Book Disclosures
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This document contains hypothetical results. Although we have done our best to present this information fairly, hypothetical performance is still potentially misleading. Hypothetical data does not represent actual performance and should not be interpreted as an indication of actual performance. This data is based on transactions that were not made. Instead, the trades were simulated, based on knowledge that was available only after the fact and thus with the benefit of hindsight. Results do not include the impact of taxes, if any. Past returns are not indicative of future results.
I. Data Sources
The following data sources were used to develop the tables and figures in this book. Note that many of our return series rely on academic simulations gathered and developed by Dimensional Fund Advisors (or DFA). All performance data are total returns including interest and dividends.
Equities
| CRSP Market Cap Deciles | Center for Research in Security Prices, University of Chicago. Securities ranked by market cap, and placed in 10 buckets (or deciles). |
| CRSP 6-10 Index | Small Cap Index holding stocks in the 6th through 10th decile rankings in market capitalization. |
| Emerging Markets | DFEMX to May 1994, DFA simulation back to Jan 1987. |
| Emerging Market Small Cap | DEMSX back to 1999, DFA simulation back to Jan. 1987. |
| Emerging Market Value | DFEVX back to 1999, DFA simulation back to Jan. 1987. |
| International Large Cap | DFALX back to 1992, MSCI EAFE back to 1970. |
| International Large Cap Value | DFIVX back to Mar 1994, DFA simulation back to 1975. |
| International Small Cap | DFISX back to Oct. 1996, DFA simulation back to 1970. |
| International Small Value | DISVX back to 1995. |
| Large Growth | DFA simulation back to 1927. |
| Large Value | DFLVX back to 1994, DFA simulation back to 1927. |
| Micro Cap (or Small Cap) | DFSVX back to 1982, CRSP 9-10 decile stocks back to 1926. |
| Real Estate Investment Trusts | DFREX back to Jan. 1993, DFA simulation back to Jan. 1975. |
| S&P 500 Back to 1926 | Stocks, Bonds, Bills, and Inflation 2003 Yearbook, Ibbotson Associates, Chicago (annually updated). |
| Small Value | DFSVX back to 1994, DFA simulation back to 1927. |
| Small Growth | DFA simulation back to 1927. |
Bonds & Inflation
| 1-Month T-Bill Back to 1926. | Back to 1926. Stocks, Bonds, Bills, and Inflation 2003 Yearbook, Ibbotson Associates, Chicago (annually updated). |
| 1-Year Rolling T-Bills | Merrill Lynch One-Year US Treasury Note Index. Source: Merrill Lynch GC03 Index, total returns in USD$. Jul 2000 - Present: ML One Year US Treasury Note Index. Jun 1991 - Jun 2000: ML One Year Treasury Bill Index. Jan 1964 - May 1991: CRSP/DFA. |
| 1-year DFA Fixed Income Strategy | DFIHX back to Aug. 1983, DFA simulation back to 1972. |
| 2-year DFA Global Bond Strategy | DFGFX back to March 1996, DFA simulation back to 1970. |
| 5-Year T-Notes | Back to 1964. Stocks, Bonds, Bills, and Inflation 2003 Yearbook, Ibbotson Associates, Chicago (annually updated); Intermediate Five Year Treasury Notes. |
| 5-year DFA Fixed Income Strategy | DFFGX back to June 1987, DFA simulation back to 1953. |
| 5-year DFA Global Bond Strategy | DFGBX back to 1991, DFA simulation back to 1970. |
| 6-Month Rolling T-Bills | Jan 1978-Present: Merrill Lynch G0O2 Index, total returns in USD$. Jan 1964-Jan 1978: CRSP |
| Inflation | Stocks, Bonds, Bills, and Inflation 2003 Yearbook, Ibbotson Associates |
| Lehman Gov't Corp. Index | 50% long-term corp., 50% long-term government for 1973-1974 (from DFA Matrix 2004), Lehman Bros. Government/Corporate Bond Index from 1975 to present. |
| Long-Term Corporate Bonds | Back to 1926. Stocks, Bonds, Bills, and Inflation 2003 Yearbook, Ibbotson Associates, Chicago (annually updated); Long-Term Corporate Bonds. |
| Long-Term (20-Year) Government Bonds | Back to 1926. Stocks, Bonds, Bills, and Inflation 2003 Yearbook, Ibbotson Associates, Chicago (annually updated); Long-Term Government Bonds |
| All other funds' data | Morningstar |
II. Tables & Figures
- DFA Factors
Table 6.1 (pg. 69), Table 7.1 (pg. 86), Table 8.1 (pg. 99)- Uses overlapping periods incremented monthly
- Portfolios 1-5
Figure 6.7 (pg. 77), Figure 6.8 (pg. 77), Figure 7.9 (pg. 91), Figure 8.2 (pg. 100), Figure9.2 (pg. 114)- Yearly rebalancing.
- International Allocations:
- 1973-1974: 50% Int. LC, 50% Int. SC
- 1975-1986: 25% Int. LC, 25% Int. LCV, 50% Int. SC
- 1987-1994: 20% Int. LC, 20% Int. LCV, 20% EM, 40% Int. SC
- 1995-present: 20% Int. LC, 20% Int. LCV, 20% EM, 20% Int. SC, 20% Int. SCV
- The benefits of global investing
- Table 7.2 (pg. 87): Monthly Rebalancing
- Withdrawal Studies
Portfolio returns -
- Monthly Rebalancing.
- Management fee of 1%/year charged monthly.
- U.S. Allocation: 25% each in LC, LCV, SC, SCV
- International Allocation:
- 1970-1974: 50% Int. LC, 50% Int. SC
- 1975-1986: 25% Int. LC, 25% Int. LCV, 50% Int. SC
- 1987-1994: 20% Int. LC, 20% Int. LCV, 20% EM,
- 40% Int. SC
- 1995-present: 20% Int. LC, 20% Int. LCV, 20% EM, 20% Int. SC, 20% Int. SCV
- Bond Allocation:
- 50% 2-year DFA Global Bond Strategy, 50% 5-year DFA Global Bond Strategy
- Distribution Schedules
- Distribution is at the beginning of the year and adjusted yearly by inflation percentage
- Table 13.5 (pg. 184): Aggressive Fixed Distribution Schedule: $80,000 will be distributed per year and increased every year by an inflation rate of 3.5%.
- Table 9.2 (pg. 112), Table 13.4 (pg. 182) & Table 13.5 (pg. 184): Conservative Fixed Distribution Schedule: $60,000 will be distributed per year and increased every year by inflation rate of 3.5%.
- Table 13.6 (pg. 186): Aggressive Flexible Distribution Schedule: 8% of previous year-end balance will be distributed for current year.
- Table 13.6 (pg. 186) & Table 13.7 (pg. 188): Conservative Flexible Distribution Schedule: 6% of previous year-end balance will be distributed for current year.
- Table 13.7 (pg. 188): Conservative Flexible Variable Withdrawals: if the rate of return for previous year is greater than 12% then 8% of previous year-end balance will be distributed for current year. If not, only 6% will be distributed.
