Annual Report and Financial Statements
Total Page：16
File Type：pdf, Size：1020Kb
Annual Report and Financial Statements for the year ended 31 December 2019 Dimensional Funds ICVC Authorised by the Financial Conduct Authority No marketing notification has been submitted in Germany for the following Funds of Dimensional Funds ICVC: Global Short-Dated Bond Fund International Core Equity Fund International Value Fund United Kingdom Core Equity Fund United Kingdom Small Companies Fund United Kingdom Value Fund Accordingly, these Funds must not be publicly marketed in Germany. Table of Contents Dimensional Funds ICVC General Information* 2 Investment Objectives and Policies* 3 Authorised Corporate Director’s Investment Report* 5 Incorporation and Share Capital* 9 The Funds* 9 Fund Cross-Holdings* 9 Fund and Shareholder Liability* 9 Regulatory Disclosure* 9 Potential Implications of Brexit* 9 Responsibilities of the Authorised Corporate Director 10 Responsibilities of the Depositary 10 Report of the Depositary to the Shareholders 10 Directors' Statement 10 Independent Auditors’ Report to the Shareholders of Dimensional Funds ICVC 11 The Annual Report and Financial Statements for each of the below sub-funds (the “Funds”); Emerging Markets Core Equity Fund Global Short-Dated Bond Fund International Core Equity Fund International Value Fund United Kingdom Core Equity Fund United Kingdom Small Companies Fund United Kingdom Value Fund are set out in the following order: Fund Information* 13 Portfolio Statement* 30 Statement of Total Return 139 Statement of Change in Net Assets Attributable to Shareholders 139 Balance Sheet 140 Notes to the Financial Statements 141 Distribution Tables 160 Remuneration Disclosures (unaudited)* 169 Supplemental Information (unaudited)* 170 * These collectively comprise the Authorised Corporate Director’s (“ACD”) Report. Dimensional Fund Advisors Ltd. Annual Report and Financial Statements, 31 December 2019 1 Dimensional Funds ICVC General Information Authorised Corporate Director (the “ACD”): Board of Directors of Dimensional Fund Advisors Ltd: Dimensional Fund Advisors Ltd. David Butler 20 Triton Street Stephen Clark Regent’s Place Nathan Lacaze London NW1 3BF Catherine Newell Telephone: 020 3033 3300 Gerard O’Reilly Facsimile: 020 3033 3324 Victoria Parry (appointed 30 September 2019) Authorised and Regulated by the Financial Conduct Authority John Romiza Peter Wood (appointed 30 September 2019) Administrator: State Street Bank and Trust Company, London Branch (from 4 November 2019) Investment Manager: 20 Churchill Place Dimensional Fund Advisors Ltd. Canary Wharf 20 Triton Street London E14 5HJ Regent’s Place Authorised and Regulated by the Financial Conduct Authority and London NW1 3BF Prudential Regulatory Authority Authorised and Regulated by the Financial Conduct Authority Northern Trust Global Services PLC (to 4 November 2019) Dimensional Fund Advisors LP 50 Bank Street 6300 Bee Cave Road Canary Wharf Building One London E14 5NT Austin, TX 78746 Telephone: 0333 300 0363 (Dealings & Enquiries) USA Authorised and Regulated by the Financial Conduct Authority and Prudential Regulatory Authority DFA Australia Limited Level 43 Registrars: 1 Macquarie Place DST Financial Services International Limited and Sydney DST Financial Data Services (Europe) Limited (from 4 November 2019) NSW 2000, Australia St. Nicholas Lane Basildon Dimensional Japan Ltd Essex SS15 5FS Kokusai Building Authorised and Regulated by the Financial Conduct Authority and Suite 808 Prudential Regulatory Authority 3-1-1 Marunouchi Chiyoda-Ku, Tokyo 100-0005 Northern Trust Global Services PLC (to 4 November 2019) 50 Bank Street Dimensional Fund Advisors Pte Ltd Canary Wharf 8 Marina View, Asia Square Tower 1 London E14 5NT Suite 33-01, Singapore 018960 Telephone: 0333 300 0363 (Dealings & Enquiries) Authorised and Regulated by the Financial Conduct Authority and Prudential Regulatory Authority Depositary (the “Depositary”): State Street Trustees Limited (from 3 June 2019) 20 Churchill Place Canary Wharf London E14 5HJ Authorised and Regulated by the Financial Conduct Authority and Prudential Regulatory Authority Citibank Europe plc, UK Branch (to 3 June 2019) Citigroup Centre 25 Canada Square Canary Wharf London E14 5LB Authorised and Regulated by the Financial Conduct Authority and Prudential Regulatory Authority Independent Auditors: PricewaterhouseCoopers LLP 7 More London Riverside London SE1 2RT Dimensional Fund Advisors Ltd. Annual Report and Financial Statements, 31 December 2019 2 Dimensional Funds ICVC The ACD presents the audited annual report and financial statements of Dimensional Funds ICVC (the “Company”) for the year ended 31 December 2019. Investment Objectives and Policies Set out below is the investment objective and a summary of the investment policy for each Global Short-Dated Bond Fund sub-fund of Dimensional Funds ICVC. The full investment policies are set out in the The investment objective of the Global Short-Dated Bond Fund (the “Fund”) is to seek to Prospectus, which is available to download from http://www.dimensional.com. maximise current income while preserving capital. Emerging Markets Core Equity Fund The investment policy of this Fund is to purchase high quality, investment grade short term fixed income and floating-rate securities and money market instruments issued by The investment objective of the Emerging Markets Core Equity Fund (the “Fund”) is to governmental, quasi-governmental and corporate issuers in developed countries which maximise long-term total return. mature in five years or less from the date of settlement of the purchase of the instrument. The investment policy of this Fund is to purchase transferable securities of publicly-traded At the present time, developed countries comprise Australia, Austria, Belgium, Canada, companies in emerging markets which the ACD deems eligible or of companies which Denmark, Finland, France, Germany, Hong Kong, Ireland, Italy, Japan, Luxembourg, derive a significant proportion of their business from such emerging markets. Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the United Kingdom and the United States of America. The ACD reserves the right to amend The Fund will generally have a higher allocation to small-cap companies and in companies the list of countries at any time with the agreement of the Depositary. Any amendment to which the ACD deems to be eligible value stocks, and a corresponding lower allocation to this list will be notified in the periodic reports of the Fund. It is not the current intention of large growth companies, in each case, relative to the securities eligible for investment by the Fund to invest in emerging markets. the Fund across all the various markets on which it may invest. Companies are considered small primarily based on a company’s market capitalisation. Securities are considered Under normal circumstances the Fund will invest most of its assets in investment grade value stocks primarily because a company’s shares have a high book value in relation to short term fixed income and floating-rate securities and money market instruments; it is their market value. In assessing value, the ACD may consider additional factors such as expected that most of the assets of the Fund held in foreign currency-denominated price to cash flow or price to earnings ratios, as well as economic conditions and instruments will be hedged back into the base currency of the portfolio. developments in the issuer’s industry. The criteria the ACD uses for assessing value are subject to change from time to time. The ACD may also modify Fund allocations after considering other factors which the ACD determines to be appropriate, such as free float, momentum, trading strategies, liquidity management, and profitability, as well as other factors that the ACD determines to be appropriate given market conditions. In assessing profitability, the ACD may consider different ratios, such as that of earnings or profits from operations relative to book value or assets. Emerging market countries are countries that are generally considered to be developing or emerging countries by the World Bank or International Finance Corporation or otherwise are regarded by their own authorities as developing. Currently, the Fund intends to purchase a broad and diverse group of securities of companies which are organised under the laws of, or maintain their principal place of business in, emerging markets countries which are traded on the principal exchanges of Brazil, Chile, Colombia, Czech Republic, Greece, Hong Kong, Hungary, India, Indonesia, South Korea, Malaysia, Mexico, Peru, Philippines, Poland, South Africa, Taiwan, Thailand and Turkey and securities or depositary receipts subject to certain requirements set out in the prospectus. The ACD reserves the right to amend the list of countries at any time. Any amendment to this list will be notified in the periodic reports of the Fund. Dimensional Fund Advisors Ltd. Annual Report and Financial Statements, 31 December 2019 3 Dimensional Funds ICVC Investment Objectives and Policies (continued) International Core Equity Fund International Value Fund The investment objective of the International Core Equity Fund (the “Fund”) is to maximise The investment objective of the International Value Fund (the “Fund”) is to maximise long- long-term total return. term total return. The investment policy of this Fund is to purchase transferable securities of certain non- The investment policy of this Fund is to purchase transferable securities of certain non- United Kingdom companies.