Annual Report
Period Ended: October 31, 2021
DIMENSIONAL ETF TRUST
Dimensional U.S. Equity ETF
Dimensional US Core Equity Market ETF
Dimensional U.S. Core Equity 2 ETF
Dimensional U.S. Small Cap ETF
Dimensional U.S. Targeted Value ETF
Dimensional International Core Equity Market ETF
Dimensional International Value ETF
Dimensional Emerging Core Equity Market ETF
Dimensional World ex U.S. Core Equity 2 ETF
December 2021
Dear Shareholder,
As we near the end of a year that saw us mark four decades since our founding, we want to thank you for entrusting us with your investments. We built Dimensional to implement the great ideas in finance, with the goal of transforming the investor experience for the better.
We are proud of the role Dimensional has played over the past 40 years in helping drive down costs, providing solutions that can improve diversification, and contributing to investor education. We’re committed to continuing to enhance our research-driven strategies, our efficient implementation, and the services we provide.
Just this past year, we launched an expanded offering for separately managed accounts, broadened our suite of fixed income solutions, and became one of the first asset managers to convert mutual funds into exchange-traded funds, offering greater choice in how investors access Dimensional’s strategies.
We have always focused on empowering financial professionals so they can meet their clients’ evolving needs. The solutions we have recently developed will help further that mission, offering more ability to customize and tailor investments to investors’ specific situations. It’s all part of our enduring tradition of innovation to enable the best possible experience for investors.
For 40 years, we have trusted markets. And for 40 years, we have built trust with financial professionals and investors around the world. The advances made in the industry have been profound for investors, and we believe this is just the beginning. We look forward to many more years of innovating on behalf of our clients and investors.
Sincerely,
David P. Butler | Gerard O’Reilly | |
CO-CHIEF EXECUTIVE OFFICER | CO-CHIEF EXECUTIVE OFFICER and CHIEF INVESTMENT OFFICER |
DIMENSIONAL ETF TRUST
ANNUAL REPORT
Letter to Shareholders |
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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.
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DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
(Unaudited)
Summary Schedules of Portfolio Holdings | ||
Investment Abbreviations | ||
PLC | Public Limited Company | |
SA | Special Assessment | |
ADR | American Depositary Receipt | |
GDR | Global Depositary Receipt | |
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 | |
@ | Security purchased with cash collateral received from Securities on Loan | |
§ | Affiliated Fund | |
# | Total or Partial Securities on Loan | |
Financial Highlights | ||
(a) | Computed using average shares outstanding | |
(b) | Net asset value (“NAV”) 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)
Dimensional U.S. Equity ETF vs.
Russell 3000® Index
October 31, 2011-October 31, 2021
|
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption or sale of fund shares. The price used to calculate market return (“Fund Market Price”) is the market closing price as determined by the fund’s listing exchange.
Frank Russell Company is the source and owner of the trademarks, service marks, and copyrights related to the Russell Indexes. | |||||||||||
Average
Annual Total Return |
One Year |
Five Years |
Ten Years |
|||||||||
Fund Net Asset Value | 43.83% | 18.95% | 16.07% | |||||||||
Fund Market Price | 43.80% | 18.94% | 16.07% |
Dimensional US Core Equity Market ETF vs.
Russell 3000® Index
November 17, 2020-October 31, 2021
|
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption or sale of fund shares. The price used to calculate market return (“Fund Market Price”) is the market closing price as determined by the fund’s listing exchange.
The inception date is the date the fund commenced operations. Shares of the fund began trading in the secondary market on November 18, 2020.
Frank Russell Company is the source and owner of the trademarks, service marks, and copyrights related to the Russell Indexes. | |||||||||||
Average
Annual Total Return |
Since Inception |
|||||||||||
Fund Net Asset Value | 29.81% | |||||||||||
Fund Market Price | 29.88% |
4
DIMENSIONAL ETF TRUST
PERFORMANCE CHARTS
(Unaudited)
Dimensional U.S. Core Equity 2 ETF vs.
Russell 3000® Index
October 31, 2011-October 31, 2021
|
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption or sale of fund shares. The price used to calculate market return (“Fund Market Price”) is the market closing price as determined by the fund’s listing exchange.
Frank Russell Company is the source and owner of the trademarks, service marks, and copyrights related to the Russell Indexes. | |||||||||||
Average
Annual Total Return |
One Year |
Five Years |
Ten Years |
|||||||||
Fund Net Asset Value | 46.47% | 16.88% | 14.96% | |||||||||
Fund Market Price | 46.57% | 16.90% | 14.96% |
Dimensional U.S. Small Cap ETF vs.
Russell 2000® Index
October 31, 2011-October 31, 2021
|
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption or sale of fund shares. The price used to calculate market return (“Fund Market Price”) is the market closing price as determined by the fund’s listing exchange.
Frank Russell Company is the source and owner of the trademarks, service marks, and copyrights related to the Russell Indexes. | |||||||||||
Average
Annual Total Return |
One Year |
Five Years |
Ten Years |
|||||||||
Fund Net Asset Value | 57.38% | 13.94% | 13.41% | |||||||||
Fund Market Price | 57.51% | 13.96% | 13.42% |
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DIMENSIONAL ETF TRUST
PERFORMANCE CHARTS
(Unaudited)
Dimensional U.S. Targeted Value ETF vs.
Russell 2000® Value Index
October 31, 2011-October 31, 2021
|
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption or sale of fund shares. The price used to calculate market return (“Fund Market Price”) is the market closing price as determined by the fund’s listing exchange.
Frank Russell Company is the source and owner of the trademarks, service marks, and copyrights related to the Russell Indexes. | |||||||||||
Average
Annual Total Return |
One Year |
Five Years |
Ten Years |
|||||||||
Fund Net Asset Value | 65.98% | 12.25% | 12.83% | |||||||||
Fund Market Price | 66.13% | 12.27% | 12.84% |
Dimensional International Core Equity Market ETF vs.
MSCI World ex USA IMI Index (net dividends)
November 17, 2020-October 31, 2021
|
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption or sale of fund shares. The price used to calculate market return (“Fund Market Price”) is the market closing price as determined by the fund’s listing exchange.
The inception date is the date the fund commenced operations. Shares of the fund began trading in the secondary market on November 18, 2020
MSCI data © MSCI 2021, all rights reserved. | |||||||||||
Average
Annual Total Return |
Since Inception |
|||||||||||
Fund Net Asset Value | 20.54% | |||||||||||
Fund Market Price | 21.08% |
6
DIMENSIONAL ETF TRUST
PERFORMANCE CHARTS
(Unaudited)
Dimensional International Value ETF vs.
MSCI World ex USA Index (net dividends)
October 31, 2011-October 31, 2021
|
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption or sale of fund shares. The price used to calculate market return (“Fund Market Price”) is the market closing price as determined by the fund’s listing exchange.
MSCI data © MSCI 2021, all rights reserved. | |||||||||||
Average
Annual Total Return |
One Year |
Five Years |
Ten Years |
|||||||||
Fund Net Asset Value | 48.18% | 7.85% | 5.87% | |||||||||
Fund Market Price | 48.68% | 7.92% | 5.90% |
Dimensional Emerging Core Equity Market ETF vs.
MSCI Emerging Markets IMI Index (net dividends)
December 1, 2020-October 31, 2021
|
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption or sale of fund shares. The price used to calculate market return (“Fund Market Price”) is the market closing price as determined by the fund’s listing exchange.
The inception date is the date the fund commenced operations. Shares of the fund began trading in the secondary market on December 2, 2020.
MSCI data © MSCI 2021, all rights reserved. | |||||||||||
Average
Annual Total Return |
Since Inception |
|||||||||||
Fund Net Asset Value | 9.33% | |||||||||||
Fund Market Price | 9.57% |
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DIMENSIONAL ETF TRUST
PERFORMANCE CHARTS
(Unaudited)
Dimensional World ex U.S. Core Equity 2 ETF vs.
MSCI All Country World ex USA Index (net dividends)
October 31, 2011-October 31, 2021
|
Past performance is not predictive of future performance.
The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption or sale of fund shares. The price used to calculate market return (“Fund Market Price”) is the market closing price as determined by the fund’s listing exchange.
MSCI data © MSCI 2021, all rights reserved. | |||||||||||
Average
Annual Total Return |
One Year |
Five Years |
Ten Years |
|||||||||
Fund Net Asset Value | 35.23% | 9.57% | 7.25% | |||||||||
Fund Market Price | 35.23% | 9.57% | 7.25% |
8
MANAGEMENT’S DISCUSSION AND ANALYSIS
U.S. Equity Market Review | 12 Months Ended October 31, 2021 |
U.S. equities had positive returns for the period. The broad U.S. equity market, as measured by the Russell 3000® Index, gained approximately 43.90%. As measured by Russell indices, small-cap stocks outperformed large-cap stocks, and mid-cap stocks, a subset of the large-cap universe, outperformed large-cap stocks but underperformed small-cap stocks. Value stocks outperformed growth stocks as measured by the Russell indices.
Total Return for 12 Months Ended October 31, 2021 |
||||
Russell 3000® Index |
43.90% | |||
Russell 1000® Index (large-cap stocks) |
43.51% | |||
Russell Midcap® Index (mid-cap stocks) |
45.40% | |||
Russell 2000® Index (small-cap stocks) |
50.80% | |||
Russell Microcap® Index (micro-cap stocks) |
62.54% | |||
Dow Jones U.S. Select REIT Index SM |
56.10% |
Total Return for 12 Months Ended October 31, 2021 |
||||
Russell 1000® Value Index (large-cap value stocks) |
43.76% | |||
Russell 1000® Growth Index (large-cap growth stocks) |
43.21% | |||
Russell 2000® Value Index (small-cap value stocks) |
64.30% | |||
Russell 2000® Growth Index (small-cap growth stocks) |
38.45% |
Source: Frank Russell Company is the source and owner of the trademarks, service marks, and copyrights related to the Russell Indexes.
U.S. Equity ETF
The U.S. Equity ETF invests in a broadly diversified group of U.S. securities while considering the federal tax implications of investment decisions. The ETF generally excludes stocks with the lowest profitability and highest relative price. The ETF also generally excludes certain companies that have high asset growth. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2021, the ETF held approximately 2,200 securities. Average cash exposure throughout the year was less than 1% of the ETF’s assets.
For the 12 months ended October 31, 2021, total returns were 43.83% on a net asset value basis for the ETF and 43.90% for the Russell 3000® Index, the ETF’s benchmark. The ETF’s exclusion of stocks with high asset growth contributed positively to performance relative to the benchmark, as those stocks underperformed. The ETF’s exclusion of stocks with the lowest profitability and highest relative price also contributed positively to relative performance, as those stocks underperformed. Conversely, the ETF’s exclusion of real estate investment trusts (REITs) detracted from performance relative to the benchmark, as REITs generally outperformed.
U.S. Targeted Value ETF
The U.S. Targeted Value ETF invests in a broadly diversified group of U.S. small- and mid-cap value stocks with higher profitability, while considering the federal tax implications of investment decisions. Additionally, the ETF generally excludes certain companies with high asset growth. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2021, the ETF held approximately 1,610 securities. Average cash exposure throughout the year was less than 1% of the ETF’s assets.
For the 12 months ended October 31, 2021, total returns were 65.98% on a net asset value basis for the ETF and 64.30% for the Russell 2000® Value Index, the ETF’s benchmark. With low relative price (value) stocks outperforming high relative price (growth) stocks, the ETF’s greater emphasis on value stocks contributed positively to performance relative to the benchmark. The ETF’s exclusion of highly regulated utilities also contributed
9
positively to relative performance, as utilities generally underperformed. Conversely, the ETF’s lesser allocation to micro-cap stocks detracted from relative performance, as these stocks outperformed.
U.S. Small Cap ETF
The U.S. Small Cap ETF invests in a broadly diversified group of U.S. small-cap stocks while considering the federal tax implications of investment decisions. The ETF generally excludes stocks with the lowest profitability and highest relative price. Additionally, the ETF generally excludes certain companies with high asset growth. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2021, the ETF held approximately 2,000 securities. Average cash exposure throughout the year was less than 1% of the ETF’s assets.
For the 12 months ended October 31, 2021, total returns were 57.38% on a net asset value basis for the ETF and 50.80% for the Russell 2000® Index, the ETF’s benchmark. The ETF’s exclusion of stocks with the lowest profitability and highest relative price contributed positively to performance relative to the benchmark, as those stocks underperformed. The ETF’s exclusion of stocks with high asset growth also contributed positively to relative performance, as those securities underperformed.
U.S. Core Equity 2 ETF
The U.S. Core Equity 2 ETF invests in a broadly diversified group of U.S. securities with increased exposure to smaller market capitalization stocks, lower relative price (value) stocks, and higher-profitability stocks relative to the market while considering federal tax implications of investment decisions. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2021, the ETF held approximately 2,580 securities. Average cash exposure throughout the year was less than 1% of the ETF’s assets.
For the 12 months ended October 31, 2021, total returns were 46.47% on a net asset value basis for the ETF and 43.90% for the Russell 3000® Index, the ETF’s benchmark. The ETF’s emphasis on small-cap stocks contributed positively to performance relative to the benchmark, as small-caps outperformed large-caps for the period. With low relative price (value) stocks outperforming high relative price (growth) stocks, the ETF’s emphasis on value stocks also contributed positively to relative performance.
U.S. Core Equity Market ETF
The U.S. Core Equity Market ETF invests in a broadly diversified group of U.S. securities with increased exposure to smaller market capitalization stocks, lower relative price (value) stocks, and higher-profitability stocks relative to the market. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2021, the ETF held approximately 2,500 securities. Average cash exposure throughout the year was less than 1% of the ETF’s assets.
From its inception on November 17, 2020, through October 31, 2021, total returns were 29.81% on a net asset value basis for the ETF and 29.65% for the Russell 3000® Index, the ETF’s benchmark. The ETF’s emphasis on small-cap stocks contributed positively to performance relative to the benchmark, as small-caps outperformed large-caps for the period. With low relative price (value) stocks outperforming high relative price (growth) stocks, the ETF’s emphasis on value stocks also contributed positively to relative performance.
International Equity Market Review | 12 Months Ended October 31, 2021 |
Performance of non-U.S. developed markets was positive for the period. As measured by the MSCI World ex USA indices, small-cap stocks outperformed large-cap stocks, and mid-cap stocks, a subset of the large-cap universe, underperformed large-cap stocks and small-cap stocks. Value stocks outperformed growth stocks as measured by the MSCI World ex USA indices.
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12 Months Ended October 31, 2021 |
||||
Return in U.S. Dollars | ||||
MSCI World ex USA Index |
35.59% | |||
MSCI World ex USA Mid Cap Index |
31.20% | |||
MSCI World ex USA Small Cap Index |
37.19% | |||
MSCI World ex USA Value Index |
40.88% | |||
MSCI World ex USA Growth Index |
30.25% |
For the 12 Months Ended October 31, 2021, the U.S. dollar appreciated against some non-U.S. developed markets currencies and depreciated against others. Overall, currency movements did not have a material overall impact on the U.S. dollar-denominated returns of developed markets.
12 Months Ended October 31, 2021 |
||||||||
Ten Largest Foreign Developed Markets by Market Cap | Local Return | Return in U.S. Dollars | ||||||
Japan |
30.75% | 19.88% | ||||||
United Kingdom |
35.57% | 43.72% | ||||||
Canada |
38.56% | 49.05% | ||||||
France |
48.30% | 47.33% | ||||||
Switzerland |
28.36% | 28.75% | ||||||
Germany |
33.47% | 32.60% | ||||||
Australia |
27.93% | 36.82% | ||||||
Netherlands |
60.71% | 59.67% | ||||||
Sweden |
40.26% | 45.36% | ||||||
Hong Kong |
18.26% | 17.91% |
Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2021, all rights reserved.
Emerging markets had positive performance for the period but underperformed both U.S. and non-U.S. developed markets. As measured by the MSCI Emerging Markets indices, small-cap stocks outperformed large-cap stocks, and mid-cap stocks, a subset of the large-cap universe, outperformed large-cap stocks but underperformed small-cap stocks. Value stocks outperformed growth stocks as measured by the MSCI Emerging Markets indices.
12 Months Ended October 31, 2021 |
||||
Return in U.S. Dollars | ||||
MSCI Emerging Markets Index |
16.96% | |||
MSCI Emerging Markets Mid Cap Index |
31.20% | |||
MSCI Emerging Markets Small Cap Index |
44.29% | |||
MSCI Emerging Markets Value Index |
28.31% | |||
MSCI Emerging Markets Growth Index |
7.38% |
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For the 12 Months Ended October 31, 2021, the U.S. dollar depreciated against some emerging markets currencies and appreciated against others. Overall, currency movements had a positive impact on the U.S. dollar denominated returns of emerging markets.
12 Months Ended October 31, 2021 |
||||||||
Ten Largest Emerging Markets by Market Cap | Local Return | Return in U.S. | ||||||
Dollars |
||||||||
China |
-9.52% | -9.21% | ||||||
Taiwan |
38.36% | 42.32% | ||||||
Korea |
27.78% | 24.08% | ||||||
India |
51.78% | 50.21% | ||||||
Russia |
64.53% | 81.80% | ||||||
Brazil |
10.38% | 12.91% | ||||||
Saudi Arabia |
56.07% | 56.04% | ||||||
South Africa |
18.16% | 26.32% | ||||||
Mexico |
42.35% | 47.44% | ||||||
Thailand |
34.75% | 26.57% |
Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2021, all rights reserved.
For Portfolios investing in non-U.S. equities traded outside of the U.S. market time zone, differences in the valuation timing and methodology between a Portfolio and its benchmark index may impact relative performance over the referenced period. The Portfolios price foreign exchange rates at the closing of the U.S. market, while their benchmark indices use rates at 4 p.m. London time. The Portfolios also may use fair value pricing to price certain portfolio securities at the closing of the U.S. market, while benchmark indices may use local market closing prices. For the one-year period ended October 31, 2021, these differences generally detracted from the Portfolios’ relative performance.
International Value ETF
The International Value ETF invests in a broadly diversified group of developed ex U.S. large company value stocks while considering the federal tax implications of investment decisions. The investment strategy is process driven, emphasizing broad diversification, with increased exposure to stocks with smaller total market capitalizations, lower relative price (value), and higher-profitability within the large-cap value segment of developed ex U.S. markets. As of October 31, 2021, the ETF held approximately 520 securities in 22 eligible developed markets. Average cash exposure throughout the year was less than 1% of the ETF’s assets.
For the 12 months ended October 31, 2021, total returns were 48.18% on a net asset value basis for the ETF and 35.59% for the MSCI World ex USA Index (net dividends), the ETF’s benchmark. With low relative price (value) stocks outperforming high relative price (growth) stocks for the period, the ETF’s focus on value stocks contributed positively to performance relative to the style-neutral benchmark.
World ex U.S. Core 2 Equity ETF
The World ex U.S. Core 2 Equity ETF invests in a broadly diversified group of stocks in developed ex U.S. and emerging markets, with increased exposure to stocks with smaller market capitalization, lower relative price, and higher profitability, while considering potential federal tax implications of investment decisions. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2021, the ETF held approximately 9,390 securities in 46 eligible developed and emerging markets. Average cash exposure throughout the year was less than 1% of the ETF’s assets.
For the 12 months ended October 31, 2021, total returns were 35.23% on a net asset value basis for the ETF and 29.66% for the MSCI All Country World ex USA Index (net dividends), the ETF’s benchmark. The ETF’s greater emphasis on low relative price (value) stocks contributed positively to relative performance, as value stocks outperformed high relative price (growth) stocks in developed ex U.S. and emerging markets.
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International Core Equity Market ETF
The International Core Equity Market ETF invests in a broadly diversified group of stocks in developed ex U.S. markets, with increased exposure to stocks with smaller market capitalization, lower relative price (value), and higher profitability. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2021, the ETF held approximately 3,090 securities in 22 eligible developed markets. Average cash exposure throughout the year was less than 1% of the ETF’s assets.
From its inception on November 17, 2020 through October 31, 2021, total returns were 20.54% on a net asset value basis for the ETF and 19.42% for the MSCI World ex USA IMI Index (net dividends), the ETF’s benchmark. The ETF’s emphasis on low relative price (value) stocks contributed positively to performance relative to the benchmark, as value stocks outperformed high relative price (growth) stocks in developed ex US markets.
Emerging Core Equity Market ETF
The Emerging Core Equity Market ETF invests in a broadly diversified group of stocks in emerging markets, with increased exposure to stocks with smaller market capitalization, lower relative price (value), and higher profitability. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2021, the ETF held approximately 4,140 securities in 24 eligible emerging markets. Average cash exposure throughout the year was less than 1% of the ETF’s assets.
From its inception on December 1, 2020 through October 31, 2021, total returns were 9.33% on a net asset value basis for the ETF and 7.48% for the MSCI Emerging Markets IMI Index (net dividends), the ETF’s benchmark. The ETF’s emphasis on low relative price (value) stocks contributed positively to performance relative to the benchmark, as value stocks outperformed high relative price (growth) stocks in emerging markets. The ETF’s emphasis on small-cap stocks contributed positively to performance relative to the benchmark, as small-caps outperformed large-caps for the period.
13
DISCLOSURE OF FUND EXPENSES
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 October 31, 2021 | ||||||||||||||||
Expense Tables |
||||||||||||||||
Beginning Account Value 5/1/2021 |
Ending Account Value 10/31/2021 |
Annualized Expense Ratio(a) |
Expenses Paid During Period(a) |
|||||||||||||
Dimensional U.S. Equity ETF |
||||||||||||||||
Actual Fund Return |
$ | 1,000.00 | $ | 1,102.20 | 0.17 | % | $ | 0.90 | ||||||||
Hypothetical 5% Annual Return |
$ | 1,000.00 | $ | 1,024.35 | 0.17 | % | $ | 0.87 | ||||||||
Dimensional US Core Equity Market ETF |
||||||||||||||||
Actual Fund Return |
$ | 1,000.00 | $ | 1,092.90 | 0.12 | % | $ | 0.63 | ||||||||
Hypothetical 5% Annual Return |
$ | 1,000.00 | $ | 1,024.60 | 0.12 | % | $ | 0.61 |
14
DISCLOSURE OF FUND EXPENSES
CONTINUED
Beginning Account Value 5/1/2021 |
Ending Account Value 10/31/2021 |
Annualized Expense Ratio(a) |
Expenses Paid During Period(a) |
|||||||||||||
Dimensional U.S. Core Equity 2 ETF |
||||||||||||||||
Actual Fund Return |
$ | 1,000.00 | $ | 1,076.00 | 0.21 | % | $ | 1.10 | ||||||||
Hypothetical 5% Annual Return |
$ | 1,000.00 | $ | 1,024.15 | 0.21 | % | $ | 1.07 | ||||||||
Dimensional U.S. Small Cap ETF |
||||||||||||||||
Actual Fund Return |
$ | 1,000.00 | $ | 1,047.30 | 0.39 | % | $ | 2.01 | ||||||||
Hypothetical 5% Annual Return |
$ | 1,000.00 | $ | 1,023.24 | 0.39 | % | $ | 1.99 | ||||||||
Dimensional U.S. Targeted Value ETF |
||||||||||||||||
Actual Fund Return |
$ | 1,000.00 | $ | 1,042.40 | 0.38 | % | $ | 1.96 | ||||||||
Hypothetical 5% Annual Return |
$ | 1,000.00 | $ | 1,023.29 | 0.38 | % | $ | 1.94 | ||||||||
Dimensional International Core Equity Market ETF |
||||||||||||||||
Actual Fund Return |
$ | 1,000.00 | $ | 1,049.40 | 0.18 | % | $ | 0.93 | ||||||||
Hypothetical 5% Annual Return |
$ | 1,000.00 | $ | 1,024.30 | 0.18 | % | $ | 0.92 | ||||||||
Dimensional International Value ETF |
||||||||||||||||
Actual Fund Return |
$ | 1,000.00 | $ | 1,054.50 | 0.48 | % | $ | 2.49 | ||||||||
Hypothetical 5% Annual Return |
$ | 1,000.00 | $ | 1,022.79 | 0.48 | % | $ | 2.45 | ||||||||
Dimensional Emerging Core Equity Market ETF |
||||||||||||||||
Actual Fund Return |
$ | 1,000.00 | $ | 961.80 | 0.35 | % | $ | 1.73 | ||||||||
Hypothetical 5% Annual Return |
$ | 1,000.00 | $ | 1,023.44 | 0.35 | % | $ | 1.79 | ||||||||
Dimensional World ex U.S. Core Equity 2 ETF |
||||||||||||||||
Actual Fund Return |
$ | 1,000.00 | $ | 1,018.40 | 0.36 | % | $ | 1.83 | ||||||||
Hypothetical 5% Annual Return |
$ | 1,000.00 | $ | 1,023.39 | 0.36 | % | $ | 1.84 |
(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 (184), then divided by the number of days in the year (365) (to reflect the six-month period). |
15
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 September 29, 2021. 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 U.S. Equity ETF |
| |||
Communication Services |
10.4 | % | ||
Consumer Discretionary |
13.0 | % | ||
Consumer Staples |
5.4 | % | ||
Energy |
2.5 | % | ||
Financials |
12.2 | % | ||
Health Care |
13.2 | % | ||
Industrials |
9.1 | % | ||
Information Technology |
29.1 | % | ||
Materials |
2.7 | % | ||
Real Estate |
0.1 | % | ||
Utilities |
2.3 | % | ||
|
|
|||
100.0 | % |
Dimensional US Core Equity Market ETF |
| |||
Communication Services |
9.3 | % | ||
Consumer Discretionary |
13.0 | % | ||
Consumer Staples |
5.8 | % | ||
Energy |
3.3 | % | ||
Financials |
12.9 | % | ||
Health Care |
12.7 | % | ||
Industrials |
10.4 | % | ||
Information Technology |
26.6 | % | ||
Materials |
3.2 | % | ||
Real Estate |
0.2 | % | ||
Utilities |
2.6 | % | ||
|
|
|||
100.0 | % |
Dimensional U.S. Core Equity 2 ETF |
| |||
Communication Services |
7.0 | % | ||
Consumer Discretionary |
13.2 | % | ||
Consumer Staples |
5.1 | % | ||
Energy |
3.0 | % | ||
Financials |
15.4 | % | ||
Health Care |
11.7 | % | ||
Industrials |
13.9 | % | ||
Information Technology |
24.4 | % | ||
Materials |
4.3 | % | ||
Real Estate |
0.4 | % | ||
Utilities |
1.6 | % | ||
|
|
|||
100.0 | % |
Dimensional U.S. Small Cap ETF |
| |||
Communication Services |
2.3 | % | ||
Consumer Discretionary |
14.6 | % | ||
Consumer Staples |
4.1 | % | ||
Energy |
3.3 | % | ||
Financials |
20.7 | % | ||
Health Care |
11.8 | % | ||
Industrials |
20.8 | % | ||
Information Technology |
13.7 | % | ||
Materials |
5.8 | % | ||
Real Estate |
0.5 | % | ||
Utilities |
2.4 | % | ||
|
|
|||
100.0 | % |
Dimensional U.S. Targeted Value ETF |
| |||
Communication Services |
2.8 | % | ||
Consumer Discretionary |
14.8 | % | ||
Consumer Staples |
5.0 | % | ||
Energy |
5.1 | % | ||
Financials |
29.0 | % | ||
Health Care |
4.1 | % | ||
Industrials |
22.0 | % | ||
Information Technology |
8.4 | % | ||
Materials |
8.0 | % | ||
Real Estate |
0.6 | % | ||
Utilities |
0.2 | % | ||
|
|
|||
100.0 | % |
Dimensional International Core Equity Market ETF |
| |||
Communication Services |
4.8 | % | ||
Consumer Discretionary |
12.7 | % | ||
Consumer Staples |
8.8 | % | ||
Energy |
5.0 | % | ||
Financials |
17.6 | % | ||
Health Care |
10.5 | % | ||
Industrials |
17.4 | % | ||
Information Technology |
9.2 | % | ||
Materials |
9.1 | % | ||
Real Estate |
1.4 | % | ||
Utilities |
3.5 | % | ||
|
|
|||
100.0 | % |
16
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
Dimensional International Value ETF |
| |||
Communication Services |
4.9 | % | ||
Consumer Discretionary |
14.3 | % | ||
Consumer Staples |
4.8 | % | ||
Energy |
12.6 | % | ||
Financials |
29.0 | % | ||
Health Care |
5.5 | % | ||
Industrials |
11.2 | % | ||
Information Technology |
1.2 | % | ||
Materials |
12.9 | % | ||
Real Estate |
2.1 | % | ||
Utilities |
1.5 | % | ||
|
|
|||
100.0 | % |
Dimensional Emerging Core Equity Market ETF |
| |||
Communication Services |
9.3 | % | ||
Consumer Discretionary |
13.2 | % | ||
Consumer Staples |
6.0 | % | ||
Energy |
5.1 | % | ||
Financials |
17.1 | % | ||
Health Care |
4.2 | % | ||
Industrials |
7.8 | % | ||
Information Technology |
21.1 | % | ||
Materials |
11.0 | % | ||
Real Estate |
2.5 | % | ||
Utilities |
2.7 | % | ||
|
|
|||
100.0 | % |
Dimensional World ex U.S. Core Equity 2 ETF |
| |||
Communication Services |
5.8 | % | ||
Consumer Discretionary |
13.6 | % | ||
Consumer Staples |
7.7 | % | ||
Energy |
5.1 | % | ||
Financials |
15.0 | % | ||
Health Care |
6.3 | % | ||
Industrials |
16.9 | % | ||
Information Technology |
11.7 | % | ||
Materials |
12.1 | % | ||
Real Estate |
2.8 | % | ||
Utilities |
3.0 | % | ||
|
|
|||
100.0 | % |
17
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2021
Shares |
Value† |
Percentage |
||||||||||||
COMMON STOCKS — (99.1%) |
| |||||||||||||
COMMUNICATION SERVICES — (10.3%) |
| |||||||||||||
* |
Alphabet, Inc., Class A |
41,882 | $ | 124,009,251 | 2.1% | |||||||||
* |
Alphabet, Inc., Class C |
41,863 | 124,140,959 | 2.1% | ||||||||||
Comcast Corp., Class A |
633,966 | 32,604,871 | 0.6% | |||||||||||
* |
Facebook, Inc., Class A |
336,080 | 108,745,406 | 1.8% | ||||||||||
* |
Netflix, Inc. |
61,692 | 42,586,605 | 0.7% | ||||||||||
Verizon Communications, Inc. |
577,823 | 30,618,841 | 0.5% | |||||||||||
* |
Walt Disney Co. (The) |
252,754 | 42,733,119 | 0.7% | ||||||||||
Other Securities |
120,108,481 | 1.9% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL COMMUNICATION SERVICES |
625,547,533 | 10.4% | ||||||||||||
|
|
|
|
|||||||||||
CONSUMER DISCRETIONARY — (12.8%) |
| |||||||||||||
* |
Amazon.com, Inc. |
61,739 | 208,210,456 | 3.5% | ||||||||||
Home Depot, Inc. (The) |
150,712 | 56,025,679 | 0.9% | |||||||||||
Lowe’s Cos., Inc. |
105,669 | 24,707,526 | 0.4% | |||||||||||
McDonald’s Corp. |
104,363 | 25,626,335 | 0.4% | |||||||||||
NIKE, Inc., Class B |
174,778 | 29,238,612 | 0.5% | |||||||||||
* |
Tesla, Inc. |
108,041 | 120,357,674 | 2.0% | ||||||||||
Other Securities |
318,178,523 | 5.3% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL CONSUMER DISCRETIONARY |
782,344,805 | 13.0% | ||||||||||||
|
|
|
|
|||||||||||
CONSUMER STAPLES — (5.4%) |
| |||||||||||||
Coca-Cola Co. (The) |
570,909 | 32,182,140 | 0.5% | |||||||||||
Costco Wholesale Corp. |
63,220 | 31,075,159 | 0.5% | |||||||||||
* |
PepsiCo., Inc. |
200,142 | 32,342,947 | 0.5% | ||||||||||
Procter & Gamble Co. (The) |
347,476 | 49,685,593 | 0.8% | |||||||||||
Walmart, Inc. |
198,534 | 29,664,950 | 0.5% | |||||||||||
Other Securities |
152,790,715 | 2.6% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL CONSUMER STAPLES |
327,741,504 | 5.4% | ||||||||||||
|
|
|
|
|||||||||||
ENERGY — (2.5%) |
| |||||||||||||
Chevron Corp. |
237,748 | 27,219,769 | 0.5% | |||||||||||
Exxon Mobil Corp. |
517,515 | 33,364,192 | 0.6% | |||||||||||
Other Securities |
92,417,867 | 1.4% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL ENERGY |
153,001,828 | 2.5% | ||||||||||||
|
|
|
|
|||||||||||
FINANCIALS — (12.1%) |
| |||||||||||||
Bank of America Corp. |
1,086,017 | 51,889,892 | 0.9% | |||||||||||
* |
Berkshire Hathaway, Inc., Class B |
270,863 | 77,740,390 | 1.3% | ||||||||||
JPMorgan Chase & Co. |
425,131 | 72,225,506 | 1.2% | |||||||||||
Wells Fargo & Co. |
481,144 | 24,615,327 | 0.4% | |||||||||||
Other Securities |
508,168,125 | 8.4% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL FINANCIALS |
734,639,240 | 12.2% | ||||||||||||
|
|
|
|
|||||||||||
HEALTH CARE — (13.1%) |
| |||||||||||||
Abbott Laboratories |
245,051 | 31,584,623 | 0.5% | |||||||||||
AbbVie, Inc. |
246,043 | 28,213,751 | 0.5% | |||||||||||
Danaher Corp. |
82,522 | 25,727,884 | 0.4% | |||||||||||
Eli Lilly & Co. |
124,654 | 31,756,853 | 0.5% | |||||||||||
Johnson & Johnson |
367,378 | 59,838,529 | 1.0% | |||||||||||
Merck & Co., Inc. |
352,752 | 31,059,814 | 0.5% | |||||||||||
Pfizer, Inc. |
777,093 | 33,990,048 | 0.6% | |||||||||||
Thermo Fisher Scientific, Inc. |
55,402 | 35,073,344 | 0.6% | |||||||||||
UnitedHealth Group, Inc. |
132,814 | 61,156,863 | 1.0% |
18
DIMENSIONAL U.S. EQUITY ETF
CONTINUED
Shares |
Value† |
Percentage |
||||||||||||
HEALTH CARE — (Continued) |
||||||||||||||
Other Securities |
$ | 456,277,856 | 7.6% | |||||||||||
|
|
|
|
|||||||||||
TOTAL HEALTH CARE |
794,679,565 | 13.2% | ||||||||||||
|
|
|
|
|||||||||||
INDUSTRIALS — (9.0%) |
| |||||||||||||
Union Pacific Corp. |
95,269 | 1,962,031 | 0.3% | |||||||||||
Other Securities |
544,975,801 | 8.8% | ||||||||||||
|
|
|
|
|||||||||||
INFORMATION TECHNOLOGY — (28.8%) |
| |||||||||||||
Accenture PLC, Class A |
88,303 | 31,682,233 | 0.5% | |||||||||||
* |
Adobe, Inc. |
67,867 | 44,137,982 | 0.7% | ||||||||||
Apple, Inc. |
2,426,513 | 363,491,647 | 6.0% | |||||||||||
Broadcom, Inc. |
56,543 | 30,062,217 | 0.5% | |||||||||||
Cisco Systems, Inc. |
590,015 | 33,023,140 | 0.6% | |||||||||||
Intel Corp. |
594,424 | 29,126,776 | 0.5% | |||||||||||
Mastercard, Inc., Class A |
124,413 | 41,743,050 | 0.7% | |||||||||||
Microsoft Corp. |
1,007,984 | 334,267,654 | 5.5% | |||||||||||
NVIDIA Corp. |
337,735 | 86,348,707 | 1.4% | |||||||||||
Oracle Corp. |
298,001 | 28,590,216 | 0.5% | |||||||||||
* |
PayPal Holdings, Inc. |
161,088 | 37,467,458 | 0.6% | ||||||||||
* |
salesforce.com, Inc. |
122,379 | 36,675,763 | 0.6% | ||||||||||
Texas Instruments, Inc. |
128,211 | 24,036,998 | 0.4% | |||||||||||
Visa, Inc., Class A |
234,741 | 49,711,102 | 0.8% | |||||||||||
Other Securities |
583,675,055 | 9.7% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL INFORMATION TECHNOLOGY |
1,754,039,998 | 29.0% | ||||||||||||
|
|
|
|
|||||||||||
MATERIALS — (2.7%) |
| |||||||||||||
Linde PLC |
73,618 | 23,498,866 | 0.4% | |||||||||||
Other Securities |
141,668,949 | 2.3% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL MATERIALS |
165,167,815 | 2.7% | ||||||||||||
|
|
|
|
|||||||||||
REAL ESTATE — (0.1%) |
| |||||||||||||
Other Securities |
8,092,288 | 0.1% | ||||||||||||
|
|
|
|
|||||||||||
UTILITIES — (2.3%) |
| |||||||||||||
NextEra Energy, Inc. |
274,601 | 23,431,703 | 0.4% | |||||||||||
Other Securities |
117,237,466 | 1.9% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL UTILITIES |
140,669,169 | 2.3% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL COMMON STOCKS |
6,032,861,577 | 99.9% | ||||||||||||
|
|
|
|
|||||||||||
PREFERRED STOCKS — (0.0%) |
| |||||||||||||
INDUSTRIALS — (0.0%) |
| |||||||||||||
Other Securities |
97,183 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL PREFERRED STOCKS |
97,183 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
RIGHTS/WARRANTS — (0.0%) |
| |||||||||||||
COMMUNICATION SERVICES — (0.0%) |
| |||||||||||||
Other Securities |
213 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
CONSUMER DISCRETIONARY — (0.0%) |
| |||||||||||||
Other Securities |
15 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
FINANCIALS — (0.0%) |
| |||||||||||||
Other Securities |
390 | 0.0% | ||||||||||||
|
|
|
|
19
DIMENSIONAL U.S. EQUITY ETF
CONTINUED
Shares |
Value† |
Percentage |
||||||||||||
HEALTH CARE — (0.0%) |
| |||||||||||||
Other Securities |
$ | 2,610 | 0.0% | |||||||||||
|
|
|
|
|||||||||||
TOTAL RIGHTS/WARRANTS |
3,228 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL INVESTMENT SECURITIES — (99.1%) |
|
|||||||||||||
(Cost $1,776,076,906) |
6,032,961,988 | |||||||||||||
|
|
|||||||||||||
SECURITIES LENDING COLLATERAL — (0.9%) |
|
|||||||||||||
@§ |
The DFA Short Term Investment Fund |
4,863,828 | 56,272,062 | 0.9% | ||||||||||
|
|
|
|
|||||||||||
TOTAL INVESTMENTS — 100.0% |
||||||||||||||
(Cost $1,832,348,968) |
$ | 6,089,234,050 | 100.8% | |||||||||||
|
|
|
|
Summary of the Fund’s investments as of October 31, 2021, based on their valuation inputs, is as follows (see Security Valuation Note):
Investment in Securities (Market Value) | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Common Stocks |
||||||||||||||||
Communication Services |
$625,546,774 | $759 | $— | $625,547,533 | ||||||||||||
Consumer Discretionary |
782,344,805 | — | — | 782,344,805 | ||||||||||||
Consumer Staples |
327,741,504 | — | — | 327,741,504 | ||||||||||||
Energy |
153,001,828 | — | — | 153,001,828 | ||||||||||||
Financials |
734,639,240 | — | — | 734,639,240 | ||||||||||||
Healthcare |
794,641,710 | — | 37,855 | 794,679,565 | ||||||||||||
Industrials |
546,937,832 | — | — | 546,937,832 | ||||||||||||
Information Technology |
1,754,039,998 | — | — | 1,754,039,998 | ||||||||||||
Materials |
165,167,815 | — | — | 165,167,815 | ||||||||||||
Real Estate |
8,092,288 | — | — | 8,092,288 | ||||||||||||
Utilities |
140,669,169 | — | — | 140,669,169 | ||||||||||||
Preferred Stocks |
||||||||||||||||
Industrials |
97,183 | — | — | 97,183 | ||||||||||||
Rights/Warrants |
||||||||||||||||
Communication Services |
— | — | 213 | 213 | ||||||||||||
Consumer Discretionary |
— | — | 15 | 15 | ||||||||||||
Financials |
— | — | 390 | 390 | ||||||||||||
Healthcare |
— | — | 2,610 | 2,610 | ||||||||||||
Collateral for Securities on Loan |
56,272,062 | — | — | 56,272,062 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
$6,089,192,208 | $759 | $41,083 | $6,089,234,050 | ||||||||||||
|
|
|
|
|
|
|
|
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.
20
DIMENSIONAL US CORE EQUITY MARKET ETF
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2021
Shares |
Value† |
Percentage |
||||||||||||
COMMON STOCKS — (98.8%) |
| |||||||||||||
COMMUNICATION SERVICES — (9.2%) |
| |||||||||||||
* |
Alphabet, Inc., Class A |
7,874 | $ | 23,314,284 | 1.8% | |||||||||
* |
Alphabet, Inc., Class C |
7,889 | 23,394,119 | 1.8% | ||||||||||
AT&T, Inc. |
222,296 | 5,615,197 | 0.4% | |||||||||||
Comcast Corp., Class A |
131,270 | 6,751,216 | 0.5% | |||||||||||
* |
Facebook, Inc., Class A |
60,082 | 19,440,733 | 1.5% | ||||||||||
* |
Netflix, Inc. |
9,564 | 6,602,125 | 0.5% | ||||||||||
Verizon Communications, Inc. |
157,735 | 8,358,378 | 0.6% | |||||||||||
* |
Walt Disney Co. (The) |
38,734 | 6,548,757 | 0.5% | ||||||||||
Other Securities |
22,824,591 | 1.6% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL COMMUNICATION SERVICES |
122,849,400 | 9.2% | ||||||||||||
|
|
|
|
|||||||||||
CONSUMER DISCRETIONARY — (12.8%) |
| |||||||||||||
* |
Amazon.com, Inc. |
11,958 | 40,327,518 | 3.0% | ||||||||||
Home Depot, Inc. (The) |
27,432 | 10,197,572 | 0.8% | |||||||||||
Lowe’s Cos., Inc. |
20,030 | 4,683,415 | 0.4% | |||||||||||
McDonald’s Corp. |
18,480 | 4,537,764 | 0.4% | |||||||||||
NIKE, Inc., Class B |
37,267 | 6,234,396 | 0.5% | |||||||||||
* |
Tesla, Inc. |
19,427 | 21,641,678 | 1.6% | ||||||||||
Other Securities |
84,504,127 | 6.3% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL CONSUMER DISCRETIONARY |
172,126,470 | 13.0% | ||||||||||||
|
|
|
|
|||||||||||
CONSUMER STAPLES — (5.7%) |
| |||||||||||||
Coca-Cola Co. (The) |
110,156 | 6,209,494 | 0.5% | |||||||||||
Costco Wholesale Corp. |
11,584 | 5,693,999 | 0.4% | |||||||||||
PepsiCo., Inc. |
42,177 | 6,815,803 | 0.5% | |||||||||||
Procter & Gamble Co. (The) |
75,108 | 10,739,693 | 0.8% | |||||||||||
Walmart, Inc. |
46,009 | 6,874,665 | 0.5% | |||||||||||
Other Securities |
40,541,062 | 3.1% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL CONSUMER STAPLES |
76,874,716 | 5.8% | ||||||||||||
|
|
|
|
|||||||||||
ENERGY — (3.3%) |
| |||||||||||||
Chevron Corp. |
50,928 | 5,830,747 | 0.4% | |||||||||||
Exxon Mobil Corp. |
101,611 | 6,550,861 | 0.5% | |||||||||||
Other Securities |
31,635,286 | 2.4% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL ENERGY |
44,016,894 | 3.3% | ||||||||||||
|
|
|
|
|||||||||||
FINANCIALS — (12.7%) |
| |||||||||||||
Bank of America Corp. |
186,214 | 8,897,305 | 0.7% | |||||||||||
* |
Berkshire Hathaway, Inc., Class B |
41,322 | 11,859,827 | 0.9% | ||||||||||
JPMorgan Chase & Co. |
84,147 | 14,295,734 | 1.1% | |||||||||||
Wells Fargo & Co. |
94,881 | 4,854,112 | 0.4% | |||||||||||
Other Securities |
131,177,299 | 9.8% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL FINANCIALS |
171,084,277 | 12.9% | ||||||||||||
|
|
|
|
|||||||||||
HEALTH CARE — (12.6%) |
| |||||||||||||
Abbott Laboratories |
41,732 | 5,378,837 | 0.4% | |||||||||||
AbbVie, Inc. |
53,510 | 6,135,992 | 0.5% | |||||||||||
Danaher Corp. |
14,916 | 4,650,361 | 0.4% | |||||||||||
Eli Lilly & Co. |
23,624 | 6,018,450 | 0.5% | |||||||||||
Johnson & Johnson |
80,812 | 13,162,659 | 1.0% | |||||||||||
Merck & Co., Inc. |
65,010 | 5,724,131 | 0.4% |
21
DIMENSIONAL US CORE EQUITY MARKET ETF
CONTINUED
Shares |
Value† |
Percentage |
||||||||||||
HEALTH CARE — (Continued) |
| |||||||||||||
Pfizer, Inc. |
138,358 | $ | 6,051,779 | 0.5% | ||||||||||
Thermo Fisher Scientific, Inc. |
9,970 | 6,311,708 | 0.5% | |||||||||||
UnitedHealth Group, Inc. |
26,312 | 12,115,887 | 0.9% | |||||||||||
Other Securities |
103,240,587 | 7.6% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL HEALTH CARE |
168,790,391 | 12.7% | ||||||||||||
|
|
|
|
|||||||||||
INDUSTRIALS — (10.3%) |
||||||||||||||
Union Pacific Corp. |
20,423 | 4,930,112 | 0.4% | |||||||||||
Other Securities |
133,579,269 | 10.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL INDUSTRIALS |
138,509,381 | 10.4% | ||||||||||||
|
|
|
|
|||||||||||
INFORMATION TECHNOLOGY — (26.3%) |
| |||||||||||||
Accenture PLC, Class A |
19,075 | 6,843,919 | 0.5% | |||||||||||
* |
Adobe, Inc. |
11,857 | 7,711,319 | 0.6% | ||||||||||
Apple, Inc. |
483,503 | 72,428,749 | 5.5% | |||||||||||
Broadcom, Inc. |
13,278 | 7,059,514 | 0.5% | |||||||||||
Cisco Systems, Inc. |
120,142 | 6,724,348 | 0.5% | |||||||||||
Intel Corp. |
145,823 | 7,145,327 | 0.6% | |||||||||||
Mastercard, Inc., Class A |
25,251 | 8,472,216 | 0.7% | |||||||||||
Microsoft Corp. |
200,479 | 66,482,846 | 5.0% | |||||||||||
NVIDIA Corp. |
58,272 | 14,898,402 | 1.1% | |||||||||||
Oracle Corp. |
55,871 | 5,360,264 | 0.4% | |||||||||||
* |
PayPal Holdings, Inc. |
21,698 | 5,046,738 | 0.4% | ||||||||||
QUALCOMM, Inc. |
35,543 | 4,728,641 | 0.4% | |||||||||||
* |
Salesforce.com, Inc. |
18,400 | 5,514,296 | 0.4% | ||||||||||
Texas Instruments, Inc. |
29,308 | 5,494,664 | 0.4% | |||||||||||
Visa, Inc., Class A |
42,538 | 9,008,272 | 0.7% | |||||||||||
Other Securities |
120,314,815 | 8.9% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL INFORMATION TECHNOLOGY |
353,234,330 | 26.6% | ||||||||||||
|
|
|
|
|||||||||||
MATERIALS — (3.2%) |
| |||||||||||||
Other Securities |
42,619,965 | 3.2% | ||||||||||||
|
|
|
|
|||||||||||
REAL ESTATE — (0.2%) |
| |||||||||||||
Other Securities |
2,862,338 | 0.2% | ||||||||||||
|
|
|
|
|||||||||||
UTILITIES — (2.5%) |
| |||||||||||||
Other Securities |
34,109,146 | 2.6% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL COMMON STOCKS |
1,327,077,308 | 99.9% | ||||||||||||
|
|
|
|
|||||||||||
RIGHTS/WARRANTS — (0.0%) |
| |||||||||||||
HEALTH CARE — (0.0%) |
| |||||||||||||
Other Securities |
92 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL RIGHTS/WARRANTS |
92 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL INVESTMENT SECURITIES — (98.8%) |
||||||||||||||
(Cost $1,178,651,884) |
1,327,077,400 | |||||||||||||
|
|
|||||||||||||
SECURITIES LENDING COLLATERAL — (1.2%) |
||||||||||||||
@§ |
The DFA Short Term Investment Fund |
1,353,948 | 15,664,505 | 1.2% | ||||||||||
|
|
|
|
|||||||||||
TOTAL INVESTMENTS — 100.0% |
||||||||||||||
(Cost $1,194,316,389) |
$ | 1,342,741,905 | 101.1% | |||||||||||
|
|
|
|
22
DIMENSIONAL US CORE EQUITY MARKET ETF
CONTINUED
Summary of the Fund’s investments as of October 31, 2021, based on their valuation inputs, is as follows (see Security Valuation Note):
Investment in Securities (Market Value) | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Common Stocks |
||||||||||||||||
Communication Services |
$122,849,400 | $— | — | $122,849,400 | ||||||||||||
Consumer Discretionary |
172,126,470 | — | — | 172,126,470 | ||||||||||||
Consumer Staples |
76,874,716 | — | — | 76,874,716 | ||||||||||||
Energy |
44,016,894 | — | — | 44,016,894 | ||||||||||||
Financials |
171,084,277 | — | — | 171,084,277 | ||||||||||||
Healthcare |
168,790,391 | — | — | 168,790,391 | ||||||||||||
Industrials |
138,509,381 | — | — | 138,509,381 | ||||||||||||
Information Technology |
353,234,330 | — | — | 353,234,330 | ||||||||||||
Materials |
42,619,965 | — | — | 42,619,965 | ||||||||||||
Real Estate |
2,862,338 | — | — | 2,862,338 | ||||||||||||
Utilities |
34,109,146 | — | — | 34,109,146 | ||||||||||||
Rights/Warrants |
||||||||||||||||
Healthcare |
— | 92 | — | 92 | ||||||||||||
Collateral for Securities on Loan |
15,664,505 | — | — | 15,664,505 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
$1,342,741,813 | $92 | — | $1,342,741,905 | ||||||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
23
DIMENSIONAL U.S. CORE EQUITY 2 ETF
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2021
Shares |
Value† |
Percentage |
||||||||||||
COMMON STOCKS — (98.7%) |
| |||||||||||||
COMMUNICATION SERVICES — (7.0%) |
| |||||||||||||
* |
Alphabet, Inc., Class A |
46,097 | $ | 136,489,529 | 1.0% | |||||||||
* |
Alphabet, Inc., Class C |
43,937 | 130,291,219 | 0.9% | ||||||||||
AT&T, Inc. |
1,861,421 | 47,019,494 | 0.3% | |||||||||||
#* |
Charter Communications, Inc., Class A |
59,151 | 39,920,418 | 0.3% | ||||||||||
Comcast Corp., Class A |
1,670,985 | 85,938,759 | 0.6% | |||||||||||
* |
Facebook, Inc., Class A |
409,273 | 132,428,465 | 0.9% | ||||||||||
Verizon Communications, Inc. |
1,494,331 | 79,184,600 | 0.6% | |||||||||||
* |
Walt Disney Co. (The) |
287,831 | 48,663,587 | 0.3% | ||||||||||
Other Securities |
316,864,066 | 2.1% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL COMMUNICATION SERVICES |
1,016,800,137 | 7.0% | ||||||||||||
|
|
|
|
|||||||||||
CONSUMER DISCRETIONARY — (13.0%) |
| |||||||||||||
* |
Amazon.com, Inc. |
110,142 | 371,446,185 | 2.6% | ||||||||||
* |
Home Depot, Inc. (The) |
174,264 | 64,780,899 | 0.5% | ||||||||||
* |
Lowe’s Cos., Inc. |
222,608 | 52,050,203 | 0.4% | ||||||||||
* |
NIKE, Inc., Class B |
239,422 | 40,052,906 | 0.3% | ||||||||||
Target Corp. |
212,860 | 55,262,713 | 0.4% | |||||||||||
* |
Tesla, Inc. |
36,850 | 41,050,900 | 0.3% | ||||||||||
Other Securities |
1,284,347,315 | 8.7% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL CONSUMER DISCRETIONARY |
1,908,991,121 | 13.2% | ||||||||||||
|
|
|
|
|||||||||||
CONSUMER STAPLES — (5.0%) |
| |||||||||||||
* |
Coca-Cola Co. (The) |
943,734 | 53,198,286 | 0.4% | ||||||||||
Costco Wholesale Corp. |
85,007 | 41,784,341 | 0.3% | |||||||||||
* |
PepsiCo., Inc. |
371,657 | 60,059,771 | 0.4% | ||||||||||
Procter & Gamble Co. (The) |
541,034 | 77,362,452 | 0.5% | |||||||||||
* |
Walmart, Inc. |
380,368 | 56,834,587 | 0.4% | ||||||||||
Other Securities |
447,090,562 | 3.1% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL CONSUMER STAPLES |
736,329,999 | 5.1% | ||||||||||||
|
|
|
|
|||||||||||
ENERGY — (2.9%) |
| |||||||||||||
* |
Chevron Corp. |
400,964 | 45,906,368 | 0.3% | ||||||||||
ConocoPhillips |
529,860 | 39,469,271 | 0.3% | |||||||||||
Exxon Mobil Corp. |
725,975 | 46,803,608 | 0.3% | |||||||||||
Other Securities |
293,606,826 | 2.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL ENERGY |
425,786,073 | 2.9% | ||||||||||||
|
|
|
|
|||||||||||
FINANCIALS — (15.2%) |
| |||||||||||||
American Express Co. |
282,115 | 49,025,945 | 0.4% | |||||||||||
* |
Bank of America Corp. |
1,783,289 | 85,205,548 | 0.6% | ||||||||||
* |
Berkshire Hathaway, Inc., Class B |
373,165 | 107,102,087 | 0.8% | ||||||||||
JPMorgan Chase & Co. |
911,109 | 154,788,308 | 1.1% | |||||||||||
Morgan Stanley |
469,909 | 48,297,247 | 0.3% | |||||||||||
Other Securities |
1,776,466,884 | 12.2% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL FINANCIALS |
2,220,886,019 | 15.4% | ||||||||||||
|
|
|
|
|||||||||||
HEALTH CARE — (11.6%) |
| |||||||||||||
AbbVie, Inc. |
383,467 | 43,972,161 | 0.3% | |||||||||||
* |
Eli Lilly & Co. |
191,095 | 48,683,362 | 0.3% | ||||||||||
* |
Johnson & Johnson |
844,412 | 137,537,827 | 1.0% | ||||||||||
Merck & Co., Inc. |
632,612 | 55,701,487 | 0.4% |
24
DIMENSIONAL U.S. CORE EQUITY 2 ETF
CONTINUED
Shares |
Value† |
Percentage |
||||||||||||
HEALTH CARE — (Continued) |
| |||||||||||||
* |
Pfizer, Inc. |
1,223,377 | $ | 53,510,510 | 0.4% | |||||||||
* |
Thermo Fisher Scientific, Inc. |
69,685 | 44,115,483 | 0.3% | ||||||||||
UnitedHealth Group, Inc. |
239,504 | 110,284,407 | 0.8% | |||||||||||
Other Securities |
1,195,876,721 | 8.2% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL HEALTH CARE |
1,689,681,958 | 11.7% | ||||||||||||
|
|
|
|
|||||||||||
INDUSTRIALS — (13.8%) |
| |||||||||||||
* |
Generac Holdings, Inc. |
83,981 | 41,869,567 | 0.3% | ||||||||||
Union Pacific Corp. |
246,644 | 59,539,862 | 0.4% | |||||||||||
Other Securities |
1,911,713,845 | 13.2% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL INDUSTRIALS |
2,013,123,274 | 13.9% | ||||||||||||
|
|
|
|
|||||||||||
INFORMATION TECHNOLOGY — (24.1%) |
| |||||||||||||
Accenture PLC, Class A |
155,759 | 55,884,772 | 0.4% | |||||||||||
* |
Adobe, Inc. |
69,394 | 45,131,082 | 0.3% | ||||||||||
* |
Apple, Inc. |
4,465,082 | 668,869,284 | 4.6% | ||||||||||
* |
Applied Materials, Inc. |
295,382 | 40,363,950 | 0.3% | ||||||||||
Broadcom, Inc. |
86,838 | 46,169,159 | 0.3% | |||||||||||
Cisco Systems, Inc. |
1,250,244 | 69,976,157 | 0.5% | |||||||||||
* |
Intel Corp. |
1,809,759 | 88,678,191 | 0.6% | ||||||||||
Mastercard, Inc., Class A |
224,959 | 75,478,244 | 0.5% | |||||||||||
* |
Microsoft Corp. |
1,856,730 | 615,728,803 | 4.3% | ||||||||||
NVIDIA Corp. |
294,561 | 75,310,411 | 0.5% | |||||||||||
Oracle Corp. |
622,608 | 59,733,012 | 0.4% | |||||||||||
* |
QUALCOMM, Inc. |
419,413 | 55,798,706 | 0.4% | ||||||||||
Texas Instruments, Inc. |
268,223 | 50,286,448 | 0.4% | |||||||||||
Visa, Inc., Class A |
415,024 | 87,889,632 | 0.6% | |||||||||||
Other Securities |
1,494,275,370 | 10.3% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL INFORMATION TECHNOLOGY |
3,529,573,221 | 24.4% | ||||||||||||
|
|
|
|
|||||||||||
MATERIALS — (4.2%) |
| |||||||||||||
Other Securities |
619,418,291 | 4.3% | ||||||||||||
|
|
|
|
|||||||||||
REAL ESTATE — (0.3%) |
| |||||||||||||
Other Securities |
50,215,840 | 0.4% | ||||||||||||
|
|
|
|
|||||||||||
UTILITIES — (1.6%) |
| |||||||||||||
Other Securities |
226,559,886 | 1.6% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL COMMON STOCKS |
14,437,365,819 | 99.9% | ||||||||||||
|
|
|
|
|||||||||||
PREFERRED STOCKS — (0.0%) |
| |||||||||||||
COMMUNICATION SERVICES — (0.0%) |
| |||||||||||||
Other Securities |
268,380 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
CONSUMER DISCRETIONARY — (0.0%) |
| |||||||||||||
Other Securities |
776,597 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
INDUSTRIALS — (0.0%) |
| |||||||||||||
Other Securities |
819,854 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL PREFERRED STOCKS |
1,864,831 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
RIGHTS/WARRANTS — (0.0%) |
| |||||||||||||
COMMUNICATION SERVICES — (0.0%) |
| |||||||||||||
Other Securities |
2,181 | 0.0% | ||||||||||||
|
|
|
|
25
DIMENSIONAL U.S. CORE EQUITY 2 ETF
CONTINUED
Shares |
Value† |
Percentage |
||||||||||||
CONSUMER DISCRETIONARY — (0.0%) |
| |||||||||||||
Other Securities |
$ | 2,568 | 0.0% | |||||||||||
|
|
|
|
|||||||||||
ENERGY — (0.0%) |
| |||||||||||||
Other Securities |
23,297 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
FINANCIALS — (0.0%) |
||||||||||||||
Other Securities |
4,345 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
HEALTH CARE — (0.0%) |
| |||||||||||||
Other Securities |
288,457 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL RIGHTS/WARRANTS |
320,848 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL INVESTMENT SECURITIES — (98.7%) |
||||||||||||||
(Cost $5,783,599,229) |
14,439,551,498 | |||||||||||||
|
|
|||||||||||||
SECURITIES LENDING COLLATERAL — (1.3%) |
| |||||||||||||
@§ |
The DFA Short Term Investment Fund |
16,805,717 | 194,433,748 | 1.3% | ||||||||||
|
|
|
|
|||||||||||
TOTAL INVESTMENTS — 100.0% |
||||||||||||||
(Cost $5,978,032,977) |
$ | 14,633,985,246 | 101.2% | |||||||||||
|
|
|
|
Summary of the Fund’s investments as of October 31, 2021, based on their valuation inputs, is as follows (see Security Valuation Note):
Investment in Securities (Market Value) | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Common Stocks |
||||||||||||||||
Communication Services |
$1,016,774,472 | $25,665 | — | $1,016,800,137 | ||||||||||||
Consumer Discretionary |
1,908,991,121 | — | — | 1,908,991,121 | ||||||||||||
Consumer Staples |
736,315,481 | 14,518 | — | 736,329,999 | ||||||||||||
Energy |
425,786,073 | — | — | 425,786,073 | ||||||||||||
Financials |
2,220,879,869 | 6,150 | — | 2,220,886,019 | ||||||||||||
Healthcare |
1,689,299,695 | — | $382,263 | 1,689,681,958 | ||||||||||||
Industrials |
2,012,616,798 | 506,476 | — | 2,013,123,274 | ||||||||||||
Information Technology |
3,529,573,221 | — | — | 3,529,573,221 | ||||||||||||
Materials |
619,418,291 | — | — | 619,418,291 | ||||||||||||
Real Estate |
50,215,840 | — | — | 50,215,840 | ||||||||||||
Utilities |
226,559,886 | — | — | 226,559,886 | ||||||||||||
Preferred Stocks |
||||||||||||||||
Communication Services |
268,380 | — | — | 268,380 | ||||||||||||
Consumer Discretionary |
776,597 | — | — | 776,597 | ||||||||||||
Industrials |
819,854 | — | — | 819,854 | ||||||||||||
Rights/Warrants |
||||||||||||||||
Communication Services |
— | — | 2,181 | 2,181 | ||||||||||||
Consumer Discretionary |
— | — | 2,568 | 2,568 | ||||||||||||
Energy |
23,297 | — | — | 23,297 | ||||||||||||
Financials |
— | — | 4,345 | 4,345 | ||||||||||||
Healthcare |
— | 10,255 | 278,202 | 288,457 | ||||||||||||
Collateral for Securities on Loan |
194,433,748 | — | — | 194,433,748 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
$14,632,752,623 | $563,064 | $669,559 | $14,633,985,246 | ||||||||||||
|
|
|
|
|
|
|
|
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.
26
DIMENSIONAL U.S. SMALL CAP ETF
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2021
Shares |
Value† |
Percentage |
||||||||||||
COMMON STOCKS — (97.3%) |
| |||||||||||||
COMMUNICATION SERVICES — (2.2%) |
| |||||||||||||
Nexstar Media Group, Inc., Class A |
70,281 | $ | 10,537,230 | 0.3% | ||||||||||
Other Securities |
87,725,440 | 2.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL COMMUNICATION SERVICES |
98,262,670 | 2.3% | ||||||||||||
|
|
|
|
|||||||||||
CONSUMER DISCRETIONARY — (14.2%) |
| |||||||||||||
* |
Crocs, Inc. |
125,337 | 20,235,659 | 0.5% | ||||||||||
# |
Dick’s Sporting Goods, Inc. |
83,687 | 10,394,762 | 0.2% | ||||||||||
* |
Fox Factory Holding Corp. |
72,260 | 11,630,247 | 0.3% | ||||||||||
* |
Helen of Troy, Ltd. |
52,142 | 11,729,343 | 0.3% | ||||||||||
* |
Lithia Motors, Inc., Class A |
47,402 | 15,131,666 | 0.4% | ||||||||||
Marriott Vacations Worldwide Corp. |
61,634 | 9,690,097 | 0.2% | |||||||||||
* |
Murphy USA, Inc. |
59,830 | 9,749,299 | 0.2% | ||||||||||
Penske Automotive Group, Inc. |
103,793 | 11,007,248 | 0.3% | |||||||||||
* |
RH |
15,878 | 10,473,605 | 0.2% | ||||||||||
* |
TopBuild Corp. |
51,917 | 13,341,111 | 0.3% | ||||||||||
Other Securities |
499,967,931 | 11.6% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL CONSUMER DISCRETIONARY |
623,350,968 | 14.5% | ||||||||||||
|
|
|
|
|||||||||||
CONSUMER STAPLES — (4.0%) |
| |||||||||||||
* |
Darling Ingredients, Inc. |
288,631 | 24,395,092 | 0.6% | ||||||||||
Other Securities |
150,250,685 | 3.5% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL CONSUMER STAPLES |
174,645,777 | 4.1% | ||||||||||||
|
|
|
|
|||||||||||
ENERGY — (3.2%) |
| |||||||||||||
* |
Range Resources Corp. |
481,008 | 11,217,107 | 0.3% | ||||||||||
Other Securities |
131,787,711 | 3.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL ENERGY |
143,004,818 | 3.3% | ||||||||||||
|
|
|
|
|||||||||||
FINANCIALS — (20.1%) |
| |||||||||||||
* |
Cadence Bank |
334,563 | 9,709,021 | 0.2% | ||||||||||
Evercore, Inc. |
66,805 | 10,143,671 | 0.2% | |||||||||||
* |
Huntington Bancshares, Inc. |
624,454 | 9,828,906 | 0.2% | ||||||||||
Primerica, Inc. |
59,904 | 10,078,249 | 0.2% | |||||||||||
#* |
Stifel Financial Corp. |
141,416 | 10,304,984 | 0.2% | ||||||||||
* |
UMB Financial Corp. |
98,861 | 9,769,444 | 0.2% | ||||||||||
Walker & Dunlop, Inc. |
75,459 | 9,814,952 | 0.2% | |||||||||||
Other Securities |
817,168,411 | 19.3% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL FINANCIALS |
886,817,638 | 20.7% | ||||||||||||
|
|
|
|
|||||||||||
HEALTH CARE — (11.5%) |
| |||||||||||||
* |
Intellia Therapeutics, Inc. |
82,732 | 11,001,701 | 0.3% | ||||||||||
* |
Medpace Holdings, Inc. |
47,538 | 10,769,734 | 0.3% | ||||||||||
* |
Omnicell, Inc. |
86,451 | 15,401,246 | 0.4% | ||||||||||
* |
Tenet Healthcare Corp. |
179,446 | 12,859,100 | 0.3% | ||||||||||
Other Securities |
456,027,100 | 10.5% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL HEALTH CARE |
506,058,881 | 11.8% | ||||||||||||
|
|
|
|
|||||||||||
INDUSTRIALS — (20.2%) |
| |||||||||||||
* |
ASGN, Inc. |
105,213 | 12,589,788 | 0.3% | ||||||||||
* |
Avis Budget Group, Inc. |
85,979 | 14,901,020 | 0.4% | ||||||||||
* |
Builders FirstSource, Inc. |
315,867 | 18,405,570 | 0.4% |
27
DIMENSIONAL U.S. SMALL CAP ETF
CONTINUED
Shares |
Value† |
Percentage |
||||||||||||
INDUSTRIALS — (Continued) |
| |||||||||||||
* |
Chart Industries, Inc. |
58,714 | $ | 10,422,909 | 0.3% | |||||||||
EMCOR Group, Inc. |
86,972 | 10,566,228 | 0.3% | |||||||||||
Exponent, Inc. |
86,244 | 9,900,811 | 0.2% | |||||||||||
* |
FTI Consulting, Inc. |
73,465 | 10,573,083 | 0.3% | ||||||||||
* |
Generac Holdings, Inc. |
27,660 | 13,790,170 | 0.3% | ||||||||||
# |
KBR, Inc. |
229,643 | 9,746,049 | 0.2% | ||||||||||
* |
MasTec, Inc. |
131,255 | 11,698,758 | 0.3% | ||||||||||
* |
Regal Rexnord Corp. |
122,112 | 18,601,321 | 0.4% | ||||||||||
* |
Saia, Inc. |
61,117 | 19,107,619 | 0.5% | ||||||||||
# |
Tetra Tech, Inc. |
64,747 | 11,373,458 | 0.3% | ||||||||||
UFP Industries, Inc. |
121,049 | 9,905,440 | 0.2% | |||||||||||
Other Securities |
707,009,077 | 16.3% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL INDUSTRIALS |
888,591,301 | 20.7% | ||||||||||||
|
|
|
|
|||||||||||
INFORMATION TECHNOLOGY — (13.3%) |
| |||||||||||||
* |
Amkor Technology, Inc. |
460,154 | 10,086,576 | 0.2% | ||||||||||
* |
Brooks Automation, Inc. |
108,343 | 12,616,542 | 0.3% | ||||||||||
* |
Calix, Inc. |
162,383 | 10,163,552 | 0.2% | ||||||||||
* |
Cirrus Logic, Inc. |
122,804 | 9,923,791 | 0.2% | ||||||||||
* |
Lattice Semiconductor Corp. |
243,698 | 16,922,389 | 0.4% | ||||||||||
* |
Novanta, Inc. |
68,725 | 11,859,186 | 0.3% | ||||||||||
* |
Onto Innovation, Inc. |
127,461 | 10,096,186 | 0.2% | ||||||||||
* |
Power Integrations, Inc. |
109,590 | 11,310,784 | 0.3% | ||||||||||
* |
Silicon Laboratories, Inc. |
57,733 | 10,897,681 | 0.3% | ||||||||||
* |
Synaptics, Inc. |
66,325 | 12,904,855 | 0.3% | ||||||||||
Other Securities |
468,161,138 | 10.9% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL INFORMATION TECHNOLOGY |
584,942,680 | 13.6% | ||||||||||||
|
|
|
|
|||||||||||
MATERIALS — (5.7%) |
| |||||||||||||
* |
Louisiana-Pacific Corp. |
216,002 | 12,728,998 | 0.3% | ||||||||||
* |
Olin Corp. |
215,263 | 12,265,686 | 0.3% | ||||||||||
Other Securities |
225,560,717 | 5.3% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL MATERIALS |
250,555,401 | 5.9% | ||||||||||||
|
|
|
|
|||||||||||
REAL ESTATE — (0.5%) |
| |||||||||||||
Other Securities |
22,823,904 | 0.5% | ||||||||||||
|
|
|
|
|||||||||||
UTILITIES — (2.4%) |
| |||||||||||||
Other Securities |
104,622,189 | 2.5% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL COMMON STOCKS |
4,283,676,227 | 99.9% | ||||||||||||
|
|
|
|
|||||||||||
PREFERRED STOCKS — (0.0%) |
| |||||||||||||
COMMUNICATION SERVICES — (0.0%) |
| |||||||||||||
Other Securities |
252,874 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
CONSUMER DISCRETIONARY — (0.0%) |
| |||||||||||||
Other Securities |
588,044 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
INDUSTRIALS — (0.0%) |
| |||||||||||||
Other Securities |
1,271,417 | 0.1% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL PREFERRED STOCKS |
2,112,335 | 0.1% | ||||||||||||
|
|
|
|
|||||||||||
RIGHTS/WARRANTS — (0.0%) |
| |||||||||||||
COMMUNICATION SERVICES — (0.0%) |
| |||||||||||||
Other Securities |
3,650 | 0.0% | ||||||||||||
|
|
|
|
28
DIMENSIONAL U.S. SMALL CAP ETF
CONTINUED
Shares |
Value† |
Percentage |
||||||||||||
CONSUMER DISCRETIONARY — (0.0%) |
| |||||||||||||
Other Securities |
$ | 4,777 | 0.0% | |||||||||||
|
|
|
|
|||||||||||
ENERGY — (0.0%) |
||||||||||||||
Other Securities |
14,341 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
FINANCIALS — (0.0%) |
| |||||||||||||
Other Securities |
11,470 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
HEALTH CARE — (0.0%) |
| |||||||||||||
Other Securities |
548,651 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL RIGHTS/WARRANTS |
582,889 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL INVESTMENT SECURITIES — (97.3%) |
||||||||||||||
(Cost $1,871,104,529) |
4,286,371,451 | |||||||||||||
|
|
|||||||||||||
SECURITIES LENDING COLLATERAL — (2.7%) |
| |||||||||||||
@§ |
The DFA Short Term Investment Fund |
10,161,013 | 117,557,837 | 2.7% | ||||||||||
|
|
|
|
|||||||||||
TOTAL INVESTMENTS — 100.0% |
||||||||||||||
(Cost $1,988,662,366) |
$ | 4,403,929,288 | 102.7% | |||||||||||
|
|
|
|
Summary of the Fund’s investments as of October 31, 2021, based on their valuation inputs, is as follows (see Security Valuation Note):
Investment in Securities (Market Value) | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Common Stocks |
||||||||||||||||
Communication Services |
$ | 98,196,097 | $ | 66,573 | — | $ | 98,262,670 | |||||||||
Consumer Discretionary |
623,350,968 | — | — | 623,350,968 | ||||||||||||
Consumer Staples |
174,571,751 | 74,026 | — | 174,645,777 | ||||||||||||
Energy |
143,004,818 | — | — | 143,004,818 | ||||||||||||
Financials |
886,768,909 | 48,729 | — | 886,817,638 | ||||||||||||
Healthcare |
505,053,785 | 175,403 | $ | 829,693 | 506,058,881 | |||||||||||
Industrials |
888,591,301 | — | — | 888,591,301 | ||||||||||||
Information Technology |
584,942,680 | — | — | 584,942,680 | ||||||||||||
Materials |
250,555,401 | — | — | 250,555,401 | ||||||||||||
Real Estate |
22,823,904 | — | — | 22,823,904 | ||||||||||||
Utilities |
104,622,189 | — | — | 104,622,189 | ||||||||||||
Preferred Stocks |
||||||||||||||||
Communication Services |
252,874 | — | — | 252,874 | ||||||||||||
Consumer Discretionary |
588,044 | — | — | 588,044 | ||||||||||||
Industrials |
1,271,417 | — | — | 1,271,417 | ||||||||||||
Rights/Warrants |
||||||||||||||||
Communication Services |
— | — | 3,650 | 3,650 | ||||||||||||
Consumer Discretionary |
— | — | 4,777 | 4,777 | ||||||||||||
Energy |
14,341 | — | — | 14,341 | ||||||||||||
Financials |
— | — | 11,470 | 11,470 | ||||||||||||
Healthcare |
— | 29,072 | 519,579 | 548,651 | ||||||||||||
Collateral for Securities on Loan |
117,557,837 | — | — | 117,557,837 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
$ | 4,402,166,316 | $ | 393,803 | $ | 1,369,169 | $ | 4,403,929,288 | ||||||||
|
|
|
|
|
|
|
|
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.
29
DIMENSIONAL U.S. TARGETED VALUE ETF
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2021
Shares |
Value† |
Percentage |
||||||||||||
COMMON STOCKS — (97.8%) |
| |||||||||||||
COMMUNICATION SERVICES — (2.7%) |
| |||||||||||||
News Corp., Class A |
1,305,422 | $ | 29,894,164 | 0.5% | ||||||||||
Other Securities |
146,409,641 | 2.3% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL COMMUNICATION SERVICES |
176,303,805 | 2.8% | ||||||||||||
|
|
|
|
|||||||||||
CONSUMER DISCRETIONARY — (14.5%) |
| |||||||||||||
* |
AutoNation, Inc. |
340,002 | 41,181,042 | 0.6% | ||||||||||
* |
BorgWarner, Inc., Class A |
561,041 | 25,286,118 | 0.4% | ||||||||||
# |
Dick’s Sporting Goods, Inc. |
236,805 | 29,413,549 | 0.5% | ||||||||||
#* |
Dillard’s, Inc., Class A |
150,871 | 34,872,323 | 0.5% | ||||||||||
* |
Kohl’s Corp. |
490,688 | 23,813,089 | 0.4% | ||||||||||
* |
Lithia Motors, Inc., Class A |
83,546 | 26,669,554 | 0.4% | ||||||||||
Penske Automotive Group, Inc. |
306,413 | 32,495,099 | 0.5% | |||||||||||
PulteGroup, Inc. |
708,193 | 34,049,919 | 0.5% | |||||||||||
* |
PVH Corp. |
226,849 | 24,801,401 | 0.4% | ||||||||||
Toll Brothers, Inc. |
597,653 | 35,960,781 | 0.6% | |||||||||||
Other Securities |
641,009,454 | 9.9% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL CONSUMER DISCRETIONARY |
949,552,329 | 14.7% | ||||||||||||
|
|
|
|
|||||||||||
CONSUMER STAPLES — (4.9%) |
| |||||||||||||
Bunge, Ltd. |
493,858 | 45,751,005 | 0.7% | |||||||||||
* |
Darling Ingredients, Inc. |
699,905 | 59,155,971 | 0.9% | ||||||||||
* |
Post Holdings, Inc. |
255,797 | 25,958,280 | 0.4% | ||||||||||
Other Securities |
189,102,860 | 3.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL CONSUMER STAPLES |
319,968,116 | 5.0% | ||||||||||||
|
|
|
|
|||||||||||
ENERGY — (5.0%) |
| |||||||||||||
Devon Energy Corp. |
912,879 | 36,588,190 | 0.6% | |||||||||||
Other Securities |
291,932,034 | 4.5% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL ENERGY |
328,520,224 | 5.1% | ||||||||||||
|
|
|
|
|||||||||||
FINANCIALS — (28.4%) |
| |||||||||||||
Assured Guaranty, Ltd. |
459,563 | 25,542,512 | 0.4% | |||||||||||
* |
Athene Holding, Ltd., Class A |
653,882 | 56,894,273 | 0.9% | ||||||||||
CNO Financial Group, Inc. |
1,142,791 | 27,586,975 | 0.4% | |||||||||||
* |
First Horizon Corp. |
1,751,204 | 29,717,932 | 0.5% | ||||||||||
Invesco, Ltd. |
1,323,799 | 33,637,733 | 0.5% | |||||||||||
Janus Henderson Group PLC |
474,958 | 22,085,547 | 0.3% | |||||||||||
Old Republic International Corp. |
853,193 | 22,037,975 | 0.3% | |||||||||||
People’s United Financial, Inc. |
1,723,032 | 29,532,768 | 0.5% | |||||||||||
Pinnacle Financial Partners, Inc. |
246,783 | 23,831,834 | 0.4% | |||||||||||
* |
Popular, Inc. |
379,807 | 30,931,482 | 0.5% | ||||||||||
* |
Reinsurance Group of America, Inc. |
186,199 | 21,986,378 | 0.3% | ||||||||||
Santander Consumer USA Holdings, Inc. |
713,312 | 29,745,110 | 0.5% | |||||||||||
* |
Voya Financial, Inc. |
468,022 | 32,653,895 | 0.5% | ||||||||||
* |
Zions BanCorp NA |
546,831 | 34,444,885 | 0.5% | ||||||||||
Other Securities |
1,438,700,800 | 22.3% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL FINANCIALS |
1,859,330,099 | 28.8% | ||||||||||||
|
|
|
|
|||||||||||
HEALTH CARE — (4.0%) |
| |||||||||||||
* |
Acadia Healthcare Co., Inc. |
355,206 | 22,022,772 | 0.4% | ||||||||||
Other Securities |
241,445,632 | 3.7% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL HEALTH CARE |
263,468,404 | 4.1% | ||||||||||||
|
|
|
|
30
DIMENSIONAL U.S. TARGETED VALUE ETF
CONTINUED
Shares |
Value† |
Percentage |
||||||||||||
INDUSTRIALS — (21.5%) |
| |||||||||||||
# |
AGCO Corp. |
291,053 | $ | 35,569,587 | 0.6% | |||||||||
AMERCO |
45,826 | 33,773,304 | 0.5% | |||||||||||
* |
Chart Industries, Inc. |
163,089 | 28,951,559 | 0.5% | ||||||||||
* |
Colfax Corp. |
532,332 | 27,478,978 | 0.4% | ||||||||||
* |
Knight-Swift Transportation Holdings, Inc. |
708,692 | 40,175,749 | 0.6% | ||||||||||
Owens Corning |
254,024 | 23,728,382 | 0.4% | |||||||||||
Quanta Services, Inc. |
590,769 | 71,648,464 | 1.1% | |||||||||||
* |
Regal Rexnord Corp. |
169,170 | 25,769,666 | 0.4% | ||||||||||
Triton International, Ltd. |
365,065 | 22,703,392 | 0.4% | |||||||||||
UFP Industries, Inc. |
278,960 | 22,827,297 | 0.4% | |||||||||||
* |
WESCO International, Inc. |
173,722 | 22,507,422 | 0.4% | ||||||||||
Other Securities |
1,056,101,390 | 16.2% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL INDUSTRIALS |
1,411,235,190 | 21.9% | ||||||||||||
|
|
|
|
|||||||||||
INFORMATION TECHNOLOGY — (8.2%) |
| |||||||||||||
* |
Arrow Electronics, Inc. |
390,791 | 45,234,058 | 0.7% | ||||||||||
Concentrix Corp. |
211,396 | 37,560,841 | 0.6% | |||||||||||
* |
Jabil, Inc. |
378,632 | 22,702,775 | 0.4% | ||||||||||
SYNNEX Corp. |
210,629 | 22,116,045 | 0.4% | |||||||||||
Other Securities |
409,696,779 | 6.2% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL INFORMATION TECHNOLOGY |
537,310,498 | 8.3% | ||||||||||||
|
|
|
|
|||||||||||
MATERIALS — (7.8%) |
| |||||||||||||
* |
Huntsman Corp. |
793,071 | 25,838,253 | 0.4% | ||||||||||
* |
Olin Corp. |
480,822 | 27,397,238 | 0.4% | ||||||||||
* |
Reliance Steel & Aluminum Co. |
305,575 | 44,662,842 | 0.7% | ||||||||||
* |
Steel Dynamics, Inc. |
533,554 | 35,257,248 | 0.6% | ||||||||||
* |
Westlake Chemical Corp. |
260,362 | 25,343,637 | 0.4% | ||||||||||
Other Securities |
352,093,657 | 5.4% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL MATERIALS |
510,592,875 | 7.9% | ||||||||||||
|
|
|
|
|||||||||||
REAL ESTATE — (0.6%) |
| |||||||||||||
Other Securities |
38,471,815 | 0.6% | ||||||||||||
|
|
|
|
|||||||||||
UTILITIES — (0.2%) |
| |||||||||||||
Other Securities |
13,915,954 | 0.2% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL COMMON STOCKS |
6,408,669,309 | 99.4% | ||||||||||||
|
|
|
|
|||||||||||
PREFERRED STOCKS — (0.1%) |
| |||||||||||||
COMMUNICATION SERVICES — (0.0%) |
| |||||||||||||
Other Securities |
389,421 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
CONSUMER DISCRETIONARY — (0.0%) |
| |||||||||||||
Other Securities |
1,327,411 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
INDUSTRIALS — (0.1%) |
| |||||||||||||
Other Securities |
2,076,984 | 0.1% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL PREFERRED STOCKS |
3,793,816 | 0.1% | ||||||||||||
|
|
|
|
|||||||||||
RIGHTS/WARRANTS — (0.0%) |
| |||||||||||||
COMMUNICATION SERVICES — (0.0%) |
| |||||||||||||
Other Securities |
6,168 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
CONSUMER DISCRETIONARY — (0.0%) |
| |||||||||||||
Other Securities |
8,487 | 0.0% | ||||||||||||
|
|
|
|
31
DIMENSIONAL U.S. TARGETED VALUE ETF
CONTINUED
Shares |
Value† |
Percentage |
||||||||||||
ENERGY — (0.0%) |
| |||||||||||||
Other Securities |
$ | 25,597 | 0.0% | |||||||||||
|
|
|
|
|||||||||||
FINANCIALS — (0.0%) |
||||||||||||||
Other Securities |
16,226 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
HEALTH CARE — (0.0%) |
| |||||||||||||
Other Securities |
146,004 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL RIGHTS/WARRANTS |
202,482 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL INVESTMENT SECURITIES — (97.9%) |
||||||||||||||
(Cost 3,105,479,309) |
6,412,665,606 | |||||||||||||
|
|
|||||||||||||
SECURITIES LENDING COLLATERAL — (2.1%) |
| |||||||||||||
@§ |
The DFA Short Term Investment Fund |
11,803,654 | 136,562,377 | 2.1% | ||||||||||
|
|
|
|
|||||||||||
TOTAL INVESTMENTS — 100.0% |
||||||||||||||
(Cost $3,242,041,687) |
$ | 6,549,227,985 | 101.6% | |||||||||||
|
|
|
|
Summary of the Fund’s investments as of October 31, 2021, based on their valuation inputs, is as follows (see Security Valuation Note):
Investment in Securities (Market Value) | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Common Stocks |
||||||||||||||||
Communication Services |
$ | 176,126,334 | $ | 177,471 | — | $ | 176,303,805 | |||||||||
Consumer Discretionary |
949,552,329 | — | — | 949,552,329 | ||||||||||||
Consumer Staples |
319,876,494 | 91,622 | — | 319,968,116 | ||||||||||||
Energy |
328,520,224 | — | — | 328,520,224 | ||||||||||||
Financials |
1,859,116,719 | 213,380 | — | 1,859,330,099 | ||||||||||||
Healthcare |
262,250,873 | 17,278 | $ | 1,200,253 | 263,468,404 | |||||||||||
Industrials |
1,411,235,190 | — | — | 1,411,235,190 | ||||||||||||
Information Technology |
537,310,498 | — | — | 537,310,498 | ||||||||||||
Materials |
510,592,875 | — | — | 510,592,875 | ||||||||||||
Real Estate |
38,471,815 | — | — | 38,471,815 | ||||||||||||
Utilities |
13,915,954 | — | — | 13,915,954 | ||||||||||||
Preferred Stocks |
||||||||||||||||
Communication Services |
389,421 | — | — | 389,421 | ||||||||||||
Consumer Discretionary |
1,327,411 | — | — | 1,327,411 | ||||||||||||
Industrials |
2,076,984 | — | — | 2,076,984 | ||||||||||||
Rights/Warrants |
||||||||||||||||
Communication Services |
— | — | 6,168 | 6,168 | ||||||||||||
Consumer Discretionary |
— | — | 8,487 | 8,487 | ||||||||||||
Energy |
25,597 | — | — | 25,597 | ||||||||||||
Financials |
— | — | 16,226 | 16,226 | ||||||||||||
Healthcare |
— | 2,461 | 143,543 | 146,004 | ||||||||||||
Collateral for Securities on Loan |
136,562,378 | — | — | 136,562,378 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
$ | 6,547,351,096 | $ | 502,212 | $ | 1,374,677 | $ | 6,549,227,985 | ||||||||
|
|
|
|
|
|
|
|
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.
32
DIMENSIONAL INTERNATIONAL CORE EQUITY MARKET ETF
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2021
Shares |
Value† |
Percentage |
||||||||||||
COMMON STOCKS — (98.5%) |
| |||||||||||||
AUSTRALIA — (6.4%) |
| |||||||||||||
# |
BHP Group, Ltd. |
89,728 | $ | 2,465,299 | 0.3% | |||||||||
Commonwealth Bank of Australia |
53,249 | 4,186,712 | 0.5% | |||||||||||
CSL, Ltd. |
14,963 | 3,377,121 | 0.5% | |||||||||||
* |
National Australia Bank, Ltd. |
113,499 | 2,447,503 | 0.3% | ||||||||||
Other Securities |
37,028,582 | 4.8% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL AUSTRALIA |
49,505,217 | 6.4% | ||||||||||||
|
|
|
|
|||||||||||
AUSTRIA — (0.4%) |
| |||||||||||||
Other Securities |
2,845,092 | 0.4% | ||||||||||||
|
|
|
|
|||||||||||
BELGIUM — (0.9%) |
| |||||||||||||
Other Securities |
6,951,048 | 0.9% | ||||||||||||
|
|
|
|
|||||||||||
CANADA — (10.4%) |
| |||||||||||||
Bank of Nova Scotia (The) |
36,952 | 2,418,850 | 0.3% | |||||||||||
Canadian National Railway Co. |
18,178 | 2,412,099 | 0.3% | |||||||||||
Royal Bank of Canada |
39,637 | 4,119,268 | 0.5% | |||||||||||
* |
Shopify, Inc., Class A |
1,816 | 2,647,371 | 0.3% | ||||||||||
Toronto-Dominion Bank (The) |
49,520 | 3,589,106 | 0.5% | |||||||||||
Other Securities |
65,077,733 | 8.6% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL CANADA |
80,264,427 | 10.5% | ||||||||||||
|
|
|
|
|||||||||||
CHINA — (0.0%) |
| |||||||||||||
Other Securities |
39,664 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
DENMARK — (2.5%) |
| |||||||||||||
Novo Nordisk A/S, Class B |
55,898 | 6,124,272 | 0.8% | |||||||||||
Other Securities |
13,073,594 | 1.7% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL DENMARK |
19,197,866 | 2.5% | ||||||||||||
|
|
|
|
|||||||||||
FINLAND — (1.4%) |
| |||||||||||||
Other Securities |
11,043,964 | 1.4% | ||||||||||||
|
|
|
|
|||||||||||
FRANCE — (8.8%) |
| |||||||||||||
Air Liquide SA |
14,568 | 2,431,709 | 0.3% | |||||||||||
* |
Airbus SE |
19,991 | 2,558,678 | 0.3% | ||||||||||
# |
BNP Paribas SA |
33,449 | 2,241,236 | 0.3% | ||||||||||
L’Oreal SA |
6,183 | 2,825,968 | 0.4% | |||||||||||
LVMH Moet Hennessy Louis Vuitton SE |
9,329 | 7,311,020 | 1.0% | |||||||||||
Sanofi |
31,335 | 3,134,153 | 0.4% | |||||||||||
Schneider Electric SE |
14,241 | 2,453,924 | 0.3% | |||||||||||
TotalEnergies SE |
86,535 | 4,343,173 | 0.6% | |||||||||||
Other Securities |
40,943,403 | 5.3% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL FRANCE |
68,243,264 | 8.9% | ||||||||||||
|
|
|
|
|||||||||||
GERMANY — (7.7%) |
| |||||||||||||
Allianz SE, Registered |
12,324 | 2,868,783 | 0.4% | |||||||||||
Daimler AG |
32,691 | 3,243,677 | 0.4% | |||||||||||
Deutsche Post AG, Registered |
38,069 | 2,357,836 | 0.3% | |||||||||||
Deutsche Telekom AG |
142,107 | 2,644,073 | 0.4% | |||||||||||
SAP SE |
30,587 | 4,435,915 | 0.6% |
33
DIMENSIONAL INTERNATIONAL CORE EQUITY MARKET ETF
CONTINUED
Shares |
Value† |
Percentage |
||||||||||||
GERMANY — (Continued) |
| |||||||||||||
Siemens AG, Registered |
16,121 | $ | 2,617,060 | 0.4% | ||||||||||
Other Securities |
41,374,389 | 5.3% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL GERMANY |
59,541,733 | 7.8% | ||||||||||||
|
|
|
|
|||||||||||
HONG KONG — (2.2%) |
| |||||||||||||
AIA Group, Ltd. |
369,400 | 4,171,691 | 0.5% | |||||||||||
Hong Kong Exchanges & Clearing, Ltd. |
48,600 | 2,941,346 | 0.4% | |||||||||||
Other Securities |
10,292,212 | 1.4% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL HONG KONG |
17,405,249 | 2.3% | ||||||||||||
|
|
|
|
|||||||||||
IRELAND — (0.6%) |
| |||||||||||||
Other Securities |
5,069,687 | 0.7% | ||||||||||||
|
|
|
|
|||||||||||
ISRAEL — (0.6%) |
| |||||||||||||
Other Securities |
4,840,932 | 0.6% | ||||||||||||
|
|
|
|
|||||||||||
ITALY — (2.5%) |
| |||||||||||||
Other Securities |
19,220,299 | 2.5% | ||||||||||||
|
|
|
|
|||||||||||
JAPAN — (21.6%) |
| |||||||||||||
Astellas Pharma, Inc. |
171,400 | 2,881,594 | 0.4% | |||||||||||
KDDI Corp. |
69,700 | 2,156,559 | 0.3% | |||||||||||
Recruit Holdings Co., Ltd. |
69,600 | 4,621,892 | 0.6% | |||||||||||
SoftBank Corp. |
227,900 | 3,106,955 | 0.4% | |||||||||||
* |
SoftBank Group Corp. |
49,900 | 2,697,510 | 0.4% | ||||||||||
Sony Corp. |
51,300 | 5,911,704 | 0.8% | |||||||||||
* |
Toyota Motor Corp. |
384,300 | 6,762,534 | 0.9% | ||||||||||
Other Securities |
139,545,172 | 18.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL JAPAN |
167,683,920 | 21.8% | ||||||||||||
|
|
|
|
|||||||||||
NETHERLANDS — (4.1%) |
| |||||||||||||
ASML Holding NV, Sponsored NYS |
2,965 | 2,410,189 | 0.3% | |||||||||||
ASML Holding NV |
10,045 | 8,142,992 | 1.1% | |||||||||||
Koninklijke Ahold Delhaize NV |
76,923 | 2,504,101 | 0.3% | |||||||||||
Other Securities |
18,403,995 | 2.4% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL NETHERLANDS |
31,461,277 | 4.1% | ||||||||||||
|
|
|
|
|||||||||||
NEW ZEALAND — (0.3%) |
| |||||||||||||
Other Securities |
2,646,240 | 0.3% | ||||||||||||
|
|
|
|
|||||||||||
NORWAY — (0.9%) |
| |||||||||||||
Other Securities |
6,592,246 | 0.9% | ||||||||||||
|
|
|
|
|||||||||||
PORTUGAL — (0.2%) |
| |||||||||||||
Other Securities |
1,687,942 | 0.2% | ||||||||||||
|
|
|
|
|||||||||||
SINGAPORE — (0.9%) |
| |||||||||||||
Other Securities |
6,708,167 | 0.9% | ||||||||||||
|
|
|
|
|||||||||||
SPAIN — (2.2%) |
| |||||||||||||
Iberdrola SA |
187,685 | 2,218,676 | 0.3% | |||||||||||
Other Securities |
14,607,276 | 1.9% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL SPAIN |
16,825,952 | 2.2% | ||||||||||||
|
|
|
|
34
DIMENSIONAL INTERNATIONAL CORE EQUITY MARKET ETF
CONTINUED
Shares |
Value† |
Percentage |
||||||||||||
SWEDEN — (3.5%) |
| |||||||||||||
Other Securities |
$ | 27,262,746 | 3.5% | |||||||||||
|
|
|
|
|||||||||||
SWITZERLAND — (8.1%) |
| |||||||||||||
Nestle SA, Registered |
91,635 | 12,116,379 | 1.6% | |||||||||||
Novartis AG, Registered |
54,625 | 4,521,844 | 0.6% | |||||||||||
Roche Holding AG |
24,735 | 9,584,051 | 1.2% | |||||||||||
Other Securities |
36,779,954 | 4.8% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL SWITZERLAND |
63,002,228 | 8.2% | ||||||||||||
|
|
|
|
|||||||||||
UNITED KINGDOM — (12.3%) |
| |||||||||||||
AstraZeneca PLC |
44,338 | 5,526,980 | 0.7% | |||||||||||
BHP Group PLC |
78,463 | 2,081,147 | 0.3% | |||||||||||
* |
BP PLC |
719,408 | 3,453,411 | 0.5% | ||||||||||
* |
British American Tobacco PLC |
67,339 | 2,350,538 | 0.3% | ||||||||||
Diageo PLC |
72,717 | 3,620,251 | 0.5% | |||||||||||
GlaxoSmithKline PLC |
159,120 | 3,290,453 | 0.4% | |||||||||||
* |
HSBC Holdings PLC |
596,727 | 3,611,297 | 0.5% | ||||||||||
Rio Tinto PLC |
42,658 | 2,666,673 | 0.4% | |||||||||||
Royal Dutch Shell PLC, Class B |
277,423 | 6,407,656 | 0.8% | |||||||||||
Unilever PLC |
47,776 | 2,561,920 | 0.3% | |||||||||||
Other Securities |
60,047,709 | 7.8% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL UNITED KINGDOM |
95,618,035 | 12.5% | ||||||||||||
|
|
|
|
|||||||||||
UNITED STATES — (0.0%) |
| |||||||||||||
Other Securities |
123,859 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL COMMON STOCKS |
763,781,054 | 99.5% | ||||||||||||
|
|
|
|
|||||||||||
RIGHTS/WARRANTS — (0.0%) |
| |||||||||||||
AUSTRALIA — (0.0%) |
| |||||||||||||
Other Securities |
3,297 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
AUSTRIA — (0.0%) |
| |||||||||||||
Other Securities |
1 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
NEW ZEALAND — (0.0%) |
| |||||||||||||
Other Securities |
52 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL RIGHTS/WARRANTS |
3,350 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL INVESTMENT SECURITIES — (98.5%) |
||||||||||||||
(Cost $732,352,051) |
763,784,404 | |||||||||||||
|
|
|||||||||||||
SECURITIES LENDING COLLATERAL — (1.5%) |
||||||||||||||
@§ |
The DFA Short Term Investment Fund |
1,022,520 | 11,830,043 | 1.5% | ||||||||||
|
|
|
|
|||||||||||
TOTAL INVESTMENTS — 100.0% |
||||||||||||||
(Cost $744,182,094) |
$ | 775,614,447 | 101.1% | |||||||||||
|
|
|
|
35
DIMENSIONAL INTERNATIONAL CORE EQUITY MARKET ETF
CONTINUED
Summary of the Fund’s investments as of October 31, 2021, based on their valuation inputs, is as follows (see Security Valuation Note):
Investment in Securities (Market Value) | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Common Stocks |
||||||||||||||||
Australia |
$ | 47,851,531 | $ | 1,653,686 | — | $ | 49,505,217 | |||||||||
Austria |
2,845,092 | — | — | 2,845,092 | ||||||||||||
Belgium |
6,951,048 | — | — | 6,951,048 | ||||||||||||
Canada |
80,264,427 | — | — | 80,264,427 | ||||||||||||
China |
39,664 | — | — | 39,664 | ||||||||||||
Denmark |
19,197,866 | — | — | 19,197,866 | ||||||||||||
Finland |
11,043,964 | — | — | 11,043,964 | ||||||||||||
France |
68,243,264 | — | — | 68,243,264 | ||||||||||||
Germany |
59,541,733 | — | — | 59,541,733 | ||||||||||||
Hong Kong |
17,405,249 | — | — | 17,405,249 | ||||||||||||
Ireland |
5,069,687 | — | — | 5,069,687 | ||||||||||||
Israel |
4,840,932 | — | — | 4,840,932 | ||||||||||||
Italy |
19,220,299 | — | — | 19,220,299 | ||||||||||||
Japan |
167,683,920 | — | — | 167,683,920 | ||||||||||||
Netherlands |
31,461,277 | — | — | 31,461,277 | ||||||||||||
New Zealand |
2,646,240 | — | — | 2,646,240 | ||||||||||||
Norway |
6,592,246 | — | — | 6,592,246 | ||||||||||||
Portugal |
1,687,942 | — | — | 1,687,942 | ||||||||||||
Singapore |
6,708,167 | — | — | 6,708,167 | ||||||||||||
Spain |
16,825,952 | — | — | 16,825,952 | ||||||||||||
Sweden |
27,262,586 | 160 | — | 27,262,746 | ||||||||||||
Switzerland |
63,002,228 | — | — | 63,002,228 | ||||||||||||
United Kingdom |
95,618,035 | — | — | 95,618,035 | ||||||||||||
United States |
123,859 | — | — | 123,859 | ||||||||||||
Rights/Warrants |
||||||||||||||||
Australia |
3,297 | — | — | 3,297 | ||||||||||||
Austria |
— | 1 | — | 1 | ||||||||||||
New Zealand |
— | 52 | — | 52 | ||||||||||||
Collateral for Securities on Loan |
11,830,043 | — | — | 11,830,043 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
$ | 773,960,548 | $ | 1,653,899 | — | $ | 775,614,447 | |||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
36
DIMENSIONAL INTERNATIONAL VALUE ETF
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2021
Shares |
Value† |
Percentage of |
||||||||||||
COMMON STOCKS — (97.7%) |
| |||||||||||||
AUSTRALIA — (6.2%) |
| |||||||||||||
* |
Australia & New Zealand Banking Group, Ltd. |
1,965,334 | $ | 41,539,229 | 1.2% | |||||||||
* |
National Australia Bank, Ltd. |
1,750,279 | 37,743,177 | 1.1% | ||||||||||
* |
Westpac Banking Corp. |
2,224,681 | 42,893,511 | 1.2% | ||||||||||
Other Securities |
103,621,907 | 2.7% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL AUSTRALIA |
225,797,824 | 6.2% | ||||||||||||
|
|
|
|
|||||||||||
AUSTRIA — (0.1%) |
| |||||||||||||
Other Securities |
5,212,102 | 0.1% | ||||||||||||
|
|
|
|
|||||||||||
BELGIUM — (0.7%) |
| |||||||||||||
Other Securities |
26,030,353 | 0.7% | ||||||||||||
|
|
|
|
|||||||||||
CANADA — (10.0%) |
| |||||||||||||
* |
Bank of Montreal |
429,987 | 46,657,889 | 1.3% | ||||||||||
#* |
Bank of Nova Scotia (The) |
381,366 | 25,002,355 | 0.7% | ||||||||||
Canadian Imperial Bank of Commerce |
245,571 | 29,750,633 | 0.8% | |||||||||||
* |
Canadian Natural Resources, Ltd. |
1,119,548 | 47,591,985 | 1.3% | ||||||||||
# |
Manulife Financial Corp. |
885,769 | 17,263,642 | 0.5% | ||||||||||
Nutrien, Ltd. |
325,659 | 22,766,821 | 0.6% | |||||||||||
Suncor Energy, Inc. |
612,698 | 16,113,958 | 0.4% | |||||||||||
Other Securities |
163,251,048 | 4.6% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL CANADA |
368,398,331 | 10.2% | ||||||||||||
|
|
|
|
|||||||||||
DENMARK — (2.4%) |
| |||||||||||||
DSV A/S |
96,512 | 22,452,682 | 0.6% | |||||||||||
# |
Vestas Wind Systems A/S |
615,322 | 26,638,891 | 0.7% | ||||||||||
Other Securities |
40,166,383 | 1.2% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL DENMARK |
89,257,956 | 2.5% | ||||||||||||
|
|
|
|
|||||||||||
FINLAND — (1.2%) |
| |||||||||||||
Other Securities |
43,908,557 | 1.2% | ||||||||||||
|
|
|
|
|||||||||||
FRANCE — (9.7%) |
| |||||||||||||
BNP Paribas SA |
491,862 | 32,957,009 | 0.9% | |||||||||||
Cie de Saint-Gobain |
508,021 | 35,015,658 | 1.0% | |||||||||||
Cie Generale des Etablissements Michelin SCA |
184,266 | 28,936,834 | 0.8% | |||||||||||
* |
Orange SA |
1,647,340 | 17,986,684 | 0.5% | ||||||||||
TotalEnergies SE |
1,666,369 | 83,634,709 | 2.3% | |||||||||||
Other Securities |
157,300,172 | 4.3% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL FRANCE |
355,831,066 | 9.8% | ||||||||||||
|
|
|
|
|||||||||||
GERMANY — (7.7%) |
| |||||||||||||
Allianz SE, Registered |
161,874 | 37,681,056 | 1.0% | |||||||||||
Bayer AG, Registered |
344,537 | 19,405,425 | 0.5% | |||||||||||
Bayerische Motoren Werke AG |
252,486 | 25,490,532 | 0.7% | |||||||||||
Daimler AG |
704,740 | 69,925,944 | 1.9% | |||||||||||
Volkswagen AG, Preference |
152,780 | 34,268,180 | 1.0% | |||||||||||
Other Securities |
95,965,303 | 2.7% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL GERMANY |
282,736,440 | 7.8% | ||||||||||||
|
|
|
|
|||||||||||
HONG KONG — (1.8%) |
| |||||||||||||
Other Securities |
67,202,125 | 3.1% | ||||||||||||
|
|
|
|
37
DIMENSIONAL INTERNATIONAL VALUE ETF
CONTINUED
Shares |
Value† |
Percentage of |
||||||||||||
IRELAND — (0.4%) |
| |||||||||||||
Other Securities |
$ | 14,847,826 | 0.4% | |||||||||||
|
|
|
|
|||||||||||
ISRAEL — (0.5%) |
| |||||||||||||
Other Securities |
19,186,638 | 0.5% | ||||||||||||
|
|
|
|
|||||||||||
ITALY — (2.6%) |
| |||||||||||||
* |
Intesa Sanpaolo SpA |
6,226,117 | 17,706,835 | 0.5% | ||||||||||
Stellantis NV |
1,107,861 | 22,100,296 | 0.6% | |||||||||||
Other Securities |
54,260,365 | 1.5% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL ITALY |
94,067,496 | 2.6% | ||||||||||||
|
|
|
|
|||||||||||
JAPAN — (20.2%) |
| |||||||||||||
* |
Honda Motor Co., Ltd. |
958,588 | 28,154,451 | 0.8% | ||||||||||
* |
Mitsubishi Corp. |
513,200 | 16,256,772 | 0.5% | ||||||||||
* |
SoftBank Group Corp. |
528,200 | 28,553,605 | 0.8% | ||||||||||
* |
Takeda Pharmaceutical Co., Ltd. |
771,894 | 21,682,757 | 0.6% | ||||||||||
* |
Toyota Motor Corp. |
5,079,240 | 89,379,480 | 2.5% | ||||||||||
Other Securities |
556,978,366 | 15.2% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL JAPAN |
741,005,431 | 20.4% | ||||||||||||
|
|
|
|
|||||||||||
NETHERLANDS — (4.9%) |
| |||||||||||||
ING Groep NV |
1,211,638 | 18,396,392 | 0.5% | |||||||||||
Koninklijke Ahold Delhaize NV |
1,237,587 | 40,287,601 | 1.1% | |||||||||||
Koninklijke DSM NV |
165,155 | 36,132,195 | 1.0% | |||||||||||
Other Securities |
84,894,262 | 2.4% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL NETHERLANDS |
179,710,450 | 5.0% | ||||||||||||
|
|
|
|
|||||||||||
NEW ZEALAND — (0.3%) |
| |||||||||||||
Other Securities |
11,700,904 | 0.3% | ||||||||||||
|
|
|
|
|||||||||||
NORWAY — (1.0%) |
| |||||||||||||
Other Securities |
35,090,897 | 1.0% | ||||||||||||
|
|
|
|
|||||||||||
PORTUGAL — (0.2%) |
| |||||||||||||
Other Securities |
5,545,779 | 0.2% | ||||||||||||
|
|
|
|
|||||||||||
SINGAPORE — (0.9%) |
| |||||||||||||
Other Securities |
32,564,264 | 0.9% | ||||||||||||
|
|
|
|
|||||||||||
SPAIN — (2.3%) |
| |||||||||||||
Banco Bilbao Vizcaya Argentaria SA |
2,399,101 | 16,830,244 | 0.4% | |||||||||||
Banco Santander SA |
9,301,027 | 35,266,878 | 1.0% | |||||||||||
Other Securities |
31,572,412 | 0.9% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL SPAIN |
83,669,534 | 2.3% | ||||||||||||
|
|
|
|
|||||||||||
SWEDEN — (2.9%) |
| |||||||||||||
Other Securities |
108,216,664 | 3.0% | ||||||||||||
|
|
|
|
|||||||||||
SWITZERLAND — (8.3%) |
| |||||||||||||
ABB, Ltd., Registered |
512,841 | 17,000,223 | 0.5% | |||||||||||
Cie Financiere Richemont SA, Registered |
224,987 | 27,847,911 | 0.8% | |||||||||||
Novartis AG, Sponsored ADR |
369,814 | 30,605,807 | 0.8% | |||||||||||
Novartis AG, Registered |
354,588 | 29,352,708 | 0.8% | |||||||||||
UBS Group AG |
1,374,597 | 25,039,855 | 0.7% | |||||||||||
Zurich Insurance Group AG |
101,073 | 44,897,981 | 1.2% | |||||||||||
Other Securities |
129,777,401 | 3.6% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL SWITZERLAND |
304,521,886 | 8.4% | ||||||||||||
|
|
|
|
38
DIMENSIONAL INTERNATIONAL VALUE ETF
CONTINUED
Shares |
Value† |
Percentage of |
||||||||||||
UNITED KINGDOM — (13.4%) |
| |||||||||||||
Anglo American PLC |
535,369 | $ | 20,419,506 | 0.6% | ||||||||||
Aviva PLC |
3,902,148 | 21,111,919 | 0.6% | |||||||||||
#* |
Barclays PLC, Sponsored ADR |
1,894,942 | 21,204,401 | 0.6% | ||||||||||
* |
BP PLC, Sponsored ADR |
1,972,347 | 56,783,869 | 1.5% | ||||||||||
* |
British American Tobacco PLC |
1,006,113 | 35,119,416 | 1.0% | ||||||||||
Glencore PLC |
6,855,056 | 34,320,853 | 0.9% | |||||||||||
* |
HSBC Holdings PLC, Sponsored ADR |
972,926 | 29,255,885 | 0.8% | ||||||||||
Lloyds Banking Group PLC |
40,936,381 | 28,180,130 | 0.8% | |||||||||||
* |
Royal Dutch Shell PLC, Sponsored ADR |
2,428,295 | 111,313,042 | 3.1% | ||||||||||
Vodafone Group PLC |
17,598,295 | 26,062,257 | 0.7% | |||||||||||
Other Securities |
107,577,376 | 2.9% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL UNITED KINGDOM |
491,348,654 | 13.5% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL COMMON STOCKS |
3,585,851,177 | 98.9% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL INVESTMENT SECURITIES — (97.7%) |
||||||||||||||
(Cost $2,890,228,822) |
3,585,851,177 | |||||||||||||
|
|
|||||||||||||
SECURITIES LENDING COLLATERAL — (2.3%) |
| |||||||||||||
@§ |
The DFA Short Term Investment Fund |
7,151,846 | 82,743,279 | 2.3% | ||||||||||
|
|
|
|
|||||||||||
TOTAL INVESTMENTS — 100.0% |
||||||||||||||
(Cost $2,972,972,101) |
$ | 3,668,594,456 | 101.2% | |||||||||||
|
|
|
|
Summary of the Fund’s investments as of October 31, 2021, based on their valuation inputs, is as follows (see Security Valuation Note):
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Common Stocks |
||||||||||||||||
Australia |
$ | 225,797,824 | — | — | $ | 225,797,824 | ||||||||||
Austria |
5,212,102 | — | — | 5,212,102 | ||||||||||||
Belgium |
26,030,353 | — | — | 26,030,353 | ||||||||||||
Canada |
368,398,331 | — | — | 368,398,331 | ||||||||||||
Denmark |
89,257,956 | — | — | 89,257,956 | ||||||||||||
Finland |
43,908,557 | — | — | 43,908,557 | ||||||||||||
France |
355,831,066 | — | — | 355,831,066 | ||||||||||||
Germany |
282,736,440 | — | — | 282,736,440 | ||||||||||||
Hong Kong |
67,202,125 | — | — | 67,202,125 | ||||||||||||
Ireland |
14,847,826 | — | — | 14,847,826 | ||||||||||||
Israel |
19,186,638 | — | — | 19,186,638 | ||||||||||||
Italy |
94,067,496 | — | — | 94,067,496 | ||||||||||||
Japan |
741,005,431 | — | — | 741,005,431 | ||||||||||||
Netherlands |
179,710,450 | — | — | 179,710,450 | ||||||||||||
New Zealand |
11,700,904 | — | — | 11,700,904 | ||||||||||||
Norway |
35,090,897 | — | — | 35,090,897 | ||||||||||||
Portugal |
5,545,779 | — | — | 5,545,779 | ||||||||||||
Singapore |
32,564,264 | — | — | 32,564,264 | ||||||||||||
Spain |
83,669,534 | — | — | 83,669,534 | ||||||||||||
Sweden |
108,216,664 | — | — | 108,216,664 | ||||||||||||
Switzerland |
304,521,886 | — | — | 304,521,886 | ||||||||||||
United Kingdom |
491,348,654 | — | — | 491,348,654 | ||||||||||||
Collateral for Securities on Loan |
82,743,279 | — | — | 82,743,279 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
$ | 3,668,594,456 | — | — | $ | 3,668,594,456 | ||||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
39
DIMENSIONAL EMERGING CORE EQUITY MARKET ETF
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2021
Shares |
Value† |
Percentage |
||||||||||||
COMMON STOCKS — (99.6%) |
| |||||||||||||
BRAZIL — (4.4%) |
| |||||||||||||
Petroleo Brasileiro SA, Preference |
247,300 | $ | 1,195,481 | 0.3% | ||||||||||
Vale SA |
140,900 | 1,789,932 | 0.5% | |||||||||||
Other Securities |
14,331,733 | 3.6% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL BRAZIL |
17,317,146 | 4.4% | ||||||||||||
|
|
|
|
|||||||||||
CHILE — (0.4%) |
| |||||||||||||
Other Securities |
1,476,208 | 0.4% | ||||||||||||
|
|
|
|
|||||||||||
CHINA — (30.5%) |
| |||||||||||||
* |
Alibaba Group Holding, Ltd. |
261,200 | 5,473,111 | 1.4% | ||||||||||
* |
Alibaba Group Holding, Ltd., Sponsored ADR |
47,990 | 7,915,471 | 2.0% | ||||||||||
Bank of China, Ltd., Class H |
3,920,000 | 1,385,773 | 0.4% | |||||||||||
China Construction Bank Corp., Class H |
5,352,000 | 3,639,529 | 0.9% | |||||||||||
China Merchants Bank Co., Ltd., Class H |
144,000 | 1,213,413 | 0.3% | |||||||||||
China Resources Land, Ltd. |
284,000 | 1,106,202 | 0.3% | |||||||||||
Geely Automobile Holdings, Ltd. |
435,000 | 1,512,621 | 0.4% | |||||||||||
Industrial & Commercial Bank of China, Ltd., Class H |
3,178,000 | 1,740,351 | 0.4% | |||||||||||
* |
JD.com, Inc., Sponsored ADR |
18,042 | 1,412,328 | 0.4% | ||||||||||
* |
Meituan, Class B |
143,000 | 4,955,978 | 1.3% | ||||||||||
NetEase, Inc., Sponsored ADR |
12,192 | 1,189,817 | 0.3% | |||||||||||
* |
NIO, Inc., Sponsored ADR |
34,442 | 1,357,359 | 0.4% | ||||||||||
Ping An Insurance Group Co. of China, Ltd. |
285,000 | 2,048,001 | 0.5% | |||||||||||
Sunny Optical Technology Group Co., Ltd. |
44,900 | 1,213,256 | 0.3% | |||||||||||
Tencent Holdings, Ltd. |
255,800 | 15,816,816 | 4.0% | |||||||||||
* |
Wuxi Biologics Cayman, Inc. |
72,000 | 1,095,866 | 0.3% | ||||||||||
Other Securities |
68,119,631 | 17.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL CHINA |
121,195,523 | 30.6% | ||||||||||||
|
|
|
|
|||||||||||
COLOMBIA — (0.2%) |
| |||||||||||||
Other Securities |
706,538 | 0.2% | ||||||||||||
|
|
|
|
|||||||||||
CZECH REPUBLIC — (0.1%) |
| |||||||||||||
Other Securities |
430,846 | 0.1% | ||||||||||||
|
|
|
|
|||||||||||
EGYPT — (0.1%) |
| |||||||||||||
Other Securities |
180,243 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
GREECE — (0.2%) |
| |||||||||||||
Other Securities |
943,652 | 0.2% | ||||||||||||
|
|
|
|
|||||||||||
HUNGARY — (0.2%) |
| |||||||||||||
Other Securities |
930,547 | 0.2% | ||||||||||||
|
|
|
|
|||||||||||
INDIA — (13.5%) |
| |||||||||||||
* |
Axis Bank, Ltd. |
120,377 | 1,192,818 | 0.3% | ||||||||||
ICICI Bank, Ltd. |
184,319 | 1,974,233 | 0.5% | |||||||||||
Infosys, Ltd. |
169,856 | 3,783,021 | 1.0% | |||||||||||
ITC, Ltd. |
415,717 | 1,239,136 | 0.3% | |||||||||||
Reliance Industries, Ltd. |
119,074 | 4,033,071 | 1.0% | |||||||||||
Tata Consultancy Services, Ltd. |
38,400 | 1,742,407 | 0.5% | |||||||||||
Other Securities |
39,364,540 | 9.9% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL INDIA |
53,329,226 | 13.5% | ||||||||||||
|
|
|
|
40
DIMENSIONAL EMERGING CORE EQUITY MARKET ETF
CONTINUED
Shares |
Value† |
Percentage |
||||||||||||
INDONESIA — (1.7%) |
| |||||||||||||
Other Securities |
$ | 6,818,334 | 1.7% | |||||||||||
|
|
|
|
|||||||||||
KOREA, REPUBLIC OF — (13.5%) |
| |||||||||||||
KB Financial Group, Inc. |
22,322 | 1,081,191 | 0.3% | |||||||||||
Kia Corp. |
16,541 | 1,204,603 | 0.3% | |||||||||||
NAVER Corp. |
3,442 | 1,198,831 | 0.3% | |||||||||||
POSCO |
4,797 | 1,215,106 | 0.3% | |||||||||||
Samsung Electronics Co., Ltd. |
227,731 | 13,602,862 | 3.5% | |||||||||||
SK Hynix, Inc. |
30,943 | 2,727,422 | 0.7% | |||||||||||
Other Securities |
32,712,538 | 8.2% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL KOREA, REPUBLIC OF |
53,742,553 | 13.6% | ||||||||||||
|
|
|
|
|||||||||||
MALAYSIA — (1.6%) |
| |||||||||||||
Other Securities |
6,512,767 | 1.6% | ||||||||||||
|
|
|
|
|||||||||||
MEXICO — (1.9%) |
| |||||||||||||
Other Securities |
7,561,748 | 1.9% | ||||||||||||
|
|
|
|
|||||||||||
PERU — (0.1%) |
| |||||||||||||
Other Securities |
389,029 | 0.1% | ||||||||||||
|
|
|
|
|||||||||||
PHILIPPINES — (0.8%) |
| |||||||||||||
Other Securities |
3,164,593 | 0.8% | ||||||||||||
|
|
|
|
|||||||||||
POLAND — (1.1%) |
| |||||||||||||
Other Securities |
4,195,699 | 1.1% | ||||||||||||
|
|
|
|
|||||||||||
QATAR — (0.6%) |
| |||||||||||||
Other Securities |
2,417,164 | 0.6% | ||||||||||||
|
|
|
|
|||||||||||
RUSSIAN FEDERATION — (1.2%) |
| |||||||||||||
Gazprom PJSC, ADR |
110,061 | 1,079,258 | 0.3% | |||||||||||
Sberbank of Russia PJSC, ADR |
56,735 | 1,135,835 | 0.3% | |||||||||||
Other Securities |
2,718,670 | 0.6% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL RUSSIAN FEDERATION |
4,933,763 | 1.2% | ||||||||||||
|
|
|
|
|||||||||||
SAUDI ARABIA — (2.8%) |
| |||||||||||||
Al Rajhi Bank |
41,394 | 1,529,555 | 0.4% | |||||||||||
National Commercial Bank |
87,570 | 1,538,528 | 0.4% | |||||||||||
Other Securities |
7,997,430 | 2.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL SAUDI ARABIA |
11,065,513 | 2.8% | ||||||||||||
|
|
|
|
|||||||||||
SOUTH AFRICA — (3.9%) |
| |||||||||||||
* |
MTN Group |
134,688 | 1,213,787 | 0.3% | ||||||||||
Other Securities |
14,159,199 | 3.6% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL SOUTH AFRICA |
15,372,986 | 3.9% | ||||||||||||
|
|
|
|
|||||||||||
TAIWAN — (17.8%) |
| |||||||||||||
Cathay Financial Holding Co., Ltd. |
805,000 | 1,681,878 | 0.4% | |||||||||||
China Development Financial Holding Corp. |
3,627,000 | 1,852,074 | 0.5% | |||||||||||
China Steel Corp. |
1,334,000 | 1,611,824 | 0.4% | |||||||||||
Chung Hung Steel Corp. |
855,000 | 1,079,184 | 0.3% | |||||||||||
CTBC Financial Holding Co., Ltd. |
1,332,000 | 1,111,257 | 0.3% | |||||||||||
Delta Electronics, Inc. |
132,000 | 1,162,954 | 0.3% | |||||||||||
Formosa Plastics Corp. |
301,000 | 1,163,583 | 0.3% | |||||||||||
Fubon Financial Holding Co., Ltd. |
516,999 | 1,368,327 | 0.4% |
41
DIMENSIONAL EMERGING CORE EQUITY MARKET ETF
CONTINUED
Shares |
Value† |
Percentage |
||||||||||||
TAIWAN — (Continued) |
||||||||||||||
Hon Hai Precision Industry Co., Ltd. |
467,000 | $ | 1,796,897 | 0.5% | ||||||||||
Mega Financial Holding Co., Ltd. |
1,338,000 | 1,607,034 | 0.4% | |||||||||||
Taiwan Semiconductor Manufacturing Co., Ltd. |
1,014,000 | 21,513,566 | 5.4% | |||||||||||
United Microelectronics Corp. |
588,000 | 1,226,388 | 0.3% | |||||||||||
# |
Vanguard International Semiconductor Corp. |
272,000 | 1,413,381 | 0.4% | ||||||||||
Wistron Corp. |
1,095,000 | 1,149,792 | 0.3% | |||||||||||
* |
Yang Ming Marine Transport Corp. |
331,000 | 1,148,624 | 0.3% | ||||||||||
Other Securities |
29,876,154 | 7.4% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL TAIWAN |
70,762,917 | 17.9% | ||||||||||||
|
|
|
|
|||||||||||
THAILAND — (2.1%) |
| |||||||||||||
Other Securities |
8,103,697 | 2.1% | ||||||||||||
|
|
|
|
|||||||||||
TURKEY — (0.5%) |
| |||||||||||||
Other Securities |
1,866,808 | 0.5% | ||||||||||||
|
|
|
|
|||||||||||
UNITED ARAB EMIRATES — (0.4%) |
| |||||||||||||
Other Securities |
1,698,671 | 0.4% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL
COMMON STOCKS |
395,116,171 | 99.8% | ||||||||||||
|
|
|
|
|||||||||||
PREFERRED STOCK — (0.0%) |
| |||||||||||||
PHILIPPINES — (0.0%) |
| |||||||||||||
Other Securities |
6,341 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL PREFERRED STOCK |
6,341 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
RIGHTS/WARRANTS — (0.0%) |
| |||||||||||||
KOREA, REPUBLIC OF — (0.0%) |
| |||||||||||||
Other Securities |
1,269 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
TAIWAN — (0.0%) |
| |||||||||||||
Other Securities |
3,390 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
THAILAND — (0.0%) |
| |||||||||||||
Other Securities |
1,186 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL RIGHTS/WARRANTS |
5,845 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL INVESTMENT SECURITIES — (99.6%) |
||||||||||||||
(Cost $402,363,482) |
395,128,357 | |||||||||||||
|
|
|||||||||||||
SECURITIES LENDING COLLATERAL — (0.4%) |
||||||||||||||
@§ |
The DFA Short Term Investment Fund |
150,819 | 1,744,896 | 0.4% | ||||||||||
|
|
|
|
|||||||||||
TOTAL INVESTMENTS — 100.0% |
||||||||||||||
(Cost $404,108,378) |
$ | 396,873,253 | 100.3% | |||||||||||
|
|
|
|
42
DIMENSIONAL EMERGING CORE EQUITY MARKET ETF
CONTINUED
Summary of the Fund’s investments as of October 31, 2021, based on their valuation inputs, is as follows (see Security Valuation Note):
Investment in Securities (Market Value) | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Common Stocks |
||||||||||||||||
Brazil |
$ | 17,317,146 | — | — | $ | 17,317,146 | ||||||||||
Chile |
1,476,208 | — | — | 1,476,208 | ||||||||||||
China |
120,718,531 | $ | 146,576 | $ | 330,416 | 121,195,523 | ||||||||||
Columbia |
706,538 | — | — | 706,538 | ||||||||||||
Czech Republic |
430,846 | — | — | 430,846 | ||||||||||||
Egypt |
180,243 | — | — | 180,243 | ||||||||||||
Greece |
943,652 | — | — | 943,652 | ||||||||||||
Hungary |
930,547 | — | — | 930,547 | ||||||||||||
India |
53,284,387 | 44,839 | — | 53,329,226 | ||||||||||||
Indonesia |
6,818,162 | 172 | — | 6,818,334 | ||||||||||||
Korea, Republic of |
53,179,299 | 563,254 | — | 53,742,553 | ||||||||||||
Malaysia |
6,511,550 | 1,217 | — | 6,512,767 | ||||||||||||
Mexico |
7,561,748 | — | — | 7,561,748 | ||||||||||||
Peru |
389,029 | — | — | 389,029 | ||||||||||||
Philippines |
3,164,592 | 1 | — | 3,164,593 | ||||||||||||
Poland |
4,195,699 | — | — | 4,195,699 | ||||||||||||
Qatar |
2,413,192 | 3,972 | — | 2,417,164 | ||||||||||||
Russian Federation |
4,933,763 | — | — | 4,933,763 | ||||||||||||
Saudi Arabia |
11,065,513 | — | — | 11,065,513 | ||||||||||||
South Africa |
15,372,986 | — | — | 15,372,986 | ||||||||||||
Taiwan |
70,762,917 | — | — | 70,762,917 | ||||||||||||
Thailand |
8,103,697 | — | — | 8,103,697 | ||||||||||||
Turkey |
1,866,808 | — | — | 1,866,808 | ||||||||||||
United Arab Emirates |
1,698,671 | — | — | 1,698,671 | ||||||||||||
Preferred Stock |
— | |||||||||||||||
Philippines |
6,341 | — | — | 6,341 | ||||||||||||
Rights/Warrants |
— | |||||||||||||||
Korea, Republic of |
— | 1,269 | — | 1,269 | ||||||||||||
Taiwan |
— | 3,390 | — | 3,390 | ||||||||||||
Thailand |
— | 1,186 | — | 1,186 | ||||||||||||
Collateral for Securities on Loan |
1,744,896 | — | — | 1,744,896 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
$ | 395,776,961 | $ | 765,876 | $ | 330,416 | $ | 396,873,253 | ||||||||
|
|
|
|
|
|
|
|
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.
43
DIMENSIONAL WORLD EX U.S. CORE EQUITY 2 ETF
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
October 31, 2021
Shares |
Value† |
Percentage |
||||||||||||
COMMON STOCKS — (98.0%) |
| |||||||||||||
AUSTRALIA — (4.2%) |
| |||||||||||||
# |
BHP Group, Ltd. |
329,587 | $ | 9,055,486 | 0.2% | |||||||||
Other Securities |
190,170,118 | 4.1% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL AUSTRALIA |
199,225,604 | 4.3% | ||||||||||||
|
|
|
|
|||||||||||
AUSTRIA — (0.4%) |
| |||||||||||||
Other Securities |
19,315,856 | 0.4% | ||||||||||||
|
|
|
|
|||||||||||
BELGIUM — (0.8%) |
| |||||||||||||
Other Securities |
37,438,581 | 0.8% | ||||||||||||
|
|
|
|
|||||||||||
BRAZIL — (1.3%) |
| |||||||||||||
Vale SA |
622,419 | 7,906,941 | 0.2% | |||||||||||
Other Securities |
53,936,335 | 1.1% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL BRAZIL |
61,843,276 | 1.3% | ||||||||||||
|
|
|
|
|||||||||||
CANADA — (7.2%) |
| |||||||||||||
Canadian Imperial Bank of Commerce |
57,763 | 6,997,918 | 0.2% | |||||||||||
* |
Canadian Natural Resources, Ltd. |
270,796 | 11,511,538 | 0.3% | ||||||||||
National Bank of Canada |
86,593 | 7,157,693 | 0.2% | |||||||||||
* |
Royal Bank of Canada |
139,164 | 14,474,448 | 0.3% | ||||||||||
Royal Bank of Canada |
73,553 | 7,643,982 | 0.2% | |||||||||||
Other Securities |
294,063,645 | 6.1% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL CANADA |
341,849,224 | 7.3% | ||||||||||||
|
|
|
|
|||||||||||
CHILE — (0.1%) |
| |||||||||||||
Other Securities |
5,484,991 | 0.1% | ||||||||||||
|
|
|
|
|||||||||||
CHINA — (9.2%) |
| |||||||||||||
* |
Alibaba Group Holding, Ltd., Sponsored ADR |
43,175 | 7,121,284 | 0.2% | ||||||||||
BYD Co., Ltd., Class H |
189,500 | 7,225,265 | 0.2% | |||||||||||
China Construction Bank Corp., Class H |
16,236,200 | 11,041,129 | 0.3% | |||||||||||
China Merchants Bank Co., Ltd., Class H |
823,701 | 6,940,899 | 0.2% | |||||||||||
Geely Automobile Holdings, Ltd. |
2,073,000 | 7,208,419 | 0.2% | |||||||||||
Ping An Insurance Group Co. of China, Ltd. |
1,219,000 | 8,759,694 | 0.2% | |||||||||||
Tencent Holdings, Ltd. |
442,300 | 27,348,622 | 0.6% | |||||||||||
Other Securities |
360,698,429 | 7.5% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL CHINA |
436,343,741 | 9.4% | ||||||||||||
|
|
|
|
|||||||||||
COLOMBIA — (0.1%) |
| |||||||||||||
Other Securities |
2,581,331 | 0.1% | ||||||||||||
|
|
|
|
|||||||||||
CZECH REPUBLIC — (0.0%) |
| |||||||||||||
Other Securities |
1,376,989 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
DENMARK — (1.7%) |
| |||||||||||||
Novo Nordisk A/S, Class B |
134,410 | 14,726,168 | 0.3% | |||||||||||
Other Securities |
63,801,481 | 1.4% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL DENMARK |
78,527,649 | 1.7% | ||||||||||||
|
|
|
|
|||||||||||
EGYPT — (0.0%) |
| |||||||||||||
Other Securities |
405,217 | 0.0% | ||||||||||||
|
|
|
|
44
DIMENSIONAL WORLD EX U.S. CORE EQUITY 2 ETF
CONTINUED
Shares |
Value† |
Percentage |
||||||||||||
FINLAND — (1.1%) |
| |||||||||||||
Other Securities |
$ | 53,401,287 | 1.1% | |||||||||||
|
|
|
|
|||||||||||
FRANCE — (5.3%) |
| |||||||||||||
Air Liquide SA |
59,288 | 9,896,428 | 0.2% | |||||||||||
Cie Generale des Etablissements Michelin SCA |
52,105 | 8,182,484 | 0.2% | |||||||||||
LVMH Moet Hennessy Louis Vuitton SE |
20,433 | 16,013,086 | 0.4% | |||||||||||
TotalEnergies SE |
202,299 | 10,153,344 | 0.3% | |||||||||||
Other Securities |
208,340,593 | 4.3% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL FRANCE |
252,585,935 | 5.4% | ||||||||||||
|
|
|
|
|||||||||||
GERMANY — (5.0%) |
| |||||||||||||
Daimler AG |
175,177 | 17,381,470 | 0.4% | |||||||||||
Deutsche Post AG, Registered |
115,583 | 7,158,731 | 0.2% | |||||||||||
Deutsche Telekom AG |
490,159 | 9,120,002 | 0.2% | |||||||||||
Volkswagen AG, Preference |
35,805 | 8,030,974 | 0.2% | |||||||||||
Other Securities |
197,485,819 | 4.1% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL GERMANY |
239,176,996 | 5.1% | ||||||||||||
|
|
|
|
|||||||||||
GREECE — (0.1%) |
| |||||||||||||
Other Securities |
3,995,958 | 0.1% | ||||||||||||
|
|
|
|
|||||||||||
HONG KONG — (1.7%) |
| |||||||||||||
AIA Group, Ltd. |
1,012,200 | 11,430,929 | 0.3% | |||||||||||
Other Securities |
67,240,012 | 1.4% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL HONG KONG |
78,670,941 | 1.7% | ||||||||||||
|
|
|
|
|||||||||||
HUNGARY — (0.1%) |
| |||||||||||||
Other Securities |
3,516,769 | 0.1% | ||||||||||||
|
|
|
|
|||||||||||
INDIA — (3.6%) |
| |||||||||||||
Infosys, Ltd. |
379,317 | 8,448,122 | 0.2% | |||||||||||
Other Securities |
160,654,351 | 3.4% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL INDIA |
169,102,473 | 3.6% | ||||||||||||
|
|
|
|
|||||||||||
INDONESIA — (0.6%) |
| |||||||||||||
Other Securities |
26,738,553 | 0.6% | ||||||||||||
|
|
|
|
|||||||||||
IRELAND — (0.6%) |
| |||||||||||||
CRH PLC, Sponsored ADR |
190,588 | 9,136,789 | 0.2% | |||||||||||
Other Securities |
18,642,960 | 0.4% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL IRELAND |
27,779,749 | 0.6% | ||||||||||||
|
|
|
|
|||||||||||
ISRAEL — (0.7%) |
| |||||||||||||
Other Securities |
32,708,494 | 0.7% | ||||||||||||
|
|
|
|
|||||||||||
ITALY — (1.9%) |
| |||||||||||||
Stellantis NV |
394,373 | 7,867,197 | 0.2% | |||||||||||
Other Securities |
81,677,371 | 1.7% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL ITALY |
89,544,568 | 1.9% | ||||||||||||
|
|
|
|
|||||||||||
JAPAN — (14.7%) |
| |||||||||||||
* |
Hitachi, Ltd. |
131,700 | 7,569,935 | 0.2% | ||||||||||
KDDI Corp. |
255,900 | 7,917,695 | 0.2% | |||||||||||
Recruit Holdings Co., Ltd. |
107,400 | 7,132,057 | 0.2% | |||||||||||
* |
SoftBank Group Corp. |
311,092 | 16,817,111 | 0.4% |
45
DIMENSIONAL WORLD EX U.S. CORE EQUITY 2 ETF
CONTINUED
Shares |
Value† |
Percentage |
||||||||||||
JAPAN — (Continued) |
| |||||||||||||
Sony Corp. |
92,700 | $ | 10,682,552 | 0.3% | ||||||||||
* |
Toyota Motor Corp. |
1,059,400 | 18,642,281 | 0.4% | ||||||||||
Other Securities |
627,567,899 | 13.2% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL JAPAN |
696,329,530 | 14.9% | ||||||||||||
|
|
|
|
|||||||||||
KOREA, REPUBLIC OF — (4.6%) |
| |||||||||||||
Samsung Electronics Co., Ltd. |
524,115 | 31,306,514 | 0.7% | |||||||||||
Samsung Electronics Co., Ltd., Sponsored GDR |
10,022 | 14,962,846 | 0.3% | |||||||||||
SK Hynix, Inc. |
92,845 | 8,183,676 | 0.2% | |||||||||||
Other Securities |
161,576,483 | 3.4% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL KOREA, REPUBLIC OF |
216,029,519 | 4.6% | ||||||||||||
|
|
|
|
|||||||||||
MALAYSIA — (0.5%) |
| |||||||||||||
Other Securities |
25,787,856 | 0.6% | ||||||||||||
|
|
|
|
|||||||||||
MEXICO — (0.6%) |
| |||||||||||||
Other Securities |
30,981,103 | 0.7% | ||||||||||||
|
|
|
|
|||||||||||
NETHERLANDS — (2.5%) |
| |||||||||||||
ASML Holding NV, Sponsored NYS |
21,482 | 17,462,288 | 0.4% | |||||||||||
Koninklijke Ahold Delhaize NV |
292,367 | 9,517,525 | 0.2% | |||||||||||
Other Securities |
91,677,547 | 1.9% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL NETHERLANDS |
118,657,360 | 2.5% | ||||||||||||
|
|
|
|
|||||||||||
NEW ZEALAND — (0.3%) |
| |||||||||||||
Other Securities |
15,872,924 | 0.3% | ||||||||||||
|
|
|
|
|||||||||||
NORWAY — (0.7%) |
| |||||||||||||
Other Securities |
32,533,306 | 0.7% | ||||||||||||
|
|
|
|
|||||||||||
PERU — (0.0%) |
| |||||||||||||
Other Securities |
562,421 | 0.0 | ||||||||||||
|
|
|
|
|||||||||||
PHILIPPINES — (0.2%) |
| |||||||||||||
Other Securities |
11,234,181 | 0.2% | ||||||||||||
|
|
|
|
|||||||||||
POLAND — (0.3%) |
| |||||||||||||
Other Securities |
15,082,236 | 0.3% | ||||||||||||
|
|
|
|
|||||||||||
PORTUGAL — (0.2%) |
| |||||||||||||
Other Securities |
7,807,339 | 0.2% | ||||||||||||
|
|
|
|
|||||||||||
QATAR — (0.2%) |
| |||||||||||||
Other Securities |
8,875,675 | 0.2% | ||||||||||||
|
|
|
|
|||||||||||
RUSSIAN FEDERATION — (0.3%) |
| |||||||||||||
Other Securities |
16,588,442 | 0.4% | ||||||||||||
|
|
|
|
|||||||||||
SAUDI ARABIA — (0.8%) |
| |||||||||||||
Other Securities |
39,388,319 | 0.8% | ||||||||||||
|
|
|
|
|||||||||||
SINGAPORE — (0.6%) |
| |||||||||||||
Other Securities |
27,505,389 | 0.6% | ||||||||||||
|
|
|
|
|||||||||||
SOUTH AFRICA — (1.6%) |
| |||||||||||||
Other Securities |
76,159,982 | 1.6% | ||||||||||||
|
|
|
|
46
DIMENSIONAL WORLD EX U.S. CORE EQUITY 2 ETF
CONTINUED
Shares |
Value† |
Percentage |
||||||||||||
SPAIN — (1.4%) |
||||||||||||||
Iberdrola SA |
682,474 | $ | 8,067,713 | 0.2% | ||||||||||
Other Securities |
59,452,152 | 1.3% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL SPAIN |
67,519,865 | 1.5% | ||||||||||||
|
|
|
|
|||||||||||
SWEDEN — (2.5%) |
||||||||||||||
Other Securities |
119,468,450 | 2.6% | ||||||||||||
|
|
|
|
|||||||||||
SWITZERLAND — (4.9%) |
||||||||||||||
Nestle SA, Registered |
299,395 | 39,587,309 | 0.9% | |||||||||||
Julius Baer Group, Ltd. |
87,631 | 6,346,834 | 0.1% | |||||||||||
Novartis AG, Sponsored ADR |
91,358 | 7,560,788 | 0.2% | |||||||||||
Roche Holding AG |
53,301 | 20,652,497 | 0.4% | |||||||||||
Other Securities |
155,926,030 | 3.3% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL SWITZERLAND |
230,073,458 | 4.9% | ||||||||||||
|
|
|
|
|||||||||||
TAIWAN — (5.6%) |
| |||||||||||||
Taiwan Semiconductor - SP, Sponsored ADR |
296,894 | 33,756,848 | 0.7% | |||||||||||
Taiwan Semiconductor Manufacturing Co., Ltd. |
436,465 | 9,260,275 | 0.2% | |||||||||||
Other Securities |
220,295,076 | 4.7% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL TAIWAN |
263,312,199 | 5.6% | ||||||||||||
|
|
|
|
|||||||||||
THAILAND — (0.7%) |
| |||||||||||||
Other Securities |
32,098,655 | 0.7% | ||||||||||||
|
|
|
|
|||||||||||
TURKEY — (0.2%) |
| |||||||||||||
Other Securities |
7,917,339 | 0.2% | ||||||||||||
|
|
|
|
|||||||||||
UNITED ARAB EMIRATES — (0.2%) |
| |||||||||||||
Other Securities |
8,008,432 | 0.2% | ||||||||||||
|
|
|
|
|||||||||||
UNITED KINGDOM — (8.7%) |
| |||||||||||||
AstraZeneca PLC, Sponsored ADR |
178,391 | 11,128,031 | 0.3% | |||||||||||
* |
BP PLC, Sponsored ADR |
500,724 | 14,415,844 | 0.3% | ||||||||||
# |
Rio Tinto PLC, Sponsored ADR |
112,739 | 7,132,997 | 0.2% | ||||||||||
* |
Royal Dutch Shell PLC, Sponsored ADR |
299,298 | 13,719,820 | 0.3% | ||||||||||
Unilever PLC, Sponsored ADR |
177,876 | 9,530,596 | 0.2% | |||||||||||
Other Securities |
355,895,924 | 7.5% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL UNITED KINGDOM |
411,823,212 | 8.8% | ||||||||||||
|
|
|
|
|||||||||||
UNITED STATES — (0.0%) |
| |||||||||||||
Other Securities |
2,393,727 | 0.1% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL COMMON STOCKS |
4,643,625,101 | 99.5% | ||||||||||||
|
|
|
|
|||||||||||
PREFERRED STOCK — (0.0%) |
| |||||||||||||
PHILIPPINES — (0.0%) |
| |||||||||||||
Other Securities |
52,045 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL PREFERRED STOCK |
52,045 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
RIGHTS/WARRANTS — (0.0%) |
| |||||||||||||
AUSTRALIA — (0.0%) |
| |||||||||||||
Other Securities |
14,420 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
AUSTRIA — (0.0%) |
| |||||||||||||
Other Securities |
404 | 0.0% | ||||||||||||
|
|
|
|
47
DIMENSIONAL WORLD EX U.S. CORE EQUITY 2 ETF
CONTINUED
Shares |
Value† |
Percentage |
||||||||||||
CANADA — (0.0%) |
| |||||||||||||
Other Securities |
$ | 71,677 | 0.0% | |||||||||||
|
|
|
|
|||||||||||
INDIA — (0.0%) |
| |||||||||||||
Other Securities |
1,503 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
INDONESIA — (0.0%) |
| |||||||||||||
Other Securities |
5,110 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
KOREA, REPUBLIC OF — (0.0%) |
| |||||||||||||
Other Securities |
57,146 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
MALAYSIA — (0.0%) |
| |||||||||||||
Other Securities |
2,699 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
NEW ZEALAND — (0.0%) |
| |||||||||||||
Other Securities |
2,998 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
TAIWAN — (0.0%) |
| |||||||||||||
Other Securities |
1,386 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
THAILAND — (0.0%) |
| |||||||||||||
Other Securities |
14,459 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
UNITED KINGDOM — (0.0%) |
| |||||||||||||
Other Securities |
5,892 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL RIGHTS/WARRANTS |
177,694 | 0.0% | ||||||||||||
|
|
|
|
|||||||||||
TOTAL INVESTMENT SECURITIES — (98.0%) |
||||||||||||||
(Cost $3,430,274,173) |
4,643,854,840 | |||||||||||||
|
|
|||||||||||||
SECURITIES LENDING COLLATERAL — (2.0%) |
| |||||||||||||
@§ |
The DFA Short Term Investment Fund |
8,003,357 | 92,594,840 | 2.0% | ||||||||||
|
|
|
|
|||||||||||
TOTAL INVESTMENTS — 100.0% |
||||||||||||||
(Cost $3,522,869,013) |
$ | 4,736,449,680 | 101.5% | |||||||||||
|
|
|
|
Summary of the Fund’s investments as of October 31, 2021, based on their valuation inputs, is as follows (see Security Valuation Note):
Investment in Securities (Market Value) | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Common Stocks |
||||||||||||||||
Australia |
$ | 193,590,391 | $ | 5,635,213 | — | $ | 199,225,604 | |||||||||
Austria |
19,315,856 | — | — | 19,315,856 | ||||||||||||
Belgium |
37,438,581 | — | — | 37,438,581 | ||||||||||||
Brazil |
61,843,276 | — | — | 61,843,276 | ||||||||||||
Canada |
341,849,224 | — | — | 341,849,224 | ||||||||||||
Chile |
5,484,991 | — | — | 5,484,991 | ||||||||||||
China |
433,425,672 | 1,605,447 | $ | 1,312,622 | 436,343,741 | |||||||||||
Colombia |
2,581,331 | — | — | 2,581,331 | ||||||||||||
Czech Republic |
1,376,989 | — | — | 1,376,989 | ||||||||||||
Denmark |
78,527,649 | — | — | 78,527,649 | ||||||||||||
Egypt |
405,217 | — | — | 405,217 | ||||||||||||
Finland |
53,401,287 | — | — | 53,401,287 | ||||||||||||
France |
252,584,129 | 1,806 | — | 252,585,935 |
48
DIMENSIONAL WORLD EX U.S. CORE EQUITY 2 ETF
CONTINUED
Investment in Securities (Market Value) | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Germany |
$ | 239,176,996 | — | — | $ | 239,176,996 | ||||||||||
Greece |
3,991,840 | $ | 4,118 | — | 3,995,958 | |||||||||||
Hong Kong |
78,469,055 | 17,374 | $ | 184,512 | 78,670,941 | |||||||||||
Hungary |
3,516,769 | — | — | 3,516,769 | ||||||||||||
India |
169,066,676 | 35,797 | — | 169,102,473 | ||||||||||||
Indonesia |
26,668,188 | 70,365 | — | 26,738,553 | ||||||||||||
Ireland |
27,779,749 | — | — | 27,779,749 | ||||||||||||
Israel |
32,708,494 | — | — | 32,708,494 | ||||||||||||
Italy |
89,544,568 | — | — | 89,544,568 | ||||||||||||
Japan |
696,329,530 | — | — | 696,329,530 | ||||||||||||
Korea, Republic of |
215,328,011 | 701,508 | — | 216,029,519 | ||||||||||||
Malaysia |
25,753,653 | 34,203 | — | 25,787,856 | ||||||||||||
Mexico |
30,980,554 | 549 | — | 30,981,103 | ||||||||||||
Netherlands |
118,657,360 | — | — | 118,657,360 | ||||||||||||
New Zealand |
15,872,924 | — | — | 15,872,924 | ||||||||||||
Norway |
32,533,306 | — | — | 32,533,306 | ||||||||||||
Peru |
562,421 | — | — | 562,421 | ||||||||||||
Philippines |
11,234,025 | 156 | — | 11,234,181 | ||||||||||||
Poland |
15,082,236 | — | — | 15,082,236 | ||||||||||||
Portugal |
7,807,339 | — | — | 7,807,339 | ||||||||||||
Qatar |
8,687,591 | 188,084 | — | 8,875,675 | ||||||||||||
Russian Federation |
16,588,442 | — | — | 16,588,442 | ||||||||||||
Saudi Arabia |
39,388,319 | — | — | 39,388,319 | ||||||||||||
Singapore |
27,438,000 | 67,389 | — | 27,505,389 | ||||||||||||
South Africa |
76,159,982 | — | — | 76,159,982 | ||||||||||||
Spain |
67,519,865 | — | — | 67,519,865 | ||||||||||||
Sweden |
119,468,450 | — | — | 119,468,450 | ||||||||||||
Switzerland |
230,073,458 | — | — | 230,073,458 | ||||||||||||
Taiwan |
263,296,165 | 16,034 | — | 263,312,199 | ||||||||||||
Thailand |
32,098,655 | — | — | 32,098,655 | ||||||||||||
Turkey |
7,917,339 | — | — | 7,917,339 | ||||||||||||
United Arab Emirates |
8,005,047 | 3,385 | — | 8,008,432 | ||||||||||||
United Kingdom |
411,823,212 | — | — | 411,823,212 | ||||||||||||
United States |
2,393,727 | — | — | 2,393,727 | ||||||||||||
Preferred Stock |
||||||||||||||||
Philippines |
52,045 | — | — | 52,045 | ||||||||||||
Rights/Warrants |
||||||||||||||||
Australia |
14,420 | — | — | 14,420 | ||||||||||||
Austria |
— | 404 | — | 404 | ||||||||||||
Canada |
71,677 | — | — | 71,677 | ||||||||||||
India |
— | 1,503 | — | 1,503 | ||||||||||||
Indonesia |
5,110 | — | — | 5,110 | ||||||||||||
Korea, Republic of |
— | 57,146 | — | 57,146 | ||||||||||||
Malaysia |
2,699 | — | — | 2,699 | ||||||||||||
New Zealand |
— | 2,998 | — | 2,998 | ||||||||||||
Taiwan |
— | 1,386 | — | 1,386 | ||||||||||||
Thailand |
8,933 | 5,526 | — | 14,459 | ||||||||||||
United Kingdom |
— | 5,892 | — | 5,892 | ||||||||||||
Collateral for Securities on Loan |
92,594,840 | — | — | 92,594,840 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
$ | 4,726,496,263 | $ | 8,456,283 | $ | 1,497,134 | $ | 4,736,449,680 | ||||||||
|
|
|
|
|
|
|
|
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.
49
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2021
(Amounts in thousands, except per share amounts)
Dimensional U.S. Equity ETF |
Dimensional US Core Equity Market ETF |
Dimensional U.S. Core Equity 2 ETF |
||||||||||
ASSETS: |
||||||||||||
Investment Securities at Value (Including $55,153, $15,300, and $189,640 of securities on loan, respectively) |
$ | 6,032,962 | $ | 1,327,077 | $ | 14,439,551 | ||||||
Collateral from Securities on Loan Invested in Affiliate at Value (Cost of $56,272, $15,665, and $194,434, respectively) (a) |
56,272 | 15,665 | 194,434 | |||||||||
Cash |
4,784 | 1,882 | 11,566 | |||||||||
Receivables: |
||||||||||||
Dividends and Interest |
4,191 | 970 | 9,465 | |||||||||
Receivable for Capital Shares Issued |
— | — | 4 | |||||||||
Prepaid Expenses and Other Assets |
144 | 2 | 290 | |||||||||
|
|
|
|
|
|
|||||||
Total Assets |
6,098,353 | 1,345,596 | 14,655,310 | |||||||||
|
|
|
|
|
|
|||||||
LIABILITIES: |
||||||||||||
Payables: |
||||||||||||
Investment Securities Purchased |
— | 1,454 | — | |||||||||
Upon Return of Securities Loaned |
56,272 | 15,665 | 194,434 | |||||||||
Accrued Expenses and Other Liabilities: |
||||||||||||
Advisory Fee |
403 | 129 | 1,908 | |||||||||
Administration and Accounting |
241 | — | 577 | |||||||||
Custodian |
53 | — | 110 | |||||||||
Transfer Agent |
18 | — | 32 | |||||||||
Trustee |
8 | — | 19 | |||||||||
Service Fee (b) |
— | 8 | — | |||||||||
Other Expenses |
118 | — | 292 | |||||||||
|
|
|
|
|
|
|||||||
Total Liabilities |
57,113 | 17,256 | 197,372 | |||||||||
|
|
|
|
|
|
|||||||
NET ASSETS |
$ | 6,041,240 | $ | 1,328,340 | $ | 14,457,938 | ||||||
|
|
|
|
|
|
|||||||
SHARES OUTSTANDING, $0.01 PAR VALUE |
120,005 | 41,404 | 513,989 | |||||||||
|
|
|
|
|
|
|||||||
Net Asset Value, Offering and Redemption price per share |
$ | 50.34 | $ | 32.08 | $ | 28.13 | ||||||
|
|
|
|
|
|
|||||||
Investment Securities at Cost |
$ | 1,776,077 | $ | 1,178,652 | $ | 5,783,599 | ||||||
|
|
|
|
|
|
|||||||
Foreign Currencies at Cost |
$ | 4,784 | $ | 1,882 | $ | 11,566 | ||||||
|
|
|
|
|
|
|||||||
NET ASSETS CONSIST OF: |
||||||||||||
Paid-In Capital |
$ | 1,801,768 | $ | 1,179,030 | $ | 5,792,695 | ||||||
Total Distributable Earnings (Loss) |
4,239,472 | 149,310 | 8,665,243 | |||||||||
|
|
|
|
|
|
|||||||
NET ASSETS |
$ | 6,041,240 | $ | 1,328,340 | $ | 14,457,938 | ||||||
|
|
|
|
|
|
(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.
50
DIMENSIONAL ETF TRUST
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2021
(Amounts in thousands, except per share amounts)
Dimensional U.S. Small Cap ETF |
Dimensional U.S. Targeted Value ETF |
Dimensional International Core Equity Market ETF |
||||||||||
ASSETS: |
||||||||||||
Investment Securities at Value including $114,320, $134,420, and $14,063 of securities on loan, respectively) |
$ | 4,286,371 | $ | 6,412,666 | $ | 763,784 | ||||||
Collateral from Securities on Loan Invested in Affiliate at Value (Cost of $117,558, $136,562, and $11,830, respectively) (a) |
117,558 | 136,562 | 11,830 | |||||||||
Foreign Currencies at Value |
— | — | 949 | |||||||||
Cash |
3,852 | 30,671 | 1,118 | |||||||||
Receivables: |
||||||||||||
Investment Securities Sold |
682 | 8,819 | 72 | |||||||||
Dividends and Interest |
942 | 1,952 | 1,485 | |||||||||
Receivable for Tax Reclaims |
— | — | 298 | |||||||||
Prepaid Expenses and Other Assets |
114 | 178 | 5 | |||||||||
|
|
|
|
|
|
|||||||
Total Assets |
4,409,519 | 6,590,848 | 779,541 | |||||||||
|
|
|
|
|
|
|||||||
LIABILITIES: |
||||||||||||
Payables: |
||||||||||||
Investment Securities Purchased |
272 | 2,944 | 152 | |||||||||
Upon Return of Securities Loaned |
117,558 | 136,562 | 11,830 | |||||||||
Accrued Expenses and Other Liabilities: |
||||||||||||
Advisory Fee |
1,068 | 1,609 | 107 | |||||||||
Administration and Accounting |
183 | 266 | — | |||||||||
Custodian |
47 | 57 | — | |||||||||
Transfer Agent |
15 | 18 | — | |||||||||
Trustee |
6 | 8 | — | |||||||||
Service Fee (b) |
— | — | 7 | |||||||||
Other Expenses |
132 | 180 | 5 | |||||||||
|
|
|
|
|
|
|||||||
Total Liabilities |
119,281 | 141,644 | 12,101 | |||||||||
|
|
|
|
|
|
|||||||
NET ASSETS |
$ | 4,290,238 | $ | 6,449,204 | $ | 767,440 | ||||||
|
|
|
|
|
|
|||||||
SHARES OUTSTANDING, $0.01 PAR VALUE |
71,246 | 138,729 | 25,800 | |||||||||
|
|
|
|
|
|
|||||||
Net Asset Value, Offering and Redemption price per share |
$ | 60.22 | $ | 46.49 | $ | 29.75 | ||||||
|
|
|
|
|
|
|||||||
Investment Securities at Cost |
$ | 1,871,105 | $ | 3,105,479 | $ | 732,352 | ||||||
|
|
|
|
|
|
|||||||
Foreign Currencies at Cost |
$ | — | $ | — | $ | 2,065 | ||||||
|
|
|
|
|
|
|||||||
NET ASSETS CONSIST OF: |
||||||||||||
Paid-In Capital |
$ | 1,778,269 | $ | 3,134,078 | $ | 734,081 | ||||||
Total Distributable Earnings (Loss) |
2,511,969 | 3,315,126 | 33,359 | |||||||||
|
|
|
|
|
|
|||||||
NET ASSETS |
$ | 4,290,238 | $ | 6,449,204 | $ | 767,440 | ||||||
|
|
|
|
|
|
(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.
51
DIMENSIONAL ETF TRUST
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2021
(Amounts in thousands, except per share amounts)
Dimensional International Value ETF |
Dimensional Emerging Core Equity Market ETF |
Dimensional World ex U.S. Core Equity 2 ETF |
||||||||||
ASSETS: |
||||||||||||
Investment Securities at Value including $82,935, $11,056, and $144,209 of securities on loan, respectively) |
$ | 3,585,851 | $ | 395,128 | $ | 4,643,855 | ||||||
Collateral from Securities on Loan Invested in Affiliate at Value (Cost of $82,743, $1,745, and $92,595, respectively) (a) |
82,743 | 1,745 | 92,595 | |||||||||
Foreign Currencies at Value |
9,521 | 804 | 9,911 | |||||||||
Cash |
4,326 | 532 | 2,531 | |||||||||
Receivables: |
||||||||||||
Investment Securities Sold |
167 | — | 133 | |||||||||
Dividends and Interest |
11,703 | 271 | 8,786 | |||||||||
Receivable for Capital Shares Issued |
8,440 | — | — | |||||||||
Receivable for Tax Reclaims |
7,711 | 2 | 4,227 | |||||||||
Prepaid Expenses and Other Assets |
152 | 6 | 190 | |||||||||
|
|
|
|
|
|
|||||||
Total Assets |
3,710,614 | 398,488 | 4,762,228 | |||||||||
|
|
|
|
|
|
|||||||
LIABILITIES: |
||||||||||||
Payables: |
||||||||||||
Investment Securities Purchased |
9,234 | — | 2,688 | |||||||||
Upon Return of Securities Loaned |
82,743 | 1,745 | 92,595 | |||||||||
Accrued Foreign Capital Gains Tax |
— | 894 | 8 | |||||||||
Accrued Expenses and Other Liabilities: |
||||||||||||
Advisory Fee |
940 | 112 | 1,007 | |||||||||
Administration and Accounting |
218 | — | 254 | |||||||||
Custodian |
95 | — | 497 | |||||||||
Transfer Agent |
6 | — | 7 | |||||||||
Trustee |
3 | — | 3 | |||||||||
Service Fee (b) |
— | 8 | — | |||||||||
Other Expenses |
— | — | 190 | |||||||||
Organization |
406 | — | 575 | |||||||||
|
|
|
|
|
|
|||||||
Total Liabilities |
93,645 | 2,759 | 97,824 | |||||||||
|
|
|
|
|
|
|||||||
NET ASSETS |
$ | 3,616,969 | $ | 395,729 | $ | 4,664,404 | ||||||
|
|
|
|
|
|
|||||||
SHARES OUTSTANDING, $0.01 PAR VALUE |
107,145 | 14,400 | 177,218 | |||||||||
|
|
|
|
|
|
|||||||
Net Asset Value, Offering and Redemption price per share |
$ | 33.76 | $ | 27.48 | $ | 26.32 | ||||||
|
|
|
|
|
|
|||||||
Investment Securities at Cost |
$ | 2,882,073 | $ | 402,363 | $ | 3,430,274 | ||||||
|
|
|
|
|
|
|||||||
Foreign Currencies at Cost |
$ | 13,891 | $ | 1,342 | $ | 9,947 | ||||||
|
|
|
|
|
|
|||||||
NET ASSETS CONSIST OF: |
||||||||||||
Paid-In Capital |
$ | 3,314,323 | $ | 403,170 | $ | 3,516,090 | ||||||
Total Distributable Earnings (Loss) |
302,646 | (7,441 | ) | 1,148,314 | ||||||||
|
|
|
|
|
|
|||||||
NET ASSETS |
$ | 3,616,969 | $ | 395,729 | $ | 4,664,404 | ||||||
|
|
|
|
|
|
(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.
52
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2021
(Amounts in thousands)
Dimensional U.S. Equity ETF (a)(c) |
Dimensional US Core Equity Market ETF (a)(b) |
Dimensional U.S. Core Equity 2 ETF (a)(c) |
||||||||||
INVESTMENT INCOME: |
||||||||||||
Interest |
$ | 3 | $ | — | $ | 9 | ||||||
Dividends (Net of Foreign Taxes Withheld of ($9), ($2) and ($42), respectively) |
72,846 | 9,779 | 182,506 | |||||||||
Income from Securities Lending |
151 | 9 | 639 | |||||||||
|
|
|
|
|
|
|||||||
Total Investment Income |
73,000 | 9,788 | 183,154 | |||||||||
|
|
|
|
|
|
|||||||
EXPENSES: |
||||||||||||
Investment Management Fees |
7,319 | 839 | (d) | 23,067 | ||||||||
Administration and Accounting |
216 | — | 496 | |||||||||
Custodian |
51 | — | 102 | |||||||||
Filing Fees |
6 | — | 35 | |||||||||
Transfer Agency |
548 | — | 1,236 | |||||||||
Directors’/Trustees’ Fees & Expenses |
51 | — | 119 | |||||||||
Other Expenses |
459 | 35 | 997 | |||||||||
|
|
|
|
|
|
|||||||
Previously Waived Fees Recovered by Advisor |
177 | — | — | |||||||||
|
|
|
|
|
|
|||||||
Total Expenses |
8,827 | 874 | 26,052 | |||||||||
|
|
|
|
|
|
|||||||
Fees Paid Indirectly (d) |
(2 | ) | — | (5 | ) | |||||||
|
|
|
|
|
|
|||||||
Net Expenses |
8,825 | 874 | 26,047 | |||||||||
|
|
|
|
|
|
|||||||
Net Investment Income (Loss) |
64,175 | 8,914 | 157,107 | |||||||||
|
|
|
|
|
|
|||||||
Realized/Unrealized Gain (Loss): |
||||||||||||
Net Realized Gain (Loss) from: |
||||||||||||
Investment Transactions |
3,197 | (1,290 | ) | 19,178 | ||||||||
In-Kind Transactions |
1,631 | 7,978 | 48,871 | |||||||||
Futures Contracts |
5 | — | — | |||||||||
Change in Unrealized Appreciation (Depreciation) on Investments |
1,759,540 | 148,424 | 4,211,180 | |||||||||
|
|
|
|
|
|
|||||||
Net Realized and Unrealized Gain (Loss) |
1,764,373 | 155,112 | 4,279,228 | |||||||||
|
|
|
|
|
|
|||||||
Net Increase (Decrease) in Net Assets Resulting from Operations |
$ | 1,828,548 | $ | 164,026 | $ | 4,436,336 | ||||||
|
|
|
|
|
|
(a) |
Portion of income is from investment in affiliated fund |
(b) |
For the period from the commencement of operations on November 17, 2020 through October 31, 2021 |
(c) |
During the fiscal year the Fund converted from a Mutual Fund to an ETF pursuant to an Agreement and Plan of Reorganization. See Note A in the Notes to Financial Statements for additional information about the Reorganization |
(d) |
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 OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2021
(Amounts in thousands)
Dimensional U.S. Small Cap ETF (a)(c) |
Dimensional U.S. Targeted Value ETF (a)(c) |
Dimensional International Core Equity Market ETF (a)(b) |
||||||||||
INVESTMENT INCOME: |
||||||||||||
Interest |
$ | 2 | $ | 2 | $ | — | ||||||
Dividends (Net of Foreign Taxes Withheld of ($41), ($101) and ($1,199), respectively) |
51,828 | 106,621 | 10,033 | |||||||||
Income from Securities Lending |
579 | 820 | 44 | |||||||||
|
|
|
|
|
|
|||||||
Total Investment Income |
52,409 | 107,443 | 10,077 | |||||||||
|
|
|
|
|
|
|||||||
EXPENSES: |
||||||||||||
Investment Management Fees |
13,528 | 20,020 | 608 | (d) | ||||||||
Administration and Accounting |
80 | 228 | — | |||||||||
Custodian |
41 | 46 | — | |||||||||
Filing Fees |
21 | 32 | — | |||||||||
Transfer Agency |
387 | 551 | — | |||||||||
Directors’/Trustees’ Fees & Expenses |
36 | 51 | — | |||||||||
Other Expenses |
480 | 574 | 20 | |||||||||
|
|
|
|
|
|
|||||||
Total Expenses |
14,573 | 21,502 | 628 | |||||||||
|
|
|
|
|
|
|||||||
Fees Paid Indirectly (d) |
(3 | ) | (3 | ) | — | |||||||
|
|
|
|
|
|
|||||||
Net Expenses |
14,570 | 21,499 | 628 | |||||||||
|
|
|
|
|
|
|||||||
Net Investment Income (Loss) |
37,839 | 85,944 | 9,449 | |||||||||
|
|
|
|
|
|
|||||||
Realized/Unrealized Gain (Loss): |
||||||||||||
Net Realized Gain (Loss) from: |
||||||||||||
Investment Transactions |
172,215 | 109,276 | (740 | ) | ||||||||
In-Kind Transactions |
7,852 | 16,117 | — | |||||||||
Forward Currency Transactions |
— | — | (13 | ) | ||||||||
Futures Contracts |
(207 | ) | 201 | — | ||||||||
Change in Unrealized Appreciation (Depreciation) on: |
||||||||||||
Investments |
1,319,390 | 2,294,406 | 31,433 | |||||||||
Translation of Foreign Currency-Denominated Amounts |
— | — | (22 | ) | ||||||||
|
|
|
|
|
|
|||||||
Net Realized and Unrealized Gain (Loss) |
1,499,250 | 2,420,000 | 30,658 | |||||||||
|
|
|
|
|
|
|||||||
Net Increase (Decrease) in Net Assets Resulting from Operations |
$ | 1,537,089 | $ | 2,505,944 | $ | 40,107 | ||||||
|
|
|
|
|
|
(a) |
Portion of income is from investment in affiliated fund |
(b) |
For the period from the commencement of operations on November 17, 2020 through October 31, 2021 |
(c) |
During the fiscal year the Fund converted from a Mutual Fund to an ETF pursuant to an Agreement and Plan of Reorganization. See Note A in the Notes to Financial Statements for additional information about the Reorganization |
(d) |
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 OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2021
(Amounts in thousands)
Dimensional International Value ETF (a)(c) |
Dimensional Emerging Core Equity Market ETF (a)(b) |
Dimensional World ex U.S. Core Equity 2 ETF (a)(c) |
||||||||||
INVESTMENT INCOME: |
||||||||||||
Interest |
$ | — | $ | — | $ | — | ||||||
Dividends (Net of Foreign Taxes Withheld of (9,576), (716) and (11,937), respectively) |
125,611 | 5,415 | 115,373 | |||||||||
Income from Securities Lending |
577 | 99 | 2,229 | |||||||||
|
|
|
|
|
|
|||||||
Total Investment Income |
126,188 | 5,514 | 117,602 | |||||||||
|
|
|
|
|
|
|||||||
EXPENSES: |
||||||||||||
Investment Management Fees |
14,066 | 697 | (d) | 12,442 | ||||||||
Administration and Accounting |
51 | — | 187 | |||||||||
Custodian |
193 | — | 802 | |||||||||
Filing Fees |
18 | — | 49 | |||||||||
Organization Fees |
537 | — | 687 | |||||||||
Transfer Agency |
518 | — | 616 | |||||||||
Directors’/Trustees’ Fees & Expenses |
28 | — | 37 | |||||||||
Other Expenses |
613 | 13 | 654 | |||||||||
|
|
|
|
|
|
|||||||
Total Expenses |
16,024 | 710 | 15,474 | |||||||||
|
|
|
|
|
|
|||||||
Fees Paid Indirectly (d) |
(13 | ) | — | (6 | ) | |||||||
Fees Waived, Expenses Reimbursed by Advisor |
— | — | (99 | ) | ||||||||
|
|
|
|
|
|
|||||||
Net Expenses |
16,011 | 710 | 15,369 | |||||||||
|
|
|
|
|
|
|||||||
Net Investment Income (Loss) |
110,177 | 4,804 | 102,233 | |||||||||
|
|
|
|
|
|
|||||||
Realized/Unrealized Gain (Loss): |
||||||||||||
Net Realized Gain (Loss) from: |
||||||||||||
Investment Transactions |
145,641 | (491 | ) | 84,963 | ||||||||
Forward Currency Transactions |
— | (92 | ) | — | ||||||||
Futures Contracts |
8,790 | — | 1,587 | |||||||||
Change in Unrealized Appreciation (Depreciation) on: |
||||||||||||
Investments |
885,919 | (7,235 | ) | 943,502 | ||||||||
Futures |
656 | — | — | |||||||||
Translation of Foreign Currency-Denominated Amounts |
(241 | ) | (7 | ) | (20 | ) | ||||||
Change in Accrued Foreign Capital Gains Tax |
— | (894 | ) | — | ||||||||
|
|
|
|
|
|
|||||||
Net Realized and Unrealized Gain (Loss) |
1,040,765 | (8,719 | ) | 1,030,032 | ||||||||
|
|
|
|
|
|
|||||||
Net Increase (Decrease) in Net Assets Resulting from Operations |
$ | 1,150,942 | $ | (3,915 | ) | $ | 1,132,265 | |||||
|
|
|
|
|
|
(a) |
Portion of income is from investment in affiliated fund |
(b) |
For the period from the commencement of operations on December 1, 2020 through October 31, 2021 |
(c) |
During the fiscal year the Fund converted from a Mutual Fund to an ETF pursuant to an Agreement and Plan of Reorganization. See Note A in the Notes to Financial Statements for additional information about the Reorganization |
(d) |
See Note D in the Notes to Financial Statements for additional information about fees and expenses |
See accompanying Notes to Financial Statements.
55
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Dimensional U.S. Equity ETF (a) | Dimensional US Core Equity Market ETF |
|||||||||||
For the year ended October 31, 2021 |
For the year ended October 31, 2020 |
For the period Nov. 17, 2020 through October 31, 2021 |
||||||||||
Increase (Decrease) in Net Assets: |
||||||||||||
Operations: |
||||||||||||
Net Investment Income (Loss) |
$ | 64,175 | $ | 64,390 | $ | 8,914 | ||||||
Net Realized Gain (Loss) from Investment, In-Kind, Forward Currency, and Futures Contracts Transactions |
4,833 | (18,953 | ) | 6,688 | ||||||||
Change in Unrealized Appreciation (Depreciation) on Investments |
1,759,540 | 371,413 | 148,424 | |||||||||
|
|
|
|
|
|
|||||||
Change in Net Assets Resulting from Operations |
1,828,548 | 416,850 | 164,026 | |||||||||
|
|
|
|
|
|
|||||||
Distributions: |
||||||||||||
Total Distributions |
(63,460 | ) | (64,573 | ) | (6,738 | ) | ||||||
|
|
|
|
|
|
|||||||
Change in Net Assets Resulting from Distributions |
(63,460 | ) | (64,573 | ) | (6,738 | ) | ||||||
|
|
|
|
|
|
|||||||
Capital Share Transactions: |
||||||||||||
Shares Issued |
387,665 | 696,783 | 1,209,437 | |||||||||
Dividends Reinvested |
34,001 | 63,297 | ||||||||||
Cost of Shares Redeemed |
(343,507 | ) | (924,561 | ) | (38,385 | ) | ||||||
|
|
|
|
|
|
|||||||
Change in Net Assets Resulting from Capital Share Transactions |
78,159 | (164,481 | ) | 1,171,052 | ||||||||
|
|
|
|
|
|
|||||||
Change in Net Assets |
1,843,247 | 187,796 | 1,328,340 | |||||||||
Net Assets: |
||||||||||||
Beginning of Period |
4,197,993 | 4,010,197 | — | |||||||||
|
|
|
|
|
|
|||||||
End of Period |
$ | 6,041,240 | $ | 4,197,993 | $ | 1,328,340 | ||||||
|
|
|
|
|
|
|||||||
Share Transactions: |
||||||||||||
Issued |
8,862 | 23,055 | 42,654 | |||||||||
Issued in Lieu of Cash Distributions |
817 | 1,956 | — | |||||||||
Redeemed |
(8,153 | ) | (29,560 | ) | (1,250 | ) | ||||||
|
|
|
|
|
|
|||||||
Change in Shares |
1,526 | (4,549 | ) | 41,404 | ||||||||
|
|
|
|
|
|
(a) |
During fiscal year 2021, the Fund converted from a Mutual Fund to an ETF pursuant to an Agreement and Plan of Reorganization. See Note A in the Notes to Financial Statements for additional information about the Reorganization. |
See accompanying Notes to Financial Statements.
56
DIMENSIONAL ETF TRUST
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Dimensional U.S. Core Equity 2 ETF (a) | Dimensional U.S. Small Cap ETF (a) | |||||||||||||||
For the year ended October 31, 2021 |
For the year ended October 31, 2020 |
For the year ended October 31, 2021 |
For the year ended October 31, 2020 |
|||||||||||||
Increase (Decrease) in Net Assets: |
||||||||||||||||
Operations: |
||||||||||||||||
Net Investment Income (Loss) |
$ | 157,107 | $ | 151,835 | $ | 37,839 | $ | 28,964 | ||||||||
Net Realized Gain (Loss) from Investment, In-Kind, Forward Currency, and Futures Contracts Transactions |
68,049 | (35,259 | ) | 179,860 | (77,571 | ) | ||||||||||
Change in Unrealized Appreciation (Depreciation) on Investments |
4,211,180 | 182,258 | 1,319,390 | (160,663 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Change in Net Assets Resulting from Operations |
4,436,336 | 298,834 | 1,537,089 | (209,270 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Distributions: |
||||||||||||||||
Total Distributions |
(138,569 | ) | (322,527 | ) | (31,370 | ) | (80,426 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Change in Net Assets Resulting from Distributions |
(138,569 | ) | (322,527 | ) | (31,370 | ) | (80,426 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Capital Share Transactions: |
||||||||||||||||
Shares Issued |
1,511,919 | 2,449,875 | 393,443 | 994,142 | ||||||||||||
Dividends Reinvested |
67,133 | 316,553 | 16,598 | 79,488 | ||||||||||||
Cost of Shares Redeemed |
(948,003 | ) | (3,335,406 | ) | (342,665 | ) | (1,182,641 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Change in Net Assets Resulting from Capital Share Transactions |
631,049 | (568,978 | ) | 67,376 | (109,011 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Change in Net Assets |
4,928,816 | (592,671 | ) | 1,573,095 | (398,707 | ) | ||||||||||
Net Assets: |
||||||||||||||||
Beginning of Period |
9,529,122 | 10,121,793 | 2,717,143 | 3,115,850 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
End of Period |
$ | 14,457,938 | $ | 9,529,122 | $ | 4,290,238 | $ | 2,717,143 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Share Transactions: |
||||||||||||||||
Issued |
59,797 | 146,175 | 7,126 | 30,535 | ||||||||||||
Issued in Lieu of Cash Distributions |
2,821 | 16,717 | 328 | 1,961 | ||||||||||||
Redeemed |
(39,217 | ) | (198,285 | ) | (6,614 | ) | (36,228 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Change in Shares |
23,401 | (35,393 | ) | 840 | (3,732 | ) | ||||||||||
|
|
|
|
|
|
|
|
(a) |
During fiscal year 2021, the Fund converted from a Mutual Fund to an ETF pursuant to an Agreement and Plan of Reorganization. See Note A in the Notes to Financial Statements for additional information about the Reorganization. |
See accompanying Notes to Financial Statements.
57
DIMENSIONAL ETF TRUST
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Dimensional U.S. Targeted Value ETF (a) | Dimensional International Core Equity Market ETF |
|||||||||||
For the year ended October 31, 2021 |
For the year ended October 31, 2020 |
For the period Nov. 17, 2020 through October 31, 2021 |
||||||||||
Increase (Decrease) in Net Assets: |
||||||||||||
Operations: |
||||||||||||
Net Investment Income (Loss) |
$ | 85,944 | $ | 62,972 | $ | 9,449 | ||||||
Net Realized Gain (Loss) from Investment, In-Kind, Forward Currency, and Futures Contracts Transactions |
125,594 | (115,056 | ) | (753 | ) | |||||||
Change in Unrealized Appreciation (Depreciation) on: |
||||||||||||
Investments |
2,294,406 | (603,686 | ) | 31,433 | ||||||||
Translation of Foreign Currency-Denominated Amounts |
— | — | (22 | ) | ||||||||
|
|
|
|
|
|
|||||||
Change in Net Assets Resulting from Operations |
2,505,944 | (655,770 | ) | 40,107 | ||||||||
|
|
|
|
|
|
|||||||
Distributions: |
||||||||||||
Total Distributions |
(69,616 | ) | (149,807 | ) | (6,749 | ) | ||||||
|
|
|
|
|
|
|||||||
Change in Net Assets Resulting from Distributions |
(69,616 | ) | (149,807 | ) | (6,749 | ) | ||||||
|
|
|
|
|
|
|||||||
Capital Share Transactions: |
||||||||||||
Shares Issued |
689,104 | 2,043,053 | 734,082 | |||||||||
Dividends Reinvested |
38,245 | 147,931 | ||||||||||
Cost of Shares Redeemed |
(582,963 | ) | (2,260,203 | ) | — | |||||||
|
|
|
|
|
|
|||||||
Change in Net Assets Resulting from Capital Share Transactions |
144,386 | (69,219 | ) | 734,082 | ||||||||
|
|
|
|
|
|
|||||||
Change in Net Assets |
2,580,714 | (874,796 | ) | 767,440 | ||||||||
Net Assets: |
||||||||||||
Beginning of Period |
3,868,490 | 4,743,286 | — | |||||||||
|
|
|
|
|
|
|||||||
End of Period |
$ | 6,449,204 | $ | 3,868,490 | $ | 767,440 | ||||||
|
|
|
|
|
|
|||||||
Share Transactions: |
||||||||||||
Issued |
16,164 | 83,973 | 25,800 | |||||||||
Issued in Lieu of Cash Distributions |
996 | 4,724 | — | |||||||||
Redeemed |
(14,771 | ) | (91,767 | ) | — | |||||||
|
|
|
|
|
|
|||||||
Change in Shares |
2,389 | (3,070 | ) | 25,800 | ||||||||
|
|
|
|
|
|
(a) |
During fiscal year 2021, the Fund converted from a Mutual Fund to an ETF pursuant to an Agreement and Plan of Reorganization. See Note A in the Notes to Financial Statements for additional information about the Reorganization. |
See accompanying Notes to Financial Statements.
58
DIMENSIONAL ETF TRUST
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Dimensional International Value ETF (a) | Dimensional Emerging Core Equity Market ETF |
|||||||||||
For the year ended October 31, 2021 |
For the year ended October 31, 2020 |
For the period Dec. 1, 2020 through October 31, 2021 |
||||||||||
Increase (Decrease) in Net Assets: |
||||||||||||
Operations: |
||||||||||||
Net Investment Income (Loss) |
$ | 110,177 | $ | 69,097 | $ | 4,804 | ||||||
Net Realized Gain (Loss) from Investment, In-Kind, Forward Currency, and Futures Contracts Transactions |
154,431 | (451,747 | ) | (583 | ) | |||||||
Change in Unrealized Appreciation (Depreciation) on: |
||||||||||||
Investments |
885,919 | (380,214 | ) | (7,235 | ) | |||||||
Futures |
656 | (910 | ) | — | ||||||||
Translation of Foreign Currency-Denominated Amounts |
(241 | ) | 135 | (7 | ) | |||||||
Change in Accrued Foreign Capital Gains Tax |
— | — | (894 | ) | ||||||||
|
|
|
|
|
|
|||||||
Change in Net Assets Resulting from Operations |
1,150,942 | (763,639 | ) | (3,915 | ) | |||||||
|
|
|
|
|
|
|||||||
Distributions: |
||||||||||||
Total Distributions |
(81,899 | ) | (80,394 | ) | (3,526 | ) | ||||||
|
|
|
|
|
|
|||||||
Change in Net Assets Resulting from Distributions |
(81,899 | ) | (80,394 | ) | (3,526 | ) | ||||||
|
|
|
|
|
|
|||||||
Capital Share Transactions: |
||||||||||||
Shares Issued |
476,851 | 1,504,513 | 403,170 | |||||||||
Dividends Reinvested |
62,669 | 79,822 | — | |||||||||
Cost of Shares Redeemed |
(384,302 | ) | (2,168,736 | ) | — | |||||||
|
|
|
|
|
|
|||||||
Change in Net Assets Resulting from Capital Share Transactions |
155,218 | (584,401 | ) | 403,170 | ||||||||
|
|
|
|
|
|
|||||||
Change in Net Assets |
1,224,261 | (1,428,434 | ) | 395,729 | ||||||||
Net Assets: |
||||||||||||
Beginning of Period |
2,392,708 | 3,821,142 | — | |||||||||
|
|
|
|
|
|
|||||||
End of Period |
$ | 3,616,969 | $ | 2,392,708 | $ | 395,729 | ||||||
|
|
|
|
|
|
|||||||
Share Transactions: |
||||||||||||
Issued |
21,950 | 133,624 | 14,400 | |||||||||
Issued in Lieu of Cash Distributions |
2,212 | 6,368 | — | |||||||||
Redeemed |
(122,094 | ) | (196,484 | ) | — | |||||||
|
|
|
|
|
|
|||||||
Change in Shares |
(97,932 | ) | (56,492 | ) | 14,400 | |||||||
|
|
|
|
|
|
(a) |
During fiscal year 2021, the Fund converted from a Mutual Fund to an ETF pursuant to an Agreement and Plan of Reorganization. See Note A in the Notes to Financial Statements for additional information about the Reorganization. |
See accompanying Notes to Financial Statements.
59
DIMENSIONAL ETF TRUST
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
Dimensional World ex U.S. Core Equity 2 ETF (a) |
||||||||
For the year ended October 31, 2021 |
For the year ended October 31, 2020 |
|||||||
Increase (Decrease) in Net Assets: |
||||||||
Operations: |
||||||||
Net Investment Income (Loss) |
$ | 102,233 | $ | 74,974 | ||||
Net Realized Gain (Loss) from Investment, In-Kind, Forward Currency, and Futures Contracts Transactions |
86,550 | (110,855 | ) | |||||
Change in Unrealized Appreciation (Depreciation) on: |
||||||||
Investments |
943,502 | (262,103 | ) | |||||
Translation of Foreign Currency-Denominated Amounts |
(20 | ) | 147 | |||||
|
|
|
|
|||||
Change in Net Assets Resulting from Operations |
1,132,265 | (297,837 | ) | |||||
|
|
|
|
|||||
Distributions: |
||||||||
Total Distributions |
(79,477 | ) | (75,881 | ) | ||||
|
|
|
|
|||||
Change in Net Assets Resulting from Distributions |
(79,477 | ) | (75,881 | ) | ||||
|
|
|
|
|||||
Capital Share Transactions: |
||||||||
Shares Issued |
712,699 | 1,451,506 | ||||||
Dividends Reinvested |
57,429 | 74,189 | ||||||
Cost of Shares Redeemed |
(352,850 | ) | (1,914,972 | ) | ||||
|
|
|
|
|||||
Change in Net Assets Resulting from Capital Share Transactions |
417,278 | (389,277 | ) | |||||
|
|
|
|
|||||
Change in Net Assets |
1,470,066 | (762,995 | ) | |||||
Net Assets: |
||||||||
Beginning of Period |
3,194,338 | 3,957,333 | ||||||
|
|
|
|
|||||
End of Period |
$ | 4,664,404 | $ | 3,194,338 | ||||
|
|
|
|
|||||
Share Transactions: |
||||||||
Issued |
37,328 | 165,286 | ||||||
Issued in Lieu of Cash Distributions |
2,568 | 7,611 | ||||||
Redeemed |
(185,130 | ) | (222,302 | ) | ||||
|
|
|
|
|||||
Change in Shares |
(145,234 | ) | (49,405 | ) | ||||
|
|
|
|
(a) |
During fiscal year 2021, the Fund converted from a Mutual Fund to an ETF pursuant to an Agreement and Plan of Reorganization. See Note A in the Notes to Financial Statements for additional information about the Reorganization. |
See accompanying Notes to Financial Statements.
60
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Dimensional U.S. Equity ETF | Dimensional US Core Equity Market ETF |
|||||||||||||||||||||||
Year ended October 31, 2021 |
Year ended October 31, 2020 |
Year ended October 31, 2019 |
Year ended October 31, 2018 |
Year ended October 31, 2017 |
Period November 17, 2020 through October 31, 2021 |
|||||||||||||||||||
Net Asset Value, Beginning of Period |
$ | 35.43 | $ | 32.60 | $ | 29.44 | $ | 28.01 | $ | 22.93 | $ | 24.92 | ||||||||||||
|
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|
|
|
|
|
|
|
|
|
|
|||||||||||||
Income from Investment Operations (a) |
||||||||||||||||||||||||
Net Investment Income (Loss) |
0.54 | 0.53 | 0.52 | 0.47 | 0.44 | 0.36 | ||||||||||||||||||
Net Gains (Losses) on Securities (Realized and Unrealized) |
14.91 | 2.83 | 3.25 | 1.40 | 5.09 | 7.04 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total from Investment Operations |
15.45 | 3.36 | 3.77 | 1.87 | 5.53 | 7.40 | ||||||||||||||||||
Less Distributions: |
||||||||||||||||||||||||
Net Investment Income |
(0.54 | ) | (0.53 | ) | (0.56 | ) | (0.44 | ) | (0.45 | ) | (0.24 | ) | ||||||||||||
Net Realized Gains |
— | — | (0.05 | ) | — | — | — | |||||||||||||||||
|
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|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total Distributions |
(0.54 | ) | (0.53 | ) | (0.61 | ) | (0.44 | ) | (0.45 | ) | (0.24 | ) | ||||||||||||
Net Asset Value, End of Period |
$ | 50.34 | $ | 35.43 | $ | 32.60 | $ | 29.44 | $ | 28.01 | $ | 32.08 | ||||||||||||
Total Return at NAV (b)(c) |
43.83 | % | 10.47 | % | 13.03 | % | 6.68 | % | 24.27 | % | 29.81 | % | ||||||||||||
Total Return at Market (c)(d) |
43.80 | % | — | — | — | — | 29.88 | % | ||||||||||||||||
Net Assets, End of Year (thousands) |
$ | 6,041,240 | $ | 4,197,993 | $ | 4,010,197 | $ | 3,562,284 | $ | 3,310,640 | $ | 1,328,340 | ||||||||||||
Ratio of Expenses to Average Net Assets (e) |
0.17 | % | 0.22 | % | 0.22 | % | 0.21 | % | 0.22 | % | 0.12 | % | ||||||||||||
Ratio of Expense to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), (Previously Waived Fees Recovered by Advisor) and/or (Fees Paid Indirectly) (e) |
0.17 | % | 0.22 | % | 0.23 | % | 0.21 | % | 0.22 | % | 0.12 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets (e) |
1.21 | % | 1.57 | % | 1.71 | % | 1.58 | % | 1.70 | % | 1.27 | % | ||||||||||||
Portfolio Turnover Rate (c)(f) |
1.00 | % | 2.00 | % | 2.00 | % | 1.00 | % | 8.00 | % | 3.00 | % |
See page 3 for the Definitions of Abbreviations and Footnotes
See accompanying Notes to Financial Statements.
61
DIMENSIONAL ETF TRUST
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Dimensional U.S. Core Equity 2 ETF | Dimensional U.S. Small Cap ETF | |||||||||||||||||||||||||||||||||||||||
Year ended October 31, 2021 |
Year ended October 31, 2020 |
Year ended October 31, 2019 |
Year ended October 31, 2018 |
Year ended October 31, 2017 |
Year ended October 31, 2021 |
Year ended October 31, 2020 |
Year ended October 31, 2019 |
Year ended October 31, 2018 |
Year ended October 31, 2017 |
|||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period |
$ | 19.42 | $ | 19.24 | $ | 17.87 | $ | 17.56 | $ | 14.33 | $ | 38.59 | $ | 42.03 | $ | 42.82 | $ | 44.35 | $ | 36.10 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Income from Investment Operations (a) |
||||||||||||||||||||||||||||||||||||||||
Net Investment Income (Loss) |
0.32 | 0.30 | 0.30 | 0.28 | 0.25 | 0.55 | 0.40 | 0.41 | 0.39 | 0.36 | ||||||||||||||||||||||||||||||
Net Gains (Losses) on Securities (Realized and Unrealized) |
8.67 | 0.51 | 1.48 | 0.44 | 3.24 | 21.53 | (2.74 | ) | 0.35 | (0.30 | ) | 9.10 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total from Investment Operations |
8.99 | 0.81 | 1.78 | 0.72 | 3.49 | 22.08 | (2.34 | ) | 0.76 | 0.09 | 9.46 | |||||||||||||||||||||||||||||
Less Distributions: |
||||||||||||||||||||||||||||||||||||||||
Net Investment Income |
(0.28 | ) | (0.28 | ) | (0.31 | ) | (0.27 | ) | (0.26 | ) | (0.45 | ) | (0.39 | ) | (0.38 | ) | (0.38 | ) | (0.36 | ) | ||||||||||||||||||||
Net Realized Gains |
— | (0.35 | ) | (0.10 | ) | (0.14 | ) | — | — | (0.71 | ) | (1.17 | ) | (1.24 | ) | (0.85 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total Distributions |
(0.28 | ) | (0.63 | ) | (0.41 | ) | (0.41 | ) | (0.26 | ) | (0.45 | ) | (1.10 | ) | (1.55 | ) | (1.62 | ) | (1.21 | ) | ||||||||||||||||||||
Net Asset Value, End of Period |
$ | 28.13 | $ | 19.42 | $ | 19.24 | $ | 17.87 | $ | 17.56 | $ | 60.22 | $ | 38.59 | $ | 42.03 | $ | 42.82 | $ | 44.35 | ||||||||||||||||||||
Total Return at NAV (b)(c) |
46.47 | % | 4.31 | % | 10.25 | % | 4.05 | % | 24.47 | % | 57.38 | % | (5.68 | )% | 2.18 | % | 0.12 | % | 26.46 | % | ||||||||||||||||||||
Total Return at Market (c)(d) |
46.57 | % | — | — | — | — | 57.51 | % | — | — | — | — | ||||||||||||||||||||||||||||
Net Assets, End of Year (thousands) |
$ | 14,457,938 | $ | 9,529,122 | $ | 10,121,793 | $ | 9,113,032 | $ | 8,230,938 | $ | 4,290,238 | $ | 2,717,143 | $ | 3,115,850 | $ | 2,985,680 | $ | 2,933,705 | ||||||||||||||||||||
Ratio of Expenses to Average Net Assets (e) |
0.21 | % | 0.24 | % | 0.25 | % | 0.23 | % | 0.24 | % | 0.39 | % | 0.46 | % | 0.50 | % | 0.52 | % | 0.52 | % | ||||||||||||||||||||
Ratio of Net Investment Income to Average Net Assets (e) |
1.25 | % | 1.59 | % | 1.64 | % | 1.49 | % | 1.56 | % | 1.00 | % | 1.04 | % | 0.99 | % | 0.86 | % | 0.87 | % | ||||||||||||||||||||
Portfolio Turnover Rate (c)(f) |
2.00 | % | 3.00 | % | 6.00 | % | 1.00 | % | 2.00 | % | 11.00 | % | 12.00 | % | 11.00 | % | 12.00 | % | 11.00 | % |
See page 3 for the Definitions of Abbreviations and Footnotes
See accompanying Notes to Financial Statements.
62
DIMENSIONAL ETF TRUST
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Dimensional U.S. Targeted Value ETF | Dimensional International Core Equity Market ETF |
|||||||||||||||||||||||
Year ended October 31, 2021 |
Year ended October 31, 2020 |
Year ended October 31, 2019 |
Year ended October 31, 2018 |
Year ended October 31, 2017 |
Period November 17, 2020 through October 31, 2021 |
|||||||||||||||||||
Net Asset Value, Beginning of Period |
$ | 28.37 | $ | 34.02 | $ | 35.17 | $ | 37.94 | $ | 31.47 | $ | 25.07 | ||||||||||||
|
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|
|
|
|
|
|
|
|
|
|
|||||||||||||
Income from Investment Operations (a) |
||||||||||||||||||||||||
Net Investment Income (Loss) |
0.64 | 0.45 | 0.45 | 0.41 | 0.37 | 0.77 | ||||||||||||||||||
Net Gains (Losses) on Securities (Realized and Unrealized) |
18.00 | (5.03 | ) | 0.05 | (1.33 | ) | 7.53 | 4.36 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total from Investment Operations |
18.64 | (4.58 | ) | 0.50 | (0.92 | ) | 7.90 | 5.13 | ||||||||||||||||
Less Distributions: |
||||||||||||||||||||||||
Net Investment Income |
(0.52 | ) | (0.43 | ) | (0.43 | ) | (0.40 | ) | (0.36 | ) | (0.45 | ) | ||||||||||||
Net Realized Gains |
— | (0.64 | ) | (1.22 | ) | (1.45 | ) | (1.07 | ) | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total Distributions |
(0.52 | ) | (1.07 | ) | (1.65 | ) | (1.85 | ) | (1.43 | ) | (0.45 | ) | ||||||||||||
Net Asset Value, End of Period |
$ | 46.49 | $ | 28.37 | $ | 34.02 | $ | 35.17 | $ | 37.94 | $ | 29.75 | ||||||||||||
Total Return at NAV (b)(c) |
65.98 | % | (13.70 | )% | 1.93 | % | (2.66 | )% | 25.40 | % | 20.54 | % | ||||||||||||
Total Return at Market (c)(d) |
66.13 | % | — | — | — | — | 21.08 | % | ||||||||||||||||
Net Assets, End of Year (thousands) |
$ | 6,449,204 | $ | 3,868,490 | $ | 4,743,286 | $ | 4,603,040 | $ | 4,733,681 | $ | 767,440 | ||||||||||||
Ratio of Expenses to Average Net Assets (e) |
0.38 | % | 0.45 | % | 0.45 | % | 0.44 | % | 0.44 | % | 0.18 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets (e) |
1.53 | % | 1.55 | % | 1.36 | % | 1.07 | % | 1.04 | % | 2.78 | % | ||||||||||||
Portfolio Turnover Rate (c)(f) |
6.00 | % | 14.00 | % | 24.00 | % | 14.00 | % | 14.00 | % | 4.00 | % |
See page 3 for the Definitions of Abbreviations and Footnotes
See accompanying Notes to Financial Statements.
63
DIMENSIONAL ETF TRUST
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Dimensional International Value ETF | Dimensional Emerging Core Equity Market ETF |
|||||||||||||||||||||||
Year ended October 31, 2021 |
Year ended October 31, 2020 |
Year ended October 31, 2019 |
Year ended October 31, 2018 |
Year ended October 31, 2017 |
Period December 1, 2020 through October 31, 2021 |
|||||||||||||||||||
Net Asset Value, Beginning of Period |
$ | 11.67 | $ | 14.61 | $ | 14.61 | $ | 16.39 | $ | 13.37 | $ | 25.41 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Income from Investment Operations (a) |
||||||||||||||||||||||||
Net Investment Income (Loss) |
0.78 | 0.30 | 0.51 | 0.47 | 0.45 | 0.62 | ||||||||||||||||||
Net Gains (Losses) on Securities (Realized and Unrealized) |
22.06 | (2.88 | ) | (0.01 | ) | (1.79 | ) | 3.00 | 1.75 | * | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total from Investment Operations |
22.84 | (2.58 | ) | 0.50 | (1.32 | ) | 3.45 | 2.37 | ||||||||||||||||
Less Distributions: |
||||||||||||||||||||||||
Net Investment Income |
(0.75 | ) | (0.36 | ) | (0.50 | ) | (0.46 | ) | (0.43 | ) | (0.30 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total Distributions |
(0.75 | ) | (0.36 | ) | (0.50 | ) | (0.46 | ) | (0.43 | ) | (0.30 | ) | ||||||||||||
Net Asset Value, End of Period |
$ | 33.76 | $ | 11.67 | $ | 14.61 | $ | 14.61 | $ | 16.39 | $ | 27.48 | ||||||||||||
Total Return at NAV (b)(c) |
48.18 | % | (17.77 | )% | 3.52 | % | (8.27 | )% | 26.13 | % | 9.33 | % | ||||||||||||
Total Return at Market (c)(d) |
48.68 | % | — | — | — | — | 9.57 | % | ||||||||||||||||
Net Assets, End of Year (thousands) |
$ | 3,616,969 | $ | 2,392,708 | $ | 3,821,142 | $ | 3,668,647 | $ | 3,918,069 | $ | 395,729 | ||||||||||||
Ratio of Expenses to Average Net Assets (e) |
0.48 | % | 0.52 | % | 0.54 | % | 0.53 | % | 0.53 | % | 0.35 | % | ||||||||||||
Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), (Previously Waived Fees Recovered by Advisor) and/or (Fees Paid Indirectly) (e) |
0.48 | % | 0.52 | % | 0.55 | % | 0.53 | % | 0.53 | % | 0.35 | % | ||||||||||||
Ratio of Net Investment Income to Average Net Assets (e) |
3.34 | % | 2.34 | % | 3.58 | % | 2.89 | % | 3.01 | % | 2.40 | % | ||||||||||||
Portfolio Turnover Rate (c)(f) |
14.00 | % | 16.00 | % | 17.00 | % | 21.00 | % | 16.00 | % | 4.00 | % |
See page 3 for the Definitions of Abbreviations and Footnotes
* |
Realized and unrealized gains per share are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not accord with the aggregate gains and losses in the Statements of Operations due to share transactions for the period. |
See accompanying Notes to Financial Statements.
64
DIMENSIONAL ETF TRUST
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
Dimensional World ex U.S. Core Equity 2 ETF | ||||||||||||||||||||
Year ended October 31, 2021 |
Year ended October 31, 2020 |
Year ended October 31, 2019 |
Year ended October 31, 2018 |
Year ended October 31, 2017 |
||||||||||||||||
Net Asset Value, Beginning of Period |
$ | 9.91 | $ | 10.64 | $ | 10.11 | $ | 11.53 | $ | 9.38 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Income from Investment Operations (a) |
||||||||||||||||||||
Net Investment Income (Loss) |
0.45 | 0.22 | 0.30 | 0.29 | 0.25 | |||||||||||||||
Net Gains (Losses) on Securities (Realized and Unrealized) |
16.41 | (0.72 | ) | 0.53 | (1.44 | ) | 2.15 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total from Investment Operations |
16.86 | (0.50 | ) | 0.83 | (1.15 | ) | 2.40 | |||||||||||||
Less Distributions: |
||||||||||||||||||||
Net Investment Income |
(0.45 | ) | (0.23 | ) | (0.30 | ) | (0.27 | ) | (0.25 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total Distributions |
(0.45 | ) | (0.23 | ) | (0.30 | ) | (0.27 | ) | (0.25 | ) | ||||||||||
Net Asset Value, End of Period |
$ | 26.32 | $ | 9.91 | $ | 10.64 | $ | 10.11 | $ | 11.53 | ||||||||||
Total Return at NAV (b)(c) |
35.23 | % | (4.69 | )% | 8.40 | % | (10.19 | )% | 25.86 | % | ||||||||||
Total Return at Market (c)(d) |
35.23 | % | — | — | — | — | ||||||||||||||
Net Assets, End of Year (thousands) |
$ | 4,664,404 | $ | 3,194,338 | $ | 3,957,333 | $ | 3,348,703 | $ | 3,368,999 | ||||||||||
Ratio of Expenses to Average Net Assets (e) |
0.36 | % | 0.36 | % | 0.37 | % | 0.36 | % | 0.39 | % | ||||||||||
Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), (Previously Waived Fees Recovered by Advisor) and/or (Fees Paid Indirectly) (e) |
0.39 | % | 0.36 | % | 0.38 | % | 0.36 | % | 0.39 | % | ||||||||||
Ratio of Net Investment Income to Average Net Assets (e) |
2.39 | % | 2.17 | % | 2.95 | % | 2.47 | % | 2.42 | % | ||||||||||
Portfolio Turnover Rate (c)(f) |
10.00 | % | 8.00 | % | 8.00 | % | 6.00 | % | 4.00 | % |
See page 3 for the Definitions of Abbreviations and Footnotes
See accompanying Notes to Financial Statements.
65
NOTES TO FINANCIAL STATEMENTS
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 October 31, 2021, the Trust is comprised of nine 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 U.S. Equity ETF (“US Equity ETF”), Dimensional US Core Equity Market ETF (“US Core Equity ETF”), Dimensional U.S. Core Equity 2 ETF (“US Core Equity 2 ETF”), Dimensional U.S. Small Cap ETF (“US Small Cap ETF”), Dimensional U.S. Targeted Value ETF (“US Targeted Value ETF”), Dimensional International Core Equity Market ETF (“International Core ETF”), Dimensional International Value ETF (“International Value ETF”), Dimensional Emerging Core Equity Market ETF (“Emerging Markets Core ETF”), and Dimensional World ex U.S. Core Equity 2 ETF (“World ex US Core Equity 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 an investment company 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 Funds identified below as “Acquiring Funds” became series of the Trust as of the date indicated following a reorganization (“Reorganization”), pursuant to Agreements and Plans of Reorganization dated as shown below (each, a “Plan” and collectively, the “Plans”), which resulted in the conversion of corresponding “Target Funds” organized as mutual funds to ETFs. The Acquiring Funds were established as “shell” funds, organized solely in connection with the Reorganization for the purpose of acquiring the assets and liabilities of the corresponding Target Funds and continuing the operations of the Target Funds as ETFs. The Acquiring Funds had no performance history prior to the Reorganization.
Acquiring Fund |
Target Fund |
Date | ||
Dimensional U.S. Equity ETF |
Tax-Managed U.S. Equity Portfolio |
June 11, 2021 | ||
Dimensional U.S. Small Cap ETF |
Tax-Managed U.S. Small Cap Portfolio |
June 11, 2021 | ||
Dimensional U.S. Targeted Value ETF |
Tax-Managed U.S. Targeted Value Portfolio |
June 11, 2021 | ||
Dimensional U.S. Core Equity 2 ETF |
TA U.S. Core Equity 2 Portfolio |
June 11, 2021 | ||
Dimensional International Value ETF |
Tax-Managed DFA International Value Portfolio |
September 10, 2021 | ||
Dimensional Word ex U.S. Core Equity 2 ETF |
TA World ex U.S. Core Equity Portfolio |
September 10, 2021 |
Each Reorganization was accomplished by a tax-free exchange of shares (with an exception for fractional mutual fund shares) of the Acquiring Fund for shares of the Target Fund of equivalent aggregate net asset value.
Fees and expenses incurred to effect the Reorganizations were borne by the Target Funds. The management fee of each Acquiring Fund is lower than the management fee of its corresponding Target Fund and, therefore, each Acquiring Fund is expected to experience lower overall expenses as compared to its corresponding Target Fund. The Reorganizations did not result in a material change to the Target Funds’ investment portfolios as compared to those of the Acquiring Funds. There are no material differences in accounting policies of the Target Funds as compared to those of the Acquiring Funds.
The Acquiring Funds did not purchase or sell securities following the Reorganizations for purposes of realigning its investment portfolio. Accordingly, the acquisition of the Target Funds did not affect the Acquiring Funds’ portfolio turnover ratios for the period ended October 31, 2021.
The investment objective of US Core Equity ETF, International Core ETF, and Emerging Markets Core ETF is to achieve long-term capital appreciation. The investment objective of US Equity ETF, US Small Cap ETF, US
66
Targeted Value ETF and International Value ETF is to achieve long-term capital appreciation while minimizing federal income taxes on returns. World ex US Core Equity 2 ETF’s and US Core Equity 2 ETF’s investment objective is to achieve long-term capital appreciation while considering federal tax implications of investment decisions. The investment objective is non-fundamental for US Core Equity ETF, International Core ETF, and Emerging Markets Core ETF, which means it may be changed by the Board of Trustees (the “Board”) without shareholder approval. The Funds are diversified exchange-traded funds. Each Fund’s prospectus provides a description of the Fund’s investment objectives, policies, and strategies.
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 Funds are listed and traded on the NYSE Arca, 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 30,000 Shares for US Small Cap ETF, 40,000 Shares for US Equity ETF, 50,000 Shares for US Targeted Value ETF, International Value ETF, and US Core Equity ETF, and 100,000 Shares for US Core Equity 2 ETF, International Core ETF, and Emerging Markets ETF, and 200,000 Shares for World ex U.S. Core Equity 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 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.
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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 Fund’s 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 World ex U.S. Core Equity 2 ETF, International Core ETF, International Value ETF and Emerging Markets ETF (the “International Funds”), the prices of securities traded in foreign currencies will be expressed in U.S. dollars by using 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
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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. 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. International Value ETF is subject to tax on short-term and long-term capital gains for investments in the Cayman Islands. World ex U.S. Core Equity 2 ETF is subject to tax on short-term and long-term capital gains for investments in India, the Cayman Islands, and Great Britain. Such taxes are accrued on a daily basis and due upon sale of individual securities.
3. FOREIGN CURRENCY TRANSLATIONS
The accounting records of the 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 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 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 Dimensional International Value ETF and Dimensional World ex U.S. Core Equity 2 ETF may each acquire and sell forward currency contracts to hedge against adverse changes in the relationship of the U.S. dollar to foreign currencies (foreign exchange rate risk). The decision to hedge a Portfolio’s currency exposure with respect to a foreign market will be based primarily on the Portfolio’s existing exposure to a given foreign currency. Each contract is valued daily and the change in value is recorded by a Portfolio as an unrealized gain or loss, which is presented in the Portfolio’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 Portfolio 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 October 31, 2021, there were no forward currency contracts outstanding. During the year ended October 31, 2021, the Funds had limited activity in forward currency contracts.
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2. FUTURES CONTRACTS:
Each Fund may enter into futures and options on futures contracts for equity securities and indices to adjust 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 October 31, 2021, and the monthly average notional amount for these contracts for the period ended October 31, 2021 were as follows:
Outstanding Notional Amount |
Monthly Average Notional Amount |
|||||||||||||||
Futures Contracts: | Long | Short | Long | Short | ||||||||||||
Dimensional International Value ETF |
— | — | $ | 27,178 | (a) | — | ||||||||||
Dimensional World ex U.S. Core Equity 2 ETF |
— | — | 41,550 | (a) | — |
(a) |
For the period of November 2020 through August 2021 |
As of October 31, 2021, there were no futures contracts outstanding.
Summary of Derivative Instruments:
The following is a summary of the effect of derivative instruments on the Statement of Operations, categorized by risk exposure, as of October 31, 2021 (amounts in thousands):
Fund |
Net Realized Gains/(Losses) from: Futures Contracts |
|||
Equity Rate Risk Exposure: |
||||
Dimensional U.S. Equity ETF |
$ | 5 | ||
Dimensional U.S. Small Cap ETF |
(207 | ) | ||
Dimensional U.S. Targeted Value ETF |
201 | |||
Dimensional International Value ETF |
8,790 | |||
Dimensional World ex U.S. Core Equity 2 ETF |
1,587 |
Currency Rate Risk Exposure:
The Funds had limited activity in forward foreign currency contracts during the year ended October 31, 2021, and no such contracts were outstanding as of October 31, 2021. Net realized and changes in unrealized gain or loss on such contracts were minimal during the year ended October 31, 2021, and are included in Net Realized Gain/Loss from Forward Currency Transactions and Change in Unrealized Appreciation (Depreciation) on Translation of Foreign Currency-Denominated Amounts, respectively, on the accompanying Statements of Operations.
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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 International Core ETF, Emerging Markets Core ETF, International Value ETF, and World ex US Core Equity 2 ETF.
For the period ended October 31, 2021, 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 Equity ETF* |
0.14 | % | ||
US Core Equity ETF |
0.12 | % | ||
US Core Equity 2 ETF* |
0.18 | % | ||
US Small Cap ETF* |
0.36 | % | ||
US Targeted Value ETF* |
0.36 | % | ||
International Core ETF |
0.18 | % | ||
International Value ETF* |
0.43 | % | ||
Emerging Markets Core ETF |
0.35 | % | ||
World ex US Core Equity 2 ETF* |
0.29 | % | ||
|
|
* |
The Management Fees listed above are a blended rate of the Pre-Reorganization and Current rates listed below: |
Fund |
Pre-Reorganization | Current | ||||||
US Equity ETF |
0.18 | % | 0.08 | % | ||||
US Core Equity 2 ETF |
0.20 | % | 0.16 | % | ||||
US Small Cap ETF |
0.40 | % | 0.30 | % | ||||
US Targeted Value ETF |
0.40 | % | 0.30 | % | ||||
International Value ETF |
0.45 | % | 0.30 | % | ||||
World ex US Core Equity 2 ETF |
0.30 | % | 0.25 | % |
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 Equity ETF, US Core Equity 2 ETF and World ex US Core Equity 2 ETF, as described in the notes below. The Fee Waiver Agreement will remain in effect through February 28, 2022, may only be terminated by the Fund’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 year ended October 31, 2021, 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 year ended October 31, 2021 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.
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Expense Limitation Amount |
Waived Fees/ Expense Assumed |
Recovery of Previously Waived Fees/Expenses Assumed |
Previously Waived Fees/ Expenses Assumed Subject to Future Recovery |
|||||||||||||
US Equity ETF (1) |
0.22 | % | $ | 0 | $ | 177 | $ | 0 | ||||||||
US Core Equity 2 ETF (2) |
0.30 | % | 0 | 0 | 0 | |||||||||||
World ex US Core Equity 2 ETF (3) |
0.39 | % | 99 | 0 | 0 |
(1) |
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) (“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”). |
(2) |
The Advisor has contractually agreed to waive all or a portion of 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) (“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”). |
(3) |
The Advisor has contractually agreed to waive all or a portion of its management fee and to assume the expenses of the Fund (including the expenses that the Fund bears as a shareholder of other funds managed by the Advisor but excluding the expenses that the Fund incurs indirectly through investment of its securities lending cash collateral in The DFA Short Term Investment Fund and its investment in unaffiliated investment companies) (“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 portfolio 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. EARNED INCOME CREDIT
Additionally, certain Portfolios have entered into arrangements with their custodian whereby net interest earned on uninvested cash balances was used to reduce a portion of each Portfolios custody expenses. Custody expense in the accompanying financial statements is presented before reduction for credits. The impact of such credits is generally less than one basis point of each Portfolio’s net assets. During the year ended October 31, 2021, expenses reduced were as follows (amounts in thousands):
Fees Paid Indirectly |
||||
US Equity ETF |
$ | 2 | ||
US Core Equity 2 ETF |
5 | |||
US Small Cap ETF |
3 | |||
US Targeted Value ETF |
3 | |||
International Value ETF |
13 | |||
World ex US Core Equity 2 ETF |
6 |
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3. 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. American Stock Transfer & Trust Company, LLC serves as stock transfer agent for the Acquiring Funds listed above. Prior to the Reorganizations, State Street Bank and Trust Company provided accounting and administration services, dividend disbursing, and transfer agent services for the Target Funds.
4. 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. With respect to the Unitary Fee Funds, 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.
5. FEES PAID TO OFFICERS AND DIRECTORS/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 year ended October 31, 2021, the total related amounts paid by the Trust to the CCO was $187,472 (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 has qualified and intends 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.
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.
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The tax character of dividends and distributions declared and paid during the year ended October 31, 2020 and October 31, 2021, were as follows (amounts in thousands):
Net Investment Income and Short-Term Capital Gains |
Long-Term Capital Gains |
Tax Exempt Income |
Total | |||||||||||||
US Equity ETF |
||||||||||||||||
2020 |
$ | 64,573 | — | — | $ | 64,573 | ||||||||||
2021 |
$ | 63,460 | — | — | $ | 63,460 | ||||||||||
US Core Equity ETF |
||||||||||||||||
2021 |
$ | 6,738 | — | — | $ | 6,738 | ||||||||||
US Core Equity 2 ETF |
||||||||||||||||
2020 |
$ | 142,077 | $ | 180,449 | — | $ | 322,526 | |||||||||
2021 |
$ | 138,569 | — | — | $ | 138,569 | ||||||||||
US Small Cap ETF |
||||||||||||||||
2020 |
$ | 27,794 | $ | 52,632 | — | $ | 80,426 | |||||||||
2021 |
$ | 31,370 | — | — | $ | 31,370 | ||||||||||
US Targeted Value ETF |
||||||||||||||||
2020 |
$ | 59,992 | $ | 89,816 | — | $ | 149,808 | |||||||||
2021 |
$ | 69,616 | — | — | $ | 69,616 | ||||||||||
International Core ETF |
||||||||||||||||
2021 |
$ | 6,749 | — | — | $ | 6,749 | ||||||||||
International Value ETF |
||||||||||||||||
2020 |
$ | 80,394 | — | — | $ | 80,394 | ||||||||||
2021 |
$ | 81,899 | — | — | $ | 81,899 | ||||||||||
Emerging Markets Core ETF |
||||||||||||||||
2021 |
$ | 3,526 | — | — | $ | 3,526 | ||||||||||
World ex US Core Equity 2 ETF |
||||||||||||||||
2020 |
$ | 9,362 | $ | 4,663 | — | $ | 14,025 | |||||||||
2021 |
$ | 79,477 | — | — | $ | 79,477 |
As of October 31, 2021, the following net investment income and short-term capital gains and long-term capital gains distributions designated for federal income tax purposes are due to the use of accumulated earnings and profits distributed to shareholders upon redemption of shares (amounts in thousands):
Net Investment Income and Short-Term Capital Gains |
Long-Term Capital Gains |
Total | ||||||||||
US Equity ETF |
$ | (301 | ) | — | $ | (301 | ) | |||||
US Core Equity ETF |
— | — | — | |||||||||
US Core Equity 2 ETF |
$ | (859 | ) | — | $ | (859 | ) | |||||
US Small Cap ETF |
$ | (3,770 | ) | $ | (430 | ) | $ | (4,200 | ) | |||
US Targeted Value ETF |
$ | (685 | ) | — | $ | (685 | ) | |||||
International Core ETF |
— | — | — | |||||||||
International Value ETF |
$ | (2,039 | ) | — | $ | (2,039 | ) | |||||
Emerging Markets Core ETF |
— | — | — | |||||||||
World ex US Core Equity 2 ETF |
$ | (1,834 | ) | — | $ | (1,834 | ) |
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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 Equity ETF |
$ | 8,781 | — | $ | (23,136 | ) | $ | 4,253,827 | $ | 4,239,472 | ||||||||||
US Core Equity ETF |
$ | 1,980 | — | $ | (1,271 | ) | $ | 148,602 | $ | 149,311 | ||||||||||
US Core Equity 2 ETF |
$ | 20,629 | — | $ | (16,671 | ) | $ | 8,661,285 | $ | 8,665,243 | ||||||||||
US Small Cap ETF |
$ | 2,564 | $ | 94,306 | — | $ | 2,415,098 | $ | 2,511,968 | |||||||||||
US Targeted Value ETF |
$ | 11,286 | $ | 4,625 | — | $ | 3,299,215 | $ | 3,315,126 | |||||||||||
International Core ETF |
$ | 3,096 | — | $ | (797 | ) | $ | 31,060 | $ | 33,359 | ||||||||||
International Value ETF |
$ | 35,559 | — | $ | (420,549 | ) | $ | 687,636 | $ | 302,646 | ||||||||||
Emerging Markets Core ETF |
$ | 1,448 | — | $ | (627 | ) | $ | (8,260 | ) | $ | (7,439 | ) | ||||||||
World ex US Core Equity 2 ETF |
$ | 27,100 | — | $ | (77,255 | ) | $ | 1,198,469 | $ | 1,148,314 |
For federal income tax purposes, the Fund measures its capital loss carryforwards annually at October 31, its 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 Equity ETF |
$ | 23,136 | $ | 23,136 | ||||
US Core Equity ETF |
$ | 1,271 | $ | 1,271 | ||||
US Core Equity 2 ETF |
$ | 16,671 | $ | 16,671 | ||||
US Small Cap ETF |
— | — | ||||||
US Targeted Value ETF |
— | — | ||||||
International Core ETF |
$ | 797 | $ | 797 | ||||
International Value ETF |
$ | 420,549 | $ | 420,549 | ||||
Emerging Markets Core ETF |
$ | 627 | $ | 627 | ||||
World ex US Core Equity 2 ETF |
$ | 77,255 | $ | 77,255 |
During the year ended October 31, 2021, the following Funds used the following capital loss carryforwards to offset realized capital gains for federal income tax purposes (amounts in thousands):
US Equity ETF |
$ | 3,320 | ||
US Core Equity 2 ETF |
18,666 | |||
US Small Cap ETF |
77,310 | |||
US Targeted Value ETF |
115,716 | |||
International Value ETF |
147,125 | |||
World ex US Core Equity 2 ETF |
92,101 |
As of October 31, 2021, 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 Equity ETF |
$ | 1,835,407 | $ | 4,277,625 | $ | (23,798 | ) | $ | 4,253,827 | |||||||
US Core Equity ETF |
$ | 1,194,139 | $ | 178,649 | $ | (30,046 | ) | $ | 148,603 | |||||||
US Core Equity 2 ETF |
$ | 5,972,700 | $ | 8,838,225 | $ | (176,940 | ) | $ | 8,661,285 |
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Tax Cost of Securities |
Unrealized Appreciation |
Unrealized Depreciation |
Net Unrealized Appreciation/ (Depreciation) |
|||||||||||||
US Small Cap ETF |
$ | 1,988,830 | $ | 2,440,540 | $ | (25,440 | ) | $ | 2,415,100 | |||||||
US Targeted Value ETF |
$ | 3,250,013 | $ | 3,317,134 | $ | (17,919 | ) | $ | 3,299,215 | |||||||
International Core ETF |
$ | 744,532 | $ | 59,944 | $ | (28,861 | ) | $ | 31,083 | |||||||
International Value ETF |
$ | 2,979,742 | $ | 852,375 | $ | (164,602 | ) | $ | 687,773 | |||||||
Emerging Markets Core ETF |
$ | 404,233 | $ | 31,786 | $ | (39,146 | ) | $ | (7,360 | ) | ||||||
World ex US Core Equity 2 ETF |
$ | 3,537,848 | $ | 1,517,218 | $ | (318,602 | ) | $ | 1,198,616 |
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 Portfolios’ tax positions and 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. The Funds’ federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
F. SECURITIES LENDING:
As of October 31, 2021, 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 |
||||
US Equity ETF |
— | |||
US Core Equity ETF |
— | |||
US Core Equity 2 ETF |
— | |||
US Small Cap ETF |
— | |||
US Targeted Value ETF |
— | |||
International Core ETF |
3,635 | |||
International Value ETF |
5,712 | |||
Emerging Markets Core ETF |
10,079 | |||
World ex US Core Equity 2 ETF |
64,421 |
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 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.
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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 October 31, 2021 (amounts in thousands):
Remaining Contractual Maturity of the Agreements | ||||||||||||||||||||
Overnight and Continuous |
< 30 days | Between 30 & 90 days |
> 90 days | Total | ||||||||||||||||
US Equity ETF |
||||||||||||||||||||
Common Stocks |
$ | 56,272 | — | — | — | $ | 56,272 | |||||||||||||
US Core Equity ETF |
||||||||||||||||||||
Common Stocks |
15,665 | — | — | — | 15,665 | |||||||||||||||
US Core Equity 2 ETF |
||||||||||||||||||||
Common Stocks |
194,434 | — | — | — | 194,434 | |||||||||||||||
US Small Cap ETF |
||||||||||||||||||||
Common Stocks |
117,558 | — | — | — | 117,558 | |||||||||||||||
US Targeted Value ETF |
||||||||||||||||||||
Common Stocks |
136,562 | — | — | — | 136,562 | |||||||||||||||
International Core ETF |
||||||||||||||||||||
Common Stocks, Investment Company |
11,830 | — | — | — | 11,830 | |||||||||||||||
International Value ETF |
||||||||||||||||||||
Common Stocks |
82,743 | — | — | — | 82,743 | |||||||||||||||
Emerging Markets Core ETF |
||||||||||||||||||||
Common Stocks |
1,745 | — | — | — | 1,745 | |||||||||||||||
World ex US Core Equity 2 ETF |
||||||||||||||||||||
Common Stocks |
92,595 | — | — | — | 92,595 |
G. AFFILIATED TRADES
Cross trades for the period ended October 31, 2021, if any, were executed by the Funds pursuant to procedures adopted by the Board to ensure compliance with Rule 17a-7 under the 1940 Act. Cross trading is the buying or selling of portfolio 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 year ended October 31, 2021, cross trades by the Portfolios under Rule 17a-7 were as follows (amounts in thousands):
Purchases | Sales | Realized Gain (Loss) | ||||||||||
US Equity ETF |
$ | 356 | $ | 5,930 | $ | (2,619 | ) | |||||
US Core Equity 2 ETF |
6,496 | 1,313 | 853 | |||||||||
US Small Cap ETF |
38,412 | 15,645 | 2,467 | |||||||||
US Targeted Value ETF |
12,380 | 9,740 | 2,859 | |||||||||
US International Value ETF |
80,569 | 52,640 | 13,295 | |||||||||
World ex US Core Equity 2 ETF |
35,554 | 18,824 | (1,965 | ) |
H. INVESTMENT TRANSACTIONS:
Purchases and sales of investments, excluding in-kind transactions and short-term investments, for the period ended October 31, 2021 were as follows (amounts in thousands):
Purchases | Sales | |||||||
US Equity ETF |
$ | 69,492 | $ | 63,386 | ||||
US Core Equity ETF |
23,878 | 20,817 | ||||||
US Core Equity 2 ETF |
357,665 | 221,764 | ||||||
US Small Cap ETF |
426,324 | 564,479 | ||||||
US Targeted Value ETF |
328,489 | 535,269 | ||||||
International Core ETF |
39,853 | 15,863 | ||||||
International Value ETF |
583,663 | 444,824 | ||||||
Emerging Markets Core ETF |
332,928 | 9,325 | ||||||
World ex US Core Equity 2 ETF |
794,665 | 440,576 |
In-kind transactions for the period ended October 31, 2021 were as follows (amounts in thousands):
Purchases | Sales | |||||||
US Equity ETF |
$ | 85,043 | $ | 1,918 | ||||
US Core Equity ETF |
1,237,370 | 38,341 | ||||||
US Core Equity 2 ETF |
595,697 | 56,573 | ||||||
US Small Cap ETF |
208,634 | 10,541 | ||||||
US Targeted Value ETF |
373,743 | 22,771 | ||||||
International Core ETF |
710,851 | — | ||||||
International Value ETF |
46,703 | — | ||||||
Emerging Markets Core ETF |
81,228 | — | ||||||
World ex US Core Equity 2 ETF |
84,842 | — |
There were no purchases or sales of U.S. government securities during the period ended October 31, 2021.
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.
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.
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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 portfolios, has entered into a $700 million unsecured line of credit with its custodian bank effective January 2, 2021. A line of credit with similar terms was in effect through January 2, 2021. Each portfolio 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 portfolio 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, 2022.
For the year ended October 31, 2021, borrowings by the Funds under the lines 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 10/31/2021 |
|||||||||||||||||||
US Small Cap ETF |
0.83 | % | $ | 1,063 | 34 | $ | 1 | $ | 1,985 | — | ||||||||||||||
US Targeted Value ETF |
0.83 | % | 893 | 28 | 1 | 4,912 | — | |||||||||||||||||
International Value ETF |
0.83 | % | 19 | 3 | — | 27 | — | |||||||||||||||||
World ex US Core Equity 2 ETF |
0.83 | % | 30 | 3 | — | 47 | — |
Pursuant to an exemptive order issued by the SEC (the “Order”), the Funds may participate in an interfund lending program among certain portfolios managed by the Advisor (portfolios that operate as feeder funds do not participate in the program). The program allows the participating portfolios 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 portfolios 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 portfolio 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.
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The Funds did not use the interfund lending program during the year ended October 31, 2021.
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. CORONAVIRUS (COVID-19) PANDEMIC:
The ongoing outbreak of the novel coronavirus, COVID-19, has resulted, at times, in market closures, market volatility, liquidity constraints and increased trading costs. Efforts to contain the spread of COVID-19 have resulted in global travel restrictions and disruptions of healthcare systems, business operations and supply chains, layoffs, reduced consumer demand, defaults and credit rating downgrades, and other significant economic impacts. The effects of COVID-19 have impacted global economic activity and may heighten pre-existing political, social and economic risks, domestically or globally. The full impact of the COVID-19 pandemic is unpredictable and may adversely affect a Fund’s performance.
N. OTHER:
The Funds are subject to claims and suits that arise from time to time in the ordinary course of business (for example, ongoing claw back litigation against former shareholders of portfolio companies that filed for bankruptcy, such as The Tribune Company and 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.
On June 3, 2021, President Biden issued an Executive Order titled ”Addressing the Threat from Securities Investments that Finance Certain Companies of the People’s Republic of China” (the “Order”). Effective on August 2, 2021, the Order restricts investment in certain companies identified as “Chinese Military Industrial Complex Companies” (CMICs) by the Office of Foreign Asset Control, an agency of the Department of Treasury and the Department of Defense. As of July 27, 2021, the Funds have divested of all publicly traded securities identified as CMIC’s listed in the Order.
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As of October 31, 2021, 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 Equity ETF |
2 | 100 | % | |||||
US Core Equity ETF |
2 | 100 | % | |||||
US Core Equity 2 ETF |
1 | 100 | % | |||||
US Small Cap ETF |
1 | 100 | % | |||||
US Targeted Value ETF |
2 | 100 | % | |||||
International Core ETF |
1 | 100 | % | |||||
International Value ETF |
2 | 100 | % | |||||
Emerging Markets Core ETF |
1 | 100 | % | |||||
World ex US Core Equity 2 ETF |
1 | 100 | % |
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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TAX NOTICE TO SHAREHOLDERS
(Unaudited)
The following information is solely for informational purposes. Each Fund is designating the U.S. federal income tax character of the following items with respect to distributions paid or expected to be paid to shareholders related to the fiscal year ended October 31, 2021. All designations are based on financial information available as of the date of this annual report and, accordingly are subject to change. For each classification below and including “Section 163(j) interest dividends” as defined in Treasury Regulation §1.163(j)-1(b)(35) and “Section 199A dividends” as defined in Treasury Regulation §1.199A -3(d), it is the intent of the Fund to designate the maximum amount permitted under the Internal Revenue Code and the regulations thereunder.
For U.S. federal income tax purposes, shareholders generally must report distributions received from a Fund on a calendar-year basis, which therefore may include distributions with respect to portions of two fiscal years of the Fund. Annual statements needed by shareholders concerning the tax status of distributions received for the calendar year 2021 (e.g., IRS Form 1099-DIV) will be provided in early 2022. Shareholders should refer to these statements in preparing their calendar year 2021 tax returns. Please consult your tax advisor for the proper treatment of this information. Unless otherwise noted, the amounts in the table are expressed as a percentage of the distributions paid with respect to the fiscal year ended October 31, 2021.
Dimensional
ETF |
Net Investment Income Distributions |
Short-Term Capital Gain Distributions |
Long-Term Capital Gain Distributions |
Return of Capital |
Tax-Exempt Interest |
Total Distributions |
Qualified Dividends (for Corporate Dividends Received Deduction) (1) |
Qualified Dividend Income (2) |
U.S. Government Interest (3) |
Foreign Tax Credit (4) |
Foreign Source Income (5) |
Qualified Net Interest Income (6) |
Qualified Short- Term Capital Gain (7) |
|||||||||||||||||||||||||||||||||||||||
US Equity ETF |
100 | % | — | — | — | — | 100 | % | 100 | % | 100 | % | — | — | — | — | — | |||||||||||||||||||||||||||||||||||
US Core Equity ETF |
100 | % | — | — | — | — | 100 | % | 100 | % | 100 | % | — | — | — | — | — | |||||||||||||||||||||||||||||||||||
US Core Equity 2 ETF |
100 | % | — | — | — | — | 100 | % | 100 | % | 100 | % | — | — | — | — | — | |||||||||||||||||||||||||||||||||||
US Small Cap ETF |
100 | % | — | — | — | — | 100 | % | 100 | % | 100 | % | — | — | — | — | — | |||||||||||||||||||||||||||||||||||
US Targeted Value ETF |
100 | % | — | — | — | — | 100 | % | 100 | % | 100 | % | — | — | — | — | — | |||||||||||||||||||||||||||||||||||
International Core ETF |
100 | % | — | — | — | — | 100 | % | — | 100 | % | — | 12 | % | 100 | % | — | — | ||||||||||||||||||||||||||||||||||
International Value ETF |
100 | % | — | — | — | — | 100 | % | — | 100 | % | — | 9 | % | 100 | % | — | — | ||||||||||||||||||||||||||||||||||
Emerging Markets Core ETF |
100 | % | — | — | — | — | 100 | % | — | 68 | % | — | 7 | % | 100 | % | — | — | ||||||||||||||||||||||||||||||||||
World ex US Core Equity 2 ETF |
100 | % | — | — | — | — | 100 | % | — | 100 | % | — | 9 | % | 100 | % | — | — |
(1) |
Qualified Dividends represents the amount that qualifies for the corporate dividends-received deduction under Section 243 of the Internal Revenue Code and is reflected as a percentage of estimated ordinary income distributions (the total of short-term capital gain and net investment income distributions) for the calendar year 2021. |
(2) |
Qualified Dividend Income represents the amount that qualifies for the reduced capital gain tax rate under Section 1(h)(11) of the Internal Revenue Code and is reflected as a percentage of estimated ordinary income distributions (the total of short-term capital gain and net investment income distributions) for the calendar year 2021. |
(3) |
U.S. Government Interest represents the amount of interest that was derived from direct U.S. Government obligations and distributed during the fiscal year. This amount is reflected as a percentage of total estimated ordinary income distributions (the total of short-term capital gain and net investment income distributions) for the calendar year 2021. Generally, interest from direct U.S. Government obligations is exempt from state income tax. Please consult your tax advisor for the availability of a state tax exemption based on your individual circumstances. |
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(4) |
Foreign Tax Credit represents the amount of dividends that qualify for the foreign tax credit pass through under Section 853 of the Internal Revenue Code and is reflected as a percentage of “investment company taxable income” (as defined in Section 852(b)(2) of the Internal Revenue Code). |
(5) |
Foreign Source Income represents the amount of dividends derived from foreign sources and is reflected as a percentage of “investment company taxable income” (as defined in Section 852(b)(2) of the Internal Revenue Code). |
(6) |
Qualified Net Interest Income represents the amount of interest income available as interest-related dividends generally exempt from withholding taxes for non-U.S. shareholders under Section 871(k)(1) of the Internal Revenue Code. The information is reflected as a percentage estimated ordinary income distributions (the total of short-term capital gain and net investment income distributions) for the calendar year 2021. |
(7) |
Qualified Short-Term Capital Gain represents the amount available as short-term capital gain dividends generally exempt from withholding taxes for non-U.S. shareholders under Section 871(k)(2) of the Internal Revenue Code. The information is reflected as a percentage of estimated ordinary income distributions (the total of short-term capital gain and net investment income distributions) for the calendar year 2021. |
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of The Dimensional ETF Trust and Shareholders of each of the nine funds listed in the table below
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the summary schedules of portfolio holdings, of each of the funds indicated in the table below (constituting The Dimensional ETF Trust, hereafter collectively referred to as the “Funds”) as of October 31, 2021, the related statements of operations and of changes in net assets for each of the periods indicated in the table below, including the related notes, and the financial highlights for each of the periods indicated in the table below (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of October 31, 2021, the results of each of their operations, the changes in each of their net assets, and each of the financial highlights for each of the periods indicated in the table below, in conformity with accounting principles generally accepted in the United States of America.
Fund | Statement of operations |
Statement
of changes in net assets |
Financial highlights | |||
Dimensional U.S. Equity ETF Dimensional U.S. Core Equity 2 ETF Dimensional U.S. Small Cap ETF Dimensional U.S. Targeted Value ETF Dimensional International Value ETF Dimensional World ex U.S. Core Equity 2 ETF |
For the year ended October 31, 2021 | For the years ended October 31, 2021 and 2020 | For the years ended October 31, 2021, 2020, 2019, 2018, and 2017 | |||
Dimensional US Core Equity Market ETF Dimensional International Core Equity Market ETF |
For the period November 17, 2020 (commencement of operations) through October 31, 2021 | |||||
Dimensional Emerging Core Equity Market ETF |
For the period December 1, 2020 (commencement of operations) through October 31, 2021 |
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of October 31, 2021 by correspondence with the custodian, brokers and transfer agent of the investee fund; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 22, 2021
We have served as the auditor of one or more investment companies in Dimensional Fund Advisors L.P. investment company group since 1981.
84
(Unaudited)
Trustees/ Directors
Each Board of Trustees/Directors (each, the “Board” and collectively, the “Boards”) of The DFA Investment Trust Company (“DFAITC”), DFA Investment Dimensions Group Inc. (“DFAIDG”), Dimensional Investment Group Inc. (“DIG”), Dimensional ETF Trust (“ETF Trust”), and Dimensional Emerging Markets Value Fund (“DEM”) (each, the “Fund” and collectively, the “Funds”) is responsible for establishing the Funds’ policies and for overseeing the management of the Funds. The Trustees/ Directors of the Funds, including all of the disinterested Trustees/Directors, have adopted written procedures to monitor potential conflicts of interest that might develop between portfolios of the Funds (the “Feeder Portfolios”) that invest in certain series of DFAITC or DEM (the “Master Funds”).
Each Board has three standing committees, an Audit Committee, a Nominating Committee, and an Investment Strategy Committee (the “Strategy Committee”). The Audit Committee is composed of George M. Constantinides, Roger G. Ibbotson, Abbie J. Smith and Ingrid M. Werner. Each member of the Audit Committee is a disinterested Trustee/Director. The Audit Committee oversees the Fund’s accounting and financial reporting policies and practices, the Fund’s internal controls, the Fund’s financial statements and the independent audits thereof and performs other oversight functions as requested by the Board. The Audit Committee recommends the appointment of each Fund’s independent registered certified public accounting firm and acts as a liaison between the Fund’s independent registered certified public accounting firm and the full Board. There were two Audit Committee meetings held during the fiscal year ended October 31, 2021.
Each Board’s Nominating Committee is composed of George M. Constantinides, Roger G. Ibbotson, Myron S. Scholes, Abbie J. Smith, Douglas W. Diamond, Darrell Duffie and Ingrid M. Werner. Each member of the Nominating Committee is a disinterested Trustee/Director. The Nominating Committee for each Board makes recommendations for nominations of disinterested and interested members on the Board to the disinterested Board members and to the full Board. The Nominating Committee evaluates a candidate’s qualification for Board membership and the independence of such candidate from the Advisor and other principal service providers. There were four Nominating Committee meetings held during the fiscal year ended October 31, 2021.
Each Board’s Strategy Committee is composed of Gerard K. O’Reilly, Douglas W. Diamond, Myron S. Scholes and Darrell Duffie. The Strategy Committee assists the Board in carrying out its fiduciary duties with respect to the oversight of the Fund and its performance. At the request of the Board or the Advisor, the Strategy Committee (i) reviews the design of possible new series of the Fund, (ii) reviews performance of existing portfolios of the Funds and discusses and recommends possible enhancements to the portfolios’ investment strategies, (iii) reviews proposals by the Advisor to modify or enhance the investment strategies or policies of each portfolio, and (iv) considers issues relating to investment services for each portfolio of the Fund. There were three Strategy Committee meetings held during the fiscal year ended October 31, 2021.
Certain biographical information for each disinterested Trustee/Director and interested Trustee/Director of the Funds is set forth in the tables below, including a description of each Trustee/Director’s experience as a Trustee/ Director of the Funds and as a Director or Trustee of other funds, as well as other recent professional experience.
The statements of additional information (together, “SAI”) of the Funds include additional information about each Trustee/Director. You may obtain copies of the SAI and prospectus of each Fund advised by Dimensional Fund Advisors LP by calling collect (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, TX 78746. Prospectuses are also available at http://us.dimensional.com.
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Disinterested Directors/Trustees
Name, Address and Year of Birth |
Position | Term of Office1 and Length of Service |
Principal Occupation During Past 5 Years |
Portfolios within the DFA Fund Complex2 Overseen |
Other Directorships of Public Companies Held During Past 5 Years | |||||
George M. Constantinides University of Chicago Booth School of Business 5807 S. Woodlawn Avenue Chicago, IL 60637 1947 |
Director/ Trustee | DFAIDG — Since 1983; DIG & DEM — Since 1993; DFAITC — Since 1992; ETF Trust - Since 2020 | Leo Melamed Professor of Finance, University of Chicago Booth School of Business (since 1978). | 137 portfolios in 5 investment companies | None | |||||
Douglas W. Diamond c/o
Dimensional 1953 |
Director/ Trustee | DFAIDG, DIG, DEM & DFAITC — Since 2017; ETF Trust - Since 2020 | Merton H. Miller Distinguished Service Professor of Finance, University of Chicago Booth School of Business (since 1988). Formerly, Visiting Scholar, Federal Reserve Bank of Richmond (1990-2019). Formerly, Fischer Black Visiting Professor of Financial Economics, Alfred P. Sloan School of Management, Massachusetts Institute of Technology (2015-2016). | 137 portfolios in 5 investment companies | None | |||||
Darrell Duffie c/o
Dimensional 1954 |
Director/ Trustee | DFAIDG, DIG, DEM & DFAITC — Since 2019; ETF Trust - Since 2020 | Dean Witter Distinguished Professor of Finance, Graduate School of Business, Stanford University (since 1984). Director, TNB Inc. (bank) (since 2020). | 137 portfolios in 5 investment companies | Formerly, Director, Moody’s Corporation (financial information and information technology) (2008-2018). | |||||
Roger G. Ibbotson Yale
School of Management 1943 |
Director/ Trustee | DFAIDG – Since 1981; DIG & DEM — Since 1993; DFAITC — Since 1992; ETF Trust - Since 2020 | Professor in Practice Emeritus of Finance, Yale School of Management (since 1984). Chairman and Partner, Zebra Capital Management, LLC (hedge fund and asset manager) (since 2001). Formerly, Consultant to Morningstar, Inc. (2006-2016). | 137 portfolios in 5 investment companies | None | |||||
Myron S. Scholes c/o
Dimensional 1941 |
Director/ Trustee | DFAIDG — Since 1981; DIG & DEM — Since 1993; DFAITC – Since 1992; ETF Trust - Since 2020 | Chief Investment Strategist, Janus Henderson Investors (since 2014). Frank E. Buck Professor of Finance, Emeritus, Graduate School of Business, Stanford University (since 1981). | 137 portfolios in 5 investment companies | None |
86
Name, Address and Year of Birth |
Position | Term of Office1 and Length of Service |
Principal Occupation During Past 5 Years |
Portfolios within the DFA Fund Complex2 Overseen |
Other Directorships of Public Companies Held During Past 5 Years | |||||
Abbie J. Smith University of Chicago Booth School of Business 5807 S. Woodlawn Avenue Chicago, IL 60637 1953 |
Director/ Trustee | DFAIDG, DIG, DEM & DFAITC — Since 2000; ETF Trust - Since 2020 | Boris and Irene Stern Distinguished Service Professor of Accounting and James S. Ely, III Faculty Fellow, University of Chicago Booth School of Business (since 1980). | 137 portfolios in 5 investment companies | Director, (since 2000) and formerly, Lead Director (2014- 2017), HNI Corporation (office furniture); Director, Ryder System Inc. (transportation, logistics and supply-chain management) (since 2003); and Trustee, UBS Funds (3 investment companies within the fund complex) (14 portfolios) (since 2009). | |||||
Ingrid M. Werner c/o
Dimensional 1961 |
Director/ Trustee | DFAIDG, DIG, DEM & DFAITC — Since 2019; ETF Trust — Since 2020 | Martin and Andrew Murrer Professor of Finance, Fisher College of Business, The Ohio State University (since 1998). Adjunct Member, the Prize Committee for the Swedish Riksbank Prize in Economic Sciences in Memory of Alfred Nobel (annual award for significant scientific research contribution) (since 2018). Director, American Finance Association (global association of academic researchers and practitioners in finance) (since January 2019). Member, Scientific Board, Leibniz Institute for Financial Research (institute supporting academic research in finance) (since 2020). Chair, Economic Advisory Committee, FINRA (since 2017). Chairman, Scientific Advisory Board, Swedish House of Finance (institute supporting academic research in finance) (since 2014). Member, Scientific Board, Danish Finance Institute (institute supporting academic research in finance) (since 2017). Member, Academic Board, Mistra Financial Systems (organization funding academic research on environment, governance and climate/sustainability in finance) (since 2016). Fellow, Center for Analytical Finance (academic research) (since 2015). Associate Editor, Journal of Finance (since 2016). Formerly, President, Western Finance Association (global association of academic researchers and practitioners in finance) (2018- 2019). | 137 portfolios in 5 investment companies | Director, Fourth Swedish AP Fund (pension fund asset management) (since 2017). |
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Interested Director/Trustee
The following interested Director/Trustee is described as such because he is deemed to be an “interested person,” as that term is defined under the 1940 Act, due to his position with the Advisor.
Name, Address and Year of Birth |
Position | Term of Office1 and Length of Service |
Principal Occupation During Past 5 Years |
Portfolios within the DFA Fund Complex2 Overseen |
Other Directorships of Public Companies Held During Past 5 Years | |||||
David G. Booth 6300 Bee Cave Road, 1946 |
Chairman and Director/ Trustee | DFAIDG — Since 1981; DIG & DFAITC — Since 1992; DEM — Since 1993; ETF Trust — Since 2020 | Chairman, Director/Trustee, and formerly, President and Co-Chief Executive Officer (each until March 2017) of Dimensional Emerging Markets Value Fund (“DEM”), DFA Investment Dimensions Group Inc. (“DFAIDG”), Dimensional Investment Group Inc. (“DIG”), The DFA Investment Trust Company (“DFAITC”). Executive Chairman, and formerly, President and Co-Chief Executive Officer (each until February 2017) of Dimensional Holdings Inc., Dimensional Fund Advisors LP, Dimensional Investment LLC and DFA Securities LLC (collectively with DEM, DFAIDG, DIG and DFAITC, the “DFA Entities”). Chairman and Trustee of the ETF Trust (since June 2020). Formerly, Chairman and Director (2009-2018) and Co-Chief Executive Officer (2010 June 2017) of Dimensional Fund Advisors Canada ULC. Trustee, University of Chicago (since 2002). Trustee, University of Kansas Endowment Association (since 2005). Member of the Hoover Institution Board (since September 2019). Formerly, Director of Dimensional Fund Advisors Ltd. (2002-July 2017), DFA Australia Limited (1994-July 2017), Dimensional Advisors Ltd. (2012-July 2017), Dimensional Funds plc (2006-July 2017) and Dimensional Funds II plc (2006-July 2017). Formerly, Director and President of Dimensional Japan Ltd. (2012-April 2017). Formerly, President, Dimensional SmartNest (US) LLC (2009-2014); and Limited Partner, VSC Investors, LLC (2007-2015). Formerly, Chairman, Director, President and Co-Chief Executive Officer of Dimensional Cayman Commodity Fund I Ltd. (2010-September 2017). | 137 portfolios in 5 investment companies | None |
1 |
Each Director/Trustee holds office for an indefinite term until his or her successor is elected and qualified. |
2 |
Each Director/Trustee is a director or trustee of each of the five registered investment companies within the DFA Fund Complex, which include: DFAIDG, DIG; DFAITC; DEM; and ETF Trust. Each disinterested Director/Trustee also serves on the Independent Review Committee of the Dimensional Funds, mutual funds registered in the provinces of Canada and managed by the Advisor’s affiliate, Dimensional Fund Advisors Canada ULC. |
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Officers
Below is the name, year of birth, information regarding positions with the Funds and the principal occupation for each officer of the Funds. The address of each officer is 6300 Bee Cave Road, Building One, Austin, TX 78746. Each of the officers listed below holds the same office (except as otherwise noted) in the DFA Entities.
Name and Year of Birth |
Position | Term of Office1 and Length of Service |
Principal Occupation During Past 5 Years | |||
Valerie A. Brown 1967 |
Vice President and Assistant Secretary | Since 2001 |
Vice President and Assistant Secretary of • all the DFA Entities (since 2001) • DFA Australia Limited (since 2002) • Dimensional Fund Advisors Ltd. (since 2002) • Dimensional Cayman Commodity Fund I Ltd. (since 2010) • Dimensional Fund Advisors Pte. Ltd. (since 2012) • Dimensional Hong Kong Limited (since 2012) • ETF Trust (since 2020) Director, Vice President and Assistant Secretary (since 2003) of • Dimensional Fund Advisors Canada ULC | |||
Ryan P. Buechner 1982 | Vice President and Assistant Secretary | Since September 2019 |
Vice President and Assistant Secretary of • DFAIDG, DIG, DFAITC and DEM (since 2019) • ETF Trust (since 2020) Vice President (since January 2018) of • Dimensional Holdings Inc. • Dimensional Fund Advisors LP • Dimensional Investment LLC • DFA Securities LLC | |||
David P. Butler 1964 |
Co-Chief Executive Officer | Since 2017 |
Co-Chief Executive Officer of • all the DFA Entities (since 2017) • ETF Trust (since 2020) Director (since 2017) of • Dimensional Holdings Inc. • Dimensional Fund Advisors Canada ULC • Dimensional Japan Ltd. • Dimensional Advisors Ltd. • Dimensional Fund Advisors Ltd. • DFA Australia Limited Director and Co-Chief Executive Officer (since 2017) of • Dimensional Cayman Commodity Fund I Ltd. Head of Global Financial Advisor Services (since 2007) for • Dimensional Fund Advisors LP Formerly, Vice President (2007-2017) of • all the DFA Entities | |||
Stephen A. Clark 1972 |
Executive Vice President | Since 2017 |
Executive Vice President of • all the DFA Entities (since 2017) • ETF Trust (since 2020) Director and Vice President (since 2016) of • Dimensional Japan Ltd. President and Director (since 2016) of • Dimensional Fund Advisors Canada ULC Vice President (since 2008) and Director (since 2016) of • DFA Australia Limited Director (since 2016) of • Dimensional Advisors Ltd. • Dimensional Fund Advisors Pte. Ltd. • Dimensional Hong Kong Limited Vice President (since 2019) of • Dimensional Fund Advisors Pte. Ltd. Formerly, Vice President (2004-2017) of • all the DFA Entities Formerly, Vice President (2010-2016) of • Dimensional Fund Advisors Canada ULC Formerly, Vice President (2016-2019) of • Dimensional Fund Advisors Pte. Ltd. Formerly, Interim Chief Executive Officer (2019) of • Dimensional Fund Advisors Pte. Ltd. Formerly, Head of Institutional, North America (2012-2013) and Head of Global Institutional Services (2014-2018) for • Dimensional Fund Advisors LP |
89
Name and Year of Birth |
Position | Term of Office1 and Length of Service |
Principal Occupation During Past 5 Years | |||
Lisa M. Dallmer 1972 |
Chief Operating Officer | Since June 2021 |
Chief Operating Officer (since June 2021) of • the DFA Fund Complex • ETF Trust Executive Vice President (since January 2020) • Dimensional Holdings Inc. • Dimensional Fund Advisors LP • Dimensional Investment LLC • DFA Securities LLC Chief Operating Officer (since December 2019) • Dimensional Holdings Inc. • Dimensional Fund Advisors LP • Dimensional Investment LLC • DFA Securities LLC Formerly, Vice President, Chief Financial Officer, and Treasurer (June 2020-June 2021) of • the DFA Fund Complex • ETF Trust Formerly, Senior Vice President, Business Operations (March 2019-October 2019) at • Delphix Inc. Formerly, Chief Operating Officer Global Technology & Operations, Managing Director (2014-2018) of • BlackRock Inc. | |||
Bernard J. Grzelak 1971 | Vice President | Since June 2021 | Vice President (since June 2021) of • the DFA Fund Complex • ETF Trust Vice President, Chief Financial Officer and Treasurer (since September 2020) of • DFA Australia Limited • Dimensional Fund Advisors Canada ULC • DFA Securities LLC • Dimensional Advisors Ltd. • Dimensional Fund Advisors LP • Dimensional Fund Advisors Ltd. • Dimensional Fund Advisors Pte. Ltd. • Dimensional Holdings Inc. • Dimensional Hong Kong Limited • Dimensional Investment LLC Vice President (since March 2021) of | |||
• Dimensional Ireland Limited Formerly, Partner (2008-2020), Chief Operating Officer, Global Funds and Risk (2018-2020), Chief Operations Officer (2016-2018), and Director of Fund Administration (2003- 2016) of Lord Abbett & Co. LLC Formerly, Chief Financial Officer (2017-2020), and Treaurer (2003-2017) of Lord Abbett Family of Funds | ||||||
Eric Hall 1978 |
Vice President and Assistant Treasurer | Since June 2021 |
Vice President and Assistant Treasurer (since June 2021) of • the DFA Fund Complex • ETF Trust Formerly, Data Integrity Team Lead (December 2019-April 2021) of • Clearwater Analytics Formerly, Assistant Vice President and Assistant Treasurer (March 2015-November 2019) at • INVESCO, U.S. (formerly, OppenheimerFunds, Inc.) | |||
Jeff J. Jeon 1973 |
Vice President | Since 2004 |
Vice President (since 2004) and Assistant Secretary (2017-2019) of • all the DFA Entities Vice President (since 2020) of • ETF Trust Vice President and Assistant Secretary (since 2010) of • Dimensional Cayman Commodity Fund I Ltd. |
90
Name and Year of Birth |
Position | Term of Office1 and Length of Service |
Principal Occupation During Past 5 Years | |||
Joy Lopez 1971 |
Vice President and Assistant Treasurer | Vice President since 2015 and Assistant Treasurer since 2017 |
Vice President (since 2015) of • all the DFA Entities Assistant Treasurer (since 2017) of • the DFA Fund Complex Vice President and Assistant Treasurer (since 2020) of • ETF Trust Formerly, Senior Tax Manager (2013-2015) for • Dimensional Fund Advisors LP | |||
Kenneth M. Manell 1972 |
Vice President | Since 2010 |
Vice President of • all the DFA Entities (since 2010) • Dimensional Cayman Commodity Fund I Ltd. (since 2010) • ETF Trust (since 2020) | |||
Jan Miller 1963 |
Vice President, Chief Financial Officer, and Treasurer | Since June 2021 |
Vice President, Chief Financial Officer, and Treasurer (since June 2021) of • the DFA Fund Complex • ETF Trust Formerly, Director (May 2019-January 2021) at • INVESCO, U.S. (formerly, OppenheimerFunds, Inc.) Formerly, Vice President and Assistant Treasurer (September 2012-May 2019) at • OppenheimerFunds, Inc. | |||
Catherine L. Newell 1964 |
President and General Counsel | President since 2017 and General Counsel sincec 2001 | President of • the DFA Fund Complex (since 2017) • ETF Trust (since 2020) General Counsel (since 2001) of • all the DFA Entities Executive Vice President (since 2017) and Secretary (since 2000) of • Dimensional Fund Advisors LP • Dimensional Holdings Inc. • DFA Securities LLC | |||
• Dimensional Investment LLC Director (since 2002), Vice President (since 1997) and Secretary (since 2002) of • DFA Australia Limited • Dimensional Fund Advisors Ltd. Vice President and Secretary of • Dimensional Fund Advisors Canada ULC (since 2003) | ||||||
• Dimensional Cayman Commodity Fund I Ltd. (since 2010) • Dimensional Japan Ltd. (since 2012) • Dimensional Advisors Ltd (since 2012) • Dimensional Fund Advisors Pte. Ltd. (since 2012) Director of • Dimensional Funds plc (since 2002) • Dimensional Funds II plc (since 2006) • Director of Dimensional Japan Ltd. (since 2012) • Dimensional Advisors Ltd. (since 2012) • Dimensional Fund Advisors Pte. Ltd. (since 2012) • Dimensional Hong Kong Limited (since 2012) • Dimensional Ireland Limited (since 2019) Formerly, Vice President and Secretary (2010-2014) of • Dimensional SmartNest (US) LLC Formerly, Vice President (1997-2017) and Secretary (2000-2017) of • the DFA Fund Complex Formerly, Vice President of • Dimensional Fund Advisors LP (1997-2017) • Dimensional Holdings Inc. (2006-2017) • DFA Securities LLC (1997-2017) • Dimensional Investment LLC (2009-2017) |
91
Name and Year of Birth |
Position | Term of Office1 and Length of Service |
Principal Occupation During Past 5 Years | |||
Selwyn J. Notelovitz 1961 |
Vice President | Since September 2021 |
Vice President (since September 2021) of • the DFA Fund Complex • ETF Trust Vice President (since December 2012) and Chief Compliance Officer (since July 2020) of: • DFA Securities LLC • Dimensional Fund Advisors LP • Dimensional Holdings Inc. • Dimensional Investment LLC Chief Compliance Officer (since July 2020) of: • DFA Australia Limited • Dimensional Fund Advisors Ltd. • Dimensional Fund Advisors Canada ULC Formerly, Deputy Chief Compliance Officer (2013-2020) of: • DFA Fund Complex • DFA Securities LLC • Dimensional Fund Advisors LP • Dimensional Holdings Inc. • Dimensional Investment LLC Formerly, Vice President (2013-2020) of: • DFA Fund Complex Formerly, Director (2019-2021) of: • Dimensional Ireland Limited | |||
Carolyn L. O 1974 |
Vice President and Secretary | Vice President since 2010 and Secretary since 2017 |
Vice President (since 2010) and Secretary (since 2017) of • the DFA Fund Complex Vice President and Secretary (since 2020) of • ETF Trust Vice President (since 2010) and Assistant Secretary (since 2016) of • Dimensional Fund Advisors LP • Dimensional Holdings Inc. • Dimensional Investment LLC Vice President of • DFA Securities LLC (since 2010) | |||
• Dimensional Cayman Commodity Fund I Ltd. (since 2010) • Dimensional Fund Advisors Canada ULC (since 2016) | ||||||
Randy C. Olson 1980 |
Chief Compliance Officer | Since August 2020 |
Chief Compliance Officer (since 2020) • all the DFA Funds • ETF Trust Vice President (since 2016) of • DFA Securities LLC • Dimensional Fund Advisors LP • Dimensional Holdings Inc. • Dimensional Investment LLC Formerly, Vice President-Senior Compliance Officer • Dimensional Investment Advisors LP (January 2020-August 2020 and July 2014-March 2017) Formerly, Vice President-Head of Compliance & Operations Asia Ex-Japan • Dimensional Investment Advisors LP (April 2017-January 2020) |
92
Name and Year of Birth |
Position | Term of Office1 and Length of Service |
Principal Occupation During Past 5 Years | |||
Gerard K. O’Reilly 1976 |
Co-Chief Executive Officer and Chief Investment Officer | Co-Chief Executive Officer and Chief Investment Officer since 2017 |
Co-Chief Executive Officer and Chief Investment Officer of • all the DFA Entities (since 2017) • Dimensional Fund Advisors Canada ULC (since 2017) • ETF Trust (since 2020) Director, Chief Investment Officer and Vice President (since 2017) of • DFA Australia Limited Chief Investment Officer (since 2017) and Vice President (since 2016) of • Dimensional Japan Ltd. Director, Co-Chief Executive Officer and Chief Investment Officer (since 2017) of • Dimensional Cayman Commodity Fund I Ltd. Director of • Dimensional Funds plc (since 2014) • Dimensional Funds II plc (since 2014) • Dimensional Holdings Inc. (since 2017) • Dimensional Ireland Limited (since 2019) Formerly, Co-Chief Investment Officer of • Dimensional Japan Ltd. (2016-2017) • DFA Australia Limited (2014-2017) Formerly, Executive Vice President (2017) and Co-Chief Investment Officer (2014-2017) of • all the DFA Entities Formerly, Vice President (2007-2017) of • all the DFA Entities Formerly, Vice President and Co-Chief Investment Officer (2014-2017) of • Dimensional Fund Advisors Canada ULC Formerly, Director (2017-2018) of Dimensional Fund Advisors Pte. Ltd. | |||
James J. Taylor 1983 |
Vice President and Assistant Treasurer | Since March 2020 |
Vice President and Assistant Treasurer (since 2020) of • the DFA Fund Complex • ETF Trust Vice President (since 2016) • Dimensional Holdings Inc. • Dimensional Fund Advisors LP • Dimensional Investment LLC • DFA Securities LLC Formerly, Accounting Manager (2015-2016) • Dimensional Fund Advisors LP |
1 |
Each officer holds office for an indefinite term at the pleasure of the Board of Directors/Trustees and until his or her successor is elected and qualified. |
93
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 and reflects the twelve-month period beginning July 1st and ending June 30th.
94
DFA103121-073A |