Dfa fixed income strategies 9-30-2013

Fixed Income Strategies

Data as of September 30, 2013

This information is provided for registered investment advisors and institutional investors, 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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Agenda 1. Dimensional

2. Portfolio Design

3. Portfolio Management

4. Portfolio Implementation

5. Performance and Characteristics

6. Summary

7. Appendix

Dimensional

Dimensional Fund Advisors Putting financial science to work for clients

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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 September 30, 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

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Vancouver

Santa Monica Austin

London Amsterdam

Berlin

Singapore

Sydney

Tokyo

Investment Personnel

Client Service

750 employees globally

$315B in global AUM

Founded in 1981

Toronto

1. Members of Dimensional Fund Advisors LP's Investment Policy Committee. The “Dimensional US Mutual Funds” refer to The DFA Investment Trust Company, DFA Investment Dimensions Group Inc., Dimensional Investment Group Inc. and Dimensional Emerging Markets Value Fund Inc.

Strong Ties to Leading Academics Benefit our Clients

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Academic Consultants

Mutual Fund Board of Directors

Kenneth R. French1 Tuck School of Business Dartmouth College Eugene F. Fama,1 Nobel laureate Booth School of Business University of Chicago Robert C. Merton,1 Nobel laureate Sloan School of Management Massachusetts Institute of Technology Toshiki Honda Graduate School of International Corporate Strategy Hitotsubashi University Jonathan W. Lewellen Tuck School of Business Dartmouth College Sunil Wahal W. P. Carey School of Business Arizona State University

George M. Constantinides Booth School of Business University of Chicago John P. Gould Booth School of Business University of Chicago Roger G. Ibbotson Yale School of Management Yale University Edward P. Lazear Graduate School of Business Stanford University Myron S. Scholes, Nobel laureate Graduate School of Business Stanford University Abbie J. Smith Booth School of Business University of Chicago

As of December 31, 2013. 1. Investment Policy Committee and Investment Committee member.

Experienced Fixed Income Team Dedicated to consistent implementation of investment strategies

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Investment Policy Committee

• Long-term, strategic focus

• 19 investment practitioners and academics, including 2 Nobel laureates

Investment Committee

• Implementation and daily oversight

• 11 investment practitioners

Research

• Synthesis of client needs and financial theory into investment solutions

• 35+ professionals, including 12 PhDs

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PORTFOLIO MANAGEMENT YEARS OF

EXPERIENCE YEARS AT

DIMENSIONAL

David Plecha,1 CFA, Global Head of Fixed Income 27 25

Joseph Kolerich,1 Senior Portfolio Manager 21 13

Alexander Fridman, PhD, CFA, FRM, Portfolio Manager 9 1

Stephen Garth, PhD, Portfolio Manager 13 13

Didier Haenecour, MSc, CIIA, Portfolio Manager 21 1

Alan Hutchison, Portfolio Manager 7 7

Damien Koch, Portfolio Manager 13 2

Travis Meldau, Portfolio Manager 10 2

Pamela Noble, CFA, Portfolio Manager 22 6

Gillian Wilson, Portfolio Manager 12 6

Yan Luo, CFA, Investment Associate 11 11

David Shao, CFA, Investment Associate 7 7

Polly Weiss, Investment Associate 9 6

Elizabeth French, Portfolio Analyst 4 3

TRADING

David LaRusso, Senior Trader 13 13

Claudette Higdon, Trader 14 14

Kipp Cummins, Trader 8 2

PRODUCT MANAGEMENT AND STRATEGY

Tom Goodrum, CFA, Fixed Income Strategist 19 2

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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 $315 billion in global AUM as of September 30, 2013

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Other $11.5

Real Estate $7.2

Commodities $0.7

Global Balanced $3.6

(in billions)

US $91.7

All Cap Core $25.6

All Cap Value $4.2

Large Cap $5.3

Large Cap Value $14.6

SMID Cap Value $8.9

Small Cap $13.0

Small Cap Value $14.8

Micro Cap $5.2

Fixed Income $68.1

US Taxable $38.9

US Tax-Exempt $2.6

Non-US & Global $23.7

Inflation-Protected $2.8

Global Equity $19.0

All Cap/Large Cap $10.2

Value $6.8

Small/SMID Cap $2.0

Developed ex-US $67.3

All Cap Core $14.6

All Cap Value $5.8

Large Cap $5.6

Large Cap Value $16.1

Small Cap $12.7

Small Cap Value $12.4

Emerging Markets $57.9

All Cap Core $16.6

Value $30.1

Large Cap $7.1

Small Cap $4.1

Other 3%

Global Equity 6%

Developed ex-US Equities 21%

US Equities 29%

Fixed Income 22%

Emerging Markets 18%

As of September 30, 2013. All assets in US dollars. Numbers may not total 100% due to rounding.

Extensive Fixed Income Capabilities 30 years of experience and $69.6 billion in assets under management

• Earliest strategy inception

in 1983

• Multi-disciplinary franchise with global reach

• Based upon rigorous academic research

• Experienced investment team

• Consistent portfolio management and execution

• Value-added execution

• Competitively priced solutions

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STRATEGIES BY DURATION

MANDATE CATEGORIES

STRATEGIES BY REGION OF INVESTMENT

Credit Global Government Regional

US Municipal Specialized Inflation-Linked

Intermediate + Longer $25B

Short $15B

Ultra-Short $30B

Global and Non-US $25B

US $45B

Portfolio Design

Variable Maturity Strategy Overview

Research covering the period since 1953 concludes that the current yield curve is the best estimate of future yield curves.

Dimensional seeks to generate returns over benchmarks by employing a variable maturity strategy that:

• Uses only information in the current yield curve.

• Involves no interest rate forecasting.

• Identifies optimal risk-adjusted segments of the yield curve.

• Shifts maturity of the portfolio in response to yield curve changes.

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Portfolio Management

INVERTED YIELD CURVE

For illustrative purposes only.

Finding the Optimal Maturity The highest forward rate in the yield curve determines the choice of maturity

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• Extend maturities when there is an anticipated reward for doing so.

• With a steep yield curve, extend the maturity.

• Stay short when longer maturities do not provide additional return.

• With an inverted yield curve, invest in cash equivalents.

NORMAL YIELD CURVE

2.6

2.8

3.0

3.2

3.4

3.6

3.8

4.0

3 6 9 12 15 18 21 24

Yie

ld %

Maturity (months)

Optimal Maturity

2.6

2.8

3.0

3.2

3.4

3.6

3.8

4.0

3 6 9 12 15 18 21 24

Yie

ld %

Maturity (months)

Optimal Maturity

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For illustrative purposes only.

Finding the Optimal Maturity and Holding Period Dimensional’s approach utilizes the information revealed in current prices

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• Dimensional uses the current yield curve as an estimate of future yield curves to construct a matrix of expected returns.

• For this example, the highest expected annualized return, 5.73%, is for a strategy of buying instruments with 18-month maturities and selling them in 3 months when their maturities are 15 months.

21 4.65

18 4.32 3.98

15 4.79 4.85 5.73

12 4.50 4.45 4.68 3.64

9 4.39 4.32 4.44 3.80 3.95

6 4.22 4.13 4.17 3.65 3.65 3.35

3 4.07 3.98 3.98 3.54 3.51 3.29 3.22

0 3.90 3.79 3.76 3.37 3.30 3.08 2.94 2.66

24 21 18 15 12 9 6 3

Maturity (months) at Time of Purchase

Mat

urit

y (m

ont

hs) a

t Ti

me

of

Sale

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For illustrative purposes only. Hedged into US dollars with one-month forward contracts.

International Yield Curves Effects of currency hedging

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• Hedging with one-month forward contracts removes currency risk.

– This results in a broadened menu of risk premiums for extended maturities.

• Diversification across the different markets makes the premium more reliable.

– In this example, Japan has the lowest unhedged rates, but is most attractive hedged because its curve is the steepest.

• Selectively hedged accepts some currency risk.

– In this example, New Zealand is left unhedged.

YIELD CURVES

New Zealand

1 Month 1 Year 5 YearsMaturity

Unhedged Yield Curves

Japan

US

2%

4%

6%

8%

10%

0%

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y

US


Japan

2%

4%

6%

8%

10%

0%

New Zealand

Selectively Hedged Yield Curves

New Zealand


Japan

US

2%

4%

6%

8%

10%

0%

Hedged Yield Curves

Citigroup World Government Bond Index 1–30+ Years country carve-outs, hedged into US dollars. Citigroup bond indices copyright 2013 by Citigroup. Due to the lack of data, Germany serves as a proxy for the EMU in this example.

Opportunity for Diversification Modest correlations between hedged country bond indices Monthly: February 1991–September 2013

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• After hedging away currency risk, bond markets around the world will have only modest correlations.

• Hence, a global hedged portfolio should exhibit lower volatility than a US-only portfolio or an unhedged global portfolio.

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CORRELATIONS (R)

Australia Canada Denmark Germany Japan Sweden Switzerland UK

Australia 1.000

Canada 0.719 1.000

Denmark 0.494 0.534 1.000

Germany 0.540 0.552 0.859 1.000

Japan 0.323 0.313 0.168 0.321 1.000

Sweden 0.566 0.537 0.766 0.732 0.225 1.000

Switzerland 0.477 0.411 0.624 0.726 0.277 0.578 1.000

UK 0.532 0.627 0.730 0.751 0.222 0.646 0.547 1.000

US 0.672 0.749 0.581 0.683 0.304 0.536 0.528 0.642

Global Hedged and Global Unhedged are equal-weighted portfolios of Australia, Canada, Germany, Japan, Switzerland, UK, and US country carve-outs of Citigroup World Government Bond Index 1–30+ Years. Citigroup bond indices copyright 2011 by Citigroup. Barclays data, formerly Lehman Brothers, provided by Barclays Bank PLC.

Risk Measures Monthly: January 1985–June 2012

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Global Hedged

Global Unhedged

Barclays US Aggregate Bond Index

Annualized Standard Deviation 3.45% 7.81% 4.20%

Approximate Duration (years) 6.84 6.84 5.07

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Portfolio Implementation

Dimensional’s Fixed Income Trading Advantage Value added through a flexible process that allows for substitutability

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• Bonds A and B are substitutes; C and D are not (maturity, issuer type, credit rating, etc.).

• Absent liquidity demands, A and B have similar values.

• Liquidity pressure drives temporary short-term price differences

Dimensional’s process gives traders the flexibility to buy either A or B and provide liquidity for a price to those seeking immediacy.

Price

$100.50

$100.00

$99.50

Liquidity-driven trading range

Time 9:00 am 1:00 pm

$99.00

$101.00

Time 0

C

A B

A

B A

B

D

C C

D

D

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Dimensional’s Fixed Income Trading Advantage Value added through liquidity provision and flexible trading

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• Like other assets, supply and demand impact the price of bonds.

• Absent new information, bonds trade within a range driven by liquidity and temporary short-term price pressure

Dimensional captures these movements by providing liquidity to buyers and sellers willing to cross the spread.

CAPTURING THE SPREAD

Price Value/Price at time A

Price at time B as seller demands liquidity

Price at time C as buyer demands liquidity

$100.50

$100.00

$99.50

Liquidity-driven trading range

Time

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Amy Edwards, Lawrence Harris, and Michael Piwowar, “Corporate Bond Market Transaction Costs and Transparency,” Journal of Finance 62, no. 3 (June 2007): 1421–51.

Dimensional’s Fixed Income Trading Advantage Value added through attention to trade size

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• Trade size affects spreads for bonds.

• Small trades and very large trades are forced to pay wider spreads.

Dimensional’s trade size is typically where transaction costs are lower.

TRADE SIZE VS. TRANSACTION COST

100

75

50

25

0 10 100 1,000 10,000

Bps

Trade Size

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Performance and Characteristics

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. The BofA Merrill Lynch Indices are used with permission; copyright 2014 Merrill Lynch, Pierce, Fenner & Smith Incorporated; all rights reserved. Merrill Lynch, Pierce, Fenner & Smith Incorporated is a wholly owned subsidiary of Bank of America Corporation. Prior to June 1991, BofA Merrill Lynch 1-Year US Treasury Note Index, One-Year Treasury Notes provided by the Center for Research in Security Prices, University of Chicago. 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 8/83 Portfolio Inception

10-Year Annualized

Standard Deviation (%)

ONE-YEAR FIXED INCOME PORTFOLIO 0.34 0.62 0.99 2.20 5.17 0.75

BofA Merrill Lynch 1-Year US Treasury Note Index 0.25 0.35 0.54 2.07 5.08 0.80

BofA Merrill Lynch 6-Month US Treasury Bill Index 0.18 0.21 0.31 1.97 4.74 0.63

Calendar Year Returns (%)

ONE-YEAR FIXEDINCOME PORTFOLIO

BofA Merrill Lynch 1-YearUS Treasury Note Index

BofA Merrill Lynch 6-MonthUS Treasury Bill Index

2004 0.89 0.83 1.22

2005 2.30 2.36 3.10

2006 4.78 4.32 4.81

2007 5.19 5.95 5.61

2008 4.02 4.75 3.58

2009 1.92 0.80 0.58

2010 1.16 0.83 0.36

2011 0.59 0.57 0.27

2012 0.93 0.24 0.17

2013 0.34 0.25 0.18

Numbers may not total 100% due to rounding. Holdings are subject to change. The BofA Merrill Lynch Indices are used with permission; copyright 2013 Merrill Lynch, Pierce, Fenner & Smith Incorporated; all rights reserved. Merrill Lynch, Pierce, Fenner & Smith Incorporated is a wholly owned subsidiary of Bank of America Corporation.

Characteristics As of September 30, 2013

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DISTRIBUTION BY MATURITY Percent Comparative Percentages Percent Percent

0–3 Months 22.2 1,770.69 (42) — — — — — —

3–6 Months 9.8 781.09 (17) — — — 100.0 24,995.08 (1)

6–9 Months 10.5 841.63 (25) — — — — — —

9–12 Months 6.9 552.70 (9) — — — — — —

1–3 Years 50.6 4,035.07 (87) 100.0 35,046.72 (1) — — —

Total 100.0 7,981.18 (180) 100.0 35,046.72 (1) 100.0 24,995.08 (1)

DISTRIBUTIONBY SECURITY TYPE

Certificate of Deposit 1.8 140.45 (1) — — — — — —

Commercial Paper 5.1 410.90 (10) — — — — — —

Corporate Bond 18.5 1,474.93 (43) — — — — — —

Floating Rate Note 14.7 1,174.68 (27) — — — — — —

Government Bond 59.9 4,780.22 (99) 100.0 35,046.72 (1) 100.0 24,995.08 (1)

Total 100.0 7,981.18 (180) 100.0 35,046.72 (1) 100.0 24,995.08 (1)

Average Maturity 0.95 Years 1.00 Years 0.49 Years

Average Duration 0.95 Years 1.00 Years 0.48 Years

BofA Merrill Lynch 6-Month US Treasury Bill Index

$ Millions (# of issues)



BofA Merrill Lynch 1-Year US Treasury Note Index

ONE-YEAR FIXEDINCOME PORTFOLIO



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DISTRIBUTIONBY CREDIT RATING Percent Comparative Percentages Percent Percent

Aaa/AAA 44.6 3,562.67 (75) 100.0 35,046.72 (1) 100.0 24,995.08 (1)

Aa1/AA+ 14.2 1,136.74 (24) — — — — — —

Aa2/AA 10.7 855.15 (25) — — — — — —

Aa3/AA- 8.0 640.23 (15) — — — — — —

A1/A+ 0.3 24.30 (1) — — — — — —

A2/A 0.5 36.07 (2) — — — — — —

P-1/A-1+ 18.1 1,444.39 (32) — — — — — —

P-1/A-1 3.5 281.63 (6) — — — — — —

Total 100.0 7,981.18 (180) 100.0 35,046.72 (1) 100.0 24,995.08 (1)

DISTRIBUTIONBY CURRENCY

US Dollar 100.0 7,981.18 (180) 100.0 35,046.72 (1) 100.0 24,995.08 (1)

BofA Merrill Lynch 6-Month US Treasury Bill Index




BofA Merrill Lynch 1-Year US Treasury Note Index

ONE-YEAR FIXED INCOME PORTFOLIO

Average Maturity The strategy varies maturity in response to changes in the yield curve, Monthly: August 1983–September 30, 2013

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ONE-YEAR FIXED INCOME PORTFOLIO

In flat or inverted curves, the lack of a risk premium for extending resulted in a shorter maturity.

0

50

100

150

200

250

300

350

400

Day

s

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. 2. Formerly the Five-Year Government Portfolio. The BofA Merrill Lynch Indices are used with permission; copyright 2014 Merrill Lynch, Pierce, Fenner & Smith Incorporated; all rights reserved. Merrill Lynch, Pierce, Fenner & Smith Incorporated is a wholly owned subsidiary of Bank of America Corporation. 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.


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10-Year Annualized


SHORT-TERM GOVERNMENT PORTFOLIO2 -0.45 1.50 2.08 3.15 5.55 2.50

BofA Merrill Lynch US Treasury/Agency Index 1–5 Years -0.17 1.33 1.67 3.12 — 1.95


SHORT-TERM

GOVERNMENT PORTFOLIO2BofA Merrill Lynch US Treasury/

Agency Index 1–5 Years

2004 2.74 1.47

2005 0.77 1.45

2006 4.51 4.04

2007 4.95 7.88

2008 8.36 8.37

2009 1.46 0.91

2010 4.45 3.46

2011 3.39 3.19

2012 1.59 0.98

2013 -0.45 -0.17

1. Formerly the Five-Year Government Portfolio. Numbers may not total 100% due to rounding. Holdings are subject to change. The BofA Merrill Lynch Indices are used with permission; copyright 2013 Merrill Lynch, Pierce, Fenner & Smith Incorporated; all rights reserved. Merrill Lynch, Pierce, Fenner & Smith Incorporated is a wholly owned subsidiary of Bank of America Corporation.


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DISTRIBUTIONBY MATURITY Percent Comparative Percentages Percent

1–3 Years 56.8 984.78 (25) 58.1 3,043,551.78 (421)

3– 5 Years 43.2 748.33 (15) 41.9 2,198,489.67 (291)

Total 100.0 1,733.11 (40) 100.0 5,242,041.46 (712)


Government Bond 100.0 1,733.11 (40) 100.0 5,242,041.46 (712)

Average Maturity 2.82 Years 2.78 Years

Average Duration 2.71 Years 2.68 Years

BofA Merrill Lynch US Treasury/Agency Index 1–5 Years

SHORT-TERM GOVERNMENT

PORTFOLIO



1

1. Formerly the Five-Year Government Portfolio. Numbers may not total 100% due to rounding. Holdings are subject to change. The BofA Merrill Lynch Indices are used with permission; copyright 2013 Merrill Lynch, Pierce, Fenner & Smith Incorporated; all rights reserved. Merrill Lynch, Pierce, Fenner & Smith Incorporated is a wholly owned subsidiary of Bank of America Corporation.


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DISTRIBUTIONCREDIT RATING Percent Comparative Percentages Percent

Aaa/AAA 100.0 1,733.11 (40) 97.1 5,088,169.36 (512)

Aaa/AA+ — — — 2.9 153,872.09 (200)

Total 100.0 1,733.11 (40) 100.0 5,242,041.46 (712)


US Dollar 100.0 1,733.11 (40) 100.0 5,242,041.46 (712)



BofA Merrill Lynch US Treasury/Agency Index 1–5 Years

SHORT-TERM GOVERNMENT

PORTFOLIO1

1. Formerly the Five-Year Government Portfolio.

Average Weighted Maturity The strategy varies maturity in response to changes in the yield curve, Quarterly: June 1987–September 2013

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SHORT-TERM GOVERNMENT PORTFOLIO1

0

1

2

3

4

5

6

6/1987 1989 1991 1993 1995 1997 1999 2001 2003 2005 2007 2009 2011 2013

Yea

rs

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. Barclays indices copyright Barclays 2014. 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.


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10-Year Annualized


INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO -3.52 3.07 3.05 4.67 6.73 4.57

Barclays US Government Bond Index -2.60 2.70 2.26 4.14 6.26 3.94


INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO

Barclays US Government Bond Index

2004 4.28 3.48

2005 1.64 2.65

2006 3.59 3.48

2007 9.53 8.66

2008 12.88 12.39

2009 -0.72 -2.20

2010 6.92 5.52

2011 9.43 9.02

2012 3.71 2.02

2013 -3.52 -2.60

Numbers may not total 100% due to rounding. Holdings are subject to change. Barclays indices copyright Barclays 2013.


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0–3 Months 0.2 7.16 (1) — — —

3–6 Months 0.4 13.01 (2) — — —

6–9 Months 2.6 90.92 (5) — — —

9–12 Months 1.7 60.74 (3) — — —

1–3 Years 11.1 393.03 (25) 41.2 2,790,957.61 (425)

3–5 Years 26.7 943.08 (21) 25.9 1,754,429.22 (291)

5–7 Years 28.1 995.00 (23) 12.5 845,913.53 (121)

7–10 Years 22.1 782.06 (24) 9.7 660,776.59 (89)

10–20 Years 7.2 253.26 (6) 2.7 180,503.14 (48)

20–30 Years — — — 8.0 543,351.94 (41)

30+ Years — — — 0.0 2,565.45 (3)

Total 100.0 3,538.26 (110) 100.0 6,778,497.49 (1018)


100.0 3,538.26 (110) 100.0 6,778,497.49 (1018)









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DISTRIBUTIONBY CREDIT RATING Percent Comparative Percentages Percent

Aaa/AAA 100.0 3,538.26 (110) 97.0 6,577,163.58 (745)

Aa1/AA+ — — — 2.9 194,985.42 (270)

Aa3/AA- — — — 0.1 4,928.98 (1)

A2/A — — — 0.0 1,419.51 (2)

Total 100.0 3,538.26 (110) 100.0 6,778,497.49 (1018)


US Dollar 100.0 3,538.26 (110) 100.0 6,778,497.49 (1018)





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. 2. As of June 18, 2013, the Two-Year Global Fixed Income Portfolio has changed its benchmark to the Citigroup World Government Bond Index 1-2 Years (hedged) because this index better reflects the universe of securities in which the portfolio invests. Citigroup bond indices copyright 2014 by Citigroup. 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.


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10-Year Annualized


TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO 0.46 0.76 1.22 2.24 3.65 0.84

Citigroup World Government Bond Index 1–2 Years (hedged)2 0.66 0.94 1.08 2.49 — 0.81

Citigroup World Government Bond Index 1–3 Years (hedged) 0.76 1.18 1.39 2.76 4.02 0.96


TWO-YEAR GLOBALFIXED INCOME PORTFOLIO

Citigroup World Government Bond Index 1–2 Years (hedged)2

Citigroup World Government Bond Index 1–3 Years (hedged)

2004 0.74 1.60 1.93

2005 1.90 2.69 2.92

2006 4.46 4.37 4.34

2007 5.27 5.91 6.04

2008 4.08 5.10 5.55

2009 2.08 1.65 2.06

2010 1.75 0.94 1.35

2011 0.78 1.14 1.43

2012 1.03 1.03 1.36

2013 0.46 0.66 0.76

Numbers may not total 100% due to rounding. Holdings are subject to change. Citigroup bond indices copyright 2013 by Citigroup.


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DISTRIBUTION BY MATURITY Percent

Comparative Percentages Percent

0–3 Months 2.4 131.41 (6) — — —

3–6 Months 9.8 532.32 (13) — — —

6–9 Months 13.6 740.21 (13) — — —

9–12 Months 6.2 337.03 (8) — — —

1–3 Years 68.1 3,710.91 (64) 100.0 3,294,855.08 (128)

Total 100.0 5,451.89 (104) 100.0 3,294,855.08 (128)

DISTRIBUTIONBY CREDIT RATING

Aaa/AAA 44.3 2,417.32 (48) 16.1 529,408.22 (31)

Aa1/AA+ 24.4 1,331.67 (26) 50.4 1,659,213.48 (47)

Aa2/AA 15.1 825.03 (15) 1.2 40,152.21 (3)

Aa3/AA- 14.4 785.81 (12) 21.3 702,330.12 (27)

A2/A 0.8 44.39 (1) 0.6 20,691.13 (4)

A3/A- — — — 0.5 17,934.62 (3)

Baa1/BBB+ — — — 0.2 5,305.64 (1)

Baa2/BBB — — — 5.6 185,687.19 (7)

Baa3/BBB- — — — 4.1 134,132.48 (5)

P-1/A-1+ 0.3 16.05 (1) — — —

P-1/A-1 0.6 31.62 (1) — — —

Total 100.0 5,451.89 (104) 100.0 3,294,855.08 (128)



Citigroup World Government Bond Index 1–2 Years

(hedged)

TWO-YEAR GLOBAL FIXED INCOME

PORTFOLIO





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DISTRIBUTION BY SECURITY TYPE Percent

Comparative Percentages Percent

Corporate Bond 33.1 1,804.29 (34) — — —Floating-Rate Note 0.9 47.66 (2) — — —Government Bond 66.0 3,599.93 (68) 100.0 3,294,855.08 (128)Total 100.0 5,451.89 (104) 100.0 3,294,855.08 (128)


Australian Dollar — — — 0.8 26,700.95 (2)British Pound 1.5 83.61 (3) 2.5 81,541.93 (2)Canadian Dollar 11.8 644.73 (9) 2.5 83,718.74 (7)Danish Krone 2.7 147.39 (1) 0.3 11,152.09 (1)Euro 37.2 2,028.04 (32) 25.0 824,822.35 (35)Japanese Yen 0.6 30.16 (1) 21.3 702,330.12 (27)Malaysian Ringgit — — — 0.2 7,308.30 (2)Mexican Peso — — — 0.5 16,715.13 (2)New Zealand Dollar 2.2 119.83 (7) — — —Norwegian Krone 0.7 40.18 (1) 0.4 13,739.76 (1)Polish Zloty — — — 0.4 13,382.84 (2)Singapore Dollar — — — 0.4 11,768.99 (3)South African Rand — — — 0.0 1,219.49 (1)Swedish Krona — — — 0.4 12,057.23 (1)Swiss Franc — — — 0.2 5,315.47 (1)US Dollar 43.3 2,357.94 (50) 45.0 1,483,081.70 (41)Total 100.0 5,451.89 (104) 100.0 3,294,855.08 (128)



Citigroup World Government Bond Index 1–2 Years

(hedged)

TWO-YEAR GLOBAL FIXED INCOME

PORTFOLIO

Average Weighted Maturity The strategy varies maturity in response to changes in the yield curve Monthly: January 1997–September 2013

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TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO

0.0

0.2

0.4

0.6

0.8

1.0

1.2

1.4

1.6

1.8

1997 1999 2001 2003 2005 2007 2009 2011 2013

Yea

rs

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. Citigroup bond indices copyright 2014 by Citigroup. 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.


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10-Year Annualized


FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO -0.41 2.94 3.66 3.60 5.82 2.51

Citigroup World Government Bond Index 1–5 Years (hedged) 0.62 1.67 1.86 3.19 5.17 1.31


FIVE-YEAR GLOBALFIXED INCOME PORTFOLIO


2004 2.89 2.66

2005 1.72 3.08

2006 3.89 4.09

2007 5.22 6.30

2008 4.02 6.59

2009 4.19 2.29

2010 5.30 1.99

2011 4.51 2.31

2012 4.80 2.10

2013 -0.41 0.62



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1–3 Years 2.8 210.85 (7) 58.6 5,796,374.89 (239)

3–5 Years 97.3 7,469.50 (143) 41.4 4,094,940.41 (172)

Total 100.0 7,680.35 (150) 100.0 9,891,315.30 (411)

DISTRIBUTION BY CREDIT RATING

Aaa/AAA 43.5 3,338.67 (64) 16.9 1,675,111.41 (97)

Aa1/AA+ 26.2 2,013.06 (34) 47.2 4,665,482.17 (158)

Aa2/AA 19.9 1,524.86 (33) 1.6 155,497.89 (10)

Aa3/AA- 10.5 803.77 (19) 22.3 2,203,589.74 (74)

A1/A+ — — — — — —

A2/A — — — 1.2 117,563.37 (22)

A3/A- — — — 0.8 74,846.76 (10)

Baa1/BBB+ — — — 0.3 30,438.64 (3)

Baa2/BBB — — — 5.9 583,483.27 (23)

Baa3/BBB- — — — 3.9 385,302.06 (14)

Total 100.0 7,680.35 (150) 100.0 9,891,315.30 (411)

Average Maturity 4.06 Years 2.77

Years

Average Duration 3.88 Years 2.68

Years


FIVE-YEAR GLOBAL FIXED INCOME

PORTFOLIO

$ Millions (# of Issues)

$ Millions (# of Issues)



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DISTRIBUTION BY SECURITY TYPE Percent Comparative Percentages Percent

Corporate Bond 38.4 2,951.56 (65) — — —

Government Bond 61.6 4,728.79 (85) 100.0 9,891,315.00 (411)

Total 100.0 7,680.35 (150) 100.0 9,891,315.00 (411)

DISTRIBUTION BY CURRENCY

Australian Dollar — — — 1.1 111,429.42 (7)

British Pound 11.4 879.00 (16) 3.5 341,184.46 (10)

Canadian Dollar — — — 2.2 213,908.79 (20)

Danish Krone 1.7 132.36 (1) 0.5 46,228.93 (4)

Euro 15.5 1,189.99 (18) 27.4 2,705,597.38 (111)

Japanese Yen — — — 22.3 2,203,589.74 (74)

Malaysian Ringgit — — — 0.4 41,876.72 (12)

Mexican Peso — — — 0.7 64,693.42 (8)

New Zealand Dollar 0.2 18.28 (1) — — —

Norwegian Krone — — — 0.3 24,814.89 (2)

Polish Zloty — — — 0.8 75,686.65 (10)

Singapore Dollar 0.8 58.86 (1) 0.3 27,582.76 (8)

South Aftrican Rand — — — 0.1 10,153.34 (2)

Swedish Krona — — — 0.3 30,428.83 (3)

Swiss Franc — — — 0.3 29,133.84 (4)

US Dollar 70.3 5,401.86 (113) 40.1 3,965,006.13 (136)

Total 100.0 7,680.35 (150) 100.0 9,891,315.30 (411)




FIVE-YEAR GLOBAL FIXED INCOME

PORTFOLIO

Average Weighted Maturity The strategy varies maturity in response to changes in the yield curve Monthly: April 1997–September 2013

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FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO

0.0

1.0

2.0

3.0

4.0

5.0

6.0

4/1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013

Yea

rs

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

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, 2012. 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 2/28/2014. Please refer to the prospectus for more complete information on advisory fees, expense reimbursements, and other expenses. 3. Anticipated expenses for the full fiscal year.


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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 US Equity Portfolios US Core Equity 1 Portfolio2 DFEOX 36.60 19.87 — 8.11 0.19 0.19 0.17 9/15/2005 US Core Equity 2 Portfolio2 DFQTX 37.76 20.16 — 8.09 0.22 0.22 0.20 9/15/2005 US Vector Equity Portfolio2 DFVEX 40.21 20.81 — 8.21 0.32 0.32 0.30 12/30/2005 US Micro Cap Portfolio DFSCX 45.06 22.78 9.29 12.58 0.52 0.52 0.50 12/23/1981 US Small Cap Portfolio DFSTX 42.21 23.78 10.15 11.20 0.37 0.37 0.35 3/19/1992 US Small Cap Value Portfolio DFSVX 42.38 22.89 10.02 12.90 0.52 0.52 0.50 3/2/1993

US Small Cap Growth Portfolio2,3 DSCGX 42.73 — — 42.07 0.40 0.43 0.35 12/20/2012 US Targeted Value Portfolio2 DFFVX 43.03 22.14 10.42 13.05 0.38 0.38 0.35 2/23/2000 US Large Cap Value Portfolio DFLVX 40.32 21.02 8.88 10.52 0.27 0.27 0.25 2/19/1993 US Large Cap Growth Portfolio2,3 DUSLX 33.93 — — 32.53 0.20 0.24 0.17 12/20/2012 US Large Company Portfolio2 DFUSX 32.33 17.91 7.42 4.53 0.10 0.10 0.08 9/23/1999 Enhanced US Large Company Portfolio DFELX 32.11 18.66 7.35 8.14 0.25 0.25 0.20 7/2/1996

Non-US Equity Portfolios International Core Equity Portfolio2 DFIEX 23.43 14.57 — 5.98 0.40 0.40 0.35 9/15/2005 International Vector Equity Portfolio2 DFVQX 24.31 15.53 — 6.44 0.54 0.54 0.45 8/14/2008 International Small Company Portfolio2 DFISX 27.44 17.67 10.31 7.60 0.56 0.56 0.40 9/30/1996 International Small Cap Value Portfolio DISVX 32.39 17.09 10.92 8.28 0.71 0.71 0.65 12/29/1994 International Small Cap Growth Portfolio2,3 DISMX 27.60 — — 27.31 0.55 0.63 0.50 12/20/2012 International Value Portfolio DFIVX 23.12 12.98 8.05 7.24 0.45 0.45 0.40 2/15/1994 International Large Cap Growth Portfolio2,3 DILRX 22.99 — — 22.60 0.30 0.34 0.25 12/20/2012 Large Cap International Portfolio DFALX 20.69 12.22 7.03 6.27 0.30 0.30 0.25 7/17/1991 Emerging Markets Core Equity Portfolio2 DFCEX -2.64 16.13 — 10.04 0.68 0.68 0.55 4/5/2005 Emerging Markets Small Cap Portfolio DEMSX -1.38 19.82 13.18 12.96 0.82 0.82 0.65 3/5/1998 Emerging Markets Value Portfolio DFEVX -3.80 14.92 12.97 12.17 0.61 0.61 0.50 4/1/1998 Emerging Markets Portfolio DFEMX -3.12 14.81 11.63 7.73 0.61 0.61 0.50 4/25/1994 World ex US Value Portfolio2 DFWVX 17.02 — — 8.63 0.60 0.84 0.47 8/23/2010 World ex US Targeted Value Portfolio 2,3 DWUSX 19.91 — — 24.21 0.80 1.27 0.58 11/1/2012 World ex US Core Equity Portfolio2,3 DFWIX — — — 11.04 0.47 1.85 0.40 4/9/2013

Global Portfolios Global Allocation 25/75 Portfolio

2 DGTSX 5.85 7.22 4.91 4.94 0.28 0.45 0.20 12/24/2003

Global Allocation 60/40 Portfolio2

DGSIX 15.97 12.86 6.82 6.92 0.30 0.53 0.25 12/24/2003 Global Equity Portfolio

2 DGEIX 29.15 17.82 8.51 8.68 0.33 0.63 0.30 12/24/2003 Selectively Hedged Global Equity Portfolio2 DSHGX 24.69 — — 19.50 0.40 1.00 0.30 11/14/2011

1. Actual fees as of October 31, 2012, with the exception of the Real Estate Securities Portfolio and Global Real Estate Securities Portfolio. 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 2/28/2014. 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. 4. The Management Fees and Total (Gross) Expense ratios have been adjusted to reflect the estimated management fee to be paid by the portfolios for the fiscal year ended 10/31/2013 as a result of a management fee decrease from 0.30% to 0.17% for the Real Estate Securities Portfolio, and 0.35% to 0.27% for the Global Real Estate Securities Portfolio, effective February 28, 2012. 5. Anticipated expenses for the first full fiscal year.


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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 0.53 0.53 0.50 12/15/1998 After Taxes on Distributions — — — — After Taxes on Distributions and Sale of Fund Shares — — — — 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 — — — — After Taxes on Distributions and Sale of Fund Shares — — — — Tax-Managed US Equity Portfolio2 DTMEX 34.17 17.95 7.69 7.50 0.22 0.22 0.20 9/25/2001 After Taxes on Distributions — — — — After Taxes on Distributions and Sale of Fund Shares — — — — Tax-Managed US Marketwide Value Portfolio DTMMX 40.31 21.51 9.24 7.47 0.38 0.38 0.35 12/14/1998 After Taxes on Distributions — — — — After Taxes on Distributions and Sale of Fund Shares — — — — Tax-Managed International Value Portfolio DTMIX 22.65 12.53 8.19 6.94 0.55 0.55 0.50 4/16/1999 After Taxes on Distributions — — — — After Taxes on Distributions and Sale of Fund Shares — — — — TA US Core Equity 2 Portfolio2,3 DFTCX 37.55 20.02 — 6.62 0.24 0.24 0.22 10/4/2007 After Taxes on Distributions — — — — After Taxes on Distributions and Sale of Fund Shares — — — — TA World ex US Core Equity Portfolio2,3 DFTWX 16.61 14.66 — 3.06 0.48 0.48 0.40 3/6/2008 After Taxes on Distributions — — — — After Taxes on Distributions and Sale of Fund Shares — — — —

Real Estate Portfolios Real Estate Securities Portfolio2,4 DFREX 1.39 16.44 8.22 9.79 0.18 0.19 0.17 1/5/1993 International Real Estate Securities Portfolio2 DFITX 2.27 15.29 — -1.84 0.41 0.41 0.35 3/1/2007 Global Real Estate Securities Portfolio2,4 DFGEX 1.77 15.95 — 3.02 0.32 0.58 0.27 6/4/2008

Social and Sustainability Portfolios US Sustainability Core 1 Portfolio2 DFSIX 36.69 19.90 — 9.83 0.37 0.35 0.29 3/12/2008 International Sustainability Core 1 Portfolio2 DFSPX 22.64 13.38 — 2.56 0.57 0.56 0.42 3/12/2008 US Social Core Equity 2 Portfolio2 DFUEX 37.08 20.02 — 5.81 0.33 0.33 0.25 10/1/2007 International Social Core Equity Portfolio5 DSCLX 22.35 — — 24.35 0.58 0.58 0.37 11/1/2012 Emerging Markets Social Core Equity Portfolio2 DFESX -3.15 15.80 — 7.03 0.75 0.75 0.55 8/31/2006

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. 2. As of the date of the prospectus, the BofA Merrill Lynch 1-3 Year US Municipal Securities Index has been selected to replace the Barclays 3-Year Municipal Bond Index as the benchmark for the DFA Short-Term Municipal Bond Portfolio, as the Barclays index is exposed to more term and credit risk than the DFA Short-Term Municipal Bond Portfolio. The BofA Merrill Lynch Indices are used with permission; copyright 2014 Merrill Lynch, Pierce, Fenner & Smith Incorporated; all rights reserved. Merrill Lynch, Pierce, Fenner & Smith Incorporated is a wholly owned subsidiary of Bank of America Corporation. Barclays indices copyright Barclays 2014. 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.


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10-Year Annualized


SHORT-TERM MUNICIPAL BOND PORTFOLIO 0.46 1.19 1.66 2.00 2.08 1.18

BofA Merrill Lynch 1-3 Year US Municipal Securities Index2 1.07 1.49 1.99 2.56 2.56 1.19

Barclays Municipal Bond Index 3 Years 1.33 2.21 2.84 3.03 3.06 1.80


SHORT-TERM MUNICIPAL BOND PORTFOLIO

BofA Merrill Lynch 1-3 Year U.S. Municipal Securities Index2

Barclays Municipal Bond Index 3 Years

2004 1.40 1.28 1.78

2005 1.00 1.41 0.86

2006 2.84 3.25 3.04

2007 3.57 4.69 5.00

2008 2.90 5.16 5.53

2009 3.69 4.21 5.78

2010 1.10 1.29 1.81

2011 2.38 2.37 3.46

2012 0.73 1.03 1.86

2013 0.46 1.07 1.33



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DISTRIBUTIONBY MATURITY Percent

0–3 Months 9.8 168.43 (23)

3–6 Months 14.5 248.15 (29)

6–9 Months 13.3 227.08 (23)

9–12 Months 9.0 153.77 (25)

1–3 Years 36.3 621.92 (134)

3–5 Years 13.1 224.46 (44)

5-7 Years 4.1 69.89 (8)

Total 100.0 1,713.69 (286)


Municipal Bond 100.0 1,713.69 (286)

Average Maturity 1.66 Years

Average Duration 1.56 Years



DISTRIBUTIONBY CREDIT RATING Percent

Aaa/AAA 32.2 88.00 (88)

Aa1/AA+ 26.9 83.00 (83)

Aa2/AA 20.1 71.00 (71)

Aa3/AA- 4.1 23.00 (23)

A1/A+ 1.2 6.00 (6)

P-1/A-1+ 9.9 12.00 (12)

P-1/A-1 5.6 3.00 (3)

Total 100.0 1,713.69 (286)


US Dollar 100.0 1,713.69 (286)



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. The BofA Merrill Lynch Indices are used with permission; copyright 2014 Merrill Lynch, Pierce, Fenner & Smith Incorporated; all rights reserved. Merrill Lynch, Pierce, Fenner & Smith Incorporated is a wholly owned subsidiary of Bank of America Corporation. 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.


49

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Annualized Returns1 (%) 1 Year 3 Years 5 Years

Since 5/07 Portfolio

Inception

Annualized Standard

Deviation (%) Since Inception

CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO 0.65 1.42 1.87 2.24 1.34

BofA Merrill Lynch 1–3 Year California Municipal Bond Index 0.79 1.45 2.03 2.73 1.28


CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO

BofA Merrill Lynch 1–3 Year California Municipal Bond Index

2008 3.13 4.63

2009 3.92 4.55

2010 1.19 1.32

2011 2.68 2.64

2012 0.94 0.92

2013 0.65 0.79

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. The BofA Merrill Lynch Indices are used with permission; copyright 2014 Merrill Lynch, Pierce, Fenner & Smith Incorporated; all rights reserved. Merrill Lynch, Pierce, Fenner & Smith Incorporated is a wholly owned subsidiary of Bank of America Corporation. 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.


50

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Annualized Returns1 (%) 1 Year 3 Years


Annualized Standard


SHORT-TERM EXTENDED QUALITY PORTFOLIO 0.41 2.31 4.09 1.95

BofA Merrill Lynch US Corporate and Government Index 1–5 Years 0.32 1.95 3.04 1.52


SHORT-TERM EXTENDED QUALITY PORTFOLIO

BofA Merrill Lynch US Corporate and Government Index 1–5 Years

2010 5.15 4.17

2011 2.93 3.10

2012 3.63 2.47

2013 0.41 0.32



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0–3 Months 1.8 46.09 (13) — — —

3–6 Months 1.6 40.16 (13) — — —

6–9 Months 2.6 65.52 (15) — — —

9–12 Months 1.6 41.03 (14) — — —

1–3 Years 40.9 1,041.71 (177) 55.8 4,332,557.38 (1,806)

3–5 Years 51.5 1,310.32 (148) 44.2 3,437,097.76 (1,612)

Total 100.0 2,544.83 (380) 100.0 7,769,655.14 (3,418)


Corporate Bond 75.8 1,928.61 (311) 24.3 1,889,418.93 (2,316)

Government Bond 24.2 616.22 (69) 75.7 5,880,236.21 (1,102)

Total 100.0 2,544.83 (380) 100.0 7,769,655.14 (3,418)



BofA Merrill Lynch US Corporate/Government Index 1–5 Years






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Aaa/AAA 17.5 445.20 (58) 70.6 5,488,524.42 (717)

Aa1/AA+ 7.5 189.82 (18) 2.8 216,529.02 (246)

Aa2/AA 5.9 149.85 (23) 1.2 90,052.63 (69)

Aa3/AA- 2.0 51.28 (11) 3.5 270,128.81 (254)

A1/A+ 10.5 266.26 (36) 2.9 224,910.61 (239)

A2/A 15.2 386.34 (59) 3.9 306,685.17 (368)

A3/A- 13.8 351.46 (52) 4.9 378,655.64 (369)

Baa1/BBB+ 12.0 305.70 (55) 3.6 279,024.57 (410)

Baa2/BBB 12.8 325.37 (57) 4.1 315,471.30 (449)

Baa3/BBB- 2.9 73.55 (11) 2.6 199,672.98 (297)

Total 100.0 2,544.83 (380) 100.0 7,769,655.14 (3,418)


British Pound 2.7 67.48 (1) — — —

Euro 1.6 39.59 (1) — — —

Singapore Dollar 0.3 7.85 (1) — — —

US Dollar 95.5 2,429.92 (377) 100.0 7,769,655.14 (3,418)

Total 100.0 2,544.83 (380) 100.0 7,769,655.14 (3,418)



BofA Merrill Lynch US Corporate/Government Index 1–5 Years




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INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO

Barclays US Credit Index

2011 9.37 8.35

2012 8.27 9.39

2013 -3.81 -2.01

Annualized Returns1 (%) 1 Year 3 Year


Annualized Standard


INTERMEDIATE TERM EXTENDED QUALITY PORTFOLIO -3.81 4.43 3.71 4.74

Barclays US Credit Index -2.01 5.11 4.71 4.26



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1–3 Years — — — 21.5 997,139.92 (1,070)

3–5 Years 7.7 97.79 (34) 21.1 979,514.44 (1,040)

5–7 Years 20.8 264.77 (104) 12.0 559,261.23 (621)

7–10 Years 64.4 818.72 (205) 18.1 839,895.69 (1,083)

10–20 Years 7.1 89.61 (14) 6.9 322,473.76 (445)

20–30 Years — — — 19.2 892,245.22 (1,182)

30+ Years — — — 1.2 57,420.78 (86)

Total 100.0 1,270.89 (357) 100.0 4,647,951.04 (5,527)


Corporate Bond 87.8 1,116.42 (328) 78.7 3,657,840.18 (4,744)

Government Bond 12.2 154.47 (29) 21.3 990,110.86 (783)

Total 100.0 1,270.89 (357) 100.0 4,647,951.04 (5,527)




INTERMEDIATE-TERM EXTENDED QUALITY

PORTFOLIO





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DISTRIBUTION BYCREDIT RATING Percent Comparative Percentages Percent

Aaa/AAA 11.3 144.11 (28) 8.7 402,632.35 (239)

Aa1/AA+ 4.6 58.89 (11) 1.3 58,221.13 (73)

Aa2/AA 4.5 56.97 (18) 3.7 174,246.42 (198)

Aa3/AA- 2.5 31.18 (11) 7.6 352,041.61 (379)

A1/A+ 11.2 141.89 (37) 8.6 399,601.36 (421)

A2/A 15.5 197.40 (56) 13.7 638,427.91 (811)

A3/A- 14.9 189.22 (62) 16.1 748,546.36 (798)

Baa1/BBB+ 13.0 165.15 (52) 15.1 701,543.79 (901)

Baa2/BBB 17.4 221.00 (67) 15.8 735,219.83 (1,048)

Baa3/BBB- 5.1 65.09 (15) 9.4 437,470.28 (659)

Total 100.0 1,270.89 (357) 100.0 4,647,951.04 (5,527)


Euro 1.2 14.68 (1) — — —

US Dollar 98.8 1,256.21 (356) 100.0 4,647,951.04 (5,527)

Total 100.0 1,270.89 (357) 100.0 4,647,951.04 (5,527)




INTERMEDIATE-TERM EXTENDED QUALITY

PORTFOLIO



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Annualized Standard


INFLATION-PROTECTED SECURITIES PORTFOLIO -9.27 3.75 5.77 5.15 7.49

Barclays US TIPS Index -8.61 3.55 5.63 4.90 6.97


INFLATION-PROTECTEDSECURITIES PORTFOLIO

Barclays US TIPS Index

2007 11.84 11.63

2008 -1.42 -2.35

2009 11.01 11.41

2010 6.81 6.31

2011 14.54 13.56

2012 7.45 6.98

2013 -9.27 -8.61



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1–3 Years — — — 18.5 153,729.70 (6)

3–5 Years 16.6 433.95 (3) 18.2 151,280.25 (6)

5–7 Years 31.7 826.89 (4) 10.7 88,476.33 (4)

7–10 Years 21.0 547.52 (5) 26.9 223,331.18 (6)

10–20 Years 30.8 802.82 (8) 19.7 163,285.56 (8)

20–30 Years — — — 6.1 50,576.10 (4)

Total 100.1 2,611.17 (20) 100.0 830,679.13 (34)


US TIPS 100.0 2,611.17 (20) 100.0 830,679.13 (34)



Barclays US TIPS Index



INFLATION-PROTECTED SECURITIES PORTFOLIO



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Aaa/AAA 100.0 2,611.17 (20) 100.0 830,679.13 (34)


US Dollar 100.0 2,611.17 (20) 100.0 830,679.13 (34)



BarclaysUS TIPS Index

INFLATION-PROTECTED SECURITIES PORTFOLIO

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. Citigroup bond indices copyright 2014 by Citigroup. 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.


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Since 2/08 Portfolio

Inception

Annualized Standard


SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO -1.11 1.30 3.71 1.44 6.40

Citigroup World Govt. Bond Index 1–3 Years (unhedged) -2.35 -0.39 1.02 1.74 5.79


SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO

Citigroup World Govt. Bond Index 1–3 Years (unhedged)

2009 10.21 3.21

2010 4.76 3.16

2011 0.85 2.00

2012 4.22 -0.77

2013 -1.11 -2.35



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0–3 Months 4.8 46.52 (8) — — —

3–6 Months 4.0 38.33 (6) — — —

6–9 Months 4.0 38.62 (7) — — —

9–12 Months 3.2 31.05 (5) — — —

1–3 Years 28.9 278.19 (44) 100.0 5,796,374.89 (239)

3–5 Years 55.1 530.83 (97) — — —

Total 100.0 963.54 (167) 100.0 5,796,374.89 (239)

DISTRIBUTIONBY CREDIT RATING

Aaa/AAA 19.6 189.16 (19) 16.5 954,831.79 (57)

Aa1/AA+ 9.3 89.47 (7) 50.0 2,899,072.71 (91)

Aa2/AA 11.5 110.44 (11) 1.3 72,951.47 (5)

Aa3/AA- 3.1 29.48 (4) 20.2 1,172,551.78 (45)

A1/A+ 3.5 33.96 (7) — — —

A2/A 9.0 87.10 (18) 1.0 57,362.26 (11)

A3/A- 17.0 163.84 (38) 0.7 40,147.81 (5)

Baa1/BBB+ 9.2 88.84 (20) 0.4 20,364.37 (2)

Baa2/BBB 12.8 123.05 (31) 5.9 340,815.89 (14)

Baa3/BBB- 5.0 48.20 (12) 4.1 238,276.81 (9)

Total 100.0 963.54 (167) 100.0 5,796,374.89 (239)



Citigroup World Government Bond Index 1–3 Years (unhedged)

SELECTIVELY HEDGED GLOBAL FIXED INCOME

PORTFOLIO





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DISTRIBUTIONBY SECURITY TYPE Percent Comparative Percentages Percent

Corporate Bond 79.8 768.88 (146) — — —Government Bond 20.2 194.66 (21) 100.0 5,796,374.89 (239)Total 100.0 963.54 (167) 100.0 5,796,374.89 (239)

DISTRIBUTIONBY CURRENCYAustralian Dollar 4.6 43.99 (5) 1.0 59,274.16 (4)British Pound — — — 3.0 174,625.96 (5)Canadian Dollar 1.0 9.83 (1) 2.6 151,785.12 (14)Danish Krone — — — 0.5 28,269.90 (2)Euro — — — 26.5 1,536,471.94 (64)Japanese Yen — — — 20.2 1,172,551.78 (45)Malaysian Ringgit — — — 0.4 20,728.54 (6)Mexican Peso — — — 0.7 38,928.32 (4)New Zealand Dollar 7.1 68.63 (11) — — —Norwegian Krone 2.0 19.24 (4) 0.2 13,739.76 (1)Polish Zloty — — — 0.6 36,633.72 (5)Singapore Dollar 0.6 5.49 1.00 0.3 17,884.30 (5)South African Rand — — — 0.0 1,219.49 (1)Swedish Krona 1.8 17.47 (2) 0.3 19,921.60 (2)Swiss Franc — — — 0.2 13,296.73 (2)US Dollar 82.9 798.90 (143) 43.3 2,511,043.58 (79)Total 100.0 963.55 (167) 100.0 5,796,374.89 (239)



Citigroup World Government Bond Index 1–3 Years (unhedged)

SELECTIVELY HEDGED GLOBAL FIXED INCOME

PORTFOLIO

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