profits. Adjusted profitability is defined as adjusted profits scaled by adjusted book equity.
Peters, Ryan H., and Lucian A. Taylor. "Intangible capital and the investment-q relation." Journal of Financial Economics 123, no. 2 (2017):
251-272

27
Noise in Intangibles Appendix

Source: Dimensional. The market data as well as M&A data are obtained from Bloomberg. Transaction-specific financial data such as
goodwill and recognized intangibles for acquirees are obtained from the 10-K reports of acquirers. The other financial data, such as total
assets as well as SG&A and R&D, required to compute estimated intangibles, are obtained from Compustat.
Sectors are based on GICS classification, obtained from Bloomberg and combined as follows. GICS was developed by and is the exclusive
property of MSCI and S&P Dow Jones Indices LLC, a division of S&P Global. Bloomberg data provided by Bloomberg. All rights reserved.

Broader Sector Category GICS

Consumers Consumer Discretionary
Consumer Staples
Healthcare Healthcare
Manufacturing Energy
Materials
Industrial
Utilities
Tech Information Technology
Communication Services
Financials Financials

28
Appendix: US All Cap Simulations

Dimensional US Adjusted Market 1 Index was created by Dimensional in March 2007 and is
compiled by Dimensional. January 1975–present: Dimensional US Adjusted Market 1 Index
Composition: Targets all the securities in the Eligible Market with an emphasis on companies
with smaller capitalization, lower relative price, and higher profitability, excluding those with the
lowest profitability and highest relative price within the small cap universe. The index also
excludes those companies with the highest asset growth within the small cap universe.
Profitability is defined as operating income before depreciation and amortization minus interest
expense divided by book equity. Asset growth is defined as change in total assets from the
prior fiscal year to current fiscal year. The Eligible Market is composed of securities of US
companies traded on the NYSE, NYSE MKT (formerly AMEX), and Nasdaq Global Market.
Exclusions: Non-US companies, REITs, UITs, and Investment Companies. Source: CRSP and
Compustat.
US All Cap with a Size Tilt: The US all cap simulation with a size tilt emphasizes stocks in the
Dimensional US Adjusted Market 1 Index with lower market capitalizations. The simulation is
rebalanced in a staggered fashion with one fourth of the strategy rebalanced at the end of each
quarter. Exclusions: REITs and Investment companies. Source: CRSP and Compustat.
US All Cap with a Value Tilt: The US all cap simulation with a value tilt emphasizes stocks in
the Dimensional US Adjusted Market 1 Index with lower price-to-book ratios. The simulation is
rebalanced in a staggered fashion with one fourth of the strategy rebalanced at the end of each
quarter. Exclusions: REITs and Investment companies. Source: CRSP and Compustat.
US All Cap with a Profitability Tilt: The US all cap simulation with a profitability tilt emphasizes
stocks in the Dimensional US Adjusted Market 1 Index with higher profitability. Profitability is
measured as operating income before depreciation and amortization minus interest expense
scaled by book. The simulation is rebalanced in a staggered fashion with one fourth of the
strategy rebalanced at the end of each quarter. Exclusions: REITs and Investment companies.
Source: CRSP and Compustat.

The Dimensional Index has been retrospectively calculated by Dimensional Fund Advisors LP and did not exist prior to its index inceptions date. Accordingly, results shown during the periods prior to the Index's index inception date do not represent actual returns of the Index. Other
periods selected may have different results, including losses. Back tested index performance is hypothetical and is provided for informational purposes only to indicate historical performance had the index been calculated over the relevant time periods. Back tested index
performance is hypothetical and is provided for informational purposes only to indicate historical performance had the index been calculated over the relevant time periods. Back tested performance results assume the reinvestment of dividends and capital gains. The index monthly
returns are computed as the simple average of the monthly returns of 12 sub-indices, each one reconstituted once a year at the end of each month of the year. The Index is unmanaged and is not subject to fees and expenses typically associated with managed accounts or
investment funds. Investments cannot be made directly in an index. Past performance is no guarantee of future results.
The calculation methodology for the Dimensional US Adjusted Market 1 Index was amended on January 1st, 2014, to include profitability as a factor in selecting securities for inclusion in the index. The calculation methodology for the Dimensional US Adjusted Market 1 Index was
amended in December 2019 to include asset growth as a factor in selecting securities for inclusion in the index. Dimensional Index data compiled by Dimensional.

29
Sector Definitions

Sectors are based on SIC classification, which is mapped to GICS Sectors are based on Bloomberg classification but combined as
classification using a proprietary mapping and combined as follows follows for Non-US markets:
for the US.

Broader Sector Category GICS Broader Sector Category Bloomberg Industry Sector
Consumers Consumer Discretionary Consumers Consumer Cyclical
Consumer Staples Consumer Non-Cyclical
Healthcare Healthcare Manufacturing Basic Materials
Manufacturing Energy Energy
Materials Industrial
Industrial Utilities
Utilities Diversified
Tech Information Technology Tech Technology
Communication Services Communication
Financials Financials Financials Financial

Additionally, All Sectors includes stocks that are not categorized into Additionally, All Sectors includes stocks that are not categorized into
the above broad categories. the above broad categories.

GICS was developed by and is the exclusive property of MSCI and S&P Dow Jones Indices LLC, a division of S&P Global.

30
Integrated Core vs. Combination Appendix

The eligible universe includes all US firms excluding REITs, tracking stocks, and investment companies. “Market” includes all eligible firms at
their market cap weight. Unless otherwise specified, we use the following definitions and methodologies.
Market-plus-satellite combination is 75% all-cap market simulation plus 25% small cap value high profitability simulation. The small cap value
high profitability component is constructed as follows: Small cap firms are sorted into quintiles (each representing 20% of the market
capitalization) based on relative price and profitability independently. From the intersections of these two independent sorts, we form 25
subgroups and arrange them in a 5-by-5 grid with decreasing relative price from top to bottom and increasing profitability from left to right.
The component includes firms in the 10 subgroups that lie in the lower triangular region below the diagonal with lower relative price and
higher profitability at the market cap weights.
Market-plus-single-factors combination is 25% all-cap market simulation plus an equal mix (25% each) of small cap market, all-cap value,
and all-cap high profitability simulations. The small cap component includes small cap firms, defined as the bottom 8% of market
capitalization, at the market cap weights. The value component includes value firms, defined as the bottom 30% of market capitalization
based on relative price, at the market cap weights. The profitability component includes high profitability firms, defined as the top 30% of
market capitalization based on operating profitability, at the market cap weights.
Integrated Core includes eligible stocks of all market capitalization and emphasizes firms with lower market capitalization, lower relative
price, and higher profitability.
Relative price is measured by price-to-book equity. Profitability is measured as operating income before depreciation and amortization minus
interest expense scaled by book equity. The integrated core and the underlying components for market-plus-single-factors combination and
market-plus-satellite combination are rebalanced semiannually at June end and December end. The allocations across the components
within market-plus-single-factors combination and market-plus-satellite combination are rebalanced monthly.

31
Important Disclosures

Simulated returns based model/back-tested simulations. These are not live strategies managed by Dimensional Fund Advisors LP or any of
its affiliates, including Dimensional Fund Advisors Ltd., Dimensional Ireland Limited, DFA Australia Limited, Dimensional Fund Advisors
Canada ULC, Dimensional Fund Advisors Pte. Ltd., Dimensional Japan Ltd., or Dimensional Hong Kong Limited. The performance was
achieved with the retroactive application of a model designed with the benefit of hindsight; it does not represent actual investment
performance. Back-tested model performance is hypothetical (it does not reflect trading in actual accounts) and is provided for informational
purposes only. The securities held in the model may differ significantly from those held in client accounts. Model performance may not reflect
the impact that economic and market factors might have had on the advisor's decision making if the advisor were actually managing client
money. These strategies were not available for investment in the time periods depicted. Actual management of these types of simulated
strategies may result in lower returns than the back-tested results achieved with the benefit of hindsight. Past performance (including
hypothetical past performance) does not guarantee future or actual results. The simulated performance shown is “gross performance,” which
includes the reinvestment of dividends but does not reflect the deduction of investment advisory fees and other expenses. A client's
investment returns will be reduced by the advisory fees or other expenses it may incur. For example, if a 1% annual advisory fee were
deducted quarterly and a client's annual return were 10% (based on quarterly returns of approximately 2.41% each) before deduction of
advisory fees, the deduction of advisory fees would result in an annual return of approximately 8.91% due, in part, to the compound effect of
such fees.

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Index Descriptions
Dimensional US Small Cap Index was created by Dimensional in March 2007 and is compiled
by Dimensional. It represents a market-capitalization-weighted index of securities of the
smallest US companies whose market capitalization falls in the lowest 8% of the total market
capitalization of the eligible market. The eligible market is composed of securities of US
companies traded on the NYSE, NYSE MKT (formerly AMEX), and Nasdaq Global Market.
Exclusions: non-US companies, REITs, UITs, and investment companies. From January 1975
to the present, the index excludes companies with the lowest profitability and highest relative
price within the small cap universe. The index also excludes those companies with the highest
asset growth within the small cap universe. Profitability is measured as operating income
before depreciation and amortization minus interest expense scaled by book. Asset growth is
defined as change in total assets from the prior fiscal year to current fiscal year. Source: CRSP
and Compustat. The index monthly returns are computed as the simple average of the monthly
returns of 12 subindices, each one reconstituted once a year at the end of a different month of
the year. The calculation methodology for the Dimensional US Small Cap Index was amended
on January 1, 2014, to include profitability as a factor in selecting securities for inclusion in the
index.
Dimensional International Small Cap Index was created by Dimensional in April 2008 and is
compiled by Dimensional. July 1981–December 1993: It Includes non-US developed securities
in the bottom 10% of market capitalization in each eligible country. All securities are market
capitalization weighted. Each country is capped at 50%. Rebalanced semiannually. January
1994–present: Market-capitalization-weighted index of small company securities in the eligible
markets, excluding those with the lowest profitability and highest relative price within their
country's small cap universe. The index also excludes those companies with the highest asset
growth within their country’s small cap universe. Profitability is measured as operating income
before depreciation and amortization minus interest expense scaled by book. Asset growth is
defined as change in total assets from the prior fiscal year to current fiscal year. The index
monthly returns are computed as the simple average of the monthly returns of four subindices,
each one reconstituted once a year at the end of a different quarter of the year. Prior to July
1981, the index is 50% UK and 50% Japan. The calculation methodology for the Dimensional
International Small Cap Index was amended on January 1, 2014, to include profitability as a
factor in selecting securities for inclusion in the index.
The Dimensional Indices have been retrospectively calculated by Dimensional Fund Advisors LP and did not exist prior to their index inception dates. Accordingly, results shown during the periods prior to each index’s index inception date do not represent actual returns of the
index. Other periods selected may have different results, including losses. Backtested index performance is hypothetical and is provided for informational purposes only to indicate historical performance had the index been calculated over the relevant time periods. Backtested
performance results assume the reinvestment of dividends and capital gains.
Dimensional International Market Index is compiled by Dimensional from Bloomberg data.
Market capitalization-weighted index of all securities in the eligible markets. The index monthly
returns are computed as the simple average of the monthly returns of four sub-indices, each
one reconstituted once a year at the end of each quarter of the year. Maximum index weight of
any one company is capped at 5%. Countries currently included are Australia, Austria, Belgium,
Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan,
Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and
United Kingdom. Exclusions: REITs and Investment Companies. The index has been
retrospectively calculated by Dimensional Fund Advisors and did not exist prior to April 2008.
Dimensional Emerging Markets Small Index was created by Dimensional in April 2008 and is
compiled by Dimensional. January 1989–December 1993: Fama/French Emerging Markets
Small Cap Index. January 1994–present: Dimensional Emerging Markets Small Cap Index
composition: Market-capitalization-weighted index of small company securities in the eligible
markets, excluding those with the lowest profitability and highest relative price within their
country's small cap universe. The index also excludes those companies with the highest asset
growth within their country’s small cap universe. Profitability is measured as operating income
before depreciation and amortization minus interest expense scaled by book. Asset growth is
defined as change in total assets from the prior fiscal year to current fiscal year. The index
monthly returns are computed as the simple average of the monthly returns of four subindices,
each one reconstituted once a year at the end of a different quarter of the year. Source:
Bloomberg. The calculation methodology for the Dimensional Emerging Markets Small Cap
Index was amended on January 1, 2014, to include profitability as a factor in selecting
securities for inclusion in the index.
33
Index Descriptions
Fama/French Total US Market Research Index: July 1926–present: Fama/French Total US
Market Research Factor + One-Month US Treasury Bills. Source: Ken French Website.
Fama/French US Small Cap Research Index: July 1926-present: Fama/French US Small Cap
Research Index. Courtesy of Fama/French from CRSP and Compustat securities data.
Includes NYSE securities (plus AMEX equivalents since July 1962 and NASDAQ equivalents
since 1973) in the lower 50% market equity range of NYSE firms; rebalanced annually in June.
Fama/French US Large Cap Research Index: July 1926-present: Fama/French US Large Cap
Research Index. Courtesy of Fama/French from CRSP and Compustat securities data.
Includes NYSE securities (plus AMEX equivalents since July 1962 and NASDAQ equivalents
since 1973) in the upper 50% market equity range of NYSE firms; rebalanced annually in June.
Fama/French US Value Research Index: Provided by Fama/French from CRSP securities data.
Includes the lower 30% in price-to-book of NYSE securities (plus NYSE Amex equivalents
since July 1962 and Nasdaq equivalents since 1973).
Fama/French US Growth Research Index: Provided by Fama/French from CRSP securities
data. Includes the higher 30% in price-to-book of NYSE securities (plus NYSE Amex
equivalents since July 1962 and Nasdaq equivalents since 1973).
Fama/French US Small Value Research Index: Provided by Fama/French from CRSP
securities data. Includes the lower 30% in price-to-book of NYSE securities (plus NYSE Amex
equivalents since July 1962 and Nasdaq equivalents since 1973) that have smaller market
capitalization than the median NYSE company.
Fama/French US Small Growth Research Index: Provided by Fama/French from CRSP
securities data. Includes the higher 30% in price-to-book of NYSE securities (plus NYSE Amex
equivalents since July 1962 and Nasdaq equivalents since 1973) that have smaller market
capitalization than the median NYSE company.
Results shown during periods prior to each index’s index inception date do not represent actual returns of the respective index. Other periods selected may have different results, including losses. Backtested index performance is hypothetical and is provided for informational
purposes only to indicate historical performance had the index been calculated over the relevant time periods. Backtested performance results assume the reinvestment of dividends and capital gains. Profitability is measured as operating income before depreciation and
amortization minus interest expense scaled by book. Eugene Fama and Ken French are members of the Board of Directors of the general partner of, and provide consulting services to, Dimensional Fund Advisors LP.
Fama/French US Large Value Research Index: Provided by Fama/French from CRSP
securities data. Includes the lower 30% in price-to-book of NYSE securities (plus NYSE Amex
equivalents since July 1962 and Nasdaq equivalents since 1973) that have larger market
capitalization than the median NYSE company.
Fama/French US Large Growth Research Index: Provided by Fama/French from CRSP
securities data. Includes the higher 30% in price-to-book of NYSE securities (plus NYSE Amex
equivalents since July 1962 and Nasdaq equivalents since 1973) that have larger market
capitalization than the median NYSE company.
Fama/French US High Profitability Index: July 1963–present: Fama/French US High
Profitability Index. Courtesy of Fama/French from CRSP and Compustat securities data.
Includes all stocks in the upper 30% operating profitability range of NYSE eligible firms;
rebalanced annually in June. OP for June of year t is annual revenues minus cost of goods
sold, interest expense, and selling, general, and administrative expenses divided by book
equity for the last fiscal year end in t-1. Fama/French and multifactor data provided by
Fama/French.
Fama/French US Low Profitability Index: July 1963–present: Fama/French US Low Profitability
Index. Courtesy of Fama/French from CRSP and Compustat securities data. Includes all stocks
in the lower 30% operating profitability range of NYSE eligible firms; rebalanced annually in
June. OP for June of year t is annual revenues minus cost of goods sold, interest expense, and
selling, general, and administrative expenses divided by book equity for the last fiscal year end
in t-1. Fama/French and multifactor data provided by Fama/French.
34
Index Descriptions
Fama/French International Market Index: January 1975–present: Fama/French International
Market Index. Source: Ken French website. Simulated from MSCI and Bloomberg data.
Fama/French International Value Index: January 1975–present: Fama/French International
Value Index. Simulated strategy of international developed countries with securities in the lower
30% price-to-book range. Source: Ken French website. Simulated from MSCI and Bloomberg
data.
Fama/French International Growth Index: January 1975–present: Fama/French International
Growth Index. Simulated strategy of international developed countries with securities in the
higher 30% price-to-book range. Source: Ken French website. Simulated from MSCI and
Bloomberg data.
Fama/French International High Profitability Index: July 1990–present: Fama/French
International High Profitability Index. Courtesy of Fama/French from Bloomberg securities data.
Includes stocks in the upper 30% operating profitability range in each region; companies
weighted by float-adjusted market cap; rebalanced annually in June. OP for June of year t is
annual revenues minus cost of goods sold, interest expense, and selling, general, and
administrative expenses divided by book equity for the last fiscal year end in t-1. Fama/French
and multifactor data provided by Fama/French.
Fama/French International Low Profitability Index: July 1990–present: Courtesy of
Fama/French from Bloomberg securities data. Includes stocks in the lower 30% operating
profitability range in each region; companies weighted by float-adjusted market cap; rebalanced
annually in June. OP for June of year t is annual revenues minus cost of goods sold, interest
expense, and selling, general, and administrative expenses divided by book equity for the last
fiscal year end in t-1. Fama/French and multifactor data provided by Fama/French.
Fama/French Emerging Markets Index: July 1989–present: Fama/French Emerging Markets
Index. Courtesy of Fama/French from Bloomberg and IFC securities data. Companies weighted
by float-adjusted market cap; rebalanced annually in June. Fama/French and multifactor data
provided by Fama/French.
Results shown during periods prior to each index’s index inception date do not represent actual returns of the respective index. Other periods selected may have different results, including losses. Backtested index performance is hypothetical and is provided for informational
purposes only to indicate historical performance had the index been calculated over the relevant time periods. Backtested performance results assume the reinvestment of dividends and capital gains. Profitability is measured as operating income before depreciation and
amortization minus interest expense scaled by book. Eugene Fama and Ken French are members of the Board of Directors of the general partner of, and provide consulting services to, Dimensional Fund Advisors LP.
Fama/French Emerging Markets Value Index: July 1989–present: Fama/French Emerging
Markets Value Index. Courtesy of Fama/French from Bloomberg and IFC securities data.
Includes stocks in the upper 30% book-to-market range in each country; companies weighted
by float-adjusted market cap; rebalanced annually in June. Fama/French and multifactor data
provided by Fama/French.
Fama/French Emerging Markets Growth Index: July 1989–present: Fama/French Emerging
Markets Growth Index. Courtesy of Fama/French from Bloomberg and IFC securities data.
Includes stocks in the bottom 30% book-to-market range in each country; companies weighted
by float-adjusted market cap; rebalanced annually in June. Fama/French and multifactor data
provided by Fama/French.
Fama/French Emerging Markets High Profitability Index: July 1991–present: Fama/French
Emerging Markets High Profitability Index. Courtesy of Fama/French from Bloomberg and IFC
securities data. Includes stocks in the upper 30% operating profitability range in each country;
companies weighted by float-adjusted market cap; rebalanced annually in June. OP for June of
year t is annual revenues minus cost of goods sold, interest expense, and selling, general, and
administrative expenses divided by book equity for the last fiscal year end in t-1. Fama/French
and multifactor data provided by Fama/French.
Fama/French Emerging Markets Low Profitability Index: July 1991–present: Fama/French
Emerging Markets Low Profitability Index. Courtesy of Fama/French from Bloomberg and IFC
securities data. Includes stocks in the lower 30% operating profitability range in each country;
companies weighted by float-adjusted market cap; rebalanced annually in June. OP for June of
year t is annual revenues minus cost of goods sold, interest expense, and selling, general, and
administrative expenses divided by book equity for the last fiscal year end in t-1. Fama/French
and multifactor data provided by Fama/French.
35