Important Disclosures and Index Descriptions

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The S&P 500 Index is a market-capitalization weighted index that includes the 500 most widely held companies chosen with respect to market size, liquidity, and industry. Ticker symbol is SPX.

The S&P 500 Price Index only considers price movements (capital gains or losses) of the securities that make up the index to calculate returns, while a total return index includes dividends, interest, rights offerings and other distributions realized over time.

The Russell 3000 Index is a market capitalization weighted index that measures the performance of the 3,000 largest U.S. companies representing approximately 98% of the investable U.S. equity market.

The Russell 2000 Index is a market capitalization weighted index comprised of 2,000 small-capitalization companies. It’s made up of the bottom two-thirds of the Russell 3000 Index.

The Russell 1000 Growth Index measures the performance of the large cap growth segment of the US equity universe. It includes those Russell 1000 companies with relatively higher price-to-book ratios, higher I/B/E/S forecast medium term (2 year) growth and higher sales per share historical growth (5 years). The Russell 1000® Growth Index is constructed to provide a comprehensive and unbiased barometer for the large-cap growth segment. The index is completely reconstituted annually to ensure new and growing equities are included and that the represented companies continue to reflect growth characteristics.

The Russell 1000 Value Index measures the performance of the largecap value segment of the US equity universe. It includes those Russell 1000 companies with relatively lower price-to-book ratios, lower I/B/E/S forecast medium term (2 year) growth and lower sales per share historical growth (5 years). The Russell 1000® Value Index is constructed to provide a comprehensive and unbiased barometer for the large-cap value segment. The index is completely reconstituted annually to ensure new and growing equities are included and that the represented companies continue to reflect value characteristics.

The MSCI ACWI Index consists of 47 country indexes comprising 23 developed and 24 emerging market country indexes. The developed market country indexes included are: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the United Kingdom and the United States. The emerging market country indexes included are: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Kuwait, Malaysia, Mexico, Peru, Philippines, Poland, Qatar, Saudi Arabia, South Africa, Taiwan, Thailand, Turkey and United Arab Emirates.

The MSCI ACWI Investable Market Index (IMI) captures large, mid and small cap representation across 23 Developed Markets and 24 Emerging Markets countries. With 9,139 constituents, the index is comprehensive, covering approximately 99% of the global equity investment opportunity set.

The MSCI World Index ex USA Index is a free float‐adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets. The MSCI World Index ex USA consists of the following 22 developed market country indexes: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the United Kingdom.

The MSCI EAFE Index is designed to represent the performance of large and mid-cap securities across 21 developed markets, including countries in Europe, Australasia and the Far East, excluding the U.S. and Canada. The Index is available for a number of regions, market segments/sizes and covers approximately 85% of the free float-adjusted market capitalization in each of the 21 countries.

The MSCI Emerging Markets Index is a free float‐adjusted market capitalization index that is designed to measure equity market performance of emerging markets. The MSCI Emerging Markets Index consists of the following 24 emerging market country indexes: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Kuwait, Malaysia, Mexico, Peru, Philippines, Poland, Qatar, Saudi Arabia, South Africa, Taiwan, Thailand, Turkey and United Arab Emirates.

The S&P Global REIT Index is a float-adjusted market cap weighted comprehensive benchmark of publicly traded equity REITs listed in both developed and emerging markets. It’s rebalanced annually in September with share changes and IPO updates in March, June, and December.

The Dow Jones U.S. Select REIT Index is composed of U.S. publicly traded Real Estate Investment Trusts weighted by float-adjusted market capitalization.

The S&P Global Ex-U.S. REIT Index represents the investable universe of publicly traded REIT companies domiciled in developed and emerging markets excluding the U.S.

The Nasdaq Composite Index measures all Nasdaq domestic and international based common type stocks listed on The Nasdaq Stock Market. To be eligible for inclusion in the Index, the security's U.S. listing must be exclusively on The Nasdaq Stock Market (unless the security was dually listed on another U.S. market prior to January 1, 2004 and has continuously maintained such listing). The security types eligible for the Index include common stocks, ordinary shares, ADRs, shares of beneficial interest or limited partnership interests and tracking stocks. Security types not included in the Index are closed-end funds, convertible debentures, exchange traded funds, preferred stocks, rights, warrants, units and other derivative securities.

The Bloomberg US Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, US dollar-denominated, fixed-rate taxable bond market. The index includes Treasuries, government-related and corporate securities, MBS (agency fixed-rate pass-throughs), ABS and CMBS (agency and non-agency).

The Bloomberg US Aggregate Bond 1-3 Year Index is a benchmark that measures the investment grade corporate, US Treasury and government agency securities with maturities of one to three years

The Bloomberg Global Aggregate ex-USD Bond Index is a broad-based benchmark that measures the performance of global investment grade fixed-rate debt markets that excludes USD-dominated securities. This index does not include bonds from the US. It includes treasury, government-related, corporate and securitized bonds from both developed and emerging markets issuers.

The Bloomberg Municipal Bond Index measures the performance of the Bloomberg US Municipal bond market, which covers the USD denominated long-term tax-exempt bond market with four main sectors: state and local general obligation bonds, revenue bonds, insured bonds, and pre-refunded bonds.

The Bloomberg Municipal Bond CA Exempt Index measures the performance of the Bloomberg CA Municipal bond market, which covers the USD denominated long-term tax-exempt bond market with four main sectors: state and local general obligation bonds, revenue bonds, insured bonds, and pre-refunded bonds.

The Bloomberg US Government/Credit Bond Index is a broad-based flagship benchmark that measures the non-securitized component of the US Aggregate Index. It includes investment grade, US dollar-denominated, fixed-rate Treasuries, government-related and corporate securities.

The Bloomberg US 1-5 Year Government/Credit Bond Index is a component of the US Government/Credit Bond Index, which includes Treasury and agency securities (Government Bond Index) and publicly issued U.S. corporate and foreign debentures and secured notes (Credit Bond Index). The bonds in the index are investment-grade with a maturity between one and five years.

The Bloomberg US TIPS Index measures the performance of rules-based, market value-weighted, inflation protected securities issued by the U.S. Treasury. It is a subset of the Global Inflation-Linked Index (Series-L).

The Bloomberg US MBS Index measures the performance of the agency mortgage-backed pass-through securities (both fixed-rate and hybrid ARM) issued by Ginnie Mae (GNMA), Fannie Mae (FNMA), and Freddie Mac (FHLMC).

The Bloomberg US Corporate Investment Grade Index measures the performance of the investment grade, USD-denominated, fixed-rate, taxable corporate bond market securities.

The Bloomberg US Corporate High Yield Index measures the performance of USD-denominated, non-investment grade, fixed-rate, taxable corporate bonds, including corporate bonds, fixed-rate bullet, putable, and callable bonds, SEC Rule 144A securities, original issue zeroes, pay-in-kind (PIK) bonds, fixed-rate and fixed-to-floating capital securities.

The Bloomberg US Treasury Index measures the performance of public obligations of the U.S. Treasury, including securities that roll up to the U.S. Aggregate, U.S. Universal, and Global Aggregate Indices.

The Bloomberg US Treasury 30-yr Index represents the on-the-run (most recently auctioned) fixed-rate bond issued by the U.S. Treasury with 30 years maturity.

The 5 Year US Treasury Notes Index measures the performance of fixed-rate, investment-grade USD-denominated Treasury bonds with maturities of 5 years.

The One-Month US Treasury Bill Index measures the performance of fixed-rate, investment-grade US Treasury Bills with 1 month remaining until maturity. It is market-capitalization weighted and does not incorporate Environmental, Social, or Governance (ESG) criteria.

The FTSE World Government Bond Index 1-5 Years measures the performance of fixed-rate, local currency, investment-grade sovereign bonds with maturities between 1-5 years. The WGBI is a widely used benchmark that currently includes sovereign debt from over 20 countries, denominated in a variety of currencies.

The ICE BofA Merrill Lynch 1-3 Year California including Puerto Rico Municipal Index measures the performance of California and Puerto Rico municipal bonds with maturities between one and three years.

The ICE BofA Merrill Lynch 3-7 Year California including Puerto Rico Municipal Index measures the performance of California and Puerto Rico municipal bonds with maturities between three and seven years.

The ICE BofA Merrill Lynch US 1 Year Treasury Index is comprised of a single issue purchased at the beginning of the month and held for a full month. At the end of the month that issue is sold and rolled into a newly selected issue. The issue selected at each month-end rebalancing is the outstanding Treasury Bill that matures closest to, but not beyond, 1 year from the rebalancing date. To qualify for selection, an issue must have settled on or before the month-end rebalancing date.

The IA SBBI (Ibbotson Associates - Stocks, Bonds, Bills, and Inflation) data set was originally produced by Roger G. Ibbotson and Rex A. Sinquefield in 1976 and in Research Foundation monographs in 1977, 1979, and 1982. Using data beginning in 1926, the SBBI dataset includes monthly, quarterly, and yearly total returns and yields of most of the major U.S asset classes: large-cap stocks, small-cap stocks, corporate bonds, government bonds of several maturities, and inflation. It measures arithmetic means (simple averages), geometric means (annualized returns), standard deviations (risk), correlations, wealth indexes, and variety of statistical techniques.

The IA SBBI US Large Stock Index is an unmanaged index representing the broad US large cap stock market.

The IA SBBI US Intermediate-Term Government Bond Index is an unmanaged index representing the US intermediate-term government bond market. The index is constructed as a one bond portfolio consisting of the shortest-term non-callable government bond with less than 5 years to maturity.

The Consumer Price Index (CPI) measures the monthly change in prices paid by U.S. consumers. The Bureau of Labor Statistics (BLS) calculates the CPI as a weighted average of prices for a basket of goods and services representative of aggregate U.S. consumer spending.

The Conference Board Leading Economic Index (LEI) for the US is produced monthly by the Conference Board. The composite economic indexes are the key elements in an analytic system designed to signal peaks and troughs in the business cycle. The indexes are constructed to summarize and reveal common turning points in the economy in a clearer and more convincing manner than any individual component. The LEI is a predictive variable that anticipates (or “leads”) turning points in the business cycle by around 7 months. https://www.conference-board.org/topics/us-leading-indicators

The Merrill Lynch Option Volatility Estimate Index (MOVE) measures U.S. interest rate volatility by tracking the movement in U.S. Treasury yield volatility implied by current prices of 1-month OTC options.

The Citi Economic Surprise Index represents the sum of the difference between official economic results and forecasts. With a sum over 0, its economic performance generally beats market expectations. With a sum below 0, its economic conditions are generally worse than expected.

Gross total return indexes reinvest as much as possible of a company’s dividend distributions. The reinvested amount is equal to the total dividend amount distributed to persons residing in the country of the dividend-paying company. Gross total return indexes do not, however, include any tax credits.

Net total return indexes reinvest dividends after the deduction of withholding taxes, using (for international indexes) a tax rate applicable to non-resident institutional investors who do not benefit from double taxation treaties.

The Dimensional US Small Cap Index is a market-capitalization-weighted index of securities of the smallest US companies whose market capitalization falls in the lowest 8% of the total market capitalization of the Eligible Market. Eligible Market is composed of securities of US companies traded on the NYSE, NYSE MKT and Nasdaq Global Market. Exclusions: Non-US companies, REITs, UITs, Investment Companies with the lowest profitability and highest relative price within the small cap universe. Source: CRSP and Compustat.

The Dimensional International Small Cap Index is a market-capitalization-weighted index that includes non-US developed securities in the bottom 10% of market capitalization in each eligible country. Each country is capped at 50%. Rebalanced semiannually.

The Fama/French International Market Index: January 1975–present. Source: Ken French website. Simulated from MSCI and Bloomberg data.

The Fama/French Emerging Markets Index: July 1989–present. Companies weighted by float-adjusted market cap; rebalanced annually in June. Fama/French and multifactor data provided by Fama/French.

The Fama/French Total US Market Research Index includes the lower 30% in price-to-book of NYSE securities (plus NYSE Amex equivalents since July 1962 and Nasdaq equivalents since 1973). Provided by Fama/French from CRSP securities data. Exclusions: ADRs, Investment Companies, Tracking Stocks, non-US incorporated companies, Closed-end funds, Certificates, Shares of Beneficial Interests, and negative book values.

The Fama/French US Value Research Index includes the lower 30% in price-to-book of NYSE securities (plus NYSE Amex equivalents since July 1962 and Nasdaq equivalents since 1973). Provided by Fama/French from CRSP securities data. Exclusions: ADRs, Investment Companies, Tracking Stocks, non-US incorporated companies, Closed-end funds, Certificates, Shares of Beneficial Interests, and negative book value.

The Fama/French US Growth Research Index includes the lower 30% in price-to-book of NYSE securities (plus NYSE Amex equivalents since July 1962 and Nasdaq equivalents since 1973). Provided by Fama/French from CRSP securities data. Exclusions: ADRs, Investment Companies, Tracking Stocks, non-US incorporated companies, Closed-end funds, Certificates, Shares of Beneficial Interests, and negative book value.

The Fama/French US Small Value Research Index includes the lower 30% in price-to-book of NYSE securities (plus NYSE Amex equivalents since July 1962 and Nasdaq equivalents since 1973) that have smaller market capitalization than the median NYSE company. Provided by Fama/French from CRSP securities data. Exclusions: ADRs, Investment Companies, Tracking Stocks, non-US incorporated companies, Closed-end funds, Certificates, Shares of Beneficial Interests, and negative book value.

The Fama/French US Small Growth Index includes the lower-half range of in market cap and lower 30% in price-to-book of NYSE securities (plus NYSE Amex equivalents since July 1962 and Nasdaq equivalents since 1973). Provided by Fama/French from CRSP securities data. Exclusions: ADRs, Investment Companies, Tracking Stocks, non-US incorporated companies, Closed-end funds, Certificates, Shares of Beneficial Interests, and negative book value.

The Fama/French US High Profitability Index includes all stocks in the upper 30% operating profitability range of NYSE eligible firms; rebalanced annually in June. OP for June of year t is annual revenues minus cost of goods sold, interest expense, and selling, general, and administrative expenses divided by book equity for the last fiscal year end in t-1 since 1963. Provided by Fama/French from CRSP and Compustat securities data.

The Fama/French US Low Profitability Index includes all stocks in the lower 30% operating profitability range of NYSE eligible firms; rebalanced annually in June. OP for June of year t is annual revenues minus cost of goods sold, interest expense, and selling, general, and administrative expenses divided by book equity for the last fiscal year end in t-1 since 1963. Provided by Fama/French from CRSP and Compustat securities data.

The Dimensional and Fama/French Indices represent academic concepts that may be used in portfolio construction and are not available for direct investment or for use as a benchmark. Index returns are not representative of actual portfolios and do not reflect costs and fees associated with an actual investment.

Size definitions: Stocks sorted using market equity as of each June. In the US, small caps and large caps are defined relative to the median market capitalization of stocks listed on the NYSE.

Value definitions: Stocks are sorted on book-to-market ratio each June, where book-to-market for year t is computed using the book equity for the last fiscal year-end in t-1, divided by market equity for December of t-1. In the US, value and growth are stocks with book-to-market ratios above and below the 70th and 30th percentiles for NYSE stocks, respectively.

Results shown during periods prior to each Index’s index inception date do not represent actual returns of the respective index. Other periods selected may have different results, including losses. Backtested index performance is hypothetical and is provided for informational purposes only to indicate historical performance had the index been calculated over the relevant time periods. Backtested performance results assume the reinvestment of dividends and capital gains. Profitability is measured as operating income before depreciation and amortization minus interest expense, scaled by book.

Eugene Fama and Ken French are members of the Board of Directors of the general partner of, and provide consulting services to, Dimensional Fund Advisors LP.

CRSP: Center for Research in Security Prices, University of Chicago

The National Bureau of Economic Research (NBER) founded in 1920,  is a private, nonpartisan organization that facilitates cutting-edge investigation and analysis of major economic issues, including the arbiter of official US recessions. Headquartered in Cambridge, Massachusetts, the NBER is a network of nearly 1,700+ economists who hold primary appointments at North American colleges and universities.

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