Annual Report and Financial Statements

Annual Report and Financial Statements for the year ended 31 December 2018 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 <ul style="display: flex;"><li style="flex:1">General Information* </li><li style="flex:1">2</li></ul><ul style="display: flex;"><li style="flex:1">3</li><li style="flex:1">Investment Objectives and Policies* </li></ul>Authorised Corporate Directors’ Investment Report* Incorporation and Share Capital* The Funds 6 10 10 10 10 10 10 11 11 11 11 12 Fund Cross-Holdings Authorised Status* Regulatory Disclosure* Potential Implications of Brexit* Responsibilities of the Authorised Corporate Director Responsibilities of the Depositary Report of the Depositary to the Shareholders Directors' Statement Independent Auditors’ Report to the Shareholders of Dimensional Funds ICVC 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: <ul style="display: flex;"><li style="flex:1">Fund Information </li><li style="flex:1">14 </li></ul><ul style="display: flex;"><li style="flex:1">31 </li><li style="flex:1">Portfolio Statement* </li></ul><ul style="display: flex;"><li style="flex:1">Statement of Total Return </li><li style="flex:1">149 </li></ul>149 150 151 168 177 178 Statement of Change in Net Assets Attributable to Shareholders Balance Sheet Notes to the Financial Statements Distribution Tables Remuneration Disclosures (unaudited)* Supplemental Information (unaudited) * These collectively comprise the Authorised Corporate Directors’ (“ACD”) Report. <ul style="display: flex;"><li style="flex:1">Dimensional Fund Advisors Ltd. </li><li style="flex:1">Annual Report and Financial Statements, 31 December 2018 </li></ul>1Dimensional Funds ICVC General Information Authorised Corporate Director (the “ACD”): Dimensional Fund Advisors Ltd. 20 Triton Street Regent’s Place London NW1 3BF Telephone: 020 3033 3300 <ul style="display: flex;"><li style="flex:1">Facsimile: </li><li style="flex:1">020 3033 3324 </li></ul>Authorised and Regulated by the Financial Conduct Authority Administrator/Registrars: Northern Trust Global Services SE, UK Branch 50 Bank Street Canary Wharf London E14 5NT Telephone: 0333 300 0363 (Dealings & Enquiries) Authorised and Regulated by the Financial Conduct Authority and Prudential Regulatory Authority Depositary (the “Depositary”): Citibank Europe plc, UK Branch 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 Board of Directors of Dimensional Fund Advisors Ltd: Gerard O’Reilly (appointed 1 May 2018) Arthur Barlow (resigned 1 July 2018) David Butler Nathan Lacaze Catherine Newell John Romiza Stephen Clark Investment Manager: Dimensional Fund Advisors Ltd. 20 Triton Street Regent’s Place London NW1 3BF Authorised and Regulated by the Financial Conduct Authority Dimensional Fund Advisors LP 6300 Bee Cave Road Building One Dimensional Japan Ltd Kokusai Building Suite 808 Austin, TX 78746 USA 3-1-1 Marunouchi Chiyoda-Ku, Tokyo 100-0005 DFA Australia Limited Level 43 1 Macquarie Place Sydney Dimensional Fund Advisors Pte Ltd 8 Marina View, Asia Square Tower 1 Suite 33-01, Singapore 018960 NSW 2000, Australia Dimensional Fund Advisors Ltd. Annual Report and Financial Statements, 31 December 2018 2Dimensional Funds ICVC Investment Objectives and Policies Set out below is the investment objective and a summary of the investment policy for each sub-fund of Dimensional Funds ICVC. The full investment policies are set out in the Prospectus, which is <a href="/goto?url=http://www.dimensional.com" target="_blank">available to download from http://www.dimensional.com. </a>Global Short-Dated Bond Fund The investment objective of the Global Short-Dated Bond Fund (the “Fund”) is to seek to maximise current income while preserving capital. Emerging Markets Core Equity Fund The investment objective of the Emerging Markets Core Equity Fund (the “Fund”) is to maximise long-term total return. 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 governmental, quasigovernmental and corporate issuers in developed countries which mature in five years or less from the date of settlement of the purchase of the instrument. At the present time, developed countries comprise Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Italy, Japan, Luxembourg, 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 list of countries at any time with the agreement of the Depositary. Any amendment to this list will be notified in the periodic reports of the Fund. It is not the current intention of the Fund to invest in emerging markets. The investment policy of this Fund is to purchase transferable securities of publicly-traded companies in emerging markets which the ACD deems eligible or of companies which derive a significant proportion of their business from such emerging markets. The Fund will generally have a higher allocation to small-cap companies and in companies which the ACD deems to be eligible value stocks, and a corresponding lower allocation to large growth companies, in each case, relative to the securities eligible for investment by 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 value stocks primarily because a company’s shares have a high book value in relation to their market value. In assessing value, the ACD may consider additional factors such as price to cash flow or price to earnings ratios, as well as economic conditions and 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. Under normal circumstances the Fund will invest most of its assets in investment grade short term fixed income and floating-rate securities and money market instruments; it is expected that most of the assets of the Fund held in foreign currency-denominated instruments will be hedged back into the base currency of the portfolio. 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 2018 3Dimensional Funds ICVC Investment Objectives and Policies (continued) <ul style="display: flex;"><li style="flex:1">International Core Equity Fund </li><li style="flex:1">International Value Fund </li></ul>The investment objective of the International Core Equity Fund (the “Fund”) is to maximise long-term total return. The investment objective of the International Value Fund (the “Fund”) is to maximise long-term total return. The investment policy of this Fund is to purchase transferable securities of certain non-United Kingdom companies. Generally, the Fund intends to purchase a broad and diverse group of readily marketable stocks of companies organised under the laws of certain developed countries, excluding the United Kingdom and in securities of companies organised under the laws of other eligible markets, including the United Kingdom, the majority of whose revenues derive from, or the majority of whose business is conducted in, these countries. The Fund will generally be overweighted in small companies and in shares which the ACD deems to be eligible value stocks, and underweighted in large growth companies. At the present time, the Fund may invest in Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Israel, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland and the United States of America. The ACD reserves the right to amend the list of countries at any time with the agreement of the Depositary. Companies are considered small primarily based on a company’s market capitalisation. Securities are considered value stocks primarily because a company’s shares have a high book value in relation to their market value. In assessing value, the ACD may consider additional factors such as price to cash flow or price-to-earnings ratios, as well as economic conditions and developments in the issuer’s industry. The criteria the ACD uses for assessing value are subject to change from time to time. The Fund’s investment objective may also be achieved through the use of depositary receipts representing securities of companies meeting the above criteria. 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. The investment policy of this Fund is to purchase transferable securities of certain non-United Kingdom companies which the ACD deems eligible value stocks. Generally the Fund intends to purchase a broad and diverse group of readily marketable stocks of companies organised under the laws of certain developed countries, excluding the United Kingdom, and in securities of companies organised under the laws of other eligible markets, including the United Kingdom, the majority of whose revenues derive from, or the majority of whose business is conducted in these countries. At the present time the Fund may invest in Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Israel, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland and the United States of America. The ACD reserves the right to amend the list of countries at any time with the agreement of the Depositary. Securities are considered value stocks primarily because a company’s shares have a high book value in relation to their market value. In assessing value, the ACD may consider additional factors such as price to cash flow or price-toearnings ratios, as well as economic conditions and developments in the issuer’s industry. The criteria the ACD uses for assessing value are subject to change from time to time. The Fund’s investment objective may also be achieved through the use of depositary receipts representing securities of companies meeting the above criteria. 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. Dimensional Fund Advisors Ltd. Annual Report and Financial Statements, 31 December 2018 4Dimensional Funds ICVC Investment Objectives and Policies (continued) <ul style="display: flex;"><li style="flex:1">United Kingdom Core Equity Fund </li><li style="flex:1">United Kingdom Value Fund </li></ul>The investment objective of the United Kingdom Core Equity Fund (the “Fund”) is to maximise long-term total return. The investment objective of the United Kingdom Value Fund (the “Fund”) is to maximise long-term total return. The investment policy of this Fund is to purchase transferable securities of United Kingdom companies. Generally the Fund intends to purchase a broad and diverse group of readily marketable stocks of United Kingdom companies traded principally on the London Stock Exchange or an over-the-counter market (primarily the United Kingdom over-the-counter market). The Fund will generally be overweighted in small companies and in shares which the ACD deems to be eligible value stocks, and underweighted in large growth companies. Companies are considered small primarily based on a company’s market capitalisation. Securities are considered to be value stocks primarily because a company’s shares have a high book value in relation to their market value. In assessing value, the ACD may consider additional factors such as price to cash flow or priceto-earnings ratios, as well as economic conditions and 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. The investment policy of this Fund is to purchase transferable securities of United Kingdom companies which the ACD deems eligible value stocks. Generally the Fund intends to purchase a broad and diverse group of readily marketable stocks of United Kingdom companies traded principally on the London Stock Exchange or on over-the-counter market (primarily United Kingdom over-the-counter market) that the ACD determines to be value stocks. Securities are considered value stocks primarily because a company’s shares have a high book value in relation to their market value. In assessing value, the ACD may consider additional factors such as price to cash flow or price-to-earnings ratios, as well as economic conditions and 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. United Kingdom Small Companies Fund The investment objective of the United Kingdom Small Companies Fund (the “Fund”) is to maximise long-term total return. The investment policy of this Fund is to purchase transferable securities of United Kingdom companies which the ACD deems eligible small companies. Generally the Fund intends to purchase a broad and diverse group of readily marketable stocks of United Kingdom small companies which are traded principally on the London Stock Exchange or on an over-the-counter market (primarily United Kingdom over-the-counter market). Companies are considered small primarily based on a company’s market capitalisation. Dimensional Fund Advisors Ltd. Annual Report and Financial Statements, 31 December 2018 5Dimensional Funds ICVC Authorised Corporate Directors’ Investment Report <ul style="display: flex;"><li style="flex:1">Emerging Markets Core Equity Fund </li><li style="flex:1">Global Short-Dated Bond Fund </li></ul>The Emerging Markets Core Equity Fund (the “Fund”) has been invested in a broad range of companies with increased exposure to companies with low relative prices and smaller market capitalisations across emerging markets. As at 31 December 2018, the Fund had exposure to approximately 4,700 companies which reflects our approach of seeking to deliver highly diversified exposure to emerging markets companies. The Global Short-Dated Bond Fund (the “Fund”) has been invested in a broad range of high quality fixed income instruments with maturities at or below five years. As at 31 December 2018, the Fund was diversified across 7 currencies, and issuers from 16 countries as well as supranational organisations. The top ten purchases and sales during the year were as follows: The top ten purchases and sales during the year were as follows: Costs <ul style="display: flex;"><li style="flex:1">Purchases </li><li style="flex:1">£'000 </li></ul>135,815 134,447 129,179 113,573 112,470 109,882 105,963 98,140 Costs Denmark Government Bond 1.50% 15/11/2023 Republic of Austria Government Bond 0.00% 15/07/2023 Finland Government Bond 1.50% 15/04/2023 Finland Government Bond 0.00% 15/09/2023 Netherlands Government Bond 1.75% 15/07/2023 Netherlands Government Bond 3.75% 15/01/2023 Bank Nederlandse Gemeenten 0.05% 11/07/2023 Asian Development Bank 0.20% 25/05/2023 French Republic Government Bond 1.75% 25/05/2023 European Stability Mechanism 0.10% 31/07/2023 <ul style="display: flex;"><li style="flex:1">Purchases </li><li style="flex:1">£'000 </li></ul>3,172 2,932 2,523 2,359 2,237 2,147 1,873 1,742 1,506 1,463 Samsung Electronics Hynix Semiconductor Samsung Electronics GDR China Construction Bank Petroleo Brasileiro Petroleo Brasileiro Preferred Alibaba ADR 94,394 Taiwan Semiconductor Manufacturing Sanlam 91,252 Yum China Proceeds <ul style="display: flex;"><li style="flex:1">£'000 </li><li style="flex:1">Sales </li></ul>Proceeds £'000 Republic of Austria Government Bond 0.00% 20/09/2022 Finland Government Bond 1.50% 15/04/2023 Netherlands Government Bond 3.75% 15/01/2023 French Government Bond 0.00% 25/05/2022 European Stability Mechanism 0.00% 18/10/2022 GE Capital International Funding 2.34% 15/11/2020 Finland Government Bond 1.63% 15/09/2022 Bundesobligation 0.00% 07/10/2022 130,489 130,292 110,624 96,304 90,894 73,200 62,048 58,091 46,313 Sales <ul style="display: flex;"><li style="flex:1">HDFC Bank </li><li style="flex:1">3,046 </li></ul>3,024 2,797 2,606 2,010 1,669 1,508 1,388 1,341 1,274 Tencent China Construction Bank Industrial & Commercial Bank of China Sanlam Hon Hai Precision Industry Itau Unibanco Preferred ADR Bank of China Ontario (Province of) 2.40% 08/02/2022 Kingdom of Belgium Government Bond 4.25% 28/09/2022 Bank Rakyat Indonesia Persero Ping An Insurance 44,214 Over the one year period ending 31 December 2018 the total return of the Fund was 0.23% in GBP (the base currency of the Fund) calculated based on the movement of the published net asset value per share over the year. This compares to a return of the Citigroup WGBI 1 to 5 Year (hedged to GBP) Index (the “Index”) of 0.49%. The Fund’s underweight to longer-dated securities denominated in US dollar had a negative impact on relative performance. Furthermore, the Fund’s underweight to yen-denominated bonds was a large driver of relative underperformance as the yen curve outperformed other major Index components. The Index has been included for market context purposes only. Over the one year period ending 31 December 2018 the total return of the accumulation share class of the Fund was -10.09% in GBP (the base currency of the Fund) calculated based on the movement of the published net asset value per share over the year. This compares to a total return of -9.27% for the MSCI Emerging Market Index (the “Index”). The Fund underperformed as a result of a higher allocation to smaller capitalisation stocks which underperformed over the period. The portfolio is fully invested and seeks to capture the returns of emerging markets. Fair value adjustments and the time of valuation of currency can create differences between the performance of the Fund versus the Index. The Index has been included for market context purposes only. Dimensional Fund Advisors Ltd. Annual Report and Financial Statements, 31 December 2018 6Dimensional Funds ICVC Authorised Corporate Directors’ Investment Report (continued) <ul style="display: flex;"><li style="flex:1">International Core Equity Fund </li><li style="flex:1">International Value Fund </li></ul>The International Core Equity Fund (the “Fund”) has been invested in a broad range of companies with increased exposure to companies with low relative prices and smaller market capitalisations across developed world markets ex UK. As at 31 December 2018, the Fund had exposure to approximately 6,080 companies which reflects our approach of seeking to deliver highly diversified exposure to developed markets companies. The International Value Fund (the “Fund”) has been invested in a broad range of companies with low relative prices across developed world markets ex UK. As at 31 December 2018, the Fund had exposure to approximately 700 companies which reflects our approach of seeking to deliver highly diversified exposure to value companies in developed markets.

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