Semi-Annual Report and Unaudited Financial Statements

447 Pages·2017·8.17 MB·English

Semi-Annual Report and
Unaudited Financial Statements
For the financial period ended 31 May 2022
Dimensional Funds plc
Authorised and Regulated by the Central Bank of Ireland
NomarketingnotificationhasbeensubmittedinGermanyforthefollowingFundsof DimensionalFundsplc:
EmergingMarketsValueIIFund
EuropeanCoreEquityFund
GlobalCoreEquityIIFund
GlobalCoreFixedIncomeFund
GlobalShortFixedIncomeIIFund
GlobalValueFund
JapanCoreEquityFund
SterlingInflationLinkedIntermediateDurationFixedIncomeFund
U.S.CoreEquityFund
U.S.SmallCompaniesIIFund
U.S.ValueFund
Accordingly,theseFundsmustnotbepubliclymarketedinGermany.
Table of Contents
GeneralInformation 2
InvestmentManager’sReports 3
Statementof FinancialPosition 10
Statementof ComprehensiveIncome 19
Statementof ChangesinNetAssetsAttributabletoHoldersof RedeemableShares 28
Portfolioof Investments
EmergingMarketsLargeCapCoreEquityFund 31
EmergingMarketsSustainabilityCoreEquityFund 42
EmergingMarketsValueFund 60
EuroInflationLinkedIntermediateDurationFixedIncomeFund 86
EuropeanSmallCompaniesFund 87
EuropeanValueFund 99
GlobalCoreEquityFund 102
GlobalCoreFixedIncomeFund 172
GlobalShortFixedIncomeFund 180
GlobalShort-TermInvestmentGradeFixedIncomeFund 186
GlobalSmallCompaniesFund 192
GlobalSustainabilityCoreEquityFund 246
GlobalSustainabilityFixedIncomeFund 299
GlobalSustainabilityShortFixedIncomeFund 307
GlobalTargetedValueFund 313
GlobalUltraShortFixedIncomeFund 348
GlobalValueFund 353
PacificBasinSmallCompaniesFund 361
SterlingInflationLinkedIntermediateDurationFixedIncomeFund 388
U.S.CoreEquityFund 389
U.S.SmallCompaniesFund 405
WorldAllocation20/80Fund 421
WorldAllocation40/60Fund 424
WorldAllocation60/40Fund 425
WorldAllocation80/20Fund 482
WorldEquityFund 483
NotestotheFinancialStatements 589
Statementof PortfolioChanges 619
SecuritiesFinancingTransactions 651
DimensionalFundAdvisors Semi-AnnualReportandUnauditedFinancialStatements,31May2022 1
General Information
BoardofDirectors*: RegisteredOffice:
PeterBlessing(Irish)** 25/28NorthWallQuay
NathanLacaze(Italian&Australian) Dublin1
CatherineL.Newell(American) Ireland
VictoriaParry(British)**
GerardO’Reilly(Irish) Administrator:
JohnRomiza(American)***
StateStreetFundServices(Ireland)Limited
78SirJohnRogerson’sQuay
ManagementCompany:
Dublin2
DimensionalIrelandLimited Ireland
10EarlsfortTerrace
Dublin2 Depositary:
Ireland
StateStreetCustodialServices(Ireland)Limited
78SirJohnRogerson’sQuay
InvestmentManagers:
Dublin2
DimensionalFundAdvisorsLtd. Ireland
20TritonStreet
Regent’sPlace ListingSponsor:
London,NW13BF
A&LListing
England
25/28NorthWallQuay
Dublin1
DimensionalFundAdvisorsLP
Ireland
6300BeeCaveRoad,Building1
Austin,TX78746
USA LegalAdvisersinIreland:
A&LGoodbody
DFAAustraliaLimited InternationalFinancialServicesCentre
Level43 NorthWallQuay
1MacquariePlace Dublin1
SydneyNSW2000 Ireland
Australia
Secretary:
DimensionalFundAdvisorsPte.Ltd.
8MarinaView GoodbodySecretarialLimited
AsiaSquareTower1 25/28NorthWallQuay
Suite33-01 Dublin1
Singapore018960 Ireland
DimensionalJapanLtd.
KokusaiBuilding
Suite808
3-1-1Marunouchi
Chiyoda-ku
Tokyo100–0005
Japan
IndependentAuditors:
PricewaterhouseCoopers
CharteredAccountantsandStatutoryAuditFirm
OneSpencerDock
NorthWallQuay
Dublin1
Ireland
*Non-executiveDirectors
**IndependentDirectors
***Chairperson
DimensionalFundAdvisors Semi-AnnualReportandUnauditedFinancialStatements,31May2022 2
Investment Manager’s Reports
SFDRArticle11(1)(a)Requirement(applicableonlytothe wastecontroversies,waterusecontroversies,tobacco,palmoil,coal,
GlobalSustainabilityCoreEquityFund,Global childlabor,alcohol,adultentertainment,gambling,nuclearweapons,
andfactoryfarmingactivities,amongotherfactors.Theenvironmental
SustainabilityFixedIncomeFund,GlobalSustainability
andsustainabilityimpactconsiderationslistedaboveareexamplesof
ShortFixedIncomeFund,andEmergingMarkets
factorsthattheInvestmentManagerbelievesindicatewhetherornota
SustainabilityCoreEquityFund*):
corporateissuer,ascomparedtoothercorporateissuerswithsimilar
The Fund promotes sustainability in accordance with Article 8 of businesslines,promotesenvironmentalandsustainabilityinterestsby
Regulation(EU2019/2088)onsustainabilityrelateddisclosuresinthe pursuingeconomicgrowthanddevelopmentthatmeetstheneedsof
financial services sector (SFDR). The Fund does not have thepresentwithoutcompromisingtheneedsoffuturegenerations.
sustainability investment as its objective but as part of the Fund’s
investmentpolicy,theInvestmentManagerdoestakeintoaccountthe SustainabilityimpactconsiderationsappliedtotheFundarebasedon
sustainability impact associated with securities when making available data, either actual or estimated, and the Investment
investmentdecisionsfortheFund.Relativetoaportfoliothatdoesnot Manager’s interpretation of the data. The Investment Manager
take sustainability impact considerations into account, the Fund will engages third party service providers, such as MSCI, to provide
exclude or underweight securities of issuers that, according to the researchandratingsinformationrelatingtotheFund'senvironmental
Fund’s sustainability impact considerations, may have a relatively and sustainability impact considerations with respect to securities in
negative impact on the environment and sustainability interests as the Fund, where information is available from such providers.
comparedeithertootherissuersintheFund’sinvestmentuniverseor Additionally, the Investment Manager conducts its own research.
otherissuerswithsimilarbusinesslines.Similarly,relativetoaportfolio Basedonresearchandratingsinformation,theManagerwillassess
that does not take sustainability impact considerations into account each company’s relative sustainability impact, which is then used to
whendeterminingitsinvestments,theFundwilloverweightsecurities determine whether a security should, relative to a portfolio without
of issuers that, according to the Fund’s sustainability impact these considerations: (i) be excluded from the Fund's holdings;
considerations,mayhavearelativelylessdetrimentalimpactonthe (ii) have its weight decreased within the Fund; (iii) be held with no
environmentandsustainabilityinterestsascomparedeithertoother adjustment to its weight within the Fund; or (iv) have its weight
issuersintheFund’sinvestmentuniverseorotherissuerswithsimilar increasedwithintheFund.TheInvestmentManagermayalsoexclude
businesslines. ordecreasetheweightofspecificissuersduetoconcernsoverany
specificmatter.
In considering sustainability impact and other factors that the
Investment Manager believes may be important to investors, the TaxonomyArticle6Requirement(applicableonlytothe
InvestmentManageraimstoexcludeorunderweighttopcontributors GlobalSustainabilityCoreEquityFund,Global
togreenhousegasemissionsascomparedtotheirrepresentationin
SustainabilityFixedIncomeFund,GlobalSustainability
theInvestmentUniverse,aswellasissuerswithhighlevelsofpotential
ShortFixedIncomeFund,andEmergingMarkets
emissionsfromreserves.Withrespecttoitsholdingsofsecuritiesof
corporateissuers,theFund’sprimarysustainabilitygoalistoprovidea SustainabilityCoreEquityFund*):
reductioninexposuretogreenhousegasemissionsintensityofatleast WhiletheFundpromotessustainabilityandtheInvestmentManager
50%andareductioninexposuretopotentialemissionsfromreserves takes into account sustainability impact considerations, the Fund’s
of at least 75% relative to the corporate bond market. The Fund investments are not evaluated against the EU criteria for
assessescorporateissuersonseveralconsiderations–greenhouse environmentallysustainableeconomicactivitiesand,therefore,the“do
gasemissionsintensity,potentialemissionsfromfossilfuelreserves, nosignificantharm”principledoesnotapplytotheFund’sinvestments.
landuseandbiodiversity,toxicspillsandreleases,operationalwaste,
and water management, with the vast majority of weight placed on TaxonomyArticle7Requirement(applicabletoall
greenhouse gas emissions intensity. Greenhouse gas emissions
sub-fundsexcepttheGlobalSustainabilityCoreEquity
intensity represents an issuer’s most recently reported or estimated
Fund,GlobalSustainabilityFixedIncomeFund,Global
Scope 1 (direct) + Scope 2 (indirect) greenhouse gas emissions
convertedtocarbondioxide(CO2)equivalents,normalisedbysalesin SustainabilityShortFixedIncomeFund,andEmerging
USD(metrictonsperUSDmillionsales).Greenhousegasesincluded MarketsSustainabilityCoreEquityFund*):
are: carbon dioxide (CO2), methane (CH4), nitrous oxide (N2O),
The investments underlying this financial product do not take into
hydrofluorocarbons (HFCs), perfluorocarbons (PFCs), sulfur
account the EU criteria for environmentally sustainable economic
hexafluoride(SF6),andnitrogentrifluoride(NF3).Potentialemissions
activities.
areanestimateofcarbondioxideproducedifanissuer’sreservesof
oil,gas,andcoalwereconvertedtoenergy,givenestimatedcarbon
and energy densities of the respective reserves. Securities are then
rankedrelativetotheirpeersandeitherexcluded,underweighted,or
overweightedtoachievetheaforementionedreductioninexposureto
greenhouse gas emissions intensity and potential emissions from
reserves.
When determining whether to exclude or underweight a corporate
issuer,theInvestmentManagerconsiders,wheresuchinformationis
available, whether there is material involvement with land use
controversies, civilian firearms manufacturing, biodiversity
controversies, involvement in toxic spills or releases, operational
DimensionalFundAdvisors Semi-AnnualReportandUnauditedFinancialStatements,31May2022 3
Investment Manager’s Reports (continued)
EmergingMarketsLargeCapCoreEquityFund EuroInflationLinkedIntermediateDurationFixedIncome
The Emerging Markets Large Cap Core Equity Fund (the “Fund”) Fund
investsinlargecapcompanieswithincreasedexposuretocompanies The Euro Inflation Linked Intermediate Duration Fixed Income Fund
withsmallerrelativemarketcapitalisations,lowerrelativeprices,and (the “Fund”) invests in EUR inflation linked issues of Eurozone
higherprofitabilityacrossemergingmarkets.Asof31May2022,the governments with maturities between three- and 20-years. As at
Fundhadholdingsinapproximately1270companies.Thisreflectsour 31 May 2022, the Fund’s (EUR) average real yield to maturity was
approachofseekingtodeliverhighlydiversifiedexposuretoemerging -1.03%.
marketslargecapcompanies.
Overthesix-monthperiodending31May2022,thetotalreturnofthe
Overthesix-monthperiodending31May2022,thetotalreturnofthe Fund in euro (the base currency of the Fund) was -2.17%. This
FundinU.S.dollars(thebasecurrencyoftheFund)was-2.01%.This compares to a return of -1.86% for the blended Index composed of
comparestoatotalreturnof-10.11%fortheMSCIEmergingMarkets 50% Bloomberg France Government EMU HICP Linked 5-15 Year
Index(the"Index").Withlowrelativeprice(value)stocksoutperforming Bond Index and 50% Bloomberg Germany Government Inflation
high relative price (growth) stocks, the Fund's emphasis on value Linked 5-15Year Index (the "Index"). Realised term premiums were
stockscontributedpositivelytoperformancerelativetotheIndex.The generallynegativeforbothGermanandFrenchinflation-linkedbonds
Fund’semphasisonhighprofitabilitystocksalsocontributedpositively with long-dated French inflation-linked bonds being the worst
torelativeperformance,asthesestocksgenerallyoutperformed.The performers.Assuch,theFund’soverweighttoFrenchinflationlinked
Indexhasbeenincludedformarketcontextpurposesonly. bonds with maturities longer than 10-years and underweight to
German intermediate-dated inflation linked bonds detracted from
EmergingMarketsSustainabilityCoreEquityFund*
relativeperformance.TheIndexhasbeenincludedformarketcontext
The Emerging Markets Sustainability Core Equity Fund (the “Fund”) purposesonly.
invests in companies with increased exposure to companies with
smaller market capitalisations, lower relative prices, and higher EuropeanSmallCompaniesFund
profitability across emerging markets, while also adjusting the The European Small Companies Fund (the “Fund”) invests in small
composition of the Fund based on environmental and sustainability cap companies across Europe. As of 31 May 2022, the Fund had
impactconsiderations.Asof31May2022,theFundhadholdingsin holdingsinapproximately1340companies.Thisreflectsourapproach
approximately1990companies.Thisreflectsourapproachofseeking ofseekingtodeliverhighlydiversifiedexposuretoEuropeansmallcap
todeliverhighlydiversifiedexposuretoemergingmarketslargecap companies.
companies.
Overthesix-monthperiodending31May2022,thetotalreturnofthe
Over the five-month period since the fund’s inception and ending Fund in euros (the base currency of the Fund) was -5.20%. This
31 May 2022, the total return of the Fund in U.S. dollars (the base comparestoareturnof-9.20%fortheMSCIEuropeSmallCapIndex
currencyoftheFund)was-10.06%.Thiscomparestoatotalreturnof (the "Index"). The Fund’s exclusion of stocks with the lowest
-11.76%fortheMSCIEmergingMarketsIndex(the"Index").Withlow profitability and highest relative price contributed positively to
relativeprice(value)stocksoutperforminghighrelativeprice(growth) performance relative to the Index, as those stocks underperformed.
stocks,theFund'semphasisonvaluestockscontributedpositivelyto TheFund’sexclusionofstockswithhighassetgrowthalsocontributed
performance relative to the Index. The Fund’s emphasis on high positively to performance relative to the index, as those stocks
profitabilitystocksalsocontributedpositivelytorelativeperformance, underperformed.Additionally,thefund’sgreaterallocationtomicrocap
asthesestocksgenerallyoutperformed.TheIndexhasbeenincluded stocks benefitted relative performance as micro cap stocks
formarketcontextpurposesonly. outperformedothersmallcapstocks.TheIndexhasbeenincludedfor
marketcontextpurposesonly.
EmergingMarketsValueFund
TheEmergingMarketsValueFund(the“Fund”)investsinlowrelative EuropeanValueFund
price(value)companiesacrossemergingmarkets.Asof31May2022, TheEuropeanValueFund(the“Fund”)investsinlargecaplowrelative
theFundhadholdingsinapproximately2940companies.Thisreflects price(value)companiesacrossEurope.Asof31May2022,theFund
our approach of seeking to deliver highly diversified exposure to had holdings in approximately 210 companies. This reflects our
emergingmarketsvaluecompanies. approachofseekingtodeliverhighlydiversifiedexposuretoEuropean
largecapvaluecompanies.
Overthesix-monthperiodending31May2022,thetotalreturnofthe
FundinU.S.dollars(thebasecurrencyoftheFund)was-0.09%.This Overthesix-monthperiodending31May2022,thetotalreturnofthe
comparestoatotalreturnof-4.82%fortheMSCIEmergingMarkets Fund in euros (the base currency of the Fund) was 10.88%. This
ValueIndex(the"Index").TheFund’sgreateremphasisonlowrelative comparestoareturnof9.22%fortheMSCIEuropeValueIndex(the
price (value) stocks contributed positively to performance relative to "Index"). The Fund’s greater emphasis on low relative price (value)
the Index, as these stocks generally outperformed. The Index has stockscontributedpositivelytorelativeperformance,asthesestocks
beenincludedformarketcontextpurposesonly. generally outperformed. The Index has been included for market
contextpurposesonly.
DimensionalFundAdvisors Semi-AnnualReportandUnauditedFinancialStatements,31May2022 4
Investment Manager’s Reports (continued)
GlobalCoreEquityFund GlobalShortFixedIncomeFund
TheGlobalCoreEquityFund(the“Fund”)investsincompanieswith The Global Short Fixed Income Fund (the “Fund”) invests in
increasedexposuretocompanieswithsmallermarketcapitalisations, high-qualityfixedincomeinstrumentswithmaturitiesatorbelowfive
lower relative prices, and higher profitability across developed years.Asat31May2022,theFundwasdiversifiedacrossissuersfrom
markets.Asof31May2022,theFundhadholdingsinapproximately 15countries,aswellassupranationalorganisations.Investmentswere
8450 companies. This reflects our approach of seeking to deliver madein7currencies.Asat31May2022,theFund’s(EUR)average
highlydiversifiedexposuretodevelopedmarketscompanies. yieldtomaturitywas1.35%.
Overthesix-monthperiodending31May2022,thetotalreturnofthe Overthesix-monthperiodending31May2022,thetotalreturnofthe
FundinU.S.dollars(thebasecurrencyoftheFund)was-6.07%.This Fund in Euro (the base currency of the Fund) was -5.88%. This
compares to a total return of -9.25% for the MSCI World Index (the comparestoareturnof-3.76%fortheFTSEWorldGovernmentBond
"Index"). With low relative price (value) stocks outperforming high Index1-5Years(hedgedtoEUR)(the"Index").Atthebeginningofthe
relative price (growth) stocks, the Fund's emphasis on value stocks period,eligibleyieldcurvesweresteepinthezero-tofive-yearmaturity
contributedpositivelytoperformancerelativetotheIndex.TheFund’s segmentwiththehigherexpectedreturnsbeinginthefour-tofive-year
emphasisonhighprofitabilitystocks,particularlywithingrowthstocks, maturityrange.Asaresult,theFundfocusedonbondsinthefour-to
contributed positively to performance relative to the index, as these five-year maturity range at the beginning of the period. During the
stocksoutperformed.TheIndexhasbeenincludedformarketcontext period,globaldevelopedyieldcurvesflattened,resultingwithbondsin
purposesonly. the one- to three-year maturity range exhibiting higher expected
returns. As such, the Fund increased its allocation to bonds in the
GlobalCoreFixedIncomeFund one-to three-year maturity range. However, the Fund’s duration
remainedlongerthanthatoftheIndex’sdurationovertheperiod.Asat
The Global Core Fixed Income Fund (the “Fund”) invests in fixed
theendofMay,theFund’sweightedaveragedurationwas3.09years
income instruments within the investment grade spectrum and may
whereas the Index’s weighted average duration was 2.69 years.
alsoinvestinstocksratedBB+throughBB-.Asat31May2022,the
Realisedtermpremiumsweregenerallynegativeinglobaldeveloped
Fund was diversified across issuers from 20 countries, as well as
markets as longer-term bonds underperformed shorter-term bonds
supranational organisations, and invested in 8 currencies. The due to a relatively sharp increase in interest rates.As a result, the
weighted average duration of the Fund at the end of May was at Fund’s longer duration detracted from relative performance. The
7.05years,andtheFundhadan(GBP)averageyieldtomaturityof Fund’s underweight to bonds denominated in Japanese yen and
3.96%. overweight to bonds denominated in theAustralian dollar, Canadian
dollar, and US dollar also detracted from relative performance. The
Overthesix-monthperiodending31May2022,thetotalreturnofthe Indexhasbeenincludedformarketcontextpurposesonly.
FundinBritishpounds(thebasecurrencyoftheFund)was-10.86%.
This compares to a return of -8.27% for the Bloomberg Global GlobalShort-TermInvestmentGradeFixedIncomeFund
Aggregate Bond Index (hedged to GBP) (the "Index"). Global The Global Short-Term Investment Grade Fixed Income Fund (the
developed yield curves were generally upwardly sloped during the “Fund”) invests in fixed income instruments within the investment
period, indicating positive expected term premiums over the entire gradespectrumwithmaturitiesatorbelowfiveyears.Asat31May
termstructure.Assuch,theFundwasunderweightshort-termbonds 2022,theFundwasdiversifiedacrossissuersfrom18countries,as
and overweight intermediate-term bonds denominated in the well as supranational organisations. Investments were made in
Australian dollar, British pound, Canadian dollar, and US dollar. 6currencies.Asat31May2022,theFund’s(USD)averageyieldto
Realisedtermpremiumswere,however,generallynegativeinglobal maturitywas3.82%.
developed markets as intermediate-term bonds underperformed
shorter-term bonds. As a result, the Fund’s overweight to Overthesix-monthperiodending31May2022,thetotalreturnofthe
intermediate-term bonds and underweight to shorter-term bonds Fund in U.S. dollars (the base currency of the Fund) -4.34%. This
comparestoareturnof-4.43%fortheBloombergGlobalAggregate
detracted from relative performance. Credit spreads widened during
Credit1-5Years(hedgedtoUSD)(the"Index").
the period, indicating larger expected credit premiums.As such, the
Fund increased its allocation to corporate bonds rated single-Aand
Atthebeginningoftheperiod,eligibleyieldcurvesweresteepinthe
BBB and was overweight these securities relative to the Index.
zero-tofive-yearmaturitysegmentwiththehigherexpectedreturns
Realised credit premiums were also generally negative in global
being in the four- to five-year maturity range.As a result, the Fund
developedmarketsascorporatebondsunderperformedgovernment
focused on bonds in the four- to five-year maturity range at the
bonds. As a result, the Fund’s overweight to corporate bonds and
beginning of the period. During the period, global developed yield
underweight to government bonds detracted from relative
curvesflattened,resultingwithbondsone-tothree-yearmaturityrange
performance. The Fund’s underweight to bonds denominated in
exhibiting higher expected returns.As such, the Fund increased its
JapaneseyenandoverweighttobondsdenominatedintheAustralian
allocationtobondsintheone-tothree-yearmaturityrange.Asatthe
dollar, Canadian dollar, and US dollar also detracted from relative
end of May, the Fund’s weighted average duration was 2.85 years
performance. The Index has been included for market context whereas the Index’s weighted average duration was 2.82 years.
purposesonly. Realisedtermpremiumsweregenerallynegativeinglobaldeveloped
markets as longer-term bonds underperformed shorter-term bonds
due to a relatively sharp increase in interest rates.As a result, the
Fund’s inclusion of bonds with maturities less than one-year
contributedpositivelytorelativeperformance.Conversely,theFund’s
DimensionalFundAdvisors Semi-AnnualReportandUnauditedFinancialStatements,31May2022 5
Investment Manager’s Reports (continued)
GlobalShort-TermInvestmentGradeFixedIncomeFund diversifiedacrossissuersfrom20countries,aswellassupranational
(continued) organisations, and invested in 8 currencies. The weighted average
overweighttobondsinthethree-tofive-yearmaturityrangedetracted durationoftheFundattheendofMaywas7.01years,andtheFund
fromrelativeperformance.Creditspreadswidenedduringtheperiod, hadan(GBP)averageyieldtomaturityof3.92%.
indicating larger expected credit premiums. As a result, the Fund
increased its allocation to corporate bonds rated single-Aand BBB, Overthesix-monthperiodending31May2022,thetotalreturnofthe
resulting in a similar weight in these securities relative to the Index. FundinBritishpounds(thebasecurrencyoftheFund)was-10.79%.
Realisedcreditpremiumsweregenerallynegativeinglobaldeveloped This compares to a return of -8.27% for the Bloomberg Global
markets as lower-rated bonds underperformed higher rated bonds. AggregateBondIndex(hedgedtoGBP)(the"Index").
However,thishadanegligibleimpactonrelativeperformancedueto
theFundhavingasimilarweightinlower-ratedbondsrelativetothe Globaldevelopedyieldcurvesweregenerallyupwardlyslopedduring
Index.TheFund’soverweighttobondsdenominatedintheNorwegian theperiod,indicatingpositiveexpectedtermpremiumsovertheentire
kroneandNewZealanddollarweretheprimarycontributorstopositive termstructure.Assuch,thefundwasunderweightshort-termbonds
relativeperformance.TheIndexhasbeenincludedformarketcontext and overweight intermediate-term bonds denominated in the
purposesonly. Australian dollar, British pound, Canadian dollar, and US dollar.
Realisedtermpremiumsweregenerallynegativeinglobaldeveloped
GlobalSmallCompaniesFund
markets as intermediate-term bonds underperformed shorter-term
TheGlobalSmallCompaniesFund(the“Fund”)investsinsmallcap bonds.Asaresult,theFund’soverweighttointermediate-termbonds
companiesacrossdevelopedmarkets.Asof31May2022,theFund and underweight to shorter-term bonds detracted from relative
had holdings in approximately 6490 companies. This reflects our performance. Credit spreads widened during the period, indicating
approachofseekingtodeliverhighlydiversifiedexposuretosmallcap larger expected credit premiums. As such, the fund increased its
companiesindevelopedmarkets. allocation to corporate bonds rated single-A and BBB and was
overweight these securities relative to the Index. Realised credit
Overthesix-monthperiodending31May2022,thetotalreturnofthe premiumswerealsogenerallynegativeinglobaldevelopedmarkets
FundinU.S.dollars(thebasecurrencyoftheFund)was-7.44%.This ascorporatebondsunderperformedgovernmentbonds.Asaresult,
comparestoareturnof-10.80%fortheMSCIWorldSmallCapIndex the Fund’s overweight to corporate bonds and underweight to
(the "Index"). The Fund’s exclusion of stocks with the lowest government bonds detracted from relative performance. The Fund’s
profitabilityandhighestrelativepricecontributedpositivelytorelative underweighttobondsdenominatedinJapaneseyenandoverweightto
performance,asthosestocksunderperformed.TheFund’sexclusion bondsdenominatedintheAustraliandollar,Canadiandollar,andUS
ofstockswithhighassetgrowthalsocontributedpositivelytorelative dollaralsodetractedfromrelativeperformance.TheIndexhasbeen
performance, as those stocks underperformed. The Index has been includedformarketcontextpurposesonly.
includedformarketcontextpurposesonly.
GlobalSustainabilityShortFixedIncomeFund*
GlobalSustainabilityCoreEquityFund
The Global Sustainability Short Fixed Income Fund (the “Fund”)
The Global Sustainability Core Equity Fund (the “Fund”) invests in invests in high-quality fixed income instruments with maturities at or
companieswithincreasedexposuretocompanieswithsmallermarket belowfiveyears.Asat31May2022,theFundwasdiversifiedacross
capitalisations, lower relative prices, and higher profitability across issuers from 21 countries, as well as supranational organisations.
developedmarkets,whilealsoadjustingthecompositionoftheFund Investments were made in 10 currencies. As at 31 May 2022, the
basedonenvironmentalandsustainabilityimpactconsiderations.As Fund’s(GBP)averageyieldtomaturitywas3.39%.
of 31 May 2022, the Fund had holdings in approximately
6370 companies. This reflects our approach of seeking to deliver Over the five-month period since the fund’s inception and ending
highlydiversifiedexposuretodevelopedmarketscompanies. 31May2022,thetotalreturnoftheFundinBritishpounds(thebase
currencyoftheFund)was-4.30%.Thiscomparestoareturnof-3.11%
Overthesix-monthperiodending31May2022,thetotalreturnofthe fortheBloombergGlobalAggregateBondIndex1-5Years(hedgedto
FundinU.S.dollars(thebasecurrencyoftheFund)was-9.92%.This GBP)(the"Index").Atthebeginningoftheperiod,eligibleyieldcurves
compares to a total return of -9.25% for the MSCI World Index (the weresteepinthezero-tofive-yearmaturitysegmentwiththehigher
"Index"). With low relative price (value) stocks outperforming high expected returns being in the four- to five-year maturity range.As a
relative price (growth) stocks, the Fund's emphasis on value stocks result, the Fund focused on bonds in the four- to five-year maturity
contributedpositivelytoperformancerelativetotheIndex.TheFund’s range at the beginning of the period. During the period, global
emphasisonhighprofitabilitystocks,particularlywithingrowthstocks, developed yield curves flattened, resulting with bonds one- to
contributed positively to performance relative to the Index, as these three-yearmaturityrangeexhibitinghigherexpectedreturns.Assuch,
stocks outperformed. Despite this, the Fund’s sustainability the Fund increased its allocation to bonds in the one-to three-year
considerationsdetractedfromperformancerelativetotheIndex.The maturity range. However, the Fund’s duration remained longer than
portfolio’s underweight to energy stocks in particular detracted from thatoftheIndex’sdurationovertheperiod.AsattheendofMay,the
relativeperformanceasenergywasthebestperformingsector.The Fund’sweightedaveragedurationwas3.02yearswhereastheIndex’s
Indexhasbeenincludedformarketcontextpurposesonly. weightedaveragedurationwas2.69years.Realisedtermpremiums
weregenerallynegativeinglobaldevelopedmarketsaslonger-term
GlobalSustainabilityFixedIncomeFund
bonds underperformed shorter-term bonds due to a relatively sharp
TheGlobalSustainabilityFixedIncomeFund(the“Fund”)investsin increase in interest rates. As a result, the Fund’s longer duration
fixed income instruments within the investment grade spectrum with detracted from relative performance. Credit spreads widened during
maturities at or below 20 years.As at 31 May 2022, the Fund was theperiod,indicatinglargerexpectedcreditpremiums.Asaresult,the
DimensionalFundAdvisors Semi-AnnualReportandUnauditedFinancialStatements,31May2022 6
Investment Manager’s Reports (continued)
GlobalSustainabilityShortFixedIncomeFund* Overthesix-monthperiodending31May2022,thetotalreturnofthe
(continued) FundinU.S.dollars(thebasecurrencyoftheFund)was5.43%.This
Fund increased its allocation to corporate bonds rated single-Aand comparestoareturnof2.69%fortheMSCIWorldValueIndex(the
BBB and was overweight these securities relative to the Index. "Index"). The Fund’s greater emphasis on low relative price (value)
Realised credit premiums were also generally negative in global stockscontributedpositivelytorelativeperformance,asthesestocks
developedmarketsascorporatebondsunderperformedgovernment outperformed. The Index has been included for market context
bonds. As a result, the Fund’s overweight to corporate bonds and purposesonly.
underweight to government bonds detracted from relative
performance. The Fund’s underweight to bonds denominated in the PacificBasinSmallCompaniesFund
euroandJapaneseyenandoverweighttobondsdenominatedinthe ThePacificBasinSmallCompaniesFund(the“Fund”)investsinsmall
Australiandollar,Canadiandollar,andUSdollaralsodetractedfrom capcompaniesacrossPacificBasinmarkets.Asof31May2022,the
relativeperformance.TheIndexhasbeenincludedformarketcontext Fundhadholdingsinapproximately3260companies.Thisreflectsour
purposesonly. approach of seeking to deliver highly diversified exposure to Pacific
Basinsmallcapcompanies.
GlobalTargetedValueFund
TheGlobalTargetedValueFund(the“Fund”)investsinsmallandmid Overthesix-monthperiodending31May2022,thetotalreturnofthe
caplowrelativeprice(value)companiesacrossdevelopedmarkets. FundinU.S.dollars(thebasecurrencyoftheFund)was-9.13%.This
As of 31 May 2022, the Fund had holdings in approximately comparestoatotalreturnof-9.46%fortheMSCIPacificSmallCap
4180 companies. This reflects our approach of seeking to deliver Index (the "Index"). The Fund’s inclusion of Korea contributed
highlydiversifiedexposuretosmallandmidcapdevelopedmarkets positively to relative performance, as Korean stocks outperformed.
valuecompanies. TheFund’sexclusionofstockswiththelowestprofitabilityandhighest
relativepricealsocontributedpositivelytoperformancerelativetothe
Overthesix-monthperiodending31May2022,thetotalreturnofthe Index,asthosestocksunderperformed.TheIndexhasbeenincluded
FundinU.S.dollars(thebasecurrencyoftheFund)was1.10%.This formarketcontextpurposesonly.
comparestoatotalreturnof-1.98%fortheMSCIWorldSMIDValue
Index(the"Index").TheFund’sgreateremphasisonthelowrelative SterlingInflationLinkedIntermediateDurationFixed
price(value)stockscontributedpositivelytorelativeperformance,as IncomeFund
these stocks generally outperformed high relative price (growth)
TheSterlingInflationLinkedIntermediateFund(the“Fund”)investsin
stocks.TheIndexhasbeenincludedformarketcontextpurposesonly.
sterlinginflationlinkedissuesoftheU.K.governmentwithmaturities
betweenthreeandtwentyyears.Asat31May2022,theFund’s(GBP)
GlobalUltraShortFixedIncomeFund
averagerealyieldtomaturitywas-2.01%.
TheGlobalUltraShortFixedIncomeFund(the“Fund”)investsinfixed
income instruments within the investment grade spectrum with
Overthesix-monthperiodending31May2022,thetotalreturnofthe
maturitiesuptotwoyears.Asat31May2022,theFundwasdiversified
FundinBritishpounds(thebasecurrencyoftheFund)was-8.17%.
across issuers from 18 countries, as well as supranational
This compares to the return of -8.43% for the Bloomberg UK
organisations.Investmentsweremadein7currencies.Asat31May
Government Inflation Linked 5-15 Year Bond Index (the "Index").
2022,theFund’s(GBP)averageyieldtomaturitywas2.69%.
RealisedrealtermpremiumsweregenerallynegativeinBritishpound
inflation-linked bonds as longer-term inflation-linked bonds
Overthesix-monthperiodending31May2022,thetotalreturnofthe
underperformedtheirshorter-termcounterparts.Assuch,theFund’s
FundinBritishpounds(thebasecurrencyoftheFund)was-0.75%.
allocation to inflation-linked bonds with maturities shorter than five
Thiscomparestoareturnof0.20%fortheICEBofASONIA1-Month
years contributed positively to performance relative to the five- to
ConstantMaturityIndex(the"Index").Globaldevelopedyieldcurves
15-year Index. The Index has been included for market context
weregenerallyupwardlyslopedintheultra-shortsegment,indicating
purposesonly.
positive expected term premiums.As such, the Fund maintained its
durationtowarditsmaximumallowablelimit.AsattheendofMay,the
U.S.CoreEquityFund
Fund’s weighted average duration was 0.90 years. Realised term
premiums were, however, generally negative in global developed TheU.S.CoreEquityFund(the“Fund”)investsinU.S.companieswith
markets as longer-maturity bonds underperformed shorter-maturity increasedexposuretocompanieswithsmallermarketcapitalisations,
bonds.Asaresult,theFund’sinclusionofbondswithmaturitieslonger lowerrelativeprices,andhigherprofitability.Asof31May2022,the
thanone-monthdetractedfromrelativeperformance.Realisedcredit Fundhadholdingsinapproximately1840companies.Thisreflectsour
premiumswerealsogenerallynegativeinglobaldevelopedmarkets approach of seeking to deliver highly diversified exposure to
ascreditspreadswidened,furtherdetractingfromrelativereturns.The U.S.companies.
Indexhasbeenincludedformarketcontextpurposesonly.
Overthesix-monthperiodending31May2022,thetotalreturnofthe
GlobalValueFund
FundinU.S.dollars(thebasecurrencyoftheFund)was-6.42%.This
TheGlobalValueFund(the“Fund”)investsinlargecaplowrelative comparestoatotalreturnof-10.69%fortheRussell3000Index(the
price (value) companies across developed markets. As of 31 May "Index").TheFund’semphasisonlowrelativeprice(value)andhigh
2022, the Fund had holdings in approximately 830 companies. This profitabilitystocks,particularlywithinsmallcaps,contributedpositively
reflectsourapproachofseekingtodeliverhighlydiversifiedexposure to performance relative to the Index, as these stocks outperformed.
tolargecapvaluecompaniesindevelopedmarkets. TheIndexhasbeenincludedformarketcontextpurposesonly.
DimensionalFundAdvisors Semi-AnnualReportandUnauditedFinancialStatements,31May2022 7
Investment Manager’s Reports (continued)
U.S.SmallCompaniesFund WorldAllocation40/60Fund
The U.S Small Companies Fund (the “Fund”) invests in U.S. small The World Allocation 40/60 Fund (the “Fund”) invests in equity
companies. As of 31 May 2022, the Fund had holdings in securitiesofcompaniesacrossdevelopedandemergingmarketsand
approximately1830companies.Thisreflectsourapproachofseeking fixed income securities of issuers in developed markets. The equity
todeliverhighlydiversifiedexposuretoU.S.smallcompanies. component of the Fund will generally have increased exposure to
companies with smaller market capitalisations, lower relative prices,
Overthesix-monthperiodending31May2022,thetotalreturnofthe andhigherprofitability.Thefixedincomecomponentgenerallyinvests
FundinU.S.dollars(thebasecurrencyoftheFund)was-6.91%.This infixedincomeinstrumentswithmaturitiesatorbelowtwentyyears
comparestoatotalreturnof-14.85%fortheRussell2000Index(the withintheinvestmentgradespectrumandmayalsoinvestinsecurities
"Index"). The Fund’s exclusion of stocks with the lowest profitability ratedBB+throughBB-.Theaggregateexposuretoequityandfixed
and highest relative price contributed positively to relative incomesecuritiesisapproximately40%and60%,respectively.
performance,asthosestocksunderperformed.TheFund’sexclusion
ofstockswithhighassetgrowthalsocontributedpositivelytorelative As of 31 May 2022, the equity component of the World Allocation
performance, as those stocks underperformed. The Index has been 40/60 Fund had holdings in approximately 15220 companies. This
includedformarketcontextpurposesonly.
reflectsourapproachofseekingtodeliverhighlydiversifiedexposure
todevelopedandemergingmarketscompanies.
WorldAllocation20/80Fund
The World Allocation 20/80 Fund (the “Fund”) invests in equity
Asof31May2022,thetotalreturnoftheFundinBritishpounds(the
securitiesofcompaniesacrossdevelopedandemergingmarketsand
basecurrencyoftheFund)was-2.66%.Thiscomparestoareturnof
fixed income securities of issuers in developed markets. The equity
-3.81%forthe40%MSCIAllCountryWorldIndex/60%FTSEWorld
component of the Fund will generally have increased exposure to
GovernmentBondIndex1-5Years(the"Index").TheFund’semphasis
companies with smaller market capitalisations, lower relative prices,
on low relative price (value) stocks contributed positively to
andhigherprofitability.Thefixedincomecomponentgenerallyinvests
performancerelativetotheIndex,asthesestocksoutperformed.
in high quality fixed income issues with maturities at or below five
years.Theaggregateexposuretoequityandfixedincomesecuritiesis
As of 31 May 2022, the fixed income component of the World
approximately20%and80%,respectively.
Allocation 40/60 Fund was diversified across approximately
1260bondsfrom21differentcountries.
Asof31May2022,theequitycomponentoftheFundhadholdingsin
approximately 13580 companies. This reflects our approach of
seeking to deliver highly diversified holdings in developed and Globaldevelopedyieldcurveswereupwardlyslopedintheshort-term
emergingmarketscompanies. segmentbutremainedgenerallyflatbeyondthree-years.Assuch,the
Fund increased its allocation to bonds in the one- to three-year
Asof31May2022,thetotalreturnoftheWorldAllocation20/80Fund maturityanditsdurationdecreasedmodestlyasaresult.However,the
in British pounds (the base currency of the Fund) was -2.99%.This Fund’sdurationremainedlongerthanthatofitsIndex’sduration.Asat
comparestoareturnof-3.52%forthe20%MSCIAllCountryWorld theendofMay,theFund’sweightedaveragedurationwas2.82years
Index /80% FTSE World Government Bond Index 1-5 Years (the whereas the Index’s weighted average duration was 2.69 years.
"Index"). The Fund’s emphasis on low relative price (value) stocks Realised term premiums were generally negative in developed
contributed positively to performance relative to the Index, as these marketsaslonger-termbondsunderperformedshorter-termbonds.As
stocksoutperformed. such,theFund’slongerdurationdetractedfromrelativeperformance.
Realised credit premiums were also generally negative in global
As of 31 May 2022, the fixed income component of the World developed markets for the period as corporate bonds generally
Allocation20/80Fundwasdiversifiedacrossapproximately805bonds underperformedgovernmentbonds.Assuch,theFund’sexposureto
from21differentcountries. corporate bonds detracted from relative performance. The Fund’s
underweighttobondsdenominatedinJapaneseyenandoverweightto
Globaldevelopedyieldcurveswereupwardlyslopedintheshort-term bonds denominated inAustralian dollar also detracted from relative
segmentbutremainedgenerallyflatbeyondthree-years.Assuch,the performance. The Index has been included for market context
Fundincreaseditsallocationtobondsintheone-tothree-yearmaturity
purposesonly.
rangeanditsdurationdecreasedmodestlyasaresult.Asattheendof
May,theFund’sweightedaveragedurationwas2.52yearswhereas WorldAllocation60/40Fund
theIndex’sweightedaveragedurationwas2.69years.Realisedterm
The World Allocation 60/40 Fund (the “Fund”) invests in equity
premiums were generally negative in developed markets as
securitiesofcompaniesacrossdevelopedandemergingmarketsand
longer-termbondsunderperformedshorter-termbonds.Assuch,the
fixed income securities of issuers in developed markets. The equity
Fund’sshorterdurationcontributedpositivelytorelativeperformance.
Realised credit premiums were also generally negative in global component of the Fund will generally have increased exposure to
developed markets for the period as corporate bonds generally companies with smaller market capitalisations, lower relative prices,
underperformedgovernmentbonds.AssuchtheFund’sexposureto andhigherprofitability.Thefixedincomecomponentgenerallyinvests
corporate bonds detracted from relative performance. The Fund’s infixedincomeinstrumentswithmaturitiesatorbelowtwentyyears
underweighttobondsdenominatedinJapaneseyenandoverweightto withintheinvestmentgradespectrumandmayalsoinvestinsecurities
bondsdenominatedintheAustraliandollaralsodetractedfromrelative ratedBB+throughBB-.Theaggregateexposuretoequityandfixed
performance. The Index has been included for market context incomesecuritiesisapproximately60%and40%,respectively.
purposesonly.
DimensionalFundAdvisors Semi-AnnualReportandUnauditedFinancialStatements,31May2022 8