2. on the cover
Thirty years of working with
clients has created a rich
history of portfolios. Pie charts
show annual fund count by
asset class. Each year reflects
the universe of investments that
Dimensional’s combination of
empirical research and efficient
execution provides.
Below, a color key identifies the
asset classes as seen on the
cover and throughout the essay.
2010
US Equity
Small Value
Small Cap
Large Value
Large Cap
US Core
International Equity
Small Value
Small Cap
Large Value
Large Cap
International Core
Emerging Markets Equity
Emerging Markets
Emerging Markets Core
Fixed Income
US Short Term
US Intermediate Term
Municipal
Global
Real Estate
Multiple Asset Classes
Commodities
4. YEARS OF
GOOD IDEAS
AT WORK
MIcro cAP: A SIGnAtUre StrAteGY
Identifying a risk factor is only the beginning.
Dimensional has also been able to capture it. From its
inception in 1981, the firm’s first strategy, now known
as US Micro Cap, has harnessed the small cap effect.
$1 million
1/1982 1982 1983 1984 1985 1986 1987 1988 1989 1990 1990
1991 1992 1993 1994 1995 199
Actual inception was December 23, 1981. The S&P data are provided by Standard & Poor’s Index Services Group. Russell Investments is the source and owner of Russell data. Average annual
total returns for US Micro Cap Portfolio as of December 31, 2010: one year, 31.29%; five years, 3.21%; ten years, 9.63%; since inception (12/23/1981), 12.00%. Average annual total returns for S&P
500 Index as of December 31, 2010: one year, 15.06%; five years, 2.29%; ten years, 1.41%. Average annual total returns for Russell 2000 Index as of December 31, 2010: one year, 26.85%;
five years, 4.47%; ten years, 6.33%. Annual expense ratio for the US Micro Cap Portfolio as of October 31, 2010: total operating expense ratio, 0.52%; net expense ratio (to investor), 0.52%.
I
n 1981, when Dimensional opened for business in a Brooklyn brownstone, strategies. But in some important ways, we still think and act like a small firm.
co-founders David Booth and Rex Sinquefield had a bold vision. They What is at the heart of this long-term success? We have taken good ideas and
wanted to apply the best financial science to the world of investing. put them to work for investors. In this simple statement are three crucial
Their first strategy, a small company fund, would offer exposure to the higher components: ideas, execution, and client commitment.
expected returns of US micro cap stocks—a novel idea at the time. This strategy
was the first of many groundbreaking efforts that reshaped the way institutions First, consider the role of ideas. From the beginning, Dimensional formed a
and individuals approach market investing. philosophy around the theories and research that shaped modern finance. By
working closely with the academics who developed and advanced these ideas,
This year marks our thirtieth anniversary. We expanded beyond the single Dimensional based its approach on a solid empirical foundation. David and Rex
small cap strategy years ago, and are now a global investment firm with over initially sought guidance from Eugene Fama, who became the first outside board
$200 billion of client assets invested in a full line of equity and fixed income member, and John McQuown joined the company board soon thereafter. Other
Merton Miller and Franco The first CRSP stock
Modigliani publish “The market database is
Cost of Capital, Corporation completed, allowing the Eugene Fama’s PhD thesis is
Finance and the Theory of James Lorie and Lawrence Fisher average rate of return published in the Journal of Business.
Investment.” Their research found the Center for Research on US equities (1926– Titled “The Behavior of Stock Market
formed the basis for in Security Prices (CRSP) at the 1960) to be measured Prices,” the article provides the most
modern thinking on capital University of Chicago Graduate for the first time. comprehensive to-date study of the
structure. School of Business (GSB). statistical properties of stock prices.
1957 1958 1959 1960 1961 1962 1963 1964 1965 1966 1967 1968
The Fortran programming Following his 1952 article Eugene Fama begins graduate William Sharpe derives the Michael Jensen publishes
language and IBM that introduced modern work at the University of Capital Asset Pricing Model the first major study of
709 computer, both portfolio theory, Harry Chicago Graduate School of (CAPM) in an article published mutual fund performance,
instrumental in Eugene Markowitz publishes his Business (GSB). He meets his in the Journal of Finance. providing evidence that
Fama’s doctoral research, book, Portfolio Selection: doctoral advisor, Merton Miller. most active managers
are developed. Efficient Diversification of underperform indices.
Investments.
2 DIMENSIONAL FUND ADVISORS
5. US MICRO CAP 3
PORTFOLIO
$26.79 million
S&P 500
INDEx
$22.35 million
RUSSELL 2000
INDEx
$17.36 million
96 1997 1998 1999 20002000
2001 2002 2003 2004 2005 2006 2007 2008 2009 12/2010
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 www.dimensional.com. Average annual total returns include reinvestment of dividends and capital gains.
leading financial thinkers were approached to serve on Dimensional’s mutual fund board, joined the firm to consult on new ideas regarding risk-managed
board. These were future Nobel laureates Merton Miller and Myron Scholes, as well pension solutions.
as Roger Ibbotson and Richard Roll. In the early years, Dimensional’s connection
with leading academics provided the credibility necessary to introduce cutting-edge Dimensional’s strategies are rooted in financial science, but the quality
strategies that lacked proven track records. of an idea must be proven in practice. This is the second component of
Dimensional’s success—an ability to translate theory into strategies designed
Our affiliations advanced over the years. In the early 1990s, Kenneth French to deliver higher expected returns over time, at a lower cost, and in ways that
began working with Dimensional as a consultant. After he and Professor Fama are scalable. Meeting these requirements demanded a different approach to
completed their landmark research on the size and value effects in stocks, portfolio design, management, and trading. Dimensional had to find ways to
Professor French assumed an expanded role in helping Dimensional with capture the sources of higher expected returns while managing the natural
strategy design and implementation, and ultimately became a board member. market frictions that can erode performance.
More recently, Nobel laureate Robert Merton, who served on the mutual fund continued on page 8
Eugene Fama, David Booth
Lawrence Fisher, graduates from Robert Merton
Michael Jensen, and the University Rex Sinquefield publishes a paper Roger Ibbotson and Rex
Richard Roll offer of Chicago graduates from on the Intertemporal Sinquefield publish “Stocks,
empirical evidence Graduate School the University Capital Asset Pricing Bonds, Bills, and Inflation”
that stock prices move of Business. of Chicago Model, which introduces (SBBI), their influential study David Booth and
quickly in response to Graduate School the element of time into of major US asset class returns Rex Sinquefield
new information. of Business. asset pricing. since 1926. found Dimensional.
1969 1970 1971 1972 1973 1974 1975 1976 1977 1978 1979 1980 1981
Eugene Fama Fischer Black and Working independently at their Stephen Ross develops the Arbitrage Eugene Fama
publishes “Efficient Myron Scholes respective firms, John McQuown Pricing Theory. Based on the law of one and John McQuown
Capital Markets: A derive their and David Booth at Wells Fargo price, the asset pricing approach allows join Dimensional’s
Review of Theory seminal options and Rex Sinquefield at American for the possibility of multiple sources of board of directors.
and Empirical pricing model in National Bank in Chicago create systematic risk. Merton Miller, Myron
Work,” which their paper “The the first S&P 500 Index funds. Scholes, Richard Roll,
offers the first Pricing of Options and Roger Ibbotson
comprehensive and Corporate begin serving on
review of efficient Liabilities.” Dimensional’s mutual
markets research. fund board.
MATRIX BOOK 2011 3
6. Rolf Banz publishes doctoral research Inspired by Eugene Fama’s
documenting US small cap outperformance interest rate research,
relative to the market (1926–1975). Dimensional launches the One- Eugene Fama develops a method that
Year Fixed Income Portfolio. shifts maturities according to optimal
Dimensional launches positions identified on the yield curve.
first strategy: the 9-10 Research guides development of variable
Fund (now the US First Matrix Book Kenneth French maturity strategy in fixed income.
Micro Cap Portfolio). features four data series. joins the University
of Chicago
McDonnell Douglas Graduate School of
George Constantinides
becomes Dimensional’s Business faculty.
joins mutual fund board.
first client.
1981 1982 1983 1984
Funds Incepted: n One-Year Fixed Income (US)
n US Micro Cap (US)
Growth of a dollar invested in
S&P 500 for each calendar year
Eugene Fama
and David
Booth receive
the Graham and
Dodd Award
Fama and French research on size and value is of Excellence
published as “The Cross-Section of Expected Stock for their article,
Dimensional starts the financial advisor Returns” in the Journal of Finance. The results lay “Diversification
business, opening fund access to the groundwork for Dimensional’s value strategies.
Merton Miller, Harry Markowitz, and Returns
qualified fee-based advisors.
William Sharpe receive the Nobel Prize for and Asset
their contributions to financial economics. Contributions.”
London trading office opens and prepares
to trade in the UK and European markets.
1989 1990 1991 1992
n US Large Company (US) n Large Cap International (US) n US Large Cap Value (US)
n Five-Year Global Fixed Income (US) n US Small Cap Value (US)
n Intermediate Government Fixed Income (US)
4 DIMENSIONAL FUND ADVISORS
7. 5
Dimensional funds a research joint
venture with Nomura Securities, which Dimensional offers a multi-country
Dimensional applies variable
documents the size effect in Japan. strategy targeting European small
maturity strategy to longer
Dimensional moves headquarters to
duration fixed income. company stocks.
Santa Monica office on Ocean Avenue.
Dimensional
commissions research
that documents the size
effect in UK stocks.
John Gould joins
mutual fund board.
1985 1986 1987 1988
n Japanese Small Company (US) n Five-Year Government (US) n Continental Small Company (US)
n United Kingdom Small Company (US)
n US Small Cap (US)
Harvard Business
School publishes a case
study on Dimensional.
Dimensional holds first
introductory conference
Eugene Fama and Kenneth for financial advisors.
French introduce the Three- Rex Sinquefield receives the Graham and
Factor Model in “Common Risk Dodd Award of Excellence for “Where Are
Factors in the Returns on Stocks Sydney trading office opens and begins trading in the Gains from International Diversification?”
and Bonds,” published in the the regional markets. Glenn Crane joins the firm as
Journal of Financial Economics. CEO of Dimensional Australia.
Andrew Cain, future CEO Dimensional launches variable annuity
of Dimensional UK/Europe, sub-advised strategies.
joins the firm in London.
1993 1994 1995 1996
n Asia Pacific Small Company (US) n International Small Cap Value (US) n VA Global Bond (US) n Emerging Markets Small Cap (US)
n International Value (US) n Emerging Markets (US) n VA International Small (US) n Enhanced US Large Company (US)
n Real Estate Securities (US) n Emerging Markets Value (US) n VA International Value (US) n International Small Company (US)
n VA Short-Term Fixed (US) n Two-Year Fixed Income (US)
n VA US Large Value (US) n Two-Year Government (US)
n VA US Targeted Value (US) n Two-Year Global Fixed Income (US)
n US Targeted Value (US)
MATRIX BOOK 2011 5
8. Eduardo Repetto
joins Dimensional
following work as
a researcher at Cal
Tech, where he also
Jim Davis teams earned his PhD.
with Eugene
Dimensional launches its first public Sydney office establishes a sales Fama and Kenneth Dimensional offers
Robert Merton and Myron Scholes
website, starting a tradition of and marketing division and French to extend funds to the Chilean
receive the Nobel Prize for their work
leveraging web technology to service launches first Australian trusts. value vs. growth private pension system.
in options pricing.
and educate clients. research back
to 1926.
Abbie Smith
joins mutual
fund board.
1997 1998 1999 2000
n Tax-Managed US Marketwide Value (US) n Australian Value (AUS) n Australian Large Company (AUS)
n Tax-Managed US Small Cap (US) n Global Value (US) n Australian Small Company (AUS)
n Tax-Managed US Targeted Value (US) n Global Value (AUS) n Global Large Company (AUS)
n Tax-Managed International Value (US) n Global Small Company (AUS)
n Short-Term Fixed Interest (AUS)
Palisades West campus is
completed. Dimensional
moves headquarters from
Santa Monica to Austin.
The University of
Rex Sinquefield retires Dimensional opens Austin Dimensional breaks Chicago Graduate
from Dimensional. office and begins plans for ground on Palisades West School of Business
Dimensional
construction of headquarters. headquarters in Austin. is renamed the
launches core
Launch of US core equity strategies University of
equity strategy
offers integrated portfolios Assets under Social strategies apply core equity Chicago Booth
that applies
structured for diversified multifactor management pass technology to traditional socially School of Business
environmental
exposure and greater cost efficiency. $100 billion. conscious investing needs. in recognition of
research to stock
selection. Booth family gift.
2005 2006 2007 2008
n International Core Equity (US) n Australian Core Equity (AUS) n California Short-Term Municipal Bond (US) n Global Core Equity (IR)
n Two-Year Diversified Fixed Interest (AUS) n Emerging Markets Social Core Equity (US) n Canadian Small Company (US) n Global Targeted Value (IR)
n US Core Equity 1 (US) n Global Core Equity (AUS) n Emerging Markets Targeted Value (IR) n International Sustainability Core 1 (US)
n US Core Equity 2 (US) n Inflation-Protected Securities (US) n European Value (IR) n International Value ex Tobacco (US)
n US Vector Equity (US) n UK Core Equity (UK) n Global Real Estate (AUS) n International Vector Equity (US)
n Global Short Fixed Income (IR) n Selectively Hedged Global Fixed Income (US)
n International Real Estate Securities (US) n Short-Term Investment (US)
n Pacific Basin Value (IR) n TA World ex US Core Equity (US)
n TA US Core Equity 2 (US) n US Sustainability Core 1 (US)
n US Social Core Equity 2 (US)
*IR indicates Irish domiciled.
6 DIMENSIONAL FUND ADVISORS
9. 7
Core equity is first applied
for Australian clients.
London office establishes sales and
marketing division to serve clients in
the UK and Europe. Kenneth French becomes head
Dimensional conducts
of Investment Policy Committee.
research into development
Vancouver
of core equity technology.
office opens
The first tax-managed Harvard Business School Robert Merton joins
to serve
separate accounts are launched. publishes second case mutual fund board.
Canadian
study on Dimensional.
financial
advisors.
2001 2002 2003 2004
n Five-Year Diversified Fixed Interest (AUS) n Short-Term Municipal Bond (US) n Global 25/75 (US) n Canadian Core Equity (CA)
n Tax-Managed US Equity (US) n Global 60/40 (US) n Emerging Markets Core Equity (UK)
n Global Equity (US) n Global Short-Dated Bond (UK)
n Five-Year Global Fixed Income (CA) n UK Small Companies (UK)
n UK Value (UK)
Assets under management
pass $200 billion.
Dimensional acquires
SmartNest. Robert
Fama/French Forum blog launches, Merton affiliates as
Edward
connecting the ideas and research Resident Scientist to lead
Lazear
of Dimensional’s academics with development of a risk-
joins mutual
advisors, institutional clients, managed DC solution for
fund board.
and the public. plan participants.
Dimensional UK/Europe
opens offices in
Amsterdam and Berlin.
2009 2010
n Investment Grade Fixed Income (CA) n Commodity Strategy (US)
n Short-Term Extended Quality (US) n Intermediate-Term Extended Quality (US)
n Sterling Ultra-Short Fixed Income (IR) n World ex US Value (US)
MATRIX BOOK 2011 7
10. continued from page 3
One solution was to avoid liquidity traps arising from closely tracking an index. Dimensional also provides a broad set of investment solutions to help advisors
Dimensional eschewed indexing, opting instead to hold securities with the serve individual clients. When we entered the financial advisor business in 1989,
prescribed risk characteristics. By targeting a broader range of candidates in our implementation skills honed in the institutional world were put to the
a portfolio, traders had more options and could transact with more flexibility test. We were concerned that volatile money flows from retail investors might
and patience, resulting in better price execution. In this way, potential compromise our implementation approach. We met the challenge by partnering
problems—such as the illiquidity of small cap stocks—could be turned with advisors who shared our investment philosophy, then providing them with
into opportunities. educational and technical support to help their clients invest for the long term.
Dimensional has an industry reputation for In response to the evolving needs of clients,
smart trading. Acting as liquidity providers,
our traders can better negotiate prices and
YEARS OF Dimensional has launched portfolios to help
advisors offer a full range of globally diversified
incur lower trading costs, both of which can investment solutions. The global financial advisor
add value to portfolio returns. In combination, GOOD IDEAS business, which now represents over half of total
our strengths in strategy design, portfolio assets under management, has grown into a strong
management, and trading provide clients AT WORK partnership among Dimensional, advisors, and
with a compelling set of tools to pursue individual investors.
their investment objectives. And by creating
investments that truly help people, we have built a formidable business A world away from our beginnings as a manager of US micro cap stocks,
advantage in the market. Dimensional is now a global business with clients, strategies, and trading offices
around the world. Most assets are invested outside the US, in both developed
This points to the third element in Dimensional’s success—a commitment to and emerging markets, while small company equity strategies account for only
understand what clients need and to deliver relevant solutions. Driven by ideas, about 15 percent of assets under management.
we implement strategies designed to address the evolving needs of investors. In
the formative years, Dimensional built its business by offering highly competitive, Looking at the past three decades, the common threads in Dimensional’s
targeted solutions for institutional clients. Today, we continue to deliver specific unique story are the connection to the leading financial thinkers, our skills in
risk exposures to some of the most prominent institutional names in the world. implementing ideas, and a commitment to doing the best for our clients—in
The offering spans from corporate defined benefit and defined contribution all markets.
plans to public retirement plans, foundations, and endowments.
Putting good ideas to work has proved a recipe for Dimensional’s business
success and for the success of the professionals and clients we serve.
8 DIMENSIONAL FUND ADVISORS
11. TABLE 9
OF
CONTENTS
30 YEARS OF GOOD IDEAS AT WORK 2
ANNUALIzED RATES OF RETURNS (%) 10
HOW TO USE THIS BOOK 11
TOTAL RETURNS
US SMALL CAp INDEX 1927–2010 13
S&p 500 INDEX 1926–2010 15
US SMALL CAp VALUE INDEX 1927–2010 17
US LARGE CAp VALUE INDEX 1927–2010 19
US SMALL CAp GROWTH INDEX 1927–2010 21
US LARGE CAp GROWTH INDEX 1927–2010 23
US TOTAL STOCK MARKET INDEX 1927–2010 25
US ADJUSTED MARKET 1 INDEX 1928–2010 27
US ADJUSTED MARKET 2 INDEX 1928–2010 29
US ADJUSTED MARKET VALUE INDEX 1928–2010 31
US TARGETED VALUE INDEX 1928–2010 33
NASDAq COMpOSITE INDEX 1974–2010 34
DOW JONES US SELECT REIT INDEX 1978–2010 35
DOW JONES UBS COMMODITY INDEX 1992–2010 35
LONG-TERM GOVERNMENT BONDS 1926–2010 37
LONG-TERM CORpORATE BONDS 1926–2010 39
ONE-MONTH US TREASURY BILLS 1926–2010 41
ONE-MONTH CERTIFICATES OF DEpOSIT 1966–2010 42
BARCLAYS CApITAL US GOVERNMENT/CREDIT BOND INDEX INTERMEDIATE 1973–2010 43
BARCLAYS CApITAL US TIpS INDEX 1998–2010 43
INTERNATIONAL SMALL CAp INDEX 1970–2010 44
MSCI EAFE INDEX 1970–2010 44
JApAN SMALL CAp INDEX 1970–2010 45
JApAN LARGE CAp INDEX 1970-2010 45
UNITED KINGDOM SMALL CAp INDEX 1956–2010 47
UNITED KINGDOM LARGE CAp INDEX 1956–2010 49
INTERNATIONAL VALUE INDEX 1975–2010 50
INTERNATIONAL GROWTH INDEX 1975–2010 50
INTERNATIONAL SMALL CAp VALUE INDEX 1982–2010 51
MSCI EMERGING MARKETS INDEX 1988–2010 51
REAL RETURNS (INFLATION ADJUSTED)
INFLATION: CHANGES IN THE CONSUMER pRICE INDEX 1926–2010 53
US SMALL CAp INDEX 1927–2010 55
S&p 500 INDEX 1926–2010 57
LONG-TERM GOVERNMENT BONDS 1926–2010 59
ONE-MONTH US TREASURY BILLS 1926–2010 61
ONE-MONTH CERTIFICATES OF DEpOSIT 1966–2010 62
DOW JONES US SELECT REIT INDEX 1978–2010 63
BALANCED STRATEGIES
BALANCED STRATEGIES: WEIGHTS AND SUMMARY STATISTICS 64
BALANCED STRATEGY: FIXED 1973–2010 66
BALANCED STRATEGY: CONSERVATIVE 1973–2010 66
BALANCED STRATEGY: MODERATE 1973–2010 67
BALANCED STRATEGY: NORMAL 1973–2010 67
BALANCED STRATEGY: AGGRESSIVE 1973–2010 68
BALANCED STRATEGY: EqUITY 1973–2010 68
GLOBAL STRATEGIES 69
WORLD MARKET CApITALIzATION 70
SOURCES AND DESCRIpTIONS OF DATA 72
MATRIX BOOK 2011 9
12. ANNUALIzED
RATES OF
RETURNS (%)
One Five Ten Twenty Fifty Eighty
Year Years Years Years Years Years
2010 2006–2010 2001–2010 1991–2010 1961–2010 1931–2010
US SMALL CAp INDEX 29.5 5.9 9.6 12.8 12.4 13.1
S&p 500 INDEX 15. 1 2.3 1.4 9. 1 9.8 9.9
US SMALL CAp VALUE INDEX 34.6 4.8 13.8 15.6 15.3 15.4
US LARGE CAp VALUE INDEX 20.2 -3.7 -0. 1 8.2 11.4 11.2
US SMALL CAp GROWTH INDEX 31.8 3.4 3.0 8.2 8.2 10.2
US LARGE CAp GROWTH INDEX 17.6 3.9 -0.4 8.5 8.9 9.4
US TOTAL STOCK MARKET INDEX 17.8 3.2 2.6 9.7 10.0 10. 1
US ADJUSTED MARKET 1 INDEX 20.5 3.7 4.4 11.0 11.0 11.0
US ADJUSTED MARKET 2 INDEX 22. 1 3.6 5.5 11.7 11.7 11.6
US ADJUSTED MARKET VALUE INDEX 25.6 4.2 8.0 13.5 13.2 12.8
US TARGETED VALUE INDEX 28.4 6. 1 11.5 16.3 15.2 14.3
NASDAq COMpOSITE INDEX 18.0 4. 1 1.2 10.9 — —
DOW JONES US SELECT REIT INDEX 28. 1 2.3 10.4 11.5 — —
DOW JONES-UBS COMMODITY INDEX TOTAL RETURN 16.8 1.2 5.8 — — —
LONG-TERM GOVERNMENT BONDS 10. 1 5.6 6.6 8.5 7. 1 5.5
LONG-TERM CORpORATE BONDS 12.4 5.9 7.6 8.2 7.3 5.9
ONE-MONTH US TREASURY BILLS 0. 1 2.3 2.2 3.5 5.3 3.6
ONE-MONTH CERTIFICATES OF DEpOSIT 0.2 2.9 2.6 3.9 — —
BARCLAYS CApITAL US GOVT./CREDIT BOND INDEX INTERMEDIATE 5.9 5.5 5.5 6.4 — —
BARCLAYS CApITAL US TIpS INDEX 6.3 5.3 7.0 — — —
INFLATION (CpI) 1.5 2.2 2.3 2.5 4. 1 3.3
INTERNATIONAL SMALL CAp INDEX 20.7 4.8 10.2 7.0 — —
MSCI EAFE INDEX 7.8 2.5 3.5 5.8 — —
JApAN SMALL CAp INDEX 19. 1 -4. 1 7.0 1.3 — —
JApAN LARGE CAp INDEX 15.4 -2.4 1.0 0.7 — —
UNITED KINGDOM SMALL CAp INDEX 28.4 4.0 7.5 9.4 13.8 —
UNITED KINGDOM LARGE CAp INDEX 10.5 3.0 4. 1 8.2 10.5 —
CONTINENTAL SMALL CAp INDEX 11.9 5.7 10.4 8.6 — —
CONTINENTAL LARGE CAp INDEX 1.6 3.0 3.2 8.6 — —
ASIA pACIFIC SMALL CAp INDEX 28.3 13.3 15.6 11.5 — —
ASIA pACIFIC LARGE CAp INDEX 16.9 11.5 12.0 10.4 — —
INTERNATIONAL VALUE INDEX 13.3 5.9 9.5 11.4 — —
INTERNATIONAL GROWTH INDEX 13.3 1.8 2.4 4.7 — —
INTERNATIONAL SMALL CAp VALUE INDEX 19.2 6.5 14. 1 9.2 — —
INTERNATIONAL ADJUSTED MARKET INDEX 14.8 4.6 8.3 — — —
INTERNATIONAL ADJUSTED MARKET VALUE INDEX 17.3 5.0 9.8 — — —
MSCI EMERGING MARKETS INDEX 19.2 13. 1 16.2 12.2 — —
EMERGING MARKETS ADJUSTED MARKET INDEX 25.5 17.6 20.3 — — —
BALANCED STRATEGY: FIXED 2.0 4. 1 3.8 5.2 — —
BALANCED STRATEGY: CONSERVATIVE 6.0 5. 1 5.4 6.9 — —
BALANCED STRATEGY: MODERATE 9.9 5.7 6.7 8.4 — —
BALANCED STRATEGY: NORMAL 13.9 5.9 7.7 9.7 — —
BALANCED STRATEGY: AGGRESSIVE 17.9 5.5 8.2 10.8 — —
BALANCED STRATEGY: EqUITY 21.9 4.4 8.4 11.7 — —
All returns are in US dollars. For balanced strategy weights, see page 64. For a detailed description of returns series, see page 73. Indices are not available for direct investment.
Their performance does not reflect the expenses associated with the management of an actual portfolio.
10 DIMENSIONAL FUND ADVISORS
13. HOW TO 11
USE THIS
BOOK
For example, to find the annualized compound rate of return for
the US Large Cap Value Index for the interval 1996–2004:
1 Locate the column for the first year of the interval (1996).
Years are labeled at the top and bottom of each column.
2 Locate the row for the last year of the interval (2004).
Years are labeled at the beginning of each row.
3 The return can be found where the first year’s column meets
the last year’s row. In this example, US Large Cap Value Index
had a compound rate of return of 7.8% per year for the
nine-year period.
1993 1
1993 24.5 1994
1994 11.4 -0.3 1995
1995 20.2 18.2 40.1 1996
1996 20.2 18.8 29.6 20.0 1997
1997 22.8 22.3 31.0 26.7 33.7 1998
1998 20.9 20.2 25.9 21.6 22.4 11.9 1999
1999 18.8 17.9 21.9 17.7 17.0 9.4 7.0 2000
2000 15.3 14.1 16.7 12.5 10.7 3.9 0.1 -6.4 2001
2001 13.2 11.8 13.7 9.8 7.8 2.2 -0.9 -4.6 -2.7 2002
2002 7.8 6.1 6.9 2.9 0.3 -5.3 -9.2 -14.1 -17.6 -30.3 2003
2003 10.1 8.8 9.9 6.6 4.8 0.6 -1.5 -3.5 -2.5 -2.5 36.4 2004
2 2004 10.8 9.6 10.6 7.8 6.3 2.9 1.5 0.4 2.2 3.8 26.7 17.7 2005
2005 10.7 9.6 10.5 8.0 6.7 3.7 2.6 1.9 3.6 5.3 20.8 13.6 9.7 2006
2006 11.4 10.5 11.4 9.2 8.1 5.6 4.8 4.5 6.5 8.4 21.1 16.3 15.6 21.9 2007
2007 9.7 8.7 9.4 7.2 6.1 3.7 2.8 2.3 3.6 4.7 13.5 8.4 5.5 3.4 -12.2 2008
2008 4.0 2.8 3.0 0.6 -0.9 -3.6 -5.0 -6.2 -6.2 -6.7 -2.0 -8.3 -13.9 -20.6 -35.9 -53.1 2009
2009 5.7 4.6 5.0 2.8 1.6 -0.7 -1.7 -2.6 -2.1 -2.1 2.8 -1.9 -5.4 -8.9 -17.3 -19.7 37.5 2010
2010 6.5 5.5 5.9 3.9 2.9 0.8 -0.1 -0.7 -0.1 0.2 4.8 1.0 -1.6 -3.7 -9.2 -8.2 28.5 20.2
1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010
3
MATRIX BOOK 2011 11