Data Sources for CarbonScan


Definitions of Carbon Intensive Sectors
As of July 30, 2018

Coal producers comprises the 100 largest public-company owners of coal reserves worldwide by Gt CO2. Source: Fossil Free Funds

Coal-fired utilities comprises the 30 largest public-company owners of coal-fired power plants in Developed Markets plus China and India — see: The Macroclimate® 30.

Oil & gas producers comprises the 100 largest public-company owners of oil and gas reserves worldwide by Gt CO2, or fossil fuel components of Bloomberg Commodities Index. Source: Fossil Free Funds

Palm oil producers comprise companies engaged in irresponsible and unethical deforestation practices per Friends of the Earth as reported by Deforestation Free Funds.

Deforestation Free means less than 0.1% of actual fund holdings in companies from palm oil producers defined above.

Fossil Free — at the mutual fund level — means less than 0.1% of actual fund holdings in companies from fossil fuel sectors defined above. At the portfolio level, Fossil Free means less than 0.2% of total actual portfolio holdings in such companies across all fossil fuel sectors or, if the target is 0%, less than 1% of actual total portfolio holdings across all fossil fuel sectors.

Ultra Low Carbon means less than 1% of actual total portfolio holdings in companies from fossil fuel sectors.


Macroclimate Ultra Low Carbon Global Equity Portfolio
As of July 30, 2018

Macroclimate Ultra Low Carbon Global Equity Portfolio is a composite of the following three mutual funds of Dimensional Fund Advisors:

DFSIX — DFA US Sustainability Core 1 Portfolio
DFSPX — DFA International Sustainability Core 1 Portfolio
DESIX — DFA Emerging Markets Sustainability Core Equity Portfolio

Targets for exposure to potential emissions from fossil fuel reserves are estimates based on simulated historical data. Filters were applied retroactively and with the benefit of hindsight. Such estimates represent targets — not an actual strategy.


Example Equities Portfolio
As of December 15, 2016

The Example Portfolio benchmark is a composite of the following asset classes:

30% — S&P 500 (IVV)
10% — US excluding S&P 500 (IWM)
10% — International Equities excluding US (EFA)
5% — Emerging Markets Equities (EEM)
5% — Commodities (DJP)
5% — Real Estate (REIT)
35% — Cash and Bonds

The Example Equities Portfolio portion of the benchmark — and its associated exchange traded funds (ETFs) — are in bold.


STANDARDIZED PERFORMANCE DATA AND DISCLOSURES FOR DIMENSIONAL RETURNS
As of December 31, 2015


Research conducted by Dimensional Fund Advisors LP.

Dimensional Fund Advisors LP is an investment advisor registered with the Securities and Exchange Commission. Consider the investment objectives, risks, and charges and expenses all 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 by visiting us.dimensional.com. Mutual funds distributed by DFA Securities LLC.

Performance Data

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 Dimensional Fund Advisor’s website at us.dimensional.com. Average annual total returns include reinvestment of dividends and capital gains. All reimbursement fees are based on the net asset value of the shares purchased. The standardized returns presented reflect deduction, where applicable, of the reimbursement fees for the portfolios. Non-standardized performance data reported by Dimensional Fund Advisors LP does not reflect deduction of the reimbursement fee. If reflected, the fee would reduce the performance quoted.

Indexes and Benchmarks

Comparative indexes are unmanaged and do not reflect the payment of advisory fees and other expenses associated with an investment in a fund. Investors cannot invest directly in an index. US-domiciled mutual fund data is from the CRSP Survivor-Bias-Free US Mutual Fund Database, provided by the Center for Research in Security Prices, University of Chicago. Fama/French and CRSP data provided by the Center for Research in Security Prices, University of Chicago. The S&P data are provided by Standard & Poor’s Index Services Group. Bonds and T-bills data provided by Morningstar. Inflation data © Stocks, Bonds, Bills, and Inflation Yearbook™, Ibbotson Associates, Chicago (annually updated work by Roger G. Ibbotson and Rex A. Sinquefield). Benchmark data provided by Barclays, MSCI, and Russell. Barclays data provided by Barclays Bank PLC. MSCI data copyright MSCI 2014, all rights reserved. Russell data © Russell Investment Group 1995−2014, all rights reserved. Benchmark indices are not available for direct investment. Their performance does not reflect the expenses associated with the management of an actual portfolio.

Principal Risks

The principal risks of investing in the Dimensional funds may include one or more al the following: market risk, small companies risk, risk of concentrating in the real estate industry, foreign securities and currencies risk, emerging markets risk, banking concentration risk, foreign government debt risk, interest rate risk, risk of investing for inflation protection, credit risk, risk of municipal securities, derivatives risk, securities lending risk call risk, liquidity risk, income risk, value investment risk, investment strategy risk, and/or fund of funds risk. To more fully understand the risks related to an investment in the funds, investors should carefully read each fund’s prospectus.

Mutual fund investment values will fluctuate, and shares, when redeemed, may be worth more or less than original cost. Diversification neither assures a profit nor guarantees against a loss in a declining market. Investments in the Dimensional funds are not insured or guaranteed by the US government or any other party.

Investments in foreign issuers are subject to certain considerations that are not associated with investments in US public companies. Investments of the International Equity, Emerging Markets Equity and the Global Fixed Income Portfolios will be denominated in foreign currencies. Changes in the relative values of these foreign currencies and the US dollar, therefore, will affect the value of investments in the Portfolios. However, the Global Fixed Income Portfolios may utilize forward currency contracts to attempt to protect against uncertainty in the level of future foreign currency rates (if applicable), to hedge against fluctuations in currency exchange rates or to transfer balances from one currency to another. Foreign securities prices may decline or fluctuate because of: (a) economic or political actions of foreign governments, and/or (b) less regulated or liquid securities markets.

Additionally:

Real Estate Securities Portfolio

The DFA Real Estate Securities Portfolio, DFA International Real Estate Securities Portfolio, and the DFA Global Real Estate Securities Portfolio(collectively, the “Real Estate Securities Portfolios”) are each concentrated in the real estate industry. The exclusive focus by Real Estate Securities Portfolios on the real estate industry will cause the Real Estate Securities Portfolios lo be exposed to the general risks of direct real estate ownership. The value of securities in the real estate industry can be affected by changes in real estate values and rental income, property taxes, and tax and regulatory requirements. Also, the value of securities in the real estate industry may decline with changes in interest rates. Investing in REITs and REIT-like entities involves certain unique risks in addition lo those risks associated with investing in the real estate industry in general. REITs and REIT-like entities are dependent upon management skill, may not be diversified, and are subject to heavy cash flow dependency and self-liquidation. REITs and REIT-like entities also are subject to the possibility of failing lo qualify for tax free pass-through of income. Also, many foreign REIT-like entities are deemed for tax purposes as passive foreign investment companies (PFICs), which could result in the receipt of taxable dividends lo shareholders at an unfavorable tax rate. Also, because REITs and REIT-like entities typically are invested in a limited number of projects or in a particular market segment, these entities are more susceptible to adverse developments affecting a single project or market segment than more broadly diversified investments. The performance of Real Estate Securities Portfolios may be materially different from the broad equity market.

Fixed Income Portfolios

The net asset value of a fund that invests in fixed income securities will fluctuate when interest rates rise. An investor can lose principal value investing in a fixed income fund during a rising interest rate environment.

Tax-managed Portfolios

Tax-managed strategies consider tax implications of investment decisions, which may affect fund holdings when compared to non-tax-managed strategies, and they may perform differently than non-tax-managed strategies.

Sustainability Portfolios

Sustainability portfolios are subject to risks that environmental and social screens, respectively, may limit investment opportunities for the fund.

Risk of Banking Concentration

Focus on the banking industry would link the performance of the DFA One-Year Fixed Income and/or the Two-Year Global Fixed Income Portfolios to changes in performance of the banking industry generally. For example, a change in the markets perception of the riskiness of banks compared to non-banks would cause the Portfolio’s values to fluctuate.

Inflation Protected Securities Portfolio

Inflation-protected securities are expected to be protected from long-term inflationary trends, short-term increases in inflation may lead to a decline in the Portfolio’s value. If interest rates rise due to reasons other than inflation, the Portfolio’s investment in these securities may not be protected to the extent that the increase is not reflected in the securities’ inflation measures. The Portfolio also may suffer a loss during periods of sustained deflation.

Definitions of Statistical Terms

Average Returns (arithmetic mean) is a measure of the “middle performance” of the fund, computed by adding up all the returns and dividing by the number of periods.

Standard Deviation measures how different the actual fund returns are from its average performance (see above). The closer the actual returns are to the average, the smaller the standard deviation. Standard deviation is a measure of volatility, generally associated with the risk of investments.

Correlation measures the degree to which the performance of two funds moves in tandem, and the direction of their association (one goes up, the other goes up as well -positive correlation). Correlation plays an important part in diversification.

Turnover is a measure of the fund’s trading activity, and loosely represents the portion of a fund’s holdings that have changed over a year. A lower turnover ratio indicates a more passive strategy.

Tracking Error shows how different are each period’s returns of a given fund from the returns of a reference “benchmark” (generally commercial indexes). For example, if fund A’s returns in two subsequent periods are 10% and 20%, while the benchmark’s returns are 5% and 25% for the same periods, the average is the same (15%), but there is tracking error since there was a difference in period by period returns (period 1: 10% versus 5%, period 2: 20% versus 25%).

Alpha measures the difference between the fund’s average performance and what would be expected based its compensating risk level, such as beta (see below). For example, if the fund’s ave rage return was 10%, but the expectation based on its beta was 9%, then the alpha would show as 1%.

Beta measures the degree to which the returns of a fund change with the market movements. Generally, the higher the scale of fund movements (up or down) relative to the market, the greater the beta. This is considered lo be compensating risk for investors, i.e. the more risk (higher beta), the higher the investors’ expected returns versus the market.

Three Factor Model explains the source of performance variation among investment portfolios, and is an extension of previous Nobel Prize winning work. The model specifies that differences in portfolio returns can be attributed to (1) stocks/fixed income mix - riskier stocks have a higher potential return, (2) market capitalization of portfolio- smaller capitalization stocks are riskier and therefore have higher expected returns, and (3) market price relative to accounting measures of the firm, such as book value-stocks with higher book value to market ratios are riskier and have higher expected returns. This model was first published in major academic journals but has gained wide spread acceptance among investment professionals.

More information in Dimensional indices.