City of Fresno Retirement Systems March 25, 2014 Joseph H. Chi, CFA, Co-Head of Portfolio Management and Vice President Ted Simpson, CFA, Vice President This information is provided for institutional investors and registered investment advisors, and is not intended for public use. Dimensional Fund Advisors LP is an investment advisor registered with the Securities and Exchange Commission. Consider the investment objectives, risks, and charges and expenses of the Dimensional funds carefully before investing. For this and other information about the Dimensional funds, please read the prospectus carefully before investing. Prospectuses are available by calling Dimensional Fund Advisors collect at (512) 306-7400 or at www.dimensional.com. Dimensional funds are distributed by DFA Securities LLC. #17625-1011
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City of Fresno Retirement Systems
March 25, 2014
Joseph H. Chi, CFA, Co-Head of Portfolio Management and Vice President
Ted Simpson, CFA, Vice President
This information is provided for institutional investors and registered investment advisors, and is not intended for public use. Dimensional Fund Advisors LP is an investment advisor registered with the Securities and Exchange Commission. Consider the investment objectives, risks, and charges and expenses of the Dimensional funds carefully before investing. For this and other information about the Dimensional funds, please read the prospectus carefully before investing. Prospectuses are available by calling Dimensional Fund Advisors collect at (512) 306-7400 or at www.dimensional.com. Dimensional funds are distributed by DFA Securities LLC.
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pattiel
Text Box
Agenda Item: 3:00 pm Joint Meeting of the Retirement Boards Meeting Date: 3/25/2014
Agenda 1. Dimensional
2. Investment Philosophy
3. Emerging Markets Value Portfolio
4. Emerging Markets Large Cap
Value Index
5. Summary
6. Appendix
Dimensional
Dimensional Fund Advisors Putting financial science to work for clients
3
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We use information in market prices throughout our investment process to seek to build solutions with higher expected returns.
We add value by identifying relevant dimensions of expected returns and continually balancing the tradeoffs among competing premiums, diversification, and costs.
We work with clients to understand their long-term needs and to add to their success.
Dimensional Fund Advisors LP founded in 1981. Global AUM and number of employees as of December 31, 2013.
Locations with offices operated by Dimensional. “Dimensional” refers to the Dimensional entities generally, rather than to one particular entity. These entities are Dimensional Fund Advisors LP, Dimensional Fund Advisors Ltd., DFA
Australia Limited, Dimensional Fund Advisors Canada ULC, Dimensional Fund Advisors Pte. Ltd., and Dimensional Japan Ltd.
Global Investment Team, One Dynamic Process
4
Vancouver
Santa Monica Austin
London Amsterdam
Berlin
Singapore
Sydney
Tokyo
Investment Personnel
Client Service
748 employees globally
$338B in global AUM
Founded in 1981
Don’t forget to
change the
effective date
Toronto
As of December 31, 2013.
Leading Financial Economists and Researchers
5
Academics on Dimensional’s Board of Directors
Eugene Fama, PhD, Nobel laureate University of Chicago
Kenneth French, PhD Dartmouth College
Academics on Dimensional’s Mutual Funds Board of Directors
George Constantinides, PhD University of Chicago
John Gould, PhD University of Chicago
Edward Lazear, PhD Stanford University
Roger Ibbotson, PhD Yale University
Myron Scholes, PhD, Nobel laureate Stanford University
Abbie Smith, PhD University of Chicago
Academics Providing Ongoing Consulting Services to Dimensional
Robert Merton, PhD, Nobel laureate Massachusetts Institute of Technology
Sunil Wahal, PhD Arizona State University
Leaders of Dimensional’s
Internal Research Staff
Eduardo Repetto, PhD, Director,
Co-Chief Executive Officer,
and Chief Investment Officer
Gerard O’Reilly, PhD, Head of Research
James Davis, PhD, Vice President
Marlena Lee, PhD, Vice President
Savina Rizova, PhD, Vice President
Stanley Black, PhD
Wes Crill, PhD
Tu Nguyen, CFA, PhD
Massi De Santis, PhD
Vito Sciaraffia, PhD
Dave Twardowski, PhD
Yusun Samuel Wang, PhD
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Don’t forget to
change the
effective date
As of December 31, 2013.
1. Investment Committee Member.
Experienced Teams Ensure Consistency
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Don’t forget to
change the
effective date
Eduardo Repetto,1 Director, Co-Chief Executive Officer, and Chief Investment Officer
David Booth,1 Chairman and Co-Chief Executive Officer
Stephen Clark,1 Head of Global Institutional Services and Senior Portfolio Manager
Gerard O’Reilly,1 Head of Research
Global Portfolio Management
Equity Portfolio Management Trading
Joseph Chi,1 Co-Head of Portfolio Management
Jed Fogdall,1 Co-Head of Portfolio Management
Robert Deere,1 Investment Director and Senior Portfolio Manager
Graham Lennon, Head of International Portfolio Management and Senior Portfolio Manager
Arthur Barlow, Managing Director and Senior Portfolio Manager
Akbar Ali, Senior Portfolio Manager
Grady Smith, Senior Portfolio Manager
Karen Umland,1 Senior Portfolio Manager
Stephen Garth, Portfolio Manager
Portfolio Managers: Marcus Axthelm, Murray Cockerell, Paul Foley, Jason Ha, Kotaro Hama, Iwona Hill, Stephen Hughes, David Kershner, Arun Keswani, Nathan Lacaze, John Law, Robert Ness, Daniel Ong, Allen Pu, Stephen Quance, Ted Randall, Joel Schneider, Bhanu Singh, Lukas Smart, Adam Ward, Brian Walsh, Craig Wright
Investment Associates: Joshua Clifford, Emily Cornell, Damian Dormer, Mitchell Firestein, Krati Gokharu, Edward Grace, Joe Hohn, Mary Phillips, Slava Platkov, David Quinn, Sunil Suri, Jim Whittington, Alex Yaftali
Henry Gray,1 Head of Global Equity Trading
John Romiza, Head of International Equity Trading
Jason Lapping, Head of Asia Pacific Trading
Global Equity Trading
Senior Traders: Mark Butterworth, Christian Gunther, Carl Snyder, Ryan Wiley, Sam Willis
Traders: Matthew Fuentes, William Letheren, Richard Mar, Erhan Oktay, Chris Rink, James Simpson, Jonathan Smith, Le Tran, Scott Van Pelt, David Vrolyk
Fixed Income Trading
David LaRusso, Senior Trader
Kipp Cummins, Trader
Claudette Higdon, Trader
Fixed Income Portfolio Management
David Plecha,1 Global Head of Fixed Income
Joseph Kolerich,1 Senior Portfolio Manager
Portfolio Managers: Alexander Fridman, Didier Haenecour, Alan Hutchison, Damien Koch, Travis Meldau, Pamela Noble, Gillian Wilson
Investment Associates: Yan Luo, David Shao, Polly Weiss
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“Dimensional” refers to the Dimensional entities generally, rather than to one particular entity. These entities are Dimensional Fund Advisors LP, Dimensional Fund Advisors Ltd., DFA Australia Limited, Dimensional Fund Advisors Canada
ULC, Dimensional Fund Advisors Pte. Ltd., and Dimensional Japan Ltd.
All assets in US dollars. Numbers may not total 100% due to rounding.
Dimensional Global Investment Solutions $338 billion in global AUM as of December 31, 2013
7
Other $12.0
Real Estate $7.5
Commodities $0.8
Global Balanced $3.7
(in billions)
US $103.2
All Cap Core $29.0
All Cap Value $4.7
Growth $0.4
Large Cap $5.6
Large Cap Value $16.6
SMID Cap Value $10.4
Small Cap $14.4
Small Cap Value $16.4
Micro Cap $5.7
Fixed Income $69.8
US Taxable $39.7
US Tax-Exempt $2.8
Non-US & Global $24.7
Inflation-Protected $2.6
Global Equity $20.4
All Cap/Large Cap $11.2
Value $7.1
Small/SMID Cap $2.1
Developed ex-US $72.6
All Cap Core $16.0
All Cap Value $6.1
Growth $0.1
Large Cap $6.6
Large Cap Value $17.0
Small Cap $13.4
Small Cap Value $13.3
Emerging Markets $59.6
All Cap Core $17.6
Value $30.4
Large Cap $7.3
Small Cap $4.3
Global Balanced 1.1% Global
Equity 6%
REITs & Commodities 2.5%
Developed ex-US Equities 21.5%
US Equities 30.6%
Emerging Markets 17.6%
Fixed Income 20.7%
Investment Philosophy
1. Relative Price refers to the share price (or market cap) of a firm’s stock, divided by a fundamental variable of the firm (e.g., earnings, cash earnings, dividends, net assets). One of the most widely used measures of relative price is the
price/book ratio.
Dimensions of Expected Returns Expected returns are driven by prices investors pay and cash flows they expect to receive
To be considered a
dimension of expected return,
a premium must be:
• Sensible
• Persistent across time periods
• Pervasive across markets
• Robust to alternative
specifications
• Cost-effective to capture in
well-diversified portfolios
Company Size Small cap premium – small vs large companies
Market Equity premium – stocks vs bonds
Relative Price1 Value premium – value vs growth companies
Expected Profitability Profitability premium – high vs low profitability companies
#30605-0113
9
1
Annualized compound returns (%) in US dollars.
Indices are not available for direct investment. Their performance does not reflect the expenses associated with the management of an actual portfolio. Past performance is not a guarantee of future
results. Index returns are not representative of actual portfolios and do not reflect costs and fees associated with an actual investment. Actual returns may be lower. See “Index Descriptions” in the
appendix for descriptions of Dimensional and Fama/French index data. The S&P data are provided by Standard & Poor’s Index Services Group. MSCI data copyright MSCI 2013, all rights reserved.
Dimensions of Expected Returns Illustrative index performance
10
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Original Pervasive Slide
Non-US Developed Markets Stocks
Emerging Markets Stocks
US Large Capitalization Stocks
US Small Capitalization Stocks
1975–2012 1927–2012 1927–2012 1989–2012
High
Relative Price
Small
Low
Relative Price
10.69 9.82 11.54 11.71
MSCI World ex US Index S&P 500 Index CRSP 6-10 Index MSCI Emerging Markets Index
1992–2012 1975–2012 1975–2012 1996–2012
Low
Profitability
High
Profitability
5.79 11.66 15.19 7.70
MSCI World ex US Index S&P 500 Index CRSP 6-10 Index MSCI Emerging Markets Index
14.79 13.44
Dimensional International Small Cap Index
Fama/French Emerging Markets Small Cap Index
14.85 11.64 14.77 15.95
Fama/French International Value Index
Fama/French US Large Value Research Index
Fama/French US Small Value Research Index
Fama/French Emerging Markets Value Index
8.79 9.25 8.69 10.31
Fama/French International Growth Index
Fama/French US Large Growth Research Index
Fama/French US Small Growth Research Index
Fama/French Emerging Markets Growth Index
2.81 10.58 8.66 4.31
Dimensional International Low Profitability Index
Dimensional US Large Low Profitability Index
Dimensional US Small Low Profitability Index
Dimensional Emerging Markets Low Profitability Index
8.93 14.44 18.59 11.15 Dimensional International
High Profitability Index Dimensional US Large High Profitability Index
Dimensional US Small High Profitability Index
Dimensional Emerging Markets High Profitability Index
Benchmark
Benchmark
Animated
Emerging Markets Market Premium: Fama/French Emerging Markets Index minus One-Month US Treasury Bills. Emerging Markets Value premium: Fama/French Emerging Markets Value Index minus Fama/French Emerging Markets Growth
Index. Emerging Markets Size Premium: Fama/French Emerging Markets Small Cap Index minus Fama/French Emerging Markets Index. Emerging Markets returns are simulated by Fama/French from IFC and Bloomberg data and are free-
float weighted. In US dollars. Indices are not available for direct investment. Their performance does not reflect the expenses associated with the management of an actual portfolio. Past performance is no guarantee of future results.
5-Year Moving Average of Premiums Emerging markets
Countries and names as of December 31, 2013. Holdings are subject to change.
Emerging Markets Value Portfolio Using an integrated approach to add value across all aspects of the investment process
13
• Structured based on systematic
expected premiums:
– Market
– Relative price (value)
– Expected profitability
– Company size
• Offers broad sector and
security diversification
• Balances competing premiums
and controls implementation
costs by using a disciplined and
patient trading strategy
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Dynamic Investment Process An integrated approach to adding value
14
Original Dynamic Slide
• The Market
Use information in prices and
fundamental data to pursue
higher expected returns.
• Portfolio Structure
Identify the dimensions
of expected returns and
consider the interactions
among premiums,
diversification, and costs.
• Implementation
Maintain strategy focus
while balancing tradeoffs
among competing premiums
and use a flexible process to
help control costs.
Country Weight Targets As of December 31, 2013
15
Dimensional’s capped free-float
adjusted market cap targets:
• Maintain limits on single-
country exposure.
• Mitigate single-country risk.
An event in one country can
have a negative impact on
the whole portfolio.
• Provide broad country
diversification.
EMERGING MARKETS VALUE PORTFOLIO
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Dimensional Targets
(buys capped at 15.0%)
China 15.0%
Taiwan 15.0%
South Korea 15.0%
Brazil 9.8%
South Africa 8.2%
India 6.8%
Mexico 6.3%
Russia 6.0%
Malaysia 4.3%
Indonesia 2.6%
Thailand 2.5%
Poland 2.1%
Turkey 1.8%
Chile 1.5%
Philippines 1.1%
Colombia 0.9%
Greece 0.6%
Hungary 0.3%
Czech Republic 0.2%
For illustrative purposes only.
1. Profitability is measured as operating income before depreciation and amortization minus interest expense scaled by book.
Holdings are subject to change. MSCI data copyright MSCI 2014, all rights reserved.
Portfolio Construction: Security Selection and Weighting Emerging Markets Value Portfolio as of December 31, 2013
16
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• Focus on deep value securities
• In large caps, increased
emphasis on higher expected
return securities:
– Lower relative price, higher
expected profitability, lower
market cap
• In small caps, exclude companies
with lowest expected returns:
– Low expected profitability and
high relative price
Weighted Average
Market Cap (millions)
Aggregate
Price-to-Book
Weighted Direct
Profitability-to-Book
Emerging Markets Value Portfolio $25,356 0.89 0.17
MSCI Emerging Markets Index $45,464 1.48 0.29
SIZ
E
LA
RG
E
RELATIVE PRICE
LOW
SM
ALL
HIGH
LOW
RELATIVE PRICE
SIZ
E
MID
M
EG
A
EXPECTED PROFITABIL ITY 1
LOW
LOWEST
Stocks
below 15%
market cap
limit
HIGH
Stocks with
Lowest 33%
of P/B ratios
RELATIVE PRICE
LOWEST LOW
EX
PE
CT
ED
P
RO
FIT
AB
ILIT
Y1
LO
W
HIG
H
Note: These rules seek to exclude from purchase securities Dimensional determines to fall within these categories.
Portfolio Construction: Seeking to Improve Expected Returns Refining the universe
17
#21234-0112
Asset Class Exclusions
• REITs
• Investment funds
• Highly regulated utilities
Pricing Exclusions
• Recent IPO
• Share classes with foreign
restrictions or with
significant premiums
• Extreme financial distress
or bankruptcy
• Merger or target of
acquisition
Trading Exclusions
• Exchange history
• Insufficient liquidity
• Limited operating history
• Insufficient float
• Listing requirements
Charts for illustrative purposes only.
Managing Momentum We incorporate momentum when making buy and sell decisions
18
Stock returns may exhibit
momentum:
• Stocks with large relative
underperformance tend
to have negative excess
returns in the next period.
• Stocks with large relative
outperformance tend to
have positive excess returns
in the next period.
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PAST FUTURE PAST FUTURE TODAY TODAY
RE
LA
TIV
E R
ET
UR
N
Delay buys of securities otherwise eligible for purchase.
Delay sells of securities otherwise eligible for sale.
NEGATIVE MOMENTUM POSITIVE MOMENTUM
Trading Costs Matter Our approach helps minimize the total costs of trading
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Commissions, custody fees, exchange fees
Bid/ask spread, market impact
We deal with explicit costs
by keeping commissions
as low as possible without
sacrificing overall execution.
Trading Costs = + Implicit Costs Explicit Costs
Implicit costs can be
hidden—and potentially
large. We apply a trading
philosophy that emphasizes
patience and flexibility.
Low turnover by
design keeps overall
trading costs down.
Source: Dimensional. Chart data based on all equity agency trades, globally.
Dimensional’s Progressive Approach to Trading Trading utilizes technology and internal resources to maximize opportunities and control costs
20
• Our trading and portfolio
management desks are placed
strategically to cover
the global equity markets.
• Traders use direct market
access (DMA) when available
to maintain full control
of trading process and
reduce commissions.
PERCENTAGE OF DIMENSIONAL’S GLOBAL TRADE VALUE BY BROKER TYPE
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Quarterly: January 2006–March 2013
0%
50%
100%
2006 2007 2008 2009 2010 2011 2012 2013
High Touch Low Touch Direct Market Access
Integrated Portfolio Implementation Efficiently balancing expected premiums with the costs of turnover on a daily basis
21
• We continuously evaluate
the portfolio:
– Buy/sell decisions consider
expected daily premiums
versus transactions costs.
– Spread trading over time to
minimize market impact.
• Our process is built to focus on
higher expected returns every
day while considering costs.
#17600-1011
Past performance is no guarantee of future results. The performance returns calculated for the Dimensional strategies already reflect trading costs.
bps (basis point) One hundredth of a percentage point (0.01%). ITG ALPHA CAPTURE is a service mark of the Investment Technology Group, Inc. companies.
1. Percent of peer universe Dimensional outperforms in terms of trading costs.
2. US trading included in results only for portfolios with global mandates. The information on this slide was provided by Investment Technology Group solely for Dimensional and not for any other third party. These materials are highly confidential and are not to be copied, displayed, or transmitted in any form
without prior written permission from Investment Technology Group.
Dimensional’s Value Added through Trading Third-party trade cost analysis results across all segments of the market
22
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One Year Ending September 30, 2013
Strategy Median Peer Dimensional Dimensional Rank1
US Large Cap Trading -27 bps +20 bps 100%
US Small Cap Trading -61 bps +60 bps 100%
All Developed Markets Trading2 -47 bps +55 bps 100%
All Emerging Markets Trading -62 bps +72 bps 100%
Trading Costs (gain/loss)
ITG POST-TRADE ANALYTICSTM
ALPHA CAPTURESM
1. Operating income before depreciation and amortization minus interest expense scaled by book.
Holdings are subject to change. MSCI data copyright MSCI 2014, all rights reserved.
Characteristics As of December 31, 2013
23
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EMERGING MARKETS
VALUE PORTFOLIO
MSCI Emerging
Markets Index
MARKET CHARACTERISTICS
Total Value of Eligible Universe (millions) $1,419,374 $3,795,148
Number of Holdings 2,195 823
SIZE CHARACTERISTICS
Wtd. Average Market Cap (millions) $25,356 $45,464
Median Market Cap (millions) $350 $5,379
VALUATION CHARACTERISTICS
Aggregate Price-to-Book 0.89 1.48
Wtd. Average Dividend-to-Price 2.47% 2.26%
PROFITABILITY CHARACTERISTICS
Weighted Direct Profitability-to-Book1 0.17 0.29
Numbers may not total 100% due to rounding. Sectors defined by MSCI. MSCI data copyright MSCI 2014, all rights reserved. The REITs industry, a member of the Financials sector, is shown separately to illustrate its exclusion from
certain funds.
Sector Allocations As of December 31, 2013
24
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EMERGING MARKETS
VALUE PORTFOLIO
MSCI Emerging
Markets Index
PORTFOLIO WEIGHTS (%)
Financials 33.9 26.3
Energy 15.9 11.3
Materials 15.5 9.7
Industrials 12.0 6.5
Information Technology 7.5 16.0
Consumer Discretionary 6.4 8.9
Consumer Staples 5.1 8.6
Utilities 1.9 3.4
Telecommunication Services 1.3 7.4
Health Care 0.4 1.7
REITs 0.1 0.4
Other 0.0 —
Holdings are subject to change. Numbers may not total 100% due to rounding. MSCI data copyright MSCI 2014, all rights reserved.
Country Allocations As of December 31, 2013
25
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EMERGING MARKETS
VALUE PORTFOLIO
MSCI Emerging
Markets Index
South Korea 16.3 16.1
Taiwan 15.8 11.7
China 15.5 19.8
Brazil 9.8 10.7
Mexico 7.3 5.4
South Africa 7.1 7.4
India 7.1 6.3
Russia 5.0 6.1
Malaysia 3.9 3.8
Thailand 2.9 2.2
Turkey 2.2 1.5
Indonesia 2.2 2.2
Poland 1.7 1.7
Chile 1.5 1.6
Philippines 1.0 0.9
Hungary 0.5 0.3
Colombia 0.2 1.0
Czech Republic 0.2 0.2
Greece 0.1 0.5
Egypt — 0.2
Peru — 0.4
PORTFOLIO WEIGHTS (%) REGIONAL SNAPSHOT
Latin America
Africa
Asia Pacific
Emerging Markets Value Portfolio
MSCI Emerging Markets Index
Europe
7.1% 7.6%
9.6% 10.3%
18.8% 19.1%
64.5% 63.0%
Calendar Year
Returns (%)
EMERGING MARKETS
VALUE PORTFOLIO
MSCI Emerging Markets
Index (net dividends)
2004 39.53 25.55
2005 30.81 34.00
2006 37.93 32.17
2007 45.64 39.39
2008 -53.94 -53.33
2009 92.28 78.51
2010 22.06 18.88
2011 -25.62 -18.42
2012 19.36 18.22
2013 -3.80 -2.60
Performance data shown represents past performance and is no guarantee of future results. 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
the most current month-end performance data, visit www.dimensional.com. 1. Returns for periods shorter than one year are not annualized. Portfolio inception returns are from the first full month.
MSCI data copyright MSCI 2014, all rights reserved. Indices are not available for direct investment. See “Appendix: Standardized Performance Data & Disclosures” to learn how to obtain complete information on performance, investment
objectives, risks, advisory fees, and expenses of Dimensional’s funds.
Performance As of December 31, 2013
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Annualized Returns1 (%) 1 Year 3 Years 5 Years 10 Years
Since 5/98
Portfolio
Inception
EMERGING MARKETS VALUE PORTFOLIO -3.80 -5.12 14.92 12.97 12.50
Large cap is defined as approximately the largest 70% of total US market capitalization; Mid cap is approximately the next 20%; and Small cap is approximately the bottom 10%. Growth is defined as approximately the bottom 25% of
securities based on book-to-market; neutral is approximately the next 50%; and value is approximately the highest 25% of securities based on book-to-market.
MSCI data copyright MSCI 2014, all rights reserved. Indices are not available for direct investment. Their performance does not reflect the expenses associated with the management of an actual portfolio.
Emerging Markets Environment MSCI Emerging Markets IMI Index (net dividends)
27
1 YEAR AS OF DECEMBER 31, 2013
Value Neutral Growth
Large -0.76% -6.30% 11.10%
Mid -4.83% -5.05% -2.75%
Small -1.53% -1.23% 6.52%
1. Actual fees as of October 31, 2013.
Fees
28
#17868-1011
Net Expense Ratio1
Total (Gross) Expense Ratio1
Management Fee
Emerging Markets Value Portfolio 0.57 0.57 0.50
Emerging Markets Large Cap Value
Index
Countries and names as of December 31, 2013. Holdings are subject to change.
Emerging Markets Large Cap Value Index Using an integrated approach to add value across all aspects of the investment process
• Structured based on systematic
expected premiums:
– Market
– Relative price (value)
– Expected profitability
– Company size
• Offers broad sector and
security diversification
• Balances competing premiums
and controls implementation
costs by using a disciplined and
patient trading strategy
#17868-1011
Portfolio box .AI file is in staging area, with 4Q 2013 EM boxes
30
Country Weight Targets As of December 31, 2013
Dimensional’s capped free-float
adjusted market cap targets:
• Maintain limits on single-
country exposure.
• Mitigate single-country risk.
An event in one country can
have a negative impact on
the whole portfolio.
• Provide broad country
diversification.
EMERGING MARKETS LARGE CAP VALUE INDEX
#17625-1011
Dimensional Targets
(buys capped at 15.0%)
China 15.0%
South Korea 15.0%
Taiwan 15.0%
Brazil 9.1%
India 7.9%
South Africa 7.3%
Mexico 7.2%
Russia 5.6%
Malaysia 5.2%
Poland 2.4%
Indonesia 2.3%
Thailand 1.9%
Chile 1.5%
Colombia 1.3%
Turkey 1.1%
Philippines 1.0%
Hungary 0.9%
Greece 0.3%
31
For illustrative purposes only.
1. Profitability is measured as operating income before depreciation and amortization minus interest expense scaled by book.
Holdings are subject to change. MSCI data copyright MSCI 2014, all rights reserved.
Portfolio Construction: Security Selection and Weighting Emerging Markets Large Cap Value Index as of December 31, 2013
#17869-1011
• Focus on deep value securities
• In large caps, increased
emphasis on higher expected
return securities:
– Lower relative price, higher
expected profitability, lower
market cap
• In small caps, exclude companies
with lowest expected returns:
– Low expected profitability and
high relative price
Weighted Average
Market Cap (millions)
Aggregate
Price-to-Book
Weighted Direct
Profitability-to-Book
DFA Emerging Markets Large Cap Value Index $38,113 1.02 0.22
MSCI Emerging Markets Index $45,464 1.48 0.29
SIZ
E
LA
RG
E
RELATIVE PRICE
LOW
SM
ALL
HIGH
LOW
RELATIVE PRICE
SIZ
E
MID
M
EG
A
EXPECTED PROFITABIL ITY 1
LOW
LOWEST
Stocks
below 15%
market cap
limit
HIGH
32
1. Operating income before depreciation and amortization minus interest expense scaled by book.
Holdings are subject to change. MSCI data copyright MSCI 2014, all rights reserved.
Characteristics Comparison As of December 31, 2013
#17595-1011
EMERGING MARKETS
LARGE CAP VALUE INDEX
MSCI Emerging
Markets Index
MARKET CHARACTERISTICS
Total Value of Eligible Universe (millions) $1,123,529 $3,795,148
Number of Holdings 224 823
SIZE CHARACTERISTICS
Wtd. Average Market Cap (millions) $38,113 $45,464
Median Market Cap (millions) $5,313 $5,379
VALUATION CHARACTERISTICS
Aggregate Price-to-Book 1.02 1.48
Wtd. Average Dividend-to-Price 2.46% 2.26%
PROFITABILITY CHARACTERISTICS
Weighted Direct Profitability-to-Book1 0.22 0.29
33
Numbers may not total 100% due to rounding. Sectors defined by MSCI. MSCI data copyright MSCI 2014, all rights reserved. The REITs industry, a member of the Financials sector, is shown separately to illustrate its exclusion from
certain funds.
Sector Allocations Comparison As of December 31, 2013
#17600-1011
EMERGING MARKETS
LARGE CAP VALUE INDEX
MSCI Emerging
Markets Index
PORTFOLIO WEIGHTS (%)
Financials 33.8 26.3
Materials 19.0 9.7
Energy 15.2 11.3
Information Technology 9.3 16.0
Consumer Discretionary 8.6 8.9
Industrials 6.3 6.5
Consumer Staples 4.2 8.6
Utilities 2.8 3.4
Telecommunication Services 0.8 7.4
Health Care 0.0 1.7
REITs 0.0 0.4
34
Holdings are subject to change. Numbers may not total 100% due to rounding. MSCI data copyright MSCI 2014, all rights reserved.
Country Allocations Comparison As of December 31, 2013
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EMERGING MARKETS
LARGE CAP VALUE INDEX
MSCI Emerging
Markets Index
China 15.0 19.8
South Korea 15.0 16.1
Taiwan 15.0 11.7
Brazil 9.1 10.7
India 7.9 6.3
South Africa 7.3 7.4
Mexico 7.2 5.4
Russia 5.6 6.1
Malaysia 5.2 3.8
Poland 2.4 1.7
Indonesia 2.3 2.2
Thailand 1.9 2.2
Chile 1.5 1.6
Colombia 1.3 1.0
Turkey 1.1 1.5
Philippines 1.0 0.9
Hungary 0.9 0.3
Greece 0.3 0.5
Czech Republic 0.0 0.2
Egypt 0.0 0.2
Peru 0.0 0.4
PORTFOLIO WEIGHTS (%) REGIONAL SNAPSHOT
Latin America
Africa
Asia Pacific
Emerging Markets Large Cap Value Index
MSCI Emerging Markets Index
Europe
7.3% 7.6%
10.3% 10.3%
19.1% 19.1%
63.3% 63.0%
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The Emerging Markets Large Cap Value Index monthly returns are computed as the simple average of the monthly returns of four sub-indices, each one reconstituted once a year at the end of each quarter of the year. Filters were applied
to data retroactively and with the benefit of hindsight. Returns are not representative of actual portfolios and do not reflect costs and fees associated with an actual investment. Actual returns may be lower. It is not possible to invest directly
in an index, which is unmanaged. Please see “Appendix” for index description.
MSCI data copyright MSCI 2014, all rights reserved. Indices are not available for direct investment.
Performance Comparison As of December 31, 2013
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Annualized Returns (%) 1 Year 3 Years 5 Years 10 Years
Since 1/94
Large Value
Index Inception
EMERGING MARKETS LARGE CAP VALUE INDEX -3.81 -2.77 17.06 14.24 10.79
Fees Emerging Markets Large Cap Value Separate Account
PROPOSED FEES FOR CITY OF FRESNO RETIREMENT SYSTEMS
Separate Account Fee: 55 bps
Minimum Annual Fee: $175,000
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Summary
1. Refers to the Dimensional entities generally, rather than to one particular entity. These entities are Dimensional Fund Advisors LP, Dimensional Fund Advisors Ltd., DFA Australia Limited, Dimensional Fund Advisors Canada ULC,
Dimensional Fund Advisors Pte. Ltd., and Dimensional Japan Ltd.
Dimensional Fund Advisors A global investment firm1 with a research-based, transparent, and process-driven approach
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An investment philosophy based on sound academic research
An investment process that adds value through portfolio structure
and implementation
Investment solutions that provide access to sources of higher
expected returns
A firmwide commitment to our clients
Thank You!
Appendix
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. Consider the investment objectives, risks, and charges and expenses of the Dimensional funds carefully before investing. For this and other information about the Dimensional funds, please read the prospectus carefully before investing. Prospectuses are available by calling Dimensional Fund Advisors collect at (512) 306–7400 or at www.dimensional.com. Dimensional funds are distributed by DFA Securities LLC. Dimensional Fund Advisors LP is an investment advisor registered with the Securities and Exchange Commission.
Standardized Performance Data & Disclosures
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Risks include loss of principal and fluctuating value. Investment value will fluctuate, and shares, when redeemed, may be worth more or less than original cost. Small and micro cap securities are subject to greater volatility than those in other asset categories. International and emerging markets investing involves special risks such as currency fluctuation and political instability. Investing in emerging markets may accentuate these risks. Sector-specific investments focus on a specific segment of the market, which can increase investment risks. Fixed income securities are subject to increased loss of principal during periods of rising interest rates. Fixed income investments are subject to various other risks, including changes in credit quality, liquidity, prepayments, call risk and other factors. Municipal securities are subject to the risks of adverse economic and regulatory changes in their issuing states. Real estate investment risks include changes in real estate values and property taxes, interest rates, cash flow of underlying real estate assets, supply and demand, and the management skill and creditworthiness of the issuer. Sustainability funds use environmental and social screens that may limit investment opportunities for the fund. Commodities include increased risks, such as political, economic, and currency instability, and may not be suitable for all investors. The Portfolio may be more volatile than a diversified fund because the Portfolio invests in a smaller number of issuers and commodity sectors. The fund prospectuses contain more information about investment risks.
1. Actual fees as of October 31, 2013.
2. The net expense ratio applies to the indicated funds and takes into account a contractual management fee waiver and expense reimbursement agreement that currently is scheduled to remain in place through 2/28/2015. Please refer to
the prospectus for more complete information on advisory fees, expense reimbursements, and other expenses.
3. Effective August 1, 2013, the administrative fee payable by the Portfolio to the Advisor decreased from 0.05% to 0.035% of the Portfolio’s average daily net assets on an annualized basis. As a result, the Total Operating Expense Ratio
has been adjusted to reflect the estimated management fee to be paid by the portfolio through 10/31/2014. The Advisor has contractually agreed to reduce the fee waiver expense limit from 0.10% to 0.08% of the Portfolio’s average daily
net assets on an annualized basis.
Standardized Performance Data & Disclosures
43
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As of December 31, 2013 Average Annual Total Returns (%) Symbol 1 Year 5 Years 10 Years
2. The net expense ratio applies to the indicated funds and takes into account a contractual management fee waiver and expense reimbursement agreement that currently is scheduled to remain in place through 2/28/2015. Please refer to
the prospectus for more complete information on advisory fees, expense reimbursements, and other expenses.
3. Assumed highest marginal tax rate in effect for capital gains and ordinary income. Income from funds managed for tax efficiency may be subject to an alternative minimum tax and/or any applicable state and local taxes.
Standardized Performance Data & Disclosures
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As of December 31, 2013 Average Annual Total Returns (%) Symbol 1 Year 5 Years 10 Years
Since Inception
Net Expense
Ratio1 (%)
Total (Gross) Expense
Ratio1 (%) Management
Fee Inception
Date
Tax Managed Portfolios3
Tax-Managed US Small Cap Portfolio DFTSX 43.37 21.76 9.01 10.27 0.52 0.52 0.50 12/15/1998
After Taxes on Distributions 42.98 21.56 8.73 10.05
After Taxes on Distributions and Sale of Fund Shares 24.53 17.85 7.39 8.76
Tax-Managed US Targeted Value Portfolio DTMVX 43.86 22.23 9.29 11.20 0.44 0.44 0.42 12/11/1998
After Taxes on Distributions 42.55 21.79 8.61 10.68
After Taxes on Distributions and Sale of Fund Shares 25.46 18.26 7.64 9.60
2. The net expense ratio applies to the indicated funds and takes into account a contractual management fee waiver and expense reimbursement agreement that currently is scheduled to remain in place through 2/28/2015. Please refer to
the prospectus for more complete information on advisory fees, expense reimbursements, and other expenses.
Standardized Performance Data & Disclosures
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As of December 31, 2013 Average Annual Total Returns (%) Symbol 1 Year 5 Years 10 Years
Dimensional US Small Low Profitability Index was created by Dimensional in
January 2013 and represents an index consisting of US small cap companies. It is
compiled by Dimensional. Small is defined as the bottom 10% of the US total
market capitalization. Within small cap companies, Dimensional sorts stocks into
three profitability groups from high to low. Each group represents one-third of the
market cap of small caps. The index represents the returns of the low-profitability
group. It is rebalanced once per year.
Dimensional US Small High Profitability Index was created by Dimensional
in January 2013 and represents an index consisting of US small cap companies.
It is compiled by Dimensional. Small is defined as the bottom 10% of the
US total market capitalization. Within small cap companies, Dimensional sorts stocks
into three profitability groups from high to low. Each group represents one-third of
the market cap of small caps. The index represents the returns of the high-
profitability group. It is rebalanced once per year.
Dimensional US Large Low Profitability Index was created by Dimensional in
January 2013 and represents an index consisting of US large cap companies. It is
compiled by Dimensional. Large is defined as the top 90% of the US total market
capitalization. Within large cap companies, Dimensional sorts stocks into three
profitability groups from high to low. Each group represents one-third of the market
cap of large caps. The index represents the returns of the low-profitability group. It
is rebalanced once per year.
Dimensional US Large High Profitability Index was created by Dimensional in
January 2013 and represents an index consisting of US large cap companies. It is
compiled by Dimensional. Large is defined as the top 90% of the US total market
capitalization. Within large cap companies, Dimensional sorts stocks into three
profitability groups from high to low. Each group represents one-third of the market
cap of large caps. The index represents the returns of the high-profitability group. It
is rebalanced once per year.
Dimensional International Small Cap Index was created in 2004 and is compiled by
Dimensional. The bottom 10% of market capitalization is included from each
Country. Countries are market cap weighted subject to a 50% cap. Before 1970, the
index is 50% UK and 50% Japan.
Dimensional International Low Profitability Index was created by Dimensional in
January 2013 and represents an index consisting of non-US Developed companies.
It is compiled by Dimensional. Dimensional sorts stocks into three profitability
groups from high to low (each representing one-third of the market capitalization).
The index represents the returns of the low-profitability group. The index is
rebalanced twice per year.
Dimensional International High Profitability Index was created by Dimensional in
January 2013 and represents an index consisting of non-US Developed companies.
It is compiled by Dimensional. Dimensional sorts stocks into three profitability
groups from high to low (each representing one-third of the market capitalization).
The index represents the returns of the high-profitability group. The index is
rebalanced twice per year.
Dimensional Emerging Markets Low Profitability Index was created by
Dimensional in April 2013 and represents an index consisting of emerging markets
companies and is compiled by Dimensional. Dimensional sorts stocks into three
profitability groups from high to low (each representing one-third of the market
capitalization). The index represents the returns of the low profitability group. It is
rebalanced twice per year.
Dimensional Emerging Markets High Profitability Index was created by
Dimensional in April 2013 and represents an index consisting of emerging markets
companies and is compiled by Dimensional. Dimensional sorts stocks into three
profitability groups from high to low (each representing one-third of the market
capitalization). The index represents the returns of the high profitability group. It is
rebalanced twice per year.
The Dimensional Indices have been retrospectively calculated by Dimensional Fund Advisors LP and did not exist prior to their index inceptions dates. Accordingly, the results shown during the periods prior to each Index’s index inception
date do not represent actual returns of the Index. Other periods selected may have different results, including losses. Backtested index performance is hypothetical and is provided for informational purposes only to indicate historical
performance had the index been calculated over the relevant time periods. Backtested performance results assume the reinvestment of dividends and capital gains.
Methodology used for computing profitability premiums: Dimensional controls for relative price (BtM) and size (market cap) when computing the annualized compound returns for high and low profitability stocks in US and non-US
developed markets and controls only for relative price in emerging markets. Profitability is measured as operating income before depreciation and amortization minus interest expense, scaled by book. Dimensional Index Data compiled by
Dimensional from CRSP, Compustat, and Bloomberg.
The results shown during the periods prior to each Index’s index inception date do not represent actual returns of the Index. Other periods selected may have different results, including losses. Backtested index performance is hypothetical
and is provided for informational purposes only to indicate historical performance had the index been calculated over the relevant time periods. Backtested performance results assume the reinvestment of dividends and capital gains.
Index Descriptions
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Fama/French US Large Growth Research Index: Provided by Fama/French from
CRSP securities data. Includes the upper-half range in market cap and the lower
30% in book-to-market of NYSE securities (plus NYSE Amex equivalents since July
1962 and Nasdaq equivalents since 1973).
Fama/French US Large Value Research Index: Provided by Fama/French from
CRSP securities data. Includes the upper-half range in market cap and the upper
30% in book-to-market of NYSE securities (plus NYSE Amex equivalents since July
1962 and Nasdaq equivalents since 1973).
Fama/French US Small Growth Research Index: Provided by Fama/French from
CRSP securities data. Includes the lower-half range in market cap and the lower 30%
in book-to-market of NYSE securities (plus NYSE Amex equivalents since July 1962
and Nasdaq equivalents since 1973).
Fama/French US Small Value Research Index: Provided by Fama/French from
CRSP securities data. Includes the lower-half range in market cap and the upper
30% in book-to-market of NYSE securities (plus NYSE Amex equivalents since July
1962 and Nasdaq equivalents since 1973).
Fama/French International Growth Index: 2008–present: Provided by Fama/French
from Bloomberg securities data. Simulated strategy of MSCI EAFE countries in the
lower 30% book-to-market range. 1975–2007: Provided by Fama/French from MSCI
securities data.
Fama/French International Value Index: 2008–present: Provided by Fama/French
from Bloomberg securities data. Simulated strategy of MSCI EAFE countries in the
upper 30% book-to-market range. 1975–2007: Provided by Fama/French from MSCI
securities data.
Fama/French Emerging Markets Growth Index : 2009–present: Provided by
Fama/French from Bloomberg securities data. Simulated strategy using IFC
investable universe countries. Companies in the lower 30% book-to-market range;
companies weighted by float-adjusted market cap; countries weighted by country
float-adjusted market cap; rebalanced monthly. 1989–2008: Provided by
Fama/French from IFC securities data. IFC data provided by International
Finance Corporation.
Fama/French Emerging Markets Value Index: 2009–present: Provided by
Fama/French from Bloomberg securities data. Simulated strategy using IFC
investable universe countries. Companies in the upper 30% book-to-market range;
companies weighted by float-adjusted market cap; countries weighted by country
float-adjusted market cap; rebalanced monthly. 1989–2008: Provided by
Fama/French from IFC securities data. IFC data provided by International
Finance Corporation.
Fama/French Emerging Markets Small Cap Index: 2009–present: Provided by
Fama/French from Bloomberg securities data. Simulated strategy using IFC
investable universe countries. Companies in the bottom 30% of aggregate market
cap; companies weighted by float-adjusted market cap; countries weighted by
country float-adjusted market cap; rebalanced monthly. 1989–2008: Provided by
Fama/French from IFC securities data. IFC data provided by International
Finance Corporation.
Index Description
January 1994–Present: Dimensional Emerging Markets Large
Value Index Composition: Consists of large cap companies
whose relative price is in the bottom 30% of their country’s
large companies after the exclusion of utilities and companies
with either negative or missing relative price data. The
index emphasizes companies with smaller capitalization, lower
relative price, and higher profitability. The index also excludes
those companies with the lowest profitability and highest
relative price within their country’s large value
universe. Profitability is measured as operating income before
depreciation and amortization minus interest expense scaled by
book. The index monthly returns are computed as the simple
average of the monthly returns of four sub-indices, each one
reconstituted once a year at the end of each quarter of the
year. Countries currently included are Brazil, Chile, China,
Colombia, Czech Republic, Greece, Hungary, India, Indonesia,
Malaysia, Mexico, Philippines, Poland, Russia, South Africa,
South Korea, Taiwan, Thailand, Turkey. Exclusions: REITs and
Investment Companies Source: Bloomberg
The Dimensional Emerging Markets Large Value Index has
been retrospectively calculated by Dimensional Fund Advisors
and did not exist prior to April 2008. Accordingly, the results
shown during the periods prior to April 2008 do not represent
actual returns of the Index. Backtested index performance is
hypothetical and is provided for informational purposes only to
indicate historical performance had the index been calculated
over the relevant time periods. Backtested performance results
assume the reinvestment of dividends and capital gains. The
Index is unmanaged and is not subject to fees and expenses
typically associated with managed accounts or investment
funds. Investments cannot be made directly in an index. Past
performance is no guarantee of future results.
The calculation methodology for the Dimensional Emerging
Markets Large Value Index was amended in January 2014 to
include direct profitability as a factor in selecting securities for
inclusion in the index.
The indices are rebalanced semiannually and backtested performance results assume reinvestment of dividends and capital gains. Filters were applied to data retroactively and with the benefit of hindsight. Returns are not representative of
actual portfolios and do not reflect costs and fees associated with an actual investment. Actual returns may be lower. It is not possible to invest directly in an index, which is unmanaged.
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Emerging Markets Market Premium: Fama/French Emerging Markets Index minus One-Month US Treasury Bills. Emerging Markets Value premium: Fama/French Emerging Markets Value Index minus Fama/French Emerging Markets Growth
Index. Emerging Markets Size Premium: Fama/French Emerging Markets Small Cap Index minus Fama/French Emerging Markets Index. Emerging Markets returns are simulated by Fama/French from IFC and Bloomberg data and are free-
float weighted. In US dollars. Indices are not available for direct investment. Their performance does not reflect the expenses associated with the management of an actual portfolio. Past performance is no guarantee of future results.
• Country diversification leads to diversification across multiple currencies
• Countries generally capped at 15% at point of purchase
• Sector target weights typically capped at their approximate weight in a broadly diversified, sector-neutral universe plus an additional 10%
• Industry groups generally capped at 25%
• Guidelines target a maximum 5% per issue at time of purchase
Implementation Risk
• Team managed
• Approved exchanges only; ongoing evaluation of listing requirements, liquidity, and settlement mechanism
Operational Risk
• Charles River customized Order Management System
• Comprehensive pre- and post-trade compliance
• Independent accountant, custodian bank, and auditors
• Independent mid-office in charge of trade processing
• Independent SSAE 16 audit performed annually
• Firm and subsidiary regulators include SEC, FINRA, FSA, ASIC, BCSC, MSC, BaFin, and OSC
Style Risk
• Monitor characteristics of individual securities and overall strategy to prevent style drift
Dimensional’s Investment Committee is responsible for creating investment guidelines specific to each portfolio. The Investment Committee considers the investment objectives and limitations set forth in each portfolio’s governing
agreements when addressing risk, and investment guidelines may be distinct between Dimensional-managed portfolios.
Summary of Portfolio Risk Management Provides diversification and broad oversight with minimal style drift
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Presenters’ Biographies
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Joseph H. Chi, CFA Co-Head of Portfolio Management and Vice President
Joseph Chi is co-head of Portfolio Management, chairman of the Investment Committee, and a member of the
Investment Policy Committee at Dimensional. Together with Jed Fogdall, Joe oversees Dimensional's global
portfolio management team, including US equity, non-US equity, and fixed income strategies. He is involved in the
design and marketing of new products and strategies, speaking frequently to current and prospective clients on
many investment-related topics. Joe joined Dimensional in 2005 as a portfolio manager on the international equity
team. Previously a securities and finance attorney, Joe specialized in venture capital, public offerings, and mergers
and acquisitions.
Joe earned his MBA from the Anderson School of Management at the University of California, Los Angeles, in 2005
with a concentration in finance. He is a CFA Charterholder who also holds a JD from the University of Southern
California and a BS in electrical engineering from UCLA.
Ted Simpson, CFA Vice President
Ted Simpson, a vice president on the Institutional Services team, is responsible for developing and maintaining
relationships with public pension funds, foundations, endowments, Taft-Hartley plan sponsors, and corporate
pension and defined contribution plans.
Since joining Dimensional in 2002, Ted has held a number of positions within the firm. He began as a marketing
consultant before taking a leadership role in the firm's defined contribution market initiative. Later, Ted got involved
with Dimensional's consultant relations effort and eventually helped manage the group. Most recently, he has shifted
his attention to working directly with clients.
Prior to joining Dimensional, Ted worked for Salomon Brothers, Legal & General, Mattel, Lion Nathan, and a fee-only
RIA. He earned an MBA in marketing, strategy, and organizational behavior from the Kellogg School of Management
at Northwestern University, and a BA in politics and economics from Princeton University. Ted is a CFA