Dfa us matrix book 2011

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Dfa us matrix book 2011

  1. 1. 1981 2010 MATRIX BOOK 2O1 1
  2. 2. on the coverThirty years of working withclients has created a richhistory of portfolios. Pie chartsshow annual fund count byasset class. Each year reflectsthe universe of investments thatDimensional’s combination ofempirical research and efficientexecution provides.Below, a color key identifies theasset classes as seen on thecover and throughout the essay. 2010 US Equity Small Value Small Cap Large Value Large Cap US Core International Equity Small Value Small Cap Large Value Large Cap International Core Emerging Markets Equity Emerging Markets Emerging Markets Core Fixed Income US Short Term US Intermediate Term Municipal Global Real Estate Multiple Asset Classes Commodities
  3. 3. MATRIX BOOK 2O1 1
  4. 4. YEARS OF GOOD IDEAS AT WORK MIcro cAP: A SIGnAtUre StrAteGY Identifying a risk factor is only the beginning. Dimensional has also been able to capture it. From its inception in 1981, the firm’s first strategy, now known as US Micro Cap, has harnessed the small cap effect. $1 million 1/1982 1982 1983 1984 1985 1986 1987 1988 1989 1990 1990 1991 1992 1993 1994 1995 199 Actual inception was December 23, 1981. The S&P data are provided by Standard & Poor’s Index Services Group. Russell Investments is the source and owner of Russell data. Average annual total returns for US Micro Cap Portfolio as of December 31, 2010: one year, 31.29%; five years, 3.21%; ten years, 9.63%; since inception (12/23/1981), 12.00%. Average annual total returns for S&P 500 Index as of December 31, 2010: one year, 15.06%; five years, 2.29%; ten years, 1.41%. Average annual total returns for Russell 2000 Index as of December 31, 2010: one year, 26.85%; five years, 4.47%; ten years, 6.33%. Annual expense ratio for the US Micro Cap Portfolio as of October 31, 2010: total operating expense ratio, 0.52%; net expense ratio (to investor), 0.52%. I n 1981, when Dimensional opened for business in a Brooklyn brownstone, strategies. But in some important ways, we still think and act like a small firm. co-founders David Booth and Rex Sinquefield had a bold vision. They What is at the heart of this long-term success? We have taken good ideas and wanted to apply the best financial science to the world of investing. put them to work for investors. In this simple statement are three crucial Their first strategy, a small company fund, would offer exposure to the higher components: ideas, execution, and client commitment. expected returns of US micro cap stocks—a novel idea at the time. This strategy was the first of many groundbreaking efforts that reshaped the way institutions First, consider the role of ideas. From the beginning, Dimensional formed a and individuals approach market investing. philosophy around the theories and research that shaped modern finance. By working closely with the academics who developed and advanced these ideas, This year marks our thirtieth anniversary. We expanded beyond the single Dimensional based its approach on a solid empirical foundation. David and Rex small cap strategy years ago, and are now a global investment firm with over initially sought guidance from Eugene Fama, who became the first outside board $200 billion of client assets invested in a full line of equity and fixed income member, and John McQuown joined the company board soon thereafter. Other Merton Miller and Franco The first CRSP stock Modigliani publish “The market database is Cost of Capital, Corporation completed, allowing the Eugene Fama’s PhD thesis is Finance and the Theory of James Lorie and Lawrence Fisher average rate of return published in the Journal of Business. Investment.” Their research found the Center for Research on US equities (1926– Titled “The Behavior of Stock Market formed the basis for in Security Prices (CRSP) at the 1960) to be measured Prices,” the article provides the most modern thinking on capital University of Chicago Graduate for the first time. comprehensive to-date study of the structure. School of Business (GSB). statistical properties of stock prices. 1957 1958 1959 1960 1961 1962 1963 1964 1965 1966 1967 1968 The Fortran programming Following his 1952 article Eugene Fama begins graduate William Sharpe derives the Michael Jensen publishes language and IBM that introduced modern work at the University of Capital Asset Pricing Model the first major study of 709 computer, both portfolio theory, Harry Chicago Graduate School of (CAPM) in an article published mutual fund performance, instrumental in Eugene Markowitz publishes his Business (GSB). He meets his in the Journal of Finance. providing evidence that Fama’s doctoral research, book, Portfolio Selection: doctoral advisor, Merton Miller. most active managers are developed. Efficient Diversification of underperform indices. Investments.2 DIMENSIONAL FUND ADVISORS
  5. 5. US MICRO CAP 3 PORTFOLIO $26.79 million S&P 500 INDEx $22.35 million RUSSELL 2000 INDEx $17.36 million96 1997 1998 1999 20002000 2001 2002 2003 2004 2005 2006 2007 2008 2009 12/2010 Performance data shown represents past performance. Past performance is no guarantee of future results, and current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month end, access our website at www.dimensional.com. Average annual total returns include reinvestment of dividends and capital gains. leading financial thinkers were approached to serve on Dimensional’s mutual fund board, joined the firm to consult on new ideas regarding risk-managed board. These were future Nobel laureates Merton Miller and Myron Scholes, as well pension solutions. as Roger Ibbotson and Richard Roll. In the early years, Dimensional’s connection with leading academics provided the credibility necessary to introduce cutting-edge Dimensional’s strategies are rooted in financial science, but the quality strategies that lacked proven track records. of an idea must be proven in practice. This is the second component of Dimensional’s success—an ability to translate theory into strategies designed Our affiliations advanced over the years. In the early 1990s, Kenneth French to deliver higher expected returns over time, at a lower cost, and in ways that began working with Dimensional as a consultant. After he and Professor Fama are scalable. Meeting these requirements demanded a different approach to completed their landmark research on the size and value effects in stocks, portfolio design, management, and trading. Dimensional had to find ways to Professor French assumed an expanded role in helping Dimensional with capture the sources of higher expected returns while managing the natural strategy design and implementation, and ultimately became a board member. market frictions that can erode performance. More recently, Nobel laureate Robert Merton, who served on the mutual fund continued on page 8 Eugene Fama, David Booth Lawrence Fisher, graduates from Robert Merton Michael Jensen, and the University Rex Sinquefield publishes a paper Roger Ibbotson and Rex Richard Roll offer of Chicago graduates from on the Intertemporal Sinquefield publish “Stocks, empirical evidence Graduate School the University Capital Asset Pricing Bonds, Bills, and Inflation” that stock prices move of Business. of Chicago Model, which introduces (SBBI), their influential study David Booth and quickly in response to Graduate School the element of time into of major US asset class returns Rex Sinquefield new information. of Business. asset pricing. since 1926. found Dimensional. 1969 1970 1971 1972 1973 1974 1975 1976 1977 1978 1979 1980 1981 Eugene Fama Fischer Black and Working independently at their Stephen Ross develops the Arbitrage Eugene Fama publishes “Efficient Myron Scholes respective firms, John McQuown Pricing Theory. Based on the law of one and John McQuown Capital Markets: A derive their and David Booth at Wells Fargo price, the asset pricing approach allows join Dimensional’s Review of Theory seminal options and Rex Sinquefield at American for the possibility of multiple sources of board of directors. and Empirical pricing model in National Bank in Chicago create systematic risk. Merton Miller, Myron Work,” which their paper “The the first S&P 500 Index funds. Scholes, Richard Roll, offers the first Pricing of Options and Roger Ibbotson comprehensive and Corporate begin serving on review of efficient Liabilities.” Dimensional’s mutual markets research. fund board. MATRIX BOOK 2011 3
  6. 6. Rolf Banz publishes doctoral research Inspired by Eugene Fama’s documenting US small cap outperformance interest rate research, relative to the market (1926–1975). Dimensional launches the One- Eugene Fama develops a method that Year Fixed Income Portfolio. shifts maturities according to optimal Dimensional launches positions identified on the yield curve. first strategy: the 9-10 Research guides development of variable Fund (now the US First Matrix Book Kenneth French maturity strategy in fixed income. Micro Cap Portfolio). features four data series. joins the University of Chicago McDonnell Douglas Graduate School of George Constantinides becomes Dimensional’s Business faculty. joins mutual fund board. first client. 1981 1982 1983 1984 Funds Incepted: n One-Year Fixed Income (US) n US Micro Cap (US) Growth of a dollar invested in S&P 500 for each calendar year Eugene Fama and David Booth receive the Graham and Dodd Award Fama and French research on size and value is of Excellence published as “The Cross-Section of Expected Stock for their article, Dimensional starts the financial advisor Returns” in the Journal of Finance. The results lay “Diversification business, opening fund access to the groundwork for Dimensional’s value strategies. Merton Miller, Harry Markowitz, and Returns qualified fee-based advisors. William Sharpe receive the Nobel Prize for and Asset their contributions to financial economics. Contributions.” London trading office opens and prepares to trade in the UK and European markets. 1989 1990 1991 1992 n US Large Company (US) n Large Cap International (US) n US Large Cap Value (US) n Five-Year Global Fixed Income (US) n US Small Cap Value (US) n Intermediate Government Fixed Income (US)4 DIMENSIONAL FUND ADVISORS
  7. 7. 5 Dimensional funds a research joint venture with Nomura Securities, which Dimensional offers a multi-country Dimensional applies variable documents the size effect in Japan. strategy targeting European small maturity strategy to longer Dimensional moves headquarters to duration fixed income. company stocks. Santa Monica office on Ocean Avenue. Dimensional commissions research that documents the size effect in UK stocks. John Gould joins mutual fund board.1985 1986 1987 1988 n Japanese Small Company (US) n Five-Year Government (US) n Continental Small Company (US) n United Kingdom Small Company (US) n US Small Cap (US) Harvard Business School publishes a case study on Dimensional. Dimensional holds first introductory conference Eugene Fama and Kenneth for financial advisors. French introduce the Three- Rex Sinquefield receives the Graham and Factor Model in “Common Risk Dodd Award of Excellence for “Where Are Factors in the Returns on Stocks Sydney trading office opens and begins trading in the Gains from International Diversification?” and Bonds,” published in the the regional markets. Glenn Crane joins the firm as Journal of Financial Economics. CEO of Dimensional Australia. Andrew Cain, future CEO Dimensional launches variable annuity of Dimensional UK/Europe, sub-advised strategies. joins the firm in London.1993 1994 1995 1996n Asia Pacific Small Company (US) n International Small Cap Value (US) n VA Global Bond (US) n Emerging Markets Small Cap (US)n International Value (US) n Emerging Markets (US) n VA International Small (US) n Enhanced US Large Company (US)n Real Estate Securities (US) n Emerging Markets Value (US) n VA International Value (US) n International Small Company (US) n VA Short-Term Fixed (US) n Two-Year Fixed Income (US) n VA US Large Value (US) n Two-Year Government (US) n VA US Targeted Value (US) n Two-Year Global Fixed Income (US) n US Targeted Value (US) MATRIX BOOK 2011 5
  8. 8. Eduardo Repetto joins Dimensional following work as a researcher at Cal Tech, where he also Jim Davis teams earned his PhD. with Eugene Dimensional launches its first public Sydney office establishes a sales Fama and Kenneth Dimensional offers Robert Merton and Myron Scholes website, starting a tradition of and marketing division and French to extend funds to the Chilean receive the Nobel Prize for their work leveraging web technology to service launches first Australian trusts. value vs. growth private pension system. in options pricing. and educate clients. research back to 1926. Abbie Smith joins mutual fund board. 1997 1998 1999 2000 n Tax-Managed US Marketwide Value (US) n Australian Value (AUS) n Australian Large Company (AUS) n Tax-Managed US Small Cap (US) n Global Value (US) n Australian Small Company (AUS) n Tax-Managed US Targeted Value (US) n Global Value (AUS) n Global Large Company (AUS) n Tax-Managed International Value (US) n Global Small Company (AUS) n Short-Term Fixed Interest (AUS) Palisades West campus is completed. Dimensional moves headquarters from Santa Monica to Austin. The University of Rex Sinquefield retires Dimensional opens Austin Dimensional breaks Chicago Graduate from Dimensional. office and begins plans for ground on Palisades West School of Business Dimensional construction of headquarters. headquarters in Austin. is renamed the launches core Launch of US core equity strategies University of equity strategy offers integrated portfolios Assets under Social strategies apply core equity Chicago Booth that applies structured for diversified multifactor management pass technology to traditional socially School of Business environmental exposure and greater cost efficiency. $100 billion. conscious investing needs. in recognition of research to stock selection. Booth family gift. 2005 2006 2007 2008 n International Core Equity (US) n Australian Core Equity (AUS) n California Short-Term Municipal Bond (US) n Global Core Equity (IR) n Two-Year Diversified Fixed Interest (AUS) n Emerging Markets Social Core Equity (US) n Canadian Small Company (US) n Global Targeted Value (IR) n US Core Equity 1 (US) n Global Core Equity (AUS) n Emerging Markets Targeted Value (IR) n International Sustainability Core 1 (US) n US Core Equity 2 (US) n Inflation-Protected Securities (US) n European Value (IR) n International Value ex Tobacco (US) n US Vector Equity (US) n UK Core Equity (UK) n Global Real Estate (AUS) n International Vector Equity (US) n Global Short Fixed Income (IR) n Selectively Hedged Global Fixed Income (US) n International Real Estate Securities (US) n Short-Term Investment (US) n Pacific Basin Value (IR) n TA World ex US Core Equity (US) n TA US Core Equity 2 (US) n US Sustainability Core 1 (US) n US Social Core Equity 2 (US) *IR indicates Irish domiciled.6 DIMENSIONAL FUND ADVISORS
  9. 9. 7 Core equity is first applied for Australian clients. London office establishes sales and marketing division to serve clients in the UK and Europe. Kenneth French becomes head Dimensional conducts of Investment Policy Committee. research into development Vancouver of core equity technology. office opens The first tax-managed Harvard Business School Robert Merton joins to serve separate accounts are launched. publishes second case mutual fund board. Canadian study on Dimensional. financial advisors.2001 2002 2003 2004 n Five-Year Diversified Fixed Interest (AUS) n Short-Term Municipal Bond (US) n Global 25/75 (US) n Canadian Core Equity (CA) n Tax-Managed US Equity (US) n Global 60/40 (US) n Emerging Markets Core Equity (UK) n Global Equity (US) n Global Short-Dated Bond (UK) n Five-Year Global Fixed Income (CA) n UK Small Companies (UK) n UK Value (UK) Assets under management pass $200 billion. Dimensional acquires SmartNest. Robert Fama/French Forum blog launches, Merton affiliates as Edward connecting the ideas and research Resident Scientist to lead Lazear of Dimensional’s academics with development of a risk- joins mutual advisors, institutional clients, managed DC solution for fund board. and the public. plan participants. Dimensional UK/Europe opens offices in Amsterdam and Berlin.2009 2010n Investment Grade Fixed Income (CA) n Commodity Strategy (US)n Short-Term Extended Quality (US) n Intermediate-Term Extended Quality (US)n Sterling Ultra-Short Fixed Income (IR) n World ex US Value (US) MATRIX BOOK 2011 7
  10. 10. continued from page 3 One solution was to avoid liquidity traps arising from closely tracking an index. Dimensional also provides a broad set of investment solutions to help advisors Dimensional eschewed indexing, opting instead to hold securities with the serve individual clients. When we entered the financial advisor business in 1989, prescribed risk characteristics. By targeting a broader range of candidates in our implementation skills honed in the institutional world were put to the a portfolio, traders had more options and could transact with more flexibility test. We were concerned that volatile money flows from retail investors might and patience, resulting in better price execution. In this way, potential compromise our implementation approach. We met the challenge by partnering problems—such as the illiquidity of small cap stocks—could be turned with advisors who shared our investment philosophy, then providing them with into opportunities. educational and technical support to help their clients invest for the long term. Dimensional has an industry reputation for In response to the evolving needs of clients, smart trading. Acting as liquidity providers, our traders can better negotiate prices and YEARS OF Dimensional has launched portfolios to help advisors offer a full range of globally diversified incur lower trading costs, both of which can investment solutions. The global financial advisor add value to portfolio returns. In combination, GOOD IDEAS business, which now represents over half of total our strengths in strategy design, portfolio assets under management, has grown into a strong management, and trading provide clients AT WORK partnership among Dimensional, advisors, and with a compelling set of tools to pursue individual investors. their investment objectives. And by creating investments that truly help people, we have built a formidable business A world away from our beginnings as a manager of US micro cap stocks, advantage in the market. Dimensional is now a global business with clients, strategies, and trading offices around the world. Most assets are invested outside the US, in both developed This points to the third element in Dimensional’s success—a commitment to and emerging markets, while small company equity strategies account for only understand what clients need and to deliver relevant solutions. Driven by ideas, about 15 percent of assets under management. we implement strategies designed to address the evolving needs of investors. In the formative years, Dimensional built its business by offering highly competitive, Looking at the past three decades, the common threads in Dimensional’s targeted solutions for institutional clients. Today, we continue to deliver specific unique story are the connection to the leading financial thinkers, our skills in risk exposures to some of the most prominent institutional names in the world. implementing ideas, and a commitment to doing the best for our clients—in The offering spans from corporate defined benefit and defined contribution all markets. plans to public retirement plans, foundations, and endowments. Putting good ideas to work has proved a recipe for Dimensional’s business success and for the success of the professionals and clients we serve.8 DIMENSIONAL FUND ADVISORS
  11. 11. TABLE 9 OF CONTENTS30 YEARS OF GOOD IDEAS AT WORK 2ANNUALIzED RATES OF RETURNS (%) 10HOW TO USE THIS BOOK 11TOTAL RETURNSUS SMALL CAp INDEX 1927–2010 13S&p 500 INDEX 1926–2010 15US SMALL CAp VALUE INDEX 1927–2010 17US LARGE CAp VALUE INDEX 1927–2010 19US SMALL CAp GROWTH INDEX 1927–2010 21US LARGE CAp GROWTH INDEX 1927–2010 23US TOTAL STOCK MARKET INDEX 1927–2010 25US ADJUSTED MARKET 1 INDEX 1928–2010 27US ADJUSTED MARKET 2 INDEX 1928–2010 29US ADJUSTED MARKET VALUE INDEX 1928–2010 31US TARGETED VALUE INDEX 1928–2010 33NASDAq COMpOSITE INDEX 1974–2010 34DOW JONES US SELECT REIT INDEX 1978–2010 35DOW JONES UBS COMMODITY INDEX 1992–2010 35LONG-TERM GOVERNMENT BONDS 1926–2010 37LONG-TERM CORpORATE BONDS 1926–2010 39ONE-MONTH US TREASURY BILLS 1926–2010 41ONE-MONTH CERTIFICATES OF DEpOSIT 1966–2010 42BARCLAYS CApITAL US GOVERNMENT/CREDIT BOND INDEX INTERMEDIATE 1973–2010 43BARCLAYS CApITAL US TIpS INDEX 1998–2010 43INTERNATIONAL SMALL CAp INDEX 1970–2010 44MSCI EAFE INDEX 1970–2010 44JApAN SMALL CAp INDEX 1970–2010 45JApAN LARGE CAp INDEX 1970-2010 45UNITED KINGDOM SMALL CAp INDEX 1956–2010 47UNITED KINGDOM LARGE CAp INDEX 1956–2010 49INTERNATIONAL VALUE INDEX 1975–2010 50INTERNATIONAL GROWTH INDEX 1975–2010 50INTERNATIONAL SMALL CAp VALUE INDEX 1982–2010 51MSCI EMERGING MARKETS INDEX 1988–2010 51REAL RETURNS (INFLATION ADJUSTED)INFLATION: CHANGES IN THE CONSUMER pRICE INDEX 1926–2010 53US SMALL CAp INDEX 1927–2010 55S&p 500 INDEX 1926–2010 57LONG-TERM GOVERNMENT BONDS 1926–2010 59ONE-MONTH US TREASURY BILLS 1926–2010 61ONE-MONTH CERTIFICATES OF DEpOSIT 1966–2010 62DOW JONES US SELECT REIT INDEX 1978–2010 63BALANCED STRATEGIESBALANCED STRATEGIES: WEIGHTS AND SUMMARY STATISTICS 64BALANCED STRATEGY: FIXED 1973–2010 66BALANCED STRATEGY: CONSERVATIVE 1973–2010 66BALANCED STRATEGY: MODERATE 1973–2010 67BALANCED STRATEGY: NORMAL 1973–2010 67BALANCED STRATEGY: AGGRESSIVE 1973–2010 68BALANCED STRATEGY: EqUITY 1973–2010 68GLOBAL STRATEGIES 69WORLD MARKET CApITALIzATION 70SOURCES AND DESCRIpTIONS OF DATA 72 MATRIX BOOK 2011 9
  12. 12. ANNUALIzED RATES OF RETURNS (%) One Five Ten Twenty Fifty Eighty Year Years Years Years Years Years 2010 2006–2010 2001–2010 1991–2010 1961–2010 1931–2010 US SMALL CAp INDEX 29.5 5.9 9.6 12.8 12.4 13.1 S&p 500 INDEX 15. 1 2.3 1.4 9. 1 9.8 9.9 US SMALL CAp VALUE INDEX 34.6 4.8 13.8 15.6 15.3 15.4 US LARGE CAp VALUE INDEX 20.2 -3.7 -0. 1 8.2 11.4 11.2 US SMALL CAp GROWTH INDEX 31.8 3.4 3.0 8.2 8.2 10.2 US LARGE CAp GROWTH INDEX 17.6 3.9 -0.4 8.5 8.9 9.4 US TOTAL STOCK MARKET INDEX 17.8 3.2 2.6 9.7 10.0 10. 1 US ADJUSTED MARKET 1 INDEX 20.5 3.7 4.4 11.0 11.0 11.0 US ADJUSTED MARKET 2 INDEX 22. 1 3.6 5.5 11.7 11.7 11.6 US ADJUSTED MARKET VALUE INDEX 25.6 4.2 8.0 13.5 13.2 12.8 US TARGETED VALUE INDEX 28.4 6. 1 11.5 16.3 15.2 14.3 NASDAq COMpOSITE INDEX 18.0 4. 1 1.2 10.9 — — DOW JONES US SELECT REIT INDEX 28. 1 2.3 10.4 11.5 — — DOW JONES-UBS COMMODITY INDEX TOTAL RETURN 16.8 1.2 5.8 — — — LONG-TERM GOVERNMENT BONDS 10. 1 5.6 6.6 8.5 7. 1 5.5 LONG-TERM CORpORATE BONDS 12.4 5.9 7.6 8.2 7.3 5.9 ONE-MONTH US TREASURY BILLS 0. 1 2.3 2.2 3.5 5.3 3.6 ONE-MONTH CERTIFICATES OF DEpOSIT 0.2 2.9 2.6 3.9 — — BARCLAYS CApITAL US GOVT./CREDIT BOND INDEX INTERMEDIATE 5.9 5.5 5.5 6.4 — — BARCLAYS CApITAL US TIpS INDEX 6.3 5.3 7.0 — — — INFLATION (CpI) 1.5 2.2 2.3 2.5 4. 1 3.3 INTERNATIONAL SMALL CAp INDEX 20.7 4.8 10.2 7.0 — — MSCI EAFE INDEX 7.8 2.5 3.5 5.8 — — JApAN SMALL CAp INDEX 19. 1 -4. 1 7.0 1.3 — — JApAN LARGE CAp INDEX 15.4 -2.4 1.0 0.7 — — UNITED KINGDOM SMALL CAp INDEX 28.4 4.0 7.5 9.4 13.8 — UNITED KINGDOM LARGE CAp INDEX 10.5 3.0 4. 1 8.2 10.5 — CONTINENTAL SMALL CAp INDEX 11.9 5.7 10.4 8.6 — — CONTINENTAL LARGE CAp INDEX 1.6 3.0 3.2 8.6 — — ASIA pACIFIC SMALL CAp INDEX 28.3 13.3 15.6 11.5 — — ASIA pACIFIC LARGE CAp INDEX 16.9 11.5 12.0 10.4 — — INTERNATIONAL VALUE INDEX 13.3 5.9 9.5 11.4 — — INTERNATIONAL GROWTH INDEX 13.3 1.8 2.4 4.7 — — INTERNATIONAL SMALL CAp VALUE INDEX 19.2 6.5 14. 1 9.2 — — INTERNATIONAL ADJUSTED MARKET INDEX 14.8 4.6 8.3 — — — INTERNATIONAL ADJUSTED MARKET VALUE INDEX 17.3 5.0 9.8 — — — MSCI EMERGING MARKETS INDEX 19.2 13. 1 16.2 12.2 — — EMERGING MARKETS ADJUSTED MARKET INDEX 25.5 17.6 20.3 — — — BALANCED STRATEGY: FIXED 2.0 4. 1 3.8 5.2 — — BALANCED STRATEGY: CONSERVATIVE 6.0 5. 1 5.4 6.9 — — BALANCED STRATEGY: MODERATE 9.9 5.7 6.7 8.4 — — BALANCED STRATEGY: NORMAL 13.9 5.9 7.7 9.7 — — BALANCED STRATEGY: AGGRESSIVE 17.9 5.5 8.2 10.8 — — BALANCED STRATEGY: EqUITY 21.9 4.4 8.4 11.7 — — All returns are in US dollars. For balanced strategy weights, see page 64. For a detailed description of returns series, see page 73. Indices are not available for direct investment. Their performance does not reflect the expenses associated with the management of an actual portfolio.10 DIMENSIONAL FUND ADVISORS
  13. 13. HOW TO 11 USE THIS BOOK For example, to find the annualized compound rate of return for the US Large Cap Value Index for the interval 1996–2004: 1 Locate the column for the first year of the interval (1996). Years are labeled at the top and bottom of each column. 2 Locate the row for the last year of the interval (2004). Years are labeled at the beginning of each row. 3 The return can be found where the first year’s column meets the last year’s row. In this example, US Large Cap Value Index had a compound rate of return of 7.8% per year for the nine-year period. 1993 1 1993 24.5 1994 1994 11.4 -0.3 1995 1995 20.2 18.2 40.1 1996 1996 20.2 18.8 29.6 20.0 1997 1997 22.8 22.3 31.0 26.7 33.7 1998 1998 20.9 20.2 25.9 21.6 22.4 11.9 1999 1999 18.8 17.9 21.9 17.7 17.0 9.4 7.0 2000 2000 15.3 14.1 16.7 12.5 10.7 3.9 0.1 -6.4 2001 2001 13.2 11.8 13.7 9.8 7.8 2.2 -0.9 -4.6 -2.7 2002 2002 7.8 6.1 6.9 2.9 0.3 -5.3 -9.2 -14.1 -17.6 -30.3 2003 2003 10.1 8.8 9.9 6.6 4.8 0.6 -1.5 -3.5 -2.5 -2.5 36.4 20042 2004 10.8 9.6 10.6 7.8 6.3 2.9 1.5 0.4 2.2 3.8 26.7 17.7 2005 2005 10.7 9.6 10.5 8.0 6.7 3.7 2.6 1.9 3.6 5.3 20.8 13.6 9.7 2006 2006 11.4 10.5 11.4 9.2 8.1 5.6 4.8 4.5 6.5 8.4 21.1 16.3 15.6 21.9 2007 2007 9.7 8.7 9.4 7.2 6.1 3.7 2.8 2.3 3.6 4.7 13.5 8.4 5.5 3.4 -12.2 2008 2008 4.0 2.8 3.0 0.6 -0.9 -3.6 -5.0 -6.2 -6.2 -6.7 -2.0 -8.3 -13.9 -20.6 -35.9 -53.1 2009 2009 5.7 4.6 5.0 2.8 1.6 -0.7 -1.7 -2.6 -2.1 -2.1 2.8 -1.9 -5.4 -8.9 -17.3 -19.7 37.5 2010 2010 6.5 5.5 5.9 3.9 2.9 0.8 -0.1 -0.7 -0.1 0.2 4.8 1.0 -1.6 -3.7 -9.2 -8.2 28.5 20.2 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 3 MATRIX BOOK 2011 11
  14. 14. 1927 1927 28.1 1928 1928 32.9 37.8 1929 1929 3.6 -6.9 -37.1 1930 1930 -9.4 -19.2 -38.2 -39.2 1931 1931 -19.0 -27.8 -41.8 -44.1 -48.5 1932 1932 -16.9 -23.7 -34.2 -33.3 -30.1 -5.0 1933 1933 -4.2 -8.7 -15.9 -9.6 3.2 46.2 125.0 1934 1934 -1.6 -5.3 -11.0 -4.6 6.8 36.1 63.0 18.1 1935 1935 4.1 1.4 -3.0 4.3 16.2 42.4 63.0 38.8 63.1 1936 1936 8.3 6.3 2.9 10.4 22.0 44.9 61.0 44.1 59.1 55.3 1937 1937 1.1 -1.3 -4.9 0.2 7.6 21.6 27.8 10.9 8.6 -11.3 -49.4 1938 1938 3.7 1.7 -1.3 3.7 10.9 23.7 29.3 15.7 15.2 2.6 -16.7 37.1 1939 1939 3.4 1.6 -1.2 3.4 9.7 20.5 24.7 13.0 12.1 2.0 -11.3 17.4 0.5 1940 1940 2.8 1.1 -1.5 2.6 8.1 17.4 20.6 10.3 9.0 0.6 -9.7 9.4 -2.2 -4.8 1941 1941 1.8 0.2 -2.3 1.4 6.2 14.2 16.6 7.4 5.9 -1.4 -10.0 3.9 -5.2 -8.0 -11.0 1942 1942 3.4 1.9 -0.3 3.3 8.0 15.5 17.8 9.7 8.6 2.5 -4.3 8.6 2.5 3.2 7.4 29.7 1943 1943 6.4 5.1 3.2 7.0 11.7 19.2 21.6 14.4 14.0 9.0 3.6 16.7 13.1 16.4 24.5 47.3 67.4 1944 1944 8.1 7.0 5.3 9.0 13.7 20.8 23.3 16.7 16.6 12.3 7.8 20.1 17.5 21.2 28.8 45.7 54.5 42.6 1945 1945 10.6 9.7 8.2 11.9 16.6 23.6 26.1 20.2 20.4 16.8 13.1 25.1 23.4 27.7 35.5 50.5 58.1 53.7 65.7 1946 1946 9.4 8.5 7.1 10.5 14.7 20.9 23.0 17.5 17.4 14.0 10.5 20.5 18.5 21.4 26.4 35.6 37.1 28.3 21.7 -10.6 1947 1947 8.8 8.0 6.6 9.7 13.6 19.4 21.2 16.0 15.8 12.6 9.3 18.1 16.1 18.2 22.0 28.6 28.3 20.1 13.4 -6.2 -1.6 1948 1948 8.2 7.3 6.0 8.9 12.5 17.8 19.4 14.5 14.2 11.1 8.1 15.8 13.8 15.4 18.2 23.1 22.1 14.6 8.5 -5.8 -3.3 -5.0 1949 1949 8.8 7.9 6.7 9.6 13.0 18.0 19.6 14.9 14.7 11.9 9.1 16.3 14.6 16.1 18.7 23.0 22.1 15.8 11.1 0.6 4.6 7.8 22.4 1950 1950 9.9 9.2 8.0 10.8 14.2 19.1 20.6 16.3 16.2 13.6 11.0 18.0 16.5 18.1 20.6 24.8 24.2 19.0 15.5 7.4 12.5 17.6 30.8 39.8 1951 1951 10.1 9.4 8.3 11.0 14.2 18.9 20.3 16.2 16.0 13.6 11.3 17.7 16.3 17.7 20.0 23.7 23.0 18.4 15.3 8.5 12.8 16.7 25.0 26.4 14.3 1952 1952 10.0 9.4 8.3 10.9 14.0 18.4 19.7 15.8 15.6 13.3 11.1 17.1 15.8 17.1 19.1 22.3 21.6 17.3 14.5 8.6 12.2 15.2 20.9 20.4 11.7 9.2 1953 1953 9.5 8.9 7.8 10.3 13.2 17.3 18.5 14.8 14.6 12.4 10.2 15.7 14.4 15.5 17.2 19.9 19.1 15.1 12.4 7.1 9.9 11.9 15.6 14.0 6.5 2.9 -3.1 1954 1954 11.0 10.4 9.5 11.9 14.8 18.9 20.1 16.6 16.5 14.5 12.5 17.9 16.8 18.0 19.8 22.6 22.1 18.6 16.4 12.0 15.1 17.8 22.0 22.0 17.9 19.1 24.4 59.8 1955 1955 11.3 10.8 9.9 12.2 15.0 18.9 20.1 16.7 16.7 14.7 12.9 18.1 17.0 18.2 19.9 22.5 21.9 18.7 16.8 12.8 15.7 18.1 21.8 21.7 18.4 19.4 23.0 38.6 20.3 1956 1956 11.2 10.6 9.8 12.0 14.7 18.4 19.5 16.3 16.2 14.4 12.6 17.5 16.5 17.5 19.0 21.4 20.8 17.8 15.9 12.2 14.8 16.8 19.8 19.5 16.4 16.8 18.8 27.2 13.5 7.1 1957 1957 10.2 9.6 8.7 10.9 13.4 16.9 17.9 14.7 14.6 12.8 11.1 15.5 14.5 15.3 16.6 18.6 17.9 15.0 13.1 9.5 11.6 13.0 15.2 14.3 11.1 10.6 10.8 14.6 2.6 -5.2 -16.1 1958 1958 11.5 11.1 10.3 12.4 14.9 18.4 19.4 16.4 16.3 14.6 13.1 17.5 16.6 17.5 18.9 20.9 20.4 17.7 16.1 13.0 15.2 16.9 19.4 19.0 16.7 17.0 18.4 23.2 15.4 13.9 17.4 64.3 1959 1959 11.8 11.3 10.5 12.6 15.0 18.4 19.4 16.5 16.4 14.8 13.3 17.5 16.7 17.5 18.8 20.8 20.3 17.8 16.3 13.4 15.5 17.1 19.3 19.0 16.9 17.2 18.4 22.4 16.1 15.1 17.9 39.7 18.8 1960 1960 11.3 10.8 10.1 12.1 14.4 17.6 18.5 15.7 15.6 14.0 12.6 16.5 15.7 16.5 17.6 19.4 18.8 16.5 15.0 12.2 14.1 15.4 17.3 16.8 14.7 14.8 15.5 18.4 12.7 11.2 12.3 23.7 7.3 -3.0 1961 1961 11.8 11.3 10.6 12.6 14.8 17.9 18.8 16.1 16.1 14.6 13.2 17.0 16.2 17.0 18.2 19.9 19.4 17.1 15.8 13.2 15.0 16.3 18.1 17.8 16.0 16.1 16.9 19.7 14.9 14.0 15.4 25.0 14.1 11.9 29.1 1962 1962 10.9 10.5 9.8 11.6 13.8 16.7 17.5 14.9 14.8 13.3 12.0 15.6 14.8 15.4 16.4 18.0 17.4 15.2 13.9 11.4 12.9 14.0 15.4 14.9 13.1 13.0 13.3 15.3 10.7 9.4 9.8 15.9 6.2 2.3 5.1 -14.4 1963 1963 11.1 10.7 10.0 11.8 13.9 16.8 17.6 15.1 14.9 13.5 12.2 15.7 14.9 15.6 16.5 18.0 17.4 15.4 14.1 11.8 13.2 14.2 15.7 15.2 13.5 13.4 13.8 15.7 11.6 10.5 11.0 16.4 8.6 6.2 9.4 0.8 18.6 1964 1964 11.3 10.9 10.2 12.0 14.0 16.8 17.6 15.1 15.0 13.7 12.4 15.8 15.0 15.6 16.6 18.0 17.5 15.5 14.3 12.1 13.5 14.4 15.8 15.3 13.8 13.7 14.1 15.8 12.2 11.3 11.8 16.5 10.0 8.4 11.4 6.1 18.1 17.5 1965 1965 11.9 11.5 10.9 12.7 14.7 17.4 18.2 15.8 15.7 14.4 13.2 16.5 15.8 16.4 17.4 18.7 18.3 16.4 15.3 13.3 14.7 15.6 17.0 16.7 15.3 15.3 15.8 17.6 14.3 13.7 14.5 19.1 13.7 12.9 16.3 13.4 24.5 27.5 38.4 1966 1966 11.4 11.0 10.4 12.1 14.0 16.6 17.3 15.1 15.0 13.7 12.5 15.6 14.9 15.5 16.4 17.6 17.1 15.3 14.2 12.2 13.5 14.4 15.6 15.2 13.8 13.8 14.1 15.5 12.4 11.8 12.2 15.9 11.0 9.9 12.2 9.1 15.9 15.1 13.9 -6.3 1967 1967 12.7 12.3 11.7 13.4 15.4 18.0 18.7 16.5 16.5 15.2 14.1 17.3 16.6 17.3 18.2 19.5 19.1 17.4 16.4 14.6 15.9 16.9 18.1 17.9 16.7 16.9 17.4 19.1 16.4 16.1 16.9 20.9 16.8 16.6 19.7 18.2 26.1 28.0 31.7 28.4 76.1 1968 13.3 12.9 12.4 14.0 15.9 18.5 19.2 17.1 17.1 15.9 14.8 17.9 17.3 18.0 18.9 20.1 19.8 18.2 17.3 15.5 16.9 17.8 19.1 19.0 17.9 18.1 18.7 20.3 17.9 17.7 18.6 22.4 18.9 18.9 22.0 21.0 28.1 30.1 33.5 31.9 56.5 1969 12.2 11.8 11.3 12.9 14.7 17.1 17.8 15.7 15.6 14.5 13.4 16.3 15.7 16.2 17.0 18.2 17.8 16.2 15.2 13.5 14.7 15.5 16.6 16.3 15.2 15.2 15.6 16.9 14.5 14.1 14.6 17.6 14.1 13.7 15.7 14.1 18.9 18.9 19.2 14.9 22.9 1970 11.6 11.2 10.7 12.2 13.9 16.3 16.9 14.9 14.8 13.6 12.6 15.3 14.7 15.2 16.0 17.0 16.6 15.0 14.1 12.4 13.5 14.2 15.1 14.8 13.7 13.6 13.9 15.0 12.6 12.2 12.5 15.1 11.7 11.1 12.6 10.9 14.6 14.0 13.4 9.0 13.2 1971 11.8 11.5 10.9 12.4 14.1 16.4 17.0 15.0 14.9 13.8 12.8 15.5 14.9 15.4 16.1 17.1 16.7 15.2 14.3 12.7 13.8 14.5 15.4 15.1 14.0 14.0 14.3 15.3 13.1 12.7 13.1 15.5 12.4 11.9 13.4 11.9 15.3 14.9 14.5 10.9 14.7 1972 11.6 11.3 10.8 12.2 13.9 16.1 16.7 14.7 14.7 13.6 12.6 15.2 14.6 15.1 15.7 16.7 16.3 14.9 14.0 12.4 13.4 14.1 14.9 14.6 13.6 13.6 13.8 14.7 12.6 12.2 12.5 14.8 11.9 11.3 12.6 11.3 14.2 13.7 13.3 10.1 13.1 1973 10.4 10.0 9.5 10.8 12.4 14.5 15.0 13.1 13.0 11.9 10.9 13.4 12.8 13.1 13.7 14.6 14.1 12.7 11.8 10.2 11.1 11.6 12.3 11.9 10.9 10.7 10.8 11.5 9.4 8.8 9.0 10.7 7.9 7.1 8.0 6.4 8.5 7.5 6.5 3.0 4.4 1974 9.4 9.0 8.5 9.8 11.3 13.3 13.7 11.9 11.7 10.6 9.7 12.0 11.3 11.7 12.2 13.0 12.5 11.1 10.2 8.6 9.4 9.8 10.4 10.0 8.9 8.6 8.6 9.2 7.1 6.5 6.5 8.0 5.2 4.3 4.9 3.2 4.8 3.6 2.3 -1.0 -0.3 1975 10.1 9.8 9.3 10.6 12.1 14.1 14.5 12.7 12.6 11.5 10.6 12.9 12.3 12.7 13.2 14.0 13.6 12.2 11.3 9.9 10.6 11.1 11.8 11.4 10.4 10.2 10.2 10.9 9.0 8.4 8.5 10.1 7.5 6.8 7.5 6.1 7.9 7.1 6.2 3.4 4.5 1976 10.8 10.4 9.9 11.3 12.7 14.7 15.2 13.4 13.3 12.3 11.4 13.7 13.1 13.5 14.0 14.8 14.4 13.1 12.3 10.9 11.7 12.2 12.9 12.5 11.6 11.5 11.6 12.3 10.5 10.0 10.2 11.8 9.4 8.9 9.7 8.5 10.3 9.7 9.1 6.8 8.2 1977 11.0 10.6 10.1 11.4 12.9 14.8 15.3 13.6 13.5 12.5 11.6 13.8 13.3 13.7 14.2 15.0 14.6 13.3 12.5 11.2 12.0 12.5 13.1 12.8 11.9 11.8 11.9 12.6 10.9 10.5 10.7 12.2 10.0 9.5 10.3 9.2 11.0 10.5 9.9 7.8 9.2 1978 11.1 10.8 10.3 11.6 13.0 14.9 15.4 13.7 13.6 12.7 11.8 14.0 13.5 13.8 14.4 15.1 14.8 13.5 12.8 11.5 12.2 12.7 13.3 13.0 12.2 12.1 12.2 12.9 11.3 10.9 11.1 12.6 10.4 10.0 10.8 9.8 11.5 11.1 10.6 8.7 10.1 1979 11.6 11.3 10.9 12.1 13.5 15.4 15.9 14.3 14.2 13.2 12.4 14.6 14.1 14.4 15.0 15.8 15.4 14.2 13.5 12.2 13.0 13.5 14.2 13.9 13.1 13.0 13.2 13.9 12.3 12.0 12.2 13.7 11.8 11.4 12.2 11.4 13.1 12.8 12.5 10.8 12.2 1980 12.1 11.8 11.3 12.6 14.0 15.8 16.3 14.7 14.6 13.7 12.9 15.0 14.6 14.9 15.5 16.3 15.9 14.8 14.1 12.9 13.7 14.1 14.8 14.6 13.8 13.8 14.0 14.6 13.2 12.9 13.2 14.6 12.8 12.5 13.4 12.6 14.3 14.1 13.8 12.4 13.8 1981 11.9 11.6 11.1 12.4 13.7 15.5 16.0 14.4 14.3 13.5 12.7 14.7 14.3 14.6 15.1 15.9 15.6 14.4 13.8 12.6 13.3 13.8 14.4 14.2 13.4 13.4 13.5 14.2 12.8 12.5 12.7 14.1 12.3 12.0 12.8 12.1 13.7 13.4 13.1 11.7 13.0 1982 12.1 11.9 11.4 12.6 14.0 15.8 16.2 14.7 14.6 13.8 13.0 15.0 14.6 14.9 15.4 16.2 15.9 14.8 14.1 13.0 13.7 14.2 14.8 14.6 13.9 13.8 14.0 14.6 13.3 13.0 13.3 14.6 12.9 12.7 13.5 12.8 14.3 14.1 13.9 12.6 13.9 1983 12.5 12.2 11.8 13.0 14.3 16.1 16.6 15.0 15.0 14.1 13.4 15.4 15.0 15.3 15.8 16.6 16.3 15.2 14.6 13.5 14.2 14.7 15.3 15.1 14.4 14.4 14.6 15.2 13.9 13.7 14.0 15.3 13.7 13.5 14.3 13.6 15.2 15.0 14.9 13.7 15.0 1984 12.2 11.9 11.5 12.7 14.0 15.7 16.1 14.6 14.6 13.7 13.0 15.0 14.5 14.9 15.3 16.0 15.7 14.7 14.1 13.0 13.7 14.1 14.7 14.5 13.8 13.8 14.0 14.6 13.3 13.1 13.3 14.6 13.0 12.7 13.5 12.8 14.2 14.0 13.9 12.7 13.9 1985 12.5 12.2 11.8 13.0 14.3 16.0 16.4 14.9 14.9 14.1 13.4 15.3 14.9 15.2 15.7 16.4 16.1 15.1 14.5 13.4 14.1 14.6 15.1 15.0 14.3 14.3 14.5 15.1 13.9 13.6 13.9 15.1 13.6 13.4 14.1 13.6 15.0 14.8 14.7 13.6 14.8 1986 12.4 12.2 11.8 12.9 14.2 15.8 16.2 14.8 14.7 14.0 13.3 15.1 14.7 15.0 15.5 16.2 15.9 14.9 14.3 13.3 14.0 14.4 14.9 14.7 14.1 14.1 14.3 14.8 13.7 13.5 13.7 14.9 13.4 13.2 13.9 13.3 14.6 14.5 14.3 13.3 14.4 1987 12.0 11.8 11.4 12.5 13.7 15.3 15.7 14.3 14.3 13.5 12.8 14.6 14.2 14.5 14.9 15.6 15.3 14.3 13.7 12.7 13.4 13.8 14.3 14.1 13.5 13.4 13.6 14.1 12.9 12.7 12.9 14.0 12.6 12.4 13.0 12.4 13.6 13.4 13.3 12.2 13.2 1988 12.2 12.0 11.6 12.7 13.9 15.5 15.9 14.5 14.4 13.7 13.0 14.8 14.4 14.7 15.1 15.7 15.5 14.5 13.9 13.0 13.6 14.0 14.5 14.3 13.7 13.7 13.8 14.3 13.2 13.0 13.2 14.3 12.9 12.7 13.3 12.8 14.0 13.8 13.7 12.7 13.6 1989 12.3 12.0 11.7 12.7 13.9 15.5 15.9 14.5 14.5 13.7 13.1 14.8 14.4 14.7 15.2 15.8 15.5 14.6 14.0 13.0 13.7 14.1 14.6 14.4 13.8 13.8 13.9 14.4 13.3 13.1 13.3 14.4 13.1 12.9 13.5 12.9 14.1 13.9 13.8 12.9 13.8 1990 11.7 11.4 11.1 12.1 13.3 14.8 15.1 13.8 13.7 13.0 12.3 14.0 13.6 13.9 14.3 14.9 14.6 13.7 13.1 12.2 12.7 13.1 13.6 13.4 12.8 12.7 12.8 13.3 12.2 12.0 12.1 13.1 11.8 11.6 12.1 11.6 12.6 12.4 12.2 11.3 12.1 1991 12.2 11.9 11.6 12.6 13.7 15.3 15.6 14.3 14.3 13.5 12.9 14.6 14.2 14.5 14.9 15.5 15.2 14.3 13.8 12.8 13.4 13.8 14.3 14.1 13.5 13.5 13.6 14.1 13.1 12.9 13.0 14.0 12.8 12.6 13.1 12.6 13.7 13.5 13.4 12.5 13.4 1992 12.3 12.1 11.7 12.7 13.8 15.3 15.7 14.4 14.4 13.6 13.0 14.7 14.3 14.6 15.0 15.6 15.3 14.4 13.9 13.0 13.6 13.9 14.4 14.2 13.7 13.7 13.8 14.2 13.2 13.1 13.2 14.2 13.0 12.8 13.4 12.9 13.9 13.8 13.6 12.8 13.6 1993 12.4 12.2 11.8 12.8 13.9 15.4 15.8 14.5 14.5 13.8 13.1 14.8 14.4 14.7 15.1 15.6 15.4 14.5 14.0 13.1 13.7 14.1 14.5 14.4 13.8 13.8 13.9 14.4 13.4 13.2 13.4 14.4 13.2 13.0 13.6 13.1 14.1 14.0 13.8 13.1 13.8 1994 12.2 12.0 11.6 12.6 13.7 15.1 15.5 14.2 14.2 13.5 12.9 14.5 14.1 14.3 14.7 15.3 15.0 14.2 13.7 12.8 13.4 13.7 14.1 14.0 13.4 13.4 13.5 14.0 13.0 12.8 13.0 13.9 12.7 12.6 13.1 12.6 13.6 13.4 13.3 12.5 13.2 1995 12.4 12.2 11.9 12.8 13.9 15.3 15.7 14.5 14.4 13.7 13.1 14.7 14.4 14.6 15.0 15.6 15.3 14.5 14.0 13.1 13.7 14.0 14.5 14.3 13.8 13.8 13.9 14.3 13.4 13.2 13.4 14.3 13.2 13.0 13.5 13.1 14.1 13.9 13.8 13.1 13.8 1996 12.5 12.3 11.9 12.9 14.0 15.4 15.7 14.5 14.5 13.8 13.2 14.8 14.4 14.7 15.1 15.6 15.3 14.5 14.1 13.2 13.8 14.1 14.5 14.4 13.9 13.9 14.0 14.4 13.5 13.3 13.5 14.4 13.3 13.1 13.6 13.2 14.2 14.0 13.9 13.2 13.9 1997 12.7 12.5 12.1 13.1 14.1 15.5 15.9 14.7 14.6 14.0 13.4 14.9 14.6 14.9 15.2 15.8 15.5 14.7 14.3 13.5 14.0 14.3 14.8 14.6 14.1 14.1 14.2 14.6 13.8 13.6 13.8 14.6 13.6 13.5 13.9 13.6 14.5 14.4 14.3 13.6 14.3 1998 12.4 12.2 11.9 12.8 13.9 15.2 15.6 14.4 14.3 13.7 13.1 14.6 14.3 14.5 14.9 15.4 15.2 14.4 13.9 13.1 13.6 14.0 14.4 14.2 13.7 13.7 13.8 14.2 13.4 13.2 13.4 14.2 13.2 13.0 13.5 13.1 14.0 13.8 13.7 13.1 13.7 1999 12.7 12.4 12.1 13.1 14.1 15.4 15.8 14.6 14.5 13.9 13.4 14.8 14.5 14.8 15.1 15.6 15.4 14.6 14.2 13.4 13.9 14.2 14.6 14.5 14.0 14.0 14.1 14.5 13.7 13.5 13.7 14.5 13.5 13.4 13.8 13.5 14.3 14.2 14.1 13.5 14.1 2000 12.3 12.1 11.7 12.7 13.7 15.0 15.3 14.1 14.1 13.5 12.9 14.3 14.0 14.3 14.6 15.1 14.9 14.1 13.6 12.9 13.4 13.7 14.1 13.9 13.4 13.4 13.5 13.9 13.0 12.9 13.0 13.8 12.8 12.7 13.1 12.7 13.5 13.4 13.3 12.7 13.3 2001 12.3 12.1 11.8 12.7 13.7 15.0 15.3 14.2 14.1 13.5 13.0 14.4 14.1 14.3 14.7 15.1 14.9 14.2 13.7 13.0 13.4 13.7 14.1 14.0 13.5 13.5 13.6 14.0 13.2 13.0 13.1 13.9 12.9 12.8 13.2 12.9 13.7 13.5 13.4 12.8 13.4 2002 11.8 11.6 11.3 12.2 13.2 14.4 14.7 13.6 13.5 12.9 12.4 13.8 13.4 13.7 14.0 14.5 14.2 13.5 13.0 12.3 12.7 13.0 13.4 13.2 12.8 12.7 12.8 13.2 12.3 12.2 12.3 13.0 12.1 11.9 12.3 11.9 12.7 12.5 12.4 11.8 12.3 2003 12.3 12.2 11.8 12.7 13.7 14.9 15.2 14.1 14.1 13.5 13.0 14.3 14.0 14.3 14.6 15.1 14.8 14.1 13.7 12.9 13.4 13.7 14.1 13.9 13.5 13.5 13.5 13.9 13.1 13.0 13.1 13.8 12.9 12.8 13.2 12.8 13.6 13.5 13.4 12.8 13.3 2004 12.4 12.2 11.9 12.8 13.8 15.0 15.3 14.2 14.2 13.6 13.1 14.4 14.1 14.3 14.7 15.1 14.9 14.2 13.8 13.0 13.5 13.8 14.2 14.0 13.6 13.6 13.7 14.0 13.2 13.1 13.2 14.0 13.1 12.9 13.3 13.0 13.7 13.6 13.5 12.9 13.5 2005 12.3 12.2 11.9 12.7 13.6 14.9 15.2 14.1 14.0 13.5 12.9 14.3 14.0 14.2 14.5 15.0 14.7 14.0 13.6 12.9 13.4 13.6 14.0 13.9 13.4 13.4 13.5 13.8 13.1 12.9 13.1 13.8 12.9 12.8 13.1 12.8 13.5 13.4 13.3 12.7 13.3 2006 12.4 12.2 11.9 12.8 13.7 14.9 15.2 14.1 14.1 13.5 13.0 14.3 14.0 14.2 14.5 15.0 14.8 14.1 13.7 13.0 13.4 13.7 14.1 13.9 13.5 13.5 13.6 13.9 13.2 13.0 13.1 13.8 13.0 12.9 13.2 12.9 13.6 13.5 13.4 12.9 13.4 2007 12.2 12.0 11.7 12.5 13.5 14.6 14.9 13.9 13.8 13.3 12.8 14.1 13.8 14.0 14.3 14.7 14.5 13.8 13.4 12.7 13.1 13.4 13.7 13.6 13.2 13.2 13.2 13.6 12.8 12.7 12.8 13.5 12.6 12.5 12.9 12.5 13.2 13.1 13.0 12.5 13.0 2008 11.4 11.2 10.9 11.7 12.6 13.7 14.0 13.0 12.9 12.3 11.8 13.1 12.8 12.9 13.2 13.6 13.4 12.7 12.3 11.6 12.0 12.3 12.6 12.4 12.0 12.0 12.0 12.3 11.6 11.4 11.5 12.1 11.3 11.1 11.4 11.1 11.7 11.6 11.4 10.9 11.3 2009 11.8 11.6 11.3 12.1 12.9 14.1 14.4 13.3 13.3 12.7 12.2 13.5 13.2 13.4 13.7 14.1 13.9 13.2 12.8 12.1 12.5 12.8 13.1 12.9 12.5 12.5 12.5 12.8 12.1 12.0 12.1 12.7 11.9 11.7 12.1 11.7 12.4 12.2 12.1 11.6 12.1 2010 12.0 11.8 11.5 12.3 13.1 14.3 14.5 13.5 13.5 12.9 12.5 13.7 13.4 13.6 13.9 14.3 14.1 13.4 13.0 12.4 12.8 13.0 13.3 13.2 12.8 12.8 12.8 13.1 12.4 12.3 12.4 13.0 12.2 12.1 12.4 12.1 12.7 12.6 12.5 12.0 12.4 1927 1928 1929 1930 1931 1932 1933 1934 1935 1936 1937 1938 1939 1940 1941 1942 1943 1944 1945 1946 1947 1948 1949 1950 1951 1952 1953 1954 1955 1956 1957 1958 1959 1960 1961 1962 1963 1964 1965 1966 196712 DIMENSIONAL FUND ADVISORS
  15. 15. US SMALL CAp INDEX 13 1927–2010: Total Returns (%) GROWTH OF $1 $100,000 $13,127 $10,000 $1,000 $100 $10 $1 $0 1927 2010 Data provided by Fama/French. 19681968 39.1 19691969 2.7 -24.2 19701970 -2.2 -18.1 -11.5 19711971 3.1 -6.7 3.5 20.9 19721972 3.5 -3.9 4.0 12.7 5.0 19731973 -4.3 -11.2 -7.6 -6.3 -17.5 -35.1 19741974 -8.1 -14.3 -12.1 -12.3 -21.2 -31.8 -28.2 19751975 -2.1 -6.9 -3.6 -2.0 -7.0 -10.6 4.9 53.2 19761976 2.5 -1.4 2.4 4.9 2.0 1.2 17.4 50.2 47.3 19771977 4.1 0.8 4.5 7.0 4.9 4.8 18.2 39.6 33.2 20.5 19781978 5.5 2.6 6.1 8.6 6.9 7.2 18.6 34.4 28.7 20.2 20.0 19791979 8.1 5.7 9.2 11.8 10.7 11.5 22.1 35.8 31.7 26.9 30.3 41.4 19801980 10.1 8.0 11.5 14.1 13.3 14.4 24.1 35.9 32.7 29.3 32.4 39.1 36.8 19811981 9.5 7.5 10.7 13.0 12.2 13.0 21.2 30.6 27.1 23.5 24.2 25.7 18.4 2.5 19821982 10.7 8.9 12.0 14.2 13.6 14.5 21.9 30.3 27.3 24.2 25.0 26.3 21.6 14.6 28.1 19831983 12.0 10.4 13.4 15.6 15.1 16.1 23.0 30.6 28.1 25.5 26.4 27.7 24.5 20.6 30.8 33.6 19841984 11.0 9.4 12.1 14.1 13.5 14.3 20.3 26.7 24.1 21.4 21.6 21.8 18.2 14.0 18.1 13.4 -3.7 19851985 12.1 10.6 13.3 15.2 14.8 15.5 21.2 27.2 24.8 22.5 22.8 23.2 20.4 17.4 21.4 19.2 12.7 31.9 19861986 11.8 10.5 12.9 14.7 14.3 15.0 20.1 25.4 23.2 21.0 21.0 21.1 18.5 15.7 18.5 16.3 11.0 19.2 7.7 19871987 10.7 9.4 11.7 13.2 12.7 13.3 17.9 22.5 20.2 18.0 17.7 17.5 14.8 12.0 13.6 10.9 5.9 9.3 -0.5 -8.0 19881988 11.3 10.1 12.2 13.7 13.3 13.9 18.2 22.5 20.4 18.4 18.2 18.0 15.7 13.3 14.9 12.9 9.1 12.6 6.8 6.4 23.1 19891989 11.5 10.4 12.5 13.9 13.5 14.0 18.1 22.1 20.2 18.3 18.1 17.9 15.8 13.7 15.2 13.5 10.4 13.5 9.3 9.8 20.0 16.9 19901990 9.9 8.8 10.6 11.9 11.4 11.8 15.4 18.9 16.9 15.0 14.6 14.1 11.9 9.7 10.5 8.5 5.4 7.0 2.6 1.3 4.7 -3.5 -20.4 19911991 11.3 10.2 12.1 13.4 13.0 13.5 17.0 20.4 18.6 17.0 16.7 16.5 14.6 12.7 13.8 12.3 9.9 12.0 9.0 9.3 14.1 11.3 8.6 48.1 19921992 11.6 10.6 12.5 13.7 13.3 13.8 17.2 20.4 18.7 17.1 16.9 16.7 15.0 13.3 14.4 13.1 11.0 13.0 10.6 11.1 15.3 13.4 12.3 33.4 20.2 19931993 12.0 11.0 12.8 14.0 13.6 14.1 17.3 20.4 18.8 17.3 17.1 16.9 15.4 13.9 14.9 13.7 11.9 13.8 11.7 12.3 16.1 14.8 14.2 28.8 20.2 20.2 19941994 11.4 10.5 12.1 13.2 12.9 13.3 16.3 19.2 17.6 16.2 15.9 15.7 14.1 12.6 13.5 12.3 10.6 12.1 10.1 10.4 13.3 11.8 10.8 20.3 12.3 8.5 -2.0 19951995 12.0 11.1 12.8 13.9 13.6 14.0 17.0 19.7 18.2 16.9 16.7 16.5 15.1 13.8 14.6 13.6 12.1 13.7 12.0 12.5 15.4 14.3 13.9 22.3 16.6 15.4 13.1 30.6 19961996 12.2 11.4 13.0 14.0 13.8 14.1 17.0 19.6 18.2 16.9 16.7 16.5 15.2 14.0 14.8 13.9 12.5 14.0 12.5 13.0 15.6 14.7 14.4 21.5 16.8 15.9 14.5 23.9 17.4 19971997 12.6 11.8 13.4 14.4 14.2 14.6 17.3 19.9 18.5 17.3 17.2 17.0 15.8 14.7 15.5 14.7 13.4 14.9 13.5 14.1 16.6 15.9 15.7 22.1 18.2 17.8 17.3 24.5 21.5 25.8 19981998 12.1 11.3 12.8 13.8 13.5 13.9 16.5 18.8 17.5 16.3 16.1 16.0 14.8 13.6 14.3 13.5 12.3 13.5 12.2 12.6 14.7 13.9 13.6 18.7 15.0 14.2 13.0 17.2 13.0 10.8 -2.3 19991999 12.6 11.8 13.3 14.3 14.0 14.4 16.9 19.2 18.0 16.8 16.7 16.5 15.4 14.4 15.1 14.3 13.2 14.5 13.3 13.8 15.8 15.1 15.0 19.8 16.6 16.1 15.5 19.3 16.7 16.4 12.0 28.4 20002000 11.8 11.0 12.4 13.3 13.0 13.3 15.7 17.8 16.6 15.5 15.2 15.0 13.9 12.9 13.4 12.7 11.5 12.6 11.4 11.7 13.3 12.6 12.2 16.1 13.0 12.1 11.0 13.4 10.2 8.5 3.2 6.1 -12.3 20012001 11.9 11.2 12.5 13.4 13.2 13.5 15.8 17.8 16.6 15.6 15.4 15.2 14.1 13.1 13.7 12.9 11.9 12.9 11.8 12.1 13.7 13.0 12.7 16.3 13.5 12.8 11.9 14.0 11.5 10.3 6.8 10.0 1.8 18.0 20022002 10.9 10.1 11.4 12.2 11.9 12.2 14.3 16.2 15.0 13.9 13.7 13.4 12.3 11.3 11.8 11.0 9.9 10.8 9.6 9.8 11.1 10.2 9.7 12.7 10.0 9.0 7.8 9.1 6.3 4.6 0.8 1.6 -6.0 -2.7 -19.9 20032003 12.0 11.3 12.5 13.4 13.1 13.4 15.5 17.4 16.3 15.3 15.1 14.9 13.9 13.0 13.5 12.9 12.0 12.8 11.9 12.1 13.5 12.9 12.6 15.7 13.3 12.7 12.0 13.7 11.7 10.9 8.6 11.0 7.0 14.3 12.5 57.8 20042004 12.2 11.5 12.7 13.5 13.3 13.6 15.6 17.5 16.4 15.5 15.3 15.1 14.2 13.3 13.8 13.2 12.3 13.2 12.2 12.5 13.8 13.3 13.1 15.9 13.8 13.2 12.6 14.2 12.5 11.9 10.1 12.3 9.3 15.5 14.6 37.1 19.1 20052005 12.0 11.3 12.5 13.3 13.1 13.3 15.3 17.1 16.1 15.1 14.9 14.7 13.8 13.0 13.4 12.8 12.0 12.8 11.9 12.1 13.4 12.8 12.6 15.2 13.2 12.6 12.0 13.4 11.8 11.2 9.5 11.3 8.7 13.4 12.3 25.7 12.2 5.6 20062006 12.1 11.5 12.6 13.4 13.2 13.4 15.4 17.1 16.1 15.2 15.0 14.8 13.9 13.1 13.6 13.0 12.2 13.0 12.1 12.4 13.6 13.1 12.8 15.3 13.4 12.9 12.4 13.7 12.3 11.8 10.3 12.0 9.8 14.0 13.2 23.5 13.8 11.2 17.1 20072007 11.7 11.1 12.2 12.9 12.7 12.9 14.8 16.4 15.5 14.5 14.4 14.2 13.3 12.5 12.9 12.3 11.5 12.2 11.4 11.6 12.7 12.2 11.9 14.2 12.3 11.8 11.3 12.4 11.0 10.4 8.9 10.3 8.2 11.5 10.4 17.8 9.4 6.4 6.8 -2.6 20082008 10.1 9.4 10.5 11.1 10.9 11.0 12.8 14.3 13.3 12.3 12.1 11.8 10.9 10.1 10.4 9.8 8.9 9.5 8.6 8.6 9.5 8.8 8.4 10.3 8.4 7.7 6.9 7.6 6.0 5.1 3.4 4.0 1.6 3.5 1.5 5.6 -2.5 -7.3 -11.2 -22.7 -38.6 20092009 10.9 10.2 11.3 11.9 11.7 11.9 13.6 15.1 14.1 13.3 13.0 12.8 12.0 11.2 11.5 11.0 10.2 10.8 10.0 10.1 11.0 10.4 10.1 12.0 10.3 9.7 9.1 9.9 8.5 7.9 6.5 7.3 5.4 7.6 6.4 10.7 4.4 1.7 0.7 -4.2 -5.0 47.0 20102010 11.3 10.7 11.7 12.3 12.1 12.3 14.0 15.5 14.5 13.7 13.5 13.3 12.5 11.8 12.1 11.6 10.8 11.4 10.7 10.8 11.7 11.2 10.9 12.8 11.2 10.7 10.2 11.0 9.8 9.3 8.1 9.0 7.4 9.6 8.7 12.9 7.7 5.9 5.9 3.3 5.3 38.0 29.5 1968 1969 1970 1971 1972 1973 1974 1975 1976 1977 1978 1979 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 MATRIX BOOK 2011 13

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