Semi-Annual Report
Period Ended: April 30, 2022 (Unaudited)
DIMENSIONAL ETF TRUST
Dimensional US Core Equity Market ETF
Dimensional US High Profitability ETF
Dimensional US Real Estate ETF
Dimensional US Small Cap Value ETF
Dimensional International Core Equity Market ETF
Dimensional International Core Equity 2 ETF
Dimensional International Small Cap Value ETF
Dimensional International Small Cap ETF
Dimensional International High Profitability ETF
Dimensional Emerging Core Equity Market ETF
Dimensional Emerging Markets High Profitability ETF
Dimensional Emerging Markets Value ETF
Dimensional Emerging Markets Core Equity 2 ETF
June 2022
Dear Shareholder,
The investment world is constantly evolving. In many ways, investors have benefited from an industry marked by new solutions, advancing technology, and increased personalization. Dimensional has been innovating on behalf of investors since 1981, using financial science to pursue higher expected returns in a flexible, diversified, low-cost manner.
A common thread in Dimensional’s history is the consistent, systematic application of financial theory and empirical research in managing strategies. We seek sensible ideas that we can implement well. In recent years, we have developed strategies in different product structures to give financial professionals more choices in how they integrate Dimensional Investing into client portfolios. In the first half of this year, for example, we broadened our suite of exchange-traded funds, launched a new fixed income mutual fund, and enhanced the investment management capabilities and services we provide clients.
On behalf of everyone at Dimensional, we thank you for entrusting us with your investments.
Sincerely,
David P. Butler | Gerard O’Reilly | |
CO-CHIEF EXECUTIVE OFFICER | CO-CHIEF EXECUTIVE OFFICER and CHIEF INVESTMENT OFFICER |
DIMENSIONAL ETF TRUST
SEMI-ANNUAL REPORT
(Unaudited)
3 | ||||
4 | ||||
7 | ||||
9 | ||||
12 | ||||
15 | ||||
17 | ||||
20 | ||||
24 | ||||
28 | ||||
32 | ||||
36 | ||||
39 | ||||
43 | ||||
46 | ||||
49 | ||||
53 | ||||
58 | ||||
63 | ||||
70 | ||||
77 | ||||
91 | ||||
92 | ||||
93 | ||||
95 |
This report is submitted for the information of each Fund’s shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus.
ii
DIMENSIONAL ETF TRUST
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
(Unaudited)
Investment Abbreviations | ||
ADR | American Depositary Receipt | |
GDR | Global Depositary Receipt | |
PLC | Public Limited Company | |
SA | Special Assessment | |
Investment Footnotes | ||
† | See Note B to Financial Statements. | |
‡ | Calculated as a percentage of total net assets. Percentages shown parenthetically next to the category headings have been calculated as a percentage of total investments. “Other Securities” are those securities that are not among the top 50 holdings in unaffiliated issuers of the Fund or do not represent more than 1.0% of the net assets of the Fund. Some of the individual securities within this category may include Total or Partial Securities on Loan and/or Non-Income Producing Securities. | |
* | Non-Income Producing Security | |
§ | Affiliated Fund | |
@ | Security purchased with cash collateral received from Securities on Loan | |
# | Total or Partial Securities on Loan | |
Financial Highlights | ||
(**) | The net asset value per share for financial reporting purposes differs from the NAV reported due to adjustments made in accordance with accounting principles generally accepted in the United States of America | |
(a) | Computed using average shares outstanding | |
(b) | Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, if any, and redemption on the last day of the period at net asset value. This percentage is not an indication of the performance of a shareholder’s investment in the Fund based on market value due to differences between the market price of the shares and the net asset value per share of the Fund | |
(c) | Not annualized for periods less than one year | |
(d) | Market value total return is calculated assuming an initial investment made at the market value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, if any, and redemption on the last day of the period at market value. Market value is determined by the composite closing price. Composite closing security price is defined as the last reported sale price from any primary listing market (e.g., NYSE Arca) or participating regional exchanges or markets. The composite closing price is the last reported sale price from any of the eligible sources, regardless of volume and not an average price and may have occurred on a date prior to the close of the reporting period. Market value may be greater or less than net asset value, depending on the Fund’s closing price on the listing market | |
(e) | Annualized for periods less than one year | |
(f) | Excludes impact of in-kind transactions | |
All Statements, Schedules and Notes to Financial Statements | ||
— | Amounts designated as — are either zero or rounded to zero | |
SEC | Securities and Exchange Commission |
3
DIMENSIONAL ETF TRUST
(Unaudited)
The following Expense Tables are shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses and legal and audit services, which are deducted from a fund’s gross income, directly reduce the investment return of the fund. A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs, in dollars, of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The Expense Tables below illustrate your fund’s costs in two ways.
Actual Fund Return
This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The “Ending Account Value” shown is derived from the fund’s actual return and “Expenses Paid During Period” reflects the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000 = 7.5), then multiply the result by the number given for your fund under the heading “Expenses Paid During Period.”
Hypothetical Example for Comparison Purposes
This section is intended to help you compare your fund’s costs with those of other mutual funds. The hypothetical “Ending Account Value” and “Expenses Paid During Period” are derived from the fund’s actual expense ratio and an assumed 5% annual return before expenses. In this case, because the return used is not the fund’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs, such as brokerage commissions, if applicable. The “Annualized Expense Ratio” represents the actual expenses for the six-month period indicated.
For the period ended April 30, 2022 | ||||||||||||||||
Expense Tables | ||||||||||||||||
Beginning Account Value 11/1/2021 |
Ending Account Value 4/30/2022 |
Annualized Expense Ratio |
Expenses Paid During Period(a) |
|||||||||||||
Dimensional US Core Equity Market ETF |
||||||||||||||||
Actual Fund Return |
$ | 1,000.00 | $ | 902.40 | 0.12 | % | $ | 0.57 | ||||||||
Hypothetical 5% Annual Return |
$ | 1,000.00 | $ | 1,024.20 | 0.12 | % | $ | 0.60 | ||||||||
Dimensional US High Profitability ETF |
||||||||||||||||
Actual Fund Return(b) |
$ | 1,000.00 | $ | 1,006.10 | 0.22 | % | $ | 0.40 | ||||||||
Hypothetical 5% Annual Return |
$ | 1,000.00 | $ | 1,023.70 | 0.22 | % | $ | 1.10 |
4
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Account Value 11/1/2021 |
Ending Account Value 4/30/2022 |
Annualized Expense Ratio |
Expenses Paid During Period(a) |
|||||||||||||
Dimensional US Real Estate ETF |
||||||||||||||||
Actual Fund Return(b) |
$ | 1,000.00 | $ | 1,056.00 | 0.19 | % | $ | 0.35 | ||||||||
Hypothetical 5% Annual Return |
$ | 1,000.00 | $ | 1,023.85 | 0.19 | % | $ | 0.95 | ||||||||
Dimensional US Small Cap Value ETF |
||||||||||||||||
Actual Fund Return(b) |
$ | 1,000.00 | $ | 983.30 | 0.31 | % | $ | 0.56 | ||||||||
Hypothetical 5% Annual Return |
$ | 1,000.00 | $ | 1,023.26 | 0.31 | % | $ | 1.56 | ||||||||
Dimensional International Core Equity Market ETF |
||||||||||||||||
Actual Fund Return |
$ | 1,000.00 | $ | 916.60 | 0.18 | % | $ | 0.86 | ||||||||
Hypothetical 5% Annual Return |
$ | 1,000.00 | $ | 1,023.90 | 0.18 | % | $ | 0.90 | ||||||||
Dimensional International Core Equity 2 ETF |
||||||||||||||||
Actual Fund Return(c) |
$ | 1,000.00 | $ | 943.90 | 0.23 | % | $ | 0.23 | ||||||||
Hypothetical 5% Annual Return |
$ | 1,000.00 | $ | 1,023.65 | 0.23 | % | $ | 1.15 | ||||||||
Dimensional International Small Cap Value ETF |
||||||||||||||||
Actual Fund Return(c) |
$ | 1,000.00 | $ | 940.50 | 0.42 | % | $ | 0.42 | ||||||||
Hypothetical 5% Annual Return |
$ | 1,000.00 | $ | 1,022.71 | 0.42 | % | $ | 2.11 | ||||||||
Dimensional International Small Cap ETF |
||||||||||||||||
Actual Fund Return(c) |
$ | 1,000.00 | $ | 936.10 | 0.39 | % | $ | 0.39 | ||||||||
Hypothetical 5% Annual Return |
$ | 1,000.00 | $ | 1,022.86 | 0.39 | % | $ | 1.96 | ||||||||
Dimensional International High Profitability ETF |
||||||||||||||||
Actual Fund Return(c) |
$ | 1,000.00 | $ | 939.90 | 0.29 | % | $ | 0.29 | ||||||||
Hypothetical 5% Annual Return |
$ | 1,000.00 | $ | 1,023.36 | 0.29 | % | $ | 1.45 | ||||||||
Dimensional Emerging Core Equity Market ETF |
||||||||||||||||
Actual Fund Return |
$ | 1,000.00 | $ | 904.70 | 0.35 | % | $ | 1.65 | ||||||||
Hypothetical 5% Annual Return |
$ | 1,000.00 | $ | 1,023.06 | 0.35 | % | $ | 1.76 | ||||||||
Dimensional Emerging Markets High Profitability ETF |
||||||||||||||||
Actual Fund Return(d) |
$ | 1,000.00 | $ | 1,020.20 | 0.41 | % | $ | 0.05 | ||||||||
Hypothetical 5% Annual Return |
$ | 1,000.00 | $ | 1,022.76 | 0.41 | % | $ | 2.06 | ||||||||
Dimensional Emerging Markets Value ETF |
||||||||||||||||
Actual Fund Return(d) |
$ | 1,000.00 | $ | 1,012.60 | 0.43 | % | $ | 0.05 | ||||||||
Hypothetical 5% Annual Return |
$ | 1,000.00 | $ | 1,022.66 | 0.43 | % | $ | 2.16 | ||||||||
Dimensional Emerging Markets Core Equity 2 ETF |
||||||||||||||||
Actual Fund Return(d) |
$ | 1,000.00 | $ | 1,018.20 | 0.39 | % | $ | 0.04 | ||||||||
Hypothetical 5% Annual Return |
$ | 1,000.00 | $ | 1,022.86 | 0.39 | % | $ | 1.96 |
(a) |
Expenses are equal to the Fund’s annualized expense ratio for the six-month period, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (181), then divided by the number of days in the year (365) (to reflect the six-month period). |
5
DISCLOSURE OF FUND EXPENSES
CONTINUED
(b) |
Information shown reflects values for the stub period of 66 days from February 23, 2022 (commencement of operations) to April 30, 2022 and has been calculated using expense ratios and rates of returns for the same period. |
(c) |
Information shown reflects values for the stub period of 38 days from March 23, 2022 (commencement of operations) to April 30, 2022 and has been calculated using expense ratios and rates of returns for the same period. |
(d) |
Information shown reflects values for the stub period of 4 days from April 26, 2022 (commencement of operations) to April 30, 2022 and has been calculated using expense ratios and rates of returns for the same period. |
6
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
The SEC requires that all funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters as an exhibit to their reports on Form N-PORT. For Dimensional ETF Trust, this would be for the fiscal quarters ending January 31 and July 31. Such Form N-PORT filing must be made within 60 days of the end of the quarter. Dimensional ETF Trust filed its most recent Form N-PORT with the SEC on March 31, 2022. They are available upon request, without charge, by calling collect: (512) 306-7400; by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, TX 78746; or by visiting the SEC’s website at http://www.sec.gov.
SEC regulations permit a fund to include in its reports to shareholders a “Summary Schedule of Portfolio Holdings” in lieu of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings reports the fund’s 50 largest holdings in unaffiliated issuers and any investments that exceed one percent of the fund’s net assets at the end of the reporting period. The regulations also require that the Summary Schedule of Portfolio Holdings identify each category of investments that are held.
A fund is required to file a complete Schedule of Investments with the SEC on Form N-CSR within ten days after mailing the annual and semi-annual reports to shareholders. It will be available upon request, without charge, by calling collect: (512) 306-7400; by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, TX 78746; or by visiting the SEC’s website at http://www.sec.gov.
PORTFOLIO HOLDINGS
The SEC requires that all funds present their categories of portfolio holdings in a table, chart, or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is used. The following table, which presents portfolio holdings as a percentage of total investments before short-term investments and collateral for loaned securities, is provided in compliance with this requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications.
Dimensional US Core Equity Market ETF |
| |||
Communication Services |
7.6 | % | ||
Consumer Discretionary |
11.4 | % | ||
Consumer Staples |
6.9 | % | ||
Energy |
5.0 | % | ||
Financials |
12.7 | % | ||
Health Care |
12.7 | % | ||
Industrials |
10.5 | % | ||
Information Technology |
25.6 | % | ||
Materials |
3.9 | % | ||
Real Estate |
0.2 | % | ||
Utilities |
3.5 | % | ||
|
|
|||
100.0 | % |
Dimensional US High Profitability ETF |
| |||
Communication Services |
3.3 | % | ||
Consumer Discretionary |
17.5 | % | ||
Consumer Staples |
12.3 | % | ||
Energy |
1.3 | % | ||
Financials |
5.1 | % | ||
Health Care |
11.4 | % | ||
Industrials |
14.7 | % | ||
Information Technology |
29.5 | % | ||
Materials |
4.7 | % | ||
Utilities |
0.2 | % | ||
|
|
|||
100.0 | % |
Dimensional US Real Estate ETF |
| |||
Real Estate |
100.0 | % | ||
|
|
|||
100.0 | % |
Dimensional US Small Cap Value ETF |
| |||
Communication Services |
2.4 | % | ||
Consumer Discretionary |
13.1 | % | ||
Consumer Staples |
4.1 | % | ||
Energy |
10.4 | % | ||
Financials |
27.1 | % | ||
Health Care |
4.6 | % | ||
Industrials |
21.3 | % | ||
Information Technology |
7.3 | % | ||
Materials |
8.0 | % | ||
Real Estate |
0.9 | % | ||
Utilities |
0.8 | % | ||
|
|
|||
100.0 | % |
Dimensional International Core Equity Market ETF |
| |||
Communication Services |
4.8 | % | ||
Consumer Discretionary |
11.2 | % | ||
Consumer Staples |
8.8 | % | ||
Energy |
6.6 | % | ||
Financials |
18.4 | % | ||
Health Care |
10.9 | % | ||
Industrials |
16.7 | % | ||
Information Technology |
7.6 | % | ||
Materials |
10.3 | % | ||
Real Estate |
1.1 | % | ||
Utilities |
3.6 | % | ||
|
|
|||
100.0 | % |
Dimensional International Core Equity 2 ETF |
| |||
Communication Services |
5.4 | % | ||
Consumer Discretionary |
11.9 | % | ||
Consumer Staples |
8.0 | % | ||
Energy |
6.7 | % | ||
Financials |
16.1 | % | ||
Health Care |
7.9 | % | ||
Industrials |
18.2 | % | ||
Information Technology |
7.5 | % | ||
Materials |
12.4 | % | ||
Real Estate |
2.4 | % | ||
Utilities |
3.5 | % | ||
|
|
|||
100.0 | % |
7
DIMENSIONAL ETF TRUST
DISCLOSURE OF PORTFOLIO HOLDINGS
(Unaudited)
Dimensional International Small Cap Value ETF |
| |||
Communication Services |
3.6 | % | ||
Consumer Discretionary |
12.8 | % | ||
Consumer Staples |
4.9 | % | ||
Energy |
8.6 | % | ||
Financials |
18.4 | % | ||
Health Care |
3.6 | % | ||
Industrials |
20.3 | % | ||
Information Technology |
4.7 | % | ||
Materials |
18.6 | % | ||
Real Estate |
3.8 | % | ||
Utilities |
0.7 | % | ||
|
|
|||
100.0 | % |
Dimensional International Small Cap ETF |
| |||
Communication Services |
4.5 | % | ||
Consumer Discretionary |
12.5 | % | ||
Consumer Staples |
5.9 | % | ||
Energy |
6.1 | % | ||
Financials |
11.3 | % | ||
Health Care |
5.9 | % | ||
Industrials |
22.5 | % | ||
Information Technology |
10.7 | % | ||
Materials |
12.3 | % | ||
Real Estate |
4.5 | % | ||
Utilities |
3.8 | % | ||
|
|
|||
100.0 | % |
Dimensional International High Profitability ETF |
| |||
Communication Services |
7.9 | % | ||
Consumer Discretionary |
15.2 | % | ||
Consumer Staples |
9.8 | % | ||
Energy |
6.0 | % | ||
Financials |
5.1 | % | ||
Health Care |
12.5 | % | ||
Industrials |
17.4 | % | ||
Information Technology |
9.6 | % | ||
Materials |
13.9 | % | ||
Real Estate |
0.4 | % | ||
Utilities |
2.2 | % | ||
|
|
|||
100.0 | % |
Dimensional Emerging Core Equity Market ETF |
| |||
Communication Services |
8.5 | % | ||
Consumer Discretionary |
11.1 | % | ||
Consumer Staples |
5.6 | % | ||
Energy |
5.7 | % | ||
Financials |
19.8 | % | ||
Health Care |
3.7 | % | ||
Industrials |
7.8 | % | ||
Information Technology |
20.3 | % | ||
Materials |
11.8 | % | ||
Real Estate |
2.7 | % | ||
Utilities |
3.0 | % | ||
|
|
|||
100.0 | % |
Dimensional Emerging Markets High Profitability ETF |
| |||
Communication Services |
14.8 | % | ||
Consumer Discretionary |
10.0 | % | ||
Consumer Staples |
9.1 | % | ||
Energy |
5.4 | % | ||
Financials |
4.2 | % | ||
Health Care |
2.8 | % | ||
Industrials |
5.3 | % | ||
Information Technology |
28.3 | % | ||
Materials |
17.2 | % | ||
Real Estate |
2.1 | % | ||
Utilities |
0.8 | % | ||
|
|
|||
100.0 | % |
Dimensional Emerging Markets Value ETF |
| |||
Communication Services |
3.0 | % | ||
Consumer Discretionary |
7.7 | % | ||
Consumer Staples |
2.5 | % | ||
Energy |
13.1 | % | ||
Financials |
28.0 | % | ||
Health Care |
2.2 | % | ||
Industrials |
8.2 | % | ||
Information Technology |
11.3 | % | ||
Materials |
17.5 | % | ||
Real Estate |
5.4 | % | ||
Utilities |
1.1 | % | ||
|
|
|||
100.0 | % |
Dimensional Emerging Markets Core Equity 2 ETF |
| |||
Communication Services |
8.5 | % | ||
Consumer Discretionary |
9.4 | % | ||
Consumer Staples |
6.3 | % | ||
Energy |
5.2 | % | ||
Financials |
16.0 | % | ||
Health Care |
4.6 | % | ||
Industrials |
9.1 | % | ||
Information Technology |
21.1 | % | ||
Materials |
14.1 | % | ||
Real Estate |
3.3 | % | ||
Utilities |
2.4 | % | ||
|
|
|||
100.0 | % |
8
DIMENSIONAL US CORE EQUITY MARKET ETF
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2022
(Unaudited)
Shares |
Value† |
Percentage |
||||||||||||
COMMON STOCKS — (99.3%) |
||||||||||||||
COMMUNICATION SERVICES — (7.5%) |
||||||||||||||
* |
Alphabet, Inc., Class A |
13,171 | $ | 30,058,724 | 1.6% | |||||||||
* |
Alphabet, Inc., Class C |
12,745 | 29,304,961 | 1.5% | ||||||||||
Comcast Corp., Class A |
230,364 | 9,159,273 | 0.5% | |||||||||||
* |
Meta Platforms, Inc., Class A |
107,125 | 21,475,349 | 1.1% | ||||||||||
Verizon Communications, Inc. |
239,928 | 11,108,666 | 0.6% | |||||||||||
* |
Walt Disney Co. (The) |
62,170 | 6,940,037 | 0.4% | ||||||||||
Other Securities |
37,071,760 | 1.9% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL COMMUNICATION SERVICES |
145,118,770 | 7.6% | ||||||||||||
|
|
|
|
|||||||||||
CONSUMER DISCRETIONARY — (11.4%) |
||||||||||||||
* |
Amazon.com, Inc. |
19,507 | 48,487,184 | 2.5% | ||||||||||
Home Depot, Inc. (The) |
45,859 | 13,776,044 | 0.7% | |||||||||||
Lowe’s Cos., Inc. |
34,305 | 6,783,128 | 0.4% | |||||||||||
McDonald’s Corp. |
36,053 | 8,982,965 | 0.5% | |||||||||||
Target Corp. |
31,892 | 7,292,106 | 0.4% | |||||||||||
* |
Tesla, Inc. |
35,071 | 30,538,424 | 1.6% | ||||||||||
Other Securities |
103,487,502 | 5.3% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL CONSUMER DISCRETIONARY |
219,347,353 | 11.4% | ||||||||||||
|
|
|
|
|||||||||||
CONSUMER STAPLES — (6.9%) |
||||||||||||||
Coca-Cola Co. (The) |
189,738 | 12,258,972 | 0.6% | |||||||||||
Costco Wholesale Corp. |
20,105 | 10,690,231 | 0.6% | |||||||||||
PepsiCo., Inc. |
73,647 | 12,645,926 | 0.7% | |||||||||||
Philip Morris International, Inc. |
69,862 | 6,986,200 | 0.4% | |||||||||||
Procter & Gamble Co. (The) |
121,620 | 19,526,091 | 1.0% | |||||||||||
Walmart, Inc. |
76,219 | 11,660,745 | 0.6% | |||||||||||
Other Securities |
59,609,448 | 3.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL CONSUMER STAPLES |
133,377,613 | 6.9% | ||||||||||||
|
|
|
|
|||||||||||
ENERGY — (5.0%) |
||||||||||||||
Chevron Corp. |
85,168 | 13,343,271 | 0.7% | |||||||||||
Exxon Mobil Corp. |
195,533 | 16,669,188 | 0.9% | |||||||||||
Other Securities |
66,495,456 | 3.4% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL ENERGY |
96,507,915 | 5.0% | ||||||||||||
|
|
|
|
|||||||||||
FINANCIALS — (12.6%) |
||||||||||||||
Bank of America Corp. |
332,069 | 11,848,222 | 0.6% | |||||||||||
* |
Berkshire Hathaway, Inc., Class B |
71,726 | 23,155,305 | 1.2% | ||||||||||
JPMorgan Chase & Co. |
143,296 | 17,103,811 | 0.9% | |||||||||||
Wells Fargo & Co. |
168,381 | 7,346,463 | 0.4% | |||||||||||
Other Securities |
184,385,955 | 9.6% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL FINANCIALS |
243,839,756 | 12.7% | ||||||||||||
|
|
|
|
|||||||||||
HEALTH CARE — (12.6%) |
||||||||||||||
AbbVie, Inc. |
96,979 | 14,244,276 | 0.8% | |||||||||||
Bristol-Myers Squibb Co. |
100,623 | 7,573,893 | 0.4% | |||||||||||
CVS Health Corp. |
76,435 | 7,347,697 | 0.4% | |||||||||||
Eli Lilly & Co. |
37,907 | 11,073,772 | 0.6% | |||||||||||
Johnson & Johnson |
133,811 | 24,147,533 | 1.3% | |||||||||||
Merck & Co., Inc. |
90,366 | 8,014,561 | 0.4% | |||||||||||
Pfizer, Inc. |
255,058 | 12,515,696 | 0.7% | |||||||||||
Thermo Fisher Scientific, Inc. |
12,658 | 6,998,861 | 0.4% |
9
DIMENSIONAL US CORE EQUITY MARKET ETF
CONTINUED
Shares |
Value† |
Percentage |
||||||||||||
HEALTH CARE — (Continued) |
||||||||||||||
UnitedHealth Group, Inc. |
44,193 | $ | 22,474,350 | 1.2% | ||||||||||
Other Securities |
129,577,772 | 6.5% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL HEALTH CARE |
243,968,411 | 12.7% | ||||||||||||
|
|
|
|
|||||||||||
INDUSTRIALS — (10.4%) |
||||||||||||||
Caterpillar, Inc. |
32,661 | 6,876,447 | 0.4% | |||||||||||
Raytheon Technologies Corp. |
76,239 | 7,235,843 | 0.4% | |||||||||||
Union Pacific Corp. |
38,465 | 9,011,965 | 0.5% | |||||||||||
United Parcel Service, Inc., Class B |
39,980 | 7,195,600 | 0.4% | |||||||||||
Other Securities |
170,721,355 | 8.8% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL INDUSTRIALS |
201,041,210 | 10.5% | ||||||||||||
|
|
|
|
|||||||||||
INFORMATION TECHNOLOGY — (25.4%) |
||||||||||||||
Accenture PLC, Class A |
25,298 | 7,598,507 | 0.4% | |||||||||||
Apple, Inc. |
752,640 | 118,653,696 | 6.2% | |||||||||||
Broadcom, Inc. |
23,625 | 13,097,464 | 0.7% | |||||||||||
Cisco Systems, Inc. |
204,643 | 10,023,414 | 0.5% | |||||||||||
Intel Corp. |
250,220 | 10,907,090 | 0.6% | |||||||||||
Mastercard, Inc., Class A |
45,038 | 16,365,908 | 0.9% | |||||||||||
Microsoft Corp. |
325,363 | 90,294,740 | 4.7% | |||||||||||
NVIDIA Corp. |
100,045 | 18,555,346 | 1.0% | |||||||||||
QUALCOMM, Inc. |
56,333 | 7,869,157 | 0.4% | |||||||||||
Texas Instruments, Inc. |
48,777 | 8,304,284 | 0.4% | |||||||||||
Visa, Inc., Class A |
81,051 | 17,274,400 | 0.9% | |||||||||||
Other Securities |
171,713,838 | 8.8% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL INFORMATION TECHNOLOGY |
490,657,844 | 25.5% | ||||||||||||
|
|
|
|
|||||||||||
MATERIALS — (3.8%) |
||||||||||||||
Linde PLC |
24,129 | 7,527,283 | 0.4% | |||||||||||
Other Securities |
66,530,807 | 3.5% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL MATERIALS |
74,058,090 | 3.9% | ||||||||||||
|
|
|
|
|||||||||||
REAL ESTATE — (0.2%) |
||||||||||||||
Other Securities |
3,995,570 | 0.2% | ||||||||||||
|
|
|
|
|||||||||||
UTILITIES — (3.5%) |
||||||||||||||
NextEra Energy, Inc. |
97,723 | 6,940,287 | 0.4% | |||||||||||
Other Securities |
59,443,106 | 3.1% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL UTILITIES |
66,383,393 | 3.5% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL COMMON STOCK |
1,918,295,925 | 99.9% | ||||||||||||
|
|
|
|
|||||||||||
RIGHTS/WARRANTS — (0.0%) |
||||||||||||||
HEALTH CARE — (0.0%) |
||||||||||||||
Other Securities |
1,229 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL RIGHTS/WARRANTS |
1,229 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL INVESTMENT SECURITIES — (99.3%) |
||||||||||||||
(Cost $1,968,656,177) |
1,918,297,154 | |||||||||||||
|
|
|||||||||||||
SECURITIES LENDING COLLATERAL — (0.7%) |
||||||||||||||
@§ |
The DFA Short Term Investment Fund |
1,192,832 | 13,800,475 | 0.7% | ||||||||||
|
|
|
|
|||||||||||
TOTAL INVESTMENTS — 100.0% |
||||||||||||||
(Cost $1,982,456,652) |
1,932,097,629 | 100.6% | ||||||||||||
|
|
|
|
10
DIMENSIONAL US CORE EQUITY MARKET ETF
CONTINUED
Summary of the Fund’s investments as of April 30, 2022, based on their valuation inputs, is as follows (see Security Valuation Note):
Investments in Securities (Market Value) | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Common Stocks |
||||||||||||||||
Communication Services |
$ | 145,118,770 | $ | — | $ | — | $ | 145,118,770 | ||||||||
Consumer Discretionary |
219,347,353 | — | — | 219,347,353 | ||||||||||||
Consumer Staples |
133,377,613 | — | — | 133,377,613 | ||||||||||||
Energy |
96,507,915 | — | — | 96,507,915 | ||||||||||||
Financials |
243,839,756 | — | — | 243,839,756 | ||||||||||||
Health Care |
243,968,411 | — | — | 243,968,411 | ||||||||||||
Industrials |
201,041,210 | — | — | 201,041,210 | ||||||||||||
Information Technology |
490,657,844 | — | — | 490,657,844 | ||||||||||||
Materials |
74,058,090 | — | — | 74,058,090 | ||||||||||||
Real Estate |
3,995,570 | — | — | 3,995,570 | ||||||||||||
Utilities |
66,383,393 | — | — | 66,383,393 | ||||||||||||
Rights/Warrants |
||||||||||||||||
Health Care |
— | 1,229 | — | 1,229 | ||||||||||||
Collateral for Securities on Loan |
13,800,475 | — | — | 13,800,475 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
$ | 1,932,096,400 | $ | 1,229 | $ | — | $ | 1,932,097,629 | ||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
11
DIMENSIONAL US HIGH PROFITABILITY ETF
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2022
(Unaudited)
Shares |
Value† |
Percentage |
||||||||||||
COMMON STOCKS — (100.0%) |
||||||||||||||
COMMUNICATION SERVICES — (3.3%) |
||||||||||||||
* |
Charter Communications, Inc., Class A |
3,494 | $ | 1,497,144 | 0.7% | |||||||||
Verizon Communications, Inc. |
114,353 | 5,294,544 | 2.3% | |||||||||||
Other Securities |
757,456 | 0.3% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL COMMUNICATION SERVICES |
7,549,144 | 3.3% | ||||||||||||
|
|
|
|
|||||||||||
CONSUMER DISCRETIONARY — (17.5%) |
||||||||||||||
* |
Amazon.com, Inc. |
3,258 | 8,098,183 | 3.5% | ||||||||||
Home Depot, Inc. (The) |
19,556 | 5,874,622 | 2.6% | |||||||||||
Lowe’s Cos., Inc. |
12,250 | 2,422,192 | 1.1% | |||||||||||
* |
Lululemon Athletica, Inc. |
4,779 | 1,694,777 | 0.7% | ||||||||||
NIKE, Inc., Class B |
24,819 | 3,094,929 | 1.4% | |||||||||||
Ross Stores, Inc. |
20,769 | 2,072,123 | 0.9% | |||||||||||
Target Corp. |
13,928 | 3,184,637 | 1.4% | |||||||||||
TJX Cos, Inc. (The) |
32,767 | 2,007,962 | 0.9% | |||||||||||
Other Securities |
11,252,755 | 4.9% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL CONSUMER DISCRETIONARY |
39,702,180 | 17.4% | ||||||||||||
|
|
|
|
|||||||||||
CONSUMER STAPLES — (12.3%) |
||||||||||||||
Altria Group, Inc. |
34,444 | 1,914,053 | 0.8% | |||||||||||
Coca-Cola Co. (The) |
56,546 | 3,653,437 | 1.6% | |||||||||||
Costco Wholesale Corp. |
8,860 | 4,711,039 | 2.1% | |||||||||||
Kroger Co. (The) |
38,134 | 2,057,711 | 0.9% | |||||||||||
PepsiCo., Inc. |
32,177 | 5,525,113 | 2.4% | |||||||||||
Procter & Gamble Co. (The) |
20,852 | 3,347,789 | 1.5% | |||||||||||
Other Securities |
6,840,468 | 3.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL CONSUMER STAPLES |
28,049,610 | 12.3% | ||||||||||||
|
|
|
|
|||||||||||
ENERGY — (1.3%) |
||||||||||||||
Occidental Petroleum Corp. |
51,215 | 2,821,434 | 1.2% | |||||||||||
Other Securities |
144,050 | 0.1% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL ENERGY |
2,965,484 | 1.3% | ||||||||||||
|
|
|
|
|||||||||||
FINANCIALS — (5.1%) |
||||||||||||||
American Express Co. |
16,134 | 2,818,771 | 1.2% | |||||||||||
Ameriprise Financial, Inc. |
6,231 | 1,654,268 | 0.7% | |||||||||||
Aon PLC, Class A |
5,052 | 1,454,926 | 0.7% | |||||||||||
Discover Financial Services |
14,734 | 1,656,986 | 0.7% | |||||||||||
S&P Global, Inc. |
4,036 | 1,519,554 | 0.7% | |||||||||||
Other Securities |
2,575,816 | 1.1% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL FINANCIALS |
11,680,321 | 5.1% | ||||||||||||
|
|
|
|
|||||||||||
HEALTH CARE — (11.4%) |
||||||||||||||
AbbVie, Inc. |
40,191 | 5,903,254 | 2.6% | |||||||||||
Amgen, Inc. |
13,441 | 3,134,307 | 1.4% | |||||||||||
Eli Lilly & Co. |
18,037 | 5,269,149 | 2.3% | |||||||||||
Gilead Sciences, Inc. |
36,257 | 2,151,491 | 0.9% | |||||||||||
Other Securities |
9,557,927 | 4.2% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL HEALTH CARE |
26,016,128 | 11.4% | ||||||||||||
|
|
|
|
|||||||||||
INDUSTRIALS — (14.7%) |
||||||||||||||
3M Co. |
16,463 | 2,374,294 | 1.0% | |||||||||||
Caterpillar, Inc. |
13,653 | 2,874,503 | 1.3% |
12
DIMENSIONAL US HIGH PROFITABILITY ETF
CONTINUED
Shares |
Value† |
Percentage |
||||||||||||
INDUSTRIALS (Continued) |
||||||||||||||
Cintas Corp. |
5,285 | $ | 2,099,519 | 0.9% | ||||||||||
Deere & Co. |
7,301 | 2,756,493 | 1.2% | |||||||||||
* |
Delta Air Lines, Inc. |
37,659 | 1,620,467 | 0.7% | ||||||||||
Illinois Tool Works, Inc. |
7,053 | 1,390,217 | 0.6% | |||||||||||
Lockheed Martin Corp. |
7,062 | 3,051,631 | 1.3% | |||||||||||
Union Pacific Corp. |
17,950 | 4,205,505 | 1.8% | |||||||||||
United Parcel Service, Inc., Class B |
17,742 | 3,193,205 | 1.4% | |||||||||||
* |
United Rentals, Inc. |
4,608 | 1,458,524 | 0.6% | ||||||||||
Other Securities |
8,365,245 | 3.8% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL INDUSTRIALS |
33,389,603 | 14.6% | ||||||||||||
|
|
|
|
|||||||||||
INFORMATION TECHNOLOGY — (29.5%) |
||||||||||||||
Accenture PLC, Class A |
13,608 | 4,087,299 | 1.8% | |||||||||||
Apple, Inc. |
63,820 | 10,061,223 | 4.4% | |||||||||||
Applied Materials, Inc. |
25,515 | 2,815,580 | 1.2% | |||||||||||
Automatic Data Processing, Inc. |
10,486 | 2,287,835 | 1.0% | |||||||||||
Broadcom, Inc. |
11,698 | 6,485,254 | 2.9% | |||||||||||
International Business Machines Corp. |
25,094 | 3,317,678 | 1.5% | |||||||||||
Mastercard, Inc., Class A |
16,818 | 6,111,325 | 2.7% | |||||||||||
Microsoft Corp. |
36,576 | 10,150,572 | 4.5% | |||||||||||
Oracle Corp. |
38,210 | 2,804,614 | 1.2% | |||||||||||
QUALCOMM, Inc. |
24,993 | 3,491,272 | 1.5% | |||||||||||
Texas Instruments, Inc. |
25,298 | 4,306,984 | 1.9% | |||||||||||
Other Securities |
11,281,813 | 4.9% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL INFORMATION TECHNOLOGY |
67,201,449 | 29.5% | ||||||||||||
|
|
|
|
|||||||||||
MATERIALS — (4.7%) |
||||||||||||||
LyondellBasell Industries NV, Class A |
20,438 | 2,167,041 | 1.0% | |||||||||||
Nucor Corp. |
14,912 | 2,308,079 | 1.0% | |||||||||||
Sherwin-Williams Co. (The) |
5,730 | 1,575,521 | 0.7% | |||||||||||
Other Securities |
4,634,622 | 2.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL MATERIALS |
10,685,263 | 4.7% | ||||||||||||
|
|
|
|
|||||||||||
UTILITIES — (0.2%) |
||||||||||||||
Other Securities |
471,977 | 0.2% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL Common Stocks |
||||||||||||||
(Cost $236,720,879) |
227,711,159 | 99.8% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL INVESTMENT SECURITIES — (100.0%) |
||||||||||||||
(Cost $236,720,879) |
227,711,159 | |||||||||||||
|
|
|||||||||||||
TOTAL INVESTMENTS — 100.0% |
||||||||||||||
(Cost $236,720,879) |
227,711,159 | 99.8% | ||||||||||||
|
|
|
|
13
DIMENSIONAL US HIGH PROFITABILITY ETF
CONTINUED
Summary of the Fund’s investments as of April 30, 2022, based on their valuation inputs, is as follows (see Security Valuation Note):
Investments in Securities (Market Value) | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Common Stocks |
||||||||||||||||
Communication Services |
$ | 7,549,144 | $ | — | $ | — | $ | 7,549,144 | ||||||||
Consumer Discretionary |
39,702,180 | — | — | 39,702,180 | ||||||||||||
Consumer Staples |
28,049,610 | — | — | 28,049,610 | ||||||||||||
Energy |
2,965,484 | — | — | 2,965,484 | ||||||||||||
Financials |
11,680,321 | — | — | 11,680,321 | ||||||||||||
Health Care |
26,016,128 | — | — | 26,016,128 | ||||||||||||
Industrials |
33,389,603 | — | — | 33,389,603 | ||||||||||||
Information Technology |
67,201,449 | — | — | 67,201,449 | ||||||||||||
Materials |
10,685,263 | — | — | 10,685,263 | ||||||||||||
Utilities |
471,977 | — | — | 471,977 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
$ | 227,711,159 | $ | — | $ | — | $ | 227,711,159 | ||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
14
DIMENSIONAL US REAL ESTATE ETF
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2022
(Unaudited)
Shares |
Value† |
Percentage |
||||||||||||
COMMON STOCKS — (100.0%) |
||||||||||||||
REAL ESTATE — (100.0%) |
||||||||||||||
Alexandria Real Estate Equities, Inc. |
6,351 | $ | 1,156,898 | 1.9% | ||||||||||
American Campus Communities, Inc. |
5,715 | 369,589 | 0.6% | |||||||||||
American Homes 4 Rent, Class A |
13,683 | 541,984 | 0.9% | |||||||||||
American Tower Corp. |
19,073 | 4,596,974 | 7.7% | |||||||||||
Americold Realty Trust |
11,191 | 295,219 | 0.5% | |||||||||||
Apartment Income REIT Corp. |
6,578 | 323,440 | 0.5% | |||||||||||
AvalonBay Communities, Inc. |
5,843 | 1,329,166 | 2.2% | |||||||||||
Boston Properties, Inc. |
6,211 | 730,414 | 1.2% | |||||||||||
Brixmor Property Group, Inc. |
12,501 | 317,275 | 0.5% | |||||||||||
Camden Property Trust |
4,327 | 678,863 | 1.1% | |||||||||||
Crown Castle International Corp. |
18,104 | 3,353,042 | 5.6% | |||||||||||
CubeSmart |
9,160 | 435,192 | 0.7% | |||||||||||
Digital Realty Trust, Inc. |
11,925 | 1,742,481 | 2.9% | |||||||||||
Duke Realty Corp. |
16,097 | 881,311 | 1.5% | |||||||||||
EastGroup Properties, Inc. |
1,748 | 327,750 | 0.6% | |||||||||||
Equinix, Inc. |
3,818 | 2,745,447 | 4.6% | |||||||||||
Equity LifeStyle Properties, Inc. |
7,406 | 572,336 | 1.0% | |||||||||||
Equity Residential |
14,975 | 1,220,462 | 2.0% | |||||||||||
Essex Property Trust, Inc. |
2,715 | 893,968 | 1.5% | |||||||||||
Extra Space Storage, Inc. |
5,612 | 1,066,280 | 1.8% | |||||||||||
Federal Realty Investment Trust |
2,945 | 344,742 | 0.6% | |||||||||||
First Industrial Realty Trust, Inc. |
5,520 | 320,160 | 0.5% | |||||||||||
Gaming and Leisure Properties, Inc. |
9,845 | 436,921 | 0.7% | |||||||||||
Healthcare Trust of America, Inc., Class A |
9,294 | 283,095 | 0.5% | |||||||||||
Healthpeak Properties, Inc. |
22,758 | 746,690 | 1.3% | |||||||||||
Host Hotels & Resorts, Inc. |
30,131 | 613,166 | 1.0% | |||||||||||
Invitation Homes, Inc. |
25,317 | 1,008,123 | 1.7% | |||||||||||
Iron Mountain, Inc. |
12,147 | 652,658 | 1.1% | |||||||||||
Kilroy Realty Corp. |
4,416 | 309,120 | 0.5% | |||||||||||
Kimco Realty Corp. |
24,671 | 624,916 | 1.0% | |||||||||||
Lamar Advertising Co., Class A |
3,634 | 401,230 | 0.7% | |||||||||||
Life Storage, Inc. |
3,452 | 457,355 | 0.8% | |||||||||||
Medical Properties Trust, Inc. |
25,111 | 461,791 | 0.8% | |||||||||||
Mid-America Apartment Communities, Inc. |
4,830 | 949,964 | 1.6% | |||||||||||
National Retail Properties, Inc. |
7,360 | 322,662 | 0.5% | |||||||||||
Prologis, Inc. |
31,005 | 4,969,791 | 8.3% | |||||||||||
Public Storage |
6,624 | 2,460,816 | 4.1% | |||||||||||
Realty Income Corp. |
24,302 | 1,685,587 | 2.8% | |||||||||||
Regency Centers Corp. |
6,441 | 443,334 | 0.7% | |||||||||||
Rexford Industrial Realty, Inc. |
6,721 | 524,507 | 0.9% | |||||||||||
SBA Communications Corp. |
4,554 | 1,580,739 | 2.6% | |||||||||||
Simon Property Group, Inc. |
14,368 | 1,695,424 | 2.8% | |||||||||||
STAG Industrial, Inc. |
7,453 | 278,146 | 0.5% | |||||||||||
STORE Capital Corp. |
10,305 | 292,971 | 0.5% | |||||||||||
Sun Communities, Inc. |
5,011 | 879,781 | 1.5% | |||||||||||
UDR, Inc. |
13,380 | 711,950 | 1.2% | |||||||||||
Ventas, Inc. |
16,769 | 931,518 | 1.6% | |||||||||||
VICI Properties, Inc. |
38,513 | 1,148,060 | 1.9% | |||||||||||
Welltower, Inc. |
18,777 | 1,705,139 | 2.9% | |||||||||||
WP Carey, Inc. |
8,005 | 646,564 | 1.1% | |||||||||||
Other Securities |
8,307,566 | 13.9% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL REAL ESTATE |
59,772,577 | 99.9% | ||||||||||||
|
|
|
|
15
DIMENSIONAL US REAL ESTATE ETF
CONTINUED
Shares |
Value† |
Percentage |
||||||||||||
TOTAL Common Stocks |
||||||||||||||
(Cost $60,284,432) |
$ | 59,772,577 | 99.9% | |||||||||||
|
|
|
|
|||||||||||
TOTAL INVESTMENT SECURITIES — (100.0%) |
||||||||||||||
(Cost $60,284,432) |
59,772,577 | |||||||||||||
|
|
|||||||||||||
TOTAL INVESTMENTS — 100.0% |
||||||||||||||
(Cost $60,284,432) |
59,772,577 | 99.9% | ||||||||||||
|
|
|
|
Summary of the Fund’s investments as of April 30, 2022, based on their valuation inputs, is as follows (see Security Valuation Note):
Investments in Securities (Market Value) | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Common Stocks |
||||||||||||||||
Real Estate |
$ | 59,772,577 | $ | — | $ | — | $ | 59,772,577 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
$ | 59,772,577 | $ | — | $ | — | $ | 59,772,577 | ||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
16
DIMENSIONAL US SMALL CAP VALUE ETF
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2022
(Unaudited)
Shares |
Value† |
Percentage |
||||||||||||
COMMON STOCKS — (100.0%) |
||||||||||||||
COMMUNICATION SERVICES — (2.4%) |
||||||||||||||
Other Securities |
$ | 1,145,652 | 2.4% | |||||||||||
|
|
|
|
|||||||||||
CONSUMER DISCRETIONARY — (13.1%) |
||||||||||||||
* |
AutoNation, Inc. |
2,273 | 263,463 | 0.5% | ||||||||||
Foot Locker, Inc. |
7,798 | 228,559 | 0.5% | |||||||||||
* |
Goodyear Tire & Rubber Co. (The) |
22,208 | 295,811 | 0.6% | ||||||||||
MDC Holdings, Inc. |
6,058 | 223,601 | 0.5% | |||||||||||
Penske Automotive Group, Inc. |
2,622 | 274,838 | 0.6% | |||||||||||
* |
Taylor Morrison Home Corp. |
10,460 | 273,947 | 0.6% | ||||||||||
Other Securities |
4,802,553 | 9.8% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL CONSUMER DISCRETIONARY |
6,362,772 | 13.1% | ||||||||||||
|
|
|
|
|||||||||||
CONSUMER STAPLES — (4.1%) |
||||||||||||||
* |
Hostess Brands, Inc. |
11,333 | 257,146 | 0.5% | ||||||||||
Ingredion, Inc. |
2,675 | 227,669 | 0.5% | |||||||||||
* |
United Natural Foods, Inc. |
5,134 | 220,403 | 0.5% | ||||||||||
Other Securities |
1,263,713 | 2.6% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL CONSUMER STAPLES |
1,968,931 | 4.1% | ||||||||||||
|
|
|
|
|||||||||||
ENERGY — (10.4%) |
||||||||||||||
* |
Antero Resources Corp. |
8,674 | 305,325 | 0.6% | ||||||||||
* |
CNX Resources Corp. |
14,069 | 289,118 | 0.6% | ||||||||||
Helmerich & Payne, Inc. |
4,802 | 221,036 | 0.5% | |||||||||||
Murphy Oil Corp. |
11,349 | 432,170 | 0.9% | |||||||||||
PDC Energy, Inc. |
7,427 | 517,959 | 1.1% | |||||||||||
Other Securities |
3,293,438 | 6.7% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL ENERGY |
5,059,046 | 10.4% | ||||||||||||
|
|
|
|
|||||||||||
FINANCIALS — (27.1%) |
||||||||||||||
American Equity Investment Life Holding Co. |
8,349 | 314,924 | 0.7% | |||||||||||
Associated Banc-Corp. |
11,944 | 238,283 | 0.5% | |||||||||||
Assured Guaranty, Ltd. |
4,189 | 231,023 | 0.5% | |||||||||||
Bank OZK |
8,133 | 312,470 | 0.6% | |||||||||||
* |
Enstar Group, Ltd. |
906 | 213,590 | 0.4% | ||||||||||
FNB Corp. |
25,321 | 291,698 | 0.6% | |||||||||||
Fulton Financial Corp. |
14,196 | 215,353 | 0.4% | |||||||||||
International Bancshares Corp. |
6,322 | 251,552 | 0.5% | |||||||||||
Navient Corp. |
16,082 | 255,543 | 0.5% | |||||||||||
Nelnet, Inc., Class A |
3,163 | 259,587 | 0.5% | |||||||||||
New York Community BanCorp, Inc. |
27,354 | 252,751 | 0.5% | |||||||||||
Old National BanCorp |
17,593 | 266,710 | 0.6% | |||||||||||
Popular, Inc. |
3,935 | 306,891 | 0.6% | |||||||||||
United Bankshares, Inc. |
7,371 | 245,159 | 0.5% | |||||||||||
Unum Group |
11,878 | 362,517 | 0.8% | |||||||||||
Valley National BanCorp |
23,722 | 284,190 | 0.6% | |||||||||||
Washington Federal, Inc. |
7,064 | 214,958 | 0.4% | |||||||||||
Other Securities |
8,612,780 | 17.9% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL FINANCIALS |
13,129,979 | 27.1% | ||||||||||||
|
|
|
|
|||||||||||
HEALTH CARE — (4.7%) |
||||||||||||||
* |
Acadia Healthcare Co., Inc. |
6,487 | 440,338 | 0.9% | ||||||||||
Other Securities |
1,814,471 | 3.7% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL HEALTH CARE |
2,254,809 | 4.6% | ||||||||||||
|
|
|
|
17
DIMENSIONAL US SMALL CAP VALUE ETF
CONTINUED
Shares |
Value† |
Percentage |
||||||||||||
INDUSTRIALS — (21.3%) |
||||||||||||||
ABM Industries, Inc. |
5,025 | $ | 242,557 | 0.5% | ||||||||||
Air Lease Corp. |
8,085 | 325,664 | 0.7% | |||||||||||
* |
Beacon Roofing Supply, Inc. |
5,052 | 301,251 | 0.6% | ||||||||||
* |
CACI International, Inc., Class A |
914 | 242,484 | 0.5% | ||||||||||
INDUSTRIALS (Continued) |
| |||||||||||||
Encore Wire Corp. |
1,984 | 223,815 | 0.5% | |||||||||||
GATX Corp. |
2,861 | 295,799 | 0.6% | |||||||||||
Triton International, Ltd. |
5,306 | 324,144 | 0.7% | |||||||||||
* |
Univar Solutions, Inc. |
7,801 | 227,165 | 0.5% | ||||||||||
* |
WESCO International, Inc. |
3,527 | 434,738 | 0.9% | ||||||||||
Other Securities |
7,692,301 | 15.8% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL INDUSTRIALS |
10,309,918 | 21.3% | ||||||||||||
|
|
|
|
|||||||||||
INFORMATION TECHNOLOGY — (7.3%) |
||||||||||||||
Amkor Technology, Inc. |
19,133 | 359,892 | 0.7% | |||||||||||
Avnet, Inc. |
5,101 | 222,710 | 0.5% | |||||||||||
* |
Insight Enterprises, Inc. |
2,571 | 255,480 | 0.5% | ||||||||||
* |
Sanmina Corp. |
6,164 | 252,046 | 0.5% | ||||||||||
Other Securities |
2,426,837 | 5.1% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL INFORMATION TECHNOLOGY |
3,516,965 | 7.3% | ||||||||||||
|
|
|
|
|||||||||||
MATERIALS — (8.0%) |
||||||||||||||
Ashland Global Holdings, Inc. |
2,124 | 222,956 | 0.5% | |||||||||||
Commercial Metals Co. |
9,227 | 378,307 | 0.8% | |||||||||||
Element Solutions, Inc. |
18,665 | 384,872 | 0.8% | |||||||||||
United States Steel Corp. |
7,777 | 237,121 | 0.5% | |||||||||||
Other Securities |
2,642,393 | 5.4% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL MATERIALS |
3,865,649 | 8.0% | ||||||||||||
|
|
|
|
|||||||||||
REAL ESTATE — (0.8%) |
||||||||||||||
* |
Howard Hughes Corp. (The) |
2,115 | 212,113 | 0.5% | ||||||||||
Other Securities |
200,311 | 0.3% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL REAL ESTATE |
412,424 | 0.8% | ||||||||||||
|
|
|
|
|||||||||||
UTILITIES — (0.8%) |
||||||||||||||
Other Securities |
406,231 | 0.8% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL Common Stocks |
||||||||||||||
(Cost $50,702,887) |
48,432,376 | 99.9% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL INVESTMENT SECURITIES — (100.0%) |
||||||||||||||
(Cost $50,702,887) |
48,432,376 | |||||||||||||
|
|
|||||||||||||
TOTAL INVESTMENTS — 100.0% |
||||||||||||||
(Cost $50,702,887) |
$ | 48,432,376 | 99.9% | |||||||||||
|
|
|
|
18
DIMENSIONAL US SMALL CAP VALUE ETF
CONTINUED
Summary of the Fund’s investments as of April 30, 2022, based on their valuation inputs, is as follows (see Security Valuation Note):
Investments in Securities (Market Value) | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Common Stocks |
||||||||||||||||
Communication Services |
$ | 1,145,652 | $ | — | $ | — | $ | 1,145,652 | ||||||||
Consumer Discretionary |
6,362,772 | — | — | 6,362,772 | ||||||||||||
Consumer Staples |
1,968,931 | — | — | 1,968,931 | ||||||||||||
Energy |
5,059,046 | — | — | 5,059,046 | ||||||||||||
Financials |
13,129,979 | — | — | 13,129,979 | ||||||||||||
Health Care |
2,254,809 | — | — | 2,254,809 | ||||||||||||
Industrials |
10,309,918 | — | — | 10,309,918 | ||||||||||||
Information Technology |
3,516,965 | — | — | 3,516,965 | ||||||||||||
Materials |
3,865,649 | — | — | 3,865,649 | ||||||||||||
Real Estate |
412,424 | — | — | 412,424 | ||||||||||||
Utilities |
406,231 | — | — | 406,231 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
$ | 48,432,376 | $ | — | $ | — | $ | 48,432,376 | ||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
19
DIMENSIONAL INTERNATIONAL CORE EQUITY MARKET ETF
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2022
(Unaudited)
Shares |
Value† |
Percentage |
||||||||||||
COMMON STOCKS — (97.1%) |
| |||||||||||||
AUSTRALIA — (7.5%) |
| |||||||||||||
BHP Group, Ltd. |
168,717 | $ | 5,772,176 | 0.4% | ||||||||||
# |
BHP Group, Ltd., Sponsored ADR |
106,662 | 7,144,221 | 0.5% | ||||||||||
Commonwealth Bank of Australia |
115,793 | 8,548,123 | 0.6% | |||||||||||
CSL, Ltd. |
36,741 | 7,135,873 | 0.5% | |||||||||||
National Australia Bank, Ltd. |
278,644 | 6,461,350 | 0.5% | |||||||||||
Other Securities |
75,743,546 | 5.1% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL AUSTRALIA |
110,805,289 | 7.6% | ||||||||||||
|
|
|
|
|||||||||||
AUSTRIA — (0.2%) |
| |||||||||||||
Other Securities |
3,400,383 | 0.2% | ||||||||||||
|
|
|
|
|||||||||||
BELGIUM — (0.8%) |
| |||||||||||||
Other Securities |
11,937,741 | 0.8% | ||||||||||||
|
|
|
|
|||||||||||
CANADA — (11.5%) |
| |||||||||||||
# |
Canadian Natural Resources, Ltd. |
78,513 | 4,857,599 | 0.3% | ||||||||||
Enbridge, Inc. |
109,326 | 4,770,987 | 0.3% | |||||||||||
# |
Royal Bank of Canada |
49,125 | 4,987,261 | 0.4% | ||||||||||
Royal Bank of Canada |
60,650 | 6,127,470 | 0.4% | |||||||||||
# |
Toronto-Dominion Bank (The) |
65,677 | 4,744,507 | 0.3% | ||||||||||
Other Securities |
145,708,661 | 10.1% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL CANADA |
171,196,485 | 11.8% | ||||||||||||
|
|
|
|
|||||||||||
CHINA — (0.0%) |
| |||||||||||||
Other Securities |
2,274 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
DENMARK — (2.3%) |
| |||||||||||||
Novo Nordisk A/S, Class B |
121,797 | 14,030,846 | 1.0% | |||||||||||
Other Securities |
19,953,096 | 1.3% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL DENMARK |
33,983,942 | 2.3% | ||||||||||||
|
|
|
|
|||||||||||
FINLAND — (1.3%) |
| |||||||||||||
Other Securities |
19,149,611 | 1.3% | ||||||||||||
|
|
|
|
|||||||||||
FRANCE — (8.5%) |
| |||||||||||||
Air Liquide SA |
30,816 | 5,375,107 | 0.4% | |||||||||||
Airbus SE |
44,168 | 4,917,651 | 0.4% | |||||||||||
BNP Paribas SA |
104,779 | 5,494,235 | 0.4% | |||||||||||
L’Oreal SA |
13,269 | 4,883,959 | 0.3% | |||||||||||
LVMH Moet Hennessy Louis Vuitton SE |
22,047 | 14,408,664 | 1.0% | |||||||||||
# |
Sanofi |
68,073 | 7,266,118 | 0.5% | ||||||||||
TotalEnergies SE |
194,612 | 9,695,595 | 0.7% | |||||||||||
# |
Vinci SA |
48,592 | 4,759,187 | 0.3% | ||||||||||
Other Securities |
69,542,284 | 4.7% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL FRANCE |
126,342,800 | 8.7% | ||||||||||||
|
|
|
|
|||||||||||
GERMANY — (6.9%) |
| |||||||||||||
Allianz SE, Registered |
32,447 | 7,400,535 | 0.5% | |||||||||||
* |
Bayer AG, Registered |
75,585 | 5,015,557 | 0.4% | ||||||||||
Deutsche Telekom AG |
300,296 | 5,566,141 | 0.4% | |||||||||||
SAP SE |
67,453 | 6,942,341 | 0.5% | |||||||||||
Siemens AG, Registered |
40,864 | 5,077,446 | 0.4% |
20
DIMENSIONAL INTERNATIONAL CORE EQUITY MARKET ETF
CONTINUED
Shares |
Value† |
Percentage |
||||||||||||
GERMANY — (Continued) |
| |||||||||||||
Other Securities |
$ | 73,363,160 | 4.9% | |||||||||||
|
|
|
|
|||||||||||
TOTAL GERMANY |
103,365,180 | 7.1% | ||||||||||||
|
|
|
|
|||||||||||
HONG KONG — (2.4%) |
| |||||||||||||
AIA Group, Ltd. |
812,600 | 8,052,312 | 0.6% | |||||||||||
Other Securities |
27,549,507 | 1.8% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL HONG KONG |
35,601,819 | 2.4% | ||||||||||||
|
|
|
|
|||||||||||
IRELAND — (0.5%) |
| |||||||||||||
Other Securities |
8,144,468 | 0.6% | ||||||||||||
|
|
|
|
|||||||||||
ISRAEL — (0.7%) |
| |||||||||||||
Other Securities |
10,791,169 | 0.7% | ||||||||||||
|
|
|
|
|||||||||||
ITALY — (2.2%) |
| |||||||||||||
Other Securities |
32,730,046 | 2.3% | ||||||||||||
|
|
|
|
|||||||||||
JAPAN — (20.8%) |
| |||||||||||||
Astellas Pharma, Inc. |
360,200 | 5,499,194 | 0.4% | |||||||||||
ITOCHU Corp. |
157,400 | 4,776,913 | 0.3% | |||||||||||
KDDI Corp. |
144,000 | 4,818,154 | 0.4% | |||||||||||
Mitsubishi UFJ Financial Group, Inc. |
1,135,500 | 6,610,896 | 0.5% | |||||||||||
Recruit Holdings Co., Ltd. |
137,700 | 5,120,705 | 0.4% | |||||||||||
SoftBank Corp. |
493,500 | 5,770,705 | 0.4% | |||||||||||
Sony Group Corp. |
103,500 | 8,963,183 | 0.6% | |||||||||||
Toyota Motor Corp. |
831,700 | 14,350,612 | 1.0% | |||||||||||
Other Securities |
252,898,446 | 17.2% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL JAPAN |
308,808,808 | 21.2% | ||||||||||||
|
|
|
|
|||||||||||
NETHERLANDS — (3.5%) |
| |||||||||||||
ASML Holding NV |
10,682 | 6,175,413 | 0.4% | |||||||||||
ASML Holding NV, Sponsored NYS |
17,735 | 9,998,461 | 0.7% | |||||||||||
Koninklijke Ahold Delhaize NV |
154,645 | 4,582,690 | 0.3% | |||||||||||
Other Securities |
31,177,469 | 2.2% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL NETHERLANDS |
51,934,033 | 3.6% | ||||||||||||
|
|
|
|
|||||||||||
NEW ZEALAND — (0.3%) |
| |||||||||||||
Other Securities |
4,285,370 | 0.3% | ||||||||||||
|
|
|
|
|||||||||||
NORWAY — (0.9%) |
| |||||||||||||
Other Securities |
13,009,077 | 0.9% | ||||||||||||
|
|
|
|
|||||||||||
PORTUGAL — (0.2%) |
| |||||||||||||
Other Securities |
2,527,845 | 0.2% | ||||||||||||
|
|
|
|
|||||||||||
SINGAPORE — (0.9%) |
| |||||||||||||
Other Securities |
13,109,952 | 0.9% | ||||||||||||
|
|
|
|
|||||||||||
SPAIN — (1.9%) |
| |||||||||||||
Iberdrola SA |
424,712 | 4,933,041 | 0.4% | |||||||||||
Other Securities |
23,921,391 | 1.6% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL SPAIN |
28,854,432 | 2.0% | ||||||||||||
|
|
|
|
|||||||||||
SWEDEN — (3.0%) |
| |||||||||||||
Other Securities |
44,358,808 | 3.0% | ||||||||||||
|
|
|
|
21
DIMENSIONAL INTERNATIONAL CORE EQUITY MARKET ETF
CONTINUED
Shares |
Value† |
Percentage |
||||||||||||
SWITZERLAND — (8.3%) |
| |||||||||||||
Nestle SA, Registered |
192,287 | $ | 24,960,760 | 1.7% | ||||||||||
Novartis AG, Sponsored ADR |
94,962 | 8,359,505 | 0.6% | |||||||||||
Novartis AG, Registered |
54,625 | 4,868,499 | 0.3% | |||||||||||
Roche Holding AG |
52,688 | 19,671,490 | 1.4% | |||||||||||
Other Securities |
65,498,581 | 4.5% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL SWITZERLAND |
123,358,835 | 8.5% | ||||||||||||
|
|
|
|
|||||||||||
UNITED KINGDOM — (12.5%) |
| |||||||||||||
AstraZeneca PLC |
92,563 | 12,420,758 | 0.9% | |||||||||||
BP PLC |
1,501,441 | 7,380,907 | 0.5% | |||||||||||
British American Tobacco PLC |
140,548 | 5,914,839 | 0.4% | |||||||||||
Diageo PLC |
151,869 | 7,662,091 | 0.5% | |||||||||||
GlaxoSmithKline PLC |
339,582 | 7,661,379 | 0.5% | |||||||||||
HSBC Holdings PLC |
1,245,418 | 7,838,394 | 0.6% | |||||||||||
Rio Tinto PLC |
96,861 | 6,938,969 | 0.5% | |||||||||||
Shell PLC |
579,034 | 15,797,123 | 1.1% | |||||||||||
Unilever PLC |
102,330 | 4,777,969 | 0.3% | |||||||||||
Other Securities |
109,479,485 | 7.5% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL UNITED KINGDOM |
185,871,914 | 12.8% | ||||||||||||
|
|
|
|
|||||||||||
UNITED STATES — (0.0%) |
| |||||||||||||
Other Securities |
50,857 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL COMMON STOCKS |
1,443,621,138 | 99.2% | ||||||||||||
|
|
|
|
|||||||||||
RIGHTS/WARRANTS — (0.0%) |
| |||||||||||||
AUSTRALIA — (0.0%) |
| |||||||||||||
Other Securities |
— | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
ITALY — (0.0%) |
| |||||||||||||
Other Securities |
— | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
NEW ZEALAND — (0.0%) |
| |||||||||||||
Other Securities |
10,454 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
SWITZERLAND — (0.0%) |
| |||||||||||||
Other Securities |
2,783 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL RIGHTS/WARRANTS |
13,237 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL INVESTMENT SECURITIES — 97.1% |
||||||||||||||
(Cost $1,558,416,385) |
1,443,634,375 | |||||||||||||
|
|
|
|
|||||||||||
SECURITIES LENDING COLLATERAL — (2.9%) |
| |||||||||||||
@§ |
The DFA Short Term Investment Fund |
3,780,110 | 43,733,981 | 3.0% | ||||||||||
|
|
|
|
|||||||||||
TOTAL INVESTMENTS — 100.0% |
||||||||||||||
(Cost $1,602,150,366) |
1,487,368,356 | 102.2% | ||||||||||||
|
|
|
|
22
DIMENSIONAL INTERNATIONAL CORE EQUITY MARKET ETF
CONTINUED
Summary of the Fund’s investments as of April 30, 2022, based on their valuation inputs, is as follows (see Security Valuation Note):
Investments in Securities (Market Value) | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Common Stocks |
||||||||||||||||
Australia |
$110,686,172 | $119,117 | $— | $110,805,289 | ||||||||||||
Austria |
3,400,383 | — | — | 3,400,383 | ||||||||||||
Belgium |
11,937,741 | — | — | 11,937,741 | ||||||||||||
Canada |
171,196,485 | — | — | 171,196,485 | ||||||||||||
China |
2,274 | — | — | 2,274 | ||||||||||||
Denmark |
33,983,942 | — | — | 33,983,942 | ||||||||||||
Finland |
19,149,611 | — | — | 19,149,611 | ||||||||||||
France |
126,342,800 | — | — | 126,342,800 | ||||||||||||
Germany |
103,365,180 | — | — | 103,365,180 | ||||||||||||
Hong Kong |
35,582,354 | 19,465 | — | 35,601,819 | ||||||||||||
Ireland |
8,144,468 | — | — | 8,144,468 | ||||||||||||
Israel |
10,791,169 | — | — | 10,791,169 | ||||||||||||
Italy |
32,730,046 | — | — | 32,730,046 | ||||||||||||
Japan |
308,808,808 | — | — | 308,808,808 | ||||||||||||
Netherlands |
51,934,033 | — | — | 51,934,033 | ||||||||||||
New Zealand |
4,197,753 | 87,617 | — | 4,285,370 | ||||||||||||
Norway |
13,009,077 | — | — | 13,009,077 | ||||||||||||
Portugal |
2,527,845 | — | — | 2,527,845 | ||||||||||||
Singapore |
13,109,952 | — | — | 13,109,952 | ||||||||||||
Spain |
28,800,747 | 53,685 | — | 28,854,432 | ||||||||||||
Sweden |
44,358,808 | — | — | 44,358,808 | ||||||||||||
Switzerland |
123,358,835 | — | — | 123,358,835 | ||||||||||||
United Kingdom |
185,828,603 | 43,311 | — | 185,871,914 | ||||||||||||
United States |
50,857 | — | — | 50,857 | ||||||||||||
Rights/Warrants |
||||||||||||||||
Australia |
— | — | — | — | ||||||||||||
Italy |
— | — | — | — | ||||||||||||
New Zealand |
— | 10,454 | — | 10,454 | ||||||||||||
Switzerland |
2,783 | — | — | 2,783 | ||||||||||||
Collateral for Securities on Loan |
43,733,981 | — | — | 43,733,981 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
$1,487,034,707 | $333,649 | $— | $1,487,368,356 | ||||||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
23
DIMENSIONAL INTERNATIONAL CORE EQUITY 2 ETF
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2022
(Unaudited)
Shares |
Value† |
Percentage |
||||||||||||
COMMON STOCKS — (100.0%) |
| |||||||||||||
AUSTRALIA — (7.2%) |
| |||||||||||||
BHP Group, Ltd., Sponsored ADR |
11,420 | $ | 764,912 | 0.7% | ||||||||||
Commonwealth Bank of Australia |
4,373 | 322,826 | 0.3% | |||||||||||
Other Securities |
7,158,198 | 6.1% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL AUSTRALIA |
8,245,936 | 7.1% | ||||||||||||
|
|
|
|
|||||||||||
AUSTRIA — (0.5%) |
| |||||||||||||
Other Securities |
593,070 | 0.5% | ||||||||||||
|
|
|
|
|||||||||||
BELGIUM — (1.2%) |
| |||||||||||||
Other Securities |
1,376,925 | 1.2% | ||||||||||||
|
|
|
|
|||||||||||
CANADA — (12.1%) |
| |||||||||||||
Bank of Montreal |
4,563 | 483,861 | 0.4% | |||||||||||
Bank of Nova Scotia (The) |
5,617 | 355,668 | 0.3% | |||||||||||
Canadian Natural Resources, Ltd. |
5,395 | 333,789 | 0.3% | |||||||||||
Magna International, Inc. |
4,643 | 279,834 | 0.3% | |||||||||||
National Bank of Canada |
3,920 | 275,187 | 0.2% | |||||||||||
Royal Bank of Canada |
8,345 | 843,095 | 0.7% | |||||||||||
Suncor Energy, Inc. |
11,663 | 419,168 | 0.4% | |||||||||||
Toronto-Dominion Bank (The) |
4,940 | 356,866 | 0.3% | |||||||||||
Other Securities |
10,489,746 | 9.1% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL CANADA |
13,837,214 | 12.0% | ||||||||||||
|
|
|
|
|||||||||||
DENMARK — (2.3%) |
| |||||||||||||
Novo Nordisk A/S, Sponsored ADR |
5,655 | 644,670 | 0.6% | |||||||||||
Other Securities |
1,962,190 | 1.7% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL DENMARK |
2,606,860 | 2.3% | ||||||||||||
|
|
|
|
|||||||||||
FINLAND — (1.6%) |
| |||||||||||||
Other Securities |
1,863,209 | 1.6% | ||||||||||||
|
|
|
|
|||||||||||
FRANCE — (7.7%) |
| |||||||||||||
Air Liquide SA |
1,844 | 321,641 | 0.3% | |||||||||||
Cie Generale des Etablissements Michelin SCA |
2,346 | 294,639 | 0.2% | |||||||||||
LVMH Moet Hennessy Louis Vuitton SE |
895 | 584,921 | 0.5% | |||||||||||
TotalEnergies SE |
13,755 | 685,276 | 0.6% | |||||||||||
Vinci SA |
3,531 | 345,832 | 0.3% | |||||||||||
Other Securities |
6,654,205 | 5.8% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL FRANCE |
8,886,514 | 7.7% | ||||||||||||
|
|
|
|
|||||||||||
GERMANY — (7.0%) |
| |||||||||||||
Allianz SE, Registered |
1,225 | 279,399 | 0.3% | |||||||||||
* |
Bayer AG, Registered |
6,669 | 442,531 | 0.4% | ||||||||||
Deutsche Telekom AG |
26,924 | 499,050 | 0.3% | |||||||||||
Volkswagen AG, Preference |
1,953 | 306,864 | 0.3% | |||||||||||
Other Securities |
6,451,724 | 5.6% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL GERMANY |
7,979,568 | 6.9% | ||||||||||||
|
|
|
|
|||||||||||
HONG KONG — (2.4%) |
| |||||||||||||
AIA Group, Ltd. |
52,800 | 523,212 | 0.5% | |||||||||||
Other Securities |
2,247,076 | 1.9% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL HONG KONG |
2,770,288 | 2.4% | ||||||||||||
|
|
|
|
24
DIMENSIONAL INTERNATIONAL CORE EQUITY 2 ETF
CONTINUED
Shares |
Value† |
Percentage |
||||||||||||
IRELAND — (0.7%) |
| |||||||||||||
Other Securities |
$ | 789,933 | 0.7% | |||||||||||
|
|
|
|
|||||||||||
ISRAEL — (1.2%) |
| |||||||||||||
Other Securities |
1,324,703 | 1.1% | ||||||||||||
|
|
|
|
|||||||||||
ITALY — (2.5%) |
| |||||||||||||
Other Securities |
2,921,236 | 2.5% | ||||||||||||
|
|
|
|
|||||||||||
JAPAN — (21.4%) |
| |||||||||||||
Hitachi, Ltd. |
9,200 | 431,170 | 0.4% | |||||||||||
ITOCHU Corp. |
11,500 | 349,012 | 0.3% | |||||||||||
KDDI Corp. |
9,600 | 321,210 | 0.3% | |||||||||||
Murata Manufacturing Co., Ltd. |
4,700 | 282,740 | 0.2% | |||||||||||
Olympus Corp. |
16,300 | 290,496 | 0.2% | |||||||||||
Seven & i Holdings Co., Ltd. |
7,300 | 322,178 | 0.3% | |||||||||||
SoftBank Corp. |
30,400 | 355,480 | 0.3% | |||||||||||
Sony Group Corp. |
5,000 | 433,004 | 0.4% | |||||||||||
Takeda Pharmaceutical Co., Ltd. |
10,600 | 308,362 | 0.3% | |||||||||||
Toyota Motor Corp. |
39,300 | 678,104 | 0.6% | |||||||||||
Other Securities |
20,779,890 | 18.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL JAPAN |
24,551,646 | 21.3% | ||||||||||||
|
|
|
|
|||||||||||
MALAYSIA — (0.0%) |
| |||||||||||||
Other Securities |
212 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
NETHERLANDS — (3.2%) |
| |||||||||||||
ASML Holding NV, Sponsored NYS |
1,456 | 820,849 | 0.7% | |||||||||||
Other Securities |
2,834,936 | 2.5% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL NETHERLANDS |
3,655,785 | 3.2% | ||||||||||||
|
|
|
|
|||||||||||
NEW ZEALAND — (0.3%) |
| |||||||||||||
Other Securities |
346,763 | 0.3% | ||||||||||||
|
|
|
|
|||||||||||
NORWAY — (1.0%) |
| |||||||||||||
Other Securities |
1,140,248 | 1.0% | ||||||||||||
|
|
|
|
|||||||||||
PORTUGAL — (0.3%) |
| |||||||||||||
Other Securities |
329,533 | 0.3% | ||||||||||||
|
|
|
|
|||||||||||
SINGAPORE — (1.0%) |
| |||||||||||||
Other Securities |
1,102,396 | 1.0% | ||||||||||||
|
|
|
|
|||||||||||
SPAIN — (2.4%) |
| |||||||||||||
Iberdrola SA |
28,977 | 336,569 | 0.3% | |||||||||||
Repsol SA |
20,844 | 314,119 | 0.3% | |||||||||||
Telefonica SA |
67,206 | 328,476 | 0.3% | |||||||||||
Other Securities |
1,749,643 | 1.5% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL SPAIN |
2,728,807 | 2.4% | ||||||||||||
|
|
|
|
|||||||||||
SWEDEN — (3.2%) |
| |||||||||||||
Other Securities |
3,690,283 | 3.2% | ||||||||||||
|
|
|
|
|||||||||||
SWITZERLAND — (8.0%) |
| |||||||||||||
ABB, Ltd., Registered |
11,070 | 337,580 | 0.3% | |||||||||||
Nestle SA, Registered |
9,483 | 1,230,987 | 1.1% | |||||||||||
Novartis AG, Sponsored ADR |
6,316 | 555,997 | 0.5% | |||||||||||
Roche Holding AG |
2,304 | 860,217 | 0.7% |
25
DIMENSIONAL INTERNATIONAL CORE EQUITY 2 ETF
CONTINUED
Shares |
Value† |
Percentage |
||||||||||||
SWITZERLAND — (continued) |
| |||||||||||||
Other Securities |
$ | 6,145,942 | 5.3% | |||||||||||
|
|
|
|
|||||||||||
TOTAL SWITZERLAND |
9,130,723 | 7.9% | ||||||||||||
|
|
|
|
|||||||||||
UNITED KINGDOM — (12.8%) |
| |||||||||||||
Anglo American PLC |
9,016 | 405,918 | 0.5% | |||||||||||
BP PLC, Sponsored ADR |
9,780 | 280,882 | 0.3% | |||||||||||
British American Tobacco PLC, Sponsored ADR |
7,288 | 304,493 | 0.3% | |||||||||||
Diageo PLC, Sponsored ADR |
1,386 | 275,370 | 0.2% | |||||||||||
GlaxoSmithKline PLC |
26,558 | 599,181 | 0.5% | |||||||||||
Glencore PLC |
76,685 | 478,788 | 0.4% | |||||||||||
HSBC Holdings PLC, Sponsored ADR |
13,550 | 420,185 | 0.4% | |||||||||||
Rio Tinto PLC |
10,731 | 768,752 | 0.7% | |||||||||||
Shell PLC, ADR |
16,748 | 894,846 | 0.8% | |||||||||||
Unilever PLC, Sponsored ADR |
10,641 | 492,253 | 0.4% | |||||||||||
Vodafone Group PLC |
254,114 | 387,759 | 0.3% | |||||||||||
Other Securities |
9,378,999 | 7.9% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL UNITED KINGDOM |
14,687,426 | 12.7% | ||||||||||||
|
|
|
|
|||||||||||
UNITED STATES — (0.0%) |
| |||||||||||||
Other Securities |
2,111 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL COMMON STOCKS |
114,561,389 | 99.3% | ||||||||||||
|
|
|
|
|||||||||||
RIGHTS/WARRANTS — (0.0%) |
| |||||||||||||
AUSTRALIA — (0.0%) |
| |||||||||||||
Other Securities |
1 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
NEW ZEALAND — (0.0%) |
| |||||||||||||
Other Securities |
5,931 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
SWITZERLAND — (0.0%) |
| |||||||||||||
Other Securities |
517 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL RIGHTS/WARRANTS |
6,449 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL INVESTMENT SECURITIES — 100.0% |
||||||||||||||
(Cost $121,897,230) |
114,567,838 | |||||||||||||
|
|
|||||||||||||
SECURITIES LENDING COLLATERAL — (0.0%) |
| |||||||||||||
@§ |
The DFA Short Term Investment Fund |
1,740 | 20,126 | 0.0% | ||||||||||
|
|
|
|
|||||||||||
TOTAL INVESTMENTS — 100.0% |
||||||||||||||
(Cost $121,917,356) |
114,587,964 | 99.3% | ||||||||||||
|
|
|
|
26
DIMENSIONAL INTERNATIONAL CORE EQUITY 2 ETF
CONTINUED
Summary of the Fund’s investments as of April 30, 2022, based on their valuation inputs, is as follows (see Security Valuation Note):
Investments in Securities (Market Value) | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Common Stocks |
||||||||||||||||
Australia |
$8,239,913 | $6,023 | $— | $8,245,936 | ||||||||||||
Austria |
593,070 | — | — | 593,070 | ||||||||||||
Belgium |
1,376,925 | — | — | 1,376,925 | ||||||||||||
Canada |
13,837,214 | — | — | 13,837,214 | ||||||||||||
Denmark |
2,606,860 | — | — | 2,606,860 | ||||||||||||
Finland |
1,863,209 | — | — | 1,863,209 | ||||||||||||
France |
8,886,514 | — | — | 8,886,514 | ||||||||||||
Germany |
7,979,568 | — | — | 7,979,568 | ||||||||||||
Hong Kong |
2,745,718 | 24,570 | — | 2,770,288 | ||||||||||||
Ireland |
789,933 | — | — | 789,933 | ||||||||||||
Israel |
1,324,703 | — | — | 1,324,703 | ||||||||||||
Italy |
2,921,236 | — | — | 2,921,236 | ||||||||||||
Japan |
24,551,646 | — | — | 24,551,646 | ||||||||||||
Malaysia |
212 | — | — | 212 | ||||||||||||
Netherlands |
3,655,785 | — | — | 3,655,785 | ||||||||||||
New Zealand |
346,763 | — | — | 346,763 | ||||||||||||
Norway |
1,140,248 | — | — | 1,140,248 | ||||||||||||
Portugal |
329,533 | — | — | 329,533 | ||||||||||||
Singapore |
1,102,396 | — | — | 1,102,396 | ||||||||||||
Spain |
2,728,807 | — | — | 2,728,807 | ||||||||||||
Sweden |
3,690,283 | — | — | 3,690,283 | ||||||||||||
Switzerland |
9,130,723 | — | — | 9,130,723 | ||||||||||||
United Kingdom |
14,687,426 | — | — | 14,687,426 | ||||||||||||
United States |
2,111 | — | — | 2,111 | ||||||||||||
Rights/Warrants |
||||||||||||||||
Australia |
1 | — | — | 1 | ||||||||||||
New Zealand |
— | 5,931 | — | 5,931 | ||||||||||||
Switzerland |
517 | — | — | 517 | ||||||||||||
Collateral for Securities on Loan |
20,126 | — | — | 20,126 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
TOTAL |
$114,551,440 | $36,524 | $— | $114,587,964 | ||||||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
27
DIMENSIONAL INTERNATIONAL SMALL CAP VALUE ETF
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2022
(Unaudited)
Shares |
Value† |
Percentage |
||||||||||||
COMMON STOCKS — (100.0%) |
||||||||||||||
AUSTRALIA — (8.4%) |
||||||||||||||
Ansell, Ltd. |
8,698 | $ | 168,872 | 0.4% | ||||||||||
Downer EDI, Ltd. |
47,266 | 186,758 | 0.4% | |||||||||||
Reliance Worldwide Corp., Ltd. |
55,065 | 154,963 | 0.3% | |||||||||||
United Malt Grp, Ltd. |
57,621 | 170,345 | 0.4% | |||||||||||
Other Securities |
3,108,692 | 6.8% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL AUSTRALIA |
3,789,630 | 8.3% | ||||||||||||
|
|
|
|
|||||||||||
AUSTRIA — (1.2%) |
| |||||||||||||
voestalpine AG |
9,418 | 248,985 | 0.5% | |||||||||||
Other Securities |
307,040 | 0.7% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL AUSTRIA |
556,025 | 1.2% | ||||||||||||
|
|
|
|
|||||||||||
BELGIUM — (1.6%) |
| |||||||||||||
Euronav NV |
14,125 | 167,099 | 0.4% | |||||||||||
Other Securities |
551,733 | 1.2% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL BELGIUM |
718,832 | 1.6% | ||||||||||||
|
|
|
|
|||||||||||
CANADA — (11.9%) |
| |||||||||||||
Alamos Gold, Inc. |
31,973 | 248,110 | 0.5% | |||||||||||
Birchcliff Energy, Ltd. |
22,507 | 165,538 | 0.4% | |||||||||||
Canadian Western Bank |
8,903 | 225,771 | 0.5% | |||||||||||
Centerra Gold, Inc. |
18,217 | 169,477 | 0.4% | |||||||||||
Crescent Point Energy Corp. |
46,750 | 323,510 | 0.7% | |||||||||||
* |
MEG Energy Corp. |
10,447 | 157,761 | 0.4% | ||||||||||
* |
OceanaGold Corp. |
62,824 | 157,300 | 0.4% | ||||||||||
Other Securities |
3,934,937 | 8.5% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL CANADA |
5,382,404 | 11.8% | ||||||||||||
|
|
|
|
|||||||||||
DENMARK — (2.3%) |
| |||||||||||||
* |
Jyske Bank A/S, Registered |
3,988 | 223,739 | 0.5% | ||||||||||
Other Securities |
805,815 | 1.7% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL DENMARK |
1,029,554 | 2.2% | ||||||||||||
|
|
|
|
|||||||||||
FINLAND — (2.2%) |
| |||||||||||||
TietoEVRY OYJ |
6,829 | 172,470 | 0.4% | |||||||||||
Other Securities |
806,327 | 1.7% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL FINLAND |
978,797 | 2.1% | ||||||||||||
|
|
|
|
|||||||||||
FRANCE — (4.9%) |
| |||||||||||||
* |
Elis SA |
13,581 | 197,000 | 0.4% | ||||||||||
Faurecia SE |
8,654 | 192,360 | 0.4% | |||||||||||
SCOR SE |
8,583 | 244,476 | 0.6% | |||||||||||
SES SA |
27,478 | 247,441 | 0.5% | |||||||||||
Other Securities |
1,356,588 | 3.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL FRANCE |
2,237,865 | 4.9% | ||||||||||||
|
|
|
|
|||||||||||
GERMANY — (6.3%) |
| |||||||||||||
Aurubis AG |
2,310 | 265,992 | 0.6% | |||||||||||
* |
K+S AG, Registered |
8,514 | 289,126 | 0.6% | ||||||||||
LANXESS AG |
6,082 | 237,978 | 0.5% | |||||||||||
ProSiebenSat.1 Media SE |
14,691 | 170,714 | 0.4% |
28
DIMENSIONAL INTERNATIONAL SMALL CAP VALUE ETF
CONTINUED
Shares |
Value† |
Percentage |
||||||||||||
* |
thyssenkrupp AG |
30,110 | $ | 234,423 | 0.5% | |||||||||
Other Securities |
1,654,000 | 3.6% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL GERMANY |
2,852,233 | 6.2% | ||||||||||||
|
|
|
|
|||||||||||
HONG KONG — (2.3%) |
||||||||||||||
Kerry Properties, Ltd. |
61,000 | 165,597 | 0.3% | |||||||||||
Other Securities |
864,744 | 2.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL HONG KONG |
1,030,341 | 2.3% | ||||||||||||
|
|
|
|
|||||||||||
IRELAND — (0.4%) |
| |||||||||||||
Other Securities |
169,593 | 0.4% | ||||||||||||
|
|
|
|
|||||||||||
ISRAEL — (2.1%) |
| |||||||||||||
Other Securities |
964,346 | 2.1% | ||||||||||||
|
|
|
|
|||||||||||
ITALY — (3.7%) |
| |||||||||||||
A2A SpA |
110,713 | 190,613 | 0.4% | |||||||||||
Banco BPM SpA |
97,574 | 311,587 | 0.7% | |||||||||||
Other Securities |
1,182,436 | 2.6% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL ITALY |
1,684,636 | 3.7% | ||||||||||||
|
|
|
|
|||||||||||
JAPAN — (22.4%) |
||||||||||||||
Other Securities |
10,157,176 | 22.2% | ||||||||||||
|
|
|
|
|||||||||||
NETHERLANDS — (2.2%) |
||||||||||||||
ASR Nederland NV |
6,093 | 278,582 | 0.6% | |||||||||||
Other Securities |
714,580 | 1.6% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL NETHERLANDS |
993,162 | 2.2% | ||||||||||||
|
|
|
|
|||||||||||
NEW ZEALAND — (0.4%) |
||||||||||||||
Other Securities |
187,296 | 0.4% | ||||||||||||
|
|
|
|
|||||||||||
NORWAY — (1.4%) |
||||||||||||||
Other Securities |
615,349 | 1.3% | ||||||||||||
|
|
|
|
|||||||||||
PORTUGAL — (0.3%) |
||||||||||||||
Other Securities |
120,262 | 0.3% | ||||||||||||
|
|
|
|
|||||||||||
SINGAPORE — (0.7%) |
||||||||||||||
Other Securities |
318,690 | 0.7% | ||||||||||||
|
|
|
|
|||||||||||
SPAIN — (2.4%) |
||||||||||||||
Banco de Sabadell SA |
401,027 | 314,760 | 0.7% | |||||||||||
Bankinter SA |
42,676 | 253,559 | 0.5% | |||||||||||
Other Securities |
537,739 | 1.2% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL SPAIN |
1,106,058 | 2.4% | ||||||||||||
|
|
|
|
|||||||||||
SWEDEN — (3.3%) |
||||||||||||||
* |
Betsson AB, Class B |
26,078 | 161,900 | 0.4% | ||||||||||
Other Securities |
1,353,791 | 2.9% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL SWEDEN |
1,515,691 | 3.3% | ||||||||||||
|
|
|
|
|||||||||||
SWITZERLAND — (6.7%) |
||||||||||||||
Adecco Group AG |
5,175 | 203,396 | 0.5% | |||||||||||
Allreal Holding AG, Registered |
1,546 | 293,703 | 0.6% |
29
DIMENSIONAL INTERNATIONAL SMALL CAP VALUE ETF
CONTINUED
Shares |
Value† |
Percentage |
||||||||||||
* |
ams-OSRAM AG |
21,557 | $ | 269,615 | 0.6% | |||||||||
Cembra Money Bank AG |
2,992 | 218,701 | 0.5% | |||||||||||
Helvetia Holding AG, Registered |
3,144 | 408,122 | 0.9% | |||||||||||
Mobimo Holding AG, Registered |
772 | 222,299 | 0.5% | |||||||||||
Other Securities |
1,431,278 | 3.1% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL SWITZERLAND |
3,047,114 | 6.7% | ||||||||||||
|
|
|
|
|||||||||||
UNITED KINGDOM — (12.9%) |
| |||||||||||||
Balfour Beatty PLC |
58,773 | 179,160 | 0.4% | |||||||||||
Close Brothers Group PLC |
13,806 | 192,400 | 0.4% | |||||||||||
Grainger PLC |
63,453 | 236,286 | 0.5% | |||||||||||
* |
John Wood Group PLC |
63,570 | 178,299 | 0.4% | ||||||||||
* |
Mediclinic International PLC |
37,245 | 173,670 | 0.4% | ||||||||||
* |
National Express Group PLC |
50,583 | 158,004 | 0.3% | ||||||||||
Pets at Home Group PLC |
45,942 | 179,269 | 0.4% | |||||||||||
QinetiQ Group PLC |
54,249 | 232,934 | 0.5% | |||||||||||
Redrow PLC |
26,559 | 176,060 | 0.4% | |||||||||||
Serco Group PLC |
115,518 | 220,594 | 0.5% | |||||||||||
Travis Perkins PLC |
19,305 | 297,755 | 0.6% | |||||||||||
Virgin Money UK PLC |
119,184 | 261,636 | 0.6% | |||||||||||
Vistry Group PLC |
20,202 | 212,166 | 0.5% | |||||||||||
Other Securities |
3,129,904 | 6.8% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL UNITED KINGDOM |
5,828,137 | 12.7% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL COMMON STOCKS |
45,283,191 | 99.0% | ||||||||||||
|
|
|
|
|||||||||||
RIGHTS/WARRANTS — (0.0%) |
||||||||||||||
NEW ZEALAND — (0.0%) |
||||||||||||||
Other Securities |
1,240 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
SWITZERLAND — (0.0%) |
| |||||||||||||
Other Securities |
2,337 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL RIGHTS/WARRANTS |
3,577 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL INVESTMENT SECURITIES — 100.0% |
||||||||||||||
(Cost $47,434,656) |
45,286,768 | |||||||||||||
|
|
|||||||||||||
TOTAL INVESTMENTS — 100.0% |
||||||||||||||
(Cost $47,434,656) |
45,286,768 | 99.0% | ||||||||||||
|
|
|
|
As of April 30, 2022, Dimensional International Small Cap Value ETF had entered into the following outstanding futures contracts:
Description |
Number of Contracts |
Expiration Date |
Notional Value |
Market Value |
Unrealized Appreciation (Depreciation) |
|||||||||||||||
Long Position Contracts |
||||||||||||||||||||
S&P 500 Emini Index |
1 | 06/20/22 | $207,565 | $206,375 | $(1,190) | |||||||||||||||
|
|
|
|
|
|
|||||||||||||||
Total Futures Contracts |
$207,565 | $206,375 | $(1,190) | |||||||||||||||||
|
|
|
|
|
|
30
DIMENSIONAL INTERNATIONAL SMALL CAP VALUE ETF
CONTINUED
Summary of the Fund’s investments as of April 30, 2022, based on their valuation inputs, is as follows (see Security Valuation Note):
Investments in Securities (Market Value) | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Common Stocks |
||||||||||||||||
Australia |
$3,788,044 | $1,586 | $— | $3,789,630 | ||||||||||||
Austria |
556,025 | — | — | 556,025 | ||||||||||||
Belgium |
718,832 | — | — | 718,832 | ||||||||||||
Canada |
5,382,404 | — | — | 5,382,404 | ||||||||||||
Denmark |
1,029,554 | — | — | 1,029,554 | ||||||||||||
Finland |
978,797 | — | — | 978,797 | ||||||||||||
France |
2,237,865 | — | — | 2,237,865 | ||||||||||||
Germany |
2,852,233 | — | — | 2,852,233 | ||||||||||||
Hong Kong |
1,030,341 | — | — | 1,030,341 | ||||||||||||
Ireland |
169,593 | — | — | 169,593 | ||||||||||||
Israel |
964,346 | — | — | 964,346 | ||||||||||||
Italy |
1,684,636 | — | — | 1,684,636 | ||||||||||||
Japan |
10,157,176 | — | — | 10,157,176 | ||||||||||||
Netherlands |
993,162 | — | — | 993,162 | ||||||||||||
New Zealand |
187,296 | — | — | 187,296 | ||||||||||||
Norway |
615,349 | — | — | 615,349 | ||||||||||||
Portugal |
120,262 | — | — | 120,262 | ||||||||||||
Singapore |
318,690 | — | — | 318,690 | ||||||||||||
Spain |
1,106,058 | — | — | 1,106,058 | ||||||||||||
Sweden |
1,515,691 | — | — | 1,515,691 | ||||||||||||
Switzerland |
3,047,114 | — | — | 3,047,114 | ||||||||||||
United Kingdom |
5,828,137 | — | — | 5,828,137 | ||||||||||||
Rights/Warrants |
||||||||||||||||
New Zealand |
— | 1,240 | — | 1,240 | ||||||||||||
Switzerland |
2,337 | — | — | 2,337 | ||||||||||||
Future |
(1,190) | — | — | (1,190) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
TOTAL |
$45,282,752 | $2,826 | $— | $45,285,578 | ||||||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
31
DIMENSIONAL INTERNATIONAL SMALL CAP ETF
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2022
(Unaudited)
Shares |
Value† |
Percentage |
||||||||||||
COMMON STOCKS — (100.0%) |
||||||||||||||
AUSTRALIA — (8.0%) |
||||||||||||||
Other Securities |
$ | 2,407,563 | 7.9% | |||||||||||
|
|
|
|
|||||||||||
AUSTRIA — (1.2%) |
| |||||||||||||
Other Securities |
371,528 | 1.2% | ||||||||||||
|
|
|
|
|||||||||||
BELGIUM — (1.6%) |
| |||||||||||||
Ackermans & van Haaren NV |
377 | 67,771 | 0.2% | |||||||||||
Other Securities |
399,909 | 1.3% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL BELGIUM |
467,680 | 1.5% | ||||||||||||
|
|
|
|
|||||||||||
CANADA — (12.0%) |
| |||||||||||||
* |
Aritzia, Inc. |
1,546 | 55,342 | 0.2% | ||||||||||
Canadian Western Bank |
2,131 | 54,040 | 0.2% | |||||||||||
Capital Power Corp. |
2,014 | 66,532 | 0.2% | |||||||||||
Crescent Point Energy Corp. |
9,939 | 68,778 | 0.2% | |||||||||||
Methanex Corp. |
1,086 | 54,474 | 0.2% | |||||||||||
Parkland Corp. |
2,684 | 76,632 | 0.3% | |||||||||||
Premium Brands Holdings Corp. |
694 | 56,951 | 0.2% | |||||||||||
SNC-Lavalin Group, Inc. |
3,037 | 67,890 | 0.2% | |||||||||||
Tricon Residential, Inc. |
4,477 | 65,121 | 0.2% | |||||||||||
Vermilion Energy, Inc. |
2,803 | 54,603 | 0.2% | |||||||||||
Other Securities |
3,019,294 | 9.9% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL CANADA |
3,639,657 | 12.0% | ||||||||||||
|
|
|
|
|||||||||||
DENMARK — (2.2%) |
| |||||||||||||
Royal Unibrew A/S |
691 | 60,189 | 0.2% | |||||||||||
Other Securities |
602,292 | 2.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL DENMARK |
662,481 | 2.2% | ||||||||||||
|
|
|
|
|||||||||||
FINLAND — (2.2%) |
| |||||||||||||
Huhtamaki OYJ |
1,427 | 54,391 | 0.2% | |||||||||||
Valmet OYJ |
2,080 | 56,306 | 0.2% | |||||||||||
Other Securities |
564,647 | 1.8% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL FINLAND |
675,344 | 2.2% | ||||||||||||
|
|
|
|
|||||||||||
FRANCE — (5.1%) |
| |||||||||||||
SCOR SE |
2,484 | 70,754 | 0.2% | |||||||||||
SES SA |
6,000 | 54,030 | 0.2% | |||||||||||
* |
Ubisoft Entertainment SA |
1,554 | 70,740 | 0.2% | ||||||||||
Valeo |
3,609 | 66,647 | 0.2% | |||||||||||
Other Securities |
1,292,109 | 4.3% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL FRANCE |
1,554,280 | 5.1% | ||||||||||||
|
|
|
|
|||||||||||
GERMANY — (6.3%) |
| |||||||||||||
Aurubis AG |
519 | 59,762 | 0.2% | |||||||||||
Freenet AG |
2,131 | 59,148 | 0.2% | |||||||||||
HUGO BOSS AG |
993 | 56,422 | 0.2% | |||||||||||
* |
K+S AG, Registered |
3,180 | 107,989 | 0.3% | ||||||||||
Scout24 SE |
1,327 | 84,835 | 0.3% | |||||||||||
Other Securities |
1,524,806 | 5.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL GERMANY |
1,892,962 | 6.2% | ||||||||||||
|
|
|
|
32
DIMENSIONAL INTERNATIONAL SMALL CAP ETF
CONTINUED
Shares |
Value† |
Percentage |
||||||||||||
HONG KONG — (2.4%) |
| |||||||||||||
Other Securities |
$ | 720,706 | 2.4% | |||||||||||
|
|
|
|
|||||||||||
IRELAND — (0.4%) |
| |||||||||||||
Other Securities |
103,432 | 0.3% | ||||||||||||
|
|
|
|
|||||||||||
ISRAEL — (2.2%) |
| |||||||||||||
Other Securities |
674,917 | 2.2% | ||||||||||||
|
|
|
|
|||||||||||
ITALY — (3.7%) |
| |||||||||||||
Banco BPM SpA |
22,991 | 73,418 | 0.2% | |||||||||||
* |
Leonardo SpA |
6,484 | 67,199 | 0.2% | ||||||||||
Other Securities |
976,611 | 3.3% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL ITALY |
1,117,228 | 3.7% | ||||||||||||
|
|
|
|
|||||||||||
JAPAN — (22.0%) |
| |||||||||||||
NET One Systems Co., Ltd. |
2,300 | 55,210 | 0.2% | |||||||||||
Pigeon Corp. |
3,400 | 58,180 | 0.2% | |||||||||||
Other Securities |
6,533,304 | 21.5% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL JAPAN |
6,646,694 | 21.9% | ||||||||||||
|
|
|
|
|||||||||||
MALAYSIA — (0.0%) |
| |||||||||||||
Other Securities |
683 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
NETHERLANDS — (2.1%) |
| |||||||||||||
Aalberts NV |
1,456 | 71,624 | 0.2% | |||||||||||
ASR Nederland NV |
2,019 | 92,312 | 0.3% | |||||||||||
Signify NV |
1,882 | 80,608 | 0.3% | |||||||||||
Other Securities |
389,791 | 1.3% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL NETHERLANDS |
634,335 | 2.1% | ||||||||||||
|
|
|
|
|||||||||||
NEW ZEALAND — (0.4%) |
| |||||||||||||
Other Securities |
123,917 | 0.4% | ||||||||||||
|
|
|
|
|||||||||||
NORWAY — (1.3%) |
| |||||||||||||
Other Securities |
387,917 | 1.3% | ||||||||||||
|
|
|
|
|||||||||||
PORTUGAL — (0.3%) |
| |||||||||||||
Other Securities |
96,853 | 0.3% | ||||||||||||
|
|
|
|
|||||||||||
SINGAPORE — (0.9%) |
| |||||||||||||
Other Securities |
268,297 | 0.9% | ||||||||||||
|
|
|
|
|||||||||||
SPAIN — (2.4%) |
| |||||||||||||
Banco de Sabadell SA |
81,439 | 63,920 | 0.2% | |||||||||||
Bankinter SA |
9,643 | 57,294 | 0.2% | |||||||||||
Enagas SA |
3,512 | 76,212 | 0.3% | |||||||||||
Other Securities |
523,161 | 1.7% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL SPAIN |
720,587 | 2.4% | ||||||||||||
|
|
|
|
|||||||||||
SWEDEN — (3.4%) |
| |||||||||||||
Other Securities |
1,026,368 | 3.4% | ||||||||||||
|
|
|
|
|||||||||||
SWITZERLAND — (6.9%) |
| |||||||||||||
Belimo Holding AG, Cass R |
130 | 65,023 | 0.2% | |||||||||||
Clariant AG, Registered |
3,193 | 55,199 | 0.2% |
33
DIMENSIONAL INTERNATIONAL SMALL CAP ETF
CONTINUED
Shares |
Value† |
Percentage |
||||||||||||
SWITZERLAND — (Continued) |
| |||||||||||||
Galenica AG |
787 | $ | 58,377 | 0.2% | ||||||||||
Georg Fischer AG, Registered |
1,300 | 71,653 | 0.2% | |||||||||||
Helvetia Holding AG, Registered |
664 | 86,194 | 0.3% | |||||||||||
PSP Swiss Property AG, Registered |
675 | 85,674 | 0.3% | |||||||||||
Temenos AG, Registered |
997 | 101,996 | 0.3% | |||||||||||
Valiant Holding AG |
532 | 53,603 | 0.2% | |||||||||||
Other Securities |
1,512,267 | 5.0% | ||||||||||||
TOTAL SWITZERLAND |
2,089,986 | 6.9% | ||||||||||||
UNITED KINGDOM — (13.0%) |
| |||||||||||||
Beazley PLC |
10,296 | 55,791 | 0.2% | |||||||||||
Drax Group PLC |
6,734 | 68,312 | 0.2% | |||||||||||
HomeServe PLC |
5,109 | 63,053 | 0.2% | |||||||||||
Inchcape PLC |
6,422 | 57,608 | 0.2% | |||||||||||
Man Group PLC |
22,945 | 67,697 | 0.2% | |||||||||||
Pennon Group PLC |
4,485 | 62,615 | 0.2% | |||||||||||
Rotork PLC |
14,547 | 53,476 | 0.2% | |||||||||||
Spectris PLC |
1,872 | 69,333 | 0.2% | |||||||||||
Travis Perkins PLC |
3,614 | 55,741 | 0.2% | |||||||||||
Other Securities |
3,380,752 | 11.1% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL UNITED KINGDOM |
3,934,378 | 12.9% | ||||||||||||
|
|
|
|
|||||||||||
UNITED STATES — (0.0%) |
| |||||||||||||
Other Securities |
2,122 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL COMMON STOCKS |
30,219,915 | 99.4% | ||||||||||||
|
|
|
|
|||||||||||
RIGHTS/WARRANTS — (0.0%) |
| |||||||||||||
AUSTRALIA — (0.0%) |
| |||||||||||||
Other Securities |
8 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
NEW ZEALAND — (0.0%) |
| |||||||||||||
Other Securities |
2,199 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
SWITZERLAND — (0.0%) |
| |||||||||||||
Other Securities |
436 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL RIGHTS/WARRANTS |
2,643 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL INVESTMENT SECURITIES — 100.0% |
||||||||||||||
(Cost $32,184,728) |
30,222,558 | |||||||||||||
|
|
|||||||||||||
SECURITIES LENDING COLLATERAL — (0.0%) |
| |||||||||||||
@§ |
The DFA Short Term Investment Fund |
826 | 9,554 | 0.0% | ||||||||||
|
|
|
|
|||||||||||
TOTAL INVESTMENTS — 100.0% |
||||||||||||||
(Cost $32,194,282) |
30,232,112 | 99.4% | ||||||||||||
|
|
|
|
34
DIMENSIONAL INTERNATIONAL SMALL CAP ETF
CONTINUED
Summary of the Fund’s investments as of April 30, 2022, based on their valuation inputs, is as follows (see Security Valuation Note):
Investments in Securities (Market Value) | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Common Stocks |
||||||||||||||||
Australia |
$ | 2,381,415 | $ | 26,148 | $ | — | $ | 2,407,563 | ||||||||
Austria |
371,528 | — | — | 371,528 | ||||||||||||
Belgium |
467,680 | — | — | 467,680 | ||||||||||||
Canada |
3,639,657 | — | — | 3,639,657 | ||||||||||||
Denmark |
662,481 | — | — | 662,481 | ||||||||||||
Finland |
675,344 | — | — | 675,344 | ||||||||||||
France |
1,554,280 | — | — | 1,554,280 | ||||||||||||
Germany |
1,892,962 | — | — | 1,892,962 | ||||||||||||
Hong Kong |
699,207 | 21,499 | — | 720,706 | ||||||||||||
Ireland |
103,432 | — | — | 103,432 | ||||||||||||
Israel |
674,917 | — | — | 674,917 | ||||||||||||
Italy |
1,117,228 | — | — | 1,117,228 | ||||||||||||
Japan |
6,646,694 | — | — | 6,646,694 | ||||||||||||
Malaysia |
683 | — | — | 683 | ||||||||||||
Netherlands |
634,335 | — | — | 634,335 | ||||||||||||
New Zealand |
123,917 | — | — | 123,917 | ||||||||||||
Norway |
387,917 | — | — | 387,917 | ||||||||||||
Portugal |
96,853 | — | — | 96,853 | ||||||||||||
Singapore |
268,297 | — | — | 268,297 | ||||||||||||
Spain |
720,587 | — | — | 720,587 | ||||||||||||
Sweden |
1,026,368 | — | — | 1,026,368 | ||||||||||||
Switzerland |
2,089,986 | — | — | 2,089,986 | ||||||||||||
United Kingdom |
3,934,378 | — | — | 3,934,378 | ||||||||||||
United States |
2,122 | — | — | 2,122 | ||||||||||||
Rights/Warrants |
||||||||||||||||
Australia |
8 | — | — | 8 | ||||||||||||
New Zealand |
— | 2,199 | — | 2,199 | ||||||||||||
Switzerland |
436 | — | — | 436 | ||||||||||||
Collateral for Securities on Loan |
9,554 | — | — | 9,554 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
TOTAL |
$ | 30,182,266 | $ | 49,846 | $ | — | $ | 30,232,112 | ||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
35
DIMENSIONAL INTERNATIONAL HIGH PROFITABILITY ETF
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2022
(Unaudited)
Shares |
Value† |
Percentage |
||||||||||||
COMMON STOCKS — (99.7%) |
| |||||||||||||
AUSTRALIA — (7.3%) |
| |||||||||||||
BHP Group, Ltd., Sponsored ADR |
55,029 | $ | 3,685,842 | 2.7% | ||||||||||
Rio Tinto, Ltd. |
8,982 | 720,202 | 0.5% | |||||||||||
Other Securities |
5,559,052 | 4.1% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL AUSTRALIA |
9,965,096 | 7.3% | ||||||||||||
|
|
|
|
|||||||||||
AUSTRIA — (0.2%) |
| |||||||||||||
Other Securities |
232,235 | 0.2% | ||||||||||||
|
|
|
|
|||||||||||
BELGIUM — (0.7%) |
| |||||||||||||
Other Securities |
1,021,423 | 0.7% | ||||||||||||
|
|
|
|
|||||||||||
CANADA — (11.1%) |
| |||||||||||||
Canadian National Railway Co. |
8,963 | 1,054,228 | 0.8% | |||||||||||
Canadian Natural Resources, Ltd. |
20,218 | 1,250,888 | 0.9% | |||||||||||
Magna International, Inc. |
11,362 | 684,788 | 0.5% | |||||||||||
National Bank of Canada |
11,327 | 795,164 | 0.6% | |||||||||||
Nutrien, Ltd. |
7,348 | 721,941 | 0.5% | |||||||||||
Suncor Energy, Inc. |
28,675 | 1,030,579 | 0.8% | |||||||||||
Other Securities |
9,702,564 | 7.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL CANADA |
15,240,152 | 11.1% | ||||||||||||
|
|
|
|
|||||||||||
DENMARK — (2.4%) |
| |||||||||||||
Novo Nordisk A/S, Class B |
21,838 | 2,515,707 | 1.8% | |||||||||||
Other Securities |
767,449 | 0.6% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL DENMARK |
3,283,156 | 2.4% | ||||||||||||
|
|
|
|
|||||||||||
FINLAND — (1.1%) |
| |||||||||||||
Other Securities |
1,476,565 | 1.1% | ||||||||||||
|
|
|
|
|||||||||||
FRANCE — (9.7%) |
| |||||||||||||
Airbus SE |
9,478 | 1,055,277 | 0.8% | |||||||||||
Hermes International |
563 | 704,708 | 0.5% | |||||||||||
Kering SA |
1,826 | 988,407 | 0.7% | |||||||||||
L’Oreal SA |
2,829 | 1,041,278 | 0.8% | |||||||||||
LVMH Moet Hennessy Louis Vuitton SE |
5,859 | 3,829,109 | 2.8% | |||||||||||
Teleperformance |
2,653 | 959,145 | 0.7% | |||||||||||
Other Securities |
4,678,957 | 3.4% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL FRANCE |
13,256,881 | 9.7% | ||||||||||||
|
|
|
|
|||||||||||
GERMANY — (7.1%) |
| |||||||||||||
* |
Bayer AG, Registered |
18,910 | 1,254,802 | 0.9% | ||||||||||
Deutsche Post AG, Registered |
18,289 | 789,512 | 0.6% | |||||||||||
Deutsche Telekom AG |
68,334 | 1,266,606 | 0.9% | |||||||||||
E.ON SE |
82,357 | 862,745 | 0.6% | |||||||||||
Volkswagen AG, Preference |
4,375 | 687,420 | 0.5% | |||||||||||
Other Securities |
4,939,554 | 3.6% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL GERMANY |
9,800,639 | 7.1% | ||||||||||||
|
|
|
|
|||||||||||
HONG KONG — (2.3%) |
| |||||||||||||
AIA Group, Ltd. |
84,200 | 834,365 | 0.6% | |||||||||||
Hong Kong Exchanges & Clearing, Ltd. |
23,300 | 1,003,134 | 0.7% | |||||||||||
Other Securities |
1,387,671 | 1.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL HONG KONG |
3,225,170 | 2.3% | ||||||||||||
|
|
|
|
36
DIMENSIONAL INTERNATIONAL HIGH PROFITABILITY ETF
CONTINUED
Shares |
Value† |
Percentage of Net Assets‡ |
||||||||||||
IRELAND — (0.6%) |
| |||||||||||||
Other Securities |
$ | 815,454 | 0.6% | |||||||||||
ISRAEL — (0.6%) |
| |||||||||||||
Other Securities |
807,542 | 0.6% | ||||||||||||
|
|
|
|
|||||||||||
ITALY — (1.9%) |
| |||||||||||||
Eni SpA |
51,429 | 726,476 | 0.5% | |||||||||||
Stellantis NV |
51,163 | 684,049 | 0.5% | |||||||||||
Other Securities |
1,267,166 | 0.9% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL ITALY |
2,677,691 | 1.9% | ||||||||||||
|
|
|
|
|||||||||||
JAPAN — (20.2%) |
| |||||||||||||
ENEOS Holdings, Inc. |
200,800 | 707,047 | 0.5% | |||||||||||
Hitachi, Ltd. |
23,300 | 1,091,985 | 0.8% | |||||||||||
KDDI Corp. |
37,300 | 1,248,036 | 0.9% | |||||||||||
Murata Manufacturing Co., Ltd. |
11,600 | 697,827 | 0.5% | |||||||||||
Recruit Holdings Co., Ltd. |
23,400 | 870,185 | 0.6% | |||||||||||
SoftBank Corp. |
84,000 | 982,248 | 0.7% | |||||||||||
Sony Group Corp. |
23,400 | 2,026,459 | 1.5% | |||||||||||
TDK Corp. |
23,000 | 721,635 | 0.5% | |||||||||||
Other Securities |
19,451,410 | 14.2% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL JAPAN |
27,796,832 | 20.2% | ||||||||||||
|
|
|
|
|||||||||||
NETHERLANDS — (3.7%) |
| |||||||||||||
ASML Holding NV, Sponsored NYS |
8,217 | 4,632,498 | 3.4% | |||||||||||
Other Securities |
380,856 | 0.3% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL NETHERLANDS |
5,013,354 | 3.7% | ||||||||||||
|
|
|
|
|||||||||||
NEW ZEALAND — (0.3%) |
| |||||||||||||
Other Securities |
347,950 | 0.3% | ||||||||||||
|
|
|
|
|||||||||||
NORWAY — (1.0%) |
| |||||||||||||
Equinor ASA |
23,122 | 796,788 | 0.6% | |||||||||||
Other Securities |
530,016 | 0.4% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL NORWAY |
1,326,804 | 1.0% | ||||||||||||
|
|
|
|
|||||||||||
PORTUGAL — (0.1%) |
| |||||||||||||
Other Securities |
165,242 | 0.1% | ||||||||||||
|
|
|
|
|||||||||||
SINGAPORE — (1.1%) |
| |||||||||||||
DBS Group Holdings, Ltd. |
35,000 | 859,729 | 0.6% | |||||||||||
Other Securities |
608,221 | 0.5% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL SINGAPORE |
1,467,950 | 1.1% | ||||||||||||
|
|
|
|
|||||||||||
SPAIN — (2.1%) |
| |||||||||||||
Repsol SA |
55,041 | 829,467 | 0.6% | |||||||||||
Telefonica SA |
150,536 | 735,759 | 0.5% | |||||||||||
Other Securities |
1,346,458 | 1.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL SPAIN |
2,911,684 | 2.1% | ||||||||||||
|
|
|
|
|||||||||||
SWEDEN — (2.8%) |
| |||||||||||||
Other Securities |
3,903,325 | 2.8% | ||||||||||||
|
|
|
|
|||||||||||
SWITZERLAND — (9.3%) |
| |||||||||||||
ABB, Ltd., Registered |
34,109 | 1,040,155 | 0.8% | |||||||||||
Geberit AG, Registered |
1,443 | 832,514 | 0.6% | |||||||||||
Givaudan SA, Registered |
335 | 1,344,279 | 1.0% |
37
DIMENSIONAL INTERNATIONAL HIGH PROFITABILITY ETF
CONTINUED
Shares |
Value† |
Percentage of Net Assets‡ |
||||||||||||
SWITZERLAND — (Continued) |
| |||||||||||||
Roche Holding AG |
12,319 | $ | 4,599,398 | 3.3% | ||||||||||
Sika AG, Registered |
2,572 | 797,581 | 0.6% | |||||||||||
Sonova Holding AG |
2,215 | 810,558 | 0.6% | |||||||||||
Other Securities |
3,301,001 | 2.4% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL SWITZERLAND |
12,725,486 | 9.3% | ||||||||||||
|
|
|
|
|||||||||||
UNITED KINGDOM — (14.0%) |
||||||||||||||
Anglo American PLC |
26,559 | 1,195,739 | 0.9% | |||||||||||
Diageo PLC, Sponsored ADR |
7,793 | 1,548,313 | 1.1% | |||||||||||
GlaxoSmithKline PLC |
115,830 | 2,613,264 | 1.9% | |||||||||||
Imperial Brands PLC |
48,204 | 1,008,259 | 0.7% | |||||||||||
RELX PLC, Sponsored ADR |
33,120 | 975,384 | 0.7% | |||||||||||
Rio Tinto PLC |
28,548 | 2,045,134 | 1.5% | |||||||||||
Unilever PLC, Sponsored ADR |
53,207 | 2,461,356 | 1.8% | |||||||||||
Other Securities |
7,412,666 | 5.4% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL UNITED KINGDOM |
19,260,115 | 14.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL COMMON STOCKS |
||||||||||||||
(Cost $141,269,246) |
136,720,746 | 99.6% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL INVESTMENT SECURITIES — 99.7% |
||||||||||||||
(Cost $141,269,246) |
136,720,746 | |||||||||||||
|
|
|||||||||||||
SECURITIES LENDING COLLATERAL — (0.3%) |
| |||||||||||||
@§ |
The DFA Short Term Investment Fund |
34,401 | 398,004 | 0.3% | ||||||||||
|
|
|
|
|||||||||||
TOTAL INVESTMENTS — 100.0% |
||||||||||||||
(Cost $141,667,250) |
137,118,750 | 99.9% | ||||||||||||
|
|
|
|
Summary of the Fund’s investments as of April 30, 2022, based on their valuation inputs, is as follows (see Security Valuation Note):
Investments in Securities (Market Value) | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Common Stocks |
||||||||||||||||
Australia |
$ | 9,965,096 | $ | — | $ | — | $ | 9,965,096 | ||||||||
Austria |
232,235 | — | — | 232,235 | ||||||||||||
Belgium |
1,021,423 | — | — | 1,021,423 | ||||||||||||
Canada |
15,240,152 | — | — | 15,240,152 | ||||||||||||
Denmark |
3,283,156 | — | — | 3,283,156 | ||||||||||||
Finland |
1,476,565 | — | — | 1,476,565 | ||||||||||||
France |
13,256,881 | — | — | 13,256,881 | ||||||||||||
Germany |
9,800,639 | — | — | 9,800,639 | ||||||||||||
Hong Kong |
3,225,170 | — | — | 3,225,170 | ||||||||||||
Ireland |
815,454 | — | — | 815,454 | ||||||||||||
Israel |
807,542 | — | — | 807,542 | ||||||||||||
Italy |
2,677,691 | — | — | 2,677,691 | ||||||||||||
Japan |
27,796,832 | — | — | 27,796,832 | ||||||||||||
Netherlands |
5,013,354 | — | — | 5,013,354 | ||||||||||||
New Zealand |
347,950 | — | — | 347,950 | ||||||||||||
Norway |
1,326,804 | — | — | 1,326,804 | ||||||||||||
Portugal |
165,242 | — | — | 165,242 | ||||||||||||
Singapore |
1,467,950 | — | — | 1,467,950 | ||||||||||||
Spain |
2,911,684 | — | — | 2,911,684 | ||||||||||||
Sweden |
3,903,325 | — | — | 3,903,325 | ||||||||||||
Switzerland |
12,725,486 | — | — | 12,725,486 | ||||||||||||
United Kingdom |
19,260,115 | — | — | 19,260,115 | ||||||||||||
Collateral for Securities on Loan |
398,004 | — | — | 398,004 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
TOTAL |
$ | 137,118,750 | $ | — | $ | — | $ | 137,118,750 | ||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
38
DIMENSIONAL EMERGING CORE EQUITY MARKET ETF
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2022
(Unaudited)
Shares |
Value† |
Percentage |
||||||||||||
COMMON STOCKS — (99.3%) |
| |||||||||||||
BRAZIL — (5.3%) |
| |||||||||||||
Petroleo Brasileiro SA, Preference |
726,100 | $ | 4,439,705 | 0.5% | ||||||||||
Vale SA, Sponsored ADR |
306,900 | 5,183,541 | 0.6% | |||||||||||
Other Securities |
38,603,741 | 4.2% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL BRAZIL |
48,226,987 | 5.3% | ||||||||||||
|
|
|
|
|||||||||||
CHILE — (0.4%) |
| |||||||||||||
Other Securities |
3,874,193 | 0.4% | ||||||||||||
|
|
|
|
|||||||||||
CHINA — (27.4%) |
| |||||||||||||
* |
Alibaba Group Holding, Ltd., Sponsored ADR |
47,990 | 4,659,349 | 0.5% | ||||||||||
* |
Alibaba Group Holding, Ltd. |
1,220,500 | 15,882,063 | 1.7% | ||||||||||
* |
Baidu, Inc., Class A |
211,050 | 3,512,950 | 0.4% | ||||||||||
Bank of China, Ltd., Class H |
8,175,000 | 3,229,928 | 0.4% | |||||||||||
China Construction Bank Corp., Class H |
14,648,000 | 10,435,987 | 1.2% | |||||||||||
China Merchants Bank Co., Ltd., Class H |
509,500 | 3,110,449 | 0.3% | |||||||||||
Industrial & Commercial Bank of China, Ltd., Class H |
6,089,000 | 3,678,474 | 0.4% | |||||||||||
* |
JD.com, Inc., Class A |
147,330 | 4,987,267 | 0.6% | ||||||||||
Longfor Group Holdings, Ltd. |
590,000 | 2,932,649 | 0.3% | |||||||||||
* |
Meituan, Class B |
372,100 | 8,157,020 | 0.9% | ||||||||||
NetEase, Inc. |
230,300 | 4,520,204 | 0.5% | |||||||||||
Ping An Insurance Group Co. of China, Ltd., Class H |
895,000 | 5,863,130 | 0.7% | |||||||||||
Tencent Holdings, Ltd. |
500,200 | 24,059,632 | 2.6% | |||||||||||
#* |
Xiaomi Corp., Class B |
1,907,400 | 2,965,821 | 0.3% | ||||||||||
Other Securities |
152,227,840 | 16.6% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL CHINA |
250,222,763 | 27.4% | ||||||||||||
|
|
|
|
|||||||||||
COLOMBIA — (0.2%) |
| |||||||||||||
Other Securities |
1,691,663 | 0.2% | ||||||||||||
|
|
|
|
|||||||||||
CZECHIA — (0.1%) |
| |||||||||||||
Other Securities |
1,027,065 | 0.1% | ||||||||||||
|
|
|
|
|||||||||||
EGYPT — (0.0%) |
| |||||||||||||
Other Securities |
332,612 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
GREECE — (0.3%) |
| |||||||||||||
Other Securities |
2,613,998 | 0.3% | ||||||||||||
|
|
|
|
|||||||||||
HUNGARY — (0.1%) |
| |||||||||||||
Other Securities |
1,126,791 | 0.1% | ||||||||||||
|
|
|
|
|||||||||||
INDIA — (15.6%) |
| |||||||||||||
* |
Axis Bank, Ltd. |
389,657 | 3,713,956 | 0.4% | ||||||||||
HCL Technologies, Ltd. |
242,155 | 3,418,855 | 0.4% | |||||||||||
HDFC Bank, Ltd. |
180,902 | 3,276,671 | 0.4% | |||||||||||
ICICI Bank, Ltd., Sponsored ADR |
268,604 | 5,114,220 | 0.6% | |||||||||||
Infosys, Ltd. |
339,956 | 6,971,227 | 0.8% | |||||||||||
ITC, Ltd. |
891,810 | 3,028,018 | 0.3% | |||||||||||
Reliance Industries, Ltd., GDR |
52,792 | 3,832,699 | 0.4% | |||||||||||
Reliance Industries, Ltd. |
200,741 | 7,327,306 | 0.8% | |||||||||||
Tata Consultancy Services, Ltd. |
112,852 | 5,235,990 | 0.6% | |||||||||||
Other Securities |
100,610,266 | 10.9% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL INDIA |
142,529,208 | 15.6% | ||||||||||||
|
|
|
|
39
DIMENSIONAL EMERGING CORE EQUITY MARKET ETF
CONTINUED
Shares |
Value† |
Percentage |
||||||||||||
INDONESIA — (2.1%) |
| |||||||||||||
Bank Central Asia TBK PT |
5,246,300 | $ | 2,940,345 | 0.3% | ||||||||||
Other Securities |
15,891,342 | 1.8% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL INDONESIA |
18,831,687 | 2.1% | ||||||||||||
|
|
|
|
|||||||||||
KOREA, REPUBLIC OF — (13.0%) |
| |||||||||||||
KB Financial Group, Inc. |
81,013 | 3,773,297 | 0.4% | |||||||||||
POSCO Holdings, Inc. |
13,848 | 3,186,363 | 0.4% | |||||||||||
Samsung Electronics Co., Ltd., GDR |
2,641 | 3,495,363 | 0.4% | |||||||||||
Samsung Electronics Co., Ltd. |
485,583 | 26,057,559 | 2.9% | |||||||||||
SK Hynix, Inc. |
74,112 | 6,638,217 | 0.7% | |||||||||||
Other Securities |
75,387,484 | 8.2% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL KOREA, REPUBLIC OF |
118,538,283 | 13.0% | ||||||||||||
|
|
|
|
|||||||||||
MALAYSIA — (1.6%) |
| |||||||||||||
Other Securities |
14,959,520 | 1.6% | ||||||||||||
|
|
|
|
|||||||||||
MEXICO — (2.0%) |
| |||||||||||||
Other Securities |
18,653,504 | 2.0% | ||||||||||||
|
|
|
|
|||||||||||
PERU — (0.1%) |
| |||||||||||||
Other Securities |
892,219 | 0.1% | ||||||||||||
|
|
|
|
|||||||||||
PHILIPPINES — (0.7%) |
| |||||||||||||
Other Securities |
6,583,506 | 0.7% | ||||||||||||
|
|
|
|
|||||||||||
POLAND — (0.7%) |
| |||||||||||||
Other Securities |
6,432,944 | 0.7% | ||||||||||||
|
|
|
|
|||||||||||
QATAR — (0.9%) |
| |||||||||||||
Qatar National Bank QPSC |
518,967 | 3,313,238 | 0.4% | |||||||||||
Other Securities |
4,906,047 | 0.5% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL QATAR |
|
8,219,285 | 0.9% | |||||||||||
|
|
|
|
|||||||||||
RUSSIAN FEDERATION — (0.0%) |
| |||||||||||||
Other Securities |
— | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
SAUDI ARABIA — (3.9%) |
| |||||||||||||
Al Rajhi Bank |
103,860 | 4,890,070 | 0.5% | |||||||||||
Alinma Bank |
354,228 | 3,914,565 | 0.4% | |||||||||||
Bank Al-Jazira |
393,862 | 3,323,486 | 0.4% | |||||||||||
Saudi National Bank (The) |
212,193 | 4,469,246 | 0.5% | |||||||||||
Other Securities |
18,604,085 | 2.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL SAUDI ARABIA |
35,201,452 | 3.8% | ||||||||||||
|
|
|
|
|||||||||||
SOUTH AFRICA — (3.8%) |
||||||||||||||
MTN Group, Ltd. |
337,367 | 3,598,226 | 0.4% | |||||||||||
* |
Sasol, Ltd. |
116,874 | 2,902,443 | 0.3% | ||||||||||
Other Securities |
27,991,730 | 3.1% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL SOUTH AFRICA |
34,492,399 | 3.8% | ||||||||||||
|
|
|
|
|||||||||||
TAIWAN — (17.2%) |
| |||||||||||||
Cathay Financial Holding Co., Ltd. |
1,952,000 | 4,139,031 | 0.5% | |||||||||||
China Development Financial Holding Corp. |
5,739,832 | 3,495,445 | 0.4% | |||||||||||
China Steel Corp. |
3,033,000 | 3,714,655 | 0.4% | |||||||||||
E Ink Holdings, Inc. |
640,000 | 3,778,053 | 0.4% | |||||||||||
E.Sun Financial Holding Co., Ltd. |
2,867,522 | 3,293,095 | 0.4% | |||||||||||
Fubon Financial Holding Co., Ltd. |
1,475,999 | 3,725,614 | 0.4% |
40
DIMENSIONAL EMERGING CORE EQUITY MARKET ETF
CONTINUED
Shares |
Value† |
Percentage |
||||||||||||
TAIWAN — (Continued) |
| |||||||||||||
Hon Hai Precision Industry Co., Ltd. |
1,004,000 | $ | 3,474,343 | 0.4% | ||||||||||
Mega Financial Holding Co., Ltd. |
3,011,000 | 4,249,550 | 0.5% | |||||||||||
Nan Ya Plastics Corp. |
1,039,000 | 3,056,142 | 0.3% | |||||||||||
Taiwan Semiconductor Manufacturing Co., Ltd. |
2,455,000 | 44,809,757 | 4.9% | |||||||||||
* |
Yang Ming Marine Transport Corp. |
707,000 | 3,022,239 | 0.3% | ||||||||||
Other Securities |
76,705,881 | 8.3% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL TAIWAN |
157,463,805 | 17.2% | ||||||||||||
|
|
|
|
|||||||||||
THAILAND — (2.3%) |
| |||||||||||||
Other Securities |
21,324,565 | 2.3% | ||||||||||||
|
|
|
|
|||||||||||
TURKEY — (0.5%) |
| |||||||||||||
Other Securities |
4,488,905 | 0.5% | ||||||||||||
|
|
|
|
|||||||||||
UNITED ARAB EMIRATES — (1.1%) |
| |||||||||||||
Emirates Telecommunications Group Co. PJSC |
339,108 | 3,231,315 | 0.4% | |||||||||||
Other Securities |
6,413,325 | 0.7% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL UNITED ARAB EMIRATES |
9,644,640 | 1.1% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL COMMON STOCKS |
907,371,994 | 99.2% | ||||||||||||
|
|
|
|
|||||||||||
PREFERRED STOCK — (0.0%) |
| |||||||||||||
PHILIPPINES — (0.0%) |
| |||||||||||||
Other Securities |
6,304 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL PREFERRED STOCK |
6,304 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
RIGHTS/WARRANTS — (0.0%) |
| |||||||||||||
BRAZIL — (0.0%) |
| |||||||||||||
Other Securities |
— | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
CHILE — (0.0%) |
| |||||||||||||
Other Securities |
— | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
CHINA — (0.0%) |
| |||||||||||||
Other Securities |
— | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
KOREA, REPUBLIC OF — (0.0%) |
| |||||||||||||
Other Securities |
— | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
MALAYSIA — (0.0%) |
| |||||||||||||
Other Securities |
10 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
PHILIPPINES — (0.0%) |
| |||||||||||||
Other Securities |
70 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
THAILAND — (0.0%) |
| |||||||||||||
Other Securities |
1,201 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
TURKEY — (0.0%) |
| |||||||||||||
Other Securities |
16 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL RIGHTS/WARRANTS |
1,297 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL INVESTMENT SECURITIES — 99.3% |
||||||||||||||
(Cost $981,328,822) |
907,379,595 | |||||||||||||
|
|
|||||||||||||
SECURITIES LENDING COLLATERAL — (0.7%) |
| |||||||||||||
@§ |
The DFA Short Term Investment Fund |
585,323 | $ | 6,771,899 | 0.7% | |||||||||
|
|
|
|
|||||||||||
TOTAL INVESTMENTS — 100.0% |
||||||||||||||
(Cost $988,100,721) |
$ | 914,151,494 | 99.9% | |||||||||||
|
|
|
|
41
DIMENSIONAL EMERGING CORE EQUITY MARKET ETF
CONTINUED
Summary of the Fund’s investments as of April 30, 2022, based on their valuation inputs, is as follows (see Security Valuation Note):
Investments in Securities (Market Value) | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Common Stocks |
||||||||||||||||
Brazil |
$48,226,987 | $— | $— | $48,226,987 | ||||||||||||
Chile |
3,874,193 | — | — | 3,874,193 | ||||||||||||
China |
250,019,914 | 162,621 | 40,228 | 250,222,763 | ||||||||||||
Colombia |
1,691,663 | — | — | 1,691,663 | ||||||||||||
Czechia |
1,027,065 | — | — | 1,027,065 | ||||||||||||
Egypt |
332,612 | — | — | 332,612 | ||||||||||||
Greece |
2,613,998 | — | — | 2,613,998 | ||||||||||||
Hungary |
1,126,791 | — | — | 1,126,791 | ||||||||||||
India |
142,486,542 | 42,666 | — | 142,529,208 | ||||||||||||
Indonesia |
18,831,525 | 99 | 63 | 18,831,687 | ||||||||||||
Korea, Republic of |
118,352,402 | 185,850 | 31 | 118,538,283 | ||||||||||||
Malaysia |
14,958,652 | 868 | — | 14,959,520 | ||||||||||||
Mexico |
18,653,504 | — | — | 18,653,504 | ||||||||||||
Peru |
892,219 | — | — | 892,219 | ||||||||||||
Philippines |
6,583,506 | — | — | 6,583,506 | ||||||||||||
Poland |
6,432,944 | — | — | 6,432,944 | ||||||||||||
Qatar |
8,219,285 | — | — | 8,219,285 | ||||||||||||
Russian Federation |
— | — | — | — | ||||||||||||
Saudi Arabia |
35,201,452 | — | — | 35,201,452 | ||||||||||||
South Africa |
34,492,399 | — | — | 34,492,399 | ||||||||||||
Taiwan |
157,459,168 | 4,637 | — | 157,463,805 | ||||||||||||
Thailand |
21,324,565 | — | — | 21,324,565 | ||||||||||||
Turkey |
4,488,905 | — | — | 4,488,905 | ||||||||||||
United Arab Emirates |
9,644,640 | — | — | 9,644,640 | ||||||||||||
Preferred Stock |
||||||||||||||||
Philippines |
6,304 | — | — | 6,304 | ||||||||||||
Rights/Warrants |
||||||||||||||||
Brazil |
— | — | — | — | ||||||||||||
Chile |
— | — | — | — | ||||||||||||
China |
— | — | — | — | ||||||||||||
Korea, Republic Of |
— | — | — | — | ||||||||||||
Malaysia |
10 | — | — | 10 | ||||||||||||
Philippines |
— | 70 | — | 70 | ||||||||||||
Thailand |
— | 1,201 | — | 1,201 | ||||||||||||
Turkey |
16 | — | — | 16 | ||||||||||||
Collateral for Securities on Loan |
6,771,899 | — | — | 6,771,899 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
TOTAL |
$913,713,160 | $398,012 | $40,322 | $914,151,494 | ||||||||||||
|
|
|
|
|
|
|
|
A reconciliation of Level 3 investments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the reporting period in relation to net assets.
See accompanying Notes to Financial Statements.
42
DIMENSIONAL EMERGING MARKETS HIGH PROFITABILITY ETF
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2022
(Unaudited)
Shares |
Value† |
Percentage |
||||||||||||
COMMON STOCKS — (100.0%) |
| |||||||||||||
BRAZIL — (5.2%) |
| |||||||||||||
Petroleo Brasileiro SA |
4,000 | $ | 27,010 | 0.6% | ||||||||||
Petroleo Brasileiro SA, Preference |
5,100 | 31,184 | 0.6% | |||||||||||
Vale SA, Sponsored ADR |
7,500 | 126,675 | 2.5% | |||||||||||
Other Securities |
78,957 | 1.5% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL BRAZIL |
263,826 | 5.2% | ||||||||||||
|
|
|
|
|||||||||||
CHILE — (0.5%) |
| |||||||||||||
Other Securities |
27,681 | 0.5% | ||||||||||||
|
|
|
|
|||||||||||
CHINA — (27.5%) |
| |||||||||||||
Anhui Conch Cement Co., Ltd., Class H |
7,000 | 38,274 | 0.8% | |||||||||||
ANTA Sports Products, Ltd. |
3,400 | 39,802 | 0.8% | |||||||||||
China Resources Land, Ltd. |
16,000 | 71,984 | 1.4% | |||||||||||
Country Garden Holdings Co., Ltd. |
39,000 | 27,189 | 0.5% | |||||||||||
CSPC Pharmaceutical Group, Ltd. |
28,000 | 28,906 | 0.6% | |||||||||||
Haier Smart Home Co., Ltd., Class H |
8,600 | 31,129 | 0.6% | |||||||||||
Kweichow Moutai Co., Ltd., Class A |
200 | 55,058 | 1.1% | |||||||||||
Lenovo Group, Ltd. |
32,000 | 31,322 | 0.6% | |||||||||||
Li Ning Co., Ltd. |
8,000 | 63,776 | 1.2% | |||||||||||
Ping An Insurance Group Co. of China, Ltd., Class H |
14,000 | 91,714 | 1.8% | |||||||||||
Shenzhou International Group Holdings, Ltd. |
2,000 | 27,759 | 0.5% | |||||||||||
Sunny Optical Technology Group Co., Ltd. |
2,300 | 34,150 | 0.7% | |||||||||||
Tencent Holdings, Ltd. |
5,900 | 283,790 | 5.6% | |||||||||||
Yum China Holdings, Inc. |
900 | 38,220 | 0.7% | |||||||||||
Zijin Mining Group Co., Ltd., Class H |
18,000 | 26,841 | 0.5% | |||||||||||
Other Securities |
504,678 | 9.9% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL CHINA |
1,394,592 | 27.3% | ||||||||||||
|
|
|
|
|||||||||||
COLOMBIA — (0.2%) |
| |||||||||||||
Other Securities |
8,825 | 0.2% | ||||||||||||
|
|
|
|
|||||||||||
CZECHIA — (0.2%) |
| |||||||||||||
Other Securities |
8,591 | 0.2% | ||||||||||||
|
|
|
|
|||||||||||
GREECE — (0.3%) |
| |||||||||||||
Other Securities |
16,934 | 0.3% | ||||||||||||
|
|
|
|
|||||||||||
HUNGARY — (0.2%) |
| |||||||||||||
Other Securities |
10,091 | 0.2% | ||||||||||||
|
|
|
|
|||||||||||
INDIA — (15.3%) |
| |||||||||||||
* |
Bharti Airtel, Ltd. |
4,636 | 44,818 | 0.9% | ||||||||||
HCL Technologies, Ltd. |
1,896 | 26,768 | 0.5% | |||||||||||
Hindalco Industries, Ltd. |
5,504 | 34,752 | 0.7% | |||||||||||
Infosys, Ltd. |
5,732 | 117,542 | 2.3% | |||||||||||
JSW Steel, Ltd. |
3,292 | 31,315 | 0.6% | |||||||||||
Tata Consultancy Services, Ltd. |
1,440 | 66,812 | 1.3% | |||||||||||
* |
Tata Motors, Ltd., Sponsored ADR |
1,292 | 36,447 | 0.7% | ||||||||||
Tech Mahindra, Ltd. |
2,212 | 36,431 | 0.7% | |||||||||||
Other Securities |
378,650 | 7.4% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL INDIA |
773,535 | 15.1% | ||||||||||||
|
|
|
|
|||||||||||
INDONESIA — (2.0%) |
| |||||||||||||
Other Securities |
103,061 | 2.0% | ||||||||||||
|
|
|
|
43
DIMENSIONAL EMERGING MARKETS HIGH PROFITABILITY ETF
CONTINUED
Shares |
Value† |
Percentage |
||||||||||||
KOREA, REPUBLIC OF — (12.7%) |
| |||||||||||||
HMM Co., Ltd. |
1,212 | $ | 27,405 | 0.5% | ||||||||||
LG Chem, Ltd. |
68 | 28,099 | 0.6% | |||||||||||
LG Electronics, Inc. |
476 | 44,151 | 0.9% | |||||||||||
Samsung Electronics Co., Ltd. |
4,760 | 255,433 | 5.0% | |||||||||||
SK Hynix, Inc. |
1,220 | 109,276 | 2.1% | |||||||||||
Other Securities |
179,996 | 3.5% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL KOREA, REPUBLIC OF |
644,360 | 12.6% | ||||||||||||
|
|
|
|
|||||||||||
MALAYSIA — (1.7%) |
| |||||||||||||
Other Securities |
87,095 | 1.7% | ||||||||||||
|
|
|
|
|||||||||||
MEXICO — (2.2%) |
| |||||||||||||
America Movil SAB de CV, Sponsored ADR |
3,540 | 68,782 | 1.4% | |||||||||||
Other Securities |
41,692 | 0.8% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL MEXICO |
|
110,474 | 2.2% | |||||||||||
|
|
|
|
|||||||||||
PHILIPPINES — (0.8%) |
| |||||||||||||
Other Securities |
38,316 | 0.8% | ||||||||||||
|
|
|
|
|||||||||||
POLAND — (0.8%) |
| |||||||||||||
Other Securities |
38,955 | 0.8% | ||||||||||||
|
|
|
|
|||||||||||
QATAR — (1.1%) |
| |||||||||||||
Qatar National Bank QPSC |
5,544 | 35,395 | 0.7% | |||||||||||
Other Securities |
18,485 | 0.4% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL QATAR |
53,880 | 1.1% | ||||||||||||
|
|
|
|
|||||||||||
SAUDI ARABIA — (4.5%) |
| |||||||||||||
Al Rajhi Bank |
616 | 29,003 | 0.6% | |||||||||||
SABIC Agri-Nutrients Co. |
672 | 29,132 | 0.6% | |||||||||||
* |
Saudi Arabian Mining Co. |
740 | 27,226 | 0.5% | ||||||||||
Saudi Telecom Co. |
1,112 | 34,391 | 0.7% | |||||||||||
Other Securities |
106,827 | 2.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL SAUDI ARABIA |
226,579 | 4.4% | ||||||||||||
|
|
|
|
|||||||||||
SOUTH AFRICA — (3.4%) |
| |||||||||||||
Impala Platinum Holdings, Ltd. |
2,864 | 37,341 | 0.7% | |||||||||||
MTN Group, Ltd. |
2,528 | 26,963 | 0.5% | |||||||||||
Sibanye Stillwater, Ltd., ADR |
2,044 | 28,085 | 0.6% | |||||||||||
Other Securities |
80,484 | 1.6% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL SOUTH AFRICA |
172,873 | 3.4% | ||||||||||||
|
|
|
|
|||||||||||
TAIWAN — (17.3%) |
| |||||||||||||
ASE Technology Holding Co., Ltd. |
16,000 | 51,894 | 1.0% | |||||||||||
AU Optronics Corp. |
50,000 | 29,092 | 0.6% | |||||||||||
Evergreen Marine Corp. Taiwan, Ltd. |
14,000 | 68,871 | 1.3% | |||||||||||
Novatek Microelectronics Corp. |
4,000 | 54,079 | 1.1% | |||||||||||
Realtek Semiconductor Corp. |
3,000 | 41,475 | 0.8% | |||||||||||
Taiwan Mobile Co., Ltd. |
9,000 | 33,129 | 0.6% | |||||||||||
Taiwan Semiconductor Manufacturing Co., Ltd. |
13,000 | 237,282 | 4.6% | |||||||||||
Yageo Corp. |
2,000 | 27,447 | 0.5% | |||||||||||
* |
Yang Ming Marine Transport Corp. |
8,000 | 34,198 | 0.7% | ||||||||||
Other Securities |
297,124 | 5.9% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL TAIWAN |
874,591 | 17.1% | ||||||||||||
|
|
|
|
44
DIMENSIONAL EMERGING MARKETS HIGH PROFITABILITY ETF
CONTINUED
Shares |
Value† |
Percentage |
||||||||||||
THAILAND — (2.0%) |
||||||||||||||
Other Securities |
$ | 102,063 | 2.0% | |||||||||||
|
|
|
|
|||||||||||
TURKEY — (0.5%) |
| |||||||||||||
Other Securities |
27,295 | 0.5% | ||||||||||||
|
|
|
|
|||||||||||
UNITED ARAB EMIRATES — (1.6%) |
| |||||||||||||
Emirates Telecommunications Group Co. PJSC |
7,128 | 67,922 | 1.3% | |||||||||||
Other Securities |
12,220 | 0.3% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL UNITED ARAB EMIRATES |
80,142 | 1.6% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL COMMON STOCKS |
||||||||||||||
(Cost $4,974,398) |
5,063,759 | 99.2% | ||||||||||||
|
|
|||||||||||||
TOTAL INVESTMENT SECURITIES — 100.0% |
||||||||||||||
(Cost $4,974,398) |
5,063,759 | |||||||||||||
|
|
|||||||||||||
TOTAL INVESTMENTS — 100.0% |
||||||||||||||
(Cost $4,974,398) |
5,063,759 | 99.2% | ||||||||||||
|
|
|
|
Summary of the Fund’s investments as of April 30, 2022, based on their valuation inputs, is as follows (see Security Valuation Note):
Investments in Securities (Market Value) | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Common Stocks |
||||||||||||||||
Brazil |
$263,826 | $— | $— | $263,826 | ||||||||||||
Chile |
27,681 | — | — | 27,681 | ||||||||||||
China |
1,394,592 | — | — | 1,394,592 | ||||||||||||
Colombia |
8,825 | — | — | 8,825 | ||||||||||||
Czechia |
8,591 | — | — | 8,591 | ||||||||||||
Greece |
16,934 | — | — | 16,934 | ||||||||||||
Hungary |
10,091 | — | — | 10,091 | ||||||||||||
India |
773,535 | — | — | 773,535 | ||||||||||||
Indonesia |
103,061 | — | — | 103,061 | ||||||||||||
Korea, Republic of |
644,360 | — | — | 644,360 | ||||||||||||
Malaysia |
87,095 | — | — | 87,095 | ||||||||||||
Mexico |
110,474 | — | — | 110,474 | ||||||||||||
Philippines |
38,316 | — | — | 38,316 | ||||||||||||
Poland |
38,955 | — | — | 38,955 | ||||||||||||
Qatar |
53,880 | — | — | 53,880 | ||||||||||||
Saudi Arabia |
226,579 | — | — | 226,579 | ||||||||||||
South Africa |
172,873 | — | — | 172,873 | ||||||||||||
Taiwan |
874,591 | — | — | 874,591 | ||||||||||||
Thailand |
102,063 | — | — | 102,063 | ||||||||||||
Turkey |
27,295 | — | — | 27,295 | ||||||||||||
United Arab Emirates |
80,142 | — | — | 80,142 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$5,063,759 | $— | $— | $5,063,759 | ||||||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
45
DIMENSIONAL EMERGING MARKETS VALUE ETF
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2022
(Unaudited)
Shares |
Value† |
Percentage |
||||||||||||
COMMON STOCKS — (100.0%) |
| |||||||||||||
BRAZIL — (5.1%) |
| |||||||||||||
Banco Bradesco SA, Preference |
75,000 | $ | 272,303 | 0.6% | ||||||||||
Petroleo Brasileiro SA |
90,300 | 609,755 | 1.3% | |||||||||||
Petroleo Brasileiro SA, Preference |
115,600 | 706,831 | 1.6% | |||||||||||
Other Securities |
667,736 | 1.4% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL BRAZIL |
2,256,625 | 4.9% | ||||||||||||
|
|
|
|
|||||||||||
CHILE — (0.3%) |
| |||||||||||||
Other Securities |
150,683 | 0.3% | ||||||||||||
|
|
|
|
|||||||||||
CHINA — (28.0%) |
| |||||||||||||
Anhui Conch Cement Co., Ltd., Class H |
34,500 | 188,634 | 0.4% | |||||||||||
* |
Baidu, Inc., Class A |
24,300 | 404,476 | 0.9% | ||||||||||
Bank of China, Ltd., Class H |
1,155,000 | 456,338 | 1.0% | |||||||||||
China Construction Bank Corp., Class H |
2,060,000 | 1,467,650 | 3.2% | |||||||||||
China Overseas Land & Investment, Ltd. |
81,000 | 252,410 | 0.6% | |||||||||||
China Petroleum & Chemical Corp., Class H |
540,000 | 267,724 | 0.6% | |||||||||||
China Resources Land, Ltd. |
72,000 | 323,930 | 0.7% | |||||||||||
China Shenhua Energy Co., Ltd., Class H |
63,000 | 203,144 | 0.5% | |||||||||||
Geely Automobile Holdings, Ltd. |
126,000 | 199,772 | 0.4% | |||||||||||
Industrial & Commercial Bank of China, Ltd., Class H |
832,000 | 502,626 | 1.1% | |||||||||||
PetroChina Co., Ltd., Class H |
468,000 | 226,659 | 0.5% | |||||||||||
Ping An Insurance Group Co. of China, Ltd., Class H |
126,500 | 828,699 | 1.8% | |||||||||||
* |
Trip.com Group, Ltd. |
8,100 | 193,257 | 0.4% | ||||||||||
Other Securities |
6,801,487 | 14.9% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL CHINA |
12,316,806 | 27.0% | ||||||||||||
|
|
|
|
|||||||||||
COLOMBIA — (0.1%) |
| |||||||||||||
Other Securities |
51,534 | 0.1% | ||||||||||||
|
|
|
|
|||||||||||
CZECHIA — (0.1%) |
| |||||||||||||
Other Securities |
54,454 | 0.1% | ||||||||||||
|
|
|
|
|||||||||||
GREECE — (0.2%) |
| |||||||||||||
Other Securities |
92,177 | 0.2% | ||||||||||||
|
|
|
|
|||||||||||
HUNGARY — (0.2%) |
| |||||||||||||
Other Securities |
73,350 | 0.2% | ||||||||||||
|
|
|
|
|||||||||||
INDIA — (16.2%) |
| |||||||||||||
* |
Axis Bank, Ltd. |
70,228 | 669,367 | 1.5% | ||||||||||
Hindalco Industries, Ltd. |
47,124 | 297,536 | 0.7% | |||||||||||
JSW Steel, Ltd. |
22,934 | 218,157 | 0.5% | |||||||||||
Larsen & Toubro, Ltd. |
10,662 | 236,323 | 0.5% | |||||||||||
Mahindra & Mahindra, Ltd. |
23,680 | 285,644 | 0.6% | |||||||||||
Reliance Industries, Ltd., GDR |
21,672 | 1,573,387 | 3.4% | |||||||||||
Reliance Industries, Ltd. |
12,132 | 442,834 | 1.0% | |||||||||||
State Bank of India |
46,878 | 304,354 | 0.7% | |||||||||||
UPL, Ltd. |
18,770 | 202,058 | 0.4% | |||||||||||
Other Securities |
2,882,704 | 6.3% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL INDIA |
7,112,364 | 15.6% | ||||||||||||
|
|
|
|
46
DIMENSIONAL EMERGING MARKETS VALUE ETF
CONTINUED
Shares |
Value† |
Percentage |
||||||||||||
INDONESIA — (2.1%) |
| |||||||||||||
Astra International TBK PT |
374,900 | $ | 195,894 | 0.5% | ||||||||||
Other Securities |
713,372 | 1.5% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL INDONESIA |
909,266 | 2.0% | ||||||||||||
|
|
|
|
|||||||||||
KOREA, REPUBLIC OF — (13.6%) |
| |||||||||||||
Hyundai Motor Co. |
1,612 | 238,720 | 0.5% | |||||||||||
KB Financial Group, Inc. |
6,360 | 296,226 | 0.6% | |||||||||||
Kia Corp. |
5,226 | 348,677 | 0.8% | |||||||||||
LG Electronics, Inc. |
2,210 | 204,988 | 0.5% | |||||||||||
POSCO Holdings, Inc. |
1,472 | 338,701 | 0.7% | |||||||||||
Samsung Fire & Marine Insurance Co., Ltd. |
1,184 | 197,962 | 0.4% | |||||||||||
SK Hynix, Inc. |
10,094 | 904,120 | 2.0% | |||||||||||
Other Securities |
3,474,419 | 7.6% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL KOREA, REPUBLIC OF |
6,003,813 | 13.1% | ||||||||||||
|
|
|
|
|||||||||||
MALAYSIA — (1.8%) |
| |||||||||||||
CIMB Group Holdings BHD |
164,300 | 196,247 | 0.4% | |||||||||||
Other Securities |
576,194 | 1.3% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL MALAYSIA |
772,441 | 1.7% | ||||||||||||
|
|
|
|
|||||||||||
MEXICO — (2.3%) |
| |||||||||||||
Other Securities |
997,910 | 2.2% | ||||||||||||
|
|
|
|
|||||||||||
PHILIPPINES — (0.5%) |
| |||||||||||||
Other Securities |
219,272 | 0.5% | ||||||||||||
|
|
|
|
|||||||||||
POLAND — (0.8%) |
| |||||||||||||
Other Securities |
339,392 | 0.7% | ||||||||||||
|
|
|
|
|||||||||||
QATAR — (1.1%) |
| |||||||||||||
Other Securities |
485,559 | 1.1% | ||||||||||||
|
|
|
|
|||||||||||
SAUDI ARABIA — (1.0%) |
| |||||||||||||
Other Securities |
438,361 | 1.0% | ||||||||||||
|
|
|
|
|||||||||||
SOUTH AFRICA — (3.7%) |
| |||||||||||||
Impala Platinum Holdings, Ltd. |
16,426 | 214,160 | 0.5% | |||||||||||
Other Securities |
1,418,031 | 3.1% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL SOUTH AFRICA |
1,632,191 | 3.6% | ||||||||||||
|
|
|
|
|||||||||||
TAIWAN — (18.6%) |
| |||||||||||||
ASE Technology Holding Co., Ltd. |
72,000 | 233,523 | 0.5% | |||||||||||
Asustek Computer, Inc. |
19,000 | 230,123 | 0.5% | |||||||||||
AU Optronics Corp. |
319,000 | 185,607 | 0.4% | |||||||||||
Cathay Financial Holding Co., Ltd. |
143,000 | 303,218 | 0.7% | |||||||||||
China Steel Corp. |
252,000 | 308,636 | 0.7% | |||||||||||
CTBC Financial Holding Co., Ltd. |
373,000 | 370,146 | 0.8% | |||||||||||
Formosa Chemicals & Fibre Corp. |
81,000 | 219,569 | 0.5% | |||||||||||
Formosa Plastics Corp. |
55,000 | 196,858 | 0.4% | |||||||||||
Fubon Financial Holding Co., Ltd. |
145,000 | 365,999 | 0.8% | |||||||||||
Nan Ya Plastics Corp. |
122,000 | 358,854 | 0.8% | |||||||||||
United Microelectronics Corp. |
290,000 | 470,289 | 1.0% | |||||||||||
* |
Yang Ming Marine Transport Corp. |
50,000 | 213,737 | 0.5% | ||||||||||
Yuanta Financial Holding Co., Ltd. |
244,000 | 216,471 | 0.5% | |||||||||||
Other Securities |
4,500,382 | 9.8% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL TAIWAN |
8,173,412 | 17.9% | ||||||||||||
|
|
|
|
47
DIMENSIONAL EMERGING MARKETS VALUE ETF
CONTINUED
Shares |
Value† |
Percentage |
||||||||||||
THAILAND — (2.3%) |
| |||||||||||||
PTT PCL |
202,200 | $ | 221,387 | 0.5% | ||||||||||
Other Securities |
781,642 | 1.7% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL THAILAND |
1,003,029 | 2.2% | ||||||||||||
|
|
|
|
|||||||||||
TURKEY — (0.5%) |
| |||||||||||||
Other Securities |
228,260 | 0.5% | ||||||||||||
|
|
|
|
|||||||||||
UNITED ARAB EMIRATES — (1.5%) |
| |||||||||||||
Emirates NBD Bank PJSC |
55,368 | 229,881 | 0.5% | |||||||||||
Other Securities |
423,613 | 0.9% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL UNITED ARAB EMIRATES |
653,494 | 1.4% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL COMMON STOCKS |
43,964,393 | 96.3% | ||||||||||||
|
|
|
|
|||||||||||
RIGHTS/WARRANTS — (0.0%) |
| |||||||||||||
THAILAND — (–%) |
| |||||||||||||
Other Securities |
– | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
TURKEY — (0.0%) |
| |||||||||||||
Other Securities |
55 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL RIGHTS/WARRANTS |
55 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL INVESTMENTS — 100.0% |
||||||||||||||
(Cost $43,617,165) |
43,964,448 | 96.3% | ||||||||||||
|
|
|
|
Investments in Securities (Market Value) | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Common Stocks |
||||||||||||||||
Brazil |
$2,256,625 | $— | $ | — | $2,256,625 | |||||||||||
Chile |
150,683 | — | — | 150,683 | ||||||||||||
China |
12,316,535 | 271 | — | 12,316,806 | ||||||||||||
Colombia |
51,534 | — | — | 51,534 | ||||||||||||
Czechia |
54,454 | — | — | 54,454 | ||||||||||||
Greece |
92,177 | — | — | 92,177 | ||||||||||||
Hungary |
73,350 | — | — | 73,350 | ||||||||||||
India |
7,112,364 | — | — | 7,112,364 | ||||||||||||
Indonesia |
909,266 | — | — | 909,266 | ||||||||||||
Korea, Republic of |
6,003,813 | — | — | 6,003,813 | ||||||||||||
Malaysia |
772,441 | — | — | 772,441 | ||||||||||||
Mexico |
997,910 | — | — | 997,910 | ||||||||||||
Philippines |
219,272 | — | — | 219,272 | ||||||||||||
Poland |
339,392 | — | — | 339,392 | ||||||||||||
Qatar |
485,559 | — | — | 485,559 | ||||||||||||
Saudi Arabia |
438,361 | — | — | 438,361 | ||||||||||||
South Africa |
1,632,191 | — | — | 1,632,191 | ||||||||||||
Taiwan |
8,173,412 | — | — | 8,173,412 | ||||||||||||
Thailand |
1,003,029 | — | — | 1,003,029 | ||||||||||||
Turkey |
228,260 | — | — | 228,260 | ||||||||||||
United Arab Emirates |
653,494 | — | — | 653,494 | ||||||||||||
Rights/Warrants |
— | — | — | — | ||||||||||||
Thailand |
— | — | — | — | ||||||||||||
Turkey |
55 | — | — | 55 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
$ | 43,964,177 | $ | 271 | $ | — | $ | 43,964,448 | ||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
48
DIMENSIONAL EMERGING MARKETS CORE EQUITY 2 ETF
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
April 30, 2022
(Unaudited)
Shares |
Value† |
Percentage |
||||||||||||
COMMON STOCKS — (100.0%) |
| |||||||||||||
BRAZIL — (5.3%) |
| |||||||||||||
Petroleo Brasileiro SA |
37,500 | $ | 253,221 | 0.4% | ||||||||||
Petroleo Brasileiro SA, Preference |
49,600 | 303,277 | 0.5% | |||||||||||
Vale SA, Sponsored ADR |
37,500 | 633,375 | 1.0% | |||||||||||
Other Securities |
2,036,379 | 3.2% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL BRAZIL |
3,226,252 | 5.1% | ||||||||||||
|
|
|
|
|||||||||||
CHILE — (0.2%) |
| |||||||||||||
Other Securities |
126,647 | 0.2% | ||||||||||||
|
|
|
|
|||||||||||
CHINA — (28.6%) |
| |||||||||||||
* |
Alibaba Group Holding, Ltd. |
65,000 | 845,829 | 1.3% | ||||||||||
* |
Baidu, Inc., Class A |
9,900 | 164,787 | 0.3% | ||||||||||
Bank of China, Ltd., Class H |
657,000 | 259,580 | 0.4% | |||||||||||
China Construction Bank Corp., Class H |
916,000 | 652,605 | 1.0% | |||||||||||
China Overseas Land & Investment, Ltd. |
70,000 | 218,132 | 0.3% | |||||||||||
China Pacific Insurance Group Co., Ltd., Class H |
83,800 | 187,548 | 0.3% | |||||||||||
China Resources Land, Ltd. |
48,000 | 215,953 | 0.3% | |||||||||||
Industrial & Commercial Bank of China, Ltd., Class H |
484,000 | 292,393 | 0.5% | |||||||||||
Li Ning Co., Ltd. |
24,000 | 191,329 | 0.3% | |||||||||||
Ping An Insurance Group Co. of China, Ltd., Class H |
62,500 | 409,437 | 0.6% | |||||||||||
Sunny Optical Technology Group Co., Ltd. |
11,000 | 163,329 | 0.3% | |||||||||||
Tencent Holdings, Ltd. |
49,900 | 2,400,191 | 3.8% | |||||||||||
* |
Xiaomi Corp., Class B |
161,200 | 250,650 | 0.4% | ||||||||||
Yum China Holdings, Inc. |
4,650 | 197,470 | 0.3% | |||||||||||
Other Securities |
10,821,336 | 17.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL CHINA |
17,270,569 | 27.1% | ||||||||||||
|
|
|
|
|||||||||||
COLOMBIA — (0.1%) |
| |||||||||||||
Other Securities |
58,900 | 0.1% | ||||||||||||
|
|
|
|
|||||||||||
CZECHIA — (0.1%) |
| |||||||||||||
Other Securities |
34,949 | 0.1% | ||||||||||||
|
|
|
|
|||||||||||
EGYPT — (0.0%) |
| |||||||||||||
Other Securities |
12,787 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
GREECE — (0.3%) |
| |||||||||||||
Other Securities |
174,846 | 0.3% | ||||||||||||
|
|
|
|
|||||||||||
HUNGARY — (0.1%) |
| |||||||||||||
Other Securities |
51,620 | 0.1% | ||||||||||||
|
|
|
|
|||||||||||
INDIA — (16.6%) |
| |||||||||||||
* |
Axis Bank, Ltd. |
22,777 | 217,095 | 0.3% | ||||||||||
* |
Bharti Airtel, Ltd. |
24,105 | 233,033 | 0.4% | ||||||||||
HCL Technologies, Ltd. |
13,451 | 189,907 | 0.3% | |||||||||||
HDFC Bank, Ltd. |
13,208 | 239,236 | 0.4% | |||||||||||
ICICI Bank, Ltd., Sponsored ADR |
11,724 | 223,225 | 0.3% | |||||||||||
Infosys, Ltd. |
30,623 | 627,963 | 1.0% | |||||||||||
Reliance Industries, Ltd., GDR |
5,809 | 421,733 | 0.7% | |||||||||||
Tata Consultancy Services, Ltd. |
5,053 | 234,444 | 0.4% | |||||||||||
Other Securities |
7,653,486 | 11.9% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL INDIA |
10,040,122 | 15.7% | ||||||||||||
|
|
|
|
49
DIMENSIONAL EMERGING MARKETS CORE EQUITY 2 ETF
CONTINUED
Shares |
Value† |
Percentage |
||||||||||||
INDONESIA — (2.0%) |
||||||||||||||
Indo Tambangraya Megah TBK PT |
81,800 | $ | 160,248 | 0.3% | ||||||||||
Other Securities |
1,044,430 | 1.6% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL INDONESIA |
1,204,678 | 1.9% | ||||||||||||
|
|
|
|
|||||||||||
KOREA, REPUBLIC OF — (14.1%) |
||||||||||||||
KB Financial Group, Inc. |
4,265 | 198,648 | 0.3% | |||||||||||
LG Chem, Ltd. |
400 | 165,287 | 0.3% | |||||||||||
POSCO Holdings, Inc. |
707 | 162,678 | 0.3% | |||||||||||
Samsung Electronics Co., Ltd., GDR |
1,062 | 1,405,557 | 2.2% | |||||||||||
Samsung Electronics Co., Ltd. |
10,421 | 559,216 | 0.9% | |||||||||||
Samsung Fire & Marine Insurance Co., Ltd. |
1,230 | 205,653 | 0.3% | |||||||||||
SK Hynix, Inc. |
5,796 | 519,148 | 0.8% | |||||||||||
Other Securities |
5,298,243 | 8.3% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL KOREA, REPUBLIC OF |
8,514,430 | 13.4% | ||||||||||||
|
|
|
|
|||||||||||
MALAYSIA — (1.7%) |
||||||||||||||
Other Securities |
1,010,893 | 1.6% | ||||||||||||
|
|
|
|
|||||||||||
MEXICO — (2.0%) |
||||||||||||||
America Movil SAB de CV, Sponsored ADR |
10,179 | 197,778 | 0.3% | |||||||||||
Other Securities |
1,042,838 | 1.6% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL MEXICO |
1,240,616 | 1.9% | ||||||||||||
|
|
|
|
|||||||||||
PERU — (0.1%) |
||||||||||||||
Other Securities |
38,744 | 0.1% | ||||||||||||
|
|
|
|
|||||||||||
PHILIPPINES — (0.5%) |
||||||||||||||
Other Securities |
292,334 | 0.5% | ||||||||||||
|
|
|
|
|||||||||||
POLAND — (0.8%) |
||||||||||||||
Other Securities |
470,432 | 0.7% | ||||||||||||
|
|
|
|
|||||||||||
QATAR — (1.0%) |
||||||||||||||
Qatar National Bank QPSC |
28,314 | 180,765 | 0.3% | |||||||||||
Other Securities |
438,359 | 0.7% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL QATAR |
619,124 | 1.0% | ||||||||||||
|
|
|
|
|||||||||||
SAUDI ARABIA — (0.6%) |
||||||||||||||
Other Securities |
389,896 | 0.6% | ||||||||||||
|
|
|
|
|||||||||||
SOUTH AFRICA — (3.7%) |
||||||||||||||
Other Securities |
2,259,098 | 3.5% | ||||||||||||
|
|
|
|
|||||||||||
TAIWAN — (17.8%) |
||||||||||||||
Acer, Inc. |
174,000 | 162,929 | 0.3% | |||||||||||
Cathay Financial Holding Co., Ltd. |
90,000 | 190,836 | 0.3% | |||||||||||
China Steel Corp. |
201,000 | 246,174 | 0.4% | |||||||||||
CTBC Financial Holding Co., Ltd. |
224,000 | 222,286 | 0.3% | |||||||||||
Delta Electronics, Inc. |
23,000 | 195,077 | 0.3% | |||||||||||
Evergreen Marine Corp. Taiwan, Ltd. |
47,000 | 231,209 | 0.4% | |||||||||||
Formosa Chemicals & Fibre Corp. |
66,000 | 178,908 | 0.3% | |||||||||||
Fubon Financial Holding Co., Ltd. |
94,000 | 237,268 | 0.4% | |||||||||||
Hon Hai Precision Industry Co., Ltd. |
70,000 | 242,235 | 0.4% | |||||||||||
Innolux Corp. |
404,000 | 187,091 | 0.3% | |||||||||||
Mega Financial Holding Co., Ltd. |
133,000 | 187,708 | 0.3% | |||||||||||
Taiwan Semiconductor Manufacturing Co., Ltd. |
127,000 | 2,318,061 | 3.6% |
50
DIMENSIONAL EMERGING MARKETS CORE EQUITY 2 ETF
CONTINUED
Shares |
Value† |
Percentage |
||||||||||||
TAIWAN (Continued) |
||||||||||||||
United Microelectronics Corp. |
165,000 | $ | 267,578 | 0.4% | ||||||||||
Vanguard International Semiconductor Corp. |
45,000 | 161,066 | 0.2% | |||||||||||
Other Securities |
5,701,232 | 8.9% | ||||||||||||
TOTAL TAIWAN |
10,729,658 | 16.8% | ||||||||||||
THAILAND — (2.7%) |
||||||||||||||
Other Securities |
1,608,294 | 2.5% | ||||||||||||
|
|
|
|
|||||||||||
TURKEY — (0.5%) |
||||||||||||||
Other Securities |
328,253 | 0.5% | ||||||||||||
|
|
|
|
|||||||||||
UNITED ARAB EMIRATES — (1.2%) |
||||||||||||||
Emirates Telecommunications Group Co. PJSC |
22,532 | 214,704 | 0.3% | |||||||||||
Other Securities |
515,935 | 0.8% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL UNITED ARAB EMIRATES |
730,639 | 1.1% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL COMMON STOCKS |
60,433,781 | 94.8% | ||||||||||||
|
|
|
|
|||||||||||
RIGHTS/WARRANTS — (0.0%) |
||||||||||||||
THAILAND — (0.0%) |
||||||||||||||
Other Securities |
— | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
TURKEY — (0.0%) |
||||||||||||||
Other Securities |
31 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL RIGHTS/WARRANTS |
31 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL INVESTMENT SECURITIES — 100.0% |
||||||||||||||
(Cost $59,602,772) |
60,433,812 | |||||||||||||
|
|
|||||||||||||
TOTAL INVESTMENTS — 100.0% |
||||||||||||||
(Cost $59,602,772) |
60,433,812 | 94.8% | ||||||||||||
|
|
|
|
As of April 30, 2022, Dimensional Emerging Markets Core Equity 2 ETF had entered into the following outstanding futures contracts:
Description |
Number of Contracts |
Expiration Date |
Notional Value |
Market Value |
Unrealized Appreciation (Depreciation) |
|||||||||||||||
Long Position Contracts |
||||||||||||||||||||
S&P 500 Emini Index |
3 | 06/20/22 | $639,907 | $619,125 | $(20,782) | |||||||||||||||
|
|
|
|
|
|
|||||||||||||||
Total Futures Contracts |
$639,907 | $619,125 | $(20,782) | |||||||||||||||||
|
|
|
|
|
|
51
DIMENSIONAL EMERGING MARKETS CORE EQUITY 2 ETF
CONTINUED
Summary of the Fund’s investments as of April 30, 2022, based on their valuation inputs, is as follows (see Security Valuation Note):
Investments in Securities (Market Value) | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Common Stocks |
||||||||||||||||
Brazil |
$3,226,252 | $— | $— | $3,226,252 | ||||||||||||
Chile |
126,647 | — | — | 126,647 | ||||||||||||
China |
17,270,207 | 362 | — | 17,270,569 | ||||||||||||
Colombia |
58,900 | — | — | 58,900 | ||||||||||||
Czechia |
34,949 | — | — | 34,949 | ||||||||||||
Egypt |
12,787 | — | — | 12,787 | ||||||||||||
Greece |
174,846 | — | — | 174,846 | ||||||||||||
Hungary |
51,620 | — | — | 51,620 | ||||||||||||
India |
10,040,122 | — | — | 10,040,122 | ||||||||||||
Indonesia |
1,204,678 | — | — | 1,204,678 | ||||||||||||
Korea, Republic of |
8,508,194 | 6,236 | — | 8,514,430 | ||||||||||||
Malaysia |
1,010,893 | — | — | 1,010,893 | ||||||||||||
Mexico |
1,240,616 | — | — | 1,240,616 | ||||||||||||
Peru |
38,744 | — | — | 38,744 | ||||||||||||
Philippines |
292,334 | — | — | 292,334 | ||||||||||||
Poland |
470,432 | — | — | 470,432 | ||||||||||||
Qatar |
619,124 | — | — | 619,124 | ||||||||||||
Saudi Arabia |
389,896 | — | — | 389,896 | ||||||||||||
South Africa |
2,259,098 | — | — | 2,259,098 | ||||||||||||
Taiwan |
10,729,658 | — | — | 10,729,658 | ||||||||||||
Thailand |
1,608,294 | — | — | 1,608,294 | ||||||||||||
Turkey |
328,253 | — | — | 328,253 | ||||||||||||
United Arab Emirates |
730,639 | — | — | 730,639 | ||||||||||||
Rights/Warrants |
||||||||||||||||
Thailand |
— | — | — | — | ||||||||||||
Turkey |
31 | — | — | 31 | ||||||||||||
Future |
(20,782 | ) | — | — | (20,782 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$60,406,432 | $6,598 | $— | $60,413,030 | ||||||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
52
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2022
(Unaudited)
(Amounts in thousands, except share and per share amounts)
Dimensional US Core Equity Market ETF |
Dimensional US High Profitability ETF |
Dimensional US Real Estate ETF |
||||||||||
ASSETS: |
||||||||||||
Investment Securities at Value (including $12,823, $— and $— of securities on loan, respectively) |
$ | 1,918,297 | $ | 227,711 | $ | 59,773 | ||||||
Collateral from Securities on Loan Invested in Affiliate at Value (Cost of $13,800, $— and $—, respectively) (a) |
13,800 | — | — | |||||||||
Cash |
4,104 | 348 | 70 | |||||||||
Receivables: |
||||||||||||
Investment Securities Sold |
157 | — | — | |||||||||
Dividends and Interest |
1,306 | 230 | 30 | |||||||||
Receivable for Capital Shares Issued |
15 | — | — | |||||||||
Prepaid Expenses and Other Assets |
110 | — | — | |||||||||
|
|
|
|
|
|
|||||||
Total Assets |
1,937,789 | 228,289 | 59,873 | |||||||||
|
|
|
|
|
|
|||||||
LIABILITIES: |
||||||||||||
Payables: |
||||||||||||
Investment Securities Purchased |
2,308 | — | — | |||||||||
Fund Shares Redeemed |
— | 6 | — | |||||||||
Upon Return of Securities Loaned |
13,800 | — | — | |||||||||
Accrued Expenses and Other Liabilities: |
||||||||||||
Advisory Fee |
194 | 33 | 1 | |||||||||
Administration and Accounting |
— | 4 | 3 | |||||||||
Custodian |
— | 1 | 1 | |||||||||
Service Fee (b) |
9 | — | — | |||||||||
Other Expenses |
— | 5 | 6 | |||||||||
|
|
|
|
|
|
|||||||
Total Liabilities |
16,311 | 49 | 11 | |||||||||
|
|
|
|
|
|
|||||||
NET ASSETS |
$ | 1,921,478 | $ | 228,240 | $ | 59,862 | ||||||
|
|
|
|
|
|
|||||||
SHARES OUTSTANDING, $0.01 PAR VALUE |
66,604,000 | 9,250,000 | 2,300,000 | |||||||||
|
|
|
|
|
|
|||||||
Net Asset Value, Offering and Redemption price per share |
$ | 28.85 | $ | 24.67 | $ | 26.03 | ||||||
|
|
|
|
|
|
|||||||
Investment Securities at Cost |
$ | 1,968,656 | $ | 236,721 | $ | 60,284 | ||||||
|
|
|
|
|
|
|||||||
NET ASSETS CONSIST OF: |
||||||||||||
Paid-In Capital |
$ | 1,972,543 | $ | 236,918 | $ | 60,153 | ||||||
Total Distributable Earnings (Loss) |
(51,065 | ) | (8,678 | ) | (291 | ) | ||||||
|
|
|
|
|
|
|||||||
NET ASSETS |
$ | 1,921,478 | $ | 228,240 | $ | 59,862 | ||||||
|
|
|
|
|
|
(a) |
See Note F in the Notes to Financial Statements for additional information about securities lending collateral |
(b) |
See Note D in the Notes to Financial Statements for additional information about fees and expenses |
See accompanying Notes to Financial Statements.
53
DIMENSIONAL ETF TRUST
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2022
(Unaudited)
(Amounts in thousands, except share and per share amounts)
Dimensional US Small Cap Value ETF |
Dimensional International Core Equity Market ETF |
Dimensional International Core Equity 2 ETF |
||||||||||
ASSETS: |
||||||||||||
Investment Securities at Value (including $—, $44,171 and $21 of securities on loan, respectively) |
$ | 48,432 | $ | 1,443,634 | $ | 114,568 | ||||||
Collateral from Securities on Loan Invested in Affiliate at Value (Cost of $—, $43,734 and $20, respectively) (a) |
— | 43,734 | 20 | |||||||||
Foreign Currencies at Value |
— | 2,268 | 139 | |||||||||
Cash |
156 | 4,485 | 311 | |||||||||
Receivables: |
||||||||||||
Investment Securities Sold |
— | 95 | 14 | |||||||||
Dividends and Interest |
23 | 5,424 | 337 | |||||||||
Receivable for Capital Shares Issued |
— | 500 | — | |||||||||
Receivable for Tax Reclaims |
— | 997 | 36 | |||||||||
Prepaid Expenses and Other Assets |
— | 71 | — | |||||||||
|
|
|
|
|
|
|||||||
Total Assets |
48,611 | 1,501,208 | 115,425 | |||||||||
|
|
|
|
|
|
|||||||
LIABILITIES: |
||||||||||||
Payables: |
||||||||||||
Investment Securities Purchased |
106 | 1,744 | — | |||||||||
Upon Return of Securities Loaned |
— | 43,734 | 20 | |||||||||
Accrued Expenses and Other Liabilities: |
||||||||||||
Advisory Fee |
2 | 216 | 13 | |||||||||
Administration and Accounting |
3 | — | 2 | |||||||||
Service Fee (b) |
— | 7 | — | |||||||||
Other Expenses |
6 | — | 5 | |||||||||
|
|
|
|
|
|
|||||||
Total Liabilities |
117 | 45,701 | 40 | |||||||||
|
|
|
|
|
|
|||||||
NET ASSETS |
$ | 48,494 | $ | 1,455,507 | $ | 115,385 | ||||||
|
|
|
|
|
|
|||||||
SHARES OUTSTANDING, $0.01 PAR VALUE |
2,000,000 | 54,700,000 | 4,900,000 | |||||||||
|
|
|
|
|
|
|||||||
Net Asset Value, Offering and Redemption price per share |
$ | 24.25 | $ | 26.61 | $ | 23.55 | ||||||
|
|
|
|
|
|
|||||||
Investment Securities at Cost |
$ | 50,703 | $ | 1,558,416 | $ | 121,897 | ||||||
|
|
|
|
|
|
|||||||
Foreign Currencies at Cost |
$ | — | $ | 2,345 | $ | 141 | ||||||
|
|
|
|
|
|
|||||||
NET ASSETS CONSIST OF: |
||||||||||||
Paid-In Capital |
$ | 50,723 | $ | 1,562,968 | $ | 122,116 | ||||||
Total Distributable Earnings (Loss) |
(2,229 | ) | (107,461 | ) | (6,731 | ) | ||||||
|
|
|
|
|
|
|||||||
NET ASSETS |
$ | 48,494 | $ | 1,455,507 | $ | 115,385 | ||||||
|
|
|
|
|
|
(a) |
See Note F in the Notes to Financial Statements for additional information about securities lending collateral |
(b) |
See Note D in the Notes to Financial Statements for additional information about fees and expenses |
See accompanying Notes to Financial Statements.
54
DIMENSIONAL ETF TRUST
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2022
(Unaudited)
(Amounts in thousands, except share and per share amounts)
Dimensional International Small Cap Value ETF |
Dimensional International Small Cap ETF |
Dimensional International High Profitability ETF |
||||||||||
ASSETS: |
||||||||||||
Investment Securities at Value (including $1, $10 and $382 of securities on loan, respectively) |
$ | 45,287 | $ | 30,223 | $ | 136,721 | ||||||
Collateral from Securities on Loan Invested in Affiliate at Value (Cost of $1, $10 and $398, respectively) (a) |
1 | 10 | 398 | |||||||||
Foreign Currencies at Value |
73 | 75 | 94 | |||||||||
Cash |
227 | 30 | 480 | |||||||||
Receivables: |
||||||||||||
Investment Securities Sold |
— | 1 | — | |||||||||
Dividends and Interest |
144 | 97 | 103 | |||||||||
Receivable for Capital Shares Issued |
39 | — | 162 | |||||||||
Receivable for Tax Reclaims |
11 | 8 | 13 | |||||||||
|
|
|
|
|
|
|||||||
Total Assets |
45,782 | 30,444 | 137,971 | |||||||||
|
|
|
|
|
|
|||||||
LIABILITIES: |
||||||||||||
Payables: |
||||||||||||
Investment Securities Purchased |
27 | — | 272 | |||||||||
Upon Return of Securities Loaned |
1 | 10 | 398 | |||||||||
Variation Margin on Futures Contracts |
1 | — | — | |||||||||
Accrued Expenses and Other Liabilities: |
||||||||||||
Advisory Fee |
6 | 4 | 3 | |||||||||
Administration and Accounting |
2 | 2 | 2 | |||||||||
Other Expenses |
4 | 4 | 3 | |||||||||
|
|
|
|
|
|
|||||||
Total Liabilities |
41 | 20 | 678 | |||||||||
|
|
|
|
|
|
|||||||
NET ASSETS |
$ | 45,741 | $ | 30,424 | $ | 137,293 | ||||||
|
|
|
|
|
|
|||||||
SHARES OUTSTANDING, $0.01 PAR VALUE |
1,950,000 | 1,300,000 | 5,850,000 | |||||||||
|
|
|
|
|
|
|||||||
Net Asset Value, Offering and Redemption price per share |
$ | 23.46 | $ | 23.40 | $ | 23.47 | ||||||
|
|
|
|
|
|
|||||||
Investment Securities at Cost |
$ | 47,435 | $ | 32,185 | $ | 141,269 | ||||||
|
|
|
|
|
|
|||||||
Foreign Currencies at Cost |
$ | 75 | $ | 76 | $ | 95 | ||||||
|
|
|
|
|
|
|||||||
NET ASSETS CONSIST OF: |
||||||||||||
Paid-In Capital |
$ | 47,671 | $ | 32,241 | $ | 141,630 | ||||||
Total Distributable Earnings (Loss) |
(1,930 | ) | (1,817 | ) | (4,337 | ) | ||||||
|
|
|
|
|
|
|||||||
NET ASSETS |
$ | 45,741 | $ | 30,424 | $ | 137,293 | ||||||
|
|
|
|
|
|
(a) |
See Note F in the Notes to Financial Statements for additional information about securities lending collateral |
See accompanying Notes to Financial Statements.
55
DIMENSIONAL ETF TRUST
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2022
(Unaudited)
(Amounts in thousands, except share and per share amounts)
Dimensional Emerging Core Equity Market ETF |
Dimensional Emerging Markets High Profitability ETF |
Dimensional Emerging Markets Value ETF |
||||||||||
ASSETS: |
||||||||||||
Investment Securities at Value (including $19,343, $— and $— of securities on loan, respectively) |
$ | 907,380 | $ | 5,064 | $ | 43,964 | ||||||
Collateral from Securities on Loan Invested in Affiliate at Value (Cost of $6,772, $— and $—, respectively) (a) |
6,772 | — | — | |||||||||
Foreign Currencies at Value |
13,132 | 169 | 10,644 | |||||||||
Cash |
17,992 | 35 | 17,721 | |||||||||
Receivables: |
||||||||||||
Investment Securities Sold |
3,045 | — | 84 | |||||||||
Dividends and Interest |
1,419 | 1 | 11 | |||||||||
Receivable for Capital Shares Issued |
4,139 | — | — | |||||||||
Receivable for Tax Reclaims |
1 | — | — | |||||||||
Receivable from Advisor |
— | 1 | — | |||||||||
Prepaid Expenses and Other Assets |
41 | — | — | |||||||||
|
|
|
|
|
|
|||||||
Total Assets |
953,921 | 5,270 | 72,424 | |||||||||
|
|
|
|
|
|
|||||||
LIABILITIES: |
||||||||||||
Payables: |
||||||||||||
Investment Securities Purchased |
31,278 | 161 | 26,786 | |||||||||
Upon Return of Securities Loaned |
6,772 | — | — | |||||||||
Accrued Foreign Taxes |
729 | — | — | |||||||||
Accrued Expenses and Other Liabilities: |
||||||||||||
Advisory Fee |
240 | — | 1 | |||||||||
Service Fee (b) |
8 | — | — | |||||||||
Other Expenses |
— | 2 | — | |||||||||
|
|
|
|
|
|
|||||||
Total Liabilities |
39,027 | 163 | 26,787 | |||||||||
|
|
|
|
|
|
|||||||
NET ASSETS |
$ | 914,894 | $ | 5,107 | $ | 45,637 | ||||||
|
|
|
|
|
|
|||||||
SHARES OUTSTANDING, $0.01 PAR VALUE |
36,600,000 | 200,000 | 1,800,000 | |||||||||
|
|
|
|
|
|
|||||||
Net Asset Value, Offering and Redemption price per share |
$ | 25.00 | $ | 25.54 | $ | 25.35 | ||||||
|
|
|
|
|
|
|||||||
Investment Securities at Cost |
$ | 981,329 | $ | 4,974 | $ | 43,617 | ||||||
|
|
|
|
|
|
|||||||
Foreign Currencies at Cost |
$ | 13,185 | $ | 168 | $ | 10,640 | ||||||
|
|
|
|
|
|
|||||||
NET ASSETS CONSIST OF: |
||||||||||||
Paid-In Capital |
$ | 992,050 | $ | 5,017 | $ | 45,295 | ||||||
Total Distributable Earnings (Loss) |
(77,156 | ) | 90 | 342 | ||||||||
|
|
|
|
|
|
|||||||
NET ASSETS |
$ | 914,894 | $ | 5,107 | $ | 45,637 | ||||||
|
|
|
|
|
|
(a) |
See Note F in the Notes to Financial Statements for additional information about securities lending collateral |
(b) |
See Note D in the Notes to Financial Statements for additional information about fees and expenses |
See accompanying Notes to Financial Statements.
56
DIMENSIONAL ETF TRUST
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2022
(Unaudited)
(Amounts in thousands, except share and per share amounts)
Dimensional Emerging Markets Core Equity 2 ETF |
||||
ASSETS: |
||||
Investment Securities at Value (including $— of securities on loan, respectively) |
$ | 60,434 | ||
Foreign Currencies at Value |
14,791 | |||
Cash |
20,090 | |||
Receivables: |
||||
Investment Securities Sold |
3,749 | |||
Dividends and Interest |
9 | |||
Receivable for Capital Shares Issued |
6,447 | |||
|
|
|||
Total Assets |
105,520 | |||
|
|
|||
LIABILITIES: |
||||
Payables: |
||||
Investment Securities Purchased |
41,778 | |||
Variation Margin on Futures Contracts |
8 | |||
Accrued Expenses and Other Liabilities: |
||||
Advisory Fee |
1 | |||
|
|
|||
Total Liabilities |
41,787 | |||
|
|
|||
NET ASSETS |
$ | 63,733 | ||
|
|
|||
SHARES OUTSTANDING, $0.01 PAR VALUE |
2,500,000 | |||
|
|
|||
Net Asset Value, Offering and Redemption price per share |
$ | 25.49 | ||
|
|
|||
Investment Securities at Cost |
$ | 59,603 | ||
|
|
|||
Foreign Currencies at Cost |
$ | 14,786 | ||
|
|
|||
NET ASSETS CONSIST OF: |
||||
Paid-In Capital |
$ | 62,930 | ||
Total Distributable Earnings (Loss) |
803 | |||
|
|
|||
NET ASSETS |
$ | 63,733 | ||
|
|
See accompanying Notes to Financial Statements.
57
DIMENSIONAL ETF TRUST
FOR THE PERIOD ENDED APRIL 30, 2022
(Unaudited)
(Amounts in thousands)
Dimensional US Core Equity Market ETF (a) |
Dimensional US High Profitability ETF (b) |
Dimensional US Real Estate ETF (b) |
||||||||||
INVESTMENT INCOME: |
||||||||||||
Interest |
$ | 1 | $ | — | $ | — | ||||||
Dividends (Net of Foreign Taxes Withheld of ($3), $— and $—, respectively) |
12,033 | 495 | 248 | |||||||||
Income from Securities Lending |
15 | — | — | |||||||||
|
|
|
|
|
|
|||||||
Total Investment Income |
12,049 | 495 | 248 | |||||||||
|
|
|
|
|
|
|||||||
EXPENSES: |
||||||||||||
Investment Management Fees (c) |
1,017 | 58 | 12 | |||||||||
Administration and Accounting |
— | 4 | 3 | |||||||||
Custodian |
— | 1 | 1 | |||||||||
Professional Fees |
— | 3 | 3 | |||||||||
Exchange Listing Fee |
— | 1 | 1 | |||||||||
Other Expenses |
39 | 1 | 1 | |||||||||
|
|
|
|
|
|
|||||||
Total Expenses |
1,056 | 68 | 21 | |||||||||
Fees Waived, Expenses Reimbursed by Advisor |
— | — | (7 | ) | ||||||||
|
|
|
|
|
|
|||||||
Net Expenses |
1,056 | 68 | 14 | |||||||||
|
|
|
|
|
|
|||||||
Net Investment Income (Loss) |
10,993 | 427 | 234 | |||||||||
|
|
|
|
|
|
|||||||
Realized and Unrealized Gain (Loss) |
||||||||||||
Net Realized Gain (Loss) from: |
||||||||||||
Investment Securities Sold and Foreign Currency Transactions |
(5,020 | ) | (12 | ) | — | |||||||
In-Kind Transactions |
2,608 | — | — | |||||||||
Futures Contracts |
120 | — | — | |||||||||
Change in Unrealized Appreciation (Depreciation) on: |
||||||||||||
Investment Securities and Foreign Currency Translations |
(198,783 | ) | (9,010 | ) | (512 | ) | ||||||
|
|
|
|
|
|
|||||||
Net Realized and Unrealized Gain (Loss) |
(201,075 | ) | (9,022 | ) | (512 | ) | ||||||
|
|
|
|
|
|
|||||||
Net Increase (Decrease) in Net Assets Resulting from Operations |
$ | (190,082 | ) | $ | (8,595 | ) | $ | (278 | ) | |||
|
|
|
|
|
|
(a) |
Portion of income is from investment in affiliated fund |
(b) |
Period from the commencement of operations on February 23, 2022 through April 30, 2022 |
(c) |
See Note D in the Notes to Financial Statements for additional information about fees and expenses |
See accompanying Notes to Financial Statements.
58
DIMENSIONAL ETF TRUST
STATEMENTS OF OPERATIONS
FOR THE PERIOD ENDED APRIL 30, 2022
(Unaudited)
(Amounts in thousands)
Dimensional US Small Cap Value ETF (a) |
Dimensional International Core Equity Market ETF (b) |
Dimensional International Core Equity 2 ETF (b)(c) |
||||||||||
INVESTMENT INCOME: |
||||||||||||
Interest |
$ | — | $ | 1 | $ | — | ||||||
Dividends (Net of Foreign Taxes Withheld of $—, ($2,469) and ($83), respectively) |
59 | 18,595 | 638 | |||||||||
Income from Securities Lending |
— | 39 | — | |||||||||
|
|
|
|
|
|
|||||||
Total Investment Income |
59 | 18,635 | 638 | |||||||||
|
|
|
|
|
|
|||||||
EXPENSES: |
||||||||||||
Investment Management Fees (d) |
13 | 1,039 | 18 | |||||||||
Administration and Accounting |
3 | — | 2 | |||||||||
Professional Fees |
3 | — | 2 | |||||||||
Exchange Listing Fee |
1 | — | 2 | |||||||||
Other Expenses |
1 | 28 | 2 | |||||||||
|
|
|
|
|
|
|||||||
Total Expenses |
21 | 1,067 | 26 | |||||||||
Fees Waived, Expenses Reimbursed by Advisor |
(7 | ) | — | (4 | ) | |||||||
|
|
|
|
|
|
|||||||
Net Expenses |
14 | 1,067 | 22 | |||||||||
|
|
|
|
|
|
|||||||
Net Investment Income (Loss) |
45 | 17,568 | 616 | |||||||||
|
|
|
|
|
|
|||||||
Realized and Unrealized Gain (Loss) |
||||||||||||
Net Realized Gain (Loss) from: |
||||||||||||
Investment Securities Sold and Foreign Currency Transactions |
— | (2,218 | ) | (3 | ) | |||||||
Futures Contracts |
— | 66 | — | |||||||||
Change in Unrealized Appreciation (Depreciation) on: |
||||||||||||
Investment Securities and Foreign Currency Translations |
(2,271 | ) | (146,510 | ) | (7,344 | ) | ||||||
|
|
|
|
|
|
|||||||
Net Realized and Unrealized Gain (Loss) |
(2,271 | ) | (148,662 | ) | (7,347 | ) | ||||||
|
|
|
|
|
|
|||||||
Net Increase (Decrease) in Net Assets Resulting from Operations |
$ | (2,226 | ) | $ | (131,094 | ) | $ | (6,731 | ) | |||
|
|
|
|
|
|
(a) |
Period from the commencement of operations on February 23, 2022 through April 30, 2022 |
(b) |
Portion of income is from investment in affiliated fund |
(c) |
Period from the commencement of operations on March 23, 2022 through April 30, 2022 |
(d) |
See Note D in the Notes to Financial Statements for additional information about fees and expenses |
See accompanying Notes to Financial Statements.
59
DIMENSIONAL ETF TRUST
STATEMENTS OF OPERATIONS
FOR THE PERIOD ENDED APRIL 30, 2022
(Unaudited)
(Amounts in thousands)
Dimensional International Small Cap Value ETF (a) |
Dimensional International Small Cap ETF (a)(b) |
Dimensional International High Profitability ETF (a)(b) |
||||||||||
INVESTMENT INCOME: |
||||||||||||
Dividends (Net of Foreign Taxes Withheld of ($33), ($22) and ($31), respectively) |
$ | 241 | $ | 162 | $ | 227 | ||||||
|
|
|
|
|
|
|||||||
Total Investment Income |
241 | 162 | 227 | |||||||||
|
|
|
|
|
|
|||||||
EXPENSES: |
||||||||||||
Investment Management Fees (c) |
12 | 10 | 10 | |||||||||
Administration and Accounting |
2 | 2 | 2 | |||||||||
Printing Fees |
— | — | — | |||||||||
Professional Fees |
2 | 2 | 2 | |||||||||
Exchange Listing Fee |
— | — | — | |||||||||
Other Expenses |
1 | 1 | 1 | |||||||||
|
|
|
|
|
|
|||||||
Total Expenses |
17 | 15 | 15 | |||||||||
Fees Waived, Expenses Reimbursed by Advisor |
(4 | ) | (4 | ) | (3 | ) | ||||||
|
|
|
|
|
|
|||||||
Net Expenses |
13 | 11 | 12 | |||||||||
|
|
|
|
|
|
|||||||
Net Investment Income (Loss) |
228 | 151 | 215 | |||||||||
|
|
|
|
|
|
|||||||
Realized and Unrealized Gain (Loss) |
||||||||||||
Net Realized Gain (Loss) from: |
||||||||||||
Investment Securities Sold and Foreign Currency Transactions |
(1 | ) | (1 | ) | (1 | ) | ||||||
Change in Unrealized Appreciation (Depreciation) on: |
||||||||||||
Investment Securities and Foreign Currency Translations |
(2,156 | ) | (1,967 | ) | (4,551 | ) | ||||||
Futures |
(1 | ) | — | — | ||||||||
|
|
|
|
|
|
|||||||
Net Realized and Unrealized Gain (Loss) |
(2,158 | ) | (1,968 | ) | (4,552 | ) | ||||||
|
|
|
|
|
|
|||||||
Net Increase (Decrease) in Net Assets Resulting from Operations |
$ | (1,930 | ) | $ | (1,817 | ) | $ | (4,337 | ) | |||
|
|
|
|
|
|
(a) |
Period from the commencement of operations on March 23, 2022 through April 30, 2022 |
(b) |
Portion of income is from investment in affiliated fund |
(c) |
See Note D in the Notes to Financial Statements for additional information about fees and expenses |
See accompanying Notes to Financial Statements.
60
DIMENSIONAL ETF TRUST
STATEMENTS OF OPERATIONS
FOR THE PERIOD ENDED APRIL 30, 2022
(Unaudited)
(Amounts in thousands)
Dimensional Emerging Core Equity Market ETF (a) |
Dimensional Emerging Markets High Profitability ETF (b) |
Dimensional Emerging Markets Value ETF (b) |
||||||||||
INVESTMENT INCOME: |
||||||||||||
Dividends (Net of Foreign Taxes Withheld of ($789), $— and ($2), respectively) |
$ | 6,947 | $ | 1 | $ | 11 | ||||||
Income from Securities Lending |
275 | — | — | |||||||||
|
|
|
|
|
|
|||||||
Total Investment Income |
7,222 | 1 | 11 | |||||||||
|
|
|
|
|
|
|||||||
EXPENSES: |
||||||||||||
Investment Management Fees (c) |
1,101 | — | 1 | |||||||||
Professional Fees |
— | 1 | 1 | |||||||||
Exchange Listing Fee |
— | — | — | |||||||||
Other Expenses |
19 | — | — | |||||||||
|
|
|
|
|
|
|||||||
Total Expenses |
1,120 | 1 | 2 | |||||||||
Fees Waived, Expenses Reimbursed by Advisor |
— | (1 | ) | — | ||||||||
|
|
|
|
|
|
|||||||
Net Expenses |
1,120 | — | 2 | |||||||||
|
|
|
|
|
|
|||||||
Net Investment Income (Loss) |
6,102 | 1 | 9 | |||||||||
|
|
|
|
|
|
|||||||
Realized and Unrealized Gain (Loss) |
||||||||||||
Net Realized Gain (Loss) from: |
||||||||||||
Investment Securities Sold and Foreign Currency Transactions |
(4,638 | ) | (2 | ) | — | |||||||
Futures Contracts |
4 | — | — | |||||||||
Change in Unrealized Appreciation (Depreciation) on: |
||||||||||||
Investment Securities and Foreign Currency Translations |
(66,648 | ) | 91 | 333 | ||||||||
Forward Currency Contracts |
5 | — | — | |||||||||
|
|
|
|
|
|
|||||||
Net Realized and Unrealized Gain (Loss) |
(71,277 | ) | 89 | 333 | ||||||||
|
|
|
|
|
|
|||||||
Net Increase (Decrease) in Net Assets Resulting from Operations |
$ | (65,175 | ) | $ | 90 | $ | 342 | |||||
|
|
|
|
|
|
(a) |
Portion of income is from investment in affiliated fund |
(b) |
Period from the commencement of operations on April 26, 2022 through April 30, 2022 |
(c) |
See Note D in the Notes to Financial Statements for additional information about fees and expenses |
See accompanying Notes to Financial Statements.
61
DIMENSIONAL ETF TRUST
STATEMENTS OF OPERATIONS
FOR THE PERIOD ENDED APRIL 30, 2022
(Unaudited)
(Amounts in thousands)
Dimensional Emerging Markets Core Equity 2 ETF (a) |
||||
INVESTMENT INCOME: |
||||
Dividends (Net of Foreign Taxes Withheld of ($1), respectively) |
$ | 11 | ||
|
|
|||
Total Investment Income |
11 | |||
|
|
|||
EXPENSES: |
||||
Investment Management Fees (b) |
1 | |||
Professional Fees |
— | |||
Exchange Listing Fee |
— | |||
|
|
|||
Total Expenses |
1 | |||
|
|
|||
Fees Waived, Expenses Reimbursed by Advisor |
— | |||
Net Expenses |
10 | |||
|
|
|||
Net Investment Income (Loss) |
10 | |||
|
|
|||
Realized and Unrealized Gain (Loss) |
||||
Net Realized Gain (Loss) from: |
||||
Investment Securities Sold and Foreign Currency Transactions |
(4 | ) | ||
Change in Unrealized Appreciation (Depreciation) on: |
||||
Investment Securities and Foreign Currency Translations |
818 | |||
Futures |
(21 | ) | ||
|
|
|||
Net Realized and Unrealized Gain (Loss) |
793 | |||
|
|
|||
Net Increase (Decrease) in Net Assets Resulting from Operations |
$ | 803 | ||
|
|
(a) |
Period from the commencement of operations on April 26, 2022 through April 30, 2022 |
(b) |
See Note D in the Notes to Financial Statements for additional information about fees and expenses |
See accompanying Notes to Financial Statements.
62
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Dimensional US Core Equity Market ETF | Dimensional US High Profitability ETF |
|||||||||||
Six months ended April 30, 2022 |
Period Nov. 17, 2020 through October 31, 2021 |
Period Feb. 23, 2022 through April 30, 2022 |
||||||||||
(Unaudited) | (Unaudited) | |||||||||||
Increase (Decrease) in Net Assets: |
||||||||||||
Operations: |
||||||||||||
Net Investment Income (Loss) |
$ | 10,993 | $ | 8,914 | $ | 427 | ||||||
Net Realized Gain (Loss) on: |
||||||||||||
Investment Securities Sold and Foreign Currency Transactions |
(5,020 | ) | 6,688 | (12 | ) | |||||||
In-Kind Transactions |
2,608 | — | — | |||||||||
Futures |
120 | — | — | |||||||||
Change in Unrealized Appreciation (Depreciation) on: |
||||||||||||
Investment Securities and Foreign Currency Translations |
(198,783 | ) | 148,424 | (9,010 | ) | |||||||
|
|
|
|
|
|
|||||||
Change in Net Assets Resulting from Operations |
(190,082 | ) | 164,026 | (8,595 | ) | |||||||
|
|
|
|
|
|
|||||||
Distributions: |
||||||||||||
Total Distributions |
(10,293 | ) | (6,738 | ) | (83 | ) | ||||||
|
|
|
|
|
|
|||||||
Change in Net Assets Resulting from Distributions |
(10,293 | ) | (6,738 | ) | (83 | ) | ||||||
|
|
|
|
|
|
|||||||
Capital Share Transactions: |
||||||||||||
Shares Issued |
805,731 | 1,209,437 | 236,918 | |||||||||
Cost of Shares Redeemed |
(12,218 | ) | (38,385 | ) | — | |||||||
|
|
|
|
|
|
|||||||
Change in Net Assets Resulting from Capital Share Transactions |
793,513 | 1,171,052 | 236,918 | |||||||||
|
|
|
|
|
|
|||||||
Change in Net Assets |
593,138 | 1,328,340 | 228,240 | |||||||||
|
|
|
|
|
|
|||||||
Net Assets: |
||||||||||||
Beginning of Period |
1,328,340 | — | — | |||||||||
|
|
|
|
|
|
|||||||
End of Period |
$ | 1,921,478 | $ | 1,328,340 | $ | 228,240 | ||||||
|
|
|
|
|
|
|||||||
Share Transactions: |
||||||||||||
Issued |
25,600 | 42,654 | 9,250 | |||||||||
Redeemed |
(400 | ) | (1,250 | ) | — | |||||||
|
|
|
|
|
|
|||||||
Change in Shares |
25,200 | 41,404 | 9,250 | |||||||||
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
63
DIMENSIONAL ETF TRUST
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Dimensional US Real Estate ETF |
Dimensional US Small Cap Value ETF |
|||||||
Period Feb. 23, 2022 through April 30, 2022 |
Period Feb. 23, 2022 through April 30, 2022 |
|||||||
(Unaudited) | (Unaudited) | |||||||
Increase (Decrease) in Net Assets: |
||||||||
Operations: |
||||||||
Net Investment Income (Loss) |
$ | 234 | $ | 45 | ||||
Net Realized Gain (Loss) on: |
||||||||
Investment Securities Sold and Foreign Currency Transactions |
— | — | ||||||
Change in Unrealized Appreciation (Depreciation) on: |
||||||||
Investment Securities and Foreign Currency Translations |
(512 | ) | (2,271 | ) | ||||
|
|
|
|
|||||
Change in Net Assets Resulting from Operations |
(278 | ) | (2,226 | ) | ||||
|
|
|
|
|||||
Distributions: |
||||||||
Total Distributions |
(13 | ) | (3 | ) | ||||
|
|
|
|
|||||
Change in Net Assets Resulting from Distributions |
(13 | ) | (3 | ) | ||||
|
|
|
|
|||||
Capital Share Transactions: |
||||||||
Shares Issued |
60,153 | 50,723 | ||||||
|
|
|
|
|||||
Change in Net Assets Resulting from Capital Share Transactions |
60,153 | 50,723 | ||||||
|
|
|
|
|||||
Change in Net Assets |
59,862 | 48,494 | ||||||
Net Assets: |
||||||||
Beginning of Period |
— | — | ||||||
|
|
|
|
|||||
End of Period |
$ | 59,862 | $ | 48,494 | ||||
|
|
|
|
|||||
Share Transactions: |
||||||||
Issued |
2,300 | 2,000 | ||||||
|
|
|
|
|||||
Change in Shares |
2,300 | 2,000 | ||||||
|
|
|
|
See accompanying Notes to Financial Statements.
64
DIMENSIONAL ETF TRUST
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Dimensional International Core Equity Market ETF |
Dimensional International Core Equity 2 ETF |
|||||||||||
Six months ended April 30, 2022 |
Period Nov. 17, 2020 through October 31, 2021 |
Period Mar. 23, 2022 through April 30, 2022 |
||||||||||
(Unaudited) | (Unaudited) | |||||||||||
Increase (Decrease) in Net Assets: |
||||||||||||
Operations: |
||||||||||||
Net Investment Income (Loss) |
$ | 17,568 | $ | 9,449 | $ | 616 | ||||||
Net Realized Gain (Loss) on: |
||||||||||||
Investment Securities Sold and Foreign Currency Transactions |
(2,218 | ) | (753 | ) | (3 | ) | ||||||
Futures |
66 | — | — | |||||||||
Change in Unrealized Appreciation (Depreciation) on: |
||||||||||||
Investment Securities and Foreign Currency Translations |
(146,510 | ) | 31,411 | (7,344 | ) | |||||||
|
|
|
|
|
|
|||||||
Change in Net Assets Resulting from Operations |
(131,094 | ) | 40,107 | (6,731 | ) | |||||||
|
|
|
|
|
|
|||||||
Distributions: |
||||||||||||
Total Distributions |
(9,726 | ) | (6,749 | ) | — | |||||||
|
|
|
|
|
|
|||||||
Change in Net Assets Resulting from Distributions |
(9,726 | ) | (6,749 | ) | — | |||||||
|
|
|
|
|
|
|||||||
Capital Share Transactions: |
||||||||||||
Shares Issued |
828,887 | 734,082 | 122,116 | |||||||||
|
|
|
|
|
|
|||||||
Change in Net Assets Resulting from Capital Share Transactions |
828,887 | 734,082 | 122,116 | |||||||||
|
|
|
|
|
|
|||||||
Change in Net Assets |
688,067 | 767,440 | 115,385 | |||||||||
Net Assets: |
||||||||||||
Beginning of Period |
767,440 | — | — | |||||||||
|
|
|
|
|
|
|||||||
End of Period |
$ | 1,455,507 | $ | 767,440 | $ | 115,385 | ||||||
|
|
|
|
|
|
|||||||
Share Transactions: |
||||||||||||
Issued |
28,900 | 25,800 | 4,900 | |||||||||
|
|
|
|
|
|
|||||||
Change in Shares |
28,900 | 25,800 | 4,900 | |||||||||
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
65
DIMENSIONAL ETF TRUST
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Dimensional International Small Cap Value ETF |
Dimensional International Small Cap ETF |
|||||||
Period Mar. 23, 2022 through April 30, 2022 |
Period Mar. 23, 2022 through April 30, 2022 |
|||||||
(Unaudited) | (Unaudited) | |||||||
Increase (Decrease) in Net Assets: |
||||||||
Operations: |
||||||||
Net Investment Income (Loss) |
$ | 228 | $ | 151 | ||||
Net Realized Gain (Loss) on: |
||||||||
Investment Securities Sold and Foreign Currency Transactions |
(1 | ) | (1 | ) | ||||
Change in Unrealized Appreciation (Depreciation) on: |
||||||||
Investment Securities and Foreign Currency Translations |
(2,156 | ) | (1,967 | ) | ||||
Futures |
(1 | ) | — | |||||
|
|
|
|
|||||
Change in Net Assets Resulting from Operations |
(1,930 | ) | (1,817 | ) | ||||
|
|
|
|
|||||
Capital Share Transactions: |
||||||||
Shares Issued |
47,671 | 32,241 | ||||||
|
|
|
|
|||||
Change in Net Assets Resulting from Capital Share Transactions |
47,671 | 32,241 | ||||||
|
|
|
|
|||||
Change in Net Assets |
45,741 | 30,424 | ||||||
Net Assets: |
||||||||
Beginning of Period |
— | — | ||||||
|
|
|
|
|||||
End of Period |
$ | 45,741 | $ | 30,424 | ||||
|
|
|
|
|||||
Share Transactions: |
||||||||
Issued |
1,950 | 1,300 | ||||||
|
|
|
|
|||||
Change in Shares |
1,950 | 1,300 | ||||||
|
|
|
|
See accompanying Notes to Financial Statements.
66
DIMENSIONAL ETF TRUST
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Dimensional International High Profitability ETF |
Dimensional Emerging Core Equity Market ETF |
|||||||||||
Period Mar. 23, 2022 through April 30, 2022 |
Six months ended April 30, 2022 |
Period Dec. 1, 2020 through October 31, 2021 |
||||||||||
(Unaudited) | (Unaudited) | |||||||||||
Increase (Decrease) in Net Assets: |
||||||||||||
Operations: |
||||||||||||
Net Investment Income (Loss) |
$ | 215 | $ | 6,102 | $ | 4,804 | ||||||
Net Realized Gain (Loss) on: |
||||||||||||
Investment Securities Sold and Foreign Currency Transactions |
(1 | ) | (4,638 | ) | (583 | ) | ||||||
Futures |
— | 4 | — | |||||||||
Change in Unrealized Appreciation (Depreciation) on: |
||||||||||||
Investment Securities and Foreign Currency Translations |
(4,551 | ) | (66,643 | ) | (8,136 | ) | ||||||
|
|
|
|
|
|
|||||||
Change in Net Assets Resulting from Operations |
(4,337 | ) | (65,175 | ) | (3,915 | ) | ||||||
|
|
|
|
|
|
|||||||
Distributions: |
||||||||||||
Total Distributions |
— | (4,540 | ) | (3,526 | ) | |||||||
|
|
|
|
|
|
|||||||
Change in Net Assets Resulting from Distributions |
— | (4,540 | ) | (3,526 | ) | |||||||
|
|
|
|
|
|
|||||||
Capital Share Transactions: |
||||||||||||
Shares Issued |
141,630 | 588,880 | 403,170 | |||||||||
|
|
|
|
|
|
|||||||
Change in Net Assets Resulting from Capital Share Transactions |
141,630 | 588,880 | 403,170 | |||||||||
|
|
|
|
|
|
|||||||
Change in Net Assets |
137,293 | 519,165 | 395,729 | |||||||||
Net Assets: |
||||||||||||
Beginning of Period |
— | 395,729 | — | |||||||||
|
|
|
|
|
|
|||||||
End of Period |
$ | 137,293 | $ | 914,894 | $ | 395,729 | ||||||
|
|
|
|
|
|
|||||||
Share Transactions: |
||||||||||||
Issued |
5,850 | 22,200 | 14,400 | |||||||||
|
|
|
|
|
|
|||||||
Change in Shares |
5,850 | 22,200 | 14,400 | |||||||||
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
67
DIMENSIONAL ETF TRUST
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Dimensional Emerging Markets High Profitability ETF |
Dimensional Emerging Markets Value ETF |
|||||||
Period Apr. 26, 2022 through April 30, 2022 |
Period Apr. 26, 2022 through April 30, 2022 |
|||||||
(Unaudited) | (Unaudited) | |||||||
Increase (Decrease) in Net Assets: |
||||||||
Operations: |
||||||||
Net Investment Income (Loss) |
$ | 1 | $ | 9 | ||||
Net Realized Gain (Loss) on: |
||||||||
Investment Securities Sold and Foreign Currency Transactions |
(2 | ) | — | |||||
Change in Unrealized Appreciation (Depreciation) on: |
||||||||
Investment Securities and Foreign Currency Translations |
91 | 333 | ||||||
|
|
|
|
|||||
Change in Net Assets Resulting from Operations |
90 | 342 | ||||||
|
|
|
|
|||||
Capital Share Transactions: |
||||||||
Shares Issued |
5,017 | 45,295 | ||||||
|
|
|
|
|||||
Change in Net Assets Resulting from Capital Share Transactions |
5,017 | 45,295 | ||||||
|
|
|
|
|||||
Change in Net Assets |
5,107 | 45,637 | ||||||
Net Assets: |
||||||||
Beginning of Period |
— | — | ||||||
|
|
|
|
|||||
End of Period |
$ | 5,107 | $ | 45,637 | ||||
|
|
|
|
|||||
Share Transactions: |
||||||||
Issued |
200 | 1,800 | ||||||
|
|
|
|
|||||
Change in Shares |
200 | 1,800 | ||||||
|
|
|
|
See accompanying Notes to Financial Statements.
68
DIMENSIONAL ETF TRUST
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Dimensional Emerging Markets Core Equity 2 ETF |
||||
Period Apr. 26, 2022 through April 30, 2022 |
||||
(Unaudited) | ||||
Increase (Decrease) in Net Assets: |
||||
Operations: |
||||
Net Investment Income (Loss) |
$ | 10 | ||
Net Realized Gain (Loss) on: |
||||
Investment Securities Sold and Foreign Currency Transactions |
(4 | ) | ||
Change in Unrealized Appreciation (Depreciation) on: |
||||
Investment Securities and Foreign Currency Translations |
818 | |||
Futures |
(21 | ) | ||
|
|
|||
Change in Net Assets Resulting from Operations |
803 | |||
|
|
|||
Capital Share Transactions: |
||||
Shares Issued |
62,930 | |||
|
|
|||
Change in Net Assets Resulting from Capital Share Transactions |
62,930 | |||
|
|
|||
Change in Net Assets |
63,733 | |||
Net Assets: |
||||
Beginning of Period |
— | |||
|
|
|||
End of Period |
$ | 63,733 | ||
|
|
|||
Share Transactions: |
||||
Issued |
2,500 | |||
|
|
|||
Change in Shares |
2,500 | |||
|
|
See accompanying Notes to Financial Statements.
69
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Dimensional US Core Equity Market ETF |
Dimensional US High Profitability ETF |
|||||||||||
Six Months |
Period November 17, 2020 through October 31, 2021 |
Period February 23, 2022 through April 30, 2022 |
||||||||||
(Unaudited) | (Unaudited) | |||||||||||
Net Asset Value, Beginning of Period |
$ | 32.08 | $ | 24.92 | $ | 24.54 | ||||||
|
|
|
|
|
|
|||||||
Income From Investment Operations (a) |
||||||||||||
Net Investment Income (Loss) |
0.20 | 0.36 | 0.06 | |||||||||
Net Gains (Losses) on Securities (Realized and Unrealized) |
(3.24 | ) | 7.04 | 0.08 | (g) | |||||||
|
|
|
|
|
|
|||||||
Total from Investment Operations |
(3.04 | ) | 7.40 | 0.14 | ||||||||
Less Distributions: |
||||||||||||
Net Investment Income |
(0.19 | ) | (0.24 | ) | (0.01 | ) | ||||||
|
|
|
|
|
|
|||||||
Total Distributions |
(0.19 | ) | (0.24 | ) | (0.01 | ) | ||||||
Net Asset Value, End of Period |
$ | 28.85 | $ | 32.08 | $ | 24.67 | ||||||
Total Return at NAV (b)(c) |
(9.53 | )% | 29.81 | % | 0.61 | % | ||||||
Total Return at Market (c)(d) |
(9.64 | )% | 29.88 | % | 0.62 | % | ||||||
Net Assets, End of Year (thousands) |
$ | 1,921,478 | $ | 1,328,340 | $ | 228,240 | ||||||
Ratio of Expenses to Average Net Assets (e) |
0.12 | % | 0.12 | % | 0.22 | % | ||||||
Ratio of Expense to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), (Previously Waived Fees Recovered by Advisor) and/or (Fees Paid Indirectly (e) |
0.12 | % | 0.12 | % | 0.22 | % | ||||||
Ratio of Net Investment Income to Average Net Assets (e) |
1.29 | % | 1.27 | % | 1.36 | % | ||||||
Portfolio Turnover Rate (c)(f) |
2 | % | 3 | % | — |
See page 3 for the Definitions of Abbreviations and Footnotes
(g) |
A majority of the investments were purchased after fund launch at valuations higher than current valuations resulting in an unrealized loss on the statement of operations. |
See accompanying Notes to Financial Statements.
70
DIMENSIONAL ETF TRUST
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Dimensional US Real Estate ETF |
Dimensional US Small Cap Value ETF |
|||||||
Period February 23, 2022 through April 30, 2022 |
Period February 23, 2022 through April 30, 2022 |
|||||||
(Unaudited) | (Unaudited) | |||||||
Net Asset Value, Beginning of Period |
$ | 24.65 | $ | 24.66 | ||||
|
|
|
|
|||||
Income From Investment Operations (a) |
||||||||
Net Investment Income (Loss) |
0.16 | 0.04 | ||||||
Net Gains (Losses) on Securities (Realized and Unrealized) |
1.23 | (0.45 | ) | |||||
|
|
|
|
|||||
Total from Investment Operations |
1.39 | (0.41 | ) | |||||
Less Distributions: |
||||||||
Net Investment Income |
(0.01 | ) | — | |||||
|
|
|
|
|||||
Total Distributions |
(0.01 | ) | — | |||||
Net Asset Value, End of Period |
$ | 26.03 | $ | 24.25 | ||||
Total Return at NAV (b)(c) |
5.60 | % | (1.67 | )% | ||||
Total Return at Market (c)(d) |
5.47 | % | (1.73 | )% | ||||
Net Assets, End of Year (thousands) |
$ | 59,862 | $ | 48,494 | ||||
Ratio of Expenses to Average Net Assets (e) |
0.19 | % | 0.31 | % | ||||
Ratio of Expense to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), (Previously Waived Fees Recovered by Advisor) and/or (Fees Paid Indirectly (e) |
0.29 | % | 0.47 | % | ||||
Ratio of Net Investment Income to Average Net Assets (e) |
3.21 | % | 0.94 | % | ||||
Portfolio Turnover Rate (c)(f) |
— | — |
See page 3 for the Definitions of Abbreviations and Footnotes
See accompanying Notes to Financial Statements.
71
DIMENSIONAL ETF TRUST
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Dimensional International Core Equity Market ETF |
Dimensional International Core Equity 2 ETF |
|||||||||||
Six Months 2022 |
Period November 17, 2020 through October 31, 2021 |
Period March 23, 2022 through April 30, 2022 |
||||||||||
(Unaudited) | (Unaudited) | |||||||||||
Net Asset Value, Beginning of Period |
$ | 29.75 | $ | 25.07 | $ | 24.95 | ||||||
|
|
|
|
|
|
|||||||
Income From Investment Operations (a) |
||||||||||||
Net Investment Income (Loss) |
0.43 | 0.77 | 0.17 | |||||||||
Net Gains (Losses) on Securities (Realized and Unrealized) |
(3.32 | ) | 4.36 | (1.57 | ) | |||||||
|
|
|
|
|
|
|||||||
Total from Investment Operations |
(2.89 | ) | 5.13 | (1.40 | ) | |||||||
Less Distributions: |
||||||||||||
Net Investment Income |
(0.25 | ) | (0.45 | ) | — | |||||||
|
|
|
|
|
|
|||||||
Total Distributions |
(0.25 | ) | (0.45 | ) | — | |||||||
Net Asset Value, End of Period |
$ | 26.61 | $ | 29.75 | $ | 23.55 | ||||||
Total Return at NAV (b)(c) |
(9.76 | )% | 20.54 | % | (5.61 | )% | ||||||
Total Return at Market (c)(d) |
(11.04 | )% | 21.08 | % | (6.45 | )% | ||||||
Net Assets, End of Year (thousands) |
$ | 1,455,507 | $ | 767,440 | $ | 115,385 | ||||||
Ratio of Expenses to Average Net Assets (e) |
0.18 | % | 0.18 | % | 0.23 | % | ||||||
Ratio of Expense to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), (Previously Waived Fees Recovered by Advisor) and/or (Fees Paid Indirectly (e) |
0.18 | % | 0.18 | % | 0.28 | % | ||||||
Ratio of Net Investment Income to Average Net Assets (e) |
3.04 | % | 2.78 | % | 6.55 | % | ||||||
Portfolio Turnover Rate (c)(f) |
2 | % | 4 | % | — |
See page 3 for the Definitions of Abbreviations and Footnotes
See accompanying Notes to Financial Statements.
72
DIMENSIONAL ETF TRUST
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Dimensional International Small Cap Value ETF |
Dimensional International Small Cap ETF |
|||||||
Period March 23, 2022 through April 30, 2022 |
Period March 23, 2022 through April 30, 2022 |
|||||||
(Unaudited) | (Unaudited) | |||||||
Net Asset Value, Beginning of Period |
$ | 24.94 | $ | 25.00 | ||||
|
|
|
|
|||||
Income From Investment Operations (a) |
||||||||
Net Investment Income (Loss) |
0.19 | 0.14 | ||||||
Net Gains (Losses) on Securities (Realized and Unrealized) |
(1.67 | ) | (1.74 | ) | ||||
|
|
|
|
|||||
Total from Investment Operations |
(1.48 | ) | (1.60 | ) | ||||
Net Asset Value, End of Period |
$ | 23.46 | $ | 23.40 | ||||
Total Return at NAV (b)(c) |
(5.95 | )% | (6.39 | )% | ||||
Total Return at Market (c)(d) |
(6.78 | )% | (7.36 | )% | ||||
Net Assets, End of Year (thousands) |
$ | 45,741 | $ | 30,424 | ||||
Ratio of Expenses to Average Net Assets (e) |
0.42 | % | 0.39 | % | ||||
Ratio of Expense to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), (Previously Waived Fees Recovered by Advisor) and/or (Fees Paid Indirectly (e) |
0.56 | % | 0.54 | % | ||||
Ratio of Net Investment Income to Average Net Assets (e) |
7.44 | % | 5.46 | % | ||||
Portfolio Turnover Rate (c)(f) |
— | — |
See page 3 for the Definitions of Abbreviations and Footnotes
See accompanying Notes to Financial Statements.
73
DIMENSIONAL ETF TRUST
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Dimensional International High Profitability ETF |
Dimensional Emerging Core Equity Market ETF |
|||||||||||
Period March 23, 2022 through April 30, 2022 |
Six Months ended April 30, 2022 |
Period December 1, 2020 through October 31, 2021 |
||||||||||
(Unaudited) | (Unaudited) | |||||||||||
Net Asset Value, Beginning of Period |
$ | 24.97 | $ | 27.48 | $ | 25.41 | ||||||
|
|
|
|
|
|
|||||||
Income From Investment Operations (a) |
||||||||||||
Net Investment Income (Loss) |
0.13 | 0.25 | 0.62 | |||||||||
Net Gains (Losses) on Securities (Realized and Unrealized) |
(1.63 | ) | (2.52 | ) | 1.75 | |||||||
|
|
|
|
|
|
|||||||
Total from Investment Operations |
(1.50 | ) | (2.27 | ) | 2.37 | |||||||
Less Distributions: |
||||||||||||
Net Investment Income |
— | (0.21 | ) | (0.30 | ) | |||||||
|
|
|
|
|
|
|||||||
Total Distributions |
— | (0.21 | ) | (0.30 | ) | |||||||
Net Asset Value, End of Period |
$ | 23.47 | $ | 25.00 | $ | 27.48 | ||||||
Total Return at NAV (b)(c) |
(6.01 | )% | (8.34 | )% | 9.33 | % | ||||||
Total Return at Market (c)(d) |
(6.89 | )% | (9.40 | )% | 9.57 | % | ||||||
Net Assets, End of Year (thousands) |
$ | 137,293 | $ | 914,894 | $ | 395,729 | ||||||
Ratio of Expenses to Average Net Assets (e) |
0.29 | % | 0.35 | % | 0.35 | % | ||||||
Ratio of Expense to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), (Previously Waived Fees Recovered by Advisor) and/or (Fees Paid Indirectly (e) |
0.38 | % | 0.35 | % | 0.35 | % | ||||||
Ratio of Net Investment Income to Average Net Assets (e) |
5.06 | % | 1.93 | % | 2.40 | % | ||||||
Portfolio Turnover Rate (c)(f) |
— | 3 | % | 4 | % |
See page 3 for the Definitions of Abbreviations and Footnotes
See accompanying Notes to Financial Statements.
74
DIMENSIONAL ETF TRUST
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Dimensional Emerging Markets High Profitability ETF |
Dimensional Emerging Markets Value ETF |
|||||||
Period 2022 2022 |
Period 2022 2022 |
|||||||
(Unaudited) | (Unaudited) | |||||||
Net Asset Value, Beginning of Period |
$ | 25.03 | $ | 25.04 | ||||
|
|
|
|
|||||
Income From Investment Operations (a) |
||||||||
Net Investment Income (Loss) |
0.01 | 0.01 | ||||||
Net Gains (Losses) on Securities (Realized and Unrealized) |
0.50 | 0.30 | ||||||
|
|
|
|
|||||
Total from Investment Operations |
0.51 | 0.31 | ||||||
Net Asset Value, End of Period |
$ | 25.54 | $ | 25.35 | ||||
Total Return at NAV (b)(c) |
2.02 | % | 1.25 | % | ||||
Total Return at Market (c)(d) |
1.32 | % | 0.76 | % | ||||
Net Assets, End of Year (thousands) |
$ | 5,107 | $ | 45,637 | ||||
Ratio of Expenses to Average Net Assets (e) |
0.41 | % | 0.43 | % | ||||
Ratio of Expense to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), (Previously Waived Fees Recovered by Advisor) and/or (Fees Paid Indirectly (e) |
1.69 | % | 0.63 | % | ||||
Ratio of Net Investment Income to Average Net Assets (e) |
1.85 | % | 3.07 | % | ||||
Portfolio Turnover Rate (c)(f) |
— | — |
See page 3 for the Definitions of Abbreviations and Footnotes
See accompanying Notes to Financial Statements.
75
DIMENSIONAL ETF TRUST
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Dimensional Emerging Markets Core Equity 2 ETF |
||||
Period April 26, 2022 through April 30, 2022 |
||||
(Unaudited) | ||||
Net Asset Value, Beginning of Period |
$ | 25.04 | ||
|
|
|||
Income From Investment Operations (a) |
||||
Net Investment Income (Loss) |
0.01 | |||
Net Gains (Losses) on Securities (Realized and Unrealized) |
0.44 | |||
|
|
|||
Total from Investment Operations |
0.45 | |||
Net Asset Value, End of Period |
$ | 25.49 | (**) | |
Total Return at NAV (b)(c) |
1.81 | % | ||
Total Return at Market (c)(d) |
1.32 | % | ||
Net Assets, End of Year (thousands) |
$ | 63,733 | ||
Ratio of Expenses to Average Net Assets (e) |
0.39 | % | ||
Ratio of Expense to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), (Previously Waived Fees Recovered by Advisor) and/or (Fees Paid Indirectly (e) |
0.54 | % | ||
Ratio of Net Investment Income to Average Net Assets (e) |
2.63 | % | ||
Portfolio Turnover Rate (c)(f) |
— |
See page 3 for the Definitions of Abbreviations and Footnotes
See accompanying Notes to Financial Statements.
76
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
A. ORGANIZATION
The Dimensional ETF Trust (the “Trust”) was organized on June 16, 2020 as a Delaware statutory trust. The Trust is an open-end management investment company, registered under the Investment Company Act of 1940 (the “1940 Act”). As of April 30, 2022, the Trust is comprised of twenty-three operational exchange-traded funds (“ETFs”) and is authorized to issue an unlimited number of shares of beneficial interest (“Shares”) for each fund representing interests in separate portfolios of securities. The accompanying financial statements are those of Dimensional US Core Equity Market ETF (“US Core Equity ETF”), Dimensional US High Profitability ETF (“US High Profitability ETF”), Dimensional US Real Estate ETF (“US Real Estate ETF”), Dimensional US Small Cap Value ETF (“US Small Cap Value ETF”), Dimensional International Core Equity Market ETF (“International Core ETF”), Dimensional International Core Equity 2 ETF (“International Core Equity 2 ETF”), Dimensional International Small Cap Value ETF (“International Small Cap Value ETF”), Dimensional International Small Cap ETF (“International Small Cap ETF”), Dimensional International High Profitability ETF (“International High Profitability ETF”), Dimensional Emerging Core Equity Market ETF (“Emerging Markets Core ETF”), Dimensional Emerging Markets High Profitability ETF (“Emerging Markets High Profitability ETF”), Dimensional Emerging Markets Value ETF (“Emerging Markets Value ETF”) and Dimensional Emerging Markets Core Equity 2 ETF (“Emerging Markets Core 2 ETF”) (individually referred to as a “Fund” or collectively as the “Funds”). The assets of each Fund are segregated and a shareholder’s interest is limited to the Fund in which Shares are held. The Funds are investment companies and, accordingly, follow the accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Certification (“ASC”) Topic 946, “Financial Services – Investment Companies”.
The Board is responsible for establishing the Trust’s policies and for overseeing the management of the Trust. Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In the normal course of business, the Trust enters into contracts that contain a variety of representations and warranties that provide general indemnification. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust and/or its affiliates that have not yet occurred. However, based on prior experience, the Trust expects the risk of loss to be remote.
B. SIGNIFICANT ACCOUNTING POLICIES
Shares of the US Core Equity ETF, US High Probability ETF, US Real Estate ETF, US Small Cap ETF Value ETF, International Core ETF, Emerging Markets Core ETF, Emerging Markets High Profitability ETF, Emerging Markets Value ETF, and Emerging Markets Core 2 ETF are listed and traded on the NYSE Arca, Inc. Shares of the International Core Equity 2 ETF, International Small Cap Value ETF, International Small Cap ETF, and International High Profitability ETF are listed and traded on the Cboe BZX Exchange Inc. Market prices for the Shares may be different from their net asset value (“NAV”). The Funds issue and redeem Shares on a continuous basis at NAV only in large blocks of Shares called (“Creation Units”). Currently a Creation Unit is 50,000 Shares for US Core Equity ETF, US High Profitability ETF, US Real Estate ETF and US Small Cap Value ETF, International Small Cap Value ETF, International High Profitability ETF, and Emerging Markets High Profitability ETF, and 100,000 Shares for International Core ETF, International Core Equity 2 ETF, International Small Cap ETF, Emerging Markets Core ETF, Emerging Markets Value ETF, and Emerging Markets Core 2 ETF. Creation Units are issued and redeemed principally in-kind. Once created, Shares generally trade in the secondary market at market prices that change throughout the day in amounts less than a Creation Unit. Shares of each Fund may only be purchased or redeemed by certain financial institutions (“Authorized Participants”). An Authorized Participant is either (i) a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System of the National Securities
Clearing Corporation or (ii) a DTC participant and, in each case, must have executed a Participant Agreement
77
with the funds’ distributor (the “Distributor”). Most retail investors do not qualify as Authorized Participants nor have the resources to buy and sell whole Creation Units. Therefore, they are unable to purchase or redeem the Shares directly from a Fund.
The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. These policies are in conformity with generally accepted accounting principles in the United States of America (“U.S. GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the period. Actual results could differ from those estimates.
1. SECURITY VALUATION
The Funds hold investments at fair value. Fair value is defined as the price that would be expected to be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The valuation techniques used to determine fair value are further described below.
Security values are ordinarily obtained through the use of independent pricing services in accordance with procedures adopted by the Board. Pursuant to these procedures, the Funds may use a pricing service, bank, or broker-dealer experienced in such matters to value the Funds’ securities. When reliable market quotations are not readily available for any security, the fair value of that security will be determined by a committee established by the Advisor, with input from certain third-party pricing services and others, in accordance with procedures adopted by the Board. The fair valuation process is designed to value the subject security at the price the Funds would reasonably expect to receive upon its current sale. Additional consideration is given to securities that have experienced a decrease in the volume or level of activity or to circumstances that indicate that a transaction is not orderly.
The Trust has a three-tier fair value hierarchy that is dependent upon the various “inputs” used to determine the value of the Funds’ investments. The valuation techniques described below maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. These inputs are summarized in the three broad levels listed below:
• |
Level 1 – Inputs are quoted prices in active markets for identical assets. |
• |
Level 2 – Other observable pricing inputs at the measurement date (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
• |
Level 3 – Significant unobservable pricing inputs at the measurement date (including the Funds’ own assumptions in determining the fair value of investments). |
The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments.
Rights and warrants are valued at the last sales price on a national securities exchange. If these instruments are not scheduled to trade for a certain period they are generally valued intrinsically based on the terms of the issuance and the price of the underlying security. These instruments are typically categorized as Level 1 in the fair value hierarchy unless intrinsic value is used then would be categorized as Level 2 in the fair value hierarchy.
Equity securities traded on a securities exchange are valued at the last reported sales price on the principal exchange. Equity securities quoted by NASDAQ are valued at the NASDAQ official closing price. If there is no reported sale on the principal exchange or official closing price of the day, and in the case of over-the-counter securities, the Funds value the securities at the mean between the most recent quoted bid and asked prices. In each of these situations, securities are typically categorized as Level 1 and Level 2, respectively in the fair value hierarchy.
With respect to the International Core ETF, International Core Equity 2 ETF, International Small Cap Value ETF, International Small Cap ETF, International High Profitability ETF, Emerging Markets Core ETF, Emerging Markets High Profitability ETF, Emerging Markets Value ETF, and Emerging Markets Core 2 ETF (the “International Funds”), the prices of securities traded in foreign currencies will be expressed in U.S. dollars by using
78
the mid-rate prices for the U.S. dollar as quoted by generally recognized reliable sources at 4 p.m. London time. Because the International Funds own securities that are primarily listed on foreign exchanges which may trade on days when the International Funds do not price their shares, the NAVs of the International Funds may change on days when shareholders will not be able to purchase or redeem shares.
Derivative Instruments: Forward currency contracts are valued using the sum of the spot rate, the available forward point quotation nearest and prior to settlement date, and the linear interpolation of the available forward point quotations nearest to, before and after the settlement date. Futures contracts are valued using the settlement price established each day on the exchange on which they are traded. The value of such futures contracts held by the Fund is determined each day as of such exchange close. Swap agreements will be valued at the price provided by an independent third-party pricing service or source. If a price is not available from an independent third-party pricing service or source, the swap agreement will be valued in good faith at fair value in accordance with procedures adopted by the Board.
Securities for which no market quotations are readily available (including restricted securities), or for which market quotations have become unreliable, are valued in good faith at fair value in accordance with procedures adopted by the Board. Fair value pricing may also be used if events that have a significant effect on the value of an investment (as determined in the discretion of the Advisor) occur before the NAV is calculated. When fair value pricing is used, the prices of securities used by the Funds may differ from the quoted or published prices for the same securities on their primary markets or exchanges. These securities are typically categorized as Level 2 or Level 3 in the fair value hierarchy.
2. SECURITY TRANSACTIONS AND RELATED INCOME
Investment transactions are accounted for no later than the first calculation of the NAV on the business day following the trade date. For financial reporting purposes, however, security transactions are accounted for on the trade date on the last business day of the reporting period. Securities gains and losses are calculated on the identified cost basis. Interest income and expenses are accrued daily. Dividends, less foreign tax withholding, if any, are recorded on the ex-dividend date. Investment income from non-U.S. sources received by a Fund is generally subject to non-U.S. withholding taxes at rates ranging up to 30%. Such withholding taxes may be reduced or eliminated under the terms of applicable U.S. income tax treaties. International Core ETF and International Core Equity 2 ETF are subject to tax on short-term and long-term capital gains for investments in the Cayman Islands. International Small Cap ETF is subject to tax on short-term and long-term capital gains for investments in the Cayman Islands and the United Kingdom. Emerging Markets Core ETF is subject to tax on short-term and long-term capital gains for investments in India, the Cayman Islands, and Thailand. Such taxes are accrued on a daily basis and due upon sale of individual securities.
3. FOREIGN CURRENCY TRANSLATIONS
The accounting records of the International Funds are maintained in U.S. dollars. Investment securities and other assets and liabilities of a Fund denominated in a foreign currency are translated into U.S. dollars at current exchange rates. Purchases and sales of securities, income receipts and expense payments are translated into U.S. dollars at the exchange rates on the date of the transactions. The International Funds do not isolate the portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are disclosed as net change in unrealized appreciation/depreciation on investments and foreign currency translations on the Statements of Operations. Any realized gains or losses from these fluctuations are disclosed as net realized gains or losses from investment transactions and foreign currency translations on the Statements of Operations.
4. RESTRICTED SECURITIES
A restricted security is a security that cannot be offered for public sale without prior registration under the Securities Act of 1933 (the “1933 Act”) (absent an exemption). Whether a restricted security is illiquid is determined
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pursuant to the applicable provisions of the Funds’ liquidity risk management program. Not all restricted securities are considered illiquid.
5. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Distributions are recorded on the ex-dividend date. The Funds intend to distribute to its shareholders net investment income, if any, at least quarterly and net realized capital gains, if any, at least annually. The amount of dividends from net investment income and net realized gains is determined in accordance with federal income tax regulations, which may differ from GAAP.
C. DERIVATIVE INSTRUMENTS
All open derivative positions at period end are reflected on each Fund’s Summary Schedule of Portfolio Holdings. The following is a description of the derivative instruments utilized by the Funds, including the primary underlying risk exposure related to each instrument type.
1. FORWARD CURRENCY CONTRACTS
The International Funds may enter into foreign currency exchange transactions, including foreign currency forward contracts, in connection with the settlement of foreign securities or to transfer cash balances from one currency to another currency. The decision to hedge a Fund’s currency exposure with respect to a foreign market will be based primarily on the Fund’s existing exposure to a given foreign currency. Each contract is valued daily and the change in value is recorded by a Fund as an unrealized gain or loss, which is presented in the Fund’s Statement of Operations as the change in unrealized appreciation or depreciation of forward currency contracts. When the contract is closed or offset with the same counterparty, a Fund records a realized gain or loss equal to the change in the value of the contract when it was opened and the value at the time it was closed or offset. This is presented in the Statements of Operations as a net realized gain or loss on forward currency contracts. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of foreign currency relative to the U.S. dollar. As of April 30, 2022, there were no forward currency contracts outstanding. During the period ended April 30, 2022, the Funds had limited activity in forward currency contracts.
2. FUTURES CONTRACTS
Each Fund may purchase or sell futures and options on futures contracts for equity securities and indices to increase or decrease market exposure based on actual or expected cash inflows to or outflows from the Fund. Upon entering into futures contracts, the Funds are required to pledge to the broker an amount of cash and/or other assets equal to a certain percentage of the contract amount (initial margin deposit). Subsequent payments, known as “variation margin”, are made or received each day, depending on the daily fluctuations in the fair value of the underlying security. The Funds recognize an unrealized gain or loss equal to the daily variation margin. Should market conditions move unexpectedly, the Funds may not achieve the anticipated benefits of the futures contracts and may realize a loss. Futures contracts involve, to varying degrees, elements of market risk (generally equity price risk related to stock futures, interest rate risk related to bond futures, and foreign currency risk related to currency futures) and exposure to loss in excess of the amounts reflected on the Statements of Assets and Liabilities as variation margin. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in market value of the securities held by the Funds and the prices of futures contracts, the possibility of an illiquid market, and the possibility that the Fund could lose more than the initial margin requirements. The Funds entering into stock index futures are subject to equity price risk from those futures contracts. Counterparty credit risk related to exchange-traded futures is minimal because the exchange’s clearinghouse, as counterparty to all exchange- traded futures, guarantees the futures against default. The gross notional amount of futures contracts outstanding as of April 30, 2022, and the monthly average notional amount for these contracts for the period ended April 30, 2022 were as follows (amounts in thousands):
Outstanding Notional Amount | Monthly Average Notional Amount | |||||||||||||||
Futures Contracts: |
Long | Short | Long | Short | ||||||||||||
International Small Cap Value ETF |
$ | 206 | $— | $ | 206 | $ | — | |||||||||
Emerging Markets Core 2 ETF |
619 | — | 619 | — |
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Summary of Derivative Instruments:
The following is a summary of the fair value of derivative instruments on the Statements of Assets and Liabilities, categorized by primary risk exposure, as of April 30, 2022 (amounts in thousands):
Assets | Liabilities | |||||||
Fund |
Unrealized Appreciation on Futures Contracts(1)(2) |
Unrealized Depreciation on Futures Contracts(1)(2) |
||||||
Equity Risk Exposure: |
||||||||
International Small Cap Value ETF |
$ | — | $ | 1 | ||||
Emerging Markets Core 2 ETF |
— | 21 |
(1) For futures contracts, the amounts represent their cumulative appreciation/(depreciation), which includes movements of variation margin. Only current day’s margin variation is reported within the Statements of Assets and Liabilities.
(2) Presented on the Statements of Assets and Liabilities as Receivables or Payables: Variation Margin on Futures Contracts.
The following summary of the realized and change in unrealized gains and losses from the Funds’ derivative instrument holdings categorized by primary risk exposure for the period ended April 30, 2022 (amounts in thousands):
Realized Gain (Loss) from: | ||||
Fund |
Futures Contracts | |||
Equity Risk Exposure: |
||||
US Core Equity ETF |
$ | 120 | ||
International Core ETF |
66 | |||
Emerging Markets Core ETF |
4 |
Change in Unrealized Appreciation (Depreciation) on Derivatives |
||||
Fund |
Futures Contracts | |||
Equity Risk Exposure: |
||||
International Small Cap Value ETF |
$ | (1 | ) | |
Emerging Markets Core 2 ETF |
(21 | ) |
Currency Rate Risk Exposure:
The Funds had limited activity in forward foreign currency contracts during the period ended April 30, 2022, and no such contracts were outstanding as of April 30, 2022. Net realized and changes in unrealized gain or loss on such contracts were minimal during the period ended April 30, 2022 and are included in Net Realized Gain (Loss) from Investment Securities Sold and Foreign Currency Transactions and Change in Unrealized Appreciation (Depreciation) on Investment Securities and Foreign Currency Translations, respectively, on the accompanying Statements of Operations.
D. INVESTMENT ADVISORY AND OTHER CONTRACTUAL SERVICES
1. INVESTMENT ADVISORY FEES
Dimensional Fund Advisors LP (the “Advisor”), serves as the investment advisor to the Funds pursuant to an investment management agreement. Subject at all times to the oversight and approval of the Board, the Advisor is responsible for the overall management of the Funds. Dimensional Fund Advisors Ltd. and DFA Australia Limited serve as Sub-Advisors for the International Funds.
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For the period ended April 30, 2022 the Funds’ investment management fee was accrued daily and paid monthly to the Advisor based on the following effective annual rate of average daily net assets:
Fund |
Management Fee | |||
US Core Equity ETF |
0.12 | % | ||
US High Profitability ETF |
0.19 | % | ||
US Real Estate ETF |
0.17 | % | ||
US Small Cap Value ETF |
0.28 | % | ||
International Core ETF |
0.18 | % | ||
International Core Equity 2 ETF |
0.20 | % | ||
International Small Cap Value ETF |
0.39 | % | ||
International Small Cap ETF |
0.35 | % | ||
International High Profitability ETF |
0.25 | % | ||
Emerging Markets Core ETF |
0.35 | % | ||
Emerging Markets High Profitability ETF |
0.35 | % | ||
Emerging Markets Value ETF |
0.38 | % | ||
Emerging Markets Core 2 ETF |
0.33 | % |
Pursuant to a Fee Waiver and Expense Assumption Agreement (the “Fee Waiver Agreement”), the Advisor has contractually agreed to waive certain fees, and in certain instances, assume certain expenses of the US High Profitability ETF, US Real Estate ETF, US Small Cap Value ETF, International Core Equity 2 ETF, International Small Cap Value ETF, International Small Cap ETF, International High Profitability ETF, Emerging Markets High Profitability ETF, Emerging Markets Value ETF, and Emerging Markets Core 2 ETF, as described in the notes below. The Fee Waiver Agreement will remain in effect through February 28, 2023, may only be terminated by the Trust’s Board of Trustees prior to that date and shall continue in effect from year to year thereafter unless terminated by the Trust or the Advisor. During the period ended April 30, 2022, the Funds had expense limits based on a percentage of average net assets on an annualized basis, as listed below. The net amount of waived fees/expenses assumed during the period ended April 30, 2022, are also reflected below (amounts in thousands). At any time that the ETF Fund Expenses (defined below) of a Fund are less than the applicable Expense Limitation Amount listed below, the Advisor retains the right to recover fees previously waived and/or expenses previously assumed to the extent that the expense ratio following such recovery would be less than the Expense Limitation Amount that was in place when such prior year fees were waived and/or expenses assumed, and less than the current Expense Limitation Amount in place for the Fund. The Trust, on behalf of a Fund, is also not obligated to reimburse the Advisor for fees previously waived or expenses previously assumed by the Advisor more than thirty-six months before the date of recovery.
Expense Limitation Amount |
Waived Fees/ Expense Assumed |
Recovery of Previously Waived Fees/ Expenses Assumed |
Previously Waived Fees/Expense Assumed Subject to Future Recovery |
|||||||||||||
US High Profitability ETF |
0.22 | % | $ | — | $ | — | $ | — | ||||||||
US Real Estate ETF |
0.19 | % | 7 | — | 7 | |||||||||||
US Small Cap Value ETF |
0.31 | % | 7 | — | 7 | |||||||||||
International Core Equity 2 ETF |
0.23 | % | 4 | — | 4 | |||||||||||
International Small Cap Value ETF |
0.42 | % | 4 | — | 4 | |||||||||||
International Small Cap ETF |
0.39 | % | 4 | — | 4 | |||||||||||
International High Profitability ETF |
0.29 | % | 3 | — | 3 | |||||||||||
Emerging Markets High Profitability ETF |
0.41 | % | 1 | — | 1 | |||||||||||
Emerging Markets Value ETF |
0.43 | % | — | — | — | |||||||||||
Emerging Markets Core 2 ETF |
0.39 | % | — | — | — |
The Advisor has contractually agreed to waive its management fee and assume the ordinary operating expenses of the Fund (excluding the expenses that the Fund incurs indirectly through its investment in other investment companies)
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(“ETF Fund Expenses”) to the extent necessary to limit the ETF Fund Expenses of the Fund, on an annualized basis, to the rate listed above as percentage of average net assets (the “Expense Limitation Amount”).
US Core Equity ETF, International Core ETF, and Emerging Markets Core ETF (each, a “Unitary Fee Fund” and together, the “Unitary Fee Funds”) pay the Advisor a unitary management fee for managing the Funds’ assets. Pursuant to the investment management agreement with the Trust, on behalf of each Unitary Fee Fund, the Advisor is responsible for substantially all ordinary fund operating expenses, except for (i) the fee paid under the investment management agreement; (ii) payments under the Fund’s 12b-1 plan (if any); (iii) brokerage expenses (including any costs incidental to transactions in fund securities, instruments and other investments); (iv) taxes; (v) interest expenses (including borrowing costs and dividend expenses on securities sold short and overdraft charges); (vi) litigation expenses (including litigation to which the Trust or Fund may be a party and indemnification of the Trustees and officers with respect thereto); (vii) Trustees’ fees and expenses; (viii) legal expenses of counsel to the Independent Trustees; (ix) Chief Compliance Officer (“CCO”) compensation; (x) acquired fund fees and expenses (if any); and (xi) other non-routine or extraordinary expenses.
For the Unitary Fee Funds, pursuant to a separate contractual arrangement, the Advisor arranges for the provision of CCO services with respect to each Fund, and is liable and responsible for, and administers, payments to the CCO, the Independent Trustees and counsel to the Independent Trustees. The Advisor receives a fee of up to 0.0044% of each Fund’s average daily net assets for providing such services and paying such expenses. The Advisor provides CCO services to the Trust.
2. ADMINISTRATION, ACCOUNTING, TRANSFER AGENT, AND CUSTODIAN FEES
Citi Fund Services Ohio, Inc. serves as the Funds’ Administrator and Fund Accountant pursuant to a Services Agreement with the Trust. Citibank, N.A. serves as the Funds’ Custodian and Transfer Agent pursuant to a Global Custodial and Agency Services Agreement with the Trust.
3. DISTRIBUTION AND SHAREHOLDER SERVICES FEES
DFA Securities, LLC, a wholly-owned subsidiary of the Advisor, is the principal underwriter and distributor for the Funds’ Shares. The Distributor does not maintain any secondary market in the Funds’ shares. The Trust has adopted a Rule 12b-1 Distribution and Service Plan (the “Distribution and Service Plan”) pursuant to which payments of up to 0.25% of average daily net assets may be made to compensate or reimburse financial intermediaries for activities principally intended to result in the sale of Fund shares. In accordance with the Distribution and Service Plan, the Distributor may enter into agreements with financial intermediaries and dealers relating to distribution and/or marketing services with respect to the Funds.
No payments from the Funds are currently planned under the Distribution and Service Plan. The Advisor and its affiliates may, out of their own resources, pay amounts to third parties for distribution or marketing services on behalf of the Funds.
4. FEES PAID TO OFFICERS AND TRUSTEES
Certain Officers and Trustees of the Advisor are also Officers and Trustees of the Trust; however, such Officers and Trustees (with the exception of the CCO, with respect to the Funds, except the Unitary Fee Funds) receive no compensation from the Trust. For the period ended April 30, 2022, the total related amounts paid by the Trust to the CCO was $6 (in thousands). The total related amounts paid by each of the Funds are included in Other Expenses on the Statements of Operations.
E. FEDERAL INCOME TAXES
Each Fund intends to qualify and Dimensional US Core Equity Market ETF, Dimensional International Core Equity Market ETF, and Dimensional Emerging Core Equity Market ETF have qualified and intend to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code for federal income tax purposes and to distribute substantially all of its taxable income and net capital gains to its shareholders. Accordingly, no provision has been made for federal income taxes.
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Distributions from net investment income and net realized capital gains are determined in accordance with U.S. federal income tax regulations, which may differ from those amounts determined under accounting principles generally accepted in the United States of America. These book/tax differences are either temporary or permanent in nature. To the extent that these differences are permanent, they are charged or credited to paid-in capital or distributable earnings, undistributed net investment income or accumulated net realized gains or losses, as appropriate, in the period that the differences arise. Accordingly, the permanent differences as of October 31, 2021 can occur as a result of realized gains on securities considered to be “passive foreign investment companies,” non-deductible expenses, net foreign currency gains/losses, the use of accumulated earnings and profits distributed to shareholders on redemptions of shares as part of the dividends paid deduction for income tax purposes, and were reclassified to the accounts mentioned above. These reclassifications had no effect on net assets or net asset value per share.
The tax character of dividends and distributions declared and paid during the year ended October 31, 2021, were as follows (amounts in thousands):
Net Investment Income and Short- Term Gain |
Long Term Capital Gains |
Tax Exempt Income |
Total | |||||||||||||
US Core Equity ETF |
||||||||||||||||
2021 |
$ | 6,738 | $ | — | $ | — | $ | 6,738 | ||||||||
International Core ETF |
||||||||||||||||
2021 |
6,749 | — | — | 6,749 | ||||||||||||
Emerging Markets Core ETF |
||||||||||||||||
2021 |
3,526 | — | — | 3,526 |
As of October 31, 2021, the components of distributable earnings (accumulated losses) were as follows (amounts in thousands):
Undistributed Net Investment Income and Short-Term Capital Gains |
Undistributed Long-Term Capital Gains |
Capital Loss Carryforwards |
Unrealized Appreciation/ (Depreciation) |
Total
Net Distributable Earnings (Accumulated Losses) |
||||||||||||||||
US Core Equity ETF |
$ | 1,980 | $ | — | $ | (1,271 | ) | $ | 148,602 | $ | 149,311 | |||||||||
International Core ETF |
3,096 | — | (797 | ) | 31,060 | 33,359 | ||||||||||||||
Emerging Markets Core ETF |
1,448 | — | (627 | ) | (8,260 | ) | (7,439 | ) |
For federal income tax purposes, the Funds measure their capital loss carryforwards annually at October 31, their fiscal year end. Capital loss carryforwards may be carried forward and applied against future capital gains. As of October 31, 2021, the Funds had the following capital loss carryforwards available to offset future realized capital gains with no expiration date (amounts in thousands):
Unlimited | Total | |||||||
US Core Equity ETF |
$ | 1,271 | $ | 1,271 | ||||
International Core ETF |
797 | 797 | ||||||
Emerging Markets Core ETF |
627 | 627 |
During the year ended October 31, 2021, the Funds did not utilize any capital loss carryforwards to offset realized capital gains for federal income tax purposes.
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As of April 30, 2022, the total cost and aggregate gross unrealized appreciation (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes, as follows (amounts in thousands):
Tax Cost of Securities |
Unrealized Appreciation |
Unrealized (Depreciation) |
Net Unrealized Appreciation/ (Depreciation) |
|||||||||||||
US Core Equity ETF |
$ | 1,968,834 | $ | 120,106 | $ | (170,287 | ) | $ | (50,181 | ) | ||||||
US High Profitability ETF |
236,721 | 3,887 | (12,897 | ) | (9,010 | ) | ||||||||||
US Real Estate ETF |
60,284 | 984 | (1,496 | ) | (512 | ) | ||||||||||
US Small Cap Value ETF |
50,703 | 639 | (2,910 | ) | (2,271 | ) | ||||||||||
International Core ETF |
1,558,084 | 54,031 | (169,430 | ) | (115,399 | ) | ||||||||||
International Core Equity 2 ETF |
121,897 | 758 | (8,087 | ) | (7,329 | ) | ||||||||||
International Small Cap Value ETF |
47,435 | 391 | (2,539 | ) | (2,148 | ) | ||||||||||
International Small Cap ETF |
32,185 | 357 | (2,319 | ) | (1,962 | ) | ||||||||||
International High Profitability ETF |
141,269 | 551 | (5,100 | ) | (4,549 | ) | ||||||||||
Emerging Markets Core ETF |
982,104 | 42,305 | (116,276 | ) | (73,971 | ) | ||||||||||
Emerging Markets High Profitability ETF |
4,974 | 132 | (43 | ) | 89 | |||||||||||
Emerging Markets Value ETF |
43,617 | 569 | (222 | ) | 347 | |||||||||||
Emerging Markets Core 2 ETF |
59,603 | 1,117 | (286 | ) | 831 |
The difference between GAAP-basis and tax-basis unrealized gains (losses) can occur as a result of wash sales, net mark-to-market gains (losses) on regulated futures contracts, net mark-to-market gain/loss on foreign currency contracts, and differences in the tax treatment of passive foreign investment company investments.
ASC 740 Accounting for Uncertainty in Income Taxes sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. Management has analyzed the Dimensional US Core Equity Market ETF, Dimensional International Core Equity Market ETF, and Dimensional Emerging Core Equity Market ETF tax positions and for the remaining funds for all open tax years and all major taxing jurisdictions, management of the Funds has concluded that no additional provision for income tax is required in the Funds’ financial statements. The Funds are not aware of any tax positions for which it is more likely than not that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. Dimensional US Core Equity Market ETF, Dimensional International Core Equity Market ETF, and Dimensional Emerging Core Equity Market ETF federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
F. SECURITIES LENDING
As of April 30, 2022, the Funds had securities on loan to brokers/dealers, for which the Funds received cash collateral. Additionally, the Funds received non-cash collateral consisting of short- and/or long-term U.S. Treasuries and U.S. government agency securities as follows (amounts in thousands):
Non-Cash Collateral Market Value |
||||
International Core ETF |
$ | 3,317 | ||
International Core Equity 2 ETF |
— | |||
International Small Cap Value ETF |
1 | |||
International Small Cap ETF |
1 | |||
Emerging Markets Core ETF |
13,630 |
Each Fund with securities on loan invests the cash collateral, as described below, and records a liability for the return of the collateral during the period the securities are on loan. Loans of securities are expected at all times to be secured by collateral in an amount (i) equal to at least 100% of the current market value of the loaned securities with respect to securities of the U.S. government or its agencies, (ii) generally equal to 102% of the current market
85
value of the loaned securities with respect to U.S. securities, and (iii) generally equal to 105% of the current market value of the loaned securities with respect to foreign securities. However, daily market fluctuations could cause the Funds’ collateral to be lower or higher than the expected thresholds. If this were to occur, the collateral would be adjusted the next business day to ensure adequate collateralization. In the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. If the borrower fails to return loaned securities, cash collateral being maintained by the borrower is insufficient to cover the value of loaned securities, and such collateral insufficiency is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Fund or, at the option of the lending agent, to replace the securities. In the event of the bankruptcy of the borrower, the Fund could experience delay in recovering the loaned securities or only recover cash or a security of equivalent value.
Subject to its stated investment policies, a Fund with securities on loan will generally invest the cash collateral received for the loaned securities in The DFA Short Term Investment Fund (the “Money Market Series”), an affiliated registered money market fund advised by the Advisor for which the Advisor receives a management fee of 0.05% of the average daily net assets of the Money Market Series. Income received from the Money Market Series is netted with fees for securities lending and collateral investment expenses and with other payments to and from borrowers of securities. The Funds also may invest the cash collateral received for the loaned securities in securities of the U.S. government or its agencies, repurchase agreements collateralized by securities of the U.S. government or its agencies, and affiliated or unaffiliated money market funds that are registered or unregistered. For purposes of this paragraph, agencies include both agency debentures and agency mortgage-backed securities. Additionally, a Fund will be able to terminate the loan at any time and will receive reasonable interest on the loan, as well as amounts equal to any dividends, interest or, other distributions on the loaned securities. However, dividend income received from loaned securities may not be eligible for taxation at qualified dividend income rates.
The following table reflects a breakdown of transactions accounted for as secured borrowings, the gross obligation by the type of collateral pledged, and the remaining contractual maturity of those transactions as of April 30, 2022 (amounts in thousands):
Remaining Contractual Maturity of the Agreements | ||||||||||||||||||||
Overnight and Continuous |
< 30 days | Between 30 & 90 days |
> 90 days | Total | ||||||||||||||||
US Core Equity ETF |
||||||||||||||||||||
Common Stocks |
$ | 13,800 | $ | — | $ | — | $ | — | $ | 13,800 | ||||||||||
International Core ETF |
||||||||||||||||||||
Common Stocks |
43,734 | — | — | — | 43,734 | |||||||||||||||
International Core Equity 2 ETF |
||||||||||||||||||||
Common Stocks |
20 | — | — | — | 20 | |||||||||||||||
International Small Cap Value ETF |
||||||||||||||||||||
Common Stocks |
1 | — | — | — | 1 | |||||||||||||||
International Small Cap ETF |
||||||||||||||||||||
Common Stocks |
10 | — | — | — | 10 | |||||||||||||||
International High Profitability ETF |
||||||||||||||||||||
Common Stocks |
398 | — | — | — | 398 | |||||||||||||||
Emerging Markets Core ETF |
||||||||||||||||||||
Common Stocks |
6,772 | — | — | — | 6,772 |
G. AFFILIATED TRADES
Cross trades for the period ended April 30, 2022, if any, were executed by the Funds pursuant to procedures adopted by the Board of Trustees of the Trust to ensure compliance with Rule 17a-7 under the 1940 Act. Cross trading is the buying or selling of fund securities between series of investment companies, or between a series of an investment company and another entity, that are or could be considered affiliates by virtue of a common investment advisor (or affiliated investment advisors), common Trustees and/or common Officers. At its regularly scheduled meetings, the CCO certifies to the Board that the 17a-7 transactions entered into by the Funds complied with the Rule 17a-7 Procedures adopted by the Board of Trustees of the Trust.
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For the period ended April 30, 2022, cross trades by the Funds under Rule 17a-7 were as follows (amounts in thousands):
Purchases | Sales | Realized Gain (Loss) |
||||||||||
US Core Equity ETF |
$ | 1,043 | $ | 1,553 | $ | (479 | ) | |||||
International Core ETF |
1,527 | 350 | (41 | ) |
H. INVESTMENT TRANSACTIONS
Purchases and sales of investments, excluding in-kind transactions and short-term investments, for the period ended April 30, 2022 were as follows (amounts in thousands):
Purchases | Sales | |||||||
US Core Equity ETF |
$ | 40,752 | $ | 28,710 | ||||
US High Profitability ETF |
159 | 203 | ||||||
US Real Estate ETF |
178 | — | ||||||
US Small Cap Value ETF |
249 | — | ||||||
International Core ETF |
71,498 | 17,770 | ||||||
International Core Equity 2 ETF |
3,237 | 29 | ||||||
International Small Cap Value ETF |
1,072 | 34 | ||||||
International Small Cap ETF |
797 | 10 | ||||||
International High Profitability ETF |
3,231 | — | ||||||
Emerging Markets Core ETF |
496,665 | 16,669 | ||||||
Emerging Markets High Profitability ETF |
4,974 | — | ||||||
Emerging Markets Value ETF |
37,311 | — | ||||||
Emerging Markets Core 2 ETF |
49,731 | — |
In-kind transactions for the period ended April 30, 2022 were as follows (amounts in thousands):
Purchases | Sales | |||||||
US Core Equity ETF |
$ | 788,453 | $ | 12,208 | ||||
US High Profitability ETF |
235,538 | — | ||||||
US Real Estate ETF |
60,106 | — | ||||||
US Small Cap Value ETF |
50,473 | — | ||||||
International Core ETF |
766,694 | — | ||||||
International Core Equity 2 ETF |
118,687 | — | ||||||
International Small Cap Value ETF |
45,262 | — | ||||||
International Small Cap ETF |
31,398 | — | ||||||
International High Profitability ETF |
131,160 | — | ||||||
Emerging Markets Core ETF |
100,772 | — | ||||||
Emerging Markets High Profitability ETF |
— | — | ||||||
Emerging Markets Value ETF |
6,307 | — | ||||||
Emerging Markets Core 2 ETF |
8,669 | — |
There were no purchases or sales of U.S. government securities during the period ended April 30, 2022.
I. CAPITAL SHARES TRANSACTIONS
Shares are issued and redeemed by each Fund only in aggregations of a specified number of shares or multiples thereof at net asset value. Except when aggregated in Creation Units, shares of each Fund are not redeemable. Transactions in shares for each Fund are disclosed in detail on the Statement of Changes in Net Assets.
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The consideration for the purchase of Creation Units of a Fund generally consists of the in-kind deposit of a designated basket of securities, which constitutes an optimized representation of the securities of that Fund’s specified universe, and an amount of cash. Investors purchasing and redeeming Creation Units may be charged a transaction fee to cover the transfer and other transactional costs it incurs to issue or redeem Creation Units. The Advisor may increase, decrease or otherwise modify the creation transaction fee to an amount that, in its judgment, is necessary or appropriate to recoup for the Fund the costs it may incur as a result of such purchases, or to otherwise eliminate or reduce so far as practicable any dilution of the value of the Shares.
Such transactions fees are treated as increases in capital and are disclosed in the Funds’ Statements of Changes in Net Assets.
From time to time, settlement of securities related to subscriptions-in-kind or redemptions-in-kind may be delayed. In such cases, securities related to in-kind contributions are reflected as “Due from custodian” and securities related to in-kind redemptions are reflected as “Securities payable related to in-kind transactions” on the Statements of Assets and Liabilities.
J. FINANCIAL INSTRUMENTS
In accordance with the Funds’ investment objectives and policies, the Funds may invest in certain financial instruments that have off-balance sheet risk in excess of the amounts recognized in the financial statements and concentrations of credit and market risk. These instruments and their significant corresponding risks are described below:
Foreign Market Risks: Investments in foreign markets may involve certain considerations and risks not typically associated with investments in the United States of America, including the possibility of future political and economic developments and the level of foreign governmental supervision and regulation of foreign securities markets. These markets are generally smaller, less liquid and more volatile than the major securities markets in the United States of America. Consequently, acquisition and disposition of international securities held by the Funds may be inhibited.
K. LINE OF CREDIT AND INTERFUND LENDING PROGRAM
The Trust, together with other Dimensional-advised funds, has entered into a $700 million unsecured line of credit with its custodian bank effective January 2, 2022. A line of credit with similar terms was in effect through January 1, 2022. Each fund is permitted to borrow, subject to its investment limitations, up to a maximum of $500 million, as long as total borrowings under the line of credit do not exceed $700 million in the aggregate. Each Fund is individually, and not jointly, liable for its particular advances under the line of credit. Borrowings under the line of credit are charged interest at rates agreed upon by the parties at the time of borrowing. There is no commitment fee on the unused portion of the line of credit. The line of credit agreement expires on January 1, 2023.
For the period ended April 30, 2022, borrowings by the Funds under the line of credit were as follows (amounts in thousands, except percentages and days):
Weighted Average Interest Rate |
Weighted Average Loan Balance |
Number of Days Outstanding* |
Interest Expense Incurred |
Maximum Amount Borrowed During the Period |
Outstanding Borrowings as of 4/30/2022 |
|||||||||||||||||||
Emerging Markets Core ETF |
0.83 | % | $ | 78 | 2 | — | $ | 146 | — |
* |
Number of Days Outstanding represents the total of single or consecutive days during the six months ended April 30, 2022 that the Fund’s available line of credit was used. |
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Pursuant to an exemptive order issued by the SEC (the “Order”), the Funds may participate in an interfund lending program among certain funds managed by the Advisor (funds that operate as feeder funds do not participate in the program). The program allows the participating funds to borrow money from and loan money to each other for temporary or emergency purposes, subject to the conditions in the Order. A loan can only be made through the program if the interfund loan rate on that day is more favorable to both the borrowing and lending funds as compared to rates available through short-term bank loans or investments in overnight repurchase agreements and money market funds, respectively, as detailed in the Order. Further, a fund may participate in the program only if and to the extent that such participation is consistent with its investment objectives and limitations. Interfund loans have a maximum duration of seven days and may be called on one business day’s notice.
The Funds did not use the interfund lending program during the period ended April 30, 2022.
L. RECENTLY ISSUED ACCOUNTING STANDARDS AND REGULATIONS
In March 2020, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2020-04, Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting. In January 2021, the FASB issued ASU No. 2021-01, with further amendments to Topic 848. The amendments in the ASUs provide optional temporary accounting recognition and financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the LIBOR and other interbank-offered based reference rates as of the end of 2021 and 2023. The ASUs are effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. Management has reviewed the requirements and believes the adoption of these ASUs will not have a material impact on the Funds’ financial statements.
In October 2020, the SEC adopted new regulations governing the use of derivatives by registered investment companies. Rule 18f-4 (the “Derivatives Rule”) imposes limits on the amount of derivatives contracts the Funds could enter, eliminate the asset segregation framework currently used by the Funds to comply with Section 18 of the 1940 Act, and require funds whose use of derivatives is more than a limited specified exposure to establish and maintain a derivatives risk management program and appoint a derivatives risk manager. The Derivatives Rule became effective February 19, 2021 and the Funds are required to comply on August 19, 2022. Management is currently evaluating the effect, if any, the Derivatives Rule will have on the Funds.
On December 3, 2020, the SEC adopted new Rule 2a-5 (the “Valuation Rule”) under the Investment Company Act of 1940, establishing an updated regulatory framework for fund valuation. The Valuation Rule, in part, provides a framework for good faith fair value determination and permits a Board to designate fair value determinations to a fund’s investment adviser. Further, the SEC is rescinding previously issued guidance on related issues. The Valuation Rule became effective on March 8, 2021, with a compliance date of September 8, 2022. Management is currently evaluating the Valuation Rule and its effect on the Funds.
M. OTHER
The Funds are subject to claims and suits that arise from time to time in the ordinary course of business (for example, claw back litigation against former shareholders of fund companies that filed for bankruptcy, such as the now ended litigation involving The Tribune Company and the ongoing litigation involving Nine West). Although management currently believes that resolving claims against the Funds, individually or in aggregate, will not have a material adverse impact on the Funds’ financial position, results of operations, or cash flows, these matters are subject to inherent uncertainties and management’s view of these matters may change in the future.
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As of April 30, 2022, the following number of shareholders held the following approximate percentages of the Funds’ outstanding shares. The following shareholders are omnibus accounts, which typically hold shares for the benefit of several other underlying investors.
Number of Shareholders |
Approximate Percentage of Outstanding Shares |
|||||||
US Core Equity ETF |
2 | 100 | % | |||||
US High Profitability ETF |
1 | 100 | % | |||||
US Real Estate ETF |
1 | 100 | % | |||||
US Small Cap Value ETF |
1 | 100 | % | |||||
International Core ETF |
1 | 100 | % | |||||
International Core Equity 2 ETF |
1 | 100 | % | |||||
International Small Cap Value ETF |
1 | 100 | % | |||||
International Small Cap ETF |
1 | 100 | % | |||||
International High Profitability ETF |
1 | 100 | % | |||||
Emerging Markets Core ETF |
1 | 100 | % | |||||
Emerging Markets High Profitability ETF |
1 | 100 | % | |||||
Emerging Markets Value ETF |
1 | 100 | % | |||||
Emerging Markets Core 2 ETF |
1 | 100 | % |
N. CONFLICT BETWEEN RUSSIA AND UKRAINE
As a result of the conflict between Russia and Ukraine that began in February 2022, economic sanctions have been placed on Russia and certain of its citizens. It is uncertain how long the conflict, economic sanctions, and any resulting effect on global markets will continue. Management is currently evaluating the effect of these developments on the Funds.
O. SUBSEQUENT EVENTS
Management has evaluated the impact of all subsequent events on the Funds through the date on which the financial statements were issued and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements.
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RESULTS OF THE SHAREHOLDER MEETING
On December 29, 2021, Dimensional ETF Trust (“DET”) held a Special Joint Meeting of Shareholders for the purpose of considering and voting upon the election of Trustees. Trustees were elected by the shareholders of all series of DET, including the Funds that were operational as of the record date. The results of the voting were as follows:
DET
Proposal: Election of Trustees*
For Vote | Withhold Vote |
Total Vote | % For Vote |
% Withhold Vote |
% Total Vote |
|||||||||||||||||||
1. Reena Aggarwal |
461,913,282 | 2,821,367 | 464,734,649 | 99.39 | % | 0.61 | % | 100.00 | % | |||||||||||||||
2. David P. Butler |
461,624,490 | 3,110,159 | 464,734,649 | 99.33 | % | 0.67 | % | 100.00 | % | |||||||||||||||
3. George M Constantinides |
460,449,677 | 4,284,972 | 464,734,649 | 99.08 | % | 0.92 | % | 100.00 | % | |||||||||||||||
4. Douglas W. Diamond |
461,505,330 | 3,229,319 | 464,734,649 | 99.31 | % | 0.69 | % | 100.00 | % | |||||||||||||||
5. Darrell Duffie |
461,603,406 | 3,131,243 | 464,734,649 | 99.33 | % | 0.67 | % | 100.00 | % | |||||||||||||||
6. Francis A. Longstaff |
461,641,978 | 3,092,671 | 464,734,649 | 99.33 | % | 0.67 | % | 100.00 | % | |||||||||||||||
7. Gerard K. O’Reilly |
461,591,777 | 3,142,872 | 464,734,649 | 99.32 | % | 0.68 | % | 100.00 | % | |||||||||||||||
8. Abbie J. Smith |
461,104,076 | 3,630,573 | 464,734,649 | 99.22 | % | 0.78 | % | 100.00 | % | |||||||||||||||
9. Heather E. Tookes |
461,961,684 | 2,772,965 | 464,734,649 | 99.40 | % | 0.60 | % | 100.00 | % | |||||||||||||||
10. Ingrid M. Werner |
461,292,481 | 3,442,168 | 464,734,649 | 99.26 | % | 0.74 | % | 100.00 | % |
* |
Results are for all series within DET |
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VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Fund and the Trust use in voting proxies relating to securities held in the portfolios is available (1) without charge, upon request, by calling collect: (512) 306-7400 (2) from the Advisor’s website at http://us.dimensional.com; and (3) on the SEC’s website at http://www.sec.gov. Information regarding how the Advisor votes these proxies is available from the EDGAR database on the SEC’s website at http://www.sec.gov and from the Advisor’s website at http://us.dimensional.com/about-us/investment-stewardship and reflects the twelve-month period beginning July 1st and ending June 30th.
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STATEMENT REGARDING LIQUIDITY RISK MANAGEMENT PROGRAM
Each series/portfolio of DFA Investment Dimensions Group Inc., Dimensional Investment Group Inc., Dimensional Emerging Markets Value Fund, Dimensional ETF Trust and The DFA Investment Trust Company, except for The DFA Short Term Investment Fund (each, a “Fund”), has adopted and implemented a written liquidity risk management program (the “Program”) pursuant to Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”). The Program includes policies and procedures reasonably designed to assess and manage each Fund’s liquidity risk (which is defined as the “risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund”) and to comply with the requirements of the Liquidity Rule, including with respect to: (i) assessment, management and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) establishment of a highly liquid investment minimum (“HLIM”), as applicable; (iv) illiquid investments; and (v) redemptions in-kind.
Each Fund’s Board of Directors/Trustees (collectively, the “Board”) previously approved the designation of the Liquidity Risk Management Committee of Dimensional Fund Advisors LP, each Fund’s investment advisor, to serve as administrator of the Program (the “Program Administrator”). The Program Administrator oversees the monitoring of liquidity and liquidity risk for each Fund on an ongoing basis.
At a meeting of the Board held on March 24-25, 2022, the Program Administrator provided its annual written report (the “Report”) to the Board addressing the operation of the Program and assessing its adequacy and effectiveness of implementation and any material changes to the Program for the period from January 1, 2021 through December 31, 2021 (the “Reporting Period”).
The Program Administrator conducted an annual review of each Fund’s liquidity risk in accordance with the requirements of the Liquidity Rule, taking into account the following factors enumerated in the Liquidity Rule and identified in the Program, as applicable:
1) Each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions, including: (i) whether the Fund’s investment strategy is appropriate for an open-end fund; (ii) the extent to which the Fund’s strategy involves a relatively concentrated portfolio or large positions in particular issuers; (iii) the Fund’s use of borrowings for investment purposes; and (iv) the Fund’s use of derivatives;
2) Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions;
3) Holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources; and
4) For the series of the Dimensional ETF Trust that operate as exchange-traded funds (“ETFs”), in addition to the factors above: (i) the relationship between the ETF’s portfolio liquidity and the way in which, and the prices and spreads at which, ETF shares trade, including, the efficiency of the arbitrage function and the level of active participation by market participants (including authorized participants); and (ii) the effect of the composition of baskets on the overall liquidity of the ETF’s portfolio.
Based on the information considered, which included a review of notable liquidity matters that arose during the Reporting Period such as the impacts of extended market holidays and the transition away from the London Inter-Bank Offered Rate on the Funds’ portfolio liquidity, as applicable, the Report concluded that each of the Funds continues to have an investment strategy that is appropriate for an open-end fund, and that each of the Funds is reasonably likely to be able to meet redemption requests without significant dilution of remaining shareholders’ interests in the Fund. The Report further noted the flexibility of the Funds to draw on a line of credit and/or engage in interfund lending, as applicable.
In accordance with the Program, each Fund’s portfolio investments were classified into one of four liquidity categories as provided in the Liquidity Rule as applicable during the Reporting Period. Liquidity classification determinations take into account a variety of factors including market, trading and investment-specific considerations, as well as market depth in accordance with the requirements of the Liquidity Rule and as specified
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in the Program, and generally incorporate analysis from a third-party data vendor. The Report reviewed the adequacy of the vendor methodology and services provided to the Funds during the Reporting Period and noted that the liquidity model functioned as intended.
Pursuant to the Liquidity Rule, no Fund may acquire any illiquid investment if, after the acquisition, the Fund would have invested more than 15% of its assets in illiquid investments that are assets. The Report concluded that the Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirements, as applicable, and that such provisions were implemented effectively during the Reporting Period.
In addition, the Report also referenced the ability of each Fund to effect in-kind redemptions to manage liquidity as needed and actual in-kind transactions pursuant to the Funds’ applicable policies and procedures effected during the Reporting Period. The Report further noted that the ETFs settle redemptions in-kind with authorized participants in the primary market.
During the Reporting Period, each of the Funds that is subject to the HLIM provisions of the Program qualified as a fund that primarily holds assets that are highly liquid investments and, therefore, no Fund was required to establish or comply with an HLIM as set forth in the Program.
On the basis of the review, the Report concluded that: (i) the Program remains reasonably designed to manage each Fund’s liquidity risk; (ii) the Program was implemented and operated effectively to achieve the goal of assessing and managing each Fund’s liquidity risk during the Reporting Period; and (iii) each Fund was able to meet requests for redemption without significant dilution of remaining investors in the Fund during the Reporting Period.
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BOARD APPROVAL OF INVESTMENT MANAGEMENT AGREEMENTS
At the Board meeting held on December 14-15, 2021 (the “Meeting”), the Board of Trustees of Dimensional ETF Trust (the “Board”) considered the continuation of the investment management agreements for Dimensional US Core Equity Market ETF, Dimensional International Core Equity Market ETF, and Dimensional Emerging Core Equity Market ETF (collectively, the “Funds”) and, if applicable, a Fund’s sub-advisory agreements. For certain Funds, Dimensional Fund Advisors Ltd. or DFA Australia Limited serves as a sub-advisor. (The investment management agreements and the sub-advisory agreements are referred to as the “Management Agreements,” and the Advisor and sub-advisors are referred to as the “Advisor.”)
Prior to the Meeting, independent counsel to the Independent Board Members sent to the Advisor a request for information, which identified the information that the Independent Board Members wished to receive in order to consider the continuation of the Management Agreements. At a Board meeting held on October 29, 2021, the Board discussed the materials provided by the Advisor, the independent reports prepared by Access Data Inc. (the “Access Data Reports”), and issues related to the continuation of the Management Agreements. Also in advance of the Meeting, the Independent Board Members met with their independent counsel to discuss the materials and management provided additional materials to address and respond to questions that the Independent Board Members posed after their review and analysis of materials provided by the Advisor and the Access Data Reports.
At the Meeting, the Board considered a number of factors when considering the continuation of each Management Agreement for a Fund, including: (i) the nature, extent and quality of services provided by the Advisor to each Fund; (ii) the performance of each Fund and the Advisor; (iii) the fees and expenses borne by each Fund; (iv) the profitability realized by the Advisor from the relationship with each Fund; and (v) whether economies of scale are realized by the Advisor with respect to each Fund as it grows larger, and the extent to which this is reflected in the level of the management fee charged.
When considering the nature and quality of the services provided by the Advisor to a Fund, the Board reviewed: (a) the scope and depth of the Advisor’s organization; (b) the experience and expertise of its investment professionals currently providing management services to the Fund; and (c) the Advisor’s investment global advisory capabilities. The Board evaluated the Advisor’s portfolio management process and discussed the unique features of the Advisor’s investment approach. The Board also considered the nature and character of non-investment advisory services provided by the Advisor, including administrative services. After analyzing the caliber of services provided by the Advisor to each Fund, both quantitatively and qualitatively, including the impact of these services on investment performance, the Board concluded that the nature, extent and quality of services provided to each Fund were consistent with the operational requirements of the Fund and met the needs of the shareholders of the Fund.
In considering the performance of each Fund, the Board analyzed the Access Data Reports, which compared the performance of each Fund with other funds in its respective peer group and investment category. The Board also reviewed the performance analysis prepared by the Advisor, which presented the performance of each Fund and its benchmark index, over multiple performance periods, along with the Advisor’s explanation of the performance. The Board concluded that the Advisor’s explanations provided a sound basis for understanding the comparative performance of the Funds. The Board determined, among other things, that after considering each Fund’s investment strategies and the expectations of its shareholder base, the performance of each Fund was reasonable as compared with relevant performance standards and appropriate market indexes.
When considering the fees and expenses borne by each Fund, and considering the reasonableness of the management fees paid to the Advisor in light of the services provided to the Fund and any additional benefits received by the Advisor in connection with providing such services, the Board compared the fees charged by the Advisor to the Fund to the fees charged to the funds in its peer group for comparable services as provided in the Access Data Reports. The Board concluded that the effective management fees and total expenses of each Fund over various periods were favorable in relation to those of its peer funds, and that the management fees were fair, both on an absolute basis and in comparison with the fees of other funds identified in the peer groups and the industry at large.
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The Board considered the profitability of each Fund to the Advisor by reviewing the profitability analysis provided by the Advisor, including information about its fee revenues and income. The Board reviewed the overall profitability of the Advisor, and the compensation that it received for providing services to each Fund. The Board considered the profitability to the Advisor of managing and servicing the Funds and the Advisor’s unregistered clients, such as collective trusts, group trusts and separate accounts. Upon closely examining the Advisor’s profitability, the Board concluded, among other things, that it was reasonable and similar to the profitability reported in previous years.
The Board also discussed whether economies of scale are realized by the Advisor with respect to each Fund as it grows larger, and the extent to which this is reflected in the level of management fees charged. For several reasons, the Board concluded that economies of scale and the reflection of such economies of scale in the level of management fees charged were inapplicable to each Fund at the present time, due to the current level of fees and expenses and the profitability of the Fund.
After full consideration of the factors discussed above, with no single factor identified as being of paramount importance, the Board, including the Independent Board Members, with the assistance of independent counsel, concluded that the continuation of the Management Agreement for each Fund was in the best interests of the Fund and its shareholders.
Also at the Meeting, the Board considered the approval of the Investment Management Agreements for the Dimensional US High Profitability ETF, Dimensional US Real Estate ETF, Dimensional US Small Cap Value ETF, Dimensional International Core Equity 2 ETF, Dimensional International Small Cap Value ETF, Dimensional International Small Cap ETF, Dimensional International High Profitability ETF, Dimensional Emerging Markets High Profitability ETF, Dimensional Emerging Markets Value ETF, and Dimensional Emerging Markets Core Equity 2 ETF (collectively, the “New Funds”) and, if applicable, a New Fund’s sub-advisory agreements. For certain New Funds, Dimensional Fund Advisors Ltd. and DFA Australia Limited serve as sub-advisors. (The Investment Management Agreements and the sub-advisory agreements are referred to as the “Management Agreements,” and the Advisor and sub-advisors are referred to as the “Advisor.”)
At the Meeting, the Board considered a number of factors when considering the approval of each Management Agreement for a New Fund, including: (i) the nature, extent and quality of services to be provided by the Advisor to each New Fund; (ii) the performance of the Advisor; (iii) the fees and expenses to be borne by each New Fund; (iv) the profitability to be realized by the Advisor from the relationship with each New Fund; and (v) whether economies of scale would be realized by the Advisor with respect to each New Fund as it grows larger, and the extent to which this is reflected in the level of the management fee charged.
When considering the nature and quality of the services to be provided by the Advisor to a New Fund, the Board reviewed: (a) the scope and depth of the Advisor’s organization; (b) the experience and expertise of its investment professionals that will be providing management services to the New Fund; and (c) the Advisor’s investment advisory capabilities. The Board evaluated the Advisor’s portfolio management process for each New Fund and discussed the unique features of the Advisor’s investment approach. The Board also considered the nature and character of non-investment management services that will be provided by the Advisor, including administrative services. After analyzing the caliber of services to be provided by the Advisor to each New Fund, both quantitatively and qualitatively, the Board concluded that the nature, extent and quality of services to be provided to each New Fund were consistent the New Fund’s anticipated operational requirements.
The Board also noted that, as each New Fund had not yet commenced investment operations, there was no investment performance for each New Fund or the Advisor in managing the New Fund for the Board to evaluate. Furthermore, the Board noted that the Advisor could not report any financial results from its relationship with each New Fund because each New Fund had not yet commenced investment operations, and thus, the Board could not evaluate profitability.
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The Board also considered the proposed fees and projected expenses for each New Fund, and compared the fees to be charged to a New Fund by the Advisor to the fees charged by the Advisor to other relevant investment portfolios managed by the Advisor, and to the fees charged other funds managed by third parties in each New Fund’s anticipated peer group for comparable services. The Board concluded, among other things, that the proposed management fee and anticipated total expenses of each New Fund appeared to compare favorably to expected peer funds managed by others and to other investment portfolios managed by the Advisor, and that the proposed management fee for each New Fund was fair, both on an absolute basis and in comparison with other funds likely to be in the New Fund’s peer group. The Board also noted that the Advisor had agreed to a contractual fee waiver arrangement to limit the expenses of each New Fund. The Board also concluded that the shareholders of each New Fund were likely to receive reasonable value in return for paying the fees and expenses of the New Fund. The Board also concluded that, given each New Fund’s proposed management fee and each New Fund’s likely ranking among peer funds with respect to fees, economies of scale and the reflection of such economies of scale in the level of management fee charged were inapplicable to each New Fund at the present time.
After full consideration of the factors discussed above, with no single factor identified as being of paramount importance, the Board, including the Independent Board Members, with the assistance of independent counsel, concluded that the approval of the Management Agreements for each New Fund was in the best interests of the New Fund and its shareholders.
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DFA043022-073S |