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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


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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,

 

LOGO    LOGO
David P. Butler    Gerard O’Reilly
CO-CHIEF EXECUTIVE OFFICER    CO-CHIEF EXECUTIVE OFFICER and CHIEF INVESTMENT OFFICER


DIMENSIONAL ETF TRUST

ANNUAL REPORT

Table of Contents

 

Letter to Shareholders

  

Definitions of Abbreviations and Footnotes

     3  

Performance Charts

     4  

Management’s Discussion and Analysis

     9  

Disclosure of Expenses

     14  

Disclosure of Portfolio Holdings

     16  

Summary Schedules of Portfolio Holdings

     18  

Statements of Assets and Liabilities

     50  

Statements of Operations

     53  

Statements of Changes In Net Assets

     56  

Financial Highlights

     61  

Notes to Financial Statements

     66  

Report of Independent Registered Public Accounting Firm

     84  

Fund Management

     85  

Voting Proxies on Fund Portfolio Securities

     94  

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.

 

i


DIMENSIONAL ETF TRUST

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

PERFORMANCE CHARTS

(Unaudited)

 

 

Dimensional U.S. Equity ETF vs.

Russell 3000® Index

October 31, 2011-October 31, 2021

 

LOGO

    

  

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

 

LOGO

 

  

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

 

LOGO

    

  

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

 

LOGO

    

  

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%       

 

 

 

5


DIMENSIONAL ETF TRUST

PERFORMANCE CHARTS

(Unaudited)

 

 

 

Dimensional U.S. Targeted Value ETF vs.

Russell 2000® Value Index

October 31, 2011-October 31, 2021

 

LOGO

 

  

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

 

LOGO

 

  

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%       

 

 

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DIMENSIONAL ETF TRUST

PERFORMANCE CHARTS

(Unaudited)

 

 

 

Dimensional International Value ETF vs.

MSCI World ex USA Index (net dividends)

October 31, 2011-October 31, 2021

 

LOGO

 

  

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

 

LOGO

 

  

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%       

 

 

7


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

 

LOGO

 

  

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


DIMENSIONAL ETF TRUST

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.

 

10


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%  

 

11


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.

 

12


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


DIMENSIONAL ETF TRUST

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


DIMENSIONAL ETF TRUST

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


DIMENSIONAL U.S. EQUITY ETF

SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS

October 31, 2021

 

   

Shares

      

Value†

      

Percentage
of Net Assets‡

 

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
of Net Assets‡

 

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
of Net Assets‡

 

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
of Net Assets‡

 

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
of Net Assets‡

 

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
of Net Assets‡

 

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
of Net Assets‡

 

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
of Net Assets‡

 

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
of Net Assets‡

 

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
of Net Assets‡

 

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
of Net Assets‡

 

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
of Net Assets‡

 

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
of Net Assets‡

 

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
of Net Assets‡

 

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
of Net Assets‡

 

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
of Net Assets‡

 

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
of Net Assets‡

 

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
Net Assets‡

 

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
Net Assets‡

 

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
Net Assets‡

 

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
of Net Assets‡

 

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
of Net Assets‡

 

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
of Net Assets‡

 

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
(Cost $402,357,802)

         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
of Net Assets‡

 

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
of Net Assets‡

 

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
of Net Assets‡

 

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
of Net Assets‡

 

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
of Net Assets‡

 

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


DIMENSIONAL ETF TRUST

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


DIMENSIONAL ETF TRUST

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


DIMENSIONAL ETF TRUST

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


DIMENSIONAL ETF TRUST

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  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

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                  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

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  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

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


IMENSIONAL ETF TRUST

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.

 

67


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

 

68


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.

 

69


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.

 

73


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.

 

77


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.

 

78


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.

 

79


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.

 

80


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.

 

81


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
Trust

  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.

 

82


(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.

 

83


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


FUND MANAGEMENT

(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 Officeand
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
Fund Advisors LP
6300 Bee Cave Road, Building One
Austin, TX 78746

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
Fund Advisors LP
6300 Bee Cave
Road, Building One
Austin, TX 78746

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
165 Whitney Avenue New Haven, CT 06511

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
Fund Advisors LP
6300 Bee Cave Road, Building One Austin, TX 78746

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
Officeand
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
Fund Advisors LP
6300 Bee Cave
Road, Building One
Austin, TX 78746

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).

 

87


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
Officeand
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,
Building One
Austin, TX 78746

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.

 

88


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


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