This document provides a summary of Dimensional Fund Advisors' 30 year history from 1981 to 2010. It discusses how Dimensional was founded on empirical financial research and introduced novel investment strategies like microcap investing. Over the decades, Dimensional expanded its offerings globally while maintaining its focus on translating academic theories into practical investment solutions. Key events include expanding client base, growing assets under management, moving headquarters, and continuing to work closely with leading financial academics.
Reconstructing the silk road: the role of chambers of commerce abroad in the ...Alberto Asquer
1. Chambers of Commerce Abroad (CCA) are business associations established in foreign countries to promote trade and investment between their home countries and the host country. They provide services and advocate for policies to their member businesses.
2. Major European CCA examined include those from Germany, France, the UK, and Italy operating in 15 Asian countries. They offer networking opportunities and services like trade missions and legal assistance to members.
3. CCA face challenges in establishing themselves, attracting resources, and collaborating on advocacy efforts. They aim to influence both host country and supranational policies to benefit their member businesses.
4 active vs passive advisor insert funds flows dfa (advisor present) p. 1-3, ...Weydert Wealth Management
This excellent article contains three key graphics illustrating how average investors flow into and out of investments at the wrong times and contrasts this with the average DFA investor who remains much more consistent and disciplined.
This research paper discusses enhancing value investment strategies by incorporating expected profitability.
For small cap value strategies, the paper proposes excluding stocks in each country with the lowest direct profitability, with the percentage excluded depending on the stock's price-to-book ratio.
For large cap value strategies, the paper suggests selecting stocks based on both low price-to-book ratios and high direct profitability. It also proposes overweighting stocks that have higher profitability, lower market capitalization, and lower relative price.
The goal is to structure portfolios to better capture the dimensions of expected returns related to company size, relative price, and expected profitability, while maintaining appropriate diversification and managing costs.
The document discusses the performance of various model investment portfolios from 1973-2010. It provides the annualized compound returns and annualized standard deviations for 5 model portfolios over this period. The model portfolios had varying allocations to US and international stocks, bonds, and emerging markets. Model portfolio 5, which had the most diversified allocation, achieved the highest annualized return of 11.65% and relatively low standard deviation of 11.26% compared to the other portfolios.
1) The mutual fund landscape comprises thousands of funds competing to identify mispriced securities, making it difficult for most funds to consistently outperform their benchmarks over time.
2) Few funds survive for long periods, with about half of equity funds disappearing within 10 years, largely due to poor performance. Similarly, only about one in six funds delivers benchmark-beating returns over 10 years.
3) Past outperformance is not predictive of future success, as most "winning" funds fail to continue outperforming in subsequent periods. High costs also predict future underperformance, with funds in the lowest cost quartiles more likely to outperform over 5 and 10 year periods.
The document discusses three dimensions of expected stock returns:
1) Company size - Small company stocks tend to have higher expected returns than large company stocks over time.
2) Company price - Lower-priced "value" stocks tend to have higher expected returns than higher-priced "growth" stocks over time.
3) Equity market - Stocks tend to have higher expected returns than fixed income investments like bonds over time.
Dimensional investors are able to capture the value premium where others fail through an integrated investment process. Their process begins with clear investment principles of efficient markets and targeting dimensions of expected return like value and size. They design strategies for continuous exposure to these premium-generating factors. Their portfolio engineering, management, and trading are dynamically integrated to minimize costs from factors like momentum and provide liquidity. This allows Dimensional to reliably deliver excess returns to investors from targeting premiums.
Reconstructing the silk road: the role of chambers of commerce abroad in the ...Alberto Asquer
1. Chambers of Commerce Abroad (CCA) are business associations established in foreign countries to promote trade and investment between their home countries and the host country. They provide services and advocate for policies to their member businesses.
2. Major European CCA examined include those from Germany, France, the UK, and Italy operating in 15 Asian countries. They offer networking opportunities and services like trade missions and legal assistance to members.
3. CCA face challenges in establishing themselves, attracting resources, and collaborating on advocacy efforts. They aim to influence both host country and supranational policies to benefit their member businesses.
4 active vs passive advisor insert funds flows dfa (advisor present) p. 1-3, ...Weydert Wealth Management
This excellent article contains three key graphics illustrating how average investors flow into and out of investments at the wrong times and contrasts this with the average DFA investor who remains much more consistent and disciplined.
This research paper discusses enhancing value investment strategies by incorporating expected profitability.
For small cap value strategies, the paper proposes excluding stocks in each country with the lowest direct profitability, with the percentage excluded depending on the stock's price-to-book ratio.
For large cap value strategies, the paper suggests selecting stocks based on both low price-to-book ratios and high direct profitability. It also proposes overweighting stocks that have higher profitability, lower market capitalization, and lower relative price.
The goal is to structure portfolios to better capture the dimensions of expected returns related to company size, relative price, and expected profitability, while maintaining appropriate diversification and managing costs.
The document discusses the performance of various model investment portfolios from 1973-2010. It provides the annualized compound returns and annualized standard deviations for 5 model portfolios over this period. The model portfolios had varying allocations to US and international stocks, bonds, and emerging markets. Model portfolio 5, which had the most diversified allocation, achieved the highest annualized return of 11.65% and relatively low standard deviation of 11.26% compared to the other portfolios.
1) The mutual fund landscape comprises thousands of funds competing to identify mispriced securities, making it difficult for most funds to consistently outperform their benchmarks over time.
2) Few funds survive for long periods, with about half of equity funds disappearing within 10 years, largely due to poor performance. Similarly, only about one in six funds delivers benchmark-beating returns over 10 years.
3) Past outperformance is not predictive of future success, as most "winning" funds fail to continue outperforming in subsequent periods. High costs also predict future underperformance, with funds in the lowest cost quartiles more likely to outperform over 5 and 10 year periods.
The document discusses three dimensions of expected stock returns:
1) Company size - Small company stocks tend to have higher expected returns than large company stocks over time.
2) Company price - Lower-priced "value" stocks tend to have higher expected returns than higher-priced "growth" stocks over time.
3) Equity market - Stocks tend to have higher expected returns than fixed income investments like bonds over time.
Dimensional investors are able to capture the value premium where others fail through an integrated investment process. Their process begins with clear investment principles of efficient markets and targeting dimensions of expected return like value and size. They design strategies for continuous exposure to these premium-generating factors. Their portfolio engineering, management, and trading are dynamically integrated to minimize costs from factors like momentum and provide liquidity. This allows Dimensional to reliably deliver excess returns to investors from targeting premiums.
Summary of miller's paper about history of financeabdullah khan
The document summarizes Merton Miller's paper on the history of finance. It outlines several seminal contributions that helped establish modern finance, including the work of Markowitz on portfolio theory, Sharpe's Capital Asset Pricing Model, Fama's efficient market hypothesis, and Modigliani and Miller's theorem on capital structure. It also discusses how the development of options by Merton, Scholes, and Black helped advance the field by resolving conflicts between micro and macro approaches and opening new areas of research. Miller believed these breakthroughs injected new life into the study of finance.
This document discusses creativity, sustainability, and branding. It begins by valuing creativity and exploring leadership through envisioning future possibilities. It then discusses using a "walkback" technique to map steps from a envisioned successful outcome back to the present to develop a plan. The document also discusses sustainability, referring to the Brundtland Commission's definition, and debates about weak vs strong sustainability. Finally, it discusses books by Hilton and Gibbons and Naomi Klein regarding corporate social responsibility and branding, coming to different conclusions about corporations' impacts.
EFG Bank provides hedge fund services. The document discusses the history and evolution of hedge funds beginning with Alfred Jones creating the first modern hedge fund in 1949 which utilized leverage and short selling. It describes how the industry grew in the 1960s after an influential article. Today's major hedge fund strategies discussed include equity long/short, macro, and managed futures (CTA). Performance and characteristics of each strategy are summarized.
Harry Markowitz is an American economist known for pioneering modern portfolio theory. He developed the concept of the efficient frontier, which shows the set of optimal portfolios that produce the highest expected return for a given level of risk or the lowest risk for a given level of expected return. Markowitz proposed using statistical tools like variance to quantify an investment's risk and using expected returns and correlations between assets to construct portfolios. His work revolutionized the theory and practice of asset management and laid the foundation for much of the subsequent development in financial economics.
Chapter 1 discusses how the author identified Starbucks as an opportunity following its IPO in 1992 when its market cap was $220 million compared to $23 billion today.
Chapter 2 explains that the author's philosophy is that earnings growth drives stock price over time and that investing in high-growth companies has huge potential rewards due to compound interest.
Chapter 3 notes that if you looked at the leading US industries in 1925, 23 of the top 100 companies were railroads, 10 were automobiles, and 4 were metals/mining, while none were in information technology, healthcare, or financial services.
The document discusses portfolio management and mutual funds. It provides an introduction to portfolio management, explaining that investing in a group of securities called a portfolio helps reduce risk without sacrificing returns. It then discusses types of mutual fund schemes, including open-ended funds that are available for subscription all year and closed-end funds that have a specified maturity period. The document also defines what a mutual fund is and how it works, pooling money from investors to invest in stocks, bonds and other securities.
The document discusses portfolio management and mutual funds. It provides an introduction to portfolio management, explaining that investing in a group of securities called a portfolio helps reduce risk without sacrificing returns. It then discusses types of mutual fund schemes, including open-ended funds that are available for subscription all year and closed-end funds that have a specified maturity period. The document also defines what a mutual fund is, explaining that it is a trust that pools savings from investors to invest in stocks, bonds, and other securities.
This document summarizes Giovanni Battista Dagnino's presentation on entrepreneurship theory and evidence. The presentation includes discussions on strategic entrepreneurship, entrepreneurial opportunities, theories of entrepreneurship like the Schumpeterian approach, and entrepreneurial action in hypercompetitive environments. It also summarizes data on new firm formation in Italy and indicators for measuring entrepreneurial activity in established and new firms.
UNSCRAMBLING CODES: FROM HIEROGLYPHS TO MARKET NEWSkevig
This paper reviews some of the steps that paved the way for the development of sentiment analysis (or
opinion mining), a technique apparently used by Jim Simons’ Medallion fund for scoring an ‘impossible’
performance: a 66% annual average rate of return in the 31 years between 1988 and 2018. Sentiment
analysis is a powerful tool that uses natural language processing (NLP), or computational linguistics, to
determine whether a text about a company is positive, negative or neutral and, in a final analysis, to discover stock price patterns. Humans have always used symbols to communicate, plainly or secretively.
Here we review some of the methods used in the past centuries, including Egyptians’ hieroglyphs, Julius
Caesar’s cipher, Fibonacci’s abbreviations, Leonardo da Vinci’s Mirror Writing, Mary Stuart’s code.
The intention is to describe some passages of the long journey made by human beings to arrive at the
current sophisticated IT tools for sentiment analysis.
UNSCRAMBLING CODES: FROM HIEROGLYPHS TO MARKET NEWSkevig
This paper reviews some of the steps that paved the way for the development of sentiment analysis (or opinion mining), a technique apparently used by Jim Simons’ Medallion fund for scoring an ‘impossible’ performance: a 66% annual average rate of return in the 31 years between 1988 and 2018. Sentiment analysis is a powerful tool that uses natural language processing (NLP), or computational linguistics, to determine whether a text about a company is positive, negative or neutral and, in a final analysis, to discover stock price patterns. Humans have always used symbols to communicate, plainly or secretively. Here we review some of the methods used in the past centuries, including Egyptians’ hieroglyphs, Julius Caesar’s cipher, Fibonacci’s abbreviations, Leonardo da Vinci’s Mirror Writing, Mary Stuart’s code. The intention is to describe some passages of the long journey made by human beings to arrive at the current sophisticated IT tools for sentiment analysis.
Merger and Acquistion Trends in the Solar IndustrySmithers Apex
- A review of the historical growth in solar M&A
- Merger and acquisition activity by sector of the solar industry value chain
- Valuation metrics
- Using M&A to your advantage
Jack Calderon, Managing Director, Lincoln International
1) The document discusses the emergence of the "reputation economy" as companies have increasingly recognized the importance of reputation over the past 10 years.
2) It notes that reputation provides competitive advantages like differentiation and acts as a shield against crises. Having a good reputation also attracts consumers, capital, talent and facilitates growth.
3) The document argues that to navigate the new reputation economy, companies need leaders who understand the expectations of stakeholders and recognize their power, and who can transform organizations to serve stakeholders. It suggests companies create a new role of "Chief Reputation Officer" to help manage reputation.
This document discusses common investment challenges such as randomness of returns, picking winning stocks, timing the market, picking active managers, and the costs of indexing. It then outlines an investment approach focused on strategic partnerships with institutional managers, academically sound portfolio construction, keeping costs low, and HonorVise portfolios. Key points include reviewing evidence that stock returns are random, individual stock picking is difficult, market timing rarely works, and costs are lower with index funds. The approach focuses on dimensions of expected returns including size, value, and market factors.
An Overview Of Research On Early Stage Venture Capital Current Status And Fu...Becky Gilbert
This document provides an overview of research on early stage venture capital. It begins with definitions of early stage ventures and classifications of investment stages. Seed and start-up stages involve concepts and prototypes while first stage involves commercialization. Early stage ventures face high risks from information asymmetry, untested technologies, and hypothetical markets. Research shows the percentage of total investment in early stage has decreased over time, though early stage deals still comprise over half of all deals. The document outlines characteristics that distinguish early stage venture capital firms and funds, such as location in areas like the US West Coast.
Paper from the second summit on Corporation 2020. What would a corporation look like that was designed to seamlessly integrate both social and financial purpose? Corporation 20/20 is a new multi-stakeholder initiative that seeks to answer this question. Its goal is to develop and disseminate corporate designs where social purpose moves from the periphery.
- The Indian mutual fund industry has grown at a healthy pace of 18-19% in the last 8 years, compared to a 13% growth rate worldwide.
- It is projected to achieve even higher growth of 22-23% by the end of the current fiscal year.
- As of December 2010, the Indian mutual fund industry's assets under management totaled around Rs. 7 lakh crores.
- However, assets under management as a percentage of India's GDP is only 4.12%, much lower than other major countries.
- The industry is in a fast growth phase with increasing competition from
A great paper which have written by former Shell scenario planner and a former Shell executive who recently completed a history of scenario planning at the company after interviewing almost every surviving veteran of the operation, along with current and former top company executives. They review Shell scenario planning experience with commenting on milestones and results.
This quarterly newsletter provides an overview of recent market volatility and macroeconomic concerns. It notes that insider buying was high during recent market declines, which may indicate hidden value in some companies. The newsletter recommends focusing on high-yielding securities and considering insider information when investing. It also emphasizes the importance of keeping investments simple and understanding the risks and costs.
This newsletter provides a summary of recent market events and investment advice. It discusses the collapse of dot-com stock prices in 2000 and how even legitimate companies like Cisco, Oracle, and RIM saw their stock prices fall significantly and remain lower than their peaks from that time. It uses Facebook's IPO as an example of the dangers of overvaluation and speculating rather than serious investing. The newsletter concludes by advising clients to keep their investment strategies simple given current economic uncertainties.
The document discusses diversification across different asset classes and geographic regions. It presents 5 model portfolios with varying allocations to US and international stocks and bonds. The most diversified portfolio (Portfolio 5) allocates 30% to international stocks, 7.5% to several US stock size and style factors, and 40% to bonds. Tables show the annual returns and volatility of returns for each model portfolio from 1998-2012. The most diversified portfolio had the highest annualized return of 7.02% and second highest standard deviation of returns of 13.68%.
Summary of miller's paper about history of financeabdullah khan
The document summarizes Merton Miller's paper on the history of finance. It outlines several seminal contributions that helped establish modern finance, including the work of Markowitz on portfolio theory, Sharpe's Capital Asset Pricing Model, Fama's efficient market hypothesis, and Modigliani and Miller's theorem on capital structure. It also discusses how the development of options by Merton, Scholes, and Black helped advance the field by resolving conflicts between micro and macro approaches and opening new areas of research. Miller believed these breakthroughs injected new life into the study of finance.
This document discusses creativity, sustainability, and branding. It begins by valuing creativity and exploring leadership through envisioning future possibilities. It then discusses using a "walkback" technique to map steps from a envisioned successful outcome back to the present to develop a plan. The document also discusses sustainability, referring to the Brundtland Commission's definition, and debates about weak vs strong sustainability. Finally, it discusses books by Hilton and Gibbons and Naomi Klein regarding corporate social responsibility and branding, coming to different conclusions about corporations' impacts.
EFG Bank provides hedge fund services. The document discusses the history and evolution of hedge funds beginning with Alfred Jones creating the first modern hedge fund in 1949 which utilized leverage and short selling. It describes how the industry grew in the 1960s after an influential article. Today's major hedge fund strategies discussed include equity long/short, macro, and managed futures (CTA). Performance and characteristics of each strategy are summarized.
Harry Markowitz is an American economist known for pioneering modern portfolio theory. He developed the concept of the efficient frontier, which shows the set of optimal portfolios that produce the highest expected return for a given level of risk or the lowest risk for a given level of expected return. Markowitz proposed using statistical tools like variance to quantify an investment's risk and using expected returns and correlations between assets to construct portfolios. His work revolutionized the theory and practice of asset management and laid the foundation for much of the subsequent development in financial economics.
Chapter 1 discusses how the author identified Starbucks as an opportunity following its IPO in 1992 when its market cap was $220 million compared to $23 billion today.
Chapter 2 explains that the author's philosophy is that earnings growth drives stock price over time and that investing in high-growth companies has huge potential rewards due to compound interest.
Chapter 3 notes that if you looked at the leading US industries in 1925, 23 of the top 100 companies were railroads, 10 were automobiles, and 4 were metals/mining, while none were in information technology, healthcare, or financial services.
The document discusses portfolio management and mutual funds. It provides an introduction to portfolio management, explaining that investing in a group of securities called a portfolio helps reduce risk without sacrificing returns. It then discusses types of mutual fund schemes, including open-ended funds that are available for subscription all year and closed-end funds that have a specified maturity period. The document also defines what a mutual fund is and how it works, pooling money from investors to invest in stocks, bonds and other securities.
The document discusses portfolio management and mutual funds. It provides an introduction to portfolio management, explaining that investing in a group of securities called a portfolio helps reduce risk without sacrificing returns. It then discusses types of mutual fund schemes, including open-ended funds that are available for subscription all year and closed-end funds that have a specified maturity period. The document also defines what a mutual fund is, explaining that it is a trust that pools savings from investors to invest in stocks, bonds, and other securities.
This document summarizes Giovanni Battista Dagnino's presentation on entrepreneurship theory and evidence. The presentation includes discussions on strategic entrepreneurship, entrepreneurial opportunities, theories of entrepreneurship like the Schumpeterian approach, and entrepreneurial action in hypercompetitive environments. It also summarizes data on new firm formation in Italy and indicators for measuring entrepreneurial activity in established and new firms.
UNSCRAMBLING CODES: FROM HIEROGLYPHS TO MARKET NEWSkevig
This paper reviews some of the steps that paved the way for the development of sentiment analysis (or
opinion mining), a technique apparently used by Jim Simons’ Medallion fund for scoring an ‘impossible’
performance: a 66% annual average rate of return in the 31 years between 1988 and 2018. Sentiment
analysis is a powerful tool that uses natural language processing (NLP), or computational linguistics, to
determine whether a text about a company is positive, negative or neutral and, in a final analysis, to discover stock price patterns. Humans have always used symbols to communicate, plainly or secretively.
Here we review some of the methods used in the past centuries, including Egyptians’ hieroglyphs, Julius
Caesar’s cipher, Fibonacci’s abbreviations, Leonardo da Vinci’s Mirror Writing, Mary Stuart’s code.
The intention is to describe some passages of the long journey made by human beings to arrive at the
current sophisticated IT tools for sentiment analysis.
UNSCRAMBLING CODES: FROM HIEROGLYPHS TO MARKET NEWSkevig
This paper reviews some of the steps that paved the way for the development of sentiment analysis (or opinion mining), a technique apparently used by Jim Simons’ Medallion fund for scoring an ‘impossible’ performance: a 66% annual average rate of return in the 31 years between 1988 and 2018. Sentiment analysis is a powerful tool that uses natural language processing (NLP), or computational linguistics, to determine whether a text about a company is positive, negative or neutral and, in a final analysis, to discover stock price patterns. Humans have always used symbols to communicate, plainly or secretively. Here we review some of the methods used in the past centuries, including Egyptians’ hieroglyphs, Julius Caesar’s cipher, Fibonacci’s abbreviations, Leonardo da Vinci’s Mirror Writing, Mary Stuart’s code. The intention is to describe some passages of the long journey made by human beings to arrive at the current sophisticated IT tools for sentiment analysis.
Merger and Acquistion Trends in the Solar IndustrySmithers Apex
- A review of the historical growth in solar M&A
- Merger and acquisition activity by sector of the solar industry value chain
- Valuation metrics
- Using M&A to your advantage
Jack Calderon, Managing Director, Lincoln International
1) The document discusses the emergence of the "reputation economy" as companies have increasingly recognized the importance of reputation over the past 10 years.
2) It notes that reputation provides competitive advantages like differentiation and acts as a shield against crises. Having a good reputation also attracts consumers, capital, talent and facilitates growth.
3) The document argues that to navigate the new reputation economy, companies need leaders who understand the expectations of stakeholders and recognize their power, and who can transform organizations to serve stakeholders. It suggests companies create a new role of "Chief Reputation Officer" to help manage reputation.
This document discusses common investment challenges such as randomness of returns, picking winning stocks, timing the market, picking active managers, and the costs of indexing. It then outlines an investment approach focused on strategic partnerships with institutional managers, academically sound portfolio construction, keeping costs low, and HonorVise portfolios. Key points include reviewing evidence that stock returns are random, individual stock picking is difficult, market timing rarely works, and costs are lower with index funds. The approach focuses on dimensions of expected returns including size, value, and market factors.
An Overview Of Research On Early Stage Venture Capital Current Status And Fu...Becky Gilbert
This document provides an overview of research on early stage venture capital. It begins with definitions of early stage ventures and classifications of investment stages. Seed and start-up stages involve concepts and prototypes while first stage involves commercialization. Early stage ventures face high risks from information asymmetry, untested technologies, and hypothetical markets. Research shows the percentage of total investment in early stage has decreased over time, though early stage deals still comprise over half of all deals. The document outlines characteristics that distinguish early stage venture capital firms and funds, such as location in areas like the US West Coast.
Paper from the second summit on Corporation 2020. What would a corporation look like that was designed to seamlessly integrate both social and financial purpose? Corporation 20/20 is a new multi-stakeholder initiative that seeks to answer this question. Its goal is to develop and disseminate corporate designs where social purpose moves from the periphery.
- The Indian mutual fund industry has grown at a healthy pace of 18-19% in the last 8 years, compared to a 13% growth rate worldwide.
- It is projected to achieve even higher growth of 22-23% by the end of the current fiscal year.
- As of December 2010, the Indian mutual fund industry's assets under management totaled around Rs. 7 lakh crores.
- However, assets under management as a percentage of India's GDP is only 4.12%, much lower than other major countries.
- The industry is in a fast growth phase with increasing competition from
A great paper which have written by former Shell scenario planner and a former Shell executive who recently completed a history of scenario planning at the company after interviewing almost every surviving veteran of the operation, along with current and former top company executives. They review Shell scenario planning experience with commenting on milestones and results.
This quarterly newsletter provides an overview of recent market volatility and macroeconomic concerns. It notes that insider buying was high during recent market declines, which may indicate hidden value in some companies. The newsletter recommends focusing on high-yielding securities and considering insider information when investing. It also emphasizes the importance of keeping investments simple and understanding the risks and costs.
This newsletter provides a summary of recent market events and investment advice. It discusses the collapse of dot-com stock prices in 2000 and how even legitimate companies like Cisco, Oracle, and RIM saw their stock prices fall significantly and remain lower than their peaks from that time. It uses Facebook's IPO as an example of the dangers of overvaluation and speculating rather than serious investing. The newsletter concludes by advising clients to keep their investment strategies simple given current economic uncertainties.
The document discusses diversification across different asset classes and geographic regions. It presents 5 model portfolios with varying allocations to US and international stocks and bonds. The most diversified portfolio (Portfolio 5) allocates 30% to international stocks, 7.5% to several US stock size and style factors, and 40% to bonds. Tables show the annual returns and volatility of returns for each model portfolio from 1998-2012. The most diversified portfolio had the highest annualized return of 7.02% and second highest standard deviation of returns of 13.68%.
This document discusses the concept of error terms in investment returns and strategies. It makes three key points:
1) Even portfolios with identical exposures to risk factors like market, size, and value will experience random variation in returns over time due to residual error from differences in underlying security holdings. This error averages to zero over the long run.
2) Tax-managed investment strategies will differ in returns from benchmarks, but offer higher after-tax returns justifying the tracking error. Maximum annual deviations were 2.3% overperformance and 1.3% underperformance.
3) The Fama-French multifactor model helps investors manage systematic risk factors rather than focus on arbitrary benchmarks or short-term noise in
The document summarizes a five-factor asset pricing model that augments the Fama-French three-factor model by adding profitability and investment factors.
The five-factor model is tested using portfolios sorted on size, book-to-market equity ratio, profitability, and investment to produce spreads in average returns. The results show patterns in average returns related to size, value, profitability, and investment that the five-factor model seeks to capture. Specifically, small stocks and stocks with high book-to-market ratios, profitability, or low investment tend to have higher average returns. However, the model has difficulties explaining the low returns of some small, low-profitability stocks that invest heavily.
The document summarizes factor investing using Norway's sovereign wealth fund as a case study. It finds that 99% of the variation in the fund's returns can be explained by its strategic asset allocation decisions between equities and bonds. This supports the finding that the most important investment decision is the top-down choice of asset allocation. The document also defines factors as classes of securities that have higher long-term returns than the broad market, such as value stocks, momentum stocks, illiquid securities, risky bonds, and options strategies. Adopting a factor investing approach allows investors to access these premiums in a cost-effective manner.
We are all prone to cognitive biases that make it easy to fool ourselves, even more so than others. Confirmation bias and motivated reasoning cause us to only see evidence that supports our existing beliefs and interpretations. The bias blind spot further prevents us from recognizing our own cognitive biases. While the scientific method aims to reduce bias through rigorous testing of hypotheses, even scientists fall prey to these biases and often fail to replicate their own seminal studies. Overcoming cognitive biases requires acknowledging their existence and establishing processes like "adversarial collaboration" that encourage challenging existing ideas without fear of reprisal.
The three-factor model developed by Fama and French provides a framework for investment strategies that identifies sources of risk that compensate investors. It explains stock returns better than the single-factor CAPM model by including factors for firm size and book-to-market ratio in addition to market beta. While book-to-market ratio may not seem to directly describe risk, it serves as a proxy for a company's financial distress - high book-to-market stocks tend to be more risky with higher expected returns. The three-factor model allows advisors to construct portfolios targeting different risk exposures from size and value factors to outperform the market over the long run.
This document provides historical return data for various investment indexes from 1926 to 2012. It discusses Dimensional Fund Advisors' evolution in response to advances in financial research. Key points include:
- Dimensional structures portfolios around dimensions of expected returns identified by research, such as market, size, value, and profitability factors.
- Recent research identified profitability as a new dimension with high profitability firms having higher average returns.
- Dimensional incorporates new research findings by evolving existing strategies and developing new ones.
- Dimensional's approach focuses on expected returns rather than attempting to time markets or capture short-term anomalies.
- Historical return data is provided for indexes spanning US and international equities
This document discusses innovations in finance from the 1950s to today. It begins by outlining conventional wisdom from the 1930s that focused on picking individual winners and holding concentrated portfolios. It then summarizes several seminal works and developments that helped shift the field: James Tobin's separation theorem emphasized diversification; William Sharpe developed the single-factor capital asset pricing model relating risk and return; Eugene Fama developed the efficient market hypothesis asserting that markets accurately reflect information. This led to the development of index funds by John Bogle, providing low-cost, passive investment options. Overall, the document outlines major theoretical and practical innovations that professionalized the field of finance and emphasized diversification, risk-adjusted returns, and passive investing.
This document describes the services of a part-time CFO service for small businesses. They help business owners understand their financial metrics through analysis of profitability, cash flow, ratios, and forecasting. They analyze key metrics, identify trends, and grade performance in areas like capital structure and profitability. They also help solve strategic problems by determining how to reach goals through actions like increasing prices or reducing expenses. The service aims to provide actionable financial insights and advice to small businesses without needing a full-time CFO.
Dimensional Fund Advisors' powerful slides on the small cap and value effect detail how small stocks and value stocks enhance portfolio returns and explain portfolio performance.
Understanding User Needs and Satisfying ThemAggregage
https://www.productmanagementtoday.com/frs/26903918/understanding-user-needs-and-satisfying-them
We know we want to create products which our customers find to be valuable. Whether we label it as customer-centric or product-led depends on how long we've been doing product management. There are three challenges we face when doing this. The obvious challenge is figuring out what our users need; the non-obvious challenges are in creating a shared understanding of those needs and in sensing if what we're doing is meeting those needs.
In this webinar, we won't focus on the research methods for discovering user-needs. We will focus on synthesis of the needs we discover, communication and alignment tools, and how we operationalize addressing those needs.
Industry expert Scott Sehlhorst will:
• Introduce a taxonomy for user goals with real world examples
• Present the Onion Diagram, a tool for contextualizing task-level goals
• Illustrate how customer journey maps capture activity-level and task-level goals
• Demonstrate the best approach to selection and prioritization of user-goals to address
• Highlight the crucial benchmarks, observable changes, in ensuring fulfillment of customer needs
Taurus Zodiac Sign: Unveiling the Traits, Dates, and Horoscope Insights of th...my Pandit
Dive into the steadfast world of the Taurus Zodiac Sign. Discover the grounded, stable, and logical nature of Taurus individuals, and explore their key personality traits, important dates, and horoscope insights. Learn how the determination and patience of the Taurus sign make them the rock-steady achievers and anchors of the zodiac.
B2B payments are rapidly changing. Find out the 5 key questions you need to be asking yourself to be sure you are mastering B2B payments today. Learn more at www.BlueSnap.com.
How to Implement a Real Estate CRM SoftwareSalesTown
To implement a CRM for real estate, set clear goals, choose a CRM with key real estate features, and customize it to your needs. Migrate your data, train your team, and use automation to save time. Monitor performance, ensure data security, and use the CRM to enhance marketing. Regularly check its effectiveness to improve your business.
How MJ Global Leads the Packaging Industry.pdfMJ Global
MJ Global's success in staying ahead of the curve in the packaging industry is a testament to its dedication to innovation, sustainability, and customer-centricity. By embracing technological advancements, leading in eco-friendly solutions, collaborating with industry leaders, and adapting to evolving consumer preferences, MJ Global continues to set new standards in the packaging sector.
How are Lilac French Bulldogs Beauty Charming the World and Capturing Hearts....Lacey Max
“After being the most listed dog breed in the United States for 31
years in a row, the Labrador Retriever has dropped to second place
in the American Kennel Club's annual survey of the country's most
popular canines. The French Bulldog is the new top dog in the
United States as of 2022. The stylish puppy has ascended the
rankings in rapid time despite having health concerns and limited
color choices.”
[To download this presentation, visit:
https://www.oeconsulting.com.sg/training-presentations]
This PowerPoint compilation offers a comprehensive overview of 20 leading innovation management frameworks and methodologies, selected for their broad applicability across various industries and organizational contexts. These frameworks are valuable resources for a wide range of users, including business professionals, educators, and consultants.
Each framework is presented with visually engaging diagrams and templates, ensuring the content is both informative and appealing. While this compilation is thorough, please note that the slides are intended as supplementary resources and may not be sufficient for standalone instructional purposes.
This compilation is ideal for anyone looking to enhance their understanding of innovation management and drive meaningful change within their organization. Whether you aim to improve product development processes, enhance customer experiences, or drive digital transformation, these frameworks offer valuable insights and tools to help you achieve your goals.
INCLUDED FRAMEWORKS/MODELS:
1. Stanford’s Design Thinking
2. IDEO’s Human-Centered Design
3. Strategyzer’s Business Model Innovation
4. Lean Startup Methodology
5. Agile Innovation Framework
6. Doblin’s Ten Types of Innovation
7. McKinsey’s Three Horizons of Growth
8. Customer Journey Map
9. Christensen’s Disruptive Innovation Theory
10. Blue Ocean Strategy
11. Strategyn’s Jobs-To-Be-Done (JTBD) Framework with Job Map
12. Design Sprint Framework
13. The Double Diamond
14. Lean Six Sigma DMAIC
15. TRIZ Problem-Solving Framework
16. Edward de Bono’s Six Thinking Hats
17. Stage-Gate Model
18. Toyota’s Six Steps of Kaizen
19. Microsoft’s Digital Transformation Framework
20. Design for Six Sigma (DFSS)
To download this presentation, visit:
https://www.oeconsulting.com.sg/training-presentations
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How to Implement a Strategy: Transform Your Strategy with BSC Designer's Comp...Aleksey Savkin
The Strategy Implementation System offers a structured approach to translating stakeholder needs into actionable strategies using high-level and low-level scorecards. It involves stakeholder analysis, strategy decomposition, adoption of strategic frameworks like Balanced Scorecard or OKR, and alignment of goals, initiatives, and KPIs.
Key Components:
- Stakeholder Analysis
- Strategy Decomposition
- Adoption of Business Frameworks
- Goal Setting
- Initiatives and Action Plans
- KPIs and Performance Metrics
- Learning and Adaptation
- Alignment and Cascading of Scorecards
Benefits:
- Systematic strategy formulation and execution.
- Framework flexibility and automation.
- Enhanced alignment and strategic focus across the organization.
2. on the cover
Thirty years of working with
clients has created a rich
history of portfolios. Pie charts
show annual fund count by
asset class. Each year reflects
the universe of investments that
Dimensional’s combination of
empirical research and efficient
execution provides.
Below, a color key identifies the
asset classes as seen on the
cover 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
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. US MICRO CAP 3
PORTFOLIO
$26.79 million
S&P 500
INDEx
$22.35 million
RUSSELL 2000
INDEx
$17.36 million
96 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. 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. 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 1996
n 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. 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. 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 2010
n 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. 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. TABLE 9
OF
CONTENTS
30 YEARS OF GOOD IDEAS AT WORK 2
ANNUALIzED RATES OF RETURNS (%) 10
HOW TO USE THIS BOOK 11
TOTAL RETURNS
US SMALL CAp INDEX 1927–2010 13
S&p 500 INDEX 1926–2010 15
US SMALL CAp VALUE INDEX 1927–2010 17
US LARGE CAp VALUE INDEX 1927–2010 19
US SMALL CAp GROWTH INDEX 1927–2010 21
US LARGE CAp GROWTH INDEX 1927–2010 23
US TOTAL STOCK MARKET INDEX 1927–2010 25
US ADJUSTED MARKET 1 INDEX 1928–2010 27
US ADJUSTED MARKET 2 INDEX 1928–2010 29
US ADJUSTED MARKET VALUE INDEX 1928–2010 31
US TARGETED VALUE INDEX 1928–2010 33
NASDAq COMpOSITE INDEX 1974–2010 34
DOW JONES US SELECT REIT INDEX 1978–2010 35
DOW JONES UBS COMMODITY INDEX 1992–2010 35
LONG-TERM GOVERNMENT BONDS 1926–2010 37
LONG-TERM CORpORATE BONDS 1926–2010 39
ONE-MONTH US TREASURY BILLS 1926–2010 41
ONE-MONTH CERTIFICATES OF DEpOSIT 1966–2010 42
BARCLAYS CApITAL US GOVERNMENT/CREDIT BOND INDEX INTERMEDIATE 1973–2010 43
BARCLAYS CApITAL US TIpS INDEX 1998–2010 43
INTERNATIONAL SMALL CAp INDEX 1970–2010 44
MSCI EAFE INDEX 1970–2010 44
JApAN SMALL CAp INDEX 1970–2010 45
JApAN LARGE CAp INDEX 1970-2010 45
UNITED KINGDOM SMALL CAp INDEX 1956–2010 47
UNITED KINGDOM LARGE CAp INDEX 1956–2010 49
INTERNATIONAL VALUE INDEX 1975–2010 50
INTERNATIONAL GROWTH INDEX 1975–2010 50
INTERNATIONAL SMALL CAp VALUE INDEX 1982–2010 51
MSCI EMERGING MARKETS INDEX 1988–2010 51
REAL RETURNS (INFLATION ADJUSTED)
INFLATION: CHANGES IN THE CONSUMER pRICE INDEX 1926–2010 53
US SMALL CAp INDEX 1927–2010 55
S&p 500 INDEX 1926–2010 57
LONG-TERM GOVERNMENT BONDS 1926–2010 59
ONE-MONTH US TREASURY BILLS 1926–2010 61
ONE-MONTH CERTIFICATES OF DEpOSIT 1966–2010 62
DOW JONES US SELECT REIT INDEX 1978–2010 63
BALANCED STRATEGIES
BALANCED STRATEGIES: WEIGHTS AND SUMMARY STATISTICS 64
BALANCED STRATEGY: FIXED 1973–2010 66
BALANCED STRATEGY: CONSERVATIVE 1973–2010 66
BALANCED STRATEGY: MODERATE 1973–2010 67
BALANCED STRATEGY: NORMAL 1973–2010 67
BALANCED STRATEGY: AGGRESSIVE 1973–2010 68
BALANCED STRATEGY: EqUITY 1973–2010 68
GLOBAL STRATEGIES 69
WORLD MARKET CApITALIzATION 70
SOURCES AND DESCRIpTIONS OF DATA 72
MATRIX BOOK 2011 9
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. 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 2004
2 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