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Appendix:
Directors and officers of DFA Investment Dimensions Group Inc. include:
• David G. Booth, co-founder, director, CEO, president and chief investment officer; trustee, University of Chicago
• George M. Constantinides, Leo Melamed Professor of Finance, Graduate School of Business, University of Chicago
• John P. Gould, Steven G. Rothmeier Distinguished Service
Professor of Economics, Graduate School of Business, University of
Chicago
• Roger G. Ibbotson, Professor in the Practice of Finance, School of Management, Yale University
• Robert C. Merton, Nobel laureate, John and Natty McArthur University Professor, Harvard University
• Myron S. Scholes, Nobel laureate, Frank E. Buck Professor Emeritus of Finance and Law, Stanford University
• Rex A. Sinquefield, co-founder and director; trustee, St. Louis University; life trustee, DePaul University
• Abbie J. Smith, Boris and Irene Stern Professor of Accounting, Graduate School of Business, University of Chicago.
This document contains hypothetical results. Although we have done our
best to present this information fairly, hypothetical performance is
still potentially misleading. Hypothetical data does not represent
actual performance and should not be interpreted as an indication of
actual performance. This data is based on transactions that were not
made. Instead, the trades were simulated, based on knowledge that was
available only after the fact and thus with the benefit of hindsight.
Results do not include the impact of taxes, if any. Past returns are
not indicative of future results.
Data Sources: The following data sources were used to develop the
tables and figures in this workshop. Note that many of our return
series rely on academic simulations gathered and developed by
Dimensional Fund Advisors (DFA). All performance data are total
returns including interest and dividends. Simulated data subtracts the
current expense ratio for the comparable fund, except for the S&P
500 Index.
Equities
Emerging Markets DFEMX to May 1994, DFA simulation back to Jan 1987.
Emerging Market Core DFCEX from May 2005.
Emerging Market Small Cap DEMSX back to 1999, DFA simulation back to Jan. 1987.
Emerging Market Value DFEVX back to 1999, DFA simulation back to Jan. 1987.
International Large Cap DFALX back
to 1992, MSCI EAFE back to 1970.
International Large Cap Value DFIVX back to Mar 1994, DFA simulation back to 1975.
International Small Cap DFISX back to Oct. 1996, DFA simulation back to 1970.
International Small Value DISVX back to
1995.
Large Cap DFLCX back to 1991, S&P 500 back to 1970.
Large Value DFLVX back to 1994, simulation back to 1927.
Micro Cap (or Small Cap) DFSCX back to 1983, Dimensional US Micro Cap Index to 1970.
Real Estate Investment Trusts DFREX back to Jan. 1993, Don Keim REIT Index 1975-1992, NAREIT 1972-1974.
S&P
500 1926
- 1989. Stocks, Bonds, Bills, and Inflation 2003 Yearbook, Ibbotson
Associates, Chicago (annually updated); 1990 – Present S&P 500
Index, provided by Standard & Poor's Index Services Group, through
DFA.
Small Value DFSVX back to 1994, DFA simulation back to 1927.
Bonds
Barclays Government Credit. Index 50% long-term corp., 50%
long-term government for 1970-1972 (from DFA Matrix 2004), Barclays
Government/Credit Bond Index from 1973 to present.
DFA TIPs DIPSX
DFA Intermediate Government Bonds DFIGX, Morningstar
Vanguard Short-Term Treasuries VFISX, Morningstar.
Vanguard Intermediate-Term Treasuries VFIIX, Morningstar.
Vanguard Inflation Protected Securities VIPSX, Morningstar.
Portfolios 1-4:
• Yearly rebalancing
• Short/ Intermediate Bond Allocation: 50% in Intermediate Term Government, 30% in Short-term Treasuries and 20% in TIPs
• U.S. Equity Allocation: 20% each in LC, LCV, SC, SCV, and REITs
• International Allocations:
1970-1974: 50% Int. LC, 50% Int. SC
1975-1986: 25% Int. LC, 25% Int. LCV, 50% Int. SC
1987-1994: 20% Int. LC, 20% Int. LCV, 10% EM, 5% EMS, 5% EMV, 40% Int. SC
1995-2005: 20% Int. LC, 20% Int. LCV, 10% EM, 5% EMS, 5% EMV, 20% Int. SC, 20% Int. SCV
2006 - 2007: 20% each in Int. LC, Int. LCV, Int. SC, Int. SCV, and EM Core
Fine Tuning Your Asset Allocation (Global Balanced Portfolio)
• Monthly rebalancing
• 1% Management Fee included
• Fixed Income Allocation: 50% in Intermediate Term Government, 30% in Short‐term Treasuries and 20% in TIPs
• U.S. Equity Allocation: 20% each in LC, LCV, SC, SCV, and REITs
• International Equity Allocation is:
1970‐1974: 50% Int. LC, 50% Int. SC
1975‐1986: 25% Int. LC, 25% Int. LCV, 50% Int. SC
1987‐1994: 20% Int. LC, 20% Int. LCV, 10% EM, 5% EMS, 5% EMV, 40% Int. SC
1995‐2005: 20% Int. LC, 20% Int. LCV, 10% EM, 5% EMS, 5% EMV, 20% Int. SC, 20% Int. SCV
2006 ‐ 2008: 20% each in Int. LC, Int. LCV, Int. SC, Int. SCV, and EM Core
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